Upon requests from issuers, Nasdaq Nordic is planning to remove the Exchange Traded Funds Closing Auction currently in place on Nasdaq Stockholm AB and Nasdaq Helsinki Ltd.
An Indicative Close Price (ICP) will continue to be calculated also going forward but this will no longer be based on the auction price where available. The Indicative Close Price (ICP) will be based on the last two (2) minutes of Continuous Trading, provided that an order coverage of 80% is met (i.e. that a spread is present for at least 80% of the calculation period).
The removal of the closing auction is planned for INET production from February 22, 2016 and will be available for testing in INET OTF and GCF- EXT2 and EXT4 as of February 1, 2016.
Details
INET identifiers:
Market segments impacted by the removal of the Closing Auction
| Exchange / MIC | Segment name | Segment symbol | Currency | Seq. no | GCF ID |
| XSTO | OMX STO Fund Units | SEEQ XFU | SEK | 17 | 22 |
| XHEL | OMX HEL Fund Units | FIEQ FUI | EUR | 69 | 94 |
Trading Schedule for Fund Units:
| Name | Id |
| Fund Units | 22 |
| Market | End of Continuous Trading | Closing Call | After market | ||
| CET | Pre-close | Uncross | Post Trade | Closed | |
| Stockholm Fund Units | 17:25 | - | - | 17:25 | 18:00 - |
| Stockholm Fund Units - Half days | 12:55 | - | - | 12:55 | 13:30- |
| Helsinki Fund Units | 17:25 | - | - | 17:25 | 18:00- |
Genium Consolidated Feed (GCF) – TIP:
In Genium Consolidated Feed, the TIP message OrderbookSummary will continue to hold the calculated Indicative Close Price in the IndicativeClosePrice field.
The Indicative close price will be calculated as the Average Best Bid and Ask from the last two minutes of Continuous Trading at end of the day. Order coverage criteria of 80% will be applied. This means that a spread needs to be present at least 80% of time during the last minute in order for the Indicative Close Price to be calculated. If no Indicative Close Price can be calculated, the field will carry the previous Indicative Close Price. The corresponding datestamp showing the date the Indicative Close Price was calculated on will also be disseminated.
Protocol specifications
No protocol changes.
Current versions of INET protocol specifications are available at the Nasdaq Nordic Technical Information website, under INET Nordic Protocol Specifications.
Implementation schedule
Time schedule
The removal of the ETF Closing Auction is planned for launch:
· INET Test (OTF), GCF- EXT2 and EXT4 –February 1, 2016
· GCF Production – February 22, 2016
· INET Production – February 22, 2016
Documentation
INET Nordic Market Model:
Market Model effective as of February 22, 2016 will reflect this change. The current and future version of the Market Model can be viewed at www.nasdaqomx.com/nordicrules.
Support
For technical questions, please contact Nasdaq Cash Equity Operations:
Tel: +46 8 405 6410,
E-mail: operator@nasdaq.com
Best regards,
Nasdaq Nordic
“Nasdaq Nordic” is not a legal entity but represents the common offering by Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd, Nasdaq Iceland hf. and Nasdaq Stockholm AB.
