ANONYMITY IS IMPORTANT SINCE THE SHARES TO BE LIQUIDATED REPRESENT...

3. Anonymity is important since the shares to be liquidated represent 150% of Jesco’s average daily volume. Crossing networks order 2008 Level III Guideline Answers Morning Session – Page 29 of 40 Question: 8 Topic: Portfolio Management – Execution of Portfolio Decisions Minutes: 14 PART B Template for Question 8-B Recommend the security Identify, for each of the securities not chosen, one trading characteristic best suited to that makes it unsuitable to be purchased using a VWAP strategy. be purchased using a VWAP Note: A trading characteristic cannot be used more than once. strategy. (circle one) BDC Urgency to complete trade: The urgency is high making VWAP unsuitable for BDC. CHA Urgency to complete trade: The urgency is high making VWAP unsuitable for DPF. Size of trade relative to average daily volume: The size of the order DPF represents a very high percentage of average daily volume and the VWAP algorithm would not have high likelihood of success. Bid/ask spread: A large volume trade will have a major impact on DPF’s price and will not have high likelihood of success with the VWAP algorithm.represents a high percentage of average daily volume and the VWAP ROD Morning Session – Page 30 of 40 PART C Template for Question 8-C Recommend the security best Identify, for each of the securities not chosen, one trading suited to be characteristic that makes it unsuitable to be purchased using an purchased using implementation shortfall strategy. an implementation Note: A trading characteristic cannot be used more than once. shortfall strategy. BDC Trading volume pattern: Higher volumes toward the end of the day would make a front-loaded implementation shortfall strategy (ISS) less suitable. Urgency to complete trade: The urgency is low making ISS less suitable. Trading volume pattern: Higher volumes toward end of day would make front-loaded ISS less suitable. represents a very high percentage of average daily volume and algorithm would not have high likelihood of success. Bid/ask spread: Large volume trade will have a major impact on price and not have high likelihood of success with algorithm. represents a high percentage of average daily volume and algorithm Morning Session – Page 31 of 40 Question: 9 Topic: Portfolio Management – Monitoring and Rebalancing Minutes: 9 Reading Reference: