Kepler Cheuvreux BLINK User Guide
Contents
1. 2 Settlement After the aggregation process is completed at the end of the trading day the BLINK Clearing and Settlement Agent creates and sends settlement instructions to settlement agents Settlement is always carried out at the local Central Securities Depository CSD of the securities place of settlement Aggregated settlements are treated as OTC transactions in the local CSDs Regular DVP RVP instructions are generally communicated to the CSD This means that both the BLINK Clearing and Settlement Agent and the Member must send settlement instructions to the CSD These instructions therefore have to match in order to settle Members can ask for a specific report to be set up at the settlement level BLINK User Guide Page 11 14 Pa Kepler e BLINK 4 y Cheuvreux USER GUIDE IX Regulatory Trade Reporting Cr dit Agricole Cheuvreux International Limited BLINK will be responsible for publishing details of all trades carried out within the system All transactions will be reported through the appointed Trade Reporting system listed in the Appendix under Schedule C using the MIC Code BLNK 1 PTM Levy A Member is liable for the payment of The Panel on Takeovers and Mergers levy PTM Levy on behalf of itself or on behalf of its clients in respect of certain transactions in securities where the PTM Levy is applicable It is the obligation of the Member to determine whether the Levy is a2. amp CANCELLATIONS eese nnne nnn aa dana dada dn 12 XI CO HOSTING nent 12 XII t 13 1 SCHEDULE A APPOINTED CLEARING amp SETTLEMENT 0 4 13 2 SCHEDULE B LIST OF 13 3 SCHEDULE C TRADE REPORTING 0 13 4 SCHEDULE D CSD INFORMATION amp FAIL BUY IN SCHEDULE suisses 13 5 SCHEDULE E BLINK CANCELLATION 14 BLINK User Guide Page 4 14 Kepler BLINK USER GUIDE o Cheuvreux BLINK Overview BLINK offers access to the Cheuvreux Group s aggregated pool of liquidity The liquidity originates from KeplerCheuvreux s diversified client base that is made up of sell side buy side and alternative investors BLINK seeks to match buyers and sellers interests in a dark environment BLINK is a Dark Pool as it relies on the Reference Price waiver described in the MiFID regulation concerning its pre trade transparency obligations BLINK will only offer resident orders pegged to one of the three boundaries of the spread best bid midpoint best offer of a reference price the Primary Market Reference Price BLINK will offer two separate order books running on the same IT platform and sharing the same technology A
3. first order book dedicated to midpoint executions only Mid Peg order book second order book dedicated to best bid best offer executions only Best Peg order book The orders will be routed to the correct order book depending on the peg chosen by the clients All trades are settled with Parel SA appointed Clearing amp Settlement Agent listed in the Appendix under Schedule A and reported via the appointed Trade Reporting System listed in the Appendix under Schedule C BLINK offers Neutrality BLINK is operated by Cheuvreux International Limited a fully owned subsidiary of the Kepler Cheuvreux Group a global agency equity broker Anonymity BLINK allows clients to enter large orders into the system without revealing their intentions to the market as a whole Cheuvreux International Limited authorised and regulated by the Financial Conduct Authority FCA is authorised by the FCA to operate a Multilateral Trading Facility MTF A high level description of the workflow and the main players involved is shown on the next page BLINK User Guide Page 5 14 Kepler Cheuvreux BLINK USER GUIDE Member A BLINK Order book 1 mid peg only Blink members Member B Member C Cheuvreux Paris Order book 2 best bid best offer Matching rules summary Matching rules summary Mid peg orders only Best bid or best offer Validity Da
4. K User Guide Page 9 14 Pa Kepler BLINK USER GUIDE o Cheuvreux Vil Confirmation Arrangements 1 Confirmation at the execution level Members will receive a real time FIX Execution Report for each partial execution that occurs against their order 2 Confirmation at the trade level BLINK s Clearing and Settlement Agent is the counterparty to all transactions When two members orders are matched within BLINK BLINK will novate the trade to the appointed clearing and settlement agent guaranteeing anonymity on the platform Settlement takes place in the quoted currency of the stock traded Rights associated with the shares mirror those on the Primary Listing Market for the security at the time of the trade The appointed Clearing and Settlement Agent accepts no responsibility for the allocation of rights associated with a share The standard domestic settlement location and cycle will be used The Clearing and Settlement Agent as a counterparty to all trades carried out within BLINK is able to offer two types of settlement aggregation to Members Order level aggregation will ensure that the Clearing and Settlement Agent only sends one trade confirmation to the Member per order submitted This confirmation will be generated once the order is fully filled cancelled or expires and will represent the aggregate trade position total volume average price of all fills against that order This is the default se
5. Limit Optional Buy Best Offer of Primary Market Time in Force Best Opposite Peg Best Peg order book IOI only Sell Best Bid of Primary Market Limit accepted The description of matching in BLINK is illustrated below Dynamics of Blink order books IOC mid peg Best offer pont N E Best bid IOC mid peg Mid Peg order book best opposite best opposite EJ Buy orders Best Peg order book Sell orders A Mid Peg order can only match at mid peg and a Best Opposite order can only match with a touch peg order Best Opposite orders can only be IOC orders ii Limits The crossing system will allow trading participants to protect themselves by limiting the absolute price level at which they are willing to buy or sell shares This feature allows participants to withdraw an order from crossing in the event that the reference price moves above or below the price at which they are willing to trade Participants can place a price cap for a buy order or a price floor for a sell order on the order submitted for crossing Participants do not have to specify a limit price During continuous crossing each reference price will change as the market changes The effect of an order limit will be to prevent the order from executing above or below the specified limit price The limit does not allow an order to execute at a price that is different from the specified reference price BLIN
6. Opposite Peg Two Time in Force options are available Good for Day not available for Best Opposite Peg Immediate or Cancel Two options will be accepted Minimum execution quantity Limit price The effect of a limit on the order will be to prevent the order from executing above or below the specified limit price The limit does not allow an order to execute at a price that is different from the specified reference price Orders are routed to the correct order book depending on the chosen peg Touch Peg Best Opposite Peg gt Best Peg order book Mid Peg gt Mid Peg order book 2 Matching rules i Orders Price Time Priority All orders are deterministic i e all orders will enter BLINK with instructions to execute at a predefined point whether Best Bid Best Offer or Mid Point Mid point orders will only interact with other orders entered for crossing at the mid point reference price Best bid orders will only interact with sell orders entered for crossing at the best bid reference price and best offer orders will only interact with buy orders entered for crossing at the best offer reference price BLINK User Guide Page 8 14 4 Kepler BLINK USER GUIDE Cheuvreux Buy Best Bid of Primary Market Touch Peg Best Peg order book Time in Force Sell Best Offer of Primary Market Day lOC Mid Peg Buy or Sell Mid Peg order book Mid Point of Primary Market
7. Pa Kepler lt Cheuvreux Kepler Cheuvreux BLINK User Guide Kepler BLINK USER GUIDE o Cheuvreux Disclaimer Copyright 2013 Cheuvreux International Limited All rights reserved Approved for distribution in Europe by Cheuvreux International Limited which is authorised and regulated by the Financial Conduct Authority No 113980 and is a member of the London Stock Exchange This publication including without limitation any text image logo compilation code and or design is provided for information purposes only It is proprietary and protected by copyright and is for exclusive use by users authorised by Cheuvreux International Limited If you received this publication from Cheuvreux International Limited by any electronic medium you are granted a limited non exclusive non transferable non sub licensable and freely revocable licence to download and store this publication on your computer and to print copies for your own use Except if and as authorised by the foregoing no part of this publication may be printed stored reproduced copied altered modified posted distributed transmitted displayed published sold licensed or used in any form or by any means without Cheuvreux International Limited s prior written approval Cheuvreux International Limited has attempted to ensure the accuracy timeliness and completeness of this publication but makes no warranties and assumes no responsibility relatin
8. f Trading Support CANCELLATION REQUEST FORM Name of Member Stock Name Stock Code Trade Date Trade Time Price Trade Reference Reason for error review Name of person requesting cancellation please print Signature Contact phone number E mail address BLINK User Guide Page 14 14
9. g thereto Should this document conflict with the published Rules of BLINK the Rules then the Rules shall take precedence This publication is subject to the BLINK Rulebook and terms and conditions of customer agreements The content of this publication our Rulebook and our terms and conditions may change from time to time and readers will be informed of such material changes Cheuvreux International Limited BLINK the Cheuvreux International Limited logo and BLINK logo are registered trademarks owned by Cheuvreux International Limited Inc All names of Cheuvreux International Limited services referenced herein are either registered service marks or service marks of Cheuvreux International Limited in the United States and elsewhere Other products or company names appearing in this publication are trademarks or service marks of their respective owners For more information please visit http www keplercheuvreux com BLINK User Guide Page 2 14 Pa Kepler 4 Cheuvreux BLINK USER GUIDE Support Contacts Sales Desk blinkmembership keplercheuvreux com 44 207 621 5200 blinksupport keplercheuvreux com 44 207 621 5200 londoncompliance keplercheuvreux com 44 207 621 52 22 Address Cheuvreux International Limited 12th Floor Moor House 120 London Wall London EC2Y 5ET BLINK User Guide Page 3 14 4 Kepler BLINK USER GUIDE Cheuvreux Conte
10. inal and not subject to appeal A trade can only be cancelled with the consent of the parties to the transaction or at the sole discretion of Cr dit Agricole Cheuvreux International Limited BLINK Trading Support may determine that one or more trades executed within the system are Clearly Erroneous After informing both Members involved in the trade Trading Support will cancel the erroneous trade XI Co hosting Members of BLINK may further reduce their latency for access to BLINK by co hosting their trading equipment in the same facility as the BLINK matching engine Members wishing to be co hosted may do so by contracting directly with CACIL BLINK User Guide Page 12 14 Pa Kepler e BLINK 4 y Cheuvreux USER GUIDE Appendix 1 Schedule Appointed Clearing amp Settlement Agent Credit Agricole Cheuvreux S A is the appointed Clearing amp Settlement Agent of BLINK 2 Schedule List of venues The stocks available for trading on BLINK will be on the following venues Primary Markets Austria Belgium Denmark Finland France Germany Italy UK Netherlands Norway Portugal Sweden Switzerland 3 Schedule C Trade Reporting Venue BOAT is the appointed trade reporting venue 4 Schedule D CSD information amp Fail Buy in schedule Belgium Denmark Finland France Germany Ireland Italy Netherlands Portugal Sweden UK CSD Info
11. nts l STOCK UNIVERSE m IEEE 7 IL 7 Ill TRADING SCHEDULE GMT TIME ccccsssececssseecesssseeseenssesesnesaeeesnseeeseenseeeeensseseeenees 7 IV HlesSrcm 7 V REFERENCE PRIGE 5 7 VI MATCHING RULES 55 8 le ORDER TY PES ten 8 2 IMATGHINGIRULES e eco serene tag seien daa sed Letene ren eLi te Ont tan CORAN 8 VII CONFIRMATION 5 22 4 4 10 1 CONFIRMATION AT THE EXECUTION LEVEL n n rrr 10 2 CONFIRMATION THE TRADE 0 nrn n rrr nr n rrr n rn n prp 10 VIII SETTLEMENT 10 1 AGGREGATION 5 10 PS S cup APERTE 11 IX REGULATORY TRADE REPORTING eene nnn nnn nena nana aa dada aaa 12 IMEEM 12 X ERROR TRADES
12. ote The Swiss market closes at 16 20 therefore BLINK will close on Swiss stocks at 16 15 BLINK stocks are closed for trading when there is a regulatory suspension or an intraday auction on the Primary Listing Market IV Tick Size The tick size of BLINK will be the half of the tick size of the Primary Market used for the determination of the Reference Price Thus the matching at mid point will always be possible Tick sizes are communicated in the trading file available on the FTP server V Reference Price Orders for a particular instrument will be submitted for crossing at one of the following reference prices derived from the central limit order book of the primary regulated market where the share is admitted for trading The relevant regulated markets will be the main European markets The best bid on the primary market the highest binding bid price of the primary regulated market The best offer on the primary market the lowest binding offer price of the primary regulated market midpoint between the best bid and best offer of the primary regulated market BLINK User Guide Page 7 14 Kepler BLINK USER GUIDE Cheuvreux The primary market of an instrument is the market of listing of this instrument VI Matching Rules 1 Order Types BLINK offers only resident orders pegged at one of the three boundaries of the Reference Price Touch Peg Mid Peg Best
13. pplicable and also the rate at which it is payable The current levy rate is available on the Fees and Charges section of The Takeover Panel s website http www thetakeoverpanel org uk X Error Trades amp Cancellations Where a Member believes that a trade has occurred in error they may request a cancellation from BLINK by calling Trading Support see Support Contacts on page 3 For example such a request may be necessary as a result of incorrect or unintentional order entry or an order sent at a price that is substantially removed from or materially inconsistent with the current Primary Market price at the time of execution Upon receipt of a request by telephone followed by a written confirmation by e mail plus completion and submission of the Cancellation Request Form see Schedule E BLINK Trading Support will request the cancellation from the trade counterparty preserving anonymity and cancel the trade if agreed A request for review of a trade to be cancelled must be made within 30 minutes of execution requests received after 30 minutes will not be eligible for review In the event of one of the parties not agreeing to cancel the trade BLINK Trading Support will review the transaction using external information Market Data Corporate Actions Spread etc and make a final decision within two hours of the request and no later than 30 minutes after the Primary Market s closing time The decision from BLINK Trading Support is f
14. rmation Citibank Int PLC Cheuvreux CA Cheuvreux CA Cheuvreux CA Cheuvreux CA Cheuvreux Citibank Int Citibank CAC NORDIC CSD Name Custody NordicAB NordicAB SA SA Citibank London ltaliaSim SPA PLC Custody Portugal AB VPA Citibank London Cheuvreux ID EGSP 186 VPDK 13016 EGSP 536 CBF 7281 Crest 175 RRG 0581 EGSP 186 CMVM 29550 Crest 175 Fail and buy in fees Settlement cycle TD 3 TD 3 Fail management fee Minimum fixed fee per failure in 15 15 15 15 15 15 15 15 Benchmark interest Eonia Dibor Eonia Eonia Eonia Eonia Stibor Sonia Variable fee on receipt failures Eonia 1 Dibor 1 Eonia 1 Eonia 1 Eonia 1 Eonia 1 Eonia 1 Eonia 1 Eonia 1 Stibor 1 Sonia 1 Notification buy in ISD 15 ISD 7 ISD 15 ISD 29 Start of buy in ISD 16 ISD 8 ISD 16 ISD 31 Maximum buy in offer 150 120 150 120 Cash settlement 150 120 150 120 Administration fee buy in in 150 150 150 150 BLINK User Guide Page 13 14 Pa Kepler 4 Cheuvreux BLINK USER GUIDE 5 Schedule E Blink Cancellation Form How to request cancellation or review of a trade 1 Contact Cheuvreux International Trading Support on 44 0 207 621 5195 2 Confirm the cancellation review request via e mail ebs support keplercheuvreux com 3 Scan amp e mail or fax this completed form to Cheuvreux International on 44 0 207 621 5100 marking it for the attention o
15. tting for aggregation On request the Member may receive this trade confirmation at the end of the day on which the order in question is fully filled cancelled or has expired Bilateral directional aggregation is a process to aggregate all trades per Member per stock per day and per side The Member would receive a maximum of two aggregated trade confirmations per stock per day one buy and one sell This type of aggregation is available upon request by the Member to the Clearing and Settlement Agent Requests should be made in writing to cynthia clement keplercm com Members can choose one of three confirmation options for their trades with the Clearing and Settlement Agent 1 Not to receive any confirmation or 2 Receive a file via FTP at the end of day or 3 Receive confirmations via ETC Vill Settlement Arrangements 1 Aggregation process Aggregation affords processing savings to BLINK participants Rather than settling multiple trade for trade instructions with each individual counterparty BLINK Clearing and Settlement Agent will settle optimally one instruction per ISIN side currency and trade date BLINK User Guide Page 10 14 Kepler o Cheuvreux BLINK USER GUIDE For each member the aggregated positions by instrument and by side are calculated at the end of the trading day by aggregating the buy transactions and the sell transactions for the same instrument and the same currency
16. y or IOC pegged orders Limits accepted Validity Day or IOC Limits accepted 1 Same MIC code Same securities traded same trading hours BLINK matching overview Members rs BLINK MTF Brokers Ord ee Cheuvreux International Orders Electronic t T Clients Liquidity Clearing Outsourcing Outsourcing Orders Providers I fees I fees 1 Settlement Parel Kepler Kepler Paris and Other are p Cheuvreux London BLINK main players overview BLINK User Guide Page 6 14 Kepler Cheuvreux BLINK USER GUIDE Stock Universe All ESMA shares listed on EEA regulated markets are eligible to be matched traded within BLINK The file of the tradable universe of stocks for the day is made available via FTP to the Market Members before 6am GMT every morning Il Market Code Blink MTF MIC Code is BLNK Ill Trading Schedule GMT time BLINK Operating Closed Closed Open for receiving FIX Closed Closed Hours messages Primary Market Closed Opening Closing Closed trading Hours Auction Auction BLINK Matching Closed Closed Continuous Trading Matching Closed Closed Process BLINK stocks are tradable in accordance with the calendar in force on the regulated market where the stock is primarily listed N
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