Form ATS Page 1 Execution Page UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 INITIAL OPERATION REPORT, AMENDMENT TO INITIAL OPERATION REPORT AND CESSATION OF OPERATIONS REPORT FOR ALTERNATIVE TRADING SYSTEMS Date filed (MM/DD/YY): 09/12/16 WARNING: Failure to keep this form current and to file accurate supplementary information on a timely basis, or the failure to keep accurate books and records or otherwise to comply with the provisions of law applying to the conduct of alternative trading systems would violate the federal securities laws and may result in disciplinary, administrative or criminal action. INTENTIONAL MISSTATEMENTS OR OMISSIONS OF FACTS MAY CONSTITUTE CRIMINAL VIOLATIONS [ ] INITIAL OPERATION REPORT [ X ] AMENDMENT TO INITIAL OPERATION REPORT CESSATION OF OPERATIONS REPORT 1. Exact name, principal business address, mailing address, if different, and telephone number of alternative trading system: A. Full name of alternative trading system (if sole proprietor, last, first and middle name): Citi Cross B. Name(s) under which business is conducted, if different from Item 1A: Citi Cross is owned and operated by Citigroup Global Markets Inc. (CGMI) C. CRD Number: 7059 D. SEC File No.: 8-008177 E. If this filing makes a name change on behalf of the alternative trading system, enter the previous name and specify whether the name change is of the XX alternative trading system name (1A), or business name (1B): Previous name: n/a F. Alternative trading system s main street address (Do not use a P.O. Box): 388-390 Greenwich St., New York, NY 10013-2396 G. Mailing address (if different): Same as above H. Business telephone and facsimile number: See below [ ] [ ] (Telephone) (Facsimile) I. Contact employee: Steve Keltz, Director and Counsel Voice (212) 723-4737 FAX (646) 291-1441 Steve Keltz, Director and Counsel Voice (212) 723-4737 FAX (646) 291-1441 (Name and Title) (Telephone Number) (Facsimile)
EXECUTION: The alternative trading system consents that service of any civil action brought by, or notice of any proceeding before, the SEC or a self-regulatory organization in connection with the alternative trading system s activities may be given by registered or certified mail or confirmed telegram, to the alternative trading system s contact employee at the main address, or mailing address if different, given in Items 1F and 1G. The undersigned, being first duly sworn, deposes and says that he/she has executed this form on behalf of, and with the authority of, said alternative trading system. The undersigned and alternative trading system represent that the information and statements contained herein, including exhibits, schedules, or other documents attached hereto, and other information filed herewith, all of which are made a part hereof, are current, true, and complete. Date: 09/12/16 (MM/DD/YY) By: (Signature) Citigroup Global Markets Inc. (Name of applicant) _Steve Keltz, Counsel (Printed Name and Title) Subscribed and sworn before me this day of by (Month) (Year) (Notary Public) My Commission expires County of New York State of New York This page must always be completed in full with original, manual signature and notarization. Affix notary stamp or seal where applicable. DO NOT WRITE BELOW THIS LINE - FOR OFFICIAL USE ONLY Form ATS Page 2 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 INITIAL OPERATION REPORT, AMENDMENT TO INITIAL OPERATION REPORT AND CESSATION OF OPERATIONS REPORT FOR ALTERNATIVE TRADING SYSTEMS OFFICIAL USE OFFICIA L USE ONLY
Alternative trading system name: Citi Cross CRD Number: 7059 Filing Date: September 12, 2016 SEC File Number: 8-008177
2. If this is an initial operation report, the date the alternative trading system expects to commence operation: 3. Attach as Exhibit A, a description of classes of subscribers (for example, broker-dealer, institution, or retail). Also describe any differences in access to the services offered by the alternative trading system to different groups or classes of subscribers. 4. Attach as Exhibit B: a. A list of the types of securities the alternative trading system trades (for example, debt, equity, listed, Nasdaq NM) or, if this is an initial operation report, the types of securities it expects to trade. Note whether any types of securities are not registered under Section 12(a) of the Exchange Act of 1934 ( Exchange Act ). b. A list of the securities the alternative trading system trades, or if this is an initial operation report, the securities it expects to trade. Note whether any securities are not registered under Section 12(a) of the Exchange Act. 5. Attach as Exhibit C, the name, address, and telephone number of counsel for the alternative trading system. 6. Attach as Exhibit D, a copy of the constitution, articles of incorporation or association, with all amendments, and of the existing by-laws or corresponding rules or instruments, whatever the name, of the alternative trading system. If this information is publicly available on a continuous basis on an Internet site controlled by the alternative trading system, the alternative trading system may indicate the location of the Internet web site where such information may be found in lieu of filing such information with the Commission. 7. Attach as Exhibit E, the name of any entity, other than the alternative trading system, that will be involved in operation of the alternative trading system, including the execution, trading, clearing and settling of transactions on behalf of the alternative trading system. Provide a description of the role and responsibilities of each entity. 8. Attach as Exhibit F, the following information: a. The manner of operation of the alternative trading system; b. Procedures governing entry of orders into the alternative trading system; c. The means of access to the alternative trading system; d. The procedures governing execution, reporting, clearance and settlement of transactions effected through the alternative trading system; e. Procedures for ensuring subscriber compliance with system guidelines; and f. A copy of the alternative trading system s subscriber manual and any other materials provided to subscribers. 9. Attach as Exhibit G, a brief description of the alternative trading system s procedures for reviewing system capacity, security and contingency planning procedures. 10. If any other entity, other than the alternative trading system, will hold or safeguard subscriber funds or securities on a regular basis, attach as Exhibit H the name of such entity and a brief description of the controls that will be implemented to ensure the safety of such funds and securities. 11. Attach as Exhibit I, a list providing the full legal name of those direct owners reported on Schedule A of Form BD.
Exhibit A Attach as Exhibit A, a description of classes of subscribers (for example, broker-dealers, institution, or retail). Also describe any differences in access to the services offered by the alternative trading system to different groups or classes of subscribers Subscribers of the ATS include institutions, foreign and domestic broker dealers, CGMI trading desks, and the foreign and domestic broker dealer affiliates of CGMI. Citi Cross does not offer different groups or classes of subscribers different access to services. Access Subscribers can access Citi Cross directly or indirectly through one or more CGMI desks or affiliates including but not limited to the Citi Algos, Program trading, Direct Market Access (DMA) and Smart Order Router (SOR). All direct access subscribers are offered the same methods for accessing the ATS. Prior to granting access to Citi Cross, potential direct access subscribers are reviewed and approved by Citi Cross. All non-affiliate subscribers must also sign the Citigroup standard Electronic Trading Agreement ( ETA ) or a similar agreement. The identity of firms that access Citi Cross indirectly through CGMI desks or affiliates may not be fully disclosed to Citi Cross. Therefore, these firms are not considered subscribers of the ATS; rather they are clients of CGMI or the affiliate desk where the account relationship is initiated. Furthermore, firms accessing Citi Cross indirectly may be subject to additional terms and conditions imposed by such affiliates. Orders routed to Citi Cross through CGMI and affiliate systems may also experience additional latency introduced by passing through additional systems and connections. For clients concerned about latency and capacity, direct access is strongly encouraged. Citi Cross subscribers can arrange to have their order flow separated into multiple channels. This can be achieved through the use of distinct gateways or FIX tag identifiers. Visibility Citi Cross is completely dark and does not route out to other venues, provide IOIs or any views into the ATS. Only personnel of the ATS have visibility into the system in real time. Some centralized support functions including compliance, legal, operations, and infrastructure and technology support are performed by nondesignated ATS personnel. These individuals may have access to subscriber information post trade, as necessary to support the function of the ATS. Citi Cross prohibits the disclosure of confidential information to anyone outside of those supporting the ATS, including other CGMI desks and affiliates, and does not provide affiliates or subscribers views into the system. Citi Cross protects client information through the use of physical information barriers, access controls and routine entitlement reviews. Furthermore, all Citi employees are subject to the firm-wide policies regarding the use of confidential information. However, information regarding non-subscriber firms accessing Citi Cross indirectly through CGMI desk or affiliates may be available to those desks or affiliates by virtue of the client relationship. For example, a firm routing an order to Citi Cross via the Citi DMA systems should expect that Citi personnel supporting DMA will have visibility into this flow in order to provide appropriate client support. Fees Fees are assessed as a rate per share executed (Citi Cross does not distinguish between adding and removing liquidity). Citi Cross reserves the right to adjust rates on a case-by-case basis at the discretion of Citi Cross personnel. While Citi Cross does not classify clients for the purpose of setting rates, factors that may influence pricing include but are not limited to, the nature of the order-flow, volume of executions, and the degree of exclusivity selected by that client. In addition, affiliate subscribers (including CGMI desks) generally receive discounted pricing; however, firms accessing Citi Cross indirectly may be charged other fees by such affiliate subscribers.
Exhibit B a. A list of the types of securities the alternative trading system trades (for example, debt, equity, listed, Nasdaq NM), or if this is an initial operation report, the types of securities it expects to trade. Note whether any types of securities are not registered under Section 12(a) of the Exchange Act of 1934 ( Exchange Act ). Citi Cross accepts orders in all National Market System ( NMS ) securities as defined by Regulation NMS. b. A list of the securities the alternative trading system trades, or if this is an initial operation report, the securities it expects to trade. Note whether any securities are not registered under Section 12(a) of the Exchange Act. All NMS securities are eligible for trading on Citi Cross.
Exhibit C Attach as Exhibit C, the name, address, and telephone number of counsel for the alternative trading system. Steve Keltz Director and Counsel Citigroup Global Markets Inc. 388-390 Greenwich St. New York, NY 10013-2396 (212) 723-4737
Exhibit D Attach as Exhibit D, a copy of the constitution, articles of incorporation or association, with all amendments, and of the existing by-laws or corresponding rules or instruments, whatever the name, of the alternative trading system. If this information is publicly available on a continuous basis on the Internet site controlled by the alternative trading system, the alternative trading system may indicate the location of the Internet web site where such information may be found in lieu of filing such information with the Commission Unchanged from previous version.
Exhibit E Attach as Exhibit E, the name of any entity, other than the alternative trading system, that will be involved in the operation of the alternative trading system, including the execution, trading, clearing, and settling of transactions on behalf of the alternative trading system. Provide a description of the role and responsibilities of each entity. Citi Cross is owned and operated solely by CGMI, which is responsible for all aspects of Citi Cross, including execution, trading, clearing, and settlement of transactions. Citi Cross is operated as a separate aggregation unit of CGMI. Access to Citi Cross systems and information is limited to individuals that directly support the ATS. Some centralized support functions including compliance, legal, operations, and infrastructure and technology support are performed by non-designated ATS personnel. In addition, Citi Cross relationship managers cover a broad spectrum of products at CGMI. In order to protect confidential subscriber information, Citi Cross requires clients to provide consent prior to disclosing detailed trade analysis (such as fill rates, average order size, and other order and execution statistics) to their CGMI relationship manager. All employees are subject to CGMI policies governing the use of confidential information, including information relating to Citi Cross.
Exhibit F Attach as Exhibit F, the following information: CGMI is a broker-dealer registered with the U.S. Securities and Exchange Commission pursuant to Section 15(a) of the Securities Exchange Act of 1934, as amended, and the sponsor of Citi Cross. This Form ATS pertains only to the functionalities of Citi Cross and not to any other operations of CGMI or its affiliates more generally. Citi Cross is a dark pool that is designed to remove the notion of queue-based priority, such as price, time and size, to create an environment in which a diverse group of participants can interact. Citi Cross is designed to maximize the volume in a given crossing transaction and divide the resulting execution as evenly as possible between participants. Citi Cross does not display orders and does not send order related messages to or route to external venues Citi Cross will be operated by CGMI as follows: a. The manner of operation of the alternative trading system Hours of operation Citi Cross will match orders between 9:30 a.m. to 4 p.m. Eastern Time and will accept orders from 7:30 a.m. to 4 p.m. Eastern Time. Orders Citi Cross will (1) accept orders; and (2) execute those orders based upon current market data, preprogrammed decision rules, and client configurations. Orders in Citi Cross no longer executable by their terms will be cancelled upon order expiration or instruction from the client. Orders will not be sent to other market centers; instead, they will reside in Citi Cross until they are crossed with one or more orders on the other side of the market or until the order is canceled. Orders will not be communicated to any other party. Citi Cross only accepts pegged orders with a time-in-force of Immediate or Cancel (IOC), Day or GTD where the order expires on the same day. Orders may be limit orders or market orders and must have a specified size. Orders with no specified limit price are considered to be market orders. Subscribers may specify a Participation Range on an order by order basis and may also specify a default setting if the participation range is not present on the order. The Participation Range indicates what portion of the NBBO the order can participate in. All orders are automatically and continually adjusted to the designated range within the current NBBO up to the limit specified in the order. Subscribers may also elect to use pre-configured Exclusion Criteria. Exclusion Criteria allow clients to prevent their orders from interacting with orders from select counter-parties. Subscribers can also specify a Minimum Fill requirement for their orders. More details regarding Participation Ranges, Exclusion Criteria, and Minimum Fill requirements are provided below. Please note that when not other-wise specified, orders may be subject to certain default settings, including Participation Range parameters, self-match prevent and other default criteria. Subscribers can learn additional details regarding any applicable default settings for their orders by contacting the Citi Cross trade desk. Also, as noted above subscribers can arrange multiple channels through which they can send different orders to Citi Cross with different instructions or default settings. For instance, subscribers electing to use Exclusion Criteria can pre-configure multiple channels with different Exclusion Criteria. Citi Cross will not cross any orders with CGMI orders that by their terms or by law cannot be executed against CGMI orders, including orders from ERISA accounts, wrap fee accounts, and soft dollar trades.
Exclusion Criteria A subscriber may choose to exclude its orders from participating in a match against orders from one or more counter-parties. Exclusions may be implemented for all or only a portion of the excluding subscriber s order flow and can be configured at the channel level. Exclusions may be put in place for a specific counter-party (specific exclusion) or an anonymous counter-party (anonymous exclusion). Specific exclusions allow participants to prevent interaction with one or more named counter-parties when defined by the subscriber pre-trade (at the time of the customer account set-up or some subsequent account reconfiguration). Such specific exclusions are applied by preventing a subscriber s orders (or a channel of the subscriber s orders) from executing against orders from MPIDs specified by the excluding subscriber. Citi Cross does not, however, disclose or confirm which firms are participants of the ATS unless the firm at issue has affirmatively granted Citi Cross the authority to disclose its participation in the ATS (as in the case of Citi affiliates). Accordingly, if a subscriber requests that Citi Cross exclude its orders from interacting with orders from a specific MPID, Citi Cross will comply with the request without indicating whether it in fact receives any orders from that MPID (unless the counter-party has authorized disclosure of its participation in the ATS). Specific exclusions also allow participants to limit the counter-parties with which they interact to a pre-defined list of counter-parties, to the extent that those counter-parties have authorized Citi Cross to disclose their participation in the ATS to other subscribers. Moreover, to the extent that individual counter-parties permit Citi Cross to disclose to other subscribers that they send orders to Citi Cross on a segregated basis through multiple channels, subscribers may choose to have their orders interact with only certain of those channels. Finally, specific exclusions may be used by any subscriber to request (on a channel-by-channel basis) that Citi Cross exclude its orders from interacting with orders from all other subscribers. Anonymous exclusions allow subscribers to exclude their orders from interacting with counter-party channels responsible for specified executions, and are generally established in response to subscriber-identified execution characteristics. In the case of an anonymous exclusion, the subscriber does not know the identity of the counter-party with which it chooses not to interact, but can instruct Citi Cross to prevent further interaction with that (anonymous) counter-party Anonymous counter-party exclusions are implemented at the channellevel, rather than by MPID. Thus, the requesting subscriber may continue to interact with other channels from a subscriber that had one or more of their channels anonymously excluded. Upon subscriber request, Citi Cross will perform ad hoc counter-party analysis in order to assist the subscriber in excluding counter-party channels that were responsible for executions that the subscriber views as unfavorable. As part of any such analysis, the subscriber is responsible for identifying to Citi Cross personnel which executions it believes were unfavorable, and Citi Cross personnel will seek to analyze whether there are certain counter-party channels responsible for a preponderance of such executions (without identifying who such counter-parties are or which executions a given counter-party was responsible for). Any such analysis is highly customizable. For example, subscribers can rank or score executions, and indicate to Citi Cross personnel that they would like to exclude their orders from interacting with any counter-party channel whose executions the subscriber scored below a certain threshold; while Citi Cross personnel will not disclose the identity of any given counter-party, or indicate which orders were associated with a specific channel, Citi Cross personnel work with subscribers to achieve their exclusion goals. The analysis may require subjective interpretation of the results, and Citi Cross performs such analysis on a best efforts basis. If a subscriber elects to implement anonymous exclusions, it is the responsibility of the subscriber to monitor execution quality and to notify Citi Cross of interactions it perceives to be as adverse on an ongoing basis for maintenance of the exclusions settings. As noted above, the degree of exclusivity sought by a subscriber may impact the fees Citi Cross charges that subscriber per share executed, on all or a portion of that subscriber s order flow; accordingly, Citi Cross reserves the right to refuse to implement a given exclusion for any subscriber without an adjustment of rates.
Citi Cross does not notify a subscriber (the excluded subscriber) when a different subscriber (the excluding subscriber) has implemented an exclusion preventing interactions between the two subscribers orders. Self-Match Prevent Citi Cross offers a self-match prevent feature that prohibits orders from the same subscriber from interacting in a given cross. By default, self-match prevent is enabled for all subscribers at the individual channel level (meaning that orders of an individual subscriber will presumptively not match against other orders sent by the same subscriber through the same channel, but may match against orders sent by the same subscriber over a different channel). Clients can also request that their self-match prevent applies across all of their channels and not just within their channels. Clients can opt-out of the self-match prevent feature entirely or on a channel-by-channel basis. Order Priority The Citi Cross crossing algorithm consists of two primary components. Each time a crossing event is triggered, the first component of the algorithm optimizes the cross potential by selecting those orders which will have the effect of maximizing the number of shares crossed in the event. Every order's Participation Range (as defined below) and Exclusion Criteria are used in the calculation. Other constraints (such as Minimum Fill quantity requirement) will also be included in this calculation. The optimization component of the Citi Cross functionality calculates the match price (the exact price at which the cross will be executed) and determines which orders are eligible to participate in the match based on the orders' respective criteria. Once the participating orders and the price are selected, the second component of the algorithm distributes the crossed shares. Here, a given subscriber channel s qualifying orders are compressed into a single representation of buy or sell interest. The distribution algorithm then allocates all of the available shares. This is done in such a way as to distribute the shares as evenly as possible to all qualifying subscriber channels, while avoiding the creation of odd lots. Once the per-participant allocation has been completed, the allocations for a given participant are distributed among that participant's qualifying orders on a first-in-first-out basis. Minimum Fill Subscribers have the ability to specify the minimum share quantity on a given execution. Multiple orders may be aggregated to satisfy the minimum fill requirement. If the remaining quantity (leaves quantity) is less than the minimum fill quantity, the leaves quantity becomes the new minimum fill requirement. Participation Range A subscriber can use the Participation Range to specify what portion of the NBBO it wants its orders to participate in. All orders are automatically and continually adjusted to the designated range within the current NBBO up to the limit specified (unless it is a market order). In addition to setting an absolute price limit, the subscriber may determine the degree to which its order pegs to the current NBBO by setting two relative pricing parameters. The "far peg" parameter is a fraction between 0 and 1 that sets the maximum distance across the spread that the order will peg. Conversely, the "near peg" parameter determines the minimum amount that an order will cross the spread (by default the near peg parameter is set to zero). In order to comply with current guidance regarding Rule 612 of Regulation NMS, the system will truncate the allowable participation range of a given order to the nearest increment permissible 1 or mid-spread, whichever 1 For NMS securities priced at $1.00 or greater the minimum permissible increment is $0.01. For NMS securities priced below $1.00 the minimum permissible increment is $0.0001.
is closest within the applicable participation parameters. Subscribers may not enter orders with a limit in an impermissible increment. Thus, it can be stated generally, for NMS securities priced over $1.00 that in any opportunity for a match, no two possible price points can be less than $0.01 apart from one another, unless one of the price points is mid-spread, in which case it can be distanced no less than $0.005 from a neighboring price point, and therefore orders will only be crossed at price points that are at $0.01 increments or at midspread. Similarly, effective October 3, 2016 and for the duration of the pilot program, for NMS securities that are in Test Groups 2 and 3 of the Tick Size Pilot Program, the system will truncate the allowable participation range to the nearest $0.05 or mid-spread, whichever is closest. Orders entered for NMS securities that are in Test Group 1 of the pilot will be truncated to the nearest permissible increment under Rule 612 of Regulation NMS (or mid-spread, whichever is closest). Subscribers may not enter orders in Tick Size Pilot Test securities (Group 1, 2 and 3) with a limit price in an increment of less than $0.05. Additionally, orders entered for NMS securities in Test Group 3 that are subject to the Trade-At prohibitions of the pilot program are not eligible to cross at the Best Protected Bid or Best Protected Offer and therefore will be truncated to the nearest allowable nickel increment or mid-spread, whichever is closest. The figures and scenarios that follow are illustrative of these points.
Figure 1: The top pane represents the original input parameters submitted by the clients. First, a 1000 share order to buy at up to mid-spread is entered by client B1. This is followed by another 1000 share order to buy from client B2, this time with a slightly more aggressive willingness to participate up to 60% across the spread. Next, client S1 enters a sell order. At this instant (bottom pane), the matching engine is invoked. The allowed intervals are a function of the spread of the current national best bid and offer. At the moment when the matching engine is invoked, the NBBO has a $0.01 spread and all peg-parameter derived price points for the orders are truncated to the next allowable interval (blue lines). Figure 2: Extending on the example illustrated in Figure 1, assume now that the sell order from client S1 was for 1100 shares, rather than 1000 shares. Since the NBBO has not changed for this example, the spread is still $0.01 and the allowable intervals and truncation to those is identical to the previous example. The only difference occurs in the share allocation stage. Here, both clients B1 and B2 are allocated 500 shares from client S1, as in the previous example, adhering to the algorithm s design for even allocation. However, 100 shares remain to be matched and will not be divided. The extra round lot will be allocated pseudo-randomly, in this illustration to client B1. Note that under the algorithm s design for even allocation, any single client can gain at most one additional round lot over any of its peer clients when all other factors are equivalent.
Figure 3: Extending further on the last example, assume now that the seller s order was priced aggressively to participate across the entire spread. Since the matching engine has a bias towards mid-spread, the more aggressively priced order does not change the outcome of the matching event. Figure 4: Now consider an example in which the second buyer submits an order with a slightly less aggressive willingness to participate: only 40% across the spread. Furthermore, the seller has a desired participation parameter for 60% across the spread. Without a truncation mechanism, the matching engine would have found an optimal price point to match all 1100 shares at a price of 12.004. However, with the truncation mechanism in place, the matching engine adapts its allowable intervals to the current spread of 1 penny and truncates all price points to the nearest allowable interval at the moment it is invoked. Here, the second buyer s desired participation parameter of 0.4 is not allowed, and therefore effectively truncated to the bid. The seller s desired participation parameter of 0.6 is also not allowed, and therefore effectively truncated to mid-spread. The only possible interval to match shares is thus at mid-spread for 1000 shares. Client B1 is thus completely filled, and client S1 has 1000 shares out of 1100 filled.
Figure 5: Assume now, as an extension in time to the previous example, that the spread suddenly widens to $0.05. There were 100 shares to sell remaining from client S1 with an originally desired spread participation of 60%. The 1000 shares to buy from client B1 were not filled because the originally desired participation of 40% was not an allowable interval, and the truncated participation to the bid did not include the order in the matching event. However, now that the spread has widened to $0.05, both a 40% and a 60% desired spread participation range are allowable intervals. At the instant that the tick changes, the crossing engine is invoked, the participation parameters are evaluated as a function of the current spread, found to be allowable price points, and a match occurs at $12.02 for the remaining 100 shares. Figure 6: The examples in Figures 4 and 5 involved a tick-change. Let s assume that the same scenario occurs as in Figure 4, but this time the spread is $0.05 to begin with. The sell order from client S1 arrives and invokes the matching engine. At this instant, the participation parameters are evaluated as a function of the 5 cent spread. Since all derived price points are all allowable, no truncation occurs. The maximum shares that can be matched are 1100 at $12.02. The share allocation is determined by exactly the same principal as before.
Market Data Citi Cross employs a combination of data feeds (which can include both direct feeds and securities information processor ( SIP ) feeds) in order to ensure access to low latency market data, which allows pegged orders to automatically re-price resting liquidity. Each instance of the crossing engine is equipped with its own market data appliance, which eliminates additional latencies encountered when rebroadcasting a market data signal. Citi Cross may suspend crossing during locked or crossed market conditions, during trading pauses and regulatory halts or suspensions, and may also suspend crossing if market data is deemed to be unreliable. b. Procedures governing entry of orders into the alternative trading system; As described above, orders may be entered into Citi Cross directly or indirectly via the various front-end systems employed by CGMI, its affiliates and subscribers. Citi Cross will only accept the entry of orders that satisfy clearly defined parameters. Certain default values may be assigned where not otherwise specified. Subscribers will be referred to the most recent Citi Cross Fix specification for more information regarding proper messaging protocols and default settings. In addition, orders may be subject to validations, including size and notional limits, aggregate exposure limits, session rate limiting and percentage of ADV limitations. Certain order specific parameters are set at a default value but may be modified upon client request. Orders entered indirectly may be subject to additional validations as prescribed by the desk or system where the order is entered. c. The means of access to the alternative trading system; Please see Exhibit A and Item b., above. d. The procedures governing execution, reporting, clearance, and settlement of transaction effected through the alternative trading system; The execution algorithm for Citi Cross is described in detail above in Section (a) of this Exhibit F. Trades will be reported by CGMI consistent with FINRA and SEC reporting requirements. Trades that are executed on Citi Cross will be cleared and settled by CGMI. e. Procedures for ensuring subscriber compliance with system guidelines; Citi Cross relies on its system validations and automated processes to ensure compliance with Citi Cross guidelines. Specifically, the system only permits the entry of orders that satisfy clearly defined parameters. After the orders are accepted by Citi Cross, the orders are handled automatically in accordance with Citi Cross s execution software programs. As noted in Exhibit A, all non-affiliate subscribers must also sign the Citigroup standard Electronic Trading Agreement ( ETA ) or similar agreement. Pursuant to the terms of the agreement, subscribers agree to comply with applicable rules and regulations when placing orders into the system. f. A copy of the alternative trading system s subscriber manual and any other materials provided to subscribers. There is no subscriber manual for Citi Cross. Please see Appendix F1 for a copy of the following: CGMI Electronic Trading Agreement (ETA) Citi Cross Standard Disclosure document
Citi Cross Fix Specification
Exhibit G. Attach as Exhibit G, a brief description of the alternative trading system s procedures for reviewing system capacity, security, and contingency planning procedures. CGMI has several processes in place to address capacity, security and contingency planning to ensure the network stability of CGMI s operations. Each of these processes will be applicable to Citi Cross. Specifically, CGMI regularly monitors system capacity to ensure capacity issues are appropriately addressed as circumstances warrant. In addition, CGMI performs security reviews and relies on its Business Information Security Office to assist in maintaining system security. With regard to business contingency planning, Citi Cross follows CGMI s business continuity standards. Regarding information security policies for CGMI s Information Technology personnel, CGMI has designed Citi Cross to ensure its adherence to the firm s information security standards. CGMI strives at all times to protect the integrity and confidentiality of client and proprietary business data. CGMI s Information Security policy generally limits system access privileges with access entitlements provided to business users only as necessary to perform documented functions and duties. In addition, production application environments are segregated from other system environments. Access to production environments is governed by CGMI s Information Security Standards (please see Appendix G1and Continuity of Business Standards (G 2) that are enforced through various control processes and technical tools, including semi-annual entitlements reviews. Further, in accordance with Rule 301(b)(10)(i)(B) of Regulation ATS, Citi Cross utilizes the same safeguards and procedures that exist within Citigroup s Institutional Client Group and which are designed to protect subscribers confidential trading information, including standard procedures controlling CGMI employees ability to trade for their own accounts. Such procedures include, without limitation, manager pre-approval and a mandatory minimum holding period of 15 calendar days for all employee trading. A copy of the CGMI Employee Trading Policy is attached hereto as Appendix G3.
Exhibit H If any other entity, other than the alternative trading system, will hold or safeguard subscriber funds or securities on a regular basis, attach as Exhibit H the name of such entity and a brief description of the controls that will be implemented to ensure the safety of such funds and securities Not applicable.
Exhibit I Attach as Exhibit I, a list providing the full legal name of those direct owners reported on Schedule A of Form BD. Unchanged from previous version.