JSE Clear is the Central Counterparty (CCP) for all JSE Derivatives Markets. It is responsible for the risk management, clearing and settlement of all transactions in the Equity, Currency, Interest Rate and Commodities Derivatives Markets.
The Derivatives Operations team in the Post-trade Services Division is responsible for the daily operations in respect of these markets and ensures all activities required to facilitate the daily clearing and settlement of derivatives trades and positions are performed. These activities include the receipt of all trades from the respective matching engines into the clearing system, facilitation of post trade activities on all transactions as well as the end of day processes ensuring daily reconciliation to clearing members culminating in the daily settlement processes. Settlement in respect of derivatives transactions are done between JSE Clear and Clearing members and include margins, fees, dividend payments and other components in respect of derivatives transactions.
By trading on a formal exchange which connects buyers and sellers, not only is price discovery achieved in a transparent fashion, but all transactions are guaranteed by virtue of the CCP becoming the counterparty to all transactions.
Clearing and Settlement – Commodity Derivatives Market
By trading on a formal exchange which connects buyers and sellers, not only is price discovery achieved in a transparent fashion, but all transactions are guaranteed through the derivatives clearing structure.
The physically settled Commodities rely on warehouse receipts to facilitate the delivery process. The warehouse receipts are utilised by financial institutions which offer financing to clients who own the receipts. Derivative Contracts also enable institutions to fund input costs to producers who hedge their price risk and in so doing encourage sustainable production.
The cash settled Commodities, like gold and crude oil, reference highly liquid international markets for the final cash settlement value, thereby providing all participants with the assurance that the local settlement price is not open to any abuse.
Clearing and Settlement – Equity Derivatives Market
All transactions are cleared through JSE Clear, which adheres to strict management standards and achieves transparent price discovery. JSE Clear’s risk management standards are in line with international requirements for central counterparties. The main function of JSE Clear is to reduce counterparty credit risk in the exchange-traded derivative market in South Africa.
Refer to Derivatives Risk Management https://www.jse.co.za/Risk-Management/derivatives-risk-management-0
Clearing and Settlement – Currency Derivatives Market
Compliance of the counterparties is guaranteed by JSE Clear (the JSE’s clearing house) for all derivatives contracts. Currency derivatives contracts are cash settled in Rand and there is no physical delivery of the underlying foreign currency.
Clearing and Settlement – Interest Rate Derivatives Market
The Interest Rate derivatives market offers participants the functionality and facilities to book either on- or off-screen trades. Irrespective of the method of execution, these trades are margined and guaranteed by JSE Clear which mitigates counterparty credit risk.
Clearing and Settlement – Interest Rate Valuations
The role of the JSE Clearing and Settlement division - Interest Rate Valuations:
The division performs the role of providing daily mark to market and operations support for all listed bonds to members of the exchange.
The functions of the JSE Clearing and Settlement division - Interest Rate Valuations:
The team provides technical support to members of the exchange to ensure trades dealt on bonds are reported successfully on the Nutron trade reporting system.
The process of determining and calculating market price for listed interest rate securities is complex. The documents available on this page for downloading describe how to price the various types of security, and how they are independently priced each day for the benefit of issuers and investors.
The following valuations are done on every business day:
- 2pm Zero Curve
- 3pm Zero Curve
- UTMTM Value today
- UTMTM T+1
- UTMTM T+3
- 3pm Derivatives MTM
- End of day MTM
- Detailed MTM
- MTM T+1
- MTM Value Today
- End of day Zero Curves