What is Negotiated Benchmark Cross (NBC)

Although widely used in Europe, this is a new order type
which A2X is introducing to the South African market.

It enables a single broker to report a pre-agreed buy and sell agency or principal order based on a Volume Weighted Average Price (V WAP) over a set period of time.

The transaction must be comprised of a minimum of 10 consecutive trade instances to determine a VWAP price and it must reflect the VWAP for the respective time period of the order.

The NC enables brokers to reduce the costs and time associated with working this high hit rate order type in the market when they have matching client VWAP orders.

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Negotiated Benchmark Cross
(NC) Criteria

Be comprised of a minimum of 10 consecutive trade instances to determine a VWAP price.

  • Reflect the volurne weighted average price for the respective period.
  • The start and end time of the period used to determine the VWAP price will be required when submitting the trade report.

For now, the JSE price and volume data will be used in determining the VWAP

A2X Report only Trades Types –
Clearing And Settlement

  • Benchmark Cross is not “settlement Capital Exposure Requirements assured” by A2X
  • Separate settlement groups created  on Strate but can be linked (BtB and
    DPL)
    – Across groups
    – Cross JSE groups
  • Capital Exposure Requirements
    • No Capital Exposure
      Requirements (not settlement assured)
    • No offset with order books