This Regulatory Notice (the “Notice”) serves to inform Members of EDGA Exchange, Inc. and EDGX Exchange, Inc. (together, the “Exchanges”) that the Exchanges and certain members of the Intermarket Surveillance Group (collectively, the “ISG interested members”)1 are enhancing the Electronic Blue Sheets (the “EBSs”) required to be submitted under the Exchanges’ Rule 4.2. These changes are being implemented to improve the regulatory agencies' ability to analyze trading activities and to support compliance with a Securities and Exchange Commission (the “SEC”) rule.
Effective August 31, 2012, Members of the Exchanges (“Member”) will be required to submit new data elements to the Exchanges and the other ISG interested members. Attachment A to this Notice sets forth the changes to the EBS record layout and Attachment B outlines the existing transaction type identifiers.
In addition, effective August 31, 2012, Members will be required to submit EBS, when requested, in three additional formats: (1) account number and date; (2) account number, symbol and date; or (3) date range and executing firm Central Registration Depository (“CRD”) number or entering firm Market Participant Identifier (“MPID”).
This Notice also provides responses to certain frequently asked questions (“FAQs”). The ISG interested members will continue to collect questions and update the FAQs on the FINRA website. To support this effort, questions concerning the EBS enhancements should be directed to firstname.lastname@example.org.
The ISG interested members, including the Exchanges, are requiring Members to provide new data elements to EBS. To support these new data elements, the Securities Industry Automation Corporation (“SIAC”) has modified the EBS record layout. Members may begin testing the updated format starting on July 31, 2012.
In addition, the SEC has mandated that the Large Trader Identification Number (“LTID”) and Order Execution Time enhancements be ready for transmission to the SEC by April 30, 2012. From April 30, 2012, through August 30, 2012, Members should submit these new data elements only to the SEC. After August 30, 2012, Members may submit the LTID, and will be required to submit the Order Execution Time, to the requesting ISG interested member.
Members should pay particular attention to the following areas of Attachment A:
- Order Execution Time, Record Sequence Number Five, Field Position 72 to 77 - Members should use this record to submit the order execution time in 24-hour format and in Eastern Time formatted as HHMMSS. This information is for all EBS transactions and is not limited to transactions relating to Rule 13h-1 under the Securities Exchange Act of 1934 (the “Large Trader Reporting Rule”). Please note that all Members must synchronize their time clocks to the atomic clock to maintain an accurate audit trail. (See FAQ No. 3 for more detail on clock synchronization requirements.)
- Large Trader Identification Number 1, Record Sequence Number Seven, Field Position 2 to 14 - Members should use this record to submit the LTID. This information would be requested under the Large Trader Reporting Rule requirements.
- Large Trader Identification Number 2, Record Sequence Number Seven, Field Position 15 to 27 - Members should use this record to submit the LTID. This information would be requested under the Large Trader Reporting Rule requirements.
- Large Trader Identification Number 3, Record Sequence Number Seven, Field Position 28 to 40 - Members should use this record to submit the LTID. This information would be requested under the Large Trader Reporting Rule requirements.
- Large Trader Identification Qualifier, Record Sequence Number Seven, Field Position 41 - Members should use this record to submit the Large Trader Identification Qualifier. If more than three LTIDs exist for a transaction, then Members should mark the field “Y” for Yes. Otherwise it should be marked “N” for No. This information would be requested under the Large Trader Reporting Rule requirements.
- Entering Firm MPID, Record Sequence Number Seven, Field Positions 42 to 45 - Members should use this record to submit the entering firm’s Market Participant Identifier (“MPID”). The entering firm is the firm that entered the order on the marketplace.
- Employer SIC Code, Record Sequence Number Seven, Field Positions 46 to 49 - Members should use this record to submit the account holder’s employer SIC code. A list of employer SIC codes can be found here.
- Executing Firm CRD Number, Record Sequence Number Seven, Field Positions 50 to 57 - Members should use this record to submit the executing firm’s CRD number.
Members are reminded that failure to properly fill out EBS fields is a violation of the Exchanges’ Rule 4.2.
Electronic Blue Sheet Submission Methodology
Currently, EBS requests are made under specific security symbols and option symbology. Effective August 31, 2012, Members will be required to submit EBSs, when requested, using three additional formats: (1) account number and date; (2) account number, symbol and date; or (3) date range and executing firm CRD number or entering firm MPID.
The request by account number would require Members to identify the account number of a specific account at a Member, e.g., John Doe at CC Clearing Co. The request would cover all transactions under the John Doe account number at CC Clearing Co. To reduce data submission size, an EBS request may also ask for a specific symbol and date in connection with the account number. Additionally, EBS requests may be made for a specific review period under an executing firm’s CRD number or entering firm’s MPID. This request would require a Member to identify a clearing firm client’s EBS for a set number of days, weeks or months, e.g., Member ABC for the month of January 2011.
1 The ISG interested members include the following exchanges and self-regulatory organizations (SROs): BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated (CBOE), C2 Options Exchange, Incorporated (C2), CBOE Stock Exchange, LLC (CBSX), Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Association (FINRA), International Securities Exchange, LLC, The NASDAQ Stock Market LLC, NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, National Stock Exchange, Inc., New York Stock Exchange, LLC, NYSE Amex, LLC, and NYSE Arca, Inc.
nyse arca inc., bats y-exchange inc., nyse amex llc, new york stock exchange llc, nasdaq omx bx inc., edgx exchange inc., cc clearing co., chicago stock exchange inc., intermarket surveillance group, edga exchange inc., market participant identifier, central registration depository, securities industry automation corporation, chicago board options exchange incorporated, cboe stock exchange llc, national stock exchange inc., bats exchange inc., mpid, c2 options exchange incorporated, nasdaq omx phlx llc, reporting rule, john doe, email@example.com, securities and exchange commission, exchanges, financial industry regulatory association, finra, united states securities law, stock market, economy of the united states, financial industry regulatory authority, u.s. securities and exchange commission, securities exchange act, stock exchange, large trader identification qualifier, large trader, new york stock exchange llc., cboe stock exchange llc, abc
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