SIX Swiss Exchange SWXess Maintenance Release 7.2 (SMR7.2) Participant Readiness (Version 3.00) SSX-SMR7.2-READY-/E Version 3.00, 19.09.2018 public Table of Content 1 Introduction ...................................................................................................................................................................4 1.1 Purpose and Scope ...............................................................................................................................................................4 1.2 Changes Since Last Version.................................................................................................................................................4 1.3 Definitions and Abbreviations ............................................................................................................................................4 1.4 References .............................................................................................................................................................................6 1.5 Contacts .................................................................................................................................................................................7 2 Summary and Overview ...............................................................................................................................................8 3 Functional Changes of SMR7.2 .................................................................................................................................... 9 3.1 On Order Book Trading and Trading without pre-trade transparency ......................................................................... 9 3.1.1 Introduction of Iceberg orders for Bonds CHF, ETFs and ETPs, Sponsored Funds and Sponsored Foreign Shares on OBM partition 2 (Non-Equities) ..................................................................................................................................9 3.1.2 Change of behaviour of Limit Plus and Iceberg Plus orders .....................................................................................11 3.1.3 Blocking of unauthorized buy orders in Separate Trading Lines ..............................................................................14 3.1.4 Introduction of a Closing Auction in the Fund Market ...............................................................................................15 3.1.5 Extension of Self-Match Prevention (SMP) for Exchange Traded Funds (ETFs), Exchange Traded Products (ETPs), Sponsored Funds (SF) and Sponsored Foreign Shares (SFS) .....................................................................................15 3.1.6 Tick Size Change for Sponsored Foreign Shares that are listed or admitted to trading outside a European Union (EU) trading venue (Price Step) .......................................................................................................................................16 3.2 Transaction Reporting .......................................................................................................................................................18 3.2.1 Reconciliation Report for Transaction Reports (TXR) ..................................................................................................18 3.2.2 Amendments in the format of Transaction Reports (CH-style) .................................................................................18 3.3 Market Data .........................................................................................................................................................................19 3.3.1 SIX Multi-Dimensional Data fluX™ Interface (SIX MDDX) for Trading Participants ................................................. 19 3.4 Reference Data ...................................................................................................................................................................19 3.4.1 Automation in ETF market making process .................................................................................................................19 3.4.2 Extension of Party ID List by LEI on the Member Section ..........................................................................................19 3.4.3 Reference Data Interface (RDI) ......................................................................................................................................20 3.5 Billing ...................................................................................................................................................................................20 3.5.1 Introduction of a time-limited Liquidity Provider Scheme (LPS) fee promotion for Mid-/Small-Cap Shares ...... 20 3.5.2 Additional bandwidth for Access Points and Proximity Service ................................................................................21 3.6 Other Service Offerings .....................................................................................................................................................21 3.6.1 Sponsored Access ............................................................................................................................................................21 3.6.2 SIX Swiss Exchange Liquidnet Service (SLS) .................................................................................................................21 3.6.3 Bilateral Trading Platform for Structured Products (XBTR) .......................................................................................22 4 Technical Changes ...................................................................................................................................................... 23 Page 2 SWXess Maintenance Release 7.2 (SMR7.2) SSX-SMR7.2-READY-/E Participant Readiness (Version 3.00) Version 3.00, 19.09.2018 public 4.1 SWXess Interface Changes ................................................................................................................................................23 5 Regulatory Changes.................................................................................................................................................... 24 5.1 Overview ..............................................................................................................................................................................24 5.2 Trading Regulations ...........................................................................................................................................................24 5.3 Trading Guides ....................................................................................................................................................................26 6 Migration ...................................................................................................................................................................... 27 6.1 Business Migration .............................................................................................................................................................27 6.1.1 Transactional Data ..........................................................................................................................................................27 6.1.2 Instrument and Segment Reference Data ...................................................................................................................28 6.1.3 Participant Reference Data ............................................................................................................................................29 6.1.4 Other Migration Aspects ................................................................................................................................................30 6.2 Technical Migration ............................................................................................................................................................30 7 Key Dates ...................................................................................................................................................................... 31 8 Testing .......................................................................................................................................................................... 32 Appendix ............................................................................................................................................................................. 33 Scenarios for Inactivation/Reactivation of Plus orders ...........................................................................................................33 Page 3 SWXess Maintenance Release 7.2 (SMR7.2) SSX-SMR7.2-READY-/E Participant Readiness (Version 3.00) Version 3.00, 19.09.2018 public 1 Introduction 1.1 Purpose and Scope This document provides all business related information for the SWXess Maintenance Release 7.2 (SMR7.2), including functional and technical changes, regulatory changes, the rollout plan as well as migration details and testing activities. 1.2 Changes Since Last Version Version, Date Description 1.00, 18.06.2018 First version of the document published with SIX Swiss Exchange message 26/2018 2.00, 10.08.2018 Updated version of the document published with SIX Swiss Exchange message 39/2018: - 2 Summary and Overview - 3 Functional Changes - 4 Technical Changes - 6 Migration - 7 Key Dates 3.00,