ATS-N/MA 0000753835-24-000009 LIVE 0000753835 XXXXXXXX 013-00187 false false BNPP Cortex ATS Y BNPP Cortex ATS is submitting a material amendment for Part III Item 13(a) to reflect for non-close, non Midpoint Peg and Non Trajectory cross orders, Cortex ATS will apply a dynamic recategorization model for orders from SUbscribers assigned to counterparty groups 4 or 5 as described in tem 14. These changes apply to all Subscribers and the Broker-Dealer Operator. Y BNP PARIBAS SECURITIES CORP. 008-32682 000015794 FINRA 10/18/1984 BNPX https://globalmarkets.cib.bnpparibas/cortex-equities/cortex-ats/ 755 Secaucus Road Secaucus 07094 US-NJ false false For purposes of this document, the term "Institutional Client" shall mean "institutional Account," as that term is defined under FINRA Rule 4512(c). For the purposes of this document, unless otherwise noted, the term "order(s)" shall mean order types offered in the Cortex ATS and desfribed in part III, Item 7(a). 1. Prime Services and Financing ("PS&F") Global Execution Services Americas: Low touch sales trading focusing primarily on executing orders via algorithmic trading, smart order routing and direct market access in listed cash equity products and options for institutional clients. MPID:BNPS. Order Capacity: Agency. 2. Equities and Derivatives ("EQD") Delta 1 Forwards Trading Americas: Provides liquidity in synthetic products (swaps, futures, forwards, options, synthetic forwards, ETFs/ETNs, certificates, and notes) for institutional clients. The desk hedges the market risk and financial resources associated with these transactions with various financial instruments, including stocks, options, and futures. MPID:BNPS. Order Capacity: Agency, Principal, and Riskless Principal. 3. EQD Convertible Securities Trading Americas: Provides liquidity to facilitate institutional client demand in cash equity, fixed income, and convertible securities. The desk hedges the market risk and financial resources associated with these transactions with stocks/indices, CDS/indices, bonds, recovery CDS Swaps, options, interest rate products (e.g., Eurodollar, Treasury Futures), and other volatility instruments. MPID: BNPS. Order Capacity: Agency, Principal, and Riskless Principal. 4. EQD Index Trading Americas: Provides liquidity and executes derivative transactions (swaps, options, futures, forwards, etc.) with institutional clients on customized products linked to index underlyings. The desk also responds to requests for quotes from clients to buy or sell derivatives linked to U.S. equity indices. Furthermore, the desk trades customized and/or structured derivative products with institutional clients in response to their needs for capital protection, yield and diversification. MPID: BNPS. Order Capacity: Agency, Principal, and Riskless Principal. 5. EQD Stock Exotics Americas: Provides liquidity in customized and exotic products to institutional clients using various issuance vehicles. The desk responds to requests for quotes from clients, providing liquidity to buy or sell OTC derivatives and other products presenting non-vanilla features. The desk hedges market risk and financial resources associated with these transactions using a combination of stocks, options, and futures. MPID:BNPS. Order Capacity: Agency, Principal, and Riskless Principal. 6. EQD Stock Flow Americas: provides liquidity, responds to requests for quotes, and executes derivative transactions with institutional clients on U.S. single stocks and ETFs. The desk hedges market risk and financial resources associated with these transaction using a combination of stocks and options. MPID: BNPS. Order Capacity: Agency, Principal, and Riskless Principal. 7. EQD ETF / High Touch Cash Trading Americas: Provides liquidity t institutional clients in cash equities and ETFs. The desk hedges market risk and financial resources associated with these transactions using baskets of stocks, ADRs, and various exchange-traded derivatives, including futures. MPID: BNPS. Order Capacity: Agency, Principal, and Riskless Principal. 8. EQD Automated Market Making - Options Americas: Provides liquidity to the public markets by posting two sided quotes in exchange listed options referencing the S&P 500 index. MPID: BNPS. Order Capacity: Principal. 9. PS&F Prime Services Sales and Trading Americas: Effects transactions in long and short swaps to assist institutional clients in achieving leverages returns of single stocks and/or target indices/ETF. MPID: BNPS. Order Capacity: Agency, Principal, and Riskless Principal. 10. Fixed Income and Currencies Americas: Focus 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: BNPS. Order Capacity: Agency, Principal, and Riskless Principal. Trajectory Cross will only be available to indirect subscribers via BDOs internal algos and Smart Order Routers. N N BNP Paribas Securities Corp (the "BDO") is the operator of the BNPP Cortex ATS, an NMS Stock ATS. The BDO's MPID is BNPS and the BNPP Cortex ATS's MPID is BNPX. Affiliates of the BDO located in Europe, North and South America, and the Asia Pacific region are institutional accounts, as that term is defined under FINRA Rule 4512(c), and some of the entities are foreign broker-dealers. The affiliates will be able to enter and/or direct order to the ATS for execution through the BDO. When executing affiliate orders in the ATS, the ATS and the BDO will be acting in an agency capacity. The affiliates of the BDO could enter and/or direct orders to the ATS in an agency and/or principal capacity. Y N N Subscribers can opt out of interacting with the BDO's principal orders in the ATS by requesting to opt out of interacting with the counterparty type or "Principal" (as defined in Part III, Item 13). BDO counterparty types include Agency and Principal. Subscribers may request to opt out of the BDO's principal 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, typically effective next day. Subscribers cannot opt out of orders from the Agency counterparty type. Further information on counterparty types can be found in Part III, Item 13. N 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, Virtu ITG LLC (formerly ITG Inc.), Morgan Stanley & Co. LLC, UBS Securities, LLC, and Barclays Capital INC. 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 FIX Connectivity using the Subscriber's own proprietary or third party Order Management System or Execution Management System ("OMS/EMS"): 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 the 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 on each side of the market and the midpoint 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 services 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 BNPP Paribas US Wholesale Holdings 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 BNP Paribas US Wholesale Holdings 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 BNP Paribas RCC, Inc., 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 services to 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 BNP Paribas US Wholesale Holdings Corp. or BNP Paribas RCC, Inc., BDO Affiliates, rather than the BDO itself. 6. Members of the BDO's BNPP Cortex ATS Working Group ("ATS 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 ATS 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 ATS Working Group are employed by BNP Paribas S.A., BNP Paribas RCC, Inc., or BNP Paribas US Wholesale Holdings 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 U.S. 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 BNPP Cortex 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 ATS 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 included a bank-wide end-user access recertification framework including enterprise-wide tools that certify critical BNP Paribas 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 interaction with other counterparty types. Restrictions on access to confidential trading information in the ATS are maintained by enforcement of the policies and procedures described below: a. BNP Paribas Information Security Policies and Procedures: "Americas Information Flow Policy", "CUSO IHC Information Security Policy", "CUSO IHC Code of Conduct and Ethics", "BNP Paribas Group Global Code of Conduct", and "Global Markets Written Supervisory Procedures." 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. Specifically, the BDO maintains and enforces written supervisory procedures and/or controls that are designed to limit access to confidential trading information of Subscribers to those BDO employees who are operating the ATS and/or responsible for its compliance with applicable securities laws, rules, and/or regulations. These procedures and/or controls include restricting access to systems, or to certain application entitlements, to employees on a strict "need to know" basis, regarding confidential trading information. These measures also include the implementation of controls for shared employees of the ATS that perform other BDO functions, that are designed to prevent the potential unauthorized disclosure of ATS order and/or transaction information, in particular to employees that trade for clients and/or BDO principal accounts. 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. A Personal Account Dealing 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"). BNP Paribas 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 PAD system. 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. Personal Account Dealing Compliance 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 ATS Working Group of users with access to the confidential trading information of Subscribers to the ATS. In these reviews, the ATS 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 BNPP Cortex ATS Working Group ("ATS 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. Additionally, as described in Part III Item 7(a) and Part III item 11(c) the ATS will reject Close orders entered after cutoff time. Close Orders will be executed after 4:00 p.m. (or market close on shortened days) immediately after the security's official closing price is known or disseminated by the primary listing 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 the 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 via FIX Connectivity using the Subscriber's own proprietary or third party OMS/EMS by: (i) connecting directly to 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, including but not limited to, the BDO's ATS; (ii) connecting directly to the SORs, which could direct the order to the BDO's ATS; (iii) connecting through a 3rd party ATS aggregation or Dark Liquidity smart order router where the External Subscriber is an Institutional Client of the BDO; (iv) directing orders to the BDO's ATS via FIX connectivity to the BDO's low-latency Direct Market Access platform; or (v) 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 For Non Close orders: 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 (Note, Midpoint Peg orders have separate matching logic as described in Part III, Item 11(c)) 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 equal to or 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). 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. For Close Orders: The ATS supports a Close order type ("Close order(s)"). The ATS supports Buy, Long Sales and Short Sale Close order types. Close orders will be matched after market closing at the closing price of the respective stock's primary market center closing price. Only Market Close orders are supported. Close orders with peg instructions are not supported and will be rejected. For Short Sale Close orders, in the event a Short Sale order is received in a stock subject to Reg SHO Rule 201(b) at the time of order entry, the Short Sale order will be rejected, Long Sale and Buy orders will not be affected. In the event a stock becomes subject to Reg SHO Rule 201(b) after order entry but before the match event time as described in Part III Item 11(c), Short Sale order(s) will be rejected to the sender(s) at the time of the match event, Long Sale and Buy orders will not be affected. In the event a stock becomes subject to Reg SHO Rule 201(b) after the match event time as described in Part III Item 11(c), but before the official market center close, the ATS will not conduct a close match in that stock and will reject all open orders, Buy, Long Sale, and Short Sale back to the sender(s). Close orders with a Min Qty instruction are not supported and will be rejected. Only a Day time in force is supported. Close orders will be matched in time/size priority. Close order modifications and cancellations are supported until match event time as described in Part III item 11(c). For the purposes of time priority calculation, an order modification to a larger order quantity will reset order time to time of modification; an order modification to a smaller order quantity will maintain the original order time. Additionally, system outages may result in order cancellation. Close orders are available across all forms of connectivity to all ATS participants. The ATS does not route any orders, Close order or non Close order, to other trading centers. For Trajectory Cross orders: The ATS supports a Trajectory Cross order type. Trajectory Cross will only be available to indirect subscribers via BDOs internal Algos and Smart Order Routers. Trajectory Cross supports Buy, Long Sales, and Short Sale orders only. Trajectory cross will support the Day Time in force only. Trajectory Cross will support Limit orders only. Trajectory Cross will not support a Min Qty parameter. Trajectory Cross will cross orders at the 5 minute Interval Volume Weighted Average Price ("VWAP"). Trajectory Cross will match orders in time/price priority. The calculation of the execution VWAP price will begin when a contra side order arrives to match vs a resting order in the same symbol in any given Trajectory Cross interaction. After 5 minutes has elapsed, both orders will receive an execution at the size of the smaller order at the interval VWAP price. In the event that either side cancels before 1 minute has elapsed, the interaction is cancelled. In the event either side cancels after 1 minute, but before 5 minutes, both sides will receive a pro-rated execution. VWAP execution will only occur, in any scenario, as long as there are 5 regular prints on the tape during the interval in question. If that 5 print criteria is not met, the execution will be at the midpoint of the NBBO at the time of execution. After execution of a Trajectory Cross any order that was not fully executed will have any residual quantity cancelled. Attempted amends of orders that are in the process of matching will be rejected and not allowed. Only orders that are not in the process of being matched will be able to be amended. Trajectory Cross orders follow the supension of trading rules as described in Part III Item 20. In the event of a suspension of trading at the time of the trade reporting of a Trajectory Cross order, the trade report will occur when trading has resumed and all qualifing conditions have been met. Trajectory Cross orders will trade report as described in Part III Item 21. Y Orders entered directly into the ATS 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 Rule 15c3-5 of the Securities Exchange Act of 1934 ("market Access Rule"). Y Odd-lot orders will be treated the same as round lot orders. Y Mixed lot orders will be treated the same as round lot orders 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 supports Close, Non Close and Trajectory Cross orders for all symbols supported by the ATS as described in Part III Item 11(a) and in each case subject to the Stopped Symbols Lists and other conditions described in Part III Item 11(a) For Non Close orders: 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. Midpoint peg orders: The following applies to all orders sent with the Midpoint Peg execution instruction. The ATS accepts Midpoint peg orders for matching at the Midpoint of the NBBO in any given NMA stock traded in the ATS. The matching mechanism is near-continuous and matches orders at randomized time intervals from the start of trading until the end of the trading day. Midpoint peg orders will only match against contra side Midpoint peg orders. Non Midpoint peg order types will not interact with or match against Midpoint peg orders. Midpoint peg orders can be submitted with a Time In Force of Day or Immediate Or Cancel. Midpoint peg orders can be Market or Limit orders. At the start of the trading day, on a stock-by-stock basis, for each stock traded in the ATS, the ATS will select a random Midpoint Match event interval between 1000 and 5000 microseconds. This interval will be the time interval until up to the first scheduled Midpoint Match event. At the time of that first Midpoint Match event, any Midpoint peg orders eligible for matching, will match. Matches will be priced based on the NBBO at the time of the Midpoint Match event in time priority. Upon the occurrence of the Midpoint Match event, any unexecuted Midpoint Peg Immediate or Cancel orders will be cancelled. Upon the occurrence of Midpoint Match event, the ATS will again select a random time that is between 1000 and 5000 microseconds. This new interval will be the period of time leading up to the next Midpoint Match event. This Midpoint Match event process will continue until the end of the trading day. Customers may cancel or modify Midpoint peg orders up until the Midpoint Match event time. For the purposes of time prioritization, the modification of the size of an existing Midpoint Peg order to a lesser size will not result in the loss of prioritization for that order and order time will be maintained as the time of original order entry. For the purposes of time prioritization, the modification of the size of an existing Midpoint Peg order to a greater size or the modification of any limit price will result in the loss of prioritization for that order and order time will be reset to the time of the order amend. Midpoint Peg Immediate or Cancel orders will be held in the order book and will be executed or automatically cancelled at the next Midpoint Match event time after the Midpoint Peg Immediate or Cancel order receipt. Midpoint peg orders follow the suspension of trading rules as described in Part III Item 20. The Midpoint Match event time will continue to be calculated independently of the trading status of a stock. In the event of a resumption of trading in a previously suspended security, the next calculated Midpoint Match event will be the first instance when Midpoint peg order(s) will match in the resumed stock. With the exception of the above, Midpoint peg orders will follow all other established ATS matching rules, including but not limited to, Min Quantity, Segmentation, and Counterparty Selection rules. For Close orders: The ATS will accept Close orders for matching at the official closing price of the security's primary listing exchange. The ATS supports Buy, Long Sale and Short Sale Close order types. New Orders, Order modifications and order cancellations will be accepted up to the time of the ATS match event. For NYSE listed securities the match event time will be 15:58:50 EST. For all other exchanges, the match event time will be 10 seconds before the respective listing exchange's closing order cutoff time. At the match event, orders will be matched using time/size priority. Following the match event, participants will be notified of matched interest. Matched interest is the expected quantity that will be matched by the ATS after the closing price is disseminated by the primary listing exchange. Orders where the matched interest is less than the submitted quantity will be notified by having the submitted quantity of the respective order amended by the ATS to the matched interest quantity. orders where the matched interest quantity is equal to the full submitted quantity will receive no amendment. orders with no matched interest will be rejected back to the participant. Execution messages of the matched interest quantity will be sent after the official closing price is disseminated by the primary listed exchange. If no closing price for a symbol is provided by the primary listing exchange by 30 minutes after market close, Orders in such symbols will not be executed and will be cancelled back to participants. Close Order transactions will be trade reported as described in Part III item 21. For Short Sale Close orders, in the event a Short Sale order is received in a stock subject to Reg SHO Rule 201(b) at the time of order entry, the Short Sale order will be rejected, Long Sale and Buy orders will not be affected. In the event a stock becomes subject to Reg SHO Rule 201(b) after order entry but before the match event time, Short Sale order(s) will be rejected to the sender(s) at the time of the match event, Long Sale and Buy orders will not be affected. In the event a stock becomes subject to Reg SHO Rule 201(b) after the match event time but before the official market center close, the ATS will not conduct a close match in that stock and will reject all open orders, Buy, Long Sale, and Short Sale back to the sender(s). For Trajectory Cross orders: The ATS supports a Trajectory Cross order type. Trajectory Cross will only be available to indirect subscribers via BDOs internal Algos and Smart Order Routers. Trajectory Cross supports Buy, Long Sales, and Short Sale orders only. Trajectory Cross will support the Day Time in force only. Trajectory Cross will support Limit orders only. Trajectory Cross will not support a Min Qty parameter. Trajectory Cross will cross orders at the 5 Minute Interval Volume Weighted AVerage Price ("VWAP"). Trajectory Cross will match orders in time/price priority. The calaculation of the execution VWAP price will begin when a contra sider order arrives to macth vs a resting order in the same symbol in any given Trajectory Cross interaction. After 5 minutes has elapsed, both orders will receive an execution at the size of the smaller order at the interval VWAP price. In the event that either side cancels before 1 minute has elapsed, the interaction is cancelled. In the event either side cacnels after 1 minute, but before 5 minutes, both sides will receive a pro-rated execution. VWAP execution will only occur, in any scenario, as long as there are 5 regular prints on the tape during the interval in question. If that 5 print criteria is not met, the execution will be at the midpoint of the NBBO at the time of execution. After execution of a Trajectory Cross any order that was not fully executed will have any residual quantity cancelled. Attempted amends of orders that are in the process of macthing will be rejected and not allowed. Only orders that are not in the process of being matched will be able to be amended. Trajectory Cross orders follow the suspension of trading rules as described in Part III Item 20. In the event of a suspension of trading at the time of the trade reporting of a Trajectory Cross order, the trade report will occur when trading has resumed and all qualifying conditions have been met. Trajectory Cross orders will trade report as described in Part III Item 21. Y N For the purpose of counterparty type selection, the ATS segments Subscribers by counterparty type. There are five counterparty types: 1. Principal: All BDO principal orders routed to the ATS from internal BDO trading desks as described in Part II, Item 1; 2. Agency: Agency orders from External Subscribers not directly routed to the ATS but routed via the BDO's algorithms or Smart Order Routers, in which the Smart Order Router determines to route to the ATS or is directed to route to the ATS by the BDO's algorithms. External Subscribers that are an Institutional Client of the BDO and are using a 3rd party ATS aggregation or Dark Liquidity smart order routing service and where the identity of the External Subscriber is fully disclosed to the BDO. Orders of the BDO's Affiliates, whether entered by such Affiliate in a principal or agency capacity, would be categorized as the counterparty type "Agency" to the extent not directly routed to the ATS via FIX connectivity to the BDO's low-latency Direct Market Access platform or its Smart Order Router. Orders of the BDO's Affiliates, to the extent being directly routed to the ATS, entered by such Affiliate in a principal or agency capacity, whether routed into the ATS via FIX connectivity to the BDO's low latency Direct Market Access or its Smart Order Router would be categorized as counterparty types "Direct Low", "Direct Medium" or 'Direct High" as applicable. The following three counterparty types include External Subscribers directing orders to the ATS via FIX connectivity to the BDO's low-latency Direct Market Access platform or its Smart Order Router, and Liquidity Partners who route via direct FIX connectivity to the ATS. 3. Direct low: Agency orders routed directly to the ATS by External Subscribers deemed by the BDO to have low average price reversion. 4. Direct Medium: Agency orders routed directly to the ATS by External Subscribers deemed by the BDO to have medium average price reversion. 5. Direct High: Agency orders routed directly to the ATS by External Subscribers deemed by the BDO to have high average price reversion. Price reversion for the purposes of category placement will be determined by analyzing the following 2 factors in tandem: 1. A Subscribers post trade mark out, determined by the notional weighted average midpoint to midpoint price movement after execution over a one second interval solely for orders where the Subscriber is the liquidity remover, i.e., the second order to arrive in the Order Book resulting in a cross. 2. Aggregated review of a Subscriber's ATS executions consisting of the ratio of a Subscribers orders that are providing liquidity vs removing liquidity, whereas Subscribers who provide a materially significant high ratio of providing liquidity vs removing liquidity as determined by the BDO, will have their category placement based on post trade mark out, determined by the notional weighted average midpoint to midpoint price movement after execution over a one second interval for all executions. A "materially significant high ratio" is defined as providing liquidity for more than a range of percentage (determined by the BDO from time to time) of total activity for the review period in question, such range of percentage applies to all direct Subscribers of the ATS. For example, a hypothetical Subscriber provides liquidity for 90% of their executions in the ATS and is the liquidity remover for 10% of their executions in the ATS. Based on Factor 1, the hypothetical Subscriber would be placed in the 4 Direct Medium Category, however, as the hypothetical Subscriber provides a materially significant high ratio of providing liquidity vs removing liquidity as determined by the BDO, the hypothetical Subscriber will be analyzed based on factor 2. In this example, factor 2 analysis placed the Subscriber onto the 3 Direct Low Category. A Subscriber that does not provide a materially significant high ratio of providing liquidity vs removing liquidity as determined by the BDO will be analyzed based on factor 1 only. This analysis is performed by the BDO for each monthly review period in question and takes into account individual subscribers liquidity providing and liquidity removing activity solely during the review period in question. Upon onboarding, the BDO assigns External Subscribers to either the Agency or the Direct Medium counterparty type, based on the Subscriber's routing arrangements with the BDO. The counterparty selection assignment is subject to subsequent monthly reviews by the BNPP Cortex ATS Working Group. The BDO may also perform ad hoc reviews of counterparty selection assignment for any reason. Based on changes in the Subscriber's historical trading activity, the Working Group may determine that a Subscriber's initial counterparty selection type requires reassignment to a different type and will typically notify such Subscriber of such change within one business day of such change. 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). As described in Part III, Item 11(c), Midpoint Peg orders may only match against other Midpoint Peg orders, all other segmentation rules as previously described apply. As described in Part III, Item 7, Trajectory Cross orders will only be available to BDOs internal Algos and Smart Order Routers and therefore only be available to subscribers of the 1 Principal and 2 Agency categories. For non CLose, non Midpoint Peg and Non Trajectory cross orders, Cortex ATS always applies a dynamic recategorization model for orders from Subscribers assigned to counterparty groups 4 or 5 as described in item 14. Y The ATS discloses a Subscriber's classification only to that Subscriber, first upon onboarding and later upon request. In addition, if the BDO modifies a Subscriber's counterparty type, the BDO will notify the Subscriber. 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). For Close orders: all Subscribers may opt out of interacting with counterparty type 1. For Mid Point Peg orders: Subscribers may only opt out of interacting with counterparty type 1. For non Close non Midpoint Peg orders: orders: all Subscribers may opt out of interacting with counterparty type 1. Subscribers may also opt out of trading with any counterparty group above their current counterparty type assignment subject to DYnamic Recategorization of orders described below (for example, Subscribers in counterparty type 3, Direct Low, may opt out of interacting with Subscribers in counterparty type 4 and 5 in addition to counterparty type 1). Additionally, the ATS offers a self-cross prevention feature that is designed to prevent a Subscriber from matching against its own orders. By default, self-cross prevention will be enabled for external broker-dealer Subscribers based on their respective market participant identification codes ("MPID"). In addition, other Subscribers can enable self-cross prevention on a voluntary basis. For all order types: Subscribers may request to opt out of counterparty interactions and/or enable self-cross prevention on a voluntary basis 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, typically 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. Dynamic recategorization: For non Close, non Midpoint Peg and Non Trajectory cross orders, Cortex ATS applies a dynamic recategorization model for orders from Subscribers assigned to counterparty groups 4 or 5. For the purposes of counterparty opt out as described in Part III Item 14, orders from Subscribers assigned to Category 4 and 5 will have the category assigned to orders entered by the Subscriber dynamically recategorized to category 3 after the respective order persists in the order book for 5 milliseconds. (For example, Subscriber X is assigned to counterparty group 5. Subscriber X sends an order to the ATS, upon entering the order book the order is assigned to counterparty group 5, any contra side order that is Opting Out of interacting with counterparty group 5 will not execute against the order from Subscriber X. After 5 milliseconds, the order from Subscriber X will be recategorized to group 3, at that point this existing order will be considered a group 3 order until execution, cancellation or amend. In this example, an order that initally was opted out of crossing with another order, may cross against that order after the recategorization is applied.) This recategorization only applies to individual orders and each order from any given SUbscribers has the recategorization applied independently of other orders. The 5 millisecond timer begins at the time the order enters the ATS order book. A cancel/replace or amend of an existing order will reset the 5 millisecond timer. A partial execution of an order will not reset the 5 millisecond timer. 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 at the midpoint and on each side of the market by symbol internally to the BDO's smart order routers. The aggregated data is limited to the total quantity available at the midpoint and on each side of the market in the ATS Order Book, per symbol, at and between the midpoint and 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 SORs, such SORs will have order information regarding orders that they have routed to the ATS. Y N The ATS offers a Close order type as described in Part III item 7(a) and Part III item 11(c). Non Close orders are excluded from particpating in this functionality. Y Trading outside of regular trading hours only occurs with respect to Close orders as described in Part III tem 11(c) and Part III item 7(a). Y Transaction fees for orders directed to the ATS from Liquidity Partners is 5 cents per 100 shares for Near Peg order type, all other order types are priced at 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. 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. Additionally, the ATS at its sole discretion, reserves the right to temporarily disable Close Order functionality. In the event of a suspension of trading at the time of the trade reporting of a Trajectory Cross order, the trade report will occur when trading has resumed and all qualifiying conditions have been met. Y All transactions executed in the ATS, other than crosses between two BDO principal orders, or between two principal orders of a single non-asset management affiliate of BDO, will be considered over-the-counter transactions reportable by BNPX 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 and related written guidance, such as FINRA's Trade Reporting Frequently Asked Questions. 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. 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 and for Close order functionality. 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, or where a particular NMS exchange does not offer direct feeds, the ATS uses the Securities Information Processor (SIP) feeds as a secondary source of market data. Y N N true true