[Federal Register Volume 86, Number 225 (Friday, November 26, 2021)]
[Notices]
[Pages 67517-67524]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-25752]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-93625; File No. SR-CTA/CQ-2021-03]


Consolidated Tape Association; Notice of Filing of the Twenty-
Fifth Charges Amendment to the Second Restatement of the CTA Plan and 
Sixteenth Charges Amendment to the Restated CQ Plan

November 19, 2021.
    Pursuant to Section 11A of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 608 thereunder,\2\ notice is hereby given that 
on November 5, 2021,\3\ certain participants in the Second Restatement 
of the Consolidated Tape Association (``CTA'') Plan and Restated 
Consolidated Quotation (``CQ'') Plan (collectively ``CTA/CQ Plans'' or 
``Plans'') filed with the Securities and Exchange Commission (``SEC'' 
or ``Commission'') a proposal to amend the Plans.\4\ These amendments 
represent the Twenty-Fifth Charges Amendment to the CTA Plan and 
Sixteenth Charges Amendment to the CQ Plan (``Amendments''). Under the 
Amendments, the Participants propose to amend the Plans to adopt fees 
for the receipt of the expanded content of consolidated market data 
pursuant to the Commission's Market Data Infrastructure Rules (``MDI 
Rules'').\5\ The Participants have submitted a separate amendment to 
implement the non-fee-related aspects of the MDI Rules.
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    \1\ 15 U.S.C. 78k-1.
    \2\ 17 CFR 242.608.
    \3\ See Letter from Robert Books, Chair, CTA/CQ Operating 
Committee, to Vanessa Countryman, Secretary, Commission (Nov. 5, 
2021).
    \4\ The amendments were approved and executed by more than the 
required two-thirds of the self-regulatory organizations (``SROs'') 
that are participants of the CTA/CQ Plans. The participants that 
approved and executed the amendments (the ``Participants'') are: 
Cboe BYX Exchange, Inc., Cboe BZX Exchange, Inc., Cboe EDGA 
Exchange, Inc., Cboe EDGX Exchange, Inc., Cboe Exchange, Inc., 
Nasdaq ISE, LLC, Nasdaq PHLX, Inc., The Nasdaq Stock Market LLC, New 
York Stock Exchange LLC, NYSE American LLC, NYSE Arca, Inc., NYSE 
Chicago, Inc., and NYSE National, Inc.. The other SROs that are 
participants in the CTA/CQ Plans are: Financial Industry Regulatory 
Authority, Inc., The Investors' Exchange LLC, Long-Term Stock 
Exchange, Inc., MEMX LLC, MIAX PEARL, LLC, and Nasdaq BX, Inc. See 
infra Section I. G.
    \5\ Securities Exchange Act Release No. 90610, 86 FR 18596 
(April 9, 2021) (File No. S7-03-20) (``MDI Rules Release'').
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    The proposed Amendments have been filed by the Participants 
pursuant to Rule 608(b)(2) under Regulation NMS.\6\ The Commission is 
publishing this notice to solicit comments from interested persons on 
the proposed Amendments. Set forth in Sections I and II, which were 
prepared and submitted to the Commission by the Participants, is the 
statement of the purpose and summary of the Amendments, along with 
information pursuant to Rules 608(a) and 601(a) under the Act. A copy 
of the Schedule of Market Data Charges for the Plans, marked to show 
the proposed Amendments, is Attachment A to this notice.
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    \6\ 17 CFR 242.608(b)(2).
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I. Rule 608(a)

A. Purpose of the Amendments

    On December 9, 2020, the Commission adopted amendments to 
Regulation NMS. The effective date of these final rules was June 8, 
2021. As specified in the MDI Rules Release, the Participants must 
submit updated fees regarding the receipt and use of the expanded 
content of consolidated market data by November 5, 2021.\7\ Consistent 
with that requirement, the Participants are submitting the above-
captioned amendments to the Plans to propose such fees.\8\
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    \7\ MDI Rules Release at 18699.
    \8\ As the Commission is aware, some of the SROs (the 
``Petitioners'') have challenged the MDI Rules Release in the D.C. 
Circuit. The Petitioners have joined in this submission, including 
the statement that the Plan amendments comply with the MDI Rules 
Release, solely to satisfy the requirements of the MDI Rules Release 
and Rule 608. Nothing in this submission should be construed as 
abandoning any arguments asserted in the D.C. Circuit, as an 
agreement by Petitioners with any analysis or conclusions set forth 
in the MDI Rules Release, or as a concession by Petitioners 
regarding the legality of the MDI Rules Release. Petitioners reserve 
all rights in connection with their pending challenge of the MDI 
Rules Release, including inter alia, the right to withdraw the 
proposed amendment or assert that any action relating to the 
proposed amendment has been rendered null and void, depending on the 
outcome of the pending challenge. Petitioners further reserve all 
rights with respect to this submission, including inter alia, the 
right to assert legal challenges regarding the Commission's 
disposition of this submission.
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    The Participants are proposing a fee structure for the following 
three categories of data, which collectively comprise the amended 
definition of core data, as that term is defined in amended Rule 
600(b)(21) of Regulation NMS: \9\
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    \9\ 17 CFR 242.600(b)(26) (``Rule 600'').
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    (1) Level 1 Core Data, which the Participants propose would include 
Top of Book Quotations, Last Sale Price Information, and odd-lot 
information (as defined in amended Rule 600(b)(59)). Plan fees to 
subscribers currently are for Top of Book Quotations and Last Sale 
Price Information, as well as what is now defined as administrative 
data (as defined in amended Rule 600(b)(2)), regulatory data (as 
defined in amended Rule 600(b)(78)), and self-regulatory organization-
specific program data (as defined in amended Rule 600(b)(85)). The 
Participants propose that Level 1 Core Data would continue to include 
all information that subscribers receive for current fees and add odd- 
lot information;
    (2) Depth of book data (as defined in amended Rule 600(b)(26)); and
    (3) Auction information (as defined in amended Rule 600(b)(5)).\10\
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    \10\ The Participants propose to price subsets of data that 
comprise core data separately so that data subscriber users have 
flexibility in how much consolidated market data content they wish 
to purchase. For example, the Participants understand that certain 
data subscribers may not wish to add depth of book data or auction 
information, or may want to add only depth of book information, but 
not auction information. Accordingly, Participants are proposing to 
price subsets of data to provide flexibility to data subscribers. 
However, the Participants expect that Competing Consolidators would 
be purchase all core data.
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Professional and Nonprofessional Fees
    For each of the three categories of data described above, the 
Participants are

[[Page 67518]]

proposing a Professional Subscriber Charge and a Nonprofessional 
Subscriber Charge.
    With respect to Level 1 Core Data, the Participants are not 
proposing to change the Professional Subscriber and Nonprofessional 
Subscriber fees currently set forth in the Plans. Access to odd-lot 
information would be made available to Level 1 Core Data Professional 
and Nonprofessional Subscribers at no additional charge.
    With respect to depth of book data, Professional Subscribers would 
pay $99.00 per device per month for each Network's data. 
Nonprofessional Subscribers would pay $4.00 per subscriber per month 
for each Network's depth of book data. The Participants are not 
proposing per-quote packet charges or enterprise rates for either 
Professional Subscribers or Nonprofessional Subscribers use of depth of 
book data at this time.
    Finally, with respect to auction information, both Professional 
Subscribers and Nonprofessional Subscribers would pay $10.00 per 
device/subscriber per month for each Network's auction information 
data.
Non-Display Use Fees
    The Participants are proposing Non-Display Use Fees relating to the 
three categories of data described above: (1) Level 1 Core Data; (2) 
depth of book data; and (3) auction information.
    With respect to Level 1 Core Data, the Participants are not 
proposing to change the Non-Display Use fees currently set forth in the 
Plans. Access to odd-lot information would be made available to Level 1 
Core Data subscribers at no additional charge.
    With respect to depth of book data, Subscribers would pay Non-
Display Use Fees of $12,477.00 per month for each category of Non-
Display Use per Network.
    With respect to auction information, Subscribers would pay Non-
Display Use fees of $1,248.00 per month for each category of Non-
Display Use per Network. As is the case today, Subscribers would be 
charged for each category of use of depth of book data and auction 
information.
Access Fees
    Finally, the Participants are proposing Access Fees regarding the 
use of the three categories of data: (1) Level 1 Core Data; (2) depth 
of book data; and (3) auction information.
    With respect to Level 1 Core Data, the Participants are not 
proposing to change the Access Fees currently set forth in the Plans. 
Access to odd-lot information would be made available to Level 1 Core 
Data subscribers at no additional charge.
    With respect to depth of book data, Subscribers would pay a monthly 
Access Fee of $9,850.00 per Network.
    With respect to auction information, Subscribers would pay a 
monthly Access Fee of $985.00 per Network.
Clarifications Related to Expanded Content
    In addition to the above fees, the Participants propose adding 
clarifying language regarding the applicability of various fees given 
the availability of the expanded market data content.
    First, the Participants propose to clarify that the Per-Quote-
Packet Charges and the Broker-Dealer Enterprise Cap are not applicable 
to the expanded content, and only apply to the receipt and use of Level 
1 Core Data. Under the current Price List, the Per-Quote-Packet Charges 
and Enterprise Cap serve as alternative fee schedules to the normally 
applied Professional and Nonprofessional Subscriber Charges. The 
proposed changes are designed to clarify that these alternative fee 
schedules are only available with respect to the use of Level 1 Core 
Data, and the fees for the use of depth of book data and auction 
information must be determined pursuant to the Professional and 
Nonprofessional fees described above.
    Second, the Participants propose to clarify that Level 1 Core Data 
would include Top of Book Quotation Information, Last Sale Price 
Information, odd-lot information, administrative data, regulatory data, 
and self-regulatory organization program data. This proposed amendment 
would use terms defined in amended Rule 600(b) to reflect both current 
data made available to data subscribers and the additional odd-lot 
information that would be included at no additional charge.
    Third, the Participants are proposing to clarify that the existing 
Redistribution Fees would be applicable to all three categories of core 
data, including any subset thereof. Currently, Redistribution Fees are 
charged to any entity that makes last sale information or quotation 
information available to any other entity or to any person other than 
its employees, irrespective of the means of transmission or access. The 
Participants propose to amend this description to make it applicable to 
core data, as that term is defined in amended Rule 600(b)(21). The 
Participants are not proposing to change the fee level for 
Redistribution Fees themselves.
    Fourth, the Participants are proposing that the existing 
Redistribution Fees would be applicable to Competing Consolidators. In 
the MDI Rules approval order, the SEC stated that ``[t]he Commission 
believes imposing redistribution fees on data content underlying 
consolidated market data that will be disseminated by competing 
consolidators would be difficult to reconcile with statutory standards 
of being fair and reasonable and not unreasonably discriminatory in the 
new decentralized model.'' \11\ The Commission then compared Competing 
Consolidators to Self- Aggregators and noted that Self-Aggregators 
would not be subject to redistribution fees. The Participants believe 
that the comparison between Competing Consolidators and Self-
Aggregators is not appropriate in determining whether a redistribution 
fee is not unreasonably discriminatory. The Participants also do not 
believe that the Commission's comparison is consistent with current 
long-standing practice that redistribution fees are charged to any 
entity that distributes data externally.\12\ By definition, a Self-
Aggregator would not be distributing data externally and therefore 
would not be subject to such fees, which is consistent with current 
practice that a Subscriber to consolidated data that only uses data for 
internal use is not charged a Redistribution Fee.
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    \11\ MDI Rules Release at 18685.
    \12\ The current exclusive securities information processor 
(``SIP'') is not charged a Redistribution Fee. However, unlike 
Competing Consolidators, the processor has been retained by the 
Plans to serve as an exclusive SIP, is subject to oversight by both 
the Plans and the Commission, and neither pays for the data nor 
engages with data subscriber customers. By contrast, under the 
Competing Consolidator model, the Plans would have no role in either 
oversight of or determining which entities choose to be a Competing 
Consolidator, a Competing Consolidator would need to purchase 
consolidated market data just as any other vendor would, and 
Competing Consolidators would be responsible for competing for data 
subscriber clients. Accordingly, Competing Consolidators would be 
more akin to vendors than the current exclusive SIPs. The 
Participants note that if any entity that is currently an exclusive 
SIP chooses to register as a Competing Consolidator, such entity 
would be subject to the Redistribution Fee.
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    Instead, the more appropriate comparison would be between Competing 
Consolidators and downstream vendors, both of which would be selling 
consolidated market data directly to market data subscribers. Vendors 
are and still would be subject to Redistribution Fees when 
redistributing data to market data subscribers. It would be 
unreasonably discriminatory for Competing Consolidators, which would be 
competing with downstream market data vendors for the same data 
subscriber customers, to not be charged a Redistribution Fee for 
exactly the

[[Page 67519]]

same activity. Consequently, the Participants believe that it would be 
unreasonably discriminatory and impose a burden on competition to not 
charge Competing Consolidators the Redistribution Fee.\13\
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    \13\ The Participants believe it would be more appropriate to 
compare Competing Consolidators and Self-Aggregators with respect to 
the fees charged for receipt and use of market data from the 
Participants and address the fees for the usage of consolidated 
market data based on their actual usage, which is consistent with 
the statutory requirements of the Act that the data be provided on 
terms that are not unreasonably discriminatory. For instance, 
Participants have proposed to charge a data access fee to Competing 
Consolidators that would be the same fee to Self-Aggregators.
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    Finally, the Participants are proposing to make non-substantive 
changes to language in the fee schedules to take into account the 
expanded content. For example, the Participants are proposing to add 
headings referencing Level 1 Core Data. Additionally, under Data Access 
Charges and Multiple Feed Charges, the Participants are proposing to 
amend ``Bid-Ask'' to refer to ``Top of Book and odd-lot information.''
Administrative Fees
    The Participants do not propose any changes to the Multiple Feed 
Charges, Late/Clearly Erroneous Reporting Charges, and Consolidated 
Volume Data Non-Compliance Fee. These current fees are administrative 
fees and would continue to apply to any data usage.

B. Governing or Constituent Documents

    Not applicable.

C. Implementation of Amendment

    The amendments proposed herein would be implemented to coincide 
with the phased implementation of the MDI Rules as required by the 
Commission.

D. Development and Implementation Phases

    The amendments proposed herein would be implemented to coincide 
with the phased implementation of the MDI Rules as required by the 
Commission.

E. Analysis of Impact on Competition

    The Participants believe that the proposed amendments comply with 
the requirements of the MDI Rules, which have been approved by the 
Commission.

F. Written Understanding or Agreements Relating to Interpretation of, 
or Participation in, Plans

    Not applicable.

G. Approval by Sponsors in Accordance With Plans

    Section XII (b)(iii) of the CTA Plan provides that ``[a]ny addition 
of any charge to . . . the charges set forth in Exhibit E . . . shall 
be effected by an amendment to this CTA Plan . . . that is approved by 
affirmative vote of not less than two-thirds of all of the then voting 
members of CTA. Any such amendment shall be executed on behalf of each 
Participant that appointed a voting member of CTA who approves such 
amendment and shall be filed with the SEC.'' Further, Section 
IX(b)(iii) of the CQ Plan provides that ``additions, deletions, or 
modifications to any charges under this CQ Plan shall be effected by an 
amendment . . . that is approved by affirmative vote of two-thirds of 
all the members of the Operating Committee.''
    The Participants have executed this Amendment and represent not 
less than two-thirds of all of the parties to the Plans. That satisfies 
the Plans' Participant-approval requirements.\14\
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    \14\ FINRA, IEX, LTSE, MIAX, and MEMX have not joined in the 
decision to approve the filing of the proposed amendment, and Nasdaq 
BX is also withholding its vote at this time. Additionally, the 
Advisory Committee requested that the following statement be 
inserted into the filing: The Advisory Committee has actively 
participated in the rate setting process with the SROs and has 
provided the SROs with opinion and guidance on rate setting 
appropriate to the interests of consumers throughout the process. 
The Advisors collectively believe that SIP data content fees should 
be universally lower to align with the un-coupling of SIP data 
content from the SIP exclusive processor, a function to be performed 
by Competing Consolidators. The Advisors believe that while their 
input was important in the process, the core principle of fees being 
fair and reasonable was not achieved.
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H. Description of Operation of Facility Contemplated by the Proposed 
Amendments

    Not applicable.

I. Terms and Conditions of Access

    Not applicable.

J. Method of Determination and Imposition, and Amount of, Fees and 
Charges

    Fees established for consolidated market data must be fair and 
reasonable and not unreasonably discriminatory.\15\ The Commission 
expressed that the Operating Committee of the Plans ``should continue 
to have an important role in the operation, development, and regulation 
of the national market system for the collection, consolidation, and 
dissemination of consolidated market data.'' \16\ The Commission 
further stated that ``the fees for data content underlying consolidated 
market data, as now defined, are subject to the national market system 
process that has been established,'' and that the ``Operating 
Committee(s) have plenty of experience in developing fees for SIP 
data.'' \17\
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    \15\ 15 U.S.C. 78o(c)(1)(C) and (D) and Rule 603(a)(1) and (2).
    \16\ MDI Rules Release at 18682.
    \17\ MDI Rules Release at 18683.
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    The Operating Committee is bringing this experience to bear to 
determine the fees for the new core data elements and is proposing fees 
that are fair and reasonable and not unreasonably discriminatory. The 
Commission has stated that one way to demonstrate that fees for 
consolidated market data are fair and reasonable is to show that they 
are reasonably related to costs. However, the Exchange Act does not 
require a showing of costs, and historically, the Plans have not 
demonstrated that their fees are fair and reasonable on the basis of 
cost data.
    Moreover, under the decentralized Competing Consolidator model, the 
Operating Committee has no knowledge of any of the costs associated 
with consolidated market data. Under the current exclusive SIP model, 
the Operating Committee (1) specifies the technology that each 
Participant must use to provide the SIPs with data, and (2) contracts 
directly with a SIP to collect, consolidate, and disseminate 
consolidated market data, and therefore has knowledge of a subset of 
costs associated with collecting and consolidating market data. By 
contrast, under the decentralized Competing Consolidator model, the 
Plans no longer have a role in either specifying the technology 
associated with exchanges providing data or contracting with a SIP. 
Rather, as specified in amended Rule 603(b), each national securities 
exchange will be responsible for determining the methods of access to 
and format of data necessary to generate consolidated market data. 
Moreover, Competing Consolidators will be responsible for connecting to 
the exchanges to obtain data directly from each exchange, without any 
involvement of the Operating Committee. Nor does the Operating 
Committee have access to information about how each exchange would 
generate the data that they each would be required to disseminate under 
amended Rule 603(b). Accordingly, under the decentralized Competing 
Consolidator model, the Operating Committee does not have access to any 
information about the cost of providing consolidated market data.
    In the absence of cost information being available to the Operating 
Committee, the Participants believe instead that fees for consolidated 
market data are fair and reasonable and not unreasonably discriminatory 
if they are related to the value of the data to subscribers. The 
Participants believe

[[Page 67520]]

that the value of depth of book data and auction information is well-
established, as this content has been available to market participants 
directly from the exchanges for years, and in some cases, decades, at 
prices constrained by direct and platform competition. Exchanges have 
filed fees for this data pursuant to the standards specified in Section 
6(b)(5) of the Act.
    To determine the value of depth of book data, the Participants 
considered a number of methodologies to determine the appropriate level 
to set fees for the expanded data content that are based on the current 
fees charged for depth of book data by exchanges that have chosen to 
charge for their data. In particular, the Participants reviewed (1) an 
ISO Trade-Based Model; \18\ a (2) Depth to Top-Of-Book Ratio Model 
(``Depth-to-TOB Model''); and (3) a Message-Based Model.\19\ 
Ultimately, the Participants selected a Depth-to-TOB Model to determine 
the appropriate fees for the expanded data content.
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    \18\ The ISO-Based model analyzed the number of intermarket 
sweep orders executing through the NBBO, looking at the number of 
ISOs executed in the first five levels of depth as compared to all 
ISOs executed.
    \19\ The Message-based model looked at the total number of 
orders displayable in the first five levels of depth as compared to 
all displayable orders.
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    In particular, the Participants reviewed the depth to top-of-book 
ratios of Professional device rates on Nasdaq (Nasdaq Basic/Nasdaq 
TotalView), Cboe (Cboe Full Depth) and NYSE (BQT/NYSE Integrated). In 
addition, IEX has recently proposed data access fees for its TOPS and 
DEEP data feeds, which are not proposed to be charged on a per 
individual basis. The Participants also reviewed the ratio proposed by 
IEX between its proposed fees for real-time top of book and depth feeds 
(TOPS/DEEP), as set forth below.

----------------------------------------------------------------------------------------------------------------
               Exchange                          Product           Prop level 1        Depth          Ratio %
----------------------------------------------------------------------------------------------------------------
Nasdaq................................  Nasdaq Basic/Nasdaq                  $26             $76             292
                                         Total View.
Cboe..................................  Cboe ONE Summary/Cboe                 10             100            1000
                                         Full Depth.
NYSE..................................  BQT/NYSE Integrated.....              18              70              89
IEX...................................  TOPS/DEEP...............             500           2,500             500
----------------------------------------------------------------------------------------------------------------

    The Participants noted that utilizing the ratios calculated for 
Nasdaq, NYSE, and IEX resulted in an average ratio of 3.94x and 
resulted in market data fees the Participants believe are fair and 
reasonable.
    The Participants also conducted alternative calculations by 
including a broader range of products or those products offering more 
robust depth fees. These alternative calculations resulted in ratios 
greater than 3.94x and were not selected by the Participants. The 
Participants believe that the 3.94x ratio represents the difference in 
value between top-of-book and five levels of depth that would be 
required to be included in consolidated market data under amended Rule 
603(b).
    Because the alternate methodologies, which focused on only the top 
five levels of depth, resulted in higher ratios, the Participants 
believe that the more conservative 3.94x ratio would be a fair and 
reasonable ratio between the proposed fees for depth of book data 
required to be included in the consolidated market data and the current 
fees for the existing Top of Book Quotation information.
    The Participants then applied the 3.94x ratio to the current fees 
charged for consolidated market data, as follows:
     The Participants applied the 3.94x ratio to the current 
fees charged to Professional Subscribers taking all three Networks 
($75.00). This resulted in the total fee level for depth of book data 
for Professional Subscribers equaling $296.00 (i.e., $75.00 x 3.94 = 
$295.50, rounded to $296.00). This fee was then split evenly among the 
three Networks (including Network C), resulting in a proposed 
Professional Subscriber fee of $99.00 per Network.
     The Participants applied the 3.94x ratio to the current 
fees charged for Nonprofessional Subscribers taking all three Networks 
($3.00). This resulted in the total fee level for depth of book data 
for Nonprofessional Subscribers equaling $12.00 (i.e., $3.00 x 3.94 = 
$11.82, rounded to $12.00). This fee was then split evenly among the 
three Networks (including Network C), resulting in a proposed 
Nonprofessional Subscriber fee of $4.00 per Network.
     The Participants applied the 3.94x ratio to the current 
fees charged for Non-Display Use for all three Networks ($9,500.00). 
This resulted in the total fee level for depth of book data for Non-
Display Use equaling $37,430.00 (i.e., $9,500.00 x 3.94 = $37,430.00). 
This fee was then split evenly among the three Networks (including 
Network C), resulting in a proposed Non-Display Use Fee of $12,477.00 
per Network (including rounding).
     The Participants applied the 3.94x ratio to the current 
fees charged for direct Data Access for all three Networks ($7,500.00). 
This resulted in the total fee level for depth of book data for Non-
Display Use equaling $29,550.00 (i.e., $7,500.00 x 3.94 = $29,550.00). 
This fee was then split evenly among the three Networks (including 
Network C), resulting in a proposed Non-Display Use Fee of $9,850.00 
per Network.
    With respect to the fees for auction information, the Participants 
looked to the number of trades that occur during the auction process as 
compared to the trading day, and determined that roughly 10% of the 
trading volume is concentrated in auctions. Consequently, the 
Participants believed that charging a fee that was 10% of the fee 
charged for depth of book data was an appropriate proxy for determining 
the value of auction information. As a result, the Participants 
proposed a $10.00 fee per Network for auction information, which the 
Participants believe is fair and reasonable and not unreasonably 
discriminatory.
    With respect to the fees for Level 1 Core Data, the Participants 
believe that it is fair and reasonable and not unreasonably 
discriminatory to include access to odd-lot information at no 
additional charge to the current fees, which the Participants are not 
proposing to change.
    Finally, as detailed above, the Participants are proposing to 
specify that the existing Redistribution Fees would be applicable to 
the amended core data, and any subset thereof, and that such fees would 
also be applicable to Competing Consolidators. In the MDI Rules 
Release, the SEC stated that ``[t]he Commission believes imposing 
redistribution fees on data content underlying consolidated market data 
that will be disseminated by competing consolidators would be difficult 
to reconcile with statutory standards of being fair and reasonable and 
not unreasonably discriminatory in the new

[[Page 67521]]

decentralized model.'' \20\ The Commission then compared Competing 
Consolidators to Self-Aggregators and noted that Self-Aggregators would 
not be subject to redistribution fees. The Participants believe that 
the comparison between Competing Consolidators and Self-Aggregators is 
not appropriate in determining whether a redistribution fee is not 
unreasonably discriminatory. Instead, the more appropriate comparison 
would be between Competing Consolidators and downstream vendors, both 
of which would be competing to sell consolidated market data directly 
to the same market data subscribers.
    Vendors are and still will be subject to Redistribution Fees when 
redistributing data to market data subscribers. It would be incongruent 
and impose a burden on competition for Competing Consolidators to not 
be charged a redistribution fee for exactly the same activity. 
Consequently, the Participants believe that it would be unreasonably 
discriminatory to not charge Competing Consolidators the redistribution 
fee. To the contrary, based on the long-standing policy that 
Redistribution Fees are charged to any entity that distributes data 
externally, the Participants believe it would be a significant 
departure from established policy, a burden on competition, and 
unreasonably discriminatory not to charge a Redistribution Fee to 
Competing Consolidators.

K. Method and Frequency of Processor Evaluation

    Not applicable.

L. Dispute Resolution

    Not applicable.

II. Rule 601(a) (Solely With Respect to Amendments to the CTA Plan)

A. Reporting Requirements

    Not applicable.
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    \20\ MDI Rules Release at 18685.
    \21\ 17 CFR 200.30-3(a)(85).
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B. Manner of Collecting, Processing, Sequencing, Making Available and 
Disseminating Last Sale Information

    Not applicable.

C. Manner of Consolidation

    Not applicable.

D. Standards and Methods Ensuring Promptness, Accuracy and Completeness 
of Transaction Reports

    Not applicable.

E. Rules and Procedures Addressed to Fraudulent or Manipulative 
Dissemination

    Not applicable.

F. Terms of Access to Transaction Reports

    Not applicable.

G. Identification of Marketplace of Execution

    Not applicable.

III. Solicitation of Comments

    The Commission seeks comments on the Amendments. Interested persons 
are invited to submit written data, views, and arguments concerning the 
foregoing, including whether the proposed Amendments are consistent 
with the Act and the rules and regulations thereunder applicable to 
national market system plans. 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-CTA/CQ-2021-03 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-CTA/CQ-2021-03. 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 website (http://www.sec.gov/rules/sro.shtml). Copies 
of the submission, all written statements with respect to the proposed 
Amendments that are filed with the Commission, and all written 
communications relating to the proposed Amendments 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 will also be available for website viewing and printing at 
the principal office of the Plans. 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-CTA/
CQ-2021-03 and should be submitted on or before December 17, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\21\
J. Matthew DeLesDernier,
Assistant Secretary.

Attachment A--Proposed Changes to Schedule of Market Data Charges

[[Page 67522]]



 
 
 
                              Attachment A
 
                    Proposed Changes to the CTA Plan
          (Additions are italicized; Deletions are [bracketed])
 


                     Schedule of Market Data Charges
                      [Excluding applicable taxes]
A. Professional Subscriber Charges \[1, ]\ \2\
 
Level 1 Core Data \1\
    Network A:
 
    Number of Display Devices                           Monthly Rates
                                                         per Device
        1-2.......................................                $45.00
        3-999.....................................                $27.00
        1000-9,999................................                $23.00
        10,000 +..................................                $19.00
    Network B:....................................                $23.00
Depth of Book Data
    Network A:....................................                $99.00
    Network B:....................................                $99.00
Auction Information
    Network A:....................................                $10.00
    Network B:....................................                $10.00
 
B. Nonprofessional Subscriber Charges (per month
 per subscriber) \[1, ]\ \3\
 
Level 1 Core Data
    Network A:....................................                 $1.00
    Network B:....................................                 $1.00
Depth of Book Data
    Network A:....................................                 $4.00
    Network B:....................................                 $4.00
Auction Information
    Network A:....................................                $10.00
    Network B:....................................                $10.00
 
C. Per-Quote-Packet Charges \[1, ]\ \4\
 
Level 1 Core Data
    Network A:....................................               $0.0075
    Network B:....................................               $0.0075
Depth of Book Data and Auction Information
    Not Available
 
D. Broker-Dealer Enterprise--Maximum Monthly
 Charges \5,\ \6\
 
Level 1 Core Data
    Network A:....................................              $660,000
    Network B:....................................              $500,000
Depth of Book Data and Auction Information
    Not Available
 
E. Redistribution Charges (per month) \[1, ]\ \7\
 
    Network A:....................................                $1,000
    Network B:....................................                $1,000
 
F. Non-Display Use Fees \8\
 
Level 1 Core Data
    Network A
        Last Sale Price Information...............                $2,000
        Quotation Information.....................                $2,000
    Network B
        Last Sale Price Information...............                $1,000
        Quotation Information.....................                $1,000
Depth of Book Data
    Network A:....................................               $12,477
    Network B:....................................               $12,477
Auction Information
    Network A:....................................                $1,248
    Network B:....................................                $1,248
 
G. Television Broadcast Charges (per month per
 1,000 households reached) \6,\ \9\
 
    Network A:....................................                 $2.00
    Network B:
                                                        Monthly Price
    Number of Customer Households Reached            per 1,000 Customer
                                                     Households Reached
 
    1 through 5,000,000:..........................                 $1.50
    5,000,001 through 10,000,000:.................                 $1.25
    10,000,001 through 20,000,000:................                 $1.00
    20,000,001 through 40,000,000:................                 $0.80
    40,000,001 through 60,000,000:................                 $0.60
    More than 60,000,001:.........................                 $0.50
 
H. Data Access Charges \10\ (per month)
 
    1. Direct--Level 1 Core Data
        a. Network A Output Feed
            i. Last Sale..........................             $1,250.00
            ii. [Bid-Ask ]Top of Book and Odd-Lot              $1,750.00
             Quotations...........................

[[Page 67523]]

 
        b. Network B Output Feed
            i. Last Sale..........................               $750.00
            ii. [Bid-Ask ]Top of Book and Odd-Lot              $1,250.00
             Quotations...........................
     2. Indirect--Level 1 Core Data
        a. Network A Output Feed
            i. Last Sale..........................               $750.00
            ii. Top of Book and Odd-Lot Quotations             $1,250.00
             [Bid-Ask ]...........................
        b. Network B Output Feed
            i. Last Sale..........................               $400.00
            ii. Top of Book and Odd-Lot Quotations               $600.00
             [Bid-Ask ]...........................
    3. Direct--Depth of Book Data and Auction
     Information
        a. Network A Output Feed
            i. Depth of Book Data.................             $9,850.00
            ii. Auction Information...............               $985.00
        b. Network B Output Feed
            i. Depth of Book Data.................             $9,850.00
            ii. Auction Information...............               $985.00
 
I. Multiple Feed Charges \11\ (per month)
 
    Network A:
        i. Last Sale..............................               $200.00
        ii. Top of Book and Odd-Lot Quotations                   $200.00
         [Bid-Ask ]...............................
     Network B:
        i. Last Sale..............................               $200.00
        ii.Top of Book and Odd-Lot Quotations [Bid-              $200.00
         Ask ]....................................
 
 J. Late/Clearly Erroneous Reporting Charges \12\
 (per month)
    Network A:....................................             $2,500.00
    Network B:....................................             $2,500.00
 
K. Consolidated Volume Data Non-Compliance Fee
 \13\ (per month)
 
    Network A:....................................             $3,000.00
    Network B:....................................             $3,000.00
------------------------------------------------------------------------
Notes to Schedule of Market Data Charges:
\1\ Level 1 Core Data includes top of book quotation information, last
  sale price information, odd-lot information, regulatory data,
  administrative data, and self-regulatory organization-specific program
  data. [Charges include last sale price information and quotation
  information.]
\2\ The Network A professional subscriber charge for Level 1 Core Data
  contains four tiers of display device charges. In determining which of
  the four tiers applies to a professional subscriber, the professional
  subscriber may only include within its tier the display devices that
  its own employees use (``Internal Distribution''). That is, in
  determining the appropriate tier, a professional subscriber may not
  include within its tier display devices used by (a) persons to whom it
  distributes data that are not employees of the professional subscriber
  (e.g., independent contractors) or (b) employees of firms to which it
  distributes data (collectively, ``External Distribution''). Rather, if
  the professional subscriber redistributes data to other professional
  subscriber, each such other professional subscriber shall determine
  the tier applicable to it.
For example, if Firm ABC provides data to its own employees and also to
  the employees of three other firms, Firm ABC shall pay according to
  the pricing tier that reflects the number of display devices that its
  own employees use. (That is, Firm ABC's tier is determined solely
  according to its Internal Distribution.) Regarding Firm ABC's External
  Distribution, each of the three firms to which it redistributes data
  shall pay according to the pricing tier that reflects the number of
  display devices that its employees use.
Independent contractors associated with a firm are not considered to be
  employees of that firm. This means that the firm may not include
  independent contractors in the count of that firm's display devices
  for purposes of determining the applicable pricing tier. Rather, each
  independent contractor must determine the tier applicable to it, a
  tier that would be separate and apart from the tier applicable to the
  firm with which it is associated.
\3\ Charges apply to vendor providing service to nonprofessional
  subscribers.
\4\ Per-quote-packet charge is an alternative to monthly display charges
  and applies equally to professional and nonprofessional subscribers. A
  quote packet includes any data element or all data elements in respect
  of a single issue. Last, open, high, low, volume, net change, bid,
  offer, size, and best bid and offer with size are examples of data
  elements. ``IBM'' is an example of a single issue. An index value is
  deemed to be a single-issue data element. For each of Network A and
  Network B, Vendor may maximize at $1.00 that network's per-quote-
  packet charges payable for any month in respect of any customer that
  qualifies as a nonprofessional subscriber, regardless of how many
  quote-packets the customer may receive during that month.
As the Participant's form of ``Agreement for Receipt and Use of Market
  Data'' permits, the Participants require each data redistributor that
  wishes to redistribute data on a per-quote basis to periodically audit
  its quote-metering system. If a redistributor fails to provide NYSE
  with its audit results on or prior to December 31 of a year in which
  an audit is required, a late fee of $3,000 applies for each month the
  audit is past due.
\5\ An entity that is registered as a broker/dealer under the Securities
  Exchange Act of 1934 is not required to pay more than the enterprise
  maximum for any month for the aggregate amount of (a) a network's
  display device charges for devices used for its Internal Distribution
  plus (b) that network's display device and per-quote-packet charges
  payable in respect of services that it provides to nonprofessional
  subscribers that are brokerage account customers of the broker/dealer.
  A broker/dealer may not include in the enterprise maximum charges for
  (y) devices used through External Distribution and (z) devices used by
  independent contractors associated with the broker/dealer. Rather, the
  professional subscriber charges applicable to External Distribution
  and to independent contractors are payable in addition to the
  enterprise maximum.
During 2013, the Network A monthly enterprise maximum became $686,400,
  and the Network B monthly enterprise maximum became $520,000. For each
  subsequent calendar year, a network's Participants may, by the
  affirmative vote of not less than two-thirds of all of the then voting
  members of CTA, determine to increase that network's monthly
  enterprise maximum; provided, however, that no such annual increase
  shall exceed four percent of the then current enterprise maximum
  amount for that network.
\6\ The Participants will post the amount of each network's applicable
  monthly Broker-Dealer Enterprise Maximum and Television Ticker Maximum
  on the website that CTA maintains for the CTA Plan and its amendments.
\7\ The Redistribution Charges apply to any entity that makes core data,
  including any subset thereof, [last sale information or quotation
  Information] available to any other entity or to any person other than
  its employees, irrespective of the means of transmission or access.
  The Redistribution Charges apply to Competing Consolidators.
\8\ Non-Display Use refers to accessing, processing or consuming data,
  whether delivered via direct and/or redistributor data feeds, for a
  purpose other than in support of the datafeed recipient's display or
  further internal or external redistribution. It does not apply to the
  creation and use of derived data.

[[Page 67524]]

 
The Participants recognize three categories of Non-Display Use. Category
  1 applies when a datafeed recipient's Non-Display Use is on its own
  behalf. Category 2 applies when a datafeed recipient's Non-Display Use
  is on behalf of its clients. Category 3 applies when a datafeed
  recipient's Non-Display Use is for the purpose of internally matching
  buy and sell orders within an organization. Matching buy and sell
  orders includes matching customer orders on the data recipient's own
  behalf and/or on behalf of its clients. Category 3 includes, but is
  not limited to, use in trading platform(s), such as exchanges,
  alternative trading systems (``ATS''), broker crossing networks,
  broker crossing systems not filed as ATS's, dark pools, multilateral
  trading facilities, and systematic internalization systems.
For both Network A and Network B, the Non-Display Use charges apply
  separately for each of the three categories of Non-Display Use. One,
  two or three categories of Non-Display Use may apply to one
  organization.
An organization that uses data for Category 3 Non-Display Use must count
  each platform that uses data on a non-display basis. For example, an
  organization that uses Network A quotation information for the
  purposes of operating an ATS and also for operating a broker crossing
  system not registered as an ATS would be required to pay two Network A
  quotation information Non-Display Use fees.
\9\ Television broadcast can be through cable, satellite, or traditional
  means. A $2,000 monthly minimum fee applies to Network A television
  broadcasts.
No entity is required to pay more than the ``Television Ticker Maximum''
  for any calendar month. For months falling in calendar year 2012, the
  monthly Network A Television Ticker Maximum is $125,000. For months
  falling in calendar year 2012, the monthly Network B Television Ticker
  Maximum is $10,416.67. For each subsequent calendar year, the Network
  A Participants may increase the monthly Network A Television Ticker
  Maximum by the percentage increase in the annual composite share
  volume for the preceding calendar year, subject to a maximum annual
  increase of five percent. However, for any calendar year, the Network
  A Participants may determine to waive the Network A ``Annual
  Increase'' for the Network A Television Ticker Maximum.
Prorating is permitted for those who broadcast the data for less than
  the entire business day, based upon the number of minutes the real-
  time ticker is displayed, divided by the number of minutes the primary
  market is open for trading (currently 390 minutes). A vendor may
  simulcast over multiple channels and is not charged more than once for
  recipients that have access to multiple simulcasted channels. Billing
  amounts are based on the ``households-reached'' totals that are
  published periodically in the Nielsen Report. If a Nielsen Report does
  not provide the requisite information as to a vendor, the vendor must
  provide households-reached information, subject to audit. Households-
  reached totals published at the end of September are the basis for
  billing for the following January through June. Households-reached
  totals published at the end of March are the basis for billing for the
  following July through December.
\10\ Access to data feeds through an extranet service subjects the data
  feed recipient to direct access charges. Subscriber is responsible for
  the telecommunications facilities necessary to access data.
\11\ [For both last sale and bid-ask data feeds, t]This charge applies
  to each data feed that a data recipient receives in excess of the data
  recipient's receipt of one primary data feed and one backup data feed.
\12\ These charges will be assessed for each month in which there is a
  failure to provide a network's required data-usage report to the
  network's administrator, commencing with reporting failures lasting
  more than three months from the date on which the report is first due.
  By way of example, if a network's data-usage report is due on May 31,
  the charge would commence to apply as of September 1 and would appear
  on the market data invoice for September. The network administrator
  would assess the charge as of September 1, and would continue to
  assess the charge each month until the network administrator receives
  the complete and accurate data usage report.
A report is not considered to have been provided to a network's
  administrator if the report is clearly incomplete or inaccurate. This
  would include, but is not limited to, a report that fails to report
  all data products and a report for which the reporting party did not
  make a good faith effort to assure the accuracy of data usage and
  entitlements.
\13\ The Participants allow data recipients to display real-time trading
  volume occurring on all Participants (``Consolidated Volume'') at no
  charge. However, if any such display appears on the same screen as
  [bid-asked ]quotes or last-sale prices that are not consolidated
  quotes or prices under the CTA Plan or CQ Plan, then the screen must
  conspicuously display a clarifying statement (the ``Display
  Statement'') that reads ``Real-time quote and/or trade prices are not
  sourced from all markets.'' A vendor or other data redistributor
  (each, a ``Customer'') must provide the appropriate network
  administrator(s) with the form of Consolidated Volume screen print
  that it provides, as well as a copy of each Consolidated Volume screen
  print that persons included in the redistribution chain that starts
  with the Customer (each, a ``Subscriber'') provide. Each Customer must
  assure that it and its Subscribers also clearly incorporate the
  Display Statement into any advertisement, sales literature or other
  material that displays real-time Consolidated Volume alongside [bid-
  asked ]quotes or last-sale prices that are not consolidated prices or
  quotes under the CTA Plan or the CQ Plan.
A Customer must submit its and its Subscribers' screen prints by July 1,
  2015 or within thirty days of the Customer's entry into its market
  data agreement with the Participants. It must submit its and its
  Subscribers' screen prints (including previously provided, new, or
  changed screen prints) annually by the 31st day of each January
  thereafter.
These charges will be assessed against a Customer for each month in
  which the Customer or any of its Subscribers fails to provide the
  Display Statement when required or fails to provide to the appropriate
  network's administrator a copy of a Consolidated Volume screen print
  in a timely manner.

[FR Doc. 2021-25752 Filed 11-24-21; 8:45 am]
BILLING CODE 8011-01-P


