Directive 3: Trading
(DIR03)
Directive 3: Trading SIX Swiss Exchange AG
dated 4 July 2023 Entry into force: 4 December 2023
Directive 3: Trading 04/12/2023
1 Purpose
Companies submitting a proposal to buy back own equity securities for the purposes of a capital reduction or a public purchase or exchange proposal may apply with the Exchange for a separate trading line (second trading line). The procedure to open or close a separate trading line is governed by the Directive regarding the procedure for equity securities (DPES) of the Exchange's listing regulations.
2 Separate line in connection with a buyback of own equity securities for the purpose of a capital reduction
2.1 Trading
Only the participant responsible for the buyback may enter purchase orders on the instruction of the company. When setting the purchase price on the separate trading line, the statutory provisions prohibiting insider trading and market manipulation must be complied with. If a share buy-back programme is organised via a separate trading line, all transactions under this programme shall be processed via the order book for this separate trading line. Participants not acting on the instruction of the company buying back may not place any purchase orders on the separate trading line. Orders from such participants are rejected by the Exchange.
2.2 Settlement
The settlement of trades on the separate trading line shall be manual. The participants involved shall be responsible for the correct processing.
3 Separate line in connection with a public tender offer for cash
Every participant may enter purchase or sale orders. Impermissible shall be: a) purchase orders on instruction of the provider with a bid price above the public offer price; and b) sale orders on instruction of the provider.
4 Separate line in connection with a public exchange offer
Every participant may enter purchase or sale orders. Impermissible shall be: a) purchase orders on instruction of the provider with a bid price above the equivalent value of the securities offered for exchange; and b) sale orders on instruction of the provider.
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Annex B – Trade Types Trade Types for Trade Reports: a) "Special Price" specifies a report whose price 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. e) “Derivative hedge” specifies a report for a trade made in connection with a delta-neutral hedge with respect to a derivative transaction. f) “NAV Trade” specifies a report for a trade that is reported with a net asset value as soon as this value is known.
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Annex C – 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 Timing of publication turnover (ADT) in CHF qualifying 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
If an off-order-book trade meets the requirements for delayed publication at the end of the trading day and the Trade Report is reported after 15:30 (CET), the Exchange shall delay the publication of the trade until 12:00 (CET) on the following trading day.
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The Exchange publishes the authoritative ADT per security, with the static data, on the Exchange website: www.six-group.com/en/products-services/the-swiss-stock-exchange/market-data/statistics/yearlyreports.html
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 < CHF 100,000 or the equivalent amount for securia calendar year ties with a foreign nominal currency. Average number of trades per trading day during a calendar < 15 year Average number of trading days on which traded during a < 80% 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 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.
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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. 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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Annex D – Price Steps (Tick Size) The Exchange defines price steps and assigns securities to those individual price steps. The criteria by which securities are allocated to these price steps, or alternative price steps, are set out in the relevant Annex to the "Trading Parameters" Guideline. Liquidity bands Average number of trades (ANT) Band A Band B Band C Band D Band E Band F Price 0≤ 10 ≤ 80 ≤ 600 ≤ 2,000 ≤ 9,000 ≤ ANT ANT ANT ANT ANT ANT 0 ≤ price < 0.1 0.0005 0.0002 0.0001 0.0001 0.0001 0.0001 0.1 ≤ price < 0.2 0.001 0.0005 0.0002 0.0001 0.0001 0.0001 0.2 ≤ price < 0.5 0.002 0.001 0.0005 0.0002 0.0001 0.0001 0.50 ≤ price < 1 0.005 0.002 0.001 0.0005 0.0002 0.0001 1 ≤ price < 2 0.01 0.005 0.002 0.001 0.0005 0.0002 2 ≤ price < 5 0.02 0.01 0.005 0.002 0.001 0.0005 5 ≤ price < 10 0.05 0.02 0.01 0.005 0.002 0.001 10 ≤ price < 20 0.1 0.05 0.02 0.01 0.005 0.002 20 ≤ price < 50 0.2 0.1 0.05 0.02 0.01 0.005 50 ≤ price < 100 0.5 0.2 0.1 0.05 0.02 0.01 100 ≤ price < 200 1 0.5 0.2 0.1 0.05 0.02 200 ≤ price < 500 2 1 0.5 0.2 0.1 0.05 500 ≤ price < 1,000 5 2 1 0.5 0.2 0.1 1,000 ≤ price < 2,000 10 5 2 1 0.5 0.2 2,000 ≤ price < 5,000 20 10 5 2 1 0.5 5,000 ≤ price < 10,000 50 20 10 5 2 1 10,000 ≤ price < 20,000 100 50 20 10 5 2 20,000 ≤ price < 50,000 200 100 50 20 10 5 50,000 ≤ price 500 200 100 50 20 10
The Exchange publishes the price steps allocated per security with the static data.
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