JANUARY 2017

Millennium Exchange – Oslo Børs cash equities and fixed income markets

OSLMIT Oslo Børs Market Model Nibor Issue 1.2

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CONTENTS

IMPORTANT NOTE .......................................................................................................................................................... 4

DISCLAIMER .................................................................................................................................................................... 4

CHANGE LOG .................................................................................................................................................................. 5

INTRODUCTION ...................................................................................................................................................... 6

PURPOSE ......................................................................................................................................................................... 6 READERSHIP ..................................................................................................................................................................... 6 DOCUMENT SERIES............................................................................................................................................................. 6 OTHER RELEVANT DOCUMENTATION ..................................................................................................................................... 7 ENQUIRIES AND COMMENTS ................................................................................................................................................ 7 DEFINITIONS ..................................................................................................................................................................... 8

PARTICIPANT STRUCTURE - USERS ......................................................................................................................... 9

FIRM (MEMBER ID) ........................................................................................................................................................... 9 NODE .............................................................................................................................................................................. 9 USER/TRADER GROUP ...................................................................................................................................................... 10 TRADER ID, EXECUTING TRADER ID, INVESTMENT DECISION MAKER ID AND CLIENT ID ..................................................................... 10 TRADE FLOW TYPE ........................................................................................................................................................... 11

MARKET STRUCTURE ............................................................................................................................................ 12

INSTRUMENT TRADING STATUS ........................................................................................................................... 13

REGULATORY SUSPENSION (TRADING HALT) ......................................................................................................................... 13

THE TRADING DAY ................................................................................................................................................ 14

GENERAL DESCRIPTION ..................................................................................................................................................... 14

TICK SIZES ............................................................................................................................................................. 14

LOT SIZE ............................................................................................................................................................... 14

ORDERS ................................................................................................................................................................ 15

DESCRIPTION OF ORDER TYPES ........................................................................................................................................... 15 DESCRIPTION OF TIME QUALIFIERS ...................................................................................................................................... 15 OTHER INFORMATION CONNECTED WITH AN ORDER .............................................................................................................. 15

Auto Cancel ..................................................................................................................................................... 16 ORDER MANAGEMENT ..................................................................................................................................................... 16 ORDER PRIORITY (EXECUTION) ........................................................................................................................................... 16

MARKET INFORMATION ....................................................................................................................................... 17

PROTOCOL ..................................................................................................................................................................... 17 CLOSING PRICE................................................................................................................................................................ 17 INFORMATION PUBLISHED ................................................................................................................................................. 17

APPENDIX 1 - SESSIONS ........................................................................................................................................ 18

SESSIONS ..................................................................................................................................................................... 18 SESSIONS FOR ORDER ENTRY ........................................................................................................................................... 18 ADMIN ........................................................................................................................................................................ 18 HALT ........................................................................................................................................................................... 18 ORDER ENTRY ............................................................................................................................................................... 18 POST CLOSE (ON-BOOK) ................................................................................................................................................. 18

Sessions for Off book (Fixing Signal) ........................................................................................................... 18 Post Close (off-book) ................................................................................................................................................ 18

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APPENDIX 2 – SEGMENT AND MIC CODES .................................................................................................................... 19

APPENDIX 3 – ISSUE UPDATES ...................................................................................................................................... 20

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IMPORTANT NOTE

This document has been produced by Oslo Børs to assist customers in the use of Millennium Exchange’s functionality for indicative deposit rates, average indicative deposit rates and the Norwegian Inter Bank Offered Rate (Nibor). The main body of the document includes generic descriptions of functionality which is available in Oslo Børs implementation of the Millennium Exchange trading system. The configuration of the Nibor-market is included in the separate document OSLMIT Oslo Børs Business Parameters – Nibor If you have any general queries relating to this document, please email: technicalsupport@oslobors.no Further copies of this document can also be downloaded from the Oslo Børs website http://www.oslobors.no/ob_eng/Oslo-Boers/Trade/Trading-systems

DISCLAIMER

This document has been prepared on the basis of the best information available. Oslo Børs has taken reasonable efforts to ensure that the information in this publication is correct at the time of publication, but shall not be liable for decisions made in reliance on it. Oslo Børs will seek to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only. This document does not form part of the contractual documentation between the Oslo Børs and its customers.

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CHANGE LOG

This document can be updated at any time, and has been through the following iterations:

Issue Date Description

1.0 9 September Initial document release 1.1 10 November 2014 Changed the name of the low latency market data feed

1.2 1 January 2017 Amended to reflect that order details and average indicative deposit rates will no longer be published on market data

Please note that only the latest issue of this document will be available from the Oslo Børs website. Details of the changes made in each issue of the document are described in the appendix. Changes from the previous issue of the document are indicated by a left margin bar.

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INTRODUCTION

On behalf of Norske finansielle referanser AS (NoRe) Oslo Børs has the role as the calculation agent of Nibor-fixing rates. Oslo Børs uses configurable existing functionality in the Millennium Exchange trading platform in order to interact with the panel banks for Nibor.

PURPOSE

The purpose of this document is to describe the main features of the market model for the Oslo Børs Nibor market in the Millennium trading system.

READERSHIP

This document is particularly relevant to trading and technical staff at Oslo Børs’ member firms, panel banks, ISVs and vendors and other interested market participants.

DOCUMENT SERIES

This document is a part of a series of documents providing a holistic view of full trading and information services available from Oslo Børs on the Millennium Exchange platform. The current series of documents are outlined below: General OSLMIT Oslo Børs and Burgundy Market Model Equities OSLMIT Oslo Børs and Burgundy Business Parameters – Equities OSLMIT Oslo Børs and Burgundy Market Model Fixed Income OSLMIT Oslo Børs and Burgundy Business Parameters – Fixed Income OSLMIT Oslo Børs Market Model Nibor (This document) OSLMIT Oslo Børs Business Parameters Nibor Trading OSLMIT 201 Guide to New Trading System OSLMIT 202 FIX Trading Gateway (5.0 SP2) OSLMIT 203 Native Trading Gateway OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) Market Data OSLMIT 302 FIX/FAST Gateway OSLMIT 303 MITCH Gateway OSLMIT 306 FIX/FAST News and Indices Gateway OSLMIT 401 Reference Data OSLMIT Derived Information Guidelines

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Other OSLMIT 501 Guide to Testing Services OSLMIT 502 Guide to Application Certification OSLMIT 504 Guide to Dress Rehearsals (only relevant to the migration project) OSLMIT 505 Guide to Go-live (only relevant to the migration project) OSLMIT 601 Guide to Trading Services Disaster Recovery OSLMIT 602 Network Guide OSLMIT 604 Technical Parameters OSLMIT 605 Live Environment Connectivity OSLMIT 606 CDS Environment Connectivity OSLMIT 808 Reject Codes Oslo Børs Record Keeping The latest version of this documentation series can be found on: http://www.oslobors.no/ob_eng/Oslo-Boers/Trading/Trading-systems/Millennium-Exchange/Market-model

OTHER RELEVANT DOCUMENTATION

Technical specifications for Millennium can be found on the Oslo Børs website at the link: http://www.oslobors.no/ob_eng/Oslo-Boers/Trading/Trading-systems/Millennium-Exchange/Technical-documentation

ENQUIRIES AND COMMENTS

For enquiries regarding this document, please contact: Email: fixedincome@oslobors.no

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DEFINITIONS

Some terms that will be used throughout the document:

Term Description Nibor Norwegian Inter Bank Offered Rate (Nibor). Nibor is calculated

for a number of durations specified and regulated through Finans Norge’s Nibor Rules.

Finans Norge Association representing Norwegian financial organizations.

Norske finansielle referanser AS (NoRe)

Company owned by Finans Norge and administrator of Nibor

Panel bank A market participant enabled to submit orders to the indicative deposit rate instruments in the Nibor market in Millennium Exchange.

Indicative deposit rate instruments

Fixed income-instruments registered at the Nibor segment in Millennium Exchange. The orderbooks are reversed as the submitted orders are yield based. Only panel banks are enabled to submit orders to the indicative deposit rate instruments. At Nibor-fixing time (as described in the Nibor rules) the panel banks’ current contribution to the indicative deposit rate instruments represents the base of Nibor fixing rate.

Indicative deposit rates Orders registered in indicative deposit rate instruments by panel banks during the day represent indicators of the panel banks’ offered rate. These are not distributed on market data.

Nibor instruments Index-instruments made for distribution of the official Nibor fixing rates. Nibor is calculated and distributed once a day, at time of Nibor-fixing, per duration. Updates on the Nibor instruments are distributed via the FIX/FAST News and Index gateway. The method of calculation is described in Finans Norge’s Nibor-rules.

Nibor fixing rate The daily value distributed on a Nibor instrument.

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PARTICIPANT STRUCTURE - USERS

Each panel bank’s connections to the Millennium Exchange system will be configured at three levels: Firm (Member ID) Node User / Trader Group The drawing below illustrates how the connections are related:

FIRM (MEMBER ID)

A Member ID will be assigned to each panel bank. The Member ID will be unique in the Millennium system. There is no configuration of privileges or technical connectivity at this level. One member may have multiple Nodes connected.

NODE

Each Node may be configured with privileges e.g. access to different markets (equities or fixed income, Nibor or all) segments, and clearing arrangements. All users which are connected to one node will inherit the privileges defined for that node. However, Oslo Børs will normally assign all trading privileges to each User/Trader Group.

Member ID

Node

FIX Trading GW(CompID)

TraderGroup(entered via

FIX)

Native tradinguser

(TraderGroup)

FIX PostTradeuser

FIX DropCopyuser

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USER/TRADER GROUP

Oslo Børs will assign all trading privileges and configurations at the Trader Group level. This includes • Order entry privileges • Order management privileges. Separate Trader Group can be used for giving panel banks access to

restricted order books for indicatice deposit rates. • Access to private data (orders) • Clearing arrangements (No Nibor clearing)

Further details about the participant setup, is included in OSLMIT 201 Guide to New Trading System, see section 1.3. Each panel bank will have to set up their own structure of trader groups to suit their needs. The detailed configuration of trader groups and privileges has to be agreed between each member/panel bank and Oslo Børs as a part of enabling the member connections.

TRADER ID, EXECUTING TRADER ID, INVESTMENT DECISION MAKER ID AND CLIENT ID

The messages to add orders in the Millennium system include a field for Trader ID. Oslo Børs has allocated the first character of that field to identify the trade flow type (see section 2.5). The remaining (10) characters are optional and available for the member’s own use. It is strongly recommended that the members include a user id with the orders, because it makes it easier for i.a. Market Surveillance to contact the right person directly when needed1. Mandatory fields are included to provide the short codes for Executing Trader ID, Investment Decision Maker ID and Client ID for each order. The short code to national identity code/LEI mappings should be provided to Oslo Børs by the end of the trading day, see Oslo Børs Record Keeping for further details.

1 In MiFID II it has been proposed to make it mandatory to include the trader ID with all order entries. The status of this proposal is unknown at the time of writing.

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TRADE FLOW TYPE

It is mandatory to identify the trade flow type for each order submitted to Oslo Børs. The trade flow type is defined as:

Trade flow type identifier Name Definition

0 DMA/SA Direct Market Access (DMA) or Sponsored Access (SA). For detailed definitions, see section 1.3

Any character other than 0 (including <space>

Other All trade flow excluding DMA/SA.

When deciding the appropriate category, emphasis should be put on how the order flow was received by the member firm.

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MARKET STRUCTURE

From a business perspective, the Oslo Børs Millennium will consist of three levels: • Market: Nibor. • Segment: A Segment is a set of instruments where common features apply, e.g. tick size, how the

trading day is configured etc. Segment is formally not a level in Millennium. However, for structural purposes, segment is kept as a parameter to group instruments that trade using a common set of trading parameters. Oslo Børs will for each instrument distribute the segment to which it belongs via the reference data service, please see OSLMIT 401 Reference Data on http://www.oslobors.no/ob_eng/Oslo-Boers/Trade/Trading-systems/Millennium/Technical-documentation

• Instrument: An Instrument is a tradable security. Each Instrument will be linked to a Segment and each Instrument will have a unique InstrumentID2. If an ISIN is traded in more than one segment, each instance of the instrument will have a unique InstrumentID assigned to it but they will continue to have the same ISIN assigned to them.3

An instrument may be moved between segments in interday basis. Please note that the technical structure of the instruments and instrument parameters are different from the above. The technical details are described in OSLMIT 201 Guide to New Trading System. The segments and the Market Identifier Codes (MIC) are included in Appendix 2 – Segments and Market Identifier Codes.

2 On FIX this corresponds to tag 48 SecurityID 3 A Nibor-instrument is assigned to both an order book trading cycle and an off book trading cycle, however a trader only may register orders as the off book trading cycle will move directly into the post close session. This information is only relevant for technical viewers.

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INSTRUMENT TRADING STATUS

Market supervision may decide to impose a Matching Halt by changing the instrument status to halt. In this scenario, the instrument will be moved to a Halt session. The instrument halt status will be carried forward to the next trading day, until it is changed by market supervision. When the instrument is in halt status, orders will not be executed and orders may not be added or amended. However, members may cancel existing orders, and GTT orders are expired in accordance with their time limit. The reporting of manual trades is not impacted by the instrument halt status. When the instrument status is changed back to active and the instrument will be moved to the scheduled session.

REGULATORY SUSPENSION (TRADING HALT)

Market supervision may impose a Regulatory Suspension (Trading halt) in an instrument. The following events will take place:

• All orders in the instrument are expired • The instrument’s status is set to suspended

It is not possible to enter any orders in a suspended instrument. When the suspension is lifted the instrument status is changed back to active and the instrument will be moved to the scheduled session.

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THE TRADING DAY

GENERAL DESCRIPTION

The Millennium trading day is defined and controlled by a unique set of trading sessions that are assigned to the instruments and which change during the course of the trading day. On each session change updates are disseminated for each of the instruments covered by that trading session. The various sessions are further described in section10. The trading session for Nibor in Millennium are set up in accordance with the tables in OSLMIT Oslo Børs Business Parameters – Nibor. Market Operations may extend or shorten sessions.

TICK SIZES

The tick size governs the minimum tick size that can be entered on orders submitted to the order book. All orders submitted must be in multiples of the tick size. The orders will be based on the yield.

Description Tick size

For all orders 0.01

LOT SIZE

Lot size will be defined as 1 for each instrument. Orders entered with a size larger than the lot size must be submitted with order sizes in multiples of the lot size, i.e. fractions will be rejected, although volume will be an irrelevant part of the orders in this segment. Off-book trade reporting (manual trades) will not be permitted.

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ORDERS

DESCRIPTION OF ORDER TYPES4

The following order types will be available for fixed income trading. Configuration details for the various segments are included in OSLMIT Oslo Børs Business Parameters – Nibor.

Order type Description Limit order A limit order is used to trade at or better than its specified limit

price. The full volume of the order is displayed on entry unless it partially executes on order entry.

DESCRIPTION OF TIME QUALIFIERS

The following time qualifiers will be available for fixed income trading. Configuration details for the various segments are included in OSLMIT Oslo Børs Business Parameters – Nibor.

Time qualifier Description Day

Day-orders are expired upon initiating market close on the day they are submitted.

OTHER INFORMATION CONNECTED WITH AN ORDER

Dealing Capacity For each order entered the participant must state the capacity in which it is trading; i.e. Agency or Principal. Principal may be used for orders in this segment. Clearing account type Clearing Account is a mandatory field for orders and trades and the following options are available: House, Client. House may be used for orders in this segment. Account The Account field is an optional field that can be left blank on the entry to Millennium. For the trading system, this is a pass-through field and is not processed.

4 When registering orders, FIX 5.0 must be used, please see a description in OSLMIT 202 Fix Trading Gateway on http://www.oslobors.no/ob_eng/Oslo-Boers/Trade/Trading-systems/Millennium/Technical-documentation

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AUTO CANCEL

Each user (Trader Group) may be configured so that any active orders will be automatically cancelled if the user’s connection to the trading system is lost. The configuration options are:

• Do not cancel on disconnect • Cancel on disconnect • Cancel on disconnect, but exclude GTC orders • Do not cancel on logout • Cancel on logout • Cancel on logout, but exclude GTC orders

Additionally, a Disconnect Delay may be specified, which defines the number of milliseconds the system will wait for the user to connect back before expiring all open orders submitted by the user. When submitting an order, the user may specify for that order that it should not be cancelled on disconnect / logout, even if Auto Cancel is set ‘on’. The default setup is ‘Do not cancel on disconnect / logout’. The member may specify this setup when a connection enablement is established or amended.

ORDER MANAGEMENT

Open orders may be cancelled or amended by the panel bank who submitted the order. On request by the panel bank, Market Supervision can cancel a panel bank’s orders. This option is intended for emergency use only, and should not be relied upon as a regular practice. The panel bank may amend the following attributes of an open order:

• Limit price

ORDER PRIORITY (EXECUTION)

Nibor orders are quoted in yield (inverse orderbook). No executions will occur in indicative deposit rate instruments. The orderbook will not be distributed on market data.

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MARKET INFORMATION

PROTOCOL

Market information will be distributed on FAST Indices.5

CLOSING PRICE

No closing price is calculated for indicative deposit rate instruments. The official Nibor will use closing prices.

INFORMATION PUBLISHED

The following information is published6,:

Description Fixed income members only Nibor fixing instruments

• InstrumentID • Nibor fixing rate (value) • Date and time

5 Please see OSLMIT 306 FIX/FAST News and Indices Gateway on http://www.oslobors.no/ob_eng/Oslo-Boers/Trade/Trading-systems/Millennium/Technical-documentation for further information. 6 Nibor indices are published on the OB Index Gateway, please see OSLMIT 306 FIX/FAST News and Indices Gateway.

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APPENDIX 1 - SESSIONS

SESSIONS

For each instrument there are two sessions simultaneously, one for order entry and a separate for manual trade reports. Below is a general description of these.

SESSIONS FOR ORDER ENTRY

For order entry, the sessions are described in OSLMIT Oslo Børs Business Parameters – Nibor.

ADMIN

Members may not register new orders. Existing orders cannot be amended nor cancelled by members. The exchange may cancel existing orders.

HALT

The exchange may manually impose halt sessions. During a halt session order entry is not permitted. Members may cancel orders, but orders may not be amended. No execution is taking place.

ORDER ENTRY

Orders may be registered, amended and cancelled. No execution is taking place.

POST CLOSE (ON-BOOK)

Execution of orders cannot be carried out during this session. New orders cannot be submitted while existing orders may be cancelled both by members and by the Exchange. Only the Exchange may amend orders.

SESSIONS FOR OFF BOOK (FIXING SIGNAL)

The scheduled session is described in OSLMIT Oslo Børs Business Parameters – Nibor.

Post Close (off-book)

The start time of Post Close will be published on market data and will mark the signal for official Nibor fixing for each indicative deposit rate instrument.

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APPENDIX 2 – SEGMENT AND MIC CODES

The following segments apply for Oslo Børs:

Segment name

MIC Code on reference data file

Description

Nibor NIBR NIBO This segment will support order entry in indicative deposit rate instruments. Automatic executions will not be supported.

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APPENDIX 3 – ISSUE UPDATES

This appendix describes the details of the changes made in each issue of this document. Issue 1.0 – Released 9 September 2013 Initial release of the document. Issue 1.1 – Released 10 November 2014 Changed the name of the low latency market data feed. Issue 1.2 – Released 1 January 2017 Amended relevant sections to reflect that order details and average indicative deposit rates will no longer be published on market data.

For requests, please contact: Secondary Market Department

annenhandsmarkedet@oslobors.no

www.oslobors.no