1 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016) NLX TRADING PROCEDURES Version 1.7 (July 2016)
1 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
NLX TRADING PROCEDURES Version 1.7 (July 2016)
2 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
CONTENTS
DEFINITIONS ................................................................................................................................ 4
1 EXECUTIVE SUMMARY ............................................................................................................ 9
1.1 Introduction ..................................................................................................................................... 9
2 OVERVIEW OF THE MARKET .................................................................................................. 10
2.1 Market Structure ............................................................................................................................ 10
2.2 Interest Rate Products listed .......................................................................................................... 10
3 PARTICIPANT HIERARCHY ...................................................................................................... 11
3.1 The Designated Representative ...................................................................................................... 11
4 TRADING ON THE MARKET ................................................................................................... 12
4.1 Session States................................................................................................................................. 12
4.2 Pre Open ........................................................................................................................................ 12
4.3 The Uncross .................................................................................................................................... 13
4.4 Open Session – Continuous Trading ................................................................................................ 14
4.4.1 Automatic Order Matching ......................................................................................................................... 15
4.4.2 Matching Priority for Products ................................................................................................................... 15
4.5 Post Close ....................................................................................................................................... 16
4.6 Closed ............................................................................................................................................ 17
4.7 Trading and Matching Halts and Restoration of Trading.................................................................. 17
4.8 Price Limits ..................................................................................................................................... 17
4.9 Request for Quote and Pre-Negotiated Cross Transactions ............................................................. 18
4.10 Strategies ....................................................................................................................................... 18
4.11 Settlement Prices ........................................................................................................................... 18
4.11.1 Daily Settlement Price (DSP) – Futures Products ........................................................................................ 19
4.11.2 Final Settlement Prices (FSP) – Futures Products ....................................................................................... 20
4.11.3 Daily Settlement Prices on Market Half Days ............................................................................................. 20
4.11.4 Daily Settlement Prices Dissemination ....................................................................................................... 20
4.12 Trade Cancellations ........................................................................................................................ 21
5 REGISTRATION OF OFF ORDER BOOK TRADES ON THE TRADE REGISTRATION FACILITY ............ 22
5.1 Block Trades ................................................................................................................................... 22
5.2 Asset Switch Trades ........................................................................................................................ 22
5.3 EFP Trades ...................................................................................................................................... 23
6 ORDERS AND VALIDITY ......................................................................................................... 24
6.1 Order types .................................................................................................................................... 24
6.1.1 Limit Order ................................................................................................................................................. 24
6.1.2 Market Order .............................................................................................................................................. 24
6.1.3 Market-to-Limit Order ................................................................................................................................ 24
6.1.4 Stop Order .................................................................................................................................................. 25
3 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
6.2 Time Conditions ............................................................................................................................. 25
6.2.1 Good for Day (GFD) .................................................................................................................................... 25
6.2.2 Good till Cancelled (GTC) ............................................................................................................................ 25
6.2.3 Good till Date (GTD) ................................................................................................................................... 25
6.3 Time in Force ................................................................................................................................. 25
6.3.1 Fill or Kill (FOK) ........................................................................................................................................... 25
6.3.2 Immediate or Cancel (IOC) ......................................................................................................................... 25
6.4 Ranking of Orders........................................................................................................................... 25
6.5 Order Modification......................................................................................................................... 25
6.6 Tick Sizes ........................................................................................................................................ 26
7 IMPLIED ORDERS .................................................................................................................. 27
A APPENDIX: SESSION STATES FOR MARKETS ............................................................................ 28
B APPENDIX: MARKETS AND TRADING FUNCTIONALITY – AN OVERVIEW .................................. 29
C APPENDIX: PRICE LIMIT SPREADS .......................................................................................... 30
D APPENDIX: MINIMUM TICK SIZE ........................................................................................... 31
E APPENDIX: MARKET DATA AND PRICE CONCEPTS .................................................................. 32
F APPENDIX: POSITION ACCOUNTS .......................................................................................... 33
G APPENDIX: PRODUCT SPECIFICATIONS .................................................................................. 34
H APPENDIX: BLOCK TRADES .................................................................................................... 40
I APPENDIX: ASSET SWITCH .................................................................................................... 43
J APPENDIX: EXCHANGE FOR PHYSICAL (EFP) TRADES .............................................................. 45
K APPENDIX: PROCEDURE FOR UNAUTHORISED USE OF USERNAMES AND PASSWORDS ........... 47
4 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
DEFINITIONS
Asset Switch A type of Off Order Book Trade which is a two legged Trade consisting
of the simultaneous execution of two off-setting Trades in two
different futures Products.
Asset Switch Executing Participant An Individual authorised by a Participant to arrange and execute
Asset Switch Off Order Book Trades on its behalf.
Automatic Order Matching The process in the Central Order Book whereby sell and buy Orders
that have been entered in the System by Participants are matched
automatically in accordance with these Trade Procedures when the
price, volume and other specifications of such Orders match.
BBO The Best Bid or Offer of an Order Book.
Block Trade A type of Off Order Book Trade which has a minimum volume
requirement.
Bock Trade Executing Participant An Individual authorised by a Participant to arrange and execute
Block Trades on its behalf.
Business Day Has the meaning given to it in the NLX Rule Book.
Central Counterparty (CCP) Has the meaning given to it in the NLX Rule Book.
Central Order Book (COB) The auto-matching order book which holds all active Orders entered
into the System by Participants.
Client Has the meaning given to it in the Rule Book.
Crossed Orders An order book where some offers exist at a price below the price of
some other bids or vice versa. This cannot exist during continuous
matching as limit and market orders would be matched
instantaneously.
Daily Settlement Prices (DSP) The price for each Expiry Month or Delivery Month, of a Product,
calculated at a predefined time as per the relevant Product
specification for that Product on each Business Day.
Delivery Month The month the selling Participant must deliver the underlying asset of
a Product, and the buying Participant must accept and pay for the
underlying asset of the Product.
Designated Representative An ITR appointed by the Participant, who is responsible for all trading
activities conducted on the Market by the ITRs authorised by that
Participant.
Early Final Settlement Price The price for a Delivery Month, for a deliverable Long Term Interest
Rate Product calculated at a predefined time as per the relevant
Product specification on each Business Day during the Notice Period.
5 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
EFP Executing Participant An Individual authorised by a Participant to arrange and execute EFP
Off Order Book Trades
Equilibrium Price The price, calculated in accordance with paragraph 4.2 of these
Trading Procedures.
Exchange for Physical (EFP) A type of Off Order Book Trade which is a two legged Trade consisting
of the simultaneous execution of a futures Trade and a related OTC or
other futures product not listed on the Market (i.e. either an OTC
product or a related futures product listed on another exchange).
Expiry Month The month a Product expires, and the Final Settlement Price is
calculated.
Final Settlement Prices (FSP) The final settlement price of a Product calculated when the Product
expires.
FIX Establishes the following three messaging protocols:
Market Data: Anonymous Market-by-Price; aggregated quantity and
price of all Orders/Quotes activity at 50 best price levels, as well as
trade activity and administrative messages.
Order Entry: Access to Order Management and Trade Registration on
the Central Order Book and Trade Registration Facility, respectively.
FIX Reference Data: All delivery months/expiries and strikes available
for trading with associated last trade date.
Implied Order Implied liquidity determined from related Resting Orders on the
Market.
Individual Trading Representative
(ITR)
A specific individual user authorised by the relevant Participant to
trade on the Market.
Instrument The unique identifier for the individual elements of a Product; which
include the NLX product code, delivery month, strike and put/call.
ITCH Establishes the following two messaging protocols:
Auxiliary Market Data: Reference Data, Trade Registration activity,
Cancel Trades, RFQs, Post-trade and administration information.
ITCH Market Data: Anonymous Market-by-Order; quantity and price
of all Orders /Quotes activity at all price levels, matched trades and
Pre-trade information.
Limit Order An Order in the COB which specifies a maximum purchase price or
minimum selling price.
Long Term Interest Rate Products where the maturity of the underlying is greater than one
year (e.g. Long Gilt Futures).
6 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
Lot Size Volume increment specified by the Market. For all Products, the
minimum lot size will be 1.
London Time Greenwich Mean Time (GMT) with adherence to British Summer
Time (BST). BST begins on the last Sunday of March and ends on the
last Sunday of October, during which time clocks are advanced from
GMT by one hour (GMT +01:00). All references to time in these
Trading Procedures, and the Rule Book are references to London
time;
Market Has the meaning given to it in the NLX Rule Book.
Market Data The data available to participants as described in Appendix E.
Market Half Day A day on which the Market is open until 1pm only.
Market Holiday A day on which the Market is not open for business generally. To be
considered further since there may be some days where the Market
is open generally but may be closed for certain Products (i.e. trading
cannot take place for certain products).
Market Notice Has the meaning given to it in the NLX Rule Book.
Market Order An Order entered into the COB to sell or buy an Instrument at the
best available price. The volume specified in that Order may trade
against volume available through Resting Orders on the Central Order
Book.
Market-To-Limit Order An Order entered into the COB to sell or buy an instrument only at
the best price, if any volume of that Order remains unmatched, the
Order is converted into a Limit Order at the matching price.
NLX Official An appointed individual in the Market Operations team of NLX with
specific authorization to manage relevant Market Operations
procedures.
Notice Period For Long Gilt Products, the period during which the Seller can give
notice to make physical delivery of the underlying bonds.
Off Order Book The process of Order matching outside of the Central Order Book
where Orders are executed as bi-lateral Trades.
Off Order Book Trade Registration The facility for Order matching outside of the Central Order Book.
Open Session Has the meaning given to it in paragraph 4.1 of these Trading
Procedures.
Opening Hours Means the period beginning with the time at which the System is
available and ending at the End of Day (as described in paragraph 4.1
of these Trading Procedures).
Order Has the meaning given to it in the NLX Rule Book.
7 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
OTC Model Price The theoretical settlement price based on OTC equivalent markets.
Participant Has the meaning given to it in the NLX Rule Book.
Post Close Session Has the meaning given to it in paragraph 4.1 of these Trading
Procedures.
Pre-defined Strategy An NLX specified Strategy that is defined and recognised by the
System.
Pre Open Session Has the meaning given to it in paragraph 4.1 of these Trading
Procedures.
Preliminary Settlement Price A provisional indication of the Daily Settlement Price, sent out to
Participants of the Market before the Daily Settlement Price is finally
determined.
Price Limits The specified margin above and below the Reference Price of a
Product outside of which Orders will be rejected in order to protect
Participants from executing Trades at erroneous price levels.
Price, Pro Rata Priority Orders ranked on price and then timestamp of the order arriving at
the Matching Engine. However, matching is based on price and then
volume associated with the resting Order.
Price, Time Priority Orders are ranked by price and then timestamp of the order arriving
at the Matching Engine and the matching of orders is based on price
and then time of Order entry.
Product A product listed on the Market.
Product Holiday Means a day on which the Market is open for business generally but
is not open for trading in the relevant Product.
Quotes Symmetrically bid and ask orders in a single expiry of a product by a
single participant
Reference Price Defined in Paragraph 4.8.
Request For Quote A broadcast made by a Participant to other Participants of the Market
indicating an interest in a price quotation of a specific Instrument or
Strategy.
Resting Order Buy or sell Orders entered in the COB which have not been matched
or cancelled.
Rule Book The legally binding document between the Operator and Participants
that, amongst other things, sets out the terms on which the Market
provides trading services to Participants.
Short Term Interest Rate Products listed on the market where the maturity of the underlying is
less than one year (e.g. Euribor® Futures).
8 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
Strategy A Trade consisting of the simultaneous execution of two or more
Trades in Instruments with different Expiry/ Delivery months and/ or
Strike.
System Has the meaning given to it in the NLX Rule Book.
Time of Agreement The time when a Trade is agreed. This must be recorded for the
registration of Off Order Book Trades.
Time of Trade Execution The time when a Trade entered into the COB is automatically
matched or when an Off Order Book trade is registered.
Trade Has the meaning given to it in the NLX Rule Book.
Trade Cancellation The facility made available by an NLX Official when a Trade has been
executed at an aberrant price, and will be cancelled as more fully
described in paragraph 4.12 of these Trading Procedures.
Trading Hours The Trading Hours for each Product are set out in Section 4 and
Appendix G: Product Specifications of these Trading Procedures.
Trading Session The period of the Business Day during which Orders may be entered
into the System; this includes the Pre Open and Open Sessions.
Uncross The event when the Pre Open Session ends and Crossed Orders in the
COB are matched based on the Equilibrium Price determination.
Volume Weighted Average Price
(VWAP)
The sum of each price traded within a defined period, multiplied by
its associated volume, divided by the total volume.
9 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
1 EXECUTIVE SUMMARY
Nasdaq Group Inc. (“Nasdaq”), through its UK subsidiary Nasdaq NLX Limited (the “Operator”), operates a
European MTF called Nasdaq NLX (“NLX” or the “Market”) which is positioned to compete in the rapidly changing
market for pan-European derivatives. Initially the Market facilitates trading in both the short and long end of the
European and UK interest rate yield curves and offers Futures Products which may be transacted both in the
Central Order Book (COB) and Off Order Book.
The Operator has engaged LCH.Clearnet Limited to provide Central Counter Party (CCP) services. This trading and
clearing partnership provides an innovative new offering that addresses the needs of clients and traders seeking
an optimal environment for the automated, electronic execution of European Interest Rate products on one
platform, which are then centrally cleared, using an innovative VaR Risk Management system, in a single clearing
pool at LCH.Clearnet Limited.
1.1 INTRODUCTION
In particular, in addition to an overview of the Market, these trading procedures set out binding rules for
Participants relating to:
• Participant Hierarchy
• Trading on the Market
• Registration of Off Order Book Trades
• Orders and Validity
• Implied Orders
10 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
2 OVERVIEW OF THE MARKET
2.1 MARKET STRUCTURE
The Market offers a wide variety of interest rate products across two services:
• Central Order Book
• Off Order Book Trade Registration
All trades are cleared by LCH.Clearnet Limited.
2.2 INTEREST RATE PRODUCTS LISTED
The following futures products will initially be listed on the Market and may be executed in the Central Order Book
or Off Order Book:
• 3 month Euribor® Futures
• 3 month Sterling Futures
• Long Gilt Futures (4 %)
• 2 year Schatz Futures (6 %)
• 5 year Bobl Futures (6 %)
• 10 year Bund Futures (6 %)
An up to date list of all products listed on the Market can be found in Appendix G: Product Specifications.
11 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
3 PARTICIPANT HIERARCHY
3.1 THE DESIGNATED REPRESENTATIVE
Each Designated Representative will be issued with at least one ITR username, FIX Order Entry Port and a valid
password (the “ITR connection details”) by the NLX Market Operations team. The NLX Market Operations team
will generally direct all queries in relation to business submitted under these ITR connection details to the relevant
Designated Representative.
The Designated Representative is obliged to ensure that all business activity conducted using the allocated ITR
connection details is in compliance with the Rule Book and these Trading Procedures. The Designated
Representative must also have the ability to alter or cancel any Orders submitted using such ITR connection
details. The Designated Representative is responsible for the competence of any person utilising these ITR
connection details.
The Designated Representative or a nominated alternate must be contactable by the NLX Market Operations team
at all times while these ITR connection details are being used.
12 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
4 TRADING ON THE MARKET
4.1 SESSION STATES
The table below shows the relevant session times for the Market on a normal Trading Day. All times set out below
are London Time.
For more information, see Appendix A.
SYSTEM AVAILABLE
START OF DAY
Pre Open Session commences
CONTINUOUS TRADING
Open Session commences
DAILY SETTLEMENT PRICE CALCULATION
MARKET CLOSE
Post Close Session commences
END OF DAY
Post Close Session ends
EURIBOR® FUTURES
05:00 06:00 07:00 16:15 21:00 22:00
STERLING FUTURES
05:00 07:00 07:30 16:15 18:00 22:00
LONG GILT FUTURES
05:00 07:30 08:00 16:15 18:00 22:00
BUND, BOBL, SCHATZ FUTURES
05:00 06:00 07:00 16:15 21:00 22:00
Table 1: Trading Sessions on the Market
4.2 PRE OPEN
To commence the Pre Open Session a market message is sent out to all Participants subscribed to Market Data
indicating the start of the Pre Open Session.
During the Pre Open Session, Participants may submit, modify or cancel orders for Products with specified
expiries, delivery months and strategies listed in the Central Order Book (COB). All Orders are submitted to the
System, time-stamped and ranked Market-by- Price and then Market-by-Time. All possible combinations of
Futures calendar spread, butterfly and condor strategies are predefined in the System.
During the Pre Open Session, Participants are not able to execute Off Order Book Trades on any of the Products
listed on the Market.
Orders submitted during the Pre Open Session shall remain in the COB unmatched, until the Uncross which occurs
at the end of the Pre Open session.
During the Pre Open Session, the market is transparent; all submitted or modified Orders with associated volume
are disseminated to subscribed Participants. Implied Orders are not calculated or disseminated during the Pre
Open session.
The Equilibrium Price (EP) is calculated and disseminated after every update throughout the Pre Open Session.
All Orders will be disclosed to Participants with their actual price during the Pre Open Session and a crossed Order
Book will be disseminated. Order information will be available both as Market-by-Order (MBO) information via
ITCH and as Market-by-Price (MBP) information via FIX. MBO information enables Participants to see individual
Orders in the Central Order Book. The Market will disclose the full market depth at order level over ITCH. MBP
information enables Participants to see aggregated volume and prices for each price level. The Market will
disseminate aggregated volume over the top fifty price levels over FIX.
13 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
PRE OPEN
0600 – 0700
UNCROSS
0700
ORDER MANAGEMENT Order management
Order entry: Limit, Market-to-Limit and Stop Orders with associated valid time-in-force conditions GFD, GTC, GTD and IOC. Quotes with valid time-in-force GFD.
Volume and Limit Price displayed
AUTO MATCHING No Uncross Algorithm
EQUILIBRIUM PRICE Equilibrium Price (EP) calculated and disseminated after every update. Crossed orders matched on Central Order Book at Uncross. EP at Uncross disseminated as Opening Price.
No
ITCH MULTICAST MARKET DATA Anonymous Market-by-Order; quantity and price of all added, updated and removed Orders/Quotes.
EP and associated quantities.
Anonymous Market-by-Order; quantity and price of all entered, amended, cancelled and traded Orders/Quotes.
FIX UNICAST MARKET DATA Anonymous Market-by-Price; aggregated quantity and price of all added, updated and removed Orders/Quotes if contributing to/removed from 50 best price levels.
EP and associated quantities.
Anonymous Market-by-Price; aggregated quantity and price of all entered, amended, cancelled and traded Orders/Quotes if contributing to/removed from 50 best price levels.
EP and associated quantities.
Table 2: Example Schedule for a Euribor® Futures Pre Open session with Open at 07:00 London Time
4.3 THE UNCROSS
During the Pre Open Session, a two sided auction is organised, which ends with the Uncross, where Orders
entered during the Pre Open Session on both sides of the Central Order Book are uncrossed automatically at the
Equilibrium Price.
Before the Uncross is performed, a check is made for whether or not it is needed (i.e. if there are any crossed
prices). If the Uncross is not required, the session change is made without executing the Uncross and the BBO is
established. The Opening Price is then established by the first match completed at the Uncross or in the Open
Session (if there is no Uncross).
The Equilibrium Price is the price at which the most quantity will execute with the lowest imbalance. Hence,
following the Uncross there are no crossed prices left in the Order Book. Executions at the Uncross are labelled as
such in the FIX and ITCH Market Data protocols.
The Equilibrium Price will include the following Order Types:
• Limit Orders
• Market-to-Limit Orders
• Quotes
The following are excluded from the calculation of the Equilibrium Price:
• Untriggered Stop Orders
• Implied Orders
• Fill-or-Kill Orders
14 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
For the Market, the following methodology is used to calculate Equilibrium Price:
• Maximize Executed Quantity – subject to the following, the Equilibrium Price shall be the price at which the
execution of most quantity will occur.
• Minimize Surplus Quantity – if there is more than one price at which the most Orders will be executed, then,
subject to the following, the Equilibrium Price will be the price which would lead to the lowest imbalance.
• Let Market Pressure decide – if there is more than one price at which the same lowest imbalance is possible,
subject to the following, the Equilibrium Price shall be determined by market pressure.
• Choose Price Closest to Reference Price – if there is more than one price which would be determined by
market pressure, the Equilibrium Price shall be the price closest to the Reference Price.
Note: It is possible to calculate Equilibrium Prices in Strategy Order Books, based on strategy orders entered
directly into the Strategy Order Book. This is determined in the same way as equilibrium calculations for the
Single Order Book with one exception; instead of the price closest to a Reference Price being selected for the
Equilibrium Price in step four, the average of the highest and lowest eligible price is chosen as Equilibrium Price.
Any crossed order matched at the Equilibrium Price sets the Open Price in the Open Session. The Central Order
Book then moves from no-matching (during the Pre Open Session) to continuous matching (during the Open
Session).
At the end of the Pre Open Session, the System will remove unmatched or partially matched orders placed
during the Pre Open Session with Time-In-Force set to IOC. Partially matched Market-to-Limit Orders with Time-
In-Force set to GFD, GTD or GTC are converted to Limit Orders with price equal to the Equilibrium Price.
If trigger conditions are met by the Uncross, Stop Orders are triggered and executed. Stop Orders can be
triggered by the Equilibrium Price, but do not contribute to the calculation of the Equilibrium Price.
Once the Uncross is complete in the outright markets, the Strategy Order Books are uncrossed at their respective
Equilibrium Price. Immediately following the Uncross of Strategy Orders, Implied Orders are activated for the Open
session based on the outright BBO.
4.4 OPEN SESSION – CONTINUOUS TRADING
Ranking for all Orders entered prior to the Uncross and during continuous trading are based on Price and then
Time.
Matches are allocated based on Price and then Time, for Price, Time Priority, or Price and then the associated
volume for Price, Pro Rata Priority, as per the relevant Product specification.
Orders (with time conditions GTC and GTD) entered prior to the current trading day will keep their Time Priority.
OPEN
0700 – 2100
POST CLOSE
2100 - 2200
ORDER MANAGEMENT Unexecuted Limit and Stop Orders with Time-in-Force GFD, GTC and GTD following the Uncross enter continuous market, IOC Orders are cancelled. Unexecuted Quotes with Time-in-Force GFD enter continuous market.
Order Entry, Quoting, Cancel and Cancel/Replace allowed.
Orders are disseminated.
Off Order Book Trade Registration.
Unexecuted Limit Order, GTC, GTD, can be amended or deleted. GTC, GTD Orders are entered back into the market at Pre Open of next Trade Day.
Order Cancel messages.
AUTO MATCHING Yes No
EQUILIBRIUM DATA No No
15 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
ITCH MULTICAST MARKET DATA
Anonymous Market-by-Order; quantity and price of all added, updated, executed and removed Orders/Quotes.
No, Market-by-Order.
AUXILIARY MULTICAST MARKET DATA
Off Order Book trades, cancel trades, RFQs and Settlement Prices.
FIX UNICAST MARKET DATA Anonymous Market-by-Price; aggregated quantity and price of all added, updated, removed and executed Orders/Quotes if contributing to/removed from 50 best price levels.
Off Order Book trades, cancel trades, RFQs and Settlement Prices.
Table 3: Example Schedule for Market Open and Close for Euribor® Futures
4.4.1 Automatic Order Matching
Resting buy or sell Orders entered into the Central Order Book are matched against a corresponding incoming sell
or buy Order in the Central Order Book, to create a matched trade.
Each incoming Order is immediately checked for execution against Resting Orders on the opposite side of the
Order Book. Orders can be executed in full or in part in one or more steps.
Buy orders submitted into the Central Order Book with a buy price higher or equal to the sell Order with the
lowest price (crossing prices), will be matched into one or more trades depending on the volume of the incoming
Order and the volume and the price of the resting sell Order(s).
The match price is determined by the price of the Resting Order in the Central Order Book. The matching process
will attempt to fill as much as possible of the volume of the incoming sell or buy Order until the limit of the
crossing prices is passed.
4.4.2 Matching Priority for Products
Orders entered in the Central Order Book will be matched according to the relevant priority and allocation rules,
see Table 4: Matching Priority for Products below.
4.4.2.1 Best Price Setter definition
The Best Price Setter is the first Order that offers a higher bid or a lower offer price in the prevailing market and
betters the market price in the Central Order Book with an Order or Quote. The ITR which has established the
best price level remains Best Price Setter at the given price level during the entire trading session (until executed)
even if a new better price level has been established.
4.4.2.2 Price, Pro Rata Priority Algorithm definition for STIR and Schatz Futures
The following defines the Price, Pro Rata Algorithm used on the Market; for the STIR and Schatz Futures at the
given price level:
1. If a Best Price Setter exists, then allocate 30% of the incoming Order (rounding calculated quantity up) to
the Best Price Setter, then:
a. If the incoming Order quantity remains after the initial allocation to the Best Price Setter equals or
exceeds 10 lots, then:
i. first allocate the remaining part of the incoming Order according to Price, Pro Rata Priority
(rounding calculated quantity down) to all remaining Resting Orders, based on total remaining
quantity after the initial allocation to the Best Price Setter; and
ii. then allocate any remaining part of the incoming Order according to Price, Time Priority
beginning with any Resting Order(s) that was/were not allocated any quantity in the previous
step; or
16 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
b. If the incoming Order quantity after the initial allocation to the Best Price Setter is less than 10 lots, then
allocate [any] remaining part of the incoming Order according to Price, Time Priority of all remaining
Resting Orders, or
2. If no Best Price Setter exists, then:
a. If the incoming Order quantity equals or exceeds 10 lots, then:
i. first allocate the incoming Order according to Price, Pro Rata (rounding calculated quantity down)
of all remaining Resting Orders; and
ii. then allocate the remaining part of the incoming Order according to Price, Time beginning with
the Order(s) that was/were not allocated any quantity in the previous step; or
b. If the incoming Order quantity is less than 10 lots, allocate only according to Price, Time.
See Table 4: Matching Priority for Products below for more details.
4.4.2.3 Price, Time Priority Algorithm definition for LTIR Products
LTIR Products, except Schatz Futures are ranked and allocated according to Price, Time Priority.
PRODUCT PRIORITY 1 PRIORITY 2
SHORT TERM INTEREST RATES & SCHATZ FUTURES Price Pro-rata
LONG TERM INTEREST RATES FUTURES Price Time
Table 4: Matching Priority for Products
All Orders and/or Quotes are public during the Trading Session. Order information will be available as Market-by-
Order (MBO) information via ITCH, and as Market-by-Price (MBP) information via FIX.
MBO information enables Participants to see each individual Order in an Order Book. MBP information enables
Participants to see the aggregated volume at each price level. The Market will disseminate the top fifty price levels
over FIX and the full depth over ITCH.
All Orders and matched Trades are disseminated as real-time market data; all matches are anonymous i.e.
counterparty information is not published.
4.5 POST CLOSE
At Market Close, auto-matching ceases and the session transitions to the Post Close; all GFD Orders and Quotes
are automatically cleared from the Central Order Book. New orders cannot be submitted during the Post Close
Session.
During the Post Close Session, ITRs can modify and cancel any GTC and GTD Orders in the System.
At the end of the Post Close Session, Order management ceases and the System is set to Closed.
During the Post Close Session all Order updates are only disseminated to the respective ITR. Order information is
not available via ITCH or FIX.
MARKET CLOSE
2100
POST CLOSE SESSION
2100 – 2200
ORDER MANAGEMENT Auto-matching ceases.
GFD Orders and Quotes automatically cleared from the Central Order Book.
GTC and GTD Orders in the Central Order Book can be modified and cancelled.
AUTO MATCHING No No
EQUILIBRIUM DATA No No
17 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
Table 5: Example Schedule for Euribor® Futures Post Close
4.6 CLOSED
GTC and GTD Orders remain in the Central Order Book and information is only available to their respective ITR.
Participants can remain logged in until the System is closed.
4.7 TRADING AND MATCHING HALTS AND RESTORATION OF TRADING
Trading may be suspended by NLX Market Operations either for technical or regulatory reasons, or for reasons
outside the Operators control. The Operator shall provide Participants with information on Trading and Matching
Halts and the subsequent restoration of trading by system broadcast and/or a Market Notice or any other method
that The Operator deems appropriate.
Trading will be restored by the Operator when the Operator deems that it can be restored in an orderly manner.
This may include the requirement to reduce or extend the current Trading Session, or not restoring trading until a
subsequent Trading Day.
Any changes to the timing of the Daily Settlement Prices or the method of the determination of the Daily
Settlement Prices that may be required will be made at the discretion of the Operator.
4.8 PRICE LIMITS
Throughout the Open Session, Price Limits for all Products will be calculated from a Reference Price; with the
same margin allowed above the Reference Price for Bid Orders/Quotes and below the Reference Price for offer
Orders/Quotes.
The Reference Price for each discrete Expiry / Delivery month will be generated as follows:
During the Pre Open Session, Price Limits will not be activated.
At commencement of the Open Session, the Reference Price will be last traded price from the previous trading
session following the release of the Daily Settlement Price. If there was no matched trade after the release of the
Daily Settlement Price of the previous trading session, then the Reference Price shall be the Daily Settlement
Price.
During the Open Session, the Reference Price for a Product is defined as:
The last traded price, or bid price if the bid price is greater than the last traded price, or ask price if the
ask price is lower than the last traded price.
Both Outright and Implied Orders will be disclosed to the market if they are at or within the current Price Limits. If
Implied Out orders are outside the price limit, they will be displayed at the Price Limit.
Buy orders with prices lower than the lower Price Limit and sell orders with prices above the upper Price Limit are
allowed to enter the system. On the other hand, buy orders with prices above the upper Price Limit and sell orders
with prices below the lower Price Limit will be rejected. Orders with prices equal to the Price Limit will be
accepted.
Implied bids with prices lower than the lower Price Limit and implied offers with prices above the upper Price
Limit are generated. Conversely, the price of an implied bid order shall be constrained to the upper Price Limit,
while an implied offer shall be constrained to the lower Price Limit.
Attempts to enter Orders and Quotes during the Open Session outside the prevailing Price Limits for the relevant
Product will be rejected by the System. Strategy Limit Orders, and both Single and Strategy Market and Market-to-
18 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
Limit Orders are not validated against price limits. The Operator will send a message to that Participant via the
relevant ITR connection to inform him of the rejection. The permitted spreads for Price Limits for each Product will
be determined from time to time by the Operator. The spreads may be adjusted to reflect market conditions with
the objective of preventing the execution of any Orders submitted to the System with manifest pricing errors
and/or at unrepresentative price levels. The current Price Limit spreads for each Expiry / Delivery month for each
product is published in Appendix C: Price Limit Spreads.
4.9 REQUEST FOR QUOTE AND PRE-NEGOTIATED CROSS TRANSACTIONS
A Request for Quote (RFQ) is a broadcast message sent by an ITR to all Market Data subscribers, calling for a price
in a specific Product. The initiator of an RFQ can specify an expiry/delivery month or strategy (Pre-defined or Tailor
Made) and various indications of interest such as side and quantity. An RFQ is sent to all Participants anonymously.
When an RFQ is published, responding Participants may enter or update their Quotes or Orders in the Central
Order Book; Trades will be matched in the Central Order Book using the normal matching rules defined in Section
4.4 Open Session - Continuous Trading.
The execution of pre-negotiated business and cross transactions is supported for all NLX Products.
Matching business can be secured via pre-negotiation within the same Participant, with other participants or with
Clients.
The pre-negotiation and / or execution of a client order must comply with the Spirit of the Rules, Section 3.1 of
the NLX Rule Book and cannot be detrimental to the interests of the client.
The separate buy and sell orders which have been secured by pre-negotiation may be submitted to the Central
Order Book provided the following:
• An RFQ must first be entered into the relevant expiry month or strategy, where no bid and / or offer is
present.
• The matching business may be entered into the Central Order Book after a period of 5 seconds for futures
business has elapsed and no more than 30 seconds after the RFQ has expired
• No bids or offers should be entered into the Central Order Book to avoid the RFQ procedure.
4.10 STRATEGIES
Calendar Spreads, Butterfly and Condor strategies are predefined across all listed delivery months for Futures
Products.
Strategy Order Books are integrated into a Single Order Book, creating the Central Order Book, via Implied Orders.
Strategy Orders are stored in the specific Strategy Order Book until they are executed, either by an outright Order
or directly, in a strategy to strategy match. For a Strategy Order to match, all expiry months associated with the
Strategy must be matched in full for the Trade to be completed.
4.11 SETTLEMENT PRICES
An innovative approach to determining Daily Settlement Prices (DSPs) and Final Settlement Prices (FSPs) has been
adopted as set out below.
19 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
4.11.1 Daily Settlement Price (DSP) – Futures Products
Daily Settlement Prices for futures Products are calculated as specified below at 16:15, and disseminated shortly
afterwards. All markets will continue to trade until the specified Market Close for each Product. After Market
Close, the Daily Settlement Prices will be sent to the Clearing House, LCH.Clearnet Limited.
For Futures DSP calculations the Volume Weighted Average Price (VWAP) of trades executed within the last
minute prior to the settlement calculation time are used. This price will be combined with the equivalent OTC
market price for the same period (the OTC Model Price) in a pre–determined weighting.
The Volume Weighted Average Price (VWAP) is calculated as follows:
∑ (Price of Trade x Volume of Trade)/Total volume of Trades in the Period
For example, if four trades were completed one minute prior to the DSP calculation time, the VWAP would be
calculated as follows:
TRADE 1 TRADE 2 TRADE 3 TRADE 4
PRICE 98.85 98.55 98.70 98.60
LOTS 10 50 60 50
PRICE X LOTS 988.5 4,927.5 5,922 4,930
∑ (Price x Volume) = 16,768
Total Volume = 170
∑ (Price x Volume)/Total Volume=98.64
4.11.1.1 Daily Settlement Prices Weighting Rules for Futures Products
The weighting between the calculated VWAP from the relevant futures market and the OTC Model Price is
determined as follows, subject to the constraint that the DSP must fall in the range between and including the
COB lowest Best Bid to highest Best Offer during the final minute prior to 1615.
Providing five trades or more have taken place in the final minute of trading prior to 1615, the DSP is calculated
using 100% VWAP Price;
If 2 to 4 Trades have taken place the DSP is calculated as follows:
• 50% VWAP of trades in the final minute
• 50% OTC Model Price
If 1 or no trade has taken place, the DSP is calculated as follows:
• 100% OTC Model Price
In the event that a Daily Settlement Price cannot be determined either from trading activity or from the OTC
Model Price, the Operator reserves the right to set the Daily Settlement Prices at its absolute discretion.
20 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
4.11.2 Final Settlement Prices (FSP) – Futures Products
The Final Settlement Price for Euribor® and Sterling Futures Products are determined as per the Product
specifications, see Appendix G: Product Specifications. In short, the Euribor® Futures FSP is based on the 3 month
EMMI Euribor® Offered Rate and the Sterling FSP based on the 3 month ICE LIBOR1 Offered Rate.
The Final Settlement Price for Long Term Interest Rate Futures Products will be determined as follows, subject to
the constraint that the FSP must fall in the range between and including the COB lowest Best Bid to highest Best
Offer during the final minute prior to the Last Trading Time.
Providing five trades or more have taken place in the final minute of trading prior to the Last Trading Time, the FSP
is calculated using the following weightings:
• 100% Volume Weighted Average Price (VWAP) of trades in the final minute
• If between two and four trades have taken place, the FSP is calculated as follows:
– 50% VWAP of Trades in the final minute of Trades in the final minute
– 50% OTC Model Price
If one or no trade has taken place, the FSP is calculated as follows:
• 100% OTC Model Price
Final Settlement Prices will be displayed on the System and/or any additional data vendor system determined by
the Operator.
In the event that a Final Settlement Price cannot be determined either from, a data provider, trading activity or
from the OTC Model Price, the Operator reserves the right to set the Final Settlement Prices at its absolute
discretion.
4.11.3 Daily Settlement Prices on Market Half Days
On Market Half Days, a full set of DSPs will be calculated for all Products at 1200 London Time, using the standard
methodology. The Market will close at 1300 London Time.
4.11.4 Daily Settlement Prices Dissemination
All DSPs may be disseminated on a provisional basis in the FIX and ITCH Market Data protocol. After provisional
dissemination, the NLX Market Operations team may amend the Settlement Prices to ensure they are consistent
with the market
In the event that a DSP cannot be determined either from a data provider, trading activity or from the 3rd party
provider, the Operator reserves the right to set the DSPs at its absolute discretion.
The DSPs will then be sent to the Clearing House LCH.Clearnet Limited.
1 ICE LIBOR is a trade mark of ICE Benchmark Administration. ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO WARRANTY, EXPRESS OR IMPLIED, EITHER AS TO THE RESULTS TO BE OBTAINED FROM THE USE OF ICE LIBOR AND/OR THE FIGURE AT WHICH ICE LIBOR STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DAY OR OTHERWISE. ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO EXPRESS OR IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE FOR USE WITH RESPECT TO THREE MONTH STERLING FUTURES.
21 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
4.12 TRADE CANCELLATIONS
The Price Limits (See section 4.8) are implemented in order to prevent Participants submitting Orders with
significant pricing errors and should therefore eliminate the need for an NLX Official to invalidate Trades. However,
in certain circumstances NLX may conclude that a Trade has been executed at an aberrant price which is
unrepresentative of fair value and thereby decide to cancel the Trade(s) in question or adjust its(their) price.
In determining fair value, NLX may take into consideration:
(a) bids, offers and Trades in the relevant Product and/or neighbouring expiries before and after the Trade(s) in
question,
(b) current market conditions, including levels of activity and volatility,
(c) information regarding price movements in related markets, the release of economic data or other relevant
news immediately before or during the trading session,
(d) the impact of the erroneous Trade on other Trades,
(e) any other factor which NLX, in its sole discretion, may deem relevant.
Participants are required to submit a request for Trade cancellation or price adjustment within 10 minutes from the
time the Trade was registered on NLX’s trading system. NLX will then determine if the request is eligible and decide
whether to cancel the Trade, adjust the traded price or allow it to stand. It is at NLX’s sole discretion to accept
requests for review which have not been submitted within the prescribed time. Furthermore, any Trade where the
only error is the number of contracts traded, and not the traded price, will not be eligible for review. Under
exceptional circumstances and in order to ensure the integrity of the market, NLX reserves the right to review and
cancel or adjust the price of Trades at its sole discretion, regardless of whether a request has been made.
NLX will make the final and unilateral decision on whether a Trade will stand, be cancelled or its price adjusted. In
the process, NLX will notify all Participants as soon as practicable (through means deemed appropriate by the
exchange NLX) of (1) trades that are under review and (2) trades that have been cancelled or price adjusted.
22 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
5 REGISTRATION OF OFF ORDER BOOK TRADES ON THE
TRADE REGISTRATION FACILITY
The following Trade Registration types are available for Off Order Book Trades:
• Block Trade
• Asset Switch
• Exchange For Physical (EFP) Trade
Each Trade Registration type will have a unique flag which will be used as an identifier for Trade Registration.
TRADE TYPE FIX UNIQUE FLAG
Block Trade 1
Exchange for Physical 2
Asset Switch (Futures) 13
Off Order Book Trades on the Trade Registration Facility may be organized and submitted during the Continuous
Matching Session of the relevant Product.
Trade Registration can be affected for single delivery months / expiries and strategies.
5.1 BLOCK TRADES
All Products are designated as Block Trade Products for the Market.
The Block Trade Registration Facility allows Participants to organize and execute trades considered large in scale
compared to the average aggregated volumes at the BBO.
Participants are permitted to organize Block Trades, providing they are a Block Trade Executing Participant or have
in place arrangements for the execution of the Block Trade Product(s) via a Block Trade Executing Participant.
A Block Trade Executing Participant is a Participant holding the appropriate trading right entitling him/her to trade
the relevant Block Trade Product.
Further details with regard to arranging Block Trades, including Block Trade Thresholds, are available in Appendix
H to these Trading Procedures.
5.2 ASSET SWITCH TRADES
The Asset Switch Facility is available for all Interest Rate Futures Products. Asset Switch Trades allow Participants
to take opposing positions in, or transfer exposure between, two different Products simultaneously.
The Asset Switch Facility may be used for all strategies of Interest Rate Futures Products.
Participants are permitted to organize Asset Switches, providing they are an Asset Switch Executing Participant or
have in place arrangements for the execution of Asset Switches via an Asset Switch Executing Participant.
An Asset Switch Executing Participant is a Participant holding the appropriate trading right entitling him/her to
trade the relevant Asset Switch Product.
Further details with regard to arranging Asset Switch Trades are available in Appendix I to these Trading
Procedures.
23 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
5.3 EFP TRADES
An EFP Trade allows Participants to arrange and execute Trades involving a Futures Product and a corresponding
‘physical’ leg. The corresponding physical leg can be a variety of cash and OTC (Over-The-Counter) assets – which
may include:
• Deliverable cash bonds
• Non-deliverable cash bonds
• Forward Rate Agreements (FRA)
• Vanilla OTC swaps
• Sale and Repurchase Agreements (Repos)
• OTC interest rate options
• Non NLX listed Short Term Interest Rate or Long Term Interest Rate Futures Contracts
All Products are designated as Exchange for Physical Products on the Market. Exchange for Physical Participants
are permitted to organize EFP Trades, providing they are an EFP Trade Executing Participant or have in place
arrangements for the execution of EFP Product(s) via an EFP Trade Executing Participant.
An EFP Trade Executing Participant is a Participant holding the appropriate trading rights entitling them to trade
the relevant EFP Product.
Further details with regard to arranging EFP Trades are available in Appendix J to these Trading Procedures.
24 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
6 ORDERS AND VALIDITY
The following Order types, attributes and validities are available on the Market.
6.1 ORDER TYPES
The following Order types, time-in-force and time conditions are available for all Products:
ORDER TYPE GFD
Good for Day
GTC
Good till Cancel
GTD
Good till Date
FOK
Fill or Kill
IOC
Immediate or Cancel
LIMIT ORDER X X X X X
MARKET ORDER X X
MARKET-TO-LIMIT ORDER
X X X X X
STOP ORDER X X X X X
6.1.1 Limit Order
A Limit Order stipulates a maximum purchase price or minimum selling price. If not fully matched, the remaining
volume of the Order is retained in the Order Book. The orders in the Order Book are ranked in descending buy-
price order or ascending sell-price order and then by time priority.
If the price specified by a Limit Order is not valid according to the permitted tick sizes, it will be rejected. The
System will only execute Limit Orders at prices equal to or better (less than a maximum purchase price / greater
than a minimum selling price) than the specified limit price.
Limit Orders can be matched in part or in their entirety unless a FOK condition is attached to the Order in which
case the Order must match in full or not at all.
6.1.2 Market Order
Market Orders are accepted only during the Open session. A Market Order is an Order to sell or buy at the best
possible price(s) and is therefore entered without a price. During continuous trading the time condition for a
Market Order is always fill-or-kill (the order is matched in full or not at all) or immediate-or-cancel (any remaining
volume not filled will be cancelled). Market Orders are never registered in the Central Order Book.
This means that as long as there is an Order on the opposite side of the Central Order Book the Market Order will
be matched irrespective of the price level.
6.1.3 Market-to-Limit Order
A Market-to-Limit Order is an Order to sell or buy at the best market price. If the Order is partly matched, the
remainder is converted into a Limit Order priced at match price. In contrast to a normal Market Order, the Market-
to-Limit Order only executes at the best price level and, therefore, does not trade through volume available in the
Central Order Book.
Market-to-Limit Orders entered in a non-matching session state (i.e. Pre Open Session) form part of the Uncross. If
the Equilibrium Price is established and the Market-To-Limit Order is matched, any quantity remaining after the
Uncross will be stored in the Central Order Book as a Limit Order, at the Equilibrium Price. When the Equilibrium
Price is established but the Market-To-Limit Order is not matched, the Order is automatically deleted.
During continuous matching (i.e. Open Session) a Market-to-Limit Order is immediately removed from the market
if no match can be executed, e.g. if no Order exists on the opposite side of the Central Order Book. If the Market-
25 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
to-Limit Order is partly matched, the remainder is converted into a Limit Order, and rests in the Central Order
Book.
6.1.4 Stop Order
A Stop Order is an Order with the trigger condition being the last traded price. Stop Orders generate a Market
Order, Market to Limit Order or Limit Order in the Central Order Book once their trigger has been met.
6.2 TIME CONDITIONS
6.2.1 Good for Day (GFD)
A GFD Order is valid until the Market closes. A GFD Order is active for the Business Day, and any non-executed
portion will be cancelled upon the transition to the Post Close, i.e. when the Market closes.
6.2.2 Good till Cancelled (GTC)
The system supports GTC (Good till Cancelled) Orders in markets that have no specified limit to the maximum
number of days an Order is allowed to stay in the book. A GTC Order will retain its original chronological order
based on original entry time into the System.
6.2.3 Good till Date (GTD)
A GTD Order is valid until a specified date in the future, up to a maximum of 255 days. If the Order is not matched
during the Business Day it will be inserted again in the Central Order Book the next morning when the System
opens. A GTD Order will retain its original chronological order based on original entry time into the System.
6.3 TIME IN FORCE
6.3.1 Fill or Kill (FOK)
A FOK order is not stored in the Central Order Book at any time. If a FOK Order is not matched in full on entry, the
order is cancelled. FOK orders can only be entered during continuous trading.
6.3.2 Immediate or Cancel (IOC)
An IOC Limit or Market-to-Limit order will match with all the resting volume on the other side of the order book,
up to the limit price, and cancel all the remaining volume. An IOC Market Order will match all available resting
volume on the other side of the order book irrespective of the price, and then cancel any remaining unmatched
volume of the IOC order.
6.4 RANKING OF ORDERS
Orders are ranked by Price and Time. However depending on the Product Specification, Orders are matched either
by Price, Time Priority or Price, Pro Rata and Time Priority.
6.5 ORDER MODIFICATION
The time priority of an Order is retained if the volume is reduced, and lost if the volume is increased or if the price
is modified.
26 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
6.6 TICK SIZES
Tick size is the smallest allowed price movement for a specific Product and, thereby, is the smallest possible
difference between the buy and sell price in the Central Order Book. If the price specified by a Limit Price is not
valid according to the allowed tick sizes, it is rejected by the System. See Appendix D for the minimum tick size for
each Product.
27 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
7 IMPLIED ORDERS
The Market offers Implied-Out Order generation; these are automatic prices generated by the System which are
derived from converting a Strategy into its component Trades.
Implied-Out Orders advertise the liquidity available in the marketplace, and increase the possibility of Strategy
Order execution. Implied Orders are generated during the Open Session, which has continuous matching.
Implied-Out Orders are determined from a combination of Strategy Resting Orders and individual delivery month
Orders. The aggregated implied out orders on the BBO is disseminated on the ITCH and FIX market data, as such
differentiating them from single orders.
28 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
A APPENDIX: SESSION STATES FOR MARKETS
The futures Products initially listed on the Market are:
• 3 month Euribor® Futures
• 3 month Sterling Futures
• Long Gilt Futures (4 %)
• 2 year Schatz Futures (6 %)
• 5 year Bobl Futures (6 %)
• 10 year Bund Futures (6 %)
The figures below detail the session schedules for each individual market. All times are London Time.
PRE OPEN OPEN FSP/LTT DSP CLOSE
EURIBOR® FUTURES 0600 0700 1000 1615 2100
STERLING FUTURES 0700 0730 1100 1615 1800
LONG GILT FUTURES 0730 0800 1100 1615 1800
BOBL, BUND, SCHATZ FUTURES 0600 0700 1130 1615 2100
29 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
B APPENDIX: MARKETS AND TRADING FUNCTIONALITY – AN
OVERVIEW
EURIBOR ® FUTURE
NI
STERLING FUTURE
NL
LONG GILT FUTURE
NR
2 YEAR SCHATZ FUTURE
NS
5 YEAR
BOBL
FUTURE
NB
10 YEAR BUND FUTURE
NU
PRICE, TIME MATCHING ALGORITHM
X X X
PRICE, PRO RATA MATCHING ALGORITHM
X X X
CONTINUOUS TRADING
X X X X X X
REPORTING BLOCK TRADES
X X X X X X
REPORTING ASSET SWITCH TRADES
X X X X X X
REPORTING EFP TRADES
X X X X X X
IMPLIED TRADING X X X X X X
PRE-DEFINED CALENDAR SPREADS
X X X X X X
PRE-DEFINED CONDORS
X X
PRE-DEFINED BUTTERFLIES
X X
Table 6: Overview of per product functionality
30 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
C APPENDIX: PRICE LIMIT SPREADS
EURIBOR ®
1 tick = 0.005
White Quarterlies 14 ticks above and below
White Serials 14 ticks above and below
Reds 14 ticks above and below
Greens 24 ticks above and below
Blues 24 ticks above and below
Golds 28 ticks above and below
Purples 28 ticks above and below
STERLING
1 tick = 0.01
White Quarterlies 7 ticks above and below
White Serials 7 ticks above and below
Reds 7 ticks above and below
Greens 12 ticks above and below
Blues 12 ticks above and below
Golds 14 ticks above and below
Purples 14 ticks above and below
Table 7: Price Limit Spreads for Short Term Futures Products
BUNDS AND GILTS
1 tick = 0.01
1st
Expiry 37 ticks above and below
2nd
Expiry 42 ticks above and below
3rd
Expiry 53 ticks above and below
BOBLS
1 tick = 0.01
1st
Expiry 27 ticks above and below
2nd
Expiry 32 ticks above and below
3rd
Expiry 37 ticks above and below
SCHATZ
1 tick = 0.005
1st
Expiry 37 ticks above and below
2nd
Expiry 48 ticks above and below
3rd
Expiry 56 ticks above and below
Table 8: Price Limit Spreads for Long Term Futures Products
31 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
D APPENDIX: MINIMUM TICK SIZE
PRODUCT MINIMUM TICK SIZE
EURIBOR® FUTURES 0.005
STERLING FUTURES 0.01
LONG GILT FUTURES (4%) 0.01
2 YEAR SCHATZ FUTURES (6%) 0.005
5 YEAR BOBL FUTURES (6%) 0.01
10 YEAR BUND FUTURES (6%) 0.01
Table 9: Minimum tick sizes
32 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
E APPENDIX: MARKET DATA AND PRICE CONCEPTS
In this appendix, a brief description of the Market Data available to Market Members and Market Data vendors is
set out.
E.1 PRE-TRADE INFORMATION
All Pre-trade information is anonymous and available as:
• Market-by-Order data providing the full Order depth on the ITCH multicast protocol.
• Market-by-Price data providing the aggregated quantity and of the 50 best price levels on the FIX unicast
protocol.
• EP and associated quantities on both the ITCH multicast, and the FIX unicast protocol.
• Request for Quotes are provided on both the Auxiliary multicast, and the FIX unicast protocol
E.2 POST-TRADE INFORMATION
All Post-trade information is anonymous and available as:
• Information on each auto-matched Trades provided on both the ITCH multicast, and the FIX unicast protocol
• Information on each reported Off Order Book Trade provided on both the Auxiliary multicast, and the FIX
unicast protocol
• Trading Statistics provided on the FIX unicast protocol for outright order books including:
– Open Price
– Low Price
– High Price
– Aggregated Trade Volume
• Settlement Prices and Open Interest provided on both the Auxiliary multicast, and the FIX unicast protocol
E.3 PRICE CONCEPTS
E.3.1 Last Traded Price
The Last Traded Price is defined as the last matched Trade in the Central Order Book during trading.
E.3.2 High and Low Prices
High and Low prices are calculated on the basis of the Trades which update the Last Traded Price and are thus the
highest price and the lowest price, respectively, among the Trades which have updated the Last Traded Price for
the current Business Day.
E.3.3 Open Price
The Open Price is defined as the first traded price on the current Business Day. If the Market is crossed in Pre
Open, this will be the Equilibrium Price at the Uncross.
33 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
F APPENDIX: POSITION ACCOUNTS
The Market has defined the following Position Accounts hierarchy structure:
POSITION ACCOUNT TYPE DESCRIPTION
UNALLOCATED ACCOUNT (U)
Gross
Unallocated Account is used to allocate trades which do not have a valid segregation type at the time of Trade Acceptance. Such trades can be subsequently moved to other Position Accounts by using Internal Give-ups.
HOUSE ACCOUNT (H)
Net
House Account is used to hold proprietary positions of the ITR.
MARKET-MAKER ACCOUNT (M)
Net
Market-Maker Account is used by ITR to separate the positions arising out of Market-Maker trades.
NON-SEGREGATED ACCOUNT (N)
Gross
Direct Non-Segregated Client Account is used by the ITR as an Omnibus, without detail account to aggregate positions of multiple clients in a single account.
SEGREGATED CLIENT ACCOUNT (S)
Gross
Segregated Client Account is used by the ITR as an Omnibus, with Detail account to segregate client positions.
34 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
G APPENDIX: PRODUCT SPECIFICATIONS
All times are London Times
G.1 FUTURES PRODUCT SPECIFICATIONS
G.1.1 Three Month Euribor® Interest Rate Futures
PRODUCT CODE NI
UNIT OF TRADING Interest rate on three month unsecured interbank deposit of €1,000,000.
CONTRACT MONTHS Twenty four Quarterly delivery months and four serial months, so that twenty eight delivery months are available for trading, with the nearest six delivery months being consecutive calendar months.
PRICE QUOTATION 100.00 minus the interest rate.
MINIMUM TICK SIZE AND VALUE 0.005 (€12.50)
LAST TRADING DAY Two business days prior to the third Wednesday of the delivery month.
LAST TRADING TIME On the Last Trading Day, trading in the front delivery month will stop at 1000.
FINAL SETTLEMENT First business day after the Last Trading Day.
TRADING PLATFORM AND HOURS NLX; 0700 – 2100
MATCHING ALGORITHM Central Order Book utilizes a price, pro-rata priority trade matching algorithm.
TRADE REGISTRATION SERVICES Block Trading, EFP Trading, Asset Switch
FINAL SETTLEMENT PRICE (FSP) The FSP shall be determined as 100 – FSP Rate. The FSP Rate is defined as the European Money Markets Institute’s Euribor® Offered Rate (EMMI Euribor®) for three month Euro deposits at 11:00 Brussels time (10:00 London time) on the Last Trading Day, rounded to three decimal places, except for the case when it is an exact uneven multiple of 0.0005, in which case it will be rounded to the nearest lower third decimal (e.g. an EMMI Euribor® of 1.6335 becomes 1.633).
SETTLEMENT CRITERIA Cash settlement based on the FSP.
CLEARING LCH.Clearnet Limited
35 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
G.1.2 Three Month Sterling Interest Rate Futures
PRODUCT CODE NL
UNIT OF TRADING Interest rate on three month unsecured interbank deposit of £500,000.
CONTRACT MONTHS Twenty four Quarterly delivery months, and two serial months, so that twenty six delivery months are available for trading, with the nearest three delivery months being consecutive calendar months.
PRICE QUOTATION 100.00 minus the interest rate.
MINIMUM TICK SIZE AND VALUE 0.01 (£12.50)
LAST TRADING DAY Third Wednesday of the delivery month.
LAST TRADING TIME On the Last Trading Day, trading in the front delivery month will stop at 1100.
FINAL SETTLEMENT First business day after the Last Trading Day.
TRADING PLATFORM AND HOURS NLX; 0730 – 1800
MATCHING ALGORITHM Central Order Book utilizes a price, pro-rata priority trade matching algorithm.
TRADE REGISTRATION SERVICES Block Trading, EFP Trading, Asset Switch
FINAL SETTLEMENT PRICE (FSP) The FSP shall be determined as 100 – FSP Rate. The FSP Rate is defined as the ICE Benchmark Administration’s London Interbank Offered Rate (ICE LIBOR) for three month sterling deposits at 1100 London time on the Last Trading Day, rounded to three decimal places, except for the case when it is an exact uneven multiple of 0.0005, in which case it will be rounded to the nearest lower third decimal (e.g. an ICE LIBOR of 1.6285 becomes 1.628).
SETTLEMENT CRITERIA Cash settlement based on the FSP.
CLEARING LCH.Clearnet Limited
36 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
G.1.3 Long Gilt Futures
PRODUCT CODE NR
UNIT OF TRADING £100,000 nominal value notional Gilt with 4% coupon.
DELIVERY MONTHS The Three closest Quarterly delivery months.
PRICE QUOTATION Per £100 nominal
MINIMUM TICK SIZE AND VALUE 0.01 (£10)
FIRST NOTICE DAY Two business days prior to the first calendar day of the delivery month.
LAST NOTICE DAY First business day after the Last Trading Day.
LAST TRADING DAY Two business days prior to the last business day in the delivery month.
LAST TRADING TIME On the Last Trading Day, trading in the front delivery month will stop at 1100.
DELIVERY DAY Any business day in delivery month (seller’s option).
MATURITY RANGE OF DELIVERABLE GILTS
8 years and 9 months to 13 years.
TRADING PLATFORM AND HOURS NLX; 0800 – 1800
MATCHING ALGORITHM Central Order Book applies a price, time priority trade matching algorithm.
TRADE REGISTRATION SERVICES Block Trading, EFP Trading, Asset Switch
FINAL SETTLEMENT PRICE (FSP) The price determined as per the Trading Procedures at 1100 of the front delivery month on the last trading day. The invoicing amount for each Deliverable Gilt will be calculated by the conversion factor methodology.
SETTLEMENT CRITERIA Physical delivery can be made from any Gilt in the delivery basket published by NLX. The provisional deliverable basket will be published by NLX and finalized on the tenth business day prior to the first Notice Day of each delivery month. The choice of which bond to select from the deliverable basket lies with the Participant holding a short position in the future at delivery.
All gilt issues included in the basket will have the following characteristics:
Coupon in a 1% - 7% coupon range Inc.
Principal and interest both Sterling denominated.
Semi-annual fixed rate payments.
Fully paid on or before the Last Notice Day of the delivery month
Principal outstanding of £1.5 billion or more of fungible issues
Having a period to redemption as specified.
Holders of long positions may be delivered against during any day in the Notice Period.
Full criteria of selection for deliverable bonds can be found in the Product Terms.
CLEARING LCH.Clearnet Limited
37 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
G.1.4 Schatz Futures
PRODUCT CODE NS
UNIT OF TRADING €100,000 nominal value notional Schatz with 6% coupon
DELIVERY MONTHS The three closest Quarterly delivery months.
PRICE QUOTATION Per €100 nominal
MINIMUM TICK SIZE AND VALUE 0.005 (€5)
LAST TRADING DAY Two business days prior to the Delivery Day in the delivery month.
LAST TRADING TIME On the Last Trading Day, trading in the front delivery month will stop at 1130.
DELIVERY DAY The tenth calendar day of the front delivery month, if this day is a business day; otherwise, the business day immediately following that day.
MATURITY RANGE OF DELIVERABLE SCHATZ
1.75 to 2.25 years
TRADING PLATFORM AND HOURS NLX; 0700 – 2100
MATCHING ALGORITHM Central Order Book utilises a price, pro-rata priority trade matching algorithm.
TRADE REGISTRATION SERVICES Block Trading, EFP Trading, Asset Switch
FINAL SETTLEMENT PRICE (FSP) The price determined as per the Trading Procedures at 1130 of the front delivery month on the Last Trading Day. The invoicing amount for each deliverable Schatz will be calculated by the conversion factor methodology.
SETTLEMENT CRITERIA Physical delivery of a bond selected from the basket of approved deliverable bonds of the Federal Republic of Germany as published by NLX. The choice of which bond to select from the deliverable basket lies with the Participant holding a short position in the future at delivery.
CLEARING LCH.Clearnet Limited
38 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
G.1.5 Bobl Futures
PRODUCT CODE NB
UNIT OF TRADING €100,000 nominal value notional Bobl with 6% coupon
DELIVERY MONTHS The three closest Quarterly delivery months
PRICE QUOTATION Per €100 nominal
MINIMUM TICK SIZE AND VALUE 0.01 (€10)
LAST TRADING DAY Two business days prior to the Delivery Day in the delivery month.
LAST TRADING TIME On the Last Trading Day, trading in the front delivery month will stop at 1130.
DELIVERY DAY The tenth calendar day of the front delivery month, if this day is a business day; otherwise, the business day immediately following that day.
MATURITY RANGE OF DELIVERABLE BOBL
4.5 to 5.5 years
TRADING PLATFORM AND HOURS NLX; 0700 – 2100
MATCHING ALGORITHM Central Order Book utilizes a price, time priority trade matching algorithm.
TRADE REGISTRATION SERVICES Block Trading, EFP Trading, Asset Switch
FINAL SETTLEMENT PRICE (FSP) The price determined as per the Trading Procedures at 1130 of the front delivery month on the Last Trading Day. The invoicing amount for each deliverable Bobl will be calculated by the conversion factor methodology.
SETTLEMENT CRITERIA Physical delivery of a bond selected from the basket of approved deliverable bonds of the Federal Republic of Germany as published by NLX. The choice of which bond to select from the deliverable basket lies with the Participant holding a short position in the future at delivery.
CLEARING LCH.Clearnet Limited
39 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
G.1.6 Bund Futures
PRODUCT CODE NU
UNIT OF TRADINGS €100,000 nominal value notional Bund with 6% coupon
DELIVERY MONTHS The three closest Quarterly delivery months.
PRICE QUOTATION Per €100 nominal
MINIMUM TICK SIZE AND VALUE 0.01 (€10)
LAST TRADING DAY Two business days prior to the Delivery Day in the delivery month.
LAST TRADING TIME On the Last Trading Day, trading in the front delivery month will stop at 11:30.
DELIVERY DAY The tenth calendar day of the front delivery month, if this day is a business day; otherwise, the business day immediately following that day.
MATURITY RANGE OF DELIVERABLE BONDS
8.5 to 10.5 years
TRADING PLATFORM AND HOURS NLX; 0700 – 2100
MATCHING ALGORITHM Central Order Book utilizes a price, time priority trade matching algorithm.
TRADE REGISTRATION SERVICES Block Trading, EFP Trading, Asset Switch
FINAL SETTLEMENT PRICE (FSP) The price determined as per the Trading Procedures at 1130 of the front delivery month on the Last Trading Day. The invoicing amount for each deliverable Bund will be calculated by the conversion factor methodology.
SETTLEMENT CRITERIA Physical delivery of a bond selected from the basket of approved deliverable bonds of the Federal Republic of Germany as published by NLX. The choice of which bond to select from the deliverable basket lies with the Participant holding a short position in the future at delivery.
CLEARING LCH.Clearnet Limited
40 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
H APPENDIX: BLOCK TRADES
H.1 BLOCK TRADE FACILITY DEFINITION
The Block Trade Registration Facility allows Participants to organize and execute Trades considered large in scale
compared to the average aggregated volumes at the BBO.
H.2 AUTHORIZATION FOR EXECUTION
Only Trade Registration Executing Participants.
A Trade Registration Executing Participant is a Participant holding the appropriate Trade Registration right.
A participant may Register Block Trades via a Trade Registration Executing Participant.
H.3 TIME OF ARRANGEMENT AND EXECUTION
A Block Trade may be organized only during the Open Session of the Futures Products concerned, as published by
the Operator in these Trading Procedures and from time to time by Notice.
H.4 BLOCK TRADING CONTRACTS
All Products which have been defined as Block Trade Products by the Operator. Block Trades may be executed in
Predefined Strategies as listed on the NLX Market. Minimum Volume Thresholds for Block Trades are detailed
below.
H.5 FAIR VALUE
Participants must ensure that the price of any Block Trade being quoted represents a fair cost for that trade. A
Participant quoting a price for a block trade must make it clear to the potential counterparty(ies), that the price is
a Block Trade price.
H.6 REPORTING REQUIREMENTS
Once verbal agreement of the Block Trade has been reached the Block Trade Executing Participant must submit
the details of the Block Trade, to the Operator via the Trade Registration Facility as soon as practicable, however:
(a) If the Block Trade is not dependent on the execution of a related transaction in the OTC markets or on any
other trading venue; within five minutes
(b) If Block Trades are dependent on the execution of a related transaction in the OTC market or on any other
trading venue; or during extremely volatile market conditions; within fifteen minutes.
In the event that a Participant, due to no technical connectivity is unable to electronically report a Block Trade
Order directly or via their Independent Software Vendor (ISV), the Registration Details of the Order may be
submitted to be Trade Registration Facility via the NLX Block Trade Request Form. This form is available on
www.nlx.co.uk. All fields in this form must be completed and emailed to [email protected]. After the
Participant has also telephoned NLX market operations to validate the Registration Details, NLX market operations
shall submit the trade on behalf of the participant to the Trade Registration Facility.
41 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
H.7 REGISTRATION DETAILS
For each Block Trade Order, the following details must be recorded via the Trade Registration system, by the Block
Trade Executing Participant:
• Name of Contract
• Recognized Combination (if applicable)
• Price by leg
• Volume by leg
• Time of organization of Trade
• Name of authorized Participant submitting the trade
• Match ID
All information to be retained by the executing Participant for 5 years.
H.8 TRADE CONFIRMATION
The Block Trade must be authorized and confirmed by an NLX Official.
H.9 TRADE PUBLICATION
The Block Trade will be matched using the Executing Participant’s ITR Key.
The following information will be published by NLX when the Block Trade has been reported and approved:
• Contract(s)
• Price by leg
• Volume by leg
Details of the Block Trade will be broadcast on [NLX] and through Quote Vendors, with a Trade Type of 1.
The cumulative volume of Block Trades executed during the day for each contract will also be published.
H.10 ACCOUNTABILITY
If the Block Trade is later found to contravene the Rule Book or the Trading Procedures, disciplinary proceedings
may be instituted.
42 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
H.11 MINIMUM VOLUME THRESHOLDS FOR BLOCK TRADES
EURIBOR® FUTURES Outrights in the first year (white months) 450
Outrights in the second year (red months) 200
Outrights in the third year (green months 150
Outrights in the fourth year (blue months) 50
Outrights in the fifth year (gold months) 10
Outrights in the sixth year (purple months) 10
Strategies 150% of the highest leg
STERLING FUTURES Outrights in the first year (white months) 400
Outrights in the second year (red months) 200
Outrights in the third year (green months) 150
Outrights in the fourth year (blue months) 50
Outrights in the fifth year (gold months) 10
Outrights in the sixth year (purple months) 10
Strategies 150% of the highest leg
BOND FUTURES Schatz 250
Bobl 100
Bund 50
Gilt 10
Strategies 150% of the highest leg
Quarterly calendar roll 20
To support the development of the COB of the NLX futures products, the above block trade thresholds will be
reviewed on a monthly basis with the Financial Conduct Authority (FCA) and increased in line with any increase in
COB liquidity. Participants will be notified of any changes to the block trade thresholds in a timely manner.
Participants must not aggregate separate Orders to meet the minimum volume thresholds.
43 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
I APPENDIX: ASSET SWITCH
I.1 ASSET SWITCH DEFINITION
Asset Switch Trades allow Participants to take opposing positions in, or transfer exposure between, two different
Products simultaneously.
I.2 AUTHORIZATION FOR EXECUTION
Only Trade Registration Executing Participants.
A Trade Registration Executing Participant is a Participant holding the appropriate Trade Registration Rights.
A Participant without Trade Registration Executing Rights may Register Asset Switch Trades via a Trade Registration
Executing Participant.
I.3 TIME OF ARRANGEMENT AND EXECUTION
An Asset Switch may be organized only during the Open Session of the Futures Products concerned, as
communicated by the Operator in these Trading Procedures and from time to time by Notice. Asset Switch Trades
may not be executed in a delivery / expiry month that has never traded.
Asset Switch Trades may not be executed on the Last Trading Day of any delivery / expiry month.
I.4 ASSET SWITCH CONTRACTS
The Asset Switch Facility is available for all interest rate Futures Products listed on the NLX market.
I.5 FAIR VALUE
Prices allocated to the individual legs must be at the level trading in the relevant markets at the time, and within
the high / low recorded in the previous 30 minutes, or within the ‘fair value ‘ high and low as determined by the
Operator.
I.6 REPORTING REQUIREMENTS
Once verbal agreement of the Asset Switch has been reached. The Trade Registration Executing Participant must
submit the details of the Asset Switch, to the relevant NLX Market official via the Trade Registration Facility as
soon as practicable and no less than five minutes before the close of trading in the relevant contracts.
I.7 HEDGE RATIOS
Products of the same duration: Notional value (currency adjusted if applicable).
Products of different durations: Ratio of basis point values.
44 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
I.8 REGISTRATION DETAILS
For each Asset Switch Order, the following details must be recorded via the Trade Registration system, by the
Trade Registration Executing Participant:
• Name of Products
• Price of each Product
• Volume of each Product
• Time of receipt of Order
• Time of organization of Trade
• Name of authorized Participant submitting the Trade
All information to be retained by the executing Participant for 5 years.
I.9 TRADE CONFIRMATION
The Asset Switch Trade must be authorized and confirmed by an NLX Official.
I.10 TRADE PUBLICATION
The Asset Switch Trade will be matched using the Trade Registration Executing Participant’s ITR Key.
The following information will be published by NLX: when the Asset Switch Trade has been reported and
approved.
• Name of Products
• Price of each Product
• Volume of each Product
Details of the Asset Switch Trade will be broadcast on NLX and through Quote Vendors, with a Trade Type of 13 for
Futures Products.
I.11 ENFORCEMENT
If the Asset Switch is later found to contravene the NLX Rule Book or the Trading Procedures, enforcement
proceedings may be instituted.
45 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
J APPENDIX: EXCHANGE FOR PHYSICAL (EFP) TRADES
J.1 EXCHANGE FOR PHYSICAL (EFP) DEFINITION
An EFP Trade allows Participants to arrange and execute Trades involving a Futures Product and a corresponding
‘physical’ leg. The corresponding physical leg can be a variety of cash and OTC (Over-The-Counter) assets – which
include:
• Deliverable cash bonds
• Non-deliverable cash bonds
• Forward Rate Agreements (FRA)
• Vanilla OTC swaps
• Sale and Repurchase Agreements (Repos)
• OTC interest rate options
• Non NLX listed Short Term Interest Rate or Long Term Interest Rate Futures
J.2 AUTHORIZATION FOR EXECUTION
Only Trade Registration Executing Participants.
A Trade Registration Executing Participant is a Participant holding the appropriate Trade Registration right.
A Participant may register EFP Trades via a Trade Registration Executing Participant.
J.3 TIME OF ARRANGEMENT AND EXECUTION
An EFP Trade may be organized only during the continuous matching sessions of the Futures Products concerned,
as published by the Operator in these Trading Procedures and from time to time by notice.
EFP Trades may not be executed in a delivery / expiry month that has never traded.
EFP Trades may not be executed on the Last Trading Day of any delivery / expiry month.
J.4 FAIR VALUE
Prices allocated to the individual legs must be at the level trading in the relevant markets at the time, and within
the high / low recorded in the previous 30 minutes, or within the ‘fair value‘ high and low as determined by the
Operator.
J.5 REPORTING REQUIREMENTS
Once verbal agreement of the EFP has been reached, the Trade Registration Executing Participant must submit the
details of the EFP to the relevant NLX Market official via the Trade Registration Facility as soon as practicable and
no more than fifteen minutes from the time at which the EFP Trade was organized.
EFP Trades must be submitted no less than five minutes before the close of trading in the relevant Products.
46 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
J.6 HEDGE RATIOS
Appropriate hedge ratios must be used depending on the type and combination of legs of the EFP Trade. I.e. a
ratio of basis point values, a duration based method, a combination of price factor and duration and Notional
value (currency adjusted if applicable).
J.7 REGISTRATION DETAILS
For each EFP Trade, the following details must be recorded via the Trade Registration system, by the Trade
Registration Executing Participant:
• Name of Product
• Price of Product
• Volume of Product
• Time of receipt of Order
• Time of organization of Trade
• Name of authorized Participant submitting the Trade
• An individual reference number for the ‘cash’ side of the EFP Trade
The Trade Registration Executing Participant must retain, for potential future audit, the key defining details of the
‘cash’ side of the EFP Trade.
All information to be retained by the executing Participant for 5 years.
J.8 TRADE CONFIRMATION
The EFP Trade must be authorized and confirmed by an NLX Official.
J.9 TRADE PUBLICATION
The EFP Trade will be matched using the Trade Registration Executing Participant’s ITR Key.
The following information will be published by NLX: when the EFP Trade has been reported and approved:
• Name of Product
• Price of Product
• Volume of Product
Details of the EFP Trade will be broadcast on [NLX] and through Quote Vendors, with a Trade Type of 2.
J.10 ENFORCEMENT
If the EFP Trade is later found to contravene the Rule Book or the Trading procedures, enforcement proceedings
may be instituted.
47 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
K APPENDIX: PROCEDURE FOR UNAUTHORISED USE OF
USERNAMES AND PASSWORDS
If a Participant becomes aware of:
1. Any unauthorised disclosure or use of any password assigned to it;
2. Any unauthorised access to the System; or
3. The need to deactivate any password assigned to it,
One of the Participant’s Designated Representatives must notify the Operator’s Market Operations Department on
+44 20 3753 2075 immediately.
The Operator will, in a timely manner, take action in accordance with the Participant’s request which might
include one or more of the following:
1. Disconnecting the port
2. Temporarily blocking access to the port
3. Changing the username and password on the port
4. Cancelling the port
5. Cancelling open Orders
6. Running an execution report
48 NLX TRADING PROCEDURES / VERSION 1.7 (JULY 2016)
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