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Federal Register / Vol. 86, No. 35 / Wednesday, February 24, 2021 / Notices
khammond on DSKJM1Z7X2PROD with NOTICES

designed to create a more comprehensive liquidity provision program to incentivize LMMs to provide enhanced market quality across all BZXlisted securities, including in higher volume securities where transactionbased incentives may better incentivize liquidity provision than current programs.4
The Exchange also proposes to reletter existing paragraphs B and C
based on the new proposed paragraph, make a ministerial change to the definition of Qualified LMM in the Fee Schedule, and eliminate the Market Depth Tier provided under footnote 1 of the Fee Schedule.
The Exchange currently offers LMM
Liquidity Provision Rates which provide LMMs daily incentives that are based on whether the LMM meets certain performance based criteria i.e., the applicable Minimum Performance Standard 5.6 Specifically, the Exchange the applicable LMM is a Qualified LMM. Qualified LMM means an LMM that meets the Minimum Performance Standards.
4 The Exchange initially filed the proposed fee changes February 1, 2021 SRCboeBZX2021
015. On February 10, 2021, the Exchange withdrew that filing and submitted this proposal.
5 As defined in Rule 11.8e1E, the term Minimum Performance Standards means a set of standards applicable to an LMM that may be determined from time to time by the Exchange.
Such standards will vary between LMM Securities depending on the price, liquidity, and volatility of the LMM Security in which the LMM is registered.
The performance measurements will include: A
Percent of time at the NBBO; B percent of executions better than the NBBO; C average displayed size; and D average quoted spread. The Fee Schedule currently references Rule 11.8e1D
rather than 11.8e1E, and as discussed herein, the Exchange is proposing to amend the Fee Schedule to reference Rule 11.8e1E.
6 The current Minimum Performance Standards include: i Registration as a market maker in good standing with the Exchange; ii time at the inside requirements generally between 3% and 15% of Regular Trading Hours for Qualified Securities and between 5% to 50% for Enhanced Securities, depending on the average daily volume of the applicable LMM Security; iii auction participation requirements generally requiring that the auction price is between 3% and 5% of the last Reference Price, as defined in Rule 11.23a19, for a Qualified Security and 1%3% for an Enhanced Security the Enhanced Auction Range; iv market-wide NBB and NBO spread and size requirements generally requiring between 200 and 750 shares at both the NBB and NBO for both Qualified Securities and Enhanced Securities with an NBBO spread between 1% and 10% for a Qualified Security and .25% to 4% for Enhanced Securities, depending on price of the security and underlying asset class; and v depth of book requirements generally requiring between $25,000
and $250,000 of displayed posted liquidity for both Qualified Securities and Enhanced Securities within 1% to 10% of both the NBB and NBO for Qualified Securities and 0.25% and 5% for Enhanced Securities, depending on price of the security and underlying asset class. See Securities Exchange Act No. 86213 June 27, 2019 84 FR
31951 July 3, 2019 SRCboeBZX2019058 the Original Filing. The Exchange notes that as of February 1, 2021, the Enhanced Auction Range will
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provides each LMM with a daily incentive based on how many Qualified Securities or Enhanced Securities 7 the LMM has and the average aggregate daily auction volume in the BZX-listed securities for which it is an LMM
LMM Securities. The LMM
Liquidity Provision Rates were implemented to incentivize LMMs to meet the Minimum Performance Standards across all of their LMM
Securities, especially for newly listed and other lower volume securities.
Now, the Exchange is proposing to offer an opt-in LMM Add Liquidity Rebate of $0.0039 per share to an LMM 8
that elects to participate in the program for a particular Qualified Security. As proposed, an LMM that opts to participate in the LMM Add Liquidity Rebate for a particular LMM Security would not receive the otherwise applicable Liquidity Provision Rate that it would receive under the program today. In order to be eligible for the proposed rebate, the LMM Security must first have a consolidated average daily volume CADV 9 of at least 1,000,000 shares the CADV
Requirement.10 Specifically, an LMM
may opt in to the program for the next calendar month if an LMM Security has a CADV of at least 1,000,000 shares during the prior month. For example, if an LMM Security has a CADV of at least 1,000,000 shares for the month of December 2020, the LMM may opt in to the LMM Add Liquidity Rebate for that security during January 2021, which would apply to its trading in the LMM
Security for the month of February 2021. If the LMM Security does not meet the CADV Requirement for a given month, the LMM Security will be automatically un-enrolled from the LMM Add Liquidity Rebate. Like the be .50%3%. The Original Filing provides that before diverging significantly from the ranges described above, the Exchange will submit a rule filing to the Commission describing such proposed changes. The Exchange does not believe that this change represents a significant divergence but is instead noting the change in order to provide transparency regarding the current state of the Minimum Performance Standards.
7 An Enhanced Security refers to a BZX-listed security which meets certain enhanced qualifying market quality standards.
8 Like the Standard and Enhanced Rates provided under the existing LMM Liquidity Provision Rates i.e., paragraph A of footnote 14, the proposed rebate would apply only to MPIDs that are LMMs.
9 CADV means consolidated average daily volume calculated as the average daily volume reported for a security by all exchanges and trade reporting facilities to a consolidated transaction reporting plan for the three calendar months preceding the month for which the fees apply and excludes volume on days when the market closes early and on the Russell Reconstitution Day.
10 New listings and transferred listings made during a given month will not be eligible for the LMM Add Liquidity Rebate during that month.

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LMM Liquidity Provision Rates, the LMM must meet the Minimum Performance Standards applicable to Qualified Securities.
For example, assume an LMM opts in to the proposed program for the month of February 2021 in symbol ABCD. If the LMM meets the Minimum Performance Standards for a given trading day, the MPID would receive a rebate per share of $0.0039 in symbol ABCD instead of the rebate normally applied to the Members trading in the symbol, which could range from $0.0020 to $0.0033 per share. On any trading day in which the LMM does not meet the Minimum Performance Standards in symbol ABCD, the MPID would receive the rebate normally applied to the Members trading in the symbol. While opting in to the LMM Add Liquidity Rebate would preclude the LMM from receiving the LMM Liquidity Provision Rates for the elected LMM Security, it would not preclude an LMM from achieving other incentives e.g., LMM
Add Volume Tiers.
As discussed above, the LMM Add Liquidity Rebate would be available on a symbol-by-symbol basis for LMM
Securities meeting the CADV
Requirement. For any security that the LMM does not opt in to the LMM Add Liquidity Rebate, the LMM will continue to participate in the Liquidity Provision Rates by default. An LMM
may opt in to the LMM Add Liquidity Rebate program instead of the default LMM Liquidity Provision Rates program for a given LMM Security for the following calendar month. By default, an LMM will be subject to the LMM
Liquidity Provision Rates unless it opts in to the LMM Add Liquidity Rebate.
Specifically, if an LMM Security is eligible for the LMM Add Liquidity Rebate i.e., meets the CADV
Requirement, an LMM will be able to enroll the LMM Security in the program via the Exchanges ETP Portal. LMM
Securities that do not meet the CADV
Requirement will be ineligible for the program and will not be available for selection in the ETP Portal. Further, LMM elections will remain the same as the prior month unless changed by the LMM or the LMM Security fails to meet the CADV Requirement.11
In addition to the above, the Exchange proposes three additional modifications to the Fee Schedule. First, the Exchange proposes to re-letter existing paragraphs B and C under footnote 14 based on the proposed amendment to add a new 11 An LMM must opt in to the LMM Add Liquidity Rebate each time a Qualified Security is eligible for the rebate after having failed to meet the CADV Requirement during the prior months.

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