
[Federal Register: March 24, 2009 (Volume 74, Number 55)]
[Notices]               
[Page 12426-12431]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr24mr09-141]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-59591; File No. SR-NSX-2009-01]

 
Self-Regulatory Organizations; National Stock Exchange, Inc.; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To 
Amend NSX Fee Schedule To Implement a Program To Award Rebates for 
Liquidity Adding Zero Display Orders and Clarify the Definition of 
``Liquidity Adding Average Daily Volume''

March 17, 2009.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on February 27, 2009, National Stock Exchange, Inc. 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

    National Stock Exchange, Inc. (``NSX[supreg] '' or ``Exchange'') is 
proposing to amend the Fee and Rebate Schedule (the ``Fee Schedule'') 
issued pursuant to Exchange Rule 16.1(c) in order to (i) provide a 
rebate for adding liquidity in Zero Display Orders at one dollar or 
above in the Automatic Execution Mode of order interaction in the event 
that certain volume thresholds are achieved, (ii) provide a rebate for 
adding liquidity in Zero Display Orders at one dollar or above in the 
Order Delivery Mode of order interaction in the event that certain 
volume thresholds are achieved,\3\ and (iii) clarify the definition of 
``Liquidity Adding Average Daily Volume'' to account for partial 
calendar months.
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    \3\ The Exchange has represented that it will submit a similar 
proposed rule change to adopt a corresponding rebate for displayed 
orders in Order Delivery Mode. The rebate on displayed orders will 
be the same as the rebate contained in this proposed rule change. 
Telephone conversation on March 12, 2009 between Richard Holley III, 
Senior Special Counsel, Division of Trading and Markets 
(``Division''), Commission; David Michehl, Special Counsel, 
Division, Commission; Sara Hawkins, Special Counsel, Division, 
Commission; James Yong, Chief Regulatory Officer, NSX; and Phil 
Pinc, Vice President and Counsel, NSX.
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    The text of the proposed rule change is available on the Exchange's 
Web site at http://www.nsx.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 aspects of such 
statements.

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

1. Purpose
    With this rule change, the Exchange is proposing to provide a 
liquidity provider rebate for Zero Display (or ``Dark'') Orders \4\ 
entered in each of the Automatic Execution Mode of order interaction 
(``AutoEx'') and the Order Delivery Mode of order interaction (``Order 
Delivery'' or ``O/D'').\5\ In each case, the rebates apply only to 
securities priced one dollar and higher, and only after certain volume 
thresholds are achieved.
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    \4\ As specified in Rule 11.11(c)(2)(A).
    \5\ The Exchange's two modes of order interaction are described 
in NSX Rule 11.13(b).
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AutoEx Liquidity Adding Zero Display Order Rebate
    For securities trading at one dollar or higher in AutoEx, this rule 
change proposes to provide a progressively higher rebate applicable to 
shares executed as liquidity providing Zero Display Orders of ETP 
Holders who achieve both a ``Liquidity Adding Average Daily Volume'' 
(``Liquidity Adding ADV'') of at least 50,000 and, in the same period, 
achieve ``Total Average Daily Trading Volumes'' (``Total ADV'') of 1 
million,\6\ 15 million \7\ and 30 million \8\ shares (any such rebate 
hereinafter referred to as an ``AutoEx Liquidity Adding Zero Display 
Order Rebate'').
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    \6\ The first tier is $0.0022 per share (applicable to shares 
executed in AutoEx which added liquidity as Zero Display Orders), 
where Total ADV is greater than or equal to 1 million and less than 
15 million.
    \7\ The second tier is $0.0023 per share (applicable to shares 
executed in AutoEx which added liquidity as Zero Display Orders), 
where Total ADV is greater than or equal to 15 million and less than 
30 million.
    \8\ The third tier is $0.0025 per share (applicable to shares 
executed in AutoEx which added liquidity as Zero Display Orders), 
where Total ADV is greater than or equal to 30 million.
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    An ETP Holder needs to achieve two volume eligibility thresholds 
before receiving the proposed AutoEx Liquidity Adding Zero Display 
Order Rebate. First, an ETP Holder must achieve at least 50,000 shares 
of Liquidity Adding ADV in the applicable time period. Liquidity Adding 
ADV means, with respect to an ETP Holder, ``the number of shares such 
ETP Holder has executed as a liquidity provider on average per trading 
day (excluding partial trading days and securities under one dollar) 
across all tapes on NSX for the calendar month (or partial month, as 
applicable) in which the executions occurred'' (see the Explanatory 
Endnotes to the Fee Schedule). Second, and only after the first 
threshold is met, an ETP Holder must achieve a Total ADV of at least 1 
million shares. Total ADV means, with respect to an ETP Holder, ``the 
number of shares such ETP Holder has executed as a liquidity provider, 
liquidity taker and router of executed trades on average per trading 
day (excluding partial trading days and securities under one dollar) 
across all tapes on NSX for the calendar month (or partial month, as 
applicable) in which the executions occurred'' (see the Explanatory 
Endnotes to the Fee Schedule). If both the foregoing eligibility 
thresholds are achieved, an ETP Holder will be entitled to 
progressively higher rebates ($0.0022, $0.0023 and $0.0025) on its 
shares executed in AutoEx as liquidity adding Zero Display Orders 
depending on the Total ADV volumes achieved (at least 1 million but 
less than 15 million, at least 15 million but less than 30 million, and 
at least 30 million, respectively).
    For purposes of clarity, if an ETP Holder fails to achieve 
Liquidity Adding ADV of at least 50,000 shares, or fails to achieve 
Total ADV of at least 1 million shares, in the same month (or partial 
month, as applicable), then no AutoEx Liquidity Adding Zero Display 
Order Rebate applies. In addition, for purposes of calculating an ETP 
Holder's Total ADV, all such ETP Holder's orders

[[Page 12427]]

executed at NSX or executed after routing through NSX in the given time 
frame are counted, regardless of whether such orders are displayed or 
undisplayed, executed in AutoEx or O/D, or are liquidity providing or 
taking. Finally, the AutoEx Liquidity Adding Zero Display Order Rebate 
applies only to those shares that are the subject of the ETP Holder's 
liquidity adding Zero Display Orders executed in AutoEx (i.e., the 
rebate does not apply to all shares which constitute Total ADV, nor to 
non-Zero Display Order shares that add liquidity, nor to liquidity 
providing Zero Display Order shares in O/D). These details are set 
forth in an explanatory endnote to the Fee Schedule.
    The measurement period for calculating the AutoEx Liquidity Adding 
Zero Display Order Rebate is generally the calendar month. However, and 
as further discussed below, in the event a pricing or rebate program 
utilizing this definition is implemented, modified or discontinued on 
other than month's end, the period of measurement used to determine 
``average daily volume'' with respect to the rebate (as in the 
definition of Liquidity Adding ADV, Total ADV and elsewhere on the Fee 
Schedule) shall be that partial month during which the program's terms 
are in effect.
Examples of AutoEx Liquidity Adding Zero Display Order Rebate \9\
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    \9\ These examples are for illustrative purposes in respect of 
the calculation of the AutoEx Liquidity Adding Zero Display Order 
Rebate only, and do not take into account, nor illustrate, the 
rebates and/or fees applicable to displayed orders that add 
liquidity, orders that take liquidity, Zero Display Orders that add 
liquidity in O/D and orders routed away.
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    The following illustrates application of the AutoEx Liquidity 
Adding Zero Display Order Rebate. In a given calendar month (or other 
applicable period), the following ETP Holders achieve the following 
average daily volumes of executed shares (in each case, counting only 
securities priced at one dollar or higher and excluding partial trading 
days):

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                                                 1           2           3           4           5           6           7       8  (First    9  (Second
                                           ------------------------------------------------------------------------------------  Threshold    Threshold
                                                                                                                                 in AutoEx)   in AutoEx)
                                                          AutoEx                  AutoEx                                       -------------------------
                ETP Holder                    AutoEx       Zero       AutoEx       Zero         O/D      O/D Zero                Liquidity    Total ADV
                                             Displayed    Display    Displayed    Display    Displayed    Display     Routed     Adding ADV    (sum of
                                             Liquidity   Liquidity   Liquidity   Liquidity   Liquidity   Liquidity     Away       (sum of     columns 1,
                                              Adding      Adding      Taking      Taking      Adding      Adding                 columns 1,  2, 3, 4, 5,
                                                                                                                                2, 5 and 6)    6 and 7)
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A.........................................     30,000      30,000      30,000      30,000      30,000      30,000      30,000      120,000      210,000
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    ETP Holder A will not receive an AutoEx Liquidity Adding Zero 
Display Order Rebate. Although ETP Holder A has a Liquidity Adding ADV 
of 120,000 (column 8, which surpasses the Liquidity Adding ADV 
eligibility threshold of 50,000), ETP Holder A fails to satisfy the 
second eligibility requirement (ETP Holder A's Total ADV of 210,000 
(column 9) falls short of the minimum Total ADV of at least 1 million 
necessary to obtain the first tier of the rebate).

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                                                 1           2           3           4           5           6           7        8 (First    9 (Second
                                           ------------------------------------------------------------------------------------  Threshold    Threshold
                                                                                                                                 in AutoEx)   in AutoEx)
                                                          AutoEx                  AutoEx                                       -------------------------
                ETP Holder                    AutoEx       Zero       AutoEx       Zero         O/D      O/D Zero                Liquidity    Total ADV
                                             Displayed    Display    Displayed    Display    Displayed    Display     Routed     Adding ADV    (sum of
                                             Liquidity   Liquidity   Liquidity   Liquidity   Liquidity   Liquidity     Away       (sum of     columns 1,
                                              Adding      Adding      Taking      Taking      Adding      Adding                 columns 1,  2, 3, 4, 5,
                                                                                                                                2, 5 and 6)    6 and 7)
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B.........................................    920,000      30,000      30,000      30,000      30,000      30,000      30,000    1,010,000    1,100,000
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    ETP Holder B will receive an AutoEx Liquidity Adding Zero Display 
Order Rebate. ETP Holder B has surpassed both the Liquidity Adding ADV 
eligibility threshold (with 1,010,000 shares) and the Total ADV 
eligibility threshold (with 1,100,000 shares). ETP Holder B's AutoEx 
Liquidity Adding Zero Display Order Rebate for the given period will 
equal the number of full trading days in the measurement period 
multiplied by 30,000 (column 2, the daily average number of shares 
which were executed in AutoEx as liquidity providing Zero Display 
Orders) multiplied by $0.0022 (the first rebate tier for which ETP 
Holder B is eligible based on Total ADV of at least 1 million and less 
than 15 million).

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                                                 1           2           3           4           5           6           7        8 (First    9 (Second
                                           ------------------------------------------------------------------------------------  Threshold    Threshold
                                                                                                                                 in AutoEx)   in AutoEx)
                                                          AutoEx                  AutoEx                                       -------------------------
                ETP Holder                    AutoEx       Zero       AutoEx       Zero         O/D      O/D Zero                Liquidity    Total ADV
                                             Displayed    Display    Displayed    Display    Displayed    Display     Routed     Adding ADV    (sum of
                                             Liquidity   Liquidity   Liquidity   Liquidity   Liquidity   Liquidity     Away       (sum of     columns 1,
                                              Adding      Adding      Taking      Taking      Adding      Adding                 columns 1,  2, 3, 4, 5,
                                                                                                                                2, 5 and 6)    6 and 7)
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C.........................................     30,000     920,000      30,000      30,000      30,000      30,000      30,000    1,010,000    1,100,000
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[[Page 12428]]

    ETP Holder C will receive an AutoEx Liquidity Adding Zero Display 
Order Rebate. ETP Holder C has surpassed both the Liquidity Adding ADV 
eligibility threshold (with 1,010,000 shares) and the Total ADV 
eligibility threshold (with 1,100,000 shares). ETP Holder C's AutoEx 
Liquidity Adding Zero Display Order Rebate for the given period will 
equal the number of full trading days in the measurement period 
multiplied by 920,000 (column 2, the daily average number of shares 
which were executed in AutoEx as liquidity providing Zero Display 
Orders) multiplied by $0.0022 (the first rebate tier for which ETP 
Holder C is eligible based on Total ADV of at least 1 million and less 
than 15 million).

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                                                 1           2           3           4           5           6           7        8 (First    9 (Second
                                           ------------------------------------------------------------------------------------  Threshold    Threshold
                                                                                                                                 in AutoEx)   in AutoEx)
                                                          AutoEx                                                               -------------------------
                                              AutoEx       Zero       AutoEx      AutoEx        O/D      O/D Zero                Liquidity
                ETP Holder                   Displayed    Display    Displayed     Zero      Displayed    Display     Routed     Adding ADV   Total ADV
                                             Liquidity   Liquidity   Liquidity    Display    Liquidity   Liquidity     Away       (sum of      (sum of
                                              Adding      Adding      Taking     Liquidity    Adding      Adding                 columns 1,   columns 1,
                                             (million)   (million)                Taking     (million)   (million)              2, 5 and 6)  2, 3, 4, 5,
                                                                                                                                 (million)     6 and 7)
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D.........................................          1           1      30,000      30,000          10          10      30,000           22   22,090,000
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    ETP Holder D will receive an AutoEx Liquidity Adding Zero Display 
Order Rebate. ETP Holder D has surpassed both the Liquidity Adding ADV 
eligibility threshold (with 22 million shares) and the Total ADV 
eligibility threshold (with 22,090,000 shares). ETP Holder D's AutoEx 
Liquidity Adding Zero Display Order Rebate for the given period will 
equal the number of full trading days in the measurement period 
multiplied by 1 million (column 2, the daily average number of shares 
which were executed in AutoEx as liquidity providing Zero Display 
Orders) multiplied by $0.0023 (the second rebate tier for which ETP 
Holder D is eligible based on Total ADV of at least 15 million and less 
than 30 million).

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                                               1           2           3           4           5           6           7        8 (First      9 (Second
                                         ------------------------------------------------------------------------------------ threshold in  threshold in
                                                                                                                                 AutoEx)       AutoEx)
                                                        AutoEx                                                               ---------------------------
                                            AutoEx       Zero       AutoEx      AutoEx        O/D      O/D Zero                 Liquidity
               ETP Holder                  Displayed    Display    Displayed     Zero      Displayed    Display     Routed     Adding ADV     Total ADV
                                           Liquidity   Liquidity   Liquidity    Display    Liquidity   Liquidity     Away        (sum of       (sum of
                                            Adding      Adding      Taking     Liquidity    Adding      Adding                 columns 1,    columns 1,
                                                       (million)                Taking                 (million)               2, 5 and 6)   2, 3, 4, 5,
                                                                                                                                (million)     6 and 7)
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E.......................................          0          10           0           0           0          20      30,000            30    30,030,000
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    ETP Holder E will receive an AutoEx Liquidity Adding Zero Display 
Order Rebate. ETP Holder E has surpassed both the Liquidity Adding ADV 
eligibility threshold (with 30 million shares) and the Total ADV 
eligibility threshold (with 30,030,000 shares). ETP Holder E's AutoEx 
Liquidity Adding Zero Display Order Rebate for the given period will 
equal the number of full trading days in the measurement period 
multiplied by 10 million (column 2, the daily average number of shares 
which were executed in AutoEx as liquidity providing Zero Display 
Orders) multiplied by $0.0025 (the third rebate tier for which ETP 
Holder E is eligible based on Total ADV of at least 30 million).
Order Delivery Liquidity Adding Zero Display Order Rebate
    For securities trading at one dollar or higher in O/D mode, this 
rule change also proposes to provide a progressively higher rebate 
applicable to shares executed as liquidity providing Zero Display 
Orders in O/D. ETP Holders who achieve an average daily volume of 
shares executed as Zero Display Orders in O/D (``Liquidity Adding ADV 
(O/D Dark)'') of 1 million,\10\ 10 million \11\ and 20 million \12\ 
shares will receive rebates of $0.0008, $0.0010 and $0.0012, 
respectively, with respect to such shares (any such rebate hereinafter 
referred to as an ``O/D Liquidity Adding Zero Display Order Rebate''). 
Liquidity Adding ADV (O/D Dark) means, with respect to an ETP Holder, 
``the number of Zero Display Order shares such ETP Holder has executed 
as a liquidity provider on average per trading day (excluding partial 
trading days and securities under one dollar) across all tapes in O/D 
mode for the calendar month (or partial month, as applicable) in which 
the executions occurred'' (see the Explanatory Endnotes to the Fee 
Schedule).
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    \10\ The first tier is $0.0008 per share, applicable to shares 
executed in O/D which added liquidity as Zero Display Orders, where 
the number of such shares is greater than or equal to 1 million and 
less than 10 million.
    \11\ The second tier is $0.0010 per share, applicable to shares 
executed in O/D which added liquidity as Zero Display Orders, where 
the number of such shares is greater than or equal to 10 million and 
less than 20 million.
    \12\ The third tier is $0.0012 per share, applicable to shares 
executed in O/D which added liquidity as Zero Display Orders, where 
the number of such shares is greater than or equal to 20 million.
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    For purposes of clarity, if an ETP Holder fails to achieve 
Liquidity Adding ADV (O/D Dark) of at least 1 million shares in a given 
month (or partial month, as applicable), then no O/D Liquidity Adding 
Zero Display Order Rebate applies. In addition, for purposes of 
calculating an ETP Holder's Liquidity Adding ADV (O/D Dark), only such 
ETP Holder's liquidity adding Zero Display Orders executed in O/D in 
the given time frame are counted. Finally, the O/D Liquidity Adding 
Zero Display Order Rebate applies only to those shares of an ETP Holder 
executed in O/D as liquidity adding Zero Display Orders (i.e., the 
rebate does not apply to shares of non-Zero Display (i.e., displayed) 
Orders that add liquidity in O/D, nor to shares of liquidity providing 
Zero Display Orders in AutoEx). These

[[Page 12429]]

details are set forth in an explanatory endnote to the Fee Schedule.
    Like other calculations of ``average daily volume'' in the Fee 
Schedule, the measurement period for calculating the O/D Liquidity 
Adding Zero Display Order Rebate is generally the calendar month. 
However, and as further discussed below, in the event a pricing or 
rebate program utilizing this definition is implemented, modified or 
discontinued on other than month's end, the period of measurement used 
to determine ``average daily volume'' with respect to the rebate (as 
used in the definition of Liquidity Adding ADV (O/D Dark) and elsewhere 
on the Fee Schedule) shall be that partial month during which the 
program's terms are in effect.
Examples of Order Delivery Liquidity Adding Zero Display Order Rebate 
\13\
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    \13\ As in the examples of the AutoEx Liquidity Adding Zero 
Display Order Rebate, these examples merely illustrate the 
calculation of the rebates for Zero Display Orders that Add 
Liquidity in Order Delivery. They do not calculate, nor show, the 
rebates and fees applicable to displayed orders that add liquidity, 
Zero Display Orders that add liquidity in AutoEx, orders that take 
liquidity, or fees for routing.
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    The \14\ following charts (which are the same charts as set forth 
above with respect to illustrations of the AutoEx Liquidity Adding Zero 
Display Order Rebate) may be used to illustrate application of the O/D 
Liquidity Adding Zero Display Order Rebate. In a given calendar month 
(or other applicable period), the following ETP Holders achieve the 
following average daily volumes of executed shares (in each case, 
counting only securities priced at one dollar or higher and excluding 
partial trading days):
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    \14\ This column is the same as column 6 in the previous chart 
of examples of the AutoEx Liquidity Adding Zero Display Order Rebate 
which bore the header ``O/D Zero Display Liquidity Adding''.

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                                                      1          2          3          4          5           6          7           8            9
                                                 ------------------------------------------------------- (Threshold ------------------------------------
                                                                                                           in O/D)
                                                    AutoEx     AutoEx     AutoEx     AutoEx      O/D    ------------             Liquidity    Total ADV
                   ETP Holder                     Displayed     Zero    Displayed     Zero    Displayed   Liquidity    Routed    Adding ADV    (sum of
                                                  Liquidity   Display   Liquidity   Display   Liquidity  Adding ADV     Away      (sum of     columns 1,
                                                    Adding   Liquidity    Taking   Liquidity    Adding   (O/D Dark)              columns 1,  2, 3, 4, 5,
                                                               Adding                Taking                 \14\                2, 5 and 6)    6 and 7)
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A...............................................     30,000     30,000     30,000     30,000     30,000      30,000     30,000      120,000      210,000
B...............................................    920,000     30,000     30,000     30,000     30,000      30,000     30,000    1,010,000    1,100,000
C...............................................     30,000    920,000     30,000     30,000     30,000      30,000     30,000    1,010,000    1,100,000
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    ETP Holder A will not receive an O/D Liquidity Adding Zero Display 
Order Rebate. ETP Holder A fails to satisfy the eligibility requirement 
(ETP Holder A's Liquidity Adding ADV (O/D Dark) of 30,000 (column 6) 
falls short of the first rebate tier of at least 1 million). ETP Holder 
B and ETP Holder C similarly fail to achieve the first tier of the O/D 
Liquidity Adding Zero Display Order Rebate.

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                                             1           2           3           4           5      6 (Threshold       7            8             9
                                       ------------------------------------------------------------    in O/D)   ---------------------------------------
                                                      AutoEx                                                                    Liquidity
                                          AutoEx       Zero       AutoEx      AutoEx        O/D    --------------              Adding ADV     Total ADV
              ETP Holder                 Displayed    Display    Displayed     Zero      Displayed    Liquidity     Routed       (sum of       (sum of
                                         Liquidity   Liquidity   Liquidity    Display    Liquidity   Adding ADV      Away      columns 1,    columns 1,
                                          Adding      Adding      Taking     Liquidity    Adding     (O/D Dark)                2, 5 and 6)   2, 3, 4, 5,
                                         (million)   (million)                Taking     (million)    (million)                 (million)     6 and 7)
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D.....................................          1           1      30,000      30,000          10            10      30,000            22    22,090,000
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    ETP Holder D will receive an O/D Liquidity Adding Zero Display 
Order Rebate. ETP Holder D's Liquidity Adding ADV (O/D Dark) of 10 
million meets the second tier of the rebate. Accordingly, ETP Holder 
D's O/D Liquidity Adding Zero Display Order Rebate for the given period 
will equal the number of full trading days in the measurement period 
multiplied by 10 million multiplied by $0.0010 (the second rebate tier 
for which ETP Holder D is eligible based on Liquidity Adding ADV (O/D 
Dark) of at least 10 million and less than 20 million).

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                                             1           2           3           4           5      6 (Threshold       7            8             9
                                       ------------------------------------------------------------    in O/D)   ---------------------------------------
                                                      AutoEx                                                                    Liquidity
                                          AutoEx       Zero       AutoEx      AutoEx        O/D    --------------              Adding ADV     Total ADV
              ETP Holder                 Displayed    Display    Displayed     Zero      Displayed    Liquidity     Routed       (sum of       (sum of
                                         Liquidity   Liquidity   Liquidity    Display    Liquidity   Adding ADV      Away      columns 1,    columns 1,
                                          Adding      Adding      Taking     Liquidity    Adding     (O/D Dark)                2, 5 and 6)   2, 3, 4, 5,
                                                     (million)                Taking                  (million)                 (million)     6 and 7)
--------------------------------------------------------------------------------------------------------------------------------------------------------
E.....................................          0          10           0           0           0            20      30,000            30    30,030,000
--------------------------------------------------------------------------------------------------------------------------------------------------------

    ETP Holder E will receive an O/D Liquidity Adding Zero Display 
Order Rebate. ETP Holder E has achieved the third tier of the Liquidity 
Adding ADV (O/D Dark) eligibility threshold (with 20 million shares). 
Accordingly, ETP Holder E's O/D Liquidity Adding Zero Display Order 
Rebate for the given period will equal the number of full

[[Page 12430]]

trading days in the measurement period multiplied by 20 million 
multiplied by $0.0012.
Definition of ``Liquidity Adding ADV'' Modified To Allow for Partial 
Calendar Months
    The current rule filing also proposes to modify the definition of 
``Liquidity Adding ADV'' to provide additional clarity if the Exchange 
makes modifications to its fee and rebate program effective on other 
than month end. Prior to the proposed rule change, ``Liquidity Adding 
ADV'' is defined as, with respect to an ETP Holder, ``the number of 
shares such ETP Holder has executed as a liquidity provider on average 
per trading day (excluding partial trading days and securities under 
one dollar) across all tapes on NSX for the calendar month in which the 
executions occurred'' (see Explanatory Endnotes to the Fee Schedule). 
For business reasons from time to time the Exchange may determine to 
modify or discontinue its Fee Schedule on other than month end. The 
proposed rule change is intended to clarify the Exchange's ability to 
respond to changing business necessities through modification of its 
pricing model without implementing changes to the Fee Schedule that 
relate to Liquidity Adding ADV only on month's end.\15\ Accordingly, in 
order to clarify how ``Liquidity Adding ADV'' is determined for any 
period, the proposed rule change adds the parenthetical clause ``(or 
partial month, as applicable)'' after the words ``for the calendar 
month'' in the definition of Liquidity Adding ADV, and also adds an 
additional explanatory endnote to the Fee Schedule which addresses 
partial month calculations (see Explanatory Endnotes to the Fee 
Schedule). These changes clarify that the Exchange will calculate 
Liquidity Adding ADV on less than a calendar month basis if necessary 
due to modification or discontinuation of one or more features 
utilizing that definition in the Fee Schedule. This exception is 
likewise included in the proposed definition of other ``average daily 
volume'' calculations in the proposed Fee Schedule, namely in the 
definitions of ``Total ADV'' and Liquidity Adding ADV (O/D Dark)''.
---------------------------------------------------------------------------

    \15\ A mid-month modification to the Fee Schedule could have 
either a negative or a positive impact on an ETP Holder based on 
fluctuations in the volume of its order flow to the Exchange over 
the course of a calendar month. A mid-month modification or 
discontinuation may potentially negatively impact an ETP Holder, if 
any, whose volume tends to increase during the course of the 
calendar month such that, but for the discontinuation or 
modification of the Fee Schedule mid-month, the ETP Holder would 
have achieved cheaper liquidity taking fees based on achievement of 
the Liquidity Adding ADV threshold of 50,000 shares. Conversely, a 
mid-month modification or discontinuation may potentially positively 
impact an ETP Holder, if any, whose volume tends to decrease during 
the course of the calendar month such that, but for the 
discontinuation or modification of the Fee Schedule mid-month, the 
ETP Holder would not have achieved cheaper liquidity taking fees 
based on achievement of the Liquidity Adding ADV threshold of 50,000 
shares.
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Rationale
    The Exchange has determined that these changes are necessary to 
increase the volume of Zero Display Order in order to increase the 
revenue of the Exchange and to adequately fund its regulatory and 
general business functions. In addition, the modification to the 
definition of Liquidity Adding ADV is necessary to enhance the 
Exchange's flexibility to commence, modify and discontinue fee pricing 
programs utilizing that definition on dates other than calendar month 
end. The proposed modifications are reasonable and equitably allocated 
to those ETP Holders that opt to provide and take liquidity in 
displayed orders and Zero Display Orders, and is not discriminatory 
because ETP Holders are free to elect whether or not to send displayed 
orders or Zero Display Orders via O/D Mode or AutoEx, and as a 
liquidity provider or liquidity taker. ETP Holders are further free to 
elect what volumes to send to the Exchange during the course of a 
calculation measurement period. Based upon the information above, the 
Exchange believes that the proposed rule change is consistent with the 
protection of investors and the public interest.
Operative Date and Notice
    The Exchange intends to make the proposed credit and rebate 
structure effective on filing of this proposed rule for trading on 
March 2, 2009. Pursuant to Exchange Rule 16.1(c), the Exchange will 
``provide ETP Holders with notice of all relevant dues, fees, 
assessments and charges of the Exchange'' through the issuance of a 
Regulatory Circular of the changes to the Fee Schedule and will post a 
copy of the rule filing on the Exchange's Web site (http://
www.nsx.com).
2. Statutory Basis
    The Exchange believes that the proposed rule change is consistent 
with the provisions of Section 6(b) of the Act,\16\ in general, and 
Section 6(b)(4) of the Act,\17\ in particular, in that it is designed 
to provide for the equitable allocation of reasonable dues, fees and 
other charges among its members and other persons using the facilities 
of the Exchange. Moreover, the proposed fee and rebate structure is not 
discriminatory in that all ETP Holders are eligible to submit (or not 
submit) liquidity adding trades and quotes in O/D Mode or AutoEx in all 
tapes and as either displayed or undisplayed, and may do so at their 
discretion in the daily volumes they choose during the course of the 
measurement period.
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    \16\ 15 U.S.C. 78f(b).
    \17\ 15 U.S.C. 78f(b)(4).
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B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any inappropriate burden on competition.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants or Others

    The Exchange has neither solicited nor received written comments on 
the proposed rule change.

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

    The foregoing rule change has taken effect upon filing pursuant to 
Section 19(b)(3)(A)(ii) of the Act \18\ and subparagraph (f)(2) of Rule 
19b-4 \19\ thereunder, because, as provided in (f)(2), it changes ``a 
due, fee or other charge applicable only to a member'' (known on the 
Exchange as an ETP Holder). At any time within sixty (60) days of the 
filing of such proposed rule change, the Commission may summarily 
abrogate such rule change if it appears to the Commission that such 
action is necessary or appropriate in the public interest, for the 
protection of investors, or otherwise in furtherance of the purposes of 
the Act.
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    \18\ 15 U.S.C. 78s(b)(3)(A)(ii).
    \19\ 17 C.F.R. 240.19b-4(f)(2).
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IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://
www.sec.gov/rules/sro.shtml); or
     Send an e-mail to rule-comments@sec.gov. Please include 
File Number SR-NSX-2009-01 on the subject line.

[[Page 12431]]

Paper Comments

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

All submissions should refer to File Number SR-NSX-2009-01. This file 
number should be included on the subject line if e-mail is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (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 inspection and 
copying in the Commission's Public Reference Room, 100 F Street, NE., 
Washington, DC 20549, on official business days between the hours of 10 
a.m. and 3 p.m. Copies of such filing also will be available for 
inspection and copying at the principal office of 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 publicly available. All 
submissions should refer to File Number SR-NSX-2009-01 and should be 
submitted on or before April 14, 2009.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\20\
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    \20\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-6352 Filed 3-23-09; 8:45 am]

BILLING CODE 8010-01-P
