Interest Rate Market
Clearing and settlement is handled slightly differently depending on whether the traded instrument is a derivative contract or a spot bond. Both are risk managed through a margining procedure.
SAFCOM underwrites settlement of all positions of all participants on the exchange. This means that it has a resultant exposure to these positions. If settlement is likely to fail for any reason for spot bonds, the JSE Settlement Authority steps in and takes the necessary action to ensure that settlement is effected.
The trading of interest rate derivatives such as swaps is vitally dependent upon a reliable yield curve, even more so than spot bonds. And given a reliable yield curve, valuations of all interest rate instruments can be valued against it.
The Interest Rate Market produces a daily mark-to-market zero coupon yield curve.
Technical specs.pdf
Overview
Clearing and settlement is handled slightly differently depending on whether the traded instrument is a derivative contract or a spot bond. Both are risk managed through a margining procedure.
SAFCOM underwrites settlement of all positions of all participants on the exchange. This means that it has a resultant exposure to these positions. If settlement is likely to fail for any reason for spot bonds, the JSE Settlement Authority steps in and takes the necessary action to ensure that settlement is effected.
Spot Bond presentation
Clearing of Spot Bonds in the Interest Rate Market
STRATE password template