Currency Derivatives Reports​​​​​

 Daily Close Out Rates

Provides the Close Out Rates. The frequency of this report is daily to cater for Anydays.

The report is made available as soon as possible after 4pm (SA time) each trading day but will switch to 5pm (SA time) for part of the year to align to the daylight saving changeover in the USA.

 Weekly Market Statistics

Provides weekly statistics for all the contracts traded during the week in the Currency Derivatives market.

The report is made available at midnight on the last trading day of the week.

 South African Rates Report

These reports presents the various rates that are relevant to the market as per 10:00am and 11:00am (SA time).

The reports are made available by no later than 15 minutes after 10:00am (SA time), and 11:00am (SA time) on each trading day.

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 Risk Parameters Report

This report provides  the risk arrays on the options and used to recalculate option margin requirements.  All contracts are included irrespective of whether they were traded or not.  18 scenarios will be populated; the last 2 scenarios (19 & 20) will only be populated on an adhoc basis.

The report is made available at midnight on each trading day.

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 Rand Spot

This report assists parties to understand their positions at closeout based on the applicable currency rates.

The report is made available as soon as possible after 4pm (SA time) each trading day but will switch to 5pm (SA time) for part of the year to align to the daylight saving changeover in the USA.

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 MTM All Report

Provides the daily closing price for all instruments that meet one or more of the below criteria:

  • All futures contracts
  • All option contracts with an existing open interest
  • All option contracts that traded on the day

The report is made available at midnight, in PDF, on each trading day.

 Monthly Market Statistics

Provides monthly statistics for all the contracts traded in the month in the Currency Derivatives market.

The report is made available at midnight on the last trading day of the month.

 Margin Requirements

Provides information necessary for Clearing Members to recalculate initial market margin and for end of day balancing purposes.

The report is made available on a fortnightly basis at midnight on the respective trading day.

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 Daily Market Statistics

Provides daily statistics for all the contracts traded in the Currency Derivatives market.

The report is made available at midnight on each trading day.

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 Quarterly Close Out Prices

Provides the official closing prices per contract code.  The frequency of this report is quarterly to align to the standard quarterly expiries.

The report is made available at midnight on the trading day when the quarterly expiries closeout take place.

 All FXM Contracts Open Interest

All the active instruments for the Currency Derivatives market for the day, detailing the number of contracts traded as well as the total Open Interest per instrument.


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