[Federal Register Volume 89, Number 36 (Thursday, February 22, 2024)]
[Notices]
[Pages 13389-13395]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-03539]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-99545; File No. 4-631]


Joint Industry Plan; Order Instituting Proceedings To Determine 
Whether To Approve or Disapprove the Twenty-Third Amendment to the 
National Market System Plan To Address Extraordinary Market Volatility 
by Cboe BYX Exchange, Inc., Cboe BZX Exchange, Inc., Cboe EDGA 
Exchange, Inc., Cboe EDGX Exchange, Inc., The Financial Industry 
Regulatory Authority, Inc., Investors Exchange LLC, Long-Term Stock 
Exchange, Inc., MEMX LLC, MIAX Pearl, LLC, NASDAQ BX, Inc., NASDAQ PHLX 
LLC, The NASDAQ Stock Market LLC, New York Stock Exchange LLC, NYSE 
American LLC, NYSE Arca, Inc., NYSE Chicago, Inc., and NYSE National, 
Inc.

February 15, 2024.

I. Introduction

    On October 24, 2023, NYSE Group, Inc., on behalf of the 
Participants \1\ to the National Market System Plan to Address 
Extraordinary Market Volatility (``Plan''),\2\ filed with the 
Securities and Exchange Commission (``Commission''), pursuant to 
section 11A(a)(3) of the Securities Exchange Act of 1934 (``Act'' or 
``Exchange Act'') \3\ and Rule 608 thereunder,\4\ a proposal 
(``Proposal'' or ``Proposed Amendment'') to amend Appendix A to the 
Plan to provide that all exchange-traded products (``ETPs'') will be 
assigned to Tier 1 of the Plan, except for single stock ETPs, which 
will be assigned to the same tier as their underlying stock, and in 
each case adjusted for any leverage factor. The Proposed Amendment was 
published for comment in the Federal Register on November 21, 2023.\5\
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    \1\ The Participants are: Cboe BYX Exchange, Inc., Cboe BZX 
Exchange, Inc., Cboe EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., 
The Financial Industry Regulatory Authority, Inc., Investors 
Exchange LLC, Long-Term Stock Exchange, Inc., MEMX LLC, MIAX Pearl, 
LLC, NASDAQ BX, Inc., NASDAQ PHLX LLC, The NASDAQ Stock Market LLC, 
New York Stock Exchange LLC, NYSE American LLC, NYSE Arca, Inc., 
NYSE Chicago, Inc., and NYSE National, Inc. (collectively, 
``Participants'').
    \2\ On May 31, 2012, the Commission approved the Plan, as 
modified by Amendment No. 1. See Securities Exchange Act Release No. 
67091, 77 FR 33498 (June 6, 2012) (File No. 4-631) (``Approval 
Order''). On February 20, 2013, the Commission noticed for immediate 
effectiveness the Second Amendment to the Plan. See Securities 
Exchange Act Release No. 68953, 78 FR 13113 (February 26, 2013). On 
April 3, 2013, the Commission approved the Third Amendment to the 
Plan. See Securities Exchange Act Release No. 69287, 78 FR 21483 
(April 10, 2013). On August 27, 2013, the Commission noticed for 
immediate effectiveness the Fourth Amendment to the Plan. See 
Securities Exchange Act Release No. 70273, 78 FR 54321 (September 3, 
2013). On September 26, 2013, the Commission approved the Fifth 
Amendment to the Plan. See Securities Exchange Act Release No. 
70530, 78 FR 60937 (October 2, 2013). On January 7, 2014, the 
Commission noticed for immediate effectiveness the Sixth Amendment 
to the Plan. See Securities Exchange Act Release No. 71247, 79 FR 
2204 (January 13, 2014). On April 3, 2014, the Commission approved 
the Seventh Amendment to the Plan. See Securities Exchange Act 
Release No. 71851, 79 FR 19687 (April 9, 2014). On February 19, 
2015, the Commission approved the Eight Amendment to the Plan. See 
Securities Exchange Act Release No. 74323, 80 FR 10169 (February 25, 
2015). On October 22, 2015, the Commission approved the Ninth 
Amendment to the Plan. See Securities Exchange Act Release No. 
76244, 80 FR 66099 (October 28, 2015). On April 21, 2016, the 
Commission approved the Tenth Amendment to the Plan. See Securities 
Exchange Act Release No. 77679, 81 FR 24908 (April 27, 2016). On 
August 26, 2016, the Commission noticed for immediate effectiveness 
the Eleventh Amendment to the Plan. See Securities Exchange Act 
Release No. 78703, 81 FR 60397 (September 1, 2016). On January 19, 
2017, the Commission approved the Twelfth Amendment to the Plan. See 
Securities Exchange Act Release No. 79845, 82 FR 8551 (January 26, 
2017). On April 13, 2017, the Commission approved the Thirteenth 
Amendment to the Plan. See Securities Exchange Act Release No. 
80455, 82 FR 18519 (April 19, 2017). On April 28, 2017, the 
Commission noticed for immediate effectiveness the Fourteenth 
Amendment to the Plan. See Securities Exchange Act Release No. 
80549, 82 FR 20928 (May 4, 2017). On September 26, 2017, the 
Commission noticed for immediate effectiveness the Fifteenth 
Amendment to Plan. See Securities Exchange Act Release No. 81720, 82 
FR 45922 (October 2, 2017). On March 15, 2018, the Commission 
noticed for immediate effectiveness the Sixteenth Amendment to the 
Plan. See Securities Exchange Act Release No. 82887, 83 FR 12414 
(March 21, 2018) (File No. 4-631). On April 12, 2018, the Commission 
approved the Seventeenth Amendment to the Plan. See Securities 
Exchange Act Release No. 83044, 83 FR 17205 (April 18, 2018). On 
April 11, 2019, the Commission approved the Eighteenth Amendment to 
the Plan. See Securities Exchange Act Release No. 85623, 84 FR 16086 
(April 17, 2019) (``Amendment 18''). On February 5, 2020, the 
Commission noticed for immediate effectiveness the Nineteenth 
Amendment to the Plan. See Securities Exchange Act Release No. 
88122, 85 FR 7805 (February 11, 2020) (File No. 4-631). On April 21, 
2020, the Commission approved the Twentieth Amendment to the Plan. 
See Securities Exchange Act Release No. 88704, 85 FR 23383 (April 
27, 2020). On July 29, 2020, the Commission noticed for immediate 
effectiveness the Twenty-First Amendment to the Plan. See Securities 
Exchange Act Release No. 89420, 85 FR 46762 (August 3, 2020) (File 
No. 4-631). On October 1, 2020, the Commission noticed for immediate 
effectiveness the Twenty-Second Amendment to the Plan. See 
Securities Exchange Act Release No. 90068, 85 FR 63322 (October 7, 
2020) (File No. 4-631).
    \3\ 15 U.S.C. 78k-1(a)(3).
    \4\ 17 CFR 242.608.
    \5\ See Securities Exchange Act Release No. 98928 (November 14, 
2023), 88 FR 81131 (``Notice''). Comments received in response to 
the Notice can be found on the Commission's website at: https://www.sec.gov/comments/4-631/4-631.htm.
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    This order institutes proceedings under Rule 608(b)(2)(i) of 
Regulation NMS \6\ to determine whether to approve or disapprove the 
Proposed Amendment or to approve the Proposed Amendment with any 
changes or subject to any conditions the Commission deems necessary or 
appropriate after considering public comment.
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    \6\ 17 CFR 242.608(b)(2)(i).
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II. Background

    The Participants filed the Plan with the Commission on April 5, 
2011 \7\ to create a market-wide limit up-limit down mechanism intended 
to address extraordinary market volatility in NMS Stocks, as defined in 
Rule 600(b)(47) of Regulation NMS under the Exchange Act.\8\ The Plan 
sets forth procedures that provide for market-wide limit up-limit down 
requirements to prevent trades in individual NMS Stocks from occurring 
outside of the specified Price Bands.\9\ These limit up-limit down 
requirements are coupled with Trading Pauses, as defined in Section 
I(Y) of the Plan, to accommodate more fundamental price moves. In 
particular, the Participants adopted the Plan to address extraordinary 
volatility in the securities markets, i.e., significant fluctuations in 
individual securities' prices over a short period of time, such as 
those experienced during the ``Flash Crash'' on the afternoon of May 6, 
2010.
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    \7\ On May 31, 2012, the Commission approved the Plan, as 
modified by Amendment No. 1. See Approval Order, supra note 2.
    \8\ 17 CFR 242.600(b)(47).
    \9\ See Notice, 88 FR at 81144-45 (setting forth the defined 
terms as used under the Plan). For purposes of this order, all 
capitalized terms referenced, but not otherwise defined, herein 
shall have the meanings as defined under the Plan or as defined in 
the Notice.
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    As set forth in more detail in the Plan, the single plan processor 
(``Processor'' or ``Processors''), which is responsible for 
consolidation of information for an NMS Stock pursuant to Rule 603(b) 
of Regulation NMS under the Exchange Act, calculates and disseminates a 
lower Price Band and upper Price Band for each NMS Stock. As set forth 
in Section V of the Plan, the Price Bands are based on a Reference 
Price for each NMS Stock that equals the arithmetic mean price of 
Eligible Reported Transactions for the NMS Stock over the immediately 
preceding five-minute period. The Price Bands for an NMS Stock are 
calculated by applying the Percentage Parameters, as set out in 
Appendix A to the Plan,\10\ for such NMS Stock to the Reference

[[Page 13390]]

Price, with the lower Price Band being a Percentage Parameter below the 
Reference Price, and the upper Price Band being a Percentage Parameter 
above the Reference Price.
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    \10\ See Notice, 88 FR at 81148 (Appendix A to the Plan).
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    Appendix A to the Plan sets out the definitions of Tier 1 and Tier 
2 NMS Stocks and the Percentage Parameters for each. Appendix A 
currently provides that Tier 1 includes all NMS Stocks included in the 
S&P 500 Index and the Russell 1000 Index, as well as ``eligible'' ETPs. 
Appendix A specifies:

    To determine eligibility for an ETP to be included as a Tier 1 
NMS Stock, all ETPs across multiple asset classes and issuers, 
including domestic equity, international equity, fixed income, 
currency, and commodities and futures will be identified. Leveraged 
ETPs will be excluded, and the list will be sorted by notional 
consolidated average daily volume (``CADV''). The period used to 
measure CADV will be from the first day of the previous fiscal half 
year up until one week before the beginning of the next fiscal half 
year. Daily volumes will be multiplied by closing prices and then 
averaged over the period. ETPs, including inverse ETPs, that trade 
over $2,000,000 CADV will be eligible to be included as a Tier 1 NMS 
Stock.

    The eligible ETPs are then listed in Schedule 1 to Appendix A, and 
the list is reviewed and updated semi-annually. All ETPs that do not 
meet the ``eligibility'' definition are currently assigned to Tier 2.
    For Tier 1 NMS Stocks, Appendix A defines the Percentage Parameters 
as:
    <bullet> 5% for Tier 1 NMS Stocks with a Reference Price more than 
$3.00;
    <bullet> 20% for Tier 1 NMS Stocks with a Reference Price equal to 
$0.75 and up to and including $3.00; and
    <bullet> The lesser of $0.15 or 75% for Tier 1 NMS Stocks with a 
Reference Prices less than $0.75.
    For Tier 2 NMS Stocks, Appendix A defines the Percentage Parameters 
as:
    <bullet> 10% for Tier 2 NMS Stocks with a Reference Price of more 
than $3.00;
    <bullet> 20% for Tier 2 NMS Stocks with a Reference Price equal to 
$0.75 and up to and including $3.00; and
    <bullet> The lesser of $0.15 or 75% for Tier 2 NMS Stocks with a 
Reference Price less than $0.75.
    The Percentage Parameter for a Tier 2 NMS Stock that is a leveraged 
ETP is the applicable Percentage Parameter set forth above, multiplied 
by the leverage ratio of such product.

III. Summary of the Proposed Amendment <SUP>11</SUP>
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    \11\ This section summarizes the proposed changes to the Plan 
and the Participants' analysis supporting the proposed changes, as 
described in the Notice. For a full discussion of the Proposed 
Amendment, including the Participants' justifications for the 
Proposed Amendment, see Notice, supra note 5.
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    The Participants propose to amend Appendix A to delete the 
definition of ETPs ``eligible'' for Tier 1, and to specify that all 
ETPs except for single-stock ETPs would be assigned to Tier 1. The 
Participants also propose to delete Schedule 1 to Appendix A as 
obsolete. Under the Proposal, Appendix A, Section I, paragraph (1) 
would read as follows:

    Tier 1 NMS Stocks shall include all NMS Stocks included in the 
S&P 500 Index and the Russell 1000 Index, and all exchange-traded 
products (``ETP''), except for single stock ETPs, which will be 
assigned to the same Tier as their underlying stock, adjusted for 
any leverage factor.

    Because all leveraged ETPs (except Tier 2 single stock ETPs) would 
be assigned to Tier 1, the Participants also propose to add text into 
Section I of Appendix A describing how the Percentage Parameters would 
be set for leveraged ETPs. The Participants propose to insert the 
following as paragraph (5) of Section I, and to renumber the paragraphs 
of Section I accordingly:

    Notwithstanding the foregoing, the Percentage Parameters for a 
Tier 1 NMS Stock that is a leveraged ETP shall be the applicable 
Percentage Parameter set forth in clauses (2), (3), or (4) above, 
multiplied by the leverage ratio of such product.

A. Study Data

    The Participants reviewed trading and quoting in all ETPs during 
the period from Q4 of 2019 through Q2 of 2021. This time span afforded 
the Participants the opportunity to study how the Plan performed during 
certain stressful periods. The ETPs studied covered several asset 
classes, including domestic equities, international equities, fixed 
income, currency, commodity, and digital currency ETPs.
    At the time the Participants conducted the study, there were not 
yet any single stock ETPs listed in the U.S. markets. Because a single 
stock ETP should closely track the price movement and volatility of its 
underlying security, the Participants assert that it should be assigned 
to the same tier, adjusted for any leverage factor, to maintain uniform 
and congruous application of controls.
    The Participants also excluded Tier 2 ETPs with a Reference Price 
of $3.00 or less, since ETPs with a Reference Price of $3.00 or less 
are subject to identical Percentage Parameters under Tier 1 and Tier 2. 
The Participants also excluded the last 25 minutes of the trading day 
from the study, since the Percentage Parameters for Tier 1 and Tier 2 
NMS Stocks with Reference Prices more than $3.00 are identical during 
that period.

B. Study Methodology

    The Participants' study consists of three parts. First, the 
Participants compared the realized volatility and incidence of Limit 
States and Trading Halts in Tier 2 ETPs against both Tier 1 and Tier 2 
non-ETPs, to review the reasonableness of assigning ETPs to Tier 2.
    Second, the Participants calculated theoretical Tier 1 (i.e., 5%) 
Price Bands for all Tier 2 ETPs in the study. For example, normally a 
Tier 2 ETP with a Reference Price of $10.00 would have a lower Price 
Band of $9.00 and an upper Price Band of $11.00 (i.e., 10% bands). For 
purposes of the study, that same ETP would have a theoretical Tier 1 
lower Price Band of $9.50 and an upper Price Band of $10.50 (i.e., 5% 
bands). Once the theoretical narrower bands were calculated, the 
Participants identified all trades that occurred at prices between the 
theoretical narrower bands and the actual Tier 2 bands. The 
Participants then calculated the total notional value if all trades 
beyond the theoretical narrow bands had been prevented, as well as the 
total notional value if all such trades had occurred at the price of 
the new bands, to determine the range of potential notional value 
impact of applying Tier 1 bands to Tier 2 ETPs. The Participants also 
studied the price movement following these ``breaches'' of the 
theoretical narrower bands and the likelihood of reversion to determine 
the efficacy of tightening the bands.
    Third, the Participants compared market quality changes and the 
frequency of Limit States and Trading Halts for Tier 1 ETPs vs. Tier 2 
ETPs by studying the ETPs that shift from one tier to the other as part 
of the current semi-annual review process.

C. Study Results

1. Volatility of Tier 2 ETPs vs. Tier 1 and Tier 2 Non-ETPs
    For the first part of the study, the Participants compared the 
volatility of Tier 2 ETPs during the study period to the volatility of 
non-ETP securities. If the purpose of Tier 2's wider bands is to 
address higher expected volatility in Tier 2 NMS Stocks, but ETPs in 
Tier 2 are already less volatile than non-ETPs in Tier 1, that would 
suggest that ETPs do not actually need Tier 2's wider bands.
    According to the Participants, except for single-stock, commodity, 
and foreign exchange-based ETPs, ETPs are, by definition, diversified 
instruments.

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Notwithstanding the lower trading volumes associated with the less 
liquid ETPs included in Tier 2, Tier 2 ETPs exhibit volatilities that 
are lower than those observed for Tier 1 non-ETPs that already trade 
with narrower Price Bands today.
    The Participants calculated quote volatilities \12\ for all 
securities that were part of the Plan during 2021. Non-leveraged Tier 2 
ETPs had an average quote volatility of 0.241 basis points with a 90th 
percentile of 0.275 basis points. Those figures are lower than for Tier 
1 non-ETPs during the same period, which had an average quote 
volatility of 0.258 basis points with a 90th percentile of 0.446 basis 
points. Tier 2 non-ETPs had more than four times higher average quote 
volatility and almost double the average quote volatility at the 90th 
percentile compared to Tier 2 non-leveraged ETPs. Leveraged Tier 2 ETPs 
were somewhat higher than non-leveraged Tier 2 ETPs, with an average 
quote volatility of 0.736 basis points and a 90th percentile of 1.317 
basis points. Most leveraged ETPs represent commodities or volatility 
index products, which would be expected to exhibit higher volatility. 
However, these products' Price Bands are also multiplied by their 
leverage factor, which makes their higher volatility relative to other 
ETPs acceptable.
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    \12\ The Participants measured quote volatility as the average 
basis point change of each second's mid-point during core hours 
annualized.
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    In comparing the incidence of Trading Pauses and Limit States 
during 2021 by Tier 1 non-ETPs, Tier 2 ETPs, and Tier 2 non-ETPs priced 
above $3.00, the data shows that during 2021, Tier 2 non-leveraged ETPs 
had fewer Trading Pauses and Limit States than Tier 1 non-ETPs, even 
though the Tier 2 non-leveraged ETPs comprised nearly 50% more 
securities. In addition, Tier 2 non-ETPs had roughly four times the 
number of symbols, but 63 times the number of Limit States per day 
compared to Tier 2 non-leveraged ETPs. Tier 2 ETPs at the 90th 
percentile did not have any Trading Pauses, while there were 30 Trading 
Pauses for Tier 2 non-ETPs.
    Overall, the comparison between Tier 1 non-ETPs and Tier 2 ETPs 
shows that quote volatility of Tier 2 ETPs operating under wider Price 
Bands is lower than Tier 1 non-ETPs, and that the incidence of Limit 
States and Trading Pauses for Tier 1 non-ETPs is substantially higher 
than that of Tier 2 ETPs. By contrast, Tier 2 non-ETPs are considerably 
more volatile than Tier 1 non-ETPs, which substantiates the wider Price 
Bands applied to these securities, as the higher number of Limit States 
and Trading Pauses in Tier 2 non-ETPs are occurring under 10% Price 
Bands. The Participants believe that these data indicate that the Price 
Bands are not well-calibrated to the realized volatility for Tier 2 
ETPs and should not be twice as wide as those for Tier 1 non-ETPs.
2. Analysis of ETP Trades Executing Past Theoretical Tier 1 Bands
    For the second part of the study, the Participants sought to 
identify the range of potential notional value that would have been 
impacted during the study period if trades in Tier 2 ETPs had been 
bounded by 5% Price Bands instead of 10% Price Bands. Specifically, the 
Participants calculated theoretical Tier 1 (i.e., 5%, adjusted for 
leverage factor) Price Bands for all Tier 2 ETPs in the study 
(``Theoretical Tier 1 Bands''). Once the theoretical narrower bands 
were calculated, the Participants identified 101,956 trades that 
occurred at prices between the Theoretical Tier 1 Bands and the actual 
Tier 2 bands. The Participants then calculated the upper and lower 
ranges of the notional value of the trades that would have been 
impacted during the study period if Tier 2 ETPs had been subject to the 
narrower Theoretical Tier 1 Bands instead of the actual Tier 2 bands.
    The Participants drilled down into the results to determine, on a 
day-by-day basis, the amount of notional value prevented, and the 
number of symbols impacted, by the narrower Theoretical Tier 1 Bands. 
Most of the notional value that would have been prevented by using the 
narrower Theoretical Tier 1 Bands for Tier 2 ETPs occurred across a 
handful of trade dates when the markets were very volatile. Together, 
the 10 days with the highest notional value for trades prevented 
account for 59% of the trades prevented and 61% of the total notional 
value overall. More than $45 million in trades could have been 
prevented during the pandemic-driven volatility in 2020. In contrast, 
over the entire study period, the number of Tier 2 ETPs that would have 
been impacted by using narrower Theoretical Tier 1 Bands was a median 
of nine ETPs per day.
    The Participants conclude that on most days, tighter Price Bands 
would have had little impact on the trading of Tier 2 ETPs. However, 
during periods of extreme volatility overall, the narrower bands may 
prevent unnecessary volatility in Tier 2 ETPs. Using narrower Tier 1 
Bands for these ETPs could protect investors from executing trades at 
inferior prices that may occur due to transitory gaps in liquidity.
    The Participants recognize that the positive impacts of using 
narrower Theoretical Tier 1 Bands would be blunted if the price trend 
that triggers a Trading Pause continues in the same direction. To study 
this issue, the Participants computed several statistics to measure the 
impact of blocking these trades at the narrower Theoretical Tier 1 
Bands. The Participants calculated these statistics as a fraction of 
simple trade counts, as well as the percentage of shares that were 
impacted by the theoretical narrower bands. The calculations are as 
follows:

    1. Last mid-quote 5 minutes after the blocked trade compared to 
the trade execution price.
    2. Last mid-quote 10 minutes after the blocked trade compared to 
the trade execution price.
    3. Same as #1, except cases where the stock paused in the next 5 
minutes (because there may not be reliable 5-minute mid-quotes).
    4. Same as #2, except cases where the stock paused in the next 
10 minutes (because there may not be reliable 10-minute mid-quotes).
    5. Same as #1-#4, except measured against the theoretical 
narrower bands. This measures the worst-case situation, where none 
of the trades would have occurred and the full impact of blocking 
the trades is shown.

    Prices 5 and 10 minutes after a theoretically prevented trade 
usually reverted away from the offending trade price towards prior 
prices, and less often moved back to levels inside the new bands. When 
prices do not revert, the benefit of the tighter bands is less clear, 
but the tendency toward reversion is further evidence in support of 
narrowing the bands to Tier 1 levels. After 5 minutes, more than 70% of 
the trades and nearly 75% of the shares impacted had their last quote 
return to price levels prior to the move that caused the breach of the 
Theoretical Tier 1 Band. After 10 minutes, reversion rates improved 
further (i.e., more than 75% of trades and 78% of shares). When Trading 
Pauses are excluded, the results appeared even more positive, although 
the Participants believe that including Trading Pauses is the superior 
measure, as these situations better reflect the general direction of 
the market.
    The Participants note that during the study period, only 7.1% of 
the trades that executed beyond the narrower Theoretical Tier 1 Bands 
(4.6% of shares executed across the entire study period) ultimately 
resulted in a Trading Pause under the bands currently in place. Prices 
did ultimately hit a Limit State within 10 minutes in 12.6% of the 
trades that moved through the bands, accounting for 10.3% of shares 
traded, but as noted above, less than half of these shares resulted in 
a Trading Pause.
    The Participants note that by narrowing the bands, in all 
likelihood,

[[Page 13392]]

there may be an increase in Trading Pauses, even with market makers 
moving liquidity in front of the revised tighter bands. Because prices 
may likely revert inside the bands after 10 minutes, these Trading 
Pauses may be beneficial for investors. Such Trading Pauses may also be 
beneficial for investors because many Tier 2 ETPs do not trade 
actively. Their initial Price Bands are often based on the prior day's 
official closing price, which may not perfectly reflect current market 
conditions, but their Reference Prices and Price Bands are not reset if 
there are no trades. In such cases, it may be beneficial to trigger a 
Trading Pause that will permit a reopening auction, which can more 
efficiently aggregate liquidity, determine equilibrium prices, reset 
the Price Bands, and further mitigate volatility.
3. Market Quality Changes When ETPs Change Tier Designation
    For the third part of the study, the Participants examined ETPs 
that have moved between tiers. As background, at launch, each ETP is 
assigned to Tier 2. Per Appendix A, tiers are recalculated at the end 
of each June and December and any non-leveraged ETPs that trade over 
$2,000,000 CADV during the measurement period move from Tier 2 to Tier 
1. It is common for an otherwise-illiquid ETP to have one or two very 
high-volume days immediately after listing, causing it to be 
recategorized into Tier 1, and then ultimately settle back into Tier 2 
following its second measurement period.
    These tier changes provide the Participants with an opportunity to 
evaluate and compare the market quality of ETPs under different price 
band regimes. The Participants understand that, in some cases, changes 
in the volume of trades are what cause an ETP to change from one tier 
to another, and the improvements in market quality may be attributable 
to that increased volume, and not the tier change in and of itself. But 
as noted above, the Plan initially assigns ETPs into Tier 2 
irrespective of their volume of trades, and many are then subsequently 
reassigned to Tier 1 due to high notional volume on a few days after 
they are first funded, without experiencing any real change in notional 
volume overall. As such, the Participants believe that market quality 
changes after a tier shift are meaningful because they are often not 
due to developments in the character of the market for the ETPs.
    The Participants compared quoted spreads and notional liquidity at 
the NBBO, comparing changes in these two values from half-year to half-
year for ETPs that: stayed in Tier 1; stayed in Tier 2; switched from 
Tier 1 to Tier 2; and switched from Tier 2 to Tier 1.
    ETPs that were in Tier 1 in the second half of 2019 and stayed in 
Tier 1 during the first half of 2020 had their consolidated quoted 
spread increase by 102.0%, while those that shifted to Tier 2 saw their 
consolidated quoted spread widen by 152.3%. Tier 2 ETPs that moved to 
Tier 1 in the first half of 2020 had their spreads rise 96.6%--less 
than those that stayed in Tier 1 for both periods. ETPs that stayed in 
Tier 2 performed the worst, with their spreads increasing by 175.7%. 
The pattern is similar regarding ETPs that changed tier in the second 
half of 2020. ETPs that stayed in Tier 1 had their spreads narrow by 
34.2% while those that moved to Tier 2 performed worse, with their 
spreads tightening by 26.7%. Tier 2 ETPs that remained in Tier 2 
performed similarly to those that stayed in Tier 1, with their spreads 
narrowing by 35.7%. The best performing category was ETPs that moved to 
Tier 1 from Tier 2, as their spreads narrowed by 43.6%.
    The Participants note that narrower spreads can lead to less 
available liquidity, but the tier changes studied above do not appear 
to have caused a negative impact on liquidity. For ETPs that changed 
tiers between the second half of 2019 and the first half of 2020, the 
amount of available liquidity dropped a similar amount for Tier 1 ETPs 
that stayed in Tier 1 or moved to Tier 2. Tier 2 ETPs in general lost 
fewer dollars at the inside, but those Tier 2 ETPs that transferred to 
Tier 1 did lose slightly more--12.2% versus 10.1%. For ETPs that 
changed tiers between the first half and second half of 2020, Tier 2 
ETPs again saw the largest increase in liquidity, with those that moved 
to Tier 1 gaining 51.0% versus just 38.0% for those that stayed in Tier 
2. Tier 1 ETPs that moved to Tier 2 saw a drop in liquidity inside of 
4.2%. Finally, for those ETPs that changed tiers between the second 
half of 2020 and the first half of 2021, Tier 2 ETPs that moved to Tier 
1 saw the smallest gains in liquidity at the inside, increasing just 
32.1% compared to Tier 2 ETPs that remained in Tier 2, which gained 
42.7%. Tier 1 ETPs, whether they stayed in Tier 1 or moved to Tier 2, 
garnered larger gains of liquidity at the inside.
    In sum, for two of the three half-year changes the Participants 
studied, spreads improved and there was a neutral to positive effect on 
inside liquidity for ETPs shifting from Tier 2 to Tier 1. The opposite 
was true for Tier 2 ETPs that changed tier from the second half of 2020 
to the first half of 2021. These results show that, on balance, market 
quality statistics improved for Tier 2 ETPs that moved to Tier 1.
    The Participants note that even if market quality statistics 
improved for Tier 2 ETPs that moved to Tier 1, the efficacy of such a 
move might be questioned if the move created notably more Limit States 
or Trading Pauses. To study this issue, the Participants examined three 
statistics for ETPs that had a tier change in either direction from one 
period to the next:
    <bullet> the average number of Trading Pauses per symbol during the 
next half-year;
    <bullet> the average number of Limit States per symbol during the 
next half-year; and
    <bullet> the average number of seconds in a Limit State per symbol 
during the next half-year.
    Narrowing the Price Bands for ETPs that moved from Tier 2 into Tier 
1 did not increase the incidence of Trading Pauses, Limit States, or 
the amount of time spent in Limit States. The Participants assert that 
this is likely because market participants adjust their behavior and 
provide more liquidity to ETPs once their bands are tightened. The 
Participants acknowledge that the number of ETPs that move between 
Tiers, especially into Tier 1 after being in Tier 2, is relatively 
small and may not provide a significant enough population to offer 
strong support for that statistic. The Participants note, however, that 
Amendment 18 removed double-wide bands at the open for all stocks and 
at the close for Tier 2 stocks, market participants adjusted to the 
tighter bands without a large increase in Trading Pauses.

D. Study Conclusions

    In sum, the Participants' study shows the following:
    <bullet> Tier 1 non-ETPs are far more likely than Tier 2 ETPs to 
enter into Limit States and Trading Pauses due to the underlying 
volatility of these securities. This finding suggests that the Price 
Band width for Tier 2 ETPs is poorly calibrated relative to their 
actual trading behavior.
    <bullet> During the study period, the notional value of trades that 
would have been prevented if Tier 2 ETPs had used tighter Tier 1 bands 
would have been substantial for such thinly traded products, bounded on 
the lower end at $36.8 million and the upper end at $711.1 million.
    <bullet> In the majority of cases where a trade would have been 
prevented by the narrower Theoretical Tier 1 Bands, prices reverted by 
the end of the following 5- and 10-minute periods,

[[Page 13393]]

suggesting that having these thinly-traded ETPs in Tier 1 would protect 
investors from executing trades at inferior prices that may occur due 
to transitory gaps in liquidity rather than fundamental valuation 
changes.
    <bullet> In most cases where ETPs have been reclassified from Tier 
2 to Tier 1, market quality improved as evidenced by the lower quote 
volatility, tighter spreads, and increased liquidity for ETPs that 
moved from Tier 2 to Tier 1.
    <bullet> Using tighter Tier 1 bands for all ETPs would provide 
greater investor protection from temporary liquidity gaps, which are 
facilitated by the wider price bands in Tier 2.
    <bullet> The number of Limit States and Trading Pauses decreased 
when Tier 2 ETPs moved to Tier 1 and increased when Tier 1 ETPs moved 
to Tier 2.
    From this evidence, the Participants conclude that moving Tier 2 
ETPs to Tier 1 would improve market quality, more effectively dampen 
volatility, provide greater investor protection, and decrease the 
number of unnecessary Limit States and Trading Pauses.
    The Participants also state that the Proposed Amendment does not 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Exchange Act. The Participants 
assert that the Proposed Amendment to the Plan would apply to all 
market participants equally and would not impose a competitive burden 
on one category of market participants in favor of another category of 
market participant. The Proposed Amendment would apply to trading on 
all Trading Centers and all NMS Stocks would be subject to the amended 
Plan's requirements. The Participants do not believe that the Proposed 
Amendment introduces terms that are unreasonably discriminatory for the 
purposes of Section 11A(c)(1)(D) of the Exchange Act because it would 
apply to all market participants equally.

IV. Summary of Comments

    In response to the Notice, the Commission received several comments 
on the Proposed Amendment.\13\ A few commenters generally oppose the 
Plan and Proposed Amendment,\14\ and one commenter representing a 
consortium of market participants support the Proposal.\15\
---------------------------------------------------------------------------

    \13\ See supra note 5.
    \14\ See Letters from Alexander Kuchta dated November 27, 2023 
(``Kuchta Letter''); Anonymous dated November 27, 2023 (``Anonymous 
Letter''); Subhra Mazumdar dated November 27, 2023 (``Mazundar 
Letter''); Joe Edwards dated November 27, 2023 (``Edwards Letter''); 
Rax Nahali dated November 27, 2023 (``Nahali Letter''); and Rene 
Wright dated November 27, 2023 (``Wright Letter'').
    \15\ See Letter to Vanessa Countryman, Secretary, Commission, 
from Samara Cohen, Chief Investment Officer of ETF and Index 
Investments, BlackRock, et al. dated December 18, 2023 (``BlackRock 
Letter'').
---------------------------------------------------------------------------

    Several commenters believe that the Proposed Amendment poses a 
significant threat to the foundational principles of a free and open 
markets.\16\ Some commenters state that the proposed tighter price 
bands would effectively limit the natural price discovery process, 
which would infringe upon free market principles.\17\ One commenter 
states that these tighter controls may lead to increased 
volatility.\18\ The commenter further states that leveraged 
derivatives, such as options and futures, allow significant positions 
to be taken with relatively less capital. In the hands of large market 
participants, according to this commenter, these instruments could 
potentially be used in conjunction with the predictable price range 
boundaries to manipulate market conditions, highlighting the need for a 
thorough evaluation of the rule's implications on market dynamics and 
fairness.\19\ The same commenter concludes that the Proposal caters to 
the interests of larger, institutional investors who may benefit from 
reduced volatility and more predictable price movements at the expense 
of smaller, retail investors.\20\ Some commenters state that the 
Proposal enables the Participants to control the price of a security 
inappropriately.\21\
---------------------------------------------------------------------------

    \16\ See, e.g., Kuchta Letter; Nahali Letter; Wright Letter.
    \17\ See Kuchta Letter; Edwards Letter; Nahali Letter (noting 
that volatility is a part of the market).
    \18\ See Kuchta Letter (stating that ``as trades accumulate at 
the band limits, the resumption of trading could trigger sudden and 
sharp price movements, contrary to the proposal's intent to reduce 
volatility'').
    \19\ See id.
    \20\ See id.
    \21\ See Mazundar Letter; Nahali Letter.
---------------------------------------------------------------------------

    Separately, one commenter in support of the Proposal concludes that 
using Tier 1 Percentage Parameters for all ETPs would better protect 
investors during temporary liquidity gaps, which may be exacerbated by 
the wider price bands for Tier 2 NMS Stocks.\22\ The commenter asserts 
that ETP liquidity gaps can occur for reasons that may not reflect the 
ETP's fundamental value.\23\ The commenter states that in these 
instances, the risk of an inefficient execution away from the fair 
value of the ETP's holdings (as far as 10% away from a Tier 2 ETP's 
reference price) rises, and the application of Tier 1 Percentage 
Parameters would improve transparency and efficiency, particularly 
during periods of extreme volatility.\24\ In addition, the commenter 
states that, in instances of sustained order imbalances and/or gaps in 
liquidity in the market for an ETP, a trading pause would help attract 
liquidity from diverse market participants and promote price discovery 
through the reopening mechanism, helping to keep ETP prices in line 
with the value of underlying holdings.\25\ The commenter agrees that 
ETPs were assigned to tiers based on an assumption that lower-volume 
ETPs were more suited for wider price parameters, and states that the 
data presented in the Proposed Amendment suggests that assumption was 
wrong.\26\ The commenter states that the analysis demonstrated that on 
average, Tier 2 ETPs across asset classes exhibit lower quote 
volatility than Tier 1 non-ETP stocks.\27\ In light of the findings 
derived from the study, the imposed semi-annual migration of ETPs from 
one tier to the other appears to be overly complex, arbitrary, and 
unnecessary.\28\
---------------------------------------------------------------------------

    \22\ See BlackRock Letter at 1.
    \23\ See id. at 2 (noting that outsized or aggressive orders, 
temporary uncertainty about any inputs into the calculation of the 
ETP's fair value, or lower levels of market participation, which is 
more common in newly listed ETPs, can cause these ETP prices not to 
reflect fundamental value).
    \24\ See id.
    \25\ See id.
    \26\ See id.
    \27\ See id.
    \28\ See id.
---------------------------------------------------------------------------

V. Proceedings To Determine Whether To Approve or Disapprove the 
Proposed Amendment

    The Commission is instituting proceedings pursuant to Rule 
608(b)(2)(i) of Regulation NMS,\29\ and Rules 700 and 701 of the 
Commission's Rules of Practice,\30\ to determine whether to approve or 
disapprove the Proposed Amendment or to approve the Proposed Amendment 
with any changes or subject to any conditions the Commission deems 
necessary or appropriate. The Commission is instituting proceedings to 
have sufficient time to consider the complex issues raised by Proposed 
Amendment, including comments received. Institution of proceedings does 
not indicate that the Commission has reached any conclusions with 
respect to any of the issues involved. Rather, the Commission seeks and 
encourages interested persons to provide additional comment on the 
Proposed Amendment to inform the Commission's analysis.
---------------------------------------------------------------------------

    \29\ 17 CFR 242.608.
    \30\ 17 CFR 201.700; 17 CFR 201.701.
---------------------------------------------------------------------------

    Rule 608(b)(2) of Regulation NMS provides that the Commission 
``shall

[[Page 13394]]

approve a national market system plan or proposed amendment to an 
effective national market system plan, with such changes or subject to 
such conditions as the Commission may deem necessary or appropriate, if 
it finds that such plan or amendment is necessary or appropriate in the 
public interest, for the protection of investors and the maintenance of 
fair and orderly markets, to remove impediments to, and perfect the 
mechanisms of, a national market system, or otherwise in furtherance of 
the purposes of the Exchange Act.'' \31\ Rule 608(b)(2) further 
provides that the Commission shall disapprove a national market system 
plan or proposed amendment if it does not make such a finding.\32\ In 
the Notice, the Commission sought comment on the Proposed Amendment, 
including whether the Proposed Amendment is consistent with the 
Exchange Act.\33\ In this order, pursuant to Rule 608(b)(2)(i) of 
Regulation NMS,\34\ the Commission is providing notice of the grounds 
for disapproval under consideration:
---------------------------------------------------------------------------

    \31\ 17 CFR 242.608(b)(2).
    \32\ Id.
    \33\ See Notice, supra note 5.
    \34\ 17 CFR 242.608(b)(2)(i).
---------------------------------------------------------------------------

    <bullet> Whether, consistent with Rule 608 of Regulation NMS, the 
Participants have demonstrated how the Proposed Amendment is necessary 
or appropriate in the public interest, for the protection of investors 
and the maintenance of fair and orderly markets, to remove impediments 
to, and perfect the mechanisms of, a national market system, or 
otherwise in furtherance of the purposes of the Exchange Act.\35\
---------------------------------------------------------------------------

    \35\ 17 CFR 242.608(b)(2).
---------------------------------------------------------------------------

    Under the Commission's Rules of Practice, the ``burden to 
demonstrate that a NMS plan filing is consistent with the Exchange Act 
and the rules and regulations issued thereunder. . . is on the plan 
participants that filed the NMS plan filing.'' \36\ The description of 
the NMS plan filing, its purpose and operation, its effect, and a legal 
analysis of its consistency with applicable requirements must all be 
sufficiently detailed and specific to support an affirmative Commission 
finding.\37\ Any failure of the plan participants that filed the NMS 
plan filing to provide such detail and specificity may result in the 
Commission not having a sufficient basis to make an affirmative finding 
that the NMS plan filing is consistent with the Exchange Act and the 
applicable rules and regulations thereunder.\38\
---------------------------------------------------------------------------

    \36\ 17 CFR 201.701(b)(3)(ii).
    \37\ Id.
    \38\ Id.
---------------------------------------------------------------------------

VI. Commission's Solicitation of Comments

    The Commission requests that interested persons provide written 
submissions of their views, data, and arguments with respect to the 
issues identified above, as well as any other concerns they may have 
with the Proposal. In particular, the Commission invites the written 
views of interested persons concerning whether the Proposal is 
consistent with Section 6(b)(5), Section 6(b)(8), or any other 
provision of the Act, or the rules and regulations thereunder. Although 
there do not appear to be any issues relevant to approval or 
disapproval that would be facilitated by an oral presentation of views, 
data, and arguments, the Commission will consider, pursuant to Rule 
608(b)(2)(i) of Regulation NMS,\39\ any request for an opportunity to 
make an oral presentation.\40\ The Commission asks that commenters 
address the sufficiency and merit of the Participants' statements in 
support of the Proposed Amendment,\41\ in addition to any other 
comments they may wish to submit about the Proposed Amendment. In 
particular, the Commission seeks comment on the following:
---------------------------------------------------------------------------

    \39\ 17 CFR 242.608(b)(2)(i).
    \40\ Rule 700(c)(ii) of the Commission's Rules of Practice 
provides that ``[t]he Commission, in its sole discretion, may 
determine whether any issues relevant to approval or disapproval 
would be facilitated by the opportunity for an oral presentation of 
views.'' 17 CFR 201.700(c)(ii).
    \41\ See Notice, supra note 5.

    1. The Participants propose to amend Appendix A of the Plan by 
deleting the definition of ETPs ``eligible'' for Tier 1 and to 
specify that all ETPs, except for single stock ETPs, would be 
assigned to Tier 1. What are commenters' views on whether the 
Proposal is consistent with the Exchange Act?
    2. Because all leveraged ETPs (except Tier 2 single stock ETPs) 
would be assigned to Tier 1, the Participants also propose to add 
text into Section I of Appendix A describing how the Percentage 
Parameters would be set for leveraged ETPs. What are commenters' 
views on whether this Proposal regarding leveraged ETPs to the Plan 
is consistent with the Exchange Act?
    3. The Proposal acknowledges that the ETPs studied covered 
several asset classes, including domestic equities, international 
equities, fixed income, currency, commodity, and digital currency 
ETPs. For example, the Participants' analysis provides aggregate 
statistical information with respect to Tier 2 ETPs as a whole. In 
addition, the Proposal states that, except for single-stock, 
commodity, and foreign exchange-based ETPs, ETPs are by definition 
diversified instruments and that the analysis in the Proposal 
supports the modern portfolio theory that portfolios of securities 
exhibit lower volatility than individual securities, unless those 
products are perfectly correlated. The Proposed Amendment to the 
Plan, which would assign all ETPs to Tier 1, only excludes single 
stock ETPs, but does not propose to exclude other ETPs based on 
other single reference assets, such as ETPs based on single 
commodities or single digital currency-related assets. Do commenters 
agree that the methodology and results of the analysis support the 
conclusions drawn by the Participants? Please explain. Does this 
aggregated approach to evaluating Tier 2 ETPs as a whole support the 
conclusions drawn by the Participants with respect to different 
segments of Tier 2 ETPs? For example, what are commenters' views on 
whether the Proposal's study explains why such other ETPs, such as 
those based on a single asset (other than stocks) or those that 
might not otherwise reflect the volatility characteristics described 
in the Proposal, should be assigned to Tier 1?
    4. The Proposal provides analysis concerning the potential 
impacts that the Proposal could have on the market. Among other 
things, the analysis states that the proposed narrower bands may 
have caused minimal disruption during periods of less volatility, 
amounting usually to a few dozen trades per day. In contrast, the 
analysis shows that the Proposal could have had a much larger impact 
on trading during periods of greater volatility. Table 4, Panel A, 
for example, shows that during the first half of 2020, the Proposal 
could have impacted approximately $147 million of trading in Tier 2 
ETPs on a single day; approximately $577 million of trading in Tier 
2 ETPs could have been impacted over these six months. Chart 1 of 
the Proposal \42\ also shows that over 500 Tier 2 ETPs would have 
been affected daily during March 2020, a significant percentage of 
the total number of Tier 2 ETPs. In the Proposal, the Participants 
also provide analysis that supports the view that the potential 
impact on trading likely would not be as significant as suggested in 
Table 4, Panel A. For example, in Table 4, Panel B, the Proposal 
provides analysis that assumes that all impacted trading would 
execute at the proposed price bands; under this more conservative 
assumption, notional volume in Tier 2 ETPs would only change by $8 
million on any given day in the first half of 2020, while total 
notional volume in Tier 2 ETPs over these six months would only 
change by $30 million. The Proposal states that it is not likely 
that the Proposal's impact would be as significant as suggested by 
the analysis in Table 4, Panel A, because there could be significant 
additional volume executed at or near the proposed price bands. What 
are commenters' views on the Proposal's analysis of the potential 
impact on trading? Are commenters concerned that the Proposal's 
impact on trading during periods of significant volatility would 
further contribute to that market stress?
---------------------------------------------------------------------------

    \42\ According to the Participants, Chart 1 describes the amount 
of notional value prevented, and the number of symbols impacted, by 
the narrower Theoretical Tier 1 Bands on a day-to-day basis. See 
Notice, 88 FR at 81136.
---------------------------------------------------------------------------

    5. One of the Proposal's conclusions is that, in a majority of 
cases where a trade

[[Page 13395]]

would have been prevented by the proposed narrower bands 
(Theoretical Blocked Trades), prices reverted back to within the 
proposed narrower bands. To support this conclusion, the Proposal 
provides an analysis that trades in Tier 2 ETPs that executed 
outside the proposed narrower bands are generally followed by mid-
point prices within the narrower bands. According to the Proposal, 
this analysis suggests that the Proposal would protect investors 
from trading at inferior prices that may occur because of transitory 
gaps in liquidity instead of fundamental valuation changes. Do 
commenters agree that the analysis appropriately measures price 
reversion and that the Theoretical Blocked Trades often executed 
during temporary liquidity gaps? If not, how do commenters suggest 
the analysis could examine the extent to which Theoretical Blocked 
Trades executed during temporary liquidity gaps? Please explain.
    6. The Proposal compares the quote volatility of Tier 2 ETPs to 
that of Tier 1 non-ETPs, where quote volatility is measured using 
the mid-point at each second. With this measure of volatility, the 
Proposal concludes that Tier 2 ETPs have lower quote volatility than 
Tier 1 non-ETPs, suggesting that Tier 2 ETPs are not too volatile 
for the Tier 1 price bands. In addition, the Proposal acknowledges 
that Tier 2 ETPs are often thinly traded. What are commenters' views 
on whether the comparative analysis has adequately captured Tier 2 
ETP volatility in support of the conclusion that they are not too 
volatile for the Tier 1 price bands? For example, would infrequent 
trading interest bias the analysis due to infrequent updates of the 
mid-point? Are there other measures of volatility that would be more 
appropriate? Please explain.
    7. The Participants state that the Plan does not impose any 
burden on competition that is not necessary or appropriate in 
furtherance of the purposes of the Exchange Act. Do commenters 
believe that the Plan, as proposed to be amended, imposes any burden 
on competition that is not necessary or appropriate in furtherance 
of the purposes of the Exchange Act?
    8. Further, would the Proposal have a positive, negative, or 
neutral impact on competition? Please explain. How would the 
Proposal impact competition across ETP issuers or ETPs on similar 
baskets of securities currently in different tiers? Please explain. 
How would any impact on competition from the Proposal benefit or 
harm the national market system or the various market participants? 
Please describe and explain how, if at all, aspects of the national 
market system or different market participants would be affected. 
Please support any response with data, if possible.
    9. More generally, to the extent possible please provide 
specific data, analyses, or studies for support regarding any 
impacts of the Proposal on competition.

    The Commission requests that commenters provide analysis to support 
their views, if possible.
    Interested persons are invited to submit written data, views, and 
arguments regarding whether the Proposed Amendment should be approved 
or disapproved by March 14, 2024. Any person who wishes to file a 
rebuttal to any other person's submission must file that rebuttal by 
March 28, 2024. Comments may be submitted by any of the following 
methods:

Electronic Comments

    <bullet> Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
    <bullet> Send an email to <a href="/cdn-cgi/l/email-protection#2153544d440c424e4c4c444f5552615244420f464e57"><span class="__cf_email__" data-cfemail="e290978e87cf818d8f8f878c9691a2918781cc858d94">[email protected]</span></a>. Please include 
file number 4-631 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 4-631. 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 (https://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 NE, Washington, DC 
20549, on official business days between the hours of 10 a.m. and 3 
p.m. Copies of the filing also will be available for inspection and 
copying at the Participants' principal offices. Do not include personal 
identifiable information in submissions; you should submit only 
information that you wish to make available publicly. We may redact in 
part or withhold entirely from publication submitted material that is 
obscene or subject to copyright protection. All submissions should 
refer to file number 4-631 and should be submitted on or before March 
14, 2024.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\43\
---------------------------------------------------------------------------

    \43\ 17 CFR 200.30-3(a)(85).
---------------------------------------------------------------------------

Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2024-03539 Filed 2-21-24; 8:45 am]
BILLING CODE 8011-01-P


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