new jse letterhead etp - settlement... · 2018-07-06 · bond etp – settlement model (version...

BOND ETP Settlement Model

Date: 25 April 2018

Version 2.0

Author: JSE Post Trade Services

Bond ETP – Settlement Model (Version 2.0) of 22

Table of Contents

Version control ........................................................................................................................................................................................ 3

1. Introduction .................................................................................................................................................................................. 4

2. The bond market ecosystem ......................................................................................................................................................... 5

3. Settlement model of ETP trades ................................................................................................................................................... 6

4. Processes on settlement day (S) ................................................................................................................................................... 7

4.1 Start-of-day up to settlement exceptions handling process at 1pm .................................................................................. 7

4.2 Settlements exceptions handling process (from 13h00 to 15h15) ..................................................................................... 8

5. Reconciliation of trade data for settlement ................................................................................................................................ 10

6. Trade settlement in the event of operational failures ................................................................................................................ 11

7. Failed trades................................................................................................................................................................................ 12

8. Rolling of settlement ................................................................................................................................................................... 12

9. Trade cancellations ..................................................................................................................................................................... 13

9.1. Trade cancellation principles .................................................................................................................................................. 13

9.2. Trade cancellation process ..................................................................................................................................................... 13

10. Penalties .................................................................................................................................................................................. 14

11. Default management .............................................................................................................................................................. 14

12. Capital events on ETP traded bonds ....................................................................................................................................... 14

Annexure 1: Back-to-back links and settlement groups ........................................................................................................................ 15

Annexure 2: Process flows ..................................................................................................................................................................... 16

Settlement Process ................................................................................................................................................................ 16

Detailed Processes on morning of S (approximately 7h00 to 13h00) .................................................................................... 17

Cancellation process .............................................................................................................................................................. 19

Annexure 3: Exceptions handling scenarios .......................................................................................................................................... 20

Scenario 1: Resolving an unstable settlement group (with linked ETP-IRC trades) due to an uncovered IRC trade.............. 20

Scenario 2: resolving an unstable settlement group (with linked ETP-IRC-OTC trades) due to an uncovered OTC trade ..... 21

Scenario 3: resolving an unstable settlement group (with linked ETP-ETP trades) due to an uncovered ETP trade ............. 22


Version control

Version Release Date Comments

V1.0 February 2018 First draft

V2.0 25 April 2018

Content updated in the following sections:

Settlement of ETP Trades

Trade Cancellations

Annexure 2: Process Flows

Additional information added

High level reconciliation framework


1. Introduction

In 2012 National Treasury (NT) formed an industry-wide committee called the Bond Market Development

Committee (BMDC) whose mandate was to consider developmental issues facing the SA bond market.

Representation included the JSE, Strate, the Association of Savings and Investments of South Africa (ASISA),

the SA Reserve Bank (SARB) and the Financial Services Board (FSB). As a result of the work undertaken by

the BMDC, National Treasury had decided to implement an electronic trading platform (ETP) for the

Primary Dealers (PDs) appointed by NT. The JSE is responsible for managing the ETP Project delivery for

government bonds that facilitates anonymous trading via a live central order book. The project

implementation is overseen by a market-representative project steering committee, with a planned go-live

in Q2 2018.

This document forms part of a set of post-trade related documents that include:

• Bond ETP – Risk Policies and Processes;

• Bond ETP – Initial Margin Methodology; and

• Bond ETP – Default Management Policies and Processes.

The purpose of this document is to provide a detailed description of the proposed settlement model and

processes for trades executed on the Bond ETP. Where necessary, reference is made to the supplementary

documents.

NB. The Bond ETP settlement model has been aligned, as far as possible, to the current exchange

reported bonds market (IRC) with regards to obligations, cut-off times and the settlement exceptions

management process.


2. The bond market ecosystem

Post the implementation of the ETP for bonds, three bond markets will exist in South Africa:

Exchange Reported Market (IRC) – JSE reported market where transactions are negotiated

bilaterally between authorised market members and reported to the JSE

OTC Market – Bilateral over-the-counter trading of bonds amongst offshore (non-residents)

counterparties which are reported directly to the CSD (Strate)

Exchange Central Order Book Market (ETP) – A JSE managed electronic trading platform (ETP) for

government bonds that facilitates anonymous trading via a live central order book

As part of the initial rollout of the Bonds ETP initiative, only PD to PD trading will be facilitated. As instituted

by National Treasury (NT), all PDs will be obligated to place bid and offer quotes, within a set spread, for a

period of five hours during the trading day. Buy-side and foreign clients may continue to trade with PDs

however these trades will be executed in the current exchange reported (IRC) and OTC markets.

Based on the back-to-back (BTB) linking functionality utilised by CSDPs, settlement dependencies across all

three markets may be created i.e. ETP market trade legs linked to exchange reported market legs which in

turn could be linked to OTC market trade legs.

As agreed by the Bond ETP project steering committee, there should be no failed settlements of ETP trades

since the following arrangements have been put in place for PD to PD trading:

Securities shortage – National Treasury’s (NT) to act as lender of last resort to all PDs with no limit

on the amount of securities provided.

Cash shortage – South African Reserve Bank (SARB) to provide cash loans to all PDs in the event of

cash liquidity challenge

The subsequent sections detail the overall settlement model and processes for ETP market trades, including

the interdependencies that may arise across the exchange reported (IRC) and OTC markets.


3. Settlement model of ETP trades

The settlement model outlined below is based on the following key principles:

• T+3 trading only

• Alignment of the settlement model as far as possible across ETP, exchange reported and OTC markets

• Allowance of back-to-back links across ETP, exchange reported (IRC) and OTC markets

• No settlement failures of ETP trades will occur – settlement of ETP trades will be prioritised by post-trade market participants

• National Treasury/SARB to act as lender of last resort

• Cancelling of ETP trades may only be done on the same day i.e. T+0, after approval from the JSE Market Regulation division

The daily settlement obligations, cut-off times and exceptions handling processes are summarised

graphically below1:

T+1 (S-2) T+2 (S-1) T+3 (S)

Members

CSDP commit becomes unconditional

Ensure CSDP is in position to commit

CSDPs

CSDP commit

8h00 10h00 12h00 14h00 16h0018h00

/8h0010h00 12h00 14h00 16h00

18h00

/8h0010h00 12h00 14h00 16h00

18h00

/8h00

08h30

13h00 –15h15

17h30

18h00

Exceptions handling processes underway

Trades are executed on T and settled on T+3.

PDs have up until 17h30 on T+2 (S-1) to ensure that their CSDP is in a position to commit to their

trade. As activity will be PD to PD trading only, client allocations are not applicable and CSDPs will

not require an instruction in order to commit. Thus PDs need to ensure stock or cash is available in

their custody or cash accounts respectively, at the CSDP, in order to ensure CSDPs are able to

commit.

CSDPs may use back-to-back links to create groups of associated trades across the ETP, exchange reported and OTC bond markets.

CSDPs must commit to all Bond ETP trades by 18h00 on T+2 (S-1).

1 Refer to Annexure 2 for process flows


At 08h30 on T+3 (S) the CSDP commits become unconditional.

Strate will begin settlement runs from 09h00 on T+3 (S) and these will occur intermittently

throughout the day until 15h15. In parallel, from 09h00 to 13h00, Strate and the JSE will monitor all

uncommitted trades preventing settlement of settlement groups (i.e. “unstable settlement

groups”) and will follow up with relevant CSDPs and members to resolve the problematic trades.

Where there are ETP trades present in an unstable settlement group2 , and the ETP trades

themselves are not the problematic trades holding up settlement (i.e. “the first failing trade”),

CSDPs will notify the relevant PD(s) that their ETP trade(s) are in an unstable group and that there

may be a need for cover to be sourced if BTB links are broken at 13h00. This communication should

start after the first settlement run and continue intermittently on S, until 13h00.

At 13h00 all remaining uncommitted trade legs (ETP, exchange reported and OTC) will be subject to the settlement exceptions handling process3.

4. Processes on settlement day (S)

4.1 Start-of-day up to settlement exceptions handling process at 1pm

On S, every hour from 09h00 to 13h00, Strate provides JSE Settlement Authority (SA) and the CSDPs with a

report containing all uncommitted trades in the ETP, exchange reported (IRC) and OTC markets. Based on

the uncommitted trades report, JSE and Strate will liaise with affected members and CSDPs from 09h00, to

drive resolution of all uncommitted trades by 13h00.

As a result of ETP trades being eligible for back-to-back linking across exchange reported (IRC) and OTC

trades and being part of settlement groups, a scenario exists where even if an ETP trade is in a committed

status, the group in which it finds itself may be unstable due to another trade in the group (ETP, IRC or OTC)

not being committed to.

In addition to the uncommitted trades report, Strate will also provide the JSE SA and the CSDPs with an

“Unstable Settlement Groups” report per PD detailing all of their trades that are part of unstable groups.

Similar to the uncommitted trades report, the unstable settlement groups report will be published from

9am on S and every hour thereafter up to the final settlement run at Strate. CSDPs are to inform/pass on

the report to their PDs who may utilise this information to get the necessary arrangements in place to

potentially source cover for their ETP position after 13h00 should the group not yet be resolved. An

updated unstable groups report will be distributed by Strate hourly which will enable CSDPs to confirm with

PDs whether their trades are still in unstable groups or not leading up to the 1pm cut-off. Treatment of any

groups not resolved by 13h00 will follow the principles and processes during the exceptions handling

period as detailed in the following section.

2 Annexure 1 illustrates the concept of back-to-back linking and settlement groups

3 Annexure 3 illustrates a number of scenarios that may occur due to BTB linking and steps of how these will be resolved


4.2 Settlements exceptions handling process (from 13h00 to 15h15)

The daily settlement exceptions handling process and cut-off times are summarised graphically below:

A. 13h00 – 13h15:

At 13h00, Strate, knowing which uncommitted trade(s) are holding up settlement of an

unstable settlement group, will apply the below exception management principles:

If an OTC trade is the trade causing a group containing on market trades (ETP and

IRC) not to settle, all links of that group will be broken by CSDPs, on instruction

from Strate

If an IRC trade is the trade causing a group containing an ETP trade not to settle, all

links will be broken by CSDPs, on instruction from Strate

If an ETP trade is the trade causing a group, containing other on market trades (ETP

or IRC) not to settle, then no links will be broken as the ETP trade will be covered

before the final settlement run occurs at 15h15 on S.

The breaking of BTB links and removal of uncommitted trades from BTB linked groups may

result if ETP trades becoming uncovered/uncommitted. CSDPs will need to inform their PDs

of the change in commit status in order for them to initiate the next steps of the process.

NB. If the uncommitted ETP trade legs are not part of a linked settlement group, no

breaking of links will be required and will proceed to the following step.


B. 13h15 – 14h00

PDs that are uncovered/short of securities for their ETP trade legs will have 45 minutes to

source cover in the market.

C. 14h00 – 14h30

If the PD does not manage to cover their positions by 14h00, they will be forced to obtain

cover from NT using the facility that has been made available to them.

D. 14h30 – 15h15

All resulting settlement administration for the capturing and linking of cover trades, to be

performed during this period, i.e. booking of cover trades in the exchange reported market

(IRC) and CSDP performing BTB links to commit trade legs

E. 15h15

Strate initiates the final settlement run for the day.

NB. Should the above timelines be insufficient (in exceptional circumstances only) extension of timelines

may be necessary.


5. Reconciliation of trade data for settlement

As a pre-emptive measure to ensure the integrity of data at different touchpoints in the ETP value chain

and to ensure alignment across trading and settlement participants, a reconciliation of all trades due for

settlement is performed. This reconciliation will also allow early identification of potential issues and

enable any such issues to be resolved before settlement date.

The diagram below depicts the various reconciliation processes that have been put in place:

TradingFront End

MTS Trading Engine

StrateSettlement System (BaNCS)

CSDPSettlement Systems

Trade info

Trade Recon 1 Trade Recon 3

Trade info

JSETrade Vault

Trade Recon 2

‘Trade Recon 1’ facilitates reconciliation of trades between the Strate system and the MTS trading engine.

This reconciliation is done daily at end-of day by MTS providing a trade file to State to reconcile. The same

file from MTS will be used by the JSE for ‘Trade Recon 2’ which will facilitate reconciliation of trades

between MTS trading engine and JSE systems i.e. billing, margining and surveillance systems. The third

trade reconciliation ‘Trade Recon 3’ will be between the PDs and their appointed CSDPs to ensure balancing

across the value chain.


6. Trade settlement in the event of operational failures

Notwithstanding the guaranteed cash and securities facilities provided by NT and SARB, there may be

occasions where settlement may not be possible as a result of operational failures that may include:

Strate systems are down – A Strate system failure will have the highest settlement impact as no

settlements will be able to be processed. In this case, Strate’s defined disaster recovery processes

will apply.

One or more CSDP systems are down – Where CSDP systems down are down, high settlement

impact can be expected and the CSDPs disaster recovery processes will apply. In the worst case,

CSDPs could request Strate to commit to trades on their behalf.

JSE systems are down – The JSE will be utilising a Strate provided system to perform its Settlement

Authority functions for the settlement of ETP trades. Cover trades required for any ETP trades will

be booked via the current JSE Nutron\Nuclears system as an exchange reported trade. A JSE system

outage (i.e. Nutron\Nucelars is down) will result in cover trades not being able to be booked. The

potential use of the OTC trade capture mechanism may be considered in this event however will

need to be tested and validated.

One or more PD trading systems are down – A PD outage is expected to have no impact on

settlement, however it may have an impact from a trading perspective, i.e. the PD may not be able

trade for the duration of the outage.

NB. Please refer to the detailed Business Continuity Plan (BCP) for Bond ETP for further

information on the various failure points and recovery processes.


7. Failed trades

Due to the facilities which will be made available to PDs by NT and SARB, it is expected that failed trades

may only occur in the case of a default. The default management processes as outlined in the “Bond ETP -

Default Policies and Processes” will apply.

8. Rolling of settlement

As mentioned above, there should be no failed settlements of ETP trades due to inability of PDs to cover

their trades. Only in the case of extreme operational failures, where disaster recovery processes are

ineffective, will rolling of settlement be considered by JSE Settlement Authority. It is important to note that

rolling of Bond settlements is procedurally different to rolling of Equity settlements however the process

name remains the same.

According to the draft ETP rules (Section 8.60), if the Settlement Authority receives notification from a PD

that they are unable to settle a transaction in Bond ETP securities on the settlement date, the Settlement

Authority will assess whether exceptional circumstances exist that warrant settlement of the transaction

being rolled to a later date. If circumstances warrant, settlement will be rolled in the following manner:

The Settlement Authority will obtain a list of ETP Bond settlements from the CSD which are not

going to be effected on the due settlement date. This list will include the failing trade leg as well as

the opposite trade leg.

The Settlement Authority will advise the affected PDs that settlement of the transaction will be

rolled to a revised settlement date determined by the SA.

The affected PDs will be instructed to re-book the original transaction (to be booked as a structured

deal via the exchange reported market) at the original trade date and yield and a revised

settlement date as determined by the JSE SA.

NB. In this event counterparty names to the rolled trades will need to be disclosed and anonymity

will be lost.


9. Trade cancellations

As per ETP trading rule (5.50.1) a key component of market integrity is the assurance that once executed, a

trade will stand and will not be subject to cancellation. However, if a trade is executed as a result of an

error by a member, there may be significant adverse consequences for the affected member and therefore

it is appropriate in certain circumstances to cancel such trades

The principles and processes relating to trade cancellations are detailed in the sections below.

9.1. Trade cancellation principles

Only cancellations on T will be allowed

Trade cancellation requests must be sent to the JSE Market Regulation division for approval by no

later than 20 minutes after trade execution.

Only the JSE will be able to action cancellation requests via the MTS trading system, and only after

JSE Market Regulation approves the cancellation.

9.2. Trade cancellation process 4

A member may request a cancellation of an error trade within a predefined period after the execution of

the error trade. Actions as outlined in ETP Trading Rule 5.50 (Trade Cancellation) will apply to determine

whether or not the trade cancellation will be approved.

Once the cancellation is approved, it is actioned according to the following process:

A. JSE Market Regulation will inform the affected PDs and other JSE stakeholders that a cancellation is

about to be triggered by MTS. PDs should make their CSDPs aware of the cancellation at this point.

B. JSE Market Regulation will send a formal request to MTS to cancel the specific trade.

C. MTS will trigger a cancellation. Once this cancellation has been triggered, the trade is deemed cancelled from a trading perspective.

D. Strate will receive the cancellation message and if both trade legs are in an uncommited status the trade cancellation will be complete

E. If either trade leg is in a committed status the cancellation will be rejected by Strate’s systems and Strate in turn will contact the relevant CSDP and request that the trade leg be uncommitted. Once both trade legs are uncommitted Strate’s systems resubmit the cancellation request using its automated resubmission tool and the trade cancellation will be complete.

4 Refer to Annexure 2 for process flows


F. Once the trade cancellation has been successfully completed from a post trade perspective, Strate will inform the JSE and CSPDs, who will in turn confirm with the PD that the cancellation is now complete.

Given that primary dealers (PDs) are active on ETP as well as in the reported bonds (IRC) and OTC markets,

it is possible that an involuntary trade cancellation on the ETP may impact trades executed by that PD in

another market. If necessary, cancellation of such trades in other markets are the responsibility of the PD

as the exchange reported and OTC markets are bilaterally agreed markets. Error trades that are not

cancelled will be subjected to the normal settlement and margin obligations. Fees will be applicable for all

requests to cancel error trades, whether or not the cancellation is successful.

10. Penalties

No settlement penalties will be levied by the JSE on ETP trades at go-live. Market behavior will be tracked

and a penalty framework will be considered should there be increasing instances of rule transgression.

11. Default management

A credit default is seen as an exceptional circumstance. The processes and procedures to be followed

during a credit default of a member of the ETP market is detailed in the “Bond ETP - Default Policies and

Procedures” document published by the JSE.

12. Capital events on ETP traded bonds

Capital events on bonds traded via the ETP will follow the same process as the current exchange reported

(IRC) and OTC trades. All capital events will be managed and settled by Strate.


Annexure 1: Back-to-back links and settlement groups

ETP IRC OTC

Buy 1PD1 ---------- Sale 1PD2 Buy 2PD2 ---------- Sale 2CL1

Buy 3PD2 ------------ Sale 3PD3 Buy 4PD3 ------------ Sale 4CL2

Buy 5PD4 ---------- Sale 5PD5

BTB 1CSDP1

BTB 2CSDP2

ETP IRC OTC

Buy 1PD1 ---------- Sale 1PD2 Buy 2PD2 ---------- Sale 2CL1

Buy 3PD2 ------------ Sale 3PD3 Buy 4PD3 ------------ Sale 4CL2

Buy 5PD4 ---------- Sale 5PD5

BTB 1CSDP1

BTB 2CSDP2

1

2

3

1

2

SCEN

AR

IO

1SC

ENA

RIO

2


Annexure 2: Process flows

Settlement Process

PD JSE CSDP STRATE

T Start

First settlement run

Deadline for CSDP to commit

Trade executed

T+2 (18:00)

Member deadline to put CSDP in a position to commit

Mo

nit

ors

co

mm

it s

tatu

s th

rou

gh

ou

t a

nd

fo

llo

w u

p w

ith

me

mb

ers

wh

ere

ne

ce

ssa

ry

Exceptions Handling

T+2 (17:30)

Commit becomes unconditional

Final settlement run

End

SAMOS payment run at 4:30pm

T+3 (08:30)

T+3 (09:00)

T+3 (13:00)

T+3 (15:15)


Detailed Processes on morning of S (approximately 7h00 to 13h00)

PD/Member JSE CSDP STRATE

S (Start of day) Start

Assesses impact of uncommitted trades in settlement

Source stock as required to commit

End

T (12h30 TBC)

Generates and sends report on uncommited trades

Confirms with member that stock is still outstanding

S (11h00 TBC)

Assesses potential impact of unstable groups on settlement

Generates and sends1. Uncommited report;2. Report unstable group report

highlighting all affected ETP trades

Notify PD of ETP trade in an unstable group and that PD may need to source cover

Assesses potential impact of unstable groups on settlement

Generates and sends1. Uncommited report;2. Report unstable group report

highlighting all affected ETP trades

Confirm whether or not PD in an unstable group

Plan for cover

Plan for cover


Settlement exceptions handling process

PD JSE CSDP STRATET+3/S (01:00pm)

Start

Identifies trade (OTC or IRC) holding up ETP trade settlement

Breaks links related to ETP trades

Receives NAFI messages for newly uncommitted trades

Aware that trade needs to be covered

T+3/S (01:15pm)

Sources cover

If cover sourced before 02:00pm

Opens window for cover trade to be booked

Requests window to book cover trade

Books cover trade

Links cover trade to ETP trade and commits

T+3/S (02:00pm)

Final settlement run occurs

T+3/S (03:30pm)

If cover not sourced before 02:00pm

End

SAMOS payment run at 4:30pm

Required to obtain cover from NT using facility in place.

Opens window for cover trade to be booked

Requests window to book cover trade

Books cover trade with SARB on behalf of NT

Links SARB cover trade to ETP trade and commits


Cancellation process

PD JSE CSDP STRATE

T (Market Open) Start

Received cancellation from MTS

Contacts counterparty and does all necessary investigation to determine whether or not trade will be cancelled

Informs JSE Market Surveillance of error trade and gives necessary permissions

End

If cancellation approved

Inform PD that trade cancellation is approved

Informs CSDP that trade cancellation is approved and going to be processed

Yes

CSDP uncommits

No Requests CSDP uncommit

T (20h00)

Instructs MTS to cancel trade

Check that trade is in an uncommited status

Trade cancellation completed

MTS cancels


Annexure 3: Exceptions handling scenarios

Scenario 1: Resolving an unstable settlement group (with linked ETP-IRC trades)

due to an uncovered IRC trade

At start of day on S:

Buy 1PD1 -------- Sale 1PD2

IRC

Buy 4PD2 -------- Sale 4CL2


BTB 1

Sale 6CL1 -------- Buy 6CL2

ETP

BTB2

Strate, CSDPs and the JSE are aware of an unstable group due to potentially failing IRC trade (Sale

6) from the morning of S and liaise with the member to resolve any issues during the day before

13h00

At a predetermined point in the day before exceptions handling commences at 13h00 (this time

needs to be confirmed), Strate will notify the CSDPs and JSE of any ETP trade(s) that are in an

unstable group (Sale 1 in the above scenario)

In order to manage exceptions pro-actively, CSDPs should inform impacted PDs of the need to

potentially cover trades once they become aware of the same at the predetermined time on the

morning of S.

At 13h00 on S:


IRC



BTB 1 broken

Sale 6CL1 -------- Buy 6CL2

ETP PD needs to source cover

BTB 2 may or may not be broken

At 13h00 should Sale 6 still not be committed to, BTB1 will be broken and PD2 will need to source

cover for their respective trade legs between 13:15 and 14h00

At 14h00, if cover has not been sourced for Sale 1, PD2 will be instructed to obtain scrip from NT

using the facility available

ETP trades should then settle in Strate’s last settlement run at 15:15

The JSE SA will manage the uncommitted trades in the IRC market and these trades will either

settle or fail by 15:15


Scenario 2: resolving an unstable settlement group (with linked ETP-IRC-OTC

trades) due to an uncovered OTC trade



ETP IRC



Buy 6CL1 -------- Sale 6PD8

BTB2BTB 1

OTC

Strate and CSDPs are aware of an unstable group due to potentially failing OTC trade (Sale 6) and

informs JSE at a predetermined time that links with an OTC trade may need to be broken 13h00

Strate will at the same time notify the JSE and the CSDPs of any ETP trade(s) (Sale 1) and reported

trade(s) (Sale 4) that will be affected should the BTBs need to be broken at 13h00

In order to manage exceptions pro-actively, CSDPs will inform PDs and other reported market

members of the need to potentially cover trades once they become aware of the same on the

morning of S

At 13h00 on S:


ETP IRC



Buy 6CL1 -------- Sale 6PD8

BTB2 brokenBTB 1 broken

OTCPD needs to source cover

Client needs to source cover

At 13h00 should Sale 6 still not be committed to, BTB1 will be broken and PD2 will need to source

cover for Sale 1 between 13:15 and 14h00

Since the failing trade is an OTC trade, which the JSE SA has no jurisdiction over, BTB2 will need to

be broken as well and CL1 will need to source cover for Sale 4 as well


using the facility available. CL1 will also be instructed to borrow from NT if they have not sourced

cover by 14h00 however NT may choose not to lend to CL1


The JSE SA will manage the uncommitted trades in the IRC market and these trades will either

settle or fail by 15:15


Scenario 3: resolving an unstable settlement group (with linked ETP-ETP trades)

due to an uncovered ETP trade


Sale 1PD2 -------- Buy 1PD1



BTB 1


ETP

BTB2

Strate, CSDPs and the JSE are aware of an unstable group due to potentially failing ETP trade (Sale

6) from the morning of S and liaise with the member to resolve any issues during the day before

13h00

At a predetermined point in the day before exceptions handling commences at 13h00 (this time

needs to be confirmed), Strate will notify the CSDPs and JSE of any ETP trade(s) that are in an

unstable group (Sale 1 in the above scenario)

In order to manage exceptions pro-actively, CSDPs should inform impacted PDs of the need to

potentially cover trades once they become aware of the same at the predetermined time on the

morning of S.




BTB 1


ETP

BTB2

Both BTB links 1 and 2 maintained

At 13h00, no links are broken within the settlement group


using the facility available by no later THAN 14:30


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