[Federal Register Volume 66, Number 39 (Tuesday, February 27, 2001)]
[Notices]
[Pages 12571-12574]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 01-4748]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-43992; File No. 4-208]
Joint Industry Plan; Notice of Filing of Proposed Plan
Establishing Procedures Under Rule 11Ac1-5 by the American Stock
Exchange, Boston Stock Exchange, Chicago Stock Exchange, Cincinnati
Stock Exchange, National Association of Securities Dealers, New York
Stock Exchange, Pacific Exchange, and Philadelphia Stock Exchange
February 21, 2001.
I. Introduction
On February 20, 2001, pursuant to Rule 11Aa3-2 under the Securities
Exchange Act of 1934 (``Exchange Act''),\1\ the American Stock Exchange
LLC (``Amex''), Boston Stock Exchange, Inc. (``BSE''), Chicago Stock
Exchange, Inc. (``CHX''), Cincinnati Stock Exchange, Inc. (``CSE''),
National Association of Securities Dealers, Inc. (``NASD''), New York
Stock Exchange, Inc. (``NYSE''), Pacific Exchange, Inc. (``PCX'') and
Philadelphia Stock Exchange, Inc. (``Phlx'') filed with the Securities
and Exchange Commission (``SEC'' or ``Commission'') a proposed plan
(``Plan'') for the purpose of establishing procedures for market
centers to follow in making their monthly reports available to the
public under Exchange Act Rule 11Ac1-5.\2\ Pursuant to Rule 11Aa3-
2(c)(1), the Commission is publishing this notice of, and requesting
comments on, the Plan.
---------------------------------------------------------------------------
\1\ 17 CFR 240.11Aa3-2.
\2\ 17 CFR 240.11Ac1-5.
---------------------------------------------------------------------------
II. Background
On November 17, 2000, the Commission adopted Rule 11Ac1-5, which
requires public disclosure of order execution information.\3\ Under the
Rule, all ``market centers''\4\ that trade national market system
securities are required to make available to the public monthly
electronic reports that include uniform statistical measures of
execution quality. Paragraph (b)(2) of the Rule directs the self-
regulatory organizations (``SROs'') that trade national market system
securities to act jointly in establishing procedures for market centers
to follow in making their monthly reports available to the public
[[Page 12572]]
in a uniform, readily accessible, and usable electronic format.
---------------------------------------------------------------------------
\3\ Securities Exchange Act Release No. 43590 (November 17,
2000), 65 FR 75414.
\4\ The term ``market center'' is defined in Rule 11Ac1-5(a)(14)
as ``any exchange market maker, OTC market maker, alternative
trading system, national securities exchange, or national securities
association.''
---------------------------------------------------------------------------
III. Summary of Plan
The full text of the Plan is set forth in the Appendix and should
be referred to for all details of Plan procedures. In general, each
market center required by the Rule to make monthly reports available to
the public must prepare such reports in the form of electronic data
files that meet the requirements set forth in Sections V and VI of the
Plan. Section V, for example, provides that market center files must be
in standard, pipe-delimited ASCII format, and Section VI(a) sets forth
the 26 fields of information that market center files must include (in
order), as well as formatting instructions for the fields. A market
center must make its files available for downloading on an Internet
site (``Download Site'') in accordance with the provisions set forth in
Section VII of the Plan (e.g., the site must be free of charge and
readily accessible to the public).
Under Section VIII of the Plan, each market center must make
arrangements with a single SRO that is a Participant in the Plan to act
as the market center's ``Designated Participant.'' A market center must
notify its Designated Participant of a hyperlink to the market center's
Download Site. Finally, each Participant SRO will maintain an Internet
site that includes a comprehensive list of links (``Link Site'') where
the files can be obtained for all of the market centers for which the
Participant functions as a Designated Participant. As a result, anyone
who wishes to download all files for a month can be assured that, if
they visit the Internet sites of all Participants, they will find
hyperlinks to all files for the month.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed Plan
is consistent with the Exchange Act. Persons making written submissions
should file six copies thereof with the Secretary, Securities and
Exchange Commission, 450 Fifth Street, NW., Washington, DC 20549-0609.
Copies of the submission, all subsequent amendments to the proposed
Plan, all written statements with respect to the proposed Plan that are
filed with the Commission, and all written communications relating to
the proposed Plan between the Commission and any person, other than
those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for inspection and
copying at the Commission's Public Reference Room. All submissions
should refer to File No. 4-208 and should be submitted by March 20,
2001.
By the Commission.
Margaret H. McFarland,
Deputy Secretary.
Appendix--Text Of Plan
The Participants submit to the SEC this Plan establishing
procedures for market centers to follow in making available to the
public the monthly reports required by Rule 11Ac1-5 in a uniform,
readily accessible, and usable electronic form. The Participants
developed this Plan pursuant to paragraph (b)(2) of the Rule, which
directs the Participants to act jointly in establishing such
procedures.
I. Definitions
(a) ``Designated Participant'' means the Participant with which
each market center has made the arrangements set forth in Section
VIII of the Plan.
(b) ``Exchange Act'' means the Securities Exchange Act of 1934,
as amended.
(c) ``Participant'' means a party to the Plan.
(d) ``Plan'' means the plan set forth in this instrument, as
amended from time to time in accordance with its provisions.
(e) ``Rule'' means Rule 11Ac1-5 under the Exchange Act.
(f) ``SEC'' means the United States Securities and Exchange
Commission.
(g) All terms defined in paragraph (a) of the Rule shall have
the same meaning when used in the Plan, unless otherwise specified.
II. Parties
(a) List of Parties
The parties to the Plan are as follows:
American Stock Exchange LLC (``Amex''), registered as a national
securities exchange under the Exchange Act and having its principal
place of business at 86 Trinity Place, New York, New York 10006.
Boston Stock Exchange, Inc. (``BSE''), registered as a national
securities exchange under the Exchange Act and having its principal
place of business at 100 Franklin Street, Boston, Massachusetts
02110.
Chicago Stock Exchange, Inc. (``CHX''), registered as a national
securities exchange under the Exchange Act and having its principal
place of business at 440 South LaSalle Street, Chicago, Illinois
60605.
Cincinnati Stock Exchange, Inc. (``CSE''), registered as a
national securities exchange under the Exchange Act and having its
principal place of business at 440 South LaSalle Street, Suite 2600,
Chicago, Illinois 60605.
National Association of Securities Dealers, Inc. (``NASD''),
registered as a national securities association under the Exchange
Act and having its principal place of business at 1735 K Street,
N.W., Washington, D.C. 20006.
New York Stock Exchange, Inc. (``NYSE''), registered as a
national securities exchange under the Exchange Act and having its
principal place of business at 11 Wall Street, New York, New York
10005.
Pacific Exchange, Inc. (``PCX''), registered as a national
securities exchange under the Exchange Act and having its principal
place of business at 301 Pine Street, San Francisco, California
94104.
Philadelphia Stock Exchange, Inc. (``Phlx''), registered as a
national securities exchange under the Exchange Act and having its
principal place of business at 1900 Market Street, Philadelphia,
Pennsylvania 19103.
(b) Compliance Undertaking
By subscribing to and submitting the Plan for approval by the
SEC, each Participant agrees to comply with and to enforce
compliance by its members with the provisions of the Plan.
(c) New Participants
The Participants agree that any entity registered as a national
securities exchange or national securities association under the
Exchange Act may become a Participant by: (i) executing a copy of
the Plan, as then in effect; (ii) providing each then-current
Participant with a copy of such executed Plan; and (iii) effecting
an amendment to the Plan as specified in Section III(b) of the Plan.
III. Amendments to Plan
(a) General Amendments
Except with respect to the addition of new Participants to the
Plan, any proposed change in, addition to, or deletion from the Plan
shall be effected by means of a written amendment to the Plan that:
(A) Sets forth the change, addition, or deletion; (B) is executed on
behalf of each Participant; and (C) is approved by the SEC or
otherwise becomes effective pursuant to Section 11A of the Exchange
Act and Rule 11Aa3-2 thereunder.
(b) New Participants
With respect to new Participants, an amendment to the Plan may
be effected by the new national securities exchange or national
securities association executing a copy of the Plan, as then in
effect (with the only changes being the addition of the new
Participant's name in Section II(a) of the Plan and the new
Participant's single-digit code in Section VI(a)(1) of the Plan) and
submitting such executed Plan to the SEC for approval. The amendment
will be effective when it is approved by the SEC or otherwise
becomes effective pursuant to Section 11A of the Exchange Act and
Rule 11Aa3-2 thereunder.
(c) Advisory Committee on Plan Amendments
(1) Each Participant shall select from its staff one individual
to represent such Participant as a member of an Advisory Committee
on Plan Amendments (``Advisory Committee''), together with a
substitute for such individual. Such substitute may participate in
deliberations of the Advisory Committee and shall be considered a
voting member thereof only in the absence of the primary
representative. Each Participant shall have one vote on all matters
considered by the Advisory Committee.
(2) The Advisory Committee shall monitor the procedures
established pursuant to this
[[Page 12573]]
Plan and advise the Participants with respect to any deficiencies,
problems, or recommendations as the Advisory Committee may deem
appropriate. Any recommendation for an amendment to the Plan from
the Advisory Committee that receives an affirmative vote of at least
two-thirds of the Participants, but is less than unanimous, shall be
submitted to the SEC as a request for rulemaking under Exchange Act
Rule 11Aa3-2.
IV. Overview of Plan Procedures
Any market center required by the Rule to make monthly reports
available to the public shall prepare such reports in the form of
electronic data files that meet the requirements set forth in
Sections V and VI of the Plan. A market center shall make its files
available for downloading on an Internet site in accordance with the
provisions set forth in Section VII of the Plan. In accordance with
Section VIII of the Plan, each market center \1\ shall make
arrangements with a single Participant to act as the market center's
Designated Participant. A market center shall notify its Designated
Participant of a hyperlink to the Internet site where its files can
be downloaded. Each Participant will maintain an Internet site that
includes a comprehensive list of links where the files can be
obtained for all of the market centers for which the Participant
functions as a Designated Participant.
---------------------------------------------------------------------------
\1\ An entity that acts as a market maker in different trading
venues (e.g., as specialist on an exchange and as an OTC market
maker) would be considered as a separate market center under the
Rule for each of those trading venues. Consequently, the entity
should arrange for a Designated Participant for each market center/
trading venue (e.g., an exchange for its specialist trading and an
association for its OTC trading).
---------------------------------------------------------------------------
V. File Type, Compression, and Naming
Files shall be prepared in standard, pipe-delimited (``|'')
ASCII format and compressed using standard Zip compression.
Uncompressed files shall be named according to the following
convention: ``[file identification code][six-digit date code
(yyyymm)].dat''. A market center will use the file identification
code assigned to it pursuant to section VIII of the Plan. The date
code shall refer to the calendar month of trading for the market
center report contained in the file. Compressed files will be named
according to the same convention, except that the extension will be
``.zip''.
VI. File Structure
(a) Order and Format of Fields
(1) The first field in a file shall be the code identifying the
Participant that is acting as Designated Participant for the market
center under Section VIII of the Plan. The Participant
identification codes are as follows: Amex--``A''; BSE--``B''; CHX--
``M''; CSE--``CSE''; NASD--``T''; NYSE--``N''; PCX--``P''; Phlx--
``X''.
(2) The next field in a file shall be the code identifying the
market center, as assigned by a Designated Participant pursuant to
Section VIII of the Plan.
(3) The next field in a file shall be the six-digit code
identifying the date of the calendar month of trading for the market
center report contained in the file (``yyyymm'').
(4) The next field in a file shall be the symbol assigned to an
individual security under the national market system plan pursuant
to which the consolidated best bid and offer for such security are
disseminated on a current and continuous basis.
(5) The next field in a file shall be the code for the one of
the five types of order by which the Rule requires a market center
to categorize its report. The order type codes are as follows:
market orders--``11''; marketable limit orders--``12''; inside-the-
quote limit orders--``13''; at-the-quote limit orders--``14''; near-
the-quote limit orders--``15''.
(6) The next field in a file shall be the code for one of the
four order size buckets by which the Rule requires a market center
to categorize its report. The order size codes are as follows: 100-
499 shares-- ``21''; 500-1999 shares--``22''; 2000-4999 shares--
``23''; 5000 or more shares-- ``24''.
(7) The next field in a file shall be the number of covered
orders, as specified in paragraph (b)(1)(i)(A) of the Rule.
(8) The next field in a file shall be the cumulative number of
shares of covered orders, as specified in paragraph (b)(1)(i)(B) of
the Rule.
(9) The next field in a file shall be the cumulative number of
shares of covered orders cancelled prior to execution, as specified
in paragraph (b)(1)(i)(C) of the Rule.
(10) The next field in a file shall be the cumulative number of
shares of covered orders executed at the receiving market center, as
specified in paragraph (b)(1)(i)(D) of the Rule.
(11) The next field in a file shall be the cumulative number of
shares of covered orders executed at any other venue, as specified
in paragraph (b)(1)(i)(E) of the Rule.
(12) The next field in a file shall be the cumulative number of
shares of covered orders executed from 0 to 9 seconds after the time
of order receipt, as specified in paragraph (b)(1)(i)(F) of the
Rule.
(13) The next field in a file shall be the cumulative number of
shares of covered orders executed from 10 to 29 seconds after the
time of order receipt, as specified in paragraph (b)(1)(i)(G) of the
Rule.
(14) The next field in a file shall be the cumulative number of
shares of covered orders executed from 30 to 59 seconds after the
time of order receipt, as specified in paragraph (b)(1)(i)(H) of the
Rule.
(15) The next field in a file shall be the cumulative number of
shares of covered orders executed from 60 to 299 seconds after the
time of order receipt, as specified in paragraph (b)(1)(i)(I) of the
Rule.
(16) The next field in a file shall be the cumulative number of
shares of covered orders executed from 5 minutes to 30 minutes after
the time of order receipt, as specified in paragraph (b)(1)(i)(J) of
the Rule.
(17) The next field in a file shall be the average realized
spread for executions of covered orders, as specified in paragraph
(b)(1)(i)(K) of the Rule. The amount shall be expressed in dollars
and carried out to four decimal places.
(18) The next field in a file shall be the average effective
spread for executions of covered orders, as specified in paragraph
(b)(1)(ii)(A) of the Rule. The amount shall be expressed in dollars
and carried out to four decimal places.
(19) The next field in a file shall be the cumulative number of
shares of covered orders executed with price improvement, as
specified in paragraph (b)(1)(ii)(B) of the Rule.
(20) The next field in a file shall be, for shares executed with
price improvement, the share-weighted average amount per share that
prices were improved, as specified in paragraph (b)(1)(ii)(C) of the
Rule. The amount shall be expressed in dollars and carried out to
four decimal places.
(21) The next field in a file shall be, for shares executed with
price improvement, the share-weighted average period from the time
of order receipt to the time of order execution, as specified in
paragraph (b)(1)(ii)(D) of the Rule. The period shall be expressed
in number of seconds and carried out to one decimal place.
(22) The next field in a file shall be the cumulative number of
shares of covered orders executed at the quote, as specified in
paragraph (b)(1)(ii)(E) of the Rule.
(23) The next field in a file shall be, for shares executed at
the quote, the share-weighted average period of time from the time
of order receipt to the time of order execution, as specified in
paragraph (b)(1)(ii)(F) of the Rule. The period shall be expressed
in number of seconds and carried out to one decimal place.
(24) The next field in a file shall be the cumulative number of
shares of covered orders executed outside the quote, as specified in
paragraph (b)(1)(ii)(G) of the Rule.
(25) The next field in a file shall be, for shares executed
outside the quote, the share-weighted average amount per share that
prices were outside the quote, as specified in paragraph
(b)(1)(ii)(H) of the Rule. The amount shall be expressed in dollars
and carried out to four decimal places.
(26) The next field in a file shall be, for shares executed
outside the quote, the share-weighted average period of time from
the time of order receipt to the time of order execution, as
specified in paragraph (b)(1)(ii)(I) of the Rule. The period shall
be expressed in number of seconds and carried out to one decimal
place.
(b) Records
Files shall have separate records for each combination of
security, order type, and order size by which a market center must
categorize its report under the Rule (a maximum of 20 records for
each individual security).\2\ The end of each record shall be
designated by a carriage return line feed. If there are no orders on
which a market center must report during a month for a specific
combination of security, order type, and order size, no record for
such combination need be displayed. If there is no data for a
particular field within a record (e.g., the Rule does not require
such information for inside-
[[Page 12574]]
the-quote limit orders, at-the-quote limit orders, and near-the-
quote limit orders), the field shall be left empty.
---------------------------------------------------------------------------
\2\ For each individual security, there are five order types
that could each be broken down into four size buckets.
---------------------------------------------------------------------------
VII. Internet Sites for Downloading Market Center Files
A market center shall make its compressed files available for
downloading (via FTP) at a single page on an Internet site that is
free of charge and readily accessible to the public.\3\ A market
center shall make available on such page the files containing at
least the three most recent monthly reports of the market center.
---------------------------------------------------------------------------
\3\ A market center can maintain its own Internet site at which
its files can be downloaded or arrange for another person to
maintain the Internet site at which the market center's files can be
downloaded (as well as potentially the files of other market
centers).
---------------------------------------------------------------------------
VIII. Functions of Designated Participant
Each market center shall be responsible for arranging with a
single Participant to act as the market center's Designated
Participant.\4\ The functions of a Designated Participant are as
follows.
---------------------------------------------------------------------------
\4\ See note 1 above for treatment of an entity that acts as a
market maker in more than one trading venue and therefore would
arrange for a Designated Participant for each market center/trading
venue under the Rule.
---------------------------------------------------------------------------
(a) Assignment of Market Center and File Identification Codes
A Designated Participant shall assign a unique market center
identification code to each market center for which it acts as
Designated Participant. If an individual market center's report will
be included in a file that contains only that market center's
report, the file identification code for the file shall be the same
as the market center identification code. If an individual market
center's report will be included in a file that contains any
additional market center's report (e.g., if the reports for all of
an exchange's specialists are included in a single file), the
Designated Participant also shall assign a separate file
identification code for such file. All Designated Participants will
act jointly to assure that no market center or file is assigned a
code that previously has been assigned (e.g., by circulating advance
notice to all Participants of codes that have been assigned).
(b) Maintenance of Market Center Identification Files
A Designated Participant shall create and maintain a market
center identification file (in standard, pipe-delimited (``|'')
ASCII format) for each calendar month. Such file shall contain
fields setting forth, in order, (A) the identification code for the
Designated Participant (as set forth in Section VI(a)(1) of the
Plan); (B) all market center identification codes that the
Designated Participant has assigned for the month, (C) the full name
of the market center (in upper case), and (D) the file
identification code applicable to each market center (if different
from the market center identification code). A Designated
Participant shall make at least the three most recent market center
identification files available for downloading (via FTP) on an
Internet site that is free of charge and easily accessible to the
public.
(c) Maintenance of Internet Site with Links to Download Sites
A market center shall notify its Designated Participant of the
hyperlink to the location where the market center's files can be
downloaded in accordance with Section VII of the Plan. A Designated
Participant shall maintain a comprehensive list of the hyperlinks
provided by its market centers at the same location at which market
center identification files can be downloaded in accordance with
Section VIII(b) of the Plan. As a result, anyone who wishes to
download all files for a month can be assured that, if they visit
the Internet sites of all Participants, they will find hyperlinks to
all files for the month.
(d) Change of Designated Participant
A market center may change the identity of its Designated
Participant only by arranging with another Participant to act as a
replacement. The Participant that has agreed to act as a replacement
Designated Participant shall provide written notice of the change to
all other Participants, as well as make such notice available on the
Internet site maintained by the replacement Designated Participant
under Section VIII(b) of the Plan. The notice shall specify both the
past and new market center identification code and file
identification code for the market center, or state that the codes
have not changed. The change shall not be effective until 30 days
after the date of the written notice.
IX. Internet References to Information Required by Rule
When referring to information on Internet sites that the Rule
requires to be made available to the public, market centers and
Designated Participants shall use the phrase ``Disclosure of SEC-
Required Order Execution Information.''
X. Specifying Regular Trading Hours Under the Rule
With respect to the meaning of the term ``regular trading
hours'' under paragraph (a)(19) of the Rule, the Participant who
maintains the primary listing for a national market system security
shall specify the regular trading hours for such security if they
are to be other than the time between 9:30 a.m. and 4:00 p.m.
Eastern Time. To effect a specification of regular trading hours
under this Section X, a Participant shall submit a proposed rule
change to the SEC under Section 19 of the Exchange Act. A
Participant may specify as regular trading hours for a security only
those times when the Participant itself is trading the security.
XI. Withdrawal from Plan
If a Participant ceases to be subject to the Rule or obtains SEC
approval for another means of complying with the Rule, such
Participant may withdraw from the Plan at any time on not less than
30 days' prior written notice to each of the other Participants. At
such time, the withdrawing Participant shall have no further rights
or obligations under the Plan.
XII. Counterparts and Signatures
The Plan may be executed in any number of counterparts, no one
of which need contain all signatures of all Participants, and as
many of such counterparts as shall together contain all such
signatures shall constitute one and the same instrument.
In Witness Thereof, this Plan has been executed as of the 20th
day of February 2001 by each of the parties hereto.
[FR Doc. 01-4748 Filed 2-26-01; 8:45 am]
BILLING CODE 8010-01-P