Notice2022-05149
Self-Regulatory Organizations; Cboe BYX Exchange, Inc; Order Instituting Proceedings To Determine Whether To Approve or Disapprove 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
March 11, 2022
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 87 Issue 48 (Friday, March 11, 2022)</title>
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[Federal Register Volume 87, Number 48 (Friday, March 11, 2022)]
[Notices]
[Pages 14060-14062]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2022-05149]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-94373; File No. SR-CboeBYX-2021-028]
Self-Regulatory Organizations; Cboe BYX Exchange, Inc; Order
Instituting Proceedings To Determine Whether To Approve or Disapprove a
Proposed Rule Change To Introduce a New Data Product To Be Known as the
Short Volume Report
March 7, 2022.
I. Introduction
On November 22, 2021, Cboe BYX Exchange, Inc. (``BYX'' or
``Exchange'') filed with the Securities and Exchange Commission
(``Commission''), pursuant to Section 19(b)(1) of the Securities
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a
proposed rule change to amend Exchange Rule 11.22(f) to introduce a new
data product to be known as the Short Volume Report. The proposed rule
change was published for comment in the Federal Register on December 7,
2021.\3\ On January 20, 2022, pursuant to Section 19(b)(2) of the
Act,\4\ the Commission designated a longer period within which to
approve the proposed rule change, disapprove the proposed rule change,
or institute proceedings to determine whether to disapprove the
proposed rule change.\5\ This order institutes proceedings pursuant to
Section 19(b)(2)(B) of the Act \6\ to determine whether to approve or
disapprove the proposed rule change.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 93689 (December 1,
2021), 86 FR 69335 (``Notice''). The comment letters received on the
proposed rule change are available on the Commission's website at:
<a href="https://www.sec.gov/comments/sr-cboebyx-2021-028/srcboebyx2021028.htm">https://www.sec.gov/comments/sr-cboebyx-2021-028/srcboebyx2021028.htm</a>.
\4\ 15 U.S.C. 78s(b)(2).
\5\ See Securities Exchange Act Release No. 94009, 87 FR 4098
(January 26, 2022). The Commission designated March 7, 2022 as the
date by which the Commission shall approve or disapprove, or
institute proceedings to determine whether to disapprove, the
proposed rule change.
\6\ 15 U.S.C. 78s(b)(2)(B).
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II. Description of and Comments on the Proposed Rule Change
A. Description of the Proposed Rule Change
The Exchange proposes to amend Exchange Rule 11.22(f) to provide
for a new data product to be known as the Short Volume Report, which
will be available for purchase to Members and non-Members.\7\
Specifically, 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.'' \8\ The Exchange proposes
that 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.\9\ The
Exchange proposes that the Short Volume Report will be available on a
monthly subscription basis.\10\ The Exchange states subscribers will
receive a daily end-of-day file that will be delivered after the
conclusion of the After Hours Trading Session.\11\
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\7\ See Notice, supra note 3, at 69335. The Exchange states that
it intends to submit a separate rule filing to adopt fees for the
Short Volume Report product. See Notice, supra note 3, at 69336.
\8\ See proposed Rule 11.22(f).
\9\ See Notice, supra note 3, at 69336.
\10\ See id.
\11\ Additionally, the Exchange proposes to make historical
Short Volume Reports dating as far back as January 2, 2015 available
for purchase on an ad hoc basis in monthly increments. According to
the Exchange, the subscription files and historical files will
include the same data points. See id.
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In support of the proposal, the Exchange states that the proposed
product includes substantially similar information as that included in
comparable products offered on the Nasdaq Stock Market LLC (``Nasdaq'')
and the New York Stock Exchange (``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.\12\ The
Exchange states that
[[Page 14061]]
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.\13\ Specifically, the Exchange states that the NYSE
Trade and Quote (``TAQ'') product provides trade and quote information
for orders entered on the NYSE affiliated equity exchanges, which
include buy, sell, and sell short volume.\14\ Thus, according to the
Exchange, subscribers to NYSE TAQ could determine volume and trade
counts from such data.\15\ Additionally, the Exchange states that 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.\16\ Thus, according to the Exchange, 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.\17\
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\12\ Specifically, the Exchange states that the Nasdaq daily
short sale volume file reflects the aggregate number of shares
executed on Nasdaq, Nasdaq BX, Inc. and Nasdaq PHLX LLC. According
to the Exchange, the Nasdaq daily short volume report provides the
following information: Trade date, symbol, volume during regular
trading hours, and CTA market identifier. Additionally, the Exchange
states that 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. According to the Exchange, the NYSE Group Short Volume
product provides the following information: Trade date, symbol,
short exempt volume, short volume, total volume all transactions,
and market identifier. See id.
\13\ See id.
\14\ See id.
\15\ See id.
\16\ See id.
\17\ See id.
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The Exchange states that 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.\18\
The Exchange states that the proposed Short Volume Report would further
broaden the availability of U.S. equity market data to investors,
promoting increased transparency and better informed trading,
specifically by allowing market participants to identify the source of
selling pressure and whether it is long or short.\19\
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\18\ See id.
\19\ See id.
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B. Comments on the Proposed Rule Change
One commenter states that the proposed rule text and the Exchange's
description of the content of the proposed Short Volume Report are
unclear.\20\ Specifically, the commenter states that the difference
between ``total volume'' and ``buy volume'' is difficult to understand,
``since every trade always includes a buyer.'' \21\ The commenter also
states that the phrase ``buy and sell volume as well as trade counts
for buy, sell, sell short, and sell short exempt volume'' is confusing,
and questions how, for example, buy volume for sell short exempt trades
and sell volume for short exempt trades would be any different.\22\ The
commenter states that in order to be sensible ``buy and sell volume''
must either mean simply ``trade volume'' or else it describes splitting
out buyer and seller-initiated trade volume or total buy and sell order
volume.\23\ The commenter states that ``the public deserves to be
told'' with greater clarity what data the proposed Short Volume Report
contains and ``deserves a chance to comment before approval.'' \24\ In
addition, the commenter states that the proposal could involve the
provision and sale of ``sensitive'' or ``regulatory'' data and could
reveal ``quite a bit about who is doing what in the markets.'' \25\
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\20\ Letter from R.T. Leuchtkafer to Vanessa Countryman,
Secretary, Commission, dated December 27, 2021, at 2-3.
\21\ Id. at 2.
\22\ Id.
\23\ Id. Specifically, the commenter states that ``the phrase
`buy and sell volume as well as trade counts for buy, sell, sell
short, and sell short exempt volume' makes more sense if understood
as (a) `buy[er-initiated] and sell[er-initiated] volume as well as
trade counts for buy, sell, sell short, and sell short exempt
volume' or (b) `buy [order] and sell [order] volume as well as trade
counts for buy, sell, sell short, and sell short exempt volume.' ''
Id.
\24\ Id. at 2-3. For example, the commenter states that listed
companies and investors may want to comment to the extent that the
proposed Short Volume Report is intended to convey to high frequency
trading firms, on a daily basis for every stock, the level of
aggressive short selling or short sale order volume. Id.
\25\ Id. at 1, 5-6.
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This commenter also states that the data contained in the proposed
Short Volume Report is substantially different from the data contained
in products offered by other national securities exchanges, despite the
Exchange's assertion that the proposed Short Volume Report is similar
to those products.\26\ Specifically, the commenter states that the
Exchange's description of the NYSE TAQ data that it points to as
precedent is inaccurate.\27\ According to the commenter, contrary to
the Exchange's statements in the proposal, the TAQ data does not
contain information that would enable subscribers to determine short
sale volume or trade counts.\28\
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\26\ Id. at 2-4.
\27\ Id. at 3-4.
\28\ Id. This commenter also submitted a second comment letter
which objects to certain redactions made to the commenter's first
letter, stating that the redactions diminished the commenter's
``pointed criticism[s]'' of the Commission's performance in
reviewing the proposal. See letter from R.T. Leuchtkafer to Vanessa
Countryman, Secretary, Commission, dated January 4, 2022.
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III. Proceedings To Determine Whether To Approve or Disapprove SR-
CboeBYX-2021-028 and Grounds for Disapproval Under Consideration
The Commission is instituting proceedings pursuant to Section
19(b)(2)(B) of the Act \29\ to determine whether the proposed rule
change should be approved or disapproved. Institution of proceedings is
appropriate at this time in view of the legal and policy issues raised
by the proposal. Institution of proceedings does not indicate that the
Commission has reached any conclusions with respect to any of the
issues involved. Rather, as described below, the Commission seeks and
encourages interested persons to provide additional comment on the
proposed rule change to inform the Commission's analysis of whether to
approve or disapprove the proposed rule change.
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\29\ 15 U.S.C. 78s(b)(2)(B).
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Pursuant to Section 19(b)(2)(B) of the Act,\30\ the Commission is
providing notice of the grounds for disapproval under consideration. As
described above, the Exchange has proposed to amend its rules to
provide for a new data product to be known as the Short Volume Report.
The Commission has received comment letters that express concerns
regarding the content of the proposed Short Volume Report, including
the clarity of the Exchange's description of the proposed product.
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\30\ Id.
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The Commission is instituting proceedings to allow for additional
analysis of, and input from commenters with respect to, the consistency
of the proposal with Section 6(b)(5) \31\ of the Act. Section 6(b)(5)
of the Act requires that the rules of a national securities exchange be
designed, among other things, to promote just and equitable principles
of trade, 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, and not be designed to
permit unfair discrimination between customers, issuers, brokers, or
dealers.
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\31\ 15 U.S.C. 78f(b)(5).
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V. Procedure: Request for Written Comments
The Commission requests that interested persons provide written
submissions of their data, views, and arguments with respect to the
issues identified above, as well as any other concerns they may have
with the proposal. In particular, the Commission invites the written
views of interested persons concerning whether the
[[Page 14062]]
proposed rule change is consistent with Section 6(b)(5) or any other
provision of the Act, or the rules and regulations thereunder. Although
there do not appear to be any issues relevant to approval or
disapproval that would be facilitated by an oral presentation of data,
views, and arguments, the Commission will consider, pursuant to Rule
19b-4 under the Act,\32\ any request for an opportunity to make an oral
presentation.\33\
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\32\ 17 CFR 240.19b-4.
\33\ Section 19(b)(2) of the Act, as amended by the Securities
Acts Amendments of 1975, Public Law 94-29 (June 4, 1975), grants to
the Commission flexibility to determine what type of proceeding--
either oral or notice and opportunity for written comments--is
appropriate for consideration of a particular proposal by a self-
regulatory organization. See Securities Acts Amendments of 1975,
Senate Comm. on Banking, Housing & Urban Affairs, S. Rep. No. 75,
94th Cong., 1st Sess. 30 (1975).
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Interested persons are invited to submit written data, views, and
arguments regarding whether the proposed rule change should be approved
or disapproved by April 1, 2022. Any person who wishes to file a
rebuttal to any other person's submission must file that rebuttal by
April 15, 2022.
The Commission asks that commenters address the sufficiency of the
Exchange's statements in support of the proposal, and any other issues
raised by the proposed rule change under the Act. In particular, the
Commission seeks commenters' views regarding whether the Exchange has
adequately described the proposed new data product for the Commission
to make a determination under Section 6(b)(5) of 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#4f3d3a232a622c2022222a213b3c0f3c2a2c61282039"><span class="__cf_email__" data-cfemail="ed9f988188c08e8280808883999ead9e888ec38a829b">[email protected]</span></a>. Please include
File No. SR-CboeBYX-2021-028 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 No. SR-CboeBYX-2021-028. The 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 No. SR-CboeBYX-2021-028 and should be submitted by
April 1, 2022. Rebuttal comments should be submitted by April 15, 2022.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\34\
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\34\ 17 CFR 200.30-3(a)(12); 17 CFR 200.30-3(a)(57).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-05149 Filed 3-10-22; 8:45 am]
BILLING CODE 8011-01-P
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