Form ATS

Page 1

Execution

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UNITED STATES SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

INITIAL OPERATION REPORT, AMENDMENT TO INITIAL OPERATION REPORT AND

CESSATION OF OPERATIONS REPORT FOR ALTERNATIVE TRADING SYSTEMS

Date filed (MM/DD/YY):

09/12/16

WARNING: Failure to keep this form current and to file accurate supplementary information on a timely basis, or the failure to keep

accurate books and records or otherwise to comply with the provisions of law applying to the conduct of alternative trading systems would

violate the federal securities laws and may result in disciplinary, administrative or criminal action.

INTENTIONAL MISSTATEMENTS OR OMISSIONS OF FACTS MAY CONSTITUTE CRIMINAL VIOLATIONS

[ ] INITIAL OPERATION REPORT [ X ] AMENDMENT TO INITIAL OPERATION REPORT ☐ CESSATION OF OPERATIONS REPORT

1. Exact name, principal business address, mailing address, if different, and telephone number of alternative

trading system:

A. Full name of alternative trading system (if sole proprietor, last, first and middle name):

Citi Cross________________________________ _________________________________________

B. Name(s) under which business is conducted, if different from Item 1A:

Citi Cross is owned and operated by Citigroup Global Markets Inc. (CGMI)

C. CRD Number: 7059____________________ D. SEC File No.: 8-008177 E. If this filing makes a name change on behalf of the alternative trading system, enter the previous name and

specify whether the name change is of the __XX__ alternative trading system name (1A), or ______

business name (1B):

Previous name: n/a___________________________________________

F. Alternative trading system’s main street address (Do not use a P.O. Box):

388-390 Greenwich St., New York, NY 10013-2396_ ______

_______________________________________________________

G. Mailing address (if different):

Same as above____________ _______________ ___

_______________________________________________________

H. Business telephone and facsimile number: See below

[ ] ______________________________[___________] ___

(Telephone) (Facsimile)

I. Contact employee: Steve Keltz, Director and Counsel Voice (212) 723-4737 FAX (646) 291-1441

Steve Keltz, Director and Counsel Voice (212) 723-4737 FAX (646) 291-1441____

(Name and Title) (Telephone Number) (Facsimile)

EXECUTION: The alternative trading system consents that service of any civil action brought by, or notice of any proceeding before, the

SEC or a self-regulatory organization in connection with the alternative trading system’s activities may be given by registered or certified

mail or confirmed telegram, to the alternative trading system’s contact employee at the main address, or mailing address if different, given in

Items 1F and 1G. The undersigned, being first duly sworn, deposes and says that he/she has executed this form on behalf of, and with the

authority of, said alternative trading system. The undersigned and alternative trading system represent that the information and statements

contained herein, including exhibits, schedules, or other documents attached hereto, and other information filed herewith, all of which are

made a part hereof, are current, true, and complete.

Date: ____09/12/16____________________________ _____Citigroup Global Markets Inc.____________

(MM/DD/YY) (Name of applicant) By: ________________________________________ _Steve Keltz , Counsel______

(Signature) (Printed Name and Title) Subscribed and sworn before me this ___ day of ____ by ___________________ (Month) (Year) (Notary Public)

My Commission expires _____ County of ___New York______ State of _____ New York ___________________

This page must always be completed in full with original, manual signature and notarization.

Affix notary stamp or seal where applicable.

DO NOT WRITE BELOW THIS LINE - FOR OFFICIAL USE ONLY

Form ATS

Page 2

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

INITIAL OPERATION REPORT, AMENDMENT TO INITIAL OPERATION

REPORT AND

CESSATION OF OPERATIONS REPORT FOR ALTERNATIVE TRADING

SYSTEMS

OFFICIAL

USE

OFFICIA

L

USE ONLY

Alternative trading system name: Citi Cross_______________________ CRD Number:

7059________________

Filing Date: September 12, 2016 SEC File Number: 8-008177________

2. If this is an initial operation report, the date the alternative trading system expects to commence

operation:

3. Attach as Exhibit A, a description of classes of subscribers (for example, broker-dealer, institution, or

retail). Also describe any differences in access to the services offered by the alternative trading system

to different groups or classes of subscribers.

4. Attach as Exhibit B:

a. A list of the types of securities the alternative trading system trades (for example, debt, equity,

listed, Nasdaq NM) or, if this is an initial operation report, the types of securities it expects to trade.

Note whether any types of securities are not registered under Section 12(a) of the Exchange Act of

1934 (“Exchange Act”).

b. A list of the securities the alternative trading system trades, or if this is an initial operation report,

the securities it expects to trade. Note whether any securities are not registered under Section 12(a)

of the Exchange Act.

5. Attach as Exhibit C, the name, address, and telephone number of counsel for the alternative trading

system.

6. Attach as Exhibit D, a copy of the constitution, articles of incorporation or association, with all

amendments, and of the existing by-laws or corresponding rules or instruments, whatever the name, of

the alternative trading system. If this information is publicly available on a continuous basis on an

Internet site controlled by the alternative trading system, the alternative trading system may indicate the

location of the Internet web site where such information may be found in lieu of filing such information

with the Commission.

7. Attach as Exhibit E, the name of any entity, other than the alternative trading system, that will be

involved in operation of the alternative trading system, including the execution, trading, clearing and

settling of transactions on behalf of the alternative trading system. Provide a description of the role and

responsibilities of each entity.

8. Attach as Exhibit F, the following information:

a. The manner of operation of the alternative trading system;

b. Procedures governing entry of orders into the alternative trading system;

c. The means of access to the alternative trading system;

d. The procedures governing execution, reporting, clearance and settlement of transactions effected

through the alternative trading system;

e. Procedures for ensuring subscriber compliance with system guidelines; and

f. A copy of the alternative trading system’s subscriber manual and any other materials provided to

subscribers.

9. Attach as Exhibit G, a brief description of the alternative trading system’s procedures for reviewing

system capacity, security and contingency planning procedures.

10. If any other entity, other than the alternative trading system, will hold or safeguard subscriber funds or

securities on a regular basis, attach as Exhibit H the name of such entity and a brief description of the

controls that will be implemented to ensure the safety of such funds and securities.

11. Attach as Exhibit I, a list providing the full legal name of those direct owners reported on Schedule A of

Form BD.

Exhibit A

Attach as Exhibit A, a description of classes of subscribers (for example, broker-dealers, institution, or

retail). Also describe any differences in access to the services offered by the alternative trading system

to different groups or classes of subscribers

Subscribers of the ATS include institutions, foreign and domestic broker dealers, CGMI trading desks, and the

foreign and domestic broker dealer affiliates of CGMI. Citi Cross does not offer different groups or classes of

subscribers different access to services.

Access

Subscribers can access Citi Cross directly or indirectly through one or more CGMI desks or affiliates including

but not limited to the Citi Algos, Program trading, Direct Market Access (DMA) and Smart Order Router

(SOR).

All direct access subscribers are offered the same methods for accessing the ATS. Prior to granting access to

Citi Cross, potential direct access subscribers are reviewed and approved by Citi Cross. All non-affiliate

subscribers must also sign the Citigroup standard Electronic Trading Agreement (“ETA”) or a similar

agreement.

The identity of firms that access Citi Cross indirectly through CGMI desks or affiliates may not be fully

disclosed to Citi Cross. Therefore, these firms are not considered subscribers of the ATS; rather they are

clients of CGMI or the affiliate desk where the account relationship is initiated. Furthermore, firms accessing

Citi Cross indirectly may be subject to additional terms and conditions imposed by such affiliates. Orders

routed to Citi Cross through CGMI and affiliate systems may also experience additional latency introduced by

passing through additional systems and connections. For clients concerned about latency and capacity, direct

access is strongly encouraged.

Citi Cross subscribers can arrange to have their order flow separated into multiple channels. This can be

achieved through the use of distinct gateways or FIX tag identifiers.

Visibility

Citi Cross is completely dark and does not route out to other venues, provide IOIs or any views into the ATS.

Only personnel of the ATS have visibility into the system in real time. Some centralized support functions

including compliance, legal, operations, and infrastructure and technology support are performed by non-

designated ATS personnel. These individuals may have access to subscriber information post trade, as

necessary to support the function of the ATS. Citi Cross prohibits the disclosure of confidential information to

anyone outside of those supporting the ATS, including other CGMI desks and affiliates, and does not provide

affiliates or subscribers views into the system. Citi Cross protects client information through the use of

physical information barriers, access controls and routine entitlement reviews. Furthermore, all Citi

employees are subject to the firm-wide policies regarding the use of confidential information. However,

information regarding non-subscriber firms accessing Citi Cross indirectly through CGMI desk or affiliates

may be available to those desks or affiliates by virtue of the client relationship. For example, a firm routing an

order to Citi Cross via the Citi DMA systems should expect that Citi personnel supporting DMA will have

visibility into this flow in order to provide appropriate client support.

Fees

Fees are assessed as a rate per share executed (Citi Cross does not distinguish between adding and removing

liquidity). Citi Cross reserves the right to adjust rates on a case-by-case basis at the discretion of Citi Cross

personnel. While Citi Cross does not classify clients for the purpose of setting rates, factors that may influence

pricing include but are not limited to, the nature of the order-flow, volume of executions, and the degree of

exclusivity selected by that client. In addition, affiliate subscribers (including CGMI desks) generally receive

discounted pricing; however, firms accessing Citi Cross indirectly may be charged other fees by such affiliate

subscribers.

Exhibit B

a. A list of the types of securities the alternative trading system trades (for example, debt, equity,

listed, Nasdaq NM), or if this is an initial operation report, the types of securities it expects to trade.

Note whether any types of securities are not registered under Section 12(a) of the Exchange Act of

1934 (”Exchange Act”).

Citi Cross accepts orders in all National Market System (“NMS”) securities as defined by Regulation NMS.

b. A list of the securities the alternative trading system trades, or if this is an initial operation report,

the securities it expects to trade. Note whether any securities are not registered under Section 12(a)

of the Exchange Act.

All NMS securities are eligible for trading on Citi Cross.

Exhibit C

Attach as Exhibit C, the name, address, and telephone number of counsel for the alternative trading

system.

Steve Keltz

Director and Counsel

Citigroup Global Markets Inc.

388-390 Greenwich St.

New York, NY 10013-2396

(212) 723-4737

Exhibit D

Attach as Exhibit D, a copy of the constitution, articles of incorporation or association, with all

amendments, and of the existing by-laws or corresponding rules or instruments, whatever the name, of

the alternative trading system. If this information is publicly available on a continuous basis on the

Internet site controlled by the alternative trading system, the alternative trading system may indicate

the location of the Internet web site where such information may be found in lieu of filing such

information with the Commission

Unchanged from previous version.

Exhibit E

Attach as Exhibit E, the name of any entity, other than the alternative trading system, that will be

involved in the operation of the alternative trading system, including the execution, trading, clearing,

and settling of transactions on behalf of the alternative trading system. Provide a description of the role

and responsibilities of each entity.

Citi Cross is owned and operated solely by CGMI, which is responsible for all aspects of Citi Cross, including

execution, trading, clearing, and settlement of transactions. Citi Cross is operated as a separate aggregation

unit of CGMI. Access to Citi Cross systems and information is limited to individuals that directly support the

ATS. Some centralized support functions including compliance, legal, operations, and infrastructure and

technology support are performed by non-designated ATS personnel. In addition, Citi Cross relationship

managers cover a broad spectrum of products at CGMI. In order to protect confidential subscriber

information, Citi Cross requires clients to provide consent prior to disclosing detailed trade analysis (such as

fill rates, average order size, and other order and execution statistics) to their CGMI relationship manager. All

employees are subject to CGMI policies governing the use of confidential information, including information

relating to Citi Cross.

Exhibit F

Attach as Exhibit F, the following information:

CGMI is a broker-dealer registered with the U.S. Securities and Exchange Commission pursuant to Section

15(a) of the Securities Exchange Act of 1934, as amended, and the sponsor of Citi Cross. This Form ATS

pertains only to the functionalities of Citi Cross and not to any other operations of CGMI or its affiliates more

generally.

Citi Cross is a dark pool that is designed to remove the notion of queue-based priority, such as price, time and

size, to create an environment in which a diverse group of participants can interact. Citi Cross is designed to

maximize the volume in a given crossing transaction and divide the resulting execution as evenly as possible

between participants. Citi Cross does not display orders and does not send order related messages to or route

to external venues

Citi Cross will be operated by CGMI as follows:

a. The manner of operation of the alternative trading system

Hours of operation –

Citi Cross will match orders between 9:30 a.m. to 4 p.m. Eastern Time and will accept orders from 7:30 a.m.

to 4 p.m. Eastern Time.

Orders Citi Cross will (1) accept orders; and (2) execute those orders based upon current market data, preprogrammed

decision rules, and client configurations. Orders in Citi Cross no longer executable by their terms will be

cancelled upon order expiration or instruction from the client. Orders will not be sent to other market centers;

instead, they will reside in Citi Cross until they are crossed with one or more orders on the other side of the

market or until the order is canceled. Orders will not be communicated to any other party.

Citi Cross only accepts pegged orders with a time-in-force of Immediate or Cancel (IOC), Day or GTD where

the order expires on the same day. Orders may be limit orders or market orders and must have a specified size.

Orders with no specified limit price are considered to be market orders. Subscribers may specify a

Participation Range on an order by order basis and may also specify a default setting if the participation range

is not present on the order. The Participation Range indicates what portion of the NBBO the order can

participate in. All orders are automatically and continually adjusted to the designated range within the current

NBBO up to the limit specified in the order. Subscribers may also elect to use pre-configured Exclusion

Criteria. Exclusion Criteria allow clients to prevent their orders from interacting with orders from select

counter-parties. Subscribers can also specify a Minimum Fill requirement for their orders. More details

regarding Participation Ranges, Exclusion Criteria, and Minimum Fill requirements are provided below.

Please note that when not other-wise specified, orders may be subject to certain default settings, including

Participation Range parameters, self-match prevent and other default criteria. Subscribers can learn additional

details regarding any applicable default settings for their orders by contacting the Citi Cross trade desk.

Also, as noted above subscribers can arrange multiple channels through which they can send different orders

to Citi Cross with different instructions or default settings. For instance, subscribers electing to use Exclusion

Criteria can pre-configure multiple channels with different Exclusion Criteria.

Citi Cross will not cross any orders with CGMI orders that by their terms or by law cannot be executed against

CGMI orders, including orders from ERISA accounts, wrap fee accounts, and soft dollar trades.

Exclusion Criteria

A subscriber may choose to exclude its orders from participating in a match against orders from one or more

counter-parties. Exclusions may be implemented for all or only a portion of the excluding subscriber’s order

flow and can be configured at the channel level. Exclusions may be put in place for a specific counter-party

(specific exclusion) or an anonymous counter-party (anonymous exclusion).

Specific exclusions allow participants to prevent interaction with one or more named counter-parties when

defined by the subscriber pre-trade (at the time of the customer account set-up or some subsequent account re-

configuration). Such specific exclusions are applied by preventing a subscriber’s orders (or a channel of the

subscriber’s orders) from executing against orders from MPIDs specified by the excluding subscriber. Citi

Cross does not, however, disclose or confirm which firms are participants of the ATS unless the firm at issue

has affirmatively granted Citi Cross the authority to disclose its participation in the ATS (as in the case of Citi

affiliates). Accordingly, if a subscriber requests that Citi Cross exclude its orders from interacting with orders

from a specific MPID, Citi Cross will comply with the request without indicating whether it in fact receives

any orders from that MPID (unless the counter-party has authorized disclosure of its participation in the ATS).

Specific exclusions also allow participants to limit the counter-parties with which they interact to a pre-defined

list of counter-parties, to the extent that those counter-parties have authorized Citi Cross to disclose their

participation in the ATS to other subscribers. Moreover, to the extent that individual counter-parties permit

Citi Cross to disclose to other subscribers that they send orders to Citi Cross on a segregated basis through

multiple channels, subscribers may choose to have their orders interact with only certain of those channels.

Finally, specific exclusions may be used by any subscriber to request (on a channel-by-channel basis) that Citi

Cross exclude its orders from interacting with orders from all other subscribers.

Anonymous exclusions allow subscribers to exclude their orders from interacting with counter-party channels

responsible for specified executions, and are generally established in response to subscriber-identified

execution characteristics. In the case of an anonymous exclusion, the subscriber does not know the identity of

the counter-party with which it chooses not to interact, but can instruct Citi Cross to prevent further interaction

with that (anonymous) counter-party Anonymous counter-party exclusions are implemented at the channel-

level, rather than by MPID. Thus, the requesting subscriber may continue to interact with other channels from

a subscriber that had one or more of their channels anonymously excluded.

Upon subscriber request, Citi Cross will perform ad hoc counter-party analysis in order to assist the subscriber

in excluding counter-party channels that were responsible for executions that the subscriber views as

unfavorable. As part of any such analysis, the subscriber is responsible for identifying to Citi Cross personnel

which executions it believes were unfavorable, and Citi Cross personnel will seek to analyze whether there are

certain counter-party channels responsible for a preponderance of such executions (without identifying who

such counter-parties are or which executions a given counter-party was responsible for). Any such analysis is

highly customizable. For example, subscribers can rank or score executions, and indicate to Citi Cross

personnel that they would like to exclude their orders from interacting with any counter-party channel whose

executions the subscriber scored below a certain threshold; while Citi Cross personnel will not disclose the

identity of any given counter-party, or indicate which orders were associated with a specific channel, Citi

Cross personnel work with subscribers to achieve their exclusion goals. The analysis may require subjective

interpretation of the results, and Citi Cross performs such analysis on a best efforts basis. If a subscriber elects

to implement anonymous exclusions, it is the responsibility of the subscriber to monitor execution quality and

to notify Citi Cross of interactions it perceives to be as adverse on an ongoing basis for maintenance of the

exclusions settings.

As noted above, the degree of exclusivity sought by a subscriber may impact the fees Citi Cross charges that

subscriber per share executed, on all or a portion of that subscriber’s order flow; accordingly, Citi Cross

reserves the right to refuse to implement a given exclusion for any subscriber without an adjustment of rates.

Citi Cross does not notify a subscriber (the excluded subscriber) when a different subscriber (the excluding

subscriber) has implemented an exclusion preventing interactions between the two subscribers’ orders.

Self-Match Prevent

Citi Cross offers a self-match prevent feature that prohibits orders from the same subscriber from interacting in

a given cross. By default, self-match prevent is enabled for all subscribers at the individual channel level

(meaning that orders of an individual subscriber will presumptively not match against other orders sent by the

same subscriber through the same channel, but may match against orders sent by the same subscriber over a

different channel). Clients can also request that their self-match prevent applies across all of their channels

and not just within their channels. Clients can opt-out of the self-match prevent feature entirely or on a

channel-by-channel basis.

Order Priority

The Citi Cross crossing algorithm consists of two primary components. Each time a crossing event

is triggered, the first component of the algorithm optimizes the cross potential by selecting those orders which

will have the effect of maximizing the number of shares crossed in the event. Every order's Participation

Range (as defined below) and Exclusion Criteria are used in the calculation. Other constraints (such as

Minimum Fill quantity requirement) will also be included in this calculation. The optimization component of

the Citi Cross functionality calculates the match price (the exact price at which the cross will be executed) and

determines which orders are eligible to participate in the match based on the orders' respective criteria.

Once the participating orders and the price are selected, the second component of the algorithm distributes the

crossed shares. Here, a given subscriber channel’s qualifying orders are compressed into a single

representation of buy or sell interest. The distribution algorithm then allocates all of the available shares. This

is done in such a way as to distribute the shares as evenly as possible to all qualifying subscriber channels,

while avoiding the creation of odd lots.

Once the per-participant allocation has been completed, the allocations for a given participant are distributed

among that participant's qualifying orders on a first-in-first-out basis.

Minimum Fill

Subscribers have the ability to specify the minimum share quantity on a given execution. Multiple orders may

be aggregated to satisfy the minimum fill requirement. If the remaining quantity (leaves quantity) is less than

the minimum fill quantity, the leaves quantity becomes the new minimum fill requirement.

Participation Range

A subscriber can use the Participation Range to specify what portion of the NBBO it wants its orders to

participate in. All orders are automatically and continually adjusted to the designated range within the current

NBBO up to the limit specified (unless it is a market order). In addition to setting an absolute price limit, the

subscriber may determine the degree to which its order pegs to the current NBBO by setting two relative

pricing parameters. The "far peg" parameter is a fraction between 0 and 1 that sets the maximum distance

across the spread that the order will peg. Conversely, the "near peg" parameter determines the minimum

amount that an order will cross the spread (by default the near peg parameter is set to zero).

In order to comply with current guidance regarding Rule 612 of Regulation NMS, the system will truncate the

allowable participation range of a given order to the nearest increment permissible1 or mid-spread, whichever

1 For NMS securities priced at $1.00 or greater the minimum permissible increment is $0.01. For NMS securities priced

below $1.00 the minimum permissible increment is $0.0001.

is closest within the applicable participation parameters. Subscribers may not enter orders with a limit in an

impermissible increment. Thus, it can be stated generally, for NMS securities priced over $1.00 that in any

opportunity for a match, no two possible price points can be less than $0.01 apart from one another, unless one

of the price points is mid-spread, in which case it can be distanced no less than $0.005 from a neighboring

price point, and therefore orders will only be crossed at price points that are at $0.01 increments or at mid-

spread.

Similarly, effective October 3, 2016 and for the duration of the pilot program, for NMS securities that are in

Test Groups 2 and 3 of the Tick Size Pilot Program, the system will truncate the allowable participation range

to the nearest $0.05 or mid-spread, whichever is closest. Orders entered for NMS securities that are in Test

Group 1 of the pilot will be truncated to the nearest permissible increment under Rule 612 of Regulation NMS

(or mid-spread, whichever is closest). Subscribers may not enter orders in Tick Size Pilot Test securities

(Group 1, 2 and 3) with a limit price in an increment of less than $0.05. Additionally, orders entered for NMS

securities in Test Group 3 that are subject to the “Trade-At” prohibitions of the pilot program are not eligible

to cross at the Best Protected Bid or Best Protected Offer and therefore will be truncated to the nearest

allowable nickel increment or mid-spread, whichever is closest.

The figures and scenarios that follow are illustrative of these points.

Figure 1: The top pane represents the original input parameters submitted by the clients. First, a 1000 share order to buy

at up to mid-spread is entered by client “B1”. This is followed by another 1000 share order to buy from client “B2”, this

time with a slightly more aggressive willingness to participate up to 60% across the spread. Next, client “S1” enters a

sell order. At this instant (bottom pane), the matching engine is invoked. The allowed intervals are a function of the

spread of the current national best bid and offer. At the moment when the matching engine is invoked, the NBBO has a

$0.01 spread and all peg-parameter derived price points for the orders are truncated to the next allowable interval (blue

lines).

Figure 2: Extending on the example illustrated in Figure 1, assume now that the sell order from client “S1” was for 1100

shares, rather than 1000 shares. Since the NBBO has not changed for this example, the spread is still $0.01 and the

allowable intervals and truncation to those is identical to the previous example. The only difference occurs in the share

allocation stage. Here, both clients “B1” and “B2” are allocated 500 shares from client “S1”, as in the previous

example, adhering to the algorithm’s design for even allocation. However, 100 shares remain to be matched and will not

be divided. The extra round lot will be allocated pseudo-randomly, in this illustration to client “B1”. Note that under the

algorithm’s design for even allocation, any single client can gain at most one additional round lot over any of its peer

clients when all other factors are equivalent.

Figure 3: Extending further on the last example, assume now that the seller’s order was priced aggressively to

participate across the entire spread. Since the matching engine has a bias towards mid-spread, the more aggressively

priced order does not change the outcome of the matching event.

Figure 4: Now consider an example in which the second buyer submits an order with a slightly less aggressive

willingness to participate: only 40% across the spread. Furthermore, the seller has a desired participation parameter for

60% across the spread. Without a truncation mechanism, the matching engine would have found an optimal price point to

match all 1100 shares at a price of 12.004. However, with the truncation mechanism in place, the matching engine

adapts its allowable intervals to the current spread of 1 penny and truncates all price points to the nearest allowable

interval at the moment it is invoked. Here, the second buyer’s desired participation parameter of 0.4 is not allowed, and

therefore effectively truncated to the bid. The seller’s desired participation parameter of 0.6 is also not allowed, and

therefore effectively truncated to mid-spread. The only possible interval to match shares is thus at mid-spread for 1000

shares. Client “B1” is thus completely filled, and client “S1” has 1000 shares out of 1100 filled.

Figure 5: Assume now, as an extension in time to the previous example, that the spread suddenly widens to $0.05. There

were 100 shares to sell remaining from client “S1” with an originally desired spread participation of 60%. The 1000

shares to buy from client “B1” were not filled because the originally desired participation of 40% was not an allowable

interval, and the truncated participation to the bid did not include the order in the matching event. However, now that the

spread has widened to $0.05, both a 40% and a 60% desired spread participation range are allowable intervals. At the

instant that the tick changes, the crossing engine is invoked, the participation parameters are evaluated as a function of

the current spread, found to be “allowable” price points, and a match occurs at $12.02 for the remaining 100 shares.

Figure 6: The examples in Figures 4 and 5 involved a tick-change. Let’s assume that the same scenario occurs as in

Figure 4, but this time the spread is $0.05 to begin with. The sell order from client “S1” arrives and invokes the

matching engine. At this instant, the participation parameters are evaluated as a function of the 5 cent spread. Since all

derived price points are all allowable, no truncation occurs. The maximum shares that can be matched are 1100 at

$12.02. The share allocation is determined by exactly the same principal as before.

Market Data

Citi Cross employs a combination of data feeds (which can include both direct feeds and securities information

processor (“SIP”) feeds) in order to ensure access to low latency market data, which allows pegged orders to

automatically re-price resting liquidity. Each instance of the crossing engine is equipped with its own market

data appliance, which eliminates additional latencies encountered when rebroadcasting a market data signal.

Citi Cross may suspend crossing during locked or crossed market conditions, during trading pauses and

regulatory halts or suspensions, and may also suspend crossing if market data is deemed to be unreliable.

b. Procedures governing entry of orders into the alternative trading system;

As described above, orders may be entered into Citi Cross directly or indirectly via the various front-end

systems employed by CGMI, its affiliates and subscribers.

Citi Cross will only accept the entry of orders that satisfy clearly defined parameters. Certain default values

may be assigned where not otherwise specified. Subscribers will be referred to the most recent Citi Cross Fix

specification for more information regarding proper messaging protocols and default settings. In addition,

orders may be subject to validations, including size and notional limits, aggregate exposure limits, session rate

limiting and percentage of ADV limitations. Certain order specific parameters are set at a default value but

may be modified upon client request. Orders entered indirectly may be subject to additional validations as

prescribed by the desk or system where the order is entered.

c. The means of access to the alternative trading system;

Please see Exhibit A and Item b., above.

d. The procedures governing execution, reporting, clearance, and settlement of transaction effected

through the alternative trading system;

The execution algorithm for Citi Cross is described in detail above in Section (a) of this Exhibit F. Trades will

be reported by CGMI consistent with FINRA and SEC reporting requirements. Trades that are executed on

Citi Cross will be cleared and settled by CGMI.

e. Procedures for ensuring subscriber compliance with system guidelines;

Citi Cross relies on its system validations and automated processes to ensure compliance with Citi Cross

guidelines. Specifically, the system only permits the entry of orders that satisfy clearly defined parameters.

After the orders are accepted by Citi Cross, the orders are handled automatically in accordance with Citi

Cross’s execution software programs.

As noted in Exhibit A, all non-affiliate subscribers must also sign the Citigroup standard Electronic Trading

Agreement (“ETA”) or similar agreement. Pursuant to the terms of the agreement, subscribers agree to

comply with applicable rules and regulations when placing orders into the system.

f. A copy of the alternative trading system’s subscriber manual and any other materials provided to

subscribers.

There is no subscriber manual for Citi Cross. Please see Appendix F1 for a copy of the following:

CGMI Electronic Trading Agreement (ETA)

Citi Cross Standard Disclosure document

Citi Cross Fix Specification

Exhibit G. Attach as Exhibit G, a brief description of the alternative trading system’s procedures for

reviewing system capacity, security, and contingency planning procedures.

CGMI has several processes in place to address capacity, security and contingency planning to ensure the

network stability of CGMI’s operations. Each of these processes will be applicable to Citi Cross. Specifically,

CGMI regularly monitors system capacity to ensure capacity issues are appropriately addressed as

circumstances warrant. In addition, CGMI performs security reviews and relies on its Business Information

Security Office to assist in maintaining system security. With regard to business contingency planning, Citi

Cross follows CGMI’s business continuity standards.

Regarding information security policies for CGMI’s Information Technology personnel, CGMI has designed

Citi Cross to ensure its adherence to the firm’s information security standards. CGMI strives at all times to

protect the integrity and confidentiality of client and proprietary business data. CGMI’s Information Security

policy generally limits system access privileges with access entitlements provided to business users only as

necessary to perform documented functions and duties. In addition, production application environments are

segregated from other system environments. Access to production environments is governed by CGMI’s

Information Security Standards (please see Appendix G1and Continuity of Business Standards (G 2) that are

enforced through various control processes and technical tools, including semi-annual entitlements reviews.

Further, in accordance with Rule 301(b)(10)(i)(B) of Regulation ATS, Citi Cross utilizes the same safeguards

and procedures that exist within Citigroup’s Institutional Client Group and which are designed to protect

subscribers’ confidential trading information, including standard procedures controlling CGMI employees’

ability to trade for their own accounts. Such procedures include, without limitation, manager pre-approval and

a mandatory minimum holding period of 15 calendar days for all employee trading. A copy of the CGMI

Employee Trading Policy is attached hereto as Appendix G3.

Exhibit H

If any other entity, other than the alternative trading system, will hold or safeguard subscriber funds or

securities on a regular basis, attach as Exhibit H the name of such entity and a brief description of the

controls that will be implemented to ensure the safety of such funds and securities

Not applicable.

Exhibit I

Attach as Exhibit I, a list providing the full legal name of those direct owners reported on Schedule A of

Form BD.

Unchanged from previous version.