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
<![CDATA[
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 (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 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]
-----------------------------------------------------------------------
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.
---------------------------------------------------------------------------
\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.
---------------------------------------------------------------------------
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
---------------------------------------------------------------------------
\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\
---------------------------------------------------------------------------
\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.
---------------------------------------------------------------------------
\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).
---------------------------------------------------------------------------
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).
---------------------------------------------------------------------------
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-18745 Filed 8-7-14; 8:45 am]
BILLING CODE 8011-01-P
