Notice2021-26446
Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of Filing of a Proposed Rule Change To Introduce a New Data Product To Be Known as the Short Volume Report
Primary source
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Published
December 7, 2021
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 86 Issue 232 (Tuesday, December 7, 2021)</title>
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[Federal Register Volume 86, Number 232 (Tuesday, December 7, 2021)]
[Notices]
[Pages 69319-69321]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2021-26446]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-93688; File No. SR-CboeBZX-2021-078]
Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of
Filing of a Proposed Rule Change To Introduce a New Data Product To Be
Known as the Short Volume Report
December 1, 2021.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on November 17, 2021, Cboe BZX Exchange, Inc. (``Exchange'' or
``BZX'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I, II,
and III below, which Items have been prepared by the Exchange. 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.
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[[Page 69320]]
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(f) to introduce a new data product
to be known as the Short Volume 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 (<a href="http://markets.cboe.com/us/equities/regulation/rule_filings/bzx/">http://markets.cboe.com/us/equities/regulation/rule_filings/bzx/</a>), 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 proposes to amend Rule 11.22(f) to provide for a new
data product to be known as the Short Volume Report. The proposal
introduces the Short Volume Report which will be available for purchase
to BZX Members (``Members'') and non-Members. The Exchange notes that
the proposed data product is substantially similar to information
included in the short sale volume report offered by the Nasdaq Stock
Market LLC (``Nasdaq'') \3\ and the TAQ Group Short Volume file offered
by the New York Stock Exchange LLC (``NYSE''),\4\ with the exception
that the proposed product will also include buy and sell volume as well
as trade counts for buy, sell, sell short, and sell short exempt
volume.
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\3\ See the Nasdaq Price List--Equities, Nasdaq Web-based
Reports, Nasdaq Short Sale Volume Reports at Price List--NASDAQ
Global Data Products (<a href="http://nasdaqtrader.com">nasdaqtrader.com</a>).
\4\ See the NYSE Historical Proprietary Market Data Pricing,
NYSE Group Summary Data Products, TAQ NYSE Group Short Volume (Daily
File) at <a href="https://www.nyse.com/publicdocs/nyse/data/NYSE_Historical_Market_Data_Pricing.pdf">https://www.nyse.com/publicdocs/nyse/data/NYSE_Historical_Market_Data_Pricing.pdf</a>.
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A description of each market data product offered by the Exchange
is described in Exchange Rule 11.22. The Exchange proposes to amend
Rule 11.22(f) to introduce and add a description of the Short Volume
Report. The Exchange proposes to describe the Short Volume Report as
``an end-of-day report that summarizes equity trading activity on the
Exchange, including trade count and volume by symbol for buy, sell,
sell short, and sell short exempt trades.'' Specifically, the end-of-
day report will include the following information: Trade date, symbol,
total volume, buy volume, buy trade count, sell volume, sell trade
count, sell short volume, sell short trade count, sell short exempt
volume, and sell short exempt trade count. The Exchange notes that the
proposed product includes substantially similar information as that
included in comparable products offered on Nasdaq and NYSE except that
the Exchange proposes to also include buy and sell volume as well as
trade counts for buy, sell, sell short, and sell short exempt
volume.\5\ The Exchange believes the additional data points will
benefit market participants because they will allow market participants
to better understand the changing risk environment on a daily basis.
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\5\ The Exchange notes that the Nasdaq and NYSE comparable
products reflect aggregate information across their affiliated
equity exchanges. The Exchange is not proposing an aggregated Short
Volume Report across its affiliated equity exchanges; thus, the
proposal is only applicable to trades executed on BZX.
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The Short Volume Report will be available for purchase \6\ on a
monthly subscription basis for which subscribers will receive a daily
end-of-day file that will be delivered after the conclusion of the
After Hours Trading Session.\7\ Additionally, historical Short Volume
Reports dating as far back as January 2, 2015 will be available for
purchase on an ad hoc basis in monthly increments. The subscription
files and historical files will include the same data points. Lastly,
the Exchange notes the proposed product 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
subscribe to it only if they voluntarily choose to do so.
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\6\ The Exchange intends to submit a separate rule filing to
adopt fees for the Short Volume Report product.
\7\ See Exchange Rule 1.5(c).
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2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
the Securities Exchange Act of 1934 (the ``Act'') and the rules and
regulations thereunder applicable to the Exchange and, in particular,
the requirements of Section 6(b) of the Act.\8\ Specifically, the
Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \9\ 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) \10\ requirement that the rules of an exchange not be
designed to permit unfair discrimination between customers, issuers,
brokers, or dealers.
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\8\ 15 U.S.C. 78f(b).
\9\ 15 U.S.C. 78f(b)(5).
\10\ See Supra notes 3 and 4.
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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 Short
Volume 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 data included in the Short Volume Report. The proposed
rule change would benefit investors by providing access to the Short
Volume Report, which may promote better informed trading. Particularly,
information included in the Short Volume Report may allow a market
participant to identify the source of selling pressure and whether it
is long or short.
Moreover, other exchanges offer substantially similar data
products. The Nasdaq daily short sale volume file reflects the
aggregate number of shares executed on Nasdaq, Nasdaq BX, Inc. and
Nasdaq PHLX LLC.\11\ Specifically, the Nasdaq daily short volume report
provides the following information:
[[Page 69321]]
Trade date, symbol, volume during regular trading hours, and CTA market
identifier. Additionally, the NYSE Group Short Volume daily file
reflects a summary of short sale volume for securities traded on NYSE,
NYSE American LLC, NYSE Arca, Inc., NYSE National, Inc., and NYSE
Chicago, Inc. Specifically, the NYSE Group Short Volume product
provides the following information: Trade date, symbol, short exempt
volume, short volume, total volume of all transactions, and market
identifier. While the proposed product offers volume and trade counts
which are not offered in the comparable NYSE and Nasdaq short sale
volume reports, similar data is otherwise available or determinable in
other NYSE data product offerings. Specifically, the NYSE TAQ product
provides trade and quote information for orders entered on the NYSE
affiliated equity exchanges, which include buy, sell, and sell short
volume.\12\ Thus, subscribers to NYSE TAQ could determine volume and
trade counts from such data. Additionally, the NYSE Monthly Short Sales
report provides a record of every short sale transaction on NYSE during
the month, which includes a size and short sale indicator.\13\ Thus,
subscribers to the NYSE Monthly Short Sales report could determine the
sell short and sell short exempt volume and trade count, albeit on a
monthly basis rather than a daily basis. Moreover, the Exchange
believes the proposed Short Volume Report will benefit market
participants because they will provide visibility into market activity
that is not currently available. Further it will allow market
participants to better understand the changing risk environment on a
daily basis. Therefore, the Exchange believes it is reasonable to
include such data in the proposed product.
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\11\ See Supra note 3. As noted in the Nasdaq Price List, BX and
PSX short sale files are available for free.
\12\ See <a href="https://www.nyse.com/publicdocs/nyse/data/TAQ_XDP_Products_Client_Spec_v2.3c.pdf">https://www.nyse.com/publicdocs/nyse/data/TAQ_XDP_Products_Client_Spec_v2.3c.pdf</a>.
\13\ See <a href="https://www.nyse.com/publicdocs/nyse/data/Monthly_Short_Sales_Client_Spec_v1.3.pdf">https://www.nyse.com/publicdocs/nyse/data/Monthly_Short_Sales_Client_Spec_v1.3.pdf</a>.
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Finally, as noted above the proposed Short Sale Report 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 subscribe to it only if they voluntarily choose to do
so.
B. Self-Regulatory Organization's Statement on Burden on Competition
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. Rather, the
Exchange believes that the proposal will promote competition by
permitting the Exchange to offer data products similar to those offered
by other competitor equities exchanges.\14\ The Exchange is proposing
to introduce the Short Volume Report in order to keep pace with changes
in the industry and evolving customer needs, and believes this proposed
rule change would contribute to robust competition among national
securities exchanges. As noted, at least two other U.S. equity
exchanges offer a market data product that is substantially similar to
the proposed Short Volume Report.\15\ As a result, the Exchange
believes this proposed rule change permits fair competition among
national securities exchanges. Therefore, the Exchange does not believe
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.
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\14\ See Supra notes 3 and 4.
\15\ Id.
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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
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the Exchange consents, the Commission will:
A. By order approve or disapprove such proposed rule change, or
B. institute proceedings to determine whether the proposed rule
change should be 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
<bullet> Use the Commission's internet comment form (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#0c7e796069216f6361616962787f4c7f696f226b637a"><span class="__cf_email__" data-cfemail="acded9c0c981cfc3c1c1c9c2d8dfecdfc9cf82cbc3da">[email protected]</span></a>. Please include
File Number SR-CboeBZX-2021-078 on the subject line.
Paper Comments
<bullet> 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-2021-078. 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 (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>).
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-2021-078, and should be
submitted on or before December 28, 2021.
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\16\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\16\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-26446 Filed 12-6-21; 8:45 am]
BILLING CODE 8011-01-P
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