The list of illiquid securities was established in order to reduce the possibility of security manipulation, in line with the recommendations of the Committee for Studying Options for Minimizing Fraud in the Capital Market – set up by the Securities Authority in cooperation with the TASE.
The purpose of the trading method of securities included in the list is to concentrate their liquidity (relatively low) to two auctions per day, rather than spreading it throughout the trading day, as is done with securities on the main list. Therefore, securities included in this list are traded in a call-auction phase twice a day, at the beginning of the trading day (opening phase) and at the end of the day (closing auction phase), and are not traded on the basis of bilateral, continuous trading.
Updating the Illiquid Securities List
The list of illiquid securities is updated twice a year on the basis of the liquidity of the securities over the six months preceding the record dates ("determining period") on which the list is updated. These dates are June 30thand December 31st, each year. In practice, updating takes place on the first Thursday of August and on the first Thursday in February, respectively. (This is also the bi-annual update date for securities indices).
Entry of a Security into the Illiquid Securities List
A security will be entered in the illiquid securities list if a combination of the following four conditions exists:
- The median trading volume for the determining period, as aforesaid, was less than NIS 2,000.
- The daily trading volume for the determining period, as aforesaid, was less than NIS 20,000.
- The security was listed for trade before the beginning of the determining period.
- The security was not in continuous suspension for the entire determining period, as aforesaid, or longer.
Removal of a Security from the Illiquid Securities List
A security will be removed from the illiquid securities list if one of the following conditions exists on the record date:
- The median trading volume for the determining period, as aforesaid, was higher than NIS 2,000.
- he daily trading volume for the determining period, as aforesaid, was higher than NIS 20,000.
The security was in continuous suspension for the entire determining period, as aforesaid, or longer. Shortly after the date of record, the TASE publishes the list of securities that are about to be included in the illiquid securities list (“candidates lists”) as well as a list of securities that are about to be removed from the list. A security on the “candidates' lists” will not be included in the illiquid securities list if one or more of the following conditions applies:
- A market-maker was appointed for the security.
- The security is included in the maintenance list.
- The security is included in the Tamar Index
Warrants for a stock included in the illiquid securities list is also included in the list.
Securities may also be added or removed from the list at different times other than the dates mentioned above. If, for example, a security is destined for the illiquid securities list, but because of market-making existence in that security was not eventually included, it may be added to the list if market-making ceases. Alternatively a security included in the illiquid securities list may be removed immediately on the commencement of market-making in that security.
When a security destined for the illiquid securities list is included in the Tamar Index – it will not be added to the illiquid securities list as long as it remains in the Tamar index.
Market Data for Illiquid Securities
Trading Method on the Illiquid Securities List
There is no continuous trading in securities on the illiquid securities list and these securities are traded in a call-auction phase twice a day, at the opening phase and at the closing auction phase.
Trading in illiquid securities opens every day, as with all other securities, in the pre-opening
phases. Immediately following the completion of opening call-auction phase, these securities move directly to the pre-closing phase
and not to the continuous phase. This phase continues throughout the entire day, while the other securities are traded on the basis of the continuous phase, and conclude when the entire securities move over to the closing call-auction phase.