[Federal Register Volume 77, Number 224 (Tuesday, November 20, 2012)]
[Notices]
[Pages 69673-69677]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-28135]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-68219; File No. SR-CHX-2012-15]
Self-Regulatory Organizations; Chicago Stock Exchange, Inc.;
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To
Amend Its Order Cancellation Fee
November 13, 2012.
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 November 2, 2012, the Chicago Stock Exchange, Inc. (``CHX'' or
``Exchange'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I, II
and III below, which Items have been prepared by the Exchange. CHX has
filed the proposal pursuant to Section 19(b)(3)(A) of the Act \3\ and
Rule 19b-4(f)(2) thereunder,\4\ which renders the proposal effective
upon filing with the Commission. 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.
\3\ 15 U.S.C. 78s(b)(3)(A).
\4\ 17 CFR 240.19b-4(f)(2).
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I. Self-Regulatory Organization's Statement of the Terms of the
Substance of the Proposed Rule Change
The CHX proposes to amend its Schedule of Fees and Assessments (the
``Fee Schedule''), effective November 2, 2012, relating to its order
cancellation fee for Participants entering and subsequently cancelling
order under certain circumstances. The text of this proposed rule
change is available on the Exchange's Web site at http://www.chx.com/rules/proposed_rules.htm and in the Commission's Public Reference
Room, 100 F Street NE., Washington, DC 20549.
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 CHX included statements
concerning the purpose of and basis for the proposed rule changes and
discussed any comments it received regarding the proposal. The text of
these statements may be examined at the places specified in Item IV
below. The CHX has prepared summaries, set forth in sections A, B and C
below, of the most significant aspects of such statements.
[[Page 69674]]
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
History of the CHX Order Cancellation Fee
Beginning in January 2010, the Exchange published Fee Schedule
imposed a charge for order cancellations in issues priced $1.00 per
share or more \5\ submitted by Participants whose orders rarely were at
or near the National Best Bid or Offer (``NBBO''), herein referred to
as the ``original cancellation fee.'' \6\ The application of the
original order cancellation fee depended, inter alia, on a calculation
involving the number of Wide orders (defined as display-eligible orders
in the Matching System which are two (2) or more cents away from the
NBBO), Quotable orders (all other display-eligible orders), the number
of trades executed and number of cancellations submitted by a
Participant in a month.\7\ The purpose of the original order
cancellation fee was to incent Participants to submit orders that were
close to the NBBO and to compensate the Exchange for the systems and
operational costs and burdens associated with handling and recording
orders that were rarely executed.
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\5\ The Exchange excluded securities priced under $1 per share
from being subject to order cancellation fees, as it did not appear
that the activity in those issues gave rise to the same concerns as
securities priced at or greater than $1 per share. The Exchange
continues to find this to be the case and proposes to maintain the
exclusion of securities priced under $1 per share from order
cancellation fees.
\6\ See Exchange Act Release No. 61392 (Jan. 21, 2010), 75 F.R.
4436 (Jan. 27, 2010) (SR-CHX-2010-02).
\7\ Other requirements included that the trading activity must
have occurred in the Regular Trading Session and concerned
securities priced $1 per share or more. Also, cancellations arising
from ``Immediate or Cancel'' or ``Fill or Kill'' order types were
excluded from the calculation, as well as execution of cross orders.
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However, soon after the imposition of the original order
cancellation fee, the Exchange had observed that the number of
unexecuted and displayed orders had actually increased for certain
Participants. It was apparent to the Exchange that in order to avoid
application of the cancellation fee, certain Participants were
submitting Quotable orders to the CHX's Matching System, but for an
extremely short duration, rendering such activity negligible. In
addition to avoiding order cancellation fees, this quotation activity
actually exacerbated the operational costs which the Exchange sought to
avoid by creating the order cancellation fee in the first place. The
Exchange had observed that those firms entering the limited durational
orders described above conducted much of their business on our trading
facilities in Exchange Traded Funds (``ETFs''), Exchange Traded Notes
(``ETNs'') or Exchange Traded Vehicles (``ETVs''), collectively
referred to as Exchange Traded Products (``ETPs'').\8\ As such, in
August 2010, the Exchange amended its order cancellation fee to exclude
all orders, transactions and cancellation activity in ETPs from the
cancellation fee calculation, herein referred to as the ``modified
order cancellation fee.''
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\8\ See Securities Exchange Act Release No. 61392 (January 21,
2010), 75 F.R. 4436 (Jan. 27, 2010) (SR-CHX-2010-02).
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Nevertheless, after the modified order cancellation fee went into
effect, the Exchange observed that certain Participants had found a
number of methods for avoiding the application of the modified order
cancellation fee. For example, certain Participants submitted Quotable
orders to the CHX's Matching System in non-ETPs, but for an extremely
short duration. In other cases, Participants submitted a large number
of Quotable orders in very thinly traded securities prior to the end of
the month. These and other similar methods were used by Participants to
reduce the order cancellation ratio and therefore, their cancellation
fee liability, without a corresponding increase in order executions. As
such, in September 2011, the Exchange revamped its order cancellation
fee methodology, herein referred to as the ``current order cancellation
fee.'' \9\
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\9\ See Securities Exchange Act Release No. 65268 (September 6,
2011), 76 FR 56246 (September 12, 2011) (SR-CHX-2011-25).
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The current order cancellation fee utilizes a formula, calculated
on a daily basis, which divides the Participant's total cancelled
volume in a given issue (``cvissue'') by the Participant's total
executed volume in that issue (``exvissue''). In those instances where
a Participant's daily activity in a given issue exceeds a cancellation
ratio of 30, the Exchange imposes an order cancellation fee of $.30 on
each cancellation in that issue for that day and bills such fees on a
monthly basis. By only crediting Participants with Quotable orders of
the same issue as Wide orders, the Exchange sought to eliminate the
practice of quoting in thinly-traded stocks to reduce cancellation fee
liability. Furthermore, by imposing the cancellation fee on a daily
basis, the Exchange sought to eliminate end-of-the-month fee avoidance
trading activity.
After the current order cancellation fee went into effect, there
has been a noticeable reduction in the aforementioned ``gaming'' of the
order cancellation fee formula. However, the Exchange submits that this
fee mechanism can be further perfected to promote display liquidity
(i.e., the submission of more competitive Quotable orders). As such,
further changes to the current order cancellation fee formula are
necessary.
Proposed Order Cancellation Fee
The Exchange now proposes to readopt the original order
cancellation fee, with amendments to provide for the daily calculation
of the order cancellation fee per security and to incorporate new order
cancellation formula parameters with values set security-type specific
(i.e., for each derivative and non-derivative tape A, B and C security
types). The Exchange submits that these changes will better incentivize
Participants to submit orders near the NBBO and will allow the Exchange
to better combat against ``gaming'' of the order cancellation fee
formula and to compensate the Exchange for the processing and
electronic storage costs associated with orders which ``quote around''
the NBBO and rarely execute.
In determining whether the proposed order cancellation fee would be
imposed, the Exchange proposes to utilize a formula that subtracts from
the total daily number of Wide or ``W'' orders in a given security, the
product of Near or ``N'' orders \10\ in the same security submitted by
the Participant in the Regular Trading Session in a given day and its
corresponding N order multiplier or ``Nmult.'' The
difference between these two values is then divided by ``E,'' which is
defined as the greater of (a) one (1) or (b) the sum of all Wide and
Near orders in a given security that are submitted and executed (in
whole or in part) in the Regular Trading Session (excluding cross
transactions) on a given day.\11\ If the remaining value is equal to or
greater than the corresponding ``Cancellation Ratio'' for that
security, a corresponding
[[Page 69675]]
order cancellation fee would apply to the Participant for that day's
activity in that security. If, however, the value is less than the
corresponding Cancellation Ratio, the Participant would not be assessed
any fee on its cancellation instructions. Although the Cancellation
Ratio and order cancellation fee may vary depending on the type of
security, the Exchange proposes to set the Cancellation Ratio at 150
and the order cancellation fee rate at $0.01 per cancelled order,
across the board.\12\ Moreover, the order cancellation fee will be
calculated daily, per security and applied per Account Symbol \13\
maintained by each clearing Participant.
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\10\ ``Near'' is the same as ``Quotable,'' as used in the
original and modified order cancellation fee. The Exchange submits
that the term ``Near'' better describes the order as its defining
characteristic is that it is near to or better than the NBBO.
\11\ Orders that are less than a round-lot size (less than 100
shares in most securities) and cancellations from ``Immediate or
Cancel'' or ``Fill or Kill'' orders will not be counted towards the
number of cancellations resulting in a fee charged to a Participant.
In the event that a Participant has no executed provide orders in a
month, we assume that E has a value of one (1) in order to avoid a
mathematical error in applying the cancellation fee formula.
\12\ Changes to any of the proposed parameter values, including
Order Cancellation Fee, Cancellation Ratio, Threshold Away Amount,
Minimum Duration and Nmult, will be made through proposed
fee filings pursuant to Rule 19b-4.
\13\ Individual Account Symbols are assigned, by the Exchange,
to each trading account maintained by a clearing Participant. Each
clearing Participant which executes orders on the Exchange has at
least one Account Symbol, while some clearing Participants have
multiple account symbols. Multiple accounts can be used by clearing
Participants, for example, to segregate the order activity of
different clients. Calculating and applying the cancellation fee by
the Account Symbols maintained by the clearing Participant provides
a more precise way of identifying the conduct and correspondent
firms implicated by the proposed fee provisions.
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In contrast to the original W order, an order may now be considered
Wide if any one of the following three conditions are met.\14\ First, a
W order is an order priced inferior to the National Best Bid (``NBB'')
for a buy order and National Best Offer (``NBO'') for a sell order at
the time the order is received by the Matching System and where the
difference between the order price and the NBB or NBO is equal to or
greater than its corresponding ``Threshold Away Amount.'' Second, a W
order is an order in a security that is voluntarily cancelled by the
Participant prior to the expiration of its corresponding ``Minimum
Duration,'' after acceptance by the Matching System, without any
partial executions. Finally, a W order is one that is marked ``Do Not
Display,'' pursuant to CHX Article 20, Rule 4(b)(9).\15\ By classifying
such orders as W orders, the Exchange endeavors to incentivize
Participants to post displayed bids and offers and thereby promote
displayed liquidity on the Exchange. In turn, the Exchange anticipates
that increased displayed liquidity would result in a greater number of
order executions and, ultimately, increased revenue for the Exchange.
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\14\ As a general matter, all W orders are securities priced at
$1.00 share or more when submitted by the Participant in the Regular
Trading Session.
\15\ Article 20, Rule 4(b)(9) defines a ``Do Not Display'' order
as an order for at least 1,000 shares when entered that is not to be
displayed in whole or in part.
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Moreover, the proposed W order introduces two new parameters.
First, the ``Threshold Away Amount'' is a security-type specific value
that establishes a bright-line value for determining when an order
price is either away or near the NBBO. Although the value of this
parameter may eventually vary by security-type, the Exchange proposes
to set the Threshold Away Amount at $0.03 for all six security
types.\16\ Second, the ``Minimum Duration'' parameter is also a
security-type specific value that establishes a bright-line time limit
for determining whether an order is considered Wide or may be
considered Near. The purpose of this parameter is to promote order
execution by curtailing the submission of orders that are not present
and displayable for a reasonable period of time and, consequently, to
reduce the incidence of disruptive ``flickering quotes.'' The Exchange
submits that the longer an order is displayed the better chance it has
of being executed. Although this value may also vary by security type,
the Exchange proposes to set the Minimum Duration at 10 milliseconds
for all six security types.\17\
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\16\ Supra note 12.
\17\ Id.
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In contrast to the original ``Quotable'' or ``Q'' order, the
proposed N order is defined as (1) an order in a security priced at
$1.00 per share or more submitted by the Participant in the Regular
Trading Session, (2) where the difference between the order price and
the NBB or NBO is less than its corresponding Threshold Away Amount and
(3) where the order is not voluntarily cancelled by the Participant
prior to either its corresponding Minimum Duration or prior to a
partial execution of the order, whichever is earlier.
Moreover, the proposed N order will be modified by a ``Near order
multiplier'' or ``Nmult,'' which is a security-type specific
value, which multiplies the value of N. The practical effect of the
Nmult is that it enhances the mitigating effect of N orders
on the order cancellation ratio. Therefore, the purpose of the
Nmult is to give the Exchange the ability to enhance or
reduce the impact of N on the order cancellation ratio, so as to
ensure, inter alia, equitable application of the order cancellation
fee. This also provides a strong incentive for Participants to provide
more Near orders and fewer Wide orders by giving each Near order two
times the weight of a Wide order in calculating the calculation ratio.
Although this number may eventually vary by security type, like the
Cancellation Ratio, order cancellation fee rate, Threshold Away Amount
and Minimum Duration, the Exchange proposes to set the
``Nmult''at two (2) for all six security types.\18\
Generally speaking, all of these new parameters will allow the Exchange
to better adapt to future issues with the application of the proposed
order cancellation formula by merely adjusting these values.
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\18\ Id.
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The following examples illustrate how an order may be classified as
either Wide or Near. For all Examples, assume submission of a buy order
for 1,000 shares of a Tape A non-derivative security:
For Example A, assume that the price of the order is $0.04 inferior
to the NBB and it is voluntarily cancelled by the Participant twelve
(12) milliseconds after submission to the Matching System. Since the
difference between the order price and NBB (``price difference'') is
greater than the Threshold Away Amount for a Tape A non-derivative
security ($0.03), this is a Wide order, notwithstanding all other
factors.
For Example B, assume that the price of the order is $0.04 inferior
to the NBB and it is fully executed after twelve (12) milliseconds.
Since the price difference is greater than the corresponding Threshold
Away Amount, this is a Wide order, notwithstanding all other factors.
For Example C, assume that the price of the order is $0.04 inferior
to the NBB, there is a partial execution of 500 shares after five (5)
milliseconds and the remainder of the order is voluntarily cancelled
after twelve (12) milliseconds. Since the price difference is greater
than the corresponding Threshold Away Amount, it is a Wide order,
notwithstanding all other factors.
For Example D, assume that the price of the order is $0.01 inferior
to the NBB, there is a partial execution of 500 shares after five (5)
milliseconds, the remainder is voluntarily cancelled after twelve (12)
milliseconds and the order is marked ``Do Not Display.'' Since the
order is marked ``Do Not Display,'' it is a Wide order, notwithstanding
all other factors.
For Example E, assume that the order price is equal to the NBB and
the order is fully executed after twelve (12) milliseconds. Since the
price difference is less than the corresponding Threshold Away Amount
and the order was fully executed, this is a Near order.
[[Page 69676]]
For Example F, assume that the order price is equal to the NBB,
there is a partial execution of 500 shares after five (5) milliseconds
and the balance of the order is voluntarily cancelled after eight (8)
milliseconds. Since the price difference is less than the corresponding
Threshold Away Amount and the order was cancelled only after a partial
execution of 500 shares, this is a Near order, notwithstanding the
order having been voluntarily cancelled prior to the expiration of the
corresponding Minimum Duration.
For Example G, assume that the order price is $0.01 inferior to the
NBB and it is voluntarily cancelled after 20 milliseconds without any
executions. Since the price difference is less than the corresponding
Threshold Away Amount and the order was only cancelled after the
expiration of the corresponding Minimum Duration, it is a Near order.
Moreover, the operation of the proposed order cancellation fee
formula can be illustrated by the use of some more examples. For
Example 1, assume that on a given day, a Participant firm submits to
the Matching System 200,000 buy orders for a Tape A non-derivative
security. Of this amount, 180,000 orders are priced $0.04 inferior to
the NBB and are voluntarily cancelled after twelve (12) milliseconds,
thus making these orders Wide. The remaining 20,000 orders are priced
$0.02 inferior to the NBB and are voluntarily cancelled after twelve
(12) milliseconds, thus making these orders Near. Out of 200,000
submitted orders, 1,000 orders are executed in whole or in part.\19\
Pursuant to the proposed formula, the difference between W (180,000)
and the product of N and the corresponding Nmult of two
(40,000) is 140,000. Dividing that figure by the number of orders which
were executed (E or 1,000) results in a cancellation ratio of 140.
Since the corresponding Cancellation Ratio of a Tape A non-derivative
security is 150, no cancellation fee would be assessed on this day, to
this Participant, with respect to this specific security.
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\19\ Since orders may be partially executed, the Participants
may receive more trade executions than orders. The Exchange believes
that the formula should be based upon the number of orders executed
and not the number of trades reported.
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Example 1 also illustrates the power of the Nmult. Under
Example 1, the Nmult doubled the N value to the point that
the ratio was brought below the cancellation ratio threshold. That is,
without the N-multiplier, the cancellation ratio would have been 160
and the Participant would have been assessed the cancellation fee. The
utility of the Nmult and other parameters lies in its
ability to give the Exchange flexibility to make adjustments when
necessary, through proposed fee filings pursuant to Rule 19b-4, so as
to avoid unintended or inequitable application of the cancellation fee,
without having to completely revamp the formula, as well as to promote
the submission of Near orders.
For Example 2, we assume the same facts as above, with the
exception that the Participant firm submits a total of 400,000 buy
orders for a Tape A non-derivative security on a given day and that
380,000 of those orders are Wide orders. Also assume that 200,000 such
W and N orders are cancelled. Pursuant to the proposed formula, the
difference between W (380,000) and the product of N and the
corresponding N multiplier of two (40,000) is 340,000. Dividing that
figure by the number of orders which were executed (E or 1,000) gives
us an order cancellation ratio of 340. Since the corresponding order
cancellation ratio of a Tape A non-derivative security is 150, a
cancellation fee of $2,000, which is the product of 200,000
cancellations and $0.01 per order cancelled, would be assessed on this
day, to this Participant, with respect to this specific security.
The purpose of this order cancellation fee is to incent
Participants to submit orders which, when quoted, are at or close to
the NBBO or, at the very least, compensate the Exchange for the
processing and electronic storage costs associated with orders which
rarely execute. Under the proposed formula, the likelihood that the
cancellation fee would be imposed increases with the number of Wide
orders submitted by the Participant. The formula is designed to isolate
a pattern of behavior in which a Participant submits orders well
outside the NBBO and frequently cancels and reenters such orders to
continuously stay outside the NBBO.\20\ Participants that submit a
small number of Wide orders or submit a relatively large number of Near
orders are unlikely to be impacted by the proposed fee. Moreover, the
Minimum Duration parameter will prevent Participants from gaming the
formula by submitting orders which result in undesirable ``flickering
quotes'' and the Nmult will allow the Exchange to multiply
the mitigating effect of Near orders on the order cancellation ratio
when necessary. In addition, the likelihood that the cancellation fee
will be assessed diminishes as the number of orders actually executed
(E) increases. As such, the proposed order cancellation fee will have
the dual effect of promoting order execution and compensating the
Exchange for the processing and electronic storage costs associated
with orders which ``quote around'' the NBBO and rarely execute.
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\20\ Although the Exchange is not privy to the trading
strategies of the firms submitting large numbers of orders well
outside the NBBO, it appears that they are hoping to benefit from
Intermarket Sweep Order (``ISO'') satisfaction orders sent to the
Exchange pursuant to the requirements of Regulation NMS when a trade
through occurs on another trading center and the Wide orders are at
the CHX BBO. Since the sending of ISO satisfaction orders is not
required for non-Regular Trading Session activity, we are excluding
such activity from the proposed fee.
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The Exchange believes that the proposed order cancellation fee
benefits the national market system by promoting the display of Near
orders, which will result in increased displayed liquidity and reduced
order cancellations. This will, in turn, relieve the Exchange's systems
capacity and will result in decreased order and market data storage
costs. Since Wide orders are infrequently executed, such orders are
more expensive, on a relative basis, for the Exchange to receive and
process.
The Exchange proposes to implement the cancellation charge
effective November 2, 2012. The formula by which the cancellation fee
is derived shall be calculated and made available to Participants
daily, but billed after the end of the month.
2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with Section 6(b) of the Act \21\ in general, and furthers the
objectives of Section 6(b)(4) of the Act \22\ in particular, in that it
provides for the equitable allocation of reasonable dues, fees and
other charges among members and other persons using any facility or
system which the Exchange operates or controls. The Exchange believes
that amendments to the order cancellation fee described herein should
help to recoup some of the costs of administering and processing large
numbers of cancelled orders while fairly allocating costs among
Participants according to system use. In addition, these changes to the
Fee Schedule would equitably allocate reasonable fees among
Participants in a non-discriminatory manner by properly imposing fees
on those Participants which excessively enter and subsequently cancel
orders while not imposing fees on Participants that do not engage in
this resource draining behavior. Furthermore, the proposed order
cancellation fee of $0.01/order cancellation is reasonable in light of
the fact that it is less than the current order
[[Page 69677]]
cancellation fee of $0.30/order cancellation.
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\21\ 15 U.S.C. 78f.
\22\ 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 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.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The proposed rule change is to take effect pursuant to Section
19(b)(3)(A)(ii) of the Act \23\ and subparagraph (f)(2) of Rule 19b-4
thereunder \24\ because it establishes or changes a due, fee or other
charge applicable to the Exchange's members and non-members, which
renders the proposed rule change effective upon filing.
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\23\ 15 U.S.C. 78s(b)(3)(A)(ii).
\24\ 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 email to [email protected]. Please include
File Number SR-CHX-2012-15 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-CHX-2012-15. 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 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 offices of CHX. 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-CHX-2012-15, and should be submitted on or before
December 11, 2012.
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\25\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\25\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-28135 Filed 11-19-12; 8:45 am]
BILLING CODE 8011-01-P