DECEMBER 2018

Millennium Exchange – Oslo Børs cash equities and

fixed income markets

OSLMIT Oslo Børs Market Model Equities Issue 9.4

Valid from 10 December 2018

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CONTENTS

IMPORTANT NOTE .......................................................................................................................................................... 5

DISCLAIMER .................................................................................................................................................................... 5

CHANGE LOG .................................................................................................................................................................. 6

INTRODUCTION ...................................................................................................................................................... 8

PURPOSE ......................................................................................................................................................................... 8 READERSHIP ..................................................................................................................................................................... 8 DOCUMENT SERIES............................................................................................................................................................. 8 OTHER RELEVANT DOCUMENTATION ..................................................................................................................................... 9

DEFINITIONS ........................................................................................................................................................ 10

PARTICIPANT STRUCTURE - USERS ....................................................................................................................... 12

FIRM (MEMBER ID) ......................................................................................................................................................... 12 NODE ............................................................................................................................................................................ 12 USER / TRADER GROUP .................................................................................................................................................... 12 TRADER ID, EXECUTING TRADER ID, INVESTMENT DECISION MAKER ID AND CLIENT ID ................................................................ 13 TRADE FLOW TYPE ........................................................................................................................................................... 13

MARKET STRUCTURE ............................................................................................................................................ 14

THE TRADING DAY ................................................................................................................................................ 15

SCHEDULED SESSIONS – LIT ORDER BOOKS ........................................................................................................................... 15 Pre Trading ...................................................................................................................................................... 15 Opening Auction Call ....................................................................................................................................... 15 Regular Trading............................................................................................................................................... 16 Intra-Day Auction Call ..................................................................................................................................... 16 Closing Auction Call ......................................................................................................................................... 17 Post Close ........................................................................................................................................................ 17

UNSCHEDULED SESSIONS – LIT ORDER BOOKS ...................................................................................................................... 18 Halt (Matching Halt) ....................................................................................................................................... 18 Re-opening Auction Call .................................................................................................................................. 18 Micro Auctions ................................................................................................................................................ 18 Auction Extension Periods ............................................................................................................................... 19

SESSIONS FOR NORTH SEA - DARK MIDPOINT ORDER BOOKS ................................................................................................... 20 Regular Trading............................................................................................................................................... 20 Halt Session ..................................................................................................................................................... 21

SESSIONS FOR TURQUOISE LIT AUCTION™ ORDER BOOKS ON OSLO BØRS.................................................................................. 21 Session Transparent Auction ........................................................................................................................... 21 Halt session ..................................................................................................................................................... 21

INSTRUMENT TRADING STATUS .......................................................................................................................................... 22 Instrument Halt (Matching Halt) .................................................................................................................... 22 Regulatory Suspension (Trading Halt)............................................................................................................. 22

CIRCUIT BREAKERS ........................................................................................................................................................... 22

ORDERS ................................................................................................................................................................ 24

ORDER TYPES – LIT ORDER BOOKS ...................................................................................................................................... 24 Limit Order ...................................................................................................................................................... 24 Market Order .................................................................................................................................................. 24 Iceberg Order .................................................................................................................................................. 24 Hidden Order ................................................................................................................................................... 25 Pegged Order .................................................................................................................................................. 25

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Pegged Order during Regular Trading ...................................................................................................................... 26 Pegged Order during Auctions ................................................................................................................................. 26

Passive Only Orders ......................................................................................................................................... 27 Dark to Lit Sweep Orders ................................................................................................................................ 27

ORDER TYPES FOR NORTH SEA – DARK MIDPOINT ORDER BOOKS ............................................................................................ 28 Limit Order ...................................................................................................................................................... 28 Market Order .................................................................................................................................................. 28 Pegged Order .................................................................................................................................................. 28

ORDER TYPES FOR TURQUOISE LIT AUCTION™ ORDER BOOKS ON OSLO BØRS ............................................................................ 28 Limit Order ...................................................................................................................................................... 28 Pegged Order .................................................................................................................................................. 28

TIME IN FORCE (TIF) – LIT ORDER BOOKS ............................................................................................................................ 29 TIME IN FORCE (TIF) FOR NORTH SEA – DARK MIDPOINT ORDER BOOKS ................................................................................... 30 TIME IN FORCE FOR TURQUOISE LIT AUCTION™ ORDER BOOKS ON OSLO BØRS ........................................................................... 31 PARKED ORDERS ............................................................................................................................................................. 31 ORDER SIZE .................................................................................................................................................................... 31 ORDER PRICE .................................................................................................................................................................. 32

AUTO CANCEL ............................................................................................................................................................... 32 SELF EXECUTION PREVENTION .......................................................................................................................................... 33 EXECUTION INSTRUCTION ................................................................................................................................................ 34 SOLD OUT STATE ........................................................................................................................................................... 34 OTHER INFORMATION CONNECTED WITH AN ORDER ............................................................................................................ 34 ORDER MANAGEMENT – LIT ORDER BOOKS ....................................................................................................................... 35 ORDER MANAGEMENT – DARK MIDPOINT ORDER BOOKS..................................................................................................... 35 ORDER MANAGEMENT – TURQUOISE LIT AUCTION™ ORDER BOOKS ON OSLO BØRS ................................................................. 36 ORDER PRIORITY – LIT ORDER BOOKS ............................................................................................................................... 36 ORDER PRIORITY – DARK MIDPOINT ORDER BOOKS ............................................................................................................. 37

ORDER EXECUTION............................................................................................................................................... 38

ORDER EXECUTION DURING REGULAR TRADING / MULTIPLE PRICE MICRO AUCTIONS – LIT ORDER BOOKS ...................................... 38 Execution at One Price Level ........................................................................................................................... 38 Pro-rating of Iceberg Orders ........................................................................................................................... 39

ORDER EXECUTION DURING OPENING / RE-OPENING / CLOSING AUCTION CALLS / SINGLE PRICE MICRO AUCTION – LIT ORDER BOOKS 40 Calculating the Auction Price .......................................................................................................................... 40 Order Execution............................................................................................................................................... 41

ORDER EXECUTION IN DARK MIDPOINT ORDER BOOKS ........................................................................................................... 41 Well Formed Market Check (WFMC) ............................................................................................................... 41

ORDER EXECUTION IN TURQUOISE LIT AUCTION™ ORDER BOOKS ON OSLO BØRS ........................................................................ 42 Calculating the Auction Price .......................................................................................................................... 42 Order Execution............................................................................................................................................... 42 Well Formed Market Check (WFMC) ............................................................................................................... 42

TRADES ................................................................................................................................................................ 43

AUTOMATIC TRADES ........................................................................................................................................................ 43 OFF-BOOK (MANUAL) TRADES ........................................................................................................................................... 43

Negotiated trades ........................................................................................................................................... 43 Reporting ........................................................................................................................................................ 43 Reporting Hours .............................................................................................................................................. 44 Trade Amendment / Cancellation ................................................................................................................... 45

Off-Book Trades ....................................................................................................................................................... 45 Automatic Trades ..................................................................................................................................................... 45

MARKET INFORMATION - TRANSPARENCY........................................................................................................... 46

ORDERS ......................................................................................................................................................................... 46

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TRADES ......................................................................................................................................................................... 46 STATISTICS ..................................................................................................................................................................... 47

Opening Price Calculation ............................................................................................................................... 47 Closing Price Calculation ................................................................................................................................. 47

Closing Auction / Last Trade .................................................................................................................................... 47 Last Trade ................................................................................................................................................................. 47 Mid Price .................................................................................................................................................................. 48

OTHER INFORMATION ...................................................................................................................................................... 48

CLEARING AND SETTLEMENT ................................................................................................................................ 49

CCP CLEARING ............................................................................................................................................................. 49 INTERNALIZATION .......................................................................................................................................................... 49

APPENDIX 1 – OFF-BOOK TRADE TYPES ........................................................................................................................ 50

APPENDIX 2 – ORDER TYPES, SESSIONS AND TIFS ......................................................................................................... 53

APPENDIX 3 – SEGMENTS AND MARKET IDENTIFIER CODES ......................................................................................... 54

APPENDIX 4 – ISSUE UPDATES ...................................................................................................................................... 56

APPENDIX 5 – SUMMARY OF FEATURES IN THE NORTH SEA DARK POOL ..................................................................... 60

INTRODUCTION ..................................................................................................................................................................... 60 EXECUTIVE SUMMARY ............................................................................................................................................................ 60 SERVICE DESCRIPTION – FUNCTIONAL CHARACTERISTICS ................................................................................................................ 61

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IMPORTANT NOTE

This document has been produced by Oslo Børs to describe the market model for the Oslo Børs equities

market and the Merkur Market. The main body of the document includes generic descriptions of functionality which is available in Oslo Børs’ implementation of the Millennium Exchange system. The configuration of the markets is included in the separate document OSLMIT Oslo Børs Business Parameters – Equities.

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 at the following link:

http://www.oslobors.no/ob_eng/Oslo-Boers/Trading/Trading-systems/Millennium-Exchange/Market-model

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.

6

CHANGE LOG

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

Issue Date Description

7.0 10 February 2014 Updated with Millennium Release 8 features:

Added ‘Passive Only’ orders (new section 6.1.6)

Added Intra-Day Auction Call (new section 5.1.4)

Added a new TIF: GFS (change to section 6.4)

Amendments to ‘Iceberg Orders’: Optional random replenishment, and replenished ‘Iceberg Orders’ will be assigned a new public Order ID (changes to section 6.1.3)

Added ‘Self Execution Prevention (SEP)’ (new section 6.11)

The disclosure of Member IDs post trade will be

discontinued for some segments (changes to section 9.2)

‘Price Differential’ and ‘Type of Trade’ will be included in order entry responses (changes to section 6.14)

7.1 28 February 2014 Corrections:

Removed the maximum expiry time limit on GTT orders

(section 6.4).

SEP is defined per User – not per Trader Group (sections 3.3 and 6.11).

Documentation updates/clarifications:

Defined term ‘User’ (section 2) Used term User instead of connection (section 6.10)

7.2 17 March 2014 Segments SAT (SE Aktietorget), SNGM (SE NGM) and SNMF (SE NGM MTF) are removed from the Burgundy SE

Equities market.

7.3 16 June 2014 Added a comment about the default settlement schedule (section 10, moved from MTR)

7.4 6 October 2014 Corrected wording re ‘Grace period’, section 8.2.2.

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Issue Date Description

7.5 10 November 2014 Changed the name of the low latency market data feed.

7.6 1 December 2014 Millennium release 8.6: Added North Sea features, i.e. information about the Dark Midpoint Order Book in the document. Also, a summary of the North Sea features is included in Appendix 5.

7.7 20 April 2015 Millennium release 8.6 Live version: Clarification re order management in Dark Midpoint

Order Book. Also added a comment about MICs for trades

from the Dark Midpoint Order Book (Appendix 3).

7.8 4 May 2015 Removed references to the Burgundy market

7.9 January 2016 Added the ‘MERK’ segment and MIC for Merkur Market.

8.0 14 September 2016 Updated for Millennium Release 9.1

9.0 28 April 2017 Updated for Millennium Release 9,2 (MiFID II) – Valid

from January 2018.

9.1 16 October 2017 Corrections and clarifications – Valid from January 2018

9.2 3 November 2017 Added Turquoise Lit Auction™ features

9.3 6 December 2017 Corrections

9.4 14 September 2018 Added description of ‘Multiple Price Micro Auction’ as

opposed to the existing ‘Single Price Micro Auction’, as

well as description of Trade Amendments. Valid from December 2018

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 Appendix 4 – Issue updates.

Changes from the previous issue of the document are indicated by a left margin bar.

8

INTRODUCTION

Since November 2012, the Millennium Exchange trading system has been the trading platform in use for the

Oslo Børs equity and fixed income markets. Millennium Exchange is a flexible, highly scalable trading platform with ultra-low latency developed by MillenniumIT, a company in the London Stock Exchange Group.

Oslo Børs and its market places for equities and fixed income aims at maintaining its competitive position, and is pleased to offer customers an upgraded release of the state-of-the-art trading system, featuring i.e.

North Sea – a dark pool supporting the Oslo Børs and Oslo Axess equity markets. North Sea makes use of

Turquoise Uncross™ which is a trademark of TGHL1, and is made available for Oslo Børs by courtesy of TGHL.

Oslo Børs also make use if the Turquoise Lit Auction™ functionality, which is a trademark of TGHL, and is

made available for Oslo Børs by courtesy of TGHL.

PURPOSE

This document describes the main functional features available in the Millennium Exchange implementation

in the Oslo Børs equities market. The regulated market Oslo Axess and the MTF Merkur Market are also

covered.

READERSHIP

This document is relevant for business users and technical staff who need to understand how the Millennium

Exchange works from a business perspective.

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 post the migration to the Millennium Exchange platform.

The current series of documents are outlined below: General

OSLMIT Oslo Børs Market Model Equities (this document) OSLMIT Oslo Børs Business Parameters – Equities

OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income OSLMIT Oslo Børs Business Parameters – Fixed Income

1 Turquoise Global Holdings Limited ("TGHL") is an investment firm authorized by the Financial Conduct Authority of the United Kingdom.

Initially founded by a consortium of nine investment banks, TGHL is now majority owned by the London Stock Exchange Group (LSEG). In addition to LSEG, its shareholders now include twelve of the leading investment banks.

9

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 OSLMIT 303 MITCH Gateway OSLMIT 306 FIX/FAST News and Indices Gateway OSLMIT 401 Reference Data

OSLMIT Derived Information Guidelines

Other

OSLMIT 501 Guide to Testing Services OSLMIT 502 Guide to Application Certification 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 801 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/Technical-documentation

OTHER RELEVANT DOCUMENTATION

The MiFID II Level 2 regulation may be retrieved from http://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32014L0065&from=EN

10

DEFINITIONS

The below terms are used in this document:

Term Explanation

Dark Midpoint Order Book

An order book connected to some instruments with dark (unpublished) orders only.

Direct Electronic Access

(DEA)

An arrangement whereby a member firm provides direct market access

(DMA) and/or sponsored access (SA)

Direct Market Access (DMA)

A service provided by a member firm through which a customer is able to submit orders to the trading system under the member firm’s trading codes and via the member firm’s order management systems,

but without manual intervention by the member firm.

EMS Exchange Market Size: For Oslo Børs share products, the EMS will be set for each instrument to a number of shares which is compatible with an approximate

consideration of NOK 10,000.

For Oslo Børs ETF and ETN products, the EMS will be 100 units

For warrants the EMS will be 10,000 contracts. The EMS will be reviewed and adjusted every 6 months, on the

Monday following the 3rd Thursday in December and June.

ETF Exchange Traded Funds

ETN Exchange Traded Notes

ADT Average Daily Turnover – calculated as defined in MiFID Level 2 regulations (see 0)

BBO Best bid and offer i.e. the highest visible buy order and the lowest

visible sell order

Dynamic Reference Price The price of the last automatic execution (from an auction or from Regular Trading), or previous day’s closing price

LIS “Orders large in scale” definition in MiFID level 2 Regulation (see

section 1.4) Annex II Table 2.

Lit Order Book The standard order book with normal visible orders and Hidden orders meeting the LIS criteria.

Minimum Execution Size (MES)

A user may specify a MES with each order. An order will never execute with a contra order which is smaller than the MES. It may be configured for each user if the MES will apply to the first fill only, or for all fills

coming from an order with MES specified. This setting may be different for IOC/FOK orders and for other orders.

Valid for Dark Midpoint Order Book orders and Pegged orders in the Lit

Order Book.

11

Term Explanation

Rules Oslo Børs Member and Trading Rules

Sponsored Access (SA) A direct technical connection that enables a non-member firm to access the trading system directly under a member firm’s trading codes. Orders submitted in this manner do not pass through the order management systems of the member firm but will pass through the

Exchange level controls provided within the trading system to assist the member firms with sponsored access order flow validation.

Static Reference Price The most recent of Previous day’s closing price

Uncrossing price from an auction If there is no uncrossing price from an auction, the Static Reference Price will be set to the price of the first automatic trade after the auction.

Please note that the reference prices may be overridden manually; e.g.

as a result of corporate actions or price movements.

TIF Time in Force Defines when and for how long an order will be valid

Turquoise Uncross ™ Periodic uncrossing which take place at randomized time intervals to match orders eligible for Turquoise Uncross™ against contra-side

orders.

User The FIX CompID or Native user name i.e. the logon name of a trading connection. One FIX CompID may send orders on behalf of many Trader

Groups. For Native connections the user name and the Trader Group are the same.

Visible Midpoint This is the mid of the visible BBO in the Lit Order Book, i.e. (best visible bid price + best visible offer price)/2. The result is not rounded, so it

may be between ticks.

12

PARTICIPANT STRUCTURE - USERS

Each member’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 member. 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 or both) or 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.

USER / TRADER GROUP

Oslo Børs will assign most trading privileges and configurations at the Trader Group level. This includes

Order entry privileges

Order management privileges

Member ID

Node

FIX Trading GW

(CompID)

TraderGroup(entered via

FIX)

Native tradinguser

(TraderGroup)

FIX PostTradeuser

FIX DropCopyuser

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Access to private data (orders, trades)

Trade reporting privileges

Clearing arrangements (which CCP(s) to use for each market)

If the Trader Group is subject to CCP Internalization (see section 10.2 for details)

For a User it is configurable

If the User’s orders should be automatically cancelled at disconnect or logout (see section 6.10 for details)

If the User is part of a Self Execution Prevention (SEP) Group (see section 6.11 for details)

If the Minimum Execution Size (MES) submitted with an order to the Dark Midpoint Order Book or Pegged order in the Lit Order Book should apply to the first fill only, or to all fills (see section 6.8 for details)

The default setting for the Execution Instruction applicable for orders to the Dark Midpoint order Book (see section 6.12 for details)

Further details about the participant setup is included in OSLMIT 201 Guide to New Trading system, see

section 1.3.

Each member 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 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, which is up to 11

characters long and is optional and available for the member’s own use.

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.

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:

Name Definition

DEA Direct Electronic Access (DEA) which is Direct Market Access (DMA) or Sponsored Access (SA) as defined in

section 2.

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.

14

MARKET STRUCTURE

In general, the market structure in Oslo Børs Millennium will have three levels from a business perspective:

The Market (e.g. “Oslo Børs Equities”). A number of Segments, each including a number of instruments with common features. Each segment is identified by a 3 – 4 character name.

Instruments. Each instrument is identified by a unique numeric Instrument ID. The short name and the full name of the instrument will be included in the reference data. Please note that the ISIN is not unique – in the

Millennium Exchange system, more than one Instrument ID may be associated with the same ISIN. Each

instrument has one standard order book (“the Lit Order Book”). Some instruments may have the additional

order books (“the Dark Midpoint Order Book” and “Turquoise Lit Auction™ Order Book on Oslo Børs”).

The segments and the Market Identifier Codes (MIC) are included in Appendix 3 – Segments and Market Identifier Codes.

15

THE TRADING DAY

In Millennium Exchange, the trading day is defined by different ‘sessions’. This section discusses the sessions

that apply for on-book trading. The sessions which apply for manual (off-book) trade reporting are included in section 8.2.

The relevant session changes throughout the day and will be disseminated for each instrument/order book when the change occurs. In general, all instruments in one segment will normally follow the same schedule

for session changes, but differences may occur due to Circuit Breakers, Price Monitoring Extensions, Market

Order Extensions, Micro Auctions and Matching Halts or Trading Halts (Suspensions). In addition, Market

operations may extend or shorten sessions if warranted by the situation (e.g. operational disturbances).

The trading sessions for equities in Millennium are set up in accordance with the document OSLMIT Oslo Børs Business Parameters – Equities.

SCHEDULED SESSIONS – LIT ORDER BOOKS

This section describes the events of each scheduled session for Lit Order Books. The sessions which may apply

to Dark Midpoint Order Books are included in section 5.3. The descriptions refer to the available Time in Force

(TIFs), which are described in more detail in section 6.4.

PRE TRADING

During the Pre Trading session, overnight orders from previous day are published via the market data channels. Members cannot manage or insert orders or trades during this session, and no orders are executed.

If an order breaches the allowed price band tolerances (when configured for the instrument) the order is automatically expired.

OPENING AUCTION CALL

During the Opening Auction Call session, members may insert, amend and delete orders. The orders are not

executed, but will be published in accordance with their visibility (i.e. visible orders and visible part of iceberg orders are published). In addition, the Indicative Auction Price and Volume will be continuously calculated and

published for each instrument.

Limit orders, Market orders, Iceberg orders and Hidden Limit orders may be entered in this period, and will participate in the uncrossing. The Market orders will persist in the book until the uncrossing. Pegged orders may be entered, but will be parked and do not participate in the uncrossing.

TIFs OPG, GFS, GFA, GTD, GTT and DAY may be used. Note that GTT orders with expiry time during the

auction will not expire until after the uncrossing, even if the expiry time is passed. Orders may be entered

with TIF ATC as well, but such orders will be parked outside the active order book until the Closing Auction Call. IOC and FOK TIFs may not be used during the Opening Auction Call. At the end of the auction call, the uncrossing will occur and eligible orders are executed in accordance with

the auction execution algorithm. The uncrossing will take place on a random time from the scheduled end of

16

the auction call, subject to any Price Monitoring or Market Order Extensions (see section 5.2.4). The random

time is set to a maximum value for each segment; see OSLMIT Oslo Børs Business Parameters - Equities for

details. Any remaining OPG, GFS or GFA orders and GTT orders with an expiry time which has been passed during the auction call will be expired immediately after the uncrossing and before the next session starts.

REGULAR TRADING

At the start of the Regular Trading session, Pegged orders will be moved from the parked queue into the

Pegged order container and will be available for execution.

Members may insert, amend and delete orders during the Regular Trading session. All order types may be used (Limit, Market, Iceberg, Hidden Limit, Pegged). Market orders will never persist in the order book during Regular Trading – they will expire after a full, partial or no fill.

TIFs GTD, GTT, DAY, IOC and FOK may be used. Orders may be entered with ATC, GFS or GFA TIF as well, but

such orders will be parked outside the active order book until the next auction (for GFA orders) or until the next scheduled (i.e. Opening, Intra-Day or Closing) auction (for GFS orders) or until the Closing Auction Call (for ATC orders).

Incoming (aggressive) orders will be continuously executed against existing (passive) orders in the order book,

price permitting. Passive orders will be executed in accordance with their priority (see section 7.1).

Circuit breakers may be configured for any segment or an individual instrument. If an execution is about to occur at a price which is at or outside the circuit breaker limits for the instrument, the instrument is

automatically moved to a Re-opening Auction Call session (see section 5.2.2) and the execution does not take place. The aggressing order that triggered the circuit breaker will be added to the book with its remaining

quantity to participate in the Re-opening Auction Call. However, if the aggressing order is a Market order, or has TIF IOC the order will expire before the Re-opening Auction Call is started. Note that an FOK order which would have triggered a circuit breaker if executed, will expire without any executions, and will not trigger a

circuit breaker.

If a circuit breaker is triggered less than 7 minutes before the Closing Auction Call session, the instrument will be moved directly into the Closing Auction Call session when the circuit breaker is triggered.

For instruments that do not have a Closing Auction Call, order book updates will not be published after Regular Trading, and the next session will be the Post Close.

INTRA-DAY AUCTION CALL

In some segments, Intra-Day Auctions take place at one or more scheduled times during a trading day, in

addition to any Opening and Closing Auction Calls. An Intra-Day Auction will interrupt the Regular Trading

session for the instrument, run for the scheduled duration, uncross, and then move the instrument back to Regular Trading. The uncrossing will take place on a random time from the scheduled end of the auction call, subject to any Price Monitoring or Market Order Extensions (see section 5.2.4).

17

TIFs GFS, GFA, GTD, GTT and DAY may be used. Note that GTT orders with expiry time during the auction will

not expire until after the uncrossing, even if the expiry time is passed. IOC and FOK TIFs may not be used

during an Intra-Day Auction. Any remaining GFS or GFA orders and GTT orders with a time which has been passed during the auction call will be expired immediately after the uncrossing, and the visible order book is updated with the order

executions and expiries.

CLOSING AUCTION CALL

When the Regular Trading session has completed and a Closing Auction Call is configured, the instrument is

moved into the Closing Auction Call at the scheduled time. At this point, any existing Pegged orders expire, and parked ATC, GFS and GFA orders will be added to the active order book. During the Closing Auction Call members may insert, amend and delete orders. All orders are published in

accordance with their visibility, and the Indicative Auction Price and Volume is continuously calculated and

published. No execution will take place before the auction uncrossing.

All order types except Pegged orders may be used.

TIFs ATC, GFA, GFS, GTD, GTT and DAY may be used. Note that GTT orders with expiry time during the auction

will not expire until after the uncrossing, even if the expiry time is passed. IOC and FOK TIFs may not be used

during the Closing Auction Call.

At the end of the auction call, the uncrossing will occur and eligible orders are executed in accordance with the auction execution algorithm. The uncrossing will take place on a random time from the scheduled end of

the auction call, subject to any Price Monitoring or Market Order Extensions (see section 5.2.4).

Any remaining GFS, ATC or GFA orders and GTT orders with a time which has been passed during the auction call will be expired immediately after the uncrossing, and the visible order book is updated with the order executions and expiries.

After this point, no order book updates will be published.

POST CLOSE

During this session, members may cancel orders, but may not insert or amend orders. The order book will not

be published during the Post close session i.e. the order book as shown via market data will appear as ‘frozen’.

18

UNSCHEDULED SESSIONS – LIT ORDER BOOKS

HALT (MATCHING HALT)

Market supervision may introduce a Matching Halt for one or more instruments. In Millennium, this will be published as a Halt session. During this session, orders will not be executed, and members may not insert or amend orders. However, order cancels will be possible, and GTT orders will expire in accordance with their time limit. If a scheduled auction call session is triggered during a Halt that auction call will not be carried out.

If an instrument which is in an auction call session (Opening, Closing or Re-opening) is moved to a Halt session, any remaining market orders in the order book will be expired.

If it is expected that the matching halt will remain until the next day, market supervision may decide to change the instrument’s status to halt or suspended, see sections 5.5.1 and 5.5.2.

RE-OPENING AUCTION CALL

When a circuit breaker is triggered, or a matching halt or suspension is lifted, the instrument will be moved

into a Re-opening Auction Call if the scheduled session for the instrument is Regular Trading.

Note that if a circuit breaker is triggered less than 7 minutes before a scheduled Closing Auction Call, the

instrument will be moved directly to the Closing Auction Call.

The Re-opening Auction Call session will operate the same way as the Opening Auction Call (see section

5.1.2), except that the duration will be shorter, and orders with TIF OPG are not allowed. At the start of the

Re-opening Auction Call any existing parked GFA orders will be moved to the order book to be included in the auction. GFS orders will remain in the parked state and will not be included in the auction.

If a scheduled Closing Auction Call is triggered during a Re-opening Auction Call, the instrument will move to the Closing Auction Call.

MICRO AUCTIONS

Market Maker protection in form of short Re-opening Auctions that are triggered for every potential uncross during Regular Trading. Enabled for all ETN’s and Warrants.

The Micro Auctions call period will last for 200 milliseconds followed by an uncross that will take place at a randomized time between 0-100 milliseconds. Market Orders and orders with TIF GFC, GFS and GFA are not

allowed. The system supports two types of Micro Auction uncrosses:

1. Single Price Micro Auction. The Single Price Micro Auction will operate the same way as the Opening Auction Call or a Re-opening

Auction Call see section 7.2, meaning that the limit price of the order that triggered the auction in

certain circumstances will be the single auction price, even if it is outside the visible BBO at the time of entry. During the call period order inserts, amends and cancellations are allowed.

2. Multiple Price Micro Auction The Multiple Price Micro Auction will operate the same way as order executions during Regular

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trading see section 7.1. The order that triggered the Multiple Price Micro Auction will aggress the

order book during the uncross, potentially matching against multiple price points. During the call

period order cancellations only is allowed.

AUCTION EXTENSION PERIODS

An auction extension period may be triggered for one security before it uncrosses. The extension period

implies that the auction period is extended with an amount of time (typically 1 minute) so that the market’s attention may be drawn to the security and react on price level or opportunities with available market orders.

If the calculated Indicative Auction Price at the end of the auction period is more than a certain percentage away from the reference price, a Price Monitoring Extension (PME) may be triggered. If there are market orders that would remain unexecuted at the end of the auction period, a Market Order

Extension (MOE) may be triggered.

The auction extension periods may occur as indicated in the figure below:

The different auctions are configured differently in terms of duration of auction call periods and the maximum number of extension periods:

Auction Type Call Period Max no of

extensions

Duration of

each extension

PME MOE

Opening Auction Call 45 min 1 1 1 min

20

Re-opening Auction Call (after a Circuit Breaker has been triggered); or

3 min

1 min

1

0

1

1

1 min

1 min

Re-opening Auction Call(after a

matching Halt has been lifted)

3 min (*) 1 1 1 min

Re-opening Auction Call (after a

Suspension has been lifted)

15 min (*) 1 1 1 min

Closing Auction Call 5 min 2 1 1 min

(*) May be changed on a case by case basis

SESSIONS FOR NORTH SEA - DARK MIDPOINT ORDER BOOKS

This section describes the events of each scheduled session for Dark Midpoint Order Books. The sessions

which may apply to Lit Order Books are included in sections 5.1 and 5.2. The descriptions refer to the available Time in Force (TIFs), which are described in more detail in section 6.4.

REGULAR TRADING

The Regular Trading session for a Dark Midpoint Order Book will normally be started when the corresponding

Lit Order Book is scheduled to start its Regular Trading. However no executions will take place in the Dark

Midpoint Order Book until a valid Visible Midpoint (please see section 7.3.1 for details) has been received from the Lit Order Book.

During the Regular Trading session, orders to the Dark Midpoint Order Book may be inserted, amended or deleted. Orders may be of type Limit, Market or Pegged and must be inserted with ‘0’ disclosed quantity.

Market orders may persist in a Dark Midpoint Order Book. At order entry the user may select if the order should be included in continuous trading or Turquoise

Uncross™ or both.

The available TIFs are GTT, DAY, IOC, FOK and GFA. However please note that special restrictions apply to the

GFA orders in a Dark Midpoint Order Book, see section 6.5 for details. During the Regular Trading session the Dark Midpoint Order Book will operate in a continuous trading mode. Incoming orders will aggress passive orders and try to match them at the current Visible Midpoint price, or

will be parked until the next Turquoise Uncross™, based on the order’s execution instruction (see section 6.12 for details).

Turquoise Uncross™ events occur at random intervals. In these events all orders eligible to participate are

collected and will be matched if possible. Each event will take place inside a minimum and a maximum number of seconds from the previous event (or from the start of Trading). Typical values for the minimum will be 5-30 seconds (currently set to 10 seconds), for the maximum 10-45 seconds (currently set to 20 seconds).

The values will be adjusted based on the expected liquidity and other factors related to each individual

instrument.

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All executions in the Dark Midpoint Order Book – both in Turquoise Uncross™ and during continuous trading

– will take place at the current Visible Midpoint of the corresponding Lit Order Book, provided that the price

is valid (please see section 7.3.1 for details). Circuit Breakers do not apply to trading in the Dark Midpoint Order Book.

HALT SESSION

When a Dark Midpoint Order Book is in a Halt session, no orders may be inserted or amended, and no orders will be executed. However, the member may cancel orders.

Please note that if the Lit Order Book is changed to a Halt session, the Dark Midpoint Order Book does not automatically change its session. However because there will not be a valid price from the Lit Order Book in this scenario, no executions will occur in the Dark Midpoint Order Book.

SESSIONS FOR TURQUOISE LIT AUCTION™ ORDER BOOKS ON OSLO BØRS

SESSION TRANSPARENT AUCTION

The Transparent Auction trading session for a Turquoise Lit Auction™ Order Book on Oslo Børs will normally be started when the corresponding Lit Order Book is scheduled to start its Regular Trading.

During the Transparent Auction session orders to the Turquoise Lit Auction™ Order Book on Oslo Børs may

be inserted, amended or deleted. Orders may be of type Limit or Pegged and must be inserted with ‘0’ disclosed quantity.

The available TIFs are DAY and GFA.

During the Transparent Auction session the Turquoise Lit Auction™ Order Book on Oslo Børs will trigger a

short auction period upon the reception of an order with the GFA TIF or if there is a crossed market. The

auction will last a predefined duration (currently set to 50 ms) followed by a random period, where the uncross can take place at any point in time during the random period (currently set to 50 ms). During the time

an order book is crossed an Indicative Auction Price will be published. All executions in the Turquoise Lit Auction™ Order Book on Oslo Børs will take place at or within the current

visible best bid offer spread (BBO), provided that the BBO is valid (please see section 7.4.3 for details).

Circuit Breakers do not apply to trading in the Turquoise Lit Auction™ Order Book.

HALT SESSION

When a Turquoise Lit Auction™ Order Book on Oslo Børs is in a Halt session, no orders may be inserted or

amended, and no orders will be executed. However, the member may cancel orders.

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Please note that if the Lit Order Book is changed to a Halt session, the Turquoise Lit Auction™ Order Book

does not automatically change its session. However, because there will not be a valid BBO from the Lit Order

Book in this scenario, no executions will occur in the Turquoise Lit Auction™ Order Book.

INSTRUMENT TRADING STATUS

INSTRUMENT HALT (MATCHING HALT)

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 (see 5.2.1) if it is not already in a Halt session and the closing price for the instrument is sent out.

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 a Re-opening Auction Call is started if the instrument is scheduled to be in Regular Trading at that point. If the instrument is scheduled to be in another session, it will be moved to that session.

Note that the closing price will be sent out as normal after the Closing Auction Call, even if a closing price has

been sent out when the instrument was halted.

REGULATORY SUSPENSION (TRADING HALT)

In accordance with the Rules, 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

The closing price for the instrument is sent out

It is not possible to enter any orders in a suspended instrument. However, this status does not impact the entry of manual trades. When the suspension is lifted, the instrument’s status will be set to Active and a Re-opening Auction Call is started if the instrument is scheduled to be in Regular Trading at that point. If the instrument is scheduled to

be in another session, it will be moved to that session.

Note that the closing price will be sent out as normal after the Closing Auction Call, even if a closing price has

been sent out when the instrument was suspended.

CIRCUIT BREAKERS

A circuit breaker will be triggered when an execution is about to happen (i.e. before the orders are executed) at a price which is outside certain price levels defined for the instrument. When a circuit breaker is triggered

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during the Regular Trading session, the instrument’s session will be changed to Re-Opening Auction Call. The

orders will be carried forward to the call, except IOC orders.

If a circuit breaker is triggered when uncrossing at the end of an auction call, a Price Monitoring Extension will be started i.e. the auction call is extended. This may happen once or twice in one call, see section 5.2.4 which details the number and duration of the extensions.

Note that circuit breakers do not apply to all instruments; please see the document OSLMIT Oslo Børs

Business Parameters – Equities for details.

The circuit breaker triggering levels may be configured for groups of instruments and may vary between the different sessions e.g. the Opening Auction Call triggering levels may be different from those which apply during Regular Trading. Alternatively, the configuration for a group may be overridden for single instruments.

If so, the triggering levels will be the same through all sessions.

There are two types of circuit breakers:

The Static Circuit Breaker, where the triggering levels are a percentage away (higher and lower) from

the Static Reference Price; and

The Dynamic Circuit Breaker, where the triggering levels are a percentage away (higher and lower) from the Dynamic Reference Price

If a percentage is not specified for a circuit breaker, that circuit breaker is not active.

The percentages are published on a daily basis (Reference Data) and re-published via the Market Data feeds if

they are changed for single instruments, throughout the trading day2. However please note that Oslo Børs may change the triggering levels without any advance notice. Also, the Static and Dynamic Reference Prices

may be changed. These changes are not published via the Millennium system.

Price bands are a feature to prevent orders with a clearly erroneous price from being entered. The price bands are defined and published together with the circuit breakers. Section 6.9 includes a description of how

price bands work.

2 Please see section 1.3 for references to the applicable Reference Data and Market Data technical documentation

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ORDERS

This section describes characteristics of orders from a market perspective. Further details are included in the

Technical Specification documents, see section 1.3. In Appendix 2 – Order Types, Sessions and TIFs you will find a summary of the available combinations. Configuration details for the different segments are included in the document OSLMIT Oslo Børs Business Parameters – Equities.

ORDER TYPES – LIT ORDER BOOKS

LIMIT ORDER

A limit order is added to the order book and published with a limit price and a fully visible quantity – unless it is executed in full at order entry. If it is partially matched at order entry the remainder will be added to the

book and published. A limit order will always execute at a price which is equal to or better than its limit price. The limit price must be a multiple of the instrument’s tick size.

MARKET ORDER

A market order has no price attached to it and is used to trade at the best available prices in the order book

during Regular Trading. In an auction uncross, the market orders are executed at the calculated auction price.

Market orders will never persist in the order book during the Regular Trading session. If a market order is submitted during this session and not fully filled its remainder is expired.

Market orders are added to the order book during an auction call session. If the order book is moved from an auction call session to the Halt session, any remaining market orders will expire.

ICEBERG ORDER

For iceberg orders, a disclosed quantity must be specified in addition to the order quantity when submitting an order. For such orders, the system only publishes the disclosed quantity, while maintaining the hidden quantity to replenish the disclosed quantity when the visible quantity is fully executed.

The disclosed quantity must be equal to or greater than the minimum peak size defined in OSLMIT Oslo Børs

Business Parameters document. The total size must be equal to or greater than the minimum total size defined in OSLMIT Oslo Børs Business Parameters document. An iceberg order must be a limit order.

When an iceberg order is received the system considers the entire order quantity (including the disclosed

quantity) when searching for executions.

When a passive iceberg order receives an execution, the execution takes place first from the disclosed

quantity (unless preferencing, see section 7.1). During Regular Trading, as soon as the disclosed quantity of an iceberg order is executed, the system replenishes the disclosed quantity by the lower of the replenishment

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quantity and the remainder of the order. A passive iceberg order loses time priority each time its disclosed

quantity is replenished.

At order entry the user may select which method to use to calculate the replenishment quantity (i.e. ‘original disclosed quantity’ or ‘random quantity’). It is not possible to change the method for an existing order.

The random quantity will be greater than or equal to the order’s original disclosed quantity, and less than or

equal to the original disclosed quantity uplifted by the ‘Random Replenishment Size%’. The ‘Random

Replenishment Size%’ is included in OSLMIT Oslo Børs Business Parameters document. Example: Original disclosed size = 200

Random Replenishment Size% = 20%

Lot size = 1

The random replenishment quantity will be between 200 and 240, rounded down to the nearest lot size. It will be re-calculated each time the disclosed quantity is replenished.

An iceberg order whose hidden quantity has been fully exhausted and is remaining in the order book only

with a visible quantity is considered as a fully visible order.

During auction calls, an iceberg order is included in the calculation of the auction price and volume with its

total quantity. However, only the disclosed quantity is published in the order book.

Further details of iceberg order executions are included in section 7.1.

HIDDEN ORDER

For a hidden order the disclosed quantity is set to ‘0’, and the order is never published in the order book. A hidden order must be a limit order.

A hidden order must have a minimum consideration, so it fits in with the Large in Scale (LIS) definition. Note

that a hidden order which is partially executed will still be a hidden order, even if the order’s size is reduced so that the remaining consideration is less than this requirement. However, such order may not be amended

because the consideration validation is re-applied. Hidden orders are not available for all segments.

PEGGED ORDER

A pegged order is a type of fully hidden order which will always peg to the Visible Midpoint of the same

instrument.

A pegged order may be entered with a “hard limit”. If a pegged order has a hard limit, the order will be set to inactive if the visible BBO moves beyond the hard limit or if the hard limit falls outside the price band

26

thresholds. Likewise the order will be set to active if the visible BBO moves within the hard limit. A pegged

order cannot be an iceberg order i.e. a pegged order is always fully hidden.

A pegged order may be entered with a Minimum Execution Style (MES). Like all other hidden orders, a pegged order must have a minimum consideration, so it fits in with the LIS

definition. A pegged order which is partially executed will still be a pegged order, even if the order’s size is reduced so that the remaining consideration is less than this requirement. However, such order may not be

amended because the consideration validation is re-applied.

Pegged orders are not available for all instruments; see the OSLMIT Oslo Børs Business Parameters document for details.

A pegged order may only use the TIFs DAY,GTT, IOC and FOK, and will be expired by the system at the start of

the Closing Auction Call (or at market close, if there is no Closing Auction Call).

Pegged Order during Regular Trading

When a pegged order is entered during Regular Trading the system will validate if it is large enough to be a hidden order. The order’s consideration is calculated as

Visible Midpoint * Order quantity

If the consideration is smaller than what is required by the LIS definition, or if there is no visible BBO, the order is rejected.

The consideration validation is re-applied if the order is amended by the member. However, the validation will not be re-applied if the order size is reduced through executions, or when the visible BBO is changed

during Regular Trading. If the visible BBO for an instrument disappears (i.e. no bids and/or no offers in the order book), all pegged orders in the instrument are expired by the system.

If a pegged buy (sell) order includes a limit price (aka “hard limit”), and the limit is lower (higher) than the Visible Midpoint, the pegged order will be rejected at entry. The same validation is done if the order is

amended by the member. Also, an existing pegged order will expire if the visible BBO changes so that the order’s limit price is breached.

Pegged Order during Auctions

Pegged orders are not active during auctions. However, a pegged order may be entered during an Opening and Re-opening Auction Call, in which case it will be parked until after the auction uncrossing. When an instrument is moved into a Re-opening Auction Call (e.g. following a circuit breaker or when lifting a

halt), existing pegged orders are parked and will not be included in the auction call or uncrossing. At the start

of the Closing Auction Call all pegged orders expire. When a pegged order is entered or amended during an auction, there will be no validation at order entry of the consideration (whether it is large enough to be a hidden order), or if there is an existing BBO. Both of

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these validations are made after the auction uncrossing (when the instrument moves into the Regular Trading

session).

When an instrument uncrosses after an auction call and moves to Regular Trading, parked pegged orders are un-parked and made available for executions. At this point the pegged order validation is re-applied to check that the pegged order meets the consideration requirement, and that a BBO exists for the instrument.

PASSIVE ONLY ORDERS

New orders may be entered with a ‘passive only’ indicator. Using this indicator with an incoming order the

order will not execute against any visible contra order at order entry. If a visible contra order with an equal or

better price exists, the incoming order with the ‘passive only’ indicator expires with no execution. However there is no protection against executions against hidden contra orders i.e. if a hidden contra order with a price inside the current visible BBO exists, it will execute against an incoming order regardless of the

setting of the incoming order’s ‘passive only’ indicator.

The available options for the ‘passive only’ indicator are:

No constraint i.e. no validation if executions will occur; or

Add the order to the order book at any level; or

Add the order only if it sets a new best bid (offer); or

Add the order only if the order’s price is the same as current best bid (offer), or if it sets a new best bid (offer); or

Add the order only if the order’s price is at the 2nd visible price point or better; or

Add the order only if the order’s price is at the 3rd visible price point or better. For hidden orders, only the first two of the above options are available (‘No constraint’ and ‘Add the order to

the order book at any level’).

The incoming order expires immediately if the condition indicated by the specified indicator is not met.

The ‘passive only’ indicator is only applicable for an incoming order which is

Limit order; and

TIF is one of DAY or GTT or GTD (other TIFs will cause the order to be rejected); and

Submitted during Regular Trading (‘passive only’ indicator is ignored during auctions); and

Not a pegged order (‘passive only’ indicator is ignored) If the price of an existing order with the ‘passive only’ indicator set is modified, the order re-aggress the order

book and the ‘passive only’ indicator is applied during the aggression.

DARK TO LIT SWEEP ORDERS

A routing instruction that will enable a Market or Limit Order to look for liquidity in the Dark book before entering the Lit Order Book. Any remaining quantity after Dark Book execution will be routed to the Lit Order

Book. The time priority in the Lit Order Book will be from the time it enters the Dark Book. IOC is the only allowed TIF for an order with Dark to Lit Sweep routing instruction.

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ORDER TYPES FOR NORTH SEA – DARK MIDPOINT ORDER BOOKS

LIMIT ORDER

A limit order will execute at the limit price, or at a better price.

MARKET ORDER

A market order has no price attached to it and may trade at any valid price from the Lit Order Book. Market orders may be included both during continuous trading and in Turquoise Uncross™. Please note that a

market order in the Dark Midpoint Order Book may persist in the order book throughout the day, subject to

its TIF.

PEGGED ORDER

Pegged orders in the Dark Midpoint Order Book will behave in the same way as Limit orders and Market orders. Unlike the Lit Order Book, a Pegged order in the Dark Midpoint Order Book will not expire if the

Visible Midpoint is not valid or moves beyond the order’s “hard limit”.

ORDER TYPES FOR TURQUOISE LIT AUCTION™ ORDER BOOKS ON OSLO BØRS

LIMIT ORDER

A limit order will execute at the limit price, or at a better price.

PEGGED ORDER

Pegged orders in the Turquoise Lit Auction™ Order Books on Oslo Børs will always peg to the Visible Midpoint

of the corresponding Lit Order Book.

A pegged order may be entered with a “hard limit”. If a pegged order has a hard limit, the order will be set to inactive if the visible BBO moves beyond the hard limit. Likewise, the order will be set to active if the visible BBO moves within the hard limit.

29

TIME IN FORCE (TIF) – LIT ORDER BOOKS

Each of the available TIF settings for the Lit Order Books is described in the below table:

TIF Description

IOC (Immediate or Cancel)

The system will attempt to execute as much as possible of the order’s quantity in the order book, price limit permitting. Any unexecuted quantity expires. If the execution of an IOC order triggers a circuit breaker, the unexecuted quantity of the IOC order is expired. However

any executions from the IOC order which do not violate the circuit

breaker will be carried through.

IOC is not available during an auction call.

FOK (Fill or kill) The order is either fully executed, or it is not executed at all. In both

cases it will expire immediately. If the execution of a FOK order would trigger a circuit breaker, the FOK order is expired without any executions taking place and the circuit breaker is not triggered.

FOK is not available during an auction call.

GTT (Good till time) The order will be executed as much as possible, and any unexecuted

quantity will reside in the order book until it expires at the specified time on the current date, or until it is executed, or at the end of the Post Close

session, or it is cancelled by the user. Please note that a GTT order will NOT expire in an auction call, even if the set expire time is passed. If so, it will expire after the auction call uncrossing has completed.

GTD (Good till date) The order will be executed as much as possible, and any unexecuted

quantity will reside in the order book until end of day on the specified date, or until it is executed or cancelled.

The date may be specified up to 90 calendar days ahead.

ATC (At the close) An ATC order may be entered during any session where order entry is

allowed. If the order is entered before the Closing Auction Call starts, it will be parked, and injected into the order book when the Closing Auction Call starts. When the auction call ends, any unexecuted part of the order expires. Note that if the instrument is moved to another

session during the Closing Auction Call (e.g. Halt), any ATC orders will

expire.

OPG (At the open) An OPG order may be entered during the Opening Auction Call only. When the auction call ends, any unexecuted part of the order expires.

Note that if the instrument is moved to another session during the Opening Auction Call (e.g. Halt), any OPG orders will expire.

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TIF Description

GFA (Good for auction) A GFA order may be entered during any session which accepts order entry. The order will be parked if the current session is not an auction call, and then injected into the order book when the next auction starts –

irrespective of the type of auction (open, close or re-opening). When the

auction ends, any remaining part of the GFA order expires. Note that if the instrument is moved to another session during the call (e.g. Halt), any GFA orders will expire.

GFS (Good for scheduled auction)

A GFS order may be entered during any session which accepts order entry. The order will be parked if the current session is not a scheduled auction call, and then injected into the order book when the next scheduled auction starts. When the auction ends, any remaining part of the GFS order expires. Note that if the instrument is moved to another

session during the call (e.g. Halt), any GFS orders will expire.

Scheduled auctions include the Opening, Closing and Intra-Day Auction Calls.

DAY (Good for day) The order will be executed as much as possible, and any unexecuted

quantity will reside in the order book until it expires at market close, or until it is executed, or cancelled by the user.

TIME IN FORCE (TIF) FOR NORTH SEA – DARK MIDPOINT ORDER BOOKS

Each of the available TIF settings for the Dark Midpoint Order Book is described in the below table:

TIF Description

IOC (Immediate or

Cancel)

The system will attempt to execute as much as possible of the order’s

quantity in the Dark Midpoint Order Book in continuous trading. Any unexecuted quantity expires.

IOC is not available during Turquoise Uncross™.

FOK (Fill or kill) The order is either fully executed, or it is not executed at all, in continuous trading. If the order is not executed it will expire immediately.

FOK is not available during Turquoise Uncross™.

GTT (Good till time) The order will be executed as much as possible, and any unexecuted

quantity will reside in the order book until it expires at the specified time

on the current date, or until it is executed, or it is cancelled by the user.

GFA (Good for auction) A GFA order to the Dark Midpoint Order Book will take part in the first

scheduled Turquoise Uncross™ where it may be executed. After the first

scheduled uncross the order expires, even if the uncross was not

performed due to an invalid reference price. Please note that a GFA order to the Dark Midpoint Order Book cannot be

amended or cancelled.

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TIF Description

DAY (Good for day) The order will be executed as much as possible, and any unexecuted quantity will reside in the order book until it expires at market close, or until it is executed, or cancelled by the user.

TIME IN FORCE FOR TURQUOISE LIT AUCTION™ ORDER BOOKS ON OSLO BØRS

Each of the available TIF settings for the Turquoise Lit Auction™ Order Book on Oslo Børs is described in the below table:

TIF Description

GFA (Good for auction) A GFA order to the Turquoise Lit Auction™ Order Books will trigger the

auction, and participate in the first uncross. After the first uncross the order expires, even if the uncross was not performed due to an invalid

reference price.

DAY (Good for day) The order will be executed as much as possible, and any unexecuted

quantity will reside in the order book until it expires at market close, or until it is executed, or cancelled by the user.

PARKED ORDERS

In some cases, an order will be “parked” on entry. This will happen e.g. when entering an order with TIF GFA, GFS or ATC during Regular Trading. When an order is parked, it is not available for execution and it will not be published in the order book. However, a user may modify a parked order.

When the appropriate session starts and the parked order is injected into the order book, the order will

receive a time priority as if it was inserted into the order book by the member at session start. The order will have a lower time priority than orders which already were active in the order book, and a higher (better) time

priority than any orders arriving in the order book during the session in question. The relative time priority between parked orders is not changed.

ORDER SIZE

The lot size is 1 for all securities, and the minimum order size is 1. All quantities are integer numbers i.e. fractions are not allowed.

There are some exceptions to the minimum size for orders:

Hidden and pegged orders in the Lit Order Book must fit in with the Pre-trade LIS definition.

The minimum disclosed quantity (the peak size) of an iceberg order must be greater than the

minimum peak size which is defined relative to the Exchange Market Size (EMS). In addition, the total value of an iceberg orders must exceed the minimum value described in OSLMIT Oslo Børs Business Parameters – Equities.

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Orders in the Dark Midpoint Order Book and Pegged orders in the Lit Order Book may have a Minimum

Execution Size (MES). The MES defines the smallest acceptable execution for the order. If there are no contra orders with an executable quantity equal to or larger than the MES, there will be no execution. The default setting is that the MES will apply to the first fill only. This setting may be changed for individual users so that the MES applies to all fills. The setting may be different for non-persistent orders (i.e. IOC, FOK) and for

persistent orders.

ORDER PRICE

The trading currency is defined for each instrument. The price of an order must be in a multiple of the security’s tick size. However, it should be noted that a trade

resulting from executed orders may have a price between tick sizes, e.g. if the passive order was a pegged

order, or if the orders are executed in the Dark Midpoint Order Book. The current tick sizes are included in OSLMIT Oslo Børs Business Parameters - Equities.

For most instruments price band limits are defined3. The price band is a certain percentage away from the

static reference price, on both sides (i.e. both higher and lower than the static reference price). Price Bands

do not apply to orders in the Dark Midpoint Order Book. The price of each incoming limit order will be compared with the price band. If the price exceeds the limit, the

order will be rejected. Also, during the Pre Trading session in the morning, the price of all overnight orders is compared with the price band limits. If an order’s price falls outside the price band limits, it will expire.

The general guidelines for setting the price band tolerances are included in OSLMIT Oslo Børs Business

Parameters – Equities. However some instruments will have different tolerances, e.g. instruments which are

traded at very low prices (“penny-stocks”). The actual tolerances are available in the reference data on a daily basis.

Please note that the limits may be changed at any time during a trading day subject to Oslo Børs’ assessment.

AUTO CANCEL

Each User may be configured so that any active orders which are sent from this User will be automatically cancelled if it is disconnected or logged out. The configuration options are:

On disconnect: o Do not cancel on disconnect o Cancel on disconnect

o Cancel on disconnect, but exclude GTD orders

On logout:

o Do not cancel on logout o Cancel on logout

o Cancel on logout, but exclude GTD orders

3 Please note that this feature is designed to prevent erroneous order entries, and does not correlate with the ‘correct

market price’ term used in the Rules

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Additionally, a disconnect delay may be specified, which defines the number of milliseconds the system will

wait for the connection to be re-established 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’. This override feature is not available for orders to the Dark Midpoint

Order Book.

The default setup is ‘Do not cancel on disconnect / logout’. The member may specify this setup when a

connection enablement is established or amended.

SELF EXECUTION PREVENTION

Members who wish to avoid self-execution may request to register one or more of their Users in a Self

Execution Prevention Group (“SEP Group”). One member may establish several SEP Groups, but one User may only be included in one SEP Group. The SEP Group will apply to both the Lit Order Book and the Dark Midpoint Order Book.

Each User in a SEP Group will be assigned with one of the following standing SEP instructions:

Cancel Incoming Order (CIO); or

Cancel Resting Order (CRO)

When an incoming order from a User which is included in a SEP Group is about to execute with a contra order which has been entered by a User which is included in the same SEP Group, the orders will be processed in

accordance with the incoming (aggressive) order’s SEP instruction:

SEP instruction of incoming order

Processing

Cancel incoming order (CIO) The incoming order expires

The contra order is left unexecuted in the order book

Cancel resting order (CRO) The contra order expires

The incoming order continues to execute with other orders. Any remainder of the incoming order is left in the order book

Please note that Self Execution Prevention will not be applied during auctions or Turquoise Uncross™, and it will not be applied for TIFs FOK, GFA, GFS, OPG and ATC. Also, it will not be applied for orders being added to a Dark Midpoint Order Book if the Visible Midpoint of the corresponding Lit Order Book is not valid i.e. the WFMC fails, see section 7.3.1 for details.

If an existing order’s price is modified, the order will re-aggress the order book and the SEP instruction will be

applied during the aggression.

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EXECUTION INSTRUCTION

The user may determine for each order to the Dark Midpoint Order Book if the order shall be eligible for continuous trading or Turquoise Uncross™ or both. The default setting is that orders should be eligible for both. However this default may be changed for each user by agreement with Oslo Børs.

SOLD OUT STATE

For certain illiquid ETN or Warrant products where the issuer is also the only market maker, the instrument may be set to a ‘Sold Out State’ if the issuer has exhausted their holding of the security or due to unforeseen and unexpected circumstances. When this ‘Sold Out’ condition occurs, other participants will be prevented from entering Buy orders until the issuer has restocked. The state may change Intra-day and will be communicated through Market Data.

OTHER INFORMATION CONNECTED WITH AN ORDER

The fields below are included with each order, and will be passed through to any trades which are executed

from the order:

Dealing Capacity (mandatory field): Indicates in which capacity the participant is dealing; i.e. ‘Dealing

on own account’ or ‘Matched Principal’ or ‘Any Other Trading Capacity’.

Clearing Account Type (mandatory field): Available options are: ‘House’ or ‘Client’. This field is just passed through, and is not processed by the trading system.

Account (optional field): May be used e.g. to specify a reference to the client on whose behalf the member inserted the order. For the trading system, this is a pass-through field and is not processed.

Executing Trader (mandatory field): Indicates the short code of the person or system executing the

order.

Investment Decision Maker (mandatory field): Indicates the short code of the person or system who made the investment decision.

Client (mandatory field): Indicates the short code of the person or firm/legal entity the order was

entered on behalf of.

Liquidity Provision Flag (optional field): Indicates that the order was entered under a market maker

arrangement.

Algorithm Flag (optional field): Indicates that the order was entered using an algorithm, as defined in MiFID II (see the reference in section 1.4).

When an order is added to the order book, the Price Differential is calculated and returned to the submitter

of the order. The Price Differential shows

If the new order matched upon aggression when being added to the book directly; or

If the new order set a new BBO; or

If the new order joined the existing BBO; or

At which price level (2nd to 9th) the order was added; or

If the new order was added as a hidden order to the order book It will only be re-calculated when the order’s price is modified i.e. there is no continuous update. Also, it should be noted that for overnight (GTD) orders the Price Differential is not updated when the market starts on the following day.

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When an iceberg order has been executed, the Type of Trade is reported back to the owner of the order. The

Type of Trade indicates if the execution was from the visible or the hidden portion of the order.

ORDER MANAGEMENT – LIT ORDER BOOKS

Open orders may be cancelled or amended by the member who submitted the order. Also, there are available functions for mass cancellation of orders – please see the technical documentation for details.

On request by the member, Oslo Børs Market Supervision can cancel a member’s orders. This option is intended for emergency use only, and should not be relied upon as a regular practice. The member may amend the following attributes of an open order:

Order quantity

Disclosed quantity

Limit price

Expiry date of a GTD order

Expiry time of a GTT order

Minimum Execution Size (MES) for Pegged Orders

Amendments to increase order quantity (disclosed or hidden), or to change the price cause the order to re-

aggress the book. Therefore, this results in a loss of time priority. A reduction in the order quantity (disclosed or hidden), or an amendment to the expiry date or expiry time does not cause a loss of time priority. Note that an iceberg order or a fully visible order may not be amended to become a hidden order, and a hidden

order may not be amended to become a fully visible or an iceberg order.

A fully visible order may be amended to become an iceberg order. However, the resulting iceberg order will use the original disclosed size for replenishment i.e. random replenishment is not available in this scenario.

If the price of an existing order with the ‘passive only’ indicator set is modified, the order re-aggress the order book and the ‘passive only’ indicator is applied during the aggression.

If the price of an existing order which is subject to Self Execution Prevention (SEP) is modified the order will

re-aggress the order book and the SEP instruction will be applied during the aggression.

An amended order is re-validated as if it was a new order e.g. an iceberg order must meet the requirements for the minimum disclosed size, and a hidden or pegged order must meet the requirement to fit in with the

LIS definition i.e. the consideration of the remaining (unexecuted) quantity must be greater than the

minimum. If this validation fails, a hidden order will remain unchanged in the order book, while a pegged order expires and is removed from the order book.

ORDER MANAGEMENT – DARK MIDPOINT ORDER BOOKS

Open orders may be cancelled or amended by the member who submitted the order (except GFA orders, which may not be amended or cancelled). In addition, there are available functions for mass cancellation of

orders – please see the technical documentation for details.

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On request by the member, Oslo Børs Market Supervision can cancel a member’s orders. This option is

intended for emergency use only, and should not be relied upon as a regular practice.

The member may amend the following attributes of an open order:

Order quantity

Limit price

Expiry time of a GTT order

Minimum Execution Size (MES)

Execution Instruction

If the order quantity, the price, the execution instruction or the MES is amended the order will re-aggress the Dark Midpoint Order Book and – if it is not fully executed – receive a new time priority.

ORDER MANAGEMENT – TURQUOISE LIT AUCTION™ ORDER BOOKS ON OSLO BØRS

Open orders may be cancelled or amended by the member who submitted the order. In addition, there are available functions for mass cancellation of orders – please see the technical documentation for details.

On request by the member, Oslo Børs Market Supervision can cancel a member’s orders. This option is

intended for emergency use only, and should not be relied upon as a regular practice.

The member may amend the following attributes of an open order:

Order quantity

Limit price

If the order quantity or the price is amended the order will re-aggress the Turquoise Lit Auction™ Order Book and receive a new time priority.

ORDER PRIORITY – LIT ORDER BOOKS

Orders in the Lit Order Books are prioritized as follows:

1st priority: Price: Buy orders with the highest price and sell orders with the lowest price have the highest priority. Note that market orders will always be considered to have a higher price priority than limit orders.

2nd priority: Counterparty: At one price level, passive orders from the same member as the member who

owns the aggressing order will have the highest priority (“preferencing”)4.

4 This assumes that the member is configured to use the preferencing feature.

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3rd priority: Visibility: With the same price and counterparty priority, the orders can have four priorities in

terms of their visibility:

First, visible orders and visible parts of iceberg orders

Second, hidden part of iceberg orders

Third, hidden orders

Fourth, pegged orders 4th priority: Time: An order which has entered the order book first has priority over an order that was entered

later. Note that order amendments may impact the time priority (see section 6.15). When a parked order

(e.g. GFA or ATC) is injected into the order book, the time priority is considered based on the order injection

time, not the order submission time. When the visible quantity of an iceberg order is replenished, the visible

quantity’s time priority will be based on the time of the replenishment.

ORDER PRIORITY – DARK MIDPOINT ORDER BOOKS

Orders in the Dark Midpoint Order Book are prioritized as follows:

1st priority: Counterparty: Passive orders from the same member as the member who owns the aggressing order will have the highest priority (“preferencing”) 5.

2nd priority: Size: Orders with the largest order quantity have the highest priority. If an order has been

partially executed the priority is calculated from the original order quantity.

3rd priority: Time: Out of orders with the same order quantity, older orders have higher priority than newer orders. Note that amendment to the order’s price or MES may impact the time priority.

5 This assumes that the member is configured to use the preferencing feature.

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ORDER EXECUTION

ORDER EXECUTION DURING REGULAR TRADING / MULTIPLE PRICE MICRO AUCTIONS – LIT ORDER BOOKS

During Regular Trading the orders will be executed in accordance with their priority. The execution price will be the passive order’s price.

EXECUTION AT ONE PRICE LEVEL

When an incoming (aggressing) order can execute at the contra side’s best price level, the following will take

place at that price level:

Counterparty preferencing: Execute with orders from the same member as the aggressing order6. The passive orders which are eligible for preferencing are executed in accordance with their priority. However, there is an exception when preferencing: If a passive preferenced order has a hidden quantity (e.g. an iceberg order), the

hidden quantity is executed before any visible quantity of that order. One order must be completely filled

before moving on to the next order to be preferenced.

Visible orders: Execute with visible orders and visible parts of orders from other members. The visible

quantities will be fully filled in accordance with their time priority.

Hidden part of iceberg orders: If the remaining quantity of the aggressing order is less than the cumulative hidden quantity of the remaining iceberg orders, the remaining aggressing quantity is pro-rated across the

iceberg orders (see section 7.1.2 for details). If the remaining quantity of the aggressing order is equal to or greater than the cumulative hidden quantity of the remaining iceberg orders, all iceberg orders are executed in full.

Hidden orders: The remaining quantity of the aggressing order is executed against passive hidden limit orders. The hidden limit orders are executed in accordance with their time priority.

Pegged orders: The remaining quantity of the aggressing order is executed against passive pegged orders. The pegged orders are executed in accordance with their time priority. Note that there is no difference between pegged orders with a hard limit and pegged orders without a hard limit in terms of their priority.

If the order quantity of an incoming (aggressive) order is equal to or greater than the cumulative total

quantity (including hidden quantity) at the contra side’s best price, then the aggressing order executes against the total quantity of each passive order based on the order priority. When executing against an iceberg order in this scenario, a single execution is generated against both the visible quantity and the hidden quantity.

If there is a remaining (unexecuted) quantity of the aggressing order after all passive orders at one price level have been executed, the process will continue with the next price level, limit price permitting. If no more

executions can be made, the aggressing order is added to the order book or expired in accordance with its TIF.

6 This assumes that the member is configured to use the preferencing feature.

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PRO-RATING OF ICEBERG ORDERS

As mentioned above, if the incoming aggressive order has remaining quantity after executing with the visible portions of the passive orders, then the remaining quantity is pro-rated across the iceberg orders. Following are the conditions that need to be satisfied for the above:

1. After executing against the visible quantity at the price point there is more quantity remaining in the aggressing order

2. There is more than one iceberg order for the price point in question that is eligible to be executed

with the available quantity of the aggressing order 3. The total size of the hidden quantities of the iceberg orders is more than the remaining size of the

aggressing order

If all conditions above are true, the available quantity of the aggressing order is pro-rated among the hidden

quantities of the iceberg orders according to the following logic:

Allocated Quantity = (HS / THS) * RAS

HS: Hidden Size of the passive order just before the contra order started aggressing the book

THS: Total Hidden Size of iceberg orders at the particular price point just before the contra order started

aggressing the book

RAS: Remaining Size of the aggressing order after the visible quantities at the price point have been exhausted i.e. the remaining size of the aggressing order immediately before the hidden quantity executions begin.

Allocated Quantity will be the minimum of the Hidden Size, the (HS / THS) * RAS and the available remaining

quantity of the aggressing order. Example:

Hidden quantity Visible quantity

Order A 5,000 1,000

Order B 3,000 500

Order C 20,000 100

Aggressing order: 15,000 @ same price

1. The visible quantities are executed:

a. Order A: 1,000 b. Order B: 500 c. Order C: 100

2. The remaining 13,400 is allocated pro rata to iceberg hidden quantity:

a. Order A: 5/28 x 13,400 = 2,393 b. Order B: 3/28 x 13,400 = 1,436 c. Order C: 20/28 x 13,400 = 9,571

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ORDER EXECUTION DURING OPENING / RE-OPENING / CLOSING AUCTION CALLS / SINGLE PRICE MICRO AUCTION – LIT ORDER BOOKS

CALCULATING THE AUCTION PRICE

In an auction uncross, all orders are executed at the same price. The price is calculated as described in the

four steps below. Note that all orders are included in the calculation with their full quantity, except pegged and other parked orders.

Step 1: The auction price will be the price at which the largest quantity can be executed i.e. the price at which

the executable quantity is maximized. Step 2: If the quantity is maximized at multiple prices then the auction price will be the price at which the

order imbalance is minimized. The order imbalance at a particular price will be the difference between the

following two quantities:

The aggregate quantity of all market buy orders and limit buy orders with prices equal to or greater than the price being considered; and

The aggregate quantity of all the market sell orders and limit sell orders with prices equal to or less than the price being considered.

Step 3: If the Order Imbalance is minimized at multiple prices then the concept of market pressure will be

used. Market Pressure will be calculated as follows:

If there is an imbalance on the buy side at all of the prices at which the imbalance is minimized, the highest of these prices is considered.

If there is an imbalance on the sell side at all of the prices at which the imbalance is minimized, the

lowest of these prices is considered.

If there are buy and sell imbalances at the prices at which the imbalance is minimized, the following two prices are considered for the fourth step outlined below:

o The highest among those with a buy imbalance; and o The lowest among those with a sell imbalance

Step 4: If step 3 resulted in two prices, then the auction price is determined as follows when comparing the

two prices against the Dynamic Reference Price:

If the Dynamic Reference Price is equal or greater than the highest price, then the highest price should be chosen as the auction price.

If the Dynamic Reference Price is equal or less than the lowest price, then the lowest price should be

chosen as the auction price.

If the Dynamic Reference Price is in between the two prices, then the Dynamic Reference Price should be chosen as the auction price.

In a scenario where the order book contains only market orders and there are market orders for both sides,

the auction price is the Dynamic Reference Price. If a Dynamic Reference Price is not available for the instrument, an auction does not take place and the order book is moved to the next trading session and all market orders expire.

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ORDER EXECUTION

The orders that are executable at the selected auction price are first identified. The side in the order book with the imbalance should then be identified. The side with the imbalance is the passive side and the contra

side is the aggressive side. If there is no imbalance, the buy side will be the aggressive side. The orders on the aggressive side are executed against the executable orders on the passive side. The entire executable quantity on the aggressive side (both visible and hidden) is fully filled. The passive orders are executed in accordance with their order book priority, as described for executions

during Regular Trading (see section 7.1), except that pegged orders are not included during an auction

uncross.

ORDER EXECUTION IN DARK MIDPOINT ORDER BOOKS

Order execution in the Dark Midpoint Order Book may be triggered by one of the following events: 1. A new order aggresses the Dark Midpoint order Book 2. The Visible Midpoint in the Lit Order Book changes

3. The result of the WFMC changes from “failed” to “successful” 4. A Turquoise Uncross™ event

All executions in the Dark Midpoint Order Book will take place at the current Visible Midpoint from the

corresponding Lit Order Book, subject to a successful validation of the price in the Well Formed Market Check (WFMC), see below. This applies to executions both in continuous trading and during Turquoise Uncross™.

The orders are executed in accordance with their priority in the order book, see section 6.19 for details.

WELL FORMED MARKET CHECK (WFMC)

The Well Formed Market Check (WFMC) will continuously monitor if the Visible Midpoint is valid for

executions in the Dark Midpoint Order Book. The WFMC monitors if

Is the Lit Order Book available for trading (i.e. In trading session Regular Trading); and

Does a high price and low price exist for the Lit Order Book; and

Is the Visible Midpoint at or inside the high and low prices; and

Is there a spread in the Lit Order Book; and

Is the spread in the Lit Order Book greater than or equal to the defined minimum spread for the instrument; and

Is the spread in the Lit Order Book less than or equal to the defined maximum spread for the

instrument.

If all of these checks are successful, the Visible Midpoint is valid for executions in the Dark Midpoint Order Book.

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ORDER EXECUTION IN TURQUOISE LIT AUCTION™ ORDER BOOKS ON OSLO BØRS

CALCULATING THE AUCTION PRICE

In an auction uncross, all orders are executed at the same price. The price is calculated as described in the steps below. Step 1: The auction price will be the price at which the largest quantity can be executed i.e. the price at which the executable quantity is maximized and that is at or within the valid Visible BBO (see section 7.4.3) of the

corresponding Lit Order Book.

Step 2: If the quantity is maximized at multiple prices then the auction price will be the price closest to the Visible Midpoint price of the corresponding Lit Order Book.

ORDER EXECUTION

The orders that are executable at the selected auction price are first identified. These orders are then

executed in accordance with their priority in the order book, which is determined as follows: 1st priority: Counterparty: Passive orders from the same member as the member who owns the aggressing

order will have the highest priority (“preferencing”) 7.

2nd priority: Time: Older orders have higher priority than newer orders. Note that amendment to the order’s price or quantity may impact the time priority.

WELL FORMED MARKET CHECK (WFMC)

The Well Formed Market Check (WFMC) will continuously monitor if the Visible Midpoint in the Lit Order

Book is valid for executions in the Turquoise Lit Auction™ Order Book on Oslo Børs. The WFMC monitors if

Is the Lit Order Book available for trading (i.e. In trading session Regular Trading); and

Does a high price and low price exist for the Lit Order Book; and

Is there a spread in the Lit Order Book; and

Is the spread in the Lit Order Book greater than or equal to the defined minimum spread for the

instrument; and

Is the spread in the Lit Order Book less than or equal to the defined maximum spread for the instrument.

If all of these checks are successful, the Visible BBO is valid for executions in the Turquoise Lit Auction™

Order Book.

7 This assumes that the member is configured to use the preferencing feature.

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TRADES

AUTOMATIC TRADES

When orders are executed by Millennium, trades are automatically created, trade details are disseminated to

the involved parties via the Post-Trade Gateway, and public information is published via the Market Data Gateways.

In Millennium, automatic trades are not assigned a specific trade type.

Trades which are subject to CCP clearing are identified by setting the counterpart to the CCP’s “Member ID”

in the private information to each member. Such trades are automatically forwarded to the CCP.

OFF-BOOK (MANUAL) TRADES

NEGOTIATED TRADES

A negotiated transaction in shares, depositary receipts, ETF, certificates or other similar financial instruments

shall be considered to be a transaction which is negotiated privately but reported under the rules of a trading

venue and where any of the following circumstances applies: a. two members or participants of that trading venue are involved in any of the following capacities:

i. one is dealing on own account when the other is acting on behalf of a client; ii. both are dealing on own account;

iii. both are acting on behalf of a client. b. one member or participant of that trading venue is either of the following:

i. acting on behalf of both the buyer and seller; ii. dealing on own account against a client order.

REPORTING

Negotiated trades, i.e. trades executed away from the order book/ manual trades can be reported and published via Millennium. The trade reporting model is ‘single sided’ i.e. only one member firm reports the trade. Please see the Rules for details about who should report.

Each reported off-book trade must include information about:

Counterpart ID: The Member ID of the counterpart, or - if the counterpart is not a member – a

“generic” ID (i.e. “NMBR”)

Date and time of the trade execution, when agreed between the parties

Buy or Sell

Price and Size of the trade. Please note that the price is not validated against current market price or

the tick size table. The price may be reported with up to 8 decimals and must be in the currency of

the normal order book. If the trade has originally been executed in a different currency, additional

fields are available to enter the original currency and price.

Trade type: Several options are available as listed in Appendix 1 – Off-book Trade Types. Note that delayed publication of trades is managed by the use of trade type.

Dealing Capacity of the Member: Matched Principal (“R”) or Dealing on own Account(“P”) or Any other dealing Capacity (“A”)

44

Settlement Date

Converted currency indicator, if the execution is done in another currency and converted into the

currency of the Oslo Børs order book.

Reporting condition, if the terms of the trade conflicts with market conditions.

The time when a manual trade is reported to the exchange is set by the system. The delayed publication regime follows the MiFID II regulation (see the reference in section 1.4), where maximum deferral time is dependent on the trade’s consideration and the ADT of the security, in which case

the dealing capacity of the counterparty must also be specified. Please note that if the trade’s consideration is smaller than the minimum consideration for deferral, the trade will be published immediately.

A manual trade which has been reported and awaits future publication may be manually pre-released by the member. When pre-released, the trade will be published immediately.

REPORTING HOURS

The reporting of manual trades will be available on normal trading days. Half-days are defined in accordance

with the normal practice of each country. The availability of trade reporting during the day is managed by the

use of off-book sessions. Note that these are different from the sessions described for on-book trading in

section 5.1. The actual times for the different sessions are set out in the OSLMIT Oslo Børs Parameters - Equities

document.

The off-book sessions are:

Session Time Events in session

Trade Reporting

See Business Parameters

“Grace period”. The start of this period will be published as a session change on market data. Any off book trade that

has a Transact Time after the previous day’s trade reporting end time and prior to today’s Grace period start time would

not be tagged as Late Trades if they are reported within the

Grace period. “Trade Reporting 1”: Normal trade reporting is available.

“Trade Reporting 2”: Previous day’s delayed trades to be “published at noon next day” will be published. Normal

trade reporting is available. “Trade Reporting 3”: Delayed trades reported during this

period with publication End of Day will be published during the grace period next trading day. The end of this period

will be published as a session change on market data.

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The start of the Trade Reporting session will be published on market data.

Post Close See Business Parameters

Market Surveillance may cancel trades

The start of the Post Close session will be published on market data

Halt Unscheduled Under special circumstances, manual trade reporting in an instrument may be halted by Market Surveillance. The start

and end of an off-book Halt will be published on market data

TRADE AMENDMENT / CANCELLATION

Trade amendment may only take place on the day of the trade report / trade execution, and is only supported

for Off-book trades. The attributes of the trade that can be amended are Price, Volume and the capacity on

each side of the trade.

Trades can be cancelled until the day before settlement (s-1).

Note that fees may apply for trade amendments / cancellations. Please see our price lists for details.

Off-Book Trades

When submitting an amendment the process is:

If the trade to be amended is a Off-book trade, and the change is either on the Price, Volume or the

capacity on either side of the trade

o Contact Oslo Børs to perform the trade Amendment.

In all other circumstances

o Cancel the original trade report by submitting a cancellation message using the original trade

code. The cancellation must be made by the reporting member. Alternatively, the member may request assistance from Oslo Børs.

o If correcting, a new trade report containing the corrected details must be submitted.

Automatic Trades

Cancellation of automatic trades can only be done by the members who are involved in the trade. Both the buying and the selling member must cancel his side before the trade is cancelled. Alternatively, the members

may request assistance from Oslo Børs.

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MARKET INFORMATION - TRANSPARENCY

Market information is published to members and information vendors via the Millennium Market Data

Gateways. Detailed information about the contents and structure of the available data may be found in the technical documentation, see section 1.3.

ORDERS

For all instruments, all visible orders - including visible parts of iceberg orders - residing in the Lit Order Book will be updated and published continuously until the start of the Post-close session.

Hidden orders in the Lit Order Book – including pegged orders and the hidden part of iceberg orders – will never be published. However, during auction calls the published executable quantity at the Indicative Auction Price will include any iceberg or hidden orders which may be executed in the uncrossing.

During the auction call periods, the Indicative Auction Price (aka “equilibrium price”) is continuously

calculated and published.

For each visible order, the system publishes

Instrument

Buy/sell

Price

Quantity (current peak for iceberg orders)

Order ID

No information about orders is published from the Dark Midpoint Order Book.

For the Turquoise Lit Auction™ Order Books on Oslo Børs no information about individual orders will be published. However, during the auction periods, the Indicative Auction Price is continuously calculated and published.

TRADES

Trades which are created from automatic order execution are always published in real time. The same applies

for off-book trades, unless delayed publication is requested and the trade’s consideration is sufficient for the publication to be deferred.

For all trades, the following information will be published:

Instrument

Price

Volume

Trade Type

Trade date and time

For Amended trades, the following additional information will be published:

Original Trade ID

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The trades are published as single trades as anonymous trades.

Trades, which have been created from executions in the Dark Midpoint Order Book or Turquoise Lit Auction™ Order Book on Oslo Børs, are published in the same way. The messages include information that the trade is originated from the Dark Midpoint Order Book or the Turquoise Lit Auction™ Order Book.

STATISTICS

For on-book trades from the Lit Order Book the following statistics per instrument are available from the Market Data gateways:

Opening and closing price

Cumulative traded quantity, turnover and number of trades

Calculated VWAP, high and low prices

OPENING PRICE CALCULATION

The opening price is set to the price of today’s first executed trade – either in an auction or during Regular

Trading.

CLOSING PRICE CALCULATION

There are three methods for calculating the closing price. Below, the methods are described. The OSLMIT Oslo Børs Business Parameters – Equities document details which method is used for each segment.

In certain circumstances the closing price may be changed manually by market supervision. In that event, the

changed closing price will be disseminated via the market data feeds.

Closing Auction / Last Trade

This method is only applicable for instruments where a Closing Auction Call is configured. The closing price is

set to

The execution price of the closing auction; or

If there were no executions in the closing auction, the last executed trade (from Regular Trading or an auction); or

If there were no trades on the current day, the previous day’s closing price; or

If there was no closing price on the previous day, the reference price; or

If there is no reference price, the closing price is undefined.

Last Trade

This method is applicable for instruments where a Closing Auction Call is not configured. The closing price is set to

The last executed trade (from Regular Trading or an auction); or

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If there were no trades on the current day, the previous day’s closing price; or

If there was no closing price on the previous day, the reference price; or

If there is no reference price, the closing price is undefined.

Mid Price

The closing price is set to

The mid of the visible BBO at the end of Regular Trading; or

If there was no best bid or no best offer at the end of Regular Trading, the last executed trade (from Regular Trading or an auction); or

If there were no trades for the entire day, the closing price will be the best bid price or the best offer price (whichever is available); or

If neither the best bid nor the best offer price is available, the closing price will not be computed.

OTHER INFORMATION

In addition to information related to orders and trades, Oslo Børs will publish through the system

All indices calculated by Oslo Børs in real time (including e.g. OBX, OSEBX)

OBDN News – company announcements which the issuers publish through Oslo Børs’ Distribution Network (OBDN) service. Announcements which are published by Oslo Børs (e.g. Mandatory

notification of trade, Listing of securities, Notification of large shareholdings) are also included. Reference data is not included in the feeds from Millennium Exchange itself, but will be available for

download from an SFTP site. Reference is made to the technical documentation, see section 1.3.

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CLEARING AND SETTLEMENT

Two models for clearing and settlement are supported:

Bilateral settlement; and

Central Counterparty (CCP) clearing Note that the parameter which defines an instrument’s clearing type (i.e. if it is included in CCP clearing or

not) is set for each individual instrument. This means that in some cases cleared and non-cleared instruments may exist in the same segment.

All manual trades are assumed to be bilaterally settled.

The default settlement schedule is included in OSLMIT Oslo Børs Business Parameters – Equities and will apply

to all automatic and manual trades. However for individual manual trades a different settlement schedule may be agreed between the parties.

CCP CLEARING

CCP clearing is only applicable for trades which are automatically executed.

Information about which instruments are subject to CCP clearing is included in the reference data, and it is included with the private trade information. See OSLMIT Oslo Børs Business Parameters – Equities for

information on which CCPs are available for the different segments.

Detailed information about the executed trades which are to be processed by each CCP will be sent directly from the Millennium Exchange system to the CCP. This information includes i.a.:

Instrument

Trade ID

Traded price and quantity

Clearing member (as defined for the Trader Group)

Capacity (retrieved from the executed order)

Account (Client reference) (retrieved from the executed order)

Clearing Account Type (retrieved from the executed order)

INTERNALIZATION

It is possible to internalize a trade if the Trader Groups on both the buy and the sell side belong to the same

member, and are configured to be subject to internalization. An internalized trade will not be cleared and is not sent to the CCP.

The default configuration is to configure all Trader Groups for internalization. The member may specify whether internalization should apply for a Trader Group when a connection enablement is established or

amended.

50

APPENDIX 1 – OFF-BOOK TRADE TYPES

Trade Type Name Venue Publish

MiFID II

Flags populated by the Reporter

MiFID II Flags

populated by the system

O Ordinary trade

(Subject to the current volume weighted spread)

XOSL/

XOAS/ MERK (*)

Immediate NLIQ/OILQ

OK Ordinary trade – delayed publ. requested

(Subject to the current volume weighted

spread)

XOSL/ XOAS/

MERK (*)

Delayed if meets size

requirement

NLIQ/OILQ LRGS

NT Non-ordinary trade

(subject to conditions

other than market price)

XOSL/

XOAS/

MERK (*)

Immediate PRIC NLIQ/OILQ

NK Non-ordinary trade – delayed publ. requested

(subject to conditions other than market price)

XOSL/ XOAS/

MERK (*)

Delayed if meets size

requirement

PRIC NLIQ/OILQ LRGS

NM Not to Mark XOSL/ XOAS/ MERK (*)

No NLIQ/OILQ

DT Derivative Related XOSL/ XOAS/

MERK (*)

Immediate PRIC, BENC NLIQ/OILQ

VW VWAP Trade / TWAP

Trade

XOSL/

XOAS/ MERK (*)

Immediate PRIC, BENC NLIQ/OILQ

OT OTC trade XOFF Immediate

TK OTC trade – delayed publ. requested

XOFF Delayed if meets size requiremen

t

SI SI Trade SI Immediate

SK SI Trade – delayed publ.

requested

SI Delayed if

meets size requiremen

t

51

(*) Venue is set to

XOSL for Oslo Børs listed instruments

XOAS for Oslo Axess instruments (OAX segment)

MERK for Merkur Market instruments (MERK segment)

The availability of trade types and the associated venue for each segment is included in OSLMIT Oslo Børs Business Parameters - Equities.

For each manual trade, the trader must evaluate whether one or more of the MiFiD II-required trade flags

must be attached to the trade report. The trade flags are published on market data. The following trade flags may be specified by a trader:

Trade flag Name Description

BENC Benchmark transaction flag All kinds of volume weighted average price transactions and all other trades where the price is calculated over

multiple time instances according to a given benchmark

ACTX Agency cross transaction flag Transactions where an investment

firm has brought together two client’s

orders with the purchase and the sale conducted as one transaction and involving the same volume and price

TNCP Transactions Not Contributing to the Price discovery Process

Transaction not contributing to the price discovery process as set out in article 2 of RTS 1.

NPFT Non-price forming transaction flag All types of transactions listed under

article 13 of RTS 1 to MiFIR and which do not contribute to the price

formation

SDIV Special dividend transaction flag Denotes trades that are either: executed during the ex-dividend

period where the dividend or other form of distribution accrues to the

buyer instead of the seller; or executed during the cum-dividend period where the dividend or other

form of distribution

RPRI Transactions which have received price improvement flag

Denotes that the execution took place in a systematic internaliser with

a price improvement

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In addition, the following may automatically be set by the trading system:

Trade flag Name Description

LRGS Post-trade LIS transaction flag Transactions executed under the post-trade large in scale deferral

ILQD Illiquid instrument transaction flag Transactions executed under the

deferral for instruments for which there is not a liquid market

SIZE Transaction above the standard market

size flag

Denotes that the execution took

place in a systematic internaliser

where the size of the incoming order

was above the standard market size.

CANC Cancellation flag When a previously published transaction is cancelled

AMND Amendment flag When a previously published transaction is amended

53

APPENDIX 2 – ORDER TYPES, SESSIONS AND TIFS

The table below indicates which TIFs are available for each order type during the different session. This

applies to the Lit Order Book only. The TIFs applicable for Dark Midpoint Order Book are included in section 6.5.

Order type

Sessions

Opening

auction call

Re-opening

auction call

Regular trading Intra-day

auction call

Closing

auction call

Limit

GTT, GTD, OPG, GFA,

GFS, DAY, ATC(*)

GTT, GTD, GFA, GFS(**), DAY,

ATC(*)

GTT, GTD, GFA, GFS, DAY,

ATC(*), IOC, FOK

GTT, GTD, GFA, GFS, DAY,

ATC(*)

GTT, GTD, GFA, GFS,

DAY, ATC

Market

GTT, GTD,

OPG, GFA,

GFS, DAY,

ATC(*)

GTT, GTD, GFA, GFS(**), DAY, ATC(*)

GTT, GTD, GFA, GFS, DAY, ATC(*), IOC, FOK

GTT, GTD,

GFA, GFS, DAY,

ATC(*)

GTT, GTD, GFA, GFS, DAY, ATC

Iceberg

GTT, GTD,

OPG, GFA,

GFS, DAY, ATC(*)

GTT, GTD, GFA,

GFS(**), DAY,

ATC(*)

GTT, GTD, GFA,

GFS, DAY,

ATC(*), IOC, FOK

GTT, GTD,

GFA, GFS, DAY,

ATC(*)

GTT, GTD,

GFA, GFS,

DAY, ATC

Hidden

GTT, GTD, OPG, GFA,

GFS, DAY, ATC(*)

GTT, GTD, GFA, GFS(**), DAY,

ATC(*)

GTT, GTD GFA, GFS, DAY,

ATC(*), IOC, FOK

GTT, GTD, GFA, GFS, DAY,

ATC(*)

GTT, GTD, GFA, GFS,

DAY, ATC

Pegged GTT(***), DAY(***)

GTT(***), DAY(***)

GTT, DAY GTT(***), DAY(***) n/a

(*) ATC orders may be entered, but are parked until the closing auction call session

(**) GFS orders may be entered, but are parked until the next scheduled auction call session

(***) Pegged orders may be entered, but are parked until the Regular Trading session

Please see the OSLMIT Oslo Børs Business Parameters - Equities document for details about which order types

and TIFs are available for each segment.

54

APPENDIX 3 – SEGMENTS AND MARKET IDENTIFIER CODES

Below, the segments of the Oslo Børs Equity markets are described.

Market MIC Segment Description

OB Equities XOSL [XOSD,

XOSA]

OBX This segment includes the constituents of the OBX index – i.e. the most traded stocks at Oslo Børs.

OB Equities XOSL [XOSD,

XOSA]

OBMA The OBMA segment includes the securities in liquidity category OB Match i.e. shares with a minimum of 10 trades

per day on average, excl. OBX or shares with less than 10

trades but with a liquidity provider agreement.

OB Equities XOSL

[XOSD,XOSA]

OBST The OBST segment includes the securities in liquidity category

OB Standard i.e. shares with fewer than 10 trades per day on average and without a liquidity provider agreement.

OB Equities XOSL

[XOSD,

XOSA]

OBNW The OBNW segment includes the securities in liquidity

category OB New i.e. newly listed shares.

OB Equities XOSL

[XOSD,

XOSA]

OBPC The OBPC segment includes the securities in the liquidity

category OB Equity Certificates i.e. the listed equity

certificates.

OB Equities XOSL OBWR The OBWR segment includes warrants.

OB Equities XOSL

[XOSD, XOSA]

OBEF The OBEF segment includes the listed ETFs (Exchange Traded

Funds).

OB Equities XOSL OBEN The OBEN segment includes the listed ETNs (Exchange Traded

Notes).

OB Equities XOAS

[XOAD,

XOAA]

OAX THE OAX segment includes the Oslo Axess listed securities.

This does not imply any change in Oslo Axess’ status as a

regulated market.

OB Equities MERK

MERK The MERK segment includes securities available for trading on the Merkur Market MTF.

OB Equities n/a OBTS This is a segment including instruments with different instrument types. The details are described in OSLMIT 501 Guide to Testing Services8. Please note that access to these instruments may be restricted by Oslo Børs without any prior

notice.

8 Please see section 1.3 for link to the technical documentation website

55

In accordance with FPL Execution Venue Reporting Recommended Best Practices and ISO 10383 - Market Identifier Codes, separate MICs have been allocated for the Lit and the Dark Midpoint Order Books as follows: Oslo Børs Lit Order Book XOSL Oslo Børs Dark Midpoint Order Book XOSD Oslo Børs Turquoise Lit Auction™ Order Book XOSA

Oslo Axess Lit Order Book XOAS Oslo Axess Dark Midpoint Order Book XOAD Oslo Axess Turquoise Lit Auction™ Order Book XOAA

For off-book trades, the Lit Order Book’s MIC will be used where applicable, see Appendix 1 – Off-book Trade Types.

The MIC is disseminated via the Millennium system for all trades. Please note that the liquidity categories – including the OBX constituents - will be rebalanced every six

months. The changes will be implemented on the Friday following the 3rd Thursday of June and December i.e. some instruments will be moved from one segment to another.

Subscription rights and other temporary instruments will be traded in the same segment as the “underlying”

instrument.

56

APPENDIX 4 – ISSUE UPDATES

This appendix describes the details of the changes made in each issue of this document.

Issue 7.0 10 February 2014 (Millennium Release 8) Section 3.3 Added the Self Execution Prevention configuration Section 5.1.2 Added TIF: GFS Section 5.1.3 Added TIF: GFS Section 5.1.4 New section re Intra-Day Auction Call

Section 5.1.5 Added TIF: GFS Section 5.2.2 Clarified difference between GFA and GFS

Section 6.1.3 Some rewording and added description of random replenishment Section 6.1.6 New section re Passive Only Orders Section 6.2 Added TIF: GFS Section 6.3 Added TIF: GFS

Section 6.7 New section re Self Execution Prevention Section 6.8 Added description of Price Differential and Type of Trade

Section 6.9 Added description of modification of Passive Only and SEP orders Section 9.2 Added clarification that Member IDs will not be available for all instruments

Appendix 2 Updated with GFS and Intra-Day Auction Call

Issue 7.1 28 February 2014 (Millennium Release 8) Section 2 Added definition of User

Section 3.3 SEP is configured per User. Added that Cancel on Logout/Disconnect is

configured per User

Section 6.2 GTT orders: Removed the maximum expiry time limit. Added that GTT orders may be expired at end of Post Close.

Section 6.6 Replaced ‘connection’ with ‘User’ Section 6.7 Replaced ‘Trader Group’ with ‘User’ Section 10.2 Removed the ‘user’ word from this section

Issue 7.2 17 March 2014 (Millennium Release 8) Appendix 3: Removed rows from the Burgundy – Sweden table: SAT, SNGM and SNMF.

Issue 7.3 16 June 2014 (Millennium Release 8) Section 10 Clarified that the default settlement schedule is included in business parameters document.

Issue 7.4 6 October 2014 (Millennium Release 8) Change Log and Appendix 4 Removed old changes (prior to 2014) Section 8.2.2 Corrected wording re Grace period

57

Issue 7.5 10 November 2014 (Millennium Release 8) Changed the name of the low latency market data feed.

Issue 7.6 1 December 2014 (Millennium Release 8.6 North Sea) Added the details for Dark Midpoint Order Books and some clarifications: Section 1 Re-written first part Section 2 Added definitions Lit/Dark Midpoint Order Book, Turquoise Uncross™ and Visible Midpoint

Section 3.3 Added MES and Execution Instruction

Section 4 Added Lit and Dark Midpoint Order Book

Section 5.1 Describes Lit Order Books only Section 5.1.3 Added minor clarification re GFS Section 5.2 Describes Lit Order Books only Section 5.3 New – Dark Midpoint Order Books Section 6.1 Describes Lit Order Books only

Section 6.2 New – Dark Midpoint Order Books Section 6.3 Describes Lit Order Books only Section 6.4 New – Dark Midpoint Order Books

Section 6.6 Added description of MES Section 6.7 Added comments re Dark Midpoint Order Book

Section 6.8 Added comment re Dark Midpoint Order Book

Section 6.9 Added comments re Dark Midpoint Order Book

Section 6.10 New – Dark Midpoint Order Books Section 6.12 Describes Lit Order Books only

Section 6.13 New – Dark Midpoint Order Books Section 6.14 Describes Lit Order Books only Section 6.15 New – Dark Midpoint Order Books

Section 7.1 Describes Lit Order Books only Section 7.2 Describes Lit Order Books only

Section 7.3 New – Dark Midpoint Order Books Section 9.1 Added comment re Dark Midpoint Order Book

Section 9.2 Added comment re Dark Midpoint Order Book

Appendix 5 Added

Issue 7.7 20 April 2015 (Millennium Release 8.6 North Sea) Added some clarifications: Section 6.13 Amendment of Execution Instruction will cause the order to re-aggress Appendix 3 Added MICs for trades executed in the Dark Midpoint Order Book

Issue 7.8 4 May 2015 All sections Removed references to Burgundy.

Issue 7.9 Valid from January 2016 Section 1.1 Added Merkur Market

Appendix 1 Added Merkur Market venue and MIC Appendix 3 Added MERK segment and MIC

58

Issue 8.0 Valid from January 2017 Section 2 Added MES

Section 3.3 MES is also available for Pegged Orders in the Lit Order Book. Section 5.2.3 Added Micro Auctions Section 6.1.5 Added IOC/FOK as valid TIF’s.

Added possibility to use MES Pegged Orders will no longer be expired if hard limit is breached, but set to an inactive state and moved back

to active if visible BBO is moved back within the hard limit. Section 6.1.7 Added Dark to Lit Order Sweep

Section 6.6 MES is also available for Pegged Orders in the Lit Order Book. Section 6.11 Added Sold Out State Section 6.13 MES may be changed on a live order

Section 6.16 Added Preferencing as the highest execution priority for Dark Pool Appendix 5 Updated Dark Pool features summary

Issue 9.0 Valid from January 2018 Section 3.4 Updated with Execution Trader, Investment Decision maker and Client ID

Section 3.5 Updated Section 5 Added Micro Auctions

Section 5.1.3 Removed Closing Price Publication Session

Section 6.1.3 Added requirement on total Iceberg order size

Section 6.11 Updated description Section 6.12 Updated with Execution Trader, Investment Decision maker and Client ID

Section 8.2.1 Updated with Execution Trader, Investment Decision maker and Client ID Appendix 1 Updated with MiFID II Flags

Issue 9.1 Corrections. Valid from January 2018 Section 2 Added DEA Section 6.14 Hidden (Reserve) orders renamed to Hidden orders

Section 6.6 Added minimum order value restriction on iceberg orders

Section 6.12 Added Liquidity Provision and Algorithm flags

Section 8.2.1 Added Section 8.2.2 Removed Execution Trader, Investment Decision maker and Client ID incorrectly added as

mandatory fields. Appendix 1. Renamed the NT and NK trade types to Non-ordinary trades. In addition added list of MiFID II flags to be populated by the user or the system.

Issue 9.2 Turquoise Lit Auction™. Valid from January 2018 Section 4 Added Turquoise Lit Auction™ Book to the possible additional order books for an instrument

Section 5.4 New – Sessions for Turquoise Lit Auction™ Order Books on Oslo Børs Section 6.3 New – Order Types for Turquoise Lit Auction™ Order Books on Oslo Børs Section 6.6 New – Time in Force for Turquoise Lit Auction™ Order Books on Oslo Børs

Section 6.18 New – Order Management – Turquoise Lit Auction™ Order Books on Oslo Børs Section 7.4 New – Order Execution in Turquoise Lit Auction™ Order Books on Oslo Børs

Section 9.1 Added description of the transparency of the Turquoise Lit Auction™ Order Books

Section 9.2 Updated after the introduction of Post Trade Anonymity and the introduction of the Turquoise Lit Auction™ Order Books

59

Appendix 3 Updated with the MIC codes for Oslo Børs and Oslo Axess Turquoise Lit Auction™ Order

Books.

Issue 9.3 Corrections. Valid from January 2018 Section 2 EMS are now updated twice pr year.

Appendix 1 Updated the flags MiFID II flags that can be set by the system.

Issue 9.4 Trade Amendments and Micro Auctions. Valid from December 2018 Section 5.2.3 Updated with the Single Price- and Multiple Price Micro Auction models

Section 7.1 Updated heading to indicate that the algorithm described is also used for Multiple Price

Micro Auctions Section 7.2 Updated heading to indicate the algorithm described is also used for Single Price Micro Auctions Section 8.2.4 Updated to describe the updated process to amend a trade. Section 9.2 Updated with the additional information for Amended trades.

60

APPENDIX 5 – SUMMARY OF FEATURES IN THE NORTH SEA DARK POOL

INTRODUCTION

This document gives a summary of the functional characteristics of the Oslo Børs North Sea dark pool. The main features of the North Sea dark pool functionality in Millennium have been initiated by TGHL9.

Turquoise Uncross™ is a trademark of TGHL, and is made available to Oslo Børs by courtesy of TGHL.

EXECUTIVE SUMMARY

The North Sea dark pool offers the possibility to execute orders without disclosing any pre-trade information to the market. All executions in North Sea will be at the current mid-price of the corresponding primary market’s Lit Order Book.

North Sea offers two modes of operation:

i. Continuous execution, where orders are executed continuously; and

ii. Turquoise Uncross™, where orders are executed in uncrosses which take place at random intervals.

An order may at the user’s option be included in one or both modes of operation. North Sea orders may be of any size i.e. MiFID’s large in scale (‘LIS’) requirement does not apply. However in order to avoid the risk of

splitting an order into many small trades, an order may be specified with a Minimum Execution Size (‘MES’). It

is possible to configure if the MES will apply to the first execution only or if it will apply to all executions. This

configuration is done per user.

Orders are executed in accordance with their counterparty, size, time priority i.e. larger orders are executed before smaller orders, older orders before newer orders of the same size. The North Sea orders do not interact with the orders in the corresponding lit order book.

North Sea executions are published via the normal Market Data channels, and are identified as ‘Dark’ trades.

Trade counterparties are not published even if that may be the case for trades in the corresponding lit order book.

9 Turquoise Global Holdings Limited ("TGHL") is an investment firm authorized by the Financial Conduct Authority of the United Kingdom.

Initially founded by a consortium of nine investment banks, TGHL is now majority owned by the London Stock Exchange Group (LSEG). In addition to LSEG, its shareholders now include twelve of the leading investment banks.

61

SERVICE DESCRIPTION – FUNCTIONAL CHARACTERISTICS

Instruments North Sea Dark Midpoint Order Books will be configured for all Oslo Børs and Oslo Axess equity style instruments, except temporary instruments e.g. subscription

rights etc.

Access Members who can access the corresponding Lit Order Book in accordance with

their membership may add and execute orders in the North Sea Dark Midpoint

Order Book.

Clearing Trades executed in a North Sea Dark Midpoint Order Book will be subject to the same clearing mechanism as defined for the corresponding Lit Order Book i.e. they

will be cleared by SIX x-clear and/or LCH.C. CCP internalization (exempting internal trades from clearing) may be defined at the member’s request. Current settings for each member will apply.

Order types The North Sea Dark Midpoint Order Book supports

Midpoint Pegged Orders with or without a hard limit; and

Limit Orders (which will be processed as Midpoint Pegged Orders with a hard limit), and

Market Orders (which will be processed as Midpoint Pegged Orders

without a hard limit)

The available time-in-forces (TIFs) include: DAY, GTT, GFA, IOC and FOK.

Dark to lit sweep is a routing instruction that enables a Market or Limit Order to look for liquidity in the Dark book before entering the Lit Order Book. Any remaining quantity after Dark Book execution will be routed to the Lit Order Book. The time priority in the Lit Order Book will be from the time the order enters the

Dark Book. IOC is the only allowed TIF for an order with Dark to Lit Sweep routing instruction.

Also, an order in the North Sea Dark Midpoint Order Book may have an execution instruction which indicates if the order will be included

in Turquoise Uncross™ only or

in continuous execution only or

in both Turquoise Uncross™ and continuous execution If ‘Self Execution Prevention’ is defined for the user, it will apply for orders in the North Sea Dark Midpoint Order Book as well.

The ‘Cancel on disconnect/Logout’ feature is supported. However, the feature may

not be overridden for orders in the North Sea Dark Midpoint Order Book.

62

Minimum

Execution Size (MES)

A user may specify a MES with each order. An order will never execute with a

contra order which is smaller than the MES. It may be configured for each user if the MES will apply to the first fill only, or for all fills coming from an order with MES specified. This setting may be different for IOC/FOK orders and for other orders.

Execution

prices

All executions in the North Sea Dark Midpoint Order Books take place at the mid-

price of the best visible bid price and the best visible offer price (‘BBO’) of the

corresponding lit book in Oslo Børs Millennium system. The prices from the lit book are continuously fed to the North Sea Dark Midpoint Order Books and monitored

to validate if they are fit for use.

The validation includes the following checks:

i. Is the Lit Order Book available for trading – i.e. in session Regular Trading; and

ii. Has the Lit Order Book established a High/Low price – i.e. a trade has occurred today; and

iii. Is the mid-point price in the Lit Order Book equal to or within the High/Low price; and

iv. Is there a BBO spread in the Lit Order Book; and

v. Is the BBO spread in the Lit Order Book greater than ‘minimum BBO

spread’; and vi. Is the BBO spread in the Lit Order Book less than ‘maximum BBO spread’

All of the above validations must be passed before a price is forwarded to the

North Sea Dark Midpoint Order Book. If one of the validations fail the mid-price is

undefined, and no executions will occur in the North Sea Dark Midpoint Order

Book – until a valid price is available again.

Executions

Executions in a North Sea Dark Midpoint Order Books may be triggered by one of

An aggressing (new or amended) order

A change of mid-price from the Lit Order Book

The price validation changes from ‘failed’ to ‘success’ and a mid-price is

available

A Turquoise Uncross™ event

Orders are executed in a size-time priority i.e. larger orders are executed

before smaller orders, older orders before newer orders of the same size. Counterparty preferencing is configurable in North Sea, and when enabled the execution priority is counterparty, size, time.

63

Trading

sessions and Turquoise Uncross™

events

The North Sea Dark Midpoint Order Book may be in one of the sessions

Regular Trading, where orders may be entered and executions may occur

subject to availability of valid execution prices; or

Halt, where no new orders are accepted, and no executions occur.

The Regular Trading session will start at the same time as the scheduled end of the Opening Auction Call for the Lit Order Book. However no orders in the Dark Midpoint Order Book will be executed until the Lit Order Book has moved to Regular Trading and the price checks (see “Execution prices” above) are successful.

The North Sea Dark Midpoint Order Book’s Regular Trading session ends at the same time as the end of the Lit Order Book’s Regular Trading / start of Closing Auction Call.

During the Dark Midpoint Order Book’s Regular Trading session, Turquoise Uncross™ events will occur at random intervals. Each event will be inside a

minimum and a maximum number of seconds from the previous event (or from the

start of Trading). Typical values for the minimum will be 5-30 seconds, for the maximum 10-45 seconds (TBD). The values may be adjusted based on the expected

liquidity and other factors related to each individual instrument.

The Dark Midpoint Order Book’s Halt session prohibits order entry and no

executions are carried out. However orders may be cancelled.

Market Data No information about orders in North Sea Dark Midpoint Order Books is published. All executed trades are published, and tagged as trades originating from a Dark

Midpoint Order Book.

For requests, please contact: Secondary Market Department

annenhandsmarkedetl@oslobors.no

www.oslobors.no