Each time an Industry Member reprices a peg order based on a market move (e.g., when there is a change in the national best bid or offer or the best bid or offer on a particular exchange, as applicable based on the terms of the order), the Industry Member must report a price modification of the peg order to the CAT pursuant to Section 6.3(d) of the CAT NMS Plan, as applied to Industry Members by Section 6.4(d)(i) of the CAT NMS Plan, if the price is modified. If the Industry Member does not reprice a peg order when the market moves, the Industry Member does not need to report a modification of the peg order to the CAT since the order was not modified by either the customer or the Industry Member. For example, for both displayed and non-displayed alternative trading systems (ATSs), if an ATS’s matching engine reprices a peg order when the market moves, the price modification must be reported to the CAT. If a matching engine does not reprice a peg order when the market moves, there is no requirement to report a price modification to the CAT.

Example 1: A display ATS receives a buy order with a primary peg instruction and a limit price of $10. The current market is 9.98 and accordingly, the order is displayed at 9.98. The NBB subsequently moves to 9.99. The ATS reprices the order and re-displays it at 9.99. The re-pricing of this order must be reported to CAT by the ATS.

Example 2: An ATS receives a buy order with a primary peg instruction and a limit price of $10. The order is not displayable or routable and the ATS has no sell orders that are eligible to trade with the buy order. The NBB subsequently moves to 9.99 and the ATS receives no other sell orders that are eligible to trade with the buy order. The ATS takes no action on the open buy order when the NBB moves to 9.99, therefore there is no CAT reportable event.

Example 3: An ATS receives a buy order with mid-point peg instruction when the NBBO is 9.85 x 10. The order is not displayable or routable and the ATS has no sell orders that are eligible to trade with the buy order. The NBBO subsequently moves to 9.90 x 10. The ATS then receives a market order to sell that is eligible to trade with the buy order and the two orders are crossed at 9.95. Because the ATS did not re-price the buy order prior to executing it, there is no CAT reportable event required to reflect a price modification of the buy order to 9.95.