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Reporting Office Rules

SIX-d53f82a5c649

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Retrieved on Sep 12, 2026

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Reporting Office Rules
(RR)

SIX Swiss Exchange Ltd

Reporting Office Rules (Reporting Rules, RR)

Dated 16 August 2019 Entry into force: 28 October 2019

Reporting Rules 28/10/2019

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 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 subject to reporting requirements (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 Trading Rules. 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.

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Reporting Rules 28/10/2019

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 a trade qualify- Timing of publication turnover (ADT) in CHF ing for delayed publication following the transaction > 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:

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Reporting Rules 28/10/2019

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 during a < CHF 100,000 or the equivalent amount for securities with a calendar year foreign nominal currency. Average number of trades per trading day during a calendar year < 15 Average number of trading days on which traded during a calendar year < 80% 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 in scale 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 in scale 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 in scale trades by a systematic internaliser (the SSTI threshold) per security with the static data.

2.2.2 Large in scale 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; c) the required minimum volume of the trade corresponds to the large in scale (LIS) threshold of the securities concerned.

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Reporting Rules 28/10/2019

The required minimum trade volume for large in scale 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 in scale trades (the LIS threshold) per security with the static data.

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