
[Federal Register Volume 80, Number 156 (Thursday, August 13, 2015)]
[Notices]
[Pages 48583-48586]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-19876]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-75648; File No. SR-NYSE-2015-34]


Self-Regulatory Organizations; New York Stock Exchange, LLC; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change 
Modifying the Manner in Which It Calculates Certain Volume, Liquidity 
and Quoting Thresholds Applicable to Billing on the Exchange in 
Relation to a Suspension of Trading on the Exchange on July 8, 2015

August 7, 2015.
    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 July 30, 2015, New York Stock Exchange LLC (``NYSE'' or 
``Exchange'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I and 
II below, which Items have been prepared by the self-regulatory 
organization. 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 modify the manner in which it calculates 
certain volume, liquidity and quoting thresholds applicable to billing 
on the Exchange in relation to a suspension of trading on the Exchange 
on July 8, 2015. The text of 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 the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange is proposing to modify the manner in which it 
calculates certain volume, liquidity and quoting thresholds applicable 
to billing on the Exchange in relation to a suspension of trading on 
the Exchange on July 8, 2015 (``trading suspension'').\4\
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    \4\ See NYSE Informational Message, ``NYSE/NYSE MKT--Outage 
Description'' July 9, 2015, available at https://www.nyse.com/market-status/history. Trading at the Exchange's market affiliate, 
NYSE MKT LLC, was also suspended.
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    The trading suspension resulted in a more than 40% decrease in 
trading volume on the Exchange on July 8, 2015 for that day as compared 
to average daily volume (``ADV'') on the Exchange for the prior trading 
days in July 2015. The Exchange believes that the trading suspension 
prevented member organizations on the Exchange, including Designated 
Market Makers (``DMMs''), Supplemental Liquidity Providers (``SLPs'') 
and Retail Liquidity Providers (``RLPs''), from engaging in normal 
trading, quoting and liquidity in their assigned securities, leading to 
decreased quoting and trading volume compared to ADV.
    As provided in the Exchange's Price List, many of the Exchange's 
transaction fees and credits are based on trading, quoting and 
liquidity thresholds that member organizations must satisfy in order to 
qualify for the particular rates. The Exchange believes that the 
trading suspension may affect the ability of member organizations to 
meet certain of these thresholds during July 2015.\5\ Accordingly, the 
Exchange proposes to exclude July 8, 2015 from such calculations, in 
order to reasonably ensure that a member organization that would 
otherwise qualify for a particular threshold during July 2015, and the 
corresponding transaction rate, would not be negatively impacted by the 
trading suspension.
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    \5\ The Exchange notes that it does not perform the calculations 
necessary to determine whether these thresholds have been met until 
after the particular billing month has ended.
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    First, the Exchange proposes to exclude July 8, 2015 for purposes 
of determining transaction fees and credits that are based on ADV 
executed by the member organization during the billing month, either 
directly or as a percentage of consolidated average daily volume in 
NYSE-listed securities (``NYSE CADV''). If the Exchange did not exclude 
July 8, 2015 when calculating ADV for July, the numerator for the 
calculation (e.g.,

[[Page 48584]]

trading volume) would be lower as a result of the decreased trading 
volume on July 8, 2015, but the denominator for the threshold 
calculations (e.g., the number of trading days) would not be smaller. 
Excluding July 8, 2015 from the calculation of ADV for the month of 
July would reasonably ensure that a member organization that would 
otherwise qualify for a particular threshold during July 2015, and the 
corresponding transaction rate, would not be negatively impacted by the 
trading suspension on July 8, 2015.
    Second, the Exchange proposes to exclude July 8, 2015 for purposes 
of determining transaction fees and credits that are based on quoting 
and/or liquidity levels of DMMs, SLPs and RLPs. The calculations of 
such quoting and liquidity levels include the amount of time that the 
relevant DMM, SLP or RLP quoted at the National Best Bid or Offer 
(``NBBO'').\6\ This proposed change would exclude July 8, 2015 for 
purposes of the DMM thresholds in the Price List that are based on NYSE 
Quoted Size or the DMM Quoted Size.\7\ The Exchange also proposes to 
adjust the calculation of the NYSE total intraday adding liquidity to 
exclude July 8, 2015. NYSE total intraday adding liquidity includes all 
NYSE adding liquidity, excluding NYSE open and NYSE Close volume, by 
all NYSE participants, including SLPs, customers, Floor brokers and 
DMMs. If the Exchange did not exclude July 8, 2015 when calculating 
these quoting and liquidity levels for July, the numerator for the 
calculation (e.g., time during which the DMM, SLP or RLP quoted at the 
NBBO) would be lower as a result of the decreased trading volume on 
July 8, 2015, but the denominator (e.g., total time that the U.S. 
equity markets quote during regular trading hours) would not be 
decreased. Excluding July 8, 2015 from the calculation of these quoting 
and liquidity levels for the month of July would reasonably ensure that 
a member organization that would otherwise qualify for a particular 
threshold during July 2015, and the corresponding transaction rate, 
would not be negatively impacted by the trading suspension on July 8, 
2015.
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    \6\ See Rules 107B(g) and 107C(f).
    \7\ The NYSE Quoted Size is calculated by multiplying the 
average number of shares quoted on the NYSE at the NBBO by the 
percentage of time the NYSE had a quote posted at the NBBO. The DMM 
Quoted Size is calculated by multiplying the average number of 
shares of the applicable security quoted at the NBBO by the DMM by 
the percentage of time during which the DMM quoted at the NBBO.
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    The Exchange notes that the proposed exclusions would be similar to 
the current provision in the Price List whereby, for purposes of 
transaction fees and SLP credits, ADV calculations exclude early 
closing days.\8\ Generally, this applies to certain days before or 
after a holiday observed by the Exchange.\9\
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    \8\ See footnote 4 in the Price List.
    \9\ For example, the Exchange is closed on Thanksgiving Day and 
closes early on the Friday immediately following Thanksgiving Day 
(e.g., Friday, November 28, 2014).
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    Finally, the Exchange does not propose to exclude July 8, 2015 for 
purposes of the DMM thresholds in the Price List that are based solely 
on U.S. consolidated average daily volume (``CADV''),\10\ including 
CADV as used in the definition of More Active Securities and Less 
Active Securities. The thresholds that are based solely on CADV 
consider volume across all markets, not only the Exchange's, and, 
unlike the transaction fees and credits discussed above that are based 
on ADV during the billing month as a percentage of NYSE CADV, the DMM 
thresholds based solely on CADV and do not take CADV as a percentage of 
another metric. Therefore the trading suspension would not be expected 
to significantly impact CADV.
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    \10\ CADV includes all volume reported to the Consolidated Tape 
Association Plan for Tapes A, B and C securities.
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    The Exchange notes that the proposed change is not otherwise 
intended to address any other issues surrounding billing for activity 
on the Exchange and the Exchange is not aware of any negative impact on 
member organizations that would result from the proposed change.
2. Statutory Basis
    The Exchange believes that the proposed change is consistent with 
Section 6(b) of the Securities Exchange Act of 1934 (the ``Act''),\11\ 
in general, and furthers the objectives of Section 6(b)(4) of the 
Act,\12\ in particular, because it provides for the equitable 
allocation of reasonable dues, fees, and other charges among its 
members, issuers and other persons using its facilities and does not 
unfairly discriminate between customers, issuers, brokers or dealers.
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    \11\ 15 U.S.C. 78f(b).
    \12\ 15 U.S.C. 78f(b)(4).
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    Specifically, the Exchange believes that excluding July 8, 2015 for 
purposes of determining transaction fees and credits that are based on 
ADV during the billing month, either directly or as a percentage of 
NYSE CADV, is reasonable because trading suspension resulted in a 
significant decrease in trading volume on the Exchange. This proposed 
change is reasonable because, without this exclusion, the numerator for 
the calculations of ADV (e.g., trading volume) would be lower as a 
result of the decreased trading volume on July 8, 2015, but the 
denominator for the calculations (e.g., the number of trading days) 
would not be smaller. The Exchange believes that excluding activity on 
July 8, 2015 for purposes of determining transaction fees and credits 
that are based on ADV during the billing month is equitable and not 
unfairly discriminatory because it would apply equally to all market 
participants on the Exchange. In this regard, excluding July 8, 2015 
from such ADV calculations is equitable and not unfairly discriminatory 
because the exclusion would reasonably ensure that a member 
organization that would otherwise qualify for a particular threshold 
for July 2015, and the corresponding transaction rate, would not be 
negatively impacted by the trading suspension.
    The Exchange also believes that excluding July 8, 2015 for purposes 
of determining transaction fees and credits that are based on quoting 
and/or liquidity levels of DMMs, SLPs and RLPs is reasonable because 
the calculations of such quoting and liquidity levels include the 
amount of time that the relevant DMM, SLP or RLP quoted at the NBBO. In 
this regard, excluding July 8, 2015 from these quoting and liquidity 
calculations is reasonable because, without this exclusion, the 
numerator for the calculations (e.g., time during which the DMM, SLP or 
RLP quoted at the NBBO) would be lower as a result of the decreased 
trading volume on July 8, 2015, but the denominator for the threshold 
calculations (e.g., total time that the U.S. equity markets quote 
during regular trading hours) would not be decreased. As a result, 
without this exclusion, a member organization that would otherwise 
qualify for a particular threshold for July 2015, and the corresponding 
transaction rate may be negatively impacted by the trading suspension. 
This is equitable and not unfairly discriminatory because DMMs, SLPs 
and RLPs have specific performance metrics that must be satisfied for 
assigned securities in order to qualify for the particular rates in the 
Price List.
    Finally, the Exchange believes that not excluding activity on July 
8, 2015 for purposes of determining transaction fees and credits 
related to the DMM thresholds in the Price List that are based solely 
on CADV is reasonable. This is because the thresholds that are based 
solely on CADV consider volume across all markets, not only the

[[Page 48585]]

Exchange's, and, unlike the transaction fees and credits discussed 
above that are based on ADV during the billing month as a percentage of 
NYSE CADV, the DMM thresholds based solely on CADV do not take CADV as 
a percentage of another metric. Therefore the trading suspension would 
not be expected to significantly impact CADV. This is equitable and not 
unfairly discriminatory because, in addition to applying to all DMMs on 
the Exchange, the Exchange believes that the trading suspension did not 
have a significant impact on these thresholds and, therefore, including 
activity on July 8, 2015 will have an equal impact for all DMMs.
    The Exchange also believes that the proposed rule change furthers 
the objectives of Section 6(b)(5) of the Act,\13\ in particular, 
because it is designed to prevent fraudulent and manipulative acts and 
practices, to promote just and equitable principles of trade, to foster 
cooperation and coordination with persons engaged in regulating, 
clearing, settling, processing information with respect to, and 
facilitating transactions in securities, to remove impediments to, and 
perfect the mechanisms of, a free and open market and a national market 
system and, in general, to protect investors and the public interest 
and because it is not designed to permit unfair discrimination between 
customers, issuers, brokers, or dealers.
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    \13\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes that the proposed exclusions would remove 
impediments to and perfect the mechanism of a free and open market and 
a national market system because they would reasonably ensure that a 
member organization that would otherwise qualify for a particular 
threshold during the month, and the corresponding transaction rate, 
would not be negatively impacted by the trading suspension. In 
particular, the Exchange believes that the proposed exclusions promote 
just and equitable principles of trade because they account for the 
impact on trading volume, liquidity and quoting that resulted from the 
trading suspension for all securities traded on the Exchange. The 
Exchange further believes that the proposed exclusions remove 
impediments to and perfect the mechanism of a free and open market and 
a national market system because they provide transparency for member 
organizations and the public regarding the manner in which the Exchange 
will calculate certain volume, liquidity and quoting thresholds related 
to billing for activity on the Exchange on July 8, 2015 and for the 
month of July 2015. In this regard, the Exchange believes that the 
proposed exclusions are consistent with the Act because they address 
inquiries from member organizations regarding how the Exchange will 
treat July 8, 2015 for purposes of billing. Also, the proposed 
exclusions are not designed to permit unfair discrimination between 
customers, issuers, brokers, or dealers, but are instead designed to 
provide transparency for all member organizations and the public 
regarding the manner in which the Exchange will calculate certain 
volume, liquidity and quoting thresholds in relation to the trading 
suspension. The Exchange is not aware of any negative impact on member 
organizations that would result from the proposed change.

B. Self-Regulatory Organization's Statement on Burden on Competition

    In accordance with Section 6(b)(8) of the Act,\14\ the Exchange 
believes that the proposed rule change will not impose any burden on 
competition that is not necessary or appropriate in furtherance of the 
purposes of the Act. The proposed rule change would treat all market 
participants on the Exchange equally by excluding July 8, 2015 from 
NYSE CADV, ADV, quoting level and liquidity level calculations 
described in the Price List. Moreover, the Exchange believes that the 
proposed change would enhance competition between competing 
marketplaces by enabling the Exchange to exclude July 8, 2015 for the 
purposes of determining transaction fees and credits based on volume, 
quoting and/or liquidity levels as set forth in the Price List.
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    \14\ 15 U.S.C. 78f(b)(8).
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C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

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

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

    The foregoing rule change has become effective pursuant to Section 
19(b)(3)(A) of the Act \15\ and Rule 19b-4(f)(6) \16\ thereunder 
because the proposal does not: (i) Significantly affect the protection 
of investors or the public interest; (ii) impose any significant burden 
on competition; and (iii) by its terms, become operative for 30 days 
from the date on which it was filed, or such shorter time as the 
Commission may designate if consistent with the protection of investors 
and the public interest.\17\
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    \15\ 15 U.S.C. 78s(b)(3)(A).
    \16\ 17 CFR 240.19b-4(f)(6).
    \17\ In addition, Rule 19b-4(f)(6)(iii) requires the Exchange to 
give the Commission written notice of the Exchange's intent to file 
the proposed rule change, along with a brief description and text of 
the proposed rule change, at least five business days prior to the 
date of filing of the proposed rule change, or such shorter time as 
designated by the Commission. The Exchange has satisfied this 
requirement.
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    A proposed rule change filed under Rule 19b-4(f)(6) normally may 
not become operative prior to 30 days after the date of filing. 
However, Rule 19b-4(f)(6)(iii) \18\ 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 requested that the 
Commission waive the 30-day operative delay period. The Commission 
believes that waiver of the 30-day operative delay period is consistent 
with the protection of investors and the public interest. Specifically, 
the Commission believes that the proposal would allow the Exchange to 
immediately implement the calculation related to the trading 
suspension, thereby reducing the potential for confusion among member 
organizations regarding the volume, liquidity, and quoting thresholds 
applicable to billing in July 2015. The Commission believes that the 
waiver would also assist the Exchange in determining transaction fees 
and credits for member organizations in a timely manner after the end 
of the billing month of July 2015. For these reasons, the Commission 
believes that waiving the 30-day operative delay is consistent with the 
protection of investors and the public interest, and designates the 
proposed rule change to be operative upon filing with the 
Commission.\19\
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    \18\ 17 CFR 240.19b-4(f)(6)(iii).
    \19\ For purposes only of waiving the operative delay for this 
proposal, the Commission has considered the proposed rule's impact 
on efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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    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.\20\
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    \20\ 15 U.S.C. 78s(b)(3)(C).
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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.

[[Page 48586]]

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 rule-comments@sec.gov. Please include 
File Number SR-NYSE-2015-34 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-2015-34. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549, on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of such filing also will be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-NYSE-2015-34 and should be 
submitted on or before September 3, 2015.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\21\
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    \21\ 17 CFR 200.30-3(a)(12).
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Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2015-19876 Filed 8-12-15; 8:45 am]
BILLING CODE 8011-01-P


