ATS-N/UA 0000318336-19-000023 LIVE 0000318336 XXXXXXXX 013-00106 false false Crossfinder Part III Item 23 (Market Data) has been updated to add new sources of market data. These updates apply to all Subscribers and the Broker-Dealer Operator. Y CREDIT SUISSE SECURITIES (USA) LLC 008-00422 000000816 FINRA 01/01/1936 CROS www.credit-suisse.com/sites/aes/en/americas.html NY4 New York IBX Data Center 755 Secaucus Rd Secaucus 07094 US-NJ Credit Suisse Data Center 700 College Rd. E Princeton 08540 US-NJ false false Directing the entry of orders to Crossfinder ATS can be accomplished in two ways: (1) being a Direct Subscriber of Crossfinder, or (2) being an Indirect Subscriber of Crossfinder and requesting a customized Smart Order Router (SOR) configuration which only accesses Crossfinder (see Part II Item 5 for a discussion of Direct and Indirect Subscribers of Crossfinder). No trading desk within Credit Suisse Securities (USA) LLC ("CSSU") has the ability to direct the entry of orders into the ATS aside from the AES business unit (defined in Part II Item 5), which may only do so on behalf of an Indirect Subscriber as described in scenario (2) above. AES uses the FBCO MPID and acts in an agency capacity. Credit Suisse's Equities, Credit, and Structured Products business units may also have the ability to enter orders and trading interest into AES as an Indirect Subscriber. AES may route the order, or part of the order, to Crossfinder, as an Indirect Subscriber. The Credit and Structured Products business units would trade in AES (and potentially Crossfinder) for principal hedging purposes, under FBCO MPID. The Equities business unit is comprised of several underlying businesses: (1) Cash Equities, which consists of Program Trading, High Touch, Systematic Strategies, Primary Cash, and AES. These business units route orders to AES in a principal, agency, or riskless principal capacity, under the FBCO MPID. (2) Equity Derivatives & Convertibles, which consists of Flow Derivatives, Structured Derivatives, Financing & Strategic Equity Derivatives, and Convertibles. These business units would route orders principally to AES for derivative hedging purposes, under the FBCO MPID. (3) Prime Services Delta 1 Swaps. This business unit would route orders principally to AES for hedging of single-name and index swaps, under FBCO MPID. CSSU trading desks are not currently enabled to enter orders directly into Crossfinder via a direct connection and must use an algorithm or the CSSU SOR to potentially reach the ATS. External clients, if permissioned by CSSU, have the ability to directly enter orders into the ATS as Direct Subscribers. N N Directing the entry of orders to Crossfinder ATS can be accomplished in two ways: (1) being a Direct Subscriber of Crossfinder, or (2) being an Indirect Subscriber of Crossfinder and requesting a customized Smart Order Router (SOR) configuration which only accesses Crossfinder (see Part II Item 5 for a discussion of Direct and Indirect Subscribers of Crossfinder). No CSSU Affiliate enters orders directly into the ATS as a Direct Subscriber. One Affiliate, Credit Suisse Switzerland Ltd. (Credit Suisse Schweiz AG) (Swiss private bank), has the ability to direct the entry of orders to Crossfinder as an Indirect Subscriber using a customized SOR configuration. Some external AES clients (predominantly non-US-domiciled external clients), who face CSSU Affiliates for booking and settlement purposes (instead of facing CSSU directly), may similarly be enabled to direct their orders to Crossfinder via a customized SOR configuration. In such cases, CSSU would face the corresponding affiliate broker-dealer entity for settlement. These entities may include Credit Suisse Securities (Europe) Limited (European broker-dealer); Credit Suisse Securities, Sociedad de Valores, S.A. (European broker-dealer); Credit Suisse Securities (Hong Kong) Limited (Hong Kong broker-dealer); Credit Suisse Securities (Canada), Inc. (Canadian broker-dealer); Casa de Bolsa Credit Suisse (Mexico), S.A. de C.V. (Mexican broker-dealer); Credit Suisse (Brasil) S.A. Corretora de Titulos e Valores Mobiliarios (Brazilian broker-dealer). None of these Affiliates have an associated MPID, and orders from these Affiliates are handled under CSSU's MPID of FBCO in an agency capacity. Y N N Subscribers may opt-out of interacting with CSSU principal (including riskless principal) orders upon email request to their AES sales coverage person. Crossfinder identifies CSSU principal orders using a combination of properties on the order, including the capacity, the Participant ID, and the account which generated the order. The AES sales coverage person will forward the Subscriber email to the AES Direct Market Access team which will implement the request after the close of trading on the day of the request. Also see Part III Item 14 on Counter-Party Selection. N Y CSSU has executed mutual access agreements with the following three broker-dealer operators of alternative trading systems: Deutsche Bank Securities Inc., National Financial Services LLC, and UBS Securities LLC. These agreements provide access to Crossfinder on the same terms as any other Subscriber and there are no special understandings or arrangements with any of the broker-dealer operators (or the trading centers which they operate) regarding activity in Crossfinder. The bilateral agreements serve the purpose of streamlining the legal process by granting CSSU access to the alternative trading systems operated by each of the broker-dealer operators contemporaneously with those broker-dealer operators gaining access to Crossfinder. N Advanced Execution Services (AES) is CSSU's suite of algorithmic trading strategies, tools and analytics for equities. AES algorithms employ sophisticated strategies to route orders via the Smart Order Router to a number of venues, including Crossfinder. AES's direct market access gateway is a low-latency offering that allows Subscribers the ability to route orders directly to Crossfinder and US exchanges. Prospective Subscribers wishing to access AES products must complete the standard Credit Suisse on-boarding process (e.g., client identification, suitability, formation documents), enter into an electronic trading agreement which requires compliance with all applicable laws and regulations, and receive risk limits for their trading activity as required under SEC Rule 15c3-5. The AES electronic trading agreement covers a Subscriber's access to all AES products and there is no differentiation in the required terms and conditions if a Subscriber wishes only to access Crossfinder, AES algorithms, the direct market access gateway, or any combination of the foregoing products and services. In addition to these base on-boarding requirements, Subscribers making use of the direct market access gateway must program their messaging systems in accordance with the Crossfinder technical specifications and undergo certification and testing to ensure appropriate technical compatibility. For purposes of this Form ATS-N, Crossfinder ATS Subscribers fall into one of the following two categories: (1) "Direct Subscribers," which refers to those subscribers with the ability to send orders directly into Crossfinder ATS via (a) a direct FIX or binary connection or (b) a direct connection established using CSSU's market access gateway platform; and (2) "Indirect Subscribers," which refers to those subscribers whose orders may reach Crossfinder as a result of routing decisions made by (a) CSSU's AES algorithmic trading platform, or (b) CSSU's Smart Order Router platform. Orders entered via the Direct Subscriber model will only access Crossfinder ATS, whereas orders entered via the Indirect Subscriber model may access Crossfinder ATS in conjunction with the broader US equities market depending on Subscriber order-handling instructions and/or the decision-making logic of the underlying platform. For the remainder of this Form ATS-N, both Direct and Indirect Subscribers will be collectively referred to as "Subscribers." Where relevant, this Form ATS-N will describe any difference in Crossfinder trading experience across the two Subscriber categories. As described in Part III Item 13, Subscribers are assigned one or more unique system IDs for their order flow(s). Crossfinder treats each system ID as a unique Crossfinder "Participant." Subscribers wishing to segregate flow across multiple Participant IDs may do so by contacting their AES representative to discuss their goals and arrange for the appropriate number of IDs to be created. Typically, such scenarios relate to instances where a client wishes to (a) isolate different types of flow (e.g., different desks or traders) or (b) streamline booking/clearing processes. Note that a Subscriber may access Crossfinder ATS as both a Direct and Indirect Subscriber if the Subscriber has multiple execution arrangements with CSSU. Y N The Crossfinder order book is "dark" meaning there is no pre-trade transparency to users. CSSU has established information security policies and procedures and has implemented internal controls designed to ensure that no employee is permitted to view the live Crossfinder order book. While access to the order book is not permitted, access to individual Crossfinder orders and/or post-trade Crossfinder executions will be made available to certain CSSU and CSSU Affiliate (non-business entities which perform support services such as IT, surveillance, and operations) personnel in order to support Crossfinder ATS operations and service clients. CSSU considers Subscribers' order- and execution-related information and data or analytics related to Subscribers' transactions to be confidential trading information subject to protection (with the exception of post-execution transaction information described in the paragraph titled "Trade Advertisement" in the response to Part II Item 7(a)). CSSU does not have any employees solely responsible for Crossfinder. Please see the response to Part II Item 7(d) for a description of the roles and responsibilities of the shared employees that service both Crossfinder and CSSU (or a CSSU Affiliate) and have access to Subscriber confidential trading information, as well as the basis for such access. EQUINIX, INC. - Equinix operates the Secaucus (NY4) Data Center which hosts the servers that operate Crossfinder. Additionally, Equinix provides connectivity services to Crossfinder as described in Part III Item 6 (Connectivity and Co-location). Equinix does not have access to the Subscriber confidential trading information within Crossfinder. N GENERAL BACKGROUND AND SCOPE OF SUBSCRIBER CONFIDENTIAL TRADING INFORMATION - The Crossfinder order book is "dark" meaning there is no pre-trade transparency to users. CSSU considers Subscribers' order and execution-related information and data or analytics related to a Subscriber's transactions to be confidential trading information subject to protection (with the exception of post-execution transaction information described in the paragraph titled "Trade Advertisement"). SEGREGATION OF ATS ARCHITECTURE - Crossfinder consists of a standalone database and standalone servers with the exception of the servers that host the processes that receive, process, and distribute market data from the exchanges (see Part III Item 23(a)). Crossfinder servers are housed in the same data center as other CSSU systems. Crossfinder's internal network is logically isolated from all other systems hosted in the same data center. CSSU maintains policies and procedures designed to control access to the servers, database, and associated applications. Any individual seeking access to systems which contain Subscribers' confidential trading information must submit a request through CSSU's access review system for each applicable application, database, and/or server which may contain the information. Designated access reviewers must review and approve such request(s) before an individual is granted access. An employee's request to gain access shall be denied by the access reviewer if it is not necessary for carrying out the requesting employee's assigned tasks. All approved access requests are subject to a periodic review pursuant to CSSU's written supervisory procedures ("WSPs") to ensure that only authorized users have access to in-scope applications and infrastructure. The individuals responsible for access reviews will vary (e.g., depending on the system or type of access) but in each case the review is assigned to personnel deemed qualified to capably perform the review. Failure to perform this responsibility may subject the employee to the Firm's disciplinary process. Such designated reviewers, on at least a quarterly basis, assess access reports for each applicable application, database, and/or server which may contain Subscribers' confidential trading information to ensure any access which has been granted is still necessary to perform the employee's assigned tasks. Such access will be disabled by the access reviewer if it is no longer necessary for carrying out the employee's Crossfinder-related responsibilities. EMPLOYEES WITH ACCESS TO SUBSCRIBER CONFIDENTIAL TRADING INFORMATION - CSSU does not have any employees solely responsible for Crossfinder. The shared employees described in Part II Item 7(d) are the only employees with access to Subscriber confidential trading information. These employees are prohibited from sharing any Subscriber confidential trading information with Persons not authorized to receive such information in accordance with the firm's global policy on Data Classification and Handling, which applies to all aspects of the handling of data by staff. As it relates to Crossfinder, this policy restricts data access, use, and transfer only where necessary to perform the functional role's assigned responsibilities operating the ATS. Such roles, responsibilities, and the particular confidential trading information which is available are described further in Part II Item 7(d). Individual Subscriber confidential trading information is not made available to any other employees. SYSTEMS WITH ACCESS TO SUBSCRIBER CONFIDENTIAL TRADING INFORMATION - CSSU employs proprietary applications for real-time monitoring of Crossfinder. The AES DMA group and certain technology groups use these applications to query Subscriber orders and executions. See Part II Item 7(d) for more information. To the extent a CSSU trading desk (such as AES) has transmitted the order of an Indirect Subscriber to Crossfinder, the trading system utilized by that desk will have the ability to view the status of that order (e.g., open, filled, partially filled), though will not have any access to understand where the order sits within the Crossfinder order book. Neither the CSSU algorithmic trading platform nor the CSSU SOR has access to the Crossfinder order book. All Subscriber orders entering Crossfinder pass through FIX or binary protocol interfaces. Technology Groups, as described in Part II Item 7(d), are able to access FIX and binary protocol logs in order to support the operation and infrastructure of the ATS. These logs are stored on servers which are in scope for periodic access reviews. Post-trade Subscriber order and execution information is housed within proprietary applications for the purposes described in Part II Item 7(d). SAFEGUARDING AND OVERSEEING SUBSCRIBER CONFIDENTIAL TRADING INFORMATION - Crossfinder trading information is subject at all times to applicable CSSU policies, including global policies on Information Security Management and Data Classification and Handling. Access controls for Crossfinder include physical security, operating-system-level user authentication, and application-level controls, all of which must meet the requirements of the firmwide Access Control and System Security Standard. Any individual seeking access to systems which contain Subscribers' confidential trading information must submit a request through CSSU's access review system for each applicable application, database, and/or server which may contain the information. Designated access reviewers must review and approve such request(s) before an individual is granted access. An employee's request to gain access shall be denied by the access reviewer if it is not necessary for carrying out the requesting employee's assigned tasks. All approved access requests are subject to a periodic review (on at least a quarterly basis) pursuant to CSSU's written supervisory procedures ("WSPs") to ensure that only authorized users have access to in-scope applications and infrastructure. Designated reviewers assess access reports for each applicable application, database, and/or server which may contain Subscribers' confidential trading information to ensure any access which has been granted is still necessary to perform the employee's assigned tasks. Such access will be disabled by the access reviewer if it is no longer necessary for carrying out the employee's Crossfinder-related responsibilities. PERSONAL TRADING RESTRICTIONS - CSSU employees responsible for the operation of Crossfinder are subject to Credit Suisse's global policy on Employee Personal Account Trading, which, among other requirements, subjects employee personal trading accounts to monitoring and/or supervisory review as permitted by local law. CSSU prohibits all employees, including those with access to Subscriber confidential trading information, from trading based on non-public or other confidential information (which would include Subscriber confidential trading information). Personnel are required to maintain any accounts with brokerage capabilities ("Employee Personal Trading Account") either at Credit Suisse or at a designated broker listed in applicable regional/divisional supplements to the global policy. Employee Personal Trading Accounts must be disclosed to the Personal Account Trading Team and, in some locations, approved by appropriate management. Account statements or contract notes are provided to appropriate management and/or the Personal Account Trading team upon request or otherwise in accordance with policy requirements applicable to a location or business area. Employee trades are screened against the firm's restricted list as of the date a trade was placed and monitored for compliance with any minimum holding periods applicable to the specific employee and/or security. Credit Suisse may, at an employee's expense and without prior notice, freeze or cancel any transactions or positions resulting from transactions in violation of the global policy on Employee Personal Account Trading as permitted under local law. Employees may be required to disgorge profits, if any, from the violation with such profits donated to charity. Employees may also be subject to disciplinary action by Credit Suisse, including termination of employment/contract. In the event applicable laws or regulations are violated, employees may also be subject to regulatory sanction and civil and criminal penalties. TRADE ADVERTISEMENT - AES sends aggregated trade volume advertisements (which include executions in Crossfinder) showing only symbol and executed quantity to market data vendors such as Bloomberg. Trade advertisements are aggregated across clients at a symbol level and published on a randomized time interval (typically between 120 to 300 seconds) once a minimum 10,000 share threshold quantity is met. Subscribers may "opt out" of having their volumes included in these reports upon email request to their AES sales coverage person. The AES sales coverage person will forward the Subscriber email to the AES platform support team which will implement the request by blocking executions associated with the applicable Participant ID from appearing in the data feed to the relevant market data vendor. As described in Part II Items 6 and 7, the Crossfinder order book is "dark," meaning there is no pre-trade transparency to users. Orders resting in the Crossfinder order book are not displayed or known to any Person and Crossfinder does not disseminate bids or offers in any manner (including to the AES smart order router). No Crossfinder Subscriber may instruct CSSU to disclose information related to the Subscriber's live orders to any Person. Upon Subscriber email request to their AES sale coverage, CSSU will share a Subscriber's transaction information (which may include information on orders routed to and executed in Crossfinder) with third parties, such as transaction cost analysis providers and the Subscriber's clearing broker. Depending on the nature of the Subscriber's request, the email will be sent to the appropriate area (e.g., AES, Operations, IT) who will then enable the sharing of transaction information. A Subscriber can withdraw this consent at any time by emailing their AES sales coverage. The shared employees described below that service both Crossfinder and CSSU (or a CSSU Affiliate) are the only Persons who have access to Subscriber confidential trading information. Unaffiliated third parties do not have access to Subscriber confidential trading information. TECHNOLOGY GROUPS - Various technology-related groups, e.g., development teams and application support teams, within CSSU and CSSU Affiliates (non-business entities which perform support services such as IT, surveillance, and operations) are responsible for the operation and stability of the infrastructure of all CSSU systems, including Crossfinder. These groups are responsible for developing, monitoring, and testing various systems. Dedicated subsets of these groups serve as developers or network engineers for Crossfinder and are responsible for reviewing and testing Crossfinder's coding and network infrastructure to ensure stability and functionality. These dedicated groups have access to Crossfinder's real-time production environment, including servers, network infrastructure, and databases, but cannot view or query the live Crossfinder order book. AES DIRECT MARKET ACCESS ("AES DMA") - This team is a dedicated support team within CSSU's broader AES business unit which assists clients with direct market access to the U.S. equities markets, including Crossfinder. The AES DMA team's responsibilities include integrating new electronic trading clients, monitoring client trading against predefined risk limits, maintaining clients' trading system configurations, and managing the operation of various market access gateways. As it relates to Crossfinder, members of the AES DMA group are responsible for addressing Subscriber inquiries related to connectivity to Crossfinder and real-time trading activity and have the ability to query real-time and post-trade Subscriber order and execution information in connection with executing their duties. ADVANCED EXECUTION SERVICES ("AES") - The AES team is a dedicated support team and trading desk within CSSU that manages CSSU's various electronic trading products, including both the CSSU SOR and CSSU algorithms. The aforementioned AES DMA team also falls within the broader AES business. The AES business unit is responsible for servicing clients utilizing the electronic trading products mentioned previously. As it relates to Crossfinder, the AES business unit may require access to Crossfinder for compiling data and analytics in response to requests from Subscribers. These AES employees who are not members of the AES DMA group only have access to post-trade Subscriber order and execution information for purposes of responding to such requests. In exceptional cases requiring additional capacity to service Subscriber inquiries, AES employees not part of the AES DMA group can be temporarily permissioned for the same entitlements as a member of the AES DMA group described above. In such scenarios, these employees are permitted to utilize such access only for the same purposes as a member of AES DMA group. This temporary access requires COO or Desk Head approval and must be documented with Compliance. Neither the CSSU algorithmic trading platform nor the CSSU SOR has access to the Crossfinder order book. VARIOUS CONTROL FUNCTIONS - Certain employees within CSSU's and CSSU Affiliates' (non-business entities which perform support services such as IT, surveillance, and operations) Compliance, Legal, and Operations departments provide ancillary support to Crossfinder. These employees' responsibilities include, but are not limited to, responding to regulatory inquiries, performing trade surveillance, and assisting with trade booking processes. In conjunction with performing these roles, these employees may have access to same-day and post-trade Crossfinder execution information to complete their tasks. Note: To the extent a CSSU trading desk (such as AES) has transmitted the order of an Indirect Subscriber to Crossfinder, the trading system utilized by that desk will have the ability to view the status of that order (e.g., open, filled, partially filled), though will not have any access to understand where that order sits within the Crossfinder order book. Investment Companies Issuers Brokers Asset Managers Principal Trading Firms Hedge Funds Market Makers Banks Dealers N Prospective external clients wishing to access AES products, including Crossfinder (whether as a Direct or Indirect Subscriber), must complete the standard CSSU on-boarding process (e.g., client identification, suitability, formation documents), enter into an electronic trading agreement, and receive risk limits for their trading activity as required under SEC Rule 15c3-5. The CSSU electronic trading agreement requires, among other things, compliance with all applicable laws and regulations and representations and warranties from a client that it will not knowingly enter orders or engage in trading strategies (i) that do not represent a bona fide change of beneficial ownership or (ii) with the intent to manipulate the price or trading volume of a security, including, without limitation, marking the close or marking the open, or that otherwise violate any rule or regulation applicable to such order or to trading on the applicable exchange. In addition to these procedures applicable to all potential Subscribers, Direct Subscribers must program their messaging systems in accordance with the Crossfinder technical specifications and undergo certification and testing to ensure appropriate technical compatibility. Crossfinder does not require any specific clearing arrangement and the manner in which a Subscriber clears and settles transactions will not affect eligibility for ATS services (see Part III Item 22). CSSU Affiliates wishing to access AES products, including Crossfinder, must follow the same CSSU on-boarding processes mentioned above. Internal CSSU trading desks seeking to gain access to such products would not be subject to the CSSU on-boarding processes as such desks and the relevant products are operated by the same entity, CSSU. Although these administrative processes are not applicable to CSSU trading desks, the decision to allow any internal desk to access Crossfinder as a Direct Subscriber would require review and approval by AES Equities management as well as a revised filing of Form ATS-N. As described above, CSSU trading desks are not subject to the administrative requirements of the CSSU on-boarding process. Y As described in Part III Items 13 and 14, all Crossfinder Participants (whether such flow originates from a Direct or Indirect Subscriber) are initially categorized by AES personnel in a manner which is used to determine the eligibility of a Participant's orders to interact with orders of other Participants. Participant order flow is systematically scored by Crossfinder in a monthly process which may result in a Participant being placed into a different category for the next evaluation period. As a result, this process may have the effect of limiting or expanding the order flow in Crossfinder available to interact with that Participant based on the configurations of other Participants. Please see Part III Items 13 and 14 for a detailed explanation of this process and applicable order interactions. In addition, VWAPX orders are only available to Indirect Subscribers accessing Crossfinder via the AES algorithmic product suite and are therefore unavailable to Direct Subscribers. Please See Part III Item 11 for a detailed explanation of VWAPX orders. CSSU can deny a market participant becoming a Crossfinder Subscriber if it fails to meet the requirements to become a CSSU client. As set forth in the AES electronic trading agreement, CSSU may terminate a Subscriber's access to AES or any individual products within AES (including Crossfinder) at any time upon written notice. CSSU may also immediately suspend a Subscriber's use of AES or any individual products within AES (including Crossfinder) at any time, in whole or in part, so long as such suspension is not arbitrary or capricious (suspensions are distinguished from terminations by their duration and rationale; for example, a Subscriber's access to AES may be temporarily suspended while IT personnel of the Subscriber or of CSSU work to address an ongoing technical issue). CSSU shall use reasonable efforts to notify Subscriber of any trading suspension. Likewise, CSSU may terminate a Subscriber's overall relationship if the Subscriber poses regulatory, financial or reputational risk to the bank. Y Matching occurs in Crossfinder during normal market hours - 9:30 a.m. to 4:00 p.m. ET, Monday through Friday (other than holidays or shortened trading days). Subscribers may enter orders into Crossfinder any time after Crossfinder connectivity is established according to normal start-of-day processes, usually between 6:00 a.m. and 7:00 a.m. ET. Orders received by Crossfinder prior to 9:30 a.m. are entered into the queue and become eligible for execution at or after 9:30 a.m. once the security is open for trading in Crossfinder (see Part III Item 10(a) for more details). At 4:00 p.m. (or market close on shortened trading days), any unexecuted orders will be cancelled. EXCEPTIONS TO GENERAL RULES: (1) Crossfinder will reject VWAPX orders if entered outside of the VWAPX Order Entry Window (see Part III Item 11(c) for more details). (2) Crossfinder will reject CloseX orders not entered at least two minutes prior to the official market-on-close cutoff time of the relevant security's primary listing exchange. (3) CloseX orders will be filled after 4:00 p.m. (or market close on shortened trading days) immediately after the security's official closing price is known or disseminated. Y As described in Part II Item 5, Direct Subscribers may enter orders and trading interest using the direct Crossfinder FIX 4.2 protocol, the direct Crossfinder binary protocol, and/or a direct connection established using CSSU's market access gateway platform. See Part II Item 5 for further information. Y As described in Part II Item 5, orders and trading interest from Indirect Subscribers may reach Crossfinder when such Indirect Subscribers utilize CSSU's AES algorithmic product suite or Smart Order Router. CSSU's AES algorithmic product suite and Smart Order Router are provided by the Broker-Dealer Operator. As described previously, prospective clients wishing to access AES products must complete the standard CSSU on-boarding process (e.g., client identification, suitability, formation documents) and enter into an electronic trading agreement which requires compliance with all applicable laws and regulations. This AES electronic trading agreement covers a Subscriber's access to all AES products and there is no differentiation in the required terms and conditions if a Subscriber wishes only to access Crossfinder, AES algorithms, the direct market access gateway, or any combination of the foregoing products and services. Y Crossfinder does not offer co-location services within CSSU infrastructure. Subscribers with infrastructure in the Secaucus (NY4) Equinix Data Center have the ability to connect to CSSU infrastructure using a cross-connect. Subscribers may cross-connect to Crossfinder via Single Mode or Multi Mode Fiber in the NY4 data center. Multi-mode is a type of optical fiber used for communication over short distances, such as within a building for a short distance. Single Mode is used for long distance or Wide Area Network links. These connections are either 1GB or 10GB, depending on the Subscriber request. Y N N Certain terms used in this section are defined elsewhere in this Form ATS-N. As described in Part III Item 9, a single order may participate in both the Standard Book and the Conditional Process if the Subscriber responsible for that order has designated it as eligible to interact with Conditional Orders in the Crossfinder order book. ORDERS IN THE STANDARD BOOK: (i.) Price/time priority. All executions occur at or within the National Best Bid and Offer ("NBBO"). Crossfinder does not support order modifications. Pegged orders that also have a limit price will be priced at the less aggressive of the two prices and any orders that are priced more aggressively than the current NBBO will be priced at the far touch. (ii.) Price Instructions - Market or Limit. During periods when market volatility is high, pricing discrepancies may increase between direct data feeds and the SIP. Crossfinder allows Participants to elect to prevent executions when such pricing discrepancies exist (referred to as "Volatility Spread Protection"). (iii.) N/A (iv.) Peg Instructions - Midpoint Peg; Market Peg (pegged to the far touch); Primary Peg (pegged to the near touch); No peg. The order receipt time stamp will not change if the price of a pegged order is updated in response to a change in the NBBO. (v.) N/A (vi.) Immediate-or-Cancel ("IOC") Orders or Day (Resident) Orders. Participants have the option to designate their Resident Orders as eligible to participate in the Conditional Process (see Part III Item 9). (vii.) Subscribers have the option to cancel an order. All Participant sessions into Crossfinder are configured to cancel orders on disconnect. Crossfinder personnel may cancel orders upon Subscriber request. System outages may result in order cancellation. (viii.) Available across all forms of connectivity. ORDERS IN THE CONDITIONAL PROCESS - (i.) Eligible Firm Orders have priority over Conditional Orders at the same price level. Priority for Conditional Orders is based on price/Symbol Score/size/time. All executions occur at or within the NBBO. Crossfinder does not support order modifications. (ii.) Price Instructions - Market or Limit (iii.) N/A (iv.) Peg Instructions - Participants must set Midpoint Peg. The order receipt time stamp will not change if the price of the order is updated in response to a change in the NBBO. (v.) N/A (vi.) Conditional Orders must be Day (Resident) Orders only. Firm-Up Orders must be IOC Orders only. Additionally, Participants have the option to designate their Standard Order Book Resident Orders as eligible to participate in the Conditional Process (see Part III Item 9). (vii.) Subscribers have the option to cancel a Conditional Order. All Participant sessions into Crossfinder are configured to cancel orders on disconnect. Crossfinder personnel may cancel orders upon Subscriber request. System outages may result in order cancellation. (viii.) Available across all forms of connectivity. CLOSEX ORDERS - (i.) Size/time priority. Crossfinder does not support order modifications. (ii.) Price Instructions - Market only; orders with a limit price will be rejected. (iii.) N/A (iv.) Peg Instructions - CloseX (official exchange closing cross price) (v.) N/A (vi.) Day (Resident) Orders only (vii.) Subscribers have the option to cancel a CloseX Order if the cancellation is entered at least two minutes prior to the official market-on-close cutoff time at the relevant exchange. All Participant sessions into Crossfinder are configured to cancel orders on disconnect (as it relates to CloseX, such disconnect must occur at least two minutes prior to the official market-on-close cutoff time at the relevant exchange). Crossfinder personnel may cancel orders upon Subscriber request. System outages may result in order cancellation. (viii.) Available across all forms of connectivity. VWAPX ORDERS - (i.) Price/size/time priority. Crossfinder does not support order modifications. (ii.) Price Instructions - Market and Limit. Limit values that exceed internally computed boundary prices at the start of each VWAP Session may be rejected. (iii.) N/A (iv.) Peg Instructions - VWAPX (only accepted from Indirect Subscribers via the AES product suite) (v.) N/A (vi.) Day (Resident) orders only (vii.) Subscribers have the option to cancel an order. All Participant sessions into Crossfinder are configured to cancel orders on disconnect. Crossfinder personnel may cancel orders upon Subscriber request. System outages may result in order cancellation. Orders cancelled during a VWAP Session, whether by the Participant or in the event of a limit price being reached, may receive prorated fills at the prevailing VWAP price. (viii.) VWAPX orders are only accepted from Indirect Subscribers via the AES algorithmic product suite. VWAPX Orders are only accepted from Indirect Subscribers accessing Crossfinder via the AES algorithmic product suite. Except as modified below for certain order types, Crossfinder does not impose a required minimum size for orders or trading interest. ORDERS IN THE STANDARD BOOK - Crossfinder does not require minimum quantity orders, but Subscribers have the option to set a minimum quantity on an order-by-order basis. When an order includes a minimum execution quantity instruction, Crossfinder does not aggregate contra interest to satisfy the minimum quantity. ORDERS IN THECONDITIONAL PROCESS - Crossfinder will only accept orders in the Conditional Process with a minimum quantity parameter. CLOSEX ORDERS - Crossfinder will only accept CloseX Orders greater than or equal to one round lot in a particular security. VWAPX ORDERS - Crossfinder will automatically reject VWAPX Orders which include a minimum quantity parameter. SYSTEM LIMITS - The Broker-Dealer Operator maintains certain controls to prevent the entry of orders that exceed appropriate pre-set maximum quantities and notional values pursuant to SEC Rule 15c3-5. Y Crossfinder accepts odd-lots for standard orders, Conditional Process, and VWAPX Orders. Crossfinder will reject odd-lots in CloseX Orders. Odd-lot orders are treated the same as round-lot orders. Crossfinder accepts orders marked as round-lot-only executions for standard orders and orders in the Conditional Process. This parameter can be configured on an order-by-order basis or at the Participant level such that all orders from that Participant are marked as round-lot-only. If the leaves quantity on a round-lot order falls below one round lot, the remainder of the order will be cancelled. Y Crossfinder treats mixed-lot orders the same as round-lot orders. Y ORDER BOOK TRANSPARENCY - Crossfinder does not send out indications of interest ("IOIs"). Crossfinder does not send out bids or offers, including to the CSSU Smart Order Router. CONDITIONAL PROCESS - Crossfinder provides a means for finding liquidity through a conditional process. TERMINOLOGY IN THE CONDITIONAL PROCESS - Eligible Firm Order: An "Eligible Firm Order" is a Resident Order in Crossfinder that is eligible to participate in the conditional process because the Subscriber has selected to allow the order to interact with Conditional Orders. This process is explained further below. Conditional Order: A "Conditional Order" is a non-executable expression of trading interest. Participants must set a minimum quantity and Midpoint Peg instructions on a Conditional Order. IOCs will not be accepted. Invitation: An "Invitation" is a request which Crossfinder will send to a Participant if there is a potential match to the Participant's Conditional Order, inviting the Participant to send a Firm-Up Order. The Invitation message contains a unique identifier for the conditional match as well as the symbol, side, quantity, and the Subscriber-provided order ID of the original Conditional Order. All Subscribers (Direct and Indirect) receive the same message contents if invited to send a Firm-Up Order. Invitations reveal no information about the contra order representing a potential match, although subscribers can deduce that the potentially matched orders agree on price and minimum quantity parameters. Once an Invitation is sent, the associated Conditional Order is cancelled. Firm-Up Order: A "Firm-Up Order" is a firm order sent by a Participant in response to an Invitation which indicates a willingness to transact on the terms of the Conditional Order which generated the Invitation. Firm-Up Orders must be marked as IOC and Participants must set a minimum quantity and Midpoint Peg instruction. Firm-Up Period: The "Firm-Up Period" is the period during which a Participant may send a Firm-Up Order in response to an Invitation. The Firm-Up Period is identical for all Participants. The Firm-Up Period may be adjusted periodically, but in any event will range from 50 to 500 milliseconds. PARTICIPATING IN THE CONDITIONAL MATCHING PROCESS - Transmitting Conditional Orders: All Crossfinder Subscribers may transmit Conditional Orders to the Crossfinder order book. Direct Subscribers have access to the conditional order type by means of the Crossfinder trading protocol, which makes the Conditional Order parameter available to all Direct Subscribers on the same terms. Indirect Subscribers accessing Crossfinder via the AES algorithmic suite may utilize trading algorithms which make use of Conditional Orders as part of the algorithm's programmed trading logic. Transmitting Firm-Up Orders: All Crossfinder Subscribers in receipt of an Invitation may respond with a Firm-Up Order during the Firm-Up Period. Direct Subscribers making use of Conditional Orders transmit Firm-Up Orders by means of the Crossfinder trading protocol, likely in a programmatic fashion in line with the Participant's trading strategies. For Indirect Subscribers accessing Crossfinder via the AES algorithmic suite, the chosen trading algorithm will decide when and how to respond to an Invitation based on the algorithm's programmed trading logic. The Firm-Up Order must contain the unique identifier sent in the Invitation. Crossfinder Participants may modify the order quantity, limit price, or minimum size on a Firm-Up Order, or allow the Firm-Up Period to expire without sending a Firm-Up Order, subject to potential conditional interaction consequences described below. Resident Order Eligibility: As described above, all Crossfinder Subscribers may designate any Resident Order as eligible to interact with Conditional Orders in the Crossfinder order book (thus becoming an "Eligible Firm Order" for purposes of the conditional matching process). Direct Subscribers may indicate this designation when transmitting an order to Crossfinder using the Crossfinder trading protocol or may designate all order flow from a particular Participant as eligible to interact with Conditional Orders by contacting their AES representative. Indirect Subscribers accessing Crossfinder via the AES algorithmic suite have the ability to customize the performance of AES algorithms and may contact their AES representative to opt-in to interacting with Conditional Orders, either on an order-by-order basis or for all order flow from a particular Participant. All Crossfinder Subscribers, regardless of the means of entry, may configure their opt-in designation to allow interaction with all Conditional Orders or only those that are greater than or equal to a specified minimum size. MECHANICS OF THE CONDITIONAL MATCHING PROCESS - General Mechanics: Eligible orders are ranked as described in the paragraph below titled "Conditional Matching Priority." The matching process next proceeds from the highest to the lowest priority orders attempting to find matches. Each order participating in the Conditional Process will only be involved in one conditional match at a time. Conditional Orders are cancelled once an associated Invitation is sent, and Eligible Firm Orders will no longer participate in the Conditional Process while they have an outstanding conditional match. Eligible Firm Order versus Conditional Order: When an Eligible Firm Order is a potential match with one or more Conditional Orders, Crossfinder will send an Invitation to the Participant that sent the highest priority Conditional Order which can interact with the Eligible Firm Order. The associated Conditional Order will be cancelled and the Participant that sent the Conditional Order must respond with a Firm-Up Order before the Firm-Up Period expires. During the Firm-Up Period, the portion of the shares of the Eligible Firm Order equal to the Minimum Quantity on the Conditional Order will be deemed "locked-up" and ineligible to trade with other Crossfinder liquidity. Any portion of the Eligible Firm Order that is not "locked-up" remains eligible to interact with the Crossfinder order book. Crossfinder will execute the Firm-Up Order against the Eligible Firm Order if the recipient of the Invitation sends a Firm-Up Order within the Firm-Up Period and the order attributes still overlap. A Firm-Up Order received after the Firm-Up Period expires will be rejected. Any "locked-up" shares on an Eligible Firm Order that are not executed will be released to the Crossfinder order book. Conditional Order versus Conditional Order: When a Conditional Order is a potential match with another Conditional Order, Crossfinder will send an Invitation to both Participants inviting them to firm up. The associated Conditional Orders will be cancelled. Crossfinder will execute the Firm-up Orders if both Participants respond with a Firm-Up Order before the Firm-Up Period expires and the order attributes still overlap. Any Firm-Up Order received after the Firm-Up Period expires will be rejected. Any unexecuted portion of a Firm-Up Order (which is received within the Firm-Up Period) will be exposed to the Crossfinder order book as an IOC order. This may result in multiple fills. CONDITIONAL INTERACTIONS - Crossfinder applies a two-step process based on Participant Eligibility and Participant Priority to determine which Conditional Order will receive an Invitation in response to an Eligible Firm Order or a Conditional Order. (1.) Participant Eligibility - The process for identifying when a Participant's Conditional Order is eligible to receive an Invitation is based on the Participant's Crossfinder Category for liquid and illiquid securities (see "Scoring Methodology" in Part III Item 13) and order interaction eligibility (see "Order Interaction Rules" in Part III Item 14) in Crossfinder. Only those Participants that are otherwise eligible to interact with each other in Crossfinder may be invited to participate in a potential Conditional Order match. In addition to this process for determining general Crossfinder interaction eligibility, AES also uses the Crossfinder scoring methodology to assign Participants to one of two default conditional categories. Participants with a scored Crossfinder category of "Natural," "Plus," or "Max" are assigned the default conditional category of "Category 1," while Participants with a scored Crossfinder category of "Opportunistic" are assigned the default conditional category of "Category 2." Participants are evaluated separately for liquid and illiquid securities (i.e., each Participant will have a default conditional category for liquid securities and a default conditional category for illiquid securities). Resident Order Interactions - Default Setting: By default, Resident orders in Crossfinder will not interact with Conditional Orders. Opt-In: As described previously, Participants may opt to allow their Resident Orders to interact with Conditional Orders. Resident Orders that have opted-in to interacting with Conditional Orders (i.e., Eligible Firm Orders) may choose to interact with: (i) Conditional Orders from Participants in Category 1 only, or (ii) Conditional Orders from all Participants (Categories 1 and 2). Conditional Order Interactions - Default Settings: By default, Conditional Orders from Participants in Category 1 will interact with all Eligible Firm Orders and other Conditional Orders from Participants in Category 1. By default, Conditional Orders from Participants in Category 2 will only interact with those Eligible Firm Orders described in (ii) above, and those Conditional Orders described in (iv) below. Opt-in: Participants in either category may request that their Conditional Order interact with: (iii) Eligible Firm Orders only, or (iv) all Conditional Orders (from Participants Categories 1 and 2) and Eligible Firm Orders. (2.) Participant Priority - A Crossfinder Participant will accumulate real-time daily scores based on the firm-up rates for every security in which the Participant sends a Conditional Order (each a "Symbol Score"). If a Category 1 Participant's Symbol Score falls below a pre-set daily threshold for the corresponding security, the Participant will automatically move to Category 2 in that particular security and will remain in Category 2 for the remainder of the day, even if the Participant's Symbol Score later improves. In addition to the Symbol Score, each Participant will also separately accrue real-time, daily cumulative scores (each a "Cumulative Score") for liquid and illiquid securities based on its firm-up rate across all such securities. If a Category 1 Participant's Cumulative Score falls below a pre-set daily threshold for liquid and/or illiquid securities, the Participant will be moved immediately to Category 2 for the respective securities and will remain in Category 2 for a predefined penalty period. The daily threshold (from 70%-80% response rate) and penalty period (from 1 to 2 days) may vary based on the Participant's Crossfinder Category for liquid and illiquid securities. Regardless of a Category 1 Participant's Symbol Scores, the Participant will be moved to Category 2 in all liquid and/or illiquid securities if its Cumulative Score falls below the daily threshold as described above. Every Conditional Order acknowledgement generated by Crossfinder will contain an indication of the Participant's real-time conditional category. If a Participant changes conditional categories intraday, all Conditional Orders received in the respective securities before the Participant fell below the relevant threshold will be cancelled. CONDITIONAL MATCHING PRIORITY - Eligible Firm Orders have priority over Conditional Orders at the same price level. Priority for Conditional Orders is based on price/Symbol Score/size/time, with a matching process as described in the paragraph above titled "General Mechanics." CONDITIONAL PRICE OVERLAP - Any Crossfinder match that involves a Firm-Up Order will be priced in a manner consistent with existing Crossfinder logic with respect to price overlap, as described in "Crossing Scenario Examples" in Part III Item 11. An Eligible Firm Order will be treated as a resting order when determining whether a Firm-Up Order or an Eligible Firm Order receives the benefit of price overlap. Y Matching occurs in Crossfinder during normal market hours - 9:30 a.m. to 4:00 p.m. ET, Monday through Friday (other than holidays or shortened trading days). Subscribers may enter orders into Crossfinder any time after Crossfinder connectivity is established according to normal start-of-day processes, usually between 6:00 a.m. and 7:00 a.m. ET. Orders received by Crossfinder prior to 9:30 a.m. are entered into the queue and become eligible for execution at or after 9:30 a.m. once the security is open for trading in Crossfinder. Crossfinder will commence trading in a security at the open or re-open once the following conditions have been satisfied: a valid "NBBO" exists, an exchange has reported a trade, and the CSSU market data system has received the Limit Up/Limit Down bands. Crossfinder does not have any special procedures to match orders at the opening or to set a single opening or reopening price. Crossfinder does not support any special order types that have specific behavior on stock open or re-open. Y Orders received prior to market open or during a stoppage will not be prioritized any differently than other orders received during the normal operations of Crossfinder. The order receipt time stamp on all unexecuted orders will be used to determine the order's priority when trading begins or resumes. Orders are executed on a price/time priority basis, with exception to Conditional, CloseX, and VWAPX orders which have different priority rules. Y N Crossfinder is a non-displayed crossing system available to CSSU Direct and Indirect Subscribers, which may include both external clients and internal trading desks. Crossfinder accepts orders in National Market System ("NMS") stocks as defined in Regulation NMS. Crossfinder is a fully integrated component of the AES trading platform. External subscribers include buy-side firms (mutual funds, institutional asset managers, hedge funds, etc.) and sell-side firms (broker-dealers who focus on institutional trading, retail-originated orders, market-making, etc.). Subscribers are assigned one or more unique system IDs for their order flow(s). Crossfinder treats each system ID as a "Participant." Y ORDERS IN THE STANDARD BOOK - When Crossfinder receives a new order event or a market data change event in a particular security, Crossfinder evaluates whether a match can be run based on the current state of that security. Assuming the security is tradeable (see below for requirements which must be satisfied before a security can trade), Crossfinder ranks the orders in the Standard Book based on price/time priority (pegged orders that also have a limit price will be priced at the less aggressive of the two prices and any orders that are priced more aggressively than the current NBBO will be priced at the far touch). Crossfinder then begins attempting to match buy and sell orders starting from highest priority. Note that if an order in the Standard Book allows interaction with Conditional Orders, interaction with Conditional Orders will also be evaluated as part of the matching process and priority may operate slightly differently (see "Orders in the Conditional Process" in Part III Item 7). Optional Participant Configurations: A Participant has the option to request the following configurations for its order flow generally (rather than on an order-by-order basis): Opt-out of interacting with Credit Suisse principal orders; Opt-in to Volatility Spread Protection (See "Anti-Gaming"); Opt-in to round-lot-only trading (may also be configured on an order-by-order basis); Opt-out of self-trade prevention; Opt-in to Maximum Liquidity IOC (this configuration allows a Participant to opt-in its IOCs to trade with the entire pool, subject to the interaction preferences of the potential counterparty (see "Order Interaction Rules" in Part III Item 14). This is not applicable to the "Conditional Order Process" described in Part III Item 9); Opt-out of interacting with retail-originated flow; Opt-in to interacting with Conditional Orders (may also be configured on an order-by-order basis); Opt-in to interacting with Conditional Orders that are greater than or equal to a specified minimum order size (applies to Eligible Firm Orders as defined in the "Conditional Process" in Part III Item 9; may also be configured on an order-by-order basis); Certain order interaction preferences (See "Order Interaction Rules" in Part III Item 14). ANTI-GAMING - Crossfinder employs various anti-gaming measures, for example: (1) To reduce the potential for "latency arbitrage," Crossfinder determines the NBBO through market data sourced directly from the exchanges, as described in Part III Item 23, instead of the SIP. (2) Crossfinder's matching engine has a built-in, real-time mechanism designed to prevent order matching if the bid/ask spread of a security significantly differs from its historical norm. Specifically, Crossfinder loads values for minimum and maximum expected spreads in each traded symbol for fixed intervals throughout the trading day. For orders in the Standard Order Book and Conditional Orders, Crossfinder will not execute the order if the current NBBO is narrower or wider than these expected spreads. (3) "Volatility Spread Protection": During periods when market volatility is high, pricing discrepancies may increase between direct data feeds and the SIP. Crossfinder allows Participants to elect to prevent executions when such pricing discrepancies exist. CROSSING SCENARIO EXAMPLES (not applicable to Conditional, CloseX, or VWAPX Orders) - The examples in the attached supplement for this Item illustrate Crossfinder's order crossing process and apply to both pegged and non-pegged orders. The examples assume that the interaction settings and order instructions for the buyer and seller would permit a trade to occur, and that the resting buy order and incoming sell order have priority. All executions are bound by the NBBO. Crossfinder provides 100% of price overlap on the execution to the resting orders, unless one of the orders is Retail, then 80% of the overlap goes to the non-Retail order and 20% goes to the Retail order. The examples are "stand alone" and assume no other orders are present. CONDITIONAL ORDERS - The Conditional auction is run in tandem with the Standard Order Book auction described above. For details of the parameters that control the matching of Conditional Orders, see Part III Item 9. VARIOUS FEDERAL SECURITIES REQUIREMENTS FOR ORDERS IN THE STANDARD BOOK AND CONDITIONAL PROCESS - Crossfinder is designed to operate in compliance with the requirements of Regulation SHO when accepting and/or executing orders in the Standard Book and Conditional Process. In accordance with Rule 201 of Regulation SHO, once a circuit breaker has been triggered, the short sale price test restriction will apply to short sale orders in that security for the remainder of the day and the following day, unless an exemption applies. Crossfinder accepts orders marked as "short exempt" from broker-dealer Subscribers. Crossfinder will not execute orders in the Standard Book or Conditional Process in a locked or crossed market environment. Similarly, Crossfinder will only cross orders in the Standard Book or Conditional Process if Limit Up/Limit Down ("LULD") bands are being disseminated and the proposed crossing price is within the LULD bands. Crossfinder will not execute orders in the Standard Book or Conditional Process in a security subject to a LULD trading pause or regulatory halt. Pursuant to applicable rules, Crossfinder will only resume crossing once trading has commenced on the primary listing exchange and LULD price bands are available. CLOSING AUCTION (CLOSEX) - Crossfinder accepts orders where the execution for each security will occur at a single point in time at that security's official closing price on its primary listing exchange ("CloseX Orders"). CSSU will accept CloseX Orders in securities with a five-day average closing volume greater than a pre-configured value (which will be no less than 10,000 shares). Crossfinder accepts CloseX Orders for eligible securities if entered at least two minutes prior to the official market-on-close cutoff time of the security's primary listing exchange (for each applicable security, the "CloseX Cutoff") and will reject any new CloseX Order received after the CloseX Cutoff of the applicable security. A match is run at the time of each applicable security's CloseX Cutoff using size/time priority, and Participants are notified immediately of any unmatched interest by receiving an unsolicited cancellation if no shares are matched or a restatement message if there is a partial match. Crossfinder sends fill messages once the official closing price is known or disseminated for an eligible security. In the event of a technical problem on a security's primary listing exchange, Crossfinder follows that exchange's procedures/instructions for determining the official closing price. The following order attributes govern: CloseX Orders must be Resident Orders; CloseX Orders must be Market Orders (orders with a limit price will be rejected); CloseX Orders must be greater than or equal to one round lot in a particular security; CloseX Orders with the following parameters will be rejected: Minimum Quantity, Round Lot, and Conditional Order; CloseX Orders marked as short sale orders will be rejected; Only the following Participant configurations will be honored on CloseX Orders: Opt-out of interacting with CSSU principal orders; Opt-out of self-trade prevention. CloseX Orders and executions are excluded from the Crossfinder monthly scoring process as described in "Scoring Methodology" in Part III Item 13. Crossfinder "Order Interaction Rules" as described in Part III Item 14 do not apply to CloseX Orders. VARIOUS FEDERAL SECURITIES REQUIREMENTS FOR CLOSEX ORDERS - Crossfinder CloseX rejects short sell and short exempt orders. As CloseX Orders are executed after market close at the subject security's official closing price, Crossfinder is not restricted by LULD bands or the status of the NBBO at the point in time which a CloseX execution occurs. Crossfinder will not execute CloseX Orders in a security which is subject to a regulatory halt. VOLUME WEIGHTED AVERAGE PRICE CROSS (VWAPX) - Terminology in VWAPX - VWAPX Session: Entire time interval where VWAPX Orders are entered, matched, priced, and filled in one discrete matching process. VWAPX Order Entry Window: Short time interval (less than 5 seconds) at the beginning of a VWAPX Session during which VWAPX Orders are eligible for receipt before the matching process initiates. VWAPX Orders entered outside of this window will be rejected. VWAPX Pricing Period: Time interval during which the matching process completes, lasting until either the end of the VWAPX Session or an event occurs that ends the pricing period early. VWAPX Session Price: The price of the security's calculated VWAP price for the duration of the VWAPX Pricing Period. Crossfinder accepts orders from Indirect Subscribers via the AES algorithmic product suite which will be filled at the conclusion of a VWAPX Session (operating at predetermined time intervals with a duration of 10 minutes or less during normal market hours) at the VWAPX Session Price for the duration of the VWAPX Pricing Period ("VWAPX Order"). Crossfinder will accept VWAPX Orders in securities with trading characteristics that CSSU deems sufficient to satisfy the VWAP exception to Regulation NMS and Regulation SHO. Matching priority for VWAPX Orders is based on price/size/time. Crossfinder accepts VWAPX Orders for eligible securities during the VWAPX Order Entry Window and Subscribers are notified of any unmatched interest by receiving an unsolicited cancellation if no shares are matched or a restatement message if there is a partial match. Crossfinder sends fill messages at the conclusion of each VWAPX Session at the VWAPX Session Price during the VWAPX Pricing Period. VWAPX Orders may be cancelled during the VWAPX Pricing Period for reasons including, but not limited to: (1.) By the Participant via a cancel message that originates from the Participant cancelling the AES Algorithmic order; (2.) By the AES algorithmic platform; (3.) By Crossfinder if one of the Participants' matched VWAPX Orders has a limit price and the price of the security has moved during the VWAPX Pricing Period where the VWAPX Session Price would violate that limit price; or (4.) By Crossfinder due to a symbol or market halt that prevents further market trading activity. If a VWAPX Order is cancelled, it may receive a partial fill at the prevailing VWAPX Session Price that is pro-rated based on when it was cancelled during the VWAPX Pricing Period. If the cancellation happens in a short time interval after the beginning of the VWAPX Pricing Period or the VWAPX Pricing Period does not have a minimum threshold of market prints in the security, the VWAPX Order will not receive a partial fill. The following order attributes govern: VWAPX Orders are only accepted from Indirect Subscribers accessing Crossfinder via the AES algorithmic product suite; VWAPX Orders must be Resident Orders; VWAPX Orders with the following parameters are rejected: Minimum Quantity, Round Lot, and Conditional Order; VWAPX Orders marked as short sale orders are not eligible to interact with CSSU principal orders; Only the following Participant Configurations are honored on VWAPX Orders: Opt-out of interacting with CSSU principal orders; Opt-out of self-trade prevention. VWAPX Orders and executions are excluded from the Crossfinder monthly scoring process as described in "Scoring Methodology" in Part III Item 13. Crossfinder "Order Interaction Rules" as described in Part III Item 14 will not apply to VWAPX Orders. VARIOUS FEDERAL SECURITIES REQUIREMENTS FOR VWAPX ORDERS - Crossfinder will accept VWAPX Orders in securities with trading characteristics which CSSU deems sufficient to satisfy the VWAP exception to Regulation NMS and Regulation SHO. As VWAP Orders are executed at a price equal to the security's calculated VWAP price for the duration of a VWAP Session, Crossfinder is not restricted by LULD bands or the status of the NBBO at the point in time which a VWAPX Order execution occurs. Crossfinder will not execute VWAPX Orders in a security which is subject to a regulatory halt. CROSSFINDER ERROR POLICY AND REPORTING TIME STAMPS - CSSU handles execution errors occurring within Crossfinder in accordance with the firm's Clearly Erroneous Policy. A Clearly Erroneous Trade is defined as an execution at a price, for a quantity of shares, or with a symbol, that is substantially inconsistent with the current trading pattern of the issue. In the unlikely event of a bad market data due or in unusual circumstances including periods of extreme market volatility, sustained illiquidity, or widespread system issues, trades executed on Crossfinder may be subject to review under the Clearly Erroneous Policy. The use of Crossfinder by a Participant constitutes acceptance of CSSU's right to break any trade, or modify the terms of any trade. CSSU may, at the request of a Subscriber or on its own initiative, review any trade matched on Crossfinder if the trade is substantially inconsistent with the current trading pattern of the security. When CSSU initiates a trade review, it will attempt to promptly notify all parties to the trade via e-mail and/or telephone. If a Subscriber seeks review of a trade executed on Crossfinder, the Subscriber should notify CSSU in writing within thirty (30) minutes of execution. CSSU will make a final determination generally within one hour or as promptly as reasonably practicable under the circumstances and notify all parties to the trade. Crossfinder time stamps orders upon receipt in the ATS and executions at the time they occur in accordance with applicable FINRA Order Audit Trail System and trade reporting rules. Crossfinder determines queue position for CloseX Orders and VWAPX Orders based on new order receipt time. Crossfinder does not support order modifications. VWAPX Orders are only accepted from Indirect Subscribers accessing Crossfinder via the AES algorithmic product suite. N Please note that all Subscribers whose orders are executed in Crossfinder are assigned one or more unique system IDs for their order flow(s). A Subscriber may request, at its own discretion, more than one system ID in order to differentiate trading flows and strategies by contacting their AES representative to discuss their goals and arrange for the appropriate number of IDs to be created. Crossfinder treats each system ID as a "Participant." A Subscriber may access Crossfinder ATS as both a Direct and Indirect Subscriber if the Subscriber has multiple execution arrangements with CSSU. CLASSIFICATION OF CROSSFINDER PARTICIPANTS - All Participants accessing Crossfinder are classified into the following categores (each a "Category"): "Natural"; "Plus"; "Max"; or "Opportunistic." Participants are classified separately for liquid and illiquid securities, which may result in a Participant being classified in two identical or two different Categories. The Category is used to determine the eligibility of a Participant's orders to interact with orders of other Participants. This classification process seeks to evaluate the quality of the Participant's order flow. First, each Participant is assigned a type ("Client Type") in Crossfinder (a table is attached as a separate supplemental response to this item). The Client Type is determined by AES personnel based on information provided about the Participant and/or its order flow characteristics. The Client Type determines the metrics that are applied in the scoring methodology. The resulting score from the metrics relevant for each Client Type is used to classify the Participant into Natural, Plus, Max, and/or Opportunistic Categories. SCORING METHODOLOGY - A Subscriber may have more than one Crossfinder Participant. Each Participant is evaluated individually. The flow from each Participant is evaluated separately for liquid and illiquid securities. The resulting scores will be used to establish the respective liquid and illiquid Categories to which the Participant is assigned. A Participant may be classified into two identical or two different Categories. If a Participant trades as both a Direct and Indirect Subscriber, the Participant's trades will be scored using the most restrictive Client Type. Scoring is performed monthly and is evaluated against the default Category for a Participant's assigned Client Type. Based on the results, a Participant may (or may not) change Categories for liquid securities, illiquid securities, or both (if order flow from a Participant has been categorized as Opportunistic more than once, it will remain in the Opportunistic category for at least three months (the "Penalty Box"); at the end of those three months, the Participant's flow will be re-evaluated and categorized in the same manner as other scored Participants). To be scored, a Participant must execute a predetermined minimum number of trades (excluding Conditional, CloseX, and VWAPX Orders and fills) in Crossfinder during the measurement period. Participants who do not execute the minimum number of trades during the measurement period will remain in the Category from the previous month. The Scoring Methodology for each Client Type uses an established combination of the metrics below. Depending on the specific metric, it can either a) improve, b) worsen, or c) improve or worsen a Participant's aggregate score that will define their Post-Scoring Category. (1) "Alpha Scoring" Metrics - The metrics deemed to be relevant for a particular Client Type are applied; at least one of these two metrics is always applied: 1. Short-Term Alpha - Evaluates how the price of the security moved in a short-term time period after an execution. 2. Medium-Term Dispersion - Evaluates how the price of the security moved in a medium-term time period before and after an execution AND (2) "Additional" Metrics - The metrics deemed to be relevant for a particular Client Type are applied; depending upon the Client Type, the relevant metrics include three (3) or four (4) of the following: 1. Average Execution Size; 2. Average Order Size - Only includes orders that received an execution; 3. Average Order Duration - Only includes orders that were marketable during the life of the order; 4. Order Fill Rate; 5. Percentage of Executions with Price Improvement; 6. Percentage of Orders Sent at Midpoint; 7. Percentage of Executions with Large Fill Sizes; 8. Percentage of Orders Where the Counterparty to an Execution Received a Cancel Reject Message Immediately after the Execution; 9. Percentage of Adding vs Removing Liquidity; 10. Number of Symbols Traded. As described above, a Subscriber may have more than one associated system ID in order to differentiate trading flows and strategies. Crossfinder treats each system ID as a "Participant" and systematically scores each Participant in a monthly process which may result in different segmentation outcomes for each Participant ID operated by a Subscriber. AES notifies those Subscribers with a Participant ID which will change Category as a result of the Crossfinder monthly scoring process. This notification is provided via email to the Subscriber's business contact. Subscribers may request further information regarding the trading activity which led to the change in Category, but this designation may not be contested. Under no circumstances will a Subscriber be made aware of the Category of a Participant ID operated by any other Subscriber. Upon Subscriber email or verbal request, AES personnel will monitor a Participant's activity in Crossfinder between monthly scoring intervals and provide oral feedback that a Participant's order flow is trending towards a particular Category. This gives the Subscriber an opportunity to improve the quality of the order flow. Y Y ORDER INTERACTION RULES (not applicable to CloseX or VWAPX Orders) - The Participant's Client Type determines its default interaction eligibility with other Participants. This default interaction eligibility applies unless the Subscriber requests that CSSU customize its configurations at the Participant level or on an order-by-order basis. A Subscriber may request a customization by emailing their AES sales coverage person. The AES sales coverage person will forward the Subscriber email to the AES Direct Market Access team which will implement the request, subject to the rules below, after the close of trading on the day of the request. Default System Settings: "AES Routed Flow" and "BD Client Routed Flow" Client Types do not interact with "Opportunistic." All other Client Types are eligible to interact with "Natural," "Plus," "Max," and "Opportunistic." Customizable Interaction Preferences and Rules: A Subscriber has the option to request the following order interaction preferences configured at the Participant level or on an order-by-order basis: "Natural" (a "Natural-Only" configuration (i.e., the Participant's flow is eligible to interact with "Natural" flow only) is available only to those Participants whose default Category is "Natural"); "Natural," "Plus"; "Natural," "Plus," "Max"; "Natural," "Plus," "Max," "Opportunistic." All Client Types may request a "Retail-Only" configuration, under which the Participant's flow is eligible to interact only with "Retail" Client Types that are in the "Natural" Category. This interaction preference is not available on an order-by-order basis. Interaction preferences on an order-by-order basis take priority over interaction preferences configured at the Participant level. In addition, order flow from two Participants will not trade with each other unless the interaction preferences for both Participants overlap. For example, an AES Routed Flow Participant whose interaction preference restricts "Opportunistic" would not execute against a Participant that is currently classified as "Opportunistic," regardless of the "Opportunistic" Participant's interaction preferences. Y N As described in Part II Items 6 and 7, the Crossfinder order book is "dark," meaning there is no pre-trade transparency to users. Orders resting in the Crossfinder order book are not displayed or known to any Person and Crossfinder does not disseminate bids or offers in any manner (including to the AES smart order router). Direct Subscribers have the ability to place orders directly into the Crossfinder order book, and this trading interest is not displayed or made known to any Person during the order placement process. Indirect Subscribers may communicate trading interest in various ways based on the Subscriber's means of access (e.g., submitting orders to the AES algorithmic product suite, submitting orders to the CSSU Smart Order Router, or communicating directly with CSSU equity coverage), however once a routing decision is made and any portion of an order is "bound for" Crossfinder this trading interest is not displayed or made known to any Person. As described in Part III Item 9, Crossfinder will send an Invitation to a Participant if there is a potential match to the Participant's Conditional Order, inviting the Participant to send a Firm-Up Order in response. The Invitation message contains a unique identifier for the conditional match as well the symbol, side, quantity, and the Subscriber-provided order ID of the original Conditional Order. All Subscribers (Direct and Indirect) receive the same message contents if invited to send a Firm-Up Order. Invitations reveal no information about the contra order representing a potential match, although subscribers can deduce that the potentially matched orders agree on price and minimum quantity parameters. Once an Invitation is sent, the associated Conditional Order is cancelled. Y N Crossfinder offers a special closing match for orders which use the CloseX order parameter described in Part III Item 7. CloseX Orders are explained more fully below. Orders which are not sent with the CloseX order parameter are not treated any differently during the close. CLOSING AUCTION (CLOSEX) - Crossfinder accepts orders where the execution for each security will occur at a single point in time at that security's official closing price on its primary listing exchange ("CloseX Orders"). CSSU will accept CloseX Orders in securities with a five-day average closing volume greater than a pre-configured value (which will be no less than 10,000 shares). Crossfinder accepts CloseX Orders for eligible securities if entered at least two minutes prior to the official market-on-close cutoff time of the security's primary listing exchange (for each applicable security, the "CloseX Cutoff") and will reject any new CloseX Order received after the CloseX Cutoff of the applicable security. A match is run at the time of each applicable security's CloseX Cutoff using size/time priority, and Participants are notified immediately of any unmatched interest by receiving an unsolicited cancellation if no shares are matched or a restatement message if there is a partial match. Crossfinder sends fill messages once the official closing price is known or disseminated for an eligible security. In the event of a technical problem on a security's primary listing exchange, Crossfinder follows that exchange's procedures/instructions for determining the official closing price. The following order attributes govern: CloseX Orders must be Resident Orders; CloseX Orders must be Market Orders (orders with a limit price will be rejected); CloseX Orders must be greater than or equal to one round lot in a particular security; CloseX Orders with the following parameters will be rejected: Minimum Quantity, Round Lot, and Conditional Order; CloseX Orders marked as short sale orders will be rejected; Only the following Participant configurations will be honored on CloseX Orders: Opt-out of interacting with CSSU principal orders; Opt-out of self-trade prevention. CloseX Orders and executions are excluded from the Crossfinder monthly scoring process as described in "Scoring Methodology" in Part III Item 13. Crossfinder "Order Interaction Rules" as described in Part III Item 14 do not apply to CloseX Orders. Y Trading outside of regular trading hours only occurs with respect to CloseX Orders described in Part III Items 11 and 17. CloseX Orders are filled after market close once the security's official closing price is known or disseminated. Y All Subscribers are assessed a variable commission fee on a per-share or per-notional basis for executions in Crossfinder that is negotiated between CSSU and the Subscriber. Variables that can impact the fees include, but are not limited to, the client type, trading volume, clearing costs, connectivity costs, and overall relationship with CSSU. For Direct and Indirect Subscribers that operate on a cost-plus basis, they do not book a commission fee on the settled transaction and instead are invoiced fees on a monthly basis. Through this process CSSU passes back the venue cost to these Subscribers, which can include the venue fee for Crossfinder which can range from $0.00 to $0.0015 per share. This range is negotiated between CSSU and the Subscriber. Variables that can impact the fees include, but are not limited to, the client type, order flow interaction, trading volume, clearing costs, connectivity costs, and overall relationship with CSSU. Additionally, all Subscribers may be charged a monthly connectivity fee based on minimum volume thresholds and/or the cost structure of the client's chosen connectivity vendor (if applicable). This monthly fee can range between $0 and $1,500 per FIX session. CSSU individually negotiates all fees (as described in Part III Item 19(a)) where Crossfinder is included as part of the overall product and service offering which can include, but is not limited to, execution services (such as the AES algorithmic product suite), research services, and corporate access. Variables that can impact the fees include client type, trading volume, clearing costs, connectivity costs, bundled services, and overall relationship with CSSU. The individually negotiated fees reflect the value of the overall product and services that CSSU provides the Subscriber. These bundled services are available for both Direct and Indirect Subscribers, CSSU does not offer a rebate to Subscribers of Crossfinder in the form of venue fees. All fees are individually negotiated with each Subscriber which may be discounted based on the variables noted in Part III Item 19(b). As an entity subject to Regulation SCI, Crossfinder maintains policies and procedures which include business continuity and disaster recovery plans reasonably designed to achieve next business day resumption of trading following a wide-scale disruption. In the event all of Crossfinder is shut down, all resting orders will be cancelled and no new orders will be accepted. Prior to the resumption of trading, Subscribers will receive a notice specifying the time trading will resume. Orders which are received after the notice is published will be entered into the queue and will become eligible for execution when trading resumes. Trading may be suspended or stopped in individual or all securities for many reasons, including, but not limited to: FAIR ACCESS - CSSU monitors Crossfinder volume thresholds monthly in compliance with the fair access requirements set forth in Rule 301(b)(5) of Regulation ATS. If CSSU determines that trading in Crossfinder is approaching such volume threshold in a security or securities, CSSU will disable trading in such security(ies) for the month. In those circumstances CSSU will provide Subscribers with notice of any securities which may be temporarily disabled for trading. TRADING HALT - All regulatory halts are received on the SIP feed. No transactions will be executed during the halt, but resting orders will be accepted. SANCTIONED SECURITIES - Crossfinder consumes a periodic data feed listing US sanctioned securities. All orders received for sanctioned securities are rejected. If a security becomes sanctioned intraday, all existing resting orders for that security will receive unsolicited cancels and all new orders for that security will be rejected. OTHER - If for any other reason (e.g., market data issues, internal CSSU restrictions) trading in a security must be disabled, all resting orders in that security will be cancelled and new orders will be rejected. Y All Crossfinder trades are reported in real-time to one of the Nasdaq Trade Reporting Facilities ("TRF") in Chicago or Carteret as Over-the-Counter ("OTC") transactions. These transactions are reported under the MPID "CROS" for inclusion in the consolidated tape. CSSU strives to report 50% of total Crossfinder trade volume on each TRF, with each site serving as backup to the other in the event of a technical issue. Y CSSU is a member of the National Securities Clearing Corporation ("NSCC") and the Depository Trust & Clearing Corporation ("DTC"). When orders are matched on Crossfinder, the execution is reported to an exchange TRF as an OTC transaction pursuant to the rules of the TRF to which it is reported. Once reported to a TRF, all executions facilitated through Crossfinder are cleared and settled using CSSU's existing clearance and settlement infrastructure. Neither CSSU nor Crossfinder facilitate the clearance and settlement of Crossfinder transactions by becoming a counterparty to matched trades (CSSU will only be a counterparty to a transaction in Crossfinder if a principal order from CSSU receives an execution). Crossfinder does not require Subscribers to have a specific clearing arrangement, however all Subscribers must have an established clearing method and provide appropriate settlement instructions to allow CSSU to clear and settle their transactions through NSCC and DTC. Broker-dealer Subscribers may enter into a Qualified Service Representative ("QSR") or AGU/Attachment 2 agreement, which allows CSSU to submit trade executions for clearance and settlement on their behalf on an execution-by-execution basis, without netting, through the submission of locked-in trades to the NSCC. Trade executions for non-broker-dealer Subscribers are submitted for clearance and settlement to DTC at the end of each trading day on an aggregated basis per Subscriber in accordance with the Subscriber's settlement instructions, either on a delivery-versus-payment or receipt-versus-payment basis. Settlement instructions are in place for each Subscriber and will apply regardless of whether an execution is broker-dealer vs. broker-dealer, broker-dealer vs. non-broker-dealer, or non-broker-dealer vs. non-broker-dealer. CSSU will designate a small portion of executions which CSSU receives on Crossfinder for settlement on the Paxos Settlement Service platform operated by Paxos Trust Company, LLC ("Paxos"), a New York State limited purpose trust company. Paxos has received a no-action letter from staff at the SEC's Division of Trading and Markets indicating that the staff would not pursue a referral to the enforcement division against Paxos under Section 17A(b)(1) of the Securities Exchange Act of 1934 if Paxos fails to register with the Commission as a clearing agency in connection with its operation of a securities settlement system referred to in the Request as the "Paxos Settlement Service" ("PSS"). Specifically, Paxos uses a proprietary blockchain-based cryptographic ledger that records changes in ownership of securities and cash resulting from settlement of securities between participants on the platform. The PSS platform facilitates settlement on a simultaneous delivery-versus-payment (DVP) basis, and therefore both sides of an executed trade must be existing participants on the PSS platform who have designated Paxos as the settlement location on the relevant trade. This will not affect standard settlement procedures for all other Crossfinder Subscribers who are not PSS participants. In the initial phase, CSSU will settle a limited universe of symbols against a small number of broker-dealer Subscribers who are also Paxos participants. CSSU will systematically identify Crossfinder executions involving (i) two Subscribers who are PSS participants and (ii) securities which have been deemed eligible for inclusion in the pilot phase in accordance with Paxos's no-action letter ("Active Securities"), and submit such executions to the PSS for settlement in accordance with the operating procedures of the PSS. As Paxos participants are onboarded to the PSS, CSSU will work together with Paxos and the Paxos participants who are also broker-dealer Subscribers to confirm the selection of Active Securities and the relevant date that CSSU should begin routing executions to PSS for settlement. On a daily basis, Paxos will monitor the volume of executions routed to PSS for settlement with respect to the volume limits in accordance with the operating procedures of the PSS. As a result of this volume monitoring, Paxos will promptly notify CSSU in the event that CSSU needs to stop the submission of trades of an Active Security. Paxos will also notify CSSU in the event that a Paxos participant is no longer a Paxos participant. As a result of any such notification from Paxos, CSSU personnel will remove the relevant security and/or Paxos participant from the Crossfinder component responsible for the systematic identification of executions for submission to the PSS. Following such removal, CSSU personnel will notify Paxos of its completion. Crossfinder executions involving a security or Subscriber which Paxos has removed from PSS eligibility will clear and settle regular way in accordance with the Subscriber's default settlement instructions. For the avoidance of doubt, the arrangement described in this item between Paxos and CSSU does not in any way alter the application of Crossfinder's established rules and procedures discussed elsewhere in this Form ATS-N. As described above, CSSU will designate a small portion of executions which CSSU receives on Crossfinder for settlement on the PSS platform. Settlement via the PSS platform will only be against a small number of broker-dealer Subscribers who are also Paxos participants. Crossfinder determines the NBBO using a CSSU system that combines market data feeds from most market centers and the SIP for one market center. As of the date of this Form ATS-N filing, Crossfinder receives market data feeds from: DIRECT DATA FEEDS: Nasdaq - Nasdaq, Nasdaq BX, Nasdaq PSX; NYSE - NYSE, NYSE Arca, NYSE American, NYSE National, CHX; CBOE - BZX, BYX, EDGA, EDGX; IEX; MEMX; MIAX PEARL. SIP: LTSE. In the event that there is a problem with one or more of the direct market data feeds, the internal system may switch temporarily to the SIP market data feed for the affected market center(s) while continuing to determine the NBBO using the direct market data feeds for all other exchanges. In the event that Crossfinder operates out of its secondary, disaster recovery site, Crossfinder will use the NBBO as published by the SIP for all market centers. The VWAPX process uses trade messages from the SIP market data feed in its calculations of the VWAP price. The VWAP price for the execution of VWAPX Orders is calculated using all regular trades from the VWAPX Pricing Period (for example, derivatively priced trades are excluded from the VWAP price calculation). Y N N N