Notice2022-07467
Self-Regulatory Organizations; MEMX LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Amend the Exchange's Fee Schedule Concerning Volume Calculations for Transaction Pricing Tiers
Primary source
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Published
April 8, 2022
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 87 Issue 68 (Friday, April 8, 2022)</title>
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[Federal Register Volume 87, Number 68 (Friday, April 8, 2022)]
[Notices]
[Pages 20892-20894]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2022-07467]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-94590; File No. SR-MEMX-2022-06]
Self-Regulatory Organizations; MEMX LLC; Notice of Filing and
Immediate Effectiveness of a Proposed Rule Change To Amend the
Exchange's Fee Schedule Concerning Volume Calculations for Transaction
Pricing Tiers
April 4, 2022.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on March 31, 2022, MEMX LLC (``MEMX'' or the ``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. 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 is filing with the Commission a proposed rule change
to amend the Exchange's fee schedule applicable to Members \3\ (the
``Fee Schedule'') pursuant to Exchange Rules 15.1(a) and (c). The
Exchange proposes to implement the changes to the Fee Schedule pursuant
to this proposal on April 1, 2022. The text of the proposed rule change
is provided in Exhibit 5.
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\3\ See Exchange Rule 1.5(p).
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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.
[[Page 20893]]
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The purpose of the proposed rule change is to amend the Fee
Schedule to exclude any days that the MSCI Equity Indexes and the S&P
400, S&P 500, and S&P 600 Indexes are rebalanced from the volume
calculations used by the Exchange for purposes of determining a
Member's qualification for the Exchange's transaction pricing tiers/
incentives. Currently, the Exchange's Fee Schedule includes a note
stating that the Exchange excludes from its calculations of ADAV,\4\
ADV \5\ and TCV,\6\ and for purposes of determining qualification for
the Displayed Liquidity Incentive: (1) Any trading day that the
Exchange's system experiences a disruption that lasts for more than 60
minutes during regular trading hours; and (2) the day that Russell
Investments reconstitutes its family of indexes (i.e., the last Friday
in June). Now, the Exchange proposes to include in this list of days
excluded from such calculations any day that the MSCI Equities Indexes
are rebalanced (``MSCI Rebalance Day''), which occur on a quarterly
basis each year, and any day that the S&P 400, S&P 500, and S&P 600
Indexes are rebalanced (``S&P Rebalance Day''), which also occur on a
quarterly basis each year.
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\4\ As set forth on the Fee Schedule, ``ADAV'' means average
daily added volume calculated as the number of shares added per day,
which is calculated on a monthly basis.
\5\ As set forth on the Fee Schedule, ``ADV'' means average
daily volume calculated as the number of shares added or removed,
combined, per day, which is calculated on a monthly basis.
\6\ As set forth on the Fee Schedule, ``TCV'' means total
consolidated volume calculated as the volume reported by all
exchanges and trade reporting facilities to a consolidated
transaction reporting plan for the month for which the fees apply.
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For the same reasons that the Exchange currently excludes the day
that Russell Investments reconstitutes its family of indexes (``Russell
Reconstitution Day'') from these calculations,\7\ the Exchange believes
it is appropriate to exclude MSCI Rebalance Days and S&P Rebalance Days
from these calculations in the same manner, as such days typically have
extraordinarily high and/or abnormally distributed trading volumes,
which the Exchange believes is attributed to market participants who
are not generally as active entering the market to rebalance their
holdings in-line with these rebalances, and the Exchange believes this
change to normal activity may affect a Member's ability to meet the
applicable volume thresholds under its volume-based tiers, as well as
the daily quoting requirements under the Displayed Liquidity Incentive.
The Exchange notes that the proposed exclusion of MSCI Rebalance Days
and S&P Rebalance Days from the relevant calculations would be applied
in the same manner that the Exchange currently excludes system
disruption days and the Russell Reconstitution Day from such
calculations.
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\7\ See Securities Exchange Act Release No. 92150 (June 10,
2021), 86 FR 32090, 32092 (June 16, 2021) (SR-MEMX-2021-07).
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2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with the provisions of Section 6 of the Act,\8\ in general, and with
Sections 6(b)(4) and 6(b)(5) of the Act,\9\ in particular, in that it
provides for the equitable allocation of reasonable dues, fees and
other charges among its Members and other persons using its facilities
and is not designed to permit unfair discrimination between customers,
issuers, brokers, or dealers.
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\8\ 15 U.S.C. 78f.
\9\ 15 U.S.C. 78f(b)(4) and (5).
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The Exchange believes that the proposed rule change is reasonable
and appropriate because, as described above, MSCI Rebalance Days and
S&P Rebalance Days typically have extraordinarily high and/or
abnormally distributed trading volumes which, in turn, may affect a
Member's ability to meet the applicable volume thresholds and/or daily
quoting requirements under its transaction pricing tiers/incentives,
and the Exchange believes that excluding such days from the relevant
calculations for purposes of determining a Member's qualification for
such tiers/incentives would help to avoid penalizing Members that might
otherwise have met the requirements to qualify for such tiers/
incentives due to abnormal market conditions. Additionally, the
Exchange believes that the proposed rule change is equitable and not
unfairly discriminatory because it will apply to all Members uniformly,
in that each Member's volume and quoting activities for purposes of
pricing tiers/incentives would continue to be calculated in a uniform
manner and would now exclude MSCI Rebalance Days and S&P Rebalance
Days.
For the reasons discussed above, the Exchange submits that the
proposal satisfies the requirements of Sections 6(b)(4) and 6(b)(5) of
the Act \10\ in that it provides for the equitable allocation of
reasonable dues, fees and other charges among its Members and other
persons using its facilities and is not designed to unfairly
discriminate between customers, issuers, brokers, or dealers.
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\10\ 15 U.S.C. 78f(b)(4) and (5).
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B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposal will result in any
burden on competition that is not necessary or appropriate in
furtherance of the purposes of the Act. Rather, as described above, the
proposed change is intended to avoid penalizing Members that might
otherwise have met the applicable volume thresholds and/or quoting
requirements to qualify for the Exchange's transaction pricing tiers/
incentives due to the abnormal trading volumes and market conditions
typically experienced in the equities markets on MSCI Rebalance Days
and S&P Rebalance Days. The Exchange does not believe the proposal
would impose any burden on intermarket competition that is not
necessary or appropriate in furtherance of the purposes of the Act, as
the Exchange believes the proposal is not concerned with competitive
issues, but rather relates to calculation methodologies applicable to
its pricing tiers/incentives. Additionally, the Exchange believes the
proposal would not impose any burden on intramarket competition that is
not necessary or appropriate in furtherance of the purposes of the Act
because, as described above, the proposed exclusion of MSCI Rebalance
Days and S&P Rebalance Days from the relevant calculations will apply
to all Members uniformly and in the same manner that the Exchange
currently excludes system disruption days and the Russell
Reconstitution Day from such calculations.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
The Exchange neither solicited nor received 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 become effective pursuant to Section
19(b)(3)(A)(ii) of the Act \11\ and Rule 19b-4(f)(2) \12\ thereunder.
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\11\ 15 U.S.C. 78s(b)(3)(A)(ii).
\12\ 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
[[Page 20894]]
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. If the Commission
takes such action, the Commission shall institute proceedings to
determine whether the proposed rule change should be approved or
disapproved.
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
<bullet> Use the Commission's internet comment form (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#681a1d040d450b0705050d061c1b281b0d0b460f071e"><span class="__cf_email__" data-cfemail="f183849d94dc929e9c9c949f8582b1829492df969e87">[email protected]</span></a>. Please include
File Number SR-MEMX-2022-06 on the subject line.
Paper Comments
<bullet> 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-MEMX-2022-06. 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 website (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>).
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 NE, Washington, DC
20549, on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of the filing also will be available for inspection
and copying at the principal office of the Exchange. All comments
received will be posted without change.
Persons submitting comments are cautioned that we do not redact or
edit personal identifying information from comment submissions. You
should submit only information that you wish to make available
publicly. All submissions should refer to File Number SR-MEMX-2022-06
and should be submitted on or before April 29, 2022.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\13\
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\13\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-07467 Filed 4-7-22; 8:45 am]
BILLING CODE 8011-01-P
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