Fixed Income Cash Markets Genium INET Functional Changes. Document Updated:

Transcription

1 Fixed Income Cash Markets Genium INET Functional Changes Document Updated:

2 Contents 1 Introduction 3 2 Manual trade reports on exchange Manual trade reports Deferred Trade-Publication for manual trades Deferred Trade-Publication for auto match trades Trade Report Types & Attributes 4 3 Order Book Trading Reserve Orders Circuit Breakers Order Price Limits Order Volume and Value Limits Market Making 8 4 Pre- & Post-Trade Information 8 5 Trade Cancellations and Amendments 8 2 (8)

3 1 Introduction The Genium INET release introduces several updates to business functionality available for the Fixed Income Cash markets. All functional changes and updates to business parameters will be described in more detail in the upcoming version 5.0 of the market model document effective 3 January Some features will be activated 20 November in connection with the technical upgrade. A draft version of the market model document is planned to be published in October. This document outlines planned functional changes focusing on updates to business logic for the purpose of facilitating implementation and testing of the new release. The information provided in this document is preliminary and may be subject to change pending, inter alia, completion of or further guidance in MiFID II related level 2 and 3 texts, and in some cases ongoing discussions or regulatory approvals. 2 Manual trade reports on exchange 2.1 Manual trade reports The exchanges will have pre-trade transparency waivers in place to allow manual trade reports to be negotiated outside the electronic order book. Depending on which exchange and instrument the minimum threshold for a manual trade report will differ. Nasdaq exchanges will not allow manual trade reports below instrument specific configuration which will be calibrated according to MiFID II regulation and granted pre trade waivers. Trade reports below the configured threshold volumes will be rejected. Some products may qualify for the illiquid waiver and some will qualify for the Large in Scale waiver if granted by authorities. Applicable minimum block (threshold) sizes will be available in the exchange s reference data. Illiquid products will be flagged in the reference data accordingly Implementation Minimum block trade size (pre trade LIS) validations will apply from January Indicative block sizes (pre trade LIS) will be configured in the member test environment to facilitate implementation and testing. 3 (8)

4 2.2 Deferred Trade-Publication for manual trades The exchange will for large trades provide deferred trade-publication. Depending on instrument type and exchange the deferrals may differ between End-of-Day and potentially T+4 weeks. In some cases there will be aggregated information sent out beforehand. Instrument information will be available in Nasdaq s reference data. Details on market level will be available in the Market Model when information is received from local FSA. The minimum trade size required to qualify a trade for deferred publication will be determined by ESMA and set up as the LIS post-trade threshold value as well as minimum trade size for illiquid products were applicable. To prevent manual errors, trades requested to be deferred but not satisfying the deferral threshold volume will be published immediately if however the trade is less than the minimum block trade size the trade will be rejected. Applicable deferral threshold volumes will be available in the exchange s reference data Implementation When the FSAs have decided on the deferral regimes of the individual exchanges and instrument types and sub types the test systems will be updated with the relevant deferral regimes. In the meantime we will configure some plausible deferral regimes for the different exchanges, asset classes and asset sub classes. For Danish covered bonds (mortgage bonds) the current deferral rules is expected to be continued and this is reflected in the setup of the Danish cash bond market. 2.3 Deferred Trade-Publication for auto match trades For some of the auto match markets we will offer deferred publication on auto match trades. The same thresholds as for manual trades will apply. The deferral of auto matched trades only relates to Undisclosed orders, i.e. if one of the orders in the match is undisclosed and the trade volume fulfils the deferral threshold the trade publication will be deferred according to the prevailing deferral rules Implementation Revised deferral rules will apply from January Indicative levels are configured in the member test environment to facilitate implementation and testing. Final deferral setup for all relevant instruments and markets will be communicated in an exchange notice closer to go-live and added to the market model document. 2.4 Trade Report Types & Attributes When reporting manual trades to the exchange members are required to use the relevant trade report type and attributes. These will be described in the market model document. Details are found in the table below. In addition it will become mandatory to submit the time of agreement and the new benchmark flag shall be used where relevant. 4 (8)

5 2.4.1 On Exchange trade reports 1 Trade Report ID STND NSTL REPO DRTR Description Standard Non Standard Settlement Repurchase agreement Derivatives related trade Single- Instrument / Single-instrument Single-instrument Single-instrument Single-instrument Multi-Leg Use One-/Two-Sided Both Both Both Both Reporting Mode OMnet ext_t_state_c FIX OffBookType (20200) Updates Trade Yes No No No Statistics Valid Order Book States All trading session All trading session All trading session All trading session Trade Report ID PORT VWAP XGRT Description Portfolio trade Vol Weighted Avg Exchange Granted Price Single- Instrument / Both Both Both Multi-Leg Use One-/Two-Sided Both Both Both Reporting Mode OMnet ext_t_state_c FIX OffBookType (20200) Updates Trade No No No Statistics Valid Order Book States All trading session All trading session All trading session APA (OTC) trade reports Trade Report ID APFI APSI ANFI ANSI Description OTC-Std APA Disclosed, Fixed Income SI-Std APA Disclosed, Fixed Income OTC-non-Std APA Disclosed, Fixed Income SI-non-Std APA Disclosed, Fixed Income Single- Instrument / Single-instrument Single-instrument Single-instrument Single-instrument Multi-Leg Use One-/Two-Sided Both Both Both Both Reporting Mode OMnet ext_t_state_c FIX OffBookType (20200) Application Updates Trade Statistics Yes No No No Valid Order Book States All trading session + PRTR, POTR and TERM All trading session + PRTR, POTR and TERM All trading session + PRTR, POTR and TERM All trading session + PRTR, POTR and TERM It will also be possible to report OTC- and SI-trades via Genium INET if the market allows for the above mentioned trade report types. It will only be possible to report OTC- and SI-trades in instruments listed and traded in Genium INET. For OTC- and SI-trades in instruments not traded in Genium INET the publication may be done via INET APA-publication services. Further information about the APA-publication services may be found in the APA-publication services guidelines. 1 All on exchange trade reports must be reported and published during opening hours. 5 (8)

6 2.4.3 Implementation The amended set of on exchange trade report types apply and are mandatory from November 20, 2017 release. Current off-hour and OTC-trade reports will be valid until January 2, The new APA reports will be valid from January The on-exchange trade report types will be the same after the MiFID II implementation; however some smaller changes will be implemented. The time of agreement field is made mandatory in January 3, With the November 2017 release a new benchmark flag is added to the trade ticker messages. This flag will be set by Genium INET when the trade report type VWAP is used. 6 (8)

7 3 Order Book Trading 3.1 Reserve Orders The exchange will in Jan activate a minimum reserve order volume check. The minimum notional value in local currency will set by the exchange from time to time based on the regulatory minimum of EUR. Indicative levels are configured in the member test environment to facilitate implementation and testing. 3.2 Circuit Breakers As of November 2017 circuit breakers will be introduced on the electronically traded markets for fixed income. The circuit breakers will be active during continuous trading. A dynamic circuit breaker will be used and the primary reference price will be last match price, if none exists a calculated settlement price from previous day will be used. Activation of a circuit breaker causes the order book trading functionality to enter into an auction. The length of the auction will be 90 seconds and during that state order management is allowed and the uncrossing will take place in the same way as in the opening call Implementation Dynamic circuit breakers for fixed income products will be activated on November 20, Detailed information on business parameters will be added to the Market Model. With the November 2017 release circuit breakers triggering information is available on both OMnet and FIX interfaces and supported for all order operations including add and update. 3.3 Order Price Limits Price limits functionality for fixed income will be introduced and active during all trading sessions. Narrow limits on the aggressive side (lower ask/upper bid) preventing erroneous executions and wider limits on the passive side (lower bid/upper ask). Such wider limits on the passive side relative to the aggressive side allow passive orders to be placed a bit off the prevailing market price levels. If residing orders end outside the wider limits they will be deleted and an order deletion message send out Price Limits during Auction Trading Mode Implementation Updates to price limits configuration will be made ahead of MiFID II on November 20, Details of different levels for different products will be communicated later. Information of price limits will be available in the market model document. 3.4 Order Volume and Value Limits A max order volume in terms of nominal amount (quantity) as well as a max order value will be introduced. With the purpose of preventing obviously erroneous orders from being added to the book, this new pre-trade control will reject orders with an exceptionally large nominal amount. The configuration of max value limits will be set up on instrument level Implementation Max volume and value limits configuration and activation will be made ahead of Nov Detailed information on business parameters and activation dates will be communicated later. 7 (8)

8 3.5 Market Making Market maker agreements will be needed for fixed income products where members act as Marker makers in order to comply with MiFID II. The members will be asked to respond to the exchange with information on market making activities to set up an agreement. Volume and spread requirements will be market specific and communicated later Exceptional Market Conditions Market makers will not be required to quote continuously during periods for which exceptional market conditions have been declared. With the November 2017 release new messages are introduced on market data interfaces for the communication of such conditions. More information will be communicated in the Market Model 4 Pre- & Post-Trade Information With the November 2017 release market-by-level pre-trade information will be updated to include the number of orders on each side. Also with the November 2017 release the Market Model Typology (MMT) trade flagging standard is implemented and will be used in post-trade information. 5 Trade Cancellations and Amendments Trades may be cancelled by Nasdaq Nordic or Baltic or by the trading parties themselves. Cancellation rules are specified in Nordic Member Rules. As a general rule, a cancellation request must be received by the relevant exchange as soon as possible from time of execution in order to avoid misinformation of the market participants. External cancellations will no longer be available via OMNet and Trading Workstation Implementation Cancellations and amendments are handled via the Rectify Trade (private information about the trade) and Rectify Deal (non-private information about the trade) transactions in OMnet or by using these functionalities in clearing Workstation 1 (CW1). FIX users shall use the Trade Capture Report Confirmed Trade Cancel (in) message and the Trade Capture Report Rectify Confirmed Trade (in) message to cancel and amend confirmed trades respectively. The external cancellation and amendment functionality can only be used in case the same participant is on both sides of the trade, i.e. when having used the two-party trade reporting. If different parties are involved in the trade (using one-party trade reporting) both parties need to call Trading Surveillance who then will take care of the cancellation or amendment. Cancellations and amendments received during the trading day will be reflected in the trading statistics (high, low, average etc.) immediately. Cancellations and amendments received on later trading days will not be included and trading statistics will not be corrected based on these cancellations and amendments. 8 (8)