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Friday, September 10, 2010

UTP Vendor Alert #2010 - 13
Evening Testing Opportunities for New Reg SHO Circuit Breaker Message

Markets Impacted:

  • UTP/SIP

Products Impacted:

  • UTP Quotation Data Feed (UQDF)
  • UTP Trade Data Feed (UTDF)
  • OTC Montage Data Feed (OMDF)

Contact Information:

What you need to know:

  • As outlined in UTP Vendor Alert #2010-9, the UTP Security Information Processor (UTP SIP) will introduce a new Regulation SHO Short Sale Price Test Restricted Indicator message format (the “Reg SHO Price Test Indicator") on the UTP data feeds on or before November 10, 2010.
  • The Reg SHO Price Test Indicator message will denote when the Securities Exchange Commission (SEC) short sale price test restriction is triggered under Amended Rule 201 in a NASDAQ-listed security.
  • In preparation for this release, The NASDAQ Stock Market® (NASDAQ®) has requested that the UTP SIP offer evening test data for the new Reg SHO Price Test Indicator message beginning September 13, 2010.
  • Updated 11/4/2010: As announced in ETU #2010-23, the SEC has postponed the implementation of the Reg SHO changes. The new compliance / release date is now February 28, 2011.

What is the Reg SHO Price Test Indicator message?

The SEC recently adopted amendments to Reg SHO under the Securities Exchange Act of 1934. As outlined in Release Number 34-61595, the SEC is establishing a short sale-related circuit breaker that, if triggered, will impose a restriction on the prices at which securities may be sold short (“short sale price test” or “short sale price test restriction”). The Reg SHO amendments will be effective on November 10, 2010.

In accordance with the SEC rules, the UTP SIP will introduce a new Reg SHO Price Test Indicator (Category A – Type V) message format to indicate when there is an intra-day price drop in a NASDAQ-listed security of 10% or more from the prior day’s adjusted closing price. Once the Reg SHO Price Test Indicator is triggered, UTP participants are required to process short sale orders in the security in accordance with SEC Rule 201 (also known as the Alternative Uptick Rule) for the remainder of the day as well as the following day.

When will the UTP SIP offer evening testing opportunities for the new Reg SHO Price Test Indicator message?

To help firms get ready for the SEC rule changes, the UTP SIP will offer evening test data for the Reg SHO Price Test Indicator messages beginning Monday, September 13, 2010.

The following testing opportunities will be available:

Type of Testing Scheduled Dates Description
Evening Test Transmissions Monday, September 13, 2010 through Friday, November 5, 2010 A test file will be recorded to be replayed in the evenings from 9:00 p.m. to 10:30 p.m., Eastern Time (ET), to all data feed subscribers. No registration is required to participate in evening testing. During this time, the UTP SIP will broadcast on the production IP multicast groups.
Saturday User Acceptance Test (UAT) Saturday, October 23, 2010 UTP participants will be invited to enter data to test the new functionality. As it is generated, the UTP SIP will disseminate the test data via the UTP data feeds. During this time the UTP SIP will be broadcasting on the production IP multicast groups. Advance registration is requested for the UATs.*

To register for the test, direct data feed subscribers should email their testing contact information to NASDAQ OMX Global Data Products.

How will the new Reg SHO Price Test Indicator message format work?

The Reg SHO Price Test Indicator message (Category A – Type V) will be compromised of two fields: Issue Symbol and Reg SHO Action. For the Reg SHO Action field, the allowable values will be as follows:

Reg SHO Action Value Definition
0 No Reg SHO Short Sale Price Test Restriction
1 Reg SHO Short Sale Price Test Restriction is in effect due to an intra-day price drop in security
2 Reg SHO Short Sale Price Test Restriction remains in effect

As outlined in UTP Vendor Alert #2010-9, the UTP SIP will disseminate the Reg SHO Price Test Indicator under the following circumstances.

  • The UTP SIP will support a full pre-opening spin of Reg SHO Price Test Indicator messages to denote the Reg SHO short sale price test restriction status for each NASDAQ-listed security at the start of each trading day.
  • The UTP SIP will disseminate intra-day Reg SHO Price Test Indicator updates only for those securities subject to an intra-day price drop of 10% or more from the adjusted previous closing value.

Please refer to the Reg SHO Price Test Indicator Frequently Asked Questions (FAQs) for additional information.

Where can I find additional information?