Self-Regulatory Organizations; Cboe EDGX Exchange, Inc.; Notice of Filing of a Proposed Rule Change To Introduce a New Data Product To Be Known as Short Sale Volume Data, 32085-32088 [2021-12590]

Download as PDF Federal Register / Vol. 86, No. 114 / Wednesday, June 16, 2021 / Notices jbell on DSKJLSW7X2PROD with NOTICES generate margin requirements that ‘‘equate to future protections against market volatility.’’ FICC’s credit exposures are reasonably measured both by events that have actually happened as well as events that could potentially occur in the future. For this reason, a risk-based margin system is necessary for FICC to cover its potential future exposure to members.64 Potential future exposure is, in turn, defined as the maximum exposure estimated to occur at a future point in time with an established single-tailed confidence level of at least 99 percent with respect to the estimated distribution of future exposure.65 Thus, to be consistent with its regulatory requirements, FICC must consider potential future exposure, which includes, among other things, losses associated with the liquidation of a defaulted member’s portfolio. In response to the comments regarding enhancing the model-based calculation instead of adding the minimum margin amount, the Commission believes that, as FICC stated in its response, the inputs to FICC’s model-based calculation include risk factors that are typical TBA attributes, whereas the extreme market volatility of March and April 2020, which affected the TBA markets, was caused by other external factors that are less subject to modeling. Accordingly, the Commission believes that FICC would more effectively cover its exposure during such periods by including the minimum margin amount as an alternative margin component based the price volatility in each member’s portfolio using observable TBA benchmark prices, using a relatively short lookback period.66 In response to the comments regarding whether the minimum margin amount will likely become the predominant calculation for determining a member’s VaR Charge, the Commission disagrees. For example, the average daily VaR Charge increase from February 3, 2020 through June 30, 2020 would have been approximately $2.2 billion or 42%, but as the modelbased calculation took into account the current market conditions, the average daily increase during Q4 of 2020 would 64 See 17 CFR 240.17Ad–22(e)(6)(iii) (requiring a covered clearing agency to establish, implement, maintain and enforce written policies and procedures reasonably designed to cover its credit exposures to its participants by establishing a riskbased margin system that, at a minimum, calculates margin sufficient to cover its potential future exposure to participants in the interval between the last margin collection and the close out of positions following a participant default). 65 17 CFR 240.17Ad–22(a)(13). 66 See FICC Letter at 3. VerDate Sep<11>2014 17:27 Jun 15, 2021 Jkt 253001 32085 have been approximately $838 million or 7%.67 Finally, in response to the comments regarding concentration charges, the Division states that there is a distinction between concentration charges and the VaR Charge in that they are generally designed to mitigate different risks. Whereas the VaR Charge is designed to cover the risk of market price volatility, concentration charges are typically designed to mitigate the risk of incurring additional market impact cost from liquidating a directionally concentrated portfolio.68 Accordingly, the Commission believes that adding the minimum margin amount to FICC’s margin methodology would be consistent with Rules 17Ad– 22(e)(6)(i) and (iii) because this new margin calculation should better enable FICC to establish a risk-based margin system that considers and produces relevant margin levels commensurate with the risks (including potential future exposure) associated with liquidating member portfolios in a default scenario, including volatility in the TBA market.69 SECURITIES AND EXCHANGE COMMISSION III. Conclusion Cboe EDGX Exchange, Inc. (the ‘‘Exchange’’ or ‘‘EDGX’’) is filing with the Securities and Exchange Commission (‘‘Commission’’) a proposed rule change to introduce a new data product to be known as Short Sale Volume data. 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 (https://markets.cboe.com/us/ options/regulation/rule_filings/edgx/), at the Exchange’s Office of the Secretary, and at the Commission’s Public Reference Room. It is therefore noticed, pursuant to Section 806(e)(1)(I) of the Clearing Supervision Act, that the Commission does not object to Advance Notice (SR– FICC–2020–804) and that FICC is authorized to implement the proposed change as of the date of this notice or the date of an order by the Commission approving proposed rule change SR– FICC–2020–017, whichever is later. By the Commission. J. Matthew DeLesDernier, Assistant Secretary. [FR Doc. 2021–12598 Filed 6–15–21; 8:45 am] 67 See FICC Letter at 5. The Commission’s conclusion is also based upon information that FICC submitted confidentially regarding memberlevel impact of the proposal from February through December 2020. 68 See Securities Exchange Act Release No. 34– 90182 (October 14, 2020), 85 FR 66630 (October 20, 2020). 69 17 CFR 240.17Ad–22(e)(6)(i) and (iii). Frm 00073 Fmt 4703 Self-Regulatory Organizations; Cboe EDGX Exchange, Inc.; Notice of Filing of a Proposed Rule Change To Introduce a New Data Product To Be Known as Short Sale Volume Data June 10, 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 May 28, 2021, Cboe EDGX Exchange, Inc. (the ‘‘Exchange’’ or ‘‘EDGX’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I and II 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. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change BILLING CODE 8011–01–P PO 00000 [Release No. 34–92147; File No. SR– CboeEDGX–2021–027] Sfmt 4703 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. 1 15 2 17 E:\FR\FM\16JNN1.SGM U.S.C. 78s(b)(1). CFR 240.19b–4. 16JNN1 32086 Federal Register / Vol. 86, No. 114 / Wednesday, June 16, 2021 / Notices A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change jbell on DSKJLSW7X2PROD with NOTICES 1. Purpose The Exchange proposes to adopt Rule 13.8(g) to provide for a new data product to be known as Short Sale Volume data. The proposal introduces Short Sale Volume data that will be available for purchase to EDGX Members (‘‘Members’’) and nonMembers.3 The proposal is similar to products offered by the New York Stock Exchange LLC (‘‘NYSE’’) and the Nasdaq Stock Market LLC (‘‘Nasdaq’’) which provide short sale volume information. The Exchange also proposes to change the name of Rule 13.8 to ‘‘Data Products’’ and add a preamble to Rule 13.8 to conform to Cboe BZX Exchange, Inc. (‘‘BZX’’) and Cboe BYX Exchange, Inc. (‘‘BYX’’) Rule 11.22. A description of each market data product offered by the Exchange is described in Exchange Rule 13.8. The Exchange proposes to adopt Rule 13.8(g) to introduce and add a description of the Short Sale Volume data product. The Exchange proposes to describe the Short Sale Volume data as ‘‘a data product that summarizes short sale volume (shares traded on EDGX). Short Sale Volume data is available on an endof-day and intraday basis.’’ The Exchange proposes to offer Short Sale Volume data on an end-of-day and intraday basis which will be available for purchase by Members and nonMembers. Specifically, the Exchange proposes to offer an end-of-day short sale volume report that includes the date, session (i.e., Pre-Opening Session,4 Regular Trading Hours,5 or Post-Closing Session 6),7 symbol, trade count, buy and sell volume, type of sale (i.e., sell, sell short, or sell short exempt), capacity (i.e., principal, agent, or riskless principal), and retail order indicator. The end-of-day Short Sale Volume data would include same day corrections to short sale volume. The Exchange also proposes to offer Short Sale Volume data on an intraday basis that will provide the same information to that of end-of-day Short Sale Volume data, but will be produced and updated every 10 minutes during the trading day. Data is captured in ‘‘snapshots’’ taken every 10 minutes 3 The Exchange intends to submit a separate rule filing to establish fees for Short Sale Volume data. 4 See Exchange Rule 1.5(s). 5 See Exchange Rule 1.5(y). 6 See Exchange Rule 1.5(r). 7 Session information will only be available in data after July 31, 2020. VerDate Sep<11>2014 17:27 Jun 15, 2021 Jkt 253001 throughout the trading day and is available to subscribers within five minutes of the conclusion of each 10 minute period. For example, subscribers to the intraday product will receive the first calculation of intraday data by approximately 9:45 a.m. ET, which represents data captured from 9:30 a.m. to 9:40 a.m. Subscribers will receive the next update by 9:55 a.m., representing the data previously provided aggregated with data captured through 9:50 a.m., and so forth. Each update will represent combined data captured from the current ‘‘snapshot’’ and all previous ‘‘snapshots’’ and thus will provide short sale volume data on an aggregate basis. The intraday Short Sale Volume data will not include same day corrections, as proposed in the end-of-day data. The proposed data products provide proprietary EDGX trade data and do not include trade data from any other exchange. The proposed end-of-day and intraday Short Sale Volume data will be available for purchase on a monthly subscription basis. Subscribers to the end-of-day Short Sale Volume data will receive a daily end-of-day file. Similarly, subscribers to the intraday Short Sale Volume data will receive data which will be produced and updated every 10 minutes as described above. Additionally, end-of-day and intraday Short Sale Volume data will be available on a historical basis for purchase as far back as January 3, 2017.8 The subscription files and historical ad hoc files will include the same data points. Further, the Exchange will establish a monthly subscriber fee and historical ad hoc fee for the Short Sale Volume data by way of a separate proposed rule change, which the Exchange will submit in connection with the launch of the Short Sale Volume data product. The Exchange anticipates a wide variety of market participants to purchase Short Sale Volume data, including, but not limited to active equity trading firms and academic institutions. For example, the Exchange notes that academic institutions may utilize Short Sale Volume data and as a result promote research and studies of the equities industry to the benefit of all market participants. The Exchange believes the proposed Short Sale Volume data products may also provide helpful trading information regarding investor sentiment that may allow market participants to make better trading decisions throughout the day and may be used to create and test trading models and analytical strategies 8 Historical data will be available on an ad hoc basis. PO 00000 Frm 00074 Fmt 4703 Sfmt 4703 and provides comprehensive insight into trading on the Exchange. For example, Short Sale Volume data may allow a market participant to identify the source of selling pressure and whether it is long or short. Further, it may provide more visibility into increasing and decreasing retail interest in a specific security. 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. The Exchange notes that other exchanges offer similar data products.9 Based on the above proposal, the Exchange also proposes to amend the name of Rule 13.8 from ‘‘EDGX Book Feeds’’ to ‘‘Data Products’’. Such an amendment would accurately describe the Rule as the proposed product is not a book feed, but rather a data product. Further, the existing data feeds identified in Rule 13.8 are also data products. The Exchange also proposes to add the following preamble to Rule 13.8: ‘‘The Exchange offers the following data products free of charge, unless otherwise noted in the Exchange’s fee schedule’’. The proposed language conforms to rule text provided in BZX and BYX Rules 13.8. 2. Statutory Basis The Exchange believes the proposed rule change is consistent with Section 6(b) of the Act,10 in general, and furthers the objectives of Section 6(b)(5) of the Act,11 in particular, in that it is designed to prevent fraudulent and manipulative acts and practices, 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. Additionally, the Exchange believes the proposed rule change is consistent with the Section 6(b)(5) 12 requirement that the rules of an exchange not be designed to permit unfair discrimination between customers, issuers, brokers, or dealers. In adopting Regulation NMS, the Commission granted self-regulatory organizations (‘‘SROs’’) and brokerdealers increased authority and flexibility to offer new and unique 9 See the Nasdaq Daily Short Sale Volume files at https://nasdaqtrader.com/ Trader.aspx?id=shortsale. See also the NYSE TAQ Group Short Sales and Short Volume at https:// www.nyse.com/market-data/historical/taq-nysegroup-short-sales. 10 15 U.S.C. 78f(b). 11 15 U.S.C. 78f(b)(5). 12 Id. E:\FR\FM\16JNN1.SGM 16JNN1 jbell on DSKJLSW7X2PROD with NOTICES Federal Register / Vol. 86, No. 114 / Wednesday, June 16, 2021 / Notices 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 Sale Volume data 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 Sale Volume data. The proposed rule change would benefit investors by providing access to the Short Sale Volume data, which may promote better informed trading. Particularly, information regarding Short Sale Volume may allow a market participant to identify the source of selling pressure and whether it is long or short. Further, it may provide more visibility into increasing and decreasing retail interest in a specific security. Moreover, other exchanges offer similar data products.13 Nasdaq offers a daily short sale volume report and NYSE offers the TAQ group short sales and short volume product, which provide similar information to that included in the proposed end-of-day Short Sale Volume data product. The Nasdaq daily short sale volume file reflects the aggregate number of shares executed on Nasdaq, BX and PSX during regular trading hours.14 Specifically, the Nasdaq daily short sale volume provides the following information: Date, symbol, volume during regular trading hours, and CTA market identifier. The NYSE daily short volume file reflects a summary of short sale volume for securities traded on NYSE, NYSE American, NYSE Arca, NYSE National, and NYSE Chicago. Specifically, the NYSE short sales and short volume product provides the following information: Date, symbol, short exempt volume, short volume, total volume of the short sale transaction, and market identifier. NYSE and Nasdaq also offer monthly short sale volume reports which offer different information than that provided in their daily short sale reports. The Exchange proposes to include different and additional data in the proposed products. Specifically, the Exchange proposes to include session information, trade count, capacity, and a retail order indicator in the proposed data product which are not currently provided in either the NYSE or Nasdaq short sale volume product offerings. Supra note 9. https://nasdaqtrader.com/ Trader.aspx?id=shortsale. Further, the Exchange proposes to offer an intraday Short Sale Volume data product, which is not offered by other exchanges. The Exchange believes the additional data points and the intraday data 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 and intraday basis. Therefore, the Exchange believes it is reasonable to include such data in the proposed products. The Exchange believes the proposal to change the name of Rule 13.8 to ‘‘Data Products’’ is reasonable because the proposed Short Sale Volume report is not a book feed, and thus ‘‘EDGX Book Feeds’’ does not accurately describe all of the paragraphs under Rule 13.8. The Exchange also believes the proposal to add the preamble to Rule 13.8 is reasonable because it will eliminate potential investor confusion as to which data products the Exchange charges a fee. Furthermore, both of the aforementioned changes to Rule 13.8 are identical to the text of BZX and BYX Rule 11.22. 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.15 The Exchange is proposing to introduce Short Sale Volume data 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 similar to the proposed Short Sale Volume data.16 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. 13 See 15 See 14 See VerDate Sep<11>2014 17:27 Jun 15, 2021 Supra note 9. 16 Id. Jkt 253001 PO 00000 Frm 00075 Fmt 4703 Sfmt 4703 32087 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 (i) as the Commission may designate up to 90 days of such date 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 shall: (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 • Use the Commission’s internet comment form (https://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SR– CboeEDGX–2021–027 on the subject line. 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–CboeEDGX–2021–027. 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 (https://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 E:\FR\FM\16JNN1.SGM 16JNN1 32088 Federal Register / Vol. 86, No. 114 / Wednesday, June 16, 2021 / Notices 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–CboeEDGX–2021–027, and should be submitted on or before July 7, 2021. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.17 J. Matthew DeLesDernier, Assistant Secretary. [FR Doc. 2021–12590 Filed 6–15–21; 8:45 am] SECURITIES AND EXCHANGE COMMISSION [Release No. 34–92148; File No. SR– CboeBZX–2021–042] 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 Short Sale Volume Data June 10, 2021. jbell on DSKJLSW7X2PROD with NOTICES 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 May 28, 2021, Cboe BZX Exchange, Inc. (the ‘‘Exchange’’ or ‘‘BZX’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I and II 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. 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 introduce a new data product to be CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 17:27 Jun 15, 2021 1. Purpose The Exchange proposes to amend Rule 11.22(f) to provide for a new data product to be known as Short Sale Volume data. The proposal introduces Short Sale Volume data that will be available for purchase to BZX Members (‘‘Members’’) and non-Members.3 The proposal is similar to products offered by the New York Stock Exchange LLC (‘‘NYSE’’) and the Nasdaq Stock Market LLC (‘‘Nasdaq’’) which provide short sale volume information. 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 Sale Volume data product. The Exchange proposes to describe the Short Sale Volume data as ‘‘a data product that summarizes short sale volume (shares traded on BZX). Short Sale Volume data is available on an end-of-day and intraday basis.’’ The Exchange proposes to offer Short Sale Volume data on an end-of-day and intraday basis which will be available for purchase by Members and nonMembers. Specifically, the Exchange proposes to offer an end-of-day short sale volume report that includes the date, session (i.e., Pre-Opening Session,4 3 The Exchange intends to submit a separate rule filing to establish fees for Short Sale Volume data. 4 See Exchange Rule 1.5(r). 1 15 VerDate Sep<11>2014 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 BILLING CODE 8011–01–P 17 17 known as Short Sale Volume data. 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 (https://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. Jkt 253001 PO 00000 Frm 00076 Fmt 4703 Sfmt 4703 Regular Trading Hours,5 or After Hours Trading Session 6),7 symbol, trade count, buy and sell volume, type of sale (i.e., sell, sell short, or sell short exempt), capacity (i.e., principal, agent, or riskless principal), and retail order indicator. The end-of-day Short Sale Volume data would include same day corrections to short sale volume. The Exchange also proposes to offer Short Sale Volume data on an intraday basis that will provide the same information to that of end-of-day Short Sale Volume data, but will be produced and updated every 10 minutes during the trading day. Data is captured in ‘‘snapshots’’ taken every 10 minutes throughout the trading day and is available to subscribers within five minutes of the conclusion of each 10minute period. For example, subscribers to the intraday product will receive the first calculation of intraday data by approximately 9:45 a.m. ET, which represents data captured from 9:30 a.m. to 9:40 a.m. Subscribers will receive the next update by 9:55 a.m., representing the data previously provided aggregated with data captured through 9:50 a.m., and so forth. Each update will represent combined data captured from the current ‘‘snapshot’’ and all previous ‘‘snapshots’’ and thus will provide short sale volume data on an aggregate basis. The intraday Short Sale Volume data will not include same day corrections, as proposed in the end-of-day data. The proposed data products provide proprietary BZX trade data and do not include trade data from any other exchange. The proposed end-of-day and intraday Short Sale Volume data will be available for purchase on a monthly subscription basis. Subscribers to the end-of-day Short Sale Volume data will receive a daily end-of-day file. Similarly, subscribers to the intraday Short Sale Volume data will receive data which will be produced and updated every 10 minutes as described above. Additionally, end-of-day and intraday Short Sale Volume data will be available on a historical basis for purchase as far back as January 3, 2017.8 The subscription files and historical ad hoc files will include the same data points. Further, the Exchange will establish a monthly subscriber fee and historical ad hoc fee for the Short Sale Volume data by way of a separate proposed rule change, which the Exchange will submit 5 See Exchange Rule 1.5(w). Exchange Rule 1.5(c). 7 Session information will only be available in data after July 31, 2020. 8 Historical data will be available on an ad hoc basis. 6 See E:\FR\FM\16JNN1.SGM 16JNN1

Agencies

[Federal Register Volume 86, Number 114 (Wednesday, June 16, 2021)]
[Notices]
[Pages 32085-32088]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-12590]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-92147; File No. SR-CboeEDGX-2021-027]


Self-Regulatory Organizations; Cboe EDGX Exchange, Inc.; Notice 
of Filing of a Proposed Rule Change To Introduce a New Data Product To 
Be Known as Short Sale Volume Data

June 10, 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 May 28, 2021, Cboe EDGX Exchange, Inc. (the ``Exchange'' or 
``EDGX'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I and II 
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.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Cboe EDGX Exchange, Inc. (the ``Exchange'' or ``EDGX'') is filing 
with the Securities and Exchange Commission (``Commission'') a proposed 
rule change to introduce a new data product to be known as Short Sale 
Volume data. 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 (https://markets.cboe.com/us/options/regulation/rule_filings/edgx/), 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.

[[Page 32086]]

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

1. Purpose
    The Exchange proposes to adopt Rule 13.8(g) to provide for a new 
data product to be known as Short Sale Volume data. The proposal 
introduces Short Sale Volume data that will be available for purchase 
to EDGX Members (``Members'') and non-Members.\3\ The proposal is 
similar to products offered by the New York Stock Exchange LLC 
(``NYSE'') and the Nasdaq Stock Market LLC (``Nasdaq'') which provide 
short sale volume information. The Exchange also proposes to change the 
name of Rule 13.8 to ``Data Products'' and add a preamble to Rule 13.8 
to conform to Cboe BZX Exchange, Inc. (``BZX'') and Cboe BYX Exchange, 
Inc. (``BYX'') Rule 11.22.
---------------------------------------------------------------------------

    \3\ The Exchange intends to submit a separate rule filing to 
establish fees for Short Sale Volume data.
---------------------------------------------------------------------------

    A description of each market data product offered by the Exchange 
is described in Exchange Rule 13.8. The Exchange proposes to adopt Rule 
13.8(g) to introduce and add a description of the Short Sale Volume 
data product. The Exchange proposes to describe the Short Sale Volume 
data as ``a data product that summarizes short sale volume (shares 
traded on EDGX). Short Sale Volume data is available on an end-of-day 
and intraday basis.''
    The Exchange proposes to offer Short Sale Volume data on an end-of-
day and intraday basis which will be available for purchase by Members 
and non-Members. Specifically, the Exchange proposes to offer an end-
of-day short sale volume report that includes the date, session (i.e., 
Pre-Opening Session,\4\ Regular Trading Hours,\5\ or Post-Closing 
Session \6\),\7\ symbol, trade count, buy and sell volume, type of sale 
(i.e., sell, sell short, or sell short exempt), capacity (i.e., 
principal, agent, or riskless principal), and retail order indicator. 
The end-of-day Short Sale Volume data would include same day 
corrections to short sale volume.
---------------------------------------------------------------------------

    \4\ See Exchange Rule 1.5(s).
    \5\ See Exchange Rule 1.5(y).
    \6\ See Exchange Rule 1.5(r).
    \7\ Session information will only be available in data after 
July 31, 2020.
---------------------------------------------------------------------------

    The Exchange also proposes to offer Short Sale Volume data on an 
intraday basis that will provide the same information to that of end-
of-day Short Sale Volume data, but will be produced and updated every 
10 minutes during the trading day. Data is captured in ``snapshots'' 
taken every 10 minutes throughout the trading day and is available to 
subscribers within five minutes of the conclusion of each 10 minute 
period. For example, subscribers to the intraday product will receive 
the first calculation of intraday data by approximately 9:45 a.m. ET, 
which represents data captured from 9:30 a.m. to 9:40 a.m. Subscribers 
will receive the next update by 9:55 a.m., representing the data 
previously provided aggregated with data captured through 9:50 a.m., 
and so forth. Each update will represent combined data captured from 
the current ``snapshot'' and all previous ``snapshots'' and thus will 
provide short sale volume data on an aggregate basis. The intraday 
Short Sale Volume data will not include same day corrections, as 
proposed in the end-of-day data. The proposed data products provide 
proprietary EDGX trade data and do not include trade data from any 
other exchange.
    The proposed end-of-day and intraday Short Sale Volume data will be 
available for purchase on a monthly subscription basis. Subscribers to 
the end-of-day Short Sale Volume data will receive a daily end-of-day 
file. Similarly, subscribers to the intraday Short Sale Volume data 
will receive data which will be produced and updated every 10 minutes 
as described above. Additionally, end-of-day and intraday Short Sale 
Volume data will be available on a historical basis for purchase as far 
back as January 3, 2017.\8\ The subscription files and historical ad 
hoc files will include the same data points. Further, the Exchange will 
establish a monthly subscriber fee and historical ad hoc fee for the 
Short Sale Volume data by way of a separate proposed rule change, which 
the Exchange will submit in connection with the launch of the Short 
Sale Volume data product.
---------------------------------------------------------------------------

    \8\ Historical data will be available on an ad hoc basis.
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    The Exchange anticipates a wide variety of market participants to 
purchase Short Sale Volume data, including, but not limited to active 
equity trading firms and academic institutions. For example, the 
Exchange notes that academic institutions may utilize Short Sale Volume 
data and as a result promote research and studies of the equities 
industry to the benefit of all market participants. The Exchange 
believes the proposed Short Sale Volume data products may also provide 
helpful trading information regarding investor sentiment that may allow 
market participants to make better trading decisions throughout the day 
and may be used to create and test trading models and analytical 
strategies and provides comprehensive insight into trading on the 
Exchange. For example, Short Sale Volume data may allow a market 
participant to identify the source of selling pressure and whether it 
is long or short. Further, it may provide more visibility into 
increasing and decreasing retail interest in a specific security. 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. The Exchange notes that other exchanges offer similar data 
products.\9\
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    \9\ See the Nasdaq Daily Short Sale Volume files at https://nasdaqtrader.com/Trader.aspx?id=shortsale. See also the NYSE TAQ 
Group Short Sales and Short Volume at https://www.nyse.com/market-data/historical/taq-nyse-group-short-sales.
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    Based on the above proposal, the Exchange also proposes to amend 
the name of Rule 13.8 from ``EDGX Book Feeds'' to ``Data Products''. 
Such an amendment would accurately describe the Rule as the proposed 
product is not a book feed, but rather a data product. Further, the 
existing data feeds identified in Rule 13.8 are also data products. The 
Exchange also proposes to add the following preamble to Rule 13.8: 
``The Exchange offers the following data products free of charge, 
unless otherwise noted in the Exchange's fee schedule''. The proposed 
language conforms to rule text provided in BZX and BYX Rules 13.8.
2. Statutory Basis
    The Exchange believes the proposed rule change is consistent with 
Section 6(b) of the Act,\10\ in general, and furthers the objectives of 
Section 6(b)(5) of the Act,\11\ in particular, in that it is designed 
to prevent fraudulent and manipulative acts and practices, 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. 
Additionally, the Exchange believes the proposed rule change is 
consistent with the Section 6(b)(5) \12\ requirement that the rules of 
an exchange not be designed to permit unfair discrimination between 
customers, issuers, brokers, or dealers.
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    \10\ 15 U.S.C. 78f(b).
    \11\ 15 U.S.C. 78f(b)(5).
    \12\ Id.
---------------------------------------------------------------------------

    In adopting Regulation NMS, the Commission granted self-regulatory 
organizations (``SROs'') and broker-dealers increased authority and 
flexibility to offer new and unique

[[Page 32087]]

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 Sale Volume data 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 Sale Volume data. The proposed rule change would benefit 
investors by providing access to the Short Sale Volume data, which may 
promote better informed trading. Particularly, information regarding 
Short Sale Volume may allow a market participant to identify the source 
of selling pressure and whether it is long or short. Further, it may 
provide more visibility into increasing and decreasing retail interest 
in a specific security.
    Moreover, other exchanges offer similar data products.\13\ Nasdaq 
offers a daily short sale volume report and NYSE offers the TAQ group 
short sales and short volume product, which provide similar information 
to that included in the proposed end-of-day Short Sale Volume data 
product. The Nasdaq daily short sale volume file reflects the aggregate 
number of shares executed on Nasdaq, BX and PSX during regular trading 
hours.\14\ Specifically, the Nasdaq daily short sale volume provides 
the following information: Date, symbol, volume during regular trading 
hours, and CTA market identifier. The NYSE daily short volume file 
reflects a summary of short sale volume for securities traded on NYSE, 
NYSE American, NYSE Arca, NYSE National, and NYSE Chicago. 
Specifically, the NYSE short sales and short volume product provides 
the following information: Date, symbol, short exempt volume, short 
volume, total volume of the short sale transaction, and market 
identifier. NYSE and Nasdaq also offer monthly short sale volume 
reports which offer different information than that provided in their 
daily short sale reports.
---------------------------------------------------------------------------

    \13\ See Supra note 9.
    \14\ See https://nasdaqtrader.com/Trader.aspx?id=shortsale.
---------------------------------------------------------------------------

    The Exchange proposes to include different and additional data in 
the proposed products. Specifically, the Exchange proposes to include 
session information, trade count, capacity, and a retail order 
indicator in the proposed data product which are not currently provided 
in either the NYSE or Nasdaq short sale volume product offerings. 
Further, the Exchange proposes to offer an intraday Short Sale Volume 
data product, which is not offered by other exchanges. The Exchange 
believes the additional data points and the intraday data 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 and intraday basis. Therefore, the Exchange believes it is 
reasonable to include such data in the proposed products.
    The Exchange believes the proposal to change the name of Rule 13.8 
to ``Data Products'' is reasonable because the proposed Short Sale 
Volume report is not a book feed, and thus ``EDGX Book Feeds'' does not 
accurately describe all of the paragraphs under Rule 13.8. The Exchange 
also believes the proposal to add the preamble to Rule 13.8 is 
reasonable because it will eliminate potential investor confusion as to 
which data products the Exchange charges a fee. Furthermore, both of 
the aforementioned changes to Rule 13.8 are identical to the text of 
BZX and BYX Rule 11.22.

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.\15\ The Exchange is proposing 
to introduce Short Sale Volume data 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 similar to the proposed 
Short Sale Volume data.\16\ 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.
---------------------------------------------------------------------------

    \15\ See Supra note 9.
    \16\ Id.
---------------------------------------------------------------------------

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 (i) as the Commission may 
designate up to 90 days of such date 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 shall: (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

     Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-CboeEDGX-2021-027 on the subject line.

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-CboeEDGX-2021-027. 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 (https://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

[[Page 32088]]

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-CboeEDGX-2021-027, and 
should be submitted on or before July 7, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\17\
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    \17\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-12590 Filed 6-15-21; 8:45 am]
BILLING CODE 8011-01-P
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