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Function of Equity Market Surveillance by tsx16083

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									                                       CONFIDENTIAL




 JSE Equity Market and
  Trading Functionality
        Overview




                                         VERSION 8
                                          July 2008




Produced by:   JSE Market Operations
This document is confidential and contains property belonging to the JSE Limited (the JSE). Neither this
document nor its contents may be disclosed to a third party, nor may it be copied, without the JSE's prior
written consent.

The JSE endeavours to ensure that the data and other material in this document are correct and complete but
does not accept any liability for error herein or omission here from. The development of JSE products and
services is continuous and published information may not be up to date. It is important that you check the current
position with the JSE before acting on any information in this document.




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PREFACE

This publication, together with its associated publications, describes the trading and information services provided
by the JSE Limited. This document is one of six specifications, supplied as a set, to support the Exchange‟s
trading and information services. The documents are:

 #    Document Name             File Name                      Document Objective             Updates
 1    JSE member pack           1_JSE member pack              An introduction to the JSE     Updated
      covering letter           cover letter.doc               specification pack and its
                                                               contents.
 2    JSE Equity Market         2_JSE Equity Market and        An overview of the new         Updated
      and Trading               Trading Functionality          trading functionality to be
      Functionality             Overview.doc                   used by the JSE market.
      Overview
 3    JSE User                  3_JSE User Connectivity        An overview of JSE             Updated
      Connectivity to           to Trading and                 connectivity to LSE systems.
      Trading and               Information Systems.doc
      Information Systems
 4    JSE Trading and           4_JSE Trading and              An overview of the             Updated
      Information Services      Information Services.doc       Exchange's Trading and
                                                               Information Services.
 5    JSE Interface             5_JSE Interface                An overview of Interface       Updated
      Specification             Specification.doc              Specifications to be used.
 6    Data Formats                                             An overview of Data Formats    Updated
                                                               to be used.
      6.1 JSE Broadcast         6.1_JSE Data
      Message Layouts           Formats_Broadcast
                                Message
                                Layouts.doc
      6.2 JSE Interactive       6.2_JSE Data
      Message Layouts           Formats_Interactive
                                Message
                                Layouts.doc
      6.3 JSE Field             6.3_JSE Data
      Definitions               Formats_Field
                                Definitions.doc
      6.4 JSE Advisory          6.4_JSE Data
      Codes                     Formats_Advisory_
                                Codes.doc
      6.5 JSE Message           6.5_JSE Data
      Types and Version         Formats_Message
      Identifiers               Types and Version
                                Identifiers.doc
      6.6 JSE Data Field        6.6_ JSE Data
      Cross Reference           Formats_Data Field
                                Cross
                                Reference.doc


Copies of these documents and further information can be obtained from the JSE Limited‟s web site at
www.jse.co.za / JSE Technical Library / JSE Trading and Information systems




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TABLE OF CONTENTS


1.      JSE EQUITY MARKET AND TRADING FUNCTIONALITY OVERVIEW ......................... 4

1.1     Overview of JSE Trading Model................................................................................................ 5

1.2     Overview of key JSE Rule changes .......................................................................................... 5

1.3     JSE Market Structure ................................................................................................................. 6

1.4     JSE Functional market segmentation ...................................................................................... 6
  Sector Definitions ................................................................................................................................................... 8
  Sector Definitions ................................................................................................................................................... 9
  Sector Definitions ................................................................................................................................................... 9
  *Sector Definitions ................................................................................................................................................ 10

1.5     Participant Structure ............................................................................................................... 10

1.6     Ongoing review of EMS (Exchange Market Size), functional sector and segment allocation
        11

1.7     Core Order-driven Trading Functionality ............................................................................... 11
  1.7.1 Central Order Book .................................................................................................................................. 12
  1.7.2 Orders ...................................................................................................................................................... 12
       Order Types .................................................................................................................................................. 12
  Order Modification ................................................................................................................................................ 15
  Modification of a GTC order ................................................................................................................................. 17
  Client Reference Modification .............................................................................................................................. 17
       Pre-Trade Disclosure .................................................................................................................................... 20
       Order Parameters ......................................................................................................................................... 21
  1.7.3 Trade Types ............................................................................................................................................. 22
  1.7.4 Trading Phases ........................................................................................................................................... 25
  1.7.5 Matching Rules ........................................................................................................................................... 31
       Continuous Trading ....................................................................................................................................... 31
       Auction Trading ............................................................................................................................................. 32
  1.7.6 Price Monitoring and Market Integrity ......................................................................................................... 33
  1.7.7 Closing Prices ............................................................................................................................................. 35
  1.7.8 Closing prices for Warrants and Investment Products ............................................................................ 35
  1.7.9 Trade Reporting and Publication ................................................................................................................ 37
  1.7.10 Trade Cancellation .................................................................................................................................... 39

1.8     JSE Trading Requirements ..................................................................................................... 39
  1.8.1      Dual-sided Trade Reporting ..................................................................................................................... 40

APPENDIX 1: EMS BANDING ............................................................................................................ 42
  APPENDIX 3: Tradable Instrument Types ........................................................................................................... 44
  APPENDIX 4: Ex-Marker Codes .......................................................................................................................... 44
  APPENDIX 5: Announcement Group Codes ....................................................................................................... 45

APPENDIX 2: General JSE Liquidity Parameters ……………………………………………………………………....37
APPENDIX 3: Tradable Instrument Types…………………………………………………………………………….….38
APPENDIX 4: Ex-Marker Codes…………………..……………………………………………………………………….39
APPENDIX 5: Announcement Group Codes………………………………………………………………………….….40
1. JSE Equity Market and Trading Functionality Overview

This section of the documentation pack sets out the trading functionality that the JSE provides.

Specifically this document:


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     identifies aspects of the trading functionality to support the JSE‟s equitiy market model; and

     highlights functionality that is provided to the JSE equitiy market.

Note that any reference to the JSE market or functionality used by the JSE market effectively includes the
Namibian Stock Exchange (NSX), unless otherwise specifically mentioned.


1.1     Overview of JSE Trading Model

This overview sets out the functionality for the proposed market model for equity trading.

The proposed market model is very similar to the European Alliance Market Model that was agreed by the group
of eight Alliance Exchanges on 23 September 1999 as the preferred model for the operation of an order book to
support trading in liquid securities.

The trading model, inter alia, provides for:

     Continuous automated trading;

     Opening and closing auctions;

     Optional Intra-day auctions;

     Limit and market order types;

     Order execution conditions;

     Order restrictions;

     Order validity constraints;

     Price-time continuous trading matching rules;

     Auction price based upon maximum executable volume with minimum surplus, market pressure and
      reference price criteria;

     Auction call period extensions;

     Static and Dynamic Price Monitoring;

     Configurable Publication Regimes; and

     Auction, VWAP and MID closing prices.




1.2     Overview of key JSE Rule changes

As part of the implementation of the trading system, as well as part of the JSE‟s general review of its current
rules, a number of JSE rules and directives were amended. These changes allow for a greater degree of




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efficiency in the market as well as aligning the JSE‟s trading practices more closely with European best practice.
The focus of these rule changes is in the following key areas:

             Introduction of new and amendments to old trading rules and directives to allow for the full
              exploitation of new trading functionality and enhanced market efficiency and control. This included
              the facilitation of new trading periods, order entry rules, market mechanism types, volatility controls,
              introduction of anonymity, changes to trade correction procedures etc.
             Facilitation of STP as much as possible without compromising market integrity. This includes new
              rules and directives governing approval by members of orders received electronically and the system
              requirements to facilitate this practice;
             Redefinition of conditions for halting the market and extending trading hours in exceptional
              circumstances. This included the re-evaluation of what constitutes a fair and realistic market;
             Re-evaluation of charging of fees on principal trades;
             Re-evaluation of use of Report Only trades. This involved redefining the trades, their size, reporting
              and publication criteria, introduction of new and removal of obsolete trade types, re-evaluation of
              current put-through rules and the introduction of a form of the Best Execution Rule.


1.3    JSE Market Structure

With JSE SETS, a market was defined through the allocation of a specific Market Segment to which Sectors and
groupings of instruments were assigned.

JSE TradElect™ builds upon this structure, and introduces a new tier to explicitly identity to which market it
belongs. The current method of uniquely identifying an instrument by Tradable Instrument Code (ISIN), Country
of Register, Market Segment Code and Currency Code will be maintained.
                                                                                                             NEW
Below is a depiction of the new market structure:

Market                                     Used to describe the geographical       JSE
                                           elements of a trading environment –
                                           its business calendar and time zone
                                           the Market is operating in
Segment                                    The Segment tier is used to define      ZA01
                                           a set of instruments that follow the
                                           same trading model, e.g. an
                                           electronic anonymous order-driven
Sector                                     The Sector provides a more              J1H1
                                           granular level that defines the group
                                           of instruments within the Segment
                                           that follow the same trading
                                           schedule
Instrument                                 The lowest tier is used to describe     AGL
                                           the individual tradable instrument
                                           itself




1.4    JSE Functional market segmentation
Figure 1 illustrates the design framework of how the JSE trading system is segmented in order to facilitate the
efficient control of and trade in the associated markets. Note that this figure shows only the technological
functional market segments and sectors configured on the trading system back-end – it is not a
representation of how the market itself will be divided and hence has no relation to market and industry
classifications e.g. Financials, Industrials etc. Note that some changes might be made in the future to the
structure shown below to better accommodate all JSE and NSX trading requirements.



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         Figure 1: Representation of the functional market segmentation of the JSE TradElect™ Trading System.

The JSE trading system is divided into six functional segments, with each functional segment being divided into a
combination of functional sectors. As indicated in Figure 1, the JSE functional sectors are further grouped into
appropriate categories to enhance market control and administration.

Top Companies

Segment Name            Top Companies
Segment Code            ZA01
Definition              This segment is reserved for the order-driven
                        trade of TOP40 equities
Maximum Order           10 X Exchange Market Size (EMS)
Size

Sector Definitions

Below is a table of the details of each functional sector to be included in this segment. Sector codes are 4 digit
alpha-numerics and are system unique. The first digit signifies the market to which the functional sector applies
(i.e. „J‟ for JSE, „N‟ for NSX), the second digit signifies the functional segment number (1 – 9) of the market to
which the functional sector belongs (i.e. „1‟ for ZA01), while the last two digits signify whether it is a High, Mid or
Low-priced functional sector except for ZA05 where the first 2 digits of the sector denotes the country of origin:

 #              Sector Name                    Sector Code                    Assigned Instruments
1    Dual Listed UK High-priced               J1H1                    High-priced (>R30) UK Dual-listed SA
                                                                       equities in the TOP40
2    Dual Listed UK Mid-priced                J1M1                    Mid-priced (≥R10 and ≤R30) UK Dual-
                                                                       listed SA equities in the TOP40
3    Dual Listed UK Low-priced                J1L1                    Low-priced (<R10) UK Dual-listed SA
                                                                       equities in the TOP40
4    Top Companies High-priced                J1H2                    Remaining high-priced (>R30) TOP40
                                                                       equities


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5    Top Companies Mid-priced                  J1M2                    Remaining mid-priced (≥R10 and
                                                                        ≤R30) TOP40 equities
6    Top Companies Low-priced                  J1L2                    Remaining low-priced (<R10) TOP40
                                                                        equities
Medium Liquid

Segment Name            Medium Liquid
Segment Code            ZA02
Definition              This segment is reserved for the order-driven
                        trade of JSE equity instruments that have JSE
                        liquidity ratings of 1 or 2, but do not fall into the
                        TOP40
Maximum Order           20 X Exchange Market Size (EMS)
Size

Sector Definitions

Below is a table of the details of each functional sector to be included in this segment:

 #              Sector Name                     Sector Code                   Assigned Instruments
1    High Liquid High-priced                   J2H1                    High-priced (>R30) JSE equity
                                                                        instruments not in the TOP40 that
                                                                        have a JSE liquidity of 1
2    High Liquid Mid-priced                    J2M1                    Mid-priced (≥R10 and ≤R30) JSE
                                                                        equity instruments not in the TOP40
                                                                        that have a JSE liquidity of 1
3    High Liquid Low-priced                    J2L1                    Low-priced (<R10) JSE equity
                                                                        instruments not in the TOP40 that
                                                                        have a JSE liquidity of 1
4    Medium Liquid High-priced                 J2H2                    High-priced (>R30) JSE equity
                                                                        instruments not in the TOP40 that
                                                                        have a JSE liquidity of 2
5    Medium Liquid Mid-priced                  J2M2                    Mid-priced (≥R10 and ≤R30) JSE
                                                                        equity instruments not in the TOP40
                                                                        that have a JSE liquidity of 2
6    Medium Liquid Low-priced                  J2L2                    Low-priced (<R10) JSE equity
                                                                        instruments not in the TOP40 that
                                                                        have a JSE liquidity of 2

Less Liquid

Segment Name            Less Liquid
Segment Code            ZA03
Definition              This segment is reserved for the order-driven trade of all the
                        remaining JSE instruments
                        JSE equity with a liquidity rating of 3 or 4;
                        JSE equity with a liquidity rating of 1 or 2, but a price less
                        than 20c;
                        All JSE Kruger Rand Instruments;
                        All JSE Debenture Instruments;
                        All JSE Nil Paid Letter Instruments;
                        All Exchange Traded Funds
                        All instruments that meet the Listings requirements for the
                        Alternative Exchange
Maximum Order           10 X Exchange Market Size (EMS)
Size

Sector Definitions

Below is a table of the details of each functional sector to be included in this segment:


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 #             Sector Name                     Sector Code                   Assigned Instruments
1    Less Liquid High-priced                  J3H1                    High-priced (>R30) remaining JSE
                                                                       instruments
2    Less Liquid Mid-priced                   J3M1                    Mid-priced (≥R10 and ≤R30)
                                                                       remaining JSE instruments
3    Less Liquid Low-priced                   J3L1                    Low-priced (<R10) remaining JSE
                                                                       instruments
4    Exchange Traded Funds                    J3S1                    All Exchange Traded Funds
5    Alternative Exchange (ALTX)              ALT                     Instruments that meet the Listings
                                                                       requirements for the Alternative
                                                                       Exchange

Specialist Products

Segment Name            Less Liquid
Segment Code            ZA04
Definition              This segment is reserved for the order-driven
                        trade of all Warrants and Investment Products.
Maximum Order           10 X Exchange Market Size (EMS)
Size

Sector Definitions

Below is a table of the details of each functional sector to be included in this segment:

 #              Sector Name                    Sector Code                   Assigned Instruments
1    Specialist Products (Warrants)           J4S1                    All JSE Warrants
2    Specialist Products (IPs )               J4S2                    All JSE Investment Products.



NSX Market

Segment Name            NSX
Segment Code            ZA11
Definition              This segment is reserved for the order-driven
                        of all NSX instruments
                        Participants permitted to trade in this Segment
                        are NSX Broking Members (equities)
Maximum Order           99999.99 X Exchange Market Size (EMS)
Size

Sector Definitions

Below is a table of the details of each functional sector to be included in this segment:

 #              Sector Name                    Sector Code                   Assigned Instruments
1    Dual-listed NSX High-priced              N1H1                    High-priced (>R30) NSX Dual-listed
                                                                       SA equities
2    Dual-listed NSX Mid-priced               N1M1                    Mid-priced (≥R10 and ≤R30) NSX
                                                                       Dual-listed SA equities
3    Dual-listed NSX Low-priced               N1L1                    Low-priced (<R10) NSX Dual-listed SA
                                                                       equities
4    Local NSX High-priced                    N1H2                    High-priced (>R30) local NSX equities
5    Local NSX Mid-priced                     N1M2                    Mid-priced (≥R10 and ≤R30) local
                                                                       NSX equities
6    Local NSX Low-priced                     N1L2                    Low-priced (<R10) local NSX equities




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JSE Africa Board

Segment Name            Less Liquid
Segment Code            ZA05
Definition              This segment is reserved for the order-driven
                        trade, containing instruments which are of an
                        African origin
Maximum Order           10 X Exchange Market Size (EMS)
Size

*Sector Definitions

Below is a table of the details of each functional sector to be included in this segment:

 #            Sector Name                                Sector Code                            Assigned Instruments
1     JSE/Namibia Listed                                NA01                             All Namibian listed instruments

* each country will be assigned to an individual sector

1.5    Participant Structure

A new level has been introduced to the participant structure viz. Trader Group. This structure can be used to
support the identification of desks and/or individuals within a trading entity, such as cash desk, arbitrage,
international brokerage, direct market access and automated trading systems.

Member ID                       The highest level for depicting a Participant – this is intended to correspond to the
                                firm‟s highest entity.
Trader Group                    The level at which authorization and/or role enablement for trading actions in a
                                particular Market is performed.
Trader ID                       This is the lowest possible level of granularity, and is used to represent the
                                individual trader. Each Trader ID must be unique within a Trader Group.

 Member ID
                                                                                ABCDGB2LBIC

 Trader Group                                  ABCD10                  ABCD20                ABCD30                    ABCD50


 Trader ID
                                           ASMITH




                                                                       ASMITH




                                                                                            DSMITH
                                                     BSMITH

                                                              CSMITH




                                                                                 FSMITH




                                                                                                     ESMITH

                                                                                                              FSMITH




                                                                                                                           OEA




Member ID - the member ID can have a 1 to many relationship with Trader Groups to allow a range of groups to
be allocated to a single Member ID.

Trader Group - this relationship provides a greater level of flexibility and can help in segmenting trading activities
between individual desks. However, to minimise customer impact, the system has initially been configured so
that the Member ID will have a 1 to 1 relationship with the Trader Group and both will be populated with the
current Participant Code (BIC Code).

Trader ID – Trader IDs must be unique within a trader group. All trader IDs are validated by the equity trading
system. A valid trader ID must be submitted on all orders and trades.




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1.6       Ongoing review of EMS (Exchange Market Size), functional sector and segment allocation

For practical purposes, the EMS is used to define three main market features:

          Maximum Order Size – the Maximum Order Size allowed per instrument per order, is equal to the EMS
           for the instrument multipled by a value that is defined at a functional segment level. The specifics of the
           multipliers used on the JSE and NSX markets have been mentioned in the description of each functional
           segment;
          Minimum volume – the Minimum Volume defines the minimum executable volume required in order for
           the Closing Auction price to be considered valid. If this level is not satisfied, then the book remains
           “crossed” and an alternative means of establishing a closing price is used. No Minimum Volume check is
           used on the JSE and NSX markets; and
          Publication of trade details – different trade types adhere to different publication rules depending on the
           EMS-associated criteria that they fulfil. EMS thus plays an integral part in deining the publication
           characteristics of each trade type, as detailed in Section 1.7.3.

The trading pattern for instruments is influenced by various economic factors. As part of its regulatory
responsibilities, the JSE is constantly reviewing the EMS bands, functional sector and segment allocation and
trading liquidity (see Appendix 2) for all listed equity instruments to ensure that trading can be conducted
effectively. The bulk of the reallocations are normally scheduled to coincide with the quarterly JSE/FTSE indices
review but changes can be made on an adhoc basis.

If an instrument is moved from one functional segment to another, all open orders associated with those
instruments are automatically deleted.

EMS Calculation for all instruments other than Warrants, Investment Products, Less Liquid Instruments
(ZA03), JSE Africa Board (ZA05) and NSX Instruments (ZA11)
                                                                       th)
The actual EMS of the instrument is calculated as 5% (i.e. 1/20 of the Average Daily Volume of the agency
trades (including-report only trades) for an instrument over the last 12 months.


Average Daily Volume (of agency trades) =

                        VOLUME OF AGENCY TRADES IN PREVIOUS 12 MONTHS*
           NO. OF DAYS ON WHICH THE INSTRUMENT WAS TRADED IN THE PREVIOUS 12 MONTHS


*Agency trades constitute all trades (including-report only trades) that have dealing capacities A-A, A-P or P-A.


Actual EMS =

                                              AVERAGE DAILY VOLUME
                                                       20

Warrant, Investment Product Instruments, Less Liquid Instruments (ZA03), JSE Africa Board (ZA05) and
NSX instruments (ZA11)

The actual EMS of the instrument is calculated as 0.5% of the amount of that instrument issued.

Actual EMS =
                                       AMOUNT OF INSTRUMENTS IN ISSUE
                                                    200

The actual EMS is then approximated to the nearest defined EMS banding using the table in Appendix 1.

1.7       Core Order-driven Trading Functionality




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This section describes the core order-driven trading functionality that is available to support trading in the JSE
equity market.

1.7.1   Central Order Book

The central order book is an order-matching facility where members participate on equal terms, competing for
execution on the basis of strict price and time priority only.

1.7.2   Orders

Order Types

There are essentially two order types that may appear on the order book, namely “Market Orders” and “Limit
Orders”.

Market Orders stipulate only the volume of shares for trade and do not specify any limit price. They will execute
against as many orders on the opposite side of the order book as are necessary to fill the order (if they can). Any
un-executed market orders will automatically be deleted from the system at the start of continuous trading.

Limit orders stipulate both a volume for trade as well as a limit price. Limit orders will always execute at the
specified limit or better.
Both market orders and limit orders can be subject to either execution constraints or validity constraints.

Execution based validity
The existing “Execute and Eliminate” and “Fill or Kill” order types can both be defined through the use of Validity
Type on the new system. Execution validity controls the removal of those orders that are immediately submitted
to the book upon entry by a Participant.

Fill or Kill (FOK) validity ensures orders are matched immediately and fully upon order entry. If full execution is not
possible immediately, the entire order is rejected from the trading platform.

Execute and Eliminate (ENE) validity ensures orders are matched immediately and as fully as possible upon
order entry with any remaining, unexecuted volume being deleted from the trading platform.

Market Mechanism Types
By applying these execution constraints to the basic order types the following combinations of market mechanism
types can be effected to allow for the entry of persistent or non-persistent orders onto the central order book:

        Order Type          Execution Constraint           Trading System Description        Order Lifetime
        Market            None                           Market Order                        Persistent
        Market            Execute and Eliminate          Unpriced Execute and Eliminate      Non-persistent
        Market            Fill or Kill                   Unpriced Fill or Kill               Non-persistent
        Limit             None                           Limit Order                         Persistent
        Limit             Execute and Eliminate          Priced Execute and Eliminate        Non-persistent
        Limit             Fill or Kill                   Priced Fill or Kill                 Non-persistent

Time based validity
These are immediately entered into the order book upon entry by a Participant and are removed once the expiry
date/time specified in the message has been reached (unless fully executed or deleted prior to the specified
time). The two types of time based validity are Good Till Time (GTT) and Good Till Cancelled (GTC). These are
shown below.

Good Till Time (GTT)                           Allows an expiry date and time to be specified on the message – up
                                               to a configurable maximum
Good Till Cancelled (GTC)                      No expiry date and time is specified but will default to the
                                               configurable maximum for the instrument

Note: An expiry date and time is only specified with GTT validity and both fields must always be
populated.




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GTC orders will have their expiry date set to the maximum number of calendar days allowed in the segment after
the day of entry. If a GTC order has either the date or time populated, it will be rejected by the system.

GTT orders will expire using the date and time specified in the date and time validity fields.

Period based validity
This validity type introduces the concept of Parked Orders, allowing both the entry and removal of the order to be
based upon a specific period based transition.

Validity enables common orders such as “Good for Day” and “At the Close” to be introduced. The validity types
shown in the table are now supported:

Validity Type       Description                      Behaviour (Add)                        Behaviour (Remove)
GFD                 Good for Day                     Immediately posted to book             Deleted at start of runoff
                                                                                            or start of end of
                                                                                            continuous trading for
                                                                                            instruments in ZA04
ATO                 At the Open                      Parked for injection at the start of   Deleted at end of opening
                                                     the next opening auction               auction
ATC                 At the Close                     Parked for injection at the start of   Deleted at end of closing
                                                     the next closing auction               auction
GFA                 Good for Auction                 Parked for injection for the next      Deleted at end of auction
                                                     available auction (Open, close,
                                                     Intra-day or Volatility )
GFX                 Good for Intra-Day Auction       Parked for injection at the next       Deleted at end of auction
                                                     scheduled intra-day auction (IDAC)


Parked Orders

An order submitted by a Participant will be held in the system until the applicable period is reached, at which point
it is passed onto the order book. Whilst the order is held by the system it is not publicly visible and does not
participate in continuous trading/auctions. However, it may still be modified and deleted. Whilst parked, the order
will maintain time priority in line with all other orders that have been parked for that particular instrument. Also,
when modified, it follows the same rules as it would on the order book to determine whether price/time priority is
maintained.

As the period becomes effective the order will be “injected” into the order book as if the Participant had at that
point submitted the order themselves. The order will then either execute against any valid orders or remain on
the book. The transitioning of the period can also control the removal of the order, if it has not already been fully
executed. Validity types such as “At the Open” (ATO) will be entered at the start of the Auction Call period and if
not executed, removed before transitioning into continuous trading.

The ability to park orders prior to the period they are intended for, ensures that they have a higher priority when
going into the period. This is because they are entered prior to any new orders being able to be submitted for that
period, however, any „live‟ orders already active on the order book will always have higher priority than the parked
orders being injected. Orders with period based validity can be entered into the market during the period it is
based upon and will be visible to the order book e.g. GFA can be entered during the Auction.




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                                                           ORDER TYPES




                              LIMIT ORDER                                              MARKET ORDER




                            EXECUTION BASED             TIME BASED VALIDITY             PERIOD BASED
                                VALIDITY                                                  VALIDITY
                               Fill or Kill (FOK)         Good till time (GTT)         Good for Day (GFD)
                          Execute & Eliminate (ENE)     Good till cancelled (GTC)       At the open (ATO)
                                                                                       At the Close (ATC)
                                                                                     Good for Auction (GFA)

                                                                                    Good for Intra-day Auction
                                                                                              (GFX)




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                                            A                               C

 Live
 Orders:
                                    Order Book Trading                 Auction Call   Uncrossing
 Parked
 Orders:
                                           B

  Live orders entered at point A have highest time priority
  Parked orders entered at point B have lower time priority than ‘A’, but higher than ‘C’
  Live orders entered at point C have lower time priority than ‘A’ or ‘B’




Basket Messages

Basket message simplify the process of entering multiple orders through the use of a single message.

Each individual order must belong in the same Segment (as Segment Code is identified in the message header).
The basket message will be acknowledged by the trading system with a “Acknowledge Basket Instruction for
Enter Order‟. Each order will be processed and acknowledged individually and each will be provided with
individual order codes. These acknowledgements may consist of failure conditions for those orders that fail
validation (instrument not in Segment etc).

It is possible to submit a basket modification message. This will however, be treated as individual modifications
to the orders specified in the message. Similarly a basket of order deletes can be submitted using the „Basket
Instruction for Order delete‟ message.

This has not yet been enabled for the JSE market



Order Modification

With the implementation of JSE SETS, users were able to modify the client reference field on orders without
losing price/time priority. They had to delete and re-enter an order if they wanted to change the price or volume of
the order. A subsequent release of JSE SETS introduced order modification functionality that allows users to
modify existing orders on the order book with a single input message. This functionality applies to all persistent
order types: limit orders, market orders, committed principal orders* and firm exposure orders*.
* not implemented in JSE market

The existing order entry and deletion functionality should continue to be used to enter new orders and delete
existing orders, while order modification should only be used where users want to change the price and / or
volume of an existing order.

For the first time, users will be able to modify the price and / or volume of their existing orders without having to
delete the order and then enter a brand new order. When the order size is changed to be greater than the
maximum order size, the order modification is rejected, whereas when the order size is less than the minimum
size requirement it is accepted although it merely effects a deletion of the existing order.

Furthermore, with the introduction of JSE TradElect™ in April 2007, an order will no longer lose its price/time
priority if the volume of the order is modified and is less than the original order.

Below are a few examples illustrating various order modification scenarios as well as whether the price/time
priority of the order is affected:

    Example 1: Firm successfully updates order price (absolute change) and size



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    (relative change)

    Order book before modification

                                               BUY
                                           Price   Time             Size
                          Order A          209     10:01           1,500
                          Order B          209     10:05           2,300
                          Order C          208     10:06           5,000

    Firm XYZ decide to modify their buy order A to a new price of 208 and to increase their
    order size by 3,500. After successful order modification, order A’s price is successfully
    changed and the order is assigned a new time stamp. The order book will look as
    follows:


                                               BUY
                                           Price   Time            Size
                          Order B          209     10:05           2,300
                          Order C          208     10:06           5,000
                          Order A          208     10:08           5,000

    Example 2: Order size modification immediately follows a partial execution and
    order is deleted
    Order book before modification

                                               BUY
                                           Price   Time            Size
                          Order A          209     11:01           1,500
                          Order B          209     11:05           2,300
                          Order C          208     11:06           5,000

    Firm XYZ decide to decrease their buy order A by entering a relative size of -500.
    Moments before the order modification message is sent, an aggressive order of 1,200
    executes against order A. Because the effective order size following execution is 300,
    reducing this size by 500 will take the order size to below zero. Thus, order
    modification is processed as a deletion because the order size is below zero and the user
    is sent an order modification acknowledgement with a blank Advisory Code as the
    remaining order size is less than zero.
    Order book after modification

                                               BUY
                                           Price   Time            Size
                          Order B          209     11:05           2,300
                          Order C          208     11:06           5,000

    Example 3: Order price and size modification immediately follows a partial
    execution and order is updated
    Order book before modification

                                               BUY
                                           Time    Size            Price
                          Order A          11:06   5,000           209
                          Order B          11:07   2,300           209
                          Order C          11:06   3,500           208

    Firm XYZ decide to decrease their buy order A by entering a relative size change of -500
    and also decide to change the order price to 208. Moments before the order


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    modification message is sent, an aggressive order of 3,000 executes against order A
    (i.e. execution occurs before the order modification). Because the effective order size
    following execution is greater than zero and above the minimum order size, the order
    modification is successful and firm XYZ are sent an order modification acknowledgement
    message and the order is updated accordingly.
    Order book after successful modification

                                                BUY
                                            Time    Size            Price
                          Order B           11:07   2,300           209
                          Order C           11:06   3,500           208
                          Order A           11:08   1,500           208

    Example 4: Firm successfully updates order size (relative)

    Order book before modification


                                               BUY
                                           Time    Size            Price
                        Order A            11:07   2,300           209
                        Order B            11:06   3,500           208
                        Order C            11:08   1,500           208

Firm XYZ decide to modify their buy order A to decrease their order size by 500. After successful order
modification, order A‟s size is successfully changed and the order retains its price/time priority. The order book
will look as follows:

                                               BUY
                                           Time    Size            Price
                        Order A            11:07   2,300           209
                        Order B            11:06   3,500           208
                        Order C            11:08   1,500           208


Modification of a GTC order

Any modification to a GTC, except the client reference number, after the original order entry date, will result in a
new expiry date being calculated by the system or that order.

Client Reference Modification

Members will be able to update the Client Reference field both for orders on the book and for recently executed
orders. The Client Reference field will hold the valid 7 digit numeric BDA Client Account number. Note that price-
time priority will be maintained for the order.

The details of this process are as follows:

(1) A Modify Client Reference message should be submitted via the Secure Interactive Interface, containing the
Order Code of the order to update and the new client reference field. If the message is not received either while
the order is still on the book or on the same day as the order was last executed, it will be rejected. It will also be
rejected if the member and functional market segment in the header message do not correspond to those on the
original order. Note that client reference modification messages will be rejected for orders which were deleted
prior to execution, rejected on entry or traded completely on previous days.

(2) If the order is held on the trading system‟s order book, the Client Reference will be updated on the order. The
trading audit of member modifications must be maintained within the member's front end, as this audit trail will not
be recoverable in the member's own order book download, in the event that the member needs to recover its
order book.



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(3) Entry of Modify Client Reference Messages will be configurable at functional market segment level. They may
be entered at any time between the start and end of trade reporting for the segment.

                                                           Step 1:
                                                            Modify Client Reference

                                     Participant A                    5MF                                         .
          .
                                   Modify Order details                                   TradElect™
                                               –
                                     Order Code 123                                                  –
                                                                                           Order Code 123
                                    Client Ref– ABC                         5M5             Client Ref ABC
                                                                      Step 2:              Client Ref – XYZ
                                                                      Acknowledgment of
                                                                      Modify Client Reference




                                                                                           Client Reference
                                                                                            Modification

                                                                        l
                            Figure 2: Client Reference Modification on order message flow




                                                Step 1:
                                                 Modify Client Reference

                           Participant A                  5MF                                                 .
 .
                         Modify Order details                                     TradElect™
                                     –
                           Trade Code 123                                                   –
                                                                                  Trade Code 123
                           Client Ref– ABC                      5M5               Client Ref ABC
                                                          Step 2:                 Client Ref – XYZ
                                                          Acknowledgment of
                                                          Modify Client Reference




                                                                                  Client Reference
                                                                                   Modification

                                                            l
                           Figure 3: Client Reference Modification on trade message flow




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                                               Step 1:
                                                  Modify Order Details

                           Participant A               5MO                                        .
 .                       Decrease order size
                                                                              TradElect™
                                     –
                           Order Code 123                                                –
                                                                               Order Code 123
                                   –
                          Order size 5000                     5M5             Order size– 5000
                                                                                         -
                                                       Step 2:                  Order size 3000
                                                         Acknowledgment of
                                                         Order detail modification




                                                                           Decrease order size


                                                          l

                        Figure 4: Modify Order Details – decrease in order size message flow


                                               Step 1:
                                                  Modify Order Details

                           Participant A               5MO                                        .
 .                       Increase order size
                                                                              TradElect™
                                     –
                           Order Code 123                                     Order Code – 123
                                   –
                          Order size 5000                     5M5             Order Code 456
                                                                              Order size– 5000
                                                                                         -
                                                       Step 2:
                                                                                Order size 7000
                                                         Acknowledgment of
                                                         Order detail modification




                                                                           Increase order size


                                                          l

                         Figure 5: Modify order details – increase in order size message flow




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                                              Step 1:
                                                 Modify Order Details

                           Participant A              5MO                                                         .
 .                       Change order price
                                                                             TradElect™
                                     –
                           Order Code 123                                    Order Code – 123
                                    –
                          Order price 500                    5M5             Order Code 456
                                                                                       –
                                                                             Order price - 500
                                                      Step 2:
                                                                               Order price 650
                                                        Acknowledgment of
                                                        Order detail modification




                                                                          Change order price


                                                         l
                          Figure 6: Modify Order Details – change order price message flow



Private order codes

All order types have different public and private codes, with the private order code remaining constant for the life
of the order.

A modified order will always retain the same private order code; however it will be allocated a new public order
code following any change in price or an increase in size. In this case the modified order will be published to the
market with the new public order code following the removal of the original order.

Price/time priority

Previously, any change in size of an order would result in the loss of price/time priority. In the current equity
trading system, time priority will only change if the visible volume has increased. A reduction in volume does not
change price/time priority as shown below:

                                              Previous Trading System                            Current Trading System
                                       The order will lose time priority                    The order will lose time priority
     Order size is increased           Private order code is updated                        Private order code is maintained
                                       Public order code is updated                         Public order code is updated
                                       The order will lose time priority                    The order will maintain time priority
     Order size is decreased
                                       Private order code is updated Public                 Private order code is maintained
                                       order code is updated                                Public order code is maintained

Please note: A reduction of the size of the order does not result in a loss of the order‟s price/time priority. The
private order code is maintained throughout the life of the order.

Pre-Trade Disclosure

There is no pre-trade disclosure of member details on the JSE equity market (i.e. only order details will be seen,
but not the identity of the members who entered the orders). For manually reported trades (not automatically
matched by the system), that involves two members, obviously these members are aware of who they are trading
with,




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Post-Trade Disclosure

Thereis no post-trade disclosure of member details on the JSE equity market (i.e. the market will only see the
details of the trade but not the identity of the members that have traded). Manually reported trades (not
automatically matched by the system), ,

Order Parameters

The following parameters must be submitted on an order:

       Dealing Capacity: Orders must be submitted in either an agent or principal capacity as indicated in the
        “JSE Data Formats Field Definitions” specifications.

       Order Size: No of shares to be bought or sold

       Order Price: Price at which shares are to be bought or sold in ZAC (South African cent) (excluding
        Market Orders)

       Trader Group: The member will specify a Trader Group in the relevant fields as indicated in the “JSE
        Data Formats Field Definitions” specifications

       Trader ID: The member will specify a valid trader ID in the relevant fields as indicated in the “JSE Data
        Formats Field Definitions” specifications.

       Buy Or Sell Indicator

       BDA Client Account: A valid BDA Client Account code must be specified in the relevant fields as
        indicated in the “JSE Data Formats Field Definitions” specifications.

       Validity: Execution Or Period based

Manual Trade Parameters

       Converted Price Indicator: The Rand Indicator may be specified using the converted price indicator on
        the relevant manual reported trade. Indicates whether the price and currency entered on a trade report is
        the price and currency in which the transaction was dealt, or whether conversion into the valid currency
        for the tradable instrument has occurred. Possible values of this field can be found in the “JSE Data
        Formats Field Definitions” specifications.

       Dealing Capacity: Orders must be submitted in either an agent or principal capacity as indicated in the
        “JSE Data Formats Field Definitions” specifications.

       Trade Size: No of shares to be bought or sold

       Trade Price: Price at which shares are to be bought or sold in ZAC (South African cent) (excluding
        Market Orders)

       Trader Group: The member will specify a Trader Group in the relevant fields as indicated in the “JSE
        Data Formats Field Definitions” specifications

       Trader ID: The member will specify a trader ID in the relevant fields as indicated in the “JSE Data
        Formats Field Definitions” specifications.

       Buy Or Sell Indicator:

       BDA Client Account: A valid BDA Client Account code must be specified in the relevant fields as
        indicated in the “JSE Data Formats Field Definitions” specifications.

       Trade Type: e.g. WX, TX, OX



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       Participant code: „INTRAFIRM‟ for Single sided trade reports Or the opposite member‟s „PARTICIPANT
        CODE‟ (BIC code) for dual sided trade reports

1.7.3 Trade Types

The following trade types are the only trade types available on the JSE and NSX markets and, where manually
generated, must be captured by participants:

           Trade Type                     Description                     Manual / Automatic
               AT            Automated Trade                           Automatic
               UT            Uncrossing Trade                          Automatic
               SS            Settlement Specified Trade*               Manual
               CF            Corporate Finance Trade                   Manual
               OX            Option Exercised                          Manual
               LT            Late Trade (After hours trade)            Manual
               PF            Portfolio Trade                           Manual
               BT            JSE Block Trade                           Manual
              WX             Warrant Exercised                         Manual
               TX            Traded Option Exercised                   Manual
               CT            Contra Trade                              Automatic
               PC            Post Contra Trade                         Manual
               OP            Off Order Book Principal Trade            Manual
               NX            Namibia Trade**                           Manual
               OD            Delta Trade                               Manual
               GU            Give Up Trade                             Manual
               BK            Bookbuild Trade                           Manual

* - Not included in Release 1
** - NSX report-only trade for a trade that executed on the JSE market

Note: An Automated Trade (AT) is generated from automatic execution during continuous trading and an
Uncrossing Trade (UT) is generated from automatic execution during the price determination phase of an auction.
The AT and UT trade types replaced the Main Board (MB) trade types of the old JSE trading environment.
Further, Arbitrage Trades (previously AT) and Overseas Counterparty Trades (OC) are no longer used in
the JSE or NSX environment. Users should ensure that the addition of new trade types or amendments to
existing ones is parameterised according to JSE rules (6.10).

Definitions of JSE Trade Types

Auction Trade (UT)
A transaction matched automatically in the JSE trading system during auction matching

Automated Trade (AT)
A transaction matched automatically in the JSE trading system during continuous trading

Block Trade (BT)
A transaction where a broking member (equities) trades as agent or principal in a single equity security and the
transaction:
has a minimum value of R5 million; and
comprises of at least twenty times normal market size

Contra Trade (CT)
A transaction to correct an erroneous trade that is equal and opposite to a previously matched automated or
auction trade that is entered on the same business day as the original trade

Corporate Finance Transaction (CF)
A transaction which must be entered into in writing;
requires public notification in the press; and
complies with the requirements of transaction categories 1 or 2 or 3 of Section 9 of the Listing Requirements of
the JSE


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Late Trade (LT)
A transaction where a broking member (equities) trades after trading hours and where the transaction is –
executed by a member acting on behalf of a client, in fulfilment of an order already entered into the JSE equities
trading system, and where either the buyer or the seller is a foreign professional market participant; or
executed by a member for a professional market participant, in fulfilment of an order received prior to the end of
the closing auction call period, at a price which can only be established after the closing auction call period; or
executed by a member for on behalf of a professional market participant, in fulfilment of an order received after
trading hours, where the buyer or the seller is a foreign professional market participant

Off order book principal trade (OP)
A transaction where a broking member (equities) trades as a principal in a single security where the transaction:
has a minimum value of R500,000; and
comprises at least six times the normal market size (EMS);
except where the transaction is with a foreign professional market participant in which case no minimum value or
quantity of securities will apply

Delta Trade (OD)
A transaction where a member trades as a principal with another member, who also trades as a principal, in a
single equity security where the transaction transfers the delta hedge from one member to another member in
respect of a derivative transaction which has been reported to either the JSE derivatives trading system or the
derivative trade recording system referred to in the JSE directives

Option Exercised (OX)
When the owner of an OTC option which is NOT traded in the secondary market exercises his or her right to buy
or sell shares.

Portfolio Trades (PF)
A transaction where a broking member (equities) trades as agent or principal in a list of equity securities which
has a minimum value of R15 million; and
comprises at least 10 different securities none of which exceeds 25% of the total value of the portfolio

Post contra trade (PC)
A transaction to correct an erroneous trade that is equal and opposite to a previously matched automated or
auction trade that is entered on the business day following the original trade

Traded Option Exercised (TX)
When the owner of a traded option exercises his or her right to buy or sell shares.

Warrant Exercised (WX)
When the owner of a warrant exercises his or her right to buy or sell shares.




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Give Up Trade (GU)
A give-up trade is a transaction where a member trades in a single equity security as a principal with another
member, who trades either as an agent on behalf of a client or as a principal for that member‟s own account. The
purpose of a give-up trade is to pass a trade that has been executed by the first member (“executing member”) on
the same day or the previous day to the second member (“receiving member”) at the price of the original trade.
The trade that is given up to the receiving member must have originally been executed by the executing member
with the intention of giving it up to the receiving member.

The only reported transactions that may be the subject of a give-up trade are late trades executed in accordance
with the provisions of rules 6.40.7.1, 6.40.7.3 or 6.40.7.4. The executing member and receiving member may
give effect to these late trades by means of the executing member trading after hours with a foreign professional
market participant and giving up that trade to the receiving member who is either acting on behalf of a client in
terms of rules 6.40.7.1 or 6.40.7.3 or trading as a principal for its own account in terms of rule 6.40.7.4. The
executing member must report the transaction with the foreign professional market participant as a late trade.

A give-up trade may be used to give effect to an arrangement whereby one member has outsourced its trading
function on a temporary basis to another member, provided that such arrangement has been approved by the
Director: Surveillance and all such transactions are recorded in a dedicated stock account by the executing
member.


Bookbuild Trade (BK)

A bookbuild trade is a transaction where a member trades in a single equity security as an agent or a principal
with another member in order for the second member or its clients to participate in a bookbuild. The member
managing the bookbuild must advise the Director: Surveillance of the bookbuild prior to reporting a bookbuild
trade.




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1.7.4 Trading Phases
The table below depicts the default period schedule for the JSE market and the functionality allowed during each phase:

 Period
                     Period Description                  Time (SAST)       ZA01          ZA02          ZA03          ZA04          ZA05            ZA11        Functionality Allowed
 Code
                                                                                                                                                               View open orders, view
  OPN     JSE Open                                       08h30 – 08h35   All Sectors   All Sectors   All Sectors   All Sectors   All Sectors    All Sectors     expired orders, enter
                                                                                                                                                                    trade reports
                                                                                                                                                               Order entry(normal and
                                                                                                                                                                    parked), Order
 OPAC     Opening Auction (with price monitoring)        08h35 – 09h00   All Sectors      N/A           N/A           N/A           N/A            N/A           modification, Order
                                                                                                                                                               deletion, enter reported
                                                                                                                                                                        trades
                                                                                                                                                               Order entry(normal and
                                                                                                                                                                    parked), Order
 OGAC     Opening Auction (with price monitoring)        08h35 – 09h00      N/A        All Sectors      N/A           N/A           N/A            N/A           modification, Order
                                                                                                                                                               deletion, enter reported
                                                                                                                                                                        trades
                                                                                                                                                               Order entry(normal and
                                                                                                                                                                    parked), Order
 ONAC     Opening Auction (without price monitoring)     08h35 – 09h00      N/A           N/A        All Sectors      N/A        All Sectors    All Sectors      modification, Order
                                                                                                                                                               deletion, enter reported
                                                                                                                                                                        trades
                                                                                                                                                               Order entry(normal and
                                                                                                                                                                    parked), Order
                                                                                                                                                                 modification, Order
 ONAC     Opening Auction (without price monitoring)     08h35 - 09h10      N/A           N/A           N/A        All Sectors      N/A            N/A
                                                                                                                                                               deletion, enter reported
                                                                                                                                                                  trades, automatic
                                                                                                                                                                      matching
                                                                                                                                                               Order entry(normal and
                                                                                                                                                                    parked), Order
                                                                                                                                                                 modification, Order
  COT     Continuous Trading (with price monitoring)     09h00 – 16h40   All sectors   All Sectors      N/A           N/A           N/A            N/A
                                                                                                                                                               deletion, enter reported
                                                                                                                                                                  trades, automatic
                                                                                                                                                                      matching
                                                                                                                                                               Order entry(normal and
                                                                                                                                                                    parked), Order
          Continuous Trading (without price                                                                                                                      modification, Order
 CTDG                                                    09h00 – 16h40      N/A           N/A        All Sectors      N/A        All Sectors    All Sectors
          monitoring)                                                                                                                                          deletion, enter reported
                                                                                                                                                                  trades, automatic
                                                                                                                                                                      matching
                                                                                                                                                               Order entry(normal and
                                                                                                                                                                    parked), Order
          Continuous Trading (without price
 CTDG                                                    09h10 - 16h50      N/A           N/A           N/A        All Sectors      N/A            N/A           modification, Order
          monitoring)
                                                                                                                                                               deletion, enter reported
                                                                                                                                                                        trades
                                                                                                                                                               Order entry(normal and
                                                                                                                                                                    parked), Order
                                                                                                                                               N1H2 / N1M2 /     modification, Order
  IDAC    Intra-day Auction (without price monitoring)   12h00 – 12h15      N/A           N/A        All Sectors      N/A        All Sectors
                                                                                                                                                  N1L2         deletion, enter reported
                                                                                                                                                                  trades, automatic
                                                                                                                                                                      matching
                                                                                                                                                                     Order entry(normal and
                                                                                                                                                                          parked), Order
           Continuous Trading (without price                                                                                                         N1H2 / N1M2 /     modification, Order
  CTDG                                                   12h15 - 16h40         N/A           N/A        All Sectors         N/A        All Sectors
           monitoring)                                                                                                                                  N1L2         deletion, enter reported
                                                                                                                                                                        trades, automatic
                                                                                                                                                                            matching

 Period
           Period Description                             Time (SAST)         ZA01          ZA02          ZA03             ZA04          ZA05            ZA11        Functionality Allowed
 Code

                                                                                                                                                                     Order entry(normal and
                                                                                                                                                                          parked), Order
           Continuous Trading with VWAP (with price                                                                                                                    modification, Order
  CVWP                                                   16h40 – 16h50      All Sectors   All Sectors      N/A              N/A           N/A            N/A
           monitoring)                                                                                                                                               deletion, enter reported
                                                                                                                                                                        trades, automatic
                                                                                                                                                                             matching
                                                                                                                                                                     Order entry (normal and
                                                                                                                                                                          parked), Order
           Continuous Trading with VWAP (without                                                                                                                       modification, Order
  CVAP                                                   16h40 – 16h50         N/A           N/A        All Sectors         N/A        All Sectors    All Sectors
           price monitoring)                                                                                                                                         deletion, enter reported
                                                                                                                                                                        trades, automatic
                                                                                                                                                                             matching
                                                                                                                                                                       Order deletion, order
                                                                                                                                                                        modification, enter
                                                                                                                                                                      reported trades, enter
  ECTG     End of Continuous Trading                     16h49 - 18h00         N/A           N/A           N/A           All Sectors      N/A            N/A
                                                                                                                                                                        parked orders for
                                                                                                                                                                        injection the next
                                                                                                                                                                           business day
                                                                                                                                                                     Order entry(normal and
                                                                                                                                                                          parked), Order
  CLAC     Closing Auction (with price monitoring)       16h50 – 17h00      All Sectors      N/A           N/A              N/A           N/A            N/A           modification, Order
                                                                                                                                                                     deletion, enter reported
                                                                                                                                                                              trades
                                                                                                                                                                     Order entry(normal and
                                                                                                                                                                          parked), Order
  CLUC     Closing Auction (with price monitoring)       16h50 – 17h00         N/A        All Sectors      N/A              N/A           N/A            N/A           modification, Order
                                                                                                                                                                     deletion, enter reported
                                                                                                                                                                              trades
                                                                                                                                                                     Order entry(normal and
                                                                                                                                                                          parked), Order
  CGAC     Closing Auction (without price monitoring)    16h50 - 17h00         N/A           N/A        All Sectors         N/A        All Sectors    All Sectors      modification, Order
                                                                                                                                                                     deletion, enter reported
                                                                                                                                                                              trades
                                                                                                                                                                       Order deletion, order
                                                                                                                                                                        modification, enter
                                                                                                                                                                      reported trades, enter
  RNOF     Runoff                                        17h00 – 18h00      All Sectors   All Sectors   All Sectors         N/A        All Sectors    All Sectors
                                                                                                                                                                        parked orders for
                                                                                                                                                                        injection the next
                                                                                                                                                                           business day


  CLSD     Close                                             18h00          All Sectors   All Sectors   All Sectors      All Sectors   All Sectors    All Sectors

                                                                                                                                                                        View open orders
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  ADPD     Administration Period                        18h01          All Sectors   All Sectors   All Sectors      All Sectors   All Sectors   All Sectors

                                                                                                                                                              None


  EADP     End of Administration Period                 18h15          All Sectors   All Sectors   All Sectors      All Sectors   All Sectors   All Sectors

                                                                                                                                                              None
  None     Trade Reporting                          08h30 – 18h00      All Sectors   All Sectors   All Sectors      All Sectors   All Sectors   All Sectors




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The equities market is configured to support the following key phases throughout the trading day:

Open (08h30 to 08h35)
This period lasts for five minutes and allows for the automatic deletion of all orders that expired overnight. No
participant activity is allowed during this period. This also allows for the deletion of parked limit and market
orders.

Opening Auction (08h35 to 09h00)
The auction consists of the following periods:

1) Call Period
Each auction begins with a call period. The market participants are able to enter new orders as well as modify
and delete their existing orders. Each participant firm may enter as many orders in the order book as it wishes.
Information on the current state of the public order book (e.g. indicative executable volume, indicative executable
price), as well as details of each individual order is disseminated throughout the call period,

At the end of the scheduled auction call period an additional random period (30 seconds for JSE and NSX
segments), will run prior to the start of price determination in order to limit market manipulation. This random
period will apply to all instruments within a sector.

2) Auction Call Period Extensions
There are certain times when unusual events occur in auction calls and to minimise their impact and lead to
optimal price formation and auction execution the events need to be brought to the attention of the market. This
will be achieved through implementing auction call extensions.

There are two types of extensions:
1. Price Monitoring Extension - if the likely execution price at the end of the normal auction call lies outside
   defined tolerances from the last traded price then the auction call could be extended for a certain period of
   time to increase the likelihood that the price movement might be reduced. If no execution can take place
   during price determination, it is not possible to enter a price monitoring extension.
2. Market Order Extension - if market orders within the order book are not executable or only partially
   executable (i.e. there is a market order surplus) at the end of the call period, the call period could be
   extended for a certain time in order to increase the execution probability of market orders in auctions.

Price Monitoring extensions last for a period of five minutes, while Market Order extensions last for two minutes.
There can be a maximum of two consecutive extensions (except for Closing Auctions, where a maximum of three
extensions can occur). After two extensions, irrespective of what has occurred during the auction, price
determination and execution will take place. The possible combinations of auction extensions for the Opening
Auction are shown in the table below.
                     st                          nd                        rd
                   1 period                  2 period                    3 period
            Market Order               Matching                    -
            Price Monitoring           Matching                    -
            Market Order               Price Monitoring            Matching
            Price Monitoring           Market Order                Matching

3) Price Determination Period
The auction price is the price with the maximum executable volume. If this is not unique, the minimum surplus,
the market pressure and, if necessary, the reference price are additionally taken into account in establishing the
auction price.

After price determination is concluded, the participants whose orders are executed (in part or in full) are informed
by a message confirming each execution that has occurred and detailing all relevant trade information. Note that
price determination does not occur during the auction call period, but rather at the start of the trading period
following the auction. Figures 3 and 4 (below and overleaf) show the make-up of a typical auction period and the
conditions for auction call extensions, respectively.
                             ~ 5 – 30 min                 ~ 0 – 30             Instantaneous
                                                            secs
                   (depending on requirements)


                                                         Random               Price
                               Call                        End            Determination




          Orders can be                               Call phase ends              Order book frozen while
         entered, modified                          randomly to ensure             matching algorithm is run
           and deleted.                               market fairness



                                            Figure 3: Typical phases of an auction




                                 Figure 4: Price Monitoring and Market Order Extensions


Note: In-depth examples for further clarification can be found in the Auction Functionality Example Guidance
Note of the “JSE Trading and Information Systems Specifications” set of documents. The Opening Auction
functionality is used in the following situations:
 When a suspended instrument is restored after being suspended (25 minute auction call);
 When new instruments are introduced to the market (25 minute auction call without price monitoring and the
    prevention of Market Orders (MO's) being entered); and
 When a segment / sector / instrument is re-opened after a halt (auction call length dependent on nature and
    duration of halt).


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Continuous Trading Period (09h00 to 16h40)
Once the price determination process for each instrument is complete, continuous trading in that instrument
begins and orders can be entered, maintained and deleted as before. All un-executed orders from the opening
auction are forwarded to continuous trading unless otherwise restricted by the market participant through use of
an expiry time field.

During Continuous Trading, each new incoming order is checked for matching against orders already on the
book. If a match is found, orders in the order book are matched according to price-time priority. Following an
order match, details of the trade (but not the details of the participants involved) will be immediately published to
the market.

If, trade by trade, the price of an instrument moves by greater than a defined percentage (set at segment level),
then that instrument will temporarily be moved into an override period or volatility auction. The details of this are
covered in Section 1.7.5

Continuous Trading with VWAP Period (16h40 to 16h50)
The VWAP (Volume Weighted Average Price) period functions identically to continuous trading and makes up the
last ten minutes prior to the closing auction. A background calculation is performed during the period to calculate
a VWAP, which will be used as the closing price if one cannot be determined during the closing auction. The
details of this calculation are covered in Section 1.4.7.

The VWAP period is configured to allow for volatility interruptions (price monitoring overrides). If such an
interruption occurs, the instrument concerned will move into an extended Closing Auction period, lasting from the
time of the interruption until the normal end of the Closing Auction. If a volatility interruption occurs just prior to
the VWAP period and it's duration carries over into the VWAP period, then any trades resulting from the
uncrossing after the interruption will not be included in the VWAP calculation.

Note: There is a separately maintained VWAP calculation that disseminates the VWAP from Trades, based on
automatically executed order book trades, to the market as it changes throughout the trading day.

Optional Intra-day Auction Period(s) (12h00 to 12h15)
A single intra-day auction will be used in some of the sectors of the ZA03 and ZA11 market segments in an
attempt to focus liquidity on some of the JSE and NSX less liquid instruments.

End of Continuous Trading (16h49 – 18h00)

End of Continuous trading is a period much the same as the closing auction during which the closing prices for
Warrants and Investment products is determined. The difference lies in the price determination methodology
which is based on the best bid or offer. During this period persistent orders can be deleted, but no new orders
can be entered. Only the Client Reference field for existing orders can be modified.

Closing Auction Period (16h50 to 17h00)
The closing auction is very similar to the opening auction and, starting with a 10 minute call period, is used to
determine the closing price for the day. A difference to the Opening Auction lies in the number of auction call
extensions that are possible - up to three extensions can occur at the end of the Closing Auction call, with a
maximum of two price monitoring extensions and one market order extension. The Price Monitoring extensions
have a duration of five minutes, while Market Order extensions have a duration of two minutes. The possible
combinations of auction extensions for the Closing Auction are shown in the table below.
              st                           nd                          rd                        th
            1 period                     2 period                      3 period                 4 period
     Market Order                 Matching                     -                        -
     Price Monitoring             Matching                     -                        -
     Market Order                 Price Monitoring             Matching                 -
     Price Monitoring             Market Order                 Matching                 -
     Price Monitoring             Price Monitoring             Matching                 -
     Market Order                 Price Monitoring             Price Monitoring         Matching
     Price Monitoring             Market Order                 Price Monitoring         Matching

If no price can be determined during a Closing Auction, then the VWAP is used as the closing price. If no VWAP
could be determined during the VWAP period, then the last automated trade (LAT) price is used as the closing
price for all segments except ZA04.


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Post-trading Runoff Period (17h00 to 18h00)
The post-trading runoff period is an order book management period in which market participants can perform
housekeeping activities. In this period any existing persistent orders can be deleted, but no new orders can be
entered. Only the client reference field of existing orders can be modified.

All persistent orders on the book that have not been deleted, expired or fully matched will be carried forward to
participate in the next day's opening auction.

Note that persistent orders due to expire overnight GTC or GTT (i.e. 23:59) will only expire at the onset of the first
period of the day; for JSE markets at the start of the Open (OPN) period.

Administration Period (18h01 to 18h15)
After the Run-off period the order book is no longer accessible by market participants, but an exchange
Administration Period begins where-in the exchange is able to delete orders if required, as well as complete other
administrative tasks.

Note: Other temporary periods may exist between the periods shown here to facilitate the efficient progression of
the trading day.

1.7.5 Matching Rules

Continuous Trading

Note: No persistent market order types are allowed to be entered during continuous trading i.e. only market order
types with “Fill or Kill” and “Execute and Eliminate” execution constraints (as well as all limit order types) will be
allowed during continuous trading. Any reference to market order types in this section thus refers to the non-
persistent market orders only. All types of limit orders can, however, be entered during this phase.

Each new incoming market or limit order is immediately checked for execution against orders on the other side of
the order book. Orders can be executed fully in one or more steps, partially or not at all. Thus, each new incoming
order may generate no, one or several trades. Orders in the order book will be executed according to the price-
time priority principle.

Orders or parts thereof which have not been executed are sorted in the order book according to price-time priority
and aggregated at each price.

Price determination in continuous trading is carried out according to the following rules in addition to the price-
time priority:

Rule 1:       If an incoming market order or limit order meets an order book in which there are only limit orders on
              the other side, the highest bid limit or lowest ask limit, respectively, in the order book determines the
              price for the executable volume of the market order. If the incoming order is not fully matched at this
              price, the next limit order makes the price – and so on.

Rule 2:       If an incoming market order meets an order book in which there are only market orders on the other
              side, this market order is executed at the reference price (as far as possible with regard to the
              quantity).

Rule 3:       If an incoming market order meets an order book in which there are market orders and limit orders
              on the other side, or
              if an incoming limit order meets an order book in which there are only market orders on the other
              side, or
              if an incoming limit order meets an order book in which there are market orders and limit orders on
              the other side,
              then the incoming order is executed against the market orders in accordance with the price-time
              priority with respect to non-executed bid market orders at the reference price or higher (at the
              highest limit of the executable orders) or at the reference price or lower (at the lowest limit of the
              executable orders) with respect to non-executed ask market orders.




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Market orders that have not been executed and have been added to the order book must be executed
immediately with the next transaction, if possible. In this case, execution is carried out at one of the following
prices, according to which is the best price for the incoming order:

     The reference price (i.e. the price at which the last automated trade occurred or the price determined from the
      last auction period if this price is unavailable); or

     The best book price (if one or more limit orders are on the same side of the book as the market order); or

     The incoming limit price (if the incoming order is a limit order).

Trade Restrictions

No trade restrictions are imposed within the trading system on the matching of orders. Thus the automatic
execution through the order book of a buy and sell order from the same member will be permitted.

No matching restrictions are applied for Interested Party and Foreign trades. The resulting trades, however, will
be subject to appropriate enquiries by the JSE and reporting to clients by the member firms.

Auction Trading

The auction price is determined on the basis of the order book position at the end of the call phase, as
determined in the Price Determination phase. The auction price is the price with the highest executable order
volume for each possible price in the order book. Market orders have priority over limit orders to reward liquidity
provision.

(1) Maximum Executable Volume

The largest possible volume of orders


(2) Minimum Surplus [if there is more than 1 price with equal value for (1)]

Should the price determination process determine more than one possible price with the highest executable order
volume, the lowest surplus for each possible price in the order book is taken into account as a further criterion.
The auction price is the price with the highest executable order volume and the lowest surplus for each possible
price in the order book.

(3) Market Pressure] if there is more than 1 price with equal values for (1) & (2)]

Should the price determination process determine more than one possible price with the highest executable order
volume and the lowest surplus for the determination of the auction price, the surplus is referred to for further price
determination:

(1)       The auction price is stipulated according to the highest possible price if the surplus for all possible prices
          is on the buy side (surplus of demand).

(2)       The auction price is stipulated according to the lowest possible price if the surplus for all possible prices is
          on the sell side (surplus of supply).




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(4) Reference Price [if there is more than 1 price with equal values for (1), (2) & (3)]

If the inclusion of the surplus does not lead to a single auction price, the reference price is included as an
additional criterion.

This may be the case if:

(1)      there is a surplus of offerings for one part of the possible prices and a surplus of demand for another part;
         or

(2)      there is no surplus for all possible prices.

In the first case, the lowest possible price with a surplus of offerings or the highest possible price with a surplus of
demand is chosen for further price determination. In both cases, the reference price is included for stipulating the
auction price if:

     the reference price is higher than or equal to the highest possible price, the auction price is determined
      according to this limit; or

     the reference price is lower than or equal to the lowest possible price, the auction price is determined
      according to this limit; or

     the reference price lies between the highest and lowest possible prices; the auction price equals the
      reference price.

Note: This section (“Auction Trading”) is reproduced with in-depth examples for further clarification in the Auction
Functionality Example Guidance Note of the “JSE Trading and Information Systems Specifications” set of
documents.

1.7.6 Price Monitoring and Market Integrity

To maintain orderly price formation there is a need to be able to apply automatic suspensions to trading or
volatility interruptions if the trade-by-trade price movement exceeds certain defined levels. This can be achieved
by making use of reference prices.

The Static Reference Price is defined as the price determined in the last auction, or if no trades were executed
in the auction, the price of the first automated trade following the auction. The Static Reference Price is only re-
adjusted during the trading day after auction price determinations so that it remains unchanged during continuous
trading.

The Static Price Range is defined around the Static Reference Price. The Static Price Range defines the
maximum percentage deviation of the indicative price from the Static Reference Price. The Static Price Range is
defined in the period rules and therefore would normally apply to all instruments in the sector following that
period. It is possible to set different ranges through the day by changing the parameter in different periods or to
place an instrument into its own override schedule for a day to give it different thresholds.

The Static Reference Price together with the Static Price Range is used to observe a major price movement
occurring in several small steps over a relatively large time span. No Static price monitoring will be used on
the JSE equity market at this stage. However, users should be aware that this could be introduced at a later
stage and they should therefore parameterise this functionality.

The Dynamic Reference Price is defined as the last traded price / automatic trade price of an instrument. It is
either determined in an auction or during continuous trading.

The Dynamic Price Range is defined around the Dynamic Reference Price. It defines the maximum percentage
deviation of the indicative price from the Dynamic Reference Price. The Dynamic Price Range is defined in the
period rules and therefore would normally apply to all instruments in the sector following that period.

The Dynamic Reference Price together with the Dynamic Price Range is used to detect large price movements
between intra-day prices (i.e. in a relatively short time span). Only Dynamic Price monitoring will be used by the
JSE to maintain the integrity of the market while ensuring that market forces are still free to drive demand.


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STATIC AND DYNAMIC THRESHOLDS EXAMPLE

   Price




                                                                          range (set by
                                                                                                                            Order Book




                                                                            Dynamic

                                                                             last AT)
                                                            +5%                                                             Trade Price

                                                                                                                            Static
                                                            -5%                                                             Threshold Limit




                                                                                          Static range (relative to
                                                                                            last auction price)
             + 10 %                                                                                                         Dynamic
                                                                                                                            Threshold Limit


                                                   Price Monitoring Interruption to
             - 10 %                                Continuous Trading since next
                                                   trade price would breach static
                                                                range




                                                                                Time
                              Figure 5: Static and Dynamic Price Monitoring Thresholds


A Volatility Interruption - the suspension of automated execution in continuous trading can be triggered when
the resulting execution price would lie outside the Static Price Range or outside the Dynamic Price Range. The
instrument is then moved into a suspension auction call. Although both volatility controls can be used, only
Dynamic Price Monitoring is enabled for the JSE and NSX markets at this stage.


The thresholds are defined by sector period rules and instruments can be moved into different periods to achieve
different thresholds; this can be performed intra-day. The Opening Auction for each day uses generally larger
price monitoring thresholds (which if breached invoke a price monitoring extension) to accommodate for overnight
activity. No price monitoring will be used during the quarterly Futures Close-outs (12h00 and 14h40). During
periods of extreme volatility, instruments can be moved into their own override schedules which have periods
defined with wider price monitoring thresholds. Auction calls may be extended after they have been invoked and
notice of this extension will be communicated to the market immediately. Again, it is imperative that users make
provision for this in their systems.

Volatility bands are defined at a sector level. The following price volatility bands have been defined for the JSE
market:

Segment        Sector Code                                        Opening Auction                                     Continuous Trading and
                                                                                                                          Other Auctions
ZA01           J1H1, J1H2, J1M1, J1M2, J1L1, J1L2                        10%                                                    5%
ZA02           J2H1, J2H2, J2M1, J2M2, J2L1, J2L2                        20%                                                   10%
ZA03           J3H1, J3M1, J3L1, J3S1, ALT                               None                                                 None
ZA04           J4S1, J4S2                                                None                                                 None
ZA05           NA01                                                      None                                                 None
ZA11           N1H1, N1H2, N1M1, N1M2, N1L1, N1L2                        None                                                 None

The volatility bands may be reviewed by the JSE from time to time




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1.7.7 Closing Prices

Closing prices for all segments except ZA04 will be formed based on the price at which trading has occurred in
the closing auction rather than by reference to the price of orders on the order book. In the event that there is no
closing auction execution then a Volume Weighted Average Price (VWAP) taken over the last 10 minutes of
trading leading up to the closing auction (a "VWAP period") is used. If no trading took place during the VWAP
period, the last automated trade price will be used. Note that trading during a VWAP period is no different from
continuous trading, except that the VWAP is calculated in the background based on the trades that are executed.

The basic fundamentals of the VWAP algorithm include the calculation of an average closing price based on the
volume traded, at each price, for order book trades within a functional market sector over a period of time.

This can be summarised by the following equation:

                         VWAP = (P1* V1) + (P2* V2) + (P3* V3) + … + (Pn* Vn)
                                                         VT
Where: Pn = price of trade n;
       Vn = volume of trade n; and
       VT = V1 + V2 + V3 + … + Vn.

Figure 6 below shows when the closing price would be based on Closing Auction Price, VWAP or Last
Automatically Executed Trade price.




                                    Figure 6: Price Monitoring in a Closing Auction

 Note: There is a separately maintained VWAP calculation that disseminates the VWAP from Trades, based on
       automatically executed order book trades, to the market as it changes throughout the trading day.


1.7.8   Closing prices for Warrants and Investment Products

The closing price for Warrants (WR) and Investment Products (IP) within functional segment ZA04 will be
determined based on the best bid or offer (BBO) methodology. The mid price is equal to the sum of the best bid
price and the best offer price divided by two, rounded up to be consistent with the relevant price format.

If at the time of price determination, there is only a best offer or only a best bid in the book, the closing price will
be determined by that best offer or best bid as a mid price cannot be calculated.

At the start of the End of Continuous Trading (ECTG) an additional random period (30 seconds) will run prior to
the start of price determination in order to limit market manipulation.


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It should be noted that the random period (30 seconds) when the order book is frozen still applies at the end of
the End of Continuous Trading (ECTG) period and therefore any orders placed after 16:49 will be excluded from
the price formation process.

Example 1:

At 16:49, the order book is as follows:

WARRANT XYZ

                          BUY                                                       SELL
Time                 Size                  Price                Price        Size                Time
13:53:22             10 000                50                   47           6000                12:01:49
10:00:20             500                   45                   53           8000                11:07:19


The closing price will be 49      (50+47)/2, rounded

Example 2:

At 16:49, the order book is as follows:

WARRANT XYZ

                          BUY                                                       SELL
Time                 Size                  Price                Price        Size                Time
13:53:22             10 000                50


The closing price will be 50

Example 3:

At 16:49, the order book is as follows:

WARRANT XYZ

                            BUY                                                     SELL
Time                 Size                  Price                Price        Size                Time
                                                                47           6000                12:01:49



The closing price will be 47

Example 4:

At 16:49, the order book is as follows:

WARRANT XYZ

                            BUY                                                     SELL
Time                 Size                  Price                Price        Size                Time




The last trade occurred at 13:30:22




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The closing price will be 0 – there is no bid or offer on the book at 16:49.
The same will happen if the last trade occurred on the day before.

Example 5:

At 16:49, the order book is as follows:

WARRANT XYZ

                          BUY                                                            SELL
Time                 Size                  Price                Price             Size              Time
13:53:22             10 000                50                   47                6000              12:01:49
10:00:20             500                   45                   53                8000              11:07:19


At 16:49:33, an order is entered to buy 100 000 @ 54

The closing price will be 49 - the new order is excluded as the random freeze period was already initiated at
16:49:30.

1.7.9 Trade Reporting and Publication

The trading system supports the reporting and publication of trades concluded outside the central order book.
Trades may be reported by one member using a single-sided trade report message or by both parties using the
dual-sided trade report functionality detailed in section 1.5.1. The trading system will not prevent the use of either
mechanism, except on a segment level for dual-sided trade reporting. It is not possible to submit a trade report
with the trade type set to an automated trade type (i.e. AT or UT). In all cases, both the selling and buying
dealing capacities (A or P) are required.

The start and end of trade reporting times are defined by the JSE Rules and Directives as 08h30 to 18h00 and all
trade reporting will be monitored by the JSE. The end of trade reporting time allows for trades to be reported
during the Post-trading Runoff Phase.

Normally reported trades will be published immediately and this is configured in the trading system as a
characteristic of the trade type. However, the trade type “OP” will be delayed by a time duration defined by the
JSE rules.

All manually reported trades may be back-dated by a maximum of 1 business day. In the event that the details of
the back-dated trade report is incorrect, it is imperative that users cancel this trade on the same day that it is
reported to ensure no impact to the settlement process.

Note: Fractions of a cent on Trade Reports is now supported. The JSE downstream systems only support a
maximum precision of 2. Further clarification can be found in the Catering for fractions of a cent on Trade Reports
Guidance Note, which forms part of the “JSE Trading and Information Systems Specifications” set of documents.

The following table summarises the reported JSE and NSX trade types and the associated key characteristics of
the proposed publication regime:

     Trade Name         Trade     Dealing          No. of      Dual /   Publication Delay Size      Segments
                        Type      Capacity         Firms       Single     Delay
                                                               Sided
    Automated            AT       A-A, A-P,        1 OR 2        N/A       None           None     ZA01, ZA02,
    Trade*                        P-A, P-P                                                           ZA03,
                                                                                                   ZA04,ZA05,
                                                                                                      ZA11
    Uncrossing           UT       A-A, A-P,        1 OR 2        N/A       None           None     ZA01, ZA02,
    Trade*                        P-A, P-P                                                         ZA03,ZA04,
                                                                                                   ZA05, ZA11




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     Trade Name         Trade     Dealing       No. of        Dual /     Publication Delay Size    Segments
                        Type      Capacity      Firms         Single       Delay
                                                              Sided
    Settlement           SS          N/A          N/A         Single        N/A         N/A           N/A
    Specified
    Trade**
    Corporate            CF       A-A, A-P,     1 OR 2        Single /     None        None       ZA01, ZA02,
    Finance Trade                 P-A, P-P                     Dual                                  ZA03,
                                                                                                  ZA04,ZA05,
                                                                                                     ZA11
    Option               OX       A-A, P-P,     1 OR 2        Single /     None        None       ZA01, ZA02,
    Exercised                     A-P, P-A                     Dual                               ZA03, ZA04,
                                                                                                  ZA05, ZA11
    Late Trade            LT      A-A, P-A,        1          Single       None        None       ZA01, ZA02,
    (After Hours                  A-P, P-P                                                        ZA03, ZA04 ,
    Trade)                                                                                        ZA05, ZA11
    Portfolio Trade      PF       A-A, P-A,     1 OR 2        Single /     None        None       ZA01, ZA02,
                                  A-P, P-P                     Dual                                 ZA03,
                                                                                                  ZA04,ZA05,
                                                                                                     ZA11
    Block Trade          BT       A-A, A-P,        1          Single       None        None       ZA01, ZA02,
                                  P-A, P-P                                                        ZA03, ZA04,
                                                                                                  ZA05, ZA11
    Warrant              WX       A-A, P-P,     1 OR 2        Single /     None        None       ZA01, ZA02,
    Exercised                     A-P, P-A                     Dual                                 ZA03,
                                                                                                  ZA04,ZA05,
                                                                                                     ZA11
    Traded Option        TX       A-A, P-P,     1 OR 2        Single /     None        None       ZA01, ZA02,
    Exercised                     A-P, P-A                     Dual                               ZA03, ZA04,
                                                                                                  ZA05, ZA11
    Asset Swap           AS       A-A, A-P,        1          Single       None        None       ZA01, ZA02,
                                  P-A, P-P                                                          ZA03,
                                                                                                  ZA04,ZA05,
                                                                                                     ZA11
    Namibia              NX          A-A           1          Single       None        None          ZA11
    Trade+
    Contra Trade*        CT       A-A, A-P,     1 OR 2          N/A        None        None       ZA01, ZA02,
                                  P-A, P-P                                                        ZA03, ZA04,
                                                                                                  ZA05, ZA11
    Post Contra          PC       A-A, A-P,     1 OR 2        Single /     None        None       ZA01, ZA02,
    Trade                         P-A, P-P                     Dual                               ZA03, ZA04,
                                                                                                  ZA05, ZA11
    Off Order Book       OP          P-P           1          Single       1 day      6 x EMS     ZA01, ZA02,
    Principal Trade                                                                                 ZA03,
                                                                                                  ZA04,ZA05,
                                                                                                     ZA11
    Delta Trade          OD          P-P           2           Dual        None        None       ZA01, ZA02,
                                                                                                    ZA03,
                                                                                                  ZA04,ZA05,
                                                                                                     ZA11
    Book Build***        BK       A-A, P-P,        2           Dual        None        None       ZA01, ZA02,
                                  P-A, A-P                                                          ZA03,
                                                                                                  ZA04,ZA05,
                                                                                                     ZA11
    Give Up***           GU       P-P, A-P,        2           Dual        None        None       ZA01, ZA02,
                                    P-A                                                             ZA03,
                                                                                                  ZA04,ZA05,
                                                                                                     ZA11



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* - Automatically Generated - no manual reporting required.
** - May be introduced during a later Release.
*** Not yet enabled in the production environment

+ - NSX report-only trade for a trade that executed on the JSE market

Note: Because AT and UT trades are system-generated and not manually reportable. Similarly, a CT is system-
generated using the matched contra trade process described in the section “Trade Cancellation”.
Note: Trading capacities are validated on JSE TradElect.


1.7.10 Trade Cancellation

Where a trade has been generated by order execution and is approved as an incorrect trade, then this should be
reversed (if on the same day as it traded) through the use of a Contra Trade. All requests for a Contra Trade will
have to be authorised by the JSE Surveillance Director as per the JSE Rules and Directives. If a Contra Trade is
authorised, then both parties to the trade will report a Contra Trade to the JSE trading system by submitting a
Contra Request message. These messages will be automatically matched in the trading system and will generate
a report to the market with a CT trade type. Automated trades that require cancellation on the day after trade date
will be cancelled via the use of the PC trade type upon authorisation by the JSE Surveillance Director – this trade
reversal is to be entered by the member as designated by the Director: Surveillance and as set out in the JSE
Rules and Directives.

Where a trade is the result of a reported trade then a transaction correction process applies. The member who
entered the trade report, or in the case of a dual-sided trade report, the member who initiated the process, can
correct the report-only transaction by submitting a “Cancel Trade Report” message into the system specifying the
required trade number. This does not generate a trade but disseminates a message from the trading system
notifying the JSE that the cancellation has occurred. If the original trade report was published to the market, the
cancellation of that trade report will be published. The member that submitted the “Cancel Trade Report”
message will receive an acknowledgement message to confirm that the trade has been successfully cancelled.

Note: No reversal (contra) or correction of any trade will be allowed more than one day after the original trade was
executed (i.e. from T+2 onwards).
In-depth examples for further clarification can be found in the Contra Trades, Post Contra Trades and Transaction
Corrections Guidance Note of the “JSE Trading and Information Systems Specifications” set of documents.

                             Step 1:                                          Step 2:
                            Contra trade request
                                  -                                                 -
                                                                              Contra trade request


             Participant            5CN                                               5CN            Participant
                                                           TradElect™
               A                                                                                       B
                                         5PH                                       5PH
                                   Step 3:                                 Step 4:
                                    Acknowledgment of                       Acknowledgement of
                                   contra- trade request                   contra- trade request

                                                                5OZ



                                                                 -
                                                           Contra Trade


                                                        TradElect™
                                       Figure 7: Contra Trade reporting message flow



1.8    JSE Trading Requirements




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1.8.1   Dual-sided Trade Reporting

As mentioned in the previous section, dual-sided trade reporting is required for the reporting of certain trade
types. The process catering for this can be summarised as follows:

i.      One member submits a trade report;
ii.     Details of the report are notified to the counterparty;
iii.    The counterparty accepts the trade (or takes no action if a rejection is required);
iv.     If accepted, the original member is notified of the confirmation; and
v.      If accepted, a matched trade report is generated.

The details of this process are as follows:

(1) The Reporting Mechanism field on the Enter Trade Details message will be used for members to request and
confirm the trade report. This field will have the following settings:
      'S' for a single-sided trade report;
      'R' for a dual-sided trade report request; and
      'C' for a dual-sided trade report confirmation.

The reporting member must leave the client reference field blank for the other counterparty on the Enter Trade
report message. Further, for all trade reports it is a requirement that the five digit Trader ID be entered into the
last five characters of the Client Reference field to ensure adequate surveillance by the JSE (further detail of this
field can be found in “JSE Data Formats Field Definitions” specifications document).

(2) With the exception of the Reporting Mechanism and counterparty's client reference, Member A's request will
be subject to the standard validation for single-sided trade reports. The Trade Code is allocated on receipt of
Member A's request and included in an unsolicited Dual-sided Trade Report Request / Confirmation message to
Member B. The unsolicited message will also contain all other trade details from the request, except for Client
Reference Buy / Sell and Dealing Capacity. No messages will be sent to the JSE Systems, the JSE Real-time
Feed or the market on receipt of Member A's request.

(3) If Member B wishes to reject the trade report, the unsolicited message should just be ignored. If Member B
wishes to confirm the trade report, their confirmation message must be received by the trading system on the
same day as Member A's request.

(4) The Trade Code will be populated in Member B's confirmation trade report, to allow matching against the
trade report held on the trading system. Member B's trade report will be validated against Member A's to ensure
that only the following fields have changed:
   Client Reference (Buy or Sell, according to whether Member B is the buyer or the seller on the trade); and
   Dealing Capacity (used to set Dealing Capacity to Buy or Sell, according to whether Member B is the buyer or
      the seller on the trade).

(5) The trade report will not be considered a valid trade until Member B's confirmation has been received. Once
this is received, the Trade Report Date / Time will be set to the time of Member B's confirmation. The Trade Date
/ Time will be as agreed between the parties. Trade reports will be considered late according to late trade
reporting rules, which specify the maximum delay between the Trade Date / Time and the Trade Report Date /
Time before the trade is considered late (by Trade Type and Functional market segment).

(6) On receipt of Member B's confirmation, a Trade Report message will be disseminated to the market (subject
to publication regime rules). An unsolicited message will be sent to Member A to indicate that the trade report
has been confirmed. All fields must match exactly for dual-sided trade reports to be confirmed.

(7) Only Member A may cancel or pre-release the trade using existing functionality. Cancellation can take place
before or after Member B has submitted the confirmation. If it takes place before, an attempt by Member B to
confirm the trade report will be rejected. If it takes place after, both members must agree to the cancellation
before it is submitted. The JSE will regulate that both members have agreed to the cancellation. If a trade is
delayed due to publication rules following Member B's confirmation, Member A may pre-release it without
Member B's consent. Member B will not able to cancel or pre-release trades at any time.




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Note: When both the buy and sell legs of a dual-sided trade report (OX, TX, WX, CF, PF, PC, OD, BK or GU) are
represented by the same participant, the trade is reported as a single-sided trade with one leg of the trade
referencing a virtual participant, "INTRAFIRM".
Note: Fractions of a cent on Trade Reports is now supported. The JSE downstream systems only support a
maximum precision of 2. Further clarification can be found in the Catering for fractions of a cent on Trade Reports
Guidance Note, which forms part of the “JSE Trading and Information Systems Specifications” set of documents.




                                Step 1:                                                Step 2:
                                 Submit Trade Report                                     Trade Report notification


             Participant                  5ET                                                    5DU                         Participant
                   A                                                                                                           B
                                             5DU                                                     5ET

                                Step 4:                                                 Step 3:
                                 Unsolicited confirmation                                 Trade Report confirmation

                                                                       5OZ


                                                                  Trade
                                                                  Report
               •       Notes:
                       – The Trade code is allocated on receipt of Participant A‟s request, and is populated in Participant B‟s
                         confirmation of Trade report.
                       – The confirmation of the trade can only be sent once the notification has been rec        eived.
                       – The confirmation of the Trade report from Participant B must be received by the Trading system on
                         the same day as Participant A‟s request.
                       – On receipt of Participant B‟s confirmation, a Trade report message is (subject to the publication
                         regime rules) disseminated to the market.

                                       Figure 8: Dual-Sided Trade reporting message flow




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APPENDIX 1: EMS BANDING

Table used for EMS banding of actual EMS

  Actual EMS EMS Banding                       Actual EMS    EMS Banding
0 to 150              100                   13001 to 15000         14,000
151 to 250            200                   15001 to 17000         16,000
251 to 350            300                   17001 to 19000         18,000
351 to 450            400                   19001 to 21250         20,000
451 to 550            500                   21251 to 23750         22,500
551 to 650            600                   23751 to 27500         25,000
651 to 750            700                   27501 to 32500         30,000
751 to 850            800                   32501 to 37500         35,000
851 to 950            900                   37501 to 42500         40,000
951 to 1100         1,000                   42501 to 47500         45,000
1101 to 1300        1,200                   47501 to 52500         50,000
1301 to 1500        1,400                   52501 to 57500         55,000
1501 to 1700        1,600                   57501 to 65000         60,000
1701 to 1900        1,800                   65001 to 75000         70,000
1901 to 2125        2,000                   75001 to 85000         80,000
2126 to 2375        2,250                   85001 to 95000         90,000
2376 to 2625        2,500                   95001 to 105000       100,000
2626 to 2875        2,750                   105001 to 130000      120,000
2876 to 3250        3,000                   130001 to 150000      140,000
3251 to 3750        3,500                   150001 to 170000      160,000
3751 to 4250        4,000                   170001 to 190000      180,000
4251 to 4750        4,500                   190001 to 210000      200,000
4751 to 5500        5,000                   210001 to 237500      225,000
5501 to 6500        6,000                   237501 to 267500      250,000
6501 to 7500        7,000                   267501 to 287500      275,000
7501 to 8500        8,000                   287501 to 312500      300,000
8501 to 9500        9,000                   312501 to 375000      350,000
9501 to 11000      10,000                   Above 375,000         400,000
11001 to 13000     12,000


EXAMPLE: Dimension Data (DDT)

VOLUME OF AGENCY TRADES IN PREVIOUS 12 MONTHS = 62,342,459

NUMBER OF DAYS ON WHICH INSTRUMENT WAS TRADED = 250

AVERAGE DAILY VOLUME = 62,342,459/250 = 249,369

ACTUAL EMS = 249,369 / 20 = 12,468

12,468 fits in the 11,001 - 13,000 band, translating into an EMS Banding of 12,000




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APPENDIX 2: General JSE Liquidity Parameters

To assist with the assignment of instruments to various sectors additional liquidity characteristics of instruments
are used as guidelines. Instruments are given a liquidity rating of 1 – 4 depending on how they fulfill certain
trading criteria. A rating of 1 or 2 implies a liquid instrument while a rating of 3 or 4 implies a less liquid
instrument, with 1 being the most liquid and 4 being the least liquid. This is summarised in the table below:

 JSE Liquidity Rating      Ave Value Traded pm*                  Parameter            % Days Traded
          1                    > R30,000,000                       AND                   > 75%
          2                > R10,000,000 AND <=                    AND                   > 75%
                                R30,000,000
            3                    > R500,000                            AND                 > 33%
            4                   < =R500,000                            OR                  <= 33%
* - Calculated over a 3 month period.




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APPENDIX 3: Tradable Instrument Types

The following tradable instrument types are available on the JSE and NSX markets. These are constituents of
the instrument reference data.

Tradable Instrument                        Description
       Type
        DB                 Debenture
         IP                Investment Product:
                           Barrier Warrant
                           Basket Warrant
                           Compound Warrant
                           Discount Warrant
                           Enhanced Dividend Warrant
                           Index Warrant
                           Protected Warrant
                           Securities
                           Variable Warrant
                           Wave Warrant
          KR               Kruger Rand
          NL               Nil Paid Letter
          OS               Ordinary Share:
                           A Ordinary Share
                           B Ordinary Share
                           Call Options
                           Depository Receipts
                           Loan Stock Units
                           Linked Unit
                           N Ordinary
                           Options
                           Ordinary Share
                           Participatory Interest
          PPL              Partially Paid Letter
          PS               Preference Share
          ETF              Exchange Traded Fund
          UL               Unlisted Equities
          UT               Unit Trust
          WR               Warrants:
                           Capped Warrant
                           Dividend Warrant
                           Vanilla Warrant




APPENDIX 4: Ex-Marker Codes

The following Ex-marker codes are available on the JSE and NSX markets. These are allocated to instruments to
indicate the status of the instrument or associated company.




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 Ex-Marker                Type                                         Description
   Code
     A           Annotation                Adverse Auditors Opinion
     D           Annotation                Disclaimed Auditors Opinion
     E           Annotation                Emphasis of Matter Auditors Opinion
    GT           Annotation                Green Tag. Declared Dividend Still To Be Paid
    OT           Annotation                Orange Triangle. Caution In Dealing In Shares
     Q           Annotation                Qualified Auditors Opinion
     R           Annotation                Failure To Provide Annual Compliance Certificate
    RC           Annotation                Red Circle. Immediate Settlement
    RE           Annotation                Reporting Error. Financial Reporting outstanding
    RS           Annotation                Red Star. Tax Applicable, E.G. Namibia
    YS           Annotation                Yellow Star. Low Spread Of Shares
    XD           Corporate Action          Ex-Dividend




APPENDIX 5: Announcement Group Codes

The following Announcement Group Codes will be used for the JSE and NSX markets. These are used for the
dissemination of market news and announcements.

   Announcement                                         Description
    Group Code
       JSEO                JSE Other - All announcements regarding issuers that do not
                           have Ordinary Shares listed*
         EXCH              Exchanges - All announcements for SADC exchanges
          CCO              Competition Commission
           SRP             Securities Regulation Panel
           FSB             Financial Services Board
* - For all other instruments, the issuer's ordinary share TIDM is displayed on the announcement.




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