Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Credits to Supplemental Liquidity Providers, 50529-50532 [2011-20640]
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Federal Register / Vol. 76, No. 157 / Monday, August 15, 2011 / Notices
believes that the proposed changes
enhance the objectivity of decisions
made by FINRA with respect to clearly
erroneous executions.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
FINRA does not believe that the
proposed rule change will result in any
burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
Written comments were neither
solicited nor received.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule
change does not: (i) Significantly affect
the protection of investors or the public
interest; (ii) impose any significant
burden on competition; and (iii) become
operative for 30 days from the date on
which it was filed, or such shorter time
as the Commission may designate, it has
become effective pursuant to Section
19(b)(3)(A) of the Act 7 and Rule 19b–
4(f)(6)(iii) thereunder.8 FINRA has asked
the Commission to waive the 30-day
operative delay so that the proposal may
become operative immediately upon
filing. The Commission believes that
waiving the 30-day operative delay is
consistent with the protection of
investors and the public interest
because such waiver will allow the pilot
program to continue uninterrupted and
help ensure uniformity among the
national securities exchanges and
FINRA with respect to the treatment of
clearly erroneous transactions.9
Accordingly, the Commission waives
the 30-day operative delay requirement
and designates the proposed rule change
as operative upon filing with the
Commission.
At any time within 60 days of the
filing of the proposed rule change, the
Commission summarily may
temporarily suspend such rule change if
7 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6)(iii). In addition, Rule
19b–4(f)(6)(iii) requires that a self-regulatory
organization submit to the Commission written
notice of its intent to file the proposed rule change,
along with a brief description and text of the
proposed rule change, at least five business days
prior to the filing of the proposed rule change, or
such shorter time as designated by the Commission.
The Commission notes that FINRA has satisfied this
requirement.
9 For purposes only of waiving the 30-day
operative delay, the Commission has considered the
proposed rule’s impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
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it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.10
Elizabeth M. Murphy,
Secretary.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
[FR Doc. 2011–20697 Filed 8–12–11; 8:45 am]
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an e-mail to rulecomments@sec.gov. Please include File
Number SR–FINRA–2011–037 on the
subject line.
Paper Comments
• Send paper comments in triplicate
to Elizabeth M. Murphy, Secretary,
Securities and Exchange Commission,
100 F Street, NE., Washington, DC
20549–1090.
All submissions should refer to File
Number SR–FINRA–2011–037. This file
number should be included on the
subject line if e-mail is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street, NE.,
Washington, DC 20549, on official
business days between the hours of 10
a.m. and 3 p.m. Copies of such filing
also will be available for inspection and
copying at the principal office of
FINRA. All comments received will be
posted without change; the Commission
does not edit personal identifying
information from submissions. You
should submit only information that
you wish to make publicly available. All
submissions should refer to File
Number SR–FINRA–2011–037 and
should be submitted on or before
September 6, 2011.
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BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–65062; File No. SR–NYSE–
2011–39]
Self-Regulatory Organizations; New
York Stock Exchange LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change Relating to
Credits to Supplemental Liquidity
Providers
August 9, 2011.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder,2
notice is hereby given that, on August
1, 2011, New York Stock Exchange LLC
(the ‘‘Exchange’’ or ‘‘NYSE’’) filed with
the Securities and Exchange
Commission (the ‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which Items
have been prepared by the Exchange.
The Commission is publishing this
notice to solicit comments on the
proposed rule change from interested
persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend its
2011 Price List (‘‘Price List’’) for equity
transactions to amend the tiered
structure of credits to Supplemental
Liquidity Providers (‘‘SLPs’’) for adding
liquidity to the Exchange in NYSE-listed
securities with a per share stock price of
$1.00 or more, to include criteria based
on an SLP’s Average Daily Volume
(‘‘ADV’’) in added liquidity in the
applicable month. The amended pricing
will take effect on August 1, 2011. The
text of the proposed rule change is
available at the Exchange, at https://
www.nyse.com, at the Commission’s
Public Reference Room, and at the
Commission’s Web site at https://
www.sec.gov.
10 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
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Federal Register / Vol. 76, No. 157 / Monday, August 15, 2011 / Notices
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
self-regulatory organization included
statements concerning the purpose of,
and basis for, the proposed rule change
and discussed any comments it received
on the proposed rule change. The text
of those statements may be examined at
the places specified in Item IV below.
The Exchange has prepared summaries,
set forth in sections A, B, and C below,
of the most significant parts of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange proposes to amend its
tiered structure of credits to SLPs for
adding liquidity to the Exchange in
NYSE-listed securities. The Exchange
proposes to change the tiered volume
requirements in the Price List from
numerical thresholds (e.g., 50 million
shares) to a combination of numerical
thresholds and percentage thresholds of
US ADV (e.g., 1.25% of US ADV).3 The
percentage threshold volume
requirements to reach the tiered pricing
levels will be fixed and not variable and
SLP Tier
SLP Credit
per share
per qualified
provide share
will result in share volume that will
adjust each month based on US average
daily consolidated share volume in
Tape A securities (‘‘US Tape A ADV’’)
for that given month. US Tape A ADV
is equal to the volume reported by all
exchanges and trade reporting facilities
to the Consolidated Tape Association
(‘‘CTA’’) Plan for Tape A securities. The
Exchange currently makes this data
publicly available on a T + 1 basis from
a link at https://www.nyxdata.com/USandEuropean-Volumes. The percentage
approach is in line with those adopted
by NYSE Arca, Inc. (‘‘NYSE Arca’’),
NASDAQ Stock Market LLC and EDGX
Exchange, Inc. for liquidity providers.4
Under the current tiered structure of
credits, SLPs that meet the 10% average
or more quoting requirement in an
assigned security pursuant to NYSE
Rule 107B receive a credit per share per
transaction for adding liquidity, based
on total ADV of added liquidity in the
applicable month for all assigned SLP
securities, as follows: 5
• $0.0022 credit per share per
transaction if total ADV of added
liquidity is more than 50 million shares;
• $0.0021 credit per share per
transaction if total ADV of added
liquidity is more than 20 million shares
but not more than 50 million shares;
• $0.0020 credit per share per
transaction if total ADV of added
liquidity is more than 10 million shares
but not more than 20 million shares.6
The Exchange proposes to amend
such credits with respect to SLP
transactions as described below. SLPs
that meet the 10% average or more
quoting requirement in an assigned
security pursuant to NYSE Rule 107B
will receive a credit per share per
transaction for adding liquidity, based
on total ADV of added liquidity in the
applicable month for all assigned SLP
securities, as follows:
• 0.0022 credit per share per
transaction if added liquidity is the
greater of (a) an ADV of more than 35
million shares or (b) more than 1.25%
of US Tape A ADV (‘‘SLP Tier 1’’);
• $0.0021 credit per share per
transaction if added liquidity is the
greater of (a) an ADV of more than 15
million shares but not more than 35
million shares or (b) more than 0.50%
but not more than 1.25% of US Tape A
(‘‘SLP Tier 2’’); and
• $0.0020 credit per share per
transaction if added liquidity is an ADV
of more than 10 million shares but not
more than the greater of 15 million
shares or 0.50% of US Tape A ADV
(‘‘SLP Tier 3’’).
The following table sets forth the
differences between the current
thresholds for the SLP credits as well as
the proposed structure:
Current daily provide ADV
requirement
1 ....................
$0.0022
2 ....................
0.0021
3 ....................
0.0020
Proposed new daily provide ADV requirement
More than 50,000,000 shares ........
More than 1.25% of US Tape A ADV or 35,000,000 shares, whichever
is greater.
More than 0.50% of US Tape A ADV or 15,000,000 shares, whichever
is greater, but not more than 1.25% of US Tape A ADV or
35,000,000 shares, whichever is greater.
More than 10,000,000 shares but not more than 0.50% of US Tape A
ADV or 15,000,000 shares, whichever is greater.
More than 20,000,000
not more than
shares.
More than 10,000,000
not more than
shares.
shares but
50,000,000
shares but
20,000,000
Example: In a month in which the US Tape
A ADV is 3.5 billion shares, the requirement
for SLP Tier 1 would be 1.25% or 43.75
million shares ADV, and the requirement for
SLP Tier 2 would be 0.5% or 17.5 million
shares ADV. In a month in which US Tape
ADV falls to 2 billion shares, the requirement
for Tier 1 would be the greater of 35 million
shares and 1.25% of US Tape A ADV, or 25
million shares, so the minimum would be 35
million shares. In that same month, the
requirement for SLP Tier 2 would be the
greater of 15 million shares ADV and 0.5%
of US Tape A, or 10 million shares, so the
minimum ADV would be 15 million shares.
The minimum numerical thresholds
for SLP Tier 2 of 15 million and for SLP
Tier 1 of 35 million are set lower than
the current numerical thresholds of 20
million for SLP Tier 2 and 50 million for
SLP Tier 1 because current equity
market volume has declined from recent
historical levels.
The Exchange is proposing to add
numerical minimum ADV thresholds to
3 For purposes of transaction fees and
Supplemental Liquidity Provider liquidity credits,
ADV calculations exclude early closing days.
4 See Securities Exchange Act Release Nos. 64627
(June 8, 2011), 76 FR 34788 (June 14, 2011) (SR–
NYSEArca–2011–35); 64453 (May 10, 2011), 76 FR
28252 (May 16, 2011) (SR–NASDAQ–2011–062);
64632 (June 8, 2011), 76 FR 34792 (June 14, 2011)
(SR–EDGX–2011–17). In addition, other exchanges
have included both percentage thresholds and
minimum numeric thresholds as tier requirements.
See, e.g., Securities Exchange Act Release No.
64820 (July 6, 2011, 76 FR 40974 (July 12, 2011)
(SE–NYSEArca–2011–41).
5 See Securities Exchange Act Release No. 63642
(January 4, 2011), 76 FR 1653 (January 11, 2011)
(SR–NYSE–2010–87).
6 For all other SLP transactions that add liquidity
to the Exchange but do not qualify for any of the
foregoing credits, the credit is $0.0015 per share per
transaction. In addition, in its first calendar month
as an SLP, an SLP qualifies for the tiered credits
regardless of whether it meets the requirement to
provide liquidity with an ADV of more than 10
million shares.
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The proposed ADV thresholds for SLP
Tiers 1 and 2 will fluctuate according to
monthly market volumes, but will be
subject to fixed minimum numerical
thresholds as shown in the following
example.
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Federal Register / Vol. 76, No. 157 / Monday, August 15, 2011 / Notices
the percentage ADV thresholds in SLP
Tier 1 and SLP Tier 2 in order to
facilitate the determination of the
applicable credits per share and prevent
crossing between tiers in low volume
months. For example, in a month with
less than 2 billion US Tape A ADV, SLP
Tier 2’s 0.50% percentage ADV
threshold would fall below the SLP Tier
3 requirement (e.g., 0.50% of 1.5 billion
US Tape A ADV is equal to 7.5 million
ADV, which is less than the 10 million
SLP Tier 3 requirement.)
The Exchange believes that the SLP
Tier 3 minimum requirement of
10 million ADV, which remains
unchanged and not tied to any
percentage ADV threshold, continues to
be an appropriate minimum
requirement for the SLP program, given
that it is a reasonable requirement to get
a significantly larger increase of $.0005
over the client rebate of $.0015, and that
the larger volume requirements needed
for SLP Tier 2 and SLP Tier 1 are likely
to be more sensitive to fluctuations in
market volumes. In addition, the SLP
Tier 3 maximum requirement is being
lowered from 20 million ADV to
15 million ADV in order to correspond
to, and avoid overlap with, the
minimum 15 million ADV requirement
in SLP Tier 2.
For two of its SLP Tiers, NYSE is
moving to an approach that will
compare the liquidity added by an SLP
to the greater of a numerical threshold
or a percentage threshold based upon
the average daily traded volume of the
relevant security, for several reasons.
The percentage threshold will adjust
each calendar month based on the U.S.
average daily consolidated share volume
in Tape A Securities for that month,
while the numerical threshold remains
unchanged from month to month,
thereby providing a consistent floor
against which to measure the SLPs’
performance. The Exchange also
believes that the proposed approach
will provide a more straightforward way
to communicate floating volume tiers,
while maintaining a minimum
threshold, which, as noted above, is an
approach similar to that adopted by
other exchanges.7 The Exchange notes
that the combined approach will allow
tiers to move in sync with consolidated
volume while maintaining a numerical
threshold. While the percentage
thresholds will result in lower
minimum share volume requirements
for SLP Tier 1 and SLP Tier 2 when
consolidated volumes are lower, they
will also result in higher minimum
share volume requirements when
consolidated volumes are higher. Such
higher and lower consolidated volumes
will have a similar impact on the
maximum share requirements for SLP
Tier 2 and SLP Tier 3; however, the
minimum share requirement for SLP
Tier 3 will remain unchanged at 10
million shares.
These changes are intended to be
effective immediately for all
transactions beginning August 1, 2011
and are only applicable to those NYSElisted securities with a per share stock
price of $1.00 or more.
believes that the proposed rule change
reflects this competitive environment
because it will broaden the conditions
under which customers may qualify for
higher liquidity provider credits.
2. Statutory Basis
The Exchange believes that the
proposed rule change is consistent with
the provisions of Section 6 of the
Securities Exchange Act of 1934 (the
‘‘Act’’), in general, and Section 6(b)(4) of
the Act,8 in particular, in that it is
designed to provide for the equitable
allocation of reasonable dues, fees, and
other charges among its members and
other persons using its facilities. The
Exchange believes that the proposal
does not constitute an inequitable
allocation of fees, as all similarly
situated member organizations and
other market participants will be subject
to the same fee structure, and access to
the Exchange’s market is offered on fair
and non-discriminatory terms.
With respect to the addition of
percentage ADV thresholds to the
existing share thresholds for certain of
NYSE’s existing pricing tiers, NYSE
believes that the change is reasonable,
because the levels of liquidity provision
required to receive the applicable
credits will move month to month with
respect to the levels of market volumes.
NYSE believes the levels of activity
required to achieve higher tiers will be
generally consistent with existing
requirements for these tiers. Moreover,
like existing pricing tiers tied to volume
levels, as in effect at NYSE and other
markets, the proposed pricing tiers are
equitable and non-discriminatory
because they are open to all SLPs on an
equal basis and provide discounts that
are reasonably related to the value to an
exchange’s market quality associated
with higher volumes.
Finally, the Exchange notes that it
operates in a highly competitive market
in which market participants can
readily favor competing venues if they
deem fee levels at a particular venue to
be excessive. In such an environment,
the Exchange must continually adjust its
fees to remain competitive with other
exchanges and with alternative trading
systems that have been exempted from
compliance with the statutory standards
applicable to exchanges. The Exchange
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
No written comments were solicited
or received with respect to the proposed
rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
The foregoing rule change is effective
upon filing pursuant to Section
19(b)(3)(A) 9 of the Act and
subparagraph (f)(2) of Rule 19b–4 10
thereunder, because it establishes or
changes a due, fee, or other charge
imposed on its members by the
Exchange. At any time within 60 days
of the filing of such proposed rule
change, the Commission summarily may
temporarily suspend such rule change if
it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an e-mail to rulecomments@sec.gov. Please include File
Number SR–NYSE–2011–39 on the
subject line.
Paper Comments
• Send paper comments in triplicate
to Elizabeth M. Murphy, Secretary,
Securities and Exchange Commission,
100 F Street, NE., Washington, DC
20549–1090.
9 15
7 See
note 2, supra.
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U.S.C. 78f(b)(4).
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U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(2).
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Federal Register / Vol. 76, No. 157 / Monday, August 15, 2011 / Notices
All submissions should refer to File
Number SR–NYSE–2011–39. This file
number should be included on the
subject line if e-mail is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street, NE.,
Washington, DC 20549, on official
business days between the hours of
10 a.m. and 3 p.m. Copies of the filing
also will be available for inspection and
copying at the principal office of the
Exchange. All comments received will
be posted without change; the
Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–NYSE–
2011–39 and should be submitted on or
before September 6, 2011.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.11
Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011–20640 Filed 8–12–11; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–65060; File No. SR–CBOE–
2011–077]
srobinson on DSK4SPTVN1PROD with NOTICES
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change Related to the Extension
of a CBSX Clearly Erroneous Policy
Pilot Program
August 9, 2011.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’),1 and Rule 19b–4 thereunder,2
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
notice is hereby given that on August 5,
2011, the Chicago Board Options
Exchange, Incorporated (‘‘Exchange’’ or
‘‘CBOE’’) filed with the Securities and
Exchange Commission (the
‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the Exchange. The Exchange has
designated the proposal as a ‘‘noncontroversial’’ proposed rule change
pursuant to Section 19(b)(3)(A)(iii) of
the Act 3 and Rule 19b–4(f)(6)
thereunder.4 The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to extend a
clearly erroneous policy pilot program
pertaining to the CBOE Stock Exchange
(‘‘CBSX’’, the CBOE’s stock trading
facility). This rule change simply seeks
to extend the pilot. No other changes to
the pilot are being proposed. The text of
the proposed rule change is available on
the Exchange’s Web site (https://
www.cboe.org/Legal), at the Exchange’s
Office of the Secretary and at the
Commission.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
concerning the purpose of and basis for
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of those
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
the most significant parts of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
Certain amendments to Rule 52.4,
Clearly Erroneous Policy, were approved
by the Commission on September 10,
2010 on a pilot basis. The pilot is
currently set to expire on the earlier of
August 11, 2011 or the date on which
a limit up-limit down mechanism to
address extraordinary market volatility,
if adopted, applies to the Circuit Breaker
Stocks as defined in Interpretation and
11 17
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U.S.C. 78s(b)(3)(A)(iii).
CFR 240.19b–4(f)(6).
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Policy .03 of Rule 6.3C.5 The clearly
erroneous policy changes were
developed in consultation with other
markets and the Commission staff to
provide for uniform treatment: (i) Of
clearly erroneous execution reviews in
Multi-Stock Events involving twenty or
more securities; and (ii) in the event
transactions occur that result in the
issuance of an individual stock trading
pause by the primary market and
subsequent transactions that occur
before the trading pause is in effect on
the Exchange. Additional changes were
also made to Rule 52.4 that reduce the
ability of the Exchange to deviate from
the objective standards set forth in the
Rule. As the duration of the pilot
expires on the earlier of August 11, 2011
or the date on which a limit up-limit
down mechanism to address
extraordinary market volatility, if
adopted, applies to the Circuit Breaker
Stocks as defined in Interpretation and
Policy .03 of Rule 6.3C, the Exchange is
proposing to extend the effectiveness of
the clearly erroneous policy changes to
Rule 52.4 through January 31, 2012.
2. Statutory Basis
Extension of the pilot period will
allow the Exchange to continue to
operate the pilot on an uninterrupted
basis. Accordingly, the Exchange
believes the proposed rule change is
consistent with the Act 6 and the rules
and regulations under the Act
applicable to a national securities
exchange and, in particular, the
requirements of Section 6(b) of the Act.7
Specifically, the Exchange believes the
proposed rule change is consistent with
the Section 6(b)(5) 8 requirements that
the rules of an exchange be designed to
promote just and equitable principles of
trade, to prevent fraudulent and
manipulative acts and, in general, to
protect investors and the public interest.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
CBOE does not believe that the
proposed rule change will impose any
5 Securities Exchange Act Release Nos. 62886
(September 10, 2010), 75 FR 56613 (September 16,
2010) (SR–CBOE–2010–056) (approval order
establishing pilot through December 10, 2010),
63485 (December 9, 2010), 75 FR 78278 (December
15, 2010) (SR–CBOE–2010–113) (extension of pilot
through April 11, 2011), and 64227 (April 7, 2011),
76 FR 20796 (April 13, 2011) (SR–CBOE–2011–032)
(extension of pilot through the earlier of August 11,
2011 or the date on which a limit up-limit down
mechanism to address extraordinary market
volatility, if adopted, applies to the Circuit Breaker
Stocks as defined in Interpretation and Policy .03
of Rule 6.3C, Individual Stock Trading Pause Due
to Extraordinary Market Volatility).
6 15 U.S.C. 78a et seq.
7 15 U.S.C. 78(f)(b).
8 15 U.S.C. 78(f)(b)(5).
E:\FR\FM\15AUN1.SGM
15AUN1
]]>Agencies
[Federal Register Volume 76, Number 157 (Monday, August 15, 2011)]
[Notices]
[Pages 50529-50532]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2011-20640]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-65062; File No. SR-NYSE-2011-39]
Self-Regulatory Organizations; New York Stock Exchange LLC;
Notice of Filing and Immediate Effectiveness of Proposed Rule Change
Relating to Credits to Supplemental Liquidity Providers
August 9, 2011.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that, on August 1, 2011, New York Stock Exchange LLC (the ``Exchange''
or ``NYSE'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I, II,
and III below, which Items have been prepared by the Exchange. The
Commission is publishing this notice to solicit comments on the
proposed rule change from interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to amend its 2011 Price List (``Price List'')
for equity transactions to amend the tiered structure of credits to
Supplemental Liquidity Providers (``SLPs'') for adding liquidity to the
Exchange in NYSE-listed securities with a per share stock price of
$1.00 or more, to include criteria based on an SLP's Average Daily
Volume (``ADV'') in added liquidity in the applicable month. The
amended pricing will take effect on August 1, 2011. The text of the
proposed rule change is available at the Exchange, at https://www.nyse.com, at the Commission's Public Reference Room, and at the
Commission's Web site at https://www.sec.gov.
[[Page 50530]]
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the self-regulatory organization
included statements concerning the purpose of, and basis for, the
proposed rule change and discussed any comments it received on the
proposed rule change. The text of those statements may be examined at
the places specified in Item IV below. The Exchange has prepared
summaries, set forth in sections A, B, and C below, of the most
significant parts of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to amend its tiered structure of credits to
SLPs for adding liquidity to the Exchange in NYSE-listed securities.
The Exchange proposes to change the tiered volume requirements in the
Price List from numerical thresholds (e.g., 50 million shares) to a
combination of numerical thresholds and percentage thresholds of US ADV
(e.g., 1.25% of US ADV).\3\ The percentage threshold volume
requirements to reach the tiered pricing levels will be fixed and not
variable and will result in share volume that will adjust each month
based on US average daily consolidated share volume in Tape A
securities (``US Tape A ADV'') for that given month. US Tape A ADV is
equal to the volume reported by all exchanges and trade reporting
facilities to the Consolidated Tape Association (``CTA'') Plan for Tape
A securities. The Exchange currently makes this data publicly available
on a T + 1 basis from a link at https://www.nyxdata.com/US-andEuropean-Volumes. The percentage approach is in line with those adopted by NYSE
Arca, Inc. (``NYSE Arca''), NASDAQ Stock Market LLC and EDGX Exchange,
Inc. for liquidity providers.\4\
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\3\ For purposes of transaction fees and Supplemental Liquidity
Provider liquidity credits, ADV calculations exclude early closing
days.
\4\ See Securities Exchange Act Release Nos. 64627 (June 8,
2011), 76 FR 34788 (June 14, 2011) (SR-NYSEArca-2011-35); 64453 (May
10, 2011), 76 FR 28252 (May 16, 2011) (SR-NASDAQ-2011-062); 64632
(June 8, 2011), 76 FR 34792 (June 14, 2011) (SR-EDGX-2011-17). In
addition, other exchanges have included both percentage thresholds
and minimum numeric thresholds as tier requirements. See, e.g.,
Securities Exchange Act Release No. 64820 (July 6, 2011, 76 FR 40974
(July 12, 2011) (SE-NYSEArca-2011-41).
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Under the current tiered structure of credits, SLPs that meet the
10% average or more quoting requirement in an assigned security
pursuant to NYSE Rule 107B receive a credit per share per transaction
for adding liquidity, based on total ADV of added liquidity in the
applicable month for all assigned SLP securities, as follows: \5\
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\5\ See Securities Exchange Act Release No. 63642 (January 4,
2011), 76 FR 1653 (January 11, 2011) (SR-NYSE-2010-87).
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$0.0022 credit per share per transaction if total ADV of
added liquidity is more than 50 million shares;
$0.0021 credit per share per transaction if total ADV of
added liquidity is more than 20 million shares but not more than 50
million shares;
$0.0020 credit per share per transaction if total ADV of
added liquidity is more than 10 million shares but not more than 20
million shares.\6\
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\6\ For all other SLP transactions that add liquidity to the
Exchange but do not qualify for any of the foregoing credits, the
credit is $0.0015 per share per transaction. In addition, in its
first calendar month as an SLP, an SLP qualifies for the tiered
credits regardless of whether it meets the requirement to provide
liquidity with an ADV of more than 10 million shares.
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The Exchange proposes to amend such credits with respect to SLP
transactions as described below. SLPs that meet the 10% average or more
quoting requirement in an assigned security pursuant to NYSE Rule 107B
will receive a credit per share per transaction for adding liquidity,
based on total ADV of added liquidity in the applicable month for all
assigned SLP securities, as follows:
0.0022 credit per share per transaction if added liquidity
is the greater of (a) an ADV of more than 35 million shares or (b) more
than 1.25% of US Tape A ADV (``SLP Tier 1'');
$0.0021 credit per share per transaction if added
liquidity is the greater of (a) an ADV of more than 15 million shares
but not more than 35 million shares or (b) more than 0.50% but not more
than 1.25% of US Tape A (``SLP Tier 2''); and
$0.0020 credit per share per transaction if added
liquidity is an ADV of more than 10 million shares but not more than
the greater of 15 million shares or 0.50% of US Tape A ADV (``SLP Tier
3'').
The following table sets forth the differences between the current
thresholds for the SLP credits as well as the proposed structure:
----------------------------------------------------------------------------------------------------------------
SLP Credit per
share per Current daily provide ADV Proposed new daily provide ADV
SLP Tier qualified requirement requirement
provide share
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1............................ $0.0022 More than 50,000,000 shares. More than 1.25% of US Tape A ADV
or 35,000,000 shares, whichever
is greater.
2............................ 0.0021 More than 20,000,000 shares More than 0.50% of US Tape A ADV
but not more than or 15,000,000 shares, whichever
50,000,000 shares. is greater, but not more than
1.25% of US Tape A ADV or
35,000,000 shares, whichever is
greater.
3............................ 0.0020 More than 10,000,000 shares More than 10,000,000 shares but
but not more than not more than 0.50% of US Tape A
20,000,000 shares. ADV or 15,000,000 shares,
whichever is greater.
----------------------------------------------------------------------------------------------------------------
The proposed ADV thresholds for SLP Tiers 1 and 2 will fluctuate
according to monthly market volumes, but will be subject to fixed
minimum numerical thresholds as shown in the following example.
Example: In a month in which the US Tape A ADV is 3.5 billion
shares, the requirement for SLP Tier 1 would be 1.25% or 43.75
million shares ADV, and the requirement for SLP Tier 2 would be 0.5%
or 17.5 million shares ADV. In a month in which US Tape ADV falls to
2 billion shares, the requirement for Tier 1 would be the greater of
35 million shares and 1.25% of US Tape A ADV, or 25 million shares,
so the minimum would be 35 million shares. In that same month, the
requirement for SLP Tier 2 would be the greater of 15 million shares
ADV and 0.5% of US Tape A, or 10 million shares, so the minimum ADV
would be 15 million shares.
The minimum numerical thresholds for SLP Tier 2 of 15 million and
for SLP Tier 1 of 35 million are set lower than the current numerical
thresholds of 20 million for SLP Tier 2 and 50 million for SLP Tier 1
because current equity market volume has declined from recent
historical levels.
The Exchange is proposing to add numerical minimum ADV thresholds
to
[[Page 50531]]
the percentage ADV thresholds in SLP Tier 1 and SLP Tier 2 in order to
facilitate the determination of the applicable credits per share and
prevent crossing between tiers in low volume months. For example, in a
month with less than 2 billion US Tape A ADV, SLP Tier 2's 0.50%
percentage ADV threshold would fall below the SLP Tier 3 requirement
(e.g., 0.50% of 1.5 billion US Tape A ADV is equal to 7.5 million ADV,
which is less than the 10 million SLP Tier 3 requirement.)
The Exchange believes that the SLP Tier 3 minimum requirement of 10
million ADV, which remains unchanged and not tied to any percentage ADV
threshold, continues to be an appropriate minimum requirement for the
SLP program, given that it is a reasonable requirement to get a
significantly larger increase of $.0005 over the client rebate of
$.0015, and that the larger volume requirements needed for SLP Tier 2
and SLP Tier 1 are likely to be more sensitive to fluctuations in
market volumes. In addition, the SLP Tier 3 maximum requirement is
being lowered from 20 million ADV to 15 million ADV in order to
correspond to, and avoid overlap with, the minimum 15 million ADV
requirement in SLP Tier 2.
For two of its SLP Tiers, NYSE is moving to an approach that will
compare the liquidity added by an SLP to the greater of a numerical
threshold or a percentage threshold based upon the average daily traded
volume of the relevant security, for several reasons. The percentage
threshold will adjust each calendar month based on the U.S. average
daily consolidated share volume in Tape A Securities for that month,
while the numerical threshold remains unchanged from month to month,
thereby providing a consistent floor against which to measure the SLPs'
performance. The Exchange also believes that the proposed approach will
provide a more straightforward way to communicate floating volume
tiers, while maintaining a minimum threshold, which, as noted above, is
an approach similar to that adopted by other exchanges.\7\ The Exchange
notes that the combined approach will allow tiers to move in sync with
consolidated volume while maintaining a numerical threshold. While the
percentage thresholds will result in lower minimum share volume
requirements for SLP Tier 1 and SLP Tier 2 when consolidated volumes
are lower, they will also result in higher minimum share volume
requirements when consolidated volumes are higher. Such higher and
lower consolidated volumes will have a similar impact on the maximum
share requirements for SLP Tier 2 and SLP Tier 3; however, the minimum
share requirement for SLP Tier 3 will remain unchanged at 10 million
shares.
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\7\ See note 2, supra.
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These changes are intended to be effective immediately for all
transactions beginning August 1, 2011 and are only applicable to those
NYSE-listed securities with a per share stock price of $1.00 or more.
2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with the provisions of Section 6 of the Securities Exchange Act of 1934
(the ``Act''), in general, and Section 6(b)(4) of the Act,\8\ in
particular, in that it is designed to provide for the equitable
allocation of reasonable dues, fees, and other charges among its
members and other persons using its facilities. The Exchange believes
that the proposal does not constitute an inequitable allocation of
fees, as all similarly situated member organizations and other market
participants will be subject to the same fee structure, and access to
the Exchange's market is offered on fair and non-discriminatory terms.
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\8\ 15 U.S.C. 78f(b)(4).
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With respect to the addition of percentage ADV thresholds to the
existing share thresholds for certain of NYSE's existing pricing tiers,
NYSE believes that the change is reasonable, because the levels of
liquidity provision required to receive the applicable credits will
move month to month with respect to the levels of market volumes. NYSE
believes the levels of activity required to achieve higher tiers will
be generally consistent with existing requirements for these tiers.
Moreover, like existing pricing tiers tied to volume levels, as in
effect at NYSE and other markets, the proposed pricing tiers are
equitable and non-discriminatory because they are open to all SLPs on
an equal basis and provide discounts that are reasonably related to the
value to an exchange's market quality associated with higher volumes.
Finally, the Exchange notes that it operates in a highly
competitive market in which market participants can readily favor
competing venues if they deem fee levels at a particular venue to be
excessive. In such an environment, the Exchange must continually adjust
its fees to remain competitive with other exchanges and with
alternative trading systems that have been exempted from compliance
with the statutory standards applicable to exchanges. The Exchange
believes that the proposed rule change reflects this competitive
environment because it will broaden the conditions under which
customers may qualify for higher liquidity provider credits.
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
No written comments were solicited or received with respect to the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The foregoing rule change is effective upon filing pursuant to
Section 19(b)(3)(A) \9\ of the Act and subparagraph (f)(2) of Rule 19b-
4 \10\ thereunder, because it establishes or changes a due, fee, or
other charge imposed on its members by the Exchange. At any time within
60 days of the filing of such proposed rule change, the Commission
summarily may temporarily suspend such rule change if it appears to the
Commission that such action is necessary or appropriate in the public
interest, for the protection of investors, or otherwise in furtherance
of the purposes of the Act.
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\9\ 15 U.S.C. 78s(b)(3)(A).
\10\ 17 CFR 240.19b-4(f)(2).
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IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an e-mail to rule-comments@sec.gov. Please include
File Number SR-NYSE-2011-39 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.
[[Page 50532]]
All submissions should refer to File Number SR-NYSE-2011-39. This file
number should be included on the subject line if e-mail is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (https://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street, NE.,
Washington, DC 20549, on official business days between the hours of 10
a.m. and 3 p.m. Copies of the filing also will be available for
inspection and copying at the principal office of the Exchange. All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-NYSE-2011-39 and should be
submitted on or before September 6, 2011.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\11\
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\11\ 17 CFR 200.30-3(a)(12).
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Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011-20640 Filed 8-12-11; 8:45 am]
BILLING CODE 8011-01-P
