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The BRICS Securities and Derivatives Marketsalso had a substantial share (27%). Index futures (including volatility index futures) andoptions accounted for only 15% of the equity derivatives trading volume with the majority(9%) came from a single product — futures on the FTSE/JSE Top 40 Index, the benchmarkindex of the South African stock market. (See Figure 6-5.)Although the JSE does not operate an OTC market, it seeks to incorporate the flexibility ofOTC derivatives into listed derivatives by introducing “Can-Do” futures and options, whichallow investors to negotiate the contract terms in respect of the underlying asset and expirydate. The underlying asset may be a single stock, an index or a basket of shares. Similar tomany OTC derivatives, Can-Do futures and options are not suitable for general retailinvestors given the considerable minimum contract size of ZAR10 million. Theycontributed only 1% of the equity derivatives trading volume in 2011.Figure 6-5.Distribution of JSE derivatives trading volume and open interestby product type (2011)Derivatives market trading volume of JSE by product type (2011)(a) Trading volumeDerivatives market open interest of JSE by product type (2011)(b) Open interestCommodities F&O*2%Interest rate F&O1%Commodities F&O*1%Interest rate F&O4%Currencies F&O9%Equity options10%Equity futures79%Currencies F&O6%Equity options17%Equity futures72%Total no. of contracts: 167,503,211 Total no. of contracts: 167,503,211Total no. of contracts: 13,321,940Total no. of contracts: 13,321,940* Agricultural products, crude oil and metalsNote: Numbers do not add up to 100% due to roundingSource: JSE monthly statistics(c) Trading volume of equity derivatives* Agricultural by underlying products, crude asset oil and metalsEquity derivatives trading volume of JSE by underlying asset (2011)Source: JSE monthly statisticsCan-do F&O1%Other index F&O6%Single-stock futures^49%FTSE/JSE Top 40 Indexfutures9%Single-stock dividendfutures^27%Single-stock options8%Total no. of contracts: 148,821,912 Total no. of contracts: 148,821,912* Agricultural products, crude oil and metals^ Including ^ International Including International Derivatives (IDX), which which are futures are on futures internationally internationally listed shares listed sharesSource: JSE monthly statisticsNote: Numbers may not add up to 100% due to rounding.Source: JSE monthly statistics- 28 - Research & Corporate Development, HKEx31 December 2012
Daily index closing (points)Futures trading volume (mil contracts)The BRICS Securities and Derivatives MarketsFutures contract on FTSE/JSE Top 40 Index is the first cross-listed product of the JSE for theBRICS Alliance. This index was launched in June 2002 by the JSE and FTSE (now part ofLSE Group) to replace JSE’s benchmark index at that time. Figure 6-6 shows the dailyclosing and the monthly futures trading volume of this index from 2002 to 2011. Since theindex futures is a quarter-month contract, it assumes a 3-month pattern of exceptionally highvolume at quarter-end months when roll-over takes place. In 2011, this futures productconstituted 72% of the total trading volume of all index futures on the JSE, with an averagedaily trading volume of 53,070 contracts.Figure 6-6.3500030000Daily closing and monthly futures trading volume of FTSE/JSE Top 40 IndexDaily closing and monthly futures trading volume of FTSE/JSE Top40 Indexon JSE (2002 – 2011)Monthly index futures volumeDaily index closing(2002 - 2011)31315(2008/05/22)762500052000028469(2011/12/30)41500010336(2002/01/02)15905(2008/11/20)31000050006763(2003/04/25)2102002/01 2003/01 2004/01 2005/01 2006/01 2007/01 2008/01 2009/01 2010/01 2011/01Year/monthSources: Reuters and and FIA FIA06.5 Other international cooperation initiativesThe JSE is one of the ten member exchanges of the Committee of SADC Stock Exchanges(COSSE). SADC is the Southern African Development Community, the aim of which is tocreate a community providing for regional peace and security, and an integrated regionaleconomy. COSSE seeks to contribute to the establishment of a regional common market byfacilitating regional integration in the finance and investment field. To enhance regionalcooperation, the JSE has signed MOU on cooperation with a number of regional exchanges,including exchanges in Namibia, Kenya, Nigeria, Ghana, Mauritius and Egypt. In Asia, theJSE signed a MOU with the TWSE in 2003.LSE Group has been an important technology and business partner of the JSE since 2002when the latter launched the SETS trading system provided by LSE Group. The JSE’s SETSsystem was replaced by another LSE platform — TradElect — in April 2007. In July 2012,the system was further upgraded to the Millennium Exchange platform of LSE Group. TheLSE and JSE also reached an agreement in 2002 on dual listing, remote access and marketing- 29 - Research & Corporate Development, HKEx31 December 2012
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