Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Adopt a Policy Relating to Its Treatment of Trade Reports That It Determines To Be Inconsistent With the Prevailing Market, 158-160 [E8-31191]
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158
Federal Register / Vol. 74, No. 1 / Friday, January 2, 2009 / Notices
information that you wish to make
available publicly.
All submissions should refer to File
Number SR–NASDAQ–2008–101 and
should be submitted on or before
January 23, 2009.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.9
Florence E. Harmon,
Acting Secretary.
[FR Doc. E8–31150 Filed 12–31–08; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
Self-Regulatory Organizations; The
NASDAQ Stock Market LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change To Adopt a
Policy Relating to Its Treatment of
Trade Reports That It Determines To
Be Inconsistent With the Prevailing
Market
December 23, 2008.
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
19, 2008, The NASDAQ Stock Market
LLC (‘‘Nasdaq’’) filed with the Securities
and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by Nasdaq. Nasdaq has designated this
proposal as eligible for immediate
effectiveness pursuant to Exchange Act
Rule 19b–4(f)(6). The Commission is
publishing this notice and order to
solicit comments on the proposed rule
change from interested persons.
mstockstill on PROD1PC66 with NOTICES
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
Nasdaq proposes to adopt a policy
relating to its treatment of trade reports
that it determines to be inconsistent
with the prevailing market. The
Exchange does not expect that the
proposed rule change will have any
direct effect, or significant indirect
effect, on any other Exchange rule in
effect at the time of this filing.
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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16:23 Dec 31, 2008
Jkt 217001
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
[Release No. 34–59151; File No. SR–
NASDAQ–2008–100]
9 17
In its filing with the Commission,
Nasdaq 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, and
is set forth in Sections A, B, and C
below.
Trades in listed securities
occasionally occur at prices that deviate
from prevailing market prices and those
trades sometimes establish a high, low
or last sale price for a security that does
not reflect the true market for the
security. This filing, which is
substantially similar to the New York
Stock Exchange’s (‘‘NYSE’’) recent
filing, seeks to address such instances of
‘‘aberrant’’ trades.3
The Exchange proposes that its policy
in this regard shall be to contact the
listing exchange (if Nasdaq is not the
listing exchange) and other markets (in
the case of executions that take place
across multiple markets) to determine if
any erroneous trade reports were filed.
If not, or in the case of non-unlisted
trading privilege trades, if Nasdaq
determines the trade price is
inconsistent with the prevailing market
for the security after considering the
factors outlined herein, the Exchange
may make the determination to append
an indicator (an ‘‘Aberrant Report
Indicator’’) to the trade.
Nasdaq trades stocks listed on its own
market and trades on an unlisted trading
privilege (‘‘UTP’’) basis securities listed
on other markets. Nasdaq operates the
securities information processor (‘‘SIP’’),
which processes trade and quote
information for the Nasdaq UTP Plan
(‘‘Nasdaq SIP’’). The Securities Industry
Automation Corporation (‘‘SIAC’’)
serves as the securities information
processor for the CTA Plan and
processes trade and quote information.
The Nasdaq SIP and the Consolidated
Tape Association (‘‘CTA’’) offer each
participant in the Nasdaq UTP and CTA
3 See Securities Exchange Act Release No. 58736
(October 6, 2008), 73 FR 60380 (October 10, 2008)
(SR-NYSE–2008–91). The Exchange notes that these
proposed policies relating to the Exchange’s
treatment of trade reports that it determines to be
inconsistent with the prevailing market are
substantially similar to the NYSE’s proposed
policies.
PO 00000
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Fmt 4703
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Plan the discretion to append to the
Aberrant Report Indicator to a trade
report to indicate that the market
believes that the trade price in a trade
executed on that market does not
accurately reflect the prevailing market
for the security.4
During the course of surveillance by
the Exchange or as a result of
notification by another market, listed
company or market participant, the
Exchange may become aware of trade
prices that do not accurately reflect the
prevailing market for a security. In such
a case, the Exchange proposes to adopt
as policies that it:
i. May determine to append an
Aberrant Report Indicator to any trade
report with respect to any trade
executed on the Exchange that the
Exchange determines to be inconsistent
with the prevailing market; and
ii. Shall discourage vendors and other
data recipients from using prices to
which the Exchange has appended the
Aberrant Report Indicator in any
calculation of the high, low or last sale
price of a security.
The Exchange will urge vendors to
disclose the exclusion from high, low or
last sale price data of any trades with an
Aberrant Report Indicator and exclude
them from high, low or last sale price
information they disseminate and to
provide to data users an explanation of
the parameters used in the Exchange’s
aberrant trade policy. Upon initial
adoption of the Aberrant Report
Indicator, the Exchange will contact all
of its listed companies via a Head
Trader Alert to explain the aberrant
trade policy and that the underlying
trades remain valid and will clear. In
the event the trade relates to a Nasdaqlisted security, Nasdaq’s Market
Intelligence Desk will inform the
affected listed company that these are
still valid trades in that they were
executed and not unwound as in the
case of a clearly erroneous trade.
While SIAC, on behalf of the CTA
Plan, and the Nasdaq SIP, on behalf of
the Nasdaq UTP Plan, disseminate their
own calculations of high, low and last
sale prices, vendors and other data
recipients—and not the Exchange—
frequently determine their own
methodology by which they wish to
calculate high, low and last sale prices.
Therefore, the Exchange shall endeavor
to explain to those vendors and other
data recipients the deleterious effects
that can result from including in the
calculations a trade to which the
4 The CTA recommends that data recipients
should exclude the price of any trade to which the
Aberrant Report Indicator has been appended from
any calculation of the high, low and last sale prices
for the security.
E:\FR\FM\02JAN1.SGM
02JAN1
Federal Register / Vol. 74, No. 1 / Friday, January 2, 2009 / Notices
mstockstill on PROD1PC66 with NOTICES
Aberrant Report Indicator has been
appended.
In making the determination to
append the Aberrant Report Indicator,
the Exchange shall consider all factors
related to a trade, including, but not
limited to, the following:
• Material news released for the
security;
• Suspicious trading activity;
• System malfunctions or
disruptions;
• Locked or crossed markets;
• A recent trading halt or resumption
of trading in the security;
• Whether the security is in its initial
public offering;
• Volume and volatility for the
security;
• Whether the trade price represents
a 52-week high or low for the security;
• Whether the trade price deviates
significantly from recent trading
patterns in the security;
• Whether the trade price reflects a
stock-split, reorganization or other
corporate action;
• The validity of consolidated tape
trades and quotes in comparison to
national best bids and offers; and
• The general volatility of market
conditions.
In determining whether trade prices
are inconsistent with the prevailing
market, the Exchange proposes that its
policy shall be to follow the following
general guidelines: The Exchange will
review whether a trade price does not
reflect the prevailing market for a
security if the trade occurs during
regular trading hours (i.e., 9:30 a.m. to
4 p.m.) and occurs at a price that
deviates from the ‘‘Reference Price’’ by
an amount that meets or exceeds the
following thresholds:
reflect the market for the security, the
Exchange might use as the Reference
Price a trade price or best bid or offer
that was available prior to the trade in
question.
If Nasdaq determines that a trade
price does not reflect the prevailing
market for a security and the trade
represented the last sale of the security
on the Exchange during a trading
session, the Exchange may also
determine to remove that trade’s
designation as the last sale and the
preceding last sale eligible trade would
become the new last sale. Nasdaq may
do so either on the day of the trade or
at a later date, so as to provide
reasonable time for the Exchange to
conduct due diligence regarding the
trade, including the consideration of
input from markets and other market
participants.
2. Statutory Basis
Nasdaq believes that the proposal is
consistent with Section 6(b) of the Act,5
in general, and Section 6(b)(5) of the
Act,6 in particular, in that it is designed
to promote just and equitable principles
of trade, to foster cooperation and
coordination with persons engaged in
regulating, clearing, settling, processing
information with respect to, and
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.
In particular, the Aberrant Report
Indicator is consistent with the
protection of investors and the public
interest in that the Exchange will seek
Numerical to ensure a proper understanding of the
Trade price
threshold
Aberrant Report Indicator among
(percent)
securities market participants by: (i)
Between $0 and $15.00 .............
7 Urging vendors to disclose the exclusion
Between $15.01 and $50.00 ......
5 from high, low or last sale price data of
In excess of $50.00 ....................
3
any aberrant trades excluded from high,
low or last sale price information they
The ‘‘Reference Price’’ refers to (a) if
disseminate and to provide to data users
the primary market for the security is
an explanation of the parameters used
open at the time of the trade, the
in the Exchange’s aberrant trade policy;
national best bid or offer for the
security, or (b) if the primary market for (ii) informing the affected listed
company each time the Exchange or
the security is not open at the time of
another market appends the Aberrant
the trade, the first executable quote or
Report Indicator to a trade in an Nasdaqprint for the security on the primary
listed stock; and (iii) reminding the
market after execution of the trade in
question. However, if the circumstances users of the information that these are
still valid trades in that they were
suggest that a different Reference Price
executed and not unwound as in the
would be more appropriate, the
Exchange will use the different
case of a clearly erroneous trade.
Reference Price. For instance, if the
5 15 U.S.C. 78f(b).
national best bid and offer for the
6 15 U.S.C. 78f(b)(5).
security are so wide apart as to fail to
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159
B. Self-Regulatory Organization’s
Statement on Burden on Competition
Nasdaq 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
Written comments were neither
solicited nor received.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Pursuant to Section 19(b)(3)(A) of the
Act 7 and Rule 19b–4(f)(6) thereunder,8
Nasdaq has designated this proposal as
one that effects a change that: (A) Does
not significantly affect the protection of
investors or the public interest; (B) does
not impose any significant burden on
competition; and (C) by its terms, 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.
A proposed rule change filed under
19b–4(f)(6) normally may not become
operative for 30 days after the date of
filing.9 However, Rule 19b–4(f)(6)(iii) 10
permits the Commission to designate a
shorter time if such action is consistent
with the protection of investors and the
public interest. Nasdaq has requested
that the Commission waive the 30-day
operative delay and designate the
proposed rule change to become
operative upon filing.
The Commission believes that
waiving the 30-day operative delay is
consistent with the protection of
investors and the public interest
because the proposal is substantially
similar to a proposal previously
approved by the Commission.11 The
Commission believes that Nasdaq’s
proposal to append an Aberrant Report
Indicator to certain trade reports is a
reasonable means to alert investors and
others that Nasdaq believes that the
trade price for a trade executed in its
7 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6).
9 17 CFR 240.19b–4(f)(6)(iii). In addition, Rule
19b–4(f)(6)(iii) requires a self-regulatory
organization to give the Commission written notice
of its intent to file 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. Nasdaq has satisfied
this requirement.
10 Id.
11 See Securities Exchange Act Release No. 58736
(October 6, 2008), 73 FR 60380 (October 10, 2008)
(SR–NYSE–2008–91).
8 17
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160
Federal Register / Vol. 74, No. 1 / Friday, January 2, 2009 / Notices
market does not accurately reflect the
prevailing market for the security. In
addition, the Commission notes that
Nasdaq will use objective numerical
thresholds in determining whether a
trade report is eligible to have an
Aberrant Trade Indicator appended to it.
The Commission further notes that
Nasdaq’s appending the Aberrant Trade
Indicator to a trade report has no effect
on the validity of the underlying trade.
Finally, waiving the 30-day operative
delay will allow Nasdaq to apply the
proposed change to future aberrant
trades immediately.12 Based on the
above, the Commission designates the
proposal to become operative upon
filing.
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 the 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
Number SR–NASDAQ–2008–100 on the
subject line.
mstockstill on PROD1PC66 with NOTICES
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–NASDAQ–2008–100. 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 Commission’s
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
12 For purposes only of waiving the 30-day
operative delay, the Commission has considered the
impact of the proposed rule on efficiency,
competition, and capital formation. 15 U.S.C. 78c(f).
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16:23 Dec 31, 2008
Jkt 217001
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 Nasdaq. 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–NASDAQ–2008–100 and
should be submitted on or before
January 23, 2009.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.13
Florence E. Harmon,
Acting Secretary.
[FR Doc. E8–31191 Filed 12–31–08; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–59163; File No. SR–
NASDAQ–2008–097]
Self-Regulatory Organizations; Notice
of Filing of Proposed Rule Change by
The NASDAQ Stock Market LLC
Adopting a Limited Exemption From
OATS Order Data Recordation
Requirements for Registered Options
Market Makers
December 24, 2008.
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 December
12, 2008, The NASDAQ Stock Market
LLC (‘‘Nasdaq’’), 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 Nasdaq. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
13 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
PO 00000
Frm 00092
Fmt 4703
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I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
Nasdaq proposes to adopt a limited
exemption from OATS order data
recordation requirements for Bona Fide
Hedging Transactions in Nasdaq-listed
equities that are transacted by Nasdaq
members that are registered market
makers in standardized options.
The text of the proposed rule change
is below. Proposed new language is in
italics; proposed deletions are in
[brackets].3
*
*
*
*
*
6951. Definitions
For purposes of the Rule 6950 Series:
(a)–(h) No change.
(i) ‘‘Order’’ shall mean any oral, written, or
electronic instruction to effect a transaction
in an equity security listed on The Nasdaq
Stock Market that is received by a member
from another person for handling or
execution, or that is originated by a
department of a member for execution by the
same or another member, other than any such
instruction to effect (1) a proprietary
transaction originated by a trading desk in
the ordinary course of a member’s market
making activities in a Nasdaq-listed equity
security or (2) effect a Bona Fide Hedge
Transaction involving a Nasdaq-listed equity
security originated by a trading desk in the
ordinary course of the member’s options
market making activities.
(j)–(n) No change.
*
*
*
*
*
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission,
Nasdaq 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. Nasdaq 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
Nasdaq proposes to modify its OATS
rules to adopt a limited exemption from
OATS order recordation requirements
for bona fide hedging transactions in
Nasdaq-listed equity securities that are
part of a Nasdaq member’s market
3 Changes are marked to the rule text that appears
in the electronic manual of Nasdaq found at
https://nasdaq.complinet.com.
E:\FR\FM\02JAN1.SGM
02JAN1
]]>Agencies
[Federal Register Volume 74, Number 1 (Friday, January 2, 2009)]
[Notices]
[Pages 158-160]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E8-31191]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-59151; File No. SR-NASDAQ-2008-100]
Self-Regulatory Organizations; The NASDAQ Stock Market LLC;
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To
Adopt a Policy Relating to Its Treatment of Trade Reports That It
Determines To Be Inconsistent With the Prevailing Market
December 23, 2008.
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 19, 2008, The NASDAQ Stock Market LLC (``Nasdaq'') filed
with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I and II below, which Items
have been prepared by Nasdaq. Nasdaq has designated this proposal as
eligible for immediate effectiveness pursuant to Exchange Act Rule 19b-
4(f)(6). The Commission is publishing this notice and order 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.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
Nasdaq proposes to adopt a policy relating to its treatment of
trade reports that it determines to be inconsistent with the prevailing
market. The Exchange does not expect that the proposed rule change will
have any direct effect, or significant indirect effect, on any other
Exchange rule in effect at the time of this filing.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, Nasdaq 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, and is set forth in Sections A, B, and C below.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
Trades in listed securities occasionally occur at prices that
deviate from prevailing market prices and those trades sometimes
establish a high, low or last sale price for a security that does not
reflect the true market for the security. This filing, which is
substantially similar to the New York Stock Exchange's (``NYSE'')
recent filing, seeks to address such instances of ``aberrant''
trades.\3\
---------------------------------------------------------------------------
\3\ See Securities Exchange Act Release No. 58736 (October 6,
2008), 73 FR 60380 (October 10, 2008) (SR-NYSE-2008-91). The
Exchange notes that these proposed policies relating to the
Exchange's treatment of trade reports that it determines to be
inconsistent with the prevailing market are substantially similar to
the NYSE's proposed policies.
---------------------------------------------------------------------------
The Exchange proposes that its policy in this regard shall be to
contact the listing exchange (if Nasdaq is not the listing exchange)
and other markets (in the case of executions that take place across
multiple markets) to determine if any erroneous trade reports were
filed. If not, or in the case of non-unlisted trading privilege trades,
if Nasdaq determines the trade price is inconsistent with the
prevailing market for the security after considering the factors
outlined herein, the Exchange may make the determination to append an
indicator (an ``Aberrant Report Indicator'') to the trade.
Nasdaq trades stocks listed on its own market and trades on an
unlisted trading privilege (``UTP'') basis securities listed on other
markets. Nasdaq operates the securities information processor
(``SIP''), which processes trade and quote information for the Nasdaq
UTP Plan (``Nasdaq SIP''). The Securities Industry Automation
Corporation (``SIAC'') serves as the securities information processor
for the CTA Plan and processes trade and quote information. The Nasdaq
SIP and the Consolidated Tape Association (``CTA'') offer each
participant in the Nasdaq UTP and CTA Plan the discretion to append to
the Aberrant Report Indicator to a trade report to indicate that the
market believes that the trade price in a trade executed on that market
does not accurately reflect the prevailing market for the security.\4\
---------------------------------------------------------------------------
\4\ The CTA recommends that data recipients should exclude the
price of any trade to which the Aberrant Report Indicator has been
appended from any calculation of the high, low and last sale prices
for the security.
---------------------------------------------------------------------------
During the course of surveillance by the Exchange or as a result of
notification by another market, listed company or market participant,
the Exchange may become aware of trade prices that do not accurately
reflect the prevailing market for a security. In such a case, the
Exchange proposes to adopt as policies that it:
i. May determine to append an Aberrant Report Indicator to any
trade report with respect to any trade executed on the Exchange that
the Exchange determines to be inconsistent with the prevailing market;
and
ii. Shall discourage vendors and other data recipients from using
prices to which the Exchange has appended the Aberrant Report Indicator
in any calculation of the high, low or last sale price of a security.
The Exchange will urge vendors to disclose the exclusion from high,
low or last sale price data of any trades with an Aberrant Report
Indicator and exclude them from high, low or last sale price
information they disseminate and to provide to data users an
explanation of the parameters used in the Exchange's aberrant trade
policy. Upon initial adoption of the Aberrant Report Indicator, the
Exchange will contact all of its listed companies via a Head Trader
Alert to explain the aberrant trade policy and that the underlying
trades remain valid and will clear. In the event the trade relates to a
Nasdaq-listed security, Nasdaq's Market Intelligence Desk will inform
the affected listed company that these are still valid trades in that
they were executed and not unwound as in the case of a clearly
erroneous trade.
While SIAC, on behalf of the CTA Plan, and the Nasdaq SIP, on
behalf of the Nasdaq UTP Plan, disseminate their own calculations of
high, low and last sale prices, vendors and other data recipients--and
not the Exchange--frequently determine their own methodology by which
they wish to calculate high, low and last sale prices. Therefore, the
Exchange shall endeavor to explain to those vendors and other data
recipients the deleterious effects that can result from including in
the calculations a trade to which the
[[Page 159]]
Aberrant Report Indicator has been appended.
In making the determination to append the Aberrant Report
Indicator, the Exchange shall consider all factors related to a trade,
including, but not limited to, the following:
Material news released for the security;
Suspicious trading activity;
System malfunctions or disruptions;
Locked or crossed markets;
A recent trading halt or resumption of trading in the
security;
Whether the security is in its initial public offering;
Volume and volatility for the security;
Whether the trade price represents a 52-week high or low
for the security;
Whether the trade price deviates significantly from recent
trading patterns in the security;
Whether the trade price reflects a stock-split,
reorganization or other corporate action;
The validity of consolidated tape trades and quotes in
comparison to national best bids and offers; and
The general volatility of market conditions.
In determining whether trade prices are inconsistent with the
prevailing market, the Exchange proposes that its policy shall be to
follow the following general guidelines: The Exchange will review
whether a trade price does not reflect the prevailing market for a
security if the trade occurs during regular trading hours (i.e., 9:30
a.m. to 4 p.m.) and occurs at a price that deviates from the
``Reference Price'' by an amount that meets or exceeds the following
thresholds:
------------------------------------------------------------------------
Numerical
Trade price threshold
(percent)
------------------------------------------------------------------------
Between $0 and $15.00....................................... 7
Between $15.01 and $50.00................................... 5
In excess of $50.00......................................... 3
------------------------------------------------------------------------
The ``Reference Price'' refers to (a) if the primary market for the
security is open at the time of the trade, the national best bid or
offer for the security, or (b) if the primary market for the security
is not open at the time of the trade, the first executable quote or
print for the security on the primary market after execution of the
trade in question. However, if the circumstances suggest that a
different Reference Price would be more appropriate, the Exchange will
use the different Reference Price. For instance, if the national best
bid and offer for the security are so wide apart as to fail to reflect
the market for the security, the Exchange might use as the Reference
Price a trade price or best bid or offer that was available prior to
the trade in question.
If Nasdaq determines that a trade price does not reflect the
prevailing market for a security and the trade represented the last
sale of the security on the Exchange during a trading session, the
Exchange may also determine to remove that trade's designation as the
last sale and the preceding last sale eligible trade would become the
new last sale. Nasdaq may do so either on the day of the trade or at a
later date, so as to provide reasonable time for the Exchange to
conduct due diligence regarding the trade, including the consideration
of input from markets and other market participants.
2. Statutory Basis
Nasdaq believes that the proposal is consistent with Section 6(b)
of the Act,\5\ in general, and Section 6(b)(5) of the Act,\6\ in
particular, in that it is designed to promote just and equitable
principles of trade, to foster cooperation and coordination with
persons engaged in regulating, clearing, settling, processing
information with respect to, and 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.
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\5\ 15 U.S.C. 78f(b).
\6\ 15 U.S.C. 78f(b)(5).
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In particular, the Aberrant Report Indicator is consistent with the
protection of investors and the public interest in that the Exchange
will seek to ensure a proper understanding of the Aberrant Report
Indicator among securities market participants by: (i) Urging vendors
to disclose the exclusion from high, low or last sale price data of any
aberrant trades excluded from high, low or last sale price information
they disseminate and to provide to data users an explanation of the
parameters used in the Exchange's aberrant trade policy; (ii) informing
the affected listed company each time the Exchange or another market
appends the Aberrant Report Indicator to a trade in an Nasdaq-listed
stock; and (iii) reminding the users of the information that these are
still valid trades in that they were executed and not unwound as in the
case of a clearly erroneous trade.
B. Self-Regulatory Organization's Statement on Burden on Competition
Nasdaq 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
Written comments were neither solicited nor received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Pursuant to Section 19(b)(3)(A) of the Act \7\ and Rule 19b-4(f)(6)
thereunder,\8\ Nasdaq has designated this proposal as one that effects
a change that: (A) Does not significantly affect the protection of
investors or the public interest; (B) does not impose any significant
burden on competition; and (C) by its terms, 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.
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\7\ 15 U.S.C. 78s(b)(3)(A).
\8\ 17 CFR 240.19b-4(f)(6).
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A proposed rule change filed under 19b-4(f)(6) normally may not
become operative for 30 days after the date of filing.\9\ However, Rule
19b-4(f)(6)(iii) \10\ permits the Commission to designate a shorter
time if such action is consistent with the protection of investors and
the public interest. Nasdaq has requested that the Commission waive the
30-day operative delay and designate the proposed rule change to become
operative upon filing.
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\9\ 17 CFR 240.19b-4(f)(6)(iii). In addition, Rule 19b-
4(f)(6)(iii) requires a self-regulatory organization to give the
Commission written notice of its intent to file 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. Nasdaq has satisfied this requirement.
\10\ Id.
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The Commission believes that waiving the 30-day operative delay is
consistent with the protection of investors and the public interest
because the proposal is substantially similar to a proposal previously
approved by the Commission.\11\ The Commission believes that Nasdaq's
proposal to append an Aberrant Report Indicator to certain trade
reports is a reasonable means to alert investors and others that Nasdaq
believes that the trade price for a trade executed in its
[[Page 160]]
market does not accurately reflect the prevailing market for the
security. In addition, the Commission notes that Nasdaq will use
objective numerical thresholds in determining whether a trade report is
eligible to have an Aberrant Trade Indicator appended to it. The
Commission further notes that Nasdaq's appending the Aberrant Trade
Indicator to a trade report has no effect on the validity of the
underlying trade. Finally, waiving the 30-day operative delay will
allow Nasdaq to apply the proposed change to future aberrant trades
immediately.\12\ Based on the above, the Commission designates the
proposal to become operative upon filing.
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\11\ See Securities Exchange Act Release No. 58736 (October 6,
2008), 73 FR 60380 (October 10, 2008) (SR-NYSE-2008-91).
\12\ For purposes only of waiving the 30-day operative delay,
the Commission has considered the impact of the proposed rule 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 the 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 Number SR-NASDAQ-2008-100 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-NASDAQ-2008-100. 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 Commission's 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 Nasdaq. 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-NASDAQ-2008-100 and should
be submitted on or before January 23, 2009.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\13\
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\13\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Acting Secretary.
[FR Doc. E8-31191 Filed 12-31-08; 8:45 am]
BILLING CODE 8011-01-P
