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April 23, 2009

Chi-X Europe to launch Chi-Delta dark book

Reference-pegged order book for orders that do not meet large in scale order size requirements

By CBR Staff Writer

Chi-X Europe, an operator of pan-European equity multilateral trading facility, plans to launch the Chi-Dark Electronic Liquidity Trading Application or Chi-Delta dark book in the second quarter of 2009, subject to standard regulatory approvals.

Chi-X Europe currently offers its trading participants the ability to use hidden order types in its visible order book, subject to meeting Markets in Financial Instruments Directive’s (MiFID) large in scale requirements. Chi-Delta, which has been developed in line with MiFID requirements, will be a separate, non-displayed, reference-pegged order book for orders that do not meet the large in scale order size requirements.

The company has said that the prices on Chi-Delta will initially use the primary best bid and offer for reference pricing, though European best bid and offer is expected to become the source of reference prices at a later date. Mid-peg, primary-peg and market-pegged orders will be supported and orders will match on a continuous basis. Trade execution fees for orders posted on Chi-Delta will be waived from the launch until August 31, 2009. Market data will continue to be disseminated free of charge via the CHIX MD feed, with dark executions flagged accordingly.

Hirander Misra, COO of Chi-X Europe, said: Many of our trading participants have expressed interest in Chi-X Europe adopting a dual market structure that includes a market for speedy price discovery and a market for non-displayed crossing. We developed Chi-Delta with this in mind, with a goal of helping participants minimize market impact by potentially trading with a natural counterparty and limiting information leakage.

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