80 FR 75141 - Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of Filing of a Proposed Rule Change To Adopt Rule 11.27 Regarding the Data Collection Requirements of the Tick Size Pilot Program

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 80, Issue 230 (December 1, 2015)

Page Range		75141-75146
FR Document		2015-30479
Federal Register, Volume 80 Issue 230 (Tuesday, December 1, 2015)
[Federal Register Volume 80, Number 230 (Tuesday, December 1, 2015)]
[Notices]
[Pages 75141-75146]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2015-30479]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-76524; File No. SR-BATS-2015-102]


Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of 
Filing of a Proposed Rule Change To Adopt Rule 11.27 Regarding the Data 
Collection Requirements of the Tick Size Pilot Program

November 25, 2015.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the

[[Page 75142]]

``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on November 13, 2015, BATS Exchange, 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 
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 is proposing to adopt Exchange Rule 11.27 to implement 
the Regulation NMS Plan to Implement a Tick Size Pilot Program 
(``Plan'').
    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
    On August 25, 2014, NYSE Group, Inc., on behalf of BATS Exchange, 
Inc., BATS Y-Exchange, Inc., Chicago Stock Exchange, Inc., EDGA 
Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory 
Authority, Inc. (``FINRA''), NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, 
the Nasdaq Stock Market LLC, New York Stock Exchange LLC (``NYSE''), 
NYSE MKT LLC, and NYSE Arca, Inc. (collectively ``Participants''), 
filed with the Commission, pursuant to Section 11A of the Act \3\ and 
Rule 608 of Regulation NMS thereunder,\4\ the Plan to Implement a Tick 
Size Pilot Program (``Pilot'').\5\ The Participants filed the Plan to 
comply with an order issued by the Commission on June 24, 2014.\6\ The 
Plan \7\ was published for comment in the Federal Register on November 
7, 2014, and approved by the Commission, as modified, on May 6, 
2015.\8\
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    \3\ 15 U.S.C. 78k-1.
    \4\ 17 CFR 242.608.
    \5\ See Letter from Brendon J. Weiss, Vice President, 
Intercontinental Exchange, Inc., to Secretary, Commission, dated 
August 25, 2014.
    \6\ See Securities Exchange Act Release No. 72460 (June 24, 
2014), 79 FR 36840 (June 30, 2014).
    \7\ Unless otherwise specified, capitalized terms used in this 
rule filing are based on the defined terms of the Plan.
    \8\ See Securities Exchange Act Release No. 74892 (May 6, 2015), 
80 FR 27513 (May 13, 2015) (``Approval Order'').
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    The Plan is designed to allow the Commission, market participants, 
and the public to study and assess the impact of increment conventions 
on the liquidity and trading of the common stocks of small-
capitalization companies. Each Participant is required to comply, and 
to enforce compliance by its member organizations, as applicable, with 
the provisions of the Plan. As is described more fully below, the 
proposed rules would require Members \9\ to comply with the applicable 
data collection requirements of the Plan.\10\
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    \9\ The term ``Member'' is defined as ``any registered broker or 
dealer, or any person associated with a registered broker or dealer, 
that has been admitted to membership in the Exchange. A Member will 
have the status of a ``member'' of the Exchange as that term is 
defined in Section 3(a)(3) of the Act.'' See Exchange Rule 1.5(n).
    \10\ The Exchange proposes to add Information and Policy .11 to 
Rule 11.27 to provide that the Rule shall be in effect during a 
pilot period to coincide with the pilot period for the Plan 
(including any extensions to the pilot period for the Plan).
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    The Pilot will include stocks of companies with $3 billion or less 
in market capitalization, an average daily trading volume of one 
million shares or less, and a volume weighted average price of at least 
$2.00 for every trading day. The Pilot will consist of a control group 
of approximately 1400 Pilot Securities and three test groups with 400 
Pilot Securities in each (selected by a stratified random sampling 
process).\11\ During the pilot, Pilot Securities in the control group 
will be quoted at the current tick size increment of $0.01 per share 
and will trade at the currently permitted increments. Pilot Securities 
in the first test group (``Test Group One'') will be quoted in $0.05 
minimum increments but will continue to trade at any price increment 
that is currently permitted.\12\ Pilot Securities in the second test 
group (``Test Group Two'') will be quoted in $0.05 minimum increments 
and will trade at $0.05 minimum increments subject to a midpoint 
exception, a retail investor order exception, and a negotiated trade 
exception.\13\ Pilot Securities in the third test group (``Test Group 
Three'') will be subject to the same quoting and trading increments as 
Test Group Two and also will be subject to the ``Trade-at'' requirement 
to prevent price matching by a market participant that is not 
displaying at a Trading Center's ``Best Protected Bid'' or ``Best 
Protected Offer,'' unless an enumerated exception applies.\14\ In 
addition to the exceptions provided under Test Group Two, an exception 
for Block Size orders and exceptions that mirror those under Rule 611 
of Regulation NMS \15\ will apply to the Trade-at requirement.
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    \11\ See Section V of the Plan for identification of Pilot 
Securities, including criteria for selection and grouping.
    \12\ See Section VI(B) of the Plan.
    \13\ See Section VI(C) of the Plan.
    \14\ See Section VI(D) of the Plan.
    \15\ 17 CFR 242.611.
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    In approving the Plan, the Commission noted that the Trading Center 
data reporting requirements would facilitate an analysis of the effects 
of the Pilot on liquidity (e.g., transaction costs by order size), 
execution quality (e.g., speed of order executions), market maker 
activity, competition between trading venues (e.g., routing frequency 
of market orders), transparency (e.g., choice between displayed and 
hidden orders), and market dynamics (e.g., rates and speed of order 
cancellations).\16\ The Commission noted that Market Maker 
profitability data would assist the Commission in evaluating the 
effect, if any, of a widened tick increment on market marker profits 
and any corresponding changes in the liquidity of small-capitalization 
securities.\17\
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    \16\ See Approval Order, 80 FR at 27543.
    \17\ Id.
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Compliance With the Data Collection Requirements of the Plan
    The Plan contains requirements for collecting and transmitting data 
to the Commission and to the public.\18\ Specifically, Appendix B.I of 
the Plan (Market Quality Statistics) requires Trading Centers\19\ to 
submit variety of

[[Page 75143]]

market quality statistics, including information about an order's 
original size, whether the order was displayable or not, the cumulative 
number of orders, the cumulative number of shares of orders, and the 
cumulative number of shares executed within specific time increments, 
e.g., from 30 seconds to less than 60 seconds after the time of order 
receipt. This information shall be categorized by security, order type, 
original order size, hidden status, and coverage under Rule 605.\20\ 
Appendix B.I of the Plan also contains additional requirements for 
market orders and marketable limit orders, including the share-weighted 
average effective spread for executions of orders; the cumulative 
number of shares of orders executed with price improvement; and, for 
shares executed with price improvement, the share-weighted average 
amount per share that prices were improved.
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    \18\ The Exchange is also required by the Plan to establish, 
maintain, and enforce written policies and procedures that are 
reasonably designed to comply with applicable quoting and trading 
requirements specified in the Plan. The Exchange intends to 
separately propose rules that would require compliance by its 
Members with the applicable quoting and trading requirements 
specified in the Plan, and has reserved Paragraph (a) for such 
rules.
    \19\ The Plan incorporates the definition of a ``Trading 
Center'' from Rule 600(b)(78) of Regulation NMS. Regulation NMS 
defines a ``Trading Center'' as ``a national securities exchange or 
national securities association that operates an SRO trading 
facility, an alternative trading system, an exchange market maker, 
an OTC market maker, or any other broker or dealer that executes 
orders internally by trading as principal or crossing orders as 
agent.'' See 17 CFR 242.600(b).
    \20\ 17 CFR 242.605.
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    Appendix B.II of the Plan (Market and Marketable Limit Order Data) 
requires Trading Centers to submit information relating to market 
orders and marketable limit orders, including the time of order 
receipt, order type, the order size, the National Best Bid and National 
Best Offer (``NBBO'') quoted price, the NBBO quoted depth, the average 
execution price-share-weighted average, and the average execution time-
share-weighted average.
    The Plan requires Appendix B.I and B.II data to be submitted by 
Participants that operate a Trading Center, and by members of the 
Participants that operate Trading Centers. The Plan provides that each 
Participant that is the Designated Examining Authority (``DEA'') for a 
member of the Participant that operates a Trading Center shall collect 
such data in a pipe delimited format, beginning six months prior to the 
Pilot Period and ending six months after the end of the Pilot Period. 
The Plan also requires the Participant, operating as DEA, to transmit 
this information to the SEC within 30 calendar days following month 
end.
    The Exchange is therefore proposing Rule 11.27(b) to set forth the 
requirements for the collection and transmission of data pursuant to 
Appendix B.I and B.II of the Plan. Proposed Rule 11.27(b)(1) requires 
that a Member that operates a Trading Center shall establish, maintain 
and enforce written policies and procedures that are reasonably 
designed to comply with the data collection and transmission 
requirements of Items I and II to Appendix B of the Plan, and a Member 
that is a Market Maker shall establish, maintain and enforce written 
policies and procedures that are reasonably designed to comply with the 
data collection and transmission requirements of Item IV of Appendix B 
of the Plan and Item I of Appendix C of the Plan.
    Rule 11.27(b)(2) provides that the Exchange shall collect and 
transmit to the SEC the data described in Items I and II of Appendix B 
of the Plan relating to trading activity in Pre-Pilot Securities and 
Pilot Securities on a Trading Center operated by the Exchange. The 
Exchange shall transmit such data to the SEC in a pipe delimited 
format, on a disaggregated basis by Trading Center, within 30 calendar 
days following month end for: (i) Each Pre-Pilot Data Collection 
Security for the period beginning six months prior to the Pilot Period 
through the trading day immediately preceding the Pilot Period; and 
(ii) each Pilot Security for the period beginning on the first day of 
the Pilot Period through six months after the end of the Pilot Period. 
The Exchange also shall make such data publicly available on the 
Exchange Web site on a monthly basis at no charge and will not identify 
the Member that generated the data.
    Appendix B.IV (Daily Market Maker Participation Statistics) 
requires a Participant to collect data related to Market Maker 
participation from each Market Maker \21\ engaging in trading activity 
on a Trading Center operated by the Participant. The Exchange is 
therefore proposing Rule 11.27(b)(3) to gather data about a Market 
Maker's participation in Pilot Securities and Pre-Pilot Data Collection 
Securities. Proposed Rule 11.27(b)(3)(A) provides that a Member that is 
a Market Maker shall collect and transmit to their DEA data relating to 
Item IV of Appendix B of the Plan with respect to activity conducted on 
any Trading Center in Pilot Securities and Pre-Pilot Data Collection 
Securities in furtherance of its status as a registered Market Maker, 
including a Trading Center that executes trades otherwise than on a 
national securities exchange, for transactions that have settled or 
reached settlement date. The proposed rule requires Market Makers to 
transmit such data in a format required by their DEA, by 12:00 p.m. EST 
on T+4 for: (i) Transactions in each Pre-Pilot Data Collection Security 
for the period beginning six months prior to the Pilot Period through 
the trading day immediately preceding the Pilot Period; and (ii) for 
transactions in each Pilot Security for the period beginning on the 
first day of the Pilot Period through six months after the end of the 
Pilot Period.
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    \21\ The Plan defines a Market Maker as ``a dealer registered 
with any self-regulatory organization, in accordance with the rules 
thereof, as (i) a market maker or (ii) a liquidity provider with an 
obligation to maintain continuous, two-sided trading interest.''
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    Proposed Rule 11.27(b)(3)(B) provides that the Exchange shall 
transmit the data collected by the DEA pursuant to Rule 11.27(b)(3)(A) 
above relating to Market Maker activity on a Trading Center operated by 
the Exchange to the SEC in a pipe delimited format within 30 calendar 
days following month end. The Exchange shall also make such data 
publicly available on the Exchange Web site on a monthly basis at no 
charge and shall not identify the Trading Center that generated the 
data.
    Appendix C.I (Market Maker Profitability) requires a Participant to 
collect data related to Market Maker profitability from each Market 
Maker for which it is the DEA. Specifically, the Participant is 
required to collect the total number of shares of orders executed by 
the Market Maker; the raw Market Maker realized trading profits, and 
the raw Market Maker unrealized trading profits. Data shall be 
collected for dates starting six months prior to the Pilot Period 
through six months after the end of the Pilot Period. This data shall 
be collected on a monthly basis, to be provided in a pipe delimited 
format to the Participant, as DEA, within 30 calendar days following 
month end. Appendix C.II (Aggregated Market Maker Profitability) 
requires the Participant, as DEA, to aggregate the Appendix C.I data, 
and to categorize this data by security as well as by the control group 
and each Test Group. That aggregated data shall contain information 
relating to total raw Market Maker realized trading profits, volume-
weighted average of raw Market Maker realized trading profits, the 
total raw Market Maker unrealized trading profits, and the volume-
weighted average of Market Maker unrealized trading profits.
    The Exchange is therefore proposing Rule 11.27(b)(4) to set forth 
the requirements for the collection and transmission of data pursuant 
to Appendix C.I of the Plan. Proposed Rule 11.27(b)(4)(A) requires that 
a Member that is a Market Maker shall collect and transmit to their DEA 
the data described in Item I of Appendix C of the Plan, as modified by 
Paragraph (b)(5) with respect to executions in Pilot Securities that 
have settled or reached settlement date that were executed on any 
Trading Center. The proposed rule also requires Members to provide such 
data in a format required by their DEA by 12 p.m. EST on T+4 for 
executions during and

[[Page 75144]]

outside of Regular Trading Hours in each: (i) Pre-Pilot Data Collection 
Security for the period beginning six months prior to the Pilot Period 
through the trading day immediately preceding the Pilot Period; and 
(ii) Pilot Security for the period beginning on the first day of the 
Pilot Period through six months after the end of the Pilot Period.
    The Exchange is also adopting a rule setting forth the manner in 
which Market Maker participation will be calculated. Item III of 
Appendix B of the Plan requires each Participant that is a national 
securities exchange to collect daily Market Maker registration 
statistics categorized by security, including the following 
information: (i) Ticker symbol; (ii) the Participant exchange; (iii) 
number of registered market makers; and (iv) the number of other 
registered liquidity providers. Therefore, the Exchange proposes to 
adopt Rule 11.27(b)(5) providing that the Exchange shall collect and 
transmit to the SEC the data described in Item III of Appendix B of the 
Plan relating to daily Market Maker registration statistics in a pipe 
delimited format within 30 calendar days following month end for: (i) 
For transactions in each Pre-Pilot Data Collection Security for the 
period beginning six months prior to the Pilot Period through the 
trading day immediately preceding the Pilot Period; and (ii) For 
transactions in each Pilot Security for the period beginning on the 
first day of the Pilot Period through six months after the end of the 
Pilot Period.
    The Exchange is also proposing, through Interpretations and 
Policies, to clarify other aspects of the data collection 
requirements.\22\ Proposed Interpretations and Policy .02 relates to 
the use of the retail investor order flag for purposes of Appendix 
B.II(n) reporting. The Plan currently states that market and marketable 
limit orders shall include a ``yes/no'' field relating to the Retail 
Investor Order flag. The Exchange is proposing Interpretations and 
Policy .02 to clarify that, for purposes of the reporting requirement 
in Appendix B.II(n), a Trading Center shall report ``y'' to their DEA 
where it is relying upon the Retail Investor Order exception to Test 
Groups Two and Three, and ``n'' for all other instances. The Exchange 
believes that requiring the identification of a Retail Investor Orders 
only where the exception may apply (i.e., Pilot Securities in Test 
Groups Two and Three) is consistent with Appendix B.II(n).
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    \22\ The Exchange is also proposing Interpretations and Policy 
.01 to Rule 11.27 to clarify that certain enumerated terms used 
throughout Rule 11.27 shall have the same meaning as set forth in 
the Plan.
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    Interpretations and Policy .03 requires that Members populate a 
field to identify to their DEA whether an order is affected by the 
bands in place pursuant to the National Market System Plan to Address 
Extraordinary Market Volatility.\23\ Pursuant to the Limit-Up Limit-
Down Plan, between 9:30 a.m. and 4:00 p.m., the Securities Information 
Processor (``SIP'') calculates a lower price band and an upper price 
band for each NMS stock. These price bands represent a specified 
percentage above or below the stock's reference price, which generally 
is calculated based on reported transactions in that stock over the 
preceding five minutes. When one side of the market for an individual 
security is outside the applicable price band, the SIP identifies that 
quotation as non-executable. When the other side of the market reaches 
the applicable price band (e.g., the offer reaches the lower price 
band), the security enters a Limit State. The stock would exit a Limit 
State if, within 15 seconds of entering the Limit State, all Limit 
State Quotations were executed or canceled in their entirety. If the 
security does not exit a Limit State within 15 seconds, then the 
primary listing exchange declares a five-minute trading pause, which 
would be applicable to all markets trading the security.
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    \23\ See National Market System Plan to Address Extraordinary 
Market Volatility, Securities Exchange Act Release No. 67091 (May 
31, 2012), 77 FR 33498 (June 6, 2012) (File No. 4-631) (``Limit-Up 
Limit-Down Plan'').
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    The Exchange and the other Participants have determined that it is 
appropriate to create a new flag for reporting orders that are affected 
by the Limit-Up Limit-Down bands. Accordingly, a Trading Center shall 
report a value of ``Y'' to their DEA when the ability of an order to 
execute has been affected by the Limit-Up Limit-Down bands in effect at 
the time of order receipt. A Trading Center shall report a value of 
``N'' to their DEA when the ability of an order to execute has not been 
affected by the Limit-Up Limit-Down bands in effect at the time of 
order receipt.
    Interpretation and Policy .03 also requires, for dually-listed 
securities, that the Participant indicate whether the order was handled 
domestically, or routed to a foreign venue. Accordingly, the 
Participant will indicate, for purposes of Appendix B.I, whether the 
order was: (1) Fully executed domestically, or (2) fully or partially 
executed on a foreign market. For purposes of Appendix B.II, the 
Participant will classify all orders in dually-listed Pilot and Pre-
Pilot Securities as: (1) Directed to a domestic venue for execution; 
(2) may only be directed to a foreign venue for execution; or (3) was 
fully or partially directed to a foreign venue at the discretion of the 
Member. The Exchange believes that this proposed flag will better 
identify orders in dually-listed securities, as such orders that were 
executed in foreign venues would not be subject to the Plan's quoting 
and trading requirements, and could otherwise compromise the integrity 
of the data.
    Interpretations and Policy .04 relates to the time ranges specified 
in Appendix B.I.a(14), B.I.a(15), B.I.a(21) and B.I.a(22).\24\ The 
Exchange and the other Participants have determined that it is 
appropriate to change the reporting times in these provisions to 
require more granular reporting for these categories. Accordingly, the 
Exchange proposes to add Appendix B.I.a(14A), which will require 
Trading Centers to report the cumulative number of shares of orders 
executed from 100 microseconds to less than 1 millisecond after the 
time of order receipt. Appendix B.I.a(15) will be changed to require 
the cumulative number of shares of orders executed from 1 millisecond 
to less than 100 milliseconds after the time of order receipt. The 
Exchange also proposes to add Appendix B.I.a(21A), which will require 
Trading Centers to report the cumulative number of shares of orders 
canceled from 100 microseconds to less than 1 millisecond after the 
time of order receipt. Appendix B.I.a(22) will be changed to require 
the cumulative number of shares of orders canceled from 1 millisecond 
to less than 100 milliseconds after the time of order receipt. The 
Exchange believes that these new reporting requirements will contribute 
to a meaningful analysis of the Pilot by producing more granular data 
on these points.\25\
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    \24\ Specifically, Appendix B.I.a(14) requires reporting of the 
cumulative number of shares of orders executed from 0 to less than 
100 microseconds after the time of order receipt; Appendix B.I.a(15) 
requires reporting of the cumulative number of shares of orders 
executed from 100 microseconds to less than 100 milliseconds after 
the time of order receipt; Appendix B.I.a(21) requires reporting of 
the cumulative number of shares of orders cancelled from 0 to less 
than 100 microseconds after the time of order receipt; and Appendix 
B.I.a(22) requires reporting of the cumulative number of shares of 
orders cancelled from 100 microseconds to less than 100 milliseconds 
after the time of order receipt.
    \25\ The Exchange notes that FINRA intends to file an exemptive 
request seeking relief from certain of the Plan's data collection 
requirements, including the requirements that Trading Centers report 
information in either microseconds or milliseconds, as not all 
Trading Centers currently capture and report orders in either 
microseconds or milliseconds.

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[[Page 75145]]

    Interpretations and Policy .05 relates to the relevant measurement 
for purposes of Appendix B.I.a(31)-(33) reporting. Currently, the Plan 
states that this data shall be reported as of the time of order 
execution. The Exchange and the other Participants believe that this 
information should more properly be captured at the time of order 
receipt as evaluating share-weighted average prices at the time of 
order receipt is more consistent with the goal of observing the effect 
of the Pilot on the liquidity of Pilot Securities. The Exchange is 
therefore proposing to make this change through Interpretations and 
Policy .05.\26\ This change will make these provisions consistent with 
the remainder of the statistics in Appendix B.I.a, which are all based 
on order receipt.
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    \26\ This proposed change is also part of an exemptive request 
that the Exchange and the other Participants will be submitting to 
the SEC pursuant to Rule 608(e) of Regulation NMS.
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    Interpretations and Policy .06 addresses the status of not-held and 
auction orders for purposes of Appendix B.I reporting. Currently, 
Appendix B.I sets forth eight categories of orders, including market 
orders, marketable limit orders, and inside-the-quote resting limit 
orders, for which daily market quality statistics must be reported. 
Currently, Appendix B.I does not provide a category for not held 
orders, clean cross orders, auction orders, or orders received when the 
NBBO is crossed. The Exchange and the other Participants have 
determined that it is appropriate to include separate categories for 
both not held orders and auction orders for purposes of Appendix B 
reporting. The Exchange is therefore proposing Interpretations and 
Policy .06 to provide that not held orders shall be included as an 
order type for purposes of Appendix B reporting, and shall be assigned 
the number (18). Clean cross orders shall be included as an order type 
for purposes of Appendix B reporting, and shall be assigned the number 
(19); auction orders shall be included an as order type for purposes of 
Appendix B reporting, and shall be assigned the number (20); and orders 
that cannot otherwise be classified, including, for example, orders 
received when the NBBO is crossed shall be included as an order type 
for purposes of Appendix B reporting, and shall be assigned the number 
(21). All of these orders already are included in the scope of Appendix 
B; however, without this proposed change, these order types would be 
categorized with other orders, such as regular held orders, that should 
be able to be fully executed upon receipt, which would compromise the 
value of this data.
    The Exchange is proposing Interpretations and Policy .07 to clarify 
the scope of the Plan as it relates to Members that only execute orders 
limited purposes. Specifically, The Exchange and the other Participants 
believe that a Member that only executes orders otherwise than on a 
national securities exchange for the purpose of: (1) Correcting a bona 
fide error related to the execution of a customer order; (2) purchasing 
a security from a customer at a nominal price solely for purposes of 
liquidating the customer's position; or (3) completing the fractional 
share portion of an order \27\ shall not be deemed a Trading Center for 
purposes of Appendix B to the Plan. The Exchange is therefore proposing 
Supplementary Material .09 to make this clarification.
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    \27\ The Exchange notes that where a Member purchases a 
fractional share from a customer, the Trading Center that executes 
the remaining whole shares of that customer order would subject to 
subject to Appendix B of the Plan.
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    The Exchange is proposing Interpretations and Policy .08 to clarify 
that, for purposes of the Plan, Trading Centers must begin the data 
collection required pursuant to Appendix B.I.a(1) through B.II.(y) of 
the Plan and Item I of Appendix C of the Plan on April 4, 2016. While 
the Exchange or the Member's DEA will provide the information required 
by Appendix B and C of the Plan during the Pilot Period, the 
requirement that the Exchange or their DEA provide information to the 
SEC within 30 days following month end and make such data publicly 
available on its Web site pursuant to Appendix B and C shall commence 
six months prior to the beginning of the Pilot Period.\28\
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    \28\ In its order approving the Plan, the SEC noted that the 
Pilot shall be implemented within one year of the date of 
publication of its order, e.g., by May 6, 2016. See Approval Order, 
80 FR at 27545. However, on November 6, 2015, the SEC extended the 
implementation date approximately five months to October 3, 2016. 
See Securities Exchange Act Release No. 76382 (November 6, 2015) 
(File No. 4-657).
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    The Exchange is proposing Interpretations and Policy .09 to address 
the requirement in Appendix C.I(b) of the Plan that the calculation of 
raw Market Maker realized trading profits utilize a last in, first out 
(``LIFO'')-like method to determine which share prices shall be used in 
that calculation. The Exchange and the other Participants believe that 
it is more appropriate to utilize a methodology that yields LIFO-like 
results, rather than utilizing a LIFO-like method, and the Exchange is 
therefore proposing Interpretations and Policy .09 to make this 
change.\29\ The Exchange is proposing that, for purposes of Item I of 
Appendix C, the Participants shall calculate daily Market Maker 
realized profitability statistics for each trading day on a daily LIFO 
basis using reported trade price and shall include only trades executed 
on the subject trading day. The daily LIFO calculation shall not 
include any positions carried over from previous trading days. For 
purposes of Item I.c of Appendix C, the Participants shall calculate 
daily Market Maker unrealized profitability statistics for each trading 
day on an average price basis. Specifically, the Participants must 
calculate the volume weighted average price of the excess (deficit) of 
buy volume over sell volume for the current trading day using reported 
trade price. The gain (loss) of the excess (deficit) of buy volume over 
sell volume shall be determined by using the volume weighted average 
price compared to the closing price of the security as reported by the 
primary listing exchange. In reporting unrealized trading profits, the 
Participant shall also report the number of excess (deficit) shares 
held by the Market Maker, the volume weighted average price of that 
excess (deficit) and the closing price of the security as reported by 
the primary listing exchange used in reporting unrealized profit.
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    \29\ Appendix C.I currently requires Market Maker profitability 
statistics to include (1) the total number of shares of orders 
executed by the Market Maker; (2) raw Market Maker realized trading 
profits, which is the difference between the market value of Market 
Maker shares and the market value of Market Maker purchases, using a 
LIFO-like method; and (3) raw Market Maker unrealized trading 
profits, which is the difference between the purchase or sale price 
of the end-of-day inventory position of the Market Maker and the 
Closing Price. In the case of a short position, the Closing Price 
from the sale will be subtracted; in the case of a long position, 
the purchase price will be subtracted from the Closing Price.
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    Finally, the Exchange is proposing Interpretations and Policy .10 
to address the securities that will be used for data collection 
purposes prior to the commencement of the Pilot. The Exchange and the 
other Participants have determined that it is appropriate to collect 
data for a group of securities that is larger, and using different 
quantitative thresholds, than the group of securities that will be 
Pilot Securities. The Exchange is therefore proposing Interpretations 
and Policy .09 to define ``Pre-Pilot Data Collection Securities'' as 
the securities designated by the Participants for purposes of the data 
collection requirements described in Items I, II and IV of Appendix B 
and Item I of Appendix C of the Plan for the period beginning six 
months prior to the Pilot Period and ending on the trading

[[Page 75146]]

day immediately preceding the Pilot Period. The Participants shall 
compile the list of Pre-Pilot Data Collection Securities by selecting 
all NMS stocks with a market capitalization of $5 billion or less, a 
Consolidated Average Daily Volume (CADV) of 2 million shares or less 
and a closing price of $1 per share or more. The market capitalization 
and the closing price thresholds shall be applied to the last day of 
the Pre-Pilot measurement period, and the CADV threshold shall be 
applied to the duration of the Pre-Pilot measurement period. The Pre-
Pilot measurement period shall be the three calendar months ending on 
the day when the Pre-Pilot Data Collection Securities are selected. The 
Pre-Pilot Data Collection Securities shall be selected thirty days 
prior to the commencement of the six-month Pre-Pilot Period. On the 
trading day that is the first trading day of the Pilot Period through 
six months after the end of the Pilot Period, the data collection 
requirements will become applicable to the Pilot Securities only. A 
Pilot Security will only be eligible to be included in a Test Group if 
it was a Pre-Pilot Security.
    The proposed rule change will be effective upon Commission 
approval. The implementation date will be April 4, 2016.
2. Statutory Basis
    The Exchange believes that its proposal is consistent with Section 
6(b) of the Act \30\ in general, and furthers the objectives of Section 
6(b)(5) of the Act \31\ in particular, in that it is designed to 
promote just and equitable principles of trade, to foster cooperation 
and coordination with persons engaged in facilitating transactions in 
securities, to remove impediments to and perfect the mechanism of a 
free and open market and a national market system and, in general, to 
protect investors and the public interest.
---------------------------------------------------------------------------

    \30\ 15 U.S.C. 78f(b).
    \31\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that this proposal is consistent with the Act 
because it implements and clarifies the provisions of the Plan, and is 
designed to assist the Exchange in meeting its regulatory obligations 
pursuant of the Plan. In approving the Plan, the SEC noted that the 
Pilot was an appropriate, data-driven test that was designed to 
evaluate the impact of a wider tick size on trading, liquidity, and the 
market quality of securities of smaller capitalization companies, and 
was therefore in furtherance of the purposes of the Act. The Exchange 
believes that this proposal is in furtherance of the objectives of the 
Plan, as identified by the SEC, and is therefore consistent with the 
Act because the proposal implements and clarifies the requirements of 
the Plan and applies specific obligations to Members in furtherance of 
compliance with the Plan.

(B) Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange 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. The Exchange 
notes that the proposed rule change implements the provisions of the 
Plan, and is designed to assist the Exchange in meeting its regulatory 
obligations pursuant of the Plan. The Exchange also notes that the data 
collection requirements for Members that operate Trading Centers will 
apply equally to all such Members, as will the data collection 
requirements for Market Makers.

(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

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding or (ii) as to 
which the Exchange consents, the Commission will: (a) By order approve 
or disapprove such proposed rule change, or (b) institute proceedings 
to determine whether the proposed rule change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the foregoing, including whether the proposal is 
consistent with the Act. Comments may be submitted by any of the 
following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File No. SR-BATS-2015-102 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File No. SR-BATS-2015-102. 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 (http://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 will also 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 No. SR-BATS-2015-102 and should be 
submitted on or before December 22, 2015.
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    \32\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\32\
Brent J. Fields,
Secretary.
[FR Doc. 2015-30479 Filed 11-30-15; 8:45 am]
BILLING CODE 8011-01-P
Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Notices 75141

ESTIMATE OF ANNUAL RESPONDENT BURDEN
Annual Time Burden
Form number responses (minutes) (hours)

AA–17 Application Process
AA–17cert ............................................................................................................................. 900 20 300
AA–17sum ............................................................................................................................ 2,100 19 665
AA–17b
(With assistance) .................................................................................................................. 250 40 167
(Without assistance) ............................................................................................................. 20 50 17
AA–19a
(With assistance) .................................................................................................................. 200 45 150
(Without assistance) ............................................................................................................. 15 65 16

Total ............................................................................................................................... 3,485 ........................ 1,315

2. Title and purpose of information Certification, and AA–3sum, 3sum, Application Summary,
collection: Application for Spouse Application Summary. documents an alternate signing method
Annuity under the Railroad Retirement The AA–3 application process gathers called ‘‘Attestation,’’ which is an action
Act; OMB 3220–0042. information from an applicant about taken by the RRB representative to
Section 2(c) of the Railroad their marital history, work history, confirm and annotate in the RRB
Retirement Act (RRA), provides for the benefits from other government records (1) the applicant’s intent to file
payment of annuities to spouses of agencies, and Medicare entitlement for an application; (2) the applicant’s
railroad retirement annuitants who meet a spouse annuity. An RRB affirmation under penalty of perjury that
the requirements under the RRA. The representative interviews the applicant the information provided is correct; and
age requirements for a spouse annuity either at a field office (preferred), an (3) the applicant’s agreement to sign the
depend on the employee’s age, date of itinerant point, or by telephone. During application by proxy. When the RRB
retirement, and years of railroad service. the interview, the RRB representative representative is unable to contact the
The requirements relating to the enters the information obtained into an applicant in person or by telephone, for
annuities are prescribed in 20 CFR 216, on-line information system. Upon example, the applicant lives in another
218, 219, 232, 234, and 295. completion of the interview, the system country, a manual version of Form AA–
To collect the information needed to generates, for the applicant’s review, 3 is used. One response is requested of
help determine an applicant’s either Form AA–3cert or AA–3sum, each respondent. Completion of the
entitlement to, and the amount of, a which is a summary of the information form is required to obtain a benefit.
spouse annuity the RRB uses Form AA– that the applicant provided or verified. The RRB proposes to remove the
3, Application for Spouse/Divorced Form AA–3cert, Application Summary paper version of the AA–3 from the
Spouse Annuity, and electronic Forms and Certification, requires a traditional information collection due to receiving
AA–3cert, Application Summary and pen and ink ‘‘wet’’ signature. Form AA– less than 10 responses a year.

ESTIMATE OF ANNUAL RESPONDENT BURDEN
Annual Time Burden
Form number responses (minutes) (hours)

Form AA–3 Online Process
Form AA–3cert (Ink Signature) ............................................................................................ 4,700 30 2,350
Form AA–3sum (Attestation) ................................................................................................ 7,000 29 3,383

Total ............................................................................................................................... 11,700 ........................ 5,733

Additional Information or Comments: comments should be received within 60 SECURITIES AND EXCHANGE
To request more information or to days of this notice. COMMISSION
obtain a copy of the information
Charles Mierzwa,
collection justification, forms, and/or [Release No. 34–76524; File No. SR–BATS–
supporting material, contact Dana Chief of Information Resources Management.
2015–102]
Hickman at (312) 751–4981 or [FR Doc. 2015–30443 Filed 11–30–15; 8:45 am]
Dana.Hickman@RRB.GOV. Comments BILLING CODE 7905–01–P Self-Regulatory Organizations; BATS
regarding the information collection Exchange, Inc.; Notice of Filing of a
should be addressed to Charles Proposed Rule Change To Adopt Rule
Mierzwa, Railroad Retirement Board, 11.27 Regarding the Data Collection
tkelley on DSK3SPTVN1PROD with NOTICES

844 North Rush Street, Chicago, Illinois Requirements of the Tick Size Pilot
60611–2092 or emailed to Program
Charles.Mierzwa@RRB.GOV. Written
November 25, 2015.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the

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Document Created: 2018-03-02 09:09:58
Document Modified: 2018-03-02 09:09:58
Category		Regulatory Information
Collection		Federal Register
sudoc Class		AE 2.7: GS 4.107: AE 2.106:
Publisher		Office of the Federal Register, National Archives and Records Administration
Section		Notices
FR Citation		80 FR 75141