[Federal Register Volume 81, Number 48 (Friday, March 11, 2016)]
[Notices]
[Pages 13012-13015]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-05441]



[[Page 13012]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-77310; File No. SR-BATS-2016-27]


Self-Regulatory Organizations; Bats BZX Exchange, Inc. f/k/a BATS 
Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a 
Proposed Rule Change To Amend Rule 11.27(b), Compliance With Data 
Collection Requirements, Relating to the Regulation NMS Plan To 
Implement a Tick Size Pilot Program

March 7, 2016.
    Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on March 2, 2016, Bats BZX Exchange, Inc. f/k/a BATS Exchange, 
Inc. (the ``Exchange'' or ``BZX'') filed with the Securities and 
Exchange Commission (``Commission'') the proposed rule change as 
described in Items I, II, and III below, which Items have been prepared 
by the Exchange. The Exchange has designated this proposal as a ``non-
controversial'' proposed rule change pursuant to section 19(b)(3)(A) of 
the Act \3\ and Rule 19b-4(f)(6)(iii) thereunder,\4\ which renders it 
effective upon filing with the Commission. The Commission is publishing 
this notice to solicit comments on the proposed rule change from 
interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(6)(iii).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange filed a proposal to amend Exchange Rule 11.27(b) 
regarding the requirements for the collection and transmission of data 
pursuant to Appendices B and C of the Regulation NMS Plan to Implement 
a Tick Size Pilot Program (``Plan'').
    The text of the proposed rule change is available at the Exchange's 
Web site at www.batstrading.com, at the principal office of the 
Exchange, and at the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
Sections A, B, and C below, of the most significant parts of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    On August 25, 2014, NYSE Group, Inc., on behalf of BZX, BATS Y-
Exchange, Inc., Chicago Stock Exchange, Inc. (``CHX''), EDGA Exchange, 
Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, 
Inc. (``FINRA''), NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq 
Stock Market LLC, New York Stock Exchange LLC (``NYSE''), NYSE MKT LLC, 
and NYSE Arca, Inc. (collectively ``Participants''), filed with the 
Commission, pursuant to section 11A of the Act \5\ and Rule 608 of 
Regulation NMS thereunder,\6\ the Plan to Implement a Tick Size Pilot 
Program (``Pilot'').\7\ The Participants filed the Plan to comply with 
an order issued by the Commission on June 24, 2014.\8\ The Plan \9\ was 
published for comment in the Federal Register on November 7, 2014, and 
approved by the Commission, as modified, on May 6, 2015.\10\
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    \5\ 15 U.S.C. 78k-1.
    \6\ 17 CFR 242.608.
    \7\ See Letter from Brendon J. Weiss, Vice President, 
Intercontinental Exchange, Inc., to Secretary, Commission, dated 
August 25, 2014.
    \8\ See Securities Exchange Act Release No. 72460 (June 24, 
2014), 79 FR 36840 (June 30, 2014).
    \9\ Unless otherwise specified, capitalized terms used in this 
rule filing are based on the defined terms of the Plan.
    \10\ See Securities Exchange Act Release No. 74892 (May 6, 
2015), 80 FR 27513 (May 13, 2015) (``Approval Order'').
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    The Plan is designed to 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. Each Participant is required to comply, and 
to enforce compliance by its member organizations, as applicable, with 
the provisions of the Plan. As is described more fully below, the 
proposed rules would require Members \11\ to comply with the applicable 
data collection requirements of the Plan.\12\
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    \11\ The term ``Member'' is defined as ``any registered broker 
or dealer that has been admitted to membership in the Exchange. See 
Exchange Rule 1.5(n).
    \12\ The Exchange proposes to add Information and Policy .11 to 
Rule 11.27 to provide that the Rule shall be in effect during a 
pilot period to coincide with the pilot period for the Plan 
(including any extensions to the pilot period for the Plan).
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    The Pilot will include stocks of companies with $3 billion or less 
in market capitalization, an average daily trading volume of one 
million shares or less, and a volume weighted average price of at least 
$2.00 for every trading day. The Pilot will consist of a control group 
of approximately 1400 Pilot Securities and three test groups with 400 
Pilot Securities in each (selected by a stratified random sampling 
process).\13\ During the pilot, Pilot Securities in the control group 
will be quoted at the current tick size increment of $0.01 per share 
and will trade at the currently permitted increments. Pilot Securities 
in the first test group (``Test Group One'') will be quoted in $0.05 
minimum increments but will continue to trade at any price increment 
that is currently permitted.\14\ Pilot Securities in the second test 
group (``Test Group Two'') will be quoted in $0.05 minimum increments 
and will trade at $0.05 minimum increments subject to a midpoint 
exception, a retail investor order exception, and a negotiated trade 
exception.\15\ Pilot Securities in the third test group (``Test Group 
Three'') will be subject to the same quoting and trading increments as 
Test Group Two and also will be subject to the ``Trade-at'' requirement 
to prevent price matching by a market participant that is not 
displaying at a Trading Center's ``Best Protected Bid'' or ``Best 
Protected Offer,'' unless an enumerated exception applies.\16\ In 
addition to the exceptions provided under Test Group Two, an exception 
for Block Size orders and exceptions that mirror those under Rule 611 
of Regulation NMS \17\ will apply to the Trade-at requirement.
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    \13\ See Section V of the Plan for identification of Pilot 
Securities, including criteria for selection and grouping.
    \14\ See Section VI(B) of the Plan.
    \15\ See Section VI(C) of the Plan.
    \16\ See Section VI(D) of the Plan.
    \17\ 17 CFR 242.611.
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    In approving the Plan, the Commission noted that the Trading Center 
data reporting requirements would facilitate an analysis of the effects 
of the 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).\18\ The Commission noted that Market Maker

[[Page 13013]]

profitability data would assist the Commission in evaluating the 
effect, if any, of a widened tick increment on market marker profits 
and any corresponding changes in the liquidity of small-capitalization 
securities.\19\
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    \18\ See Approval Order, 80 FR at 27543.
    \19\ Id.
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Compliance With the Data Collection Requirements of the Plan
    The Plan contains requirements for collecting and transmitting data 
to the Commission and to the public.\20\ Specifically, Appendix B.I of 
the Plan (Market Quality Statistics) requires Trading Centers \21\ to 
submit variety of market quality statistics, including information 
about an order's original size, whether the order was displayable or 
not, the cumulative number of orders, the cumulative number of shares 
of orders, and the cumulative number of shares executed within specific 
time increments, e.g., from 30 seconds to less than 60 seconds after 
the time of order receipt. This information shall be categorized by 
security, order type, original order size, hidden status, and coverage 
under Rule 605.\22\ Appendix B.I of the Plan also contains additional 
requirements for market orders and marketable limit orders, including 
the share-weighted average effective spread for executions of orders; 
the cumulative number of shares of orders executed with price 
improvement; and, for shares executed with price improvement, the 
share-weighted average amount per share that prices were improved.
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    \20\ The Exchange is also required by the Plan to establish, 
maintain, and enforce written policies and procedures that are 
reasonably designed to comply with applicable quoting and trading 
requirements specified in the Plan. The Exchange separately proposes 
rules that would require compliance by its Members with the 
applicable quoting and trading requirements specified in the Plan, 
and has reserved Paragraph (a) for such rules. See Securities 
Exchange Act Release No. 76552 (December 3, 2015), 80 FR 76591 
(December 9, 2015) (SR-BATS-2015-108).
    \21\ The Plan incorporates the definition of a ``Trading 
Center'' from Rule 600(b)(78) of Regulation NMS. Regulation NMS 
defines a ``Trading Center'' as ``a national securities exchange or 
national securities association that operates an SRO trading 
facility, an alternative trading system, an exchange market maker, 
an OTC market maker, or any other broker or dealer that executes 
orders internally by trading as principal or crossing orders as 
agent.'' See 17 CFR 242.600(b).
    \22\ 17 CFR 242.605.
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    Appendix B.II of the Plan (Market and Marketable Limit Order Data) 
requires Trading Centers to submit information relating to market 
orders and marketable limit orders, including the time of order 
receipt, order type, the order size, the National Best Bid and National 
Best Offer (``NBBO'') quoted price, the NBBO quoted depth, the average 
execution price-share-weighted average, and the average execution time-
share-weighted average.
    The Plan requires Appendix B.I and B.II data to be submitted by 
Participants that operate a Trading Center, and by members of the 
Participants that operate Trading Centers. The Plan provides that each 
Participant that is the Designated Examining Authority (``DEA'') for a 
member of the Participant that operates a Trading Center shall collect 
such data in a pipe delimited format, beginning six months prior to the 
Pilot Period and ending six months after the end of the Pilot Period. 
The Plan also requires the Participant, operating as DEA, to transmit 
this information to the SEC within 30 calendar days following month 
end.
    On February 10, 2016, the Commission approved a proposed rule 
change by the Exchange to adopt Rule 11.27(b) which sets forth Member's 
requirements for the collection and transmission of data pursuant to 
Appendices B and C of the Plan.\23\
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    \23\ See Securities Exchange Act Release No. 77105 (February 10, 
2016), 81 FR 8112 (February 17, 2016) (SR-BATS-2015-102).
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Description of Proposed Changes to Rule 11.27(b)
    Appendix B.IV (Daily Market Maker Participation Statistics) 
requires a Participant to collect data related to Market Maker 
participation from each Market Maker \24\ engaging in trading activity 
on a Trading Center operated by the Participant. Exchange Rule 
11.27(b)(3)(A) provides that a Member that is a Market Maker shall 
collect and transmit to their DEA data relating to Item IV of Appendix 
B of the Plan with respect to activity conducted on any Trading Center 
in Pilot Securities and Pre-Pilot Data Collection Securities in 
furtherance of its status as a registered Market Maker, including a 
Trading Center that executes trades otherwise than on a national 
securities exchange, for transactions that have settled or reached 
settlement date. The rule requires Market Makers to transmit such data 
in a format required by their DEA, by 12:00 p.m. EST on T+4 for: (i) 
Transactions in each Pre-Pilot Data Collection Security for the period 
beginning six months prior to the Pilot Period through the trading day 
immediately preceding the Pilot Period; and (ii) for transactions in 
each Pilot Security for the period beginning on the first day of the 
Pilot Period through six months after the end of the Pilot Period.
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    \24\ The Plan defines a Market Maker as ``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.''
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    Appendix C.I (Market Maker Profitability) requires a Participant to 
collect data related to Market Maker profitability from each Market 
Maker for which it is the DEA. Specifically, the Participant is 
required to collect the total number of shares of orders executed by 
the Market Maker; the raw Market Maker realized trading profits, and 
the raw Market Maker unrealized trading profits. Data is to be 
collected for dates starting six months prior to the Pilot Period 
through six months after the end of the Pilot Period. This data is to 
be collected on a monthly basis, to be provided in a pipe delimited 
format to the Participant, as DEA, within 30 calendar days following 
month end. Appendix C.II (Aggregated Market Maker Profitability) 
requires the Participant, as DEA, to aggregate the Appendix C.I data, 
and to categorize this data by security as well as by the control group 
and each Test Group. That aggregated data will contain information 
relating to total raw Market Maker realized trading profits, volume-
weighted average of raw Market Maker realized trading profits, the 
total raw Market Maker unrealized trading profits, and the volume-
weighted average of Market Maker unrealized trading profits.
    Exchange Rule 11.27(b)(4) sets forth the requirements for the 
collection and transmission of data pursuant to Appendix C.I of the 
Plan. Rule 11.27(b)(4)(A) requires that a Member that is a Market Maker 
shall collect and transmit to their DEA the data described in Item I of 
Appendix C of the Plan with respect to executions in Pilot Securities 
that have settled or reached settlement date that were executed on any 
Trading Center. The rule also requires Members to provide such data in 
a format required by their DEA by 12 p.m. EST on T+4 for executions 
during and outside of Regular Trading Hours in each: (i) Pre-Pilot Data 
Collection Security for the period beginning six months prior to the 
Pilot Period through the trading day immediately preceding the Pilot 
Period; and (ii) Pilot Security for the period beginning on the first 
day of the Pilot Period through six months after the end of the Pilot 
Period.
    FINRA and CHX are Participants of the Plan and are to collect data 
relating to Item IV of Appendix B of the Plan and Item I of Appendix C 
of the Plan on behalf of the Participants. For Trading Centers for 
which it is the DEA, FINRA issued a Market Maker Transaction Data 
Technical Specification to collect data on Pre-Pilot Data Collection 
Securities and Pilot Securities from Trading Centers to comply with the 
Plan's data

[[Page 13014]]

collection requirements.\25\ CHX also adopted procedures to comply with 
the Plan's data collection requirements for Market Makers that CHX 
serves as DEA.\26\
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    \25\ FINRA members for which FINRA is their DEA should refer to 
the Tick Size OATS Data Specifications on the FINRA OATS Web site at 
http://www.finra.org/industry/oats/ for detailed information and 
FAQs about the proposed specific OATS Tick Size reporting 
requirements.
    \26\ See Tick Size Pilot Program--CHX MM Transaction Data 
Technical Specifications, available at http://www.chx.com/_literature_143998/Tick_Size_Pilot_Program_-_CHX_MM_Transaction_Data_Technical_Specification.
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    FINRA and CHX serve as DEA for a large majority of Members. 
However, the Exchange understands that some Members that are Market 
Makers do not utilize FINRA or CHX as their DEA and have a DEA that is 
not a Participant to the Plan and, therefore, not subject to the Plan's 
data collection requirements. For example, the Chicago Board Options 
Exchange, Inc, (``CBOE'') is not a Participant to the Plan and acts as 
DEA for a small portion of the Exchange's Members. In such case, a DEA 
that is not a Participant of the Plan would not be required to collect 
the required data and may not establish procedures for which Members it 
acts a DEA for to report the data required under subparagraphs 
(b)(3)(A) and (b)(4)(A) of Rule 11.27 and in accordance with Item IV of 
Appendix B and Item I of Appendix C of the Plan. Therefore, the 
Exchange proposes to adopt subparagraph (b)(3)(B) to Rule 11.27 to 
require a Member that is a Market Maker whose DEA is not a Participant 
to the Plan to transmit the data collected pursuant to paragraph (3)(A) 
of Rule 11.27(b) to FINRA. The Exchange also proposes to adopt 
paragraph (b)(4)(B) of Rule 11.27 to require a Member that is a Market 
Maker whose DEA is not a Participant to the Plan to transmit the data 
collected pursuant to paragraph (4)(A) of Rule 11.27(b) to FINRA.
    The Exchange believes the proposed rule change is necessary to 
ensure that all of its Members are able to report the data required by 
subparagraphs (b)(3)(A) and (b)(4)(A) of Rule 11.27 in compliance with 
the Plan. As noted above, FINRA has established a process by which they 
are to collect data relating to Item IV of Appendix B and Item I of 
Appendix C of the Plan on behalf of the Participants for those Members 
that it serves as DEA.\27\ The Exchange believes requiring Members who 
utilize a DEA that is not a Participant to the Plan to report data 
required by subparagraphs (b)(3)(A) and (b)(4)(A) of Rule 11.27 to 
FINRA would provide such Members a viable option to report such data 
required by the Plan.
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    \27\ See supra note 25.
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    Like data collected by a DEA that is a Participant, Market Makers 
would be required to transmit the data required by subparagraphs 
(b)(3)(A) and (b)(4)(A) of the Rule 11.27 in a format required by FINRA 
by 12:00 p.m. EST on T+4 for: (i) Transactions in each Pre-Pilot Data 
Collection Security for the period beginning six months prior to the 
Pilot Period through the trading day immediately preceding the Pilot 
Period; and (ii) for transactions in each Pilot Security for the period 
beginning on the first day of the Pilot Period through six months after 
the end of the Pilot Period.
    Lastly, the Exchange proposes to amend current Exchange Rule 
11.27(b)(3)(B). Current Exchange Rule 11.27(b)(3)(B) provides that the 
Exchange shall transmit the data collected by the DEA pursuant to Rule 
11.27(b)(3)(A) above relating to Market Maker activity on a Trading 
Center operated by the Exchange to the SEC in a pipe delimited format 
within 30 calendar days following month end. This subparagraph would be 
renumbered as Rule 11.27(b)(3)(C) and amended to include the data 
collected by FINRA pursuant to subparagraph (b)(3)(B) as part of the 
Exchange's submission to the SEC. The Exchange shall also make such 
data publicly available on the Exchange Web site on a monthly basis at 
no charge and shall not identify the Trading Center that generated the 
data.
Implementation Date
    The proposed rule change will be effective on April 4, 2016.
2. Statutory Basis
    The Exchange believes that its proposal is consistent with section 
6(b) of the Act \28\ in general, and furthers the objectives of section 
6(b)(5) of the Act \29\ in particular, in that it is designed to 
promote just and equitable principles of trade, to foster cooperation 
and coordination with persons engaged in facilitating transactions in 
securities, to remove impediments to and perfect the mechanism of a 
free and open market and a national market system and, in general, to 
protect investors and the public interest. The Exchange believes that 
this proposal is consistent with the Act because it ensures all Members 
are able to report the data required by subparagraphs (b)(3)(A) and 
(b)(4)(A) of Rule 11.27 in compliance with the Plan. The Exchange 
believes requiring Members who utilize a DEA that is not a Participant 
to the Plan to report data required by subparagraphs (b)(3)(A) and 
(b)(4)(A) of Rule 11.27 to FINRA would provide such Members a viable 
option to report such data required by the Plan. In approving the Plan, 
the SEC noted that the Pilot was an appropriate, data-driven test that 
was designed to evaluate the impact of a wider tick size on trading, 
liquidity, and the market quality of securities of smaller 
capitalization companies, and was therefore in furtherance of the 
purposes of the Act. In addition, ensuring that this data is properly 
reported by Trading Centers who's [sic] DEA is not a Participant of the 
Plan will facilitate the analysis of the effects of the Pilot on 
liquidity, execution quality, market maker activity, competition 
between trading venues, transparency, and market dynamics. The Exchange 
believes that this proposal is in furtherance of the objectives of the 
Plan, as identified by the SEC, and is therefore consistent with the 
Act because it is designed to assist the Exchange in meeting its 
regulatory obligations pursuant of the Plan as well as ensure Members 
are able to submit the required data in furtherance of compliance with 
the Plan.
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    \28\ 15 U.S.C. 78f(b).
    \29\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
result in any burden on competition that is not necessary or 
appropriate in furtherance of the purposes of the Act. The Exchange 
notes that the proposed rule change ensures all Members are able to 
report the data required by subparagraphs (b)(3)(A) and (b)(4)(A) of 
Rule 11.27 in compliance with the Plan and is designed to assist the 
Exchange in meeting its regulatory obligations pursuant of the Plan. 
The Exchange also notes that the data collection requirements for 
Members that operate Trading Centers will apply equally to all such 
Members, as will the data collection requirements for Market Makers.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    Written comments were neither solicited nor received.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Because the foregoing proposed rule change does not: (A) 
Significantly affect the protection of investors or the public 
interest; (B) impose any significant

[[Page 13015]]

burden on competition; and (C) by its terms, become operative for 30 
days from the date on which it was filed or such shorter time as the 
Commission may designate it has become effective pursuant to section 
19(b)(3)(A) of the Act \30\ and paragraph (f)(6) of Rule 19b-4 
thereunder,\31\ the Exchange has designated this rule filing as non-
controversial. The Exchange has given the Commission written notice of 
its intent to file the proposed rule change, along with a brief 
description and text of the proposed rule change at least five business 
days prior to the date of filing of the proposed rule change, or such 
shorter time as designated by the Commission.
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    \30\ 15 U.S.C. 78s(b)(3)(A).
    \31\ 17 CFR 240.19b-4.
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is: (1) 
Necessary or appropriate in the public interest; (2) for the protection 
of investors; or (3) otherwise in furtherance of the purposes of the 
Act. If the Commission takes such action, the Commission shall 
institute proceedings to determine whether the proposed rule should be 
approved or disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-BATS-2016-27 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-BATS-2016-27. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549, on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-BATS-2016-27, and should be 
submitted on or before April 1, 2016.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\32\
Robert W. Errett,
Deputy Secretary.
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    \32\ 17 CFR 200.30-3(a)(12).
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[FR Doc. 2016-05441 Filed 3-10-16; 8:45 am]
 BILLING CODE 8011-01-P