MARKET MAKING SCHEME FOR EXCHANGE TRADED PRODUCTS

Transcription

1 20 NOVEMBER 2017 Issue Date: 21 November 2017 EFFECTIVE DATE: 3 January 2018 Document type MARKET MAKING SCHEME FOR EXCHANGE TRADED PRODUCTS 1

2 1. MAIN PRINCIPLES 1.1 DOCUMENTATION The appointment of each Market Maker (hereafter Market Maker ) is subject to a binding contract between the Member and Euronext the Euronext Market Making Agreement ( the Agreement ). This Market Making Agreement comprises the Market Making General Terms and Conditions, the Market Making Operating Terms, this Market Making Scheme document and the applicable Registration Form. This document is supplemented by the Trading Fee Guide for Euronext Cash Market Members. Section 1 of this document explains the general fee principles for Market Maker orders and trades. The list of trading groups and corresponding trading patterns are available in the appendix to the Euronext Trading Manual, which is supplemental to the Euronext Rulebook and can be found online at: ELIGIBILITY Only Market Makers may send Market Maker orders to the Euronext Order Entry system. Market Makers are required to flag all relevant orders and quotes on the Euronext Order Entry systems as follows: - Account code 6 on Euronext Cash Markets, combined with Algorithm flagged for the MiFID II field ExecutionWithinFirmShortCode A trade leg resulting from a Market Maker order is identified as a Market Maker trade. Only Market Maker orders and trades benefit from the Market Maker Trading Fee Scheme detailed herein. Orders introduced by the Market Maker to the system but not flagged accordingly are charged under the standard Euronext Cash Markets Trading Fee Structure. This Market Making Scheme is strictly for use by the trading members having subscribed to the Agreement. As a reminder, Market Makers who are subject to Market Making Schemes are required, amongst other things, to post firm, simultaneous two-way quotes of comparable size and competitive prices, and deal on their own account for at least 50% of the continuous trading session during at least half of the trading days over a single calendar month period, as a minimum. 1.3 SCOPE OF INSTRUMENTS This Market Making Scheme is related to all liquid and illiquid ETFs, ETCs & ETVs admitted on Euronext trading venues. 1.4 REGISTRATION PROCESS To benefit from this Market Maker Scheme on Exchange Traded Products, applicants should execute and submit the relevant Market Making Registration Form which can be found online at: 2

3 2. SCHEME 2.1 MARKET MAKER ORDER FEE Market Maker orders are free of charge. 2.2 PERFORMANCE REQUIREMENTS On top of the Market Maker Agreement, the market maker should fulfil at least 80% of the requirements hereafter: Providing quotes during 80% of the daily trading hours (opening, continuous trading, closing). Providing a 100,000 min size on bid and ask orders during 80% of the daily trading hours Providing a specific spread depending of the underlying index during 80% of the daily trading hours Standard exposure European Equity : 2% maximum spread Standard exposure Government Bond: 2% maximum spread All Other : 3% maximum spread The percentage of requirements met by the Market Maker is calculated by Euronext on a monthly basis, per product. Instrument scope Presence time Maximum spread Minimum size Standard exposure European equity underlying Standard exposure Government bond Underlying 80% 2%1 100,000 80% 2%1 100,000 All other underlying 80% 3%1 100,000 1 Conditions required for at least 80% of the daily trading hours 2.3 STRESSED MARKET CONDITIONS In the event of Stressed Market Conditions (as defined in applicable regulation), the Market Maker may benefit from larger max spread requirements: Standard exposure European Equity : 4% maximum spread Standard exposure Government Bond: 4% maximum spread All Other : 6% maximum spread 2.4 OBLIGATIONS FULFILLED If the Market Maker s obligations are fulfilled, the trading fee rebate will be based on the Market Maker s passive and aggressive market share, except for guaranteed principal cross trades and block trades via TCS. 3

4 Guaranteed principal book cross-trades are charged at 0.05 basis points, with a maximum charge of per trade side. Block trades and other negotiated trades are charged at 0.05 basis points, with a maximum charge of per trade side. A monthly cap of 1,000 per member is applicable. Guaranteed principal cross trades and block trades are not taken into account in the passive and aggressive market share calculation. The discounts for Market Maker meeting their requirements are as follows: Maker discount = 4 x passive market share (capped at 100%) Taker discount = 1 x aggressive market share (no cap) No discount for auction activity. For products not traded in Euros on Euronext, the transaction size is calculated in Euros using the ECB currency rate of the trading day or the last known currency rate. MM TRADE FEE ETPS: WHERE OBLIGATIONS FULFILLED MM trading activity Maker discount = 4 x passive market share (capped at 100%) Taker discount = 1 x aggressive market share (no cap) No discount for auction activity. Guaranteed principal cross 0.05 basis points per MM side of each trade, with a maximum of trades per trade side. Block trades and other 0.05 basis points per MM side of each trade, with a maximum of negotiated trades via TCS per trade side. Monthly cap of 1,000 per member. Euronext reserves the right to make amendments on the Market Making discounts. The updated Market Making fee structure will be available on the Market Maker Fee Guide. 2.5 OBLIGATIONS NOT FULFILLED Where the obligations are not fulfilled, an ad-valorem fee of 0.60 basis points applies to the Market Maker side of each trade with a minimum of 0.75, except for guaranteed principal cross trades and block trades via TCS. Guaranteed principal cross trades2 will be charged an ad-valorem fee of 0.15 basis points for the Market Maker side of the trade, with a minimum of Block trades and other negotiated trades will be charged an ad-valorem fee of 0.15 basis points for the Market Maker side of the trade, with a maximum of and a minimum charge of 0.75 per trade side. A monthly cap of 1,000 per member is applicable. For products not traded in Euros on Euronext, the transaction size is calculated in Euros using the ECB currency rate of the trading day or the last known currency rate. 4

5 MM TRADE FEE ETPS: WHERE OBLIGATIONS NOT FULFILLED MM trading activity Guaranteed principal cross trades Block trades and other negotiated trades via TCS Ad-valorem fee of 0.60 basis points applies to the MM side of each trade with a minimum of basis points per MM side of each trade, with a maximum of and a minimum of 0.75 per trade side basis points per MM side of each trade, with a maximum of and a minimum of 0.75 per trade side. Monthly cap of 1,000 per member. 5