SIX Exfeed SCAH Product Guide SIX Swiss Exchange; introduces hourly HHI concentration per day

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SIX Exfeed SIX Concentration Analytics Hourly (SCAH) Product Guide

SIX Exfeed SIX Concentration Analytics Hourly (SCAH) Product Guide SIX-SCAH-GDE-110/E Version 1.10, 01.04.2026

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Table of Contents 1 Introduction ……………………………………………………………………………………………………………………………………………. 3 1.1 Purpose and Scope …………………………………………………………………………………………………………………………………………… 3 2 Data Format ……………………………………………………………………………………………………………………………………………. 3 2.1 File Format ……………………………………………………………………………………………………………………………………………………….. 3 2.2 File Name …………………………………………………………………………………………………………………………………………………………. 3 3 Data Content …………………………………………………………………………………………………………………………………………… 3 3.1 Security Universe ……………………………………………………………………………………………………………………………………………… 3 3.2 Execution Venues Covered ……………………………………………………………………………………………………………………………….. 3 3.3 Herfindahl-Hirschman Index (HHI)……………………………………………………………………………………………………………………. 4 3.4 Market Participant Identification ………………………………………………………………………………………………………………………. 4 3.5 Flow Classification ……………………………………………………………………………………………………………………………………………. 4 3.6 Data Fields ……………………………………………………………………………………………………………………………………………………….. 5

SIX Exfeed SIX Concentration Analytics Hourly (SCAH) Product Guide SIX-SCAH-GDE-110/E Version 1.10, 01.04.2026

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1 Introduction 1.1 Purpose and Scope This Product Guide provides relevant information on SIX Concentration Analytics Hourly (SCAH) according to the General Terms and Conditions for SIX Analytics Services. This Product Guide does not take precedent over the Agreement on SIX Analytics Services (including the General Terms and Conditions for SIX Analytics Services). 2 Data Format 2.1 File Format SCAH is provided in a delimited text file (CSV) that uses a semicolon (“;”) to separate values. 2.2 File Name The CSV file containing data for trading day YYYY-MM-DD has the file name “six_hhi_granularity_hourly_YYYYMMDD.csv”. “granularity” is a placeholder for one of the two granularity levels as defined in Section 3.4 and can take the values “memberorg” or “member”. For example, the data for April 19, 2023 for granularity level “memberorg” is provided in the file called “six_hhi_memberorg_hourly_20230419.csv”. 3 Data Content SCAH provides insights into market concentration on SIX Swiss Exchange per day and security. 3.1 Security Universe SCAH is computed for securities in the following trading segments subject to the corresponding inclusion requirements: Trading Segment Name Trading segment ID Inclusion requirements Blue Chip Shares 26 (until and including 4 December 2020) and 25 (from 7 December 2020)

At least 20 trades Mid-/Small-Cap Shares 591

At least 20 trades Table 1 Security universe The inclusion requirements are evaluated for each day, separately. 3.2 Execution Venues Covered SCAH is computed for executions on the following order books: Trading Segment Name Order books Blue Chip Shares CLOB Mid-/Small-Cap Shares CLOB Table 2 Execution venues covered

SIX Exfeed SIX Concentration Analytics Hourly (SCAH) Product Guide SIX-SCAH-GDE-110/E Version 1.10, 01.04.2026

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3.3 Herfindahl-Hirschman Index (HHI) Market concentration is measured by the Herfindahl-Hirschman Index (HHI). The HHI is the sum of the squared market shares of all market participants. It is calculated as follows: 𝐻𝐻𝐻𝐻𝐻𝐻= ෍𝑠𝑠𝑖𝑖 2 𝑁𝑁 𝑖𝑖=1

𝑠𝑠𝑖𝑖 denotes market share of market participant 𝑖𝑖, where, 𝑠𝑠𝑖𝑖= 𝑞𝑞𝑖𝑖 ෌ 𝑞𝑞𝑗𝑗 𝑁𝑁 𝑗𝑗=1

𝑞𝑞𝑖𝑖 represents the number of shares traded by market participant 𝑖𝑖, 𝑞𝑞𝑗𝑗 the number of shares traded by any market participant, and 𝑁𝑁 denotes the total number of market participants. Thus, the HHI can assume values from 0 to 1. In order to protect anonymity in markets with very high concentration, no exact HHIs are provided for values above 0.6. Instead, 0.6 is specified. 3.4 Market Participant Identification Market participants are identified on two levels of granularity, for each of which a separate CSV with separate HHI calculations is provided on a daily basis: Granularity Level Comment Member Organisation ID Lower granularity level Note: Sponsored users are considered separate member organisations even though they route their orders via the member organisation ID of the sponsoring participant. Member ID Higher granularity level A member organisation may have several member IDs through which orders are routed. Table 3 Granularity levels of market participant identification 3.5 Flow Classification Order flow is classified as follows: Classification Definition Overall flow All shares traded during continuous trading, auctions and Trading-At-Last Aggressive flow Shares aggressively traded during continuous trading Passive flow Shares passively traded during continuous trading Auction flow Shares traded during auctions and Trading-At-Last Customer flow Trading under the risk-less principal capacity during continuous trading, auctions and Trading-At-Last and not originating from a Sponsored Access User Non-customer flow Shares traded under the principal capacity or originating from a Sponsored Access User during continuous trading, auctions and Trading-At-Last Table 4 Market participant classification

SIX Exfeed SIX Concentration Analytics Hourly (SCAH) Product Guide SIX-SCAH-GDE-110/E Version 1.10, 01.04.2026

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3.6 Data Fields Field name Format Definition date str Date in YYYY-MM-DD format isin str ISIN code currency str Trading currency group str ID for symbol grouping (board only) trading_segment_id str ID for trading segment time_bucket time 09:00-10:00 10:00-11:00 11:00-12:00 12:00-13:00 13:00-14:00 14:00-15:00 15:00-16:00 16:00-17:00 17:00-18:00 Time intervals are left-closed and right-open, i.e. [x,y). The full hour at time y is assigned to the next interval. hhi float64 Market concentration of overall flow hhi_buy float64 Market concentration of overall buy flow hhi_sell float64 Market concentration of overall sell flow hhi_aggressive float64 Market concentration of aggressive flow hhi_aggressive_buy float64 Market concentration of aggressive buy flow hhi_aggressive_sell float64 Market concentration of aggressive sell flow hhi_passive float64 Market concentration of passive flow hhi_passive_buy float64 Market concentration of passive buy flow hhi_passive_sell float64 Market concentration of passive sell flow hhi_auction float64 Market concentration of auction flow hhi_auction_buy float64 Market concentration of auction buy flow hhi_auction_sell float64 Market concentration of auction sell flow hhi_customer float64 Market concentration of customer flow hhi_customer_buy float64 Market concentration of customer buy flow hhi_customer_sell float64 Market concentration of customer sell flow hhi_noncustomer float64 Market concentration of non-customer flow hhi_noncustomer_buy float64 Market concentration of non-customer buy flow hhi_noncustomer_sell float64 Market concentration of non-customer sell flow trade_volume int Total buy and sell number of shares traded aggressive_trade_volume int Total buy and sell number of shares aggressively traded during continuous trading

SIX Exfeed SIX Concentration Analytics Hourly (SCAH) Product Guide SIX-SCAH-GDE-110/E Version 1.10, 01.04.2026

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Field name Format Definition passive_trade_volume int Total buy and sell number of shares passively traded during continuous trading auction_trade_volume int Total buy and sell number of shares traded during the auctions and Trading-At-Last customer_trade_volume int Total buy and sell number of shares traded under the risk-less principal capacity and not originating from a Sponsored Access User noncustomer_trade_volume int Total buy and sell number of shares traded under the principal capacity or originating from a Sponsored Access User Table 5 Data fields