Schedule Update

Cboe Europe: MiFID II Tick Size changes, effective 2nd & 3rd January, 2018 - UPDATE

December 20, 2017 14:24:16

Dear Cboe Europe Equities Participants
Please be advised that effective immediately, MiFID II tick size tables are available in PRODUCTION for test instruments and are present in the Cboe symbol reference files.

The Test instruments are as follows:

Description

UMTF Name

ISIN

currency

mic

Tick Type

Test Symbol for Unit 7

ATESTd

DETEST700000

EUR

XETR

mifid_6

Test Symbol for Unit 1

ATESTl

GBTEST100003

GBX

XLON

mifid_6

Test Symbol for Unit 4

ATESTp

FRTEST400000

EUR

XPAR

mifid_1

Test Symbol for Unit 2

MTESTl

GBTEST200001

GBX

XLON

mifid_1

XAMS TEST SYMBOL

TESTa

NLTEST000004

EUR

XAMS

mifid_6

XBRU TEST SYMBOL

TESTb

BETEST000007

EUR

XBRU

mifid_1

XCSE TEST SYMBOL

TESTc

DKTEST000007

DKK

XCSE

mifid_2

XETR TEST SYMBOL

TESTd

DETEST000005

EUR

XETR

mifid_6

XMCE TEST SYMBOL

TESTe

ESTEST000008

EUR

XMCE

mifid_2

XHEL TEST SYMBOL

TESTh

FITEST000009

EUR

XHEL

mifid_2

XDUB TEST SYMBOL

TESTi

IETEST000000

EUR

XDUB

mifid_3

XLON TEST SYMBOL

TESTl

GBTEST000005

GBX

XLON

mifid_3

MTAA TEST SYMBOL

TESTm

ITTEST000003

EUR

MTAA

mifid_3

XOSL TEST SYMBOL

TESTo

NOTEST000001

NOK

XOSL

mifid_4

XPAR TEST SYMBOL

TESTp

FRTEST000008

EUR

XPAR

mifid_4

XSTO TEST SYMBOL

TESTs

SETEST000008

SEK

XSTO

mifid_4

XLIS TEST SYMBOL

TESTu

PTTEST000004

EUR

XLIS

mifid_6

WBAH TEST SYMBOL

TESTv

ATTEST000001

EUR

XWBO

mifid_5

CHIX TEST SYMBOL

TESTx

BXTEST000004

GBX

CHIX

mifid_5

XVTX TEST SYMBOL

TESTz

CHTEST000003

CHF

XVTX

mifid_5

Availability and Timing
Whilst Symbol Reference Data can be retrieved at any time, we recommend Participants retrieve the files from 0700 London time daily to ensure receipt of the most up to date data. Any significant updates after 0700 London time will be accompanied by a Trade Desk Notice.

In addition, we wish to remind Participants of changes in behaviour of orders and trade reports processed by our platforms as a result of the MiFID II regulation coming into force in January 2018. Orders and trade reports may be rejected in some scenarios as a result of these upcoming changes. Details of the changes are outlined in the CBOE EUROPE MIFID II GO LIVE GUIDANCE NOTE.

All current and historical Cboe Europe Equities notices, including symbol universe updates, are available online at http://markets.cboe.com/europe/equities/notices/.

Please contact the Trade Desk or your Account Manager if you have any questions.

Trade Desk
Cboe Europe Equities
11 Monument Street | London, EC3R 8AF
T. +44 207 012 8901
E: [email protected] | cboe.com >

From: Trade Desk EU [mailto:[email protected]]
Sent: 13 December 2017 14:12
To: Trade Desk EU >
Subject: Cboe Europe: MiFID II Tick Size changes, effective 2nd & 3rd January, 2018

Dear Cboe Europe Equities Participants
Introduction:
Tick sizes for equities will be harmonised across the EU as a result of MiFID II through the introduction of a tick size table that all instruments will adhere to. This table contains six liquidity bands which define the minimum tick size allowable for each instrument. The liquidity bands are based on the average daily number of transactions (ADNT) executed on the most relevant market (i.e. the market with the most liquidity).

For non-EU equities (Swiss instruments), the applicable liquidity band will be determined by the ADNT on the most liquid venue for that instrument within the EU. Any trading activity conducted outside the EU will not be considered for these purposes. Whilst Swiss venues will align their tick size regime with MiFID II by using the same tick size table, the ADNT used will be based on the most relevant market within Switzerland.

System Impact:
Cboe will continue to follow the home markets on Tuesday 2nd January 2018 to determine the tick size tables to use. Please note that some markets may not switch over to using the MiFID II tick tables until the following day.

From Wednesday 3rd January 2018, the tick size tables for instruments in the Cboe symbol reference files will be based on ADNT as defined by MiFID II, apart from those for ETCs and ETNs, where the tick tables used by the home market will continue to be followed.

Note that the tick sizes used for instruments that trade on EU and Swiss venues may differ. This could cause one or both sides of the quotes Cboe receives from the Swiss market to not be on the same tick increment as Cboe. Participants should be aware of the following characteristics and order type restrictions for Swiss symbols:

* Execution prices may not be on a mid Cboe tick for Periodic Auctions, Cboe LIS, hidden and dark book trades.

* The following order types will be rejected:

o Primary Peg Orders (visible)

o Market Peg Orders (visible)

o Offset Peg Orders (visible)

o Midpoint Alt Peg Orders (hidden)
Refer to the MiFID II Go-Live Guidance Note for further information on Cboe's go-live plans.

Testing:
Tick size tables based on ADNT as defined by MiFID II and the Swiss symbol characteristics and order type restrictions described above will be available for testing in the BXE and CXE Certification (UAT) environments from Monday 18th December 2017.

Production:
This behaviour will take effect in the BXE and CXE Production environments on Tuesday 2nd January 2018 and Wednesday 3rd January 2018 as per the system impact description above.

All current and historical Cboe Europe Equities notices, including symbol universe updates, are available online at http://markets.cboe.com/europe/equities/notices/.

Please contact the Trade Desk or your Account Manager if you have any questions.

Trade Desk
Cboe Europe Equities
11 Monument Street | London, EC3R 8AF
T. +44 207 012 8901
E: [email protected] | cboe.com >