Reporting Office Rules
(RR)
Reporting Office Rules (Reporting Rules, RR)
of 11/10/2017 Effective from: 01/01/2018
Reporting Rules 01/01/2018
1 Further information on exemptions from the duty to report
Trades in securities which are admitted to SIX Swiss Exchange in the "Bonds – Non-CHF" trading segment (international bonds) but not listed, as well as all securities admitted to trading on SIX Corporate Bonds, are exempted from the duty to report. Also exempted from the duty to report are Transmissions of Orders concerning foreign securities that are admitted to trading at a trading venue in Switzerland, providing they have been effected at a recognised foreign trading venue, or via a recognised foreign organised trading facility (OTF) (clarifying information in respect of FINMA Circular 2018/2, margin number 24). Remote members are also exempted from the duty to report (clarifying information in respect of FINMA Circular 2018/2, margin number 25, first sentence): a) In the case of trades in non-Swiss securities outside of Switzerland between two remote members of a Swiss trading venue – outside of a trading venue; or – at a trading venue not recognised by FINMA; or – via an organised trading facility/systematic internaliser; b) In the case of trades in non-Swiss securities outside of Switzerland between a remote member of a Swiss trading venue and a Swiss counterparty (the Swiss counterparty remains subject to the duty to report) – at a trading venue not recognised by FINMA; or – via an organised trading facility/systematic internaliser.
2 Trade Types
Trade Types for Trade Reports: a) "Special Price" specifies a report, the price of which differs from the market price at the time of entry (VWAP, portfolio trade, countertrade, Trade Report following an emergency situation, etc.); b) "Deferred Publication" specifies a report which is to be published by the Exchange after a certain delay. c) "Off-Exchange" specifies a report of a trade which is not subject to the provisions of the Rule Book. d) "Both Parties" specifies a one-sided Trade Report which is reported to the Exchange in the name of both of the parties involved in the trade.
Reporting Rules 01/01/2018
Annex B: Delayed Publication
1 Equity market
At the request of the participants, the Exchange shall publish off-order-book trades with a delay. The participant may apply for delayed publication if all of the following provisions are fulfilled: a) the trade is executed off-order-book; b) the trade is concluded between a participant trading on its own account (nostro) and a client of this participant; and c) the required minimum volume of the trade corresponds to the average daily turnover (ADT) in the securities in question. The following table shows delayed publication as a function of the ADT. Average daily Required minimum volume for Timing of publication turnover (ADT) in CHF a trade qualifying for delayed following the transaction publication > 100 million 10,000,000 60 minutes 20,000,000 120 minutes 35,000,000 At the end of the trading day 50 – 100 million 7,000,000 60 minutes 15,000,000 120 minutes 25,000,000 At the end of the trading day 25 – 50 million 5,000,000 60 minutes 10,000,000 120 minutes 12,000,000 At the end of the trading day 5 – 25 million 2,500,000 60 minutes 4,000,000 120 minutes 5,000,000 At the end of the trading day 1 – 5 million 450,000 60 minutes 750,000 120 minutes 1,000,000 At the end of the trading day 500,000 – 1 million 75,000 60 minutes 150,000 120 minutes 225,000 At the end of the trading day 100,000 – 500,000 30,000 60 minutes 80,000 120 minutes 120,000 At the end of the trading day 50,000 – 100,000 15,000 60 minutes 30,000 120 minutes 50,000 At the end of the trading day < 50,000 7,500 60 minutes 15,000 120 minutes 25,000 At the end of the next trading day
The Exchange publishes the authoritative ADT per security, with the static data, on the Exchange website: http://www.six-swiss-exchange.com/statistics/monthly_data/mtc_en.html
Reporting Rules 01/01/2018
2 Bond market
At the request of the participants, the Exchange shall publish off-order-book trades with a delay.
2.1 Illiquid securities
The participant may apply for delayed publication if all of the following provisions are fulfilled: a) the trade is executed off-order-book; and b) there is no liquid market for the security. There is deemed to be no liquid market for a security if one or more of the following criteria is/are not met: Average nominal value of trades per trading day < CHF 100,000 or the equivalent amount during a calendar year for securities with a foreign nominal currency. Average number of trades per trading day during a < 15 calendar year Average number of trading days on which traded < 80% during a calendar year Issue size during a calendar year a) for government bonds < CHF 1 billion or the equivalent amount for securities with a foreign nominal currency; or b) for other bonds < CHF 500 million or the equivalent amount for securities with a foreign nominal currency.
In the case of newly issued securities for which no data exists for the past three months, there is deemed to be no liquid market if the size of the government bond issue is less than CHF 1 billion and the issue size for other bonds is less than CHF 500 million (or the equivalent amount for securities with a foreign nominal currency). The Exchange publishes the authoritative liquidity data per security, with the static data.
2.2 Liquid securities
2.2.1 Large-volume trades by a systematic internaliser (SSTI threshold)
The participant may apply for delayed publication if all of the following provisions are fulfilled: a) the trade is executed off-order-book; b) there is a liquid market for the security; c) the trade was executed by a systematic internaliser for its own account ("Principal"); and d) the required minimum volume of the trade corresponds to the size specific to the instrument (SSTI) threshold of the securities concerned. The required minimum trade volume for large-volume trades by a systematic internaliser (the SSTI threshold) corresponds to the 80th percentile of trading turnover on the exchange of the liquid securities in question during one calendar year, and is rounded down in each case to the nearest CHF 100,000. The Exchange publishes the value of large-volume trades by a systematic internaliser (the SSTI threshold) per security with the static data.
2.2.2 Large-volume trades (LIS threshold)
The participant may apply for delayed publication if all of the following provisions are fulfilled: a) the trade is executed off-order-book; b) there is a liquid market for the security;
Reporting Rules 01/01/2018
c) the required minimum volume of the trade corresponds to the large in scale (LIS) threshold of the securities concerned. The required minimum trade volume for large-volume trades (the LIS threshold) corresponds to the 90th percentile of trading turnover on the exchange of the liquid securities in question during one calendar year, and is rounded down in each case to the nearest CHF 100,000. The Exchange publishes the value of large-volume trades (the LIS threshold) per security with the static data.
Reporting Rules 01/01/2018
Annex C: Reporting Fees
1 Trade Report
a) In principle, the reporting fee is payable per Trade Report and per party subject to the duty to report. It comprises a transaction fee and an ad valorem fee. b) For one-sided Trade Reports flagged with the "Both Parties" Trade Type, the Reporting Office charges those subject to the duty to report the set reporting fees for both of the parties involved in the trade. c) The fee charged for non-standard costs for the entry and cancellation of Trade Reports on behalf of a party subject to the duty to report is CHF 50.00 (excl. VAT) per report. d) The ad valorem fee depends on the trade's transaction volume. It is determined in terms of basis points (1/10,000) and has both a set minimum (floor) and a set maximum (cap). e) The reporting fees are as follows: – Equities
Transaction fee CHF 1.00 Ad-valorem fee Floor CHF 0.50 Scale 0.25bp Cap CHF 25
– ETF, ETSF, ETP, investment funds and sponsored funds
Transaction fee CHF 1.50 Ad-valorem fee Floor CHF 0.50 Scale 0.25bp Cap CHF 25
– Bonds – CHF
Transaction fee CHF 1.50 Ad-valorem fee Floor CHF 2.00 Scale 0.50bp Cap CHF 150
– Bonds – Non CHF
Transaction fee CHF 1.50 Ad-valorem fee None
– Derivatives (excluding rights)
Transaction fee CHF 1.50 Ad-valorem fee Floor CHF 1.50 Scale 1.50bp Cap CHF 25
– Rights2
Transaction fee CHF 0.10 Ad-valorem fee - Scale 0.25bp -
2 Transaction Report
a) In principle, the reporting fee is payable per Transaction Report and per party subject to the duty to report. b) The Delivery Report usage fee is CHF 0.50 per Delivery Report and party subject to the duty to report. c) The reporting fee for Transaction Reports is divided into rate bands and is based on the number of transactions reported annually by those subject to the duty to report.
2 For example, rights within the framework of capital increases, rights in connection with the distribution of a stock dividend, put options for the purpose of share repurchases, as well as shareholder and employee options.
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d) The rate bands for Transaction Reports are as follows:
Rate band Number of Transaction Reports per year Flat-rate annual fee from to 1 1 1,000 CHF 600 2 1,001 10,000 CHF 2,000 3 10,001 50,000 CHF 7,500 4 50,001 200,000 CHF 15,000 5 200,001 620,000 CHF 25,000 6 620,001 1,500,000 CHF 30,000 7 1,500,001 3,300,000 CHF 40,000 8 3,300,001 6,300,000 CHF 50,000 9 6,300,001 16,300,000 CHF 80,000 10 from 16,300,001 CHF 120,000