[Federal Register Volume 76, Number 183 (Wednesday, September 21, 2011)]
[Notices]
[Pages 58555-58556]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-24173]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-65341; File No. SR-NYSEAmex-2011-68]
Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing of
Proposed Rule Change Relating to the Messages to Contracts Traded Ratio
Fee in the Options Fee Schedule
September 14, 2011.
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 September 1, 2011, NYSE Amex LLC (the ``Exchange'' or ``NYSE Amex'')
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 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\ 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 amend its Options Fee Schedule (the
``Schedule'') by adjusting the message ratio used to calculate the
Messages to Contracts Traded Ratio Fee (``Messages Fee''). Changes to
the Schedule are shown in Exhibit 5. The text of the proposed rule
change is available at the Exchange, the Commission's Public Reference
Room, and http://www.nyse.com.
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
The Exchange proposes to amend the Schedule by adjusting the
message ratio used to calculate the Messages Fee.
The Exchange recently adopted the Messages Fee to help encourage
efficient usage of systems capacity by all ATP firms.\3\ The Exchange
believes that it is in the best interests of all ATP firms and
investors who access our markets to encourage efficient usage of
capacity.
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\3\ See Securities Exchange Act Release No. 64655 (June 13,
2011), 76 FR 35495 (June 17, 2011) (SR-NYSEAmex-2011-37).
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The Messages Fee takes into consideration quotes as well as orders
entered and looks at the number of contracts traded as a result. ATP
firms that enter excessive amounts of orders and quotes that produce
little or no volume are assessed the Messages Fee based on the ratio of
quotes and orders to contracts traded. The Messages Fee is only
assessed against ATP firms who exceed one billion quotes and/or orders
(collectively, ``messages'') in a given month in determining whether
inefficient utilization of systems capacity has occurred. For those ATP
firms exceeding one billion messages in a month, the Exchange currently
assesses a fee for those ATP firms that do not execute at least one
contract for every 1,500 messages entered. An ATP firm failing to meet
that execution ratio is charged $.01 for every 1,000 messages in excess
of one billion messages.
The Exchange proposes to amend the message ratio in the Schedule to
reflect a range, namely one contract for every 1,500 to 3,000 messages
entered. Under the proposal, the Exchange would be permitted to select
the precise number of messages within that range that would be used to
calculate the Messages Fees. Any change to the number of messages to be
used in setting the Messages Fee would be announced in an Information
Memo at least one business day in advance of its implementation and
would be applicable in the next calendar month and thereafter until
changed. The fee would not be changed mid-month. Thus, for example, if
the Exchange determined to change the message ratio as of September 1,
2011, the Exchange would announce the newly selected ratio in an
Information Memo not later than August 31, 2011 and that ratio would
apply in September 2011 and each succeeding month until changed in
accordance with the notice described above. Under the proposed rule
change, the Exchange also would be authorized to exclude one or more
days of data for purposes of calculating the Messages Fee for an ATP
firm if the Exchange determined, in its sole discretion, that one or
more ATP Firms or the Exchange was experiencing a bona fide systems
problem.\4\ Any ATP Firm seeking relief as a result of a systems
problem will be required to notify the Exchange via e-mail with a
description of the systems problem. The Exchange shall keep a record of
all such requests and whether the request was deemed by the Exchange to
be a bona fide systems problem resulting in waiving that day's activity
from the calculation of the Messages Fee.
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\4\ Examples of bona fide systems problems include, but are not
limited to, an erroneous input (such as an error related to
volatility or underlying price) that cause the generation of quotes
that are substantially away from the quoted national best bid and
offer; or an Exchange systems problem that causes an ATP firm to
continually attempt to update or withdraw its quotes, generating a
large volume of message traffic. In those cases, where the bona fide
systems problem is at the Exchange, the Exchange will exclude that
day's activity from the calculation of the Messages Fee for all ATP
firms that were impacted by such bona fide systems problem.
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[[Page 58556]]
Since implementing the Messages Fee on June 1, 2011, the Exchange
has heard from several liquidity providers who raised concerns about
the potential for inadvertently incurring a large Messages Fee as a
result of a systems problem. Further, several liquidity providers
indicated that, as month end approached, they were providing less
aggressive liquidity to avoid any possibility of incurring the Messages
Fee, particularly when markets are volatile.
After considering recent market conditions, the Exchange believes
that the current ratio of 1,500 messages may not be sufficiently
flexible and could inadvertently result in higher than anticipated fees
being charged to ATP firms that are providing liquidity in volatile,
high volume markets. The Exchange does not want to discourage such
liquidity provision and believes that it should be able to adjust the
message ratio on a monthly basis within the proposed fixed range of
1,500 to 3,000 messages with the notice described above.
2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with the provisions of Section 6(b) \5\ of the Securities Exchange Act
of 1934 (the ``Act''), in general, and Section 6(b)(4) \6\ of the Act,
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 its facilities. The Exchange also
believes that the proposed rule change furthers the objectives of
Section 6(b)(5) \7\ of the Act in that it is designed to promote just
and equitable principles of trade, 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 by
ensuring that systems capacity is utilized efficiently while still
encouraging the provision of liquidity in volatile, high volume
markets.
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\5\ 15 U.S.C. 78f(b).
\6\ 15 U.S.C. 78f(b)(4).
\7\ 15 U.S.C. 78f(b)(5).
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The proposed Messages Fee is equitable and not unfairly
discriminatory because it will apply equally to all members who send
quotes and/or orders. Additionally, the proposed Messages Fee is
reasonable and justified because it will encourage efficient
utilization of system bandwidth; unfettered growth in bandwidth
consumption can have a detrimental effect on all participants who are
potentially compelled to upgrade capacity as a result of the bandwidth
usage of other participants.
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.
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 is effective upon filing pursuant to
Section 19(b)(3)(A) \8\ of the Act and subparagraph (f)(2) of Rule 19b-
4 \9\ thereunder, because it establishes a due, fee, or other charge
imposed by the NYSE Arca [sic].
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\8\ 15 U.S.C. 78s(b)(3)(A).
\9\ 17 CFR 240.19b-4(f)(2).
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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.
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 [email protected]. Please include
File Number SR-NYSEAmex-2011-68 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSEAmex-2011-68. 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 website
viewing and printing in the Commission's Public Reference Room, 100 F
Street, NW., Washington, D.C. 20549, on official business days between
the hours of 10 a.m. and 3 p.m. The text of the proposed rule change is
available on the Commission's Web site at http://www.sec.gov. 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-NYSEAmex-2011-68 and should be submitted on or before
October 12, 2011.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\10\
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\10\ 17 CFR 200.30-3(a)(12).
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Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011-24173 Filed 9-20-11; 8:45 am]
BILLING CODE 8011-01-P