inet nordic – nordic@mid

© Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved.

INET Nordic – Nordic@Mid

September 30, 2010

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Introduction of Nordic@Mid• NASDAQ OMX Nordic will introduce a separate continuous

crossing of reference price pegged non-displayed orders as a complement to the central order book. Nordic@Mid enables automatic execution for orders that are large but do not meet the MiFID Large in Scale criteria.

• Nordic@Mid orders are non-displayed, and they are executed solely against other Nordic@Mid orders at the midpoint of NASDAQ OMX Nordic’s central order book’s BBO (Best Bid and Offer).

- For Norwegian shares admitted to trading in NASDAQ OMX Stockholm, Oslo Börs BBO will be used.

• Nordic@Mid covers NASDAQ OMX Nordic cash equity markets in Stockholm, Helsinki, Copenhagen and Iceland.

• Launch date in INET Production is November 15, 2010.- For Norwegian shares, Nordic@Mid functionality will be

introduced in Q1/2011. Details and time schedule will be communicated later.

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Disclaimer: Launch is subject to the final NASDAQ OMX Nordic Member Rules approval in Finland. Nordic@Mid functionality has received CESR and local Nordic FSAs approval in all countries.


Highlights of Nordic@Mid

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►Covers NASDAQ OMX Nordic cash equity markets in Copenhagen, Helsinki, Iceland and Stockholm.

►Nordic@Mid orders are non-displayed.

►Separate, publicly disclosed matching algorithm using INET technology.

►All orders are priced and executed at the midpoint of Reference Price.

►Distinction between Nordic@Mid orders and orders in the central order book.

►Minimum order size - criteria supports the execution of large orders.

►Minimum acceptable quantity supported to avoid partial executions.

►Limit price supported as price cap / floor.

►Post trade publishing real time via the public NASDAQ OMX feed.

►Regulated Market with NASDAQ OMX Nordic Trading Surveillance.

►Nordic@Mid is included in the established membership in NASDAQ OMX Nordic exchange/s – automatic access without additional requirements.


Post trade transparency real time via public feed

Overview of the functionality

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Midpoint of BBO

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Trade

Trade5

Trading statistics

Clearing

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Displayed

Central order bookBest bid Best offer

Buy order

Buy order

Buy order

Nordic@Mid sell order

Non-displayed

Nordic@Mid crossingB 10000 S 50002

Sell order

Sell order

Sell order

Nordic@Mid buy order 1

NASDAQ OMX Nordic Market Surveillance


Explanation of the Nordic@Mid functionality 1. Order validation: order entry to Nordic@Mid crossing requires that

1. order book is Nordic@Mid eligible,2. participant sends the order to Nordic@Mid execution,3. order size ≥ the minimum order size: order size is validated using previous closing price of the order book,

4. order is inserted with peg type midpoint, without any offset.

If some of these criteria is not met, the incoming order is rejected. Orders can be entered, modified and cancelled. Order modification by a trader results the order size validation. Supported optional order attributes: MAQ and Limit price. TIF attributes: IOC, GTT, Good-till-market close. Orders are non-displayed: no prices or volumes or any information of the orders will be displayed in public feed. Protocol supporting Nordic@Mid order entry: FIX.

2. Matching: All orders are matched at the midpoint of BBO. Matching rules: participant-time. Matching takes place during continuous trading. Unfilled orders remain in system, even if the minimum size criteria is no longer met because of partial execution.

3. Suspended orders are removed from matching. Orders are suspended by the system if: 1. central order book goes into intra-day auction, or2. the reference price doesn’t exist due to abnormal market conditions (e.g. one-sided markets), or 3. midpoint of reference price is with more than 4 decimals.

Order price is automatically re-priced by the system when the midpoint changes.

4. Total separation: Nordic@Mid orders cannot interact with central order book orders: orders are executed solely against other Nordic@Mid orders.

5. Post trade transparency: Executed trades are published real time via public NASDAQ OMX feed without counterparty information. Trade counterparties are disclosed after market close, except in segments having post trade anonymity. Nordic@Mid executions are marked so that they can be identified. Data feed protocols: GCF-TIP and ITCH.

6. Executed trades update Turnover. They do not update the Last price, High/low, Average price, VWAP or have any effect on BBO in the central order book.

7. Clearing follows the clearing model of the order book/participant: CCP/bilateral and self clearing available.

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Business parameters: Nordic@Mid eligibility and Minimum order size

• Distributed in order books’ reference data.• Nordic@Mid eligible order books:

- Helsinki, Stockholm and Iceland shares: all order books

- Copenhagen shares: OMXC20 order books

• Minimum order size is a configurable currency value

- Helsinki, Stockholm and Iceland:

• Large cap shares50.000 EUR/ 500.000 SEK/ 8.000.000 ISK

• Other than Large Cap shares25.000 EUR/ 250.000 SEK/ 4.000.000 ISK

- Copenhagen OMXC20 shares:

• 2.000.000 DKK

• Size of an order is validated at the time of the order entry or order modification using previous closing price of the order book.

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Comparison between central order book non-displayed orders and Nordic@Mid orders

Nordic@Mid non-displayed orders Non-displayed orders in central order book

Instrument scope Helsinki, Stockholm and Iceland: all shares Copenhagen: OMXC20 shares

All shares.

Minimum order size

Helsinki, Stockholm and Iceland Large Cap shares: 50.000 EUR/ 500.000 SEK/ 8.000.000 ISKHelsinki, Stockholm and Iceland other shares:25.000 EUR/ 250.000 SEK/ 4.000.000 ISKCopenhagen OMXC20 shares:2.000.000 DKK

According to MiFID Large in Scale criteria:50.000 – 500.000 EURdepending on ADT

Reference price pegging

Mid-point peg. Primary peg, Mid-point peg and Market peg.

Offset available No. Yes.

Limit Price Yes. Yes.

MAQ Yes. Yes.

Time-in-Force attributes

Immediate-or-Cancel and day orders. Open orders will be cancelled by the system after market close.

Immediate-or-Cancel, day orders and Good-till-cancelled orders.

Matching price Actual mid-point is always used. No rounding of order price to a less aggressive price.

According to tick size table, ie mid-point peg may round to a less aggressive price.

Matching priority Participant-time. Price-participant-displayed-time.

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Protocol changes and reference data

• FIX- New code to tag 9140 for Nordic@Mid.

- Additional reject code for tag 58.

- Additional field to tag 9882 to specify a Nordic@Mid trade.

• GCF-TIP - Distribution of reference data defining Nordic@Mid order books and

minimum order sizes.

- New Trade Type value to indicate if the trade was executed in the Nordic@Mid order book.

• Nordic ITCH Trade Message (Non-Cross) - Re-defined use of Buy / Sell indicator.

- The Owner field is redefined to provide the Buyer in the trade.

- The Counterparty field is redefined to provide the Seller in the trade.

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Time schedule

• 2010-09-01/ IT Notice 113/10- Initial information on functionality communicated.

• 2010-09-06/ IT Notice 124/10- Protocol specifications for developers available.

• 2010-09-22/ IT Notice 132/10- Clarification to the previously released ITCH specification.

• 2010-09-30/ IT Notice 146/10- Final business parameters communicated.

• 2010-10-11- Next version of INET Nordic Market Model will be published.

• Changed date 2010-10-13- Testing available in INET OTF with selected order books.

• 2010-11-01- Production configuration available in INET OTF.

• 2010-11-15- Production launch.

• For Norwegian shares traded in NASDAQ OMX Stockholm, Nordic@Mid functionality will be introduced in Q1/2011.

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inet nordic – nordic@mid

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