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SARON: Market Data, Reporting and Post-Trade Processes

SARON · Work through your exam, one topic at a time.

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Market Data, Reporting and Post-Trade Processes

This domain tests the pipeline after the trade: how SIX market and benchmark data may be used, what must be reported and to whom, how trades are cleared and settled, and where reconciliation breaks typically appear.

Market data

  • SIX Swiss Exchange distributes real-time and delayed data, level 1 and level 2, under licence. Redistribution, internal non-display use and derived-data creation are licensed activities; using order-book data outside the licence is a compliance breach, not a commercial detail.
  • Benchmark data such as SARON is published by the administrator and used for valuation, collateral and contract settlement; firms need documented data-quality controls and versioned history.

Reporting and post-trade

  • Off-order-book trades in listed securities must be reported to SIX within the deadline set in the rules, with instrument, price, volume, time, capacity and counterparty fields correct.
  • Derivatives reporting under the Financial Market Infrastructure Act goes to a recognised trade repository; the report covers both legs and the clearing status.
  • Clearing typically runs through a central counterparty (SIX x-clear for the Swiss venues); settlement is delivery-versus-payment at SIX SIS on T+2 for equities and bonds, with fails handling and buy-ins for unmatched positions.
  • Regulatory reporting (central bank statistics, FINMA reporting) draws on the same trade and position data, so a single broken field propagates into several returns.

Worked example

A trade in a listed Swiss share is executed on Thursday 12 June. Friday 13 June is a SIX settlement holiday. T+2 counts settlement days, not calendar days: T+1 is Monday 16 June, T+2 is Tuesday 17 June. If the desk books Wednesday 18 June by adding two calendar days, the position, funding and margin forecasts are all one day late and the fail is discovered only at the settlement cut-off.

Traps

  • Counting calendar days for T+2 and ignoring exchange holidays.
  • Assuming every trade must be reported or cleared; reportability and clearing obligation depend on instrument and counterparty.
  • Redistributing SIX market data internally or to clients without a licence.
  • Ignoring corporate action adjustments, which change the settlement amount and the reconciliation key.
  • Assuming the trade repository report and the exchange trade report are the same obligation with the same fields.