81 FR 19269 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Adopting Requirements for the Collection and Transmission of Data Pursuant to Appendices B and C of the Regulation NMS Plan to Implement a Tick Size Pilot Program

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 81, Issue 64 (April 4, 2016)

Page Range		19269-19275
FR Document		2016-07586
Federal Register, Volume 81 Issue 64 (Monday, April 4, 2016)
[Federal Register Volume 81, Number 64 (Monday, April 4, 2016)]
[Notices]
[Pages 19269-19275]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2016-07586]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-77468; File No. SR-NYSE-2016-27]


Self-Regulatory Organizations; New York Stock Exchange LLC; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change 
Adopting Requirements for the Collection and Transmission of Data 
Pursuant to Appendices B and C of the Regulation NMS Plan to Implement 
a Tick Size Pilot Program

March 29, 2016.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 
given that on March 25, 2016, New York Stock Exchange LLC (``NYSE'' or 
the ``Exchange'') filed with the Securities and Exchange Commission 
(the ``Commission'') the proposed rule change as described in Items I 
and II below, which Items have been prepared by the Exchange. The 
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\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to adopt requirements for the collection and 
transmission of data pursuant to Appendices B and C of the Regulation 
NMS Plan to Implement a Tick Size Pilot Program (``Plan''). The 
proposed rule change is available on the Exchange's Web site at 
www.nyse.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 self-regulatory organization 
included statements concerning the purpose of, and basis for, the 
proposed rule change and discussed any comments it received on the 
proposed rule change. The text of those statements may be examined at 
the places specified in Item IV below. The Exchange has prepared 
summaries, set forth in sections A, B, and C below, of the most 
significant parts of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    On August 25, 2014, NYSE Group, Inc., on behalf of the Exchange, 
NYSE MKT LLC, NYSE Arca, Inc., the Bats BZX Exchange, Inc. f/k/a BATS 
Exchange, Inc. (``BZX''), BATS BYX Exchange, Inc. f/k/a BATS Y-
Exchange, Inc. (``BYX''), Bats EDGA Exchange, Inc., Bats EDGX Exchange, 
Inc., Chicago Stock Exchange, Inc., Financial Industry Regulatory 
Authority, Inc. (``FINRA''), NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, 
and the Nasdaq Stock Market LLC (collectively ``Participants''), filed 
with the Securities and Exchange Commission (``Commission''), pursuant 
to Section 11A of the Act \4\ and Rule 608 of Regulation NMS 
thereunder,\5\ the Plan to Implement a Tick Size Pilot Program 
(``Pilot'').\6\ The Participants filed the Plan to comply with an order 
issued by the Commission on June 24, 2014.\7\ The Plan \8\ was 
published for comment in the Federal Register on November 7, 2014, and 
approved by the Commission, as modified, on May 6, 2015.\9\
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    \4\ 15 U.S.C. 78k-1.
    \5\ 17 CFR 242.608.
    \6\ See Letter from Brendon J. Weiss, Vice President, 
Intercontinental Exchange, Inc., to Secretary, Commission, dated 
August 25, 2014.
    \7\ See Securities Exchange Act Release No. 72460 (June 24, 
2014), 79 FR 36840 (June 30, 2014).
    \8\ Unless otherwise specified, capitalized terms used in this 
rule filing are based on the defined terms of the Plan.
    \9\ 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 member organizations to comply with the 
applicable data collection requirements of the Plan.\10\
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    \10\ The Exchange proposes to provide in the introduction 
paragraph to Rule 67 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''

[[Page 19270]]

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 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 has separately 
proposed Rules 67(a) and 67(c)-(e) that would require compliance by 
its member organizations with the applicable quoting and trading 
requirements specified in the Plan. See, Securities Exchange Act 
Release No. 76229 (October 22, 2015), 80 FR 66065 (October 28, 2015) 
(SR-NYSE-2015-46) (``Quoting & Trading Rules Proposal''), as amended 
by Partial Amendment No. 1 to the Quoting & Trading Rules Proposal.
    \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 proposing new Rule 67(b) to set forth the 
requirements for the collection and transmission of data pursuant to 
Appendices B and C of the Plan. Proposed Rule 67(b) is substantially 
similar to the proposed rule changes by BZX that were recently approved 
by the Commission to adopt BZX Rule 11.27(b) which also sets forth 
requirements for the collection and transmission of data pursuant to 
Appendices B and C of the Plan.\21\
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    \21\ See Securities Exchange Act Release Nos. 77105 (February 
10, 2016), 81 FR 8112 (February 17, 2016) (order approving SR-BATS-
2015-102); and 77310 (March 7, 2016) (notice for comment and 
immediate effectiveness of SR-BATS-2016-27). The Exchange proposes a 
non-substantive difference to use the term ``member organization'' 
instead of ``member'' in proposed Rule 67.
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    Proposed Rule 67(b)(1) requires that a member organization 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 organization 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.
    Proposed Rule 67(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 Data Collection 
Securities \22\ 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 organization that generated the data.
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    \22\ The Exchange is proposing Supplementary Material .90 to 
proposed Rule 67(b) 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 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.
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    Appendix B.IV (Daily Market Maker Participation Statistics) 
requires a Participant to collect data related to

[[Page 19271]]

Market Maker participation from each Market Maker \23\ engaging in 
trading activity on a Trading Center operated by the Participant. The 
Exchange is therefore proposing Rule 67(b)(3) to gather data about a 
Market Maker's participation in Pilot Securities and Pre-Pilot Data 
Collection Securities. Proposed Rule 67(b)(3)(A) provides that a member 
organization 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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    \23\ 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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    The Exchange understands that some member organizations may utilize 
a DEA that is not a Participant to the Plan and that their DEA would 
not be subject to the Plan's data collection requirements. In such 
case, a DEA that is not a Participant of the Plan would not be required 
to collect the required data and may not establish procedures for which 
member organizations it acts a DEA for to report the data required 
under subparagraphs (b)(3)(A) of Rule 67 and in accordance with Item IV 
of Appendix B of the Plan. Therefore, the Exchange proposes to adopt 
subparagraph (b)(3)(B) to Rule 67 to require a member organization that 
is a Market Maker whose DEA is not a Participant to the Plan to 
transmit the data collected pursuant to paragraph (3)(A) of Rule 67(b) 
to FINRA, which is a Participant to the Plan and is to collect data 
relating to Item IV of Appendix B of the Plan on behalf of the 
Participants. For Market Makers for which it is the DEA, FINRA issued a 
Market Maker Transaction Data Technical Specification to collect data 
on Pre-Pilot Data Collection Securities and Pilot Securities from 
Trading Centers to comply with the Plan's data collection 
requirements.\24\
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    \24\ FINRA members for which FINRA is their DEA should refer to 
the Market Maker Transaction Data Technical Specification on the 
FINRA Web site at http://www.finra.org/sites/default/files/market-maker-transaction-data-tech-specs.pdf.
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    Proposed Rule 67(b)(3)(C) provides that the Exchange shall transmit 
the data collected by the DEA or FINRA pursuant to Rule 67(b)(3)(A) and 
(B) 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 67(b)(4) to set forth the 
requirements for the collection and transmission of data pursuant to 
Appendix C.I of the Plan. Proposed Rule 67(b)(4)(A) requires that a 
member organization that is a Market Maker shall collect and transmit 
to their DEA the data described in Item I of Appendix C of the Plan 
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 member organizations to provide such data 
in a format required by their DEA by 12 p.m. EST on T+4 for executions 
during and 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.
    For the same reasons set forth above for subparagraph (b)(3)(B) to 
Rule 67, the Exchange proposes to adopt subparagraph (b)(4)(B) to Rule 
67 to require a member organization that is a Market Maker whose DEA is 
not a Participant to the Plan to transmit the data collected pursuant 
to paragraph (4)(A) of Rule 67(b) to FINRA. As stated above, FINRA is a 
Participant to the Plan and is to collect data relating to Item I of 
Appendix C of the Plan on behalf of the Participants. For Market Makers 
for which it is the DEA, FINRA issued a Market Maker Transaction Data 
Technical Specification to collect data on Pre-Pilot Data Collection 
Securities and Pilot Securities from Trading Centers to comply with the 
Plan's data collection requirements.\25\
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    \25\ Id.
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    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 67(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) 
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) 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 Supplementary Material to 
proposed Rule 67(b), to clarify other aspects of the data collection 
requirements. Supplementary Material .10 to proposed Rule 67(b) relates 
to the

[[Page 19272]]

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 Supplementary Material .10 to 
proposed Rule 67(b) 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.\26\ 
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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    \26\ FINRA, on behalf of the Plan Participants submitted a 
letter to Commission requesting exemption from certain provisions of 
the Plan related to data collection. See letter from Marcia E. 
Asquith, Senior Vice President and Corporate Secretary, FINRA dated 
December 9, 2015 to Robert W. Errett, Deputy Secretary, Commission 
(``Exemption Request''). The Commission, pursuant to its authority 
under Rule 608(e) of Regulation NMS, granted BZX a limited exemption 
from the requirement to comply with certain provisions of the Plan 
as specified in the letter and noted herein. See letter from David 
Shillman, Associate Director, Division of Trading and Markets, 
Commission to Eric Swanson, General Counsel, BZX, dated February 10, 
2016 (``Exemption Letter'').
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    Supplementary Material .20 to proposed Rule 67(b) requires that 
member organizations 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.\27\ 
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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    \27\ 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.
    Supplementary Material .20 to proposed Rule 67(b) also requires, 
for securities that may trade in a foreign market, 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 securities that may trade in a foreign market 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 securities that may trade in a foreign market, as such orders 
that were routed to foreign venues would not be subject to the Plan's 
quoting and trading requirements, and could otherwise compromise the 
integrity of the data.
    Supplementary Material .30 to proposed Rule 67(b) 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).\28\ 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.\29\
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    \28\ 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.
    \29\ The Commission granted BZX an exemption from Rule 608(c) 
related to this provision. See Exemption Letter, supra note 26.
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    Supplementary Material .40 to proposed Rule 67(b) 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 
Supplementary Material .40 to proposed Rule 67(b).\30\ 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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    \30\ The Commission granted BZX an exemption from Rule 608(c) 
related to this provision. See Exemption Letter, supra note 26.
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    Supplementary Material .50 to proposed Rule 67(b) 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

[[Page 19273]]

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 
these orders types for purposes of Appendix B reporting. The Exchange 
is therefore proposing Supplementary Material .50 to proposed Rule 
67(b) 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 Supplementary Material .60 to proposed 
Rule 67(b) to clarify the scope of the Plan as it relates to member 
organizations that only execute orders limited purposes. Specifically, 
The Exchange and the other Participants believe that a member 
organization 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 \31\ shall not be deemed a Trading Center for 
purposes of Appendix B to the Plan. The Exchange is therefore proposing 
Supplementary Material .50 [sic] to proposed Rule 67(b) to make this 
clarification.
---------------------------------------------------------------------------

    \31\ The Exchange notes that where a member organization 
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.
---------------------------------------------------------------------------

    The Exchange is proposing Supplementary Material .70 to proposed 
Rule 67(b) 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 organization'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.\32\
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    \32\ 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), 80 
FR 70284 (File No. 4-657) (Order Granting Exemption From Compliance 
With the National Market System Plan To Implement a Tick Size Pilot 
Program). See also Letter from Brendon J. Weiss, Co-Head, Government 
Affairs, Intercontinental Exchange/NYSE, to Brent J. Fields, 
Secretary, Commission, dated November 4, 2015 (requesting the data 
collection period be extended until six months after the requisite 
SRO rules are approved, and the implementation data of the Tick Size 
Pilot until six months thereafter).
---------------------------------------------------------------------------

    The Exchange is proposing Supplementary Material .80 to proposed 
Rule 67(b) 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 Supplementary 
Material .80 to proposed Rule 67(b) to make this change.\33\ 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.\34\
---------------------------------------------------------------------------

    \33\ 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.
    \34\ The Commission granted BZX an exemption from Rule 608(c) 
related to this provision. See Exemption Letter, supra note 26.
---------------------------------------------------------------------------

    Finally, the Exchange is proposing Supplementary Material .90 to 
proposed Rule 67(b) to address the securities that will be used for 
data collection purposes prior to the commencement of the Pilot Period. 
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 Supplementary Material .90 to proposed Rule 67(b) 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 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-

[[Page 19274]]

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 Data Collection 
Security.
Implementation Date
    The proposed rule change will be effective on April 4, 2016.
2. Statutory Basis
    The Exchange believes that its proposal is consistent with Section 
6(b) of the Act \35\ in general, and furthers the objectives of Section 
6(b)(5) of the Act \36\ 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.
---------------------------------------------------------------------------

    \35\ 15 U.S.C. 78f(b).
    \36\ 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 member organizations 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 member organizations that operate Trading 
Centers will apply equally to all such member organizations, 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

    No written comments were solicited or received with respect to the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Because the proposed rule change does not (i) significantly affect 
the protection of investors or the public interest; (ii) impose any 
significant burden on competition; and (iii) become operative for 30 
days from the date on which it was filed, or such shorter time as the 
Commission may designate, it has become effective pursuant to Section 
19(b)(3)(A) of the Act \37\ and Rule 19b-4(f)(6) thereunder.\38\
---------------------------------------------------------------------------

    \37\ 15 U.S.C. 78s(b)(3)(A).
    \38\ 17 CFR 240.19b-4(f)(6). As required under Rule 19b-
4(f)(6)(iii), the Exchange provided the Commission with written 
notice of its intent to file the proposed rule change, along with a 
brief description and the text of the proposed rule change, at least 
five business days prior to the date of filing of the proposed rule 
change, or such shorter time as designated by the Commission.
---------------------------------------------------------------------------

    A proposed rule change filed pursuant to Rule 19b-4(f)(6) under the 
Act \39\ normally does not become operative for 30 days after the date 
of its filing. However, Rule 19b-4(f)(6)(iii) \40\ permits the 
Commission to designate a shorter time if such action is consistent 
with the protection of investors and the public interest. The Exchange 
has asked the Commission to waive the 30-day operative delay. The 
Commission believes that waiver of the operative delay is consistent 
with the protection of investors and the public interest because it 
would allow the Exchange to implement the proposed amendments on April 
4, 2016, the date upon which the data collection requirements of the 
Plan become effective.\41\ Therefore, the Commission hereby waives the 
operative delay and designates the proposal operative on April 4, 
2016.\42\
---------------------------------------------------------------------------

    \39\ 17 CFR 240.19b-4(f)(6).
    \40\ 17 CFR 240.19b-4(f)(6)(iii).
    \41\ See Securities Exchange Act Release No. 76382 (November 6, 
2015), 80 FR 70284 (File No. 4-657) (Order Granting Exemption From 
Compliance With the National Market System Plan To Implement a Tick 
Size Pilot Program).
    \42\ For purposes only of waiving the 30-day operative delay, 
the Commission has also considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
---------------------------------------------------------------------------

    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. If the Commission 
takes such action, the Commission shall institute proceedings to 
determine whether the proposed rule change should be approved or 
disapproved.

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 (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-NYSE-2016-27 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 Number SR-NYSE-2016-27. 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 the filing also will be available 
for inspection and copying at the principal

[[Page 19275]]

office of the Exchange. All comments received will be posted without 
change; the Commission does not edit personal identifying information 
from submissions. You should submit only information that you wish to 
make available publicly. All submissions should refer to File Number 
SR-NYSE-2016-27, and should be submitted on or before April 25, 2016.
---------------------------------------------------------------------------

    \43\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\43\
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-07586 Filed 4-1-16; 8:45 am]
BILLING CODE 8011-01-P
19274 Federal Register / Vol. 81, No. 64 / Monday, April 4, 2016 / Notices

month pre-pilot period. On the trading Exchange also notes that the data At any time within 60 days of the
day that is the first trading day of the collection requirements for member filing of the proposed rule change, the
Pilot Period through six months after organizations that operate Trading Commission summarily may
the end of the Pilot Period, the data Centers will apply equally to all such temporarily suspend such rule change if
collection requirements will become member organizations, as will the data it appears to the Commission that such
applicable to the Pilot Securities only. A collection requirements for Market action is necessary or appropriate in the
Pilot Security will only be eligible to be Makers. public interest, for the protection of
included in a Test Group if it was a Pre- C. Self-Regulatory Organization’s investors, or otherwise in furtherance of
Pilot Data Collection Security. Statement on Comments on the the purposes of the Act. If the
Proposed Rule Change Received From Commission takes such action, the
Implementation Date
Members, Participants or Others Commission shall institute proceedings
The proposed rule change will be to determine whether the proposed rule
effective on April 4, 2016. No written comments were solicited change should be approved or
or received with respect to the proposed disapproved.
2. Statutory Basis rule change.
The Exchange believes that its IV. Solicitation of Comments
III. Date of Effectiveness of the
proposal is consistent with Section 6(b) Interested persons are invited to
Proposed Rule Change and Timing for
of the Act 35 in general, and furthers the submit written data, views, and
Commission Action
objectives of Section 6(b)(5) of the Act 36 arguments concerning the foregoing,
in particular, in that it is designed to Because the proposed rule change including whether the proposed rule
promote just and equitable principles of does not (i) significantly affect the change is consistent with the Act.
trade, to foster cooperation and protection of investors or the public Comments may be submitted by any of
coordination with persons engaged in interest; (ii) impose any significant the following methods:
facilitating transactions in securities, to burden on competition; and (iii) become
remove impediments to and perfect the operative for 30 days from the date on Electronic Comments
mechanism of a free and open market which it was filed, or such shorter time • Use the Commission’s Internet
and a national market system and, in as the Commission may designate, it has comment form (http://www.sec.gov/
general, to protect investors and the become effective pursuant to Section rules/sro.shtml); or
public interest. 19(b)(3)(A) of the Act 37 and Rule 19b– • Send an email to rule-comments@
The Exchange believes that this 4(f)(6) thereunder.38 sec.gov. Please include File Number SR–
proposal is consistent with the Act A proposed rule change filed NYSE–2016–27 on the subject line.
because it implements and clarifies the pursuant to Rule 19b–4(f)(6) under the
Act 39 normally does not become Paper Comments
provisions of the Plan, and is designed
to assist the Exchange in meeting its operative for 30 days after the date of its • Send paper comments in triplicate
regulatory obligations pursuant of the filing. However, Rule 19b–4(f)(6)(iii) 40 to Secretary, Securities and Exchange
Plan. In approving the Plan, the SEC permits the Commission to designate a Commission, 100 F Street NE.,
noted that the Pilot was an appropriate, shorter time if such action is consistent Washington, DC 20549–1090.
data-driven test that was designed to with the protection of investors and the All submissions should refer to File
evaluate the impact of a wider tick size public interest. The Exchange has asked Number SR–NYSE–2016–27. This file
on trading, liquidity, and the market the Commission to waive the 30-day number should be included on the
quality of securities of smaller operative delay. The Commission subject line if email is used. To help the
capitalization companies, and was believes that waiver of the operative Commission process and review your
therefore in furtherance of the purposes delay is consistent with the protection comments more efficiently, please use
of the Act. The Exchange believes that of investors and the public interest only one method. The Commission will
this proposal is in furtherance of the because it would allow the Exchange to post all comments on the Commission’s
objectives of the Plan, as identified by implement the proposed amendments Internet Web site (http://www.sec.gov/
the SEC, and is therefore consistent with on April 4, 2016, the date upon which rules/sro.shtml). Copies of the
the Act because the proposal the data collection requirements of the submission, all subsequent
implements and clarifies the Plan become effective.41 Therefore, the amendments, all written statements
requirements of the Plan and applies Commission hereby waives the with respect to the proposed rule
specific obligations to member operative delay and designates the change that are filed with the
organizations in furtherance of proposal operative on April 4, 2016.42 Commission, and all written
compliance with the Plan. communications relating to the
37 15 U.S.C. 78s(b)(3)(A). proposed rule change between the
B. Self-Regulatory Organization’s 38 17 CFR 240.19b–4(f)(6). As required under Rule Commission and any person, other than
Statement on Burden on Competition 19b–4(f)(6)(iii), the Exchange provided the
those that may be withheld from the
Commission with written notice of its intent to file
The Exchange does not believe that the proposed rule change, along with a brief public in accordance with the
the proposed rule change will result in description and the text of the proposed rule provisions of 5 U.S.C. 552, will be
any burden on competition that is not change, at least five business days prior to the date available for Web site viewing and
of filing of the proposed rule change, or such
necessary or appropriate in furtherance shorter time as designated by the Commission. printing in the Commission’s Public
of the purposes of the Act. The 39 17 CFR 240.19b–4(f)(6). Reference Room, 100 F Street NE.,
mstockstill on DSK4VPTVN1PROD with NOTICES

Exchange notes that the proposed rule 40 17 CFR 240.19b–4(f)(6)(iii). Washington, DC 20549, on official
change implements the provisions of the 41 See Securities Exchange Act Release No. 76382 business days between the hours of
Plan, and is designed to assist the (November 6, 2015), 80 FR 70284 (File No. 4–657) 10:00 a.m. and 3:00 p.m. Copies of the
Exchange in meeting its regulatory (Order Granting Exemption From Compliance With
the National Market System Plan To Implement a
filing also will be available for
obligations pursuant of the Plan. The Tick Size Pilot Program). inspection and copying at the principal
42 For purposes only of waiving the 30-day
35 15 U.S.C. 78f(b). operative delay, the Commission has also efficiency, competition, and capital formation. See
36 15 U.S.C. 78f(b)(5). considered the proposed rule’s impact on 15 U.S.C. 78c(f).

VerDate Sep<11>2014 19:03 Apr 01, 2016 Jkt 238001 PO 00000 Frm 00163 Fmt 4703 Sfmt 4703 E:\FR\FM\04APN1.SGM 04APN1
Document Created: 2016-04-02 03:53:10
Document Modified: 2016-04-02 03:53:10
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		81 FR 19269