As announced in the UBS MTF Market Notice N13, UBS MTF has received regulatory approval to use a Large in Scale Waiver (LIS) in addition to our current Reference Price Waiver (RPW) for executions in the Mid, Bid and Offer order books. Both waivers will be available in each of the three order books until the implementation of MiFID II.
UBS MTF also plans to implement a new execution instruction to allow its Members to seek liquidity in the three order books with one single order, known as Order Book Sweep (OBS).
Both of these functional enhancements will be available in Production from early 2017, the implementation date will be communicated to all Members via Market Notice in due course. These new functionalities are now available in our test environment and we invite all Members to ensure that conformance testing is undertaken in advance.
The additional Order Book Sweep functionality requires UBS MTF to identify the reference price at which (primary best bid, mid, or offer) an order was executed and therefore the Execution Instruction FIX tag will be sent back to Members for all execution reports whether or not the Order Book Sweep functionality is used; UBS MTF plans to start sending this tag to Members by 12 December 2016.
With the implementation of the Large in Scale functionality, UBS MTF will also send an additional FIX tag back to its Members on fully filled or partially filled execution reports which indicates which pre-trade transparency waiver the execution occurred under; the WaiverType FIX tag is used for this purpose.
A revised Rules of Engagement document has been published on our website underhttps://www.ubs.com/global/en/investment-bank/multilateral-trading-facility/member-information.html and includes a marked-up version highlighting the relevant changes related to the additional waiver and new Order Book Sweep functionality.
Members that wish to validate the new waiver FIX tag or test the new LIS and Order Book Sweep functionalities are invited to start testing from today 17 November 2016. Members can also contact our Deployment & Testing team at dl-dat-uk@ubs.com to schedule their conformance testing.
UBS MTF Notices and documentation are available at http://ubs.com/mtf.
If you have any queries regarding this notice please contact the UBS MTF Supervisors at +44 20 7568 2052 or ubs_mtf@ubs.com.
