Self-Regulatory Organizations; NYSE Amex LLC; Order Approving a Proposed Rule Change Amending NYSE Amex Equities Rule 1000 To Allow Exchange Systems To Access CCS Interest To Partially Fill an Incoming Limit Order, 48328-48330 [E9-22731]
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48328
Federal Register / Vol. 74, No. 182 / Tuesday, September 22, 2009 / Notices
NYSE Rule 72 (‘‘Priority of Bids and
Offers and Allocation of Executions’’).7
Exchange systems can access CCS
interest only once to participate in the
execution of an incoming order.
Moreover, under current rules,
Exchange systems will only access CCS
interest to participate in the execution
of an incoming order where the
incoming order will be executed in full.
Proposed Amendment to NYSE Rule
1000
sroberts on DSKD5P82C1PROD with NOTICES
The Exchange now proposes to allow
Exchange systems to access CCS interest
to participate in executions where the
incoming order will only be partially
executed.8 Large incoming orders may
exhaust the entirety of displayed and
reserve interest on the Display Book at
various price points such that the
remaining unexecuted shares of the
incoming order would be quoted at the
order’s limit price, if any, or,
alternatively, at a Liquidity
Replenishment Point (‘‘LRP’’) 9 if that
price point is reached. In these partial
executions, Exchange systems currently
do not access the CCS interest available
at the price point where the remaining
shares of the incoming order is quoted.
The Exchange proposes to modify the
operation of CCS interest to allow
Exchange systems to access and execute
CCS interest to partially fill an incoming
order that exhausts the interest available
on the Display Book. Exchange systems
would continue to review all the
liquidity available on the Display Book
and at away market centers; however,
once it determines that the order cannot
be executed in full, it would also review
the DMM CCS interest file to determine
if any CCS interest is eligible to partially
fill the incoming order at the price
7 Pursuant to NYSE Rule 72, round-lot executions
on the Exchange are allocated on an equal basis, i.e.
parity, among market participants at a price point
unless one of the participants has established
priority. Priority is established when the participant
is the only interest displayed at the price point
when such price is or becomes the best bid or offer
published by the Exchange. A participant that
establishes priority for the displayed portion of his
or her order is allocated the first 15% of any
execution (a minimum of one round lot). Any DMM
non-CCS interest included in the displayed quantity
and non-displayed quantity is also executed
pursuant to NYSE Rule 72.
8 For a more detailed description of the
Exchange’s proposal, including examples
describing the proposal, see Notice, supra note 3,
at 40261–40262.
9 LRPs are pre-determined price points that
temporarily convert the automatic Exchange market
to an auction market in order to dampen volatility
when the market is experiencing a large price
movement based on a security’s typical trading
characteristics or market conditions over short
periods of time during the trading day. LRPs allow
the DMM to solicit additional liquidity.
VerDate Nov<24>2008
21:23 Sep 21, 2009
Jkt 217001
where any remaining shares of the order
would be quoted.10
When Exchange systems access the
CCS interest in order to provide a partial
execution of an incoming order, the CCS
interest would participate at the price
point where the remaining shares will
be quoted—the order’s limit price, if
any, or the LRP, if reached. As before,
any unexecuted remainder of the
incoming order would be quoted at the
limit price or LRP, as applicable.
When accessing CCS interest to
partially execute an order, Exchange
systems would not review the CCS
interest available at the better price. For
such partial executions, CCS interest
would only participate at the price at
which the unexecuted shares of the
incoming order would be quoted at the
last price, if any, or, if an LRP is
reached, at the LRP price. As is the case
with completed executions, Exchange
systems would not access CCS interest
during a partial execution until all other
interest on the Display Book at that
price point is executed in full.
The Exchange further proposes
technical changes to NYSE Rule 1000.11
III. Discussion and Commission’s
Findings
After careful review, the Commission
finds that the proposed rule change is
consistent with the requirements of the
Act and the rules and regulations
thereunder applicable to a national
securities exchange.12 In particular, the
Commission finds that the proposed
rule change is consistent with Section
6(b)(5) of the Act,13 which requires,
among other things, that a national
securities 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 Exchange stated in
its filing it believes that this proposal
would increase an order’s execution
volume by allowing Exchange systems
to access CCS interest for partial
10 In order for the DMM CCS interest to be eligible
to participate in a partial execution of an incoming
order, the DMM must designate such interest with
a ‘‘PF’’ indicator. All liquidity provided in the CCS
interest file would continue to be eligible to
participate in full executions of incoming orders. If
the DMM did not designate the CCS interest eligible
for partial fill, then the CCS interest would not
participate in the execution and the remaining
shares of the order would be quoted.
11 For a description of these technical changes,
see Notice, supra note 3, at 40263.
12 In approving this proposal, the Commission has
considered the proposed rule’s impact on
efficiency, competition, and capital formation. See
15 U.S.C. 78c(f).
13 15 U.S.C. 78f(b)(5).
PO 00000
Frm 00108
Fmt 4703
Sfmt 4703
executions. The proposed modification
increases the opportunities for
automatically executing a greater
number of shares of the incoming order
on the Exchange prior to quoting the
remainder. Thus, under the proposal,
partially executed incoming orders
would have an opportunity to have a
greater number of shares receive an
execution prior to being quoted.
The Commission notes that the price
point at which the CCS interest
participates in partial executions would
be, by operation of the proposed rule,
the same or better than any limit price
the customer has set for the incoming
order. For the foregoing reasons, the
Commission finds the proposed rule
change is consistent with the Act.
IV. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,14 that the
proposed rule change (SR–NYSE–2009–
71) be, and it hereby is, approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.15
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9–22732 Filed 9–21–09; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–60670; File No. SR–
NYSEAmex–2009–46]
Self-Regulatory Organizations; NYSE
Amex LLC; Order Approving a
Proposed Rule Change Amending
NYSE Amex Equities Rule 1000 To
Allow Exchange Systems To Access
CCS Interest To Partially Fill an
Incoming Limit Order
September 15, 2009.
I. Introduction
On July 20, 2009, NYSE Amex LLC
(‘‘NYSE Amex’’ or the ‘‘Exchange’’) filed
with the Securities and Exchange
Commission (‘‘Commission’’), pursuant
to Section 19(b)(1) of the Securities
Exchange Act of 1934 (‘‘Act’’) 1 and Rule
19b–4 thereunder,2 a proposed rule
change to amend NYSE Amex Equities
Rule 1000 to allow Exchange systems to
access CCS interest to partially fill an
incoming limit order. The proposed rule
change was published for comment in
the Federal Register on August 11,
14 15
U.S.C. 78s(b)(2).
CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
15 17
E:\FR\FM\22SEN1.SGM
22SEN1
Federal Register / Vol. 74, No. 182 / Tuesday, September 22, 2009 / Notices
2009.3 The Commission did not receive
any comment letters on the proposed
rule change. This order approves the
proposed rule change.
II. Description
Background
NYSE Amex offers Designated Market
Makers (‘‘DMMs’’) the ability to create a
schedule of additional non-displayed
liquidity at various price points where
the DMM is willing to interact with, and
provide price improvement to, incoming
orders in the Exchange’s system. This
schedule is known as the DMM Capital
Commitment Schedule (‘‘CCS’’).4 CCS
provides the Display Book® 5 with the
amount of shares that the DMM is
willing to trade at price points outside,
at, and inside the Exchange BBO. CCS
interest is separate and distinct from
other DMM interest and serves as the
interest of last resort.
When an order is entered for an
amount of shares that exceeds the
liquidity available at the Exchange BBO,
Exchange systems review all the
liquidity available on the Display Book,
including CCS interest, to determine the
final price point at which the order can
be fully executed (the ‘‘completion
price’’). Exchange systems determine
the completion price by calculating the
unfilled volume of the incoming order
(i.e., the volume of the incoming order
that exceeds the volume available to
execute against it that is then present in
the Exchange bid or offer) and reviewing
the additional displayed and nondisplayed interest available in the
Display Book, which may be at more
than one price point, including the CCS
interest submitted by the DMM unit that
is available at the completion price.
Exchange systems also take into account
protected bids or offers on markets other
than the Exchange (‘‘away interest’’)
when determining the completion price.
Exchange systems then review the
CCS to determine if the number of
shares provided via the DMM’s CCS at
the completion price is less than the
sroberts on DSKD5P82C1PROD with NOTICES
3 See
Securities Exchange Act Release No. 60428
(August 4, 2009), 74 FR 40273 (‘‘Notice’’).
4 The provisions of NYSE Amex Equities Rule
1000 relating to CCS are in effect pursuant to a pilot
that commenced in October 2008 and that is
currently scheduled to end on October 1, 2009. The
Commission understands that NYSE Amex plans to
request an extension of the pilot before it expires.
5 The Display Book® system is an order
management and execution facility. The Display
Book system receives and displays orders to the
DMMs, contains the order information, and
provides a mechanism to execute and report
transactions and publish the results to the
Consolidated Tape. The Display Book system is
connected to a number of other Exchange systems
for the purposes of comparison, surveillance, and
reporting information to customers and other
market data and national market systems.
VerDate Nov<24>2008
21:23 Sep 21, 2009
Jkt 217001
number of CCS shares provided at the
next different price that has interest that
is one minimum price variation
(‘‘MPV’’) (as that term is defined in
Exchange Rule 62 6) or more higher (in
the case of an order to sell) or at the next
different price that has interest that is
one MPV or more lower (in the case of
an order to buy) (hereinafter collectively
referred to as ‘‘better price’’). If the
volume of CCS interest that would be
accessed is greater at the completion
price, or is the same at the completion
price and the better price, Exchange
systems access CCS interest at the
completion price with CCS interest
yielding to any other interest in
Exchange systems at the completion
price. If the number of shares that
would be allocated to the CCS interest
at the better price is greater than the
number of shares that would be
allocated to the DMM’s CCS interest at
the completion price, then Exchange
systems will access the CCS liquidity
available at the better price with CCS
interest yielding to any other interest in
Exchange systems (both displayed and
undisplayed reserve interest) at the
better price. Any remaining balance of
the incoming order is executed at the
completion price against displayable
and non-displayable interest pursuant to
NYSE Amex Equities Rule 72 (‘‘Priority
of Bids and Offers and Allocation of
Executions’’).7
Exchange systems can access CCS
interest only once to participate in the
execution of an incoming order.
Moreover, under current rules,
Exchange systems will only access CCS
interest to participate in the execution
of an incoming order where the
incoming order will be executed in full.
Proposed Amendment to NYSE Amex
Equities Rule 1000
The Exchange now proposes to allow
Exchange systems to access CCS interest
to participate in executions where the
incoming order will only be partially
executed.8 Large incoming orders may
6 See
NYSE Amex Equities Rule 62,
Supplementary Material .10.
7 Pursuant to NYSE Amex Equities Rule 72,
round-lot executions on the Exchange are allocated
on an equal basis, i.e. parity, among market
participants at a price point unless one of the
participants has established priority. Priority is
established when the participant is the only interest
displayed at the price point when such price is or
becomes the best bid or offer published by the
Exchange. A participant that establishes priority for
the displayed portion of his or her order is allocated
the first 15% of any execution (a minimum of one
round lot). Any DMM non-CCS interest included in
the displayed quantity and non-displayed quantity
is also executed pursuant to NYSE Amex Equities
Rule 72.
8 For a more detailed description of the
Exchange’s proposal, including examples
PO 00000
Frm 00109
Fmt 4703
Sfmt 4703
48329
exhaust the entirety of displayed and
reserve interest on the Display Book at
various price points such that the
remaining unexecuted shares of the
incoming order would be quoted at the
order’s limit price, if any, or,
alternatively, at a Liquidity
Replenishment Point (‘‘LRP’’) 9 if that
price point is reached. In these partial
executions, Exchange systems currently
do not access the CCS interest available
at the price point where the remaining
shares of the incoming order is quoted.
The Exchange proposes to modify the
operation of CCS interest to allow
Exchange systems to access and execute
CCS interest to partially fill an incoming
order that exhausts the interest available
on the Display Book. Exchange systems
would continue to review all the
liquidity available on the Display Book
and at away market centers; however,
once it determines that the order cannot
be executed in full, it would also review
the DMM CCS interest file to determine
if any CCS interest is eligible to partially
fill the incoming order at the price
where any remaining shares of the order
would be quoted.10
When Exchange systems access the
CCS interest in order to provide a partial
execution of an incoming order, the CCS
interest would participate at the price
point where the remaining shares will
be quoted—the order’s limit price, if
any, or the LRP, if reached. As before,
any unexecuted remainder of the
incoming order would be quoted at the
limit price or LRP, as applicable.
When accessing CCS interest to
partially execute an order, Exchange
systems would not review the CCS
interest available at the better price. For
such partial executions, CCS interest
would only participate at the price at
which the unexecuted shares of the
incoming order would be quoted at the
last price, if any, or, if an LRP is
reached, at the LRP price. As is the case
with completed executions, Exchange
systems would not access CCS interest
describing the proposal, see Notice, supra note 3,
at 40274–40276.
9 LRPs are pre-determined price points that
temporarily convert the automatic Exchange market
to an auction market in order to dampen volatility
when the market is experiencing a large price
movement based on a security’s typical trading
characteristics or market conditions over short
periods of time during the trading day. LRPs allow
the DMM to solicit additional liquidity.
10 In order for the DMM CCS interest to be eligible
to participate in a partial execution of an incoming
order, the DMM must designate such interest with
a ‘‘PF’’ indicator. All liquidity provided in the CCS
interest file would continue to be eligible to
participate in full executions of incoming orders. If
the DMM did not designate the CCS interest eligible
for partial fill, then the CCS interest would not
participate in the execution and the remaining
shares of the order would be quoted.
E:\FR\FM\22SEN1.SGM
22SEN1
48330
Federal Register / Vol. 74, No. 182 / Tuesday, September 22, 2009 / Notices
during a partial execution until all other
interest on the Display Book at that
price point is executed in full.
The Exchange further proposes
technical changes to NYSE Amex
Equities Rule 1000.11
III. Discussion and Commission’s
Findings
After careful review, the Commission
finds that the proposed rule change is
consistent with the requirements of the
Act and the rules and regulations
thereunder applicable to a national
securities exchange.12 In particular, the
Commission finds that the proposed
rule change is consistent with Section
6(b)(5) of the Act,13 which requires,
among other things, that a national
securities 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 Exchange stated in
its filing it believes that this proposal
would increase an order’s execution
volume by allowing Exchange systems
to access CCS interest for partial
executions. The proposed modification
increases the opportunities for
automatically executing a greater
number of shares of the incoming order
on the Exchange prior to quoting the
remainder. Thus, under the proposal,
partially executed incoming orders
would have an opportunity to have a
greater number of shares receive an
execution prior to being quoted.
The Commission notes that the price
point at which the CCS interest
participates in partial executions would
be, by operation of the proposed rule,
the same or better than any limit price
the customer has set for the incoming
order. For the foregoing reasons, the
Commission finds the proposed rule
change is consistent with the Act.
IV. Conclusion
sroberts on DSKD5P82C1PROD with NOTICES
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,14 that the
proposed rule change (SR–NYSEAmex–
2009–46) be, and it hereby is, approved.
11 For a description of these technical changes,
see Notice, supra note 3, at 40277.
12 In approving this proposal, the Commission has
considered the proposed rule’s impact on
efficiency, competition, and capital formation. See
15 U.S.C. 78c(f).
13 15 U.S.C. 78f(b)(5).
14 15 U.S.C. 78s(b)(2).
VerDate Nov<24>2008
21:23 Sep 21, 2009
Jkt 217001
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.15
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9–22731 Filed 9–21–09; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–60678; File No. SR–NYSE–
2009–95]
Self-Regulatory Organizations; Notice
of Filing and Immediate Effectiveness
of Proposed Rule Change by New York
Stock Exchange LLC Extending Until
September 22, 2009, the Operation of
Interim NYSE Rule 128 Which Permits
the Exchange to Cancel or Adjust
Clearly Erroneous Executions if They
Arise Out of the Use or Operation of
Any Quotation, Execution or
Communication System Owned or
Operated by the Exchange, Including
Those Executions That Occur in the
Event of a System Disruption or
System Malfunction
September 16, 2009.
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
September 15, 2009, New York Stock
Exchange LLC (‘‘NYSE’’ or the
‘‘Exchange’’) filed with the Securities
and Exchange Commission (‘‘SEC’’ or
‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the Exchange. NYSE has designated
the proposed rule change as constituting
a rule change under Rule 19b–4(f)(6)
under the Act,3 which renders the
proposal effective upon filing with the
Commission. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to extend
until September 22, 2009, the operation
of interim NYSE Rule 128 (‘‘Clearly
Erroneous Executions for NYSE
Equities’’) which permits the Exchange
to cancel or adjust clearly erroneous
executions if they arise out of the use or
operation of any quotation, execution or
communication system owned or
15 17
CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 17 CFR 240.19b–4(f)(6).
PO 00000
Frm 00110
Fmt 4703
Sfmt 4703
operated by the Exchange, including
those executions that occur in the event
of a system disruption or system
malfunction. The text of the proposed
rule change is available at the Exchange,
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
self-regulatory organization 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 those 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
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange proposes to extend
until September 22, 2009, the operation
of interim NYSE Rule 128 (‘‘Clearly
Erroneous Executions for NYSE
Equities’’) which permits the Exchange
to cancel or adjust clearly erroneous
executions if they arise out of the use or
operation of any quotation, execution or
communication system owned or
operated by the Exchange, including
those executions that occur in the event
of a system disruption or system
malfunction.
Prior to the implementation of NYSE
Rule 128 on January 28, 2008,4 the
NYSE did not have a rule providing the
Exchange with the authority to cancel or
adjust clearly erroneous trades of
securities executed on or through the
systems and facilities of the NYSE.
In order for the NYSE to be consistent
with other national securities exchanges
which have some version of a clearly
erroneous execution rule, the Exchange
is drafting an amended clearly
erroneous rule which will accommodate
such other exchanges but will be
appropriate for the NYSE market model.
The NYSE notes that the Commission
approved an amended clearly erroneous
execution rule for Nasdaq in May 2008.5
On July 28, 2008, the Exchange filed
4 See Securities Exchange Act Release No. 57323
(February 13, 2008), 73 FR 9371 (February 20, 2008)
(SR–NYSE–2008–09).
5 See Securities Exchange Act Release No. 57826
(May 15, 2008), 73 FR 29802 (May 22, 2008) (SR–
NASDAQ–2007–001).
E:\FR\FM\22SEN1.SGM
22SEN1
]]>Agencies
[Federal Register Volume 74, Number 182 (Tuesday, September 22, 2009)]
[Notices]
[Pages 48328-48330]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E9-22731]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-60670; File No. SR-NYSEAmex-2009-46]
Self-Regulatory Organizations; NYSE Amex LLC; Order Approving a
Proposed Rule Change Amending NYSE Amex Equities Rule 1000 To Allow
Exchange Systems To Access CCS Interest To Partially Fill an Incoming
Limit Order
September 15, 2009.
I. Introduction
On July 20, 2009, NYSE Amex LLC (``NYSE Amex'' or the ``Exchange'')
filed with the Securities and Exchange Commission (``Commission''),
pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to
amend NYSE Amex Equities Rule 1000 to allow Exchange systems to access
CCS interest to partially fill an incoming limit order. The proposed
rule change was published for comment in the Federal Register on August
11,
[[Page 48329]]
2009.\3\ The Commission did not receive any comment letters on the
proposed rule change. This order approves the proposed rule change.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 60428 (August 4,
2009), 74 FR 40273 (``Notice'').
---------------------------------------------------------------------------
II. Description
Background
NYSE Amex offers Designated Market Makers (``DMMs'') the ability to
create a schedule of additional non-displayed liquidity at various
price points where the DMM is willing to interact with, and provide
price improvement to, incoming orders in the Exchange's system. This
schedule is known as the DMM Capital Commitment Schedule (``CCS'').\4\
CCS provides the Display Book[supreg] \5\ with the amount of shares
that the DMM is willing to trade at price points outside, at, and
inside the Exchange BBO. CCS interest is separate and distinct from
other DMM interest and serves as the interest of last resort.
---------------------------------------------------------------------------
\4\ The provisions of NYSE Amex Equities Rule 1000 relating to
CCS are in effect pursuant to a pilot that commenced in October 2008
and that is currently scheduled to end on October 1, 2009. The
Commission understands that NYSE Amex plans to request an extension
of the pilot before it expires.
\5\ The Display Book[supreg] system is an order management and
execution facility. The Display Book system receives and displays
orders to the DMMs, contains the order information, and provides a
mechanism to execute and report transactions and publish the results
to the Consolidated Tape. The Display Book system is connected to a
number of other Exchange systems for the purposes of comparison,
surveillance, and reporting information to customers and other
market data and national market systems.
---------------------------------------------------------------------------
When an order is entered for an amount of shares that exceeds the
liquidity available at the Exchange BBO, Exchange systems review all
the liquidity available on the Display Book, including CCS interest, to
determine the final price point at which the order can be fully
executed (the ``completion price''). Exchange systems determine the
completion price by calculating the unfilled volume of the incoming
order (i.e., the volume of the incoming order that exceeds the volume
available to execute against it that is then present in the Exchange
bid or offer) and reviewing the additional displayed and non-displayed
interest available in the Display Book, which may be at more than one
price point, including the CCS interest submitted by the DMM unit that
is available at the completion price. Exchange systems also take into
account protected bids or offers on markets other than the Exchange
(``away interest'') when determining the completion price.
Exchange systems then review the CCS to determine if the number of
shares provided via the DMM's CCS at the completion price is less than
the number of CCS shares provided at the next different price that has
interest that is one minimum price variation (``MPV'') (as that term is
defined in Exchange Rule 62 \6\) or more higher (in the case of an
order to sell) or at the next different price that has interest that is
one MPV or more lower (in the case of an order to buy) (hereinafter
collectively referred to as ``better price''). If the volume of CCS
interest that would be accessed is greater at the completion price, or
is the same at the completion price and the better price, Exchange
systems access CCS interest at the completion price with CCS interest
yielding to any other interest in Exchange systems at the completion
price. If the number of shares that would be allocated to the CCS
interest at the better price is greater than the number of shares that
would be allocated to the DMM's CCS interest at the completion price,
then Exchange systems will access the CCS liquidity available at the
better price with CCS interest yielding to any other interest in
Exchange systems (both displayed and undisplayed reserve interest) at
the better price. Any remaining balance of the incoming order is
executed at the completion price against displayable and non-
displayable interest pursuant to NYSE Amex Equities Rule 72 (``Priority
of Bids and Offers and Allocation of Executions'').\7\
---------------------------------------------------------------------------
\6\ See NYSE Amex Equities Rule 62, Supplementary Material .10.
\7\ Pursuant to NYSE Amex Equities Rule 72, round-lot executions
on the Exchange are allocated on an equal basis, i.e. parity, among
market participants at a price point unless one of the participants
has established priority. Priority is established when the
participant is the only interest displayed at the price point when
such price is or becomes the best bid or offer published by the
Exchange. A participant that establishes priority for the displayed
portion of his or her order is allocated the first 15% of any
execution (a minimum of one round lot). Any DMM non-CCS interest
included in the displayed quantity and non-displayed quantity is
also executed pursuant to NYSE Amex Equities Rule 72.
---------------------------------------------------------------------------
Exchange systems can access CCS interest only once to participate
in the execution of an incoming order. Moreover, under current rules,
Exchange systems will only access CCS interest to participate in the
execution of an incoming order where the incoming order will be
executed in full.
Proposed Amendment to NYSE Amex Equities Rule 1000
The Exchange now proposes to allow Exchange systems to access CCS
interest to participate in executions where the incoming order will
only be partially executed.\8\ Large incoming orders may exhaust the
entirety of displayed and reserve interest on the Display Book at
various price points such that the remaining unexecuted shares of the
incoming order would be quoted at the order's limit price, if any, or,
alternatively, at a Liquidity Replenishment Point (``LRP'') \9\ if that
price point is reached. In these partial executions, Exchange systems
currently do not access the CCS interest available at the price point
where the remaining shares of the incoming order is quoted.
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\8\ For a more detailed description of the Exchange's proposal,
including examples describing the proposal, see Notice, supra note
3, at 40274-40276.
\9\ LRPs are pre-determined price points that temporarily
convert the automatic Exchange market to an auction market in order
to dampen volatility when the market is experiencing a large price
movement based on a security's typical trading characteristics or
market conditions over short periods of time during the trading day.
LRPs allow the DMM to solicit additional liquidity.
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The Exchange proposes to modify the operation of CCS interest to
allow Exchange systems to access and execute CCS interest to partially
fill an incoming order that exhausts the interest available on the
Display Book. Exchange systems would continue to review all the
liquidity available on the Display Book and at away market centers;
however, once it determines that the order cannot be executed in full,
it would also review the DMM CCS interest file to determine if any CCS
interest is eligible to partially fill the incoming order at the price
where any remaining shares of the order would be quoted.\10\
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\10\ In order for the DMM CCS interest to be eligible to
participate in a partial execution of an incoming order, the DMM
must designate such interest with a ``PF'' indicator. All liquidity
provided in the CCS interest file would continue to be eligible to
participate in full executions of incoming orders. If the DMM did
not designate the CCS interest eligible for partial fill, then the
CCS interest would not participate in the execution and the
remaining shares of the order would be quoted.
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When Exchange systems access the CCS interest in order to provide a
partial execution of an incoming order, the CCS interest would
participate at the price point where the remaining shares will be
quoted--the order's limit price, if any, or the LRP, if reached. As
before, any unexecuted remainder of the incoming order would be quoted
at the limit price or LRP, as applicable.
When accessing CCS interest to partially execute an order, Exchange
systems would not review the CCS interest available at the better
price. For such partial executions, CCS interest would only participate
at the price at which the unexecuted shares of the incoming order would
be quoted at the last price, if any, or, if an LRP is reached, at the
LRP price. As is the case with completed executions, Exchange systems
would not access CCS interest
[[Page 48330]]
during a partial execution until all other interest on the Display Book
at that price point is executed in full.
The Exchange further proposes technical changes to NYSE Amex
Equities Rule 1000.\11\
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\11\ For a description of these technical changes, see Notice,
supra note 3, at 40277.
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III. Discussion and Commission's Findings
After careful review, the Commission finds that the proposed rule
change is consistent with the requirements of the Act and the rules and
regulations thereunder applicable to a national securities
exchange.\12\ In particular, the Commission finds that the proposed
rule change is consistent with Section 6(b)(5) of the Act,\13\ which
requires, among other things, that a national securities 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 Exchange stated in its filing it
believes that this proposal would increase an order's execution volume
by allowing Exchange systems to access CCS interest for partial
executions. The proposed modification increases the opportunities for
automatically executing a greater number of shares of the incoming
order on the Exchange prior to quoting the remainder. Thus, under the
proposal, partially executed incoming orders would have an opportunity
to have a greater number of shares receive an execution prior to being
quoted.
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\12\ In approving this proposal, the Commission has considered
the proposed rule's impact on efficiency, competition, and capital
formation. See 15 U.S.C. 78c(f).
\13\ 15 U.S.C. 78f(b)(5).
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The Commission notes that the price point at which the CCS interest
participates in partial executions would be, by operation of the
proposed rule, the same or better than any limit price the customer has
set for the incoming order. For the foregoing reasons, the Commission
finds the proposed rule change is consistent with the Act.
IV. Conclusion
It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\14\ that the proposed rule change (SR-NYSEAmex-2009-46) be, and it
hereby is, approved.
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\14\ 15 U.S.C. 78s(b)(2).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\15\
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\15\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-22731 Filed 9-21-09; 8:45 am]
BILLING CODE 8010-01-P
