Wiener Börse AG Changes in Specialist- and Market Maker System. February, 2015

Transcription

1 Wiener Börse AG Changes in Specialist- and Market Maker System February, 2015

2 Quotation Time - Changes as of Extension of daily observation period new: CET Quotation obligations new: 80% of observation period Observation period one calendar month (unchanged) new: in total, 80% of observation period have to be fulfilled per month new: regulation, that fulfilment can only be less than 80% on three single days per month, will be discontinued Fast market regulation +/- 3% ATX (unchanged) 2

3 Liquidity Classes - Status Quo Max. Spread Min. Size Euro (Cap Units) LQ 1 ATX5 shares 1% 40 TSD (3,000) LQ 2 ATX excl. ATX5 shares 2% or 3% 30 TSD (2,500) LQ 3 ATXPrime excl. ATX 3% or 4% 20 TSD (2,000) 3

4 Liquidity Classes - Changes as of liquidity classes for ATX Prime (no further distinction of ATX5, ATX and remaining Prime Market shares) no unit-cap when converting from Euro to units still conversion from Euro amount to units, rounded to 50 units Pre-given minimum size for Specialist tender (factor x of market maker) Liquidity Class MM Max. Spread new MM Min. Size EURO new Specialist Min. Size EURO new LQ % 40 TSD 120 TSD (factor 3) LQ 2 1% 30 TSD 90 TSD (factor 3) LQ 3 1.5% 20 TSD 40 TSD (factor 2) LQ 4 2% 10 TSD 15 TSD (factor 1.5) LQ 5 3 % 10 TSD 10 TSD (factor 1) 4

5 Specialist Tender 2015 (1) Liquidity class (LQ1 to LQ5) is pre-given and fixed at the start of the tender procedure and is valid throughout one specialist period (beginning of April y until end March y+1) Calculation of liquidity class by exchange, taking into consideration following input parameters free-float capitalisation average daily turnover unwinding period historical volatility market spread 5

6 Specialist Tender 2015 (2) Tender 1. round: Possibility to tender via the spread only Higher size for Specialist is pre-given (factor x of market maker) Submission of bids in steps of 0,01% possible Tender 2. round : if in case of minimum of two equal best bid offers in the first round, 2 nd round of invitation to tender only to participants that tendered best bids throughout first round in case of no bid in first round, 2 nd round of invitation to tender to all participants Tendered spread of first round remains unchanged Possibility to tender via minimum size (Euro amount) only Submission of bids in steps of Euro 100 6

7 Specialist Tender 2015 (3) No change of the assigned liquidity class within the specialist period (beginning of April y until end March y+1) no periodical adjustment of spreads for market makers and specialists within the specialist period Quarterly conversion of quoting obligation from Euro value to units per share, rounded to 50 units In extraordinary situations exchange my change liquidity class throughout the year In case of premature termination of the Specialist obligation (withdrawal by exchange, completion by member), the market participant who tendered 2 nd best throughout the procedure receives the mandate for the remaining Specialist period if there is no, or no distinct 2 nd best offer, a tender will be initiated for the market makers in the affected share 7

8 Specialist Tender 2015 (4) All market participants having minimum one active market maker obligation in continuous trading (Prime Market, Standard Market Continuous, Mid Market Continuous, Other Securities Continuous) at the time when the Specialist tender starts, are allowed to participate in the tender procedure Documents for the tender procedure will be sent by to the trading departments of all active market makers 8

9 Specialist Tender Time Schedule 1. Call tender procedure via mail announcement Mon, end of term for bids (arrival at Wiener Börse!) Wed, opening and evaluation of the bids announcement of best bids and participants as of Thu, Call tender procedure via mail (second call for identical or no bids!) announcement Mon, end of term for bids (arrival at Wiener Börse!) Wed, opening and evaluation of the bids announcement of best bids and participants as of Thu, Final complete evaluation of the bids announcement of complete result till Mon, START Wed,

10 Constant Adjustment of Maximum Spread still remains Liquidity Class LQ1 LQ2 LQ3 LQ4 LQ5 relative spread 0.75% 1.00% 1.50% 2.00% 3.00% stagnating spread at price 5.00 Euro fixed spread at price 1.00 Euro LQ1 LQ5: Prime Market 2 decimal places 10

11 Constant Adjustment of Maximum Spread Example Max. spread of share X for Market Maker: 1.5 % Specialist: 0.83 % (this equals percentage points respectively % compared to market maker) i.e. as long as share X is quoted above 5, the relative spread as mentioned has to be fulfilled. i.e. when constant adjustment of maximum spread for share X becomes effective, the absolute spread has to be fulfilled as follows: Market Maker: 0.10 Specialist: 0.06 (this equals % compared to market maker; rounded at two decimal places 11

12 Mid Market Continuous, Standard Market Continuous and Other Securities Continuous Changes as of Liquidity Class Max. Spread actual Max. Spread NEW Quot. Time actual Quot. Time NEW Minimum Size actual Minimum Size NEW LQ 6 4% / 5 % 4% 65% 80% 10 / 15 TSD 10 TSD reduction of minimum size to 10,000 Euro increase of unit-cap to 5,000 when converting from Euro to units, rounded to 50 units regulation, that fulfilment can only be less than 80% on three single days per month, will be discontinued; in total, 80% of observation period have to be fulfilled per month observation period: CET 12

13 Auction with Liquidity Providers Changes as of Liquidity Class Max. Spread actual Max. Spread NEW Quot. Time actual Quot. Time NEW Minimum Size actual Minimum Size NEW LQ 7 5% 5% 65% 80% 10 TSD 10 TSD minimum size 10,000 Euro increase of unit-cap to 5,000 when converting from Euro to units, rounded to 50 units regulation, that fulfilment can only be less than 80% on three single days per month, will be discontinued; in total, 80% of observation period have to be fulfilled per month Observation period: start of call phase until uncrossing, whereas at the time of uncrossing the liquidity provider in auction must be in the order-book with his quote 13

14 Constant Adjustment of Maximum Spread still remains Liquidity Class LQ6 LQ7 relative spread 4.00% 5.00% stagnating spread at price 5.00 Euro fixed spread at price 1.00 Euro LQ6: Mid Market Continuous, Standard Market Continuous and Other Securities Continuous LQ7: Auction with Liquidity Providers 14

15 Exchange Traded Funds Changes as of Max. Spread actual Max. Spread NEW Quot. Time actual Quot. Time NEW Minimum Size actual Minimum Size NEW up to 3% up to 3% 65% 80% 30 TSD 30 TSD no unit-cap when converting from Euro to units, rounded to 50 units regulation, that fulfilment can only be less than 80% on three single days per month, will be discontinued; in total, 80% of observation period have to be fulfilled per month observation period: CET 15

16 Disclaimer Wiener Börse AG would like to specifically point out that the data and calculations in the charts are values and figures from the past, and are not reliable indicators of future performance trends. For this reason, the data should not be used to draw conclusions on future index trends. 16