Auction of Trading of Securities of Shenzhen Stock Exchange (SESE) Trading Rules (2006)

3.4.1 Auction trading of securities is conducted either as a call auction or continuous auction.

The term "call auction" refers to the process of one-time centralized matching of buy and sell orders accepted during a specified period.

The term "continuous auction" refers to the process of continuous matching of buy and sell orders on a one-by-one basis.

3.4.2 The buy or sell orders not executed during the opening call auction automatically enter the continuous trading.

The buy or sell orders not executed during the continuous trading automatically enter the closing call auction.

3.4.3 In the call auction for securities subject to a daily price limit, the valid price range for bid and offer corresponds to the daily price limit.

In the continuous trading for stocks listed on the SME Board, valid price range is restricted within 3% of the last traded price. In case no trade is executed during the opening call auction, the initial valid price range for the continuous auction is adjusted to 3% of the previous closing price. In the continuous trading for other securities subject to a daily price limit, the valid price range corresponds to daily price limit.

The calculation results of valid price range for auction are rounded to the tick size.

3.4.4 In the auction of securities subject to no daily price limit, the valid price range is determined as follows:

1. for stocks on their first day of trading, the valid price range for the opening call auction is within 900% of the issue price and that for the continuous auction and closing call auction is 10% of the last traded price;
2. for bonds on their first day of trading, the valid price range for the opening call auction is within 30% of the issue price and that for the continuous auction and closing call auction shall be 10% of the last traded price. On other trading days, the valid price range for the opening call auction is within 10% of the previous closing price and that for the continuous auction and closing call auction is 10% of the last traded price;
3. for bond collateral repo on a trading day other than the first, the valid price range for the opening call auction is within 100% of the previous closing price and that for the continuous auction and closing call auction is 100% of the last traded price.

3.4.5 In case no trade is executed during the opening call auction for securities that are subject to no daily price limit, the initial valid price range for the continuous trading is adjusted as follows:

1. where the highest bid price within the valid price range is higher than the issue price or previous closingprice, the valid price range is adjusted based on the highest bid price;
2. where the lowest offer price within the valid price range is lower than the issue price or previous closing price, the valid price range is adjusted based on the lowest offer price.

3.4.6 The Exchange may adjust the valid price range for securities auctions based on market needs.