ATS-N/UA 0000058056-19-000023 LIVE 0000058056 XXXXXXXX 013-00052 false false SuperX ATS Y DEUTSCHE BANK SECURITIES INC. 008-17822 000002525 FINRA 03/16/1940 DBAX https://autobahn.db.com/microSite/html/superxUS.html 755 Secaucus Road Secaucus 07094 US-NJ false false 1.Global Equities Trading Americas ("GET"): Focuses primarily on executing orders, providing liquidity and carrying inventory to facilitate client demand in listed cash equity products for institutional clients. GET Business Subunits (Capacity): Low Touch Sales and Trading desk, for algorithmic trading, smart order routing, and direct market access (Agency, Principal) High Touch Sales and Trading, including the following desks: Portfolio Trading (Agency) Capital Markets Execution - Private Wealth Management (Agency) Equity Capital Markets (Agency, Principal, Riskless Principal) MPID: DBAB 2. Synthetic Equity Trading Americas: Provides liquidity in synthetic products (swaps, futures, synthetic forwards, ETFs/ETNs, certificates, and notes), hedging the market risk and financial resources associated with these transactions with various financial instruments for institutional clients. MPID: DBAB Order Capacity: Agency 3. Fixed Income and Currencies Americas: Focuses primarily on executing orders, providing liquidity and carrying inventory to facilitate client demand in foreign exchange, rates, credit, and emerging markets debt, convertible securities, equities, and options for institutional clients. MPID: DBAB Order Capacity: Agency, Principal Y N N Deutsche Bank AG: A foreign bank that is the ultimate parent company of Deutsche Bank Securities Inc. (the "BDO"), operator of SuperX ATS, an NMS Stock ATS (the "ATS"). MPID: DBAB Order Capacity: Agency, Principal Y N N Subscribers can opt out of interacting with the BDO's orders in the ATS by requesting to opt out of interacting with a counterparty type or types of the BDO (as defined in Part III, Item 13). BDO counterparty types include DB Agency, DB Principal or Subscribers can request to opt out of interacting with any or all of the specific business units or desks of the BDO described in Part II, Item 1(a). Subscribers may request to opt out of the BDO's orders in the ATS by contacting their assigned BDO high touch or low touch equities sales trader during onboarding or at any other time. A member of the Client Onboarding team will configure the opt-out settings for all subsequent ATS orders, effective next day. Further information on counterparty types can be found in Part III, Item 13. Subscribers can opt out of interacting with a counterparty type or types. As described in Part III, Item 14, Subscribers may request to opt out of interactions with counterparties, including the BDO's Affiliates, by contacting their assigned BDO high touch or low touch equities sales trader during onboarding or at any subsequent time. Y The terms and conditions to access the ATS are the same for all Subscribers submitting orders in the same manner, including Subscribers who are Trading Centers. While there are no formal or informal mutual arrangements between the BDO and Trading Centers to provide minimum levels of liquidity (see response to Part III, Item 12), the following Subscribers, some of which may be Trading Centers, have mutual access agreements with the BDO which may include access to the ATS: Credit Suisse Securities (USA) LLC Goldman Sachs & Co. LLC ITG Inc. Morgan Stanley & Co. LLC UBS Securities, LLC The BDO has arrangements with other Subscribers who may be Trading Centers to access the ATS. The terms and conditions for any Subscriber, including Trading Centers, to access the ATS are described in Part II, Item 5(a). N As a full service broker dealer, BDO provides the following products and services for the purpose of effecting transactions or submitting orders in the ATS: 1. High Touch trading via sales and trading personnel with internal access to the ATS 2. Low Touch trading with external access to the ATS via the Subscriber's Order Management System or Execution Management System ("OMS/EMS") or via FIX connectivity: a. Low Touch algorithmic trading and Smart Order Routing b. Direct market access to liquidity venues, including the ATS, via the BDO's low-latency market connectivity ("Direct Market Access") All of the BDO's customers, including those with access to BDO's High Touch sales and trading personnel, must satisfy requirements of the BDO's onboarding process (including with respect to anti-money laundering requirements). Subscribers with external access to the ATS are also required to sign an electronic trading agreement. Order entry into the ATS by means of the products and services above are further described in Part III, Item 5(c). No market data feed from the ATS is made available externally. Internally, the ATS continuously provides anonymized, aggregated volume to the BDO's Smart Order Routers, as described in Part III, Item 15(b). Y N The BDO does not have employees dedicated solely to servicing its ATS. Certain employees of the BDO who service the operations of the ATS also service the operations of other business units or business subunits of the BDO or its Affiliates ("shared employees"). Shared employees of the BDO or its Affiliates have the following roles and responsibilities in addition to their responsibilities in support of the ATS: 1. Low Touch Sales and Trading: Shared employees of the BDO who service the ATS for the purpose of sales support, trade support, and execution consultation provide the same services to Low Touch clients of the BDO who route orders to the BDO by means of algorithms, Smart Order Routers, and Direct Market Access. These shared employees have access to the ATS order book, executions on the ATS with attribution to counterparties, and Subscriber counterparty opt-out configurations to support their clients with orders on the ATS. 2. Product Development and other IT: Shared employees of the BDO or its Affiliates who service the ATS in Product Development and other information technology roles, implement electronic trading solutions for all clients of the BDO. These shared employees have access to the ATS order book, executions on the ATS with attribution to counterparties, and Subscriber counterparty configurations to support the BDO's ATS offering. Some shared employees of Product Development and other IT roles are employed by DB USA Core Corp., a BDO Affiliate, rather than the BDO itself. 3. Low Touch Technical Trade Support: Shared employees of the BDO or its Affiliates who provide technical trade support to the ATS also provide technical trade support to the Low Touch Sales and Trading desk. These shared employees have access to the ATS order book, executions on the ATS with attribution to counterparties, and Subscriber counterparty configurations to support Low Touch Sales and Trading. Some shared employees of Low Touch Trade Support are employed by DB USA Core Corp., a BDO Affiliate, rather than the BDO itself. 4. Operations: Shared employees of the BDO or its Affiliates who service the ATS for the purpose of clearance, settlement, client onboarding, and finance operations also service the BDO's other businesses in the same capacity. Shared employees performing these roles include members of the Client Onboarding team. These shared employees have access to executions on the ATS with attribution to counterparties to provide operational support for the BDO's ATS offering. Some shared employees performing Operations roles are employed by DB USA Core Corp., a BDO Affiliate, rather than the BDO itself. 5. Legal and Compliance: Shared employees of the BDO or its Affiliates who provide legal and compliance service the ATS also service the BDO's other businesses in the same capacity. These shared employees have access to the ATS order book, executions on the ATS with attribution to counterparties, and Subscriber counterparty configurations to provide legal and regulatory guidance for the BDO's ATS and to ensure compliance with all relevant regulations, policies, and procedures. Some shared employees of Legal and Compliance are employed by Deutsche Bank AG or DB USA Core Corp., BDO Affiliates, rather than the BDO itself. 6. SuperX Working Group Members of the BDO's SuperX Working Group meet to discuss business, technical, operational, and regulatory issues related to the ATS, and belong to the functional areas described above, or are senior managers responsible for the BDO's equities trading business as a whole, including the ATS. Members of the Working Group are shared employees who service other business units or business subunits of the BDO. These employees have access to the ATS order book, executions on the ATS with attribution to counterparties, and Subscriber counterparty configurations, to make business, technology, and regulatory decisions related to the ATS. Some members of the SuperX Working Group are employed by Deutsche Bank AG or DB USA Core Corp., Affiliates of the BDO, rather than the BDO itself. The ATS is hosted by Equinix Inc., which operates the Equinix NY4 Data Center. Equinix does not have access to Subscriber confidential trading information within the ATS. N The BDO complies with Reg ATS Rule 301(b)(10) by implementing written safeguards and procedures to protect Subscribers' confidential trading information. These safeguards and procedures include restricting access to systems, or to certain application entitlements, to employees with a strict "need to know" with respect to confidential trading information, and implementing controls for shared employees of the ATS trading for their own or the BDO's accounts. The BDO also has oversight procedures to ensure that these safeguards and procedures are followed. In addition, the BDO complies with Rule 303(a)(1)(v) by preserving a copy of a written procedure that refers to safeguards and procedures to protect Subscribers' data, including the written procedures for overseeing those safeguards. The BDO's ATS resides on dedicated application servers under a common datacenter shared across the BDO's US Equities Execution Platform. Access to the production application servers is managed via a third party Endpoint Privilege Management System ("EPMS"). The EPMS was implemented by the BDO to protect privileged accounts, prevent and control breaches, and achieve compliance on UNIX and Linux systems within the BDO's environment. The SuperX ATS utilizes databases to record order and transaction information. Access to the databases that contain Subscriber confidential trading information is restricted, for "write" and "update" privileges, to production accounts only. Access of the Application Support and Development teams to the databases is restricted to "read only." A very limited number of employees of the BDO and Affiliates of the BDO have access to systems, or to certain application entitlements, containing confidential trading information in the ATS. As described in Part II, Item 6(a), certain shared employees have access to confidential trading information in the ATS to fulfill such functions in support of the ATS. A very limited number of Business and Production Support employees are granted access to an administrative interface with a view into confidential trading information in the ATS. Access to the interface is requested via a standardized proprietary approval workflow tool, and limited by the SuperX Working Group via assignment of employees to a predefined set of user profiles, based on the employee's role. Access privileges follow the BDO's "need to know" and "least privilege" principles. Low Touch Sales and Trading employees (as defined under Part II, Item 6(a)) utilize this interface for client coverage purposes, which allows them to view real-time subscriber order and trade information, cancel client orders, and perform other business related support functions. Client coverage employees do not have "modify" access to the interface -- such privilege is limited to employees in ATS support roles described in Part III, Item 6(a). No other shared employees (as described in Part II, Item 6a), have access to the interface data. A periodic report on user access privileges to the ATS administrative interface is system generated and auto-distributed to appropriate employees for review and challenge. In addition to access controls specific to the ATS, the BDO's Chief Information Security Office has developed an Identity and Access Governance framework, which includes a bank-wide end-user access recertification framework including enterprise-wide tools that certify critical Deutsche Bank applications and infrastructure data. The BDO considers the following to be "confidential trading information" of the ATS: The identity of Subscribers, their data on the Order Book, attributable Subscriber execution data (with the exception of post-execution transaction information typically of the type made public under reporting rules or regulations, and quarterly aggregated execution data published on the BDO's ATS website and referenced in Part III, Item 26), the identity of a Subscriber's counterparty type, and any settings that control a Subscriber's interactions with other counterparty types and individual counterparties. Restrictions on access to confidential trading information in the ATS are maintained by enforcement of the policies and procedures described below: a. DB Group Information Security Policies and Procedure: "Information Security Policy - DB Group," "Information Security Controls - DB Group," "Information Security Controls for the Information Lifecycle - DB Group," "Information Security Controls for Identity and Access Management - DB Group," "Information Security Controls for IT Assets - DB Group." b. A written procedure for implementing safeguards and procedures to protect Subscribers' confidential trading information in the ATS, which references the safeguards and procedures below. c. An Information Barriers Policy based on the "need to know" principle. The policy states that a "need to know" is limited to, among other conditions, information required by the recipient to participate in, and contribute to, a given transaction applicable to the employees of the BDO and its Affiliates generally. The "need to know" basis for access to confidential ATS Subscriber information by Shared employees of the BDO, including their respective roles and responsibilities are described in Part II, Item 6(a). d. A policy outlining principles for physical and technological segregation based on the "need to know" principle applicable to the employees of the BDO and its Affiliates. e. An Employee Trading Policy restricting employees from transacting when in possession of material non-public Price Sensitive Information applicable to the employees of the BDO and its Affiliates generally. The Personal Account Dealing Policy establishes the minimum global standards for the controls and restrictions over personal investment and trading Activity ("Personal Account Dealing"). Deutsche Bank staff, including shared employees of the BDO, or its Affiliates (as described in Part II, Item 6a) are required to disclose to Compliance all accounts with the ability to hold or transact in financial instruments of any kind. The mandatory disclosure applies to accounts in the name of the member of staff or for his/her benefit, accounts for which the member of staff has power to enter trades or exercise discretion. Staff members are required to make such account disclosures via the Employee Trading Request Application ("ETRA"). All accounts must be disclosed prior to requesting approval to trade, and new employees are required to disclose accounts within 30 days of joining the BDO. Typically, employee personal trading accounts are required to be held with a designated broker, to allow the BDO to conduct ongoing monitoring of employee trading activity. Oversight procedures designed to ensure that the above written safeguards and procedures are followed are: a. Employee Trading Compliance supervisory procedures related to employee trading, which require employees to obtain pre-approval for personal trading, adhere to holding periods, make attestations prior to executing a personal trade regarding possession of material non-public information, and adhere to the BDO's restricted securities list applicable to the employees of the BDO and its Affiliates. b. Procedures for managers and administrators to oversee user access to IT applications (including assigning, withdrawing, administering and recertifying access), based on the principles of least privilege (i.e., a user should have only those access rights minimally necessary to perform authorized tasks) and segregation of functions (i.e., a single user should never have access rights that allow for the execution of incompatible tasks) applicable to the employees of the BDO and its Affiliates generally. Thus, a new employee assigned exclusively to one of the BDO's High Touch trading desks would be denied access to databases and systems, or denied entitlements to applications, with confidential ATS trading data. Also, a shared employee of the ATS with access to confidential trading information who then leaves the BDO or changes roles within the BDO where the new role lacks a "need to know" with respect to confidential trading information on the ATS, would have their access to databases and applications with confidential ATS trading information revoked. c. Reviews by the SuperX Working Group of users with access to the confidential trading information of Subscribers to the ATS. In these reviews, the Working Group confirms the relevant applications and data sources that supply Subscriber confidential trading information, and reviews and validates the list of users of those data sources who are entitled to view confidential trading information of the ATS. N The only personnel who have access to Subscriber confidential trading information are the shared employees of the BDO or its Affiliates. Such shared employees, their respective roles and responsibilities, the type of information they can access, as well as the reasons for that access, are described in Part II, Item 6(a). Investment Companies Issuers Brokers Asset Managers Principal Trading Firms Hedge Funds Market Makers Banks Dealers N All ATS Subscribers must be qualified entities that pass the BDO's standard Know-Your-Customer procedures and other vetting processes (e.g., reputational risk, uncommon counterparties) and satisfy such credit and other operational criteria the BDO may establish from time to time for the BDO's brokerage clients generally. All ATS Subscribers will be subject to due diligence, including review of the criteria listed in Part III, Item 13(a), to determine counterparty type assignment. The terms and conditions required to access the ATS vary by means of access: External (Low Touch) Subscribers (as described in Part III, Item 5(c)) with access the ATS via BDO's algorithmic trading strategies, smart order routers, or by directing orders to the ATS via Direct Market Access, must also have satisfactory technical and functional specifications to connect with the BDO's electronic trading platform in line with the BDO's other brokerage clients that connect with the BDO's electronic trading platform. Such Subscribers are also bound by relevant contractual agreements (generally titled an Electronic Trading Service Agreement) for connecting to the BDO's electronic trading platform, subject to the BDO's policies relating to the administration and documentation of such agreements, which describe the manner in which a client may access the BDO's electronic trading platform, including access to the ATS. Such agreements also require External Subscribers to agree to (a) only use the relevant services in compliance with applicable laws and regulations, (b) maintain appropriate security measures, and (c) each party's responsibilities with respect to the relevant services to be provided. Subscribers who are broker-dealers with direct connectivity to the ATS ("Liquidity Partners") must be able demonstrate that they are broker-dealers registered with the United States Securities and Exchange Commission and be able to interact with the ATS in accordance with the BDO's technical and functional specifications for direct interaction with the ATS. Such Subscribers are also bound by relevant contractual agreements (generally titled an Electronic Trading Service Agreement) for connecting to the ATS, subject to the BDO's policies relating to administration and documentation of such agreements, which describes the manner in which a client may access the ATS directly, and may include terms relating to access to the BDO's electronic trading platform. Such agreements also require External Subscribers to agree to (a) only use the relevant services in compliance with applicable laws and regulations, (b) maintain appropriate security measures, and (c) each party's responsibilities with respect to the relevant services to be provided. Such Liquidity Partner Subscribers will also be subject to additional due diligence by the BDO. Y Y BDO's SuperX Working Group meets to review Subscriber activity (in aggregate and within each counterparty type), analyze any material changes in behavior, identify Subscriber behavior that may represent heightened risk to the BDO and/or the ATS (e.g., potentially manipulative trading or other conduct that may violate the terms and conditions of the ATS), and take appropriate follow-up actions. These may include engaging in conversations with the Subscriber regarding their trading activity, changing a Subscriber's counterparty type (as described in Part III, Item 13), up to and including the Subscriber's exclusion from the ATS. Subscribers that have been off-boarded as clients of the BDO will also be excluded from accessing the ATS through the connectivity channels offered by the BDO. Y The ATS will begin to accept orders at 8:00 AM Eastern Time. Matching occurs from 9:30 AM up to 4:00 PM Eastern Time. The ATS will not match orders in a symbol until it is open on its primary exchange. The ATS follows the holiday calendar of the New York Stock Exchange. Y Liquidity Partners may enter orders directly into the ATS via the FIX 4.2 protocol. External Subscribers directing orders to the ATS via the BDO's Direct Market Access ("DMA") platform may not directly enter orders into the ATS but may enter orders into the DMA platform via a separate FIX 4.2 session. In such case the External Subscriber will submit the order into the DMA platform utilizing a distinct FIX session and then the DMA platform will connect to and enter the order into the ATS via a separate FIX session. Proprietary protocols are not available. Y Order Entry into the ATS is either by internal (High Touch) or external (Low Touch) means. Individual Subscribers may have multiple access points into the ATS, including both High Touch and Low Touch channels, due to relationships with multiple business units of the BDO or the BDO's relationships with multiple business units of such Subscriber. Internal Order Entry: Certain High Touch BDO sales and trading personnel have the ability to enter orders into the ATS, on behalf of their clients in an Agency capacity, and for the BDO's principal account in a Principal or Riskless Principal capacity through BDO's existing order and execution infrastructure only. Orders can be entered by these sales and trading personnel in one of two ways prior to reaching the ATS. In the first scenario, a sales and trading employee can enter the customer order via the BDO's various algorithmic trading strategies which will then utilize the BDO's smart order routers ("SOR") to direct the order to a market center, where the BDO's ATS is one among many possible final destinations. In the second scenario, the sales and trading employee can send the order directly to the SORs, which in turn can elect to direct the order to the BDO's ATS as the final destination. In either scenario, the order will always utilize the SORs to make the trading venue routing decision. External Order Entry: External Subscribers trading via Low Touch electronic means may enter orders into the ATS using the Subscriber's own proprietary or third party OMS/EMS or via FIX connectivity by: (i) connecting directly to BDO's various algorithmic trading strategies and smart order routers; (ii) directing orders to the ATS via FIX connectivity to the BDO's low-latency Direct Market Access platform; or, (iii) if the Subscriber is a Liquidity Partner, via direct FIX connectivity. Connectivity to the ATS via the BDO's Direct Market Access platform or, for Liquidity Partners, via direct connectivity, are the lowest latency routes to the ATS. All BDO customers, including those with access to BDO's High Touch sales and trading personnel who route orders internally to the ATS via the BDO's algos and smart order routers, must satisfy requirements of the BDO's onboarding process (including with respect to anti-money laundering requirements). External Subscribers are also required to sign an electronic trading agreement, as described in Part III, Item 2(b). Y Subject to BDO approval (separate from the Subscriber onboarding process described in Part III, Item 5(c)) and to the terms and conditions of the data center, Subscribers may request a cross-connect to the ATS. The ATS offers a 1 or 10 GbE fiber cross-connect option from the Subscriber's cage to the BDO's cage in the Equinix NY4 data center. Equinix is responsible for implementing the physical connection. External Subscribers that have direct connectivity to the ATS, either as Liquidity Partners or via the BDO's Direct Market Access platform, are bound by relevant contractual agreements (generally titled an Electronic Trading Service Agreement) for connecting to the ATS, subject to the BDO's policies relating to administration and documentation of such agreements. The Agreement describes the manner in which a client may access the ATS directly, and may include terms relating to access to the BDO's electronic trading platform. Such agreements also require such External Subscribers to agree to (a) only use the relevant services in compliance with applicable laws and regulations, (b) to maintain appropriate security measures, and (c) each party's responsibility with respect to the relevant services to be provided. Such clients will also be subject to additional due diligence by the BDO prior to becoming an ATS Subscriber. The BDO does not host trading on its ATS within its hardware in the NY4 data center. Y N N The ATS supports three order types, each of which is available across all forms of connectivity. Each order type may have a Time-in-Force of Day or Immediate or Cancel (IOC). If an order is not marketable upon entry, it will either cancel immediately (if designated IOC), or rest on the book as a Day order until either executed, cancelled by the Subscriber or expired by the ATS at the end of the trading day. Supported Order Types: 1. Priced limit orders 2. Pegged orders: Limit price is derived dynamically from the current NBBO. Subscribers may include an optional absolute limit price above/below which a pegged buy/sell order will not execute. Pegged order types include: a. Midpoint peg orders: Pegged to the midpoint of then-current NBBO b. Market peg orders: Pegged to the opposite side of the market (buy/sell at then-current national best offer/bid) c. Primary peg orders: Pegged to the near side of the market (buy/sell at then-current national best bid/offer) Pegged orders do not receive a new time stamp if the order price is dynamically adjusted due to a change in NBBO. 3. Market orders: Buy/sell at then-current national best offer/bid, or better Pursuant to SEC Regulation NMS, for orders priced greater than $1.00, the ATS will neither accept orders priced in sub-pennies, nor will it accept orders that would explicitly lead to a sub-penny price (e.g., peg to inside bid plus 0.5 cents). However, the ATS will accept orders with a price target that potentially could lead to a sub-penny execution price (e.g., a midpoint peg order in a stock that has a one cent spread). The ATS supports the following order parameters: 1. MinQTY: Represents the minimum contra-side order quantity. All Subscribers may include MinQTY on an order-by-order basis. The ATS does not aggregate orders to meet MinQTY. By default, where leaves quantity is less than MinQTY, MinQTY is reduced to leaves quantity. During or after onboarding, a Subscriber may contact their sales representative to configure their MinQTY orders to cancel the leaves quantity in this scenario. 2. Time-In-Force: a. Immediate or Cancel (IOC) - The order will match with eligible resting contra-side orders and cancel back the balance. b. Day - The order will remain in the book until it is canceled, completely filled, or until the market closes at 4:00 PM. The ATS does not route orders or transmit indications of interest to any destination. Orders will only be accepted (and executed subject to matching conditions), cancelled by the order originator, or expired by the ATS at the end of the trading day. The ATS does not support post-only orders or orders with discretionary price ranges. The ATS will not combine orders or replace orders on an unsolicited basis. The BDO may remove ("bust") certain executions. For example, when the primary exchange makes a determination of clearly erroneous executions or, upon subscriber request and under certain limited circumstances such as when the Subscriber is on both sides of a cross and inadvertently crossed itself in the ATS. See the Error Handling section of Part III, Item 11(c). The ATS establishes order rank and execution priority strictly on a price-time basis. Order types and parameters will influence the price, priority, conditions, time stamp, and other attributes related to an order's potential for execution only inasmuch as the order types and parameters determine the theoretical matching price of an order (where the potential execution price of a buy order is greater than or equal to the lowest potential execution price of a sell order, limited by the NBBO and LULD bands), as described in Part III, Item 11(c). Y The minimum order size is one round lot (typically 100 shares). Orders entered into the ATS through directly by Liquidity Partners are subject to client-specific maximum order size limits, i.e., maximum shares and maximum notional value per order. Orders that reach the ATS through BDO's algorithms, smart order routers, or the BDO's low-latency Direct Market Access platform are subject to client-specific maximum order size limits pursuant to SEC Rule 15c3-5 (Market Access Rule). Y N If the ATS receives a mixed lot order, the ATS will execute the round lot portion and cancel back the odd lot shares to the system that originated the order. Y N Prior to the open: As described in Part III, Item 4(a), the ATS will begin to accept Day orders at 8:00 AM Eastern Time, but will not match or execute orders in a symbol until the symbol is open on its primary exchange. When a symbol is open on its primary exchange, the ATS will rank priority on the ATS Order Book (defined in Part III, Item 11(c)) first by price and then by time. The ATS Matching Algorithm will then begin to match and execute orders as described in Part III, Item 11(c). Prior to a reopening: When trading in a symbol is halted during the trading day, the ATS Matching Algorithm will cease to match orders in the symbol. All pending orders will remain in the Order Book unless cancelled by the order originator. During the halt, the ATS will continue to accept orders and queue them in the Order Book. Upon the symbol's reopening on its primary exchange, the ATS will rank priority on the ATS Order Book first by price, and then by time. The ATS matching algorithm will then begin to match and execute orders as described in Part III, Item 11(c). Y As described in the response to Part III, Item 10(a): At the start of regular trading, when a symbol is open on its primary exchange, the ATS will rank priority on the ATS Order Book first by price and then by time. The ATS Matching Algorithm will then begin to match and execute orders, as described in Part III, Item 11(c). Upon a symbol's reopening following a trading halt, the ATS will rank priority on the ATS Order Book first by price, and then by time. The ATS matching algorithm will then begin to match and execute orders as described in Part III, Item 11(c). Y N The ATS is an automated, continuous, price/time limit order matching book for NMS Stocks, with the exception of symbols on the Stopped Symbol List and other conditions under which trading is suspended, as described in Part III, Item 20. The ATS is comprised of an order book (the "ATS Order Book" or "Order Book") and a matching algorithm (the "ATS Matching Algorithm" or "Matching Algorithm"). The Order Book and Matching Algorithm rely on rules-based logic (See Part III, Item 11(c)), Subscriber selected order parameters (See Part III, Item 7(a)) and counterparty selection and other configurations as described in Part III, Item 14(a). Y The ATS establishes priority on the Order Book first by price and then by time. Multiple orders executable at the same price will be ranked on the Order Book on a first-in-time basis. Subscribers and the BDO do not otherwise gain matching preference. The ATS includes only one pool of liquidity in which orders are matched in strict price/time priority; for example, it is not possible to rank in order of counterparty type. Orders accepted by the ATS include Agency, Principal, and Riskless Principal capacities. Riskless Principal orders are the result of the BDO's facilitation of client orders, where the riskless leg of the order is executed in the marketplace at the same price as the price given to the client by the BDO. The ATS does not consider order capacity in its determination of order priority. For the purposes of determining Order Book priority, in compliance with Regulation NMS Rule 612, the ATS calculates an order's theoretical execution price by rounding the order to the nearest permissible increment, within the NBBO. For orders priced greater than or equal to $1.00 having a price with more than two decimal places, the ATS will round the price in the Order Book as follows: Buys will round down to two decimal places; sells will round up to two decimal places. For orders in NMS Stocks priced less than $1.00, the theoretical execution price is limited to four decimal places, and the ATS will round the price in the Order Book as follows: Buys will round down to four decimal places; sells will round up to four decimal places. Queue position cannot be improved through sub-tick-increment limit prices or setting the limit price of an order through the far touch. With respect to time prioritization on the Order Book, any Subscriber or BDO modification to an existing order results in that order receiving a new time stamp associated with the time of the modification, thus potentially changing the priority of that order in the Order Book. Pegged orders do not receive a new time stamp if the order price is dynamically adjusted due to a change in NBBO. Time stamping is in microsecond intervals. The Matching Algorithm reviews the Order Book for potential executions (crosses). Subject to Subscriber preferences (e.g., counterparty interaction restrictions; see Part III, Item 13), a cross in the ATS will only be possible when liquidity on the Order Book is available for both buy orders and sell orders and the theoretical execution price for buy orders is greater than or equal to the lowest theoretical execution price for sell orders, limited by the NBBO and LULD bands. Price improvement, where available, will be fully assigned to the liquidity remover, i.e., the second order to arrive in the Order Book resulting in a cross. If the theoretical execution price of a buy order is greater than the lowest theoretical execution price of a sell order, the execution price will favor the liquidity remover over the liquidity provider, whichever side the liquidity remover is on. Thus, for example, if the NBBO for XYZ stock is 10.00 - 10.02, a liquidity providing market peg order to buy will cross with a liquidity removing market peg order to sell at 10.02. The liquidity remover receives full price improvement. An IOC order is a liquidity removing order. For the same NBBO, a resting (Day) limit order to sell at 10.00 will cross with a midpoint peg IOC order to buy at 10.00. The ATS ensures that all crosses are executed at prices at or within the prevailing consolidated NBBO. This is because the theoretical execution price of an order submitted to the Order Book is limited by the NBB or NBO as applicable. Therefore, pricing an order through the NBBO does not affect price improvement calculations. The ATS Matching Algorithm will not run as long as any of the exceptions below are in effect. Throughout the duration of a Matching Algorithm Exception, the Order Book will continue to accept new orders, as well as cancel or replace requests for existing orders. However, throughout the exception, the Matching Algorithm will be disabled, and IOC orders will be cancelled after they are placed on the Order Book. On the other hand, Day orders will remain on the Order Book for the remainder of the trading day until cancelled or replaced by the client. Matching Algorithm Exceptions: 1. A trading halt exists in the name's primary market 2. The market is crossed, i.e. NBO < NBB, or 3. The market data quote received by the ATS is stale for more than a specific amount of time. This parameter is configurable and determined by the BDO. The ATS will continue to maintain the Order Book even when a Matching Algorithm exception is in effect. Other procedures governing trading: Short sales: Stocks subject to the Reg SHO Rule 201 short sale restriction will trade in the ATS only at a price greater than the current national best bid, unless an exception applies. Short sale orders, except those exempted under Reg SHO Rule 203, must be accompanied by a Locate Broker ID. Locked markets: In a locked market (NBO=NBB), the Matching Algorithm will operate but orders will only cross if both the buyer and seller have opted in to crossing in a locked market. Handling of execution errors: Execution errors in the ATS will be handled in the same manner as any other execution error, as set forth in the BDO's internal Error Handling policy. Manual or system-generated errors caused by the BDO will be moved to a principal account for risk management by the BDO. Generally, Subscriber errors (e.g., if a Subscriber routed a sell order to the ATS instead of an intended buy order) cannot be moved to a principal account. Under certain limited circumstances, when a Subscriber is on both sides of a cross and inadvertently crossed itself in the ATS, the BDO may remove ("bust") the buy and sell orders participating in the cross, as described in Part III, Item 7(a). The ATS will continue to accept limit orders priced outside LULD bands but will not cross outside the bands. For pegged orders, the ATS will replace all current references to NBB/O with: Adjusted NBB = Maximum of (NBB, Limit Down) Adjusted NBO = Minimum of (NBO, Limit Up) This will result in the following behavior under these market conditions: a. Normal Condition (NBB>=LD and NBO<=LU): Matching will occur as prior to LULD b. Limit state (NBB=LU or NBO=LD): Orders will match at LU or LD, if the client has chosen to participate in a "LULD locked market" c. Straddle - Two types of scenarios: 1. LU straddle (NBO>LU and NBB<LU and NBB>=LD): Orders will match at or within NBB and LU (i.e. NBO is replaced by LU) 2.LD straddle (NBB<LD and NBO>LD and NBO<=LU): Orders will match at or within LD and NBO (i.e. NBB is replaced by LD) d. Super straddle (NBB<LD and NBO>LU): Orders will match between LD and LU e. NBBO outside bands - (NBO<LD or NBB>LU): No matching, as this scenario should not occur. Y N For the purpose of counterparty type selection, the ATS segments Subscribers by counterparty type. Upon onboarding, the BDO assigns each External Subscriber a counterparty type based on the Subscriber's business model (e.g., Liquidity Partner; traditional asset manager; quantitative market maker), expected trading style (e.g., aggressive vs. passive orders; IOC vs. Day orders), and other quantitative and qualitative factors. A single Subscriber may be assigned to multiple counterparty types. If the External Subscriber is a Liquidity Partner, they will be assigned to one or more of the following counterparty types: LP Exchanges: Liquidity Partners associated with NMS stock exchanges with direct connectivity to the ATS that send order flow routed out from an exchange. LP Market Maker: Liquidity Partners that are proprietary trading firms. While these Subscribers do not have any market making obligations on the ATS, some or all of their order flow may be considered "market making" as determined by BDO based on Subscriber's trading style. LP Institutional: Liquidity Partners that are not LP Exchanges or LP Market Makers and that connect to the ATS through direct connectivity. LP IOC: Liquidity Partners that, in the judgment of BDO, send a high proportion of IOC orders, or functionally equivalent Day orders. (Liquidity Partners classified as LP IOC are also members of either LP Institutional, LP Exchanges or LP Market Maker.) For orders from External Subscribers who are not Liquidity Partners and for orders generated by business units of the BDO, the counterparty types are: DB Agency: Agency client flows originating from the BDO's algorithms, smart order routers, and the BDO's low-latency Direct Market Access platform. DB Principal: BDO's Principal and Riskless Principal flows, including market making, client facilitation, and principal risk management. The counterparty selection assignment is subject to subsequent periodic reviews by the SuperX Working Group. Based on changes in the Subscriber's historical trading activity or an intended change in business model or trading style, the Working Group may determine that a Liquidity Partner Subscriber's initial counterparty selection type requires reassignment to a different type. As described in Part II, Item 3(a), a Subscriber may request that its orders not be crossed with orders from particular counterparty segments. A Subscriber's assignment to a particular counterparty segment does not impact how the Subscriber's orders are prioritized in the ATS's Order Book, as described in Part III, Item 11(c). Y The ATS discloses a Subscriber's classification only to that Subscriber, first upon onboarding and later upon request. In addition, if the SuperX Working Group modifies a Subscriber's counterparty type, the BDO will notify the Subscriber. For example, the BDO may inform a Subscriber that the Subscriber belongs to both the LP Institutional and the LP IOC counterparty types. The designated classification cannot be contested. Y Y Subscribers can opt out of interacting with a counterparty type or types (as defined in Part III, Item 13) as well as individual counterparties. BDO counterparty types include DB Agency, DB Principal or Subscribers can request to opt out of interacting with any or all of the specific business units or desks of the BDO described in Part II, Item 1(a). Additionally, Subscribers can enable self-cross prevention, which blocks a Subscriber from matching against its own orders. Subscribers may request to opt out of counterparty interactions by contacting their assigned BDO high touch or low touch equities sales trader during onboarding or at any other time. A member of the Client Onboarding team will configure the opt-out settings for all subsequent ATS orders, effective next day. The BDO will not disclose to Subscribers the names of individual counterparties that may route orders to the ATS. Further information on counterparty types can be found in Part III, Item 13. Y N The ATS does not display order price or order volume data of specific Subscriber orders to any Person. However, the ATS provides anonymized, non-attributable, aggregated volume by symbol internally to the BDO's smart order routers. The aggregated data is limited to the total quantity available in the ATS Order Book, per symbol, at the NBBO. Only the BDO's smart order routers ("SORs") can receive the continuous data. Outside of the SORs, this aggregated data is not shared anywhere else, either internally or externally. To the extent an order is routed through the BDO's SORs, such SORs will have order information regarding orders that it has routed to the ATS. Y N N Y N Transaction fees for orders directed to the ATS from Liquidity Partners range from 5 to 10 cents per 100 shares. Transaction fees for orders directed to the ATS from subscribers who are not Liquidity Partners range from 0 to 10 cents per 100 shares. Variables that may impact Subscriber fees include quantitative and qualitative factors such as expected and historical volume of trading, trading style (e.g. aggressive vs. passive orders; IOC vs. Day orders), and the overall business relationship of the Subscriber with the BDO and/or its Affiliates. Factors relating to the overall business relationship of the Subscriber with the BDO and/or its Affiliates that may impact fees include, but are not limited to, the number of strategy customizations and the anticipated level of support services required in addition to ATS services. In addition, for Liquidity Partners connecting directly to the ATS, there is a monthly inactivity fee of $200 for each FIX session on which less than one million shares has been executed. With the exception of Liquidity Partners and certain subscribers directing orders to the ATS, the BDO generally charges its clients negotiated per-share or basis points commission rates for access to multiple trading venues and other services such as trading, market commentary, research, and corporate access, rather than charging a fee for access to the ATS itself. Variables that impact negotiated commission rates include quantitative and qualitative factors such as expected and historical volume of trading, trading style, and the overall business relationship of the Subscriber with the BDO as described in Part III, Item 19(a). In addition to a negotiated commission rate for access to multiple venues and other services, a single Subscriber trading over multiple channels (e.g. a Subscriber with both asset management and broker dealer businesses) may be charged a separate transaction fee for orders directed to the ATS, as described in Part III, Item 19(a). Rebates for executions on the ATS are not provided. As described in the response to Part III, Item 11(c), the ATS Matching Algorithm will not run as long as any of the exceptions below are in effect. Throughout the duration of a Matching Algorithm Exception, the Order Book will continue to accept new orders, as well as cancel or replace requests for existing orders. However, throughout the exception, the Matching Algorithm will be disabled, and IOC orders will be cancelled after they are placed on the Order Book. On the other hand, Day orders will remain on the Order Book for the remainder of the trading day until cancelled or replaced by the client. Matching Algorithm Exceptions: 1. A trading halt exists in the name's primary market; 2. The market is crossed, i.e. NBO < NBB; or 3. The market data quote received by the ATS is stale for more than a specific amount of time. This parameter is configurable and determined by the BDO. The ATS will continue to maintain the Order Book even when a Matching Algorithm exception is in effect. The ATS can, at its sole discretion, stop trading symbols for, among other reasons, approaching Regulation ATS Fair Access and Regulation SCI volume thresholds. The ATS maintains a Stopped Symbol List on its public website. Orders for these symbols will be rejected. If the ATS experiences a system disruption or system compliance issue, the ATS may reject all or a subset of orders. Y All transactions executed in the ATS, other than crosses between two BDO principal orders of the same aggregation unit, or between two principal orders of a single non-asset management affiliate of BDO, will be considered over-the-counter transactions reportable by DBSI as a "Reporting Party" (as such term is defined in FINRA Rule 7210A(i)) to the FINRA/Nasdaq Trade Reporting Facility (TRF), in accordance with FINRA Rule 7230A. Y As a self-clearing broker-dealer, the BDO will provide for the clearance and settlement of transactions executed on the ATS in the same manner as it would with similar transactions it engages in as principal or agent with its clients and counterparties outside of the ATS. The BDO submits all trades on the ATS for clearing at NSCC with settlement facilitated by DTC. Transactions of Liquidity Partner Subscribers typically clear by means of the Automated Confirmation Transaction (ACT) system. This is an industry wide system used for clearing trades between two counterparties. Either the AGU/Attachment 2 or Qualified Service Representative (QSR) paperwork must be in place. These agreements allow the ATS, as the executing broker, to automatically lock in the clearing to the participant over the ACT system to be processed by NSCC. Additionally, clearing may be facilitated by means of NSCC Correspondent Clearing (9A/9B). Settlement is then done by DTCC through the Continuous Net Settlement (CNS) process. Y The ATS uses direct exchange feeds as its primary source of NBBO for all protected quotes on NMS stock exchanges and for regulatory status. The ATS utilizes this market data to price orders, establish order priority on the book, and execute orders in compliance with applicable rules and regulations (e.g. Reg SHO, Reg NMS). The ATS Matching Algorithm also uses market data to evaluate and process various exceptions as described in Part III, Item 11(c). In the event of a disruption in the direct exchange feeds, the ATS uses the Securities Information Processor (SIP) feeds as a secondary source of market data. Y N N true true