[Federal Register Volume 74, Number 55 (Tuesday, March 24, 2009)]
[Notices]
[Pages 12426-12431]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: E9-6352]
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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)
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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 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)''.
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\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 [email protected]. 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