[Federal Register Volume 88, Number 75 (Wednesday, April 19, 2023)]
[Notices]
[Pages 24246-24249]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2023-08222]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-97304; File No. SR-CboeBZX-2023-024]


Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of 
Filing and Immediate Effectiveness of a Proposed Rule Change To 
Introduce a New Data Product To Be Known as the US Equity Short Volume 
& Trades Report

April 13, 2023.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on April 5, 2023, Cboe BZX Exchange, Inc. (``Exchange'' or ``BZX'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed rule change as described in Items I and II below, which Items 
have been prepared by the Exchange. The Exchange filed the proposal as 
a ``non-controversial'' proposed rule change pursuant to Section 
19(b)(3)(A)(iii) of the Act \3\ and Rule 19b-4(f)(6) thereunder.\4\ The 
Commission is publishing this notice to solicit comments on the 
proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \4\ 17 CFR 240.19b-4(f)(6).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Cboe BZX Exchange, Inc. (the ``Exchange'' or ``BZX'') is filing 
with the Securities and Exchange Commission (``Commission'') a proposed 
rule change to Exchange Rule 11.22 to introduce a new data product to 
be known as the US Equity Short Volume & Trades Report. The text of the 
proposed rule change is provided in Exhibit 5.
    The text of the proposed rule change is also available on the 
Exchange's website (http://markets.cboe.com/us/equities/regulation/rule_filings/bzx/), at the Exchange's Office of the Secretary, and at 
the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
sections A, B, and C below, of the most significant aspects of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange seeks to amend Rule 11.22 to revise paragraph 11.22(f) 
in order to introduce a new data product to be known as the US Equity 
Short Volume & Trades Report. A description of market data products 
offered by the Exchange is provided in Exchange Rule 11.22 and proposed 
Rule 11.22(f) provides that the US Equity Short Volume & Trades Report 
is a report that will contain both an end-of-day short volume report 
and an end-of-month report that provides a record of all short sale 
transactions for the month. The proposed US Equity Short Volume & 
Trades Report will incorporate the existing Short Volume Report \5\ 
currently described in Rule 11.22(f) as well as introduce a new, end-
of-month report containing a record of all short

[[Page 24247]]

sale transactions for the current month. The proposed US Equity Short 
Volume & Trades Report is nearly identical to the NYSE TAQ Group Short 
Sales & Short Volume product and Nasdaq's Short Sale Volume Reports 
(discussed infra).
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    \5\ See Securities Exchange Act Release No. 95546 (August 18, 
2022), 87 FR 52099 (August 24, 2022), SR-CboeBZX-2022-044 (``Notice 
of Filing and Immediate Effectiveness of a Proposed Rule Change To 
Introduce a New Data Product To Be Known as the Short Volume 
Report'').
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    The end-of-day report (``EOD Report'') included within the US 
Equity Short Volume & Trades Report will be identical to the existing 
Short Volume Report published by the Exchange. The existing Short 
Volume Report summarizes certain equity trading activity on the 
Exchange, including trade date,\6\ total volume,\7\ short volume,\8\ 
and sell short exempt volume,\9\ by symbol.\10\ The data fields 
contained in the existing Short Volume Report will not change when the 
Short Volume Report is incorporated into the US Equity Short Volume & 
Trades Report as the EOD Report. The proposed end-of-month report 
(``EOM Report'') to be included in the US Equity Short Volume & Trades 
Report will be a new report that provides a record of all short sale 
transactions for the month, including trade date and time (in 
microseconds),\11\ trade size,\12\ trade price,\13\ and type of short 
sale execution,\14\ by symbol and exchange.\15\ The US Equity Short 
Volume & Trades Report will be available for purchase to both BZX 
Members (``Members'') \16\ as well as non-Members.\17\
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    \6\ ``Trade date'' is the date of trading activity in yyyy-mm-dd 
format.
    \7\ ``Total volume'' is the total number of shares transacted.
    \8\ ``Short volume'' is the total number of shares sold short.
    \9\ ``Short exempt volume'' is the total number of shares sold 
short classified as exempt.
    \10\ ``Symbol'' refers to the Cboe formatted symbol in which the 
trading activity occurred. See https://cdn.cboe.com/resources/membership/US_Symbology_Reference.pdf.
    \11\ ``Trade date and time'' is the date and time of trading 
activity in yyyy-mm-dd hh:mm:ss.000000 (microseconds) ET format.
    \12\ ``Trade size'' is the number of shares transacted.
    \13\ ``Trade price'' is the price at which shares were 
transacted.
    \14\ ``Short type'' is a data field that will indicate whether 
the transaction was a short sale or short sale exempt transaction. A 
short sale transaction is a transaction in which a seller sells a 
security which the seller does not own, or the seller has borrowed 
for its own account (see 17 CFR 242.200). A short sale exempt 
transaction is a short sale transaction that is exempt from the 
short sale price test restrictions of Regulation SHO Rule 201 (see 
17 CFR 242.201(c)).
    \15\ ``Exchange'' is the market identifier (Z = BZX, Y = BYX, X 
= EDGX, A = EDGA).
    \16\ See Rule 1.5(n) (``Member''). The term ``Member'' shall 
mean any registered broker or dealer that has been admitted to 
membership in the Exchange. A Member will have the status of a 
``member'' of the Exchange as that term is defined in Section 
3(a)(3) of the Act. Membership may be granted to a sole proprietor, 
partnership, corporation, limited liability company or other 
organization which is a registered broker or dealer pursuant to 
Section 15 of the Act, and which has been approved by the Exchange.
    \17\ The Exchange intends to submit a separate filing to 
establish fees for the US Equity Short Volume & Trades Report.
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    As discussed in the Exchange's previous filing to introduce the EOD 
Report,\18\ the data fields included in the EOD Report are essentially 
identical to the fields included by the New York Stock Exchange LLC 
(``NYSE'') in their Daily Short Volume file \19\ and similar to the 
fields provided by the NASDAQ Stock Market LLC (``Nasdaq'') in its 
Daily Short Sale file.\20\ The data fields contained in the EOD Report 
found within the proposed US Equity Short Volume & Trades Report are 
identical to the data fields found in the existing Short Volume 
Report.\21\ NYSE offers its Daily Short Volume file as one component of 
its NYSE TAQ Group Short Sales & Short Volume product \22\ and Nasdaq 
offers its Daily Short Sale file as one component of its Short Sale 
Volume Reports.\23\ The Exchange is proposing to include its EOD Report 
as one component of the US Equity Short Volume & Trades Report in the 
same manner as NYSE and Nasdaq incorporate their daily short sale files 
within a more robust data offering.
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    \18\ Supra note 5.
    \19\ See NYSE Daily Short Volume Client Specification, available 
at: https://www.nyse.com/publicdocs/nyse/data/Daily_Short_Volume_Client_Spec_v1.3a.pdf.
    \20\ See Nasdaq OMX Daily and Monthly Short Sale File Format and 
Specifications, available at: https://nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/ShortSaleFileSpecifications.pdf.
    \21\ Supra note 5.
    \22\ See https://www.nyse.com/market-data/historical/taq-nyse-group-short-sales.
    \23\ See https://nasdaqtrader.com/Trader.aspx?id=shortsale.
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    The Exchange notes that the data fields included in the EOM Report 
are nearly identical to the fields included by NYSE in its Monthly 
Short Sales file, except that the Exchange will not include two fields 
that appear within the NYSE Monthly Short Sales file.\24\ Specifically, 
the NYSE Monthly Short Sales file also includes date,\25\ time,\26\ 
size,\27\ price,\28\ type of short sale execution,\29\ market 
center,\30\ and symbol.\31\ Additionally, the data fields included in 
the EOM Report are nearly identical to the fields found in the Nasdaq 
Monthly Short Sale File, except that the Exchange will not include two 
fields that appear within the Nasdaq Monthly Short Sale File.\32\ Both 
the Exchange and Nasdaq include date,\33\ time,\34\ size,\35\ 
price,\36\ short sale execution type,\37\ market center,\38\ and 
symbol.\39\ The Exchange notes that the only difference between its 
proposed EOM Report and the corresponding NYSE and Nasdaq monthly files 
is that the Exchange will not include a linked

[[Page 24248]]

indicator \40\ field or short size \41\ field in its EOM Report. As the 
Exchange does not currently offer a linked indicator field, it will not 
include this field within the EOM Report. Additionally, the Exchange 
will not include a short size field in its EOM Report because the size 
shown in the trade size field included in the Exchange's EOM Report 
will be the number of shares in the transaction that executed with a 
sell short or sell short exempt marking.\42\
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    \24\ See NYSE Monthly Short Sales Client Specification, 
available at: https://www.nyse.com/publicdocs/nyse/data/Monthly_Short_Sales_Client_Spec_v1.3a.pdf. The NYSE Monthly Short 
Sales file includes trade date and time, size, price, type of short 
sale execution, market center, and symbol. Unlike the NYSE file, the 
US Equity Short Volume & Trades Report will not include the linked 
indicator or short size fields. The Exchange does not currently 
offer a linked indicator tied to short sale executions and the size 
field found within the US Equity Short Volume & Trades Report will 
provide the size of the short sale execution.
    \25\ NYSE ``Date'' is the trade date of the short sale 
transaction in YYYYMMDD format.
    \26\ NYSE ``Time'' is the time of the short sale transaction in 
microsecond (HH:MM:SSnnnnnn) format.
    \27\ NYSE ``Size'' is the size of the trade in shares.
    \28\ NYSE ``Price'' is the price of the trade.
    \29\ NYSE ``Short Type'' is a data field that will indicate 
whether the transaction was a short sale or short sale exempt 
transaction (E = Short Sale Exempt execution, S = Short not exempt).
    \30\ NYSE ``Market center'' is the market identifier (A = NYSE 
American, N = NYSE, P = NYSE Arca, C = NYSE National, M = NYSE 
Chicago).
    \31\ NYSE ``Symbol'' refers to the NYSE formatted symbol in 
which the trading activity occurred. See https://www.nyse.com/publicdocs/nyse/data/NYSESymbology__Spec_v1.0c.pdf.
    \32\ See NASDAQ OMX Daily and Monthly Short Sale File Format and 
Specification, available at: https://nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/ShortSaleFileSpecifications.pdf. The Nasdaq Monthly Short Sale File 
includes trade date and time, size, price, type of short sale 
execution, market center, and ticker symbol. Unlike the Nasdaq file, 
the US Equity Short Volume & Trades Report will not include the link 
indicator or short size fields. The Exchange does not currently 
offer a link indicator tied to short sale executions and the size 
field found within the US Equity Short Volume & Trades Report will 
provide the size of the short sale transaction.
    \33\ Nasdaq ``Date'' is the date that the trade was reported to 
the tape in YYYYMMDD format.
    \34\ Nasdaq ``Time'' is the time of the trade in HH:MM:SS 
format.
    \35\ Nasdaq ``Size'' is the number of shares in the transaction 
in mixed or round lot as reported to the tape.
    \36\ Nasdaq ``Price'' is the price of the trade as reported to 
the tape.
    \37\ Nasdaq ``Short Type'' is a data field that will indicate 
whether the transaction was a short sale or short sale exempt 
transaction (E = Short Exempt, S = Short Not Exempt).
    \38\ Nasdaq ``Market Center'' is the market identifier (Q = 
NASDAQ, T = NASDAQ, B = Boston, X = PSX).
    \39\ Nasdaq ``Ticker Symbol'' refers to the Nasdaq formatted 
symbol in which the trading activity occurred.
    \40\ NYSE defines ``LinkedIndicator'' as null for all unbundled 
executions and the Auction Reference Trade ID for all bundled 
executions. Nasdaq defines ``Link Indicator'' as a market center 
defined character variable used to flag records that will be 
difficult to match to tape data ([blank] = matches tape, P = 
multiple parts of a batch trade included in the short sale data, B = 
the only part of a batch trade included in the short sale data, M 
may represent multiple prints, A = ``As-Of'' trade).
    \41\ NYSE defines ``ShortSize'' as the number of shares sold 
short. Nasdaq defines ``Short Size'' as the number of shares in the 
transaction that were designated for short sale.
    \42\ The EOM Report will not distinguish between ``Short Size'' 
and ``Trade Size'' in that all transactions reflected in the EOM 
Report will be marked sell short or sell short exempt. Supra note 
14.
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    Both the EOD Report and EOM Report will be included in the cost of 
the US Equity Short Volume & Trades Report and will be available for 
purchase by both Members and non-Members on an annual or monthly 
subscription basis.\43\ Additionally, like NYSE, the Exchange will 
offer historical reports containing both the end-of-day volume and end-
of-month trading activity.\44\ Historical reports will be available for 
purchase dating back to January 2, 2015, and will include the same data 
fields as the US Equity Short Volume & Trades Report.
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    \43\ Supra note 17.
    \44\ Supra note 22.
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    The Exchange anticipates that a wide variety of market participants 
will purchase the proposed US Equity Short Volume & Trades Report, 
including, but not limited to, active equity trading firms and academic 
institutions. For example, the Exchange notes that academic 
institutions may utilize the US Equity Short Volume & Trades Report 
data and as a result promote research and studies of the equities 
industry to the benefit of all market participants. The Exchange 
further believes the proposed US Equity Short Volume & Trades Report 
may provide helpful trading information regarding investor sentiment 
that may allow market participants to make more informed trading 
decisions and may be used to create and test trading models and 
analytical strategies and provide comprehensive insight into trading on 
the Exchange. The proposal is a completely voluntary product, in that 
the Exchange is not required by any rule or regulation to make this 
data available and that potential subscribers may purchase it only if 
they voluntarily choose to do so.
2. Statutory Basis
    The Exchange believes the proposed rule change is consistent with 
the Act and the rules and regulations thereunder applicable to the 
Exchange and, in particular, the requirements of Section 6(b) of the 
Act.\45\ Specifically, the Exchange believes the proposed rule change 
is consistent with the Section 6(b)(5) \46\ requirements that the rules 
of an exchange be designed to prevent fraudulent and manipulative acts 
and practices, to promote just and equitable principles of trade, to 
foster cooperation and coordination with persons engaged in regulating, 
clearing, settling, processing information with respect to, and 
facilitating transactions in securities, to remove impediments to and 
perfect the mechanism of a free and open market and a national market 
system, and, in general, to protect investors and the public interest. 
Additionally, the Exchange believes the proposed rule change is 
consistent with the Section 6(b)(5) \47\ requirement that the rules of 
an exchange not be designed to permit unfair discrimination between 
customers, issuers, brokers, or dealers.
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    \45\ 15 U.S.C. 78f(b).
    \46\ 15 U.S.C. 78f(b)(5).
    \47\ Id.
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    In adopting Regulation NMS, the Commission granted self-regulatory 
organizations (``SROs'') and broker-dealers increased authority and 
flexibility to offer new and unique market data to the public. It was 
believed that this authority would expand the amount of data available 
to consumers, and also spur innovation and competition for the 
provision of market data. The Exchange believes that the proposed US 
Equity Short Volume & Trades Report would further broaden the 
availability of U.S. equity market data to investors consistent with 
the principles of Regulation NMS. The proposal also promotes increased 
transparency through the dissemination of short volume and short sale 
execution data. The proposed rule change would benefit investors by 
providing access to the US Equity Short Volume & Trades data, which may 
promote better informed trading, as well as research and studies of the 
equities industry.
    Moreover, as noted above, both NYSE and Nasdaq offer data products 
that contain both a daily and monthly short sale file. These products 
provide data that is nearly identical to the offering proposed by the 
Exchange. The proposed EOD Report that will be offered as one component 
of the US Equity Short Volume & Trades Report is the Exchange's 
existing Short Volume Report, which is substantially similar to the 
NYSE and Nasdaq daily short volume product offerings. The proposed EOM 
Report that will be offered as the second component of the US Equity 
Short Volume & Trades Report will contain date, time, size, price, 
short sale type, market center, and symbol, which is nearly identical 
to the data fields found within the NYSE and Nasdaq monthly short 
volume reports.\48\ As stated previously, the Exchange's EOM Report is 
nearly identical to the NYSE and Nasdaq monthly reports in that the 
Exchange will offer identical data fields except for a linked indicator 
value and a short size value. Accordingly, the proposed US Equity Short 
Volume & Trades Report does not provide a unique or novel data 
offering, but rather offers data points consistent with other data 
products already available and utilized by market participants today.
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    \48\ Supra notes 24 and 32.
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B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange believes the proposed rule change does not impose any 
burden on intramarket competition that is not necessary or appropriate 
in furtherance of the purposes of the Act. Rather, the Exchange 
believes that the proposal will promote fair competition among the 
national securities exchanges by permitting the Exchange to offer a 
data product that provides substantially the same data offered by 
competing equities exchanges. The Exchange's proposed US Equity Short 
Volume & Trades Report will contain both an EOD Report and an EOM 
Report, both of which are nearly identical to the competing NYSE and 
Nasdaq data product offerings, with the only difference being that the 
Exchange will not include a linked indicator field or short size field 
in its EOM Report.
    Additionally, the Exchange believes the proposed rule change does 
not impose any burden on intermarket competition that is not necessary 
or appropriate in furtherance of the purposes of the Act. The US Equity 
Short Volume & Trades Report will be available equally to Members and 
non-Members. Market participants are not required to purchase the US 
Equity Short Volume & Trades Report, and the Exchange is not required 
to make the US Equity Short Volume & Trades Report available to 
investors. Rather, the Exchange is voluntarily making the US Equity 
Short Volume & Trades Report

[[Page 24249]]

available, as requested by customers, and market participants may 
choose to receive (and pay for) this data based on their own business 
needs. Potential purchasers may request the data at any time if they 
believe it to be valuable or may decline to purchase such data. Given 
the above, the Exchange does not believe that the proposed rule change 
will result in any burden on competition that is not necessary or 
appropriate in furtherance of the purposes of the Act.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    The Exchange neither solicited nor received comments on the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Because the foregoing proposed rule change does not: (i) 
significantly affect the protection of investors or the public 
interest; (ii) impose any significant burden on competition; and (iii) 
become operative for 30 days from the date on which it was filed, or 
such shorter time as the Commission may designate, it has become 
effective pursuant to Section 19(b)(3)(A) of the Act \49\ and Rule 19b-
4(f)(6) thereunder.\50\
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    \49\ 15 U.S.C. 78s(b)(3)(A).
    \50\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii) 
requires a self-regulatory organization to give the Commission 
written notice of its intent to file the proposed rule change, along 
with a brief description and text of the proposed rule change, at 
least five business days prior to the date of filing of the proposed 
rule change, or such shorter time as designated by the Commission. 
The Exchange has satisfied this requirement.
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    A proposed rule change filed under Rule 19b-4(f)(6) normally does 
not become operative prior to 30 days after the date of the filing. 
However, pursuant to Rule 19b-4(f)(6)(iii),\51\ the Commission may 
designate a shorter time if such action is consistent with the 
protection of investors and the public interest. The Exchange has asked 
the Commission to waive the 30-day operative delay. The Exchange states 
that waiver of the operative delay will permit the Exchange to 
immediately make the US Equity Short Volume & Trades Report available 
to subscribers as an alternative to the competing products offered by 
NYSE and Nasdaq. The Commission believes that waiver of the 30-day 
operative delay is consistent with the protection of investors and the 
public interest because the proposed rule change does not raise any new 
or novel issues. Accordingly, the Commission hereby waives the 
operative delay and designates the proposal operative upon filing.\52\
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    \51\ 17 CFR 240.19b-4(f)(6)(iii).
    \52\ For purposes only of waiving the 30-day operative delay, 
the Commission has also considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act. If the Commission 
takes such action, the Commission will institute proceedings to 
determine whether the proposed rule change should be approved or 
disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-CboeBZX-2023-024.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.

    All submissions should refer to File Number SR-CboeBZX-2023-024. 
This file number should be included on the subject line if email is 
used. To help the Commission process and review your comments more 
efficiently, please use only one method. The Commission will post all 
comments on the Commission's internet website (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, 
all written statements with respect to the proposed rule change that 
are filed with the Commission, and all written communications relating 
to the proposed rule change 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 website 
viewing and printing in the Commission's Public Reference Room, 100 F 
Street NE, Washington, DC 20549, on official business days between the 
hours of 10:00 a.m. and 3:00 p.m. Copies of the filing also will be 
available for inspection and copying at the principal office of the 
Exchange. All comments received will be posted without change. Persons 
submitting comments are cautioned that we do not redact or edit 
personal identifying information from comment submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-CboeBZX-2023-024, and should 
be submitted on or before May 10, 2023.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\53\
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    \53\ 17 CFR 200.30-3(a)(12), (59).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023-08222 Filed 4-18-23; 8:45 am]
BILLING CODE 8011-01-P