Post-trade transparency refers to the trading venue's obligations to publish the relevant data of each transaction immediately or, according to the venue's deferred publication regime, at the end of a defined time period.
While transactions that were carried out outside of normal business hours are to be published prior to the start of trading on the next trading day, deferred publication during a venue's trading hours may only be granted for transactions that:
- are large in size (i.e. trades above standard market size as specified by security);
- expose Liquidity Providers to unexceptional risk;
- require the nature of counterparties (retail / wholesale investors) to be taken into account;
- are carried out in illiquid securities.
Thresholds for large-in-size transactions as well as the classification of liquid/illiquid instruments are defined on an instrument-level (bonds) or for the whole asset class (equities and structured products).
SIX Swiss Exchange already features deferred publication regimes for each of its trading segments and services which in most cases shall be adapted to meet (or exceed) the new Swiss and European regulation.
|SSX trading segments||Deferred Publication (off-book trades only)|
|Equities / SFS||Existing functionality, new ESMA delayed publication table (RTS 1 Annex II Table 4) to be applied|
|Sep.Trading Lines, Rights||Immediate - no change|
|ETF / ETSF / ETP / SF||Immediate - no change|
|IF||No deferral of publication - no change (implemented already with SMR6 in Oct. 2016)|
Deferral to T+1, 7 am possible if bond is illiquid or trade qualifies for Large in Scale or SSTI post-trade transparency waivers - new!|
|Non-CHF Bonds||Deferral to T+2, 7 pm possible if bond is illiquid or trade qualifies for Large in Scale or SSTI post-trade transparency waivers - new!|
|Structured Products||No deferral of publication - no change|
|Service / venue||Deferred Publication|
|SLS||No change - all trades published immediately|
Deferral to T+2, 7 pm possible if bond is illiquid or trade qualifies for Large in Scale waiver (qualification validated separately for corporate and benchmark trade) - new!|
|XBTR||Under evaluation (publication of final FINMA circular on “Organised trading facilities" to be awaited)|
We believe the approach outlined is fully compliant with Swiss law and aligned to the principles of EU law but is subject to regulatory approvals.
The abolition of deferred publication in the investment funds segment is scheduled for SMR6 (2016) while all other changes will be implemented with SMR7 (2017).
Art. 29 (paras. 2 and 3 lit. b); Pre- and post-trade transparency
Art. 46; Trading transparency (OHS)
Art. 28; Post-trade transparency
Art. 29; Exceptions to pre-trade and post-trade transparency
Art. 43; Post-trade transparency for securities (OHS)
Art. 10: Post-trade transparency requirements for trading venues in respect of bonds, structured finance products, emission allowances and derivatives
Art. 21: Post-trade disclosure by investment firms, including systematic internalisers, in respect of bonds, structured finance products, emission allowances and derivatives
RTS 1: Regulatory technical standards on transparency requirements in respect of shares, depositary receipts, exchange-traded funds, certificates and other similar financial instruments
- RTS 2: Regulatory technical standards on transparency requirements in respect of bonds, structured finance products, emission allowances and derivatives
- RTS 14: Regulatory technical standards on data disaggregation
Segment for Equities
Q: How will the ADT (Average Daily Turnover) criteria of the ESMA deferred publication table be implemented?
A: SSX will calculate its own ADT values based on SSX turnover while converting the ADT thresholds of ESMA (expressed in EUR) into CHF by using a snapshot FX rate of the previous business day. Reported trades in non-CHF traded equities will be converted into CHF for the purpose of validation against the ADT criteria.
Segment for Structured Products
Q: SIX Swiss Exchange does not defer publication of transactions in structured products, why?
A: Since price formation in structured products is derived from the underlying instruments, transaction data does not contain new price-relevant information to the market participants. Therefore there is no need to protect certain actors' interests by delaying the publication of such data. In this sense the current ruling on SIX Swiss Exchange is exceeding the Swiss and European requirements for post-trade transparency and shall not be changed.