Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Establish an Acceptable Trade Range for Orders and Quotes on PHLX XL, 39346-39352 [2013-15616]
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Federal Register / Vol. 78, No. 126 / Monday, July 1, 2013 / Notices
total percentage of investment securities
held by ACS Wireless to increase to
approximately 93.8% of ACS Wireless’
total assets on an unconsolidated basis.
Thus, as a result of the Transaction,
ACS Wireless may be considered an
investment company within the
meaning of section 3(a)(1)(C) of the Act.
3. Section 3(b)(2) of the Act provides
that, notwithstanding section 3(a)(1)(C),
the Commission may issue an order
declaring an issuer to be primarily
engaged in a business other than that of
investing, reinvesting, owning, holding
or trading in securities either directly,
through majority-owned subsidiaries, or
controlled companies conducting
similar types of businesses. ACS
Wireless requests an order under section
3(b)(2) of the Act declaring that it is
primarily engaged in a business other
than that of investing, reinvesting,
owning, holding or trading in
securities.2
4. In determining whether a company
is ‘‘primarily engaged’’ in a noninvestment company business under
section 3(b)(2), the Commission
considers: (a) the company’s historical
development, (b) its public
representations of policy, (c) the
activities of its officers and directors, (d)
the nature of its present assets, and (e)
the sources of its present income.3
a. Historical Development. ACS
Wireless states that it has been in the
business of providing wireless
telecommunications services since
1995, including providing facilitiesbased voice and data services to
individual and business customers
throughout Alaska, with roaming
coverage available in the lower 48
states, Hawaii and Canada.
b. Public Representations of Policy.
Applicant states that both ACS Wireless
and its parent company, ACS Group, are
part of a well-known communications
company in Alaska and neither have
ever portrayed themselves as anything
other than a communications company.
Through public statements, reports to
shareholders, periodic filings with the
Commission, public advertising and
information contained on ACS Group’s
Web site, ACS Wireless and ACS Group
have invariably represented that ACS
Wireless is primarily engaged in the
business of telecommunications
services.
c. Activities of Officers and Directors.
ACS Wireless states that the board of
directors (the ‘‘Directors’’) and executive
2 ACS Group’s counsel has advised ACS Group
that neither it nor ACS Holdings should be deemed
an investment company if the requested order is
granted to ACS Wireless.
3 See Tonopah Mining Company of Nevada, 26
SEC 426, 427 (1947).
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officers (the ‘‘Officers’’) of ACS Wireless
are primarily engaged in managing ACS
Wireless’ cellular telephone business
and that of its affiliates. The CFO and
the Vice President of Finance of ACS
Wireless spend less than 10% and 5%
of their time, respectively, managing
cash and cash equivalents at the holding
company level.4 Officers and Directors
of ACS Wireless other than the CFO and
the Vice President of Finance spend less
than 5% of their time addressing such
matters. Neither the Directors nor the
Officers otherwise dedicate any time to
investing, reinvesting, owning, holding
or trading in investment securities.
d. Nature of Assets. Applicant states
that, as of December 31, 2012, ACS
Wireless’ directly-owned assets
included: (i) $20.7 million of current
assets including cash, accounts
receivable, material, supplies,
prepayment and other current assets
(‘‘Current Assets’’), and (ii) $74.2
million of property and plant and
equipment (‘‘PP&E’’).5 Applicant states
that many of the assets categorized as
Current Assets will remain with ACS
Wireless after the Transaction and will
not be contributed to AWN, as they are
primarily related to ACS Wireless’ retail
wireless business. Certain receivables,
PP&E, and certain Contributed Affiliate
Assets 6 will be contributed to AWN.
Applicant represents that following the
Transaction, a majority of ACS Wireless’
assets will be comprised of its interest
in AWN, which will be a controlled
company engaged in the wireless
communications industry. Applicant
states that, on a pro forma basis postTransaction, its assets will consist of
approximately 6.2% of directly-owned
assets and approximately 93.8% of
controlled company assets on an
unconsolidated basis.7
e. Sources of Income. ACS Wireless
states that it derives all of its income
from its wireless businesses. For
accounting purposes ACS Wireless is
not a separate financial reporting
segment of ACS Group and therefore
ACS Group does not track ACS
Wireless’ expenses separately, although
it does track ACS Wireless’ revenue for
business purposes. As noted in the
4 Treasury
functions related to the assets of ACS
Wireless including the managing and holding of
cash and cash equivalents are performed at the
holding company level by ACS Holdings.
5 PP&E includes cell towers, leases, electronic
equipment, and other similar assets.
6 ACS Group will cause certain of its other
subsidiaries to transfer wireless spectrum licenses
and certain network usage rights assets to ACS
Wireless immediately prior to the Transaction
(collectively ‘‘Contributed Affiliate Assets’’).
7 Applicant states that the valuations have been
determined in accordance with section 2(a)(41) of
the Act.
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application, all of ACS Wireless’
revenue, as of December 31, 2012, is
attributable to the directly-owned assets
of its wireless telecommunications
business. Dividends, interest and gains,
and losses on sales of securities
currently constitute no portion of the
ACS Wireless’ revenue. Applicant states
that post-Transaction, on a pro forma
basis, for the twelve months ended
December 31, 2012, its revenue was
$160,721,000 of which 51.6% would be
attributable to directly-owned assets and
48.4% would be attributable to
controlled companies.8 Applicant also
states that it will receive distributions
from AWN following the Transaction
which will include a preferred
distribution for the first four years,
intended to present a stable cash flow to
ACS Wireless, and thereafter will be
one-third of AWN’s distributions.
Distributions from AWN and revenue
from operations conducted directly by
ACS Wireless are anticipated to be ACS
Wireless’ only sources of revenue
following the Transaction.
5. ACS Wireless thus states that it
meets the factors that the Commission
considers in determining whether an
issuer is primarily engaged in a business
other than that of investing, reinvesting,
owning, holding or trading in securities.
For the Commission, by the Division of
Investment Management, under delegated
authority.
Kevin M O’Neill,
Deputy Secretary.
[FR Doc. 2013–15658 Filed 6–28–13; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–69848; File No. SR–Phlx–
2013–69]
Self-Regulatory Organizations;
NASDAQ OMX PHLX LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change To Establish an
Acceptable Trade Range for Orders
and Quotes on PHLX XL
June 25, 2013.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
8 Applicant states that this figure represents
revenue related to assets to be contributed by ACS
Wireless to AWN. This figure does not include
revenue related to assets to be contributed to AWN
by GCI, as that revenue information is not yet
available. Thus, this revenue figure also does not
represent the ultimate revenue ACS Wireless will
record, which will be applicant’s one-third share of
AWN’s combined net income.
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
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notice is hereby given that on June 18,
2013, NASDAQ OMX PHLX LLC
(‘‘Phlx’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the Exchange. 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 establish
an Acceptable Trade Range for orders
and quotes on PHLX XL. The
Acceptable Trade Range functionality is
intended to dampen volatility when
necessary in rare cases of unusual
market conditions by allowing orders to
execute within a succession of pricerange steps. At the end of each pricerange step, the process allows the
market a brief time-period to refresh
itself before moving on with the
execution process, as described further
below. Similar mechanisms operate on
other options exchanges.
The text of the proposed rule change
is below; proposed new language is
italicized; proposed deletions are in
brackets.
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Rule 1080
Phlx XL and Phlx XL II
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(p) Acceptable Trade Range.
(A) After the opening, the System will
calculate an Acceptable Trade Range to
limit the range of prices at which an
order or quote (except an All-or-none
order) will be allowed to execute. The
Acceptable Trade Range is calculated
by taking the Reference Price, plus or
minus a value to be determined by the
Exchange. (i.e., the Reference Price—(x)
for sell orders/quotes and the Reference
Price + (x) for buy orders/quotes). Upon
receipt of a new order/quote, the
Reference Price is the National Best Bid
(‘‘NBB’’) for sell orders and the National
Best Offer (‘‘NBO’’) for buy orders/
quotes or the last price at which the
order/quote is posted whichever is
higher for a buy order/quote or lower for
a sell order/quote.
(B) If an order/quote reaches the outer
limit of the Acceptable Trade Range (the
‘‘Threshold Price’’) without being fully
executed, it will be posted at the
Threshold Price for a brief period, not to
exceed one second (‘‘Posting Period’’),
to allow more liquidity to be collected,
unless a Quote Exhaust has occurred, in
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which case the Quote Exhaust process
in Rule 1082(a)(ii)(B)(3) will ensue,
triggering a new Reference Price. Upon
posting, either the current Threshold
Price of the order or an updated NBB for
buy orders or the NBO for sell orders
(whichever is higher for a buy order/
lower for a sell order) then becomes the
Reference Price for calculating a new
Acceptable Trade Range. If the order/
quote remains unexecuted, a New
Acceptable Trade Range will be
calculated and the order/quote will
execute, route, or post up to the new
Acceptable Trade Range Threshold
Price, unless a member organization has
requested that their orders be returned
if posted at the outer limit of the
Acceptable Trade Range (in which case,
the order will be returned). This process
will repeat until either i) the order/quote
is executed, cancelled, or posted at its
limit price or ii) the order has been
subject to a configurable number of
instances of the Acceptable Trade
Range as determined by the Exchange
(in which case it will be returned).
(C) During the Posting Period, the
Exchange will disseminate as a
quotation: (i) the Threshold Price for the
remaining size of the order triggering the
Acceptable Trade Range and (ii) on the
opposite side of the market, the best
price will be displayed using the ‘‘nonfirm’’ indicator message in accordance
with the specifications of the network
processor. Following the Posting Period,
the Exchange will return to a normal
trading state and disseminate its best
bid and offer.
*
*
*
*
*
automatically submitted as a new
order]. During this up to ten second
period, the Phlx XL II system will
disseminate on the opposite side of the
market from remaining unexecuted
contracts: (i) a non-firm bid for the price
and size of the next available bid(s) on
the Exchange if the remaining size is a
seller, or (ii) a non-firm offer for the
price and size of the next available
offer(s) on the Exchange if the remaining
size is a buyer. After such time period,
the Acceptable Range Price becomes the
Reference Price and Acceptable Trade
Range (pursuant to Rule 1080(p)) is
applied to the remaining size of the
order.
(4) No change.
(C) No change.
(iii)–(iv) No change.
(b)–(d) No change.
Commentary:
.01—.03 No change.
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Rule 1082 Firm Quotations
(a)(i)–(ii)(B)(3)(g)(v) No change.
(vi) If, after trading at the Phlx and/
or routing, there is a remainder of the
initiating order, and such remainder is
still marketable, the entire process of
evaluating the Best Phlx price and the
ABBO will be repeated until: (A) the
order size is exhausted, or (B) the order
reaches its limit price. If there still
remain unexecuted contracts after
routing but the order has reached its
limit price, the remainder will be posted
at the order’s limit price, except that,
when the limit price crosses the
Acceptable Range Price, the remainder
will be posted at the Acceptable Range
Price for a period of time not to exceed
ten seconds [and then cancelled after
such period of time has elapsed, unless
the member that submitted the original
order has instructed the Exchange in
writing to re-enter the remaining size, in
which case the remaining size will be
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
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II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
concerning the purpose of and basis for
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
the most significant aspects of such
statements.
1. Purpose
PHLX is proposing to adopt a
mechanism that will prevent the PHLX
trading System, Phlx XL, (‘‘System’’)
from experiencing dramatic price
swings. This circumstance can exist if,
for example, a market order or
aggressively priced limit order/quote is
entered that is larger than the total
volume of contracts quoted at the topof-book across all U.S. options
exchanges. Currently, without any
protections in place, this could result in
options executing at prices that have
little or no relation to the theoretical
price of the option.
For example, in a thinly traded
option:
Away Exchange Quotes:
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Exchange
Bid size
NOM .........................................................................................................
NYSE Arca ...............................................................................................
NYSE MKT ..............................................................................................
BOX .........................................................................................................
Bid price
10
10
10
10
Offer price
$1.00
1.00
1.00
1.00
$1.05
1.05
1.10
1.15
Offer size
10
10
10
10
PHLX Price Levels:
Exchange
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PHLX
PHLX
PHLX
PHLX
orders
orders
orders
orders
Bid size
............................................................................................
............................................................................................
............................................................................................
............................................................................................
If PHLX receives a routable market
order to buy 80 contracts, the System
will respond as described below:
—10 contracts will be executed at $1.05
against NOM
—10 contracts will be executed at $1.05
against PHLX
—10 contracts will be executed at $1.05
against NYSE Arca
—10 contracts will be executed at $1.10
against PHLX
—10 contracts will be executed at $1.10
against NYSE MKT
—10 contracts will be executed at $1.15
against BOX
After these executions, there are no
other known valid away exchange
quotes. The National Best Bid/Offer
(‘‘NBBO’’) is therefore comprised of the
remaining interest on the PHLX book,
specifically 10 contracts at $1.40 and 10
contracts at $5.00. In the absence of an
Acceptable Trade Range mechanism, the
order would execute against the
remaining interest at $1.40 and $5.00,
resulting in potential harm to investors.
To bolster the normal resilience and
market behavior that persistently
produces robust reference prices, PHLX
is proposing to create a level of
protection that prevents the market from
moving beyond set thresholds. The
thresholds consist of a Reference Price
plus (minus) set dollar amounts based
on the nature of the option and the
premium of the option. PHLX is not
introducing a new concept. In fact, the
NASDAQ Options Market and NASDAQ
OMX BX, Inc.’s options market have an
Acceptable Trade Range feature.3
System Operation. The proposed
Acceptable Trade Range would work as
follows: prior to executing orders
received by PHLX, an Acceptable Trade
Range is calculated to determine the
range of prices at which orders may be
executed.4 When an order is initially
3 See NOM Rules, Chapter VI, Section 10(7) and
BX Options Rules, Chapter VI, Section 10(7).
4 The Acceptable Trade Range will not be
available for All-or-none orders, as defined in Rule
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Bid price
10
..........................
..........................
..........................
$1.00
..........................
..........................
..........................
received, the threshold is calculated by
adding (for buy orders) or subtracting
(for sell orders) a value,5 as discussed
below, to the National Best Offer for buy
orders or the National Best Bid for sell
orders to determine the range of prices
that are valid for execution. A buy (sell)
order will be allowed to execute up
(down) to and including the maximum
(minimum) price within the Acceptable
Trade Range.
If an order reaches the outer limit of
the Acceptable Trade Range (the
‘‘Threshold Price’’) without being fully
executed, it will be posted at the
Threshold Price for a brief period, not
to exceed one second (‘‘Posting
Period’’), to allow the market to refresh
and to determine whether or not more
liquidity will become available (on
PHLX or any other exchange if the order
is designated as routable), unless a
Quote Exhaust has occurred, in which
case the Quote Exhaust process in Rule
1082(a)(ii)(B)(3) will ensue,6 triggering a
new Reference Price.
Upon posting, either the current
Threshold Price of the order or an
updated NBB for buy orders or the NBO
for sell orders (whichever is higher for
a buy order/lower for a sell order) then
becomes the Reference Price for
calculating a new Acceptable Trade
Range. If the order remains unexecuted,
a new Acceptable Trade Range will be
calculated and the order will execute,
1066(c)(4). The Exchange has determined that it
would be difficult, from a technical standpoint, to
apply this feature to those orders because their
particular contingency makes it difficult to
automate their handling. All-or-none orders are
often treated differently than other orders. See
Options Floor Procedure Advice A–9.
5 The value that is to be added to/subtracted from
the Reference Price will be set by PHLX and posted
on its Web site: https://www.nasdaqtrader.com.
6 The Quote Exhaust process occurs when the
Exchange’s disseminated market at a particular
price level includes a quote, and such market is
exhausted by an inbound contra-side quote or
order, and following such exhaustion, contracts
remain to be executed from such quote or order
through the initial execution price.
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Offer price
$1.05
1.10
1.40
5.00
Offer size
10
10
10
10
route, or post up to the new Acceptable
Trade Range Threshold Price, unless a
member organization has requested that
their orders be returned if posted at the
outer limit of the Acceptable Trade
Range (in which case, the order will be
returned). This process will repeat until
either (i) the order/quote is executed,
cancelled, or posted at its limit price or
(ii) the order/quote has been subject to
a configurable number of instances of
the Acceptable Trade Range as
determined by the Exchange.7 Once the
maximum number of instances has been
reached, the order is returned.
During the Posting Period, any
eligible contra-side interest that is
received can trade. If, however a more
aggressively-priced same side order is
received during the Posting Period, the
Posting Period ends, because there is no
need to wait for the market to refresh
and attract interest to the original order.
Such new same side order indicates that
the market is moving in that direction
so the original order will trade at the
current Acceptable Trade Range, with
the Acceptable Trade Range
recalculated for both orders.
During the Posting Period, PHLX will
disseminate the Threshold Price on one
side of the market and the best available
price on the opposite side of the market
using a ‘‘non-firm’’ indicator.8 This
allows the order setting the Acceptable
Trade Range Threshold Price to retain
priority in the PHLX book and also
prevents any later-entered order from
accessing liquidity ahead of it. If PHLX
were to display trading interest
available on the opposite side of the
7 Member organizations can request that the
Acceptable Trade Range not apply to their orders,
in which case, the order would be cancelled back
to the member organization.
8 Non-firm quote indication values are described
on page 18 of the specifications disseminated by the
Options Price Regulatory Authority (‘‘OPRA’’). See
https://www.opradata.com/specs/
participant_interface_specification.pdf. This will be
disseminated both to OPRA and over the
Exchange’s own data feeds.
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market, that trading interest would be
automatically accessible to later-entered
orders during the period when the order
triggering the Acceptable Trade Range is
paused. Following the Posting Period,
the Exchange will return to a normal
trading state and disseminate its best
bid and offer.
PHLX believes that disseminating a
non-firm quotation message as
described above is consistent with its
obligations under the SEC Quote Rule.9
The fact that PHLX is experiencing
volatility that is strong enough to trigger
the Acceptable Trade Range mechanism
qualifies as an unusual market
condition. PHLX expects such situations
markets. Consistent with the routing
provisions in Rule 1080(m), an order
may route to other destinations to access
liquidity priced within the Acceptable
Trade Range provided the order is
designated as routable. If the order still
remains unexecuted, this process will
repeat 10 until the order is executed,
cancelled, or posted at its limit price,
consistent with PHLX routing rules.11
For example, assume that the
Acceptable Trade Range is set for $0.05
and the following quotations are posted
in all markets:
Away Exchange Quotes:
to be rare, and, as described below,
PHLX will set the parameters of the
mechanism at levels that will ensure
that it is triggered quite infrequently. In
addition, the Acceptable Trade Range
mechanism will cause the market to
pause for no more than one second, the
same pause that currently exists on
NOM and BX Options. Importantly, the
brief pause only occurs after the
Exchange has already executed
transactions—potentially at multiple
price levels—rather than pausing before
executing any transactions in the hopes
of attracting initial liquidity.
Importantly, the Acceptable Trade
Range is neutral with respect to away
Exchange
Bid size
ISE ...........................................................................................................
NYSE MKT ..............................................................................................
NOM .........................................................................................................
Bid price
10
10
10
Offer price
$0.75
0.75
0.75
$0.90
0.92
0.94
Offer size
10
10
10
PHLX Price Levels:
Exchange
PHLX
PHLX
PHLX
PHLX
Bid size
orders ............................................................................................
order ..............................................................................................
order ..............................................................................................
order ..............................................................................................
PHLX receives a routable order to buy
70 contracts at $1.10. The Acceptable
Trade Range is $0.05 and the Reference
Price is the National Best Offer—$0.90.
The Threshold Price is then $0.90 +
$0.05 = $0.95. The order is allowed to
execute up to and including $0.95. The
System then pauses for a brief period
not to exceed one second (the Posting
Period) to allow the market (including
other exchanges) to refresh and to
determine whether additional liquidity
will become available within the order’s
posted price. If additional liquidity
becomes available on PHLX or any away
market, that liquidity will be accessed
and executed.
Bid price
10
..........................
..........................
..........................
$0.75
..........................
..........................
..........................
—10 contracts will be executed at $0.90
against PHLX
—10 contracts will be executed at $0.90
against ISE
—10 contracts will be executed at $0.92
against NYSE MKT
—10 contracts will be executed at $0.94
against NOM
—10 contracts will be executed at $0.95
against PHLX
—Then, after executing at multiple price
levels, the order is posted at $0.95 for
a brief period not to exceed one
second to determine whether
additional liquidity will become
available.
—A new Acceptable Trade Range
Threshold Price of $1.00 is
Exchange
Bid size
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ISE ...........................................................................................................
NYSE MKT ..............................................................................................
NOM .........................................................................................................
9 17
CFR 242.602.
will establish a maximum number of
Acceptable Trade Range iterations, until the order
is cancelled.
11 See PHLX Rule 1080(m). If after an order is
routed to the full size of an away exchange and
additional size remains available, the remaining
contracts will be posted on PHLX at a price that
assumes the away market has executed the routed
10 PHLX
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10
10
10
Frm 00099
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$0.90
0.95
0.97
1.00
Offer size
10
10
10
20
determined (new Reference Price of
$0.95 + $0.05 = $1.00)
—If, during the Posting Period, no
liquidity becomes available within the
order’s posted price of $0.95, the
System will then execute 10 contracts
at $0.97, and 10 contracts at $1.00 12
Similarly, if a new order is received
when a previous order has reached the
Acceptable Trade Range threshold, the
Threshold Price will be used as the
Reference Price for the new Acceptable
Trade Range threshold. Both orders
would then be allowed to execute up
(down) to the new Threshold Price.
For example:
Away Exchange Quotes:
Bid price
order. This practice of routing and then posting is
consistent with the national market system plan
governing trading and routing of options orders and
the PHLX policies and procedures that implement
that plan. See Options Order Protection and
Locked/Crossed Markets Plan; Securities Exchange
Act Release No. 60405 (July 30, 2009), 74 FR 39362
(August 6, 2009); NOM Rules Chapter VI, Section
7(b)(3)(C).
PO 00000
Offer price
Offer price
$0.75
0.75
0.75
$0.90
0.92
0.94
Offer size
10
10
10
12 The brief pause described above will not
disadvantage customers seeking the best price in
any market. For example, if in the example above
an NYSE ARCA quote of $0.75 × $0.96 with size
of 10 × 10 is received, a routable order would first
route to NYSE ARCA at $0.96, then execute against
PHLX at $0.97.
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PHLX Price Levels:
Exchange
Bid size
Bid price
PHLX orders ............................................................................................
PHLX order ..............................................................................................
PHLX order ..............................................................................................
10
..........................
..........................
$0.75
..........................
..........................
—PHLX receives a routable order to buy
60 contracts at $1.10. The Acceptable
Trade Range is $0.05 and the
Reference Price is the National Best
Offer—$0.90. The Acceptable Trade
Range threshold is then $0.90 + $0.05
= $0.95. The order is allowed to
execute up to and including $0.95.
—10 contracts will be executed at $0.90
against PHLX
—10 contracts will be executed at $0.90
against ISE
—10 contracts will be executed at $0.92
against NYSE MKT
—10 contracts will be executed at $0.94
against NOM
—10 contracts will be executed at $0.95
against PHLX
—Then, after executing at multiple price
levels, the order is posted at $0.95 for
Bid size
ISE ...........................................................................................................
NYSE MKT ..............................................................................................
NOM .........................................................................................................
$0.90
0.95
1.05
Offer size
10
10
20
—If no additional liquidity becomes
available within the posted price of
the orders ($1.00) during the brief
period not to exceed one second, the
orders would execute 10 contracts
each against the order on the PHLX
book at $1.05
In addition, an order/quote which
triggers a Quote Exhaust process, as
explained above, will also be protected
by the Acceptable Trade Range. When
an order/quote triggers Quote Exhaust,
the price at which the order/quote is
posted becomes the Reference Price and
the order/quote would then be allowed
to execute up (down) to the new
Threshold Price.
For example:
Away Exchange Quotes:
a brief period not to exceed one
second to determine whether
additional liquidity will become
available.
—A new Acceptable Trade Range
Threshold Price of $1.00 is
determined (new Reference Price of
$0.95 + $0.05 = $1.00)
—If, during the brief period not to
exceed one second, a second order is
received to buy 10 contracts at $1.25,
the two orders would then post at the
new Acceptable Trade Range
Threshold price of $1.00 for a brief
period not to exceed one second to
determine whether additional
liquidity will become available.
—A new Acceptable Trade Range
threshold of $1.05 will be calculated.
Exchange
Offer price
Bid price
10
10
10
Offer price
$0.75
0.75
0.75
$0.90
0.98
0.98
Offer size
10
10
10
PHLX Price Levels:
Bid size
Bid price
PHLX MM Quote .....................................................................................
PHLX order ..............................................................................................
mstockstill on DSK4VPTVN1PROD with NOTICES
Exchange
10
..........................
$0.75
..........................
—PHLX receives a routable order to buy
60 contracts at $1.10. The Acceptable
Trade Range is $0.05 and the
Reference Price is the National Best
Offer—$0.90. The Acceptable Trade
Range threshold is then $0.90 + $0.05
= $0.95. The order is allowed to
execute up to and including $0.95.
—10 contracts will be executed at $0.90
against ISE
—10 contracts will be executed at $0.92
against PHLX MM Quote, triggering
Quote Exhaust. At the end of the
Quote Exhaust Timer, based on the
Quote Exhaust Acceptable Range
table, the order will be posted at a
price of $0.97 (assuming a $0.05
Acceptable Range). The Acceptable
Trade Range threshold becomes $0.97
+ $0.05 = $1.02. The order is allowed
to execute up to and including $1.02.
—10 contracts will be executed at $0.98
against NYSE Amex
—10 contracts will be executed at $0.98
against NOM
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21:38 Jun 28, 2013
Jkt 229001
—20 contracts will be executed at $0.99
against PHLX
The Exchange is also proposing to
amend Rule 1082, Firm Quotations to
address that the Quote Exhaust process
will culminate with the application of
the Acceptable Trade Range under
proposed Rule 1080(p), rather than
either cancelling or re-entering the
remaining size of the order. Specifically,
the Exchange proposes to amend Rule
1082(a)(ii)(B)(3)(g)(vi) to provide that
the Acceptable Range Price becomes the
Reference Price and the Acceptable
Trade Range (pursuant to Rule 1080(p))
is applied to the remaining size of the
order. This would occur after the brief
time period (of no more than ten
seconds) when the order is posted at the
Acceptable Range Price, which is part of
the Quote Exhaust process. Because the
Acceptable Trade Range, under this
proposal, will now protect the
remainder of the order, the Exchange
PO 00000
Frm 00100
Fmt 4703
Sfmt 4703
Offer price
$0.92
0.99
Offer size
10
20
does not believe that it needs to cancel
the order or offer the alternative that
member organizations provide
instructions if they would prefer the
remainder to be re-entered. The
Exchange is not otherwise changing the
Quote Exhaust process.
Setting Acceptable Trade Range
Values. The options premium will be
the dominant factor in determining the
Acceptable Trade Range. Generally,
options with lower premiums tend to be
more liquid and have tighter bid/ask
spreads; options with higher premiums
have wider spreads and less liquidity.
Accordingly, a table consisting of
several steps based on the premium of
the option will be used to determine
how far the market for a given option
will be allowed to move. This table or
tables would be listed on the
NASDAQTrader.com Web site and any
periodic updates to the table would be
announced via an Options Trader Alert.
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Federal Register / Vol. 78, No. 126 / Monday, July 1, 2013 / Notices
For example, looking at some SPY
May 2013 Call options on May 1st of
2013:
Bid/Offer of SPY May 160 Call (at or
near-the-money): $1.23 × $1.24
(several hundred contracts on bid and
offer)
Bid/Offer of SPY May 105 Call (deep inthe-money): $54.10 × $54.26 (11
contracts on each side)
The deep in-the-money calls (May 105
calls) have a wider spread ($54.10 ¥
$54.26 = $0.16) compared to a spread of
$0.01 for the at-the-money calls (May
160 calls). Therefore, it is appropriate to
have different thresholds for the two
options. For instance, it may make sense
to have a $0.05 threshold for the at-themoney strikes (Premium < $2) and a
$0.50 threshold for the deep in-themoney strikes (Premium > $10).
To consider another example, the May
2013 ORCL put options on May 1st of
2013:
Bid/Offer of ORCL 33 May Put (at or
near-the-money): $0.33 × $0.34 (100 ×
500)
Bid/Offer of ORCL 44 May Put (deep inthe-money): $10.40 × $10.55 (50 ×
200)
Even though ORCL has a much lower
share price than SPY, and is a different
type of security (it is a common stock
of a technology company whereas SPY
is an ETF based on the S&P 500 Index),
the pattern is the same. The option with
the lower premium has a very narrow
spread of $0.01 with significant size
displayed whereas the higher premium
option has a wide spread ($0.15) and
less size displayed.
The Acceptable Trade Range settings
will be tied to the option premium.
However, other factors will be
considered when determining the exact
settings. For example, Acceptable
Ranges may change if market-wide
volatility is as high as it was during the
financial crisis in 2008 and 2009, or if
overall liquidity is low based on
historical trends. These different market
conditions may present the need to
adjust the threshold amounts from time
to time to ensure a well-functioning
market. Without adjustments, the
market may become too constrained or
conversely, prone to wide price swings.
As stated above, the Exchange would
publish the Acceptable Trade Range
table or tables on the
NASDAQTrader.com Web site. The
Exchange does not foresee updating the
table(s) often or intraday, although the
exchange may determine to do so in
extreme circumstances. The Exchange
will provide sufficient advanced notice
of changes to the Acceptable Trade
VerDate Mar<15>2010
21:38 Jun 28, 2013
Jkt 229001
Range table, generally the prior day, to
its membership via Options Trader
Alerts.
The Acceptable Trade Range settings
would generally be the same across all
options traded on PHLX, although
PHLX proposes to maintain flexibility to
set them separately based on
characteristics of the underlying
security. For instance, Google is a stock
with a high share price ($824.57 closing
price on April 30th). Google options
therefore may require special settings
due to the risk involved in actively
quoting options on such a high-priced
stock. Option spreads on Google are
wider and the size available at the best
bid and offer is smaller. Google could
potentially need a wider threshold
setting compared to other lower-priced
stocks. There are other options that fit
into this category (e.g. AAPL) which
makes it necessary to have threshold
settings that have flexibility based on
the underlying security. Additionally, it
is generally observed that options
subject to the Penny Pilot program quote
with tighter spreads than options not
subject to the Penny Pilot. Currently,
PHLX expects to set Acceptable Trade
Ranges for three categories of options:
Standard Penny Pilot, Special Penny
Pilot (IWM, QQQQ, SPY), and NonPenny Pilot.13
2. Statutory Basis
PHLX believes the proposed rule
change is consistent with the provisions
of Section 6 of the Act,14 in general and
with Section 6(b)(5) of the Act,15 in
particular, which requires that the rules
of an exchange be designed to prevent
fraudulent and manipulative acts and
practices, promote just and equitable
principles of trade, foster cooperation
and coordination with persons engaged
in regulating, clearing, settling,
processing information with respect to,
and facilitating transactions in
securities, remove impediments to and
perfect the mechanism of a free and
open market and a national market
system, and, in general, protect
investors and the public interest. The
proposed rule change is consistent with
these requirements in that it will reduce
the negative impacts of sudden,
unanticipated volatility in individual
PHLX options, and serve to preserve an
orderly market in a transparent and
uniform manner, enhance the price13 The Acceptable Range Test in Rule
1082(a)(ii)(B)(3)(f) currently provides for this
flexibility, in addition to the comparable provisions
in NOM and BX Options rules. See NOM Rules,
Chapter VI, Section 10(7) and BX Options Rules,
Chapter VI, Section 10(7).
14 15 U.S.C. 78f.
15 15 U.S.C. 78f(b)(5).
PO 00000
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Fmt 4703
Sfmt 4703
39351
discovery process, increase overall
market confidence, and promote fair
and orderly markets and the protection
of investors. Specifically, the Exchange
believes that the NBBO is a fair
representation of then-available prices
and accordingly the proposal helps to
avoid executions at prices that are
significantly worse than the NBBO.
Also, this proposal is consistent with
existing rules that allow, when the
underlying security is subject to a
‘‘Limit State’’ or ‘‘Straddle State,’’ as
defined in the Limit Up-Limit Down
Plan, for the breaking of options trades
meeting the definition of an obvious
error as well as rejecting market
orders.16
B. Self-Regulatory Organization’s
Statement on Burden on Competition
PHLX does not believe that the
proposed rule change will result in any
burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act, as amended.
Specifically, the proposal does not
impose an intra-market burden on
competition, because it will apply to the
orders and quotes of all Options
Participants. Nor will the proposal
impose a burden on competition among
the options exchanges, because of the
vigorous competition for order flow
among the options exchanges. PHLX
competes with many other options
exchanges, all of which offer electronic
trading of options and certain routing
services. In this highly competitive
market, market participants can easily
and readily direct order flow to
competing venues.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
No written comments were either
solicited or received.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
The foregoing rule change has become
effective pursuant to Section 19(b)(3)(A)
of the Act 17 and Rule 19b–4(f)(6) 18
thereunder because the proposal does
not: (i) Significantly affect the
protection of investors or the public
interest; (ii) impose any significant
burden on competition; and (iii) by its
terms, become operative for 30 days
from the date on which it was filed, or
such shorter time as the Commission
may designate if consistent with the
16 See
PHLX Rule 1047(f).
U.S.C. 78s(b)(3)(A).
18 17 CFR 240.19b–4(f)(6).
17 15
E:\FR\FM\01JYN1.SGM
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Federal Register / Vol. 78, No. 126 / Monday, July 1, 2013 / Notices
protection of investors and the public
interest.19
At any time within 60 days of the
filing of the proposed rule change, the
Commission summarily may
temporarily suspend such rule change if
it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act.20
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 email to rulecomments@sec.gov. Please include File
Number SR–Phlx–2013–69 on the
subject line.
mstockstill on DSK4VPTVN1PROD with NOTICES
Paper Comments
• Send paper comments in triplicate
to Elizabeth M. Murphy, Secretary,
Securities and Exchange Commission,
100 F Street NE., Washington, DC
20549–1090.
All submissions should refer to File
Number SR–Phlx–2013–69. This file
number should be included on the
subject line if email 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 Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE.,
19 In addition, Rule 19b–4(f)(6)(iii) requires the
Exchange to give the Commission written notice of
the Exchange’s intent to file the proposed rule
change, along with a brief description and text of
the proposed rule change, at least five business days
prior to the date of filing of the proposed rule
change, or such shorter time as designated by the
Commission. The Exchange has satisfied this
requirement.
20 15 U.S.C. 78s(b)(3)(C).
VerDate Mar<15>2010
22:40 Jun 28, 2013
Jkt 229001
Washington, DC 20549, on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of such
filing also will be available for
inspection and copying at the principal
office of the Exchange. All comments
received will be posted without change;
the Commission does 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–Phlx–
2013–69 and should be submitted on or
before July 22, 2013.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.21
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2013–15616 Filed 6–28–13; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–69850; File No. SR–
NYSEArca–2013–62]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing of Proposed
Rule Change Relating to a Corporate
Transaction in Which Its Indirect
Parent, NYSE Euronext, Will Become a
Wholly Owned Subsidiary of
IntercontinentalExchange Group, Inc.
June 25, 2013.
Pursuant to Section 19(b)(1)1 of the
Securities Exchange Act of 1934 (the
‘‘Exchange Act’’ or the ‘‘Act’’)2 and Rule
19b-4 thereunder,3 notice is hereby
given that, on June 14, 2013, NYSE
Arca, Inc. (‘‘NYSE Arca’’) filed with the
Securities and Exchange Commission
(the ‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the self-regulatory organization. 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
A. Overview of the Proposed Merger
NYSE Arca, a Delaware corporation,
registered national securities exchange
and self-regulatory organization, is
submitting this rule filing (the
‘‘Proposed Rule Change’’) to the U.S.
Securities and Exchange Commission in
21 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 15 U.S.C. 78a.
3 17 CFR 240.19b–4.
1 15
PO 00000
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Fmt 4703
Sfmt 4703
connection with the proposed business
combination (the ‘‘Merger’’) of NYSE
Euronext (‘‘NYSE Euronext’’) and
IntercontinentalExchange, Inc. (‘‘ICE’’),
both Delaware corporations. NYSE
Euronext has entered into an Agreement
and Plan of Merger, dated as of
December 20, 2012, as amended and
restated as of March 19, 2013, by and
among NYSE Euronext, ICE,
IntercontinentalExchange Group, Inc.
(‘‘ICE Group’’), Braves Merger Sub, Inc.
(‘‘ICE Merger Sub’’) and Baseball Merger
Sub, LLC (‘‘NYSE Euronext Merger
Sub’’) (as it may be further amended
from time to time, the ‘‘Merger
Agreement’’), whereby NYSE Euronext
and ICE would each become
subsidiaries of ICE Group.
NYSE Euronext owns 100% of the
equity interest of NYSE Group, Inc., a
Delaware corporation (‘‘NYSE Group’’),
which in turn directly or indirectly
owns (1) 100% of the equity interest of
three registered national securities
exchanges and self-regulatory
organizations (together, the ‘‘NYSE
Exchanges’’)—the New York Stock
Exchange, LLC (the ‘‘Exchange’’), NYSE
Arca and NYSE MKT LLC (‘‘NYSE
MKT’’)—and (2) 100% of the equity
interest of NYSE Market (DE), Inc.
(‘‘NYSE Market’’), NYSE Regulation,
Inc. (‘‘NYSE Regulation’’), NYSE Arca
L.L.C., NYSE Arca Equities, Inc. (‘‘NYSE
Arca Equities’’) and NYSE Amex
Options LLC (‘‘NYSE Amex Options’’)
(the NYSE Exchanges, together with (x)
NYSE Market, NYSE Regulation, NYSE
Arca L.L.C., NYSE Arca Equities and
NYSE Amex Options and (y) any similar
U.S. regulated entity acquired, owned or
created after the date hereof, the ‘‘U.S.
Regulated Subsidiaries’’ and each, a
‘‘U.S. Regulated Subsidiary’’). Each of
the Exchange and NYSE MKT will be
separately filing a proposed rule change
in connection with the Merger that will
be substantially the same as the
Proposed Rule Change.
ICE is a leading operator of regulated
exchanges and clearing houses serving
the risk management needs of global
markets for agricultural, credit,
currency, emissions, energy and equity
index products. ICE directly and
indirectly owns ICE Futures Europe, ICE
Futures U.S., Inc., ICE Futures Canada,
Inc., ICE U.S. OTC Commodity Markets,
LLC, and five central counterparty
clearing houses, including ICE Clear
Europe Limited and ICE Clear Credit
LLC, each of which is registered as a
clearing agency under Section 17A of
the Exchange Act,4 ICE Clear U.S., Inc.,
ICE Clear Canada, Inc., and The Clearing
Corporation, and owns 100% of the
4 15
E:\FR\FM\01JYN1.SGM
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01JYN1
]]>Agencies
[Federal Register Volume 78, Number 126 (Monday, July 1, 2013)]
[Notices]
[Pages 39346-39352]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2013-15616]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-69848; File No. SR-Phlx-2013-69]
Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of
Filing and Immediate Effectiveness of Proposed Rule Change To Establish
an Acceptable Trade Range for Orders and Quotes on PHLX XL
June 25, 2013.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\
[[Page 39347]]
notice is hereby given that on June 18, 2013, NASDAQ OMX PHLX LLC
(``Phlx'' or ``Exchange'') filed with the Securities and Exchange
Commission (``Commission'') the proposed rule change as described in
Items I and II below, which Items have been prepared by the Exchange.
The Commission is publishing this notice to solicit comments on the
proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to establish an Acceptable Trade Range for
orders and quotes on PHLX XL. The Acceptable Trade Range functionality
is intended to dampen volatility when necessary in rare cases of
unusual market conditions by allowing orders to execute within a
succession of price-range steps. At the end of each price-range step,
the process allows the market a brief time-period to refresh itself
before moving on with the execution process, as described further
below. Similar mechanisms operate on other options exchanges.
The text of the proposed rule change is below; proposed new
language is italicized; proposed deletions are in brackets.
* * * * *
Rule 1080 Phlx XL and Phlx XL II
* * * * *
(p) Acceptable Trade Range.
(A) After the opening, the System will calculate an Acceptable
Trade Range to limit the range of prices at which an order or quote
(except an All-or-none order) will be allowed to execute. The
Acceptable Trade Range is calculated by taking the Reference Price,
plus or minus a value to be determined by the Exchange. (i.e., the
Reference Price--(x) for sell orders/quotes and the Reference Price +
(x) for buy orders/quotes). Upon receipt of a new order/quote, the
Reference Price is the National Best Bid (``NBB'') for sell orders and
the National Best Offer (``NBO'') for buy orders/quotes or the last
price at which the order/quote is posted whichever is higher for a buy
order/quote or lower for a sell order/quote.
(B) If an order/quote reaches the outer limit of the Acceptable
Trade Range (the ``Threshold Price'') without being fully executed, it
will be posted at the Threshold Price for a brief period, not to exceed
one second (``Posting Period''), to allow more liquidity to be
collected, unless a Quote Exhaust has occurred, in which case the Quote
Exhaust process in Rule 1082(a)(ii)(B)(3) will ensue, triggering a new
Reference Price. Upon posting, either the current Threshold Price of
the order or an updated NBB for buy orders or the NBO for sell orders
(whichever is higher for a buy order/lower for a sell order) then
becomes the Reference Price for calculating a new Acceptable Trade
Range. If the order/quote remains unexecuted, a New Acceptable Trade
Range will be calculated and the order/quote will execute, route, or
post up to the new Acceptable Trade Range Threshold Price, unless a
member organization has requested that their orders be returned if
posted at the outer limit of the Acceptable Trade Range (in which case,
the order will be returned). This process will repeat until either i)
the order/quote is executed, cancelled, or posted at its limit price or
ii) the order has been subject to a configurable number of instances of
the Acceptable Trade Range as determined by the Exchange (in which case
it will be returned).
(C) During the Posting Period, the Exchange will disseminate as a
quotation: (i) the Threshold Price for the remaining size of the order
triggering the Acceptable Trade Range and (ii) on the opposite side of
the market, the best price will be displayed using the ``non-firm''
indicator message in accordance with the specifications of the network
processor. Following the Posting Period, the Exchange will return to a
normal trading state and disseminate its best bid and offer.
* * * * *
Rule 1082 Firm Quotations
(a)(i)-(ii)(B)(3)(g)(v) No change.
(vi) If, after trading at the Phlx and/or routing, there is a
remainder of the initiating order, and such remainder is still
marketable, the entire process of evaluating the Best Phlx price and
the ABBO will be repeated until: (A) the order size is exhausted, or
(B) the order reaches its limit price. If there still remain unexecuted
contracts after routing but the order has reached its limit price, the
remainder will be posted at the order's limit price, except that, when
the limit price crosses the Acceptable Range Price, the remainder will
be posted at the Acceptable Range Price for a period of time not to
exceed ten seconds [and then cancelled after such period of time has
elapsed, unless the member that submitted the original order has
instructed the Exchange in writing to re-enter the remaining size, in
which case the remaining size will be automatically submitted as a new
order]. During this up to ten second period, the Phlx XL II system will
disseminate on the opposite side of the market from remaining
unexecuted contracts: (i) a non-firm bid for the price and size of the
next available bid(s) on the Exchange if the remaining size is a
seller, or (ii) a non-firm offer for the price and size of the next
available offer(s) on the Exchange if the remaining size is a buyer.
After such time period, the Acceptable Range Price becomes the
Reference Price and Acceptable Trade Range (pursuant to Rule 1080(p))
is applied to the remaining size of the order.
(4) No change.
(C) No change.
(iii)-(iv) No change.
(b)-(d) No change.
Commentary:
.01--.03 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, the Exchange included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
PHLX is proposing to adopt a mechanism that will prevent the PHLX
trading System, Phlx XL, (``System'') from experiencing dramatic price
swings. This circumstance can exist if, for example, a market order or
aggressively priced limit order/quote is entered that is larger than
the total volume of contracts quoted at the top-of-book across all U.S.
options exchanges. Currently, without any protections in place, this
could result in options executing at prices that have little or no
relation to the theoretical price of the option.
For example, in a thinly traded option:
Away Exchange Quotes:
[[Page 39348]]
----------------------------------------------------------------------------------------------------------------
Exchange Bid size Bid price Offer price Offer size
----------------------------------------------------------------------------------------------------------------
NOM......................................... 10 $1.00 $1.05 10
NYSE Arca................................... 10 1.00 1.05 10
NYSE MKT.................................... 10 1.00 1.10 10
BOX......................................... 10 1.00 1.15 10
----------------------------------------------------------------------------------------------------------------
PHLX Price Levels:
----------------------------------------------------------------------------------------------------------------
Exchange Bid size Bid price Offer price Offer size
----------------------------------------------------------------------------------------------------------------
PHLX orders................................. 10 $1.00 $1.05 10
PHLX orders................................. ............... ............... 1.10 10
PHLX orders................................. ............... ............... 1.40 10
PHLX orders................................. ............... ............... 5.00 10
----------------------------------------------------------------------------------------------------------------
If PHLX receives a routable market order to buy 80 contracts, the
System will respond as described below:
--10 contracts will be executed at $1.05 against NOM
--10 contracts will be executed at $1.05 against PHLX
--10 contracts will be executed at $1.05 against NYSE Arca
--10 contracts will be executed at $1.10 against PHLX
--10 contracts will be executed at $1.10 against NYSE MKT
--10 contracts will be executed at $1.15 against BOX
After these executions, there are no other known valid away exchange
quotes. The National Best Bid/Offer (``NBBO'') is therefore comprised
of the remaining interest on the PHLX book, specifically 10 contracts
at $1.40 and 10 contracts at $5.00. In the absence of an Acceptable
Trade Range mechanism, the order would execute against the remaining
interest at $1.40 and $5.00, resulting in potential harm to investors.
To bolster the normal resilience and market behavior that
persistently produces robust reference prices, PHLX is proposing to
create a level of protection that prevents the market from moving
beyond set thresholds. The thresholds consist of a Reference Price plus
(minus) set dollar amounts based on the nature of the option and the
premium of the option. PHLX is not introducing a new concept. In fact,
the NASDAQ Options Market and NASDAQ OMX BX, Inc.'s options market have
an Acceptable Trade Range feature.\3\
---------------------------------------------------------------------------
\3\ See NOM Rules, Chapter VI, Section 10(7) and BX Options
Rules, Chapter VI, Section 10(7).
---------------------------------------------------------------------------
System Operation. The proposed Acceptable Trade Range would work as
follows: prior to executing orders received by PHLX, an Acceptable
Trade Range is calculated to determine the range of prices at which
orders may be executed.\4\ When an order is initially received, the
threshold is calculated by adding (for buy orders) or subtracting (for
sell orders) a value,\5\ as discussed below, to the National Best Offer
for buy orders or the National Best Bid for sell orders to determine
the range of prices that are valid for execution. A buy (sell) order
will be allowed to execute up (down) to and including the maximum
(minimum) price within the Acceptable Trade Range.
---------------------------------------------------------------------------
\4\ The Acceptable Trade Range will not be available for All-or-
none orders, as defined in Rule 1066(c)(4). The Exchange has
determined that it would be difficult, from a technical standpoint,
to apply this feature to those orders because their particular
contingency makes it difficult to automate their handling. All-or-
none orders are often treated differently than other orders. See
Options Floor Procedure Advice A-9.
\5\ The value that is to be added to/subtracted from the
Reference Price will be set by PHLX and posted on its Web site:
https://www.nasdaqtrader.com.
---------------------------------------------------------------------------
If an order reaches the outer limit of the Acceptable Trade Range
(the ``Threshold Price'') without being fully executed, it will be
posted at the Threshold Price for a brief period, not to exceed one
second (``Posting Period''), to allow the market to refresh and to
determine whether or not more liquidity will become available (on PHLX
or any other exchange if the order is designated as routable), unless a
Quote Exhaust has occurred, in which case the Quote Exhaust process in
Rule 1082(a)(ii)(B)(3) will ensue,\6\ triggering a new Reference Price.
---------------------------------------------------------------------------
\6\ The Quote Exhaust process occurs when the Exchange's
disseminated market at a particular price level includes a quote,
and such market is exhausted by an inbound contra-side quote or
order, and following such exhaustion, contracts remain to be
executed from such quote or order through the initial execution
price.
---------------------------------------------------------------------------
Upon posting, either the current Threshold Price of the order or an
updated NBB for buy orders or the NBO for sell orders (whichever is
higher for a buy order/lower for a sell order) then becomes the
Reference Price for calculating a new Acceptable Trade Range. If the
order remains unexecuted, a new Acceptable Trade Range will be
calculated and the order will execute, route, or post up to the new
Acceptable Trade Range Threshold Price, unless a member organization
has requested that their orders be returned if posted at the outer
limit of the Acceptable Trade Range (in which case, the order will be
returned). This process will repeat until either (i) the order/quote is
executed, cancelled, or posted at its limit price or (ii) the order/
quote has been subject to a configurable number of instances of the
Acceptable Trade Range as determined by the Exchange.\7\ Once the
maximum number of instances has been reached, the order is returned.
---------------------------------------------------------------------------
\7\ Member organizations can request that the Acceptable Trade
Range not apply to their orders, in which case, the order would be
cancelled back to the member organization.
---------------------------------------------------------------------------
During the Posting Period, any eligible contra-side interest that
is received can trade. If, however a more aggressively-priced same side
order is received during the Posting Period, the Posting Period ends,
because there is no need to wait for the market to refresh and attract
interest to the original order. Such new same side order indicates that
the market is moving in that direction so the original order will trade
at the current Acceptable Trade Range, with the Acceptable Trade Range
recalculated for both orders.
During the Posting Period, PHLX will disseminate the Threshold
Price on one side of the market and the best available price on the
opposite side of the market using a ``non-firm'' indicator.\8\ This
allows the order setting the Acceptable Trade Range Threshold Price to
retain priority in the PHLX book and also prevents any later-entered
order from accessing liquidity ahead of it. If PHLX were to display
trading interest available on the opposite side of the
[[Page 39349]]
market, that trading interest would be automatically accessible to
later-entered orders during the period when the order triggering the
Acceptable Trade Range is paused. Following the Posting Period, the
Exchange will return to a normal trading state and disseminate its best
bid and offer.
---------------------------------------------------------------------------
\8\ Non-firm quote indication values are described on page 18 of
the specifications disseminated by the Options Price Regulatory
Authority (``OPRA''). See https://www.opradata.com/specs/participant_interface_specification.pdf. This will be disseminated
both to OPRA and over the Exchange's own data feeds.
---------------------------------------------------------------------------
PHLX believes that disseminating a non-firm quotation message as
described above is consistent with its obligations under the SEC Quote
Rule.\9\ The fact that PHLX is experiencing volatility that is strong
enough to trigger the Acceptable Trade Range mechanism qualifies as an
unusual market condition. PHLX expects such situations to be rare, and,
as described below, PHLX will set the parameters of the mechanism at
levels that will ensure that it is triggered quite infrequently. In
addition, the Acceptable Trade Range mechanism will cause the market to
pause for no more than one second, the same pause that currently exists
on NOM and BX Options. Importantly, the brief pause only occurs after
the Exchange has already executed transactions--potentially at multiple
price levels--rather than pausing before executing any transactions in
the hopes of attracting initial liquidity.
---------------------------------------------------------------------------
\9\ 17 CFR 242.602.
---------------------------------------------------------------------------
Importantly, the Acceptable Trade Range is neutral with respect to
away markets. Consistent with the routing provisions in Rule 1080(m),
an order may route to other destinations to access liquidity priced
within the Acceptable Trade Range provided the order is designated as
routable. If the order still remains unexecuted, this process will
repeat \10\ until the order is executed, cancelled, or posted at its
limit price, consistent with PHLX routing rules.\11\
---------------------------------------------------------------------------
\10\ PHLX will establish a maximum number of Acceptable Trade
Range iterations, until the order is cancelled.
\11\ See PHLX Rule 1080(m). If after an order is routed to the
full size of an away exchange and additional size remains available,
the remaining contracts will be posted on PHLX at a price that
assumes the away market has executed the routed order. This practice
of routing and then posting is consistent with the national market
system plan governing trading and routing of options orders and the
PHLX policies and procedures that implement that plan. See Options
Order Protection and Locked/Crossed Markets Plan; Securities
Exchange Act Release No. 60405 (July 30, 2009), 74 FR 39362 (August
6, 2009); NOM Rules Chapter VI, Section 7(b)(3)(C).
---------------------------------------------------------------------------
For example, assume that the Acceptable Trade Range is set for
$0.05 and the following quotations are posted in all markets:
Away Exchange Quotes:
----------------------------------------------------------------------------------------------------------------
Exchange Bid size Bid price Offer price Offer size
----------------------------------------------------------------------------------------------------------------
ISE......................................... 10 $0.75 $0.90 10
NYSE MKT.................................... 10 0.75 0.92 10
NOM......................................... 10 0.75 0.94 10
----------------------------------------------------------------------------------------------------------------
PHLX Price Levels:
----------------------------------------------------------------------------------------------------------------
Exchange Bid size Bid price Offer price Offer size
----------------------------------------------------------------------------------------------------------------
PHLX orders................................. 10 $0.75 $0.90 10
PHLX order.................................. ............... ............... 0.95 10
PHLX order.................................. ............... ............... 0.97 10
PHLX order.................................. ............... ............... 1.00 20
----------------------------------------------------------------------------------------------------------------
PHLX receives a routable order to buy 70 contracts at $1.10. The
Acceptable Trade Range is $0.05 and the Reference Price is the National
Best Offer--$0.90. The Threshold Price is then $0.90 + $0.05 = $0.95.
The order is allowed to execute up to and including $0.95. The System
then pauses for a brief period not to exceed one second (the Posting
Period) to allow the market (including other exchanges) to refresh and
to determine whether additional liquidity will become available within
the order's posted price. If additional liquidity becomes available on
PHLX or any away market, that liquidity will be accessed and executed.
--10 contracts will be executed at $0.90 against PHLX
--10 contracts will be executed at $0.90 against ISE
--10 contracts will be executed at $0.92 against NYSE MKT
--10 contracts will be executed at $0.94 against NOM
--10 contracts will be executed at $0.95 against PHLX
--Then, after executing at multiple price levels, the order is posted
at $0.95 for a brief period not to exceed one second to determine
whether additional liquidity will become available.
--A new Acceptable Trade Range Threshold Price of $1.00 is determined
(new Reference Price of $0.95 + $0.05 = $1.00)
--If, during the Posting Period, no liquidity becomes available within
the order's posted price of $0.95, the System will then execute 10
contracts at $0.97, and 10 contracts at $1.00 \12\
---------------------------------------------------------------------------
\12\ The brief pause described above will not disadvantage
customers seeking the best price in any market. For example, if in
the example above an NYSE ARCA quote of $0.75 x $0.96 with size of
10 x 10 is received, a routable order would first route to NYSE ARCA
at $0.96, then execute against PHLX at $0.97.
Similarly, if a new order is received when a previous order has reached
the Acceptable Trade Range threshold, the Threshold Price will be used
as the Reference Price for the new Acceptable Trade Range threshold.
Both orders would then be allowed to execute up (down) to the new
---------------------------------------------------------------------------
Threshold Price.
For example:
Away Exchange Quotes:
----------------------------------------------------------------------------------------------------------------
Exchange Bid size Bid price Offer price Offer size
----------------------------------------------------------------------------------------------------------------
ISE......................................... 10 $0.75 $0.90 10
NYSE MKT.................................... 10 0.75 0.92 10
NOM......................................... 10 0.75 0.94 10
----------------------------------------------------------------------------------------------------------------
[[Page 39350]]
PHLX Price Levels:
----------------------------------------------------------------------------------------------------------------
Exchange Bid size Bid price Offer price Offer size
----------------------------------------------------------------------------------------------------------------
PHLX orders................................. 10 $0.75 $0.90 10
PHLX order.................................. ............... ............... 0.95 10
PHLX order.................................. ............... ............... 1.05 20
----------------------------------------------------------------------------------------------------------------
--PHLX receives a routable order to buy 60 contracts at $1.10. The
Acceptable Trade Range is $0.05 and the Reference Price is the National
Best Offer--$0.90. The Acceptable Trade Range threshold is then $0.90 +
$0.05 = $0.95. The order is allowed to execute up to and including
$0.95.
--10 contracts will be executed at $0.90 against PHLX
--10 contracts will be executed at $0.90 against ISE
--10 contracts will be executed at $0.92 against NYSE MKT
--10 contracts will be executed at $0.94 against NOM
--10 contracts will be executed at $0.95 against PHLX
--Then, after executing at multiple price levels, the order is posted
at $0.95 for a brief period not to exceed one second to determine
whether additional liquidity will become available.
--A new Acceptable Trade Range Threshold Price of $1.00 is determined
(new Reference Price of $0.95 + $0.05 = $1.00)
--If, during the brief period not to exceed one second, a second order
is received to buy 10 contracts at $1.25, the two orders would then
post at the new Acceptable Trade Range Threshold price of $1.00 for a
brief period not to exceed one second to determine whether additional
liquidity will become available.
--A new Acceptable Trade Range threshold of $1.05 will be calculated.
--If no additional liquidity becomes available within the posted price
of the orders ($1.00) during the brief period not to exceed one second,
the orders would execute 10 contracts each against the order on the
PHLX book at $1.05
In addition, an order/quote which triggers a Quote Exhaust process, as
explained above, will also be protected by the Acceptable Trade Range.
When an order/quote triggers Quote Exhaust, the price at which the
order/quote is posted becomes the Reference Price and the order/quote
would then be allowed to execute up (down) to the new Threshold Price.
For example:
Away Exchange Quotes:
----------------------------------------------------------------------------------------------------------------
Exchange Bid size Bid price Offer price Offer size
----------------------------------------------------------------------------------------------------------------
ISE......................................... 10 $0.75 $0.90 10
NYSE MKT.................................... 10 0.75 0.98 10
NOM......................................... 10 0.75 0.98 10
----------------------------------------------------------------------------------------------------------------
PHLX Price Levels:
----------------------------------------------------------------------------------------------------------------
Exchange Bid size Bid price Offer price Offer size
----------------------------------------------------------------------------------------------------------------
PHLX MM Quote............................... 10 $0.75 $0.92 10
PHLX order.................................. ............... ............... 0.99 20
----------------------------------------------------------------------------------------------------------------
--PHLX receives a routable order to buy 60 contracts at $1.10. The
Acceptable Trade Range is $0.05 and the Reference Price is the National
Best Offer--$0.90. The Acceptable Trade Range threshold is then $0.90 +
$0.05 = $0.95. The order is allowed to execute up to and including
$0.95.
--10 contracts will be executed at $0.90 against ISE
--10 contracts will be executed at $0.92 against PHLX MM Quote,
triggering Quote Exhaust. At the end of the Quote Exhaust Timer, based
on the Quote Exhaust Acceptable Range table, the order will be posted
at a price of $0.97 (assuming a $0.05 Acceptable Range). The Acceptable
Trade Range threshold becomes $0.97 + $0.05 = $1.02. The order is
allowed to execute up to and including $1.02.
--10 contracts will be executed at $0.98 against NYSE Amex
--10 contracts will be executed at $0.98 against NOM
--20 contracts will be executed at $0.99 against PHLX
The Exchange is also proposing to amend Rule 1082, Firm Quotations
to address that the Quote Exhaust process will culminate with the
application of the Acceptable Trade Range under proposed Rule 1080(p),
rather than either cancelling or re-entering the remaining size of the
order. Specifically, the Exchange proposes to amend Rule
1082(a)(ii)(B)(3)(g)(vi) to provide that the Acceptable Range Price
becomes the Reference Price and the Acceptable Trade Range (pursuant to
Rule 1080(p)) is applied to the remaining size of the order. This would
occur after the brief time period (of no more than ten seconds) when
the order is posted at the Acceptable Range Price, which is part of the
Quote Exhaust process. Because the Acceptable Trade Range, under this
proposal, will now protect the remainder of the order, the Exchange
does not believe that it needs to cancel the order or offer the
alternative that member organizations provide instructions if they
would prefer the remainder to be re-entered. The Exchange is not
otherwise changing the Quote Exhaust process.
Setting Acceptable Trade Range Values. The options premium will be
the dominant factor in determining the Acceptable Trade Range.
Generally, options with lower premiums tend to be more liquid and have
tighter bid/ask spreads; options with higher premiums have wider
spreads and less liquidity. Accordingly, a table consisting of several
steps based on the premium of the option will be used to determine how
far the market for a given option will be allowed to move. This table
or tables would be listed on the NASDAQTrader.com Web site and any
periodic updates to the table would be announced via an Options Trader
Alert.
[[Page 39351]]
For example, looking at some SPY May 2013 Call options on May 1st
of 2013:
Bid/Offer of SPY May 160 Call (at or near-the-money): $1.23 x $1.24
(several hundred contracts on bid and offer)
Bid/Offer of SPY May 105 Call (deep in-the-money): $54.10 x $54.26 (11
contracts on each side)
The deep in-the-money calls (May 105 calls) have a wider spread ($54.10
- $54.26 = $0.16) compared to a spread of $0.01 for the at-the-money
calls (May 160 calls). Therefore, it is appropriate to have different
thresholds for the two options. For instance, it may make sense to have
a $0.05 threshold for the at-the-money strikes (Premium < $2) and a
$0.50 threshold for the deep in-the-money strikes (Premium > $10).
To consider another example, the May 2013 ORCL put options on May
1st of 2013:
Bid/Offer of ORCL 33 May Put (at or near-the-money): $0.33 x $0.34 (100
x 500)
Bid/Offer of ORCL 44 May Put (deep in-the-money): $10.40 x $10.55 (50 x
200)
Even though ORCL has a much lower share price than SPY, and is a
different type of security (it is a common stock of a technology
company whereas SPY is an ETF based on the S&P 500 Index), the pattern
is the same. The option with the lower premium has a very narrow spread
of $0.01 with significant size displayed whereas the higher premium
option has a wide spread ($0.15) and less size displayed.
The Acceptable Trade Range settings will be tied to the option
premium. However, other factors will be considered when determining the
exact settings. For example, Acceptable Ranges may change if market-
wide volatility is as high as it was during the financial crisis in
2008 and 2009, or if overall liquidity is low based on historical
trends. These different market conditions may present the need to
adjust the threshold amounts from time to time to ensure a well-
functioning market. Without adjustments, the market may become too
constrained or conversely, prone to wide price swings. As stated above,
the Exchange would publish the Acceptable Trade Range table or tables
on the NASDAQTrader.com Web site. The Exchange does not foresee
updating the table(s) often or intraday, although the exchange may
determine to do so in extreme circumstances. The Exchange will provide
sufficient advanced notice of changes to the Acceptable Trade Range
table, generally the prior day, to its membership via Options Trader
Alerts.
The Acceptable Trade Range settings would generally be the same
across all options traded on PHLX, although PHLX proposes to maintain
flexibility to set them separately based on characteristics of the
underlying security. For instance, Google is a stock with a high share
price ($824.57 closing price on April 30th). Google options therefore
may require special settings due to the risk involved in actively
quoting options on such a high-priced stock. Option spreads on Google
are wider and the size available at the best bid and offer is smaller.
Google could potentially need a wider threshold setting compared to
other lower-priced stocks. There are other options that fit into this
category (e.g. AAPL) which makes it necessary to have threshold
settings that have flexibility based on the underlying security.
Additionally, it is generally observed that options subject to the
Penny Pilot program quote with tighter spreads than options not subject
to the Penny Pilot. Currently, PHLX expects to set Acceptable Trade
Ranges for three categories of options: Standard Penny Pilot, Special
Penny Pilot (IWM, QQQQ, SPY), and Non-Penny Pilot.\13\
---------------------------------------------------------------------------
\13\ The Acceptable Range Test in Rule 1082(a)(ii)(B)(3)(f)
currently provides for this flexibility, in addition to the
comparable provisions in NOM and BX Options rules. See NOM Rules,
Chapter VI, Section 10(7) and BX Options Rules, Chapter VI, Section
10(7).
---------------------------------------------------------------------------
2. Statutory Basis
PHLX believes the proposed rule change is consistent with the
provisions of Section 6 of the Act,\14\ in general and with Section
6(b)(5) of the Act,\15\ in particular, which requires that the rules of
an exchange be designed to prevent fraudulent and manipulative acts and
practices, promote just and equitable principles of trade, foster
cooperation and coordination with persons engaged in regulating,
clearing, settling, processing information with respect to, and
facilitating transactions in securities, remove impediments to and
perfect the mechanism of a free and open market and a national market
system, and, in general, protect investors and the public interest. The
proposed rule change is consistent with these requirements in that it
will reduce the negative impacts of sudden, unanticipated volatility in
individual PHLX options, and serve to preserve an orderly market in a
transparent and uniform manner, enhance the price-discovery process,
increase overall market confidence, and promote fair and orderly
markets and the protection of investors. Specifically, the Exchange
believes that the NBBO is a fair representation of then-available
prices and accordingly the proposal helps to avoid executions at prices
that are significantly worse than the NBBO. Also, this proposal is
consistent with existing rules that allow, when the underlying security
is subject to a ``Limit State'' or ``Straddle State,'' as defined in
the Limit Up-Limit Down Plan, for the breaking of options trades
meeting the definition of an obvious error as well as rejecting market
orders.\16\
---------------------------------------------------------------------------
\14\ 15 U.S.C. 78f.
\15\ 15 U.S.C. 78f(b)(5).
\16\ See PHLX Rule 1047(f).
---------------------------------------------------------------------------
B. Self-Regulatory Organization's Statement on Burden on Competition
PHLX does not believe that the proposed rule change will result in
any burden on competition that is not necessary or appropriate in
furtherance of the purposes of the Act, as amended. Specifically, the
proposal does not impose an intra-market burden on competition, because
it will apply to the orders and quotes of all Options Participants. Nor
will the proposal impose a burden on competition among the options
exchanges, because of the vigorous competition for order flow among the
options exchanges. PHLX competes with many other options exchanges, all
of which offer electronic trading of options and certain routing
services. In this highly competitive market, market participants can
easily and readily direct order flow to competing venues.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
No written comments were either solicited or received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The foregoing rule change has become effective pursuant to Section
19(b)(3)(A) of the Act \17\ and Rule 19b-4(f)(6) \18\ thereunder
because the proposal does not: (i) Significantly affect the protection
of investors or the public interest; (ii) impose any significant burden
on competition; and (iii) by its terms, become operative for 30 days
from the date on which it was filed, or such shorter time as the
Commission may designate if consistent with the
[[Page 39352]]
protection of investors and the public interest.\19\
---------------------------------------------------------------------------
\17\ 15 U.S.C. 78s(b)(3)(A).
\18\ 17 CFR 240.19b-4(f)(6).
\19\ In addition, Rule 19b-4(f)(6)(iii) requires the Exchange to
give the Commission written notice of the Exchange's intent to file
the proposed rule change, along with a brief description and text of
the proposed rule change, at least five business days prior to the
date of filing of the proposed rule change, or such shorter time as
designated by the Commission. The Exchange has satisfied this
requirement.
---------------------------------------------------------------------------
At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act.\20\
---------------------------------------------------------------------------
\20\ 15 U.S.C. 78s(b)(3)(C).
---------------------------------------------------------------------------
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 email to rule-comments@sec.gov. Please include
File Number SR-Phlx-2013-69 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-Phlx-2013-69. This file
number should be included on the subject line if email 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 Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street NE.,
Washington, DC 20549, on official business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of such filing also will be available
for inspection and copying at the principal office of the Exchange. All
comments received will be posted without change; the Commission does
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-Phlx-2013-69 and should be
submitted on or before July 22, 2013.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\21\
---------------------------------------------------------------------------
\21\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2013-15616 Filed 6-28-13; 8:45 am]
BILLING CODE 8011-01-P
