IT – INET OTF – Closing Auction and Indicative Close Price for Exchange Traded Funds

As previously communicated in IT Notice (112/14), Nasdaq Nordic is planning to introduce a Closing Auction for Exchange Traded Funds (ETFs) on Nasdaq Helsinki and Nasdaq Stockholm. An Indicative close price (ICP) calculation is planned to be added for Exchange Traded Funds in coordination with the launch of the Closing Auction. Current Auction Safeguards in place on Nasdaq Stockholm in the Opening Auction will be applied also to the Stockholm ETF Closing Auction.

Nasdaq Nordic will keep the closing price process for ETFs unchanged but will complement this process by taking into use the IndicativeClosePrice (ICP) TIP-field in Genium Consolidated Feed (GCF). This field will contain the auction price and where the auction price is unavailable, a calculated Indicative close price.

Closing Auction is planned to be used in production from April 27, 2015. It will be available for testing in INET OTF and GCF test environment (GCF 4) as of March 10, 2015 (instead of March 9, 2015 as previously communicated). The Indicative close price will be available in production at the same time as the Closing Auction and will also be available for testing in GCF test environment as of March 10, 2015.

INET identifiers:

Market segments impacted by the Closing Auction and Indicative close price

Trading Schedule for Fund Units:

*The name of the trading schedule 3 will be changed to “Equity Rights, Subscr.opt., Convertibles” as a consequence of Fund Units starting to use the new trading schedule

Closing auction will follow standard auction functionality with randomized uncross.

Closing auction schedule:

The regular Closing Auction is planned to take place as below:

**Uncross of an Order Book is subject to auction safeguards. In case an extension is triggered in an Order Book in the closing call, Uncross in that Order Book takes place 3 minutes later, leading to Post Trade also starting 3 minutes later. The market segment will enter the Post Trade state only once all the Order Books in that segment have uncrossed.

Genium Consolidated Feed (GCF) – TIP:

In Genium Consolidated Feed, the TIP message OrderbookSummary will hold the equilibrium price from the closing auction in the IndicativeClosePrice field. If there is no price from the closing auction in the trading system, an Indicative close price shall be calculated in GCF.

The Indicative close price will be calculated as the Average Best Bid and Ask from the last 2 minutes of Continuous Trading at end of the day. Order coverage criteria of 80% will be applied.

Protocol specifications:

Next versions of INET protocol specifications are available at the Nasdaq Nordic Technical Information website, under INET Nordic Protocol Specifications.

Time schedule:
The Closing Auction and Indicative close price for Exchange Traded Funds is planned for launch:

• INET Test (OTF), GCF 4 – March 10, 2015 (instead of March 9, 2015 as previously communicated).
• INET Production – April 27, 2015.
   

INET Nordic Market Model:
Changes will be reflected in the Market Model valid from April 27, 2015.

Questions and feedback:
If you have any questions regarding this Exchange Notice, please contact Nasdaq Tech Support at:
+46 8 4056410, operator@nasdaq.com.

Best regards,

Nasdaq Nordic

 
Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland, Nasdaq Riga, Nasdaq Stockholm, Nasdaq Tallinn and Nasdaq Vilnius are respectively brand names for NASDAQ OMX Copenhagen A/S, NASDAQ OMX Helsinki Ltd, NASDAQ OMX Iceland hf., NASDAQ OMX Riga AS, NASDAQ OMX Stockholm AB, NASDAQ OMX Tallinn AS and AB NASDAQ OMX Vilnius. Nasdaq Nordic represents the common offering by Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland and Nasdaq Stockholm.