05 October 2020

Circular 20/141 Update to the Options MiFID II Market Maker Schemes

Category Trading

Attachments Guidance on Market Making under MiFID II

Further to Circular 17/194 dated 12 December 2017, the purpose of this Circular is to inform Members of an update to the Options MiFID II Market Maker (“MMM”) Schemes (“the Schemes”) which satisfy the regulatory obligation for MiFID II Investment Firms (“Investment Firms”) to enter market making agreements as per requirements set out by Commission Delegated Regulation (EU) 2017/578 (“the regulatory requirements”). The spread groups and minimum quote sizes for certain UK Standard Equity Options have been updated further to various Corporate Actions.

The new scheme details will run from 1 October 2020 until further Exchange notification. A general guidance document on the MiFID II Market Maker Schemes is also attached to this Circular, for further information.

Please note that this Circular applies to MiFID II Market Making Schemes for options only.

Commercial Terms

The Schemes reference specific delivery months in the following options contracts (“the contracts”): • FTSE 100 Index Options; • FTSE 250 Index Options; • FTSE 100 Index Weekly Options; • UK Standard Equity Options; • Brent American-Style Options; and • WTI American-Style Options.

Investment Firms who satisfy the regulatory requirements along with quote criteria (the “quote criteria”) set out in this Circular on a per contract basis are required to provide an initial admission request to the Exchange to become MMM of the contract. Upon admission participants will remain on the designated MMM schemes until their quote activity falls beneath the defined quote criteria for a calendar month, for the contract in question.

MMM Quote Criteria

Participants who fulfil the regulatory requirements in addition to the following quote criteria while pursuing a market maker strategy during half of the Exchange trading days over a one calendar month period are obliged to notify the Exchange as soon as possible. The Criteria are as follows:

• post firm, simultaneous two-way quotes of comparable size and prices; and • meet defined performance scoring on their own account(s) in at least one financial instrument on the trading venue for at least 50 percent of the daily trading hours (see Tables) of continuous trading at the respective trading venue, excluding opening and closing auctions.

In this context, the regulatory requirements consider that • a quote shall be deemed to be a firm quote where it includes orders and quotes that can be matched against an opposite order or quote in the order book; • quotes shall be deemed simultaneous two-way quotes if they are posted in such a way that both the bid and ask price are present in the order book at the same time; • two quotes shall be deemed of comparable size when a participants’ aggregated best bid/offer volume does not diverge from each other by more than 50 percent; and

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• quotes shall be considered to have competitive prices when they are posted equal to, or tighter than, a maximum defined bid/ask spread as defined by the Exchange, with aggregated best bid/offer volumes equal or greater to the minimum quote volume as defined by the Exchange (see Tables).

Only explicit orders and quotes in the outright contracts will be considered for market making activities. Participants meeting the quote criteria for contracts covered within the scope of this Circular will be deemed MMMs of the relevant contract.

MMM Performance Scoring

Scores will be awarded as a function of quote spread, size, relative size and presence. Monthly scores will act as a performance measure to ascertain whether participants are designated MMM for the contract(s) in question.

Participants’ order volume within the calculated spread limits will qualify for the purpose of score calculations. Qualifying volume on both the bid & offer must be greater than or equal to the contract specific volume set out in this Circular. Further to this, qualifying best bid/offer volumes must not diverge from each other by more than 50 percent. Awarded presence scores will reflect the time participants meet the criteria defined above during the designated trading day.

MMM Requirements

MMMs appointed by virtue of their quotation behaviour will be subject to the following requirements:

• provide firm quotes in at least one product during 50 percent of specified daily trading hours during all Exchange trading days over a one calendar month period. Should a participant fail to attain this requirement they will be removed from the Schemes; • employ effective systems and controls to enable the surveillance, compliance and auditing of market making activities; and • maintain records of firm quotes and transactions relating to their market making activities, which are clearly distinguished from other trading activities, and to make those records available to the Exchange upon request

During times of Stressed Market Conditions as defined by the Exchange, relaxed quoting obligations shall be employed for Equity Derivative contracts until further notice (see Tables below for details).

During Exceptions Circumstances as denoted in Article 3 of the regulatory requirements there are no quotation obligations for any Schemes contained within the scope of this Circular.

Please ensure that the appropriate members of staff within your organisation and customers are advised of the content of this Circular.

Signed:

Laurence Walton Head of Regulation and Compliance

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Registered name: ICE Futures Europe, (Registered in England, No. 01528617) Registered office: Milton Gate, 60 Chiswell Street, London EC1Y 4SA, United Kingdom ICE Futures Europe is recognised as an investment exchange and an auction platform, and is a benchmark administrator under the Financial Services and Markets Act 2000, supervised by the Financial Conduct Authority. 05 October 2020

IFLO Equity Derivatives

FTSE 100 Index Options

Maximum Bid Price Spreads Quote Trading Trading Daily (expressed in (expressed Maturity Size Day Day Strike Obligations Presence Index Points) in Index (lots) Start End Points) 0 - 5.00 1.5 0-3 months 40 50% 08:00 16:30 1 ATM, 5 nearest OTM 5.01 - 10.00 2 0-3 months 40 50% 08:00 16:30 1 ATM, 5 nearest OTM 10.01 - 25.00 2.5 0-3 months 40 50% 08:00 16:30 1 ATM, 5 nearest OTM 25.01 - 50.00 3 0-3 months 40 50% 08:00 16:30 1 ATM, 5 nearest OTM 50.01 - 100.00 4 0-3 months 40 50% 08:00 16:30 1 ATM, 5 nearest OTM 100.01 - 200.00 5 0-3 months 40 50% 08:00 16:30 1 ATM, 5 nearest OTM 200.01 - 300.00 6 0-3 months 40 50% 08:00 16:30 1 ATM, 5 nearest OTM 300.01 - 400.00 7 0-3 months 40 50% 08:00 16:30 1 ATM, 5 nearest OTM 400.01 - 500.00 8 0-3 months 40 50% 08:00 16:30 1 ATM, 5 nearest OTM 500.01 - 600.00 9 0-3 months 40 50% 08:00 16:30 1 ATM, 5 nearest OTM 600.00 + 10 0-3 months 40 50% 08:00 16:30 1 ATM, 5 nearest OTM

FTSE 250 Index Options

Maximum Bid Price Spreads Quote Trading Trading Daily (expressed in (expressed Maturity Size Day Day Strike Obligations Presence Index Points) in Index (lots) Start End Points) 0 - 150.00 35 Front quarterly 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 150.1 - 250.00 50 Front quarterly 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 250.1 - 500.00 75 Front quarterly 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 500.01 - 750.00 110 Front quarterly 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 750.01 - 1000.00 150 Front quarterly 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 1000.01 - 1500.00 200 Front quarterly 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 1500.00 + 250 Front quarterly 25 50% 08:00 16:30 1 ATM, 5 nearest OTM

FTSE 100 Index Weekly Options

Maximum Bid Price Spreads Quote Trading Trading Daily (expressed in (expressed Maturity Size Day Day Strike Obligations Presence Index Points) in Index (lots) Start End Points) 0 - 5.00 2 Front week only 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 5.01 - 10.00 3 Front week only 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 10.01 - 25.00 4 Front week only 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 25.01 - 50.00 4.5 Front week only 25 50% 08:00 16:30 1 ATM, 5 nearest OTM

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Registered name: ICE Futures Europe, (Registered in England, No. 01528617) Registered office: Milton Gate, 60 Chiswell Street, London EC1Y 4SA, United Kingdom ICE Futures Europe is recognised as an investment exchange and an auction platform, and is a benchmark administrator under the Financial Services and Markets Act 2000, supervised by the Financial Conduct Authority. 05 October 2020

50.01 - 100.00 6 Front week only 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 100.01 - 200.00 7.5 Front week only 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 200.01 - 300.00 9 Front week only 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 300.01 - 400.00 10.5 Front week only 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 400.01 - 500.00 12 Front week only 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 500.01 - 600.00 13.5 Front week only 25 50% 08:00 16:30 1 ATM, 5 nearest OTM 600.00 + 15 Front week only 25 50% 08:00 16:30 1 ATM, 5 nearest OTM

UK Standard Equity Options

Abs. Premium Benchmark Spread Daily Trading Trading Strike Min Max Maturity Group Percentage Presence Day Start Day End Obligations (Floor) (Ceiling) 1 ATM, 4 Group 1 £0.07 £0.20 15% 0-3 months 50% 08:00 16:30 nearest OTM 1 ATM, 4 Group 2 £0.09 £0.60 20% 0-3 months 50% 08:00 16:30 nearest OTM 1 ATM, 4 Group 3 £0.12 £1.00 30% 0-3 months 50% 08:00 16:30 nearest OTM

Stock Commodity Code Spread Group Minimum Quote Size Group Plc III 2 5 91 Plc NIN 2 5

Aggreko PLC AGK 3 3 AHA 2 10 ATT 3 5 Plc AH 3 5 PLC ABR 3 3 Astra Zeneca plc AZA 3 5 plc CUA 2 15 Group PLC BIG 3 3 BAE Systems plc AER 2 25 PLC BBL 1 25 Barratt Development Plc BDV 2 10 BHP Billiton plc BTB 3 10 BP PLC BP 1 25 PLC TAB 3 5 Company PLC BLC 2 5 BT Group plc BTG 1 50 PLC BNZ 3 3 Group BRW 3 5

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Registered name: ICE Futures Europe, (Registered in England, No. 01528617) Registered office: Milton Gate, 60 Chiswell Street, London EC1Y 4SA, United Kingdom ICE Futures Europe is recognised as an investment exchange and an auction platform, and is a benchmark administrator under the Financial Services and Markets Act 2000, supervised by the Financial Conduct Authority. 05 October 2020

Cairn PLC CNG 2 10 plc CPI 3 3 Carnival plc POC 3 3 Plc CTR 1 25 Coca-Cola HBC AG CL 3 3 plc CPG 2 10 CRH PLC (UK) CRM 3 3 PLC GNS 2 10 Direct Line Insurance Group Plc DLE 1 10 Group plc DIX 2 10 Easyjet Plc EZJ 3 3 Group Plc EVR 2 5 Plc EXP 2 5 WSY 3 3 FRN 3 3 G4S PLC SCR 2 5 GlaxoSmithKline plc GXO 2 15 International GL 1 25 GVC Holdings PLC LDB 1 10 Plc HMS 2 5 PLC HRL 3 3 HSBC Holdings plc HSB 1 25 IMI PLC IMI 3 3 plc IMP 3 5 Plc INR 3 5 InterContinental Hotels Group plc IHG 2 3 International Consolidated Airlines SA AWS 1 10 Group ITR 3 3 PLC IVS 2 5 ITV plc GME 1 10 PLC JMA 3 3 Kaz Minerals plc KZK 3 3 KGF 1 10 Land Securities Group plc LS 3 5 Legal & General Group PLC LGE 1 25 PLC TSB 1 100 London plc LSE 3 3

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Registered name: ICE Futures Europe, (Registered in England, No. 01528617) Registered office: Milton Gate, 60 Chiswell Street, London EC1Y 4SA, United Kingdom ICE Futures Europe is recognised as an investment exchange and an auction platform, and is a benchmark administrator under the Financial Services and Markets Act 2000, supervised by the Financial Conduct Authority. 05 October 2020

M&G Plc MNG 2 15 Plc EMG 2 15 Marks and Spencer PLC M+S 1 15 Plc MGG 2 5 Plc MLE 3 3 plc MDI 3 3 Morrison (Wm) Supermarkets plc MWR 1 15 NGG 1 15 NXT 3 3 Plc OCA 3 5 PLC ODL 2 10 Paddy Power Betfair PLC PP4 3 3 Pearson plc PSO 2 3 LTD PET 3 3 PRA 2 15 QUT 2 10 Benckiser Group Plc RBE 3 3 Relx Plc REI 3 5 PLC RTO 2 10 PLC RTZ 3 5 Rolls-Royce Holdings Plc RR 2 10 Royal Bank of Group plc RBS 1 25 PLC A Shares SHA 3 5 ROYAL DUTCH SHELL PLC B SHARES SHL 2 5 RMU 2 10 RSA Insurance Group Plc RYL 2 10 plc SGE 2 5 Sainsbury (J) PLC SAN 1 20 SDS 3 3 Group SRP 2 5 PLC SVT 2 3 Smith & Nephew plc SNP 2 5 PLC SMS 3 3 South32 SHH 3 5 Sports Direct International Plc SI 3 3 SSE Plc SSE 2 5 Plc SCB 2 10

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Registered name: ICE Futures Europe, (Registered in England, No. 01528617) Registered office: Milton Gate, 60 Chiswell Street, London EC1Y 4SA, United Kingdom ICE Futures Europe is recognised as an investment exchange and an auction platform, and is a benchmark administrator under the Financial Services and Markets Act 2000, supervised by the Financial Conduct Authority. 05 October 2020

Standard Life Aberdeen PLC LFI 1 10 Tate & Lyle Plc TAT 2 3 PLC TCO 1 30 Plc TPK 3 3 PLC TLO 2 5 PLC ULV 2 5 plc UUL 2 3 Group plc VOD 1 100 Plc WEI 3 3 Holdings plc WTB 3 5 William Hill plc WHL 1 10 WPP plc WPP 2 10

*Please note that during Stressed Market Conditions, all spread obligations can be doubled and size can be halved.

For the avoidance of doubt GKN PLC, Ladbrokes Coral Group, Randgold Resources, Shire PLC and Sky PLC have been delisted.

IFEU Crude Oil Options

Brent American-Style Options

Maximum Maturity Quote Daily Trading Trading Strike spread Size Presence Day Start Day End Obligations

0.2 Any month 1 Lot 50% 01:00 23:00 10 strikes above and below ATM

WTI American-Style Options

Maximum Maturity Quote Daily Trading Trading Strike spread Size Presence Day Start Day End Obligations

0.2 Any month 1 Lot 50% 01:00 23:00 10 strikes above and below ATM

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Registered name: ICE Futures Europe, (Registered in England, No. 01528617) Registered office: Milton Gate, 60 Chiswell Street, London EC1Y 4SA, United Kingdom ICE Futures Europe is recognised as an investment exchange and an auction platform, and is a benchmark administrator under the Financial Services and Markets Act 2000, supervised by the Financial Conduct Authority.