Jse Limited · JSE:JSE

Jse — JSE Securities Exchange South Africa — Technical Presentation (2001)

18 slides from Jse's technical presentation, 2001

  1. Slide 1: Margining Methodology

    JSE SECURITIES EXCHANGE SOUTH AFRICA Margining Methodology

  2. Slide 2: Margining Methodology

    Margining Methodology  Objectives  Process Overview  Methodology  Results & Examples  Implementation  Conclusion

  3. Slide 3: JSE SE SA Objectives

    JSE SE SA Objectives  Accurate transparent methodology  Compensate for volatility, liquidity & deal size risk  Enable pre-trade risk management  Consistency with SAFEX margining  Secure daily data transfer  Rapid implementation

  4. Slide 4: Specific Margin Objectives

    Specific Margin Objectives  The margin should take into account the specific risk of the position, including the price volatility, liquidity and specific size (nominal shares) involved from EOD on T+3. MARGIN Price Volatility Volume Relative Spread Size

  5. Slide 5: Process Overview

    Process Overview Allocated Broker CSDP Commit by12h00 onT+3 T T+1 T+2 T+3 T+4 T+5 SETTLE SUCCESFULLY CAPADREQONBROKER 10h00 T+4 If NOcommit, thenclient to resolvetill 10h00onT+4 2DAY If NOTresolved, positionreversedto broker “reversesubstitution” CSDP If RESOLVED, tradesettles MARGIN must commit by1

  6. Slide 6: Methodology

    Methodology  MtM uncommitted trades on EOD on T+3  Compute 2-day VaR margin  Scale VaR for liquidity horizon  Adjust margin for position size  Compile margin matrix  Provide information to JSE  JSE margins trades

  7. Slide 7: The Margining Matrix

    The Margining Matrix Deal Size DDT 15% 15% 15% 15% 15% 15% 15% 15% 15% 15% 15% 15% 15% 15% 15% 39,500 100 200 300 500 1,000 5,000 10,000 15,000 20,000 25,000 30,000 35,000 40,000 45,000 50,000 100,000 300,000 500,000 1,000,000 2,000,000 15% 15% 15% 15% 15% AGL 12% 12% 12% 12% 12% 12% 12% 12% 12% 12%

  8. Slide 8: Visual Matrix Graph

    Visual Matrix Graph 110% DDT AGL SOT ANG BAW 100% BOE CRN 90% DTC SAP MGF 80% ASA BIL 70% FDS INT EQX 60% FSR RMH 50% JDG MHH ANG OML REM 40% SAP IOT MCE NPK 30% DDT ENR SBC 20% NED SOL 10% FSR RCH IOT 11,000 0% BSB MZL 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 10 20 30 50 00 ,00 ,00 ,00 ,00 ,00

  9. Slide 9: 200 Securities Example

    0 100% 120% 20% 40% 60% 80% 0% 20 : 1 0 1 0 : 40 3 0 1 0 : 60 5 0 1 0 : 80 7 0 1 0 10 : 01 9 0 0 30 : 2 01 0 0 50 : 4 0 01 0 0 70 : 6 0 0 0 90 1 : 0 0 0 80 20 1 : 0 0 00 1 0 0 40 1 : 00 00 0 3 0 60 1 : 0 0 5 High Risk 00 0 0 80 1 : 0 0 0 10 0 1 0 0 7 00 : 0 0 12 0 1 9 0 0 00 : 1 0 0 1 14 0 1 0 0 00

  10. Slide 10: Margin Requirements: AGL v NPK

    Margin Requirements: AGL v NPK  AGL: Ave Volume 2.7m, Volatility 43.49%  NPK: Ave Volume 1.7m, Volatility 28.63% 35% 30% 25% 20% AGL 15% NPK 10% 5% 0% 0 0 0 0 0 0 0 0 0 0 0 0 10 30 , 00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 1 10 20 30 40 50 30 0 00 0 00 0 00 1, 3, 0,0 1

  11. Slide 11: Median Margin Examples

    20% 40% 60% 80% 0% 100% 120% 10 0 30 0 1, 00 0 10 ,0 00 20 ,0 11,000 00 30 ,0 00 40 ,0 00 50 ,0 0 30 0 0, 1, 000 00 0, 3, 000 00 0 10 ,00 ,0 0 00 ,0 00 Median Margin Examples DTC AGL NPK RCH MGF

  12. Slide 12: Spread Risk

    Spread Risk  Relative Spread = (Offer - Bid)/Mid  Quantifies spread as % of asset price  Allows objective spread comparison  Enables spread risk comparison  Implicit risk (cost) of trading

  13. Slide 13: RCH Relative Spread

    6/4/01 5/21/01 5/7/01 4/23/01 4/9/01 3/26/01 3/12/01 2/26/01 2/12/01 1/29/01 RCH Relative Spread 1/15/01 1/1/01 12/18/00 12/4/00 11/20/00 11/6/00 RCH Relative Spread 10/23/00 Date 10/9/00 9/25/00 9/11/00 8/28/00 8/14/00 7/31/00 7/17/00 7/3/00 6/19/00 6/5/00 5/22/00 5/8/00 4/24/00 4/10/00 3/27/00 3/1

  14. Slide 14: PET Relative Spread

    6/4/01 5/21/01 5/7/01 4/23/01 4/9/01 3/26/01 3/12/01 2/26/01 2/12/01 1/29/01 PET Relative Spread 1/15/01 1/1/01 12/18/00 12/4/00 11/20/00 11/6/00 PET Relative Spread 10/23/00 Date 10/9/00 9/25/00 9/11/00 8/28/00 8/14/00 7/31/00 7/17/00 7/3/00 6/19/00 6/5/00 5/22/00 5/8/00 4/24/00 4/10/00 3/27/00 3/1

  15. Slide 15: ESS Relative Spread

    6/4/01 5/21/01 5/7/01 4/23/01 4/9/01 3/26/01 3/12/01 2/26/01 2/12/01 1/29/01 ESS Relative Spread 1/15/01 1/1/01 12/18/00 12/4/00 11/20/00 11/6/00 ESS Relative Spread 10/23/00 Date 10/9/00 9/25/00 9/11/00 8/28/00 8/14/00 7/31/00 7/17/00 7/3/00 6/19/00 6/5/00 5/22/00 5/8/00 4/24/00 4/10/00 3/27/00 3/1

  16. Slide 16: Implementation

    Implementation Brokers RisCura Daily Download A Risk Engine B Pre-Trade Risk C FTP Analytics D Email E JSE SE SA Failed Trades Margin Matrix

  17. Slide 17: Pre-Trade Risk Analytics

    Pre-Trade Risk Analytics a. File Edt View Favorites Tools Help my Back Links €] Customize Links @] Free Hotmail 42] Windows |Z] Done Ba Inbox - Microsoft O. $/B- G Mail Print RGMicrosoft Excel | BY Microsoft Word - @ iniemet EJISE Margining..._ | LAD 11:11AM

  18. Slide 18: Conclusion

    Conclusion  Fully covers volatility, liquidity and position size risk  Consistent with SAFEX margining  Tested & ready to implement  Fully automated  Data transfer redundancy  Broker pre-trade risk analysis  Compensates JSE for risk

JSE Securities Exchange South Africa — Technical Presentation (2001) on 6ix