Self-Regulatory Organizations; Miami International Securities Exchange LLC; Order Approving Proposed Rule Change To Amend Rule 515 To Terminate the Liquidity Refresh Pause Early in Certain Situations, 46489-46490 [2014-18745]

Download as PDF Federal Register / Vol. 79, No. 153 / Friday, August 8, 2014 / Notices mstockstill on DSK4VPTVN1PROD with NOTICES Paper Comments • Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549–1090. All submissions should refer to File Number SR–NYSEArca–2014–46. 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 (http://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 the 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– NYSEArca–2014–46 and should be submitted on or before August 29, 2014. V. Accelerated Approval of Proposed Rule Change as Modified by Amendment Nos. 1 and 2 The Commission finds good cause to approve the proposed rule change, as modified by Amendment Nos. 1 and 2, prior to the thirtieth day after the date of publication of notice of Amendment No. 2 in the Federal Register. Amendment No. 2 supplements the proposed rule change by, among other things: (1) Re-designating certain asset classes (i.e., junior loans, structured securities, and securities believed to have debt-like characteristics, including hybrid securities) as non-primary investments; (2) providing additional information regarding the NAV valuation of Funds’ junior loans, VerDate Mar<15>2010 16:51 Aug 07, 2014 Jkt 232001 structured securities, and hybrid securities; (3) expanding the information to be disclosed daily about the portfolio of each Fund on the Funds’ Web site; and (4) providing information regarding the availability of price information for OTC-traded derivative instruments, which may be held by the Funds. The Commission believes that this additional information should aid in the pricing of the Shares. Accordingly, the Commission finds good cause, pursuant to Section 19(b)(2) of the Act,50 to approve the proposed rule change, as modified by Amendment Nos. 1 and 2, on an accelerated basis. VI. Conclusion IT IS THEREFORE ORDERED, pursuant to Section 19(b)(2) of the Act,51 that the proposed rule change (SR–NYSEArca–2014–46), as modified by Amendment Nos. 1 and 2, be, and it hereby is, approved on an accelerated basis. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.52 Kevin M. O’Neill, Deputy Secretary. [FR Doc. 2014–18746 Filed 8–7–14; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–72747; File No. SR–MIAX– 2014–28] Self-Regulatory Organizations; Miami International Securities Exchange LLC; Order Approving Proposed Rule Change To Amend Rule 515 To Terminate the Liquidity Refresh Pause Early in Certain Situations August 4, 2014. I. Introduction On June 5, 2014, Miami International Securities Exchange LLC (‘‘MIAX’’ 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 MIAX Rule 515. The proposed rule change was published for comment 50 15 U.S.C. 78s(b)(2). U.S.C. 78s(b)(2). 52 17 CFR 200.30–3(a)(12). 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 51 15 PO 00000 Frm 00095 Fmt 4703 Sfmt 4703 46489 in the Federal Register on June 23, 2014.3 The Commission did not receive any comments on the proposal. This order approves the proposed rule change. II. Description of the Proposal The Liquidity Refresh Pause, set forth in MIAX Rule 515(c)(2), provides an opportunity for additional orders or quotes to be received where an incoming order (‘‘initiating order’’) exhausts a Market Maker’s quote that was all or part of the MIAX best bid or offer (‘‘MBBO’’) when MIAX was alone at the national best bid or offer (‘‘NBBO’’) and there are unexecuted contracts remaining from the initiating order. Specifically, the Liquidity Refresh Pause is utilized in instances where (a) either the initiating order is a limit order that crosses the NBBO or the initiating order is a market order, and the limit order or market order could only be partially executed; (b) a Market Maker quote was all or part of the MBBO when the MBBO is alone at the NBBO; and (c) the Market Maker quote was exhausted.4 The Exchange proposes to amend MIAX Rule 515(c)(2) in order to address the case where, during the Liquidity Refresh Pause, an Away Best Bid or Offer (‘‘ABBO’’) on the same side of the market as the initiating order (a ‘‘sameside ABBO’’) crosses the original NBBO price on the opposite side of the market. The proposed rule change would provide that, in such a situation, the Liquidity Refresh Pause will be terminated early and normal trading will resume. The Exchange states that the proposed change is designed to codify existing functionality during the liquidity refresh pause.5 The following examples describe how a new revised same-side ABBO that crosses the original NBBO on the opposite side of the market will terminate the Liquidity Refresh Pause early. 3 See Securities Exchange Act Release No. 72408 (June 17, 2014), 79 FR 35625. 4 At the start of the Liquidity Refresh Pause, the system broadcasts a ‘‘liquidity refresh message’’ to subscribers of the Exchange’s data feeds, providing a description of the option and the size and side of the order and the exhausted MBBO price. During the pause, the system displays the unexecuted remainder of the initiating order at the original NBBO price (i.e., the exhausted MBBO price) and MIAX’s next bid or offer on the opposite side is displayed as non-firm. 5 See Notice, supra note 3, at 35625. E:\FR\FM\08AUN1.SGM 08AUN1 46490 Federal Register / Vol. 79, No. 153 / Friday, August 8, 2014 / Notices Example 1: Same Side ABBO Terminates the Liquidity Refresh Pause Early Bid ABBO ................ MIAX Book: PLMM 6 .......... LMM 1 ............... LMM 2 ............... RMM 1 .............. Ask 1.00 (10) 1.14 (10) 1.00 1.00 1.00 1.00 1.10 1.12 1.15 1.16 (10) (10) (10) (10) (10) (10) (10) (10) • Order 1: Buy limit of 1.13 for 20 contacts with a price protection instruction of 3 MPVs.7 • NBBO at time of Order 1’s arrival = 1.00 (50) x 1.10 (10). • Order 1 is price protected at 1.13 (which is 1.10 + 3 MPV = 1.13). • Order 1 trades 10 contracts with PLMM @1.10. • Liquidity Refresh Pause is triggered because the MBO of 1.10 8 was alone at NBBO and PLMM’s 1.10 offer was exhausted. • New MBBO = 1.10 (10) x 1.12 (10). 9 • ABB updates to 1.12 for 10 contracts; ABBO = 1.12 (10) x 1.14 (10). • Liquidity Refresh Pause is terminated early due to the ABB crossing the original NBO of 1.10. • Because no responses to the Liquidity Refresh Pause were received before it terminated early, Order 1 trades 10 contracts with LMM1 @1.12, after which Order 1 has been fully executed. • New MBBO: 1.00 (40) x 1.15 (10). New NBBO: 1.12 (10) x 1.14 (10). mstockstill on DSK4VPTVN1PROD with NOTICES III. Discussion and Commission Findings The Commission has carefully reviewed the proposed rule change and finds that it is consistent with the requirements of the Act and the rules and regulations thereunder applicable to a national securities exchange.10 In 6 A ‘‘PLMM’’ is a MIAX Primary Lead Market Maker; an ‘‘LMM’’ is a MIAX Lead Market Maker; and an ‘‘RMM’’ is a MIAX Registered Market Maker. 7 Executions of non-market maker orders on MIAX are subject to the ‘‘price protection’’ provisions of Exchange Rule 515(c)(1). Price protection prevents an order from being executed beyond the price designated in the order’s price protection instructions, which are expressed in units of ‘‘MPV’’ away from the NBBO at the time of the order’s receipt, or the MBBO if the ABBO is crossing the MBBO. (The MPV is the minimum price variation, or minimum increment, by which bids and offers may be separated.) Market participants may designate or disable price protection instructions on an order by order basis. The default price protection is one MPV. When triggered, price protection cancels an order or the remaining contracts of an order. 8 ‘‘MBO’’ and ‘‘MBB’’ refer to the two components of the MBBO separately. ‘‘NBB’’ and ‘‘NBO’’ and ‘‘ABB’’ and ‘‘ABO’’ and are the equivalent conventions used for components of the ABBO and MBBO separately. 9 The remaining 10 contracts of Order 1 to buy are posted at 1.10 (the price at which the first 10 contracts were bought), which becomes the new MBB. Note that the new MBO is displayed as nonfirm. See supra note 4. 10 15 U.S.C. 78f. In approving this proposed rule change, the Commission has considered the VerDate Mar<15>2010 16:51 Aug 07, 2014 Jkt 232001 particular, the Commission finds that the proposed rule change is consistent with Section 6(b)(5) of the Act,11 which requires, among other things, that the rules of a national securities exchange be designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and facilitating transactions in securities, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. The Commission believes that the proposal is reasonable in its rationale that terminating the Liquidity Refresh Pause, when the ABBO on the same side of the market as the initiating order crosses the original NBBO price on the opposite side of the market, could allow interest in the Liquidity Refresh Pause to execute, because a move of this kind in the ABBO indicates that conditions may be changing so as to render the initiating order and same side orders/quotes no longer marketable. Terminating the Liquidity Refresh Pause early and permitting normal trading to resume may thus provide an opportunity for the broker routing the initiating order or any remainder thereof to further pursue an execution, assuming that subsequent responses to the Liquidity Refresh Pause would be unlikely when the ABBO moves in such a manner, even if the pause were to run its full course. IV. Conclusion It is therefore ordered, pursuant to Section 19(b)(2) of the Act,12 that the proposed rule change (SR–MIAX–2014– 28), is approved. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.13 Kevin M. O’Neill, Deputy Secretary. [FR Doc. 2014–18745 Filed 8–7–14; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–72752; File No. SR–OCC– 2014–17] Self-Regulatory Organizations; The Options Clearing Corporation; Notice of Filing of Proposed Rule Change To Permit OCC To Adjust the Size of Its Clearing Fund Intra-Month and Clearing Member’s Clearing Fund Contributions Intra-Month August 4, 2014. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 19b–4 thereunder,2 notice is hereby given that on July 24, 2014, The Options Clearing Corporation (‘‘OCC’’) 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 OCC.3 The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Clearing Agency’s Statement of the Terms of Substance of the Proposed Rule Change OCC proposes to amend its Rules to permit OCC to increase the size of its clearing fund intra-month based upon observed changes in OCC’s projected exposure and on an emergency basis. In addition, the proposed change provide [sic] that under certain circumstances OCC will increase a clearing member’s required contribution to OCC’s clearing fund intra-month. II. Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, OCC 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. OCC has prepared summaries, set forth in sections (A), (B), and (C) below, of the most significant aspects of these statements. 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 OCC also filed the proposals in this proposed rule change as an advance notice under Section 806(e)(1) of Title VIII of the Dodd-Frank Wall Street Reform and Consumer Protection Act entitled the Payment, Clearing, and Settlement Supervision Act of 2010. See SR–OCC–2014–804; 12 U.S.C. 5465(e)(1). 2 17 proposed rule’s impact on efficiency, competition, and capital formation. See 15 U.S.C. 78c(f). 11 15 U.S.C. 78f(b)(5). 12 15 U.S.C. 78s(b)(2). 13 17 CFR 200.30–3(a)(12). PO 00000 Frm 00096 Fmt 4703 Sfmt 4703 E:\FR\FM\08AUN1.SGM 08AUN1

Agencies

[Federal Register Volume 79, Number 153 (Friday, August 8, 2014)]
[Notices]
[Pages 46489-46490]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-18745]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-72747; File No. SR-MIAX-2014-28]


Self-Regulatory Organizations; Miami International Securities 
Exchange LLC; Order Approving Proposed Rule Change To Amend Rule 515 To 
Terminate the Liquidity Refresh Pause Early in Certain Situations

August 4, 2014.

I. Introduction

    On June 5, 2014, Miami International Securities Exchange LLC 
(``MIAX'' 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 MIAX Rule 515. The 
proposed rule change was published for comment in the Federal Register 
on June 23, 2014.\3\ The Commission did not receive any comments on the 
proposal. This order approves the proposed rule change.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 72408 (June 17, 
2014), 79 FR 35625.
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II. Description of the Proposal

    The Liquidity Refresh Pause, set forth in MIAX Rule 515(c)(2), 
provides an opportunity for additional orders or quotes to be received 
where an incoming order (``initiating order'') exhausts a Market 
Maker's quote that was all or part of the MIAX best bid or offer 
(``MBBO'') when MIAX was alone at the national best bid or offer 
(``NBBO'') and there are unexecuted contracts remaining from the 
initiating order. Specifically, the Liquidity Refresh Pause is utilized 
in instances where (a) either the initiating order is a limit order 
that crosses the NBBO or the initiating order is a market order, and 
the limit order or market order could only be partially executed; (b) a 
Market Maker quote was all or part of the MBBO when the MBBO is alone 
at the NBBO; and (c) the Market Maker quote was exhausted.\4\
---------------------------------------------------------------------------

    \4\ At the start of the Liquidity Refresh Pause, the system 
broadcasts a ``liquidity refresh message'' to subscribers of the 
Exchange's data feeds, providing a description of the option and the 
size and side of the order and the exhausted MBBO price. During the 
pause, the system displays the unexecuted remainder of the 
initiating order at the original NBBO price (i.e., the exhausted 
MBBO price) and MIAX's next bid or offer on the opposite side is 
displayed as non-firm.
---------------------------------------------------------------------------

    The Exchange proposes to amend MIAX Rule 515(c)(2) in order to 
address the case where, during the Liquidity Refresh Pause, an Away 
Best Bid or Offer (``ABBO'') on the same side of the market as the 
initiating order (a ``same-side ABBO'') crosses the original NBBO price 
on the opposite side of the market. The proposed rule change would 
provide that, in such a situation, the Liquidity Refresh Pause will be 
terminated early and normal trading will resume. The Exchange states 
that the proposed change is designed to codify existing functionality 
during the liquidity refresh pause.\5\
---------------------------------------------------------------------------

    \5\ See Notice, supra note 3, at 35625.
---------------------------------------------------------------------------

    The following examples describe how a new revised same-side ABBO 
that crosses the original NBBO on the opposite side of the market will 
terminate the Liquidity Refresh Pause early.

[[Page 46490]]

    Example 1:  Same Side ABBO Terminates the Liquidity Refresh 
Pause Early
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    \6\ A ``PLMM'' is a MIAX Primary Lead Market Maker; an ``LMM'' 
is a MIAX Lead Market Maker; and an ``RMM'' is a MIAX Registered 
Market Maker.

------------------------------------------------------------------------
                                                    Bid          Ask
------------------------------------------------------------------------
ABBO..........................................    1.00 (10)    1.14 (10)
MIAX Book: PLMM \6\...........................    1.00 (10)    1.10 (10)
LMM 1.........................................    1.00 (10)    1.12 (10)
LMM 2.........................................    1.00 (10)    1.15 (10)
RMM 1.........................................    1.00 (10)    1.16 (10)
------------------------------------------------------------------------

     Order 1: Buy limit of 1.13 for 20 contacts with a price 
protection instruction of 3 MPVs.\7\
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    \7\ Executions of non-market maker orders on MIAX are subject to 
the ``price protection'' provisions of Exchange Rule 515(c)(1). 
Price protection prevents an order from being executed beyond the 
price designated in the order's price protection instructions, which 
are expressed in units of ``MPV'' away from the NBBO at the time of 
the order's receipt, or the MBBO if the ABBO is crossing the MBBO. 
(The MPV is the minimum price variation, or minimum increment, by 
which bids and offers may be separated.) Market participants may 
designate or disable price protection instructions on an order by 
order basis. The default price protection is one MPV. When 
triggered, price protection cancels an order or the remaining 
contracts of an order.
---------------------------------------------------------------------------

     NBBO at time of Order 1's arrival = 1.00 (50) x 1.10 
(10).
     Order 1 is price protected at 1.13 (which is 1.10 + 3 
MPV = 1.13).
     Order 1 trades 10 contracts with PLMM @1.10.
     Liquidity Refresh Pause is triggered because the MBO of 
1.10 \8\ was alone at NBBO and PLMM's 1.10 offer was exhausted.
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    \8\ ``MBO'' and ``MBB'' refer to the two components of the MBBO 
separately. ``NBB'' and ``NBO'' and ``ABB'' and ``ABO'' and are the 
equivalent conventions used for components of the ABBO and MBBO 
separately.
---------------------------------------------------------------------------

     New MBBO = 1.10 (10) x 1.12 (10). \9\
---------------------------------------------------------------------------

    \9\ The remaining 10 contracts of Order 1 to buy are posted at 
1.10 (the price at which the first 10 contracts were bought), which 
becomes the new MBB. Note that the new MBO is displayed as non-firm. 
See supra note 4.
---------------------------------------------------------------------------

     ABB updates to 1.12 for 10 contracts; ABBO = 1.12 (10) 
x 1.14 (10).
     Liquidity Refresh Pause is terminated early due to the 
ABB crossing the original NBO of 1.10.
     Because no responses to the Liquidity Refresh Pause 
were received before it terminated early, Order 1 trades 10 
contracts with LMM1 @1.12, after which Order 1 has been fully 
executed.
     New MBBO: 1.00 (40) x 1.15 (10). New NBBO: 1.12 (10) x 
1.14 (10).

III. Discussion and Commission Findings

    The Commission has carefully reviewed the proposed rule change and 
finds that it is consistent with the requirements of the Act and the 
rules and regulations thereunder applicable to a national securities 
exchange.\10\ In particular, the Commission finds that the proposed 
rule change is consistent with Section 6(b)(5) of the Act,\11\ which 
requires, among other things, that the rules of a national securities 
exchange be designed to prevent fraudulent and manipulative acts and 
practices, to promote just and equitable principles of trade, to foster 
cooperation and coordination with persons engaged in regulating, 
clearing, settling, processing information with respect to, and 
facilitating transactions in securities, to remove impediments to and 
perfect the mechanism of a free and open market and a national market 
system, and, in general, to protect investors and the public interest. 
The Commission believes that the proposal is reasonable in its 
rationale that terminating the Liquidity Refresh Pause, when the ABBO 
on the same side of the market as the initiating order crosses the 
original NBBO price on the opposite side of the market, could allow 
interest in the Liquidity Refresh Pause to execute, because a move of 
this kind in the ABBO indicates that conditions may be changing so as 
to render the initiating order and same side orders/quotes no longer 
marketable. Terminating the Liquidity Refresh Pause early and 
permitting normal trading to resume may thus provide an opportunity for 
the broker routing the initiating order or any remainder thereof to 
further pursue an execution, assuming that subsequent responses to the 
Liquidity Refresh Pause would be unlikely when the ABBO moves in such a 
manner, even if the pause were to run its full course.
---------------------------------------------------------------------------

    \10\ 15 U.S.C. 78f. In approving this proposed rule change, the 
Commission has considered the proposed rule's impact on efficiency, 
competition, and capital formation. See 15 U.S.C. 78c(f).
    \11\ 15 U.S.C. 78f(b)(5).
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IV. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\12\ that the proposed rule change (SR-MIAX-2014-28), is approved.
---------------------------------------------------------------------------

    \12\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\13\
---------------------------------------------------------------------------

    \13\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-18745 Filed 8-7-14; 8:45 am]
BILLING CODE 8011-01-P