The Commission believes that these exceptions are appropriate. The
Commission notes that market participants currently have rules,
procedures, and systems in place to comply with Rule 611. Therefore,
the Commission believes that the consistency with Rule 611 should
alleviate concerns regarding the costs and burdens of implementing the
Tick Size Pilot because market participants should be able to leverage
existing systems.
    The Commission recognizes the concerns related to modeling the
Trade-At Prohibition exceptions on the Rule 611 exceptions.
Specifically, the Commission notes that two commenters argued that the
rationale for the Rule 611 exceptions should not be necessarily applied
to the Trade-At Prohibition.\348\ The Commission notes that approval of
the Trade-At Prohibition is limited solely to the instant NMS plan and
the Tick Size Pilot, and believes that utilizing current rules,
procedures and systems should facilitate the implementation of the Tick
Size Pilot.
---------------------------------------------------------------------------

    \348\ See supra note 196 and accompanying text.
---------------------------------------------------------------------------

    The Participants also proposed an exception to the Trade-At
Prohibition for fractional shares where fractional shares do not the
result from dividing an order for one or more whole shares. One
commenter supported this exception.\349\ The Commission notes that
there could be potential difficulty in the routing and executing of
fractional shares and believes that such a limited exception is
appropriate.
---------------------------------------------------------------------------

    \349\ See supra Section IV.D.3.f.
---------------------------------------------------------------------------

g. Odd Lots
    The Commission notes that several commenters requested
clarification on how odd lot orders would be treated under the Trade-At
Prohibition.\350\ Under Regulation NMS, odd lot orders are not
considered protected quotations.\351\ Since the Trade-At

Prohibition only applies to protected quotations, odd lot orders and
the odd lot portion of mixed lot orders would therefore not be covered
by the Trade-At Prohibition. On the other hand, if a trading center
that is not displaying a quotation at the price equal to the traded-at
protected quotation and then receives an odd lot order or the odd lot
portion of a mixed lot order, the trading center would be prevented
from executing the odd lot order at the price of the protected
quotation unless an exception applies.\352\
---------------------------------------------------------------------------

    \350\ See supra Section IV.D.3.g.
    \351\ See Rule 600(b)(8) defines a bid or offer as the bid price
or offer price communicated by a member of a national securities
exchange or member of a national securities association to any
broker or dealer, or to any customer, at which it is willing to buy
or sell one or more round lots of any NMS security, as either
principal or agent, but shall not include indications of interest.
This definition of bid or offer is embedded in the definition of
``quotation'' in Rule 600(b)(62), as well as the definition of
``protected bid'' or ``protected offer'' in Rule 600(b)(57). See
``Frequently Asked Questions Concerning Rule 611 and Rule 610,
Question 7.03'', available at https://www.sec.gov/divisions/marketreg/nmsfaq610-11.htm#sec7.
    \352\ See Data Highlight 2014-01: Odd Lot Rates in a Post-
Transparency World, (January 9, 2014), available at http://www.sec.gov/marketstructure/research/sec_data_highlight_2014-01.pdf.
---------------------------------------------------------------------------

E. Collection and Assessment of Tick Size Pilot Data

    The Participants proposed Trading Center Data and Market Maker
Profitability Data elements that were consistent with the June 2014
Order. Several commenters suggested that the data elements should be
based solely on currently available data, such as the data reported to
the processors, SRO proprietary data feeds, or under Rule 605, which
would ease reporting burdens and costs.\353\ However, as discussed
below, the Commission believes that the Trading Center Data and Market
Maker Profitability Data are necessary to provide the Commission and
the public with measurable data on which to assess the Tick Size
Pilot's impact.
---------------------------------------------------------------------------

    \353\ See supra Section IV.E.1.
---------------------------------------------------------------------------

1. Trading Center Data
    The Tick Size Pilot would require the Participants to collect
market quality statistics, data on specific orders, and data on market
makers. The data would be publicly available on a monthly basis. Some
commenters suggested that the Commission should rely on currently
available data as this would reduce the implementation costs while
still providing sufficient information to study the effects of the Tick
Size Pilot.\354\ However, the Commission believes that it is necessary
to collect the Trading Center Data in order to fully analyze the Tick
Size Pilot. These new data elements are important for assessing the
Tick Size Pilot's impact on liquidity, execution quality, market maker
activity, competition, and transparency and are not included currently
in the publicly available data.\355\
---------------------------------------------------------------------------

    \354\ Id.
    \355\ Some commenters suggested that the data-collection
requirements should be limited to data elements needed to assess the
impact of the Tick Size Pilot on liquidity. While recognizing the
importance of liquidity, as discussed throughout this order,
measuring changes in liquidity is not the only goal of the Tick Size
Pilot. Therefore, a broader range of data elements needs to be
available for a full analysis of the Tick Size Pilot.
---------------------------------------------------------------------------

    In particular, the market quality statistics in the Trading Center
Data expand in several important ways on the data reported under Rule
605. For example, compared to Rule 605 data, the market structure
statistics are daily instead of monthly and will be publicly available
more centrally, contain a broader set of orders, contain additional
information on cancelations and hidden orders, and contain additional
categories on order size and time to execution. As described in more
detail below, the Trading Center Data are intended to build on an
infrastructure that already exists for the collection of Rule 605 data
and tailors the data from that infrastructure to the purposes of the
Tick Size Pilot.
    Requiring daily data and making it available more centrally should
improve the feasibility of studying the Tick Size Pilot. Many liquidity
and execution quality statistics using SIP data can be calculated, but
these statistics are imperfect because they focus on trades instead of
orders. For the purposes of assessing the Tick Size Pilot, execution
quality of orders is more relevant. Rule 605 data, on the other hand,
focuses on orders, but are available on a monthly aggregated basis and
are from each of hundreds of trading centers. The daily frequency of
the market quality statistics should allow for the study of the time
series of metrics in a manner that provides a greater ability to
statistically detect changes in market quality resulting from the Tick
Size Pilot because it allows for the analysis of effects on a daily
basis.\356\ Requesting data that can be collected using existing Rule
605 infrastructure should reduce the incidence of data errors that
result from creating a dataset from scratch which should increase the
reliability of the data and reduce costs.
---------------------------------------------------------------------------

    \356\ Statistically, a daily time series provides greater
ability for tests to detect changes resulting from the Tick Size
Pilot.
---------------------------------------------------------------------------

    Including additional orders and reducing duplication could help to
tailor the market quality statistics to the purposes of the Tick Size
Pilot. The market quality statistics include a broader set of orders
than Rule 605 statistics, with reduced double counting. In particular,
the Tick Size Pilot requires producing market quality statistics on all
orders regardless of inclusion in Rule 605 statistics, but includes
only statistics on orders that the execution venue executes in part or
full. The market quality statistics categorize some of the orders not
included in Rule 605 data. In particular, the market quality statistics
include categories for resting intermarket sweep orders, retail
liquidity providing orders and midpoint passive liquidity orders and
separates statistics by whether the statistics are for orders included
in Rule 605 data or not. In addition, the market quality statistics
include an order size category to capture orders of 10,000 shares or
more, which are excluded from Rule 605. Because the purpose of Rule 605
differs from that of the Tick Size Pilot, studies of the Tick Size
Pilot necessarily benefit from the inclusion of all orders that could
be impacted by wider tick sizes. The Trading Center Data does not
include the Rule 605 data on orders that are routed away in their
entirety. The Rule 605 data for a particular trading center includes
orders that a trading center routed away in their entirety. If this
data was aggregated, it would produce double counting of these orders.
Because Commission staff intends to aggregate the Trading Center Data
across the trading centers, the Commission has decided to not require
this information to prevent the likely double counting that could occur
when such orders are routed in their entirety.\357\
---------------------------------------------------------------------------

    \357\ In addition, such orders would be attributed to the market
center that routed them away and execution quality metrics for that
market center would contain such orders that were not executed on
the market center.
---------------------------------------------------------------------------

    Including additional data elements and categories in market quality
statistics compared to Rule 605 allows for the study of key issues and
helps to supplement other existing public data such as the data on the
Commission's Market Structure Web site.\358\ The additional market
quality statistics include information on displayed or hidden order
status, which would provide a more fulsome view of transparency than
other sources of information on hidden orders including those on the
Commission's Market Structure Web site.\359\ The market structure
statistics include significantly more refined time interval categories

(starting with microseconds rather than seconds) to measure speed of
order executions and additional order categories. These changes allow
for comparability to the statistics available on the Commission's
Market Structure Web site. The Trading Center Data adds information on
speed of order cancellations.\360\ Because the Tick Size Pilot may
affect investors' behavior regarding cancellations, the ability to
observe those changes would help to better understand the effects of
the Tick Size Pilot.
---------------------------------------------------------------------------

    \358\ The Commission's Market Structure Web site (http://www.sec.gov/marketstructure/) allows the public access to data
derived from the Commission's MIDAS, which several commenters
suggested as an alternative to the Trading Center Data. See supra
Section IV.E.1.
    \359\ The Commission's Market Structure Web site provides data
on hidden orders for only a subset of exchanges because not all
exchanges provide hidden order information in their proprietary data
feeds, which supply data to MIDAS.
    \360\ A wider tick size may change the composition of the market
participants for a given stock and it may also change their
behavior. For example, ``pinging'' the market, which results in
frequent and fast cancellations, becomes more expensive and
therefore less attractive. As a result, the practice may be used
less in stocks with a wider tick size.
---------------------------------------------------------------------------

    The Trading Center Data on specific orders provides disaggregated
execution, cancellation and routing statistics for individual market
and marketable limit orders. This type of information is not available
from any public source or from any raw data source that, as a practical
matter, is available in an easily and publicly accessible manner to
meet the needs of the Tick Size Pilot. As noted above, order
information is more relevant for studies of the Tick Size Pilot than
SIP data because order information can consider the full order size.
The data on specific orders improves on the market quality statistics
by allowing researchers to more directly test hypotheses on the effect
of the Tick Size Pilot on quote competition and transparency, for
example. Researchers can also supplement statistics they derive from
this data with statistics on limit orders from the Commission's Market
Structure Web site.
    Finally, the Trading Center Data includes daily statistics on
registration and participation of market makers. Information on market
maker registration and participation is necessary to test the
hypothesis that widening the tick size could encourage market making in
such a way to improve the liquidity and trading of small capitalization
stocks, which could potentially allow such issuers to raise capital
more easily. Such data is not available publicly, except from a few
exchanges.
    Because of these enhancements, the Commission believes that
collections of Trading Center Data should facilitate a significantly
richer analysis than the public data of the effects of the Tick Size
Pilot on liquidity (e.g., transaction costs by order size), execution
quality (e.g., speed of order executions), market maker activity,
competition between trading venues (e.g., routing frequency of market
orders), transparency (e.g., choice between displayed and hidden
orders), and market dynamics (e.g., rates and speed of order
cancellations), and thus is necessary to fully assess the impact of the
Tick Size Pilot.
2. Market Maker Profitability Data
    The Tick Size Pilot would require market makers to produce the
Market Maker Profitability Data, which relates to daily trading profits
on the Pilot Securities. Several commenters opposed the collection of
Market Maker Profitability Data.\361\ Commenters raised concerns about
the costs of collecting the data as well as concerns related to the
confidentiality and the competitive impact of the data. Commenters
suggested that market makers would forego participation in the Tick
Size Pilot if they were required to submit their Market Maker
Profitability Data.
---------------------------------------------------------------------------

    \361\ See supra Section IV.E.2.
---------------------------------------------------------------------------

    The Commission notes that one of the premises behind the Tick Size
Pilot is that a widened tick increment could increase market maker
profits and that the increased profits could foster a more robust
secondary market for small capitalization stocks (and ultimately a more
robust primary market) by, for example, increasing liquidity, enhancing
the attractiveness of acting as a market maker, and possibly increasing
the provision of sell-side research. Without the Market Maker
Profitability Data, the Commission and the public would not be able to
test this hypothesis. In light of the comments on the costs of
producing the Market Maker Profitability Data and the confidentiality
of the data, however, the Commission deems it necessary to modify this
data-collection requirement in two ways.
    First, the Commission is eliminating the data element which
required realized trading profits net of fees and rebates from the list
of the required market maker profitability statistics and the data
element that would have required the DEA to calculate the volume-
weighted average of market maker realized traded profits net of fees
and rebates. Some commenters expressed concern that because fees and
rebates are charged monthly and in an aggregate form, the fees and
rebates could be difficult to assign to daily trades in specific
securities. As a result, data on market maker realized trading profits
net of fees and rebates could be difficult to produce accurately and in
a cost effective manner.
    After carefully considering these comments, the Commission is
eliminating these data elements from the list of the required Market
Maker Profitability Data because of the difficulties in calculating the
data and the concerns about the costs related to the calculation.
Eliminating this data element should ease the implementation burdens
and costs to produce the data. Further, the Commission recognizes that
changes in raw realized trading profits may be more relevant for the
economic relation the Tick Size Pilot is addressing. The Commission
believes that the data on realized raw trading profits and unrealized
raw trading profits should be sufficient to support robust
analysis.\362\
---------------------------------------------------------------------------

    \362\ The Commission believes that the costs of producing the
modified Market Maker Data may not be high and the Commission
understands that market makers may capture trading profit data for
internal business purposes. One commenter suggested that measuring
market maker profitability for each security may be difficult
because ``costs [of market making] are typically allocated to
trading across the board, rather than on a symbol-by-symbol basis.''
In response to this comment, the Commission notes that the modified
Market Maker Data is limited to measures of gross trading
profitability, which do not require information on general operating
costs (or allocation of these costs to specific securities). Another
commenter mentioned that some market makers may not currently
compute their profits on a LIFO basis. However, the Commission
believes that even for these market makers it should be fairly easy
to implement a LIFO-like method for computing their profits as
required by the Tick Size Pilot. Independent of which specific
method, e.g., LIFO, FIFO, or average cost basis, is used to compute
profits, the same information has to be collected, processed, and
stored. The only difference is the formula for computation. The
Commission recognizes that there will be costs associated with
computing profits in a manner different than current profit
calculations. However, the requirement to produce profitability
figures for the Tick Size Pilot does not mean that market makers are
required to change how they currently compute trading profits for
internal business purposes. For example, a market maker may continue
to use a FIFO-like method for internal profit computations and only
report profits on a LIFO basis for the purpose of the Tick Size
Pilot. This would alleviate the risk for disruptions due to a change
in their practices.
---------------------------------------------------------------------------

    Second, to address confidentiality concerns the Commission is
modifying the NMS plan to require further aggregation of all Market
Maker Profitability Data for public dissemination. Some commenters
expressed concern about dissemination of Market Maker Profitability
Data (even in aggregate form for each security) and opined that some
designated market makers could deregister from Pilot Securities to
avoid providing profitability data. The Commission recognizes that some
Pilot Securities may have a relatively small number of designated
market makers, and that in these cases aggregating profitability data
across market makers may be insufficient to fully protect the
confidentiality of profits of individual

market makers. For example, some smaller market makers may be able to
use aggregate data to infer the profitability of their larger
competitors, which could give them an unfair competitive advantage. To
address the confidentiality concerns raised by commenters and to ensure
that public dissemination of the Market Maker Data does not adversely
impact competition between market makers, the Commission has determined
that the DEA should further aggregate the Market Maker Profitability
Data by each Test Group and Control Group such that the public data
will not contain profitability measures for each security. The
Commission notes that the data available to Participants and the
Commission would continue to identify the market maker profits in
individual stocks.\363\ As a result of this change, the public would
not have the ability to match individual stocks in the Test Groups with
stocks from the Control Group and compare changes in profitability
between stocks from the Test Groups and the matched stocks. The
Commission, however, believes this modification should adequately
address confidentiality concerns related the dissemination of detailed
Market Maker Profitability Data. Therefore, the Commission deems it
appropriate to modify the Market Maker Profitability Data as described
above.
---------------------------------------------------------------------------

    \363\ The Commission notes that it will keep this information
confidential, subject to the provisions of applicable law.
Additionally, as noted below, because the Participants will have
data that is more detailed than the public, the Commission has
determined that the SROs should provide an assessment of Market
Maker Profitability Data. See infra Section V.E.3.
---------------------------------------------------------------------------

    Some commenters suggested that the disclosure of Market Maker
Profitability Data to DEAs may be anti-competitive, as market makers
would essentially have to disclose sensitive, proprietary information
to their exchange competitors. In response to these comments, the
Commission notes that many market makers are already required to
provide profitability information to their DEAs as part of their
registration requirements and by virtue of their membership with a
national securities exchange or association. Thus, the Commission
believes that the additional impact of the disclosing Market Maker Data
is not likely to be significant. Moreover, the Commission emphasizes
that the Participants are expected to collect and use Tick Size Pilot
data, including Market Maker Profitability Data, for legitimate
regulatory purposes, and not for inappropriate, anti-competitive
purposes.
3. Assessment of Tick Size Pilot Data
    The Tick Size Pilot would require the Participants to provide a
joint assessment on the impact of the Tick Size Pilot, no later than
six months after the end of the Pilot Period. In the June 2014 Order,
the Commission identified certain assessments that the Participants
were to conduct and to submit to the Commission. However, the
Participants did not include the assessment related to the impact of
quoting and trading increments on the profitability of market makers in
the proposed Tick Size Pilot because, in their view, the market makers
would be better positioned, compared to the Participants, to analyze
such data.\364\
---------------------------------------------------------------------------

    \364\ See Notice, 79 FR at 66428, supra note 5.
---------------------------------------------------------------------------

    As previously noted, the impact of a wider tick size on market
maker profitability is an important assessment to be conducted. In
addition, the Commission has modified the Market Maker Profitability
Data to require further aggregation of publically released data. While
the public will still be able to study this aggregated profitability
data, the public is limited in its ability to conduct an independent
assessment based on the more granular profitability data available to
the Participants and the Commission. Therefore, the Commission is
modifying the NMS plan to reflect that the Participants are required to
conduct and submit this assessment. The Commission deems it appropriate
to modify the NMS plan to require this assessment.
    The Commission is also modifying the timing when the impact
assessments should be prepared by the Participants and submitted to the
Commission. In particular, the Commission is modifying the NMS plan to
require the Participants to submit their assessments 18-months after
the Tick Size Pilot begins based on data generated during the first
year of the Tick Size Pilot or a subset of which that represents the
impact of the Tick Size Pilot. The Commission notes that the timing for
when the assessments are due to the Commission has not changed. As
proposed, the Participants would have submitted their assessment six
months after the end of the Pilot Period (which would have been 18-
months after the Tick Size Pilot was implemented). This modification
has been made in relation to the modified Pilot Period. As a result,
the Commission will receive the impact assessment of the Tick Size
Pilot six months prior to its completion. The Commission is not
modifying the NMS plan to require the Participants to conduct more
frequent periodic impact assessments as some commenters' suggested
\365\ because it does not believe that the incremental benefit of such
additional assessment would justify the increased burdens and costs on
the Participants. The Commission deems it appropriate to modify the
timing of the Participant assessments because it would provide the
Commission and the public with relevant data on the impact of the Tick
Size Pilot before the Pilot Period ends.
---------------------------------------------------------------------------

    \365\ See supra Section IV.E.3.
---------------------------------------------------------------------------

    Commenters also stated that the Commission should define success
metrics for the Tick Size Pilot and what would warrant it being adopted
on a permanent basis.\366\ The Commission has carefully considered
these comments but believes that defining the success metrics before
the Tick Size Pilot begins could unduly influence behavior by market
participants. The Tick Size Pilot is intended to be a test to inform
the Commission and the public about the possible impacts of a wider
tick size in small capitalization securities. The NMS plan sets forth
the data elements that the Commission believes would be informative and
support broad analysis. The Commission has described the questions that
it believes the data should be able to address. In particular, the
Commission believes that the Tick Size Pilot as designed should
generate data that would support analysis and studies of the effect of
increased tick size on liquidity, execution quality for investors,
volatility, market maker profitability, competition, transparency and
institutional ownership. The results of the Tick Size Pilot could
reveal tradeoffs among these and other considerations and the potential
permutations in the results are likely to be too extensive to define
success at this point.
---------------------------------------------------------------------------

    \366\ Id.
---------------------------------------------------------------------------

F. Use of an NMS Plan

    Certain commenters suggested that the Tick Size Pilot should be
implemented via Commission rulemaking, rather than through the NMS plan
process.\367\ Some commenters suggested that the Tick Size Pilot was
too significant to be delegated to the Participants and raised concerns
that not all market participants, including market makers, broker-
dealers and institutional investors, were included in the development
of the Tick Size Pilot. Certain commenters were concerned about
potential conflict of interests that could arise in the Participants'

development of the NMS plan. A number of commenters questioned whether
it was appropriate to have Participants formulate an NMS plan that
would affect their competitors. Additionally, some commenters intimated
that a conflict of interest may exist by highlighting the Participants'
for-profit status.
---------------------------------------------------------------------------

    \367\ See supra Section IV.F.
---------------------------------------------------------------------------

    As discussed above, the Commission has reasons to proceed with the
Tick Size Pilot as an NMS plan.\368\ The process for an NMS plan has
some similarities to a rulemaking. Like a Commission rulemaking, an NMS
plan is subject to public notice and comment, which provides all
interested parties, including market makers, broker-dealers, investors,
and issuers, an opportunity to offer substantive comment on the plan
prior to Commission consideration of whether to approve it. The
Commission published this NMS plan and therefore, it was subject to
notice and comment.\369\ In addition, the process is subject to
Commission's oversight and approval authority. In this regard, Rule
608(b)(2) provides that the Commission shall approve an NMS 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 Act.\370\ As
discussed throughout this order, the Commission believes the NMS plan
meets the standard for approval and has exercised its authority to
modify this NMS plan consistent with the standard.
---------------------------------------------------------------------------

    \368\ See supra Section V.A.
    \369\ See Notice supra note 5.
    \370\ 17 CFR 242.608(b)(2).
---------------------------------------------------------------------------

    Certain commenters raised concerns related to the role of the
Participants, and of potential conflicts of interest, in the
development of the Tick Size Pilot. The Commission recognizes that most
of the Participants are for-profit exchanges that compete in various
respects with their broker-dealer members. However, the Participants
also are self-regulatory organizations, with specified regulatory
obligations under the Act and Commission rules. Among other things,
Section 11A(a)(3) of the Act, and Rule 608 thereunder, contemplate that
SROs may act jointly in furtherance of their regulatory obligations by
developing and filing proposed NMS plans with the Commission and, if
approved, operating them subject to the Commission's oversight and
authority.\371\ The Commission recognizes that certain provisions of
the NMS plan could have a competitive impact on broker-dealer members
and other market participants. The Rule 608 process, however, requires
that proposed NMS plans be published for public comment and subject to
Commission review and approval. As discussed above, the Commission has
reviewed the NMS plan and thoroughly evaluated commenters' concerns,
including those relating to the impact of the Tick Size Pilot on
competition. The Commission has modified the NMS plan by removing the
Venue Limitation, which it believes would have placed an unnecessary
burden on competition, and the Commission exercised its authority to
make other modifications to address other concerns.
---------------------------------------------------------------------------

    \371\ 15 U.S.C. 78k-1(a)(3). See 17 CFR 242.608.
---------------------------------------------------------------------------

G. Issuer Participation

    Commenters suggested that issuers should have the ability to opt-in
or opt-out of the Tick Size Pilot,\372\ or establish committees that
represent the interests of issuers during the Tick Size Pilot. One
commenter believed that instead of approving the Tick Size Pilot, the
Commission should permit issuers to contract with market makers for the
purpose of determining their spreads. The Commission has carefully
considered these comments but believes that in order to generate useful
and reliable data from the Tick Size Pilot, issuers should not be able
to opt-in or opt-out. Allowing such an option would introduce a
selection bias that would make the results of the Tick Size Pilot
applicable only to the participating securities and limit the ability
of researchers to draw specific conclusions about the impact of wider
tick sizes on market for small capitalization stocks. The Commission
believes that permitting issuers to contract with market makers for the
purpose of determining spreads would similarly introduce selection bias
and undermine the goal of the Tick Size Pilot.\373\
---------------------------------------------------------------------------

    \372\ See supra Section IV.G.
    \373\ In addition, the Commission notes that certain exchanges
currently operate pilot programs that permit issuers to, indirectly
through the exchange, compensate market makers to provide liquidity
in the issuers' securities. See, e.g., NYSE Arca Equities Rule 8.800
(NYSE Arca Equities ETP Incentive Program); BATS Rule 11.8.02 (BATS
Competitive Liquidity Provider Program); and Nasdaq Rule 5950
(Market Quality Program).
---------------------------------------------------------------------------

H. Implementation

    Commenters noted that a one-year implementation period could be
appropriate if the Tick Size Pilot was simplified, by among other
things, removing the Trade-At Prohibition. \374\ While the Commission
has not removed the Trade-At Prohibition, the Commission believes that
the modifications to the Tick Size Pilot, such as restricting the
Trade-At Prohibition to Regular Trading Hours, removing the Venue
Limitation and removing realized trading profits net of fees and
rebates from the Market Maker Profitability Data, should lessen some of
the implementation burdens.
---------------------------------------------------------------------------

    \374\ See supra note 244 and accompanying text.
---------------------------------------------------------------------------

    Accordingly, the Commission believes that he Tick Size Pilot should
be implemented within one year after the publication of this order. The
Commission believes that the one year period for implementation should
provide adequate time for the development and testing of applicable
trading and compliance systems, the filing and approval of SRO rules
related to the Tick Size Pilot's quoting and trading requirements, and
the development and implementation of the written policies and
procedures by Participants and their members that are reasonably
designed to comply with the applicable quoting and trading increments.
    Certain commenters requested that the Commission, or the
Participants, release detailed frequently-asked-questions (``FAQs'') to
assist implementation of the Tick Size Pilot.\375\ As the
implementation period progresses, should questions arise, the
Commission and the Participants will consider whether to issue FAQs to
address any such questions.
---------------------------------------------------------------------------

    \375\ See KCG Letter at 17; Liquidnet Letter at 2; and Bloomberg
Letter at 20.
---------------------------------------------------------------------------

    One commenter requested that the list of securities be finalized
prior to determining the implementation schedule.\376\ The Commission
does not believe it is necessary to finalize the list of securities
prior to determining the implementation schedule. The Commission notes
that the list of securities would be finalized based on data collected
during the Measurement Period. \377\ To avoid including Pilot
Securities whose characteristics would not meet the defined selection
criteria, the time gap between the Measurement Period and the beginning
of the Pilot Period should be as short as possible. For example, the
NMS plan includes price as one criterion in the selection of securities
such that the closing price be at least $1.50 on every trading day

during the Measurement Period. If the Measurement Period ended six
months before the start of the Tick Size Pilot, the risk that
securities may have prices below $1.00 during the Tick Size Pilot would
be higher than the risk with a later Measurement Period.
---------------------------------------------------------------------------

    \376\ See Bloomberg Letter at 20.
    \377\ See NMS plan Section (I)(N), which defines the Measurement
Period as the U.S. trading days during the three-calendar-month
period ending at least 30 days prior to the effective date of the
Pilot Period.
---------------------------------------------------------------------------

VI. Conclusion

    For the reasons discussed above, the Commission finds that the NMS
Plan to Implement a Tick Size Pilot Program 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 mechanism of, a national market system, or otherwise in
furtherance of the purposes of the Act.
    It is therefore ordered, that pursuant to Section 11A of the Act,
and the rules and regulations thereunder, that the NMS plan (File No.
4-657), as modified, be and it hereby is approved and declared
effective, and the Participants are authorized to act jointly to
implement the NMS plan and its Tick Size Pilot as a means of
facilitating a national market system.

    By the Commission.
Brent J. Fields,
Secretary.

Exhibit A

Plan To Implement a Tick Size Pilot Program Submitted to the Securities
and Exchange Commission Pursuant to Rule 608 of Regulation NMS Under
the Securities Exchange Act of 1934 (As Modified by the Commission;
additions are in underline and deletions are in [brackets])

Table of Contents

------------------------------------------------------------------------
                           Section
------------------------------------------------------------------------
Preamble....................................................           1
I. Definitions..............................................           2
II. Parties.................................................           7
III. Amendments to Plan.....................................           9
IV. Policies and Procedures.................................          10
V. Identification of Pilot Securities.......................          11
VI. Pilot Test Groups.......................................          14
VII. Collection of Pilot Data...............................          20
VIII. Assessment of Pilot...................................          22
IX. Implementation..........................................          23
X. Withdrawal from Plan.....................................          23
XI. Counterparts and Signatures.............................          24
Appendix A--Publication of Pilot Securities.................          26
Appendix B--Data Collected by Participants and Trading                28
 Centers....................................................
Appendix C--Data Collected by Market Makers.................          37
------------------------------------------------------------------------

Preamble

    Pursuant to Section 11A(a)(3)(B) of the Exchange Act, which
authorizes the SEC to require by order self-regulatory organizations to
act jointly with respect to matters as to which they share authority in
planning, developing, operating, or regulating a national market
system, the SEC issued an order directing the Participants to submit a
Tick Size Pilot Plan as a national market system plan pursuant to Rule
608(a)(3) of Regulation NMS under the Exchange Act. In response, the
Participants submit this Plan to implement a Tick Size Pilot Program
that will allow the Commission, market participants, and the public to
study and assess the impact of increment conventions on the liquidity
and trading of the common stocks of small capitalization companies. To
do so, the Plan provides for the widening of quoting and trading
increments for a group of Pilot Securities. As detailed herein, the
Pilot Securities will be subdivided into three Test Groups and a
Control Group, each with its own requirements and exceptions relating
to quoting and trading increments to facilitate the referenced
analysis.

I. Definitions

    (A) ``Average effective spread'' has the meaning provided in Rule
600(b)(5) of Regulation NMS under the Exchange Act.
    (B) ``Average realized spread'' has the meaning provided in Rule
600(b)(6) of Regulation NMS under the Exchange Act.
    (C) ``Benchmark trade'' means the execution of an order at a price
that was not based, directly or indirectly, on the quoted price of a
Pilot Security at the time of execution and for which the material
terms were not reasonably determinable at the time the commitment to
execute the order was made.
    (D) ``Best protected bid'' means the highest priced protected bid.
    (E) ``Best protected offer'' means the lowest priced protected
offer.
    (F) ``Block Size'' means for purposes of this Tick Size Pilot
Program, an order (1) of at least 5,000 shares or (2) for a quantity of
stock having a market value of at least $100,000 [has the meaning
provided in Rule 600(b)(9) of Regulation NMS under the Exchange Act].
    (G) ``Brokered cross trade'' means a trade that a broker-dealer
that is a member of a Participant executes directly by matching
simultaneous buy and sell orders for a Pilot Security.
    (H) ``Closing Price'' means the closing auction price on the
primary listing exchange, or if not available, then the last regular-
way trade reported by the processor prior to 4:00 p.m. ET.
    (I) ``Designated Examining Authority'' means, with respect to a
member of two or more self-regulatory organizations, the self-
regulatory organization responsible for (i) examining such member for
compliance with the financial responsibility requirements imposed by
the Exchange Act, or by Commission or self-regulatory organization
rules, (ii) receiving regulatory reports from such member, (iii)
examining such member for compliance with, and enforcing compliance
with, specified provisions of the Exchange Act, the rules and
regulations thereunder, and self-regulatory organization rules, and
(iv) carrying out any other specified regulatory functions with respect
to such member.
    (J) ``Exchange Act'' means the Securities Exchange Act of 1934, as
amended.
    (K) ``Inside-the-quote limit order,'' ``at-the-quote limit order,''
and ``near-the-quote limit order'' mean non-marketable buy orders that
are ranked at a price, respectively, higher than, equal to, and lower
by $0.10 or less than the National Best Bid at the time of order
receipt, and non-marketable sell orders that are ranked at a price,
respectively, lower than, equal to, and higher by

$0.10 or less than the National Best Offer at the time of order
receipt.
    (L) ``Market Maker'' means a dealer registered with any self-
regulatory organization, in accordance with the rules thereof, as (i) a
market maker or (ii) a liquidity provider with an obligation to
maintain continuous, two-sided trading interest.
    (M) ``Marketable limit order'' means any buy order with a limit
price equal to or greater than the National Best Offer at the time of
order receipt, or any sell order with a limit price equal to or less
than the National Best Bid at the time of order receipt. For price
sliding, pegged, discretionary, or similar order types where the ranked
price is different from the limit price, the ranked price will
determine marketability.
    (N) ``Measurement Period'' means the U.S. trading days during the
three-calendar- month period ending at least 30 days prior to the
effective date of the Pilot Period.
    (O) ``National Best Bid'' and ``National Best Offer'' have the
meanings provided in Rule 600(b)(42) of Regulation NMS under the
Exchange Act.
    (P) ``Negotiated Trade'' means (i) a Benchmark trade, including,
but not limited to, a Volume-Weighted Average Price trade or a Time-
Weighted Average Price trade, provided that, if such a trade is
composed of two or more component trades, each component trade complies
with the quoting and trading increment requirements of the Plan, or
with an exception to such requirements, or (ii) a Pilot Qualified
Contingent Trade.
    (Q) ``NMS common stock'' means an NMS stock that is common stock of
an operating company.
    (R) ``NMS stock'' has the meaning provided in Rule 600(b)(47) of
Regulation NMS under the Exchange Act.
    (S) ``Operating Committee'' has the meaning provided in Section
III(C) of the Plan.
    (T) ``Participant'' means a party to the Plan.
    (U) ``Pilot Period'' means the operative period of the Tick Size
Pilot Program, lasting [one] two years from the date of implementation.
    (V) ``Pilot Qualified Contingent Trade'' means a transaction
consisting of two or more component orders, executed as agent or
principal, where: (1) at least one component order is in an NMS common
stock; (2) all components are effected with a product or price
contingency that either has been agreed to by the respective
counterparties or arranged for by a broker-dealer as principal or
agent; (3) the execution of one component is contingent upon the
execution of all other components at or near the same time; (4) the
specific relationship between the component orders (e.g., the spread
between the prices of the component orders) is determined at the time
the contingent order is placed; (5) the component orders bear a
derivative relationship to one another, represent different classes of
shares of the same issuer, or involve the securities of participants in
mergers or with intentions to merge that have been announced or since
canceled; and (6) the transaction is fully hedged (without regard to
any prior existing position) as a result of the other components of the
contingent trade.
    (W) ``Pilot Securities'' means those securities that satisfy the
criteria established in Section V.
    (X) ``Plan'' means the plan set forth in this instrument, as
amended from time to time in accordance with its provisions.
    (Y) ``Processor'' means the single plan processor responsible for
the consolidation of information for an NMS stock pursuant to Rule
603(b) of Regulation NMS under the Exchange Act.
    (Z) ``Protected bid'' and ``protected offer'' have the meanings
provided in Rule 600(b)(57) of Regulation NMS under the Exchange Act.
    (AA) ``Protected quotation'' has the meaning provided in Rule
600(b)(58) of Regulation NMS under the Exchange Act.
    (BB) ``Quotation'' has the meaning provided in Rule 600(b)(62) of
Regulation NMS under the Exchange Act.
    (CC) ``Regular Trading Hours'' has the meaning provided in Rule
600(b)(64) of Regulation NMS under the Exchange Act. For purposes of
the Plan, Regular Trading Hours can end earlier than 4:00p.m. ET in the
case of an early scheduled close.
    (DD) ``Retail Investor Order'' means an agency order or a riskless
principal order originating from a natural person, provided that, prior
to submission, no change is made to the terms of the order with respect
to price or side of market and the order does not originate from a
trading algorithm or any other computerized methodology. The
Participant that is the Designated Examining Authority of a member of a
Participant operating a trading center executing a Retail Investor
Order will require such trading center to sign an attestation that
substantially all orders to be executed as Retail Investor Orders will
qualify as such under the Plan.
    (EE) ``Retail liquidity providing order'' means an order entered
into a Participant-operated retail liquidity program to execute against
Retail Investor Orders.
    (FF) ``SEC'' means the United States Securities and Exchange
Commission.
    (GG) ``SRO quotation feed'' means any market data feed disseminated
by a self-regulatory organization.
    (HH) ``Tick Size Pilot Program'' means the program established by
this Plan and by the corresponding rules of the Participants.
    (II) ``Time of order execution'' means the time (to the second, or
to such smaller increments as are available) that an order was executed
at any venue.
    (JJ) ``Time of order receipt'' means the time (to the second, or to
such smaller increments as are available) that an order was received by
a trading center for execution.
    (KK) ``Time-Weighted Average Price'' means the price calculated as
the average price of a security over a specified period of time.
    (LL) ``Trade-at'' means the execution by a trading center of a sell
order for a Pilot Security at the price of a protected bid or the
execution of a buy order for a Pilot Security at the price of a
protected offer during Regular Trading Hours.
    (MM) ``Trade-at Intermarket Sweep Order'' means a limit order for a
Pilot Security that meets the following requirements:
    (1) When routed to a trading center, the limit order is identified
as an Intermarket Sweep Order; and
    (2) Simultaneously with the routing of the limit order identified
as an Intermarket Sweep Order, one or more additional limit orders, as
necessary, are routed to execute against the full displayed size of any
protected bid, in the case of a limit order to sell, or the full
displayed size of any protected offer, in the case of a limit order to
buy, for the Pilot Security with a price that is equal to the limit
price of the limit order identified as an Intermarket Sweep Order.
These additional routed orders also must be marked as Intermarket Sweep
Orders.
    (NN) ``Trading center'' has the meaning provided in Rule 600(b)(78)
of Regulation NMS under the Exchange Act.
    (OO) ``Volume-Weighted Average Price'' means the price calculated
by summing up the products of the number of single-counted shares
traded and the respective share price, and dividing by the total number
of single-counted shares traded.

II. Parties

(A) List of Parties

    The parties to the Plan are as follows:

(1) BATS Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(2) BATS Y-Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(3) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago,
Illinois 60605
(4) EDGA Exchange, Inc., 545 Washington Boulevard, Sixth Floor, Jersey
City, NJ 07310
(5) EDGX Exchange, Inc., 545 Washington Boulevard, Sixth Floor, Jersey
City, NJ 07310
(6) Financial Industry Regulatory Authority, Inc., 1735 K Street NW.,
Washington, DC 20006
(7) NASDAQ OMX BX, Inc., One Liberty Plaza, New York, NY 10006
(8) NASDAQ OMX PHLX LLC, 1900 Market Street, Philadelphia, PA 19103
(9) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New
York, NY 10006
(10) New York Stock Exchange LLC, 11 Wall Street, New York, NY 10005
(11) NYSE MKT LLC, 11 Wall Street, New York, NY 10005
(12) NYSE Area, Inc., 11 Wall Street, New York, NY 10005

(B) Compliance Undertaking

    By subscribing to and submitting the Plan for approval by the SEC,
each Participant agrees to comply with, and to enforce compliance by
its members, as applicable, with the provisions of the Plan as required
by Rule 608(c) of Regulation NMS under the Exchange Act. To this end,
each Participant will adopt rules requiring compliance by its members
with the provisions of the Plan, as applicable, and adopt such other
rules as are needed for such compliance.

(C) New Participants

    The Participants agree that any entity registered as a national
securities exchange or national securities association under the
Exchange Act may become a Participant by: (1) executing a copy of the
Plan, as then in effect; (2) providing each then-current Participant
with a copy of such executed Plan; and (3) effecting an amendment to
the Plan as specified in Section III(B) of the Plan.

III. Amendments to Plan

(A) General Amendments

    Except with respect to the addition of new Participants to the
Plan, any proposed change in, addition to, or deletion from the Plan
will be effected by means of a written amendment to the Plan that: (1)
sets forth the change, addition, or deletion; (2) is executed on behalf
of each Participant; and (3) is approved by the SEC pursuant to Rule
608 of Regulation NMS under the Exchange Act, or otherwise becomes
effective under Rule 608 of Regulation NMS under the Exchange Act.

(B) New Participants

    With respect to new Participants, an amendment to the Plan may be
effected by the new national securities exchange or national securities
association executing a copy of the Plan, as then in effect (with the
only changes being the addition of the new Participant's name in
Section II(A) of the Plan) and submitting such executed Plan to the SEC
for approval. The amendment will be effective when it is approved by
the SEC in accordance with Rule 608 of Regulation NMS under the
Exchange Act, or otherwise becomes effective pursuant to Rule 608 of
Regulation NMS under the Exchange Act.

(C) Operating Committee

    (1) Each Participant will select from its staff one individual to
represent the Participant as a member of an Operating Committee,
together with a substitute for such individual. The substitute may
participate in deliberations of the Operating Committee and will be
considered a voting member thereof only in the absence of the primary
representative. Each Participant will have one vote on all matters
considered by the Operating Committee. No later than the initial date
of Plan operations, the Operating Committee will designate one member
of the Operating Committee to act as the Chair of the Operating
Committee.
    (2) The Operating Committee will monitor the procedures established
pursuant to this Plan and advise the Participants with respect to any
deficiencies, problems, or recommendations as the Operating Committee
may deem appropriate. The Operating Committee will establish
specifications and procedures for the implementation and operation of
the Plan that are consistent with the provisions of this Plan. With
respect to matters in this paragraph, Operating Committee decisions
must be approved by a simple majority vote.
    (3) Any recommendation for an amendment to the Plan from the
Operating Committee that receives an affirmative vote of at least two-
thirds of the Participants, but is less than unanimous, will be
submitted to the SEC as a request for an amendment to the Plan
initiated by the Commission under Rule 608 of Regulation NMS.

IV. Policies and Procedures

    Consistent with the compliance undertakings set out in Section
II(B), all Participants and members of Participants will be required to
establish, maintain, and enforce written policies and procedures that
are reasonably designed to comply with applicable quoting and trading
requirements specified in Section VI for the Pilot Securities.
    Each Participant, as applicable, will develop appropriate policies
and procedures that provide for collecting and reporting to the SEC the
data described in Appendix B. In addition, each Participant that is the
Designated Examining Authority of a member of a Participant operating a
trading center will require such member to develop appropriate policies
and procedures for collecting and reporting the data described in Items
I and II of Appendix B, as applicable, to the Designated Examining
Authority. Each Participant that is the Designated Examining Authority
of a member of a Participant operating a trading center will develop
appropriate policies and procedures, as applicable, that provide for
collecting and reporting such data to the SEC. The data collection and
reporting obligations are described below in Section VII.
    Each Participant that is the Designated Examining Authority of a
Market Maker will require such Market Maker to develop policies and
procedures for collecting the data set out in Appendix C and reporting
it to the Designated Examining Authority. Each Participant that is the
Designated Examining Authority of a Market Maker will develop
appropriate policies and procedures that provide for collecting and
reporting such data to the SEC on an aggregated basis. The Designated
Examining Authority will also develop policies and procedures
reasonably designed to ensure the confidentiality of the non-aggregated
data it receives from Market Makers. The data collection and reporting
obligations are described below in Section VII.

V. Identification of Pilot Securities

(A) Criteria for Selection of Pilot Securities

    Pilot Securities will consist of those NMS common stocks that
satisfy the following criteria:
    (1) A market capitalization of $[5]3 billion or less on the last
day of the Measurement Period, where market capitalization is
calculated by multiplying the total number of shares outstanding on
such day by the Closing Price of the security on such day;
    (2) A Closing Price of at least $2.00 on the last day of the
Measurement Period;

    (3) A Closing Price on every U.S. trading day during the
Measurement Period that is not less than $1.50;
    (4) A Consolidated Average Daily Volume (``CADV'') during the
Measurement Period of one million shares or less, where the CADV is
calculated by adding the single-counted share volume of all reported
transactions in the Pilot Security during the Measurement Period and
dividing by the total number of U.S. trading days during the
Measurement Period; and
    (5) A Measurement Period Volume-Weighted Average Price
(``Measurement Period VWAP'') of at least $2.00, where the Measurement
Period VWAP is determined by calculating the VWAP for each U.S. trading
day during the Measurement Period, summing the daily VWAP across the
Measurement Period, and dividing by the total number of U.S. trading
days during the Measurement Period.
    For purposes of the CADV and Measurement Period VWAP calculations
described in Sections V(A)(4) and V(A)(5), U.S. trading days during the
Measurement Period with early closes will be excluded. An NMS common
stock that had its initial public offering within six months of the
start of the Pilot Period will not be eligible to be a Pilot Security.

(B) Grouping of Pilot Securities

    The Operating Committee will oversee the Pilot Security grouping
process in accordance with the methodology and criteria set out in this
subsection. Once the population of Pilot Securities has been determined
based on the criteria in Section V(A), the Operating Committee will
select the Pilot Securities to be placed into three Test Groups by
means of a stratified random sampling process. To effect this sampling,
each of the Pilot Securities will be categorized as having (1) a low,
medium, or high share price based on the Measurement Period VWAP, (2)
low, medium, or high market capitalization based on the last day of the
Measurement Period, and (3) low, medium, or high trading volume based
on the CADV during the Measurement Period, yielding 27 possible
categories. Low, medium, and high subcategories will be established by
dividing the categories into three parts, each containing a third of
the population.
    Pilot Securities will be randomly selected from each of the 27
categories for inclusion into the Test Groups. If, however, a single
category of Pilot Securities contains fewer than 10 securities, it will
be combined with another of the 27 categories that contains at least 10
securities. If two or more categories of Pilot Securities contain fewer
than 10 securities, those categories will be combined, provided the
combined category contains at least 10 securities. If the combined
category contains fewer than 10 securities, then the category will be
combined with another of the 27 categories that contains at least 10
securities.
    Pilot Securities will be randomly selected from each category for
inclusion in the three Test Groups based on the percentage of Pilot
Securities comprised of that category. As a result, each category will
be represented in the three Test Groups based on its relative
proportion to the population of Pilot Securities. Further, a primary
listing market's securities will be selected from each category and
included in the three Test Groups in the same proportion as that
primary listing market's securities comprise each category of Pilot
Securities. Each Test Group will consist of 400 Pilot Securities. Those
Pilot Securities not placed into the three Test Groups will constitute
the Control Group.

(C) Publication of Pilot Securities and Groups

    Each primary listing exchange will make publicly available for free
on its Web site a list of those Pilot Securities listed on that
exchange and included in the Control Group and each Test Group,
adjusting for ticker symbol changes and relevant corporate actions. The
list of Pilot Securities will contain the data specified in Appendix A.

VI. Pilot Test Groups

    As described in Section V(B), the Pilot Securities will be divided
into four groups: a Control Group and three Test Groups. Each Test
Group will consist of 400 Pilot Securities. The Control Group will
consist of the Pilot Securities not placed into a Test Group.

(A) Control Group

    Pilot Securities in the Control Group may be quoted and traded at
any price increment that is currently permitted.

(B) Test Group One

    Pilot Securities in Test Group One will be quoted in $0.05 minimum
increments, but may continue to trade at any price increment that is
currently permitted. Participants will adopt rules prohibiting
Participants or any member of a Participant from displaying, ranking,
or accepting from any person any displayable or non-displayable bids or
offers, orders, or indications of interest in any Pilot Security in
Test Group One in price increments other than $0.05. However, orders
priced to execute at the midpoint and orders entered in a Participant-
operated retail liquidity program may be ranked and accepted in
increments of less than $0.05.

(C) Test Group Two

    Pilot Securities in Test Group Two will be subject to the same
quoting requirements as Test Group One, along with the applicable
quoting exceptions. In addition, Pilot Securities in Test Group Two may
only be traded in $0.05 minimum increments. Participants will adopt
rules prohibiting trading centers operated by Participants and members
of Participants from executing orders in any Pilot Security in Test
Group Two in price increments other than $0.05. The $0.05 minimum
trading increment applies to brokered cross trades. Pilot Securities in
Test Group Two may trade in increments less than $0.05, however, under
the following circumstances:
    (1) Trading may occur at the midpoint between the National Best Bid
and the National Best Offer or the midpoint between the best protected
bid and the best protected offer;
    (2) Retail Investor Orders may be provided with price improvement
that is at least $0.005 better than the best protected bid or the best
protected offer; and
    (3) Negotiated Trades may trade in increments less than $0.05.

(D) Test Group Three

    Pilot Securities in Test Group Three will be subject to the same
quoting and trading requirements as Test Group Two, along with the
applicable quoting and trading exceptions. In addition, Pilot
Securities in Test Group Three will be subject to a trade-at
prohibition.
    Trade-at Prohibition. Under the trade-at prohibition, the Plan will
(1) prevent a trading center that was not quoting from price-matching
protected quotations and (2) permit a trading center that was quoting
at a protected quotation to execute orders at that level, but only up
to the amount of its displayed size.
    In accordance with the trade-at prohibition, Participants will
adopt rules prohibiting trading centers operated by Participants and
members of Participants from executing a sell order for a Pilot
Security at the price of a protected bid or from executing a buy order
for a Pilot Security at the price of a protected offer unless such
executions fall within an exception set forth below.
    Trade-at Prohibition Exceptions. Trading centers will be permitted
to execute an order for a Pilot Security at a price equal to a
protected bid or

protected offer under the following circumstances:
    (1) The order is executed by a trading center that is displaying a
quotation, via either a processor or an SRO quotation feed, at a price
equal to the traded-at protected quotation but only up to the trading
center's full displayed size [. Where the quotation is displayed
through a national securities exchange, the execution at the size of
the order must occur against the displayed size on that national
securities exchange. Where the quotation is displayed through the
Alternative Display Facility or another facility approved by the
Commission that does not provide execution functionality, the execution
at the size of the order must occur against the displayed size in
accordance with the rules of the Alternative Display Facility or such
approved facility];
    (2) The order is of Block Size;
    (3) The order is a Retail Investor Order executed with at least
$0.005 price improvement;
    (4) The order is executed when the trading center displaying the
protected quotation that was traded at was experiencing a failure,
material delay, or malfunction of its systems or equipment;
    (5) The order is executed as part of a transaction that was not a
``regular way'' contract;
    (6) The order is executed as part of a single-priced opening,
reopening, or closing transaction by the trading center;
    (7) The order is executed when a protected bid was priced higher
than a protected offer in the Pilot Security;
    (8) The order is identified as an Intermarket Sweep Order;
    (9) The order is executed by a trading center that simultaneously
routed Trade-at Intermarket Sweep Orders to execute against the full
displayed size of the protected quotation that was traded at;
    (10) The order is executed as part of a Negotiated Trade;
    (11) The order is executed when the trading center displaying the
protected quotation that was traded at had displayed, within one second
prior to execution of the transaction that constituted the trade-at, a
best bid or best offer, as applicable, for the Pilot Security with a
price that was inferior to the price of the trade-at transaction.
    (12) The order is executed by a trading center which, at the time
of order receipt, the trading center had guaranteed an execution at no
worse than a specified price (a ``stopped order''), where:
    a. The stopped order was for the account of a customer;
    b. The customer agreed to the specified price on an order-by-order
basis; and
    c. The price of the trade-at transaction was, for a stopped buy
order, equal to the national best bid in the Pilot Security at the time
of execution or, for a stopped sell order, equal to the national best
offer in the Pilot Security at the time of execution; or
    (13) The order is for a fractional share of a Pilot Security,
provided that such fractional share order was not the result of
breaking an order for one or more whole shares of a Pilot Security into
orders for fractional shares or was not otherwise effected to evade the
requirements of the trade-at prohibition or any other provisions of the
Plan.
    The following examples illustrate the basic operation of the trade-
at prohibition:
Example 1
    The NBBO for Pilot Security ABC is $20.00 x $20.10. Trading Center
1 is displaying a 100-share protected bid at $20.00. Trading Center 2
is displaying a 100-share protected bid at $19.95. There are no other
protected bids. Trading Center 3 is not displaying any shares in Pilot
Security ABC but has 100 shares hidden at $20.00 and has 100 shares
hidden at $19.95. Trading Center 3 receives an incoming order to sell
for 400 shares. To execute the 100 shares hidden at $20.00, Trading
Center 3 must respect the protected bid on Trading Center 1 at $20.00.
Trading Center 3 must route a Trade-at Intermarket Sweep Order to
Trading Center 1 to execute against the full displayed size of the
protected bid, at which point Trading Center 3 is permitted to execute
against the 100 shares hidden at $20.00. To execute the 100 shares
hidden at $19.95, Trading Center 3 must respect the protected bid on
Trading Center 2 at $19.95. Trading Center 3 must route a Trade-at
Intermarket Sweep Order to Trading Center 2 to execute against the full
displayed size of the protected bid, at which point Trading Center 3 is
permitted to execute against the 100 shares hidden at $19.95.
Example 2
    The NBBO for Pilot Security ABC is $20.00 x $20.10. Trading Center
1 is displaying a 100-share protected bid at $20.00. Trading Center 2
is displaying a 100-share protected bid at $20.00. Trading Center 2
also has 300 shares hidden at $20.00 and has 300 shares hidden at
$19.95. Trading Center 3 is displaying a 100-share protected bid at
$19.95. There are no other protected bids. Trading Center 2 receives an
incoming order to sell for 900 shares. Trading Center 2 may execute 100
shares against its full displayed size at the protected bid at $20.00.
To execute the 300 shares hidden at $20.00, Trading Center 2 must
respect the protected bid on Trading Center 1 at $20.00. Trading Center
2 must route a Trade-at Intermarket Sweep Order to Trading Center 1 to
execute against the full displayed size of Trading Center 1's protected
bid, at which point Trading Center 2 is permitted to execute against
the 300 shares hidden at $20.00. To execute the 300 shares hidden at
$19.95, Trading Center 2 must respect the protected bid on Trading
Center 3 at $19.95. Trading Center 2 must route a Trade-at Intermarket
Sweep Order to Trading Center 3 to execute against the full displayed
size of Trading Center 3's protected bid, at which point Trading Center
2 is permitted to execute against the 300 shares hidden at $19.95.
Example 3
    The NBBO for Pilot Security ABC is $20.00 x $20.10. Trading Center
1 is displaying a 100-share protected bid at $20.00. Trading Center 1
is also displaying 300 shares at $19.90 on an SRO quotation feed.
Trading Center 2 is displaying a 100-share protected bid at $19.95.
Trading Center 2 is also displaying 200 shares at $19.90 on an SRO
quotation feed and has 200 shares hidden at $19.90. Trading Center 3 is
displaying a 100-share protected bid at $19.90. There are no other
protected bids. Trading Center 2 receives an incoming order to sell for
700 shares. To execute against its protected bid at $19.95, Trading
Center 2 must comply with the trade-through restrictions in Rule 611 of
Regulation NMS and route an intermarket sweep order to Trading Center 1
to execute against the full displayed size of Trading Center 1's
protected bid at $20.00. Trading Center 2 is then permitted to execute
against its 100-share protected bid at $19.95. Trading Center 2 may
then execute 200 shares against its full displayed size at the price of
Trading Center 3's protected bid. To execute the 200 shares hidden at
$19.90, Trading Center 2 must respect the protected bid on Trading
Center 3 at $19.90. Trading Center 2 must route a Trade-at Intermarket
Sweep Order to Trading Center 3 to execute against the full displayed
size of Trading Center 3's protected bid, at which point Trading Center
2 is permitted to execute against the 200 shares hidden at $19.90.
Trading Center 2 does not have to respect Trading Center 1's displayed
size at $19.90 for trade-at purposes because it is not a protected
quotation.

VII. Collection of Pilot Data

(A) Collection of Trading Center Pilot Data

    Throughout the Pilot Period, the Participants will collect the
following data with respect to Pilot Securities (as set forth in
Appendix B):
    (1) Daily market quality statistics of orders by security, order
type, original order size (as observed by the trading center), hidden
status (as applicable), and coverage under Rule 605 of Regulation NMS;
    (2) Specified data regarding market orders and marketable limit
orders;
    (3) Daily number of registered Market Makers; and
    (4) Daily Market Maker participation statistics. Each Participant
that is the Designated Examining Authority of a member of a Participant
operating a trading center will require such member to collect and
provide to the Designated Examining Authority the data described in
subparagraphs (1) and (2) above, as applicable, subject to the terms
and conditions in Appendix B. The Participants and each member of a
Participant operating a trading center will also be required to collect
such data for dates starting six months prior to the Pilot Period
through six months after the end of the Pilot Period. Each Participant
will make available to other Participants a list of members designated
as Market Makers on that Participant's trading center.
    On a monthly basis, the Participants and the Designated Examining
Authority for each member of a Participant operating a trading center
will make the data in the applicable subparagraphs specified above
publicly available on their Web sites for free and will report such
data to the SEC on a disaggregated basis by trading center. The data
made publicly available will not identify the trading center that
generated the data.

(B) Collection of Market Maker Profitability Data

    Each Participant that is the Designated Examining Authority of a
Market Maker will require such Market Maker to provide to the
Designated Examining Authority the data specified in Appendix C
regarding daily Market Maker trading profits with respect to Pilot
Securities on a monthly basis. Each Market Maker will also be required
to provide to its Designated Examining Authority such daily data for
dates starting six months prior to the Pilot Period through six months
after the end of the Pilot Period. On a monthly basis, the Designated
Examining Authority will aggregate such data related to Market Makers
categorized by the Control Group and each Test Group and make the
aggregated data publicly available on its Web site for free and will
report such data to the SEC, provided, however, the data reported to
the SEC shall include the profitability statistics categorized by
security. The data made publicly available will not identify the Market
Makers that generated the data or the individual securities.

VIII. Assessment of Pilot

    No later than [six] eighteen months after the [end] start of the
Pilot Period, the Participants will provide to the Commission and make
publicly available a joint assessment of the impact of the Pilot. The
assessment will be conducted using data generated during the first
twelve months of the Pilot Period, or a subset of which that represents
the impact of the Pilot. The assessment will include:
    (1) An assessment of the statistical and economic impact of an
increase in the quoting increment on market quality;
    (2) An assessment of the statistical and economic impact of an
increase in the quoting increment on the number of Market Makers;
    (3) An assessment of the statistical and economic impact of an
increase in the quoting increment on Market Maker participation;
    (4) An assessment of the statistical and economic impact of an
increase in the quoting increment on Market Maker profits;
    ([4]5) An assessment of the statistical and economic impact of an
increase in the quoting increment on market transparency;
    ([5]6) An evaluation whether any market capitalization, daily
trading volume, or other thresholds can differentiate the results of
the above assessments across stocks (e.g., does the quoting increment
impact differently those stocks with daily trading volume below a
certain threshold);
    ([6]7) An assessment of the statistical and economic impact of the
above assessments for the incremental impact of a trading increment and
for the joint effect of an increase in a quoting increment with the
addition of a trading increment;
    ([7]8) An assessment of the statistical and economic impact of the
above assessments for the incremental impact of a trade-at prohibition
and for the joint effect of an increase in a quoting increment with the
addition of a trading increment and a trade-at prohibition; and
    (8) An assessment of any other economic issues that the
Participants believe the SEC should consider in any rulemaking that may
follow the Pilot. Participants may individually submit to the SEC and
make publicly available additional supplemental assessments of the
impact of the Pilot.

IX. Implementation

    The Tick Size Pilot Program will be implemented on a [one]two-year
pilot basis. The Tick Size Pilot Program will be applicable during and
outside of Regular Trading Hours.

X. Withdrawal from Plan

    If a Participant obtains SEC approval to withdraw from the Plan,
such Participant may withdraw from the Plan at any time on not less
than 30 days' prior written notice to each of the other Participants.
At such time, the withdrawing Participant will have no further rights
or obligations under the Plan.

XI. Counterparts and Signatures

    The Plan may be executed in any number of counterparts, no one of
which need contain all signatures of all Participants, and as many of
such counterparts as will together contain all such signatures will
constitute one and the same instrument.
    IN WITNESS THEREOF, this Plan has been executed as of the _day of
_[2014] 2015 by each of the parties hereto.

BATS EXCHANGE, INC.

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BATS Y-EXCHANGE, INC.

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CHICAGO STOCK EXCHANGE, INC.

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EDGA EXCHANGE, INC.

BY:--------------------------------------------------------------------

EDGX EXCHANGE, INC.

BY:--------------------------------------------------------------------

FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.

BY:--------------------------------------------------------------------

NASDAQ OMX BX, INC.

BY:--------------------------------------------------------------------

NASDAQ OMX PHLX LLC

BY:--------------------------------------------------------------------

THE NASDAQ STOCK MARKET LLC

BY:--------------------------------------------------------------------

NEW YORK STOCK EXCHANGE LLC

BY:--------------------------------------------------------------------

NYSE MKT LLC

BY:--------------------------------------------------------------------

NYSE ARCA, INC.

BY:--------------------------------------------------------------------

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Appendix A--Publication of Pilot Securities

    The following data will be made publicly available in a pipe
delimited format regarding the list of Pilot Securities included in
the Control Group and each Test Group. Each primary listing exchange
will be responsible for making publicly available for free on its
Web site the following data with respect to the Pilot Securities
listed on that exchange and included in the Control Group and each
Test Group.

I. Identification of Pilot Securities

a. Ticker Symbol
b. Security Name
c. Listing Exchange
d. Date
e. Tick Size Pilot Program Group- character value of
    i. ``C'' for Pilot Securities in the Control Group
    ii. ``G1'' for Pilot Securities in Test Group One
    iii. ``G2'' for Pilot Securities in Test Group Two
    iv. ``G3'' for Pilot Securities in Test Group Three

II. Change in Pilot Securities' Ticker Symbols

a. Ticker Symbol
b. Security Name
c. Listing Exchange
d. Effective Date
e. Deleted Date
f. Tick Size Pilot Program Group--character value of
    i. ``C'' for Pilot Securities in the Control Group
    ii. ``G1'' for Pilot Securities in Test Group One
    iii. ``G2'' for Pilot Securities in Test Group Two
    iv. ``G3'' for Pilot Securities in Test Group Three
g. Old Ticker Symbol(s)
h. Reason for the change

Appendix B--Data Collected by Participants and Trading Centers

    Each Participant, as applicable, will collect and transmit the
data described in Items I-IV with respect to Pilot Securities to the
SEC in a pipe delimited format on a monthly basis. In addition, each
Participant that is the Designated Examining Authority of a member
of a Participant operating a trading center will require such
member, as applicable, to collect and transmit the data described in
Items I and II with respect to Pilot Securities to the Designated
Examining Authority in a pipe delimited format on a monthly basis.
Each Designated Examining Authority will transmit the data on a
disaggregated basis to the SEC, i.e., by trading center. The data
will be provided to the SEC within 30 calendar days following month
end. All trading centers, including Participants, will report the
data described in Items I.a(28) and I.b with respect to only those
orders executed, in whole or part, on that trading center. All
trading centers will report the remaining data described in Items
I.a with respect to any order received by that trading center. The
data described in Item I will only be collected for orders received
during Regular Trading Hours. All trading centers, including
Participants, will report the data described in Item II with respect
to any market or marketable limit orders received by that trading
center. The data described in Item II will be collected for orders
received during and outside of Regular Trading Hours. Orders entered
while a trading halt is in effect will be excluded from the data.
The data will be provided for dates starting six months prior to the
Pilot Period through six months after the end of the Pilot Period.
    I. Market Quality Statistics--Daily market quality statistics
categorized by security, order type, original order size, hidden
status, and coverage under Rule 605, including the following columns
of information:
    a. For regular hours orders which are market orders (10),
marketable limit orders (11), inside-the-quote resting limit orders
(12), at-the-quote resting limit orders (13), near-the-quote resting
limit orders (within .10 from the NBBO) (14), resting intermarket
sweep orders (15), retail liquidity providing orders (16), and
midpoint passive liquidity orders (17) executed on the trading
center:
    (1) Exchange code or trading center identifier;
    (2) Ticker Symbol;
    (3) Order Type, as defined in the Plan or in I.a of this
Appendix;
    (4) Original Order size with the following modified categories
from Rule 605 reports:
    a. Less than 100 shares;
    b. 100 to 499 shares;
    c. 500 to 1999 shares;
    d. 2000 to 4999 shares;
    e. 5000 to 9999 shares; and
    f. 10000 or more shares;
    (5) Hidden Status Category--indicates whether the orders fall
into the following categories:
    a. Entirely Displayable;
    b. Partially Displayable; and
    c. Not Displayable;
    (6) Rule 605 Coverage--indicates whether the orders are covered
in Rule 605 (Y/N);
    (7) The cumulative number of orders;
    (8) The cumulative number of shares of orders;
    (9) The cumulative number of shares of orders canceled;
    (10) The cumulative number of shares of orders executed on the
receiving trading center;
    (11) The cumulative number of orders with special handling
instructions (for example, slide, discretion, eligible counterparty,
minimum quantity) excluded from price improvement and effective
spread statistics;
    (12) The cumulative number of shares of orders with special
handling instructions (for example slide, discretion, eligible
counterparty, minimum quantity) excluded from price improvement and
effective spread statistics;
    (13) The cumulative number of shares of orders executed at any
other trading center;
    (14) The cumulative number of shares of orders executed from 0
to less than 100 microseconds after the time of order receipt;
    (15) The cumulative number of shares of orders executed from 100
microseconds to less than 100 milliseconds after the time of order
receipt;
    (16) The cumulative number of shares of orders executed from 100
milliseconds to less than 1 second after the time of order receipt;
    (17) The cumulative number of shares of orders executed from 1
second to less than 30 seconds after the time of order receipt;
    (18) The cumulative number of shares of orders executed from 30
seconds to less than 60 seconds after the time of order receipt;
    (19) The cumulative number of shares of orders executed from 60
seconds to less than 5 minutes after the time of order receipt;
    (20) The cumulative number of shares of orders executed from 5
minutes to 30 minutes after the time of order receipt;
    (21) The cumulative number of shares of orders canceled from 0
to less than 100 microseconds after the time of order receipt;
    (22) The cumulative number of shares of orders canceled from 100
microseconds to less than 100 milliseconds after the time of order
receipt;
    (23) The cumulative number of shares of orders canceled from 100
milliseconds to less than 1 second after the time of order receipt;
    (24) The cumulative number of shares of orders canceled from 1
second to less than 30 seconds after the time of order receipt;
    (25) The cumulative number of shares of orders canceled from 30
seconds to less than 60 seconds after the time of order receipt;
    (26) The cumulative number of shares of orders canceled from 60
seconds to less than 5 minutes after the time of order receipt;
    (27) The cumulative number of shares of orders canceled from 5
minutes to 30 minutes;
    (28) The share-weighted average realized spread for executions
of orders;
    (29) Original Percentage Hidden--the received share-weighted
average percentage of shares not displayable as of order receipt;
    (30) Final Percentage Hidden--the received share-weighted
average percentage of shares not displayed prior to final order
execution or cancellation;
    (31) Quoted Size at the National Best Bid and National Best
Offer -the share weighted average of the consolidated quoted size at
the inside price at the time of order execution;
    (32) Share-weighted average NBBO Spread at the time of order
execution; and
    (33) Share-weighted average BBO Spread of reporting exchange at
the time of order execution.
    b. For market orders and marketable limit orders, except those
noted as excluded:
    (1) The share-weighted average effective spread for executions
of orders;
    (2) The cumulative number of shares of orders executed with
price improvement;
    (3) For shares executed with price improvement, the share-
weighted average amount per share that prices were improved;
    (4) For shares executed with price improvement, the share-
weighted average period from the time of order receipt to the time
of order execution;
    (5) The cumulative number of shares of orders executed at the
quote;
    (6) For shares executed at the quote, the share-weighted average
period from the time of order receipt to the time of order
execution;
    (7) The cumulative number of shares of orders executed outside
the quote;

    (8) For shares executed outside the quote, the share-weighted
average amount per share that prices were outside the quote; and
    (9) For shares executed outside the quote, the share-weighted
average period from the time of order receipt to the time of order
execution.
    II. Market and Marketable Limit Order Data--The following
columns of information with respect to Market Orders and non-booked
portions of Marketable Limit Orders:
    a. Exchange code or trading center identifier;
    b. Ticker Symbol;
    c. Date;
    d. Time of order receipt;
    e. Order Type;
    f. Order Size in Shares;
    g. Order side- ``B'', ``S'' (including sell short exempt),
``SS'';
    h. Order price (if marketable limit);
    i. NBBO quoted price;
    j. NBBO quoted depth in lots;
    k. Receiving market offer for buy or bid for sell (as
applicable);
    l. Receiving market depth (offer for buy and bid for sell) (as
applicable);
    m. ISO flag (Y/N);
    n. Retail Investor Order flag (Y/N);
    o. Routable flag (Y/N);
    p. IOC (Y/N);
    q. Indicator for quote leader- ``1'' if the receiving market is
the first market to post the NBB for a sell or NBO for a buy (as
applicable);
    r. Average execution price-share-weighted average that includes
only executions on the receiving market;
    s. Average execution time-share-weighted average period that
includes only executions on the receiving market;
    t. Executed shares-the number of shares in the order that are
executed;
    u. Canceled shares--the number of shares in the order that are
canceled;
    v. Routed shares-the number of shares in the order that are
routed to another exchange or market;
    w. Routed average execution price-share-weighted average that
includes only shares routed away from the receiving market;
    x. Average routed execution time-share-weighted average period
that includes only executions on the routed markets; and
    y. Indicator for special handling instructions (for example,
slide, discretion, eligible counterparty, minimum quantity)-
identifies orders that contain instructions that could result in
delayed execution or an execution price other than the quote.
    III. Daily Market Maker Registration Statistics--Each
Participant that is a National Securities Exchange will collect
daily Market Maker registration statistics categorized by security,
including the following columns of information:
    a. Ticker Symbol;
    b. SRO;
    c. Number of registered market makers; and
    d. Number of other registered liquidity suppliers.
    IV. Daily Market Maker Participation Statistics--Each
Participant will collect daily Market Maker participation statistics
with respect to each Market Maker engaging in trading activity on
the trading center operated by the Participant. With respect to each
Market Maker, the Participant will collect such statistics
irrespective of whether the Market Maker is registered with the
Participant. The participation statistics will be categorized by
security, including the columns of information listed below, except
that a Participant that is a national securities association will
not be required to collect such statistics unless a Market Maker
registers with its Alternative Display Facility prior to or during
the Pilot Period:
    a. Ticker Symbol;
    b. Share participation--the number of shares purchased or sold
by Market Makers in a principal trade, not including riskless
principal. When aggregating across Market Makers, share
participation will be an executed share-weighted average per Market
Maker;
    c. Trade participation--the number of purchases and sales by
Market Makers in a principal trade, not including riskless
principal. When aggregating across Market Makers, trade
participation will be a trade-weighted average per Market Maker;
    d. Cross-quote share (trade) participation-the number of shares
purchased (the number of purchases) at or above the NBO and the
number of shares sold (the number of sales) at or below the NBB at
the time of the trade;
    e. Inside-the-quote share (trade) participation-the number of
shares purchased (the number of purchases) and the number of shares
sold (the number of sales) between the NBBO at the time of the
trade;
    f. At-the-quote share (trade) participation-the number of shares
purchased (the number of purchases) that are equal to the National
Best Bid price and the number of shares sold (the number of sales)
that are equal to the National Best Offer price at the time of or
immediately before the trade. In the case of a downward moving
National Best Bid or Offer, the National Best Bid or National Best
Offer price immediately before the trade will be used; and
    g. Outside-the-quote share (trade) participation-the number of
shares purchased (the number of purchases) that are less than the
National Best Bid price and the number of shares sold (the number of
sales) that are greater than the National Best Offer price at the
time of or immediately before the trade. In the case of a downward
moving National Best Bid or Offer, the National Best Bid or National
Best Offer price immediately before the trade will be used.

Appendix C--Data Collected by Market Makers

    Each Participant that is the Designated Examining Authority of a
Market Maker will require such Market Maker to collect the data
described in Item I with respect to orders and executions in Pilot
Securities on any trading center and to transmit such data in a pipe
delimited format to the Designated Examining Authority on a monthly
basis, to be provided within 30 calendar days following month end.
Data will only be collected with respect to those orders and
executions occurring during Regular Trading Hours. The data will be
provided for dates starting six months prior to the Pilot Period
through six months after the end of the Pilot Period. Each
Designated Examining Authority will be responsible for aggregating
the data provided by the Market Makers under Item I and providing
the data described in Item II in a pipe delimited format to the SEC.
    I. Market Maker Profitability--Daily Market Maker profitability
statistics categorized by security, including the following columns
of information:
    a. Total number of shares of orders executed by the Market
Maker;
    b. Raw Market Maker realized trading profits--the difference
between the market value of Market Maker sales (shares sold x price)
and the market value of Market Maker purchases (shares purchased x
price). A LIFO-like method will be used for determining which share
prices to use in the calculation; and
    c. [Market Maker realized trading profits net of fees and
rebates--realized trading profits plus rebates the Market Maker
collects from trading on that day minus access fees the Market Maker
pays for trading on that day (if estimated before allocation of
rebates and fees, use expected rebates and fees); and]
    [d.] Raw Market Maker unrealized trading profits--the difference
between the purchase or sale price of the end-of-day inventory
position of the Market Maker and the Closing Price. In case of a
short position, the Closing Price from the sale will be subtracted.
In the case of a long position, the purchase price will be
subtracted from the Closing Price.
    II. Aggregated Market Maker Profitability--Total Daily Market
Maker profitability statistics categorized by security as well as
categorized by the Control Group and each Test Group, including the
following columns of information:
    a. Total Raw Market Maker realized trading profits--the
difference between the market value of Market Maker sales (shares
sold x price) and the market value of Market Maker purchases (shares
purchased x price). A LIFO-like method will be used for determining
which share prices to use in the calculation;
    b. Volume-weighted average of Raw Market Maker realized trading
profits;
    [c. Total Market Maker realized trading profits net of fees and
rebates--realized trading profits plus rebates the Market Maker
collects from trading on that day minus access fees the Market Maker
pays for trading on that day (if estimated before allocation of
rebates and fees, use expected rebates and fees);
    d. Volume-weighted average of Market Maker realized trading
profits net of fees and rebates;]
    c.[e.] Total Raw Market Maker unrealized trading profits--the
difference between the purchase or sale price of the end-of-day
inventory position of the Market Maker and the Closing Price. In
case of a short position, the Closing Price from the sale will be
subtracted. In the case of a long position, the purchase price will
be subtracted from the Closing Price; and
    d.[f.] Volume-weighted average of Market Maker unrealized
trading profits.

[FR Doc. 2015-11425 Filed 5-12-15; 8:45 am]
 BILLING CODE 8011-01-P