Directive 3: Trading
SIX Swiss Exchange AG

dated 1 February 2024
Entry into force: 10 June 2024

Sensitivity: C2 InternalDirective 3: Trading

10/06/2024

Table of contents
1

Purpose and principle ............................................................................................................................... 5I

General ........................................................................................................................................................ 5

2

Trading day and trading periods ............................................................................................................. 5

3

Clearing day ................................................................................................................................................ 5

4

Trading hours ............................................................................................................................................. 5

II

Definitions ................................................................................................................................................... 6

5

Order and quote ........................................................................................................................................ 6

5.1

Order ............................................................................................................................................................ 6

5.1.1

Definition ..................................................................................................................................................... 6

5.1.2

Order types ................................................................................................................................................. 6

5.1.3

Order specification .................................................................................................................................... 7

5.2

Quote ........................................................................................................................................................... 9

5.2.1

Definition ..................................................................................................................................................... 9

5.2.2

Quote specification .................................................................................................................................... 9

6

Execution priority .....................................................................................................................................10

7

Auction and principle of highest executable volume .........................................................................10

8

Continuous trading ..................................................................................................................................11

9

Trading-At-Last (TAL) ...............................................................................................................................12

10

Algorithmic trading ..................................................................................................................................12

11

Exemptions from pre-trade transparency ...........................................................................................13

12

Pre-trade controls ....................................................................................................................................13

13

Trading interruption ................................................................................................................................13

14

Reference price adjustment ...................................................................................................................14

15

Trading restrictions .................................................................................................................................15

15.1

Foreign shares ..........................................................................................................................................15

15.2

Buy orders .................................................................................................................................................15

16

Suspension of trading in derivatives .....................................................................................................16

16.1

Suspension of trading in derivatives with path-dependent structures ...........................................16

16.2

Suspension of trading for leverage products subject to a current Active Product Package withearly redemption......................................................................................................................................17

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III

Market models..........................................................................................................................................17

17

Central Limit Order Book (CLOB) ...........................................................................................................17

17.1

Orders and quotes ...................................................................................................................................17

17.2

Liquidity providers ...................................................................................................................................17

17.3

Pre-opening ..............................................................................................................................................17

17.4

Opening .....................................................................................................................................................18

17.5

Continuous trading ..................................................................................................................................18

17.6

Closing auction .........................................................................................................................................18

17.7

Close of trade without closing auction .................................................................................................19

17.8

Trading-At-Last (TAL) ...............................................................................................................................19

17.9

Post-trading ..............................................................................................................................................19

18

Quote Driven Market (QDM) ..................................................................................................................19

18.1

Orders and quotes ...................................................................................................................................19

18.2

Market makers and liquidity providers.................................................................................................19

18.3

Pre-opening ..............................................................................................................................................20

18.4

Opening .....................................................................................................................................................20

18.5

Continuous trading ..................................................................................................................................20

18.6

Closing auction .........................................................................................................................................21

18.7

Close of trade without closing auction .................................................................................................21

18.8

Post-trading ..............................................................................................................................................21

19

Price Validation Market (PVM) ................................................................................................................22

19.1

Orders and quotes ...................................................................................................................................22

19.2

Market Makers and Liquidity Providers ................................................................................................22

19.3

Pre-opening ..............................................................................................................................................22

19.4

Opening .....................................................................................................................................................22

19.5

Continuous trading ..................................................................................................................................22

19.6

Close of trade without closing auction .................................................................................................23

19.7

Post-trading ..............................................................................................................................................23

IV

Reporting of trades to the Exchange ....................................................................................................24

20

Trade Reports ...........................................................................................................................................24

21

Reporting functions .................................................................................................................................24

21.1

Two-sided Trade Report ..........................................................................................................................24

21.2

One-sided Trade Report ..........................................................................................................................24

V

Correction, cancellation and countertrade ..........................................................................................25

22

Correction..................................................................................................................................................25

23

Cancellation ..............................................................................................................................................25

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23.1

Principle .....................................................................................................................................................25

23.1.1

Irregular on-exchange trades ................................................................................................................25

23.1.2

Incorrect Trade Reports to the Exchange ............................................................................................25

23.2

Procedure ..................................................................................................................................................25

23.2.1

Cancellation of trade by the Exchange .................................................................................................25

23.2.2

Cancellation of Trade Reports by the participant ...............................................................................26

23.3

Effect of a cancellation ............................................................................................................................26

23.4

Costs...........................................................................................................................................................26

24

Countertrade ............................................................................................................................................26

VI

Short-selling ..............................................................................................................................................26

25

Principle .....................................................................................................................................................26

26

Special situations .....................................................................................................................................26

VII

Trading segments ....................................................................................................................................27

27

Classification of markets and trading segments .................................................................................27

Annex A – Separate Trading Lines ............................................................................................................................28
Annex B – Trade Types ...............................................................................................................................................29
Annex C – Delayed Publication .................................................................................................................................30
Annex D – Price Steps (Tick Size) ...............................................................................................................................33

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Purpose and principle

This Directive contains provisions for on-exchange, on-order-book trading and is based on Clause 11.1
Trading Rules.

I

General2

Trading day and trading periods

The Exchange specifies the trading days in the trading calendar and publishes the calendar in a suitable
way.
1

2

A trading day shall consist of the following trading periods:a) Pre-opening;b) Opening;c) Continuous trading;d) Closing auction (if taking place);e) Trading-At-Last (TAL) (if taking place);f) Close of trading;g) Post-trading.
3

A trading day shall last from 06:00 to 22:00 (CET).

4

In special situations the Exchange may modify trading days.

3

Clearing day

1

A clearing day shall last from 08:00 to 18:15 (CET).

2

In special situations the Exchange may modify clearing days.

4

Trading hours

1

The Exchange shall determine the trading hours for each trading segment.

2

The trading hours shall consist of the following trading periods:‒ Opening;‒ Continuous trading;‒ Closing auction (if taking place);‒ Trading-At-Last (TAL) (if taking place).
3

In special situations the Exchange may modify trading hours.

4

The details are laid down in the "Trading Parameters" Guideline.

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II Definitions
5

Order and quote

5.1

Order

5.1.1

Definition

In accordance with Clause 11.1.2 Trading Rules, an order is an offer, which may be binding or nonbinding, to buy or sell a certain quantity of one security at an unlimited or limited price.
1

In the market models Central Limit Order Book and Quote Driven Market the orders contained in theorder book are binding. In the market model Price Validation Market the orders contained in the orderbook are not binding.
2

Orders may be entered in or deleted from the order book during set periods. All incoming orders shallbe assigned a time stamp and an identification number. Amended orders shall lose their original timepriority and be given a new time stamp.
3

5.1.2
1

Order types

The Exchange supports the order types:a) Normal order; A Normal order may be entered at any time during the trading day and is visible in theorder book. Non-executed parts of the order remain in the order book until they have been executedor deleted, or have expired. Other validities and Routing Instructions remain reserved.
b) Iceberg order; An Iceberg order may be entered at any time during the trading day. The visible quantity of the Iceberg order is published in the order book. After the visible quantity of the Iceberg orderhas been executed, the next tranche of the total order quantity shall be published in the order book as
a new visible quantity, and so on until the total order quantity has been executed or deleted, or has
expired. Each tranche shall be given a new time stamp and a new identification number, and thus loses
its time priority. During continuous trading and in auctions, subject to the price-time priority principle,
the total quantity of the Iceberg order shall remain executable against orders or quotes on the opposite side of the order book.
At the request of the participant, the Exchange may define, on a random basis within a specific limit,
the visible quantity of the Iceberg order for each tranche of the total order volume. Other validities andRouting Instructions remain reserved.
c) Retail order; A Retail order may be entered at any time during the trading day. It is managed in theexchange system until triggered (that means until the order is possibly routed to the correspondingorder book in accordance with the order specification) and is not visible in the order book. If the conditions for triggering the Retail order during continuous trading or during the Trading-At-Last period aremet, the order is routed to the corresponding order book in accordance with the order specification.
Retail orders are triggered in the Central Limit Order Book market model on the basis of the reference
price. In the Quote Driven Market and Price Validation Market market models, Retail orders are triggered based on the quote of a market maker or liquidity provider on the opposite side or based on thereference price.
Once the Retail order has been triggered, the exemptions from pre-trade transparency and implementing provisions apply for the order in accordance with the order specification, the respective order
book, or the corresponding trading period.

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The Exchange triggers Retail orders in accordance with the principle of price-time priority of the entry
into the exchange system. The Retail order remains in the exchange system or in the correspondingorder book until the order is executed, deleted or expired (an execution of the Retail order is not guaranteed). Retail orders can be managed in the exchange system or in the order book throughout their
entire period of validity and lose time priority.
The Exchange differentiates between the following types of Retail orders:
1. Stop Limit: After triggering, the order is routed with a price limit;
2. Stop Loss: After triggering, the order is routed without a price limit.
d) Auction Volume Discovery order: An Auction Volume Discovery order may be entered at any time during the trading day and is not visible in the order book. Auction Volume Discovery orders can be entered with “at-the-opening” validity for the opening and with “at-the-close” validity for the closing auction; however, they are not considered for the price determination mechanism of the auction in accordance with the principle of highest executable volume. Auction Volume Discovery orders can be
managed in the exchange system or in the order book throughout their entire period of validity andlose time priority. Auction Volume Discovery orders are executed against remaining “in limit” orders
and quotes from the closing auction as well as “in limit” Auction Volume Discovery orders on the opposite side, taking into account the principle of quantity-time priority at the closing price of the closing
auction. If no price can be determined during the auction, Auction Volume Discovery orders will not be
executed. Portions of the Auction Volume Discovery order that are not executed will expire after theauction or after the “Trading-At-Last” period.
Details are laid down by the Exchange in the relevant technical specifications as well as in the “Trading
Parameters” Guideline.
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5.1.3
1

Order specification

An order must be recorded with the following attributes:a) Identification of the participant: participant identification (Party ID) and Trader ID;b) Transaction type: buy or sell;c) Trading capacity: client transaction (trading in own name but for the account of the client) or proprietary transaction (trading in own name and for own account);d) Identification of the security: ISIN, trading currency and trading venue;e) Order volume: number of securities or nominal value for percent-listed instruments. In the case of Iceberg orders, the visible quantity in the order book must also be defined. Specification of a minimum
execution quantity is only supported for Auction Volume Discovery orders at the opening and in theclosing auction;f) Price limit:
1. for Normal, Retail and Auction Volume Discovery orders: limited or unlimited;
2. for Iceberg orders: limited;
3. for orders with Routing Instruction "SWMB": limited;
For Retail orders, the trigger price must also be defined.
g) Validity:
1. Immediate-or-cancel (IOC or Accept): shall be executed immediately, in full or inasmuch as is possible. Non-executed parts of the order shall be deleted without entry in the order book;
2. Fill-or-kill (FOK): shall be executed immediately and in full or not at all. If an immediate, full execution is not possible, the order shall be deleted without entry in the order book;

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3. At-the-opening: may be entered only during pre-opening and remains valid up to and including
opening. Non-executed parts of the order shall be deleted after opening;
4. At-the-close: may be entered during pre-opening, continuous trading and Trading-At-Last (TAL) andremains valid up to and including the closing auction or the Trading-At-Last period. Non-executedparts of the order will be deleted after the closing auction or the Trading-At-Last period; other instructions from the participant remain reserved. orders with at-the-close validity are not visible in
the order book until the start of the closing auction;
5. Good-for-day: valid until the close of trading on the current trading day; other instructions from theparticipant remain reserved.
6. Good-till-date: valid until the close of trading on a certain trading day; other instructions from theparticipant remain reserved. The maximum term of validity shall be one year;h) Algorithmic trading: flagging of
1. the order generated by algorithmic trading;
2. the algorithm used;
3. the trader initiating the order;i) Routing Instruction:
1. “SWX” for the entry into the Central Limit Order Book (CLOB) or into the order book of the Quote
Driven Market (QDM); the Routing Instruction “SWX” is supported for orders with or without pricelimit; or
2. "SWMX" for the entry into the order book without pre-trade transparency from SwissAtMid and subsequent forwarding of the remaining amount into the Central Limit Order Book (CLOB); the Routing
Instruction "SWMX" is supported for orders with or without price limit. If the order book without
pre-trade transparency is not activated for a given trading segment, orders with Routing Instruction"SWMX" are forwarded directly to the Central Limit Order Book (CLOB) or to the Quote Driven Market (QDM) order book. If an order with Routing Instruction "SWMX" is entered while the order bookis not in the continuous trading period, it will be routed directly to the Central Limit Order Book
(CLOB) or to the Quote Driven Market (QDM) order book. Existing orders with the Routing Instruction “SWMX” are forwarded to the Central Limit Order Book (CLOB) or to the Quote Driven Market(QDM) order book in the closing auction and during the Trading-At-Last period. Orders with Routing
Instruction "SWMX" follow the execution provisions of the order book in question in continuous
trading; or
3. "SWMB" for the entry into the Central Limit Order Book (CLOB) and simultaneous entry into the order book without pre-trade transparency of SwissAtMid; if the quantity of the order with Routing Instruction "SWMB" in the Central Limit Order Book (CLOB) or the order book without pre-tradetransparency for SwissAtMid is executed, the total quantity of the order in the order book in question will be reduced by the quantity that has been executed, until the total order quantity has been
executed or deleted, or has expired.
The Routing Instruction "SWMB" is supported for orders with a price limit. The stated price limit applies to executions on SwissAtMid, and as a maximum limit for the Central Limit Order Book (CLOB).
For executions in the Central Limit Order Book (CLOB), the Exchange adjusts the price limit for orders with Routing Instruction "SWMB" dynamically to the best bid or ask price. If the Central Limit
Order Book (CLOB) does not contain a bid or ask price, the order is suspended in both order books
and is thus neither executable nor visible in the order book. Suspended orders are reactivated assoon as a corresponding bid or ask price is available in the Central Limit Order Book (CLOB). Theseorders are thus executable, have a new time stamp and are visible in the order book. If the orderbook without pre-trade transparency is not activated for a given trading segment, orders with Routing Instruction "SWMB" will be rejected. If the Central Limit Order Book (CLOB) is not in the trading

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period "Continuous Trading" or if there is a trading interruption, the order with Routing Instruction"SWMB" is suspended in both order books and as such is neither executable nor visible in the orderbook. Once the Central Limit Order Book (CLOB) is again in continuous trading, suspended orders
are reactivated, have a new time stamp and are visible in the order book. Existing orders with the
Routing Instruction "SWMB" are deleted in the closing auction. Orders with Routing Instruction"SWMB" are rejected during the Trading-At-Last period. The Exchange may limit the number of orders with Routing Instruction "SWMB" that are permitted in each order book. Orders with Routing
Instruction "SWMB" follow the execution provisions of the order book in question in continuous
trading; or
4. “SEB” for execution at the European best bid and ask price on a best effort basis of the liquidity provider (Swiss EBBO) in the Central Limit Order Book (CLOB), in the order book without pre-tradetransparency of SwissAtMid and in the order book for hybrid trading of Swiss EBBO; the Routing Instruction “SEB” is supported for orders with or without price limit. If the order book for onexchange, hybrid trading is not activated for a given trading segment, orders with Routing Instruction “SEB” are forwarded directly to the Central Limit Order Book (CLOB), into the Quote Driven
Market (QDM) order book, or into the order book without pre-trade transparency from SwissAtMid.
If an order with Routing Instruction “SEB” is entered while the order book is not in the continuous
trading period, it will be forwarded directly to the Central Limit Order Book (CLOB) or to the Quote
Driven Market (QDM) order book. Existing orders with the Routing Instruction “SEB” are forwarded
to the Central Limit Order Book (CLOB) or into the Quote Driven Market (QDM) order book in theclosing auction and during the Trading-At-Last period. Orders with Routing Instruction "SEB" follow
the execution provisions of the order book in question in continuous trading.
j) Order restrictions:Suspension during Trading-At-Last period (optional): Information that the Exchange shall (if applicable)suspend the non-executed or partially executed order from the closing auction for Trading-At-Last, andthis order may therefore not be executed. A suspended order shall be reactivated as soon as the Trading-At-Last period is completed and shall retain its original price-time priority. Changes to the orderremain reserved.
Details are laid down by the Exchange in the relevant technical specifications as well as in the “Trading
Parameters” Guideline.
2

5.2
5.2.1

Quote
Definition

Quote specifies the simultaneous entry of one or more limited buy and/or sell orders in a single instruction. It shall remain in the order book until it is executed, overwritten or deleted.
1

In the market model Quote Driven Market the quotes contained in the order book are binding. In themarket model Price Validation Market the quotes contained in the order book are not binding.
2

5.2.2
1

Quote specification

A quote must be recorded with the following attributes:a) Identification of the participant: participant identification (Party ID) and Trader ID;b) Transaction type: buy and/or sell;c) Trading capacity: client transaction (trading in own name but for the account of the client) or proprietary transaction (trading in own name and for own account);d) Identification of the security: ISIN, trading currency and trading venue;

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10/06/2024e) Quote volume: number of securities or nominal value for percent-listed instruments for buy and/or
sell;f) Price limit: limited;g) Validity: good-for-day: valid until the end of the current trading day;h) Algorithmic trading: flagging of
1. the order generated by algorithmic trading;
2. the algorithm used;
3. the trader initiating the order.
Details are laid down by the Exchange in the relevant technical specifications as well as in the “Trading
Parameters” Guideline.
2

6

Execution priority

As a rule, the price-time priority principle applies. This means that the order and quote with the better
price (highest price limit for buy side, lowest price limit for sell side) is executed first. Unlimited orders
enjoy top priority when consolidating orders and quotes. For orders and quotes with the same price, theorder or quote received first shall also be executed first.
1

For the execution of Auction Volume Discovery orders, only orders in the order book that are “in limit”
shall be considered. “In-limit” orders are defined as those for which the limited price corresponds at least
to the price of the auction or better (the price limit for buy orders is equal to or higher than the price of
the auction, the price limit for sell orders is equal to or lower than the price of the auction). Unlimited orders are always deemed to be “in limit”. At the opening or in the closing auction, the principle of quantitytime priority applies for Auction Volume Discovery orders. The quantity-time priority principle means that“in-limit” orders with the greater quantity shall be executed first. For orders with the same quantity, theorder received first shall also be executed first.
2

The principle of time priority applies to the Trading-At-Last period. This means that if multiple orders arereceived whose price limit is equal to or greater than the closing price (equal or greater price limit for the
buy side, equal or lower price limit for the sell side), the order received first will be executed first.
3

7

Auction and principle of highest executable volume

Prior to the auction, the participant may enter new orders and quotes in the order book or delete existing ones without executions coming about.
1

The price of the auction shall be determined taking into account all limited and unlimited orders andquotes in the order book, however without taking into account Auction Volume Discovery orders, and, incertain cases, by the reference price. Orders and quotes shall be treated equally in the auction.
2

According to the principle of highest executable volume the largest possible quantity executable, orders
and quotes shall be executed at a single price specified in the auction. The following rules shall apply
here:
3a) Orders and quotes shall be considered in accordance with the price-time priority principle.
b) Unlimited orders and quotes shall be executed with limited and unlimited orders on the opposite side.
If not all unlimited orders can be executed, no executions shall take place and the order book shall remain closed (non-opening). Valid orders or quotes shall remain in the order book;c) Orders and quotes shall be executed until one side of the book is empty or the best purchase priceremaining in the order book is lower than the best sale price;

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10/06/2024d) if two unlimited orders or quotes of the same quantity are executed last, the price of the auction shallcorrespond to the reference price.
If the reference price is lower (higher) than the best order or quote remaining in the book on the buyside (order or quote on the sell side), this price shall determine the price of the auction;e) if one unlimited and one limited order or quote are executed last, the price of the auction shall correspond to the remaining limit;f) if limited orders or quotes of different quantities are executed at two price levels last, the price of theauction corresponds to the price level of the bigger order quantity;g) if limited orders or quotes of equal quantities are executed at two price levels last, the price of the auction shall correspond to the arithmetic mean of both price levels, rounded up to the next valid pricelevel.
If the arithmetic mean is lower (higher) than the best order or quote remaining in the book on the buyside (order or quote on the sell side), this price shall determine the price of the auction.
The price for all trades in the auction shall be determined by the last price establishment in accordancewith the rules of this Clause.
4

In addition to the provisions above. in the Price Validation Phase of the Price Validation Market, the rulesof quote-based pricing (Quote Domination) shall apply.
5

8

Continuous trading

In continuous trading, transactions are triggered by an incoming order or quote which is executed withthe orders or quotes on the opposite side of the order book to the extent the quantity and limit allow it. In
contrast to an auction, the price for each transaction shall be determined individually.
1

2

The following rules shall apply:a) An incoming order or quote shall be checked for feasibility and shall be immediately executed in accordance with the price-time priority with orders or quotes on the opposite side of the order book in
one or more steps and prices;b) if an order or quote is not or is only partially executed, it shall be placed in the order book with any
limit and a time stamp. Other order validities and Routing Instructions remain reserved;c) if an incoming, unlimited order is executed with an unlimited order on the opposite side of the order
book, the execution shall take place at the reference price. If the reference price is lower (higher) thanthe best order or quote remaining in the book on the buy side (order or quote on the sell side), thisprice shall determine the price of the execution;d) if an incoming, unlimited order or quote is executed with an unlimited order on the opposite side of
the order book, the execution shall take place at the reference price;e) if an incoming, limited order or quote is executed with an unlimited order or quote on the opposite
side of the order book, the execution shall take place at the limit. If the executed limit is lower (higher)
than the best order or quote remaining in the book on the buy side (order or quote on the sell side) on
the opposite side, this price shall determine the price of the execution;f) if an incoming, limited order or quote is executed with a limited order or quote on the opposite side of
the order book, the execution shall take place at the price of the common limit. If the limit of the order
or quote on the buy side is higher than the limit of the order or quote on the sell side, the limit which ismore beneficial from the standpoint of the incoming order or quote shall be used.
In addition to the provisions above, in the Quote Driven Market the rules of quote-based pricing (Quote
Domination) shall apply.
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The Exchange may provide Self Match Prevention during continuous trading in certain trading segments. At the request of the participant, opposite buy and sell orders or quotes under their own participant identification (Party ID) which are flagged as nostro transactions will not be executed in the orderbook. The Exchange will delete the order or quote with the older time stamp from the order book, irrespective of the order type, order validity or quantity.
4

9

Trading-At-Last (TAL)

In the Trading-At-Last period, transactions are triggered by an incoming order which is executed withthe orders on the opposite side of the order book to the extent the quantity and limit allow it. In contrast
to auction and continuous trading, the price for each trade is not determined individually, but all trades
are executed at the closing price of the closing auction.
1

2

The following rules shall apply:a) An incoming order shall be checked for feasibility and shall be immediately executed in accordancewith the time priority with orders on the opposite side of the order book in one or more steps at theclosing price of the closing auction;b) if an order is not or is only partially executed, it shall be placed in the order book with any limit and atime stamp. Other order validities and Routing Instructions remain reserved;
The Exchange may provide Self Match Prevention during Trading-At-Last in certain trading segments. At
the request of the participant, opposite buy and sell orders under their own participant identification (Party ID) which are flagged as nostro transactions will not be executed in the order book. The Exchange will
delete the order with the older time stamp from the order book, irrespective of the order type or quantity.
3

10 Algorithmic trading
The participant must possess effective arrangements and risk controls for algorithmic trading, to ensurethat its systems:
1a) are robust and equipped with sufficient capacity to deal with peak volumes of orders and announcements;b) are subject to appropriate trading thresholds and upper trading limits;c) do not cause or contribute to any disruptions on the Exchange;d) are effective for preventing violations of Articles 142 and 143 FMIA; ande) are subject to appropriate tests of algorithms and control mechanisms, including the precautions to:
1. limit the proportion of unexecuted trading orders relative to the number of transactions that can beentered into the system by a participant;
2. slow down the flow of orders if there is a risk of the capacity of the system being reached; and3. limit and enforce the minimum tick size that may be executed on the Exchange.
2

In algorithmic trading, the Exchange may make provision for higher fees for:a) the placement of orders that are later cancelled;b) participants placing a high proportion of cancelled orders;c) participants with:
1. an infrastructure intended to minimise delays in order transfer;
2. a system that can decide on order initiation, generation, routing or execution; and3. a high intraday number of price offers, orders or cancellations.

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The details are laid down in the "List of Charges under the Trading Rules".

11 Exemptions from pre-trade transparency
Auction Volume Discovery orders and orders during the Trading-At-Last period which are executed byreference price systems of the Exchange are exempted from pre-trade transparency regulations in accordance with Art. 27 para. 4 lit. a FMIO.
1

Iceberg orders, Retail orders and orders with at-the-close validity (namely also Auction Volume Discovery
orders) which are executed using an order management facility of the Exchange are exempted from pretrade transparency regulations according to Art. 27 para. 4 lit. c FMIO.
2The Exchange may reject an Iceberg order which falls short of the predetermined minimum requirements for an order without pre-trade transparency; in particular if the total value of the Iceberg order falls
below the Minimum Order Value set for Iceberg orders.
3

The Minimum Order Value in Swiss francs for Iceberg orders shall be determined by the Exchange per
trading segment.
4

5

The details are laid down in the "Trading Parameters" Guideline.

12 Pre-trade controls
The Exchange may reject orders and quotes which exceed predetermined volume and price thresholds(pre-trade controls), in particular where:
1a) the price limit of the incoming order or quote exceeds the upper price range (reference price multiplied by the Price Collar Factor) for the security;b) the price limit of the incoming order or quote falls short of the lower price range (reference price divided by the Price Collar Factor) for the security;c) the value of the incoming order or quote exceeds the Maximum Order Value (the order volume multiplied by the price limit for the order) for the security; ord) the volume of the incoming order or quote exceeds the Maximum Order Volume (maximum order value divided by the reference price) for the security.
The Price Collar Factor used to calculate the price range, as well as the Maximum Order Value, are determined by the Exchange for each trading segment and trading service.
2

For Retail orders, the Exchange shall validate pre-trade controls both when the orders are entered into
the exchange system and when they are triggered in the corresponding order book.
3

4

The reference price of the previous trading day is used to determine the pre-trade controls.

5

The details are laid down in the “Trading Parameters” Guideline.

6

The Exchange shall publish exceptions for individual securities or trading days in a suitable manner.

7

Market control interventions remain reserved in accordance with the "Market Control" Directive.

13 Trading interruption
1

The Exchange may interrupt trading, in particular if:

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10/06/2024a) in the Central Limit Order Book market model during continuous trading, the next price compared to
the reference price is outside a bandwidth (Stop Trading Range) determined by the Exchange (Stop
Trading);b) in the Central Limit Order Book market model during continuous trading, the next price compared to atransaction is within a certain time period (Avalanche Time), outside a range (Stop Trading Range) determined by the Exchange (Avalanche Stop Trading);c) in the market models Quote Driven Market and Price Validation Market during continuous trading,there is no quote in the order book on the opposite side at the time of a possible execution (Stop Trading No Quote). Trading shall not be interrupted if a limited order with the same price remains in theorder book on the same side (buy/sell) of the order book as the quote executed last, provided that thelimited order was already in the order book at the time of the execution of the quote;d) in the Price Validation Market market model, a possible execution between an order and a quote occurs during continuous trading (Price Validation Phase);e) not all unlimited orders in an auction can be executed (non-opening). The trading interruption lasts
until all unlimited orders can be executed. In the case of non-opening in the Quote Driven Market andPrice Validation Market market models, trading may be interrupted again after a non-opening pursuant to letter c) of this Clause prior to the trade; orf) at the opening or in the closing auction, the next price compared to the reference price is outside of abandwidth determined by the Exchange (Delayed Range) or not all unlimited orders can be executed(Delayed Auction);g) trading in the underlying is interrupted.
The bandwidth and the duration of the trading interruption as well as the Avalanche Time in connection
with the Avalanche Stop Trading shall be determined by the Exchange per trading period and per trading
segment.
2

3

The participant may enter new orders and quotes during a trading interruption or delete existing ones.

After expiry of a trading interruption, the book shall be reopened with an auction in accordance with theprinciple of highest executable volume. The Exchange can define a random end for the resumption of
trading after a trading interruption.
4

5

The details are laid down in the “Trading Parameters” Guideline.

6

The Exchange shall publish exceptions for individual securities or trading days in a suitable manner.

7

Market control interventions remain reserved in accordance with the "Market Control" Directive.

14 Reference price adjustment
1

The Exchange may adjust the reference price in the following cases, in particular:a) If there is no trade on the Exchange in the order book during trading hours, despite an open orderbook. The reference price shall be adjusted as follows after the close of trading:
1. for trading segments of the equity market: For the reference price adjustment the Exchange willconsider the bid and ask price at the close of trading. If the previous reference price is lower thanthe best bid price, the reference price shall be the best bid price. If the previous reference price ishigher than the best ask price, the reference price shall be the best ask price. If, at the close of trading, there is no bid price and no ask price in the order book, the reference price shall not be adjusted.
2. for all other trading segments: For the reference price adjustment the Exchange will consider thebid and ask price in the last hour before the close of trading. If the previous reference price is lower

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than the best bid price, the reference price shall be the best bid price. If the previous reference priceis higher than the best ask price, the reference price shall be the best ask price. If, one hour before
the close of trading, there is no bid price and no ask price in the order book, the reference priceshall not be adjusted.
b) If the trade which resulted in the reference price has been cancelled by the Exchange. The reference
price shall be adjusted as follows after the close of trading:
If a valid on-exchange, on-order-book trade has taken place during trading hours, the reference priceshall be the last on-exchange, on-order-book executed price. If there has been no valid on-exchange,
on-order-book trade during trading hours, the reference price shall be determined pursuant toClause 14 para. 1 lit. a).
c) If dividends on a security are paid out in the trading currency. On the ex date, the Exchange shall adjust the reference price by the amount of the dividend prior to the opening of trading.
d) If the price steps for a security are modified. The Exchange shall adjust the reference price prior to the
opening of trading if the reference price does not correspond to the newly valid price steps.
2

Further manual adjustments to the reference price remain reserved.

15 Trading restrictions
15.1 Foreign shares
Remote participants are permitted to trade foreign shares on the Exchange in the following trading segments only if the recognised exchange underlying the secondary listing or the share's admission to trading on SIX Swiss Exchange AG has its registered office in the European Union (EU) or the European Economic Area (EEA), or is deemed equivalent pursuant to Art. 23 of Regulation (EU) No. 600/2014:a) Secondary Listing Shares ("Trading Parameters" Guideline, Annex E – Secondary Listing Shares)b) Sponsored Foreign Shares ("Trading Parameters" Guideline, Annex F – Sponsored Foreign Shares)
15.2 Buy orders
Registered liquidity providers can restrict the entry of buy orders in securities of the trading segment“Structured Products” (see “Trading Parameters” Guideline, Annex Q – Structured Products) by respective
notification to the Exchange via the corresponding trading interface, subject to at least one of the following reasons existing:
1a) the security is subject to withholding tax of the United States of America according to IRC section
871(m);b) the issuer has no volume (security is sold out) and can only buy back the instrument;c) the issue is subject to relevant business policy requirements (e.g. investment restrictions);d) the issuer offers a successor product which is more attractive to investors; ore) the security is worthless.
If the liquidity provider reports a trading restriction on buy orders to the Exchange, all buy orders in therelevant security will be deleted from the order book. The participant cannot enter new orders on the buyside of the order book during the trading restriction on buy orders. Only the registered liquidity provider
for the security can enter buy orders and execute buybacks.
2

During continuous trading the trading restriction on buy orders must be reported to the Exchange immediately upon becoming known.
3

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On-exchange trades that take place between the occurrence of the trading restriction as per para. 1 andthe notification to the Exchange are deemed to be mistrades. This rule applies independently of the deadlines in Clause 6.3 of the “Market Control” Directive. In addition, Clauses 6.4 and 6.5 of the “Market Control” Directive apply mutatis mutandis.
4

If the liquidity provider erroneously reports a trading restriction on buy orders to the Exchange, or if thereason for the trading restriction no longer exists, the liquidity provider is required to immediately request the lifting of the trading restriction from market control of the Exchange. This request must be
made by telephone. A written confirmation of the lifting of the trading restriction must be sent by e-mailto market control as soon as possible, but no later than before the end of the current trading day.
5

The Exchange will publish trading restrictions on buy orders for individual securities promptly and in an
appropriate form.
6

Trading interruptions according to Clause 13 and interventions by market control according to Directive“Market Control” remain reserved.
7

16 Suspension of trading in derivatives
16.1 Suspension of trading in derivatives with path-dependent structures
According to Art. 6 of the Directive on Debt Securities with Specific Structures (DDSS) and Art. 11 point
2.03 of the Directive on Regular Reporting Obligations (DRRO), issuers of derivatives with path-dependent
structures are obliged to inform the Exchange if certain thresholds are reached that influence the price orvaluation of the derivative (e.g. in the case of barrier options), and the registered market maker and/or
liquidity provider must suspend trading on the Exchange in securities of the trading segment “Structured
Products” (see “Trading Parameters” Guideline, Annex Q – Structured Products) if the security reaches thethreshold that influences the price or valuation of the security.
1

The registered market maker and/or liquidity provider must notify the Exchange that the threshold isreached by prompting the required suspension of trading on the Exchange via the corresponding tradinginterface. The registered market maker and/or liquidity provider must report the threshold and the timeat which the threshold of the security was reached to the Exchange.
2

During continuous trading, the report to the Exchange regarding suspension of trading in the security
must be effected immediately after the threshold is reached. Outside of continuous trading, the reports tothe Exchange regarding the suspension of trading in securities must be effected before the opening oftrading on the next trading day at the latest.
3

On-exchange trades that take place between the threshold of the path-dependent derivative being
reached and suspension of trading on the Exchange are automatically deemed to be mistrades, unlessthe price formation is not influenced by the occurrence of the event (see also Art. 6 of the DDSS). This rule
applies independently of the deadlines in Clause 6.3 of the “Market Control” Directive. In addition, Clauses 6.4 and 6.5 of the “Market Control” Directive apply mutatis mutandis.
4

If the market maker and/or liquidity provider erroneously prompts a suspension of trading on the Exchange, despite the threshold of the security not having been reached, the market maker and/or liquidity
provider must immediately request the resumption of trading with market control of the Exchange. This
request must be made by telephone. A written confirmation of the resumption of trading must be sent by
e-mail to market control as soon as possible, but no later than before the end of the current trading day.
5

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Other regular reporting obligations associated with maintaining listing according to the Directive on
Regular Reporting Obligations and interventions by market control according to the “Market Control” Directive remain reserved.
6

16.2 Suspension of trading for leverage products subject to a current Active Product Package withearly redemption
Issuers of derivatives with early redemption are obliged, pursuant to Art. 11 Clause 2.07 of the Directive
on Regular Reporting Obligations (DRRO), to report the redemption date.
1

If trading in a leveraged product with early redemption shall be suspended before the last trading day
and if the product’s issuer has a current Active Product Package pursuant to Clause 5.1.8 List of Charges
under the Listing Rules, then the registered market maker and/or liquidity provider must suspend tradingon the Exchange via the corresponding trading interface.
2

If the market maker and/or liquidity provider erroneously prompts a suspension of trading on the Exchange, the market maker and/or liquidity provider must immediately request the resumption of tradingwith market control of the Exchange. This request must be made by telephone. A written confirmation of
the resumption of trading must be sent by e-mail to market control as soon as possible, but no later than
before the end of the current trading day.
3

III Market models
17 Central Limit Order Book (CLOB)
17.1 Orders and quotes
The Central Limit Order Book market model shall treat orders from participants and quotes from licensed
liquidity providers equally.
17.2 Liquidity providers
The admitted liquidity provider shall ensure a liquid market by placing orders or quotes in the orderbook of individual securities.
1

2

The Exchange may admit one or more liquidity providers per security.

The rights and duties of the liquidity provider shall be defined by the Exchange per trading segment andtrading service.
3

4

The details for liquidity providers are laid down in the “List of Charges under the Trading Rules”.

17.3 Pre-opening
1Pre-opening shall be the period between the start of the trading day and the actual opening of trading.

Participants and liquidity providers may enter new orders and quotes in the order book or delete existing orders and quotes.
2

The Exchange shall calculate the theoretical auction price in accordance with the principle of highest
executable volume and publish it on an ongoing basis.
34

No trade and therefore no price formation shall take place.

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17.4 Opening
The Exchange shall open continuous trading with an auction in accordance with the principle of highest
executable volume.
1

The Exchange shall extend the auction time once for a defined period if the theoretical auction price lies
outside of the applicable bandwidth compared to the reference price or not all unlimited orders can be
executed (Delayed Auction).
2

The Exchange shall not open continuous trading if not all unlimited orders can be executed in an auction(Non Opening). In this condition, no theoretical auction price can be calculated either.
3

The Exchange shall not hold an auction as long as continuous trading in the underlying security is interrupted (Underlying Condition).
4

5

If a trade takes place in the auction, this price shall be the opening price and the new reference price.

17.5 Continuous trading
Incoming orders and quotes shall be executed in one or more parts at equal or different prices in accordance with the price-time priority principle.
1

If an order cannot or can only be partially executed, the remainder shall remain in the order book. Other
order specifications remain reserved.
2

3

The Exchange may in certain instances interrupt trading.

4

The reference price shall be the price paid last. Reference price adjustments remain reserved.

17.6 Closing auction
Immediately after the end of the “Continuous Trading” period, a closing auction will be conducted. During the closing auction, participants and liquidity providers may enter new orders and quotes in the orderbook or delete existing orders and quotes. The Exchange shall calculate the theoretical auction price inaccordance with the principle of highest executable volume and publish it on an ongoing basis. No trade
and therefore no price formation shall take place.
1

The Exchange shall end the closing auction in accordance with the principle of highest executable volume.
2

The Exchange shall extend the auction time once for a defined period if the theoretical auction price lies
outside of the applicable bandwidth compared to the reference price (Delayed Auction).
3

The Exchange shall not resume trading if not all unlimited orders can be executed in an auction (NonOpening). In this condition, no theoretical auction price can be calculated either.
4

The Exchange shall not conduct an auction as long as continuous trading in the underlying security isinterrupted (Underlying Condition).
5

If a trade takes place in the auction, this price shall be the closing price and the new reference price. If
no trade takes place in the auction, the last trade of the day shall be the closing price. If no trade takes
place during the day, there shall be no new closing price and the existing reference price shall remainunchanged.
6

Close of trading in trading segments that are eligible for Trading-At-Last does not occur until after theend of the Trading-At-Last period. If there is no Trading-At-Last, trading shall only close when the TradingAt-Last period would end. If no Trading-At-Last period is provided for the corresponding trading segment,
trading closes after the end of the closing auction period.
7

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The Exchange may adjust the reference price in certain cases.

17.7 Close of trade without closing auction
If no closing auction takes place after the end of the continuous trading period and if there is no Trading-At-Last period, trading shall close at the end of the continuous trading period.
1

The closing price and reference price shall correspond to the price last established in continuous trading.
If there is no trade during the day, there shall be no new closing price and the existing reference priceshall remain unchanged.
2

3

The Exchange may adjust the reference price in certain cases.

17.8 Trading-At-Last (TAL)The Exchange may provide for Trading-At-Last for individual trading segments immediately after theclosing auction. The Exchange shall determine Trading-At-Last per trading segment. The details are laid
down in the “Trading Parameters” Guideline.
1

Incoming orders shall be executed in one or more parts at the closing price determined during the closing auction with existing orders in the order book, in accordance with the time priority principle. No priceformation takes place. If there is no trade in the closing auction, the order book switches directly to posttrading.
2

If an order cannot or can only be partially executed, the remainder shall remain in the order book. Other
order instructions remain reserved.
3

4

The Exchange may in certain instances interrupt Trading-At-Last.

17.9 Post-trading
After the close of trading, the Exchange shall delete all non-executed orders whose validity ends on thedate of the current trading day. Quotes shall expire at the end of the trading day.
1

Participants and liquidity providers may enter new orders and quotes in the order book or delete existing ones. Orders with a validity date of the current trading day shall not be accepted.
2

The Exchange shall calculate the theoretical auction price of the following day in accordance with theprinciple of highest executable volume and publish it on an ongoing basis.
34

No trade and therefore no price formation shall take place.

18 Quote Driven Market (QDM)
18.1 Orders and quotes
The Quote Driven Market (QDM) market model shall treat orders from participants and quotes from licensed market makers and liquidity providers differently.
18.2 Market makers and liquidity providers
The admitted market maker and/or liquidity provider shall ensure a liquid market by placing orders orquotes in the order book of individual securities.
1

2

The Exchange may admit one or more market makers and/or liquidity providers per security.

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The rights and duties of the market maker and liquidity provider shall be defined by the Exchange per
trading segment and trading service.
3

The details are laid down for market makers in the "Trading Parameters" Guideline, and for liquidity providers in the "List of Charges under the Trading Rules".
4

18.3 Pre-opening
1Pre-opening shall be the period between the start of the trading day and the actual opening of trading.

Participants and market makers and/or liquidity providers may enter new orders and quotes in the orderbook or delete existing orders and quotes.
2

The Exchange shall calculate the theoretical auction price in accordance with the principle of highest
executable volume and publish it on an ongoing basis.
34

No trade and therefore no price formation shall take place.

18.4 Opening
The Exchange shall open continuous trading with an auction in accordance with the principle of highest
executable volume.
1

The Exchange shall extend the auction time once if there is no quote in the order book on the opposite
side at the time of a possible execution or not all unlimited orders can be executed (Delayed Auction No
Quote). The Exchange shall open trading during the trading interruption as soon as a quote has beenentered but no later than at the expiry of the trading interruption.
2

The Exchange shall not open continuous trading if not all unlimited orders can be executed in an auction(Non Opening). In this condition, no theoretical auction price can be calculated either.
3

The Exchange shall not hold an auction as long as continuous trading in the underlying security is interrupted (Underlying Condition).
4

5

If a trade takes place in the auction, this price shall be the opening price and the new reference price.

18.5 Continuous trading
Incoming orders and quotes shall be executed in one or more parts at equal or different prices in accordance with the price-time priority principle taking into account the quote-based pricing.
1

If an order or quote cannot or can only be partially executed, the remainder shall remain in the orderbook. Other order specifications remain reserved.
2

An incoming quote shall be executed with an existing order at the quote price (and not at the orderprice) if the quote quantity is greater than or equal to the order quantity (Quote Domination). If a better
limit remains on the opposite side than the incoming quote price, this limit shall determine the price ofthe transaction.
3

The Exchange shall interrupt trading (Stop Trading No Quote) if two orders can be combined to a trade
and there is no quote on the opposite side of the order book at the time of possible execution. The Exchange shall open trading during the trading interruption as soon as a quote has been entered but nolater than at the expiry of the trading interruption.
4

5

The reference price shall be the price paid last. Reference price adjustments remain reserved.

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18.6 Closing auction
Immediately after the end of the “Continuous Trading” period, a closing auction will be conducted. During the closing auction, participants and market makers and/or liquidity providers may enter new orders
and quotes in the order book or delete existing orders and quotes. The Exchange calculates the theoretical auction price in accordance with the principle of highest executable volume and publishes this pricecontinuously. No trade and therefore no price formation shall take place.
1

The Exchange shall end the closing auction in accordance with the principle of highest executable volume.
2

The Exchange shall extend the auction time once if there is no quote in the order book on the opposite
side at the time of a possible execution or not all unlimited orders can be executed (Delayed Auction No
Quote).
3

The Exchange shall not resume trading if not all unlimited orders can be executed in an auction (NonOpening). In this condition, no theoretical auction price can be calculated either.
4

The Exchange shall not conduct an auction as long as continuous trading in the underlying security isinterrupted (Underlying Condition).
5

If a trade takes place in the auction, this price shall be the closing price and the new reference price. If
no trade takes place in the auction, the last trade of the day shall be the closing price. If no trade takes
place during the day, there shall be no new closing price and the existing reference price shall remainunchanged.
6

Close of trading in trading segments that are eligible for Trading-At-Last does not occur until after theend of the Trading-At-Last period. If there is no Trading-At-Last, trading shall only close when the TradingAt-Last period would end. If no Trading-At-Last period is provided for the corresponding trading segment,
trading closes after the end of the closing auction period.
7

8

The Exchange may adjust the reference price in certain cases.

18.7 Close of trade without closing auction
If no closing auction takes place after the end of the continuous trading period and if there is no Trading-At-Last period, trading shall close at the end of the continuous trading period.
1

The closing price and reference price shall correspond to the price last established in continuous trading.
If there is no trade during the day, there shall be no new closing price and the existing reference priceshall remain unchanged.
2

3

The Exchange may adjust the reference price in certain cases.

18.8 Post-trading
After the close of trading, the Exchange shall delete all non-executed orders whose validity ends on thedate of the current trading day. Quotes shall expire at the end of the trading day.
1

Participants and market makers and/or liquidity providers may enter new orders and quotes in the orderbook or delete existing ones. Orders with a validity date of the current trading day shall not be accepted.
2

The Exchange shall calculate the theoretical opening price of the following day in accordance with theprinciple of highest executable volume and publish it on an ongoing basis.
34

No trade and therefore no price formation shall take place.

5

Quotes shall expire at the end of the trading day.

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19 Price Validation Market (PVM)
19.1 Orders and quotes
The Price Validation Market (PVM) market model shall treat orders from participants and quotes fromregistered market makers and liquidity providers differently.
19.2 Market Makers and Liquidity Providers
The admitted market maker and/or liquidity provider shall ensure a liquid market by placing orders orquotes in the order book of individual securities.
1

2

The Exchange may admit one or more market makers and/or liquidity providers per security.

The rights and duties of the market maker and liquidity provider shall be defined by the Exchange per
trading segment and trading service.
3

The details are laid down for market makers in the "Trading Parameters" Guideline and for liquidity providers in the "List of Charges under the Trading Rules".
4

19.3 Pre-opening
1Pre-opening shall be the period between the start of the trading day and the actual opening of trading.

Participants and market makers and/or liquidity providers may enter new orders and quotes in the orderbook or delete existing orders and quotes.
2

The Exchange shall calculate the theoretical auction price in accordance with the principle of highest
executable volume and publish it on an ongoing basis.
34

No trade and therefore no price formation shall take place.

19.4 Opening
The Exchange shall open continuous trading with an auction in accordance with the principle of highest
executable volume.
1

The Exchange shall extend the auction time once if there is no quote in the order book on the opposite
side at the time of a possible execution or not all unlimited orders can be executed (Delayed Auction No
Quote). The Exchange shall open trading during the trading interruption as soon as a quote has beenentered but no later than at the expiry of the trading interruption.
2

The Exchange shall not open continuous trading if not all unlimited orders can be executed in an auction(Non Opening). In this condition, no theoretical auction price can be calculated either.
3

The Exchange shall not conduct an auction as long as continuous trading in the underlying security isinterrupted (Underlying Condition).
4

5

If a trade takes place in the auction, this price shall be the opening price and the new reference price.

19.5 Continuous trading
1

Incoming orders and quotes shall be executed in accordance with the price-time priority principle.

If an order or quote cannot or can only be partially executed, the remainder shall remain in the orderbook. Other order specifications remain reserved.
2

The Exchange interrupts trading (Price Validation Phase) if an execution between an order and a quote(incoming quote is executed with an existing order or incoming order is executed with an existing quote)3

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can occur. The Exchange shall open continuous trading during the Price Validation Phase as soon as thequote is confirmed or amended, but no later than at the end of the Price Validation Phase. If, during theduration of the Price Validation Phase, the quote or order that could have been executed with an order orquote is deleted or changed, and no further execution can take place during the auction, the Price Validation Phase will be terminated immediately. The Exchange does not publish any pre-trade information during the Price Validation Phase.
In the Price Validation Phase, executable unlimited and limited orders shall be executed against orders
and quotes on the opposite side at the quote price regardless of the quote volume (Quote Domination). If
orders that can be executed at a price outside of the best quote price (lower than the best price on the
buy side or higher than the best quote on the sell side) remain in the order book during the Price Validation Phase, the Exchange shall stop trading (Stop Trading No Quote). If the entire volume of unlimitedorders cannot be executed at the quote price, execution will take place at the maximum available volume
on the opposite side and the order book will remain closed thereafter (Non Opening). Valid orders orquotes shall remain in the order book.
4

The Exchange shall interrupt trading (Stop Trading No Quote) if two orders can be combined to a trade
and there is no quote on the opposite side of the order book at the time of possible execution. The Exchange shall open continuous trading during the trading interruption in accordance with the principle ofhighest executable volume as soon as a quote has been entered but no later than at the expiry of the
trading interruption.
5

6

The reference price shall correspond to the last paid price.

7

The Exchange may adjust the reference price in certain cases.

19.6 Close of trade without closing auction
If no closing auction takes place after the end of the continuous trading period and if there is no Trading-At-Last period, trading shall close at the end of the continuous trading period.
1

The closing price and reference price shall correspond to the price last established in continuous trading.
If there is no trade during the day, there shall be no new closing price and the existing reference priceshall remain unchanged.
2

3

The Exchange may adjust the reference price in certain cases.

19.7 Post-trading
After the close of trading, the Exchange shall delete all non-executed orders whose validity ends on thedate of the current trading day. Quotes shall expire at the end of the trading day.
1

Participants and market makers and/or liquidity providers may enter new orders and quotes in the orderbook or delete existing ones. Orders with a validity date of the current trading day shall not be accepted.
2

The Exchange shall calculate the theoretical auction price of the following day in accordance with theprinciple of highest executable volume and publish it on an ongoing basis.
34

No trade and therefore no price formation shall take place.

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IV Reporting of trades to the Exchange
20 Trade Reports
Transactions outside the order book may be reported to the Exchange in accordance with Clause 12
Trading Rules.
1

2

The report shall be specified with the following attributes as a minimum:a) Identification of the participant: participant identification (Party ID) and Trader ID or Reporting agent
ID;b) Transaction type (buy or sell);c) Precise identification of the securities in question (attributes such as the ISIN);d) Execution volume (depending on the security a nominal value, number of units or contracts);e) Execution price or price obtained on the market excluding commission and fees (incl. statement of
currency);f) Time of execution (date and time);g) Information on whether the trade was a proprietary transaction (trading in own name and for own
account) or a client transaction (transaction in own name but for the account of the client);h) Designation of the counterparty;i) Designation of the trading venue where the securities or derivative were traded, or notification thatthe transaction was executed outside a trading venue;j) Trade Type: designation which further specifies the report (Annex B).

21 Reporting functions
Participants may use the following reporting functions to report trades in accordance with Clause 12.1.3
Trading Rules:
21.1 Two-sided Trade Report
1

The participant shall report trades with another participant to the Exchange as a two-sided Trade Report.

If the report is sent on the same clearing day and the securities concerned are CCP-eligible, the participant may instruct the Exchange as part of the two-sided Trade Report to have the transaction cleared witha central counterparty. If the transaction is not CCP-eligible, the Exchange shall transmit the transaction
information to the relevant settlement organisation.
2

If the trade is not made in accordance with the provisions of the Trading Rules, it shall be reported using
the "Off Exchange" Trade Type.
3

21.2 One-sided Trade Report
1

The participant shall report trades with non-Securities Firm to the Exchange as a one-sided Trade Report.

A participant may report trades resulting from Transmissions of Orders, in which he acts as principal in
his own name towards a non-participant with authorisation as a securities firm, to the Exchange as a onesided Trade Report in the name of the parties involved. These trades must be reported using the Trade
Type "Both Parties", and the identification of the counterparty (Party ID) must also be given.
2

3

The Exchange does not forward one-sided Trade Reports to a settlement organisation.

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If the trade is not made in accordance with the provisions of the Trading Rules, it shall be reported using
the "Off Exchange" Trade Type.
4

V

Correction, cancellation and countertrade

22 Correction
1

A participant may correct the information on whether the trade was a nostro or a client transaction.

2

A trade may only be corrected once.

If the trade is cleared by a central counterparty, the correction must be made on the same clearing day.
For trades without a central counterparty, the correction must be made on the following trading day atthe latest.
3

23 Cancellation
23.1 Principle
23.1.1 Irregular on-exchange trades
If trades which violate the provisions of the Trading Rules have been made on the Exchange in error, theparties shall apply to the Exchange to have such trades cancelled.
23.1.2 Incorrect Trade Reports to the Exchange
Where a Trade Report contains errors, the parties shall cancel this report or apply to the Exchange to haveit cancelled. This applies particularly in the following cases:a) A transaction has not taken place because of legal defects, for example;b) The content of the report contains errors, as per Clause 20;c) The trade is not subject to the obligation to report.
23.2 Procedure
23.2.1 Cancellation of trade by the Exchange
In the event of irregular on-exchange trades, both parties involved in the trade shall apply to the Exchange to cancel the trade. The Exchange shall provide suitable means and determine a suitable procedure for this application.
1

Where the content of a Trade Report to the Exchange contains errors, the parties involved in the tradeshall apply to the Exchange to cancel the trade, or cancel it themselves in accordance with Clause 23.2.2.
2

3

The application for the cancellation of a trade shall contain the following information:a) Identification of the participantb) Identification of the securities concerned (ISIN)c) Time of execution (trade date and time)d) Identification of the trade (Trade Match ID)
4

A trade cannot be cancelled unless the information given by the two parties corresponds.

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The application from the parties shall be made no later than the trading day following that on which thetrade was made.
5

As a rule, the Exchange will cancel the trade by the end of the trading day at the latest. Trades in CCPeligible securities will be cancelled by the end of the clearing day at the latest.
6

7

Under exceptional circumstances, the Exchange may extend these periods or refuse to cancel a trade.

23.2.2 Cancellation of Trade Reports by the participant
Where the content of a Trade Report to the Exchange contains errors, the parties involved in the trade
may cancel the Trade Report themselves.
1

2

A cancellation of a Trade Report requires that the information given by the two parties corresponds.

The Trade Report must be cancelled no later than the trading day following that on which the trade was
made, in the case of CCP-eligible securities, no later than the end of the clearing day.
3

23.3 Effect of a cancellation
When a trade is cancelled, the cancellation of the trade is published by the Exchange in the market data.
23.4 Costs
1

The Exchange may charge a fee for cancelling trades.

2

The details are laid down in the "List of Charges under the Trading Rules".

24 Countertrade
With the consent of both parties, a participant may make a countertrade. In the Trade Report of the countertrade, the ID of the original trade shall be indicated, and the report shall be marked with the "Special
Price" Trade Type.

VI Short-selling
25 Principle
1

The short-selling of securities traded on SIX Swiss Exchange AG is permitted.

The seller must settle the short sale at the latest upon execution of the trade in accordance with
Clause 15.1 Trading Rules.
2

26 Special situations
In special situations the Management Committee of the Exchange may issue regulations on short-selling.
In such cases, the Exchange will notify participants in the form of a Notice.

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VII Trading segments
27 Classification of markets and trading segments
The Exchange operates markets and trading segments, and allocates individual securities to these individual trading segments.
1

The Exchange specifies the provisions for the individual trading segments in the annexes to the "Trading
Parameters" Guideline.
2

Resolution of the Participants & Surveillance Committee of the Regulatory Board of 1 February 2024; ineffect since 10 June 2024.

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Annex A – Separate Trading Lines
1

PurposeCompanies submitting a proposal to buy back own equity securities for the purposes of a capital reduction or a public purchase or exchange proposal may apply with the Exchange for a separate trading line
(second trading line).
The procedure to open or close a separate trading line is governed by the Directive regarding the procedure for equity securities (DPES) of the Exchange's listing regulations.
2

Separate line in connection with a buyback of own equity securities for the purpose of acapital reduction

2.1

Trading

Only the participant responsible for the buyback may enter purchase orders on the instruction of thecompany. When setting the purchase price on the separate trading line, the statutory provisions prohibiting insider trading and market manipulation must be complied with.
If a share buy-back programme is organised via a separate trading line, all transactions under this programme shall be processed via the order book for this separate trading line.
Participants not acting on the instruction of the company buying back may not place any purchase orders
on the separate trading line. Orders from such participants are rejected by the Exchange.
2.2

Settlement

The settlement of trades on the separate trading line shall be manual. The participants involved shall be
responsible for the correct processing.
3

Separate line in connection with a public tender offer for cash

Every participant may enter purchase or sale orders.
Impermissible shall be:a) purchase orders on instruction of the provider with a bid price above the public offer price; andb) sale orders on instruction of the provider.
4

Separate line in connection with a public exchange offer

Every participant may enter purchase or sale orders.
Impermissible shall be:a) purchase orders on instruction of the provider with a bid price above the equivalent value of the securities offered for exchange; andb) sale orders on instruction of the provider.

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Annex B – Trade Types
Trade Types for Trade Reports:a) "Special Price" specifies a report whose price differs from the market price at the time of entry (VWAP,
portfolio trade, countertrade, Trade Report following an emergency situation, etc.).
b) "Deferred Publication" specifies a report which is to be published by the Exchange after a certain delay.
c) "Off-Exchange" specifies a report of a trade which is not subject to the provisions of the Trading Rules.
d) "Both Parties" specifies a one-sided Trade Report which is reported to the Exchange in the name ofboth of the parties involved in the trade.
e) “Derivative hedge” specifies a report for a trade made in connection with a delta-neutral hedge withrespect to a derivative transaction.
f) “NAV Trade” specifies a report for a trade that is reported with a net asset value as soon as this value isknown.

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Annex C – Delayed Publication
1

Equity market

At the request of the participants, the Exchange shall publish off-order-book trades with a delay. The participant may apply for delayed publication if all of the following provisions are fulfilled:a) the trade is executed off-order-book;b) the trade is concluded between a participant trading on its own account (nostro) and a client of thisparticipant; andc) the required minimum volume of the trade corresponds to the average daily turnover (ADT) in the securities in question.
The following table shows delayed publication as a function of the ADT.
Average daily
turnover (ADT) in CHF

Required minimum volume for a tradequalifying for delayed publication

Timing of publication
following the transaction> 100 million

10,000,000
20,000,000
35,000,000

60 minutes
120 minutes
At the end of the trading day

50 – 100 million

7,000,000
15,000,000
25,000,000

60 minutes
120 minutes
At the end of the trading day

25 – 50 million

5,000,000
10,000,000
12,000,000

60 minutes
120 minutes
At the end of the trading day

5 – 25 million

2,500,000
4,000,000
5,000,000

60 minutes
120 minutes
At the end of the trading day

1 – 5 million

450,000
750,000
1,000,000

60 minutes
120 minutes
At the end of the trading day

500,000 – 1 million

75,000150,000
225,000

60 minutes
120 minutes
At the end of the trading day

100,000 – 500,000

30,00080,000120,000

60 minutes
120 minutes
At the end of the trading day

50,000 – 100,000

15,00030,00050,00060 minutes
120 minutes
At the end of the trading day< 50,000

7,500
15,00025,00060 minutes
120 minutes
At the end of the next
trading day

If an off-order-book trade meets the requirements for delayed publication at the end of the trading day
and the Trade Report is reported after 15:30 (CET), the Exchange shall delay the publication of the trade
until 09:00 (CET) on the following trading day.

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Directive 3: Trading

The Exchange publishes the authoritative ADT per security, with the static data, on the Exchange website:www.six-group.com/en/products-services/the-swiss-stock-exchange/market-data/statistics/yearlyreports.html
2

Bond market

At the request of the participants, the Exchange shall publish off-order-book trades with a delay.
2.1

Illiquid securities

The participant may apply for delayed publication if all of the following provisions are fulfilled:a) the trade is executed off-order-book; andb) there is no liquid market for the security.
There is deemed to be no liquid market for a security if one or more of the following criteria is/are notmet:
Average nominal value of trades per trading day during
a calendar year

< CHF 100,000 or the equivalent amount for securities with a foreign nominal currency.

Average number of trades per trading day during a calendar
year

< 15

Average number of trading days on which traded during acalendar year

< 80%

Issue size during a calendar yeara) for government bonds < CHF 1 billion or theequivalent amount for securities with a foreign
nominal currency; orb) for other bonds < CHF 500 million or the equivalent amount for securities with a foreign nominal currency.

In the case of newly issued securities for which no data exists for the past three months, there is deemed
to be no liquid market if the size of the government bond issue is less than CHF 1 billion and the issue sizefor other bonds is less than CHF 500 million (or the equivalent amount for securities with a foreign nominal currency).
The Exchange publishes the authoritative liquidity data per security, with the static data.
2.2
2.2.1

Liquid securities
Large in scale trades by a systematic internaliser (SSTI threshold)

The participant may apply for delayed publication if all of the following provisions are fulfilled:a) the trade is executed off-order-book;b) there is a liquid market for the security;c) the trade was executed by a systematic internaliser for its own account ("Principal"); andd) the required minimum volume of the trade corresponds to the size specific to the instrument (SSTI)
threshold of the securities concerned.
The required minimum trade volume for large in scale trades by a systematic internaliser (the SSTI
threshold) corresponds to the 80th percentile of trading turnover on the exchange of the liquid securities
in question during one calendar year, and is rounded down in each case to the nearest CHF 100,000.

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The Exchange publishes the value of large in scale trades by a systematic internaliser (the SSTI threshold)per security with the static data.
2.2.2

Large in scale trades (LIS threshold)

The participant may apply for delayed publication if all of the following provisions are fulfilled:a) the trade is executed off-order-book;b) there is a liquid market for the security;c) the required minimum volume of the trade corresponds to the large in scale (LIS) threshold of the securities concerned.
The required minimum trade volume for large in scale trades (the LIS threshold) corresponds to the90th percentile of trading turnover on the exchange of the liquid securities in question during one calendar year, and is rounded down in each case to the nearest CHF 100,000.
The Exchange publishes the value of large in scale trades (the LIS threshold) per security with the staticdata.

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Directive 3: Trading

Annex D – Price Steps (Tick Size)
The Exchange defines price steps and assigns securities to those individual price steps.
The criteria by which securities are allocated to these price steps, or alternative price steps, are set out inthe relevant Annex to the "Trading Parameters" Guideline.
Liquidity bands
Average number of trades (ANT)Band A

Band B

Band CBand DBand EBand F

Price

0≤
ANT
<10

10 ≤
ANT
<80

80 ≤
ANT
<600

600 ≤
ANT
<2,0002,000 ≤
ANT
<9,0009,000 ≤ANT

0 ≤ price < 0.1

0.00050.00020.00010.00010.00010.00010.1 ≤ price < 0.2

0.001

0.00050.00020.00010.00010.00010.2 ≤ price < 0.5

0.002

0.001

0.00050.00020.00010.00010.50 ≤ price < 1

0.005

0.002

0.001

0.00050.00020.0001

1 ≤ price < 2

0.01

0.005

0.002

0.001

0.00050.00022 ≤ price < 5

0.02

0.01

0.005

0.002

0.001

0.00055 ≤ price < 10

0.05

0.02

0.01

0.005

0.002

0.001

10 ≤ price < 20

0.1

0.05

0.02

0.01

0.005

0.002

20 ≤ price < 50

0.2

0.1

0.05

0.02

0.01

0.005

50 ≤ price < 100

0.5

0.2

0.1

0.05

0.02

0.01

100 ≤ price < 200

1

0.5

0.2

0.1

0.05

0.02

200 ≤ price < 500

2

1

0.5

0.2

0.1

0.05

500 ≤ price < 1,000

5

2

1

0.5

0.2

0.1

1,000 ≤ price < 2,000

10

5

2

1

0.5

0.2

2,000 ≤ price < 5,000

20

10

5

2

1

0.5

5,000 ≤ price < 10,000

50

20

10

5

2

1

10,000 ≤ price < 20,000

100

50

20

10

5

2

20,000 ≤ price < 50,000

200

100

50

20

10

5

50,000 ≤ price

500

200

100

50

20

10

The Exchange publishes the price steps allocated per security with the static data.

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