Self-Regulatory Organizations; New York Stock Exchange LLC; Order Approving a Proposed Rule Change To Establish an NYBX Immediate-or-Cancel Order, 15826-15827 [2012-6387]
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Federal Register / Vol. 77, No. 52 / Friday, March 16, 2012 / Notices
V. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,14 that the
proposed rule change (SR–FINRA–
2011–067) be, and it hereby is,
approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.15
Kevin O’Neill,
Deputy Secretary.
[FR Doc. 2012–6386 Filed 3–15–12; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–66576; File No. SR–NYSE–
2012–01]
Self-Regulatory Organizations; New
York Stock Exchange LLC; Order
Approving a Proposed Rule Change To
Establish an NYBX Immediate-orCancel Order
March 12, 2012.
I. Introduction
On January 11, 2012, the New York
Stock Exchange LLC (‘‘NYSE’’ or
‘‘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 Rule 1600 to establish a
new order type known as an ‘‘NYBX
IOC order.’’ A NYBX IOC order would
execute exclusively against contra-side
liquidity in the Exchange’s Display
Book (‘‘DBK’’) and/or in the New York
Block Exchange (‘‘NYBX’’ or ‘‘Facility’’).
The proposed rule change was
published for comment in the Federal
Register on January 30, 2012.3 The
Commission received no comment
letters on the proposal. This order
approves the proposed rule change.
mstockstill on DSK4VPTVN1PROD with NOTICES
II. Description of the Proposed Rule
Change
NYBX is a facility of the Exchange
and provides for electronic matching
and execution of non-displayed orders
with the aggregate of all displayed and
non-displayed orders residing within
NYBX and the DBK.4 Only securities
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.
3 See Securities Exchange Act Release No. 66218
(January 24, 2012), 77 FR 4604 (‘‘Notice’’).
4 See NYSE Rule 1600(a).
15 17
VerDate Mar<15>2010
17:10 Mar 15, 2012
Jkt 226001
listed on NYSE are eligible to trade on
NYBX.5
NYSE proposes to establish a new
order type, the NYBX IOC order, which
is a limit order to buy or sell that is
designated as immediate or cancel and
would be cancelled if the order is not
immediately able to execute, in whole
or in part, exclusively against contraside liquidity in the DBK and/or NYBX
at a price that is at or within the
national best bid or offer (‘‘NBBO’’).6
Any unexecuted portion of an NYBX
IOC order would be immediately
cancelled. No portion of an NYBX IOC
order would be routed elsewhere,
placed on the DBK, or remain in the
NYBX Facility. Instead the order would
be cancelled back to the User.7 Unlike
other NYBX order types, the NYBX IOC
order will not allow a minimum
triggering volume quantity (‘‘MTV’’)
designation.8
A NYBX IOC order would be entered
in the same manner as other NYBX
orders, as provided under NYSE Rule
1600(c)(1), and, except for the optional
time in force order parameters of NYSE
Rule 1600(c)(3)(B)(i), would be required
to contain the order parameters listed in
NYSE Rule 1600(c)(3)(A). A NYBX IOC
order would be subject to order
processing set forth in NYSE Rule
1600(d)(1).9 In a situation in which the
size of the NYBX IOC order is less than
the total available contra side liquidity
that is potentially executable within the
limit price in the NYBX and the DBK,
the existing ‘‘tie breaker’’ rules set forth
in NYSE Rule 1600(d)(1)(C)(i) for
routing decision purposes will provide
that an execution in the DBK has
priority over an execution at the same
price in the NYBX.10
5 See
NYSE Rule 1600(b)(2)(C).
proposed NYSE Rule 1600(c)(2)(D).
7 See id.
8 See id. See also NYSE Rule 1600(b)(2)(E).
9 Accordingly, as set forth in the Notice, the
NYBX Facility would apply the order execution
process that is set forth in Rule 1600(d)(1)(C)(i) to
NYBX IOC orders, including that an NYBX IOC
order may execute at multiple price points that may
be available in the DBK and NYBX Facility that are
within the limit price of the NYBX IOC order.
Because by its terms, an NYBX IOC order does not
route to other markets, have an MTV, or leave a
residual in the NYBX, certain aspects of the order
execution processing rules are inapplicable,
specifically NYSE Rules 1600(d)(1)(C)(ii)–(vi) and
1600(d)(1)(D).
10 In the Notice, the Exchange provided the
following example: If a buy NYBX IOC order for
1,000 shares arrives at the Facility with a limit price
of $10.05, the Facility would review the available
contra-side liquidity in the DBK (both displayed
and undisplayed) and the NYBX. Assuming the
contra-side liquidity in the DBK is 300 shares at
$10.04 (undisplayed), 200 shares at $10.05 (NBO
displayed), and 200 shares at $10.05 (undisplayed),
and in the NYBX is 200 shares at $10.05, the NYBX
IOC buy order would simultaneously be routed to
DBK as 300 shares at $10.04 and 400 shares at
6 See
PO 00000
Frm 00110
Fmt 4703
Sfmt 4703
Since NYBX IOC order would not be
routed elsewhere, if another automated
trading center is displaying a better
price than either the NYBX or the DBK,
and an execution in the NYBX Facility
or DBK would result in a trade through
in violation of Regulation NMS, the
NYBX IOC order would be cancelled.
Likewise, if another automated trading
center is displaying prices that are the
same or inferior to prices in the NYBX
or the DBK, and routing is not required
by Regulation NMS, the NYBX IOC
order would execute within the DBK
and/or the NYBX without routing to
such automated trading center.
NYSE also proposes certain technical
changes to NYSE Rule 1600. First, the
Exchange proposes to amend NYSE
Rule 1600(g) to add references to trading
pauses in individual securities, as
provided for under NYSE Rule 80C.
Second, because the Exchange has
eliminated the class of market
participants formerly known as
Registered Competitive Market Makers,
the Exchange proposes to delete NYSE
Rule 1600(h)(3), which is no longer
applicable.11 Third, the Exchange
proposes to clarify NYSE Rule
1600(b)(2)(D) that NYBX orders are
defined within NYSE Rule 1600(c)(2),
not only within NYSE Rule
1600(c)(2)(A) as is currently reflected.
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 the rules of a
national securities exchange be
designed to prevent fraudulent and
manipulative acts, promote just and
equitable principles of trade, remove
$10.05, and 200 shares would execute in the
Facility at $10.05, for a total execution of 900
shares. The remaining 100 shares of the buy NYBX
IOC order would be cancelled. Assuming the buy
NYBX IOC order is instead for 700 shares, pursuant
to the tie-breaker rule in NYSE Rule
1600(d)(1)(C)(i), the full volume of the order would
route to the DBK, executing 300 shares at $10.04
and 400 shares at $10.05, and the Facility’s 200
share contra-side order at $10.05 would not be
filled.
11 See Securities Exchange Act Release No. 60356
(July 21, 2009), 74 FR 37281 (July 28, 2009) (SR–
NYSE–2009–08) (Rescinding Rules 110 and 107A,
which established the roles of Competitive Traders
and Registered Competitive Market Makers).
12 In approving this proposed rule change, the
Commission notes that it 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).
E:\FR\FM\16MRN1.SGM
16MRN1
Federal Register / Vol. 77, No. 52 / Friday, March 16, 2012 / Notices
impediments to and perfect the
mechanism of a free and open market
and a national market system. The
proposal appears reasonably designed to
provide NYBX users flexibility and
greater control over how their orders
interact with available liquidity. The
Commission notes that the proposal is
consistent with the order protection rule
of Regulation NMS, because an NYBX
IOC order would not be permitted to
trade through a protected quotation of
another automated trading center.
IV. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,14 that the
proposed rule change (SR–NYSE–2012–
01) be, and it hereby is, approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.15
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2012–6387 Filed 3–15–12; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–66577; File No. SR–FINRA–
2012–020]
Self-Regulatory Organizations;
Financial Industry Regulatory
Authority, Inc.; Notice of Filing of
Proposed Rule Change Relating to
Post-Trade Transparency for Agency
Pass-Through Mortgage-Backed
Securities Traded TBA
March 12, 2012.
mstockstill on DSK4VPTVN1PROD with NOTICES
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 March 1,
2012, the Financial Industry Regulatory
Authority, Inc. (‘‘FINRA’’) 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 FINRA. 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
FINRA is proposing to amend the
FINRA Rule 6700 Series and Trade
Reporting and Compliance Engine
(‘‘TRACE’’) dissemination protocols
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.
17:10 Mar 15, 2012
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission,
FINRA 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. FINRA 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
FINRA proposes amendments to the
TRACE rules and dissemination
protocols to provide greater
transparency in TBA transactions. First,
FINRA proposes to amend Rule 6730, to
establish distinct requirements for
reporting TBA transactions for which
good delivery may be made (‘‘TBA
transactions GD’’) and for reporting TBA
transactions in products that are not
traded for good delivery (‘‘TBA
transactions NGD’’), and, in two stages,
to reduce the time frames to report each
type of TBA transaction and to make a
related amendment to Rule 6710(u), the
definition of ‘‘TBA,’’ to incorporate the
concepts ‘‘for good delivery’’ and ‘‘not
for good delivery.’’ Second, FINRA
proposes to amend Rule 6750 to provide
for the dissemination of TBA
transactions and to establish, as part of
TRACE dissemination protocols, a $25
million dissemination cap for TBA
3 The terms TRACE–Eligible Security, Agency
Pass-Through Mortgage-Backed Security and TBA
are defined in, respectively, Rule 6710(a), Rule
6710(v) and Rule 6710(u).
15 17
VerDate Mar<15>2010
regarding the reporting and
dissemination of transactions in
TRACE–Eligible Securities that are
Agency Pass-Through Mortgage-Backed
Securities that are traded to be
announced (‘‘TBA’’) (‘‘TBA
transactions’’); to amend FINRA Rule
7730 regarding TRACE fees to provide
for data fees for TBA transaction data;
and to amend the FINRA Rule 6700
Series and FINRA Rule 7730 to delete
references to a pilot program that
expired on November 18, 2011, and to
incorporate other minor administrative,
technical or clarifying changes.3
The text of the proposed rule change
is available on FINRA’s Web site at
https://www.finra.org, at the principal
office of FINRA and at the
Commission’s Public Reference Room.
Jkt 226001
PO 00000
Frm 00111
Fmt 4703
Sfmt 4703
15827
transactions GD and a $10 million
dissemination cap for TBA transactions
NGD. Third, FINRA proposes to amend
Rule 7730 to establish fees for current
market data for TBA transactions and
aged TBA transaction data.4 Finally,
FINRA proposes to amend Rule 6730 to
delete references to a pilot program that
expired on November 18, 2011, and
Rule 6730 and Rule 7730 to incorporate
other minor administrative, technical or
clarifying changes as described in
greater detail below.
TBA Transactions
As provided in Rule 6710(u), TBA
means
‘‘to be announced’’ and refers to a
transaction in an Agency Pass-Through
Mortgage-Backed Security * * * where the
parties agree that the seller will deliver to the
buyer an Agency Pass-Through MortgageBacked Security of a specified face amount
and coupon from a specified Agency or
Government-Sponsored Enterprise program
representing a pool (or pools) of mortgages
(that are not specified by unique pool
number).5
In a TBA transaction, the parties agree
on a price for delivering a given volume
of Agency Pass-Through MortgageBacked Securities at a specified future
date. The distinguishing feature of a
TBA transaction is that the actual
identity of the securities to be delivered
at settlement is not specified on the date
of execution (‘‘Trade Date’’). Instead, the
parties to the trade agree on only five
general parameters of the securities to
be delivered: issuer, mortgage type,
maturity, coupon, and month of
settlement.
TBA transactions are ‘‘for good
delivery’’ (‘‘GD’’) or ‘‘not for good
delivery’’ (‘‘NGD’’). The GD and NGD
distinctions and classifications are
based on market standards and
conventions that identify which
mortgage pools (or combinations of
mortgage pools) satisfy ‘‘good delivery’’
requirements, which were developed to
facilitate the securitization of common
4 The term Historic TRACE Data is defined in
Rule 7730(f)(4) and refers to aged TRACE
transaction data, which will include TBA
transaction data.
5 As defined in Rule 6710(v), an Agency PassThrough Mortgage-Backed Security means:
A mortgage-backed security issued by an Agency
or a Government-Sponsored Enterprise, for which
the timely payment of principal and interest is
guaranteed by an Agency or a GovernmentSponsored Enterprise, representing ownership
interests in a pool or pools of residential mortgage
loans with the security structured to ‘‘pass through’’
the principal and interest payments made by the
mortgagees to the owners of the pool(s) on a pro rata
basis.
The terms Agency and Government-Sponsored
Enterprise (‘‘GSE’’) are defined in, respectively,
Rule 6710(k) and Rule 6710(n).
E:\FR\FM\16MRN1.SGM
16MRN1
]]>Agencies
[Federal Register Volume 77, Number 52 (Friday, March 16, 2012)]
[Notices]
[Pages 15826-15827]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-6387]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-66576; File No. SR-NYSE-2012-01]
Self-Regulatory Organizations; New York Stock Exchange LLC; Order
Approving a Proposed Rule Change To Establish an NYBX Immediate-or-
Cancel Order
March 12, 2012.
I. Introduction
On January 11, 2012, the New York Stock Exchange LLC (``NYSE'' or
``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 Rule 1600 to establish a new order
type known as an ``NYBX IOC order.'' A NYBX IOC order would execute
exclusively against contra-side liquidity in the Exchange's Display
Book (``DBK'') and/or in the New York Block Exchange (``NYBX'' or
``Facility''). The proposed rule change was published for comment in
the Federal Register on January 30, 2012.\3\ The Commission received no
comment letters on the proposal. 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. 66218 (January 24,
2012), 77 FR 4604 (``Notice'').
---------------------------------------------------------------------------
II. Description of the Proposed Rule Change
NYBX is a facility of the Exchange and provides for electronic
matching and execution of non-displayed orders with the aggregate of
all displayed and non-displayed orders residing within NYBX and the
DBK.\4\ Only securities listed on NYSE are eligible to trade on
NYBX.\5\
---------------------------------------------------------------------------
\4\ See NYSE Rule 1600(a).
\5\ See NYSE Rule 1600(b)(2)(C).
---------------------------------------------------------------------------
NYSE proposes to establish a new order type, the NYBX IOC order,
which is a limit order to buy or sell that is designated as immediate
or cancel and would be cancelled if the order is not immediately able
to execute, in whole or in part, exclusively against contra-side
liquidity in the DBK and/or NYBX at a price that is at or within the
national best bid or offer (``NBBO'').\6\ Any unexecuted portion of an
NYBX IOC order would be immediately cancelled. No portion of an NYBX
IOC order would be routed elsewhere, placed on the DBK, or remain in
the NYBX Facility. Instead the order would be cancelled back to the
User.\7\ Unlike other NYBX order types, the NYBX IOC order will not
allow a minimum triggering volume quantity (``MTV'') designation.\8\
---------------------------------------------------------------------------
\6\ See proposed NYSE Rule 1600(c)(2)(D).
\7\ See id.
\8\ See id. See also NYSE Rule 1600(b)(2)(E).
---------------------------------------------------------------------------
A NYBX IOC order would be entered in the same manner as other NYBX
orders, as provided under NYSE Rule 1600(c)(1), and, except for the
optional time in force order parameters of NYSE Rule 1600(c)(3)(B)(i),
would be required to contain the order parameters listed in NYSE Rule
1600(c)(3)(A). A NYBX IOC order would be subject to order processing
set forth in NYSE Rule 1600(d)(1).\9\ In a situation in which the size
of the NYBX IOC order is less than the total available contra side
liquidity that is potentially executable within the limit price in the
NYBX and the DBK, the existing ``tie breaker'' rules set forth in NYSE
Rule 1600(d)(1)(C)(i) for routing decision purposes will provide that
an execution in the DBK has priority over an execution at the same
price in the NYBX.\10\
---------------------------------------------------------------------------
\9\ Accordingly, as set forth in the Notice, the NYBX Facility
would apply the order execution process that is set forth in Rule
1600(d)(1)(C)(i) to NYBX IOC orders, including that an NYBX IOC
order may execute at multiple price points that may be available in
the DBK and NYBX Facility that are within the limit price of the
NYBX IOC order. Because by its terms, an NYBX IOC order does not
route to other markets, have an MTV, or leave a residual in the
NYBX, certain aspects of the order execution processing rules are
inapplicable, specifically NYSE Rules 1600(d)(1)(C)(ii)-(vi) and
1600(d)(1)(D).
\10\ In the Notice, the Exchange provided the following example:
If a buy NYBX IOC order for 1,000 shares arrives at the Facility
with a limit price of $10.05, the Facility would review the
available contra-side liquidity in the DBK (both displayed and
undisplayed) and the NYBX. Assuming the contra-side liquidity in the
DBK is 300 shares at $10.04 (undisplayed), 200 shares at $10.05 (NBO
displayed), and 200 shares at $10.05 (undisplayed), and in the NYBX
is 200 shares at $10.05, the NYBX IOC buy order would simultaneously
be routed to DBK as 300 shares at $10.04 and 400 shares at $10.05,
and 200 shares would execute in the Facility at $10.05, for a total
execution of 900 shares. The remaining 100 shares of the buy NYBX
IOC order would be cancelled. Assuming the buy NYBX IOC order is
instead for 700 shares, pursuant to the tie-breaker rule in NYSE
Rule 1600(d)(1)(C)(i), the full volume of the order would route to
the DBK, executing 300 shares at $10.04 and 400 shares at $10.05,
and the Facility's 200 share contra-side order at $10.05 would not
be filled.
---------------------------------------------------------------------------
Since NYBX IOC order would not be routed elsewhere, if another
automated trading center is displaying a better price than either the
NYBX or the DBK, and an execution in the NYBX Facility or DBK would
result in a trade through in violation of Regulation NMS, the NYBX IOC
order would be cancelled. Likewise, if another automated trading center
is displaying prices that are the same or inferior to prices in the
NYBX or the DBK, and routing is not required by Regulation NMS, the
NYBX IOC order would execute within the DBK and/or the NYBX without
routing to such automated trading center.
NYSE also proposes certain technical changes to NYSE Rule 1600.
First, the Exchange proposes to amend NYSE Rule 1600(g) to add
references to trading pauses in individual securities, as provided for
under NYSE Rule 80C. Second, because the Exchange has eliminated the
class of market participants formerly known as Registered Competitive
Market Makers, the Exchange proposes to delete NYSE Rule 1600(h)(3),
which is no longer applicable.\11\ Third, the Exchange proposes to
clarify NYSE Rule 1600(b)(2)(D) that NYBX orders are defined within
NYSE Rule 1600(c)(2), not only within NYSE Rule 1600(c)(2)(A) as is
currently reflected.
---------------------------------------------------------------------------
\11\ See Securities Exchange Act Release No. 60356 (July 21,
2009), 74 FR 37281 (July 28, 2009) (SR-NYSE-2009-08) (Rescinding
Rules 110 and 107A, which established the roles of Competitive
Traders and Registered Competitive Market Makers).
---------------------------------------------------------------------------
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 the rules of a national securities
exchange be designed to prevent fraudulent and manipulative acts,
promote just and equitable principles of trade, remove
[[Page 15827]]
impediments to and perfect the mechanism of a free and open market and
a national market system. The proposal appears reasonably designed to
provide NYBX users flexibility and greater control over how their
orders interact with available liquidity. The Commission notes that the
proposal is consistent with the order protection rule of Regulation
NMS, because an NYBX IOC order would not be permitted to trade through
a protected quotation of another automated trading center.
---------------------------------------------------------------------------
\12\ In approving this proposed rule change, the Commission
notes that it 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).
---------------------------------------------------------------------------
IV. Conclusion
It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\14\ that the proposed rule change (SR-NYSE-2012-01) be, and it
hereby is, approved.
---------------------------------------------------------------------------
\14\ 15 U.S.C. 78s(b)(2).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\15\
---------------------------------------------------------------------------
\15\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-6387 Filed 3-15-12; 8:45 am]
BILLING CODE 8011-01-P
