lsedm trading services description - London Stock Exchange Group

LSEDM TRADING SERVICES DESCRIPTION November 2016

London Stock Exchange Derivatives Market TRADING SERVICES DESCRIPTION

Version 6.2 28 November 2016

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1.

2.

3.

4.

5.

Introduction

6

1.1. Clearing and margining

6

1.2. Product Overview

7

General functionality

8

2.1. Series Generation

8

2.2. Corporate Actions Treatment Rules 2.3. Corporate Action Identifier

9 9

2.4. Strike Price Generation

9

Trading Functionality

14

3.1. Opening auction (available for interest rate derivatives only) 3.2. Order book Trading

14 15

3.3. Tailor-made (Flex) series (for equity derivatives only) 3.4. Bilaterally Negotiated Trades (BNTs) and Trade Reporting

19 19

Connectivity and Access

24

4.1. Physical Connectivity

24

4.2. Third Party Connectivity: Network Service Providers (NSPs) 4.3. Third Party Connectivity: Vendor Access Networks (VANs)

24 24

4.4. Internet VPN 4.5. Vendor Software Solutions

25 25

4.6. BCS FTP Service 4.7. Trading APIs

25 25

4.8. Drop Copy 4.9. Market Data API

26 26

4.10. Clearing API

26

Market Operations and Clearing

27

5.1. Transaction reporting and Market Identifier Code (MIC)

27

5.2. Central Counterparty Protection 5.3. Margining and Position Controls

27 27

5.4. Interest Rate derivatives 5.5. Give Ups

27 28

5.6. Account Structure 5.7. Market Operations and Clearing Processing Timetable

28 28

5.8. Clearing reports 5.9. Exercise, Assignment and Settlement

29 29

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6.

Risk Controls

32

6.1. Order book

32

6.2. Price Controls on Block Trades

35

6.3. Bulk Quoting Protection

35

6.4. Pre-Trade Validation Service (PTVS)

37

7.

Tariff Models

39

8.

Contacts

40

9.

Appendix A – Market Operations and Clearing Processing timetable

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9.1. Equity derivatives

41

9.2. Interest Rate derivatives

42

Appendix B - Order book trading

44

10.1. Matching algo by product

44

Appendix C - Order Types

46

11.1. Order types for electronic, anonymous Order book trading

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11.2. Block Trades

47

Appendix D – Controls

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12.1. Price and Quantity Restrictions for equity derivatives 12.2. Price and Quantity Restrictions for Interest rate derivatives

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12.3. Index options (order book price control), excluding FTSE 100 Index options 12.4. FTSE 100 Index and Index Weekly options (order book price control) - Trade v.s. Settlement

51 52

12.5. FTSE 100 Index and Index Weekly options (order book price control) - Trade v.s. Last 12.6. Stock options (order book price control) 54

53

Appendix E - Futures Contracts Value Ranges

55

13.1. Equity derivatives 13.2. Interest rate derivatives

55 55

Appendix F – Standard combinations

56

10.

11.

12.

13.

14.

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15.

16.

14.1. List of Exchange-generated strategies for equity derivatives

56

14.2. List of Exchange-generated strategies for Interest Rate derivatives

56

Appendix G - Flexible combinations

57

LSEDM suggested convention for user-generated strategies

57

Appendix H - Bulk quoting protection: Default thresholds and user configurable ranges

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16.1. IOB options (maximum volume protection only) 16.2. UK stock options (maximum volume protection only)

60 60

16.3. Norwegian index, options and futures 16.4. All other equity derivatives

60 61

16.5. Interest Rate derivatives

61

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Document history

Issue

Date

Description

6.2

28 November 2016

Extension of the Pre-Trade Validation Service (PTVS) to Equity derivatives

6.1

7 November 2016

Change of the Circuit Breakers for FTSE 100 Index based options

6.0

September 2016

Introduction of CurveGlobal products Trading on LSEDM Introduction of Reporting Broker Platform Provider (RBPP) service. Update to sections 3.3 and 4.3.

5.10

23 May 2016

Introduction of FTSE 100 index weekly options from 31 May 2016. Update to Block sizes for FTSE 100 monthly and weekly uptions, new order book price controls for weekly options in Appendix B. Update to Section 5.8 for IOB and Nowegian index options.

5.9

22 December 2015

Removal of Uralkali (delisted as of 22 December 2015) from Appendix E

5.8

8 December 2015

Change of minimum user defined thresholds for Bulk Quote protection

5.7

16 November 2015

Introduction of UK stock options with 100 share contract size. Amendments to Appendix B. Change to automatic exercise rule for Norweigan single stock options (Section 5.8).

5.6

19 October 2015

Introduction of UK stock options on Order book and new UK stock futures for Block Trading and Trade Reporting

5.5

14 September 2015

Introduction of BIST 30 index futures and options

5.4

1 July 2015

Update to Appendix B (Price controls for Norwegian futures contracts)

5.3

1 May 2015

Minor updates reflecting Rulebook changes effective 1 May 2015

5.2

13 April 2015

Change to Norwegian derivatives strike price generation table

5.1

30 March 2015

Updated Block trade parameters for UK Stock Options in Appendix B – Controls.

5.0

6 March 2015

Updated Trading Services Description for the upgrade of the LSEDM trading platform to SOLA 7.0. Added sections for Strategies, Tailor-made (Flex) series creation and promotion to Standard series, Block Trading, Bundled Orders (Multiple Block Trades), Third Party Order execution (Block Trading for Reporting Brokers) and Self Execution Prevention. Revised the ordering of the General and Trading Functionality Sections.

4.6

23 December 2014

Update to the Bulk Quoting Protection functionality

4.5

1 December 2014

Introduction of cash settled instruments

4.4

17 November 2014

Amendments to Risk Controls to reflect the new Circuit Breaker mechanism and parameters

4.3

20 October 2014

Introduction of Dividend Neutral Stock instruments

4.2

7 July 2014

Change of close of trade reporting session for Norwegian Derivatives to 16:00

4.1

25 November 2013

Update to Series Generation

4.0

30 September 2013

Document creation under London Stock Exchange Derivatives Markets (LSEDM)

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1. Introduction London Stock Exchange Derivatives Market (LSEDM) offers trading of Equity and Interest Rate derivatives products. Equity derivatives products include single stock, index and dividend derivatives based on United Kingdom, International Order Book (IOB), Norwegian and Turkish underlyings. Interest Rate derivative products developed in conjunction with CurveGlobal include Short Term Interest Rate (STIR) futures on Three months Euribor® and Sterling and Long Term Interest Rate (LTIR) futures on Schatz, Bobl, Bund and Long Gilt. CurveGlobal is an interest rates derivatives joint venture between London Stock Exchange Group and a number of major financial institutions

For equity derivatives, EquityClear members can benefit (with the exception of Norwegian contracts due to interoperability arrangements) from margin offsets and cross source trade netting. For Interest Rate derivatives, LCH clearing members will be offered portfolio margining services between listed derivatives and OTC derivatives cleared by LCH SwapClear services. In order to benefit from portfolio margining, Clearing Members must be a member of both SwapClear and Listed Derivatives services under the same legal entity.

LSEDM’s trading platform is hosted in the datacentres of the London Stock Exchange Group (LSEG) and has interfaces common to other markets of LSEG, ensuring that customers accessing other LSEG markets can connect to LSEDM with minimal incremental cost or effort. LSEDM offers Member Firms new and innovative features, in addition to the highly successful market models used for its existing Norwegian and IOB business which has been developed alongside Members. Two different instances of the platform are currently run, based on SOLA: one for Equity derivatives and one for Interest Rate derivatives. 1.1. Clearing and margining Member Firms can improve operational efficiency and net margin payments across geographies, all through one clearer - LCH.Clearnet (LCH).

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1.2. Product Overview Equity derivatives Underlying

Single Stock

Index

Norway

Futures and Options on the Norwegian stocks

Futures and Options on OBX, Futures on OBOSX

Russia and IOB

Futures and Options on the most liquid IOB DRs

Futures and Options on FTSE RIOB

UK

Futures and Options on UK underlying shares

Futures and Options on FTSE 100; Futures on FTSE UK Large Cap Super Liquid

Dividend

Futures on the most liquid IOB DRs1

Futures and Options on BIST 30

Turkey

Interest Rate derivatives Underlying

Instrument

Short Term Interest Rate (STIRs)

Three month Euribor® futures Three month Sterling futures

Long Term Interest Rate (LTIRs)

Schatz futures Bobl futures Bund futures Long Gilt futures

The detailed list of products traded on LSEDM and related full Contract Specifications are available on the LSEDM Document Library. 1

International Order Book Depository Receipts. This includes Dividend Neutral Stock Futures.

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2.1.3.

Tailor-made (Flex) Series Codes

2. General functionality 2.1. Series Generation Detailed contract specifications for each product are specified in the LSEDM Contract Specifications document. For full information on contract specifications, product codes and underlying ISIN codes, please refer to the LSEDM Document Library. 2.1.1.

Symbology

The following symbology rules apply to derivatives available for trading on LSEDM. During the normal Trading Hours for each Standardised Product, LSEDM disseminates 5 levels of market depth. The Market Data information is distributed via HSVF as described in the HSVF technical specification on the LSEDM Document Library. In the absence of an express statement to the contrary, information relating to a Series listed in conjunction with Oslo Børs reflects the combined activity in such Series of Members of LSEDM and Members of Oslo Børs. 2.1.2.

Each instrument is identified by a string of 6-12 characters (excluding Options strike):  a maximum of six characters designates the 2 Contract Underlying ;  one character designates the Expiration Year;  two characters designate the Expiration Day;  one character designates the Expiration month;  (Options only) the following numeric characters designate the strike price;  (Options only) an “A” or “E” designates whether the option is American or European style;  An additional symbol may also be added to indicate that a corporate action has occurred and the readjustment rules have been applied to that series (see below). 2.1.4.

Month Code Convention

LSEDM currently uses two separate month coding systems. One system is in use for IOB and Norwegian derivatives, and a separate coding system (international convention) is being used for all other products going forward.

Standardised Series Codes

IOB and Norwegian derivatives

Each instrument is identified by a string of 4-9 characters (excluding Options strike)  a maximum of six characters designates the Underlying instrument or Index;  one character designates the Expiration Year;  one character designates the Expiration Month;  (Options only) the following numeric characters designate the strike price;  An additional symbol may also be added to indicate that a corporate action has occurred and the readjustment rules have been applied to that series (see below).

Month

Index Futures

Call Options

Put Options and SSF M

January

A

A

February

B

B

N

March

C

C

O

April

D

D

P

May

E

E

Q

June

F

F

R

2

For Flex single stock derivatives with flexible settlement style, the first character of the underlying code is “1” in case of cash settlement.

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example, an “R” would indicate that 5 corporate actions have been applied to a series during its lifetime with readjustment rules having been applied 5 times.

IOB and Norwegian derivatives July

G

G

S

August

H

H

T

September

I

I

U

October

J

J

V

November

K

K

W

Corporate action number

Identifier

December

L

L

X

1st

X

2nd

Y

All other products Month

Futures

Call Options

January

F

A

February

G

March

Put Options

rd

3

Z

4th

Q

5th

R

th

6

S

M

7th

G

B

N

8th

U

H

C

O

9th

V

April

J

D

P

May

K

E

Q

June

M

F

R

2.4. Strike Price Generation LSEDM generates new strikes on Options series according to the following:

July

N

G

S

August

Q

H

T

September

U

I

U

 Minimum number of series in-the-money (ITM);

October

V

J

V

November

X

K

W

 Minimum number of series out-of-the-money (OTM);

December

Z

L

X

 Always one series at-the-money (ATM). 2.4.1.

Designation of the ATM strike

2.2. Corporate Actions Treatment Rules Where possible, LSEDM harmonises the treatment of corporate actions to market standards, please refer to the Derivatives Corporate Actions Policy available on the LSEDM Document Library. For Norwegian products, LSEDM follows Oslo Børs Corporate Action policy. 2.3. Corporate Action Identifier Presence of any of the following additional letters on the end of a series code indicates that a corporate action has occurred and readjustment rules have been applied to that series. For

Every minute, the SOLA derivatives system marks one of the series listed the “ATM” strike price. It does this by looking at the price of the underlying and seeing which series is closest to this level. At the end of each day, an ATM strike is chosen (or created if it is the night before the listing of a new series) relative to the closing price of the underlying. New In-the-Money strikes and Out-of-the Money strikes are generated relative to this ATM price. The ATM strike for a particular underlying / expiry combination will be created at a level determined

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by the strike price increment for that expiration. For example, if the strike price generation increment for a particular underlying/expiry combination is 25 index points, the ATM series will be created / chosen at a price ending in 25 points, 50 points, 75 points or 00 points. If the generation increment is 50 points, the ATM strike will be created / chosen at a price ending in either 50 points or 00 points.

 The Underlying instrument;

2.4.2.

LSEDM Market Operations will confirm when the ‘On Request’ Standard series is available for trading on the Order book.

On Request listing of additional standardised series

 The Expiration Month, which should already exist on screen, (Expiration Day will always be standardised as per the relevant Contract Specification)  The Strike Price (should be within the same strike price interval that already exists).

Members may request by phone or electronic communication to LSEDM Market Operations for a specific equity options series to be listed on the Order book if it is not automatically generated in accordance with the parameters described in the relevant Contract Specifications and the Strike Price Generation section of the Trading Services Description. This is known as an ‘On Request’ listing. Members shall provide the following information:

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2.4.3.

IOB Market

a) FTSE RIOB Options Expiration

Minimum ITM strikes generated

Minimum OTM strikes generated

Bid price

Increment

All contracts

5

5

0 1000

10.00 20.00



Bid price

Increment

7

0 5 10 50 100 200 300

0.10 0.25 0.50 1.00 5.00 10.00 20.00


Bid price

Increment

0 -150 150 – 500 500 – 1000 1000 + 0 -150 150 – 500 500 – 1000 1000 +

3.00 5.00 10.00 20.00 6.00 10.00 20.00 40.00

b) IOB DR Options Expiration

All contracts

2.4.4.

7

Norwegian Market

a) OBX Options Expiration


2

11


b) Norwegian Stock Options Expiration



Bid price

Increment

2

0 -2 2–5 5 – 10 10 – 30 30-80 80-200 200-400 400-600 600 + 0 -2 2–5 5 – 10 10 – 30 30-80 80-200 200-400 400-600 600 + 0 -2 2–5 5 – 10 10 – 30 30-80 80-200 200-400 400-600 600 +

0.10 0.25 0.25 0.50 1.00 2.50 5.00 10.00 15.00 0.10 0.25 0.50 1.00 2.00 5.00 10.00 20.00 30.00 0.20 0.50 1.00 2.00 4.00 10.00 20.00 40.00 60.00

≤ 3 months

> 3 months and ≤ 6 months

2

6 months >

2.4.5.

UK Market

a) FTSE 100 options (weekly and monthly) Expiration



Strike price increment used

1 month ≤ 3 months ≤ 1 year ≤ 2 years ≥ 2 years

10 10 10 20 0

10 10 10 20 0

25 points 50 points 100 points 100 points -

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b) UK Stock Options Expiration



≤ 1 months

10

10


7

7


5

5

2.4.6.

Bid price

Increment

0-100 100-500 500-1,000 1,000-2,000 2,000-5,000 5,000-10,000 > 10,000 0-100 100-500 500-1,000 1,000-2,000 2,000-5,000 5,000-10,000 > 10,000 0-100 100-500 500-1,000 1,000-2,000 2,000-5,000 5,000-10,000 > 10,000

2 5 10 20 50 100 500 2 5 10 20 50 100 500 5 10 20 50 100 500 1,000

Turkish Market – BIST 30 options Expiration



All contracts

7

7

Strike price increment used 2 (corresponding to 2,000 index points)

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3. Trading Functionality

 subsequent levels display the additional prices that would not match TOP.

The key features of the LSEDM trading platform are described in this section. Please refer to Appendix A for a detailed description of trading phases across products traded on LSEDM.

Theoretical Opening Price calculation

3.1. Opening auction (available for interest rate derivatives only)

Step 1: Maximisation of traded volume

Opening auction phase on interest rate derivatives is structured according to the three following states. a. Pre-Opening (from 6:30am to a specific time set at each product level) Orders entered during this phase contribute to Theoretical Opening Price (TOP) calculation. No trade execution is performed during this phase and Member Firms are only allowed to enter, modify and cancel orders and quotes (cross orders and strategy orders are not available). SOLA notifies all clients via HSVF with one message for each Instrument Group that switches to the Pre-Opening state. In case there is one bid and one ask at the same price in the orderbook during the Pre-opening state or Instrument in the 3 reserved status :  the first level displays the TOP as an aggregated price level  if there are market orders in the orderbook, the TOP level is split as follows: o the side(s) of the orderbook with market order(s) contributing to the TOP level displays the aggregated market order price(s) in the second level o subsequent level display aggregated limit order(s) contributing to TOP

3

“Reserved status” of a Instrument refers to an intra-day auction.

TOP is calculated and disseminated in real-time. In particular, TOP calculation is based on the following steps:

TOP is the price at which it is possible to execute the highest number of contracts. Step 2: Minimisation of surplus If there are several prices available after Step 1, TOP will be equal to the price that leaves the minimum non-tradable quantity in the orderbook, in relation to both buy and sell orders with prices equal or better than TOP. Step 3: Minimisation of variation against the last traded price / reference price If there are several prices left after Step 2 and many of these prices are left without a surplus, Step 3 will define a tradable price range and determine TOP within that range, minimizing the variation against the last traded price, if available, or the reference price, if the last trade price is not available. In particular, with regards to tradable price range determination, if multiple prices are left after Step 2, the system defines a range of valid opening prices based on the following rules:  if the market unbalanced quantity includes market orders, the range is set at the best limit order on the same side up to the instrument limit price (please note that the price must respect both Step 1 and 2). If best limit order price does not maximize the traded volume or minimized the unfilled quantity, then TOP range start at the first price meeting Step 1 and 2 criteria;  if the market unbalanced quantity includes limit orders:

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o if buy is the unbalanced side, then the range lower boundary is determined with the highest buy limit order that would remain unfilled at TOP price (included in the unbalanced quantity); o if sell is the unbalanced side, then the range higher boundary is determined with the lowest sell limit order price that would remain unfilled at TOP price (included in the unbalanced quantity). If at opening, an instrument series has no last trade price and no reference price or it is set to 0 and the Pre-Opening book shows only market orders on both sides, the instrument series will be set to “reserved” status. The following example illustrates the definition of a price range: Reference Price = €1.25 Orderbook during Pre-Opening phase Buy

Sell

Order #

Quantity

Price

Price

Quantity

Order #

1

100

MKT

€1.05

50

1

2

50

€1.00

 the initial price range is €1.05 (Order 1 on the Sell side) to infinite (the market order (MKT) on the Buy side)  the engine validates the price if the Reference Price is located within the range  if the reference price is €1.25, the opening price will be set at €1.25  the remaining quantity of the market order will be booked at €1.25

c. Opening (Immediate) For each Instrument Group that switches to the Opening state, SOLA notifies all Member Firms and data vendors with one message. If last TOP is validated, trades for each instrument series are executed at that price, otherwise a volatility auction starts with each series assigned the “reserved” status. 3.2. Order book Trading LSEDM’s Order book operates different matching algorithms on a product-by-product basis: i) PriceVisibility-Time priority, and ii) Pro-rata matching. A summary of the matching algorithms applied to each product traded on LSEDM is given in Appendix B. All executed trades on the LSEDM Order book will contribute to price and quantity updates in the Market Data Feed (HSVF). Please refer to Appendix A for a detailed description of trading phases across products traded on LSEDM. Section 6 (Risk Controls) of this document describes controls applicable to LSEDM. 3.2.1.

Order Types

Orders of the following type may be placed by Members:  by Price type: limit order, market order, top order, stop (loss) order, if touched order;  by Quantity type: minimum quantity order, iceberg order (iceberg orders not available for Interest Rate products);  by Duration type: day order, good till day (GTD), good till cancelled (GTC), immediate order (FAK/IOC), while connected order.

b. Validation (Immediate) The Trading System does not accept any more new orders or modification/cancellation of existing ones and verifies the validity of TOP according to specified price limit variations.

For a full list of Order Types and availability of such order types depending on the applied matching algorithms, please see Appendix C.

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3.2.2.

Placing and Cancellation of an Order

On placing an order by way of the Trading System, a Member shall provide the following information:  the Series, Type / Style, Class and the Listed Product in question;  the Expiration Month;  whether its order is to buy or to sell;  in case of an Options Contract, whether it is a Call or a Put;  the price for the order;  the order's volume;  whether it is a Limit order, Market order or a Combination order;  the Account to which the transaction, if executed, is to be allocated;  if appropriate, the identification code of the Client for whom the order has been placed. On placing an order into the orderbook, Members should ensure that the value of the order does not exceed the maximum permitted size for the Contract in question, Members should note that any order placed on the orderbook which exceeds the applicable maximum permitted size shall be rejected. Members will receive a message stating this. Price and Quantity restrictions are detailed in Appendix D. The Tick size applicable for trading on the orderbook is described in the relevant Contract Specification. An order will remain valid and effective until an instruction to cancel is given by the Member which placed the order, or the order automatically expires as defined by its Duration type parameter. A Member may contact Market Operations to cancel an order entered on the Trading System with the relevant order details (instrument, price, quantity, time etc). Members wishing to remove all their orders from the orderbook in one go should contact Market Operations, who can perform this action. Such requests must always be made by a Registered Person.

3.2.3.

Modification of an order

Unless cancellefd, an order will remain valid and effective until an instruction to modify is given by the Member which placed the order. a. Products based on Price-Visibility-Time priority algorithm Under the Price-Visibility-Time priority model, any modification of an Order involving its price or a volume increase is treated as the cancellation of the original Order and the submission of a new Order. Time priority of such Order shall be determined by reference to the time at which the modified Order is entered on the orderbook. Where the Order modification involves only a reduction in its volume, the ranking of original Order is not affected. Modification

Price priority

Time priority

Quantity decrease

Maintained

Maintained

Quantity increase*

Maintained

Lost

Price change*

Lost

Lost

*results in deletion of original order and entry of a new order with new price time priority and associated order number

b. Products based on Pro-Rata priority algorithm Under the Pro-Rata model, any modification of an Order involving its price or an increase in the volume of an Order is treated as the cancellation of the original Order and the submission of a new Order. For “Progressive” and “Age” Pro-rata algorithm (see Appendix B), the timestamp used to determine the weight attributed to the time priority of such Order shall be determined by reference to the time at which the modified Order is entered onto the orderbook.

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Where the order modification involves only a reduction in its volume, the ranking of the original order is not affected when the “Progressive” Prorata algorithm is implemented. Note however that priority would be lost under the “Age” pro rata algorithm and any modified order will get a new timestamp effectively putting it to the back of the queue. The “Best Price Setter” attribute of an Order, where applicable (see Appendix B), is reevaluated at any modification of the order, except in case of quantity reduction for Order that already gained “Best Price Setter” status. Time priority Modification

Price priority

Quantity decrease

“Progressive” Pro-rata

“Age” Pro-rata

Maintained

Maintained

Lost

Quantity increase*

Maintained

Lost

Lost

Price change*

Lost

Lost

Lost

*results in deletion of original order and entry of a new order with new priority and associated order number

Best Price Setter (BPS) status Modification

Orders with BPS status

Orders without BPS status

Quantity decrease

Maintained

Re-evaluated

Quantity increase

Re-evaluated

Re-evaluated

Price change

Re-evaluated

Re-evaluated

3.2.4.

Cancellation on Disconnection

Members should be aware of the following: o When conducting the login procedure, SOLA allows for the Member to specify an “inactivity interval” which indicates the number of system “heartbeats” that must be missed before the Member is considered disconnected. If the inactivity interval is set to “0” then the user is never considered to be disconnected; o In case of member disconnection due to technical issues, all orders with Duration type parameter “While Connected” will be cancelled. Please note that “Good Till Day” and “Good Till Cancelled” orders will not automatically cancel on disconnection. LSEDM therefore strongly recommends the use of “While Connected” orders for Members that are concerned about cancellation on disconnect. 3.2.5.

Bulk Quoting (product dependent)

Members that have conformed to the LSEDM SAIL API are also able to send Bulk Quotes to the LSEDM orderbook through Bulk Quote Trader IDs. Bulk quotes may contain up to 280 separate quotes with LSEDM validating each quote within the message. Throttles apply as per rates described in the SAIL technical specification. Bulk Quoting is a more efficient way of sending quotes to the Trading System as only a single message is required as opposed to multiple cancellations and resends of order messages. Bulk quotes are only valid for the current trading day and not available for strategies. Members can remove quotes on disconnection by sending the Disconnection Instruction message. It is not possible to amend an existing Bulk quote; any changes have to be made by cancelling the existing Bulk quote and replacing it with a new quote, which results in a loss of time priority. Protections for Members using Bulk Quoting are described in Section 6 (Risk Controls).

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Before the Opening, an “Intervention Period” allows bulk quote users to enter Bulk Quote data which would be used to retrieve the quote ID. The Intervention Period is only available for specific products. Members can continue to cancel orders during this period. A specific global cancellation message, applying only to quotes placed using the Bulk Quote message, can be sent by Bulk Quote users and will pull all quotes related to a specific trader on all instruments in the same class. The Trader ID and instrument Group ID are used to specify which quotes to cancel. Orders which are not entered using Bulk quotes will not be cancelled. 3.2.6.

Obligations for Market Makers

Firms registered as Market Makers in a certain instrument class will have to meet a set of market making obligations that are monitored by LSEDM. Market Makers should note the following:  for Equity derivatives, Market Makers are requested to comply to their market making obligations by sending quotes via the Bulk Quote message in the SAIL API;  for Interest Rate derivatives, Market Makers are requested to comply to their market making obligations by sending either orders or quotes via the Bulk Quote message in the SAIL API. LSEDM reserves the right to terminate the Market Maker Agreements if the Member fails to meet its obligations. LSEDM also reserves the right to withhold or cancel any incentives, including any revenue share, in the event that the Member fails to meet its obligations or terminates its Agreement early. For further information with regards to Market Making obligations, please refer to the Market Making Obligations document on the LSEDM Document Library.

3.2.7.

Request for Quote (RFQ)

Request for Quote (RFQ) allows any Member to broadcast a message to the whole market in a particular instrument via the HSVF market data feed. Market Makers, as part of their agreement with LSEDM, have an obligation to reply by entering a quote in to the orderbook for that specific instrument. RFQ contains: o Instrument Class; o Instrument ID Code; o Quantity (not mandatory). 3.2.8.

Strategy instruments

a. Exchange generated strategies (standard combinations) For orderbook traded products, LSEDM automatically makes available for trading a predefined set of strategy instruments. Please refer to Appendix F for the list of available standard combinations and their related characteristics. b. User generated strategies (flexible combinations) On all orderbook traded Futures and Options, LSEDM has enabled SOLA functionality that allows users to create their own strategy instruments and list them on the orderbook as standalone products available for trading by other Member Firms. Derivatives strategy trades can be executed via both “Strategy v.s. Strategy” and “Strategy v.s Legs” functionality. Where a Strategy Instrument can be executed against another Strategy Instrument, the trade will be executed on the terms of the matching Strategy Instrument provided that it is not possible to execute the Strategy against Legs on the orderbook on better terms.

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A strategy can have a maximum of four legs. Each leg of the strategy must: (a) contain instruments with the same contract size, and (b) have legs that appear in natural number ratios, i.e. as multiples of 4 the smallest leg size in increasing order . Market participants will need to enter the net price of the strategy i.e. the sum of the price of each leg. SOLA automatically validates the price and quantity before allowing completion of the execution. Strategy instruments interact with Circuit Breakers. Trades executed in Strategy instruments contribute to price and quantity updates to the Market Data Feed (HSVF). A strategy may be placed as either a Limit order or a Market order. See Appendix C for more details. Using dedicated messages available within LSEDM’s SOLA APIs, developers can create frontend solutions with pre-configured strategies. For further details, please see the LSEDM Technical Documentation (SAIL Specification and FIX Specification). For further information on strategies, please refer to the “Strategies” documentation on the LSEDM Document Library. 3.3. Tailor-made (Flex) series (for equity derivatives only) 3.3.1.

Member Firms will be able to create Tailor-made (Flex) series specifying the Underlying, Expiry Day/Year, Strike (only for Options), Option Style (only for Options), Instrument Type (call/put, only for Options) and Delivery Type (cash vs physical). Tailor-made (Flex) series will remain active until the expiration date specified at the moment of the instrument creation. Participants will not be able to create Tailor-made (Flex) series with same characteristics of an existing Standard instrument. 3.3.2.

Conversion of Tailor-made (Flex) series to Standard series

When LSEDM trading platform automatically generates a Standard series with the same parameters of a Tailor-made (Flex) series (e.g. due to the generation of new expiries, or new strikes due to movement of the underlying security), the trading platform automatically converts Tailor-made (Flex) series to Standard series. The new Standard series inherits the same ISIN as original Flex series. The series will become public and instrument data will be disseminated via HSVF as public Reference Data.

Tailor-made (Flex) series creation

LSEDM allows for participants to create Tailormade (Flex) derivative series in the trading platform intra-day, and to report Block Trades on them. These series will be Hidden (not disseminated via HSVF as public Reference Data) and only visible to the participant that created them. Participants will be able to retrieve ISINs for Tailor-Made (Flex) derivatives through the Clearing

4

System (BCS Application) or through secure FTP in Excel or CSV report formats.

If market participants wish to enter a strategy with derivatives based on different underlyings / contract sizes, they may use the Bundled Order functionality - please refer to para. 3.4.2. of this document.

3.4. Bilaterally Negotiated Trades (BNTs) and Trade Reporting A Bilaterally Negotiated Trade (BNT) is a privately negotiated transaction that is a Block Trade, an Exchange of Futures for Physicals (EFP) or a Exchange of Futures for Swaps (EFS). Bilaterally Negotiated Trades may be trade reported to LSEDM during the times laid down in the Contract Specifications. Trade reporting can take place via direct entry by the Member into the SOLA platform using available functionalities and/or, where permitted, through a manual process using pre-defined templates

19


available on the LSEDM Derivatives Trade Reporting section. For manual trade reporting, a BNT trade report shall be sent to the LSEDM Market Supervision team via email at [email protected] and contain the following details: o the type and class of a Standard or Tailor-made Contract; o the term, if a Tailor-made (Flex) Contract; o the Strike Price; o the Option Style (if applicable); o whether it wishes to buy or to sell; o the name(s) and account(s) type of the Counterparty(ies) o Settlement type (if applicable) o Type of underlying (if applicable). Subject to LSEDM Market Supervison template’s review i.e. check if properly filled out and meeting required criteria for acceptance, each side of the trade will be registered according to the detailed contained in the BNT trade report and Counterparty(ies) will be promptly informed of acceptance. Through secure FTP in Excel or CSV formats, Member Firms are able to receive reports containing ISIN information of a BNT manually reported to aid FCA Transaction Reporting. Please contact Market Operations for further information. Trades Reports in Standard series are always published and must comply with the requirements including size and price within Appendix D. Trade Reports in Tailor-Made (Flex) series will not be published thus remain Hidden and will be subject to a reasonable theoretical price validation by LSEDM Market Supervision prior to acceptance. Chapter 5 of the LSEDM Rules (“Bilaterally Negotiated Trades and Trade Reporting Rules”) details BNT and Trade Reporting rules.

3.4.1.

Block Trades

A Block Trade is a BNT which is permitted to be executed away from the order book in a quantity that meets a minimum volume threshold. A Block Trade can be executed between two different Members (aka “committed cross”) or with a single Member acting on both sides of a trade (aka “internal cross”). Block Trading is available for Standard series or Tailor-Made (Flex) series, with the guarantee of CCP Clearing with LCH. Block trades in Standard series contribute to price and quantity updates to the Market Data Feed (HSVF). Block trades in Tailor-made (Flex) series remain hidden and only visible to the participant involved in the trade. Block trades (in either Standard or Tailor-made (Flex) series) must be:  above a minimum volume threshold;  within certain price and risk control parameters, for example the bid/ask or reasonable theoretical price (pre-trade or post-trade, depending on the product and size);  consistent with the minimum tick increment (please refer to tick increment table in the HSVF technical specification on LSEDM Document Library). A summary of Block order types, and key information on each, is given in Appendix C. A summary of minimum block thresholds and price controls on a product basis is provided in Appendix D. Further information on Risk controls is provided in Section 6. 3.4.2.

Bundled orders (Block trades with multiple legs)

LSEDM facilitates the grouping of multiple Block trades into a unique window through the Bundled order functionality. This functionality offers certainty of simultaneous execution of all the

20


individual legs included in the Bundled order, or no execution at all. The functionality is highly customisable, allowing market participants to create their Bundled orders with the same or different counterparty and same or different financial instruments in each leg, and an individual price for each leg. The Bundled order functionality offers an alternative to the Strategy functionality on the LSEDM platform, whilst providing additional flexibility as described below. Through the Bundled order functionality:  traders can enter a Bundled order in up to 4 legs;  traders can independently specify for each leg of the Bundled order: o financial instrument (e.g. Option or Future), including Standard and/or Tailor-made (Flex) series; o price and size; o Counterparty(ies); o buy or sell. the same Trader ID must be used for each leg of the Bundled order. Once the Bundled order is entered, each counterparty will receive a notification message. On receipt counterparties will be able to submit acceptance of its Leg of the Bundled order, or reject it. In case of rejection from one of the counterparties, acceptance by any other counterparty of the Bundled order will be prohibited. Pending legs will remain in the system till the daily close of the Block Trade facility (i.e. end of orderbook trading hours

and/or of extended period of time where applicable) until they are all accepted. The Bundled order will be registered and sent to clearing only on acceptance of all of the counterparties. Block trade price and quantity validations are also applicable. For further information on Bundled orders, please refer to the specific product documentation available on the LSEDM Document Library.

3.4.3.

Third Party order execution (Block trades for Reporting Brokers)

LSEDM allows for Members registered in the capacity of Reporting Brokers to initiate electronically the execution process for a Block trade through the Third Party order execution functionality. This is an alternative to the manual Trade Reporting process, as detailed in paragraph 3.4. Through the Third Party execution functionality, Reporting Brokers are able to submit a trade as a Block Trade or Bundled order for either Standard or Tailor-made (Flex) series which has been executed between multiple counterparties:  Reporting Brokers can enter a Third Party trade with up to four legs;  Reporting Brokers must independently specify for each leg of the Third Party order: o financial instrument (e.g. Option or Future), including Standard and/or Tailor-made (Flex) series; o price and size;

21


o counterparty(ies); o buy or sell. Once the Third Party order is entered by the Reporting Broker, each counterparty will receive a notification message without disclosing the names of the other counterparties (only the name of the Reporting Brokers will be visible). On receipt, the counterparties will be able to submit acceptance of its own leg of the Third Party order, or reject it. In case of rejection from one of the counterparties, acceptance by any other counterparty of the Third Party order will be prohibited. Pending legs will remain in the system till the close of the Block Trade Facility until they are all accepted. The Third Party order will be registered and sent to clearing only on acceptance from all counterparties. Upon registration and clearing, Members will receive a confirmation of the deal and counterparty

IDs will be visible. Block Trade price and quantity validations are also applicable. To register as a Reporting Broker and enable access to the Third Party Execution functionality within SOLA, please contact [email protected]. Reporting Brokers may also utilise the services of approved LSEDM Reporting Broker Platform Providers (RBPPs) to submit Third Party Executions to SOLA. 3.4.4.

Exchange of Futures for Physical (EFP) and Exchange of Futures for Swaps (EFS) (for interest rate derivatives only)

EFP and EFS trades are available for interest rate derivatives only and must be trade reported via pre-defined templates submitted by email. An EFP/EFS trade consists of the simultaneous execution of an interest rate derivatives contract (contract leg) against an offsetting equivalent

22


amount of the Related Position Leg, such as underlying physical asset/forward (EFP) or OTC swap (EFS). EFP/EFS trades can be submitted provided that the LSEDM required conditions are satisfied, among which:  the price is reasonable in light of the commercial circumstances of the buyer and the seller as well as consistent with related price 5 controls . In addition, the price of the listed leg must be also consistent with the minimum tick increment of the related interest rate derivatives;  the position leg must bear reasonable equivalence in terms of physical and/or economic properties with the underlying of the relevant contract leg, including price correlation. Upon the request of LSEDM, Members must provide a justification as to how the related position is deemed equivalent;

 the quantity of the Listed Leg may be any whole number quantity of a Listed Product up to the maximum order size, provided that the quantity of the Related Position Leg is broadly equivalent to the quantity represented by the Contract when considered in light of the overall economic exposure between the two legs;  EFP/EFS trade report must be submitted within one hour of execution. Additional information on EFP/EFS transaction’s procedure are provided in the “London Stock Exchange Derivatives Market Bilaterally Negotiated Trade Guidance" document. 3.4.5.

BNT cancellation

Requests for cancellations of BNT trade reported through a SOLA functionality and/or, where permitted, a manual process using pre-defined templates should be made to LSEDM Market Supervision, in accordance with the procedure and timings as per Chapter 5 of the Rules, available on the LSEDM Document Library.

5

The Exchange applies price controls on all EFP and EFS transactions in line with those applicable to corresponding Block Trades i.e. at +/- 20% from the BBO in the orderbook. In cases where there is no BBO in the orderbook at the time the EFP or EFS is reported, the Exchange may use +/- 20% from the last BBO in the orderbook as a guide although discretion will be applied in appropriate cases.

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A list of Accredited Connectivity Partners can be found at the following link: http://www.lseg.com/cmc

4. Connectivity and Access

API and Connectivity

Trading Customer Managed Connectivity (CMC)

Colocation: Exchange Hosting

Market Data

FIX 4.2 API

LCH Synapse for interest rate based derivatives

Third parties (NSPs/VANs)

HSVF API

Application

Internet VPN

Solutions

ISV* or Member InHouse GUI

ISV provid ed GUI*

ISV GUI *

Market Data Vendor*

* See the LSE website for a full list

Please refer to the Connectivity section of the LSEG website for further details on connectivity options listed below. 4.1. Physical Connectivity 4.1.1.

b) Extranex Extranex provides our customers with a managed connectivity service at a range of speeds for access to LSEG.

BCS API for equity based derivatives

SAIL API

Extranex

Clearing

Direct Connectivity a) Customer Managed Connectivity (CMC)

Customer Managed Connectivity (CMC) provides customers with additional choice and flexibility, when directly accessing the LSEG. Utilising an optimised network infrastructure, engineered for low latency, resiliency and scalability, customers are able to access LSE markets by procuring point to point circuits to LSE datacentres from a number of Accredited Connectivity Partners.

4.1.2.

Colocation: Exchange Hosting

Members may choose to house their servers in LSEG’s datacentre in close proximity to the LSEDM servers. For further information on this connectivity option please contact [email protected]. 4.2. Third Party Connectivity: Network Service Providers (NSPs) As an alternative to connecting directly to the LSE services, clients are able to connect via third party accredited Network Service Providers (NSP). Members contract with the NSP for provision of network connectivity but sign agreements directly with the LSEDM for access to our trading and information services. Clients using an NSP connection will have individual service enablement’s set up on our trading, clearing and information systems. The data and trading feeds (APIs) are in exactly the same format as those received by a direct customer and are subject to the same testing requirements. A list of all current NSPs for LSE can be found within the NSP section of the LSE website. 4.3. Third Party Connectivity: Vendor Access Networks (VANs) VANs provide an end-to-end solution comprising network connectivity and pre-conformed software

24


applications through which interface with the LSEDM.

their

clients

can

4.4. Internet VPN Clients can access LSEDM using a local internet connection. Clients can choose from a managed or client managed VPN service. For further information on connectivity options please contact [email protected]. 4.5. Vendor Software Solutions a) MDVs, ISVs and VANs A full list of LSEDM conformed Front, Middle and Back Office Independent Software Vendors (ISVs), Market Data Vendors (MDVs) and VAN providers can be found on LSE website at the following link: http://www.londonstockexchange.com/productsand-services/connectivity/softwarehouses/software-houses.htm b) Reporting Broker Platform Providers This service for accredited LSEDM Reporting Broker Platform Providers (RBPP) to connect to and interface with the Third Party Execution functionality on LSEDM for the electronic reporting of block trades. Member Firms who utilise RBPPs to report their Third Party Executions must be Derivatives Market registered in the capacity of “Reporting Broker”. RBPPs are required to undergo an accreditation process to ensure they meet the Exchange's requirements for functionality, security and resilience. For further information on how to become a RBPP on LSEDM, please contact: [email protected].

c) BCS Clearing Application (available for equity derivatives only) Members can develop directly against the LSEDM clearing API, however most clearing members will take the LSEG BCS application to enable them to view reports, perform give ups / take ups, move trades between accounts and perform other post trade administration. The following BCS documents are available in the LSEDM Document Library:  LSEDM701 BItS Clearing Station (BCS) User Manual  LSEDM702 BItS Clearing Application Data Layouts

Station

(BCS)

 LSEDM703 BItS Technical Notes

Station

(BCS)

Clearing

4.6. BCS FTP Service LSEDM clearing reports are available via an FTP site accessible with a user name and password. Contact Technical Account Management for FTP Service documentation.

4.7. Trading APIs LSEDM provides two derivatives trading APIs that applications can be developed to. These are:  FIX 4.2  SOLA Access Information Language (SAIL) The native SAIL API provides a slight latency advantage over the FIX API along with additional functionality for bulk quoting. The following FIX and SAIL documents are available in the LSEDM Document Library. including the SOLA Release documentation:  LSEDM200 – FIX Business Design Guide  LSEDM201 – FIX 4.2 Specification

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 LSEDM300 – SAIL Business Design Guide

4.9. Market Data API

 LSEDM301 - SAIL Specification

LSEDM provides a single market data API that applications can be developed to. This is:

4.8. Drop Copy The drop copy feature allows drop copy participants to receive a copy of all order acknowledgements and trade notifications that belong to a specific Member. LSEDM provides two versions of the drop copy:  SAIL drop copy, available for both Equity and Interest Rate derivatives;  FIX drop copy, available for Interest Rate derivatives only. Drop copy messages are all sent using the SAIL / FIX protocol, regardless the protocol used for the Member’s original order. Drop copy messages included in the SAIL and FIX versions are detailed in the below table:

Protocol Message types SAIL

FIX

Order Acknowledgement

KE

35=8

Order Modification Acknowledgment

KM

35=8

Order Cancellation Acknowledgment

KZ

35=8

Leg Execution Notice

NL

35=8

Execution Notice

NT

35=8

Update Order Notice

NU

35=8

Execution Cancellation Notice

NX

35=8

Leg Execution Cancellation Notice

NY

35=8

Order Cancellation Notice

NZ

35=8

a) High Speed Vendor Feed (HSVF) HSVF disseminates trades, quotes, request for quotes, market depth, trade cancellation, strategies, bulletins, instrument keys, instrument summaries and administrative messages for all order-book traded derivatives on LSEDM. HSVF uses a TCP/IP broadcast interface. Users may subscribe to: Level 1 data – best bid and ask price and aggregate size, last trade price and size and other market data as detailed in the documents listed below. Level 2 data – level one data augmented with a further four levels of price depth and size For more information, please refer to HSVF documentation available in the LSEDM Document Library. Members wishing to redistribute market data must do so under the terms of the ILA and should refer to our Tariff Schedule, or contact the LSEDM Business Development team for more information. 4.10. Clearing API LSEDM provides a clearing API that applications can be developed to for the purpose of allowing clearing processing and trade administration. Two different type of clearing APIs are available, respectively for Equity and Interest Rate derivatives. The related documentation is available in the LSEDM Document Library.

For more information on drop copy functionality please refer to the LSEDM Document Library.

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5.3. Margining and Position Controls

5. Market Operations and Clearing 5.1. Transaction reporting and Market Identifier Code (MIC) Every unique series on LSEDM has an associated ISIN code. This ISIN is a unique identifier that can be used for transaction reporting purposes. Each series can also be identified by its unique series level code, described in the Section 2.1.1 (symbology). When LSEDM trading platform automatically generates a Standard series with the same parameters of a previously created Tailor-Made (Flex) series with a standard expiration (due to the generation of new expiries, or new strikes due to movement of the underlying security), the trading platform automatically converts the Tailor-Made (Flex) series to Standard series. The new Standard series inherits the same ISIN as the original TailorMade (Flex) series. Series will then become public and instrument data will be disseminated via HSVF as public Reference Data. The Market Identifier Code (MIC) for LSEDM is XLOD, while the Exchange ID is:  “E” for Equity derivatives;  “R” for Interest Rate derivatives. LSEDM uses the LEI for London Stock Exchange Plc: 213800D1EI4B9WTWWD28. 5.2. Central Counterparty Protection All Future and Option Contracts traded or reported on LSEDM will have LCH acting as Central Counterparty. At the point of trade registration, trades are novated to LCH, whereby LCH becomes the long position against the short counterparty to the trade, and the short position against the long counterparty to the trade.

5.3.1.

Equity derivatives

For Equity derivatives, initial margin is calculated and collected by LCH using London SPAN V 4.0. There are three major inputs to the London SPAN margin calculation, Positions, Prices and Parameters (determined by LCH and reviewed on a regular basis). Any change to any one of these parameters will result in a change to the margin requirement. Please refer to the SPAN parameters on the LCH website. LSEDM calculates daily variation margin of a members’ profits or losses using the Daily Settlement Price to mark-to-market open positions. The collection/return of variation margin is administered by LCH. Derivative outurns with the exception of LSEDM Norwegian contracts benefit from margin offsets and optional cross trade source netting through LCH EquityClear Service. Buyer elections on all physical delivered contracts, excluding LSEDM Norwegian contracts, will be allowed under the EquityClear Service. Members will have the ability to choose an option or combination of options, in a participating Corporate Action giving more control over their investments, as opposed to the current default option process. LCH will request margin on all positions and it is each member’s responsibility to meet their margin requirements 5.4. Interest Rate derivatives a. Initial Margin (IM) methodology The IM methodology is based on an historic valueat-risk (HVAR) simulation and forms part of LCH’s harmonised Portfolio Approach to Interest Rate Scenarios (PAIRS) model for estimating margin across its clearing services.

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b. Initial Product Coverage

5.5. Give Ups

The products listed below are categorised into two distinct groups, namely STIR futures and Government Bond futures.

When one side of the trade needs to be given up to another Clearing Member, it is the responsibility of the reporting member to request that both the buy and sell side of the trade go onto their own account; they will then be required to manage any give ups with their GCM directly.

Underlying

Instrument

STIRs

Three month Euribor® futures Three month Sterling futures

Government Bonds

Schatz futures Bobl futures Bund futures Long Gilt futures

5.6. Account Structure Members can request the following types of account from Membership through a request to [email protected]:  Client account;  House account;

c. Pricing methodology Underlying LCH’s approach to pricing the various products listed above is the principle of forward pricing. Specifically, STIR futures are priced in accordance with the relevant underlying forward interest rate, while Government Bond futures are priced in accordance with the relevant underlying cheapest-to-deliver (CTD) bond i.e. as evaluated on a forward basis. Each class of product has a specific (closed-form) pricing function as detailed below. Relevant Risk Factors: 1) Index Curves

 Market Maker account (for Member Firms registered as Market Makers). Membership will supply the Member Firm with a “Static Data Form” which should be used to specify account set up requirements. The member can segregate business as required. Through LCH, LSEDM currently offers Clearing Members both Omnibus Segregated Accounts (OSAs), i.e. an account held by the Clearing Member for the purposes of holding positions for one or more Clients (which may or may not be known by the Clearing House) and Individual Segregated Accounts (ISAs), i.e. an account held by the Clearing Member for the purposes of holding positions for a single named client.

2) Sovereign Discount Curves 3) Repo / General Collateral (GC) Curves 4) Foreign Exchange Rates Index curves are used to estimate / project forward interest rates, which are in turn used to price the range of 3-month STIRs futures.

5.7. Market Operations and Clearing Processing Timetable Please refer to Appendix A for a detailed description of trading and clearing phases across different products.

The sovereign discount and repo / GC curves are used to forward-price the various CTD bonds that underlie the range of Government Bond future contracts.

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5.8. Clearing reports a) Equity derivatives Members can extract reports summarising their activity on LSEDM from the clearing APIs and from clearing applications. In addition, LSEDM clearing reports are available via an FTP site accessible with a user name and password. Contact Technical Account Management for FTP Service documentation. b) Interest Rate derivatives The Synαpse clearing system provides Clearing Members with a set of daily intraday and end-ofday reports and data extracts.  Clearing Reports are available to Clearing Members in PDF and CSV format within Synαpse and also can be downloaded from Member Web or SFTP  Data extracts can be downloaded from Member Web in XML format (content specification details can be found in the XML Specification Document)  Banking reports are available via Member Web  Synapse reports in XML PDF and CSV format are available on Member Web for 15 business days. 5.9. Exercise, Assignment and Settlement 5.9.1.

Equity derivatives

a) Exercise and Assignment Currently, LSEDM offers two options styles on its equity derivatives markets with the following exercise windows:

Option style

Exercise

Exercise Window / manual Exercises Open

Close

American style

Any Trading Day from the Trade Day until the Trading Day before Expiration Day

07:30

18:00

European style and American style

Expiration Day only

18:10

18:40

All times are London times

LSEDM applies automatic exercise for all in-themoney series. Manual exercise can be performed through the member’s clearing application. b) Physically Settled Contracts If the Member holds a net Short Futures position, LSEDM shall make available normally prior to 22:00 London time on the day in question through the Clearing Application BCS, the report “Expired Futures Positions to be settled MD51”. This report provides details relating to the Settlement Delivery obligations for the Underlying Stock in respect of its own Account Transactions and of Transactions executed on behalf of a Client together with the Settlement Amount payable to the Member in respect thereof. If the Member holds a net Long Futures position, LSEDM shall make available normally prior to 22:00 London time on the day in question through the Clearing Application BCS, the report “Expired Futures Positions to be settled MD51”. This report provides details relating to the receipt obligations for the Underlying Stock in respect of its own Account Transactions and of Transactions executed on behalf of a Client together with the Settlement Amount due to the Member in respect thereof.

29


Where a Member Exercises an Option and the Exercise is accepted by LSEDM, or the Member is Assigned, LSEDM shall make available normally prior to 22:00 London time on the day in question through the Clearing Application BCS the report “Options Exercise/Assigned to be settled MD01”. This report specifies the number of Underlying Stock to be delivered by or to the Member in respect of own Account Transactions and of Transactions executed on behalf of a Client together with the Settlement Amount payable to or by the Member in respect thereof. The Member shall ensure that the information specified in the relating reports “MD51 and MD01” are accurate in all respects and notify LSEDM of any discrepancy no later than 08:00 London time on the Trading Day after the affected day of Delivery or Exercise. 5.9.2.

Interest Rate derivatives

a) Cash Settled Contracts Three month Euribor® and Sterling Futures are cash settled contracts as specified in the LSEDM contract specifications. Cash settlement is debited from or credited to the relevant Proprietary account or Client account. b) Physically Delivered Contracts Euro-Shatz, Euro-Bobl, Euro-Bund and Long Gilt futures contracts are physically delivered contracts, settled by physical delivery of the underlying at the Final Settlement Price, as determined according to LSEDM contract specifications. c) Synapse - Clearing Component At the time of expiry of a futures contract, the Synapse Clearing Component will mark the relevant instruments as ‘Tendered’, calculate the Final Variation Margin and convert any open futures into Delivery Positions.

The Clearing Component will provide the Delivery Component with the delivery positions. The positions will remain as unsettled until the bonds have been delivered in the Central Securities Depository (CSD) and LCH operations have marked the positions as settled. Contingent Variation Margin (CVM) will be calculated by the clearing component whilst positions remain as unsettled. d) Synapse - Delivery Management Component The Delivery Component will co-ordinate the physical settlement of bonds. The Delivery Component will allow the Sellers to enter the necessary details to facilitate the delivery process. This will include the entry of static data, the receipt of the delivery basket details made available by LSEDM and the nominations of bonds from the delivery basket. The Delivery Component will perform the following functions:  Accept the Delivery Basket (the list of eligible instruments and price factors) from LSEDM from 10 days before the start of the delivery period and then on a daily basis until the end of the delivery period  Obtain Delivery positions and associated Final Settlement prices from the Clearing Component. These delivery positions will be maintained in the Delivery Component until settlement confirmation has been received  Clearing Member (sellers) must enter their seller notifications nominating specific instrument(s) from the eligible basket against the futures contract they wish to provide to fulfil their delivery obligations  Once the notifications have been authorised the Delivery System will then perform an allocation of Sellers bonds to the Buyers

30


 Produce an Invoice and Account Sale and Delivery Instruction report for the Clearing Members  Pass any positions in Delivery to the Risk Management Service for calculation of Initial Margin  Provide delivery instructions to the appropriate CSD in order to initiate settlement  LCH operations will monitor the settlement confirmations from the CSD and update the associated delivery positions as settled within Synapse. Note there will not be any capability for a Clearing Member to nominate a transferee/transferor for the Delivery process.

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6. Risk Controls 6.1. Order book 6.1.1.

Price controls

Circuit Breakers will activate and trigger suspension of trading when a trade occurs at a price level deemed to be an unacceptably large deviation away from static or dynamic control prices defined by LSEDM.

Product

Duration of suspension of trading following Circuit Breakers

Equity derivatives

60 seconds


5 seconds

LSEDM can set separate Circuit Breakers against the static control price with respect to both orders and trades. In particular market conditions, LSEDM may, with reference to markets, categories of financial instruments or individual instrument modify the maximum price variation limits, the static price, the dynamic price and other trading conditions. Definitions of control prices are as follows:  Static control price – the previous day closing price, as determined by the London Stock Exchange Derivatives Market (or CC&G, where applicable);  Dynamic control price – the last traded price in the current session. Levels set by LSEDM are detailed in Appendix D. For Stop Loss and If Touched orders, the incoming order price cannot be outside the price control thresholds detailed in Appendix D. Additionally if, when triggered, the price on such an order violates the control parameters, the incoming order is

deleted and the Circuit Breaker suspension is triggered. In the event that the Circuit Breaker will continue to persist due to a member’s order(s) that is outside the static or dynamic thresholds and LSEDM has taken reasonable action to contact the member in relation to that order and the member has not responded, LSEDM reserves the right to delete the order to resume continuous trading. 6.1.2.

Self Execution Prevention (SEP)

LSEDM trading platform provides Self-Execution Prevention (“SEP”), with the purpose for market participants to avoid execution when an order crosses an opposite-side order sent by the same trading Firm on the orderbook (i.e. “self matching”). SEP on SOLA is user-configurable, allowing for each market participant to specify which Trader IDs of its Member Firm will or will not be able to interact, and determine which order (incoming or resting) takes precedence. SEP applies during continuous trading for Limit, Market, Top, Stop (loss) and If-Touched orders. Basic functionality: Market participants can define one or more SelfExecution Prevention Groups (“SEP Group”) for their Trader IDs. Members can set up their SEP Groups by contacting their Technical Account Manager at [email protected]:  A SEP Group will contain one or more TraderIDs from a particular Member Firm. A SEP Group cannot include TraderIDs from multiple Member Firms. A TraderID will be allowed to be associated only to one SEP Group. o Orders submitted from TraderIDs within the same SEP Group will not be allowed to interact with each other;

32


o Orders submitted from TraderIDs in different SEP Group will be allowed to interact with each other.  SEP will take effect upon aggression of the order (before execution) and not on order entry or replenishment.

SEP rule of the incoming order (i.e. the aggressive order) will regulate the interaction between two orders which are part of the same SEP Group. SEP behaviour is managed differently in relation to the matching algo in use by the product:

The diagram above explains how the interaction between TraderIDs / SEP Groups works on SOLA.

 for products based on Price-Visibility-Time priority, assessment of SEP rules is done before the potential execution of every individual trade triggered by the incoming order;

“SEP Rules” regulate the interaction of orders from a Member Firm and are defined at the TraderID level. Different rules can be applied to TraderIDs included in the same SEP Group. The

 for products based on Pro-rata matching algo, SEP is evaluated at each relevant price level, before starting the allocation process described in Appendix A.

33


SEP Rules Expected trading behaviour

Resting is a:

Rule

Order

Quote

Cancel Resting Order Quote takes precedence

Execution No Self Execution Prevention

CIO Quote

CRO* CBO* RC*

Incoming is a:

CIO Order

Cancel Incoming

CRO*

Cancel Resting

CBO*

Cancel Both

RC*

Cancel Incoming Order Quote takes precedence

Reduce and Cancel

* Only for products based on Price-Visibility-Time priority

The following SEP Rules will be available for each TraderID:  Cancel Incoming Order (CIO): leaves the resting order (all resting orders at the relevant price level - and belonging to the same SEP group - in case of products based on Pro-Rata matching algo) while expiring the incoming order;  Cancel Resting Order (CRO - configurable only for products based on Price-VisibilityTime priority): expires the resting order while allowing the incoming order to aggress (and rest in the book if it is not matched);  Cancel Both Orders (CBO - configurable only for products based on Price-VisibilityTime priority): expires both the resting order and the aggressing order;  Reduce and Cancel (RC - configurable only on products based on Price-Visibility-Time priority): cancels both orders if they are of the same size. For those not of the same size, the smallest order will be cancelled and the larger order will be reduced by the size of the smaller order before executing/resting. Both orders will also be cancelled if the resting order is marked with any SEP (other than RC) and the incoming order is smaller than the resting order. The table above explains the expected behaviour of SOLA when orders/quotes from TraderIDs from the same SEP Group interact.

Exceptions to SEP Rules:  If a self-execution is identified involving a quote (as a resting or aggressive order), the SEP Rule attached to the incoming TraderID will be ignored and the following rules will apply: o In case the opposite side is an order (i.e. it is not a quote), the quote will survive while the order (incoming or resting) will be cancelled; o In case the opposite side is a quote (e.g. two quotes submitted by two different TraderIDs of the same market participant), no SEP rules will be applied i.e. the trade will be executed.  Strategies: SEP will only apply for orders with potential executions in the “Strategy v Strategy” scenario, i.e. if a strategy instrument could execute against another (resting) strategy instrument, SEP will prevent this execution. SEP will not apply in the Strategy vs. Legs case, i.e. when a strategy instrument could execute against orders on the Order book, the trade will be executed.  Minimum quantity orders: SEP will not apply to execute minimum quantity orders, including icebergs, Fill Or Kill (FOK) and Fill And Kill (FAK) orders.  “Internal” cross orders: SEP will not apply to cross orders with the same counterparty on both sides. 6.1.3.

Order Quantity Controls

Orders are reviewed by LSEDM Supervision for purposes of market

Market quality.

34


Product specific settings are in detailed in Appendix D. The futures contracts value ranges are available in Appendix E. 6.2. Price Controls on Block Trades

Product specific settings as detailed in Appendix D;  for Tailor-made (Flex) series, block trades will be subject to a theoretical price validation check by LSEDM Market Supervision.

a) Block trades trade reported using SOLA available functionalities

6.3. Bulk Quoting Protection

Block trades on Standard series electronically submitted to LSEDM will be subject to the following automatic controls:  Block trades are subject to minimum and maximum quantity controls;  where the quantity of the block trade is below a threshold defined at product level as “Minimum quantity for outside spread”, the price of the block trade must be within the real-time bid/ask spread;  whereas, where the quantity of the block trade is above a threshold defined at product level as “Minimum quantity for outside spread”, LSEDM sets a maximum permitted percentage deviation from the real-time bid/ask spread;  Any block trade at a price more than this percentage deviation, will not be accepted. Product specific settings are detailed in Appendix D. Block trades on Tailor-made (Flex) series electronically submitted will be subject to a posttrade theoretical price validation check by LSEDM Market Supervision. The Exchange may unilaterally cancel any block trades that fail to meet its controls. b) Block Trades trade reported through a manual process (where applicable)  Block trades sent to LSEDM Market Supervision for Trade Reporting using predefined templates are subject to price control by LSEDM Market Supervision, in particular: for Standard series, block trades must obey the

Bulk quoting protection is a functionality provided by LSEDM that will result in an automatic cancellation of all quotes in a particular instrument class under certain conditions. The feature protects Bulk Quote users against any “excessive” trades due to the following:  Technical problems at participant’s end preventing normal market updates  Quoting errors at participant’s end due to erroneous underlying price information  Unintentionally being “swept” by another participant 6.3.1.

Bulk Quoting Protection Types

Bulk quoting protections apply to each trader ID for an underlying instrument group. Users may opt for one of two types of bulk quoting protection:  Standard protection: If protection is triggered on an instrument class, quoting will be restarted and counters (detailed below) reset the next time a bulk quote message is sent to any instrument in the class.  Advanced protection: If protection is triggered on an instrument class, any subsequent quote update is rejected and quoting can only be resumed after a new “Protection subscription” (RP) message is sent. Once protection is triggered, the London Stock Exchange Derivatives Market will automatically cancel all quotes posted by the trader on all instruments in the class and send a “Notice of cancellation of all quotes” (NP) message.

35


Counter type

Counter change condition (applies to all trades in any instrument of the class)

Trigger for bulk quoting protection

Trade count (of Min Lot Size)

Increases by 1 with each execution of a trade of at least N lots (where N is a user defined number). Max number of trades = Count (Trade where volume ≥ Minimum Trade Volume)

LSEDM default threshold OR User defined number of trades of at least N lots in size

Volume count

Increases by the trade volume of every execution

LSEDM default threshold OR User defined volume

Value count

Increases by the trade value of every execution Max Value = ∑ (Volume x Price x Contract Size x Tick Value)

LSEDM default threshold OR User defined value

Delta volume count

Increases by trade volume of every bought call option, sold put option and bought future; and Decreases by trade volume of every sold call option, bought put option and sold future

LSEDM default threshold OR User defined net volume

Delta value count

Increases by trade value of every bought call option, sold put option and bought future; and Decreases by trade volume of every sold call option, bought put option and sold future

LSEDM default threshold OR User defined net value

6.3.2. Protection counters Bulk quoting protection is active on all quotes sent using the Bulk Quote message functionality. LSEDM provides five protection counters which can be set by Firms using bulk quotes in a specific instrument class. Any number of counters can be activated simultaneously. Traders must define a “Time Interval”. The protection counters are reset in the event that the time elapsed between any two trades is longer than the user defined “Time Interval”. Protection counters are listed and described in the table above. 6.3.3. Default protection and ranges LSEDM provides default thresholds for the protection counters within the Trading System (see Appendix H). LSEDM sets the default to ensure adequate protection for bulk quote users. Bulk quote users may define their own customised thresholds. When defining their thresholds, users

must adhere to the minimum and maximum configuration ranges in the tables in Appendix H. If a value outside the relevant minimum or maximum is selected, LSEDM will reject the message and users will be unable to set up their customised protection thresholds.The protection must be activated before the start of each trading day by sending an “RP message” to select the type of protection (Standard or Advanced). For each trader ID, bulk quote users need to send a “bulk quote” message (BD) to begin their quoting activity with the user defined thresholds (including the Time Interval, Maximum Volume and Value limits, and Maximum Delta Volume and Value limits). If the values of the thresholds are not user defined, then the LSEDM default thresholds are selected, as in Appendix H. For further information on the Bulk Quoting Protection functionality, please refer to the Bulk Quoting Protection Description document on the LSEDM Document Library.

36


6.4. Pre-Trade Validation Service (PTVS) PTVS provides a tool for:  General Clearing Members (GCMs) to manage the cleared risk exposure generated by the trading activity of their NCPs;  LSE Members offering Direct Market Access (DMA) to control the risk related to the trading activity of their DMA clients;  LSE Members to monitor the risk associated to their own trading activity. PTVS allows the Risk Manager (controlling entity) to set pre-trade controls for a specified Managed Entity (i.e. a single TraderID or a group of Trader IDs associated with a Firm) and at different levels, in particular:  Firm / Group of Trader IDs / Instrument Group / Instrument  Firm / Group of Trader IDs / Instrument Group  Firm / Instrument Group / Instrument  Firm / Instrument Group

In advance of setting up pre-trade validation controls, the Risk Manager should inform the Managed Entity that these will be implemented; if in doubt, the Managed Entity should check with its Risk Manager whether pre-trade validation controls are applied to its orders. The following limits can be configured by the Risk Manager via both SOLA native APIs (SAIL) and a dedicated GUI:  Max Order Quantity limit for orders and quotes;  Max Order Quantity limit for cross/bundled/third party orders (available for Equity derivatives only);

 Position limit on executed trades (net long/short position) during the day, expressed in quantity terms: o the trade triggering the limit’s breach is executed o the breach of the net long threshold triggers the cancellation of all buy orders and all quotes (and vice versa for the net short threshold); 6

 Exposure limit on open orders (excluding quotes) plus executed trades (net long/short position) during the day, expressed in quantity terms: o the incoming order that would breach the net long threshold triggers cancellation of all buy orders and all quotes (and vice versa for the net short threshold); 6

 Kill Switch functionality, allowing to cancel all orders (cross orders included) and quotes for a TraderID and to disable the TraderID / Firm;  Access to the Market Maker Protection to control quoting activity of Managed Entity. Since the MMQP is available to both Market Makers and their Risk Managers, in case two sets of limits are applied to the same Managed Entity, the most restrictive configurations will apply. Based on configurations defined by the controlling entity, SOLA will perform real-time checks before allowing each order and quote to enter the Trading System; configured limits can be updated real-time with immediate effectiveness. SOLA will disseminate messages related to the “usage” of the predefined Position and Exposure limits (“Risk Limits Usage Notice”) via both SOLA APIs and GUI: 6

For the purpose of calculating Position and Exposure limits for Interest Rate derivatives, the following are out of scope: a) cross/bundled/third party orders and trades; b) iceberg orders and trades (since not available for these products).

37


 anytime a defined limit approaches the threshold, an alert is disseminated according to a 10% interval  alerts are disseminated when the available thresholds “used” are at 50%, 60%, 70% etc. of its total. These messages are available for SAIL protocol, while FIX protocol only disseminates error codes. For further details on PTVS, please refer to the “LSEDM Guide to Pre-Trade Validation Service”.

38


7. Tariff Models LSEDM operates several products with specific pricing models. Tariff schedules are available on the LSEDM Document Library. The different tariff models currently in use on LSEDM are detailed below.

Percentage of Futures value Some products are charged based on a “percentage of future value” system, for example IOB Dividend Futures. Future Value = (future price traded) x (number of contracts) x (multiplier) Percentage of premium value

Fee per lot Products using this system simply apply one universal fee to each side of the trade based on the number of contracts traded, Per-Trade Charging

Some products are charged based on a “percentage of premium value” system, for example IOB DR Options Premium Value = (premium) x (number of contracts) x (multiplier)

39

LSEDM TRADING SERVICES DESCRIPTION September 2016

8. Contacts For more information on LSEDM, or any services offered by LSEDM, please contact a member of our team. Department

Telephone

Email

Business Development Enquiries

+44 (0) 20 7382 7650

[email protected]

Membership

+44 (0) 20 7797 1900

[email protected]

Derivatives Market Operations

+44 (0) 20 7797 3617

[email protected]

Market Supervision

+44 (0) 20 7797 4632

[email protected]

Corporate Actions team

+44 (0) 20 7797 3660

[email protected]

+44 (0) 20 7797 3939

[email protected]

+44 (0) 20 7797 1500

[email protected]

Technical Account Management Functional Queries, Client On-Boarding, Technical Advice Client Support Team Incident Management (Live Service and CDS)

London Stock Exchange Group 10 Paternoster Square London EC4M 7LS T: +44 (0) 20 7382 7600 F: +44 (0) 20 7382 7690

40


9. Appendix A – Market Operations and Clearing Processing timetable 9.1. Equity derivatives Table 9.1.a. All times are London times

Market

Times may vary depending on market conditions Action

UK

Russia

Norway

Turkey

Start of consultation period (Members can delete orders)

05:30

05:30

05:30

06:30

Start of Intervention Period (Members can retrieve Bulk Quote ID for certain products)

07:30

07:30

07:30

07:00

Start of Trade Reporting (Block Trades only)

07:30

07:30

07:30

07:10

Start of Continuous Trading

08:00

08:00

08:00

07:10

End of Continuous Trading

17:00

17:00

15:20

15:45

End of Trade Reporting (Block Trades only)

17:30

17:30

16:00

17:30

Surveillance intervention period ends (Members can no longer delete orders)

18:00

18:00

18:20

17:50

Clearing closes7 (read-only access available in BCS)

18:00

18:00

18:00

18:00

Clearing batches begin (BCS inaccessible)

18:45

18:45

18:45

18:45

Clearing reports available

19:30

19:30

19:30

19:30

Official closing prices disseminated (can be amended over-night)

21:00

21:00

21:00

21:00

7

Until clearing closes at 18:00 daily, members are able to perform trade administration such as give ups/ takes ups, position transfers and close outs in the clearing system.

41


9.2. Interest Rate derivatives Table 9.2.a. All times are London times.

Times may vary depending on market conditions

Products Three month Euribor futures®

Three month Sterling futures

Schatz futures

Bobl futures

Bund futures

Long Gilt futures

06:00

06:00

06:00

06:00

06:00

06:00

06:30 - 07:00

06:30 - 07:30

06:30 - 07:00

06:30 - 07:00

06:30 - 07:00

06:30 - 08:00

- Validation

07:00

07:30

07:00

07:00

07:00

08:00

- Opening

07:009

07:30

07:00

07:00

07:00

08:00

Manual Trade Reporting (EFP/EFS Trades only)

07:00 - 20:30

07:30 - 18:00

07:00 - 20:30

07:00 - 20:30

07:00 - 20:30

08:00 - 18:00

Electronic Trade Reporting (Block Trades only)

07:00 - 21:00

07:30 - 18:00

07:00 - 21:00

07:00 - 21:00

07:00 - 21:00

08:00 - 18:00

Surveillance Intervention

21:00

18:00

21:00

21:00

21:00

18:00

Send Reference price

21:15

21:15

21:15

21:15

21:15

21:15

21:15:30

21:15:30

21:15:30

21:15:30

21:15:30

21:15:30

Action

Start of Consultation Opening Auction8 - Pre-Opening

End of Consultation

8 9

Opening Auction is not available for strategies. Refers to exact time i.e. no random period set (valid for all products).

42


Table 9.2.b. Standard schedule (for Instrument Groups)

Orders

Quotes

Strategy

Entry

Modify

Cancel

Cross / Committed

Entry

Modify

Cancel

Creation

Orders and cross order enrty

Start of Consultation

NO

NO

NO

NO

NO

NO

NO

NO

NO

Intervention Before Opening

NO

NO

YES

NO

NO

NO

YES

NO

NO

Preopening

YES

YES

YES

NO

YES

YES

YES

NO

NO

Continuous trading

YES

YES

YES

YES

YES

YES

YES

YES

YES

Surveillance Intervention

NO

NO

YES

NO

NO

NO

NO

NO

NO

End of Consultation

NO

NO

NO

NO

NO

NO

NO

NO

NO

MiniBatch

NO

NO

NO

NO

NO

NO

NO

NO

NO

Instrument Hidden

NO

NO

NO

YES

NO

NO

NO

NO

NO

Forbidden

NO

NO

NO

NO

NO

NO

NO

NO

NO

Interrupted

NO

NO

NO

NO

NO

NO

NO

NO

NO

Instrument Suspended

NO

NO

YES

NO

NO

NO

YES

NO

NO

Instrument Reserved

YES

YES

YES

NO

YES

YES

YES

YES

YES

GroupStatus

Exceptional States

Instrument Forbidden

NO

NO

NO

NO

NO

NO

NO

NO

NO

Closing

YES

YES

YES

NO

NO

NO

NO

NO

NO

43


10. Appendix B - Order book trading

Inteest Rate derivatives

Equity derivatives

10.1.

Matching algo by product

Products

Description

Parameters

All

Price-visibility-time priority

N/A

STIRs

Progressive pro-rata matching algorithm, with Best Price Setter

Progressive pro-rata allocation apportions volume to matching resting orders according to their relative sizes adjusted by a time weighting factor which increases the allocation of volume to older orders in the orderbook. In particular, Three month Sterling futures have a higher weighting than Three month Euribor® futures.

LTIRs

Price-visibility-time priority

N/A

Pro-rata matching The Pro-rata matching algorithm is run in three steps: i) (where applicable) a specified quantity of the incoming order is allocated to the “Best Price Setter” resting order, on the basis of the parameters described under “Best Price Setter” above; ii) the remaining quantity of the incoming order is allocated to resting orders on a pro-rata basis orders at best price levels are allocated first; in case total quantity at one price level is more than the available remaining quantity of the incoming order, a pro-rata allocation is applied among all the available resting orders at that price level - with the pro-rata allocation policy determined on the basis of the parameters described under “First pass allocation” above; iii) any residual quantity of the incoming order (if any) is allocated on the basis of the “Residual policy” configured and its related parameters. Best Price Setter (BPS) The “Best Price Setter” status is assigned to an incoming order which determines new best price level (in bid or offer) of the order book. The quantity of an incoming order allocated to the Best Price Setter is determined on the basis of the following parameters: - Min = represents the minimum quantity that can be allocated to a BPS order. In case this quantity cannot be satisfied, BPS status is not assigned to the order and all the residual quantity is sent to the First Pass Allocation; - Max = represents an absolute maximum quantity (in units) that can be allocated to a BPS order; - Allocation = represents the maximum quantity (in % of the incoming order quantity) that can be considered for allocation to a BPS order.

44


First pass allocation In the First Pass allocation, the policy to allocate residual quantity can be “FIFO” or “Pro-rata”: - under “FIFO”, resting orders are fully filled based on their time priority, until no resting quantity reremains. In this case, the “Residual policy” step is not necessary; - under the “First Pass pro-rata” allocation policy the quantity to be allocated is determined on the basis of the following parameters: o Collar = represents the minimum incoming quantity that must be available to allocate via the First pass. In case this quantity cannot be satisfied, all the residual quantity will follow FIFO allocation; o Cap = represents the maximum quantity (in units) that can be allocated during the First Pass; o Split = represents the maximum quantity (in % of the tradable quantity) that can be allocated during the First Pass; o Time weight = is the parameter governing a time-based component in the allocation policy during the First pass. - when set to 0, no weight is attributed to the time-priority component; - when given a numerical value (1.5), the higher the parameter, the greater the weighting for allocation given to resting orders that have a higher time-priority (“Progressive pro-rata”); - If set to “A” this will implement the “Age pro-rata” allocation whereby allocation to each applicable resting order is determined by both the unallocated quantity of the incoming order and the age of the order (length of time present in the order book) in comparison with the oldest eligible order that is still present in the book at that price level. Residual policy In the Residual policy pass, the policy to allocate any residual quantity can be configured to be “FIFO” or “Residual Pro-rata”. - under “FIFO”, resting orders are fully filled based on their time priority, until no resting quantity reremains; - under the “Residual pro-rata”, resting orders are filled sequentially, in proportion to their residual unexecuted quantity. Note that allocation of any residual quantity under the “Residual pro-rata” is determined on the basis of the “Re-sort” parameter. At the end of “First pass allocation”, resting orders can be re-sorted before the allocation of any residual quantity. It is possible to: - maintain the original time priority (no re-sort); - re-sort by size (orders with biggest unexecuted quantity after the first pass allocation are ranked first), or; - re-sort by allocation (orders with lower allocated quantity after the first pass allocation are ranked first).

45


11. Appendix C - Order Types

Duration Type

Quantity Type

Price Type

11.1.

Order types for electronic, anonymous Order book trading

Order type

Description

Limit order

Enters Order book at specified price and will execute at that level or better. Residual is retained on order-book (unless designated as an immediate order) until withdrawn or traded.

Market order

Executes at best available price until all volume on opposite side has been traded. Residual is converted to a limit order at last price that original order was executed.

Top order

Executes at best available price against any single contra order. Residual is converted to a limit order at price just traded.

Stop (loss) order

Order enters book to prevent further loss once either last price or bid/ask (as selected) reaches a stated trigger price. Entering order can be set as limit order by entering a specific order price. Alternatively, it can be set as a market order by leaving order price field blank. Residual is retained on book.

If-Touched order

Order enters book seeking to capitalise once either the Last price or Bid or Ask (as selected) reaches a stated trigger price. Entering order can be set as limit order by entering a specific order price. Alternatively, it can be set as a market order by leaving the order price field blank. Residual is retained on order-book.

Minimum quantity order

Tries to execute at the specified price for at least the stated ‘Additional Quantity’ (AQ). If the AQ cannot be immediately filled, the order is rejected. If the AQ is filled, the residual is retained on the Order book and can trade without further quantity constraints.

Iceberg/disclosed quantity order

Enters book as Limit order for only the ‘Additional Quantity’ (AQ) visible, and any balance is held “in reserve”. The visible quantity is assigned time-priority at the point of insertion in relation to other displayed orders, whilst the reserve quantity is assigned time priority in respect of other non-displayed orders. When this disclosed/ AQ amount has been traded, the system refreshes the visible quantity from the reserve quantity.

Day order

Remains on the book and cancelled at end of day unless traded or deleted.

Good Till Day (GTD)

Remains on the book and cancelled at the end of the day specified in the GTD field unless traded or deleted.

Good Till Cancelled (GTC)

Remains on the book until expiration unless traded or deleted.

Immediate order (FAK/ IOC)

Immediately executed against any existing orders at the specified price of better, up to the stated volume. Residual volume is deleted.

While connected order

Remains on the book until participant disconnection or front end failure unless traded or deleted.

Notes

Not available for Interest Rate products

46

LSEDM TRADING SERVICES DESCRIPTION September 2016 11.2.

Block Trades

Order type

Description

Effect market data

Cross (committed)

Matching facility to support reporting of BNT between different members for the purpose of trade publication and clearing. Trades must specify the intended counterparty and do not interact with the anonymous orderbook. Trades stay in the cross book until the end of the day unless matched or deleted.

Both sides must enter a cross order with opposing buy and sell sides, same price, same quantity and the correct counterparty or the trades will not match. Cross orders not matched by the end of the trading session are automatically deleted.

Cross (internal)

Trade is pre-arranged by one member acting on behalf of each side and reported to LSEDM. Trades do not interact with the anonymous orderbook.

Matching not required as trade details are entered by one participant only.

Bundled

Members are allowed to group several bilaterally negotiated trades on same/different instruments within an unique order, offering certainty of simultaneous execution, or no execution at all. Each leg of the Bundled Order must specify the intended counterparty and do not interact with the orderbook. Trades stay in the cross book until the end of the day unless matched or deleted.

Third Party

Members registed as Reporting Brokers can arrange a trade between two or more Members and use the Third Party Order to initiate the execution process for a cross order. Each leg of the Third Party Order must specify the intended counterparties and do not interact with the orderbook. Trades stay in the committed book until the end of the day unless matched or deleted.

Trades must meet certain quantity and price threshold determined by LSEDM on a product specific basis. Trades contribute to the Market Data Feed with quantity and price updates.

Matching requirements

Each leg must be approved by the opposing counterparty (same price, same quantity), otherwise the trades will not matched. Once all legs are approved, trades in the Bundled Order are confirmed and sent to clearing. Legs of the Bundled Orders not matched by the end of the trading session are automatically deleted. Each leg of the trade must be approved by the relevant counterparties (same price, same quantity), otherwise the trades will not matched. Once all legs are approved, trades in the Third Party Order are confirmed and sent to clearing. Legs of the Third Party Orders not matched by the end of the trading session are automatically deleted.

47


12. Appendix D – Controls 12.1.

Price and Quantity Restrictions for equity derivatives Order book price control

Equity Futures

Product

10 11

Block Trade price control for Standard series10

Order book quantity control

Block trade quantity control

Manual Trade Reporting11

% from static control

% from dynamic control

Min quantity for outside spread

Allowable % from bid/ask

Max single order

Max combo order

Min size

Max size

Min quantity Tailor-made (Flex) series

FTSE 100

+/- 5.0% for orders +/- 3.5% for trades

+/- 1.5%

100 lots

+/- 7.5%

500 lots

2500 lots

50 lots

5,000 lots

n/a

FTSE UK SLQ


+/- 1.5%

100 lots

+/- 7.5%

500 lots

2500 lots

50 lots

5,000 lots

n/a

FTSE RIOB


+/- 1.5%

1 lot

Within bid/ask spread

500 lots

2,500 lots

1 lot

5,000 lots

1 lot

OBX

+/- 10% for orders

n/a

1 lot


50,000 lots

50,000 lots

1 lot

50,000 lots

n/a

OBOSX

+/-10% for orders

n/a

1 lot


50,000 lots

50,000 lots

1 lot

50,000 lots

n/a

BIST 30


+/- 1.5%

150 lots

+/- 5.0%

5,000 lots

5,000 lots

150 lots

5,000 lots

1 lot

UK Stocks (contract size = 1,000)

n/a

n/a

n/a

n/a

n/a

n/a

1 lot

30,000 lots

1 lot

UK Stocks (contract size = 100)

n/a

n/a

n/a

n/a

n/a

n/a

1 lot

300,000 lots

1 lot

Norwegian stock

+/- 50% for orders

n/a

1 lot


50,000 lots

50,000 lots

1 lot

50,000 lots

n/a

IOB DRs


+/- 3.5%

1 lot


10,000 lots

10,000 lots

1 lot

60,000 lots

1 lot

Block trades in Tailor-made (Flex) series electronically submitted to LSEDM are subject to a post-trade fair value validation check by LSEDM Market Supervision. For Manual Trade Reporting of Standard series, Block Trade price and quantity controls apply.

48

LSEDM TRADING SERVICES DESCRIPTION

Equity Options

November 2016

IOB DR dividends


+/- 5.0%

1 lot


10,000 lots

10,000 lots

1 lot

100,000 lots

1 lot

FTSE 100

See below

See below

50 lots

+/- 7.5%

500 lots

2500 lots

25 lots

5,000 lots

1 lot

FTSE 100 weekly

See below

See below

300 lots

+/- 7.5%

500 lots

2,500 lots

300 lots

5,000 lots

n/a

FTSE RIOB

See below

See below

1 lot


5,000 lots

10,000 lots

1 lot

10,000 lots

1 lot

OBX

n/a

n/a

1 lot


50,000 lots

50,000 lots

1 lot

50,000 lots

n/a

BIST 30

See below

See below

150 lots

+/- 15.0%

5,000 lots

5,000 lots

150 lots

5,000 lots

1 lot

IOB DRs

See below

See below

1 lot


10,000 lots

10,000 lots

1 lot

30,000 lots

1 lot

+/- 7.5%

5,000 lots

5,000 lots

1 lot

30,000 lots

1 lot

UK Stocks (contract size = 1,000)

See below

See below

50 lots 200 lots (VOD, LLOY)

UK Stocks (contract size = 100)

See below

See below

500 lots

+/- 7.5%

50,000 lots

50,000 lots

1 lot

300,000 lots

1 lot

Norwegian stock

n/a

n/a

1 lot


50,000 lots

50,000 lots

1 lot

50,000 lots

n/a

49

LSEDM TRADING SERVICES DESCRIPTION November 2016 12.2.

Price and Quantity Restrictions for Interest rate derivatives Order book price control Product

Interest Rate futures

Three month Euribor®

Three month Sterling

Colour code12

Block Trade price control

Order book quantity control

Block trade quantity control

X validation (order price vs. static control price - in ticks13)

Y validation (trade price vs. static control price - in ticks)

Min quantity for outside spread

Allowable % from bid/ask14

Max single order

Max combo order

Min size

Max size

Serial

20

10

50

+/- 20%

2000

10000

50

99999

White

20

10

300

+/- 20%

2000

10000

300

99999

Red

40

24

150

+/- 20%

2000

10000

150

99999

Green

40

30

100

+/- 20%

2000

10000

100

99999

Blue

60

34

50

+/- 20%

2000

10000

50

99999

Gold

60

40

40

+/- 20%

2000

10000

40

99999

Purple

80

70

20

+/- 20%

2000

10000

20

99999

Serial

10

5

30

+/- 20%

2000

10000

30

99999

White

10

5

200

+/- 20%

2000

10000

200

99999

Red

20

12

100

+/- 20%

2000

10000

100

99999

Green

20

15

75

+/- 20%

2000

10000

75

99999

Blue

30

17

50

+/- 20%

2000

10000

50

99999

Gold

30

20

40

+/- 20%

2000

10000

40

99999

Purple

40

35

20

+/- 20%

2000

10000

20

99999

Schatz

All months

60

20

150

+/- 20%

2000

10000

150

99999

Bobl

All months

135

45

100

+/- 20%

2000

10000

100

99999

Bund

All months

315

105

50

+/- 20%

2000

10000

50

99999

Long Gilt

All months

195

65

10

+/- 20%

2000

10000

10

99999

12

The expiry colour coding refers to the following monthly strips or “packs”: White, 3-12m; Red, 12-24m; Green, 24-36m; Blue, 36-48m; Gold, 48-60m; Purple, 60-72m. Please note that the tick size for Euribor futures is 0.005 and 0.01 for the Three Month Sterling futures. 14 Block trades electronically trade reported on series where no bid/ask is available are automatically accepted but subject to a post-trade fair value validation check by LSEDM Market Supervision. 13

50


Index options (order book price control), excluding FTSE 100 Index options Trade vs. Settlement

Strike Price

Trade vs. Last

Front month

All subsequent expiries

All Expiries

(% Increase - % Decrease)



Over 8th OTM

900% - 80%

890% - 70%

450% - 50%

7th OTM

700% - 80%

690% - 70%

350% - 50%

5th and 6th OTM

500% - 80%

490% - 70%

200% - 50%

3rd and 4th OTM

250% - 80%

240% - 70%

100% - 50%

2nd OTM

200% - 80%

190% - 70%

70% - 50%

1st OTM

150% - 80%

140% - 70%

50% - 50%

ATM

100% - 80%

90% - 70%

40% - 40%

1st ITM

80% - 80%

70% - 70%

30% - 30%

2nd ITM

70% - 70%

60% - 60%

30% - 30%

3rd and 4th ITM

60% - 60%

50% - 50%

25% - 25%

5th and 6th ITM

40% - 40%

30% - 30%

15% - 15%

7th to 11th ITM

35% - 35%

25% - 25%

10% - 10%

12th ITM

25% - 25%

15% - 15%

5% - 5%

51


FTSE 100 Index and Index Weekly options (order book price control) - Trade v.s. Settlement Trade vs. Settlement (days to expiry)

Strike Price

1

2

3

4

5-7

8-10

11-30

> 30

(% Increase - % Decrease) 11th OTM and over

900-95

900-95

900-90

900-90

900-80

900-80

900-80

800 - 70

8th to 10th OTM

900-95

900-95

900-90

900-90

900-80

900-80

900-80

800 - 70

6th and 7th OTM

900-95

900-95

900-90

700-85

600-80

500-80

500-80

400 - 70

4th and 5th OTM

900-95

500-95

400-90

350-80

300-80

250-80

250-80

200 - 70

3rd OTM

900-95

400-95

400-85

350-80

300-80

250-80

250-80

200 - 70

2nd OTM

700-95

300-95

300-85

300-80

250-80

200-80

200-80

175 - 70

1st OTM

500-95

300-90

300-85

300-80

200-80

150-80

150-80

125 - 70

ATM

400-90

250-90

200-85

175-80

150-80

100-80

100-80

90 - 70

1st ITM

300-90

200-90

150-85

150-80

100-80

80-80

80-80

70 - 70

2nd ITM

250-90

150-85

150-80

150-80

100-70

70-70

70-70

60 - 60

3rd ITM

200-85

150-75

125-70

125-70

70-70

60-60

60-60

50 - 50

4th and 5th ITM

150-80

125-75

100-70

70-70

70-70

60-60

40-40

30 – 30

6th and 7th ITM

100-70

100-60

60-60

50-50

45-45

40-40

40-40

30 – 30

8th to 10th ITM

70-70

60-60

50-50

40-40

40-40

35-35

35-35

25 – 25

11th ITM and over

50-50

50-50

40-40

30-30

30-30

25-25

25-25

15 - 15

52


FTSE 100 Index and Index Weekly options (order book price control) - Trade v.s. Last Trade vs. Last (days to expiry)

Strike Price

1

2

3

4

5-7

8-10

> 11

(% Increase - % Decrease) 11th OTM and over

900-90

900-90

900-90

800-90

800-70

450-60

450-50

8th to 10th OTM

900-90

900-90

800-90

800-90

800-70

350-60

350-50

6th and 7th OTM

900-90

800-90

800-90

650-85

550-70

200-60

200-50

4th and 5th OTM

800-90

450-90

350-90

300-80

250-70

100-60

100-50

3rd OTM

300-90

300-90

300-85

200-80

200-70

100-60

100-50

2nd OTM

300-90

300-90

200-85

200-80

200-70

70-60

70-50

1st OTM

300-90

200-90

200-85

200-80

150-60

60-60

50-50

ATM

150-90

150-90

150-85

125-80

100-50

50-50

40-40

1st ITM

125-90

100-90

75-75

75-75

50-50

40-40

30-30

2nd ITM

75-75

50-50

50-50

50-50

50-50

40-40

30-30

3rd ITM

75-75

50-50

50-50

45-45

40-40

30-30

25-25

4th and 5th ITM

50-50

40-40

40-40

35-35

30-30

30-30

15-15

6th and 7th ITM

30-30

30-30

30-30

25-25

20-20

20-20

10-10

8th to 10th ITM

25-25

25-25

25-25

15-15

15-15

15-15

10-10

11th ITM and over

20-20

20-20

20-20

10-10

10-10

10-10

5-5

53


Stock options (order book price control) Trade vs. Settlement Strike Price

Trade vs. Last

Front month

All subsequent expiries

All Expiries




Over 8th OTM

900% - 80%

890% - 70%

450% - 50%

7th OTM

700% - 80%

690% - 70%

350% - 50%

5th and 6th OTM

500% - 80%

490% - 70%

200% - 50%

3rd and 4th OTM

400% - 80%

390% - 70%

100% - 50%

2nd OTM

350% - 80%

340% - 70%

70% - 50%

1st OTM

250% - 80%

240% - 70%

60% - 50%

ATM

150% - 80%

140% - 70%

50% - 50%

1st ITM

80% - 80%

70% - 70%

40% - 40%

2nd ITM

70% - 70%

60% - 60%

35% - 35%

3rd and 4th ITM

60% - 60%

50% - 50%

30% - 30%

5th and 6th ITM

50% - 50%

40% - 40%

20% - 20%

7th to 11th ITM

45% - 45%

35% - 35%

15% - 15%

Over 12th ITM

30% - 30%

20% - 20%

10% - 10%

54


13. Appendix E - Futures Contracts Value Ranges 13.1.

13.2.

Equity derivatives Product

Value Ranges

Fast Market Value Ranges

Stock index Future

1.5%

3%

Stock Futures

5%

10%

Dividend Futures

10%

20%

Colour code

Value Ranges (ticks from fair value)

Serial

8

Interest rate derivatives Product

Interest Rate futures

Three month Euribor®

Three month Sterling

White

8

Red

18

Green

20

Blue

26

Gold

30

Purple

40

Serial

8

White

8

Red

18

Green

20

Blue

26

Gold

30

Purple

40

Schatz

All months

30

Bobl

All months

70

Bund

All months

120

Long Gilt

All months

80

55


14. Appendix F – Standard combinations 14.1. Strategy

1. Calendar Spread

14.2.

List of Exchange-generated strategies for equity derivatives Description (Long position)

Products

Buy the near month future and sell the far month future

IOB, UK and Turkish derivatives

Sell the near month future and buy the far month future

Norwegian derivatives

List of Exchange-generated strategies for Interest Rate derivatives

Strategy

Description (Long position)

STIRs

LTIRs

2. Calendar Spread

Buy the near month future and sell the far month future. The gap between the months do not have to be consecutive.





3. Butterfly

Buy the near month future, sell the next month future twice and buy the last month future. The months must always be quoted with the nearest to expiry first and the longest dated expiry month last. The gaps between the months do not have to be consecutive.



4. Condor

Buy the near month future, sell the next two months futures and buy the last month future. The months must always be quoted with the nearest to expiry first and the longest dated expiry month last. The gaps between the months do not have to be consecutive.



Block Trades on strategy instruments derive their price and quantity controls from those set for their respective legs. In particular, for Interest rate derivatives, the quantity control parameter is 150% of the largest one set on constituent legs.

56


15. Appendix G - Flexible combinations LSEDM suggested convention for user-generated strategies To assist front end developers in building a set of pre-defined strategies, LSEDM suggests the following convention (useful for developing front end systems). Please note, this is a simply an illustration of how to build a pre-defined list. Market participants can choose their own convention, using the FLEXCO message.

Strategy


LSEDM convention (K = strike, T = maturity)

2 legged strategies Buy F (T1)

1. Calendar Spread (excluding Oslo products)

Buy the near month future and sell the far month future

2. Calendar Spread (Oslo products)

Sell the near month future and buy the far month future

3. Call Calendar Spread

Buy the near month call and sell the far month call

4. Put Calendar Spread

Buy the near month put and sell the far month put

5. Diagonal Call Calendar Spread

Buy the near month call and sell the far month call at different strike prices

Buy C (K1, T1)

6. Diagonal Put Calendar Spread

Buy the near month put and sell the far month put at different strike prices

Buy P (K1, T1)

7. Straddle

Buy a call and a put at the same strike (and at the same expiry date)

8. Collar

Buy a put at the lower strike and sell a call with a higher strike price (and at the same expiry date)

9. Risk Reversal

Sell a put and buy a call at the same strike (and at the same expiry date)

10. Call Spread

Buy call at lower strike price and sell call at higher strike price (and at the same expiry date)

Buy C (K1, T)

11. Put Spread

Buy put at higher strike price and sell put at lower strike price (and at the same expiry date)

Sell P (K1, T)

12. Ratio Call Spread

Buy a call at lower strike price and sell 2 calls at a higher strike price (and at the same expiry date)

Buy C (K1, T)

13. Ratio Put Spread

Sell a put at lower strike price and Buy 2 puts at a higher strike price (and at the same expiry date)

Sell 2 x P (K1, T)

Sell F (T2), T1 < T2 Sell F (T1) Buy F(T2), T1 < T2 Buy C (K, T1) Sell C (K, T2), T1 < T2 Buy P (K, T1) Sell P (K, T2), T1 < T2

Sell C (K2, T2), T1 < T2

Sell P (K2, T2), T1 < T2 Buy C (K, T) Buy P (K, T) Buy P (K1, T) Sell C (K2, T), K1 < K2 Sell P (K, T) Buy C (K, T)

Sell C (K2, T), K1 < K2

Buy P (K2, T), K1 < K2

Sell 2 x C (K2, T), K1 < K2

Buy P (K2, T), K1 < K2

57


Strategy


LSEDM convention (K = strike, T = maturity)

3 legged strategies Buy C (K1, T) 14. Straddle versus Short Call

Buy a call and a put at the same strike (and at the same expiry date), sell a call at higher strike

Buy P (K1, T) Sell C (K2, T), K1 < K2 Sell P (K1, T)

15. Straddle versus Short Put

Buy a call and a put at the same strike (and at the same expiry date), sell a put at a lower strike

Buy C (K2, T) Buy P (K2, T), K1 < K2 Buy C (K1, T)

16. Call Butterfly

Sell two calls at a middle strike, buy two calls each at lower and higher strike (all with same expiry date and with strikes equidistant)

Buy C (K3, T) Sell 2 x C (K2, T), K1 < K2 < K3 Buy P (K1, T)

17. Put Butterfly

Sell two puts at a middle strike, buy two puts each at lower and higher strike (all with same expiry date and with strikes equidistant)

Buy P (K3, T) Sell 2 P (K2, T), K1 < K2 < K3 Buy C (K1, T)

18. Call Ladder

Buy call, sell call at higher strike and sell call at equally higher strike (all with same expiry date and with strikes equidistant)

Sell C (K2, T) Sell C (K3, T), K1 < K2 < K3 Sell P (K1, T)

19. Put Ladder

Sell put, sell put at higher strike and buy put at equally higher strike (all with same expiry date and with strikes equidistant)

Sell P (K2, T) Buy P (K3, T), K1 < K2 < K3 Sell P (K1, T)

20. Call spread versus Short Put

Buy Call, sell Call at higher exercise price, sell Put at any (lowest) strike

Buy C (K2, T) Sell C (K3, T), K1 < K2 < K3 Sell P (K1, T)

21. Put spread versus Short Call

Buy Put and sell Put at lower strike, sell Call at any (highest) strike

Buy P (K2, T) Sell C (K3, T), K1 < K2 < K3

4 legged strategies Sell C (T1, K) 22. Straddle Calendar Spread

Selling a near term straddle while buying a longer term straddle at same strike prices

Sell P (T1, K) Buy C (T2, K) Buy P (T2, K), T1 < T2 Sell P (T, K1)

23. Iron Butterfly

Buy a put and a call at a middle strike, sell a put at a lower strike and a call at a higher strike (all with same expiry date and with strikes equidistant)

Buy P (T, K2) Buy C (T, K2) Sell C (T, K3), K1 < K2 < K3

24. Call Condor

Sell two calls at middle equidistant strikes, buy two calls each at lower and higher strike (all with same expiry date and with strikes equidistant)

Buy C (T, K1) Sell C (T, K2) Sell C (T, K3)

58


Strategy


LSEDM convention (K = strike, T = maturity) Buy C (T, K4), K1 < K2 < K3 < K4 Buy P( T, K1)

25. Put Condor

Sell two puts at middle equidistant strikes, buy two puts each at lower and higher strike (all with same expiry date and with strikes equidistant)

Sell P (T, K2) Sell P (T, K3) Buy P (T, K4), K1 < K2 < K3 < K4 Buy C (T, K1)

26. Box

Buy call and sell put at same strike, buy put and sell call at higher strike (all with same expiry date)

Sell P (T, K1) Sell C (T, K2) Buy P (T, K2), K1 < K2 Sell C (T1, K1)

27. Diagonal Straddle Calendar Spread

Sell near term straddle and buy long term straddle at different strike prices.

Sell P (T1, K1) Buy C (T2, K2) Buy P (T2, K2), T1 < T2 Buy P (K1, T)

28. Iron Condor

Buy Put 1, Sell Put 2, Sell Call 1 and Buy Call 2 all in ascending order of strike price, all at the same maturity

Sell P (K2, T) Sell C (K3, T) Buy C (K4, T), K1 < K2< K3 < K4

29. Pack

Buy four consecutive quarterly delivery months within a single contract up to a maximum of 4 legs

59


16. Appendix H - Bulk quoting protection: Default thresholds and user configurable ranges 16.1.

IOB options (maximum volume protection only)

For the IOB options in the list, the default thresholds / ranges for the maximum volume protection counter are below. (Note, the default values are the same as the minimum market making obligations.) Default maximum volume threshold

Option Gazprom

150

Norilsk Nickel

500

Novatek

50

Rosneft

1,000

Sberbank

650

Surgutneftegaz

800

RIOB Index

Maximum configuration

1

NA

1,000

Lukoil

VTB Bank

Minimum configuration

2,500 30

For all other protection counters, the values are the same as for all instruments other than Norwegian products.

16.2.

UK stock options (maximum volume protection only)

For UK stock options listed on the order book, the default thresholds / ranges for the maximum volume protection counter are five times (5x) the minimum market making size obligations. For all other protection counters, the values are the same as for all instruments other than Norwegian products.

16.3.

Norwegian index, options and futures

For all Norwegian products, the following default thresholds / ranges are used: Protection type Time Interval

Default threshold



60 seconds

NA

1 hour

Trade count (of Min Lot size)

5 (10)

3 (5)

NA (NA)

Volume count

500

100

NA

Value count

9,999,999

10,000

NA

Delta volume count

9,999,999

100

NA

Delta value count

9,999,999

10,000

NA

60


All other equity derivatives

For all other equity derivatives listed on LSEDM, the following default thresholds / ranges are used: Protection type

Default threshold



60 seconds

NA

1 hour

99 (equal to minimum market maker obligation)

1 (equal to minimum market making obligation)

NA (NA)

10,000

1

NA

Value count

99,999,999

1,000

NA

Delta volume count

99,999,999

100

NA

Delta value count

99,999,999

10,000

NA

Time Interval Trade count (of Min Lot size) Volume count

16.5.


For Interest Rate derivatives, the following default thresholds / ranges are used: Protection type

Default threshold



10 seconds

10

31200

10 (1)

1 (1)

99999 (NA)

99999

1

9999999

Value count

9999999

5000

99999990000

Delta volume count

9999999

1000

9999999

999990000

999990000

999990000

Time Interval Trade count (of Min Lot size) Volume count

Delta value count

61


Disclaimers This document is for information only. London Stock Exchange Group has made reasonable efforts to ensure that the information contained in this document is correct at the time of printing, but shall not be liable for any decisions made in reliance on it. It does not constitute investment advice, nor is it intended to constitute an invitation or inducement to engage in any investment activity. This document does not constitute an offer to sell or the solicitation of an offer to purchase any security, investment product or service in the United States or any other jurisdiction in which such an offer or solicitation is not authorised. Three month Euribor® Futures The product is not in any way sponsored, endorsed, sold, or promoted by EMMI, and EMMI has no obligations or liability in connection with the trading of any such product. EURIBOR is compiled and calculated on behalf of EMMI. However, EMMI shall not be liable (whether in negligence or otherwise) to any person for any error in EURIBOR or use of the same, whether or not arising from the negligence of EMMI, and EMMI shall not be under any obligation to advise any person of any error therein. EMMI MAKES NO WARRANTY, EXPRESS OR IMPLIED, EITHER AS TO THE RESULTS TO BE OBTAINED FROM THE USE OF EURIBOR, AND/OR THE FIGURE AT WHICH EURIBOR STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DAY OR OTHERWISE. EMMI MAKES NO EXPRESS OR IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE FOR USE WITH RESPECT TO THE PRODUCT AND EXCLUDES ALL LIABILITY FOR ANY LOSS OF BUSINESS OR PROFITS OR FOR ANY DIRECT, INDIRECT OR CONSEQUENTIAL LOSS OR DAMAGE ARISING FROM USE OF EURIBOR.

Three month Sterling Futures ICE LIBOR is a trade mark of ICE Benchmark Administration. ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO WARRANTY, EXPRESS OR IMPLIED, EITHER AS TO THE RESULTS TO BE OBTAINED FROM THE USE OF ICE LIBOR AND/OR THE FIGURE AT WHICH ICE LIBOR STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DAY OR OTHERWISE. ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO EXPRESS OR IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE FOR USE WITH RESPECT TO THIS PRODUCT.

© November 2016. London Stock Exchange Group plc, 10 Paternoster Square, London EC4M 7LS.

62

lsedm trading services description - London Stock Exchange Group

lsedm trading services description - London Stock Exchange Group

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