Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Rule 1000 (Automatic Execution of Limit Orders Against Orders Reflected in NYSE Published Quotation), 1250-1252 [E7-25600]
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1250
Federal Register / Vol. 73, No. 4 / Monday, January 7, 2008 / Notices
SECURITIES AND EXCHANGE
COMMISSION
the most significant aspects of such
statements.
[Release No. 34–57063; File No. SR–NYSE–
2007–123]
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
Self-Regulatory Organizations; New
York Stock Exchange LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change Relating to
Rule 1000 (Automatic Execution of
Limit Orders Against Orders Reflected
in NYSE Published Quotation)
December 28, 2007.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder,2
notice is hereby given that on December
27, 2007, the New York Stock Exchange
LLC (‘‘Exchange’’ or ‘‘NYSE’’) filed with
the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I and II below, which Items have
been substantially prepared by the
Exchange. The Exchange has designated
this proposal as non-controversial under
Section 19(b)(3)(A)(iii) of the Act 3 and
Rule 19b–4(f)(6) thereunder,4 which
renders the proposed rule change
effective upon filing with the
Commission. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
pwalker on PROD1PC71 with NOTICES
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange is proposing to amend
Exchange Rule 1000(a)(iv) to provide
for, in specified circumstances,
Liquidity Replenishment Points
(‘‘LRPs’’) to be calculated based on the
last published quote rather than the last
sale price. The text of the proposed rule
change is available at NYSE, the
Commission’s Public Reference Room,
and https://www.nyse.com.
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
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 15 U.S.C. 78s(b)(3)(A)(iii).
4 17 CFR 240.19b–4(f)(6).
2 17
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Jkt 214001
1. Purpose
The NYSE proposes to amend
Exchange Rule 1000(a)(iv) to provide
for, in specified circumstances, LRPs to
be calculated based on the last
published quote rather than the last sale
price.
a. Current Exchange Rule 1000(a)
(Automatic Execution of Limit Orders
Against Orders Reflected in NYSE
Published Quotation)
Currently, Exchange Rule 1000(a)
provides that, subject to certain
exceptions, an automatically executing
order shall receive an automatic
execution against orders reflected in the
Exchange published quotation, orders
on the Display Book, e-Quotes, sQuotes, and CAP–DI orders.5 One
exception is where a Liquidity
Replenishment Point (‘‘LRP’’) has been
reached.6
LRPs are pre-determined price points
that function as ‘‘speed bumps’’ to
moderate volatility in a particular
security, improve price continuity, and
foster market quality by temporarily
converting the electronic market to an
auction market and permitting new
orders, the Crowd, and the specialist to
add liquidity.7 LRPs are calculated and
reset automatically every 30 seconds
throughout the day by both adding and
subtracting a value to the last sale price
on the Exchange in the relevant
security.8 LRPs are also automatically
calculated after a manual trade by a
specialist.9 When a LRP is reached,
Auto Execution is suspended and the
market for the particular security
temporarily changes to an auction (or
5 See
Exchange Rule 1000(a). Rule 1000(a)(iv),
governing the calculation of LRPs, was originally
adopted on March 22, 2006, as part of the
Exchange’s development and implementation of the
Hybrid market. See Securities Exchange Act Release
No. 53539 (March 22, 2006), 71 FR 16353 (March
31, 2006) (SR–NYSE–2004–05). The Rule was
subsequently amended in November 2006 to
simplify the LRP procedures to their current form.
See Securities Exchange Act Release No. 54820
(November 27, 2006), 71 FR 70824 (December 6,
2006) (SR–NYSE–2006–65).
6 See Exchange Rule 1000(a)(iv).
7 See Securities Exchange Act Release No. 53539
(March 22, 2006), 71 FR 16353, at 16362 (March 31,
2006) (SR–NYSE–2004–05).
8 See Exchange Rules 1000(a)(iv)(A) and (C). LRPs
are calculated based only on sale prices for trades
executed on the Exchange and do not take into
account trades executed on away markets.
9 See Exchange Rule 1000(a)(iv)(C).
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Fmt 4703
Sfmt 4703
‘‘slow’’) market.10 Auto Execution
resumes as soon as possible after a LRP
is reached, usually in no more than 5 to
10 seconds or immediately following a
manual transaction.11 LRPs are
automatically recalculated when Auto
Execution resumes after a LRP has been
reached.12 The values used to calculate
the LRPs are determined and
disseminated by the Exchange and do
not change intraday.13 LRPs are not
calculated and active until a trade in the
relevant security occurs on the
Exchange.14
b. Proposed Amendments to Exchange
Rule 1000(a)(iv)
The Exchange proposes to amend
Rule 1000(a)(iv) to provide for, in
specified circumstances, LRPs to be
calculated based on the last published
quote rather than the last sale price.
Because of the way the system is
currently designed, when a stock is
opened on a quote, the system cannot
calculate LRPs in that stock until the
first new sale occurs on the Exchange.
Similarly, when Auto Execution
resumes after it was disabled due to
quoting beyond the LRP, the system
resets the LRP for the ‘‘slow’’ side to
zero and will not recalculate a new LRP
until the next sale on the Exchange. In
both instances, particularly with a
thinly traded stock, the next sale may
not occur for some time.
In order to address these technical
limitations and fill in gaps in the
calculation of LRPs, proposed new Rule
1000(a)(iv) would provide for LRPs to be
calculated based on the last published
quote, rather than the last sale price,
when (i) a stock opens on a quote, or (ii)
upon resumption of Auto Execution
after it was disabled due to quoting
beyond the LRP.
c. Calculation of LRPs When Opening
on Quote
Under the proposed new Rule
1000(a)(iv), when a stock opens on a
quote, the LRPs will be calculated
immediately using the opening quote by
taking the offer and adding the LRP
value (High LRP = offer + LRP value)
and taking the bid and subtracting the
LRP value (Low LRP = bid¥LRP value).
These LRPs will remain in effect until
the first sale of the security on the
Exchange, at which time the LRPs will
be reset based upon that sale price.
10 See Exchange Rules 1000(a) and (b). See also
Exchange Rules 60(e)(ii)(C), 79A.30(a).
11 See Exchange Rule 60(e)(ii)(C).
12 See Exchange Rule 1000(a)(iv)(C).
13 See Exchange Rule 1000(a)(iv)(A).
14 See Exchange Rule 1000(a)(iv)(B).
E:\FR\FM\07JAN1.SGM
07JAN1
Federal Register / Vol. 73, No. 4 / Monday, January 7, 2008 / Notices
d. Calculation of LRPs When the Market
Is Slow
Under the proposed new Rule
1000(a)(iv), upon resumption of Auto
Execution after it was suspended due to
quoting beyond one (or both) of the
LRPs (the ‘‘slow’’ side), the LRP will be
recalculated on the ‘‘slow’’ side using
the last published quote for that side by
taking either the offer (or the bid) and
adding (or subtracting) the LRP value.
Only the ‘‘slow’’ side LRP will be
recalculated. This LRP will not be
recalculated until a manual trade is
entered, there is a new sale of the
security on the Exchange, or the stock
becomes ‘‘slow’’ again and the specialist
again resumes Auto Execution. When a
manual trade is entered or there is a
new sale, both LRPs will be
immediately recalculated based on the
last sale price.
The Exchange believes these changes
would expand the advantages of LRPs
and would better inform its customers,
specialists and the market as a whole
what the Exchange’s trading ranges are
and when Automatic Execution may be
halted by the Exchange.
2. Statutory Basis
The basis for the proposed rule
change is the requirement under Section
6(b)(5) of the Act 15 that an exchange
have rules that are designed to promote
just and equitable principles of trade, 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 proposed rule
change also is designed to support the
principles of Section 11A(a)(1) 16 of the
Act in that it seeks to ensure
economically efficient execution of
securities transactions, to make it
practicable for brokers to execute
investors’ orders in the best market, and
to provide an opportunity for investors’
orders to be executed without the
participation of a dealer.
pwalker on PROD1PC71 with NOTICES
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
15 15
U.S.C. 78f(b)(5).
16 15 U.S.C. 78k–1(a)(1).
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19:05 Jan 04, 2008
Jkt 214001
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants or Others
The Exchange has neither solicited
nor received written comments on the
proposed rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
The Exchange has filed the proposed
rule change pursuant to Section
19(b)(3)(A) of the Act 17 and
subparagraph (f)(6) of Rule 19b–4
thereunder.18 Because the foregoing
proposed rule change: (i) Does not
significantly affect the protection of
investors or the public interest; (ii) does
not impose any significant burden on
competition; and (iii) does not become
operative for 30 days from the date on
which it was filed, or such shorter time
as the Commission may designate, if
consistent with the protection of
investors and the public interest, the
proposed rule change has become
effective pursuant to Section 19(b)(3)(A)
of the Act and Rule 19b–4(f)(6)(iii)
thereunder.19
A proposed rule change filed under
Rule 19b–4(f)(6) normally does not
become operative for 30 days after the
date of filing. However, Rule 19b–
4(f)(6)(iii) permits the Commission to
waive the operative delay if such action
is consistent with the protection of
investors and the public interest. The
Exchange has asked the Commission to
waive the operative delay to permit the
proposed rule change to become
effective prior to the 30th day after
filing.
The Commission believes that
waiving the 30-day operative delay is
consistent with the protection of
investors and the public interest. Waiver
of the 30-day pre-operative waiting
period will allow the benefits of
expanding the recalculation and use of
LRPs to certain times when there is no
available last sale price to be realized
without delay. Therefore, the
Commission has determined to waive
the 30-day delay and allow the
proposed rule change to become
operative upon filing.20
17 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6).
19 Rule 19b–4(f)(6) also requires the Exchange to
give 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. The Exchange
has satisfied the five-day pre-filing requirement.
20 For purposes only of waiving the operative
delay of this proposal, the Commission notes that
18 17
PO 00000
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Fmt 4703
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1251
At any time within 60 days of the
filing of the proposed rule change, the
Commission may summarily abrogate
such rule change if it appears to the
Commission that such action is
necessary or appropriate in the public
interest, for the protection of investors,
or otherwise in furtherance of the
purposes of the Act.
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 (https://www.sec.gov/
rules/sro.shtml); or
• Send an e-mail to rulecomments@sec.gov. Please include File
No. SR–NYSE–2007–123 on the subject
line.
Paper Comments
• Send paper comments in triplicate
to Nancy M. Morris, Secretary,
Securities and Exchange Commission,
100 F Street, NE., Washington, DC
20549–1090.
All submissions should refer to File
Number SR–NYSE–2007–123. This file
number should be included on the
subject line if e-mail 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 Commissions
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for inspection and copying in
the Commission’s Public Reference
Room, 100 F Street, NE., Washington,
DC 20549, on official business days
between the hours of 10 a.m. and 3 p.m.
Copies of such 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
it has considered the proposed rule’s impact on
efficiency, competition, and capital formation. 15
U.S.C. 78c(f).
E:\FR\FM\07JAN1.SGM
07JAN1
1252
Federal Register / Vol. 73, No. 4 / Monday, January 7, 2008 / Notices
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–NYSE–2007–123 and
should be submitted on or before
January 28, 2008.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.21
Nancy M. Morris,
Secretary.
[FR Doc. E7–25600 Filed 1–4–08; 8:45 am]
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–57072; File No. SR–NYSE–
2007–125]
Self-Regulatory Organizations; New
York Stock Exchange LLC; Notice of
Filing and Immediate Effectiveness of
a Proposed Rule Change Relating to
Exchange Rule 107A (Registered
Competitive Market Makers) and
Exchange Rule 110 (Competitive
Traders)
December 31, 2007.
Pursuant to section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder,2
notice is hereby given that on December
31, 2007, the New York Stock Exchange
LLC (‘‘NYSE’’ or ‘‘Exchange’’) filed with
the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I and II below, which Items have
been substantially prepared by the
Exchange. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
pwalker on PROD1PC71 with NOTICES
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The NYSE proposes to extend for
three months the moratorium related to
the qualification and registration of
Registered Competitive Market Makers
(‘‘RCMMs’’) pursuant to Exchange Rule
107A and Competitive Traders (‘‘CTs’’)
pursuant to Exchange Rule 110. The text
of the proposed rule change is available
on the NYSE’s Web site (https://
www.nyse.com), at the NYSE, and at the
Commission’s Public Reference Room.
21 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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19:05 Jan 04, 2008
Jkt 214001
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. 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 aspects of such
statements.
1. Purpose
The Exchange proposes to extend for
three months the current moratorium
related to the qualification and
registration of RCMMs pursuant to
Exchange Rule 107A and CTs pursuant
to Exchange Rule 110.
On September 22, 2005, the Exchange
filed SR–NYSE–2005–63 3 with the
Commission proposing to implement a
moratorium on the qualification and
registration of new RCMMs and CTs
(‘‘Moratorium’’). The purpose of the
Moratorium was to allow the Exchange
an opportunity to review the viability of
RCMMs and CTs in the NYSE HYBRID
MARKETSM (‘‘Hybrid Market’’).4
The phased-in implementation of the
Hybrid Market required the Exchange to
extend the Moratorium an additional
four times over the next eighteen (18)
months.5 During each phase of the
Hybrid Market, new system
functionality was included in the
operation of Exchange systems and new
data was generated. As a result, the
Exchange was unable to make an
informed decision as to the viability of
RCMMs and CTs in the Hybrid Market.
The Exchange is now proposing to
extend the Moratorium, as amended,6
for an additional three months to March
3 See Securities Exchange Act Release No. 52648
(October 21, 2005), 70 FR 62155 (October 28, 2005)
(SR–NYSE–2005–63).
4 See Securities Exchange Act Release No. 53539
(March 22, 2006), 71 FR 16353 (March 31, 2006)
(SR–NYSE–2004–05) (establishing the Hybrid
Market).
5 See Securities Exchange Act Release Nos. 54140
(July 13, 2006), 71 FR 41491 (July 21, 2006) (SR–
NYSE–2006–48); 54985 (December 21, 2006), 72 FR
171 (January 3, 2007) (SR–NYSE–2006–113); 55992
(June 29, 2007), 72 FR 37289 (July 9, 2007) (SR–
NYSE–2007–57); and 56556 (September 27, 2007),
72 FR 56421 (October 3, 2007) (SR–NYSE–2007–
86).
6 See Securities Exchange Act Release No.53549
(March 24, 2006), 71 FR 16388 (March 31, 2006)
(SR–NYSE–2006–11) (making certain amendments
to the Moratorium).
PO 00000
Frm 00055
Fmt 4703
Sfmt 4703
31, 2008 in order to finalize its
determination as to the roles of RCMMs
and CTs in the Exchange’s Hybrid
Market and to formally submit a
proposal to the Commission outlining
these roles. The Exchange has continued
to review the data related to RCMMs
and CTs generated during the phasing in
of the Hybrid Market.
The Exchange is currently undergoing
significant developments in its
technology and market model.
Accordingly, the Exchange requests
additional time to decide what roles, if
any, RCMMs and CTs should perform in
the current Hybrid Market.
The Exchange will issue an
Information Memo announcing the
extension of the Moratorium.
2. Statutory Basis
The basis under the Act 7 for this
proposed rule change is the requirement
under section 6(b)(5) 8 that an exchange
have rules that are designed to promote
just and equitable principles of trade, 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.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
The Exchange has neither solicited
nor received written comments on the
proposed rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Because the proposed rule change: (i)
Does not significantly affect the
protection of investors or the public
interest; (ii) does not impose any
significant burden on competition; and
(iii) does not become operative for 30
days after the date of the filing, or such
shorter time as the Commission may
designate if consistent with the
protection of investors and the public
interest, the proposed rule change has
become effective pursuant to section
7 15
8 15
E:\FR\FM\07JAN1.SGM
U.S.C. 78a.
U.S.C. 78f(b)(5).
07JAN1
]]>Agencies
[Federal Register Volume 73, Number 4 (Monday, January 7, 2008)]
[Notices]
[Pages 1250-1252]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E7-25600]
[[Page 1250]]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-57063; File No. SR-NYSE-2007-123]
Self-Regulatory Organizations; New York Stock Exchange LLC;
Notice of Filing and Immediate Effectiveness of Proposed Rule Change
Relating to Rule 1000 (Automatic Execution of Limit Orders Against
Orders Reflected in NYSE Published Quotation)
December 28, 2007.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on December 27, 2007, the New York Stock Exchange LLC (``Exchange'' or
``NYSE'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I and
II below, which Items have been substantially prepared by the Exchange.
The Exchange has designated this proposal as non-controversial under
Section 19(b)(3)(A)(iii) of the Act \3\ and Rule 19b-4(f)(6)
thereunder,\4\ which renders the proposed rule change effective upon
filing with the Commission. The Commission is publishing this notice to
solicit comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ 15 U.S.C. 78s(b)(3)(A)(iii).
\4\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange is proposing to amend Exchange Rule 1000(a)(iv) to
provide for, in specified circumstances, Liquidity Replenishment Points
(``LRPs'') to be calculated based on the last published quote rather
than the last sale price. The text of the proposed rule change is
available at NYSE, the Commission's Public Reference Room, and https://
www.nyse.com.
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 aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The NYSE proposes to amend Exchange Rule 1000(a)(iv) to provide
for, in specified circumstances, LRPs to be calculated based on the
last published quote rather than the last sale price.
a. Current Exchange Rule 1000(a) (Automatic Execution of Limit Orders
Against Orders Reflected in NYSE Published Quotation)
Currently, Exchange Rule 1000(a) provides that, subject to certain
exceptions, an automatically executing order shall receive an automatic
execution against orders reflected in the Exchange published quotation,
orders on the Display Book, e-Quotes, s-Quotes, and CAP-DI orders.\5\
One exception is where a Liquidity Replenishment Point (``LRP'') has
been reached.\6\
---------------------------------------------------------------------------
\5\ See Exchange Rule 1000(a). Rule 1000(a)(iv), governing the
calculation of LRPs, was originally adopted on March 22, 2006, as
part of the Exchange's development and implementation of the Hybrid
market. See Securities Exchange Act Release No. 53539 (March 22,
2006), 71 FR 16353 (March 31, 2006) (SR-NYSE-2004-05). The Rule was
subsequently amended in November 2006 to simplify the LRP procedures
to their current form. See Securities Exchange Act Release No. 54820
(November 27, 2006), 71 FR 70824 (December 6, 2006) (SR-NYSE-2006-
65).
\6\ See Exchange Rule 1000(a)(iv).
---------------------------------------------------------------------------
LRPs are pre-determined price points that function as ``speed
bumps'' to moderate volatility in a particular security, improve price
continuity, and foster market quality by temporarily converting the
electronic market to an auction market and permitting new orders, the
Crowd, and the specialist to add liquidity.\7\ LRPs are calculated and
reset automatically every 30 seconds throughout the day by both adding
and subtracting a value to the last sale price on the Exchange in the
relevant security.\8\ LRPs are also automatically calculated after a
manual trade by a specialist.\9\ When a LRP is reached, Auto Execution
is suspended and the market for the particular security temporarily
changes to an auction (or ``slow'') market.\10\ Auto Execution resumes
as soon as possible after a LRP is reached, usually in no more than 5
to 10 seconds or immediately following a manual transaction.\11\ LRPs
are automatically recalculated when Auto Execution resumes after a LRP
has been reached.\12\ The values used to calculate the LRPs are
determined and disseminated by the Exchange and do not change
intraday.\13\ LRPs are not calculated and active until a trade in the
relevant security occurs on the Exchange.\14\
---------------------------------------------------------------------------
\7\ See Securities Exchange Act Release No. 53539 (March 22,
2006), 71 FR 16353, at 16362 (March 31, 2006) (SR-NYSE-2004-05).
\8\ See Exchange Rules 1000(a)(iv)(A) and (C). LRPs are
calculated based only on sale prices for trades executed on the
Exchange and do not take into account trades executed on away
markets.
\9\ See Exchange Rule 1000(a)(iv)(C).
\10\ See Exchange Rules 1000(a) and (b). See also Exchange Rules
60(e)(ii)(C), 79A.30(a).
\11\ See Exchange Rule 60(e)(ii)(C).
\12\ See Exchange Rule 1000(a)(iv)(C).
\13\ See Exchange Rule 1000(a)(iv)(A).
\14\ See Exchange Rule 1000(a)(iv)(B).
---------------------------------------------------------------------------
b. Proposed Amendments to Exchange Rule 1000(a)(iv)
The Exchange proposes to amend Rule 1000(a)(iv) to provide for, in
specified circumstances, LRPs to be calculated based on the last
published quote rather than the last sale price. Because of the way the
system is currently designed, when a stock is opened on a quote, the
system cannot calculate LRPs in that stock until the first new sale
occurs on the Exchange. Similarly, when Auto Execution resumes after it
was disabled due to quoting beyond the LRP, the system resets the LRP
for the ``slow'' side to zero and will not recalculate a new LRP until
the next sale on the Exchange. In both instances, particularly with a
thinly traded stock, the next sale may not occur for some time.
In order to address these technical limitations and fill in gaps in
the calculation of LRPs, proposed new Rule 1000(a)(iv) would provide
for LRPs to be calculated based on the last published quote, rather
than the last sale price, when (i) a stock opens on a quote, or (ii)
upon resumption of Auto Execution after it was disabled due to quoting
beyond the LRP.
c. Calculation of LRPs When Opening on Quote
Under the proposed new Rule 1000(a)(iv), when a stock opens on a
quote, the LRPs will be calculated immediately using the opening quote
by taking the offer and adding the LRP value (High LRP = offer + LRP
value) and taking the bid and subtracting the LRP value (Low LRP = bid-
LRP value). These LRPs will remain in effect until the first sale of
the security on the Exchange, at which time the LRPs will be reset
based upon that sale price.
[[Page 1251]]
d. Calculation of LRPs When the Market Is Slow
Under the proposed new Rule 1000(a)(iv), upon resumption of Auto
Execution after it was suspended due to quoting beyond one (or both) of
the LRPs (the ``slow'' side), the LRP will be recalculated on the
``slow'' side using the last published quote for that side by taking
either the offer (or the bid) and adding (or subtracting) the LRP
value. Only the ``slow'' side LRP will be recalculated. This LRP will
not be recalculated until a manual trade is entered, there is a new
sale of the security on the Exchange, or the stock becomes ``slow''
again and the specialist again resumes Auto Execution. When a manual
trade is entered or there is a new sale, both LRPs will be immediately
recalculated based on the last sale price.
The Exchange believes these changes would expand the advantages of
LRPs and would better inform its customers, specialists and the market
as a whole what the Exchange's trading ranges are and when Automatic
Execution may be halted by the Exchange.
2. Statutory Basis
The basis for the proposed rule change is the requirement under
Section 6(b)(5) of the Act \15\ that an exchange have rules that are
designed to promote just and equitable principles of trade, 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 proposed rule change also is designed to support
the principles of Section 11A(a)(1) \16\ of the Act in that it seeks to
ensure economically efficient execution of securities transactions, to
make it practicable for brokers to execute investors' orders in the
best market, and to provide an opportunity for investors' orders to be
executed without the participation of a dealer.
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\15\ 15 U.S.C. 78f(b)(5).
\16\ 15 U.S.C. 78k-1(a)(1).
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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
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants or Others
The Exchange has neither solicited nor received written comments on
the proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The Exchange has filed the proposed rule change pursuant to Section
19(b)(3)(A) of the Act \17\ and subparagraph (f)(6) of Rule 19b-4
thereunder.\18\ Because the foregoing proposed rule change: (i) Does
not significantly affect the protection of investors or the public
interest; (ii) does not impose any significant burden on competition;
and (iii) does not become operative for 30 days from the date on which
it was filed, or such shorter time as the Commission may designate, if
consistent with the protection of investors and the public interest,
the proposed rule change has become effective pursuant to Section
19(b)(3)(A) of the Act and Rule 19b-4(f)(6)(iii) thereunder.\19\
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\17\ 15 U.S.C. 78s(b)(3)(A).
\18\ 17 CFR 240.19b-4(f)(6).
\19\ Rule 19b-4(f)(6) also requires the Exchange to give 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. The Exchange has satisfied the five-day pre-filing
requirement.
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A proposed rule change filed under Rule 19b-4(f)(6) normally does
not become operative for 30 days after the date of filing. However,
Rule 19b-4(f)(6)(iii) permits the Commission to waive the operative
delay if such action is consistent with the protection of investors and
the public interest. The Exchange has asked the Commission to waive the
operative delay to permit the proposed rule change to become effective
prior to the 30th day after filing.
The Commission believes that waiving the 30-day operative delay is
consistent with the protection of investors and the public interest.
Waiver of the 30-day pre-operative waiting period will allow the
benefits of expanding the recalculation and use of LRPs to certain
times when there is no available last sale price to be realized without
delay. Therefore, the Commission has determined to waive the 30-day
delay and allow the proposed rule change to become operative upon
filing.\20\
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\20\ For purposes only of waiving the operative delay of this
proposal, the Commission notes that it has considered the proposed
rule's impact on efficiency, competition, and capital formation. 15
U.S.C. 78c(f).
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At any time within 60 days of the filing of the proposed rule
change, the Commission may summarily abrogate such rule change if it
appears to the Commission that such action is necessary or appropriate
in the public interest, for the protection of investors, or otherwise
in furtherance of the purposes of the Act.
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 (https://
www.sec.gov/rules/sro.shtml); or
Send an e-mail to rule-comments@sec.gov. Please include
File No. SR-NYSE-2007-123 on the subject line.
Paper Comments
Send paper comments in triplicate to Nancy M. Morris,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSE-2007-123. This file
number should be included on the subject line if e-mail 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 Commissions Internet Web site (https://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for inspection and copying in the
Commission's Public Reference Room, 100 F Street, NE., Washington, DC
20549, on official business days between the hours of 10 a.m. and 3
p.m. Copies of such 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
[[Page 1252]]
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-NYSE-2007-123 and should be
submitted on or before January 28, 2008.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\21\
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\21\ 17 CFR 200.30-3(a)(12).
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Nancy M. Morris,
Secretary.
[FR Doc. E7-25600 Filed 1-4-08; 8:45 am]
BILLING CODE 8011-01-P
