The U.S. Markets and Consolidated Tape Colin Clark Senior Vice President Strategic Analysis & CTA Market Data

2 Side-By-Side Comparison: U.S. and Canadian Markets 1. Market size: $15.8T domestic market cap; $23.8B daily dollar value traded (WFE) 2. Fragmentation: 14 exchange; 40+ ATSs/dark pools; 30%+ off-exchange trading 3. Algorithms: 40% of volume (TABB Group) 4. HFT: 60%-70% of volume (TABB Group) 5. Trade-through regulation: Top-of-book protection for exchanges only. Exchanges/brokers required to be connect to all markets 6. Market models: Time/price, time/size/price 7. Internalization rules: Can trade at NBBO. Future trade-at rule? Dark pools can restrict access to other broker participants. 8. Consolidated Tape: CTA in Network A&B, UTP in Network C, Data aggregators/feed handlers 9. Real-Time Reporting: No ATSs attribution required 1. Market size: $1.9T domestic market cap; $993M daily dollar value traded (WFE) 2. Fragmentation: 1 exchange, 4 lit ATSs, 3 agency dark pools; 60% of dual-listed trades in U.S. 3. Algorithms – 10% of volume (TABB Group) 4. HFT: 30% of volume (TABB Group) 5. Trade-through regulation: Order Protection requires full book protection (exchanges. lit ATSs) 6. Market models: Time/broker/price (i.e. broker cross), time/price (Chi-X, Omega, TMX Select). 7. Internalization rules: Order Exposure Rule require meaningful improvement of best quoted prices. No need to ban flash orders given Order Exposure and ATS fair access requirement. 8. Consolidated Tape: Regulator-blessed TSX processor (not exclusive); Alpha-Reuters(in process) 9. Real-Time Reporting: ATSs required to attribute trades to their own venue in real-time U.S. Cash TradingCanadian Cash Trading

U.S. Equity Markets – Highly Competitive and Fragmented Highly competitive market - 14 stock exchanges and ATSs/dark pools About 9 billion shares traded daily with 11% compound annual growth over past 9 years Volume highly correlated with volatility and VIX declined to 24 in 3Q10 Stock fund outflows ($18B) and retail trading down 20% in 3Q10 30% share traded off-exchange in fragmented undisplayed markets and reported to TRF Volumes and Volatility (Q Q3 2010) NYSE-Listed Market Share (Sept-10) VIX Industry ADV

4 Breakdown of TRF Dark liquidity share has grown from 24% to 30% in past year. 17 dark pools account for 12% share and remainder is retail/upstairs internalization Highly fragmented with no dark pool with more than 2.5% share. Less liquidity, lower fill rates. One-quarter of all US securities had in excess of 40% TRF share in Sept-10. Dark pools use pricing on public exchanges, but do not contribute to the price discovery process themselves Dark pools are perceived as block trading venues, but the avg. trade size is only share because HFTs are operating in them. Only 3 of the 17 venues execute blocks. Academic studies highlight empirical evidence around the negative impact of off-exchange trading and market quality – Professor Weaver study (March 2010 ) found stocks with 40% TRF share had wider effective spreads ($0.28 cts on average) and greater price volatility. which results in investors paying $10.2 million more per stock per year. – Professor Larrymore and Murphy (2009) found Canada’s Price Improvement Rule in Oct-08 resulted in significant improvement in market quality with spreads declining by C$0.055 and 28 basis points and quoted depth increasing significantly. Source: Rosenblatt Securities, NYSE, CTA U.S. Equity Markets (Tape A, B, C) Breakdown of TRF Market Share (%) Sep-10Sep-09 Average Trade Size (Sep-10) Primary Dark Pools CSFB Crossfinder2.5%1.6% 253 Goldman Sachs SIGMA X1.6%1.2% 303 Knight Link1.3% 342 GETCO Execution Svcs1.5%0.9% 299 LeveL1.0%0.6% 226 Morgan Stanley MS Pool0.8%0.4% Citi Match0.4% 323 UBS Pin0.4% ITG Posit0.4%0.3% 6,000 Liquidnet0.3% 49,799 Barclays LX0.8%0.3% 290 Instinet CBX0.4%0.2% 274 CONVERGEX Millenium0.2% 275 BIDS0.4%0.1% 261 Pipeline0.1% 54,050 CONVERGEX Vortex0.1% 379 Sungard Assent0.0% Primary Dark Pools (17)12.1%8.5% Other Internalization 26.0% 16.0% Total TRF Share30.1%24.5%

5 Overview of Consolidated Plan – Governance Model Consolidated Plan: Consolidated plan was created by 1975 Act Amendments. The Consolidated Tape Association (CTA) oversees the dissemination of real-time trade/quote information in NYSE and Amex securities. SEC Rule 603C requires that consolidated data be made available by brokers for order routing and trading purposes for equities. The Securities Information Processor (SIP): NYSE (SIAC) for CTA (Network A&B) and Nasdaq for UTP (Network C) are providing high-performance consolidated services. Technical facility that collects, produces, and distributes the consolidated data streams. Each participant pays the SIP for capacity costs based on message per second forecasts. Administration of the Plan: NYSE is the administrator for Network A&B and Nasdaq for Network C. CTA Admin for NYSE operates within US Cash division, not NYSE Technologies. Day-to-day admin including licensing, approval, order fulfillment, managing agreements /policies, billing setup, invoices, record-keeping, service, audit. Monthly processing of 850 vendor reports, 600 data device requests, 125 data feed requests, 600 web inquiries, 22,000 invoices Technology support/development: Maintain administrative database and web site (invoices, reporting, click-on agreements, product information) Annual fixed payment for administrative costs, which is subtracted from gross market data revenue pool Operating Committee: One representative from each participant on Executive Committee Advisory Committee includes retail broker, institutional broker, ATS, data vendor, FINRA. Set policy based on vote, review performance of the Administrator and SIP. Meets quarterly.

6 Average Daily Activity – Quotes, Trades, Shares Executed In a given day, there are over 500 million quotes, 30 million trades and 9 billion shares executed (one side) in the U.S. equity markets Millions of retail investors, households and around 400,000 professionals are recipients of ticker services via vendors, brokers, newspapers, TVs and computer screens every second of the day without fail The number of quotes to trades has been rising implying higher cancel activity.

Consolidating the Fragmented Markets Participants send quotes and trades to a central processor (SIP) where consolidated data streams are produced and distributed worldwide, including the National Best Bid & Offer (NBBO). Participants are required to sent orders to the exchange with the best displayed quote (Reg NMS). Consolidating the feeds requires an extra hop to the SIP vs. direct fees for minimum latency. Proprietary feed (top and depth) Exchange14 Exchanges TRFs SIP Consolidated Tape Top of book ATSs and internalizers Vendors, brokers, Internet, TV No pre-trade display No post-trade identification

8 CTA SIP Targeting 1 Million MPS and Sub-1ms Latency Significant improvements have been made to the speed of the consolidated data feeds. There has been an explosion in market place traffic. Market data peak quote volume has tripled in the last two years to 300,000 quotes per second. CTA SIP is targeting 1 million quote messages per second in July In November 2010, CTA SIP quote latency was under 3 milliseconds with a target of sub-1 millisecond latency by mid-2011 Capacity and Latency Projections Trade Messages Per Second Quote Messages Per Second Trade/ Quote Latency Jan-11100,000500,000<3ms Mar-11150,000750,000<2ms Jul-11200,0001,000,000<1ms

CTA/UTP Fee Schedule and Revenue Allocation 9 Tape A (NYSE-listed) Tape B (Arca & Amex) Tape C (Nasdaq-listed) Access FeesDirect access: $1000-$1100; Indirect access: $500-$700 Direct access: $350-$400; Indirect access: $200-$250 Annual admin fee: $500-$3750 Per Subscriber – Professional$18.75-$ per month$13.60-$15.60 per month$20 per month Per Subscriber – Nonprofessional Monthly cap of $0.50-$1.00; $ $ per quote Monthly cap of $1.00; $ $ per quote Monthly cap of $1.00; $0.005 per quote TV Ticker Display$2 per 1000 households with $125K monthly cap $0.50-$1.50 per 1000 households with $125K cap Between $0.50-$2 per 1000 households Caps$660K BD enterprise$500K BD enterprise$600K BD non-professional CTA Revenue Allocation System (RAS): Approximately $400 million in annual CTA/UTP market data revenue Created by Reg NMS and encourages quote competition Market data revenues from the sale of CTA data are divided among exchanges according to an SEC- approved formula based on dollar volume traded (25%), trades executed (25%) and dollar value of quoting at the NBBO (50%), which rewards displayed markets. Less actives get higher weighting. Exchanges rebate 100% tape revenue to traders who report (“print”) trades on off-exchange venues Should formula have additional weight towards quoting share to encourage more displayed liquidity? Fee Schedule for CTA and UTP – All Fees are Monthly

How are firms using Consolidated and Direct Feeds? 10 Latency-sensitive firms (such as market makers, internalizers, HFT) use proprietary feeds and don’t generally rely on consolidated market data to make trading decisions. Consolidated feeds may be used for data-integrity checks. Many HFTs use internally constructed NBBO from the prop feeds for trading and routing (with ISOs). Use SIP for non-trading related information (e.g., halts). Asset managers and lower-frequency traders tend to rely on consolidated market data feeds for trading decisions. Retail flow is generally handled by internalizers who are also among those participants that have proprietary feeds to make trading and routing decisions. That said, they generally use the consolidated feeds for customer pricing and trading given it is a more conservative approach and matches up with 605 data. Clear levels sequentially. Some less sophisticated shops are using SIP and letting exchanges do any routing for them (i.e., don’t send ISOs). Most dark pools are using the SIP to price customer orders. Some moving towards an internally-constructed NBBO. Smart routers are using a combination of prop and SIP (some firms are using a combination even internal to their smart routers) but movement is towards an internally constructed NBBO.

Current U.S. Regulatory Topics Dodd-Frank – 95 rulemakings and several studies due in the next 18 months – SEC has a stated commitment to continued market structure work Rulemaking – Ban flash trading (proposed Sep-09, still outstanding) – ATS rulemaking – Actionable IOIs are quotes; ATS post-trade reporting (proposed Nov-09, outstanding) – Ban “naked” sponsored access for unregulated entities (passed Nov-10, effective early 2011) – Ban stub quotes (passed Nov-10, effective December 6) – Short sale restrictions (passed Feb-10, effective Feb-11) – Large trader reporting (proposed Apr-10, outstanding) May 6 th Follow-up – Circuit breaker modifications – Examination of HFT strategies – Market maker requirements – Algorithmic trading, order handling Concept Release/Broader Reviews – Fragmentation, transparency and price discovery – Disclosure – Rules/rulemaking – Data feeds