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Friday, July 14, 2000

Equity Trader Alert #2000 - 52
Changes to Transaction Reporting Procedures For Weighted Average and Special Pricing Formula Trades Effective Monday, July 17, 2000

Nasdaq® would like to remind firms that changes to the transaction reporting procedures for weighted average and special pricing formula trades are effective on Monday, July 17, 2000. The changes made to National Association of Securities Dealers, Inc. (NASD®) Rules 4632(a)(6), 4642(a)(6) and 6420(a)(6) now require all transactions, not just agency crosses, in both Nasdaq and exchange-listed securities that are traded on a weighted-average basis or effected based on other special pricing formulas, to be reported with the .W modifier. For further information on this rule change, please refer to NASD Notice to Members 00-43.

The following is an example of the proper use of the .W modifier.

At 10:55:00, a.m. Eastern Time (ET), Firm WXYZ receives an order from a customer to buy 10,000 shares of ABCD at the VWAP (volume-weighted average price) established for the time period of 11:00 to 13:00. At 13:00:06 Firm WX YZ sells the 10,000 shares to his customer and reports the following: Sell 10,000 ABCD @ established VWAP price .W, execution time 13:00:06.

After Hours

For Consolidated Quotation Service (CQS) issues, the .W modifier should be appended to all trades executed at a VWAP, regardless of time of reporting, until 18:30:00. For Nasdaq issues, the .W modifier can be appended until 17:15:00. Nasdaq is developing the capability to accept entry of the .W modifier for trades reported after 17:15:00 at a VWAP.

Questions should be directed to Nasdaq MarketWatch at (800) 211-4953, John Malitzis, Nasdaq Office of General Counsel, at (202) 728-8245, Peter Geraghty, Nasdaq Office of General Counsel, at (202) 728-8227, or Legal Section, Market Regulation, NASD Regulation, at (240) 386-5126.