Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Related to Fees for Use of BATS Exchange, Inc., 61253-61256 [2015-25697]
Download as PDF
<![CDATA[
tkelley on DSK3SPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 196 / Friday, October 9, 2015 / Notices
Specifically, the Information Circular
will discuss the following: (a) The
procedures for purchases and
redemptions of Shares in creation units
(and that Shares are not individually
redeemable); (b) Nasdaq Rule 2111A,
which imposes suitability obligations on
Nasdaq members with respect to
recommending transactions in the
Shares to customers; (c) how
information regarding the Intraday
Indicative Value is disseminated; (d) the
risks involved in trading the Shares
during the Pre-Market and Post-Market
Sessions when an updated Intraday
Indicative Value will not be calculated
or publicly disseminated; (e) the
requirement that members deliver a
prospectus to investors purchasing
newly issued Shares prior to or
concurrently with the confirmation of a
transaction; and (f) trading information.
(5) For initial and continued listing,
the Fund must be in compliance with
Rule 10A–3 under the Act.39
(6) Under normal market conditions,
the Fund will invest at least 80% of its
total assets in Convertible Securities.
(7) The Adviser expects that, under
normal market conditions, generally, for
a Convertible Security to be considered
as an eligible investment, after taking
into account such an investment, at
least 75% of the Fund’s net assets that
are invested in Convertible Securities
will be invested in Convertible
Securities that will have at the time of
original issuance $200 million or more
par amount outstanding.
(8) At least 90% of the Fund’s net
assets that are invested in ExchangeListed Convertible Securities; ETNs;
Depositary Receipts, BDCs, PostConversion Underlying Securities, and
other Equity Securities; exchange-listed
equity index futures contracts; and
exchange-listed index credit default
swaps (in the aggregate) will be invested
in investments that trade in markets that
are members of ISG or are parties to a
comprehensive surveillance sharing
agreement with the Exchange. Further,
at least 90% of the Underlying
Securities corresponding to the preconversion Convertible Securities held
by the Fund (measured by par value)
will trade in markets that are members
of ISG or parties to a comprehensive
surveillance sharing agreement with the
Exchange.
(9) The Fund’s investments in options
will be limited to options that represent
a component of a synthetic convertible
security, and any such options will be
exchange-listed. The Fund will limit its
investments in synthetic convertible
39 See
17 CFR 240.10A–3.
VerDate Sep<11>2014
17:44 Oct 08, 2015
Jkt 238001
securities to 10% of its net assets
(calculated at the time of investment).
(10) The Fund may invest in
exchange-listed equity index futures
contracts, in exchange-listed and OTC
index credit default swaps, and in
forward foreign currency exchange
contracts; however, the Fund will limit
the aggregate notional value of its
positions in these instruments
(calculated at the time of investment) to
20% of the value of its net assets.
(11) The Fund intends to enter into
repurchase agreements only with
financial institutions and dealers
believed by the Adviser or the SubAdviser to present minimal credit risks
in accordance with criteria approved by
the Board of Trustees of the Trust. The
Adviser or the Sub-Adviser will review
and monitor the creditworthiness of
such institutions. The Adviser or the
Sub-Adviser will monitor the value of
the collateral at the time the transaction
is entered into and at all times during
the term of the repurchase agreement.
(12) The Fund may only invest in
commercial paper rated A–1 or higher
by S&P Ratings, Prime-1 or higher by
Moody’s or F1 or higher by Fitch.
(13) Under normal market conditions,
convertible Rule 144A securities will
have at the time of original issuance
$100 million or more principal amount
outstanding to be considered eligible
investments.
(14) The Fund may hold up to an
aggregate amount of 15% of its net
assets in illiquid assets (calculated at
the time of investment), including Rule
144A securities deemed illiquid by the
Adviser or the Sub-Adviser.40 The Fund
will monitor its portfolio liquidity on an
ongoing basis to determine whether, in
light of current circumstances, an
adequate level of liquidity is being
maintained, and will consider taking
appropriate steps in order to maintain
adequate liquidity if, through a change
in values, net assets, or other
circumstances, more than 15% of the
Fund’s net assets are held in illiquid
assets.
(15) The Fund will only enter into
transactions in OTC index credit default
swaps and forward foreign currency
exchange contracts with counterparties
that the Adviser or the Sub-Adviser
reasonably believes are capable of
40 In reaching liquidity decisions, the Adviser and
the Sub-Adviser may consider the following factors:
The frequency of trades and quotes for the security;
the number of dealers wishing to purchase or sell
the security and the number of other potential
purchasers; dealer undertakings to make a market
in the security; and the nature of the security and
the nature of the marketplace in which it trades
(e.g., the time needed to dispose of the security, the
method of soliciting offers and the mechanics of
transfer).
PO 00000
Frm 00099
Fmt 4703
Sfmt 4703
61253
performing under the applicable
agreement, and the Fund will seek,
where possible, to use counterparties
whose financial status is such that the
risk of default is reduced.
(16) The Fund’s investments in
derivative instruments will be
consistent with the Fund’s investment
objective and the 1940 Act and will not
be used to seek to achieve a multiple or
inverse multiple of an index.
(17) A minimum of 100,000 Shares
will be outstanding at the
commencement of trading on the
Exchange.
This approval order is based on all of
the Exchange’s representations,
including those set forth above and in
Amendment Nos. 1 and 2 to the
proposal, and the Exchange’s
description of the Fund.
For the foregoing reasons, the
Commission finds that the proposed
rule change, as modified by Amendment
Nos. 1 and 2 thereto, is consistent with
Section 6(b)(5) of the Act 41 and the
rules and regulations thereunder
applicable to a national securities
exchange.
IV. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,42 that the
proposed rule change (SR–NASDAQ–
2015–075), as modified by Amendment
Nos. 1 and 2 thereto, be, and it hereby
is, approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.43
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015–25701 Filed 10–8–15; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–76070; File No. SR–BATS–
2015–82]
Self-Regulatory Organizations; BATS
Exchange, Inc.; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change Related to Fees for Use
of BATS Exchange, Inc.
October 5, 2015.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on
September 30, 2015, BATS Exchange,
41 15
U.S.C. 78f(b)(5).
U.S.C. 78s(b)(2).
43 17 CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b 4.
42 15
E:\FR\FM\09OCN1.SGM
09OCN1
61254
Federal Register / Vol. 80, No. 196 / Friday, October 9, 2015 / Notices
Inc. (the ‘‘Exchange’’ or ‘‘BATS’’) filed
with the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which Items
have been prepared by the Exchange.
The Exchange has designated the
proposed rule change as one
establishing or changing a member due,
fee, or other charge imposed by the
Exchange under Section 19(b)(3)(A)(ii)
of the Act 3 and Rule 19b–4(f)(2)
thereunder,4 which renders the
proposed rule change effective upon
filing with the Commission. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
I. Self-Regulatory Organization’s
Statement of the Terms of the Substance
of the Proposed Rule Change
Step-Up Tier 4
Currently, the Exchange determines
the liquidity adding rebate that it will
provide to Members using the
Exchange’s tiered pricing structure,
which is based on the Member meeting
certain volume tiers based on their
ADAV 6 as a percentage of TCV 7 or
ADV 8 as a percentage of TCV. Under
such pricing structure, a Member will
receive an adding rebate of anywhere
between $0.0020 and $0.0032 per share
executed, depending on the volume tier
for which such Member qualifies. The
Exchange also maintains additional
Step-Up Tiers in addition to the volume
tiers described above. The Step-Up Tiers
provide Members with additional ways
to qualify for enhanced rebates.
The Exchange currently offers three
Step-Up Tiers under footnote 2 of its Fe
[sic] Schedule. Under Tier 1, a Members
[sic] receives a rebate of $0.0025 per
The Exchange filed a proposal to
amend its fees and rebates applicable to
Members 5 of the Exchange pursuant to
Rule 15.1(a) and (c) (‘‘Fee Schedule’’)
applicable to the use of the Exchange’s
equities trading platform (‘‘BZX
Equities’’) to: (i) Adopt a new Step-Up
Tier 4 under footnote 2; and (ii) amend
the Tape B Volume Tier under footnote
13 to: (A) Adopt a new Tape B Volume
Tier to be named ‘‘Tier 1’’; and (B)
rename the existing Tape B Volume Tier
as ‘‘Tier 2’’.
The text of the proposed rule change
is available at the Exchange’s Web site
at www.batstrading.com, at the
principal office of the Exchange, and at
the Commission’s Public Reference
Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
tkelley on DSK3SPTVN1PROD with NOTICES
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 these
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.
3 15
U.S.C. 78s(b)(3)(A)(ii).
CFR 240.19b–4(f)(2).
5 A Member is defined as ‘‘any registered broker
or dealer that has been admitted to membership in
the Exchange.’’ See Exchange Rule 1.5(n).
4 17
VerDate Sep<11>2014
17:44 Oct 08, 2015
Jkt 238001
1. Purpose
The Exchange proposes amend [sic]
the BZX Equities Fee Schedule to: (i)
Adopt a new Step-Up Tier 4 under
footnote 2; and (ii) amend the Tape B
Volume Tier under footnote 13 to: (A)
Adopt a new Tape B Volume Tier to be
named ‘‘Tier 1’’; and (B) rename the
existing Tape B Volume Tier as ‘‘Tier
2’’. As is the case with any other rebates
on the Fee Schedule, to the extent that
a Member qualifies for higher rebates
than those provided under the proposed
tiers, the higher rebates shall apply.
6 As provided in the Fee Schedule, for purposes
of BATS Equities pricing, ‘‘ADAV’’ means average
daily added volume calculated as the number of
shares added per day on a monthly basis; the
Exchange excludes from the ADAV calculation
routed shares as well as shares added on any day
that the Exchange’s system experiences a disruption
that lasts for more than 60 minutes during regular
trading hours (‘‘Exchange System Disruption’’), on
any day with a scheduled early market close and
on the last Friday in June (the ‘‘Russell
Reconstitution Day’’).
7 As provided in the Fee Schedule, for purposes
of BATS Equities pricing, ‘‘TCV’’ means total
consolidated volume calculated as the volume
reported by all exchanges and trade reporting
facilities to a consolidated transaction reporting
plan for the month for which the fees apply,
excluding volume on any day that the Exchange
experiences an Exchange System Disruption, on any
with a scheduled early market close and the Russell
Reconstitution Day.
8 As provided in the fee schedule, for purposes of
BATS Equities pricing, ‘‘ADV’’ means average daily
volume calculated as the number of shares added
or removed, combined, per day on a monthly basis;
the Exchange excludes from the ADV calculation
routed shares, and shares added on any day that the
Exchange’s system experiences an Exchange System
Disruption, on any day with a scheduled early
market close and on the Russell Reconstitution Day.
PO 00000
Frm 00100
Fmt 4703
Sfmt 4703
share where their Step-Up Add TCV 9
from January 2014 is equal to or greater
than 0.07%. Under Tier 2, a Members
[sic] receives a rebate of $0.0029 per
share where their Step-Up Add TCV
from January 2014 is equal to or greater
than 0.10%. Lastly, under Tier 3, a
Members [sic] receives a rebate of
$0.0030 per share where their Step-Up
Add TCV from January 2014 is equal to
or greater than 0.15%. The Exchange
proposes to add a fourth tier under
footnote 2. Under proposed Tier 4, a
Members [sic] would receive a rebate of
$0.0030 per share where their Step-Up
Add TCV from August 2015 is equal to
or greater than 0.08%; and (2) Member’s
ADAV as a percentage of TCV is equal
to or greater than 0.35%.
Tape B Volume Tiers
Currently, the Exchange offers a
rebate of $0.0020 per share as the
standard rebate for orders with fee code
B, which applies to orders that add
liquidity to the Exchange in Tape B
securities. The Exchange also offers a
Tape B Volume Tier that provide
Members with the opportunity to earn a
higher rebate by meeting certain volume
metrics. Specifically, the Tape B
Volume Tier provides a rebate of
$0.0027 per share to a Member’s orders
with fee code B for which the Member’s
Tape B ADAV as a percentage of TCV
is equal to or greater than 0.08%. The
Exchange proposes to adopt a new Tape
B Volume Tier to be named ‘‘Tier 1’’
under footnote 13 and rename the
existing Tape B Volume Tier as ‘‘Tier
2’’. Under proposed Tier 1, a rebate of
$0.0025 per share would be provided to
a Member’s orders with a fee code of B
for which the Member’s Tape B ADAV
as a percentage of TCV is equal to or
greater than 0.05%.
Implementation Date
The Exchange proposes to implement
this amendment to its Fee Schedule on
October 1, 2015.
2. Statutory Basis
The Exchange believes that the
proposed rule change is consistent with
the objectives of Section 6 of the Act,10
in general, and furthers the objectives of
Section 6(b)(4),11 in particular, as 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
9 As provided in the fee schedule, for purposes of
BATS Equities pricing, ‘‘Step-Up Add TCV’’ means
ADAV as a percentage of TCV in the relevant
baseline month subtracted from current ADAV as a
percentage of TCV.
10 15 U.S.C. 78f.
11 15 U.S.C. 78f(b)(4).
E:\FR\FM\09OCN1.SGM
09OCN1
tkelley on DSK3SPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 196 / Friday, October 9, 2015 / Notices
Exchange also notes that it operates in
a highly-competitive market in which
market participants can readily direct
order flow to competing venues if they
deem fee levels at a particular venue to
be excessive. The proposed rule change
reflects a competitive pricing structure
designed to incent market participants
to direct their order flow to the
Exchange. The Exchange believes that
the proposed rates are equitable and
non-discriminatory in that they apply
uniformly to all Members. The
Exchange believes the fees and credits
remain competitive with those charged
by other venues and therefore continue
to be reasonable and equitably allocated
to Members.
Volume-based rebates and fees such
as those proposed herein have been
widely adopted by equities and options
exchanges and are equitable because
they are open to all Members on an
equal basis and provide additional
benefits or discounts that are reasonably
related to the value to an exchange’s
market quality associated with higher
levels of market activity, such as higher
levels of liquidity provision and/or
growth patterns, and introduction of
higher volumes of orders into the price
and volume discovery processes. The
Exchange believes that proposed tiers
are a reasonable, fair and equitable, and
not unfairly discriminatory allocation of
fees and rebates because they will
provide Members with an additional
incentive to reach certain thresholds on
the Exchange.
Further, the Exchange believes that
the proposed tiers will provide such
enhancements in market quality on the
Exchange by incentivizing participation.
The Exchange notes that it is not
proposing to modify any of the existing
Step-Up Tiers or the Tape B Volume
Tier (other than to rename the existing
Tape B Volume Tier as Tier 2), but
rather to add two new tiers that will
provide Members with additional ways
to receive higher rebates. Accordingly,
under the proposal a Member will
receive either the same or a higher
rebate than they would receive today.
Accordingly, the Exchange believes that
the proposed additions to the
Exchange’s tiered pricing structure and
incentives are not unfairly
discriminatory because they will apply
uniformly to all Members and are
consistent with the overall goals of
enhancing market quality on the
Exchange.
In particular, the Exchange believes
the addition of a second Tape B Volume
Tier is a reasonable means to encourage
Members to increase their liquidity in
Tape B securities. The Exchange also
believes providing a rebate of $0.0025
VerDate Sep<11>2014
17:44 Oct 08, 2015
Jkt 238001
per share where a Member’s Tape B
ADAV as a percentage of TCV is equal
to or greater than 0.05% is also
equitable and reasonable. The Exchange
notes that it currently provides a rebate
of $0.0027 per share to Member’s Tape
B ADAV as a percentage of TCV is equal
to or greater than 0.08%. Such pricing
programs thereby reward a Member’s
growth pattern in Tape B securities and
such increased volume increases
potential revenue to the Exchange, and
will allow the Exchange to continue to
provide and potentially expand the
incentive programs operated by the
Exchange. The Exchange also believes
that the rebate amount provided by
proposed Tier 1 is equitable and
reasonable as compared to the existing
Tape B Volume Tier because it reflects
the lower criteria necessary to achieve
the tier.
The Exchange believes that providing
additional financial incentives to
Members that demonstrate an increase
over their August 2015 Step-Up Add
TCV through the new proposed Step-Up
Tier 4 offers additional, flexible ways to
achieve financial incentives from the
Exchange and encourage Members to
add liquidity to the Exchange. The
Exchange believes that these incentives
are reasonable, fair and equitable
because the liquidity from each of these
proposals also benefits all investors by
deepening the Exchange’s liquidity
pool, offering additional flexibility for
all investors to enjoy cost savings,
supporting the quality of price
discovery, promoting market
transparency and improving investor
protection. Such pricing programs
thereby reward a Member’s growth
pattern and such increased volume
increase [sic] potential revenue to the
Exchange, and will allow the Exchange
to continue to provide and potentially
expand the incentive programs operated
by the Exchange. These pricing
programs are also fair and equitable in
that they are available to all Members
and will result in Members receiving
either the same or an increased rebate
than they would currently receive.
The Exchange also believes proposing
a baseline eligibility for the proposed
Step-Up Tier 4 is equitable and
reasonable. The Exchange notes that
current Tier 3 provides the same rebate
as that proposed for Tier 4, $0.0030 per
share. However, Tier 3 calculates a
Member’s Step-Up Add TCV from a
January 2014 baseline, while proposed
Tier 4 would calculate a Member’s StepUp Add TCV from an August 2015
baseline. The primary objective of
differing baseline eligibility criteria for
the Step-Up Tiers is to increase the
number of Members who may be
PO 00000
Frm 00101
Fmt 4703
Sfmt 4703
61255
eligible to achieve either the [sic] tier
and receives [sic] the same $0.0030 per
share rebate. The choice of baseline
criteria will enhance the value of the
Step-Up Tiers to Members whose
market participation was higher in
January 2014 than August 2015, thereby
encouraging them to increase their
volume on the Exchange over such
baseline. It also provides Members with
additional means to achieve the $0.0030
per share rebate that may not satisfy the
current baseline criteria set forth in Tier
3 that is based on a Step-Up Add TCV
from January 2014. Such increased
volume would increase potential
revenue to the Exchange and allow the
Exchange to spread its administrative
and infrastructure costs over a greater
number of shares, which would result in
lower per share costs. The Exchange
may then pass on these savings to
Members in the form of reduced fees.
The increased liquidity would also
benefit all investors by deepening the
Exchange’s liquidity pool, offering
additional flexibility for all investors to
enjoy cost savings, supporting the
quality of price discovery, promoting
market transparency and improving
investor protection.
Lastly, the Exchange believes that it is
reasonable and equitable to offer an
enhanced rebate to Members who satisfy
a certain baseline eligibility because the
Exchange believes that such Members
are most likely to provide consistent
liquidity during periods of market stress
and to manage their quotes/orders in a
coordinated manner that promotes price
discovery and market stability.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe its
proposed amendments to its Fee
Schedule would impose any burden on
competition that is not necessary or
appropriate in furtherance of the
purposes of the Act. The Exchange does
not believe that the proposed changes
represent a significant departure from
previous pricing offered by the
Exchange or pricing offered by the
Exchange’s competitors. Additionally,
Members may opt to disfavor the
Exchange’s pricing if they believe that
alternatives offer them better value.
Accordingly, the Exchange does not
believe that the proposed change will
impair the ability of Members or
competing venues to maintain their
competitive standing in the financial
markets.
The Exchange does not believe that
the proposed new tiers would burden
competition, but instead, enhances [sic]
competition, as they are intended to
increase the competitiveness of and
E:\FR\FM\09OCN1.SGM
09OCN1
61256
Federal Register / Vol. 80, No. 196 / Friday, October 9, 2015 / Notices
draw additional volume to the
Exchange. As stated above, the
Exchange notes that it operates in a
highly competitive market in which
market participants can readily direct
order flow to competing venues if the
deem fee structures to be unreasonable
or excessive. The proposed changes are
generally intended to enhance the
rebates for liquidity added to the
Exchange, which is intended to draw
additional liquidity to the Exchange.
The Exchange does not believe the
proposed tiers would burden
intramarket competition as they would
apply to all Members uniformly.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
The Exchange has not solicited, and
does not intend to solicit, comments on
this proposed rule change. The
Exchange has not received any
unsolicited written comments from
Members or other interested parties.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
The foregoing rule change has become
effective pursuant to Section 19(b)(3)(A)
of the Act 12 and paragraph (f) of Rule
19b–4 thereunder.13 At any time within
60 days of the filing of the 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 email to rule-comments@
sec.gov. Please include File Number SR–
BATS–2015–82 on the subject line.
tkelley on DSK3SPTVN1PROD with NOTICES
Paper Comments
• Send paper comments in triplicate
to Brent J. Fields, Secretary, Securities
and Exchange Commission, 100 F Street
NE., Washington, DC 20549–1090.
12 15
13 17
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f).
VerDate Sep<11>2014
17:44 Oct 08, 2015
All submissions should refer to File
Number SR–BATS–2015–82. This file
number should be included on the
subject line if email 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
10:00 a.m. and 3:00 p.m. Copies of such
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–BATS–
2015–82, and should be submitted on or
before October 30, 2015.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.14
Robert W. Errett,
Deputy Secretary.
I. Description of the Proposed Rule
Change
The following is a description of the
proposed rule change, as provided by
NSCC:
The proposed rule change consists of
amendments to NSCC’s Rules in order
to enhance NSCC’s margining
methodology as applied to family-issued
securities of NSCC Members 5 that are
placed on NSCC’s ‘‘Watch List’’, i.e.,
those Members who present a
heightened credit risk to NSCC or have
demonstrated higher risk related to their
ability to meet settlement, as more fully
described below.
Background
As a central counterparty, NSCC
occupies an important role in the
securities settlement system by
interposing itself between
counterparties to financial transactions
and thereby reducing the risk faced by
participants and contributing to global
[FR Doc. 2015–25697 Filed 10–8–15; 8:45 am]
1 15
BILLING CODE 8011–01–P
[Release No. 34–76077; File No. SR–NSCC–
2015–003]
Self-Regulatory Organizations;
National Securities Clearing
Corporation; Order Approving
Proposed Rule Change to Enhance
NSCC’s Margining Methodology as
Applied to Family-Issued Securities of
Certain NSCC Members
October 5, 2015.
On August 14, 2015, National
Securities Clearing Corporation
(‘‘NSCC’’) filed with the Securities and
Exchange Commission (‘‘Commission’’)
PO 00000
CFR 200.30–3(a)(12).
Frm 00102
Fmt 4703
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 As part of its ongoing monitoring of its
membership, NSCC utilizes an internal credit risk
rating matrix to rate its risk exposures to its
members based on a scale from 1 (the strongest) to
7 (the weakest). Members that fall within the
weakest three rating categories (i.e., 5, 6, and 7) are
placed on NSCC’s ‘‘Watch List’’ and, as provided
under NSCC’s Rules and Procedures (‘‘Rules’’), may
be subject to enhanced surveillance or additional
margin charges. See Section 4 of Rule 2B and
Section I(B)(1) of Procedure XV of NSCC’s Rules,
available at https://dtcc.com/∼/media/Files/
Downloads/legal/rules/nscc_rules.pdf.
4 See Securities Exchange Act Release No. 75768
(August 27, 2015), 80 FR 53219 (September 2, 2015)
(SR–NSCC–2015–003). NSCC also filed an advance
notice with the Commission seeking approval of
changes to its Rules necessary to implement the
proposed rule change. This advance notice was
published in the Federal Register on September 17,
2015. Securities Exchange Act Release No. 75899
(September 11, 2015), 80 FR 55883 (September 17,
2015) (File No. SR–NSCC–2015–803).
5 Terms not defined herein are defined in the
Rules, available at https://dtcc.com/∼/media/Files/
Downloads/legal/rules/nscc_rules.pdf.
2 17
SECURITIES AND EXCHANGE
COMMISSION
14 17
Jkt 238001
proposed rule change SR–NSCC–2015–
003 pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
to change its margin charge with respect
to a member’s positions in securities
that are issued by such member or its
affiliate (i.e., ‘‘family-issued securities’’)
by excluding positions in these
securities, when the member is on
NSCC’s Watch List,3 from its volatility
margining model. The proposed rule
change was published for comment in
the Federal Register on September 2,
2015.4 The Commission did not receive
comment letters regarding the proposed
change. For the reasons discussed
below, the Commission is granting
approval of the proposed rule change.
Sfmt 4703
E:\FR\FM\09OCN1.SGM
09OCN1
]]>Agencies
[Federal Register Volume 80, Number 196 (Friday, October 9, 2015)]
[Notices]
[Pages 61253-61256]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-25697]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-76070; File No. SR-BATS-2015-82]
Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of
Filing and Immediate Effectiveness of a Proposed Rule Change Related to
Fees for Use of BATS Exchange, Inc.
October 5, 2015.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on September 30, 2015, BATS Exchange,
[[Page 61254]]
Inc. (the ``Exchange'' or ``BATS'') filed with the Securities and
Exchange Commission (``Commission'') the proposed rule change as
described in Items I, II, and III below, which Items have been prepared
by the Exchange. The Exchange has designated the proposed rule change
as one establishing or changing a member due, fee, or other charge
imposed by the Exchange under Section 19(b)(3)(A)(ii) of the Act \3\
and Rule 19b-4(f)(2) thereunder,\4\ which renders the proposed rule
change effective upon filing with the Commission. The Commission is
publishing this notice to solicit comments on the proposed rule change
from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b 4.
\3\ 15 U.S.C. 78s(b)(3)(A)(ii).
\4\ 17 CFR 240.19b-4(f)(2).
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of the
Substance of the Proposed Rule Change
The Exchange filed a proposal to amend its fees and rebates
applicable to Members \5\ of the Exchange pursuant to Rule 15.1(a) and
(c) (``Fee Schedule'') applicable to the use of the Exchange's equities
trading platform (``BZX Equities'') to: (i) Adopt a new Step-Up Tier 4
under footnote 2; and (ii) amend the Tape B Volume Tier under footnote
13 to: (A) Adopt a new Tape B Volume Tier to be named ``Tier 1''; and
(B) rename the existing Tape B Volume Tier as ``Tier 2''.
---------------------------------------------------------------------------
\5\ A Member is defined as ``any registered broker or dealer
that has been admitted to membership in the Exchange.'' See Exchange
Rule 1.5(n).
---------------------------------------------------------------------------
The text of the proposed rule change is available at the Exchange's
Web site at www.batstrading.com, at the principal office of the
Exchange, and at the Commission's Public Reference Room.
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 these 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
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes amend [sic] the BZX Equities Fee Schedule to:
(i) Adopt a new Step-Up Tier 4 under footnote 2; and (ii) amend the
Tape B Volume Tier under footnote 13 to: (A) Adopt a new Tape B Volume
Tier to be named ``Tier 1''; and (B) rename the existing Tape B Volume
Tier as ``Tier 2''. As is the case with any other rebates on the Fee
Schedule, to the extent that a Member qualifies for higher rebates than
those provided under the proposed tiers, the higher rebates shall
apply.
Step-Up Tier 4
Currently, the Exchange determines the liquidity adding rebate that
it will provide to Members using the Exchange's tiered pricing
structure, which is based on the Member meeting certain volume tiers
based on their ADAV \6\ as a percentage of TCV \7\ or ADV \8\ as a
percentage of TCV. Under such pricing structure, a Member will receive
an adding rebate of anywhere between $0.0020 and $0.0032 per share
executed, depending on the volume tier for which such Member qualifies.
The Exchange also maintains additional Step-Up Tiers in addition to the
volume tiers described above. The Step-Up Tiers provide Members with
additional ways to qualify for enhanced rebates.
---------------------------------------------------------------------------
\6\ As provided in the Fee Schedule, for purposes of BATS
Equities pricing, ``ADAV'' means average daily added volume
calculated as the number of shares added per day on a monthly basis;
the Exchange excludes from the ADAV calculation routed shares as
well as shares added on any day that the Exchange's system
experiences a disruption that lasts for more than 60 minutes during
regular trading hours (``Exchange System Disruption''), on any day
with a scheduled early market close and on the last Friday in June
(the ``Russell Reconstitution Day'').
\7\ As provided in the Fee Schedule, for purposes of BATS
Equities pricing, ``TCV'' means total consolidated volume calculated
as the volume reported by all exchanges and trade reporting
facilities to a consolidated transaction reporting plan for the
month for which the fees apply, excluding volume on any day that the
Exchange experiences an Exchange System Disruption, on any with a
scheduled early market close and the Russell Reconstitution Day.
\8\ As provided in the fee schedule, for purposes of BATS
Equities pricing, ``ADV'' means average daily volume calculated as
the number of shares added or removed, combined, per day on a
monthly basis; the Exchange excludes from the ADV calculation routed
shares, and shares added on any day that the Exchange's system
experiences an Exchange System Disruption, on any day with a
scheduled early market close and on the Russell Reconstitution Day.
---------------------------------------------------------------------------
The Exchange currently offers three Step-Up Tiers under footnote 2
of its Fe [sic] Schedule. Under Tier 1, a Members [sic] receives a
rebate of $0.0025 per share where their Step-Up Add TCV \9\ from
January 2014 is equal to or greater than 0.07%. Under Tier 2, a Members
[sic] receives a rebate of $0.0029 per share where their Step-Up Add
TCV from January 2014 is equal to or greater than 0.10%. Lastly, under
Tier 3, a Members [sic] receives a rebate of $0.0030 per share where
their Step-Up Add TCV from January 2014 is equal to or greater than
0.15%. The Exchange proposes to add a fourth tier under footnote 2.
Under proposed Tier 4, a Members [sic] would receive a rebate of
$0.0030 per share where their Step-Up Add TCV from August 2015 is equal
to or greater than 0.08%; and (2) Member's ADAV as a percentage of TCV
is equal to or greater than 0.35%.
---------------------------------------------------------------------------
\9\ As provided in the fee schedule, for purposes of BATS
Equities pricing, ``Step-Up Add TCV'' means ADAV as a percentage of
TCV in the relevant baseline month subtracted from current ADAV as a
percentage of TCV.
---------------------------------------------------------------------------
Tape B Volume Tiers
Currently, the Exchange offers a rebate of $0.0020 per share as the
standard rebate for orders with fee code B, which applies to orders
that add liquidity to the Exchange in Tape B securities. The Exchange
also offers a Tape B Volume Tier that provide Members with the
opportunity to earn a higher rebate by meeting certain volume metrics.
Specifically, the Tape B Volume Tier provides a rebate of $0.0027 per
share to a Member's orders with fee code B for which the Member's Tape
B ADAV as a percentage of TCV is equal to or greater than 0.08%. The
Exchange proposes to adopt a new Tape B Volume Tier to be named ``Tier
1'' under footnote 13 and rename the existing Tape B Volume Tier as
``Tier 2''. Under proposed Tier 1, a rebate of $0.0025 per share would
be provided to a Member's orders with a fee code of B for which the
Member's Tape B ADAV as a percentage of TCV is equal to or greater than
0.05%.
Implementation Date
The Exchange proposes to implement this amendment to its Fee
Schedule on October 1, 2015.
2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with the objectives of Section 6 of the Act,\10\ in general, and
furthers the objectives of Section 6(b)(4),\11\ in particular, as 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
[[Page 61255]]
Exchange also notes that it operates in a highly-competitive market in
which market participants can readily direct order flow to competing
venues if they deem fee levels at a particular venue to be excessive.
The proposed rule change reflects a competitive pricing structure
designed to incent market participants to direct their order flow to
the Exchange. The Exchange believes that the proposed rates are
equitable and non-discriminatory in that they apply uniformly to all
Members. The Exchange believes the fees and credits remain competitive
with those charged by other venues and therefore continue to be
reasonable and equitably allocated to Members.
---------------------------------------------------------------------------
\10\ 15 U.S.C. 78f.
\11\ 15 U.S.C. 78f(b)(4).
---------------------------------------------------------------------------
Volume-based rebates and fees such as those proposed herein have
been widely adopted by equities and options exchanges and are equitable
because they are open to all Members on an equal basis and provide
additional benefits or discounts that are reasonably related to the
value to an exchange's market quality associated with higher levels of
market activity, such as higher levels of liquidity provision and/or
growth patterns, and introduction of higher volumes of orders into the
price and volume discovery processes. The Exchange believes that
proposed tiers are a reasonable, fair and equitable, and not unfairly
discriminatory allocation of fees and rebates because they will provide
Members with an additional incentive to reach certain thresholds on the
Exchange.
Further, the Exchange believes that the proposed tiers will provide
such enhancements in market quality on the Exchange by incentivizing
participation. The Exchange notes that it is not proposing to modify
any of the existing Step-Up Tiers or the Tape B Volume Tier (other than
to rename the existing Tape B Volume Tier as Tier 2), but rather to add
two new tiers that will provide Members with additional ways to receive
higher rebates. Accordingly, under the proposal a Member will receive
either the same or a higher rebate than they would receive today.
Accordingly, the Exchange believes that the proposed additions to the
Exchange's tiered pricing structure and incentives are not unfairly
discriminatory because they will apply uniformly to all Members and are
consistent with the overall goals of enhancing market quality on the
Exchange.
In particular, the Exchange believes the addition of a second Tape
B Volume Tier is a reasonable means to encourage Members to increase
their liquidity in Tape B securities. The Exchange also believes
providing a rebate of $0.0025 per share where a Member's Tape B ADAV as
a percentage of TCV is equal to or greater than 0.05% is also equitable
and reasonable. The Exchange notes that it currently provides a rebate
of $0.0027 per share to Member's Tape B ADAV as a percentage of TCV is
equal to or greater than 0.08%. Such pricing programs thereby reward a
Member's growth pattern in Tape B securities and such increased volume
increases potential revenue to the Exchange, and will allow the
Exchange to continue to provide and potentially expand the incentive
programs operated by the Exchange. The Exchange also believes that the
rebate amount provided by proposed Tier 1 is equitable and reasonable
as compared to the existing Tape B Volume Tier because it reflects the
lower criteria necessary to achieve the tier.
The Exchange believes that providing additional financial
incentives to Members that demonstrate an increase over their August
2015 Step-Up Add TCV through the new proposed Step-Up Tier 4 offers
additional, flexible ways to achieve financial incentives from the
Exchange and encourage Members to add liquidity to the Exchange. The
Exchange believes that these incentives are reasonable, fair and
equitable because the liquidity from each of these proposals also
benefits all investors by deepening the Exchange's liquidity pool,
offering additional flexibility for all investors to enjoy cost
savings, supporting the quality of price discovery, promoting market
transparency and improving investor protection. Such pricing programs
thereby reward a Member's growth pattern and such increased volume
increase [sic] potential revenue to the Exchange, and will allow the
Exchange to continue to provide and potentially expand the incentive
programs operated by the Exchange. These pricing programs are also fair
and equitable in that they are available to all Members and will result
in Members receiving either the same or an increased rebate than they
would currently receive.
The Exchange also believes proposing a baseline eligibility for the
proposed Step-Up Tier 4 is equitable and reasonable. The Exchange notes
that current Tier 3 provides the same rebate as that proposed for Tier
4, $0.0030 per share. However, Tier 3 calculates a Member's Step-Up Add
TCV from a January 2014 baseline, while proposed Tier 4 would calculate
a Member's Step-Up Add TCV from an August 2015 baseline. The primary
objective of differing baseline eligibility criteria for the Step-Up
Tiers is to increase the number of Members who may be eligible to
achieve either the [sic] tier and receives [sic] the same $0.0030 per
share rebate. The choice of baseline criteria will enhance the value of
the Step-Up Tiers to Members whose market participation was higher in
January 2014 than August 2015, thereby encouraging them to increase
their volume on the Exchange over such baseline. It also provides
Members with additional means to achieve the $0.0030 per share rebate
that may not satisfy the current baseline criteria set forth in Tier 3
that is based on a Step-Up Add TCV from January 2014. Such increased
volume would increase potential revenue to the Exchange and allow the
Exchange to spread its administrative and infrastructure costs over a
greater number of shares, which would result in lower per share costs.
The Exchange may then pass on these savings to Members in the form of
reduced fees. The increased liquidity would also benefit all investors
by deepening the Exchange's liquidity pool, offering additional
flexibility for all investors to enjoy cost savings, supporting the
quality of price discovery, promoting market transparency and improving
investor protection.
Lastly, the Exchange believes that it is reasonable and equitable
to offer an enhanced rebate to Members who satisfy a certain baseline
eligibility because the Exchange believes that such Members are most
likely to provide consistent liquidity during periods of market stress
and to manage their quotes/orders in a coordinated manner that promotes
price discovery and market stability.
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe its proposed amendments to its Fee
Schedule would impose any burden on competition that is not necessary
or appropriate in furtherance of the purposes of the Act. The Exchange
does not believe that the proposed changes represent a significant
departure from previous pricing offered by the Exchange or pricing
offered by the Exchange's competitors. Additionally, Members may opt to
disfavor the Exchange's pricing if they believe that alternatives offer
them better value. Accordingly, the Exchange does not believe that the
proposed change will impair the ability of Members or competing venues
to maintain their competitive standing in the financial markets.
The Exchange does not believe that the proposed new tiers would
burden competition, but instead, enhances [sic] competition, as they
are intended to increase the competitiveness of and
[[Page 61256]]
draw additional volume to the Exchange. As stated above, the Exchange
notes that it operates in a highly competitive market in which market
participants can readily direct order flow to competing venues if the
deem fee structures to be unreasonable or excessive. The proposed
changes are generally intended to enhance the rebates for liquidity
added to the Exchange, which is intended to draw additional liquidity
to the Exchange. The Exchange does not believe the proposed tiers would
burden intramarket competition as they would apply to all Members
uniformly.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
The Exchange has not solicited, and does not intend to solicit,
comments on this proposed rule change. The Exchange has not received
any unsolicited written comments from Members or other interested
parties.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The foregoing rule change has become effective pursuant to Section
19(b)(3)(A) of the Act \12\ and paragraph (f) of Rule 19b-4
thereunder.\13\ At any time within 60 days of the filing of the
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.
---------------------------------------------------------------------------
\12\ 15 U.S.C. 78s(b)(3)(A).
\13\ 17 CFR 240.19b-4(f).
---------------------------------------------------------------------------
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 email to rule-comments@sec.gov. Please include
File Number SR-BATS-2015-82 on the subject line.
Paper Comments
Send paper comments in triplicate to Brent J. Fields,
Secretary, Securities and Exchange Commission, 100 F Street NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-BATS-2015-82. This file
number should be included on the subject line if email 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
10:00 a.m. and 3:00 p.m. Copies of such 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-BATS-2015-82, and should be
submitted on or before October 30, 2015.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\14\
---------------------------------------------------------------------------
\14\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-25697 Filed 10-8-15; 8:45 am]
BILLING CODE 8011-01-P
