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|  |  | Special Study:Electronic Communication Networks and After-Hours Trading
*Division of Market Regulation**June 2000*Table of ContentsExecutive Summary
Part I.  Introduction and OverviewPart II.  Electronic Communication Networks
I. Overview of ECNs

A. Introduction

B. ECNs – Who Are They and What Services Do They Provide?

II. Regulatory Initiatives

A. ECNs and the National Market System

B. Order Handling Rules

C. Regulation ATS

D. Recent Developments

1. Linkages

2. Fees
Part III.  After-Hours Trading
I. Overview

A. Structure of the After-Hours Market

B. Trading Dynamics of the After-Hours Market

1. Volume Distribution

2. Volume after 6:30 p.m.

3. Average Share Size

4. Breakdown of ECN Activity

5. Liquidity Constraints and Price Volatility

 II. Regulatory Initiatives
A. Increased Access by Small Investors to the After-Hours Market

B. After-Hours Summit and SRO Working Groups

 

1. Investor Protection and Education

2. Clearance & Settlement and Operations

3. Trading Conventions

C. SRO Initiatives

1. NASD Model for Investor Disclosure

2. Transparency Enhancements

a. Nasdaq Extended Hours Pilot

b. Chicago Stock Exchange E-Session Pilot

D. Investor Protection and Market Integrity Rules

1. Manning Rule

2. Firm Quote Rule

3. ECN Display Alternative

4. Limit Order Display Rule

5. Regulation ATS 44

E. Current Issues

1. Potential Enhancements to the Nasdaq Extended Hours Pilot

2. After-Hours Sessions for the Major Markets

a. Development of New Order Types

b. Preservation of 4:00 p.m. Closing Prices

III. ConclusionAttachments
**Webmaster's Note:**   These attachments are not available on-line because of technical and time constraints.  If you are interested in obtaining a print copy of the report, which would include this material, contact the SEC Office of Public Affairs at tel.: (202) 942-0020.

A-Trading Activity by Electronic Communication Networks

B-Trading Dynamics of the After-Hours Market

C-OEA Study of After-Hours Trading in 15 Nasdaq Stocks

D-Reports of the After-Hours Working Groups

E-NASD Notice to Members 00-07 – Disclosure to Customers Engaged in Extended Hours Trading

Executive Summary
 The information technology revolution has provided investors with new execution choices. Of special note are the recent growth of alternative trading systems known as Electronic Communications Networks ("ECNs") and the increased opportunities for trading in the after-hours market. 
 Pursuant to a Congressional request, the Commission staff has prepared a Report analyzing the current operations of ECNs and after-hours trading, their impact on the securities markets, and recent regulatory initiatives that have been taken to address these developments. The Report discusses the types of market participants that subscribe to ECN services, as well as the benefits that ECNs provide to subscribers and the market as a whole. The Report also addresses Commission initiatives, such as the Order Handling Rules and Regulation ATS, which have served to more fully integrate ECN activities into the national market system, and outlines some recent developments involving ECNs. 
 The second part of the Report analyzes current trading dynamics in the after-hours market. In particular, the Report finds that after-hours trading volume remains relatively small, with most of this activity concentrated during the period immediately following the 4:00 p.m. regular session close. The Report also highlights the liquidity constraints and price volatility that investors continue to face in this market and outlines recent initiatives to improve transparency and extend essential investor protection and market integrity measures to this environment. The Report concludes with a discussion of the issues that would need to be addressed if the major markets decide to offer their own after-hours sessions. 
 Overall, the Report indicates that both the established markets and ECNs have sought to provide innovative mechanisms over the last few years to meet investor demands for greater flexibility in the timing of their trades and in their trading venues. The Commission remains strongly committed to working with the self-regulatory organizations and the securities industry to ensure that the regulatory structure, particularly in the areas of investor protection and market integrity, keeps pace with this rapidly changing environment. 

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Part I.  Introduction and Overview
 Technology has forever changed the way we go about our daily lives. The technological revolution has touched nearly every aspect of our society. The securities markets have been in the forefront of this phenomenon. 
 Technological advances have played a key role in the recent growth of alternative trading systems known as Electronic Communications Networks ("ECNs") and the increased opportunities for retail investors to trade securities in the after-hours market. In many ways, these two developments are interrelated. While ECNs currently conduct the vast majority of their trading during the regular trading sessions from 9:30 a.m. to 4:00 p.m.,1 averaging around 3% of share volume in exchange-listed stocks and 30% of the volume in Nasdaq stocks, the after-hours market has played a role in their development. One of the largest ECNs, Instinet Corp., initially established its market niche in the 1970s by providing after-hours services to institutional and professional traders. ECNs have sought an increasing role in after-hours trading by retail investors. 
 In the Conference Committee report for H.R. 3194, Congress directed the Commission to prepare a report on the recent growth of ECNs and developments in the after-hours market.2 This Report, prepared by the Division of Market Regulation ("Division"), analyzes the current operations of ECNs and after-hours trading, their impact on the overall securities market, and recent regulatory initiatives that have been taken to address these developments. The Division's analyses of ECN activity and trading in the after-hours market have drawn on data compiled by the Commission's Office of Economic Analysis ("OEA"). 
 Specifically, in Part II of the Report, the Division discusses how ECNs currently operate and their impact on the overall securities market. We discuss the types of market participants that subscribe to ECN services, including retail and institutional investors, market makers, and other broker-dealers. We outline some of the benefits that ECNs offer to subscribers, including anonymity in trading, as well as the benefits that ECNs provide to the market as a whole. The Division then discusses Commission initiatives, such as the Order Handling Rules and Regulation ATS, which have served to more fully integrate ECN activities into the national market system, and we outline some recent developments involving ECNs. 
 In Part III of the Report, the Division analyzes the after-hours market, including the expanded ability of retail investors to trade after the major markets close for the day. We discuss the evolving structure of the after-hours market, including the roles currently played by established markets such as the New York Stock Exchange and the Chicago Stock Exchange, as well as the Nasdaq Stock Market. The Division also analyzes the current trading dynamics of the after-hours market, including the concentration of trading activity immediately following the 4:00 p.m. regular session close, the apparent preponderance of institutional activity during this period, and the liquidity constraints and price volatility faced by investors in this market. The Division's findings in this area are consistent with OEA's analysis of market quality statistics during after-hours trading, provided as *Attachment C* to the Report. The Division also discusses recent efforts by the securities self-regulatory organizations ("SROs") to develop proposals to enhance investor protection and to address operational concerns stemming from widespread after-hours trading. In addition, the Report outlines recent initiatives to improve the transparency of the after-hours market and to extend essential investor protection and market integrity programs to this environment. The Report concludes with a discussion of issues that would need to be addressed if the major markets decide to offer their own after-hours sessions, including the need for new types of buy and sell orders to more fully take into account multiple trading sessions and the benefits of preserving 4:00 p.m. closing prices for stocks. 

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Part II.   Electronic Communications Networks
I. Overview of ECNs
A. Introduction
 Alternative trading systems, known as ECNs, have become integral to the modern securities markets, providing investors with enhanced flexibility and reduced trading costs, as well as competition to the established securities exchanges and the Nasdaq Stock Market. 
 Today, ECNs account for approximately 30% of total share volume and 40% of the dollar volume traded in Nasdaq securities.3 ECNs account for approximately 3% of total share and dollar volume in listed securities.4 In contrast, in 1993, ECNs accounted for only 13% of share volume in Nasdaq securities and only 1.4% of listed share volume.5
 The vast majority of ECN activity currently involves trading in Nasdaq securities during regular trading hours. In 1999, an average of 93% of ECN share volume was reported to be in Nasdaq securities.6 Approximately 96% of ECN share volume in Nasdaq National Market System ("NMS") securities was effected during the regular trading session from 9:30 a.m. to 4:00 p.m.7 The overall level of ECN activity in listed stocks remained relatively small in 1999, and around 26% of this share volume was effected in the after-hours market.8
B. ECNs – Who Are They and What Services Do They Provide?
 In simplest terms, ECNs bring buyers and sellers together for electronic execution of trades. The Commission has defined an ECN as any electronic system that widely disseminates to third parties orders entered into it by an exchange market maker or over-the-counter ("OTC") market maker, and permits such orders to be executed in whole or in part.9 The definition specifically excludes internal broker-dealer order-routing systems10 and crossing systems – *i.e.,* systems that cross multiple orders at a single price set by the ECN and that do not allow orders to be crossed or executed against directly by participants outside of the specified times. There currently are nine ECNs operating in our securities markets: Instinet, Island, Bloomberg Tradebook, Archipelago, REDIBook, Strike,11 Attain, NexTrade, Market XT, and GFI Securities.12
 ECNs have a wide variety of subscribers, including retail investors, institutional investors, market makers, and other broker-dealers. ECNs provide many market services to these subscribers. For example, ECN subscribers can enter limit orders into the ECN, usually via a custom computer terminal or a direct dial-up. The ECN will post those orders on the system for other subscribers to view. The ECN will then match contra-side orders for execution. In most cases, the buyer and seller remain anonymous to each other, with the trade execution reports listing the ECN as the contra-side party. In addition, subscribers may use such features as negotiation or reserve size,13 and may have access to the entire ECN book (as opposed to the "top of the book") that contains important real-time market data regarding depth of trading interest.14
II. Regulatory Initiatives
A. ECNs and the National Market System
 In 1975, Congress directed the Commission to facilitate the development of a national market system for securities ("1975 Amendments").15 At that time, Congress was concerned about the trading fragmentation and poor customer executions resulting from the trading of securities in separate, unconnected markets. The 1975 Amendments, as reflected in Section 11A of the Securities Exchange Act of 1934, were designed to set forth a framework in which competing markets would be linked together in ways that would produce the best prices and efficient executions. This framework included three minimum components. First, exchanges and dealers would publish both the prices at which they were willing to trade and the prices at which stocks were traded.16 Second, linkages between markets would assist customers in obtaining the best prices available for their orders in any market and encourage the best market prices to emerge. And third, broker-dealers would remain obligated to seek best execution of their customer orders. The Commission was charged with facilitating these goals while allowing maximum flexibility in the design of the national market system. An essential concept of a national market system was "to make information on prices, volume, and quotes for securities in *all* markets available to *all* investors, so that buyers and sellers of securities, wherever located, can make informed investment decisions and not pay more than the lowest price at which someone is willing to sell, or not sell for less than the highest price a buyer is prepared to offer."17
 When ECNs first developed, however, they were not integrated into the national market system, but primarily served as private trading vehicles for institutional investors and broker-dealers. Over time, as these subscribers posted prices in ECNs that were better than the prices they were posting in Nasdaq, the public quote became less reliable and the market became fragmented. This led to artificially wide spreads in the public markets. As a result, many investors, particularly retail investors, were receiving executions at prices inferior to those displayed by market makers and other subscribers on ECNs. This essentially created a two-tiered market – the traditional public market, and the new ECN market with better prices and limited access. 
B. Order Handling Rules
 In 1996, the Commission adopted the Order Handling Rules18 to address the two-tiered market that had developed. As described above, before the adoption of the Order Handling Rules, market makers could publish quotes in private ECNs that were better than the quotes they posted in the public markets. Use of the ECNs in fact enabled market makers to maintain artificially wide quotes in the public market. 
 Under the Order Handling Rules, market makers and specialists were required to reflect in their quote the price of any orders they placed in an ECN if the price was better than their own public quotation. This could be accomplished in one of two ways. Market makers could reflect these orders in their quote by communicating them as part of their quote to their exchange or national securities association (*i.e.,*  the NASD)19 or the ECN could provide the price directly to an exchange or association, which would then include the ECN information in the public quote made available to market data vendors ("ECN Display Alternative").20
 Thus, the ECN Display Alternative allowed an ECN to voluntarily act as an intermediary in communicating to the public quotation system the best price and size of orders for each security that had been entered into the ECN by a specialist or market maker. Under this alternative, an exchange specialist or OTC market maker would be considered to be in compliance with the ECN Amendment if the ECN it used: (1) provided to an SRO for inclusion into the public quotation system the prices and sizes of such orders at the highest buy price and the lowest sell price for the security; and (2) made it possible for any broker or dealer to access those orders as easily as if they had been published in the market maker quote. Currently, all of the ECNs have elected to use this alternative on behalf of their subscribing market makers.21
 The Order Handling Rules had an immediate impact on the securities markets. The spreads between bids and offers narrowed dramatically, which resulted in significant cost savings for investors.22 Moreover, the ECN Display Amendment helped to bring ECNs into the national market system. For the first time, market maker and specialist orders entered into ECNs were accessible to the public. 
 The Order Handling Rules, however, did not address how ECNs should be regulated in the markets. While market makers and specialists were required to comply with the ECN Amendment, ECN participation in the ECN Display Alternative was voluntary. The Order Handling Rules did not apply to the ECNs directly. 
 Further, the Order Handling Rules did not require *all* market participants to report to the public quotation stream the orders they placed in ECNs. Thus, in many cases institutional orders and non-market maker orders remained undisclosed to the public. This continued to impair price transparency. These concerns, along with the increase in the number of new electronic markets providing trading venues, led the Commission to consider how to incorporate these new trading venues into the national market system.23
C. Regulation ATS
 In December 1998, the Commission adopted Regulation ATS to establish a regulatory framework for alternative trading systems and to more fully integrate them into the national market system.24 In the adopting release for Regulation ATS, the Commission noted that, although alternative trading systems are markets, they historically were regulated as traditional broker-dealers, resulting in certain regulatory gaps. For alternative trading systems with significant volume, the regulatory approach that existed at that time did not provide investors with access to the best prices, failed to provide a complete audit trail or adequately surveil trading on alternative trading systems, and created the potential for market disruption due to system outages. 
 The Commission sought to close these regulatory gaps by adopting Regulation ATS. Under Regulation ATS, alternative trading systems could choose to be a market participant and register as a broker-dealer, *or* to be a separate market and register as an exchange. This approach allowed a trading system to choose the role it wished to play as a business. 
 Alternative trading systems with substantial trading volume – and therefore a potentially significant impact on the market – were required to comply with the following additional requirements. Alternative trading systems registered as broker-dealers were required to link with a registered exchange or the NASD and publicly display their best priced orders (including institutional orders) for those exchange-listed and Nasdaq securities in which they had 5% or more of the trading volume. Alternative trading systems also had to allow members of the registered exchanges and the NASD to execute against those publicly displayed orders. Only those orders that participants in an alternative trading system chose to display to more than one other participant had to be publicly displayed. Accordingly, the portion of orders hidden from view through "reserve size" features in alternative trading systems did not need to be publicly displayed.
An alternative trading system with 20% or more of trading volume also had to ensure that its automated systems met certain capacity, integrity, and security standards. This was intended to prevent the system outages – and resulting disruption to the market – experienced by some alternative trading systems during periods of heavy trading volume.
An alternative trading system with 20% or more of trading volume also had to refrain from unfairly denying investors access to its system. This requirement only prohibited 
unfair
 discrimination among persons seeking access. The systems were free to establish 
fair and objective
 criteria, such as creditworthiness, to differentiate among potential participants. 
 Smaller systems that chose to register as broker-dealers experienced few changes in their regulatory requirements. As registered broker-dealers, these alternative trading systems continued to be covered by the oversight of one of the self-regulatory organizations. Provided an alternative trading system had limited volume, it only had to file a notice with the Commission describing the way it operates, maintain an audit trail, and file quarterly reports. 
 In sum, after the adoption of Regulation ATS, ECNs could either register as exchanges, pursuant to Section 6 of the Exchange Act,25 and comply with and undertake the many self-regulatory functions that are encompassed in exchange registration, or remain registered as broker-dealers, pursuant to Section 15 of the Exchange Act,26 and comply with the requirements of Regulation ATS. Large ECNs were subject to additional requirements designed to address their market (as opposed to their broker-dealer) activities. To date, two ECNs have formally filed applications to register as exchanges.27 Other ECNs are currently regulated as broker-dealers and are subject to Regulation ATS. 
 In short, Regulation ATS recognized the evolving role that alternative trading systems play in our securities markets. It gave these systems the choice of registering with the Commission either as an exchange or as a broker-dealer. The option they chose – registering as a market ***participant***, or as a ***market*** – affected their rights and responsibilities. Regulation ATS provided alternative trading systems with a regulatory structure which incorporated them into the national market system, while preserving their flexibility. 
 In connection with the New York Stock Exchange's proposal to eliminate its rule limiting its members from dealing in its listed stocks, the Commission requested comment on the impact of fragmentation, particularly that arising from internalization of customer order flow. The Commission sought comment on whether this fragmentation undermined quote competition and the price discovery process in the market. The Commission also sought comment on alternative approaches of addressing fragmentation concerns.28
D. Recent Developments
*1. Linkages*
 Currently, the nine ECNs are linked to Nasdaq through SelectNet.29 This link allows each ECN to display its best orders for Nasdaq securities in the Nasdaq system, and allows the public to access those orders. 
 ECNs, however, are not linked to the exchanges. To more fully integrate ECNs into the listed markets, the Commission recently approved an NASD rule proposal to permit ECNs to register as ITS/CAES market makers.30 Nasdaq market makers that trade listed stocks are currently linked to the exchanges through Nasdaq's CAES system's interface with the Intermarket Trading System ("ITS") (these market makers are known as ITS/CAES market makers).31 ITS is an electronic order routing system that facilitates intermarket trading of exchange-listed securities by allowing a broker-dealer in one market center to send an order to another market center trading the same security at a better price. Through the ITS/CAES link, orders routed to an exchange floor may be routed to the OTC market for execution. Conversely, an OTC market maker may route orders to the exchanges for execution through the ITS/CAES link.32
 Linking alternative trading systems and ECNs to ITS by permitting them to register as ITS/CAES market makers will include ECN quotes in listed stocks in the consolidated quotation system for listed stocks, potentially improving the published prices and providing investors with better execution of their orders. Furthermore, alternative trading system and ECN participation in ITS/CAES should make the third market more dynamic and competitive. The NASD is currently working on the technical and programming modifications to their systems needed to support this linkage. 
*2. Fees*
 Under Regulation ATS, ECNs are required to provide access to non-subscribers to the quotes they place in the public quote stream. The access they provide must be consistent with the access provided to subscribers. While Regulation ATS does not prohibit ECNs from charging access fees, in the Regulation ATS release, the Commission stated that ECNs could not set fees that are inconsistent with equivalent access, such that the fees have the effect of creating barriers to access for non-subscribers. The Commission further stated that a SRO could regulate fees of its ECN members to ensure that any fees are charged in a manner consistent with the SRO's market (such as requiring the fee to be incorporated in the displayed quote). To prevent fees from being used to bar access to non-subscribers, ECNs are currently permitted to charge non-subscribers the fee they charge a "substantial proportion" of their "active" broker-dealer subscribers, under the terms of their no action letters.33
 Broker-dealers have a duty of best execution in handling customer orders that generally obligates broker-dealers to seek the best prices for those orders. At times, an ECN may display the best price for a security. If a broker-dealer routes an order to an ECN, however, the ECN may charge a fee that may add significantly to the cost of executing the order. By contrast, market makers may not charge fees for access to their quotes. The Division is currently analyzing ECN fees and their impact on best execution, as well as the market as a whole. 

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Part III.   After-Hours Trading
I. Overview
 Trading in U.S. stocks outside of regular market hours is not a new phenomenon. For years, institutional investors and market professionals have sent their after-hours orders to broker-dealers for execution on ECNs or non-U.S. markets. 34 These market participants traditionally have been willing to accept the risks of trading outside of regular market hours, including the potential price volatility and lack of liquidity, because they operate sophisticated worldwide trading strategies that require them to make 24-hour adjustments to their portfolios and risk containment hedges.35 Moreover, many of these institutions avoid market risks by negotiating the execution prices of their after-hours trades beforehand.36
 The after-hours market, however, is increasingly driven by many of the same technological advances and investor demands that are transforming the securities market as a whole. Starting in mid-1999, growing numbers of broker-dealers began providing their retail customers with the ability to have their orders directed to ECNs after the major markets close for the day. 
 The Commission supports investor choice in trading hours provided that essential protections for investors and the markets are not compromised. Given the reach of today's technology and the global nature of the current securities markets, it was perhaps inevitable that some investors would seek expanded opportunities to effect their securities transactions outside of traditional market hours. Over the past few years, the Commission has been supportive of initiatives by the securities markets and ECNs that promise to give investors the benefits of expanded competition among trading venues and increased flexibility in the timing of their trades. 
 This part of the Division's Report discusses the structure and trading dynamics of the current after-hours market, as well as recent regulatory initiatives taken by the SROs and the Commission to develop a framework for further developments in this market. 
A. Structure of the After-Hours Market
 It is important to keep in mind that there are several different trading venues in the current after-hours market in U.S. stocks. While media reports can give the impression that all after-hours volume is handled electronically by ECNs such as Instinet and Island, the actual post-4:00 p.m. trading environment is more complex. 
 Most of the nation's stock exchanges have for years offered investors at least some opportunities to have their orders executed after the 4:00 p.m. regular session close. For example, both the New York Stock Exchange and American Stock Exchange provide crossing sessions in which matching buy and sell orders can be executed at 5:00 p.m. at the exchanges' 4:00 p.m. closing prices.37 In addition, four regional exchanges currently have post-primary trading sessions: the Boston Stock Exchange ("BSE") and the Philadelphia Stock Exchange ("Phlx") have post-primary sessions that operate from 4:00 p.m. to 4:15 p.m.; the Chicago Stock Exchange ("CHX") and the Pacific Exchange ("PCX") operate their post-primary sessions until 4:30 p.m. As discussed below, since October 29, 1999, the CHX has also operated an "E-Session" to handle limit orders from 4:30 p.m. to 6:30 p.m.38
 The after-hours volume in NYSE-listed securities handled by the stock exchanges is substantial. For example, on the sample date of January 18, 2000,39 consolidated tape data indicate that the exchanges accounted for over 92% of the share volume in NYSE-listed securities between 4:00 p.m. and 6:30 p.m. Some of this exchange volume included regular session closing transactions on the NYSE that were reported to the tape shortly after 4:00 p.m. Nevertheless, even if the entire volume reported by the NYSE between 4:00 p.m. and 4:15 p.m. was excluded from the Jan. 18 sample, the remaining exchanges still accounted for 69% of the after-hours volume in these securities.40 While this situation may change as ECNs expand their activities in NYSE-listed securities, the role of the stock exchanges in after-hours trading should not be overlooked. 
 Moreover, it is important to recognize that a variety of market participants, not just ECNs, have been active for years in the after-hours market for Nasdaq securities. Key Nasdaq trading and price reporting systems, such as SelectNet, Automated Confirmation Transaction Service, Nasdaq Trade Dissemination Service, and the Nasdaq Trade Dissemination Service, have operated until 5:15 p.m. since 1992.41 These services are used by market makers and other broker-dealers, as well as by ECNs, to trade after the 4:00 p.m. close of the regular trading session. As discussed below, while ECNs are active in after-hours trading, other entities account for over half of the total after-hours share volume in Nasdaq securities. 
B. The Trading Dynamics of the After-Hours Market
 Historically, after-hours trading was concentrated in the period immediately following the 4:00 p.m. regular session close and there were limited numbers of issues with significant market liquidity after this initial post-close trading activity.42 This continues to be the case today. A phrase that is often heard is that after-hours trading remains a "market of stocks" rather than a true "stock market." While further enhancements to market transparency and advances in linkages among after-hours trading venues may improve the liquidity of this market in the years to come, full-fledged 24-hour a day trading in U.S. stocks remains in the future. 
*1. Volume Distribution*
 The current level of trading after hours is extremely low in comparison with that of the regular sessions in exchange-listed and Nasdaq securities. On the sample date of Jan. 18, only 3% of the share volume in NYSE-listed securities was effected after 4:00 p.m. Similarly, share volume from post-4:00 p.m. trades in Nasdaq securities on Jan. 18 accounted for only 3% of the daily total. Moreover, the vast majority of after-hours share volume in both NYSE-listed and Nasdaq securities was effected shortly after the regular session close. 
 The share volume distribution in NYSE-listed securities throughout the regular session and after-hours period on Jan. 18 is illustrated in the graph provided at *B-1*.43 The graph's presentation of consolidated tape share volume in 15-minute increments shows the usual heavy volume surges at the regular session opening and close with a small volume run-off immediately after 4:00 p.m. and a small volume rise at 5:00 p.m. as NYSE crossing session volume is reported. The graph at *B-2* shows that the sharp decline in volume levels in listed stocks after 4:00 p.m. is evident even if all NYSE volume is excluded.44
 The concentration of after-hours trading in NYSE-listed securities during the periods immediately following the 4:00 p.m. close is shown in the graphs provided at *B-5* and *B-6*. In fact, less than 1% of the total NYSE-listed share volume after the close was effected from 5:30 p.m. to 6:30 p.m. The graphs at *B-7* and *B-8* indicate that this pattern holds even if the regular session runoff and crossing session volumes on the NYSE are excluded. Again, less than 1% of the total after-hours share volume on the regional exchanges and third market combined was executed from 5:30 p.m. to 6:30 p.m.45
 The intra-day volume distributions in Nasdaq securities appear to be similar to those in NYSE-listed securities. The graph at *B-11* shows an inverted bell curve pattern for Nasdaq volume during the regular session on Jan. 18, with a sharp drop-off in volume after the close. The graph at *B-12* shows that 73% of the total after-hours volume in Nasdaq securities occurred in the 4:00 p.m. to 4:15 p.m. period.46 The graph at *B-13* illustrates the rapid decline in volume levels from 4:15 p.m. to 6:30 p.m. While this drop-off in Nasdaq volume is less abrupt than that indicated in NYSE-listed securities on the same trade date, Nasdaq volume between 5:30 p.m. and 6:30 p.m. still accounted for only 3% of the total after-hours volume in these securities. 
*2. Volume after 6:30 p.m.*
 The Division's analyses of after-hours trading are largely based on consolidated tape information that is disseminated on a daily basis until 6:30 p.m. The Office of Economic Analysis analyzed Nasdaq share volume on selected trade dates in January and February47 to determine if significant share volume was effected after tape dissemination ceased at 6:30 p.m.48 OEA found that an average of only 5.4% of after-hours volume was effected from 6:30 p.m. to 11:59 p.m. on these dates, with an additional 1.9% of total after-hours volume effected from 12:00 a.m. to 8:00 a.m. on the next day. In short, based on this sampling, there is little evidence that significant after-hours activity routinely occurs after tape dissemination ceases at 6:30 p.m. 
*3. Average Share Size*
 The Division's intra-day analysis of average share size for transactions on Nasdaq appears to indicate that much of the after-hours activity immediately after the 4:00 p.m. close remains institutional in nature, with retail activity becoming more prominent thereafter. For example, the graph at *B-14* indicates that the average share size for trades on Nasdaq from 9:30 a.m. to 4:00 p.m. on Jan. 18 was 714 shares. From 4:00 p.m. to 4:15 p.m., however, the average share size spiked to over 2,000 shares and continued at over a 1,000 shares for four additional 15-minute intervals. This increase in average share size typically would indicate that institutional investors were active during this period. From 5:45 p.m. to 6:30 p.m., however, smaller sized retail activity was indicated with average share volume dropping to 358 shares. The graph at *B-15* shows that this intra-day pattern held for the four trade dates from Jan. 18 to 22, 2000. From 9:30 a.m. to 4:00 p.m., the average share size was 735 shares, while the average share size surged to 2,242 shares from 4:00 p.m. to 5:00 p.m. and dropped back to only 496 shares during the interval from 5:00 p.m. to 6:30 p.m. 
*4. Breakdown of ECN Activity*
 As discussed above, it would be a mistake to assume that all after-hours trading is conducted by ECNs. Data supplied to the Division by Nasdaq 49 indicate a more complex picture of after-hours trading, with the level of ECN trading fluctuating on particular days and time periods. 
 The Division focused on trading by the ten most active firms in the after-hours market in Nasdaq securities for each trade date from Jan. 18 to 21. The graph at *A-5* shows that the proportion of ECN activity ranged from a low of 20% on Jan. 18 to a high of 66% on Jan. 21. For the four trade dates, ECNs effected an average of 41% of total Nasdaq share volume from 4:00 p.m. to 6:30 p.m. 
 The graphs at *A-6* show that, while the total after-hours share volumes by the ECNs were generally largest from 4:00 p.m. to 4:30 p.m., ECN activity as percentages of total volume were often greatest as overall volume declined during the period from 5:15 p.m. to 6:30 p.m. The graphs at *A-7* support these findings. Specifically, while the average amount of share volume effected by ECNs from Jan. 18 to 21 declined from over 2 million shares from 4:00 p.m. to 4:30 p.m. to slightly less than 1.5 million shares from 5:15 p.m. to 6:30 p.m., the percentages of total ECN volume during these intervals grew from 36% to 63%, respectively. The relative increase in ECN activity after 5:15 p.m. appears to be consistent with the Division's finding that the average share size of Nasdaq trades declined during this post-5:15 p.m. period. As discussed above, smaller average transaction share size is usually associated with increased activity by retail investors who tend to route their after-hours trades through ECNs. 
*5. Liquidity Constraints and Price Volatility*
 Most stocks that trade in the after-hours market trade only during the period immediately after the 4:00 p.m. regular session close. For example, on sample date Jan. 18, a total of 2,077 Nasdaq issues traded from 4:00 p.m. to 6:30 p.m., representing 43% of the Nasdaq issues that traded that day. As indicated in the graph at *B-16*, however, the number of Nasdaq stocks traded after-hours on Jan. 18 declined sharply after the initial 4:00 p.m. to 4:15 p.m. interval; while 1,994 issues traded during this initial period, only 469 issues traded from 4:15 p.m. to 4:30 p.m. After 5:15 p.m., only about 100 issues traded. 
 Most of the after-hours trading volume still appears to be concentrated in a small number of stocks, particularly those that have been the subject of major corporate news announcements issued after the 4:00 p.m. regular session close.50 As a result, sharp price swings in these issues in the after-hours market are not unusual. For example, the issuers for the two most active stocks in the after-hours market on Jan. 18, Microsoft Corp. and Corel Corp., both issued post-close earnings reports on that day. 
 During the regular session on Jan. 18, Microsoft shares closed at 115 5/16. Following the post-4:00 p.m. release of the company's earnings report, 2.9 million shares of Microsoft were traded by 6:30 p.m., leaving shares at 112 ¾, down 2 9/16 (2.2%) from the 4:00 p.m. close. This after-hours volume represented 7.2% of the daily volume on Jan. 18. Microsoft shares reopened at 9:30 a.m. on Jan. 19 at 110 ½ and ended the regular session at 107 with volume of 48.8 million shares.51
 The second most active issue in the after-hours market on Jan. 18, Corel, ended the regular session at 20. Following the company's post-4:00 p.m. earnings report, 1.39 million shares traded by 6:30 p.m., leaving shares at 23 23/32, up 3 23/32 (18.6%) from the regular session close. After-hours volume in this less liquid stock represented 32% of the total daily volume on Jan. 18. Share prices reopened the next morning at 21 7/8, with prices generally declining thereafter to close at 20 9/16 on volume of 8.5 million shares.52
 Not surprisingly, the largest percentage price swings in the after-hours market are often experienced by extremely illiquid "penny stocks" in which small absolute price swings translate into large percentage changes. For example, the largest percentage price gain in the Jan. 18 after-hours market was in shares of Western Water Co., which traded from a price of 1 1/32 at 4:00 p.m. to rise to 1 15/32 at 6:30 p.m., representing a gain of 42%.53 The largest percentage price decline was in shares of Covol Technologies, which ended at 6:30 p.m. at a price of 1 1/16 for a decline of 19% from the regular session close.54
 The Division's analysis of after-hours trading on the sample date of January 18 highlights the liquidity constraints and price volatility faced by investors in this market. These findings are consistent with OEA's analysis of market quality statistics during after-hours trading, provided as *Attachment C* to the Report. OEA analyzed quotations spreads, trading costs, and price volatility for regular session and after-hours trading in the 15 largest capitalization stocks in the Nasdaq 100 index for February 7-11, 2000. This analysis indicated that market quality in these securities deteriorated significantly after the regular session close. For example, the average (median) quote spread in these stocks more than tripled (from 8 cents per share from 9:30 to 4:00 p.m. to 26 cents per share from 4:00 p.m. to 6:30 p.m.). Effective spreads, a measure of trading costs, increased from 13 cents per share to 36 cents per share in after-hours trading. Trade price volatility, a measure of the average price change between trades, was 5 cents during regular hours and increased to 15 cents in after-hours trading.55
 In sum, the analyses performed by both the Division and OEA indicate that investors need to carefully consider the heightened trading costs and potential risks of the current after-hours market before directing their orders to this venue. 
II. Regulatory Initiatives
A. Increased Access by Retail Investors to the After-Hours Market
 Beginning in mid-1999, increasing numbers of broker-dealers began offering their retail customers the opportunity to direct their orders to ECNs so that the orders would be eligible for execution after the regular session close. As discussed above, these developments promised retail investors some of the same flexibility in after-hours trading that institutions and professional traders have had for years. 
 While the Commission was generally supportive of these developments, it was clear that more needed to be done to adequately disclose to retail investors the potential risks of trading in the often illiquid and volatile after-hours market and to consider the ramifications of widespread after-hours trading for key investor protection and market integrity regulations. The Commission's concerns were heightened in early 1999 when the major markets appeared to have been rushing into their own after-hours trading sessions without first adequately considering critical investor protection and operational issues.56
B. After-Hours Trading Summit and SRO Working Groups
 On June 30, 1999, Chairman Levitt, NYSE Chairman Richard Grasso, and NASD Chairman Frank Zarb jointly hosted an after-hours summit that laid the groundwork for a more thorough consideration of the issues raised by widespread after-hours trading. The more than 40 participants in the Summit included consumer protection advocates and representatives from all facets of the securities industry, including large and small brokerage firms, on-line investment firms, ECNs, clearing firms and organizations, as well as representatives from the other SROs. At the Summit, the NYSE and NASD announced that they were forming several Working Groups that would canvass a wide range of viewpoints on after-hours trading from both inside and outside the securities industry.57 These Working Groups were directed to produce recommendations concerning issues related to investor protection and potential changes to trading conventions, as well as operational issues related to clearance and settlement. 58
 The Working Groups issued their final reports to the NASD and the NYSE in early October 1999. The NASD and NYSE posted the reports on their web sites to provide the public with an opportunity to review and comment on the Working Groups' recommendations.59
*1. Investor Protection and Education*
 Investor protection issues are of paramount importance in any market, and especially in the current after-hours trading environment. The Working Group on Investor Protection and Education was formed to examine common standards that could be developed to maximize protections and minimize confusion for investors. The recommendations of the Working Group included the following: Full disclosure of the nature and risks of extended hours trading for investors should be required, and a best practices document should be adopted industry-wide.
Investors should be required to give specific instructions to their broker-dealers to "opt in" to having orders eligible for execution in the after-hours market.
Given the current nature of the market, investors should use limit orders.
The industry should coordinate an education campaign on after-hours trading to reach investors through printed materials, web sites, and public service announcements. 
 In addition to issuing these recommendations, the Working Group outlined best practices and disclosure guidelines for broker-dealers to ensure that customers, prior to participating in after-hours trading, are knowledgeable about the nature of the market and how each firm operates in that market, and are fully aware of the risks and opportunities associated with after-hours trading. 60
*2. Clearance & Settlement and Operations Issues*
 The Working Group on Clearance & Settlement and Operations Issues examined not only the clearance and settlement process, but also issues surrounding back-office operations and risk management procedures at broker-dealers. In addition, the Working Group considered the implications for margin calculations and various critical Commission and SRO rules relating to back-office operations, including the Commission's net capital rule. The Working Group's recommendations included the following: After-hours stock trades should be processed as "same day" trades, with settlement by the third day after the trade date ("T+3").
Orders should be specific to a session, and should not carry over from the traditional trading period to the after-hours session, or the reverse, unless specifically designated. There should be new types of orders available to investors, including: (i) orders designated for the after-hours session; (ii) orders entered during the day session and designated to extend to the after-hours session; (iii) good-till-cancelled orders designated to remain active through the day and after-hours session; and (iv) good-till-cancelled orders entered in the after-hours session and designated to carry over to the next day.
The traditional trading session should stop at 4:00 p.m., and the after-hours session should begin one hour later. A break between the day and evening sessions would: (i) allow time for the 4:00 p.m. closing price to be captured; (ii) provide a window for corporate announcements; (iii) give specialists and market makers time to adjust their order books; (iv) give member firms and processors time to close and re-open their systems; and (v) reinforce the message that the after-hours trading session is a fundamentally different type of market.
Closing prices for reporting, valuations, etc., should be based on the 4:00 p.m. close of the traditional trading day.
Issuers should be encouraged to make corporate announcements during the period between the day and after-hours sessions. 
*3. Trading Conventions*
 Prior to widespread after-hours trading by the major markets, there should be some consensus on trading conventions that could affect the U.S. capital markets and the national market system. This Working Group examined issues involving the dissemination of market data, trading halts for news and other corporate developments, intermarket trading rules, lending issues, and mutual fund valuations. 
 The Working Group tried to reconcile and distinguish between the different after-hours trading environments that existed at the time of its report and those that might exist in the future. As a result, some of the Working Group's recommendations apply if the primary exchanges extend their trading hours. Other recommendations apply even if the primary exchanges do not move to full scale after-hours trading, but retail trading continues to occur after-hours. The Working Group's recommendations included the following: The consolidated tape for last-sale and quotation information should be used for after-hours trading. Regulations that govern the usage of these systems and best execution during traditional trading hours should be continued in the after-hours trading session.
If the primary markets decide to offer their own after-hours sessions, they must determine if they need to extend their regular session trading rules to assure liquidity and the maintenance of an orderly market by their members. When primary markets are not open, certain responsibilities should rest with broker-dealers and ECNs who participate. Bids and offers should be displayed with the percentage change from the 4:00 p.m. closing price. Only limit orders should be accepted. Brokers who accept orders should disclose clearly the hours during which they will attempt to execute and protect orders, as well as any other limitations on their ability to do so. Even if the primary exchanges are closed, the SROs should have the ability to halt trading in single stocks under certain circumstances.
When the primary markets are not open, principles of best execution should continue to apply to broker-dealers and ECNs accepting orders in the after-hours market. Broker-dealers and ECNs who choose to accept after-hours orders should be held to the investor protection and market integrity rules of the SROs and the Commission.
61
Because the primary market closing price has become the standard of valuation for many financial instruments and settlements, a "closing price" mechanism should be preserved by the primary exchanges and set at 4:00 p.m. This should be followed by a break of at least 60 minutes before reopening for an after-hours trading session.
The Working Group believed that the break between the regular and after-hours sessions would provide an opportunity for the orderly public dissemination of corporate news, thereby reducing the need for SROs to impose possibly disruptive 
ad hoc
 trading halts in specific securities.
The Working Group noted that the Commission should examine its rules to assure flexible pricing conventions for primary and secondary securities offerings, so that pricing can occur either in the post-4:00 p.m. break or prior to the day's market opening. Specifically, the Commission should consider permitting verbal confirmation (and booking) of purchases subject only to: (i) final pricing (
e.g.
, within a prescribed price range) and (ii) the SEC's declaration of effectiveness of the registration statement. This would allow issuers and underwriters the flexibility to price at 4:00 p.m., following the after-hours session, or before the 9:30 a.m. regular session opening. 
C. SRO Initiatives
*1. NASD Model for Investor Disclosure*
 As discussed above, the report of the Working Group on Investor Protection and Education provided firms with best practices and disclosure guidelines regarding retail customer participation in the often illiquid and volatile after-hours market. On January 28, 2000, the Commission announced that it had approved proposed NASD Regulation Notice to Members No. 00-07 that reminded member firms that they have an obligation to their retail customers under existing NASD rules to disclose the material risks of after-hours trading before permitting customers to engage in this activity.62These rules include NASD Rule 2110 (just and equitable principles of trade), and NASD Rule 2210 (the advertising rule, which requires that all communications with the public be based on principles of fair dealing and good faith). While the Notice did not require a standard disclosure, NASD Regulation staff provided model after-hours trading risk disclosures as guidance to member firms. The Notice recognized that members were free to modify the model disclosures, or draft disclosures of their own, provided they address, at a minimum, all of the material factors outlined in the Notice. 
*2. Transparency Enhancements*
 As discussed above, the Working Groups recognized the critical need for more transparency in the after-hours market. Specifically, the Working Groups recommended that the consolidated last-sale and quotation information that is available for the regular trading sessions should be extended to cover the after-hours market. The Commission approved several SRO programs in October 1999 that were designed to further these goals. 
*a. Nasdaq Extended Hours Pilot*
On October 13, 1999, the Commission approved on a temporary or "pilot" basis a Nasdaq program to extend the operation of key trade and price reporting systems until 6:30 p.m.63These systems include SelectNet, Automated Confirmation Transaction Service, Nasdaq Trade Dissemination Service, and the Nasdaq Trade Dissemination Service. 
 It is important to recognize that the pilot does not expand the Nasdaq regular trading session beyond 4:00 p.m.; it simply extends the post-close operation of some key systems from 5:15 p.m. to 6:30 p.m.64 Under the pilot, the posting of quotations and trading of securities by NASD members during the period of time following Nasdaq's normal market close and before 6:30 p.m. is voluntary. If a Nasdaq market maker chooses to post quotations and trades during the 4:00 p.m. to 6:30 p.m. period, however, it is obligated to post firm two-sided quotations when opening and making its market. NASD member firms that choose not to open their market and instead send customer or proprietary orders to other market participants for display and/or execution (or that choose to hold those orders until the next day's regular trading session) are not obligated to post firm two-sided quotes. Regardless of an NASD member's quotation activity, all transactions in Nasdaq National Market, SmallCap, Convertible Debt and OTC transactions in exchange-listed securities executed between the hours of 8:00 a.m. and 6:30 p.m. must be reported to ACT within 90 seconds. 
 As discussed below, this greater market transparency for after-hours trading provides broker-dealers with essential price information needed to meet their best execution duties for customer orders in the after-hours environment and also supports the extension of key investor protection regulations to this market. 
*b. Chicago Stock Exchange E-Session Pilot*
On October 13, 1999, the Commission also approved the Chicago Stock Exchange's pilot program for an "E-Session" that operates from the end of its existing post-primary session at 4:30 p.m. to 6:30 p.m.65
 While trading during the E-Session is conducted in many respects as it is during the CHX's primary trading session, the CHX added new features to more fully automate the transmission of orders and to provide additional protections to investors who trade after-hours. To participate in the E-Session, investors are limited to the use of unconditional limit orders, and each limit order must be affirmatively designated for trading in the E-Session, to prevent a situation where an investor unknowingly participates in after-hours trading. Any orders that remain unexecuted at the close of the E-Session are automatically canceled, and are not carried over to any other trading session.66Specialists continue to make two-sided, continuous markets in their assigned stocks.67
 One of the major benefits of the CHX E-Session Pilot is that the consolidated tape for exchange-listed stocks now continues to operate until 6:30 p.m.68 Together with the Nasdaq Extended-Hours Pilot and the NASD's 90-second trade reporting requirements for OTC transactions in listed stocks, the running of the consolidated tape significantly enhances the ability of investors to have access to essential price information for the critical 4:00 p.m. to 6:30 p.m. segment of the after-hours market. 
D. Investor Protection and Market Integrity Rules
 When the SRO extended-hours pilots were initiated in October 1999, both the SROs and the Commission determined that essential investor protection and market integrity rules should apply to the after-hours market. 
*1. Manning Rule*
 The proposal for the Nasdaq Extended-Hours Pilot included modifications to NASD Rule 4617 (Normal Business Hours) to make clear to Nasdaq market makers who voluntarily open their markets after the traditional close that, except as modified by the proposal, they are generally obligated to conduct their business during the extended session in conformity with all NASD Rules.69 In addition, Nasdaq amended NASD IM-2110-2 (also known as the "Manning Rule") to extend its applicability until 6:30 p.m.70 The Manning Rule prohibits an NASD member firm that is holding a customer limit order from trading for that member's market making proprietary account at a price that would satisfy the customer's limit order without executing that customer limit order.71
*2. Firm Quote Rule*
 In general, Exchange Act Rule 11Ac1-1(b)(1)(ii) requires an association to disseminate the best bid, offer, and quotation sizes for subject securities whenever "last sale information with respect to reported securities is reported [by a member acting in the capacity of an OTC market maker] pursuant to an effective transaction reporting plan." NASD members, including OTC market makers, who choose to trade from 4:00 p.m. to 6:30 p.m. are required to report last sale information pursuant to the NASD's rules, and the NASD disseminates quotes during this time. These procedures, in turn, trigger Exchange Act Rule 11Ac1-1(c)(2) (the "Firm Quote Rule"), which generally obligates OTC market makers to execute any order to buy or sell a subject security, other than an odd-lot order, presented to it by another broker or dealer, or any other person belonging to a category of persons with whom such responsible broker or dealer customarily deals, at a price at least as favorable to such buyer or seller as the responsible broker's or dealer's published bid or published offer. Thus, if an OTC market maker chooses to quote in the extended-hours period, it is required to honor its quotes up to the published size. 
*3. ECN Display Alternative*
 Similarly, the reporting of last sale information to the NASD triggers the ECN Display Alternative.72 Accordingly, an order entered by a market maker into an ECN that widely disseminates the order is deemed to be a bid or offer to be communicated to the market maker's association for at least the minimum quotation size required by the Association's rules if the priced order is for the account of the market maker, or the actual size of the order up to the minimum quotation size required if the priced order is for the account of a customer. The ECN Display Alternative deems the market maker to be in compliance with this requirement if the ECN displays the market maker's order in Nasdaq. Thus, if an ECN is receiving OTC market maker orders before 6:30 p.m., the ECN must transmit those orders through SelectNet for display in the Nasdaq montage, or the OTC market maker must post the quote separately in its own quote line in the montage in order to be in compliance with the ECN Display Alternative. 
*4. Limit Order Display Rule*
 In addition, Exchange Act Rule 11Ac1-4 (the "Limit Order Display Rule") is not limited to regular trading hours, but also applies to market makers that choose to participate in after-hours trading sessions. Simply put, the Limit Order Display Rule requires an OTC market maker to publish immediately a bid or offer that reflects the price and full size of each customer limit order that improves the bid or offer of the OTC market maker, and that reflects the full size of the customer limit order that is priced equal to the bid or offer of the OTC market maker or the national best bid or offer, and represents more than a *de minimis* change in the size of the OTC market maker's bid or offer.73
*5. Regulation ATS*
 Regulation ATS also applies to market participants who choose to operate from 4:00 p.m. to 6:30 p.m. Any alternative trading system that has five percent of more of the average daily trading volume in a security must display its best orders in that security in the public quotation stream during regular trading hours. Under Regulation ATS, in calculating their volume, alternative trading systems must include *all* trades executed during the twenty-four hours that constitute a day. Thus, any alternative trading system that meets the five percent threshold must display its orders in the public quotation stream whenever the public quote systems make display possible. 
E. Current Issues
*1. Potential Enhancements to Nasdaq Extended-Hours Pilot*
 Nasdaq officials have informed the Commission staff that they are considering whether it might be appropriate to apply some additional trading rules to the Extended-Hours Pilot. As noted above, NASD Rule 3350 ("NASD Short Sale Rule") is currently applicable only to the Nasdaq regular session. Nasdaq officials are seeking to determine if the after-hours market has developed to the point that the application of the NASD Short Sale Rule to trading from 4:00 p.m. to 6:30 p.m. would be beneficial to mitigate the high levels of price volatility that are often experienced after the regular session close.74 Similarly, Nasdaq officials are considering whether the application of NASD rules prohibiting "locked" and "crossed" markets for quotations from 4:00 p.m. to 6:30 p.m. would improve the trading environment during this period. 75 Eventually, Nasdaq will determine whether to propose a full-fledged after-hours trading session in which market-maker participation would be mandatory and all normal trading rules would apply. 
*2. After-Hours Sessions for the Major Markets*
 If Nasdaq decides to pursue a full-fledged after-hours trading session or the NYSE decides to develop a new type of post-4:00 p.m. trading session in lieu of its current limited crossing sessions, they would need to file rule change proposals with the Commission for notice and comment. This would give the public and other interested parties an opportunity to comment on the structure and trading rules applicable to the new sessions before the Commission determines whether to approve the proposals. While the recommendations from the Working Groups are not binding in terms of after-hours session proposals, the Commission would need to consider a number of key issues that were addressed by the Working Groups if the major markets propose full-fledged after-hours sessions. 
*a. Development of New Order Types*
If the major markets decide to implement after-hours trading sessions, there will be a need to develop standardized order types to avoid investor confusion and to ensure that these orders receive best executions. For example, as discussed above, the Working Groups recommended consideration of at least the following order types to take into account the new trading sessions: Orders designated for the after-hours session.
Orders entered during the day session and designated to extend to the after-hours session.
Good-till-cancelled orders designated to remain active through the day and after-hours session.
Good-till-cancelled orders entered in the after-hours session and designated to carry over to the next day. 
 The Division believes that, before widespread after-hours trading begins, the SROs should consider whether these or other order designations would serve to minimize confusion concerning when particular buy or sell orders would be eligible for execution. 
*b. Preservation of 4:00 p.m. Closing Prices*
The Working Groups noted that investors and the securities industry have come to rely on 4:00 p.m. closing prices in equity securities for a variety of valuation purposes. Regular session closing stock prices are also used by many other parties in today's financial industry, including investment companies and advisors, banks, lawyers, accountants, and other professionals, to value positions and liabilities in a variety of contexts. Moreover, closing prices play a role in a number of the Commission's regulations in areas such as secondary offerings. The Division believes that proposals by the major markets for after-hours trading sessions should make provisions to preserve distinct regular session closing prices for equity securities. 
III. Conclusion
 Despite recent advances in trading venues and enhanced market transparency, the after-hours market in stocks remains an often illiquid and volatile market that requires retail investors to exercise caution when attempting to capture short-term profits by trading after the major markets close. Even in relatively liquid stocks, steep after-hours price swings can surprise investors that base their trading decisions on the regular session's closing prices. In less liquid stocks, investors need to be even more cautious to avoid receiving surprisingly unfavorable prices after the regular session close. 
 Nevertheless, the Commission recognizes that, in today's electronic world, investors will continue to seek greater flexibility in the timing of their trades and trading venues. Thanks to the information technology revolution, today's investors enjoy unprecedented access to the nation's markets. Investors have at their fingertips the ability to direct their own investment decisions. With a click of the mouse, investors can review the performance of their portfolios on a near real-time basis. They can retrieve vast amounts of market information to make informed investment decisions – and when they have made a decision, they can again click the mouse and place their orders. While the after-hours market is still in its infancy, investor demands could someday make after-hours trading a mature, robust trading session. 
 Both the established markets and ECNs have sought to provide innovative mechanisms to meet investor demands for after-hours trading. The Commission remains committed to working with the SROs and the securities industry to ensure that the regulatory structure, particularly in the areas of investor protection and market integrity, keeps pace with this rapidly changing environment. 

Top   
Footnotes
1All times are Eastern. 

2*See* Division B of the Conference Committee Report on H.R. 3194 (H. Rept. 106-479), Public Law 106-113, at Cong. Record Vol. 145, No. 163, Part II, pg. H12308, Nov. 17, 1999. 

3The graphs provided at *A-1* show that, while total share volume by ECNs in Nasdaq securities rose from about 18 billion shares in the first quarter of 1999 to around 26 billion shares in the fourth quarter, the percentage of total share volume attributed to ECNs remained at approximately 30% throughout the period. These graphs are based on data compiled by OEA from routine quarterly reports submitted by ECNs to the Commission as well as data supplied by Nasdaq web sites. It should be noted, however, that there apparently are some significant differences in methodologies employed among ECNs in compiling their trading statistics. As a result, aggregate trading statistics for ECNs are, at best, approximations. 

4The graphs provided at *A-2* indicate that, while total share volume by ECNs in NYSE-listed securities rose from about 1.56 billion shares in the first quarter of 1999 to around 1.77 billion shares in the fourth quarter, the percentage of total share volume attributed to ECNs remained at approximately 3% throughout the period. 

5*See* Division, *Market 2000, An Examination of Current Equity Market Developments* (January 1994)("Market 2000 Report"), at II-13. The graph in the upper portion of *A-3* shows the growth in ECN share volumes in Nasdaq securities since 1993. The graph in the lower portion of *A-3* shows a similar proportionate increase in ECN activity in NYSE-listed securities since 1993. 

6The graph in the upper portion of *A-4* illustrates the preponderance of ECN activity in Nasdaq securities. 

7The relatively limited role of ECNs in after-hours trading in Nasdaq securities is shown in the graph in the middle portion of *A-4*. 

8The larger percentage of after-hours trading in listed securities by ECNs is shown in the graph in the lower portion of *A-4*. 

9Exchange Act Rule 11Ac1-1, 17 CFR 240.11Ac1-1. 

10These order-routing systems may be operated by, or on behalf of, an OTC market maker or exchange market maker that executes customer orders primarily against the account of such market maker as principal, other than riskless principal.

11The Strike ECN recently consolidated with BRUT. Strike operates on the technology platform previously used by BRUT. *See* letter from Belinda Blaine, Division Associate Director, to J. Craig Long, Foley & Lardner, dated January 14, 2000.

12Market XT is an ECN only for the after-hours market. 

13The negotiation feature permits subscribers to conduct anonymous negotiations over price and size. Reserve size orders are orders that show only a part of the available size, permitting subscribers to enter large orders that can be displayed and executed in part.

14*See* Regulation of Exchanges and Alternative Trading Systems, Exchange Act Release No. 40760 (December 8, 1998), 63 FR 70844 (December 22, 1998).

15*See* 15 U.S.C. 78k-1.

16Congress considered the public availability of quotation information to be critical to fair and competitive markets because published quotations provide investors, broker-dealers, and other market participants with essential information about the condition of the market. This information assists investors in making investment decisions and in finding the best market for a security, while also making it possible for investors to evaluate the quality of their executions.

17*See* Order Handling Rules at 88 quoting SEC, *Statement of the Securities and Exchange Commission on the Future Structure of the Securities Markets* (February 2, 1972), 37 FR 5286 (February 4, 1972).

18Exchange Act Release No. 37619A (September 6, 1996), 61 FR 48290 (September 12, 1996) ("Order Handling Rules"). In addition to specifically addressing the markets created by ECNs, the Commission required market makers and specialists to display customer limit orders that were priced better than a specialist's or OTC market maker's quote or that added to the size associated with such quote. 

19Exchange Act Rule 11Ac1-1(c)(5)(i), 17 CFR 11Ac1-1(c)(5)(i).

20Exchange Act Rule 11Ac1-1(c)(5)(ii), 17 CFR 11Ac1-1(c)(5)(ii).

21Letters dated January 17, 1997 from Richard R. Lindsey, then-Director, Division, SEC, to Charles R. Hood, Senior V.P. and General Counsel, Instinet Corporation; Joshua Levine and Jeffrey Citron, Smith Wall Associates; TONTO System, now known as Archipelago; Gerald D. Putnam, President, Terra Nova Trading, LLC; Bloomberg Tradebook; Roger D. Blanc, Wilkie Farr & Gallagher (counsel to Bloomberg); letter dated October 6, 1997 from Richard R. Lindsey, then-Director, Division, SEC, to Matthew G. Maloney, Dickstein, Shapiro, Morin & Oshinsky LLP (counsel to Spear, Leeds & Kellogg); letter dated February 4, 1998 from Robert L.D. Colby, Deputy Director, Division, SEC, to Linda Lerner, General Counsel, All-Tech Investment Group, Inc.; letter dated April 21, 1998 from Richard R. Lindsey, then-Director, Division, SEC, to Mark Dorsey, Fried, Frank, Harris, Shriver & Jacobsen (counsel to Brass Utility, LLC); letter dated November 13, 1998 from Robert L.D. Colby, Deputy Director, Division, SEC, to Lloyd H. Feller, Morgan, Lewis, Bockius LLP (counsel to Strike Technologies LLC); letter dated November 13, 1998 from Robert L.D. Colby, Deputy Director, Division, SEC, to John Schaible, PIM Global Equities, Inc.; letter dated January 4, 2000 from Robert L.D. Colby, Deputy Director, Division, SEC, to Sam Scott Miller, Orrick, Herrington & Sutcliffe LLP (counsel to Market XT); and letter dated April 24, 2000 from Belinda Blaine, Associate Director, Division, SEC, to Robert Crossan, Chief Financial Officer, GFI Securities.

22This reduction can also be attributed to the display of customer limit orders by market makers and ECNs. According to the NASD, quoted spreads declined by up to 41 percent following the implementation of the Order Handling Rules. *See Market Quality Monitoring Overview of 1997 Market Changes,* NASD Economic Research, March 17, 1998. *See also Effects of Market Reform on Trading Costs and Depths of Nasdaq Stocks*, Michael Barclay, *et al.,* Journal of Finance, Vol. VIV, No. 1 (February, 1999) (this study found that the quoted and effective spreads for Nasdaq stocks declined approximately 30 percent).

23As of October 1997, there were four ECNs linked to Nasdaq through the Nasdaq SelectNet service. Today, as described above, there are ten ECNs in operation.

24*See* Regulation of Exchanges and Alternative Trading Systems, Exchange Act Release No. 40760 (December 8, 1998), 63 FR 70844 (December 22, 1998). As discussed above, ECNs are a type of alternative trading system.

2515 U.S.C. 78f.

26U.S.C. 78o.

27*See* Applications for and Amendments to Application for Registration as a National Securities Exchange ("Form 1") for Island, dated June 28, 1999; and NexTrade, dated March 24, 2000. In addition, Archipelago initially filed a Form 1, dated August 11, 1999. Archipelago is currently considering whether to become a facility of the Pacific Exchange, rather than an independent SRO. 

28*See* Exchange Act Release No. 42450 (February 23, 2000), 65 FR 10577 (February 28, 2000). 

29is a screen-based system on Nasdaq workstations, offered to NASD members to facilitate negotiation of securities transactions. Broker-dealers may enter orders directed to either one broker-dealer or to all market makers, and negotiate the terms of the orders through counteroffers entered into the system.

30*See* Exchange Act Release No. 42536 (March 16, 2000), 65 FR 4857 (February 1, 2000). 

31CAES (Computer Assisted Execution System) is a NASD system that enables members to direct agency orders of up to 1,000 shares in both Nasdaq securities and exchange-listed securities to market makers for automatic execution.

32The Commission recently expanded the securities that can be traded through the ITS/CAES link to include so-called Rule 390 securities. Rule 390 securities refer to securities that were subject to the New York Stock Exchange's off-board trading restrictions. The Commission recently approved the rescission of NYSE Rule 390. *See* Exchange Act Release No. 42758 (May 5, 2000), 65 FR 30175 (May 10, 2000). 

33All of the ECNs charge a fee to market participants that execute through SelectNet against an order displayed in the ECN.

34For example, one ECN, Instinet, has been offering after-hours services since 1975. *See also* Market 2000 Report, at II-13 & II-14. 

35Many institutions and professional traders also adjust their portfolios and hedges by trading stock index futures, many of which trade at night on automated systems operated by futures exchanges. In addition, portfolio hedges are often adjusted through after-hours exchanges of stock index futures with baskets of underlying stocks (so-called "Exchanges for Physicals" or "EFPs"). Most of these basket trades are effected after-hours on foreign markets such as London and Tokyo. 

36For example, an institution might arrange with its broker-dealer to have an after-hours trade executed at a volume-weighted average price for the stock during the regular trading session. 

37Several regional exchanges also offer investors the opportunity to have orders entered after 4:00 p.m. that are eligible for execution at the primary markets' 4:00 p.m. closing prices. In addition, the NYSE offers a separate crossing session for program trades that can be effected after the 4:00 p.m. close at negotiated prices. 

38The CHX E-Session (as well as the exchange's primary and post-primary sessions) also offers opportunities to trade Nasdaq stocks. 

39The Division selected Jan. 18, 2000, as a sample date because it fell within a recent period when many large corporations traditionally issue post-close announcements regarding quarterly earnings reports. After-hours trading traditionally has been most active during these so-called "reporting periods." In some cases, the Report compares after-hours trading on Jan. 18 with activity on the remaining trade dates that week. 

40If all NYSE volume was excluded, the regional exchanges still accounted for over 48% of share volume in NYSE-listed securities between 4:00 p.m. and 6:30 p.m. on Jan. 18. 

41Descriptions of these Nasdaq systems are provided in Part II of this Report. As discussed below, the Nasdaq pilot program that was approved by the Commission in October 1999 extended the operation of these services and mandated 90-second trade reporting for Nasdaq and exchange-listed securities until 6:30 p.m. in order to provide enhanced transparency to investors in the after-hours market. 

42On September 25, 1996, Chairman Levitt forwarded to Congressman John D. Dingell, Ranking Member of the House Committee on Commerce, a Division report that analyzed after-hours trading in selected stocks in July 1996 ("1996 Study"). The Division's 1996 Study found, among other things, that after-hours trading was concentrated in the periods immediately following the post-close corporate news announcements and during the period immediately before the next day's regular session opening. 

43The Division used consolidated tape data compiled by the Commission's Office of Economic Analysis to produce the graphs of NYSE-listed share volume provided in *Attachment B*. 

44The graphs at *B-3* and *B-4* show that this pattern holds even for volume on the CHX and the so-called "Third Market," respectively, which are among the more active participants in after-hours trading. Activity by ECNs in NYSE-listed securities is included in the Third Market reports on the consolidated tape. 

45Again, the graphs at *B-9* and *B-10* show that this pattern holds even for volume on the CHX and the Third Market, respectively (these markets continue to report trades to the consolidated tape until 6:30 p.m.). None of the CHX volume and only 1.3% of the Third Market after-hours volume were executed from 5:30 p.m. to 6:30 p.m. on Jan. 18. 

46Nasdaq data indicate that 94% of the share volume from 4:00 p.m. to 4:15 p.m. resulted from after-hours transactions rather than runoff from the regular trading session. 

47OEA's analyses focused on Nasdaq trading on January 28 and 31, and February 7 and 8, 2000. 

48While trades effected after 6:30 p.m. are not reported to the consolidated tape, trade reports are still submitted to the NASD for surveillance purposes. These non-public trade reports were used in OEA's review. Because this information is non-public, only aggregate statistics are provided in this Report. 

49firm-specific data supplied to the Division is based on non-public surveillance reports. The Division's Report, therefore, presents only aggregate data for after-hours activity by ECNs and non-ECNs. In addition, it is important to note that differences among ECNs concerning trade-reporting procedures make it difficult to properly aggregate these volume reports for statistical purposes. Specifically, some ECNs report all of their trades to the tape, even if the seller in the transaction is another broker-dealer (normally, the selling broker-dealer reports a trade for tape dissemination). Other ECNs follow the convention of having the selling broker-dealer report under these circumstances. This situation makes it difficult to compare volume among ECNs and between ECNs and other broker-dealers with precision. The volume statistics in this Report, therefore, are approximations. 

50The current concentration of after-hours activity in a small number of "story" stocks is consistent with the findings of the Division's 1996 Study. 

51Intra-day price movements in Microsoft shares during the regular trading sessions on Jan. 18 and 19 are shown in the Bloomberg graph provided at *B-17*. 

52Intra-day price movements in Corel shares during the regular trading sessions on Jan. 18 and 19 are shown in the Bloomberg graph provided at *B-18*. 

53price movements in Western Water shares on Jan. 18 and 19 are shown in the Bloomberg graph provided at *B-19*. 

54Intra-day price movements in Covol Technology shares on Jan. 18 and 19 are shown in the Bloomberg graph provided at *B-20*. 

55OEA's findings are also consistent with those of a recent study of trading in 250 Nasdaq stocks in the first half of 1999. Barclay and Hendershott, *Price Discovery and Trading Costs After Hours*, Working Paper, University of Rochester Simon School of Business, Jan. 24, 2000. 

56For example, the Commission staff learned in discussions with market officials that the NYSE and Nasdaq were contemplating different "trade date" standards for after-hours trading that could needlessly complicate essential clearance and settlement functions. One market was contemplating treating after-hours transactions as "next-day" trades while the other market would have reported after-hours transactions on the next day but with "as-of" designations with the previous day as the trade date. This would have resulted in after-hours trades in the two markets being on differing settlement schedules that would have significant ramifications for the major clearing agencies. Moreover, it was also evident that the major markets had not yet adequately considered the burdens of widespread after-hours trading on member firm systems, particularly in view of the then-ongoing efforts of the securities industry to prepare for the year 2000 transition. 

57Immediately following the Summit, the NYSE and NASD used their web sites to provide the public with an opportunity to comment on the proposed agendas of the Working Groups and to submit comments on the issues that would be covered. 

58In addition to the three Working Groups which are discussed below, a Working Group on Options Markets was formed to conduct a comprehensive review of issues that would impact the options markets as after-hours trading evolves, including coordination with the stock markets, dissemination of market data, clearance, settlement and back office issues, the effects on exercise and settlement procedures, and how best to inform investors of the implications of after-hours trading in options, including modifications to the Options Disclosure Document which is currently provided to options investors. When the initial deadlines were set for issuance of the Working Groups' final reports, it was determined that the Working Group on Options Markets should issue its final report several weeks after the other Working Groups, to allow sufficient time for the Working Group on Options Markets to analyze the contents of the other reports and make recommendations accordingly. At the time the other Working Groups issued their final reports, the Working Group on Options Markets (which was composed of representatives of the registered options exchanges, as well as a representative of the International Securities Exchange), was focusing on plans to link the options markets. Because that issue was of primary importance, and remains so to date, the Working Group on Options Markets has not issued a final report. 

59The Working Groups' final reports are available at *www.nasd.com* and *www.nyse.com*. Copies of these reports are provided in *Attachment D* to this Report.

60A copy of the Working Group's "Best Practices Relating to Extended Hours Trading" document is included in *Attachment D*. 

61The application of these rules in the after-hours market is discussed below. 

62The NASD, through its wholly owned subsidiary, filed this Notice to Members with the Commission as a proposed rule change on January 11, 2000, NASD Regulation, Inc. *See* Exchange Act Release No. 42363 (January 28, 2000), 65 FR 5715 (February 4, 2000)(SR-NASD-00-01). A copy of the Notice to Members is provided in *Attachment E* to this Report. 

63*See* Exchange Act Release No. 42003 (October 13, 1999), 64 FR 56554 (October 20, 1999)(SR-NASD-99-57. The Nasdaq Extended-Hours Pilot was initially approved to operate until March 1, 2000. The Commission subsequently approved an extension of the pilot until October 1, 2000. *See* Exchange Act Release No. 42481 (March 1, 2000)(SR-NASD-00-07). 

64As discussed above, many of these systems had operated daily until 5:15 p.m. since 1992. 

65*See* Exchange Act Release No. 42004 (October 13, 1999), 64 FR 56548 (October 20, 1999)(SR-CHX-99-16). The CHX E-Session Pilot was initially approved to operate until March 1, 2000. The Commission approved an extension of the pilot until October 1, 2000. *See* Exchange Act Release No. 42463 (February 28, 2000)(SR-CHX-00-02). 

66The CHX requires members to provide certain disclosures to non-members before accepting orders for execution in the E-Session. Specifically, before a member can accept an order from a non-member, the member must first disclose that: (1) orders for E-Session eligible securities are eligible only for a single E-Session--if not executed during that E-Session, the orders will be automatically canceled; (2) the only orders that are eligible for execution during the E-Session are unconditional limit orders; (3) there may be greater fluctuations in securities prices because there will likely be less liquidity during the E-Session once traditional trading hours have ended; and (4) because distinct systems and facilities offer trading in securities after the close of the traditional trading period, at any particular time, quotations and transaction prices for a security may vary among those systems and facilities. CHX requires these disclosures to help ensure that participants in the after-hours market understand the potential risks of trading outside traditional trading hours. 

67As discussed above, the CHX trades both exchange-listed and Nasdaq stocks during the day and during its 4:00 p.m. to 4:30 p.m. post-primary session. The most active of these stocks are also eligible for trading in the 4:30 p.m. to 6:30 p.m. E-Session. 

68Technically, the consolidated tape runs until 6:35 p.m. to ensure that it captures any run-off from the 4:30 p.m. to 6:30 p.m. E-Session. The CHX reimburses the Securities Industry Automation Corp. (which administers the tape) for extending tape operations until 6:35 p.m. 

69The NASD's short sale rule is currently not applicable beyond traditional market hours. *See* NASD Notice to Members 94-68. As discussed below, however, Nasdaq is currently considering whether the application of the NASD short sale rule would be beneficial. 

70The Manning Rule previously applied only during traditional Nasdaq market hours. 

71If a customer does not formally assent ("opt-in") to processing of their limit order(s) during the extended hours period commencing after the normal close of the Nasdaq market, limit order protection will not apply to that customer's order(s). 

72Exchange Act Rule 11Ac1-1(c)(5), discussed in Part II, above.

73There are certain exceptions to the Limit Order Display Rule. Those exceptions would continue to apply during an after-hours trading session. *See* Exchange Act Rule 11Ac1-4(c). 

74The NASD Short Sale Rule determines price changes or "ticks" based on the security's bid side of the Nasdaq Best Bid and Offer ("NBBO"), which reflects the highest published bid quotation ("Best Bid"). The NBBO began to be disseminated by Nasdaq from 4:00 p.m. to 6:30 p.m. starting on February 7, 2000. Nasdaq delayed initiating the NBBO until February 7 in order to give mutual fund complexes and vendor systems used by funds sufficient time to adjust and test systems that use a security's regular session closing NBBO for end-of-day valuations for net asset valuation purposes. 

75A "locked" market exists if a security's Best Bid equals the Best Offer. A "crossed" market exists if the Best Bid is higher than the Best Offer. 
*http://www.sec.gov/news/studies/ecnafter.htm*Home | Previous PageModified:06/07/2000 |
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