Directive 5: "Over the Exchange" Services

Transcription

1 SIX Swiss Exchange Ltd Directive 5: "Over the Exchange" Services of /08/0 Effective from: 5/0/0

2 Directive 5: "Over the Exchange" Services 5/0/0 Content. Purpose and principle... I SIX Swiss Exchange Liquidnet Service (SLS).... Admission of participants.... Technical connectivity.... Trading.... Data..... Reference data..... Market data Trading Tradeable securities Trading days and hours Clearing day Order Market model Mid-point Price Execution Enhanced liquidity Trade suspension Price step and round lot Trade reports and publication Correction and cancellation of trades Correction of trades Cancellation of trades Market conduct Clearing and settlement Market control Market information Transmission of data abroad Fees and costs... 4 SIX Swiss Exchange Ltd I

3 Directive 5: "Over the Exchange" Services 5/0/0. Purpose and principle This Directive contains provisions on the "Over the Exchange" services that are described below with respect to equity securities. It is based on Clause. Rule Book. a) SIX Swiss Exchange Liquidnet Service (SLS) I SIX Swiss Exchange Liquidnet Service (SLS) SLS is a trading service with undisclosed liquidity for block trading in Swiss and international equity securities at Mid-point Prices. SLS covers the securities listed in.. Admission of participants Participants wishing to trade using SLS must: a) be a participant of the Exchange; b) have issued the necessary clearing and settlement instructions; and c) meet the necessary technical requirements.. Technical connectivity Details are laid down in the "Technical Connectivity" Directive.. Trading. Data The Standard Trading Interface (STI) enables participants to access SLS. It supports the entry of orders and receives execution reports for further processing... Reference data The Reference Data Interface (RDI) permits access to reference data on all securities that may be traded using SLS... Market data The Market Data Interface (MDI) offers participants access to real-time market information on the transactions executed using SLS. 4. Trading 4. Tradeable securities Securities of the following trading segments may be traded using SLS: a) Blue Chip Shares ("Trading" Directive, Annex A) b) Mid- / Small Cap Shares ("Trading" Directive, Annex B) In addition, international securities which are admitted to trading within the scope of the services offered by the Exchange, in accordance with the "Rules for the Authorisation of International Equity Securities to Trading on SIX Swiss Exchange" may also be traded using SLS. SIX Swiss Exchange Ltd

4 Directive 5: "Over the Exchange" Services 5/0/0 4. Trading days and hours Trading days for SLS are stated in the Exchange trading calendar. In extraordinary circumstances, the Exchange may modify trading days. Trading hours are specified for each Primary Reference Market. The Primary Reference Market is defined as the primary exchange on which the equity securities are listed or admitted to trading on a regulated market. Trading using SLS is available during the "continuous trading" period on the Primary Reference Market relating to the securities in question. 4. Clearing day A clearing day shall last from 08:00 to 8:5 (CET). 4.4 Order In special situations the Exchange may modify clearing days. An order must be recorded with the following attributes: a) participant identification: member ID and trader ID; b) transaction type: buy or sell; c) trading capacity:client transaction (trade in own name but for the account of the client) or own transaction (transaction in own name and for own account); d) identification in the SLS order book: ISIN, trading currency and trading centre; e) quantity:. number of securities, without statement of the minimally executable number; or. number of securities, with statement of the minimally executable number; f) price limit: limited or unlimited; g) validity: good-for-day order only: valid until close of trading on the current trading day; h) Primary Reference Market: identification of the trading centre; i) routing instruction: "LN" for SLS. Details are laid down by the Exchange in the relevant technical specifications. 4.5 Market model 4.5. Mid-point Price Execution Orders shall be executed against each other at the "Mid-point Price" which means the midpoint between the highest displayed bid price and the lowest displayed ask price on the Primary Reference Market at the time of the execution. If an order is not or only partially executed, the remaining portion will be placed in the SLS order book. Other order validities remain reserved. As a rule, two or more orders on the same side of the SLS order book will be executed against an incoming order on the other side. No time priorities will be set. The following rules apply: a) If the incoming order is the same or larger than the sum of the executable orders on the other side of the order book, these orders will be executed in full. Any remaining order volume from the incoming order will be listed in the SLS order book. b) If the incoming order is smaller than the sum of the executable orders on the other side of the order book, these orders will be executed up to their individual maximums by means of SIX Swiss Exchange Ltd

5 Directive 5: "Over the Exchange" Services 5/0/0 an equal division of the incoming order volume. Any remaining order volume from the incoming order which cannot be executed in equal parts against executable orders from the other side of the order book will be executed according to time priority Enhanced liquidity To maximise order execution, there is an interaction between the liquidity available to Liquidnet Europe Limited (UK FSA-regulated agency broker and operator of FSA-regulated nondisplayed trading platforms) and the liquidity in the SLS order book. This Liquidnet Europe Limited liquidity is represented in the SLS order book in the name of Liquidnet Europe Limited, in its capacity as a SIX Swiss Exchange participant. To activate passive liquidity, Liquidnet Europe Limited receives anonymised indications about possible trades via the liquidity available in the SLS order book at any given time. "Passive liquidity" refers to orders submitted to Liquidnet Europe Limited by its customers that are not flagged as binding Trade suspension Trading shall be interrupted if and for as long as a) no Mid-point Price for the relevant security can be calculated on the Primary Reference Market; or b) trading in the relevant security on the Primary Reference Market is interrupted or suspended. Market control interventions remain reserved in accordance with the "Market Control" Directive Price step and round lot SLS does not check minimum price steps based on the market price and the trading currency. The valid round lot shall be one security. 4.6 Trade reports and publication Trades using SLS are deemed to be on-exchange, off-order-book trades in accordance with Clause 9. para. Rule Book and are deemed reported in accordance with Clause. Rule Book. Trades will be published immediately by the Exchange with the designation "LN". The delayed publication function as per Clause..5 Rule Book is not available. 4.7 Correction and cancellation of trades 4.7. Correction of trades Participants cannot correct trades. The Exchange cannot correct trades on behalf of a participant Cancellation of trades Participants cannot cancel trades. The Exchange can cancel trades on behalf of a participant. The Exchange will adjust the instructions to the central counterparty accordingly. If the trade is cleared by a central counterparty, the cancellation must be made on the same clearing day. SIX Swiss Exchange Ltd

6 Directive 5: "Over the Exchange" Services 5/0/0 4.8 Market conduct The market conduct provisions of Clause 9. Rule Book shall apply. In particular, the participant must ensure that the necessary precautions are taken to prevent impermissible cross-trades. 4.9 Clearing and settlement Trades shall be cleared and settled via a central counterparty. The provisions of Clause et seq. Rule Book, in particular Clause 5 Rule Book shall apply. The participants involved in a trade remain anonymous. 5. Market control The market control unit of the Exchange ("Market Control") ensures transparent, efficient and liquid trading using SLS with the objective of treating investors and participants equally and protecting investors. Should a participant's access system fail, the participant may request that Market Control delete his orders. Market Control is able only to delete all of the orders from a given participant. Market Control may declare a trade null and void at its own discretion or at the request of a participant. 4 Market Control will, as a rule, decide on the invalidity of a trade within 0 minutes of the close of trading. 5 Details are laid down in the "Market Control" Directive. 6. Market information The provisions on market information laid down in Clause Rule Book shall apply. 7. Transmission of data abroad SIX Swiss Exchange has engaged Liquidnet Europe Limited to act as service provider for SLS. In this connection, order information and trade execution data are transmitted, processed and/ or stored in non-anonymised format in the European Union and/or the United States of America. 8. Fees and costs The details are laid down in the "Fees and Costs" Directive. Resolution of the Management Committee of the Exchange of August 0; in effect since 5 October 0. SIX Swiss Exchange Ltd 4