Self-Regulatory Organizations; NYSE American LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend Exchange Rule 7.10E To Exclude Trading Halt Auctions From Being Reviewed as Clearly Erroneous, Rule 7.11E To Conform to the Limit Up-Limit Down NMS Plan, Rule 7.31E To Add a New Imbalance Only Order, and Rule 7.35E To Enhance the Information Available Before an Auction and Revise Procedures for Trading Halt Auctions, 50898-50906 [2017-23826]

Download as PDF 50898 Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices NATIONAL SCIENCE FOUNDATION Sunshine Act Meeting; National Science Board The National Science Board’s Committee on Oversight (CO), pursuant to NSF regulations (45 CFR part 614), the National Science Foundation Act, as amended (42 U.S.C. 1862n–5), and the Government in the Sunshine Act (5 U.S.C. 552b), hereby gives notice of the scheduling of a teleconference for the transaction of National Science Board business, as follows: TIME AND DATE: Friday, November 3, 2017 at 9:00 a.m. EDT. STATUS: Open. MATTERS TO BE CONSIDERED: Committee Chair’s remarks, and discussion of the functions of the Merit Review report and consideration of possible research topics. CONTACT PERSON FOR MORE INFORMATION: Point of contact for this meeting is: Ann Bushmiller (abushmil@nsf.gov), 2415 Eisenhower Avenue, Alexandria, VA 22314. This meeting will be held by teleconference at the National Science Foundation, 2415 Eisenhower Avenue, Alexandria, VA 22314. An audio link will be available for the public. Members of the public must contact the Board Office to request the public audio link by sending an email to nationalsciencebrd@nsf.gov at least 24 hours prior to the teleconference. Please refer to the National Science Board Web site https://www.nsf.gov/ nsb/meetings/notices.jsp#sunshine for meeting information and updates. You may find general information at https:// www.nsf.gov/nsb/. Chris Blair, Executive Assistant to the National Science Board Office. [FR Doc. 2017–23962 Filed 10–31–17; 11:15 am] BILLING CODE 7555–01–P NATIONAL SCIENCE FOUNDATION Request for Recommendations for Membership on Stem Education Advisory Panel ACTION: Notice. The National Science Foundation (NSF), the Department of Education, the National Aeronautics and Space Administration, and the National Oceanic and Atmospheric Administration are currently requesting recommendations for membership on the Science, Technology, Engineering, and Mathematics (STEM) Education Advisory Panel (Committee). Recommendations should consist of the asabaliauskas on DSKBBXCHB2PROD with NOTICES SUMMARY: VerDate Sep<11>2014 22:28 Nov 01, 2017 Jkt 244001 name of the submitting individual, the organization or the affiliation providing the member nomination, the name of the recommended individual, the recommended individual’s curriculum vita, an expression of the individual’s interest in serving, and the following recommended individual’s contact information: Address, telephone number, FAX number, and email address. Self-recommendations are accepted. If you would like to make a membership recommendation, please send your recommendation to Nafeesa Owens at stemedadvisory@nsf.gov. ADDRESSES: The mailing address for the National Science Foundation is 2415 Eisenhower Avenue, Alexandria, Virginia 22314. The web link to committee information may be found on the NSF Web site: NSF Advisory Committees. SUPPLEMENTARY INFORMATION: The STEM Education Advisory Panel (Committee) was established on October 18, 2017, under the authority of the American Innovation and Competitiveness Act (Pub. L. 114–329; Section 303(b)) and the Federal Advisory Committee Act (‘‘FACA’’) of 1972 (5 U.S.C, Appendix 2, as amended). The role of the Science, Technology, Engineering, and Mathematics (STEM) Education Advisory Panel (Committee) is to provide advice and recommendations to the Committee on Science, Technology, Engineering, and Mathematics Education (CoSTEM), assess CoSTEM’s progress in carrying out responsibilities related to the America COMPETES Reauthorization Act, and help identify need or opportunity to update the Federal STEM Education 5-Year Strategic Plan. NSF encourages individuals to submit their recommendations by November 30, 2017, in order to be considered for initial selection. Thereafter, NSF intends to publish a notice requesting recommendations on an annual basis. NSF will keep recommendations active for 12 months from the date of receipt. Although NSF welcomes all recommendations, the Agency will not be able to acknowledge or respond positively to each person who contacts NSF or has been recommended. A primary consideration when formulating committee membership is recognized knowledge, expertise, or demonstrated ability. Other factors that may be considered are balance among diverse institutions, regions, and groups underrepresented in science, technology, engineering, and mathematics. Membership will consist of no less than 11 individuals. Members shall PO 00000 Frm 00044 Fmt 4703 Sfmt 4703 primarily be individuals from academic institutions, nonprofit organizations, and industry, including in-school, outof-school, and informal education practitioners; and shall be individuals who are qualified to provide advice and information on STEM education research, development, training, implementation, interventions, professional development or workforce needs or concerns. Members may serve on the panel (Committee) for up to a three-year term. Advisory meetings will be held twice a year. Dated: October 30, 2017. Crystal Robinson, Committee Management Officer. [FR Doc. 2017–23859 Filed 11–1–17; 8:45 am] BILLING CODE 7555–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–81968; File No. SR– NYSEAMER–2017–30] Self-Regulatory Organizations; NYSE American LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend Exchange Rule 7.10E To Exclude Trading Halt Auctions From Being Reviewed as Clearly Erroneous, Rule 7.11E To Conform to the Limit Up-Limit Down NMS Plan, Rule 7.31E To Add a New Imbalance Only Order, and Rule 7.35E To Enhance the Information Available Before an Auction and Revise Procedures for Trading Halt Auctions October 27, 2017. Pursuant to Section 19(b)(1) 1 of the Securities Exchange Act of 1934 (‘‘Act’’) 2 and Rule 19b–4 thereunder,3 notice is hereby given that on October 20, 2017, NYSE American LLC (‘‘Exchange’’ or ‘‘NYSE American’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule change as described in Items I, II, and III below, which Items have been prepared by the selfregulatory 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 The Exchange proposes to amend Rule 7.35E to enhance the information available before an auction and revise its procedures for Trading Halt 1 15 U.S.C. 78s(b)(1). U.S.C. 78a. 3 17 CFR 240.19b–4. 2 15 E:\FR\FM\02NON1.SGM 02NON1 Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices Auctions, Rule 7.10E to exclude Trading Halt Auctions from being reviewed as clearly erroneous, Rule 7.31E to add a new Imbalance Only Order, and Rule 7.11E. The proposed rule change is available on the Exchange’s Web site at www.nyse.com, at the principal office of the Exchange, and at the Commission’s Public Reference Room. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the self-regulatory organization included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of those statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant parts of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change asabaliauskas on DSKBBXCHB2PROD with NOTICES 1. Purpose The Exchange proposes to amend Rule 7.35E (Auctions) to enhance the information available before an auction and revise its procedures for Trading Halt Auctions, Rule 7.10E to exclude Trading Halt Auctions from being reviewed as a clearly erroneous execution, Rule 7.31E (Orders and Modifiers) to add a new Imbalance Only Order, and Rule 7.11E (Limit Up—Limit Down Plan and Trading Pauses in Individual Securities Due to Extraordinary Market Volatility) to conform the rule to approved changes to the Regulation NMS Plan to Address Extraordinary Market Volatility (‘‘Plan’’).4 Overview The Operating Committee for the Plan with input from the Advisory Committee to the Plan and staff of the Securities and Exchange Commission (‘‘SEC’’ or ‘‘Commission’’), identified a number of enhancements to the reopening process following a Trading Pause that have been addressed in a combination of an amendment to the Plan and amendments to the rules of the Primary Listing Exchanges.5 The 4 See Securities Exchange Act Release No. 80455 (April 13, 2017), 82 FR 18519 (April 19, 2017) (File No. 4–631) (Order approving 13th Amendment to the Plan). 5 Unless otherwise specified, capitalized terms used herein have the same meaning as set forth in the Plan or in Exchange rules. VerDate Sep<11>2014 22:28 Nov 01, 2017 Jkt 244001 Exchange is a Participant of the Plan and a member of the Operating Committee. With respect to the Plan, the Participants amended the Plan to provide that a Trading Pause will continue until the Primary Listing Exchange reopens trading using its established reopening procedures and reports a Reopening Price.6 With LULD Amendment 12, the Participants eliminated the current allowance for a trading center to resume trading in an NMS Stock following a Trading Pause if the Primary Listing Exchange has not reported a Reopening Price within ten minutes after the declaration of a Trading Pause and has not declared a Regulatory Halt. In addition, to close any gaps of potential scenarios when trading may resume without Price Bands, LULD Amendment 12 provides that a trading center may not resume trading in an NMS Stock following a Trading Pause without Price Bands in such NMS Stock. To address potential scenarios of when there may not be a Reopening Price from the Primary Listing Exchange from which to calculate Price Bands, LULD Amendment 12 further addresses when trading may resume if the Primary Listing Exchange is unable to reopen due to a systems or technology issue and how the Reference Price would be determined either under such circumstances or if the Primary Listing Exchange reopens trading on a zero bid or zero quote, or both. In connection with LULD Amendment 12, the Participants agreed on a standardized approach for how the Primary Listing Exchanges should conduct certain aspects of an automated reopening following a Trading Pause. Specifically, because trading centers will not be permitted to resume trading in an NMS Stock until there is a Reopening Price, the Participants believe it is appropriate for the Primary Listing Exchanges to adopt uniform standards for determining whether and when to conduct such automated reopenings, including what price collar thresholds would be applicable to such automated reopenings and how to provide for extensions of when a reopening auction would be conducted. The goal of such changes is to ensure that all Market Order interest could be satisfied in an automated reopening auction. More specifically, the Participants have agreed that if there is an imbalance 6 See Securities Exchange Act Release No. 79845 (January 19, 2017), 82 FR 8551 (January 26, 2017) (File No. 4–631) (Order approving the twelfth amendment to the Plan (‘‘LULD Amendment 12’’)). PO 00000 Frm 00045 Fmt 4703 Sfmt 4703 50899 of market orders, or if the Reopening Price would be outside of specified price collar thresholds, the Trading Pause would be extended an additional five minutes in order to provide additional time to attract offsetting liquidity. If at the end of such extension, Market Orders still cannot be satisfied within price collar thresholds or if the reopening auction would be priced outside of the applicable price collar thresholds, the Primary Listing Exchange would extend the Trading Pause an additional five minutes. With each such extension, the Participants have agreed that it would be appropriate to widen the price collar threshold on the side of the market on which there is buying or selling pressure. With respect to price collar thresholds, the Participants have agreed that the reference price for calculating price collar thresholds would be the price of the limit state that preceded the Trading Pause, i.e., either the Lower or Upper Price Band price. For NMS Stocks priced more than $3.00, • if there is selling pressure, the lower collar for the auction would be the Lower Price Band minus five percent and the upper collar would be the Upper Price Band; • if there is buying pressure, the upper collar for the auction would be the Upper Price Band plus five percent and the lower collar would be the Lower Price Band. For each extension, the collars would be widened an additional five percent, but only on the side of the imbalance.7 The Participants believe that widening collars only in the direction of the imbalance would address issues relating to the concept of mean reversion. Finally, the Participants have agreed that the proposed new procedures for reopening trading following a Trading Pause reduces the potential that an order or orders entered by one or more ETP Holders caused such execution to be clearly erroneous. Specifically, the Participants believe that the proposed standardized procedures for reopening trading following a Trading Pause incorporates a methodology that allows for widened collars, which may result in a reopening price away from prior trading prices, but which reopening price would be a result of a measured and transparent process that eliminates the potential that such trade would be considered erroneous. As a Primary Listing Exchange, the Exchange proposes to amend Rule 7.35E to implement the proposed uniform trading practices with respect to 7 For NMS Stocks that are priced $3.00 and under, the price collar threshold would be $0.15. E:\FR\FM\02NON1.SGM 02NON1 50900 Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices asabaliauskas on DSKBBXCHB2PROD with NOTICES reopening a security following a Trading Pause, as described above. In addition, the Exchange proposes to implement changes for automated reopenings following a market-wide circuit breaker under Rule 7.12E and any regulatory halts triggered in an Exchange-listed security. The Exchange further proposes to amend Rule 7.10E to preclude ETP Holders from requesting a review of a Trading Halt Auction as a clearly erroneous execution. Finally, in connection with these proposed changes, the Exchange proposes additional enhancements to its auction processes, including adding a new Imbalance Only Order, an Auction Freeze period before a Trading Halt Auction, and enhanced information to be disseminated before an auction. The proposed rule changes are based on the rules of its affiliated exchange, NYSE Arca, Inc. (‘‘NYSE Arca’’), without any substantive differences.8 Uniform Primary Listing Exchange Proposed Rule Changes. To effect the proposed enhancements that will be implemented by all Primary Listing Exchanges, the Exchange proposes to add new sub-paragraphs (5)–(10) to Rule 7.35E(e), which governs Trading Halt Auctions, re-number current Rule 7.35E(e)(5) as new Rule 7.35E(e)(11), and amend Rule 7.35E(e)(2). The Exchange proposes to implement these changes for all Trading Halt Auctions. The proposed standardized trading practices agreed upon by the Operating Committee are intended for Trading Halt Auctions following a trading pause under Rule 7.11E. However, the Exchange believes that these proposed procedures would be beneficial following all halts, including regulatory halts and halts due to extraordinary market volatility. The proposed rule changes are based on NYSE Arca Rule 7.35–E(e) without any substantive differences. Rule 7.35E(e)(2) currently provides that after trading in a security has been halted or paused, the Exchange will disseminate the estimated time at which trading in that security will re-open (‘‘Re-Opening Time’’). The Exchange proposes to add to this rule that the initial Re-Opening Time for a Trading Halt Auction following a trading pause under Rule 7.11E (‘‘Trading Pause’’) or trading halt due to extraordinary market 8 See Securities Exchange Act Release Nos. 79846 (January 19, 2017), 82 FR 8548 (January 26, 2017) (SR–NYSEArca–2016–130) (Approval Order) (‘‘NYSE Arca Trading Halt Auction Filing’’) and 81603 (September 13, 2017), 82 FR 43609 (September 18, 2017) (SR–NYSEArca–2017–102) (Notice of filing and immediate effectiveness of proposed rule change). VerDate Sep<11>2014 22:28 Nov 01, 2017 Jkt 244001 volatility under Rule 7.12E (‘‘MWCB Halt’’) will be at the scheduled end of the Trading Pause or MWCB Halt. This proposed rule text clarifies that for Trading Pauses and MWCB Halts, the length of the initial pause or halt period is as specified in those rules. As specified in the Plan, the scheduled end of the Trading Pause is five minutes after a Trading Pause has been declared. As specified in Rule 7.12E(b), the scheduled end of a Level 1 or Level 2 Market Decline is 15 minutes. If there is a Level 3 Market Decline, the Exchange will not re-open. Proposed Rule 7.35E(e)(5) would provide that a Trading Halt Auction would not be conducted if the Indicative Match Price, before being adjusted based on Auction Collars, is below (above) the Lower (Upper) Auction Collar or if there is a sell (buy) Market Imbalance, either of which would be defined as an ‘‘Impermissible Price.’’ 9 This proposed rule text would implement the proposed standardized enhancement that the Exchange would not conduct a Trading Halt Auction if there are either unsatisfied Market Orders, or if the Indicative Match Price would be outside the applicable Auction Collars. Extensions: Proposed Rule 7.35E(e)(6) would specify the circumstances when the Exchange would extend the ReOpening Time for a Trading Halt Auction, as follows: • Proposed Rule 7.35E(e)(6)(A) would provide that, if there is an Impermissible Price at the initial ReOpening Time, the pause or halt would be extended an additional five minutes and a new Re-Opening Time would be disseminated, which would be referred to as the ‘‘First Extension.’’ The proposed rule would further provide that the Exchange would not conduct a Trading Halt Auction before the ReOpening Time for the First Extension. As such, if the Exchange disseminates a First Extension, consistent with the Plan in effect before LULD Amendment 12, which provides that if the Primary Listing Exchange does not reopen, trading centers may not resume trading 9 The term ‘‘Indicative Match Price’’ is defined in Rule 7.35E(a)(8) to mean the best price at which the maximum volume of shares, including the nondisplayed quantity of Reserve Orders, is tradable in the applicable auction, subject to Auction Collars. For purposes of proposed Rule 7.35E(e)(5), the Indicative Match Price would not be calculated subject to Auction Collars. The term ‘‘Auction Collars’’ is defined in Rule 7.35E(a)(10) to mean the price collar thresholds for the Indicative Match Price for the Core Open Auction, Trading Halt Auction, or Closing Auction. The term ‘‘Market Imbalance’’ is defined in Rule 7.35E(a)(7)(B) means the imbalance of any buy (sell) Market Orders that are not matched for trading in the applicable auction. PO 00000 Frm 00046 Fmt 4703 Sfmt 4703 until ten minutes after the beginning of the Trading Pause, the Trading Pause would continue for ten minutes and trading would not resume before that ten-minute marker. • Proposed Rule 7.35E(e)(6)(B) would provide that if there is an Impermissible Price at the end of the First Extension, the pause or halt would be extended an additional five minutes and a new ReOpening Time would be disseminated (‘‘Subsequent Extension’’). As further proposed, the Exchange would conduct a Trading Halt Auction before the ReOpening Time for a Subsequent Extension if the Indicative Match Price, before being adjusted based on Auction Collars, would be within the applicable Auction Collars and there is no Market Imbalance. This proposed change would implement the Participant’s proposal that for Subsequent Extensions, if equilibrium of prices is reached, the Exchange would conduct the Trading Halt Auction immediately and would not extend the Trading Pause any further. • Proposed Rule 7.35E(e)(6)(C) would provide that the trading pause or halt would continue to be extended if there is an Impermissible Price at the ReOpening Time for a Subsequent Extension. This proposed rule text makes clear that a halt or pause would continue to be extended until a Trading Halt Auction can be conducted, as provided for in proposed Rule 7.35E(e)(5). Auction Collars: Proposed Rule 7.35E(e)(7) would describe how Auction Collars would function for Trading Halt Auctions. As provided for in Rule 7.35E(a)(10), Auction Collars mean the price collar thresholds for the Indicative Match Price for the Core Open Auction, Trading Halt Auction, or Closing Auction. Currently, the price collar thresholds for the Trading Halt Auction are the greater of $0.50 or 10% away from the Auction Reference Price. These price collar thresholds are in effect until a proposed rule change based on the NYSE Arca Trading Halt Auction Filing is effective and operative. The Exchange proposes that the price collar threshold for Auction Collars for securities with an Auction Reference Price above $3.00 would be the Auction Reference Price multiplied by five percent. The price collar threshold for securities with an Auction Reference Price $3.00 and below would be $0.15. This value would be defined as the ‘‘Price Collar Threshold.’’ For securities priced above $3.00, once calculated, the Price Collar Threshold would be applicable for each Subsequent Extension, described below. For securities with an Auction Reference E:\FR\FM\02NON1.SGM 02NON1 asabaliauskas on DSKBBXCHB2PROD with NOTICES Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices Price of $3.00 and under, the Price Collar Threshold would be a static $0.15 for each Subsequent Extension. The Exchange believes that using a 5 percent multiplier for stocks priced $3.00 or less would result in too narrow of an Auction Collar. Similar to the Plan, which provides for wider percentage parameters for stocks priced $3.00 or less, the Exchange proposes a wider Price Collar Threshold for stocks with an Auction Reference Price of $3.00 or less. The Exchange believes that the proposed Price Collar Thresholds are designed to align the Auction Collars with the existing percentage parameters as specified in the Plan. The Exchange proposes to use the single 5% threshold for all securities priced above $3.00 and $0.15 for all securities priced $3.00 or less, and not apply a separate percentage parameter based on the tiers specified in the Plan, because the Exchange believes it would be simpler and more transparent. Moreover, the Exchange believes that because the proposed rule changes would provide for the widening of collars, and would prevent trades at an Impermissible Price, the specific size of the Price Collar Threshold becomes less meaningful. For example, if the Market Imbalance is so large that the proposed five percent price collar threshold is too narrow to permit a Trading Halt Auction, the proposed extensions and widening of Auction Collars, as described below, would provide for a measured manner by which the collars would be widened either to permit a trade at a permissible price or to attract additional offsetting interest. If, at a later date, the Plan is amended and the applicable tiers and percentage parameters are adjusted, the Exchange will reevaluate the Price Collar Thresholds for Trading Halt Auctions and if they should be changed, will file a separate proposed rule change. Because the Price Collar Thresholds for Auction Collars applicable to a Trading Halt Auction would be specified in proposed Rule 7.35E(e)(7), the Exchange proposes to amend Rule 7.35E(a)(10)(A) to specify that the Auction Collar price thresholds specified in that rule would be applicable to the Core Trading and Closing Auctions only. The Exchange further proposes to delete the following text: ‘‘*The price collar thresholds specified in this paragraph applicable to Trading Halt Auctions are in effect until proposed rule change based on SR– NYSEArca–2016–130 for the Exchange is effective and operative.’’ The Exchange believes that proposed Rule 7.35E(e)(7) obviates the current price VerDate Sep<11>2014 22:28 Nov 01, 2017 Jkt 244001 collar thresholds specified for Trading Halt Auctions, which were adopted on an interim basis pending the outcome of the review that resulted in LULD Amendment 12 and standardized trading practices among the Primary Listing Exchanges for how to resume trading following a Trading Pause. Trading Halt Auction Reference Price: Proposed Rule 7.35E(e)(7)(A) would specify the Auction Reference Price that would be used for a Trading Halt Auction following a Trading Pause. As provided for in Rule 7.35E(a)(8)(A), the Auction Reference Price for the Trading Halt Auction is the last consolidated round-lot price of that trade day, and if none, the prior day’s Official Closing Price. As proposed, the Auction Reference Price for a Trading Halt Auction following a Trading Pause would be determined as follows: If the Limit State that preceded the Trading Pause was at the Lower (Upper) Price Band, the Auction Reference Price would be the Lower (Upper) Price Band. This proposed change implements the standardized enhancement to use the Limit State price as the Auction Reference Price for a Trading Halt Auction following a Trading Pause. The Exchange proposes to make a related change to Rule 7.35E(a)(8)(A) to amend the chart that specifies Auction Reference Prices for the Trading Halt Auction. As proposed, the Exchange would add the clause ‘‘except as provided for in Rule 7.35E(e)(7)(A)’’ to specify that the Auction Reference Price would be determined under that subparagraph of the rule instead of the Auction Reference Price specified in Rule 7.35E(a)(8)(A). For a Trading Halt Auction following a MWCB Halt or regulatory halt, the Auction Reference Price would continue to be as specified in Rule 7.35E(a)(8)(A). Initial Auction Collars: Proposed Rule 7.35E(e)(7)(B) would specify the Auction Collars if a Trading Halt Auction is conducted at the initial ReOpening Time. Currently, as provided for in Rule 7.35E(a)(10)(A), the upper (lower) boundary of Auction Collars is the Auction Reference Price increased (decreased) by the specified percentage. As such, the price collar thresholds are applied on both sides of the Auction Reference Price. The Exchange proposes to modify how Auction Collars are calculated as proposed: • Proposed Rule 7.35E(e)(7)(B)(i) would specify how Auction Collars would be determined for a Trading Halt Auction following a Trading Pause. As proposed, if the Auction Reference Price is the Lower (Upper) Price Band, the lower (upper) Auction Collar would be the Auction Reference Price decreased PO 00000 Frm 00047 Fmt 4703 Sfmt 4703 50901 (increased) by the Price Collar Threshold, rounded down to the nearest MPV,10 and the upper (lower) Auction Collar would be the Upper (Lower) Price Band. This proposed rule implements the proposed standardized trading practice that, for Trading Halt Auctions following a Trading Pause, the Auction Collars should be widened only in the direction of the trading that invoked the Trading Pause. For example, if a Trading Pause is triggered following a Limit State at the Lower Price Band, this would indicate selling pressure in that NMS Stock. Accordingly, the proposed lower boundary Auction Collar would be widened by subtracting the Price Collar Threshold from the Auction Reference Price, i.e., the Lower Price Band. To address the concept of mean reversion, i.e., that prices may revert back to the mean or average price of the NMS Stock, and to avoid a security from trading outside of where it would have been permitted to trade before the Trading Pause, the Exchange proposes that the Auction Collar on the opposite side of the trading pressure should be the Price Band in place before the Trading Pause was triggered. Taking the above example, the Upper Auction Collar would therefore be the Upper Price Band. This way, if during the trading pause, the selling pressure reverses and becomes buying pressure, the Auction Collars would not permit a trade higher than would have been permitted under the Price Bands before the Trading Pause. • Proposed Rule 7.35E(e)(7)(B)(ii) would specify how Auction Collars would be determined for a Trading Halt Auction following a MWCB Halt or regulatory halt. In this case, because there would not be a security-specific pricing direction reason for the halt, the Exchange proposes that the Price Collar Threshold would be applied on both sides of the Auction Reference Price. Accordingly, for stocks priced above $3.00, the upper (lower) boundary of the Auction Collar would be the Auction Reference Price (as defined in Rule 7.35E(a)(8)(A)), plus (minus) the Auction Reference Price multiplied by 5%. For stocks priced $3.00 and under, the upper (lower) boundary of the Auction Collar would be the Auction Reference Price (as defined in Rule 7.35E(a)(8)(A)), plus (minus) $0.15. For Trading Halt Auctions following a MWCB Halt or regulatory halt, if the Price Collar Threshold calculation results in a price that is not in the applicable MPV for the security, the 10 See Rules 7.6E and 7.46E (specifying the minimum price variation (‘‘MPV’’) for quoting and entry of orders). E:\FR\FM\02NON1.SGM 02NON1 asabaliauskas on DSKBBXCHB2PROD with NOTICES 50902 Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices Exchange proposes to round down to the nearest price in the applicable MPV. Auction Collar for Extensions: Proposed Rule 7.35E(e)(7)(C) would specify how the Exchange would adjust Auction Collars for each Extension. As proposed, the Auction Collar on the side of the Impermissible Price would be widened for each Extension. In other words, if the Indicative Match Price is at or below the lower Auction Collar for the initial Re-Opening Time or there is a sell Market Imbalance, the Exchange would widen only the lower Auction Collar. As further proposed, the Auction Collar on the opposite side of the Impermissible Price would remain the same as the last-calculated Auction Collar on that side. Thus, in the case of selling pressure that would result in an Auction Extension, the upper Auction Collar would remain as the last Upper Price Band. • Proposed Rule 7.35E(e)(7)(C)(i) would further provide that if the Impermissible Price is on the side of the Lower (Upper) Auction Collar, the lastcalculated Lower (Upper) Auction Collar would be decreased (increased) by a Price Collar Threshold and the Upper (Lower) Auction Collar would stay the same. • To address the concept of mean reversion, proposed Rule 7.35E(e)(7)(C)(ii) would provide that if the side of the Impermissible Price changes from the Lower (Upper) Auction Collar to the Upper (Lower) Auction Collar, the last-calculated Upper (Lower) Auction Collar would be widened for that Extension and the lastcalculated Lower (Upper) Auction Collar will remain the same. Therefore, if, during an Extension, the directional trading pressure switches from sell to buy, the upper Auction Collar would be widened, and the last-Lower Auction Collar would remain the same. Proposed Rules 7.35E(e)(8) and (9) would specify the Exchange’s proposed handling of orders for a Trading Halt Auction, which are discussed in greater detail below. Proposed Rule 7.35E(e)(10) would specify what the Exchange would do if a Re-Opening Time for a Trading Pause would be in the last ten minutes of trading before the end of Core Trading Hours. The Participants have amended the Plan to provide that if an NMS Stock is in a Trading Pause during the last ten minutes of trading before the end of Regular Trading Hours, the Primary Listing Exchange would not reopen trading and would attempt to execute a closing transaction using its established closing procedures.11 To implement 11 See supra note 5. VerDate Sep<11>2014 22:28 Nov 01, 2017 Jkt 244001 LULD Amendment 12, proposed Rule 7.35E(e)(10) would provide that, if the Re-Opening Time for a Trading Halt Auction is in the last ten minutes of trading before the end of Core Trading Hours, the Exchange would not conduct a Trading Halt Auction in that security and would not transition to continuous trading. Instead, the Exchange would remain paused and would conduct a Closing Auction in such security as provided for in Rule 7.35E(d). In such circumstances, as specified in proposed Rule 7.35E(e)(10)(A), MOO Orders, LOO Orders, and IO Orders (described below) entered during the pause would not participate in the Closing Auction and would be cancelled. The Exchange proposes to add this rule text to provide transparency to ETP Holders of how orders that are designated to participate in a Trading Halt Auction only would be processed if the Exchange transitions to a Closing Auction without conducting that Trading Halt Auction. The Exchange believes this proposed rule text would provide notice for ETP Holders to enter closing-only interest, i.e., MOC or LOC Orders, to participate in the Closing Auction. In addition, as specified in proposed Rule 7.35E(e)(10)(B), the Auction Collars for the Closing Auction for such security would be the most recently widened Auction Collars for the Trading Halt Auction that did not occur. Currently, the Auction Collars for Closing Auctions are the greater of $0.50 or 10% away from the Auction Reference Price. The Exchange believes that if the Exchange goes directly from an unresolved Trading Pause, MWCB Halt, or regulatory halt in an NMS Stock to a Closing Auction, the price collar thresholds applicable to the Closing Auction would result in Auction Collars that do not correlate to the trading condition for that NMS Stock. The Exchange proposes to make a related amendment to Rule 7.35E(a)(10)(A) to add the clause ‘‘except as provided for in Rule 7.35E(e)(10)(B)’’. This proposed rule text makes clear that the price collar thresholds for a Closing Auction are defined in Rule 7.35E(a)(10)(A), except as provided for in proposed Rule 7.35E(e)(10)(B). The Exchange proposes to amend Rule 7.10E(a) to provide that ETP Holders may not request a review of a Trading Halt Auction under Rule 7.10E(b), which specifies the procedures for an ETP Holder to request a review of an execution, as clearly erroneous. The Exchange believes that this proposed rule text would implement the proposed standardized trading practice PO 00000 Frm 00048 Fmt 4703 Sfmt 4703 that reopening auctions would not be eligible for review by ETP Holders as a clearly erroneous execution.12 Finally, the Exchange proposes to amend Rule 7.11E to delete obsolete rule text and conform the remaining rule text to LULD Amendment 12, as described above. First, the Exchange proposes to amend Rule 7.11E(b) to delete the second and third sentences of this paragraph as inconsistent with LULD Amendment 12, described above.13 Second, the Exchange proposes to renumber current Rule 7.11E(b)(1) as proposed Rule 7.11E(b)(2) and amend the text to provide that if a primary listing market issues a Trading Pause, the Exchange would resume trading as provided for in Rule 7.18E(a).14 This proposed amendment is consistent with LULD Amendment 12, described above. Finally, the Exchange proposes to add new Rule 7.11E(b)(1) to provide that if a Trading Pause is triggered under this Rule or if the Exchange is unable to reopen trading at the end of the Trading Pause due to a systems or technology issue, the Exchange would immediately notify the single plan processor responsible for consolidation of information for the security pursuant to Rule 603 of Regulation NMS under the Securities Exchange Act of 1934. This proposed rule text is based on NYSE Arca Rule 7.11–E(b)(1) and is consistent with LULD Amendment 12.15 Other Proposed Rule Changes IO Order: The Exchange proposes to add a new order type, an Imbalance 12 The Participants will be engaging in a more comprehensive review of Rule 7.10E in connection with amendments to the Plan relating to tiering of securities and applicable percentage parameters. The Exchange proposes to make this limited amendment to Rule 7.10E as an initial step to eliminating its clearly erroneous executions rules in their current form. 13 The text that the Exchange would delete provides that ‘‘[i]n the event of a significant imbalance at the end of a Trading Pause, the Corporation may delay the re-opening of a security. The Exchange will issue a notification if it cannot resume trading for a reason other than a significant imbalance.’’ 14 Rule 7.18E(a) provides that if the UTP Listing Market declares a UTP Regulatory Halt, which includes a Trading Pause, the Exchange will halt trading until it receives the first Price Band in that security. Accordingly, following a Trading Pause declared by another Primary Listing Market, the Exchange already waits to receive Price Bands before it resumes trading in that UTP Security. The Exchange proposes to delete the current rule text in Rule 7.11E(b)(1) that provides that the Exchange will ‘‘pause trading in that security until trading has resumed on the primary listing market or notice has been received from the primary listing market that trading may resume. If the primary listing market does not reopen the security within 10 minutes of notification of a Trading Pause, the Exchange may resume trading the security.’’ 15 See NYSE Arca Trading Halt Auction Filing, supra note 8. E:\FR\FM\02NON1.SGM 02NON1 asabaliauskas on DSKBBXCHB2PROD with NOTICES Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices Only (‘‘IO’’) Order, that would be eligible to participate in Trading Halt Auctions only. The Exchange proposes to amend Rule 7.31E(c), which specifies the Exchange’s Auction-Only Order types, to add new subsection (5) to describe an IO Order. As proposed, an IO Order would be a Limit Order to buy (sell) that is to be traded only in a Trading Halt Auction. Proposed Rule 7.31E(c)(5)(A) would provide that an IO Order would be accepted only during a halt or pause, including any extensions. This proposed rule text is consistent with the Exchange’s current rules that MOO or LOO Orders designated to participate in a Trading Halt Auction will be accepted only during the trading halt that precedes such Trading Halt Auction.16 Proposed Rule 7.31E(c)(5)(B) would provide that an IO Order would participate in a Trading Halt Auction only if: (i) There is an imbalance in the security on the opposite side of the market from the IO Order after taking into account all other orders eligible to trade at the Indicative Match Price; and (ii) the limit price of the IO Order to buy (sell) would be at or above (below) the Indicative Match Price. Proposed Rule 7.31E(c)(5)(C) would provide that the working price of an IO Order to buy (sell) would be adjusted to be equal to the Indicative Match Price, provided that the working price of the IO Order would not be higher (lower) than its limit price. Finally, proposed Rule 7.31E(c)(5)(D) would provide that an IO Order that participates in a Trading Halt Auction would be ranked in time priority among IO Orders after all other orders eligible to participate in the auction have been allocated. The proposed IO Order is based on the IO Order offered by NYSE Arca.17 For example, assume for a Trading Halt Auction that the lower boundary of an Auction Collar is $10.00. Assume further that after allocating all other orders eligible to participate in the Trading Halt Auction, there is a sell Total Imbalance of 10,000 shares and absent Auction Collars, the Indicative Match Price would be below $10.00. As provided for in Rule 7.35E(a)(10)(B), once the Auction Collars are applied, the Indicative Match Price for that Trading Halt Auction would be $10.01 (i.e., one MPV above the lower Auction Collar). Assume now there are seven IO Orders to buy, each for 2,000 shares, with limit prices of $10.00, $10.01, $10.02, $10.03, $10.04, $10.05 and $10.06, and they are entered in that order. In this scenario, the IO Order to 16 See 17 See Rule 7.31E(c)(1) and (2). NYSE Arca Rule 7.31–E(c)(5). VerDate Sep<11>2014 22:28 Nov 01, 2017 Jkt 244001 buy with a limit price of $10.00 would not be eligible to participate, because the $10.01 Indicative Match Price is higher than the limit price of the order. The remaining six IO Orders to buy would be assigned a working price of $10.01. However, because the IO Order with a limit price of $10.06 was entered last in time, it would not participate in the Trading Halt Auction. Auction Imbalance Freeze: The Exchange proposes to add an Auction Imbalance Freeze before a Trading Halt Auction. As defined in Rule 7.35E(a)(3), the Auction Imbalance Freeze means the period that begins before the scheduled time for the Early Open Auction, Core Open Auction, or Closing Auction, as specified in paragraphs (b), (c), and (d) of Rule 7.35E, and that ends once the Auction Processing Period begins. To effect the proposed rule change, the Exchange proposes to add a reference to Trading Halt Auction and Rule 7.35E(e) to Rule 7.35E(a)(3). Proposed Rule 7.35E(e)(8) would describe how the Trading Halt Auction Imbalance Freeze would function. As proposed, the Trading Halt Auction Imbalance Freeze would begin five seconds before the Re-Opening Time, including Re-Opening Times for each Extension. The Exchange proposes to use the same period of time for the Trading Halt Auction Imbalance Freeze, five seconds, as provided for in Rule 7.35E(c)(3) for the Core Open Auction. Specifically, the Exchange believes that the proposed five-second time period strikes the appropriate balance for providing sufficient time for market participants to enter and cancel orders before the Trading Halt Auction while at the same time having a short period for any imbalance to stabilize before the auction is conducted. The rule would further provide that if a pause or halt is extended, the Trading Halt Auction Imbalance Freeze for the prior period would end, new orders and order instructions received during the prior period’s Trading Halt Auction Imbalance Freeze would be processed, and the Exchange would accept new order entry and cancellation as provided for in Rule 7.18E(c) until the next Trading Halt Auction Imbalance Freeze. In other words, if at the Re-Opening Time, the Exchange extends the Trading Pause for five minutes, the restrictions on order entry and cancellation from the prior freeze would no longer be in effect, and any order instructions that were not processed will be processed. The proposed rule would further provide how order entry and cancellation during the Trading Halt Auction Imbalance Freeze would be processed: PO 00000 Frm 00049 Fmt 4703 Sfmt 4703 50903 • As proposed in Rule 7.35E(e)(8)(A), MOO Orders and LOO Orders that are on the same side as the Imbalance, would flip the Imbalance, or would create a new Imbalance would be rejected. This proposed rule text is based on how MOC Orders and LOC Orders are processed during the Closing Auction Imbalance Freeze, as described in Rule 7.35E(d)(2)(A). • As proposed in Rule 7.35E(e)(8)(B), Market Orders (other than MOO Orders) and Limit Orders would be accepted but would not be included in the calculation of the Indicative Match Price or the Trading Halt Auction Imbalance Information.18 Such orders would participate in the Trading Halt Auction only to offset the Imbalance that would be remaining after all orders entered before the Trading Halt Auction Imbalance Freeze, including the nondisplay quantity of Reserve Orders, are allocated in the Trading Halt Auction, and would be allocated in price-time priority under Rule 7.36E(c)–(g) consistent with the priority ranking associated with each order and ahead of any IO Orders. This proposed rule text is based on how Market Orders (other than MOO Orders) and Limit Orders that are entered during the Core Open Auction Imbalance Freeze, as described in Rule 7.35E(c)(3)(B). As such, these orders would participate in the Trading Halt Auction only to offset the final Imbalance for the auction. Such orders would be ranked in price-time priority after all other orders, except for IO Orders, have been allocated. Because the Exchange would be accepting IO Orders for the Trading Halt Auction and because IO Orders do not participate until all other eligible interest has been allocated, the Exchange proposes a substantive difference from the rule governing the Core Open Auction to address how IO Orders would be processed relative to Market Orders (other than MOO Orders) or Limit Orders entered during the Trading Halt Auction Imbalance Freeze. As proposed, IO Orders would not be allocated until Market Orders (other than MOO Orders) and Limit Orders entered during the Trading Halt Auction Imbalance Freeze have been allocated. • Proposed Rule 7.35E(e)(8)(C) would provide that requests to cancel and requests to cancel and replace Market 18 Rule 7.35E(a) provides that unless otherwise specified, references to the term ‘‘Market Orders’’ in Rule 7.35E also includes MOO Orders. Proposed Rule 7.35E(e)(8)(B) is an example of when the Exchange proposes that the term Market Orders would not include MOO Orders. By contrast, in Rule 7.35E, Limit Orders are distinct from LOO Orders and therefore the reference to Limit Orders in proposed Rule 7.35E(e)(8)(B) would not include LOO Orders. E:\FR\FM\02NON1.SGM 02NON1 asabaliauskas on DSKBBXCHB2PROD with NOTICES 50904 Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices Orders, LOO Orders, Limit Orders, and IO Orders would be accepted but not processed until either after the Trading Halt Auction concludes, as provided for in Rule 7.35E(h), or if a pause or halt is extended, when the Trading Halt Auction Imbalance Freeze for the prior period ends.19 This proposed rule text is based on Rule 7.35E(c)(3)(C) governing which order instructions will be accepted but not processed during the Core Open Auction Imbalance Freeze. The Exchange proposes a substantive difference to reference how requests to cancel IO Orders would be processed if received during the freeze period. • Finally, proposed Rule 7.35E(e)(8)(D) would provide that all other order instructions would be accepted. This proposed rule text is based on Rules 7.35E(c)(3)(D) and (d)(2)(C), without any differences. Unexecuted Limit Orders: The Exchange proposes to specify how it would process Limit Orders that do not participate in the Trading Halt Auction. As discussed above, an Impermissible Price would occur if there is a Market Imbalance or if the Indicative Match Price were at or outside the specified Price Collar Thresholds. However, if the Indicative Match Price were within the specified Price Collar Thresholds and there is no Market Imbalance, it is still possible to have an imbalance of Limit Orders within the Auction Collars. In such case, the Exchange proposes to transition such unexecuted Limit Orders to continuous trading. The Exchange believes that because such Limit Orders would have a limit price within the Auction Collars, having such Limit Orders transition to continuous trading would not have significant pricing impact on post-Trading Halt Auction trading. Accordingly, proposed Rule 7.35E(e)(9) would provide that any Limit Orders that were eligible to participate in the Trading Halt Auction, but did not participate, would transition to continuous trading as provided for in paragraph (h) of this Rule. Auction Imbalance Information: The Exchange proposes to enhance the Auction Imbalance Information. Rule 7.35E(a)(4) defines Auction Imbalance Information as the information that is disseminated by the Exchange for an auction and includes, if applicable, the Total Imbalance, Market Imbalance, Indicative Match Price, and Matched Volume.20 The Exchange proposes to 19 Because they are not specifically excluded, the reference to Market Orders in proposed Rule 7.35E(e)(8)(C) would include MOO Orders. 20 See Rule 7.35E(a)(7) (defining the terms Total Imbalance and Market Imbalance); 7.35E(a)(8) (defining the term Indicative Match Price); and 7.35E(a)(9) (defining the term Matched Volume). VerDate Sep<11>2014 22:28 Nov 01, 2017 Jkt 244001 enhance the Auction Imbalance Information to include the following additional information: Auction Reference Price, Auction Collar, Book Clearing Price, Far Clearing Price, Imbalance Freeze Indicator, and Auction Indicator. The Auction Reference Price is defined in Rule 7.35E(a)(8)(A) and proposed Rule 7.35E(e)(7)(A), described above. The Auction Collar is defined in Rule 7.35E(a)(10) and proposed Rules 7.35E(e)(7) and (e)(10)(B), described above. The Exchange proposes to define the additional terms as follows: • Proposed Rule 7.35E(a)(11) would define the term ‘‘Book Clearing Price’’ to mean the price at which all interest eligible to participate in an auction could be traded if not subject to an Auction Collar. The rule would further provide that the Book Clearing Price would be zero if a sell (buy) imbalance cannot be filled by any buy (sell) orders. For example, if there are only sell orders and no buy orders, the Book Clearing Price would be zero. • Proposed Rule 7.35E(a)(12) would define the term ‘‘Far Clearing Price’’ to mean the price at which Auction-Only Orders could be traded within the Auction Collar. Auction-Only Orders are defined in Rule 7.31E(c). • Proposed Rule 7.35E(a)(13) would define the term ‘‘Auction Indicator’’ to mean an indicator of whether an auction could be conducted, based on the applicable Auction Collar and Imbalance. This information would be relevant for the Trading Halt Auction and provide transparency regarding whether a Trading Pause, MWCB Halt, or regulatory halt would be eligible to be conducted. If an Auction Indicator is ‘‘no,’’ market participants would be on notice that submitting offsetting interest may reduce the possibility of the Exchange extending a Trading Halt Auction. • Proposed Rule 7.35E(a)(14) would define the term ‘‘Imbalance Freeze Indicator’’ to mean an indicator of whether a security is currently in an Auction Imbalance Freeze. This indicator would put market participants on notice of whether there are order entry and cancellation restrictions in place at any given time before an auction. Finally, the Exchange proposes to replace the word ‘‘truncated’’ with the words ‘‘rounded down’’ 21 in Rule 7.35E(a)(10)(A). The Exchange believes that conforming the terminology used in 21 See Rule 7.46E(f)(2)(A), which provides that references to truncating to the MPV in Exchange rules instead mean rounding down to the applicable quoting MPV. PO 00000 Frm 00050 Fmt 4703 Sfmt 4703 Rules 7.31E 22 and 7.35E promotes clarity and transparency. * * * * * The Exchange proposes to implement the proposed rule change at the same time that LULD Amendment 12 is implemented, which, subject to technology changes and the effectiveness of the extension for the implementation date for the LULD Amendment 12 changes, is anticipated to be in the fourth quarter of 2017.23 The Exchange will announce the implementation date via Trader Update. 2. Statutory Basis The proposed rule change is consistent with Section 6(b) of the Securities Exchange Act of 1934 (the ‘‘Act’’),24 in general, and furthers the objectives of Section 6(b)(5),25 in particular, because it is 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 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 Exchange believes the proposed changes would 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, because they are designed, together with LULD Amendment 12, to address the issues experienced on August 24, 2015 by reducing the number of repeat Trading Pauses in a single NMS Stock. LULD Amendment 12 is an essential component to Participants’ goal of more standardized processes across Primary Listing Exchanges in reopening trading following a Trading Pause, and facilitates the production of an equilibrium Reopening Price by centralizing the reopening process through the Primary Listing Exchange, which would also improve the accuracy of the reopening Price Bands. LULD 22 See Rules 7.31E(a)(1)(B)(i) (providing that when calculating the Trading Collar, the specified percentage will be rounded down) and 7.31E(a)(2)(B) (providing that ‘‘Limit Order Price Protection . . . will be rounded down to the nearest price at the applicable MPV’’). 23 See Securities Exchange Act Release No. 81720 (September 26, 2017), 82 FR 45922 (October 2, 2017) (File No. 4–631) (Notice of filing and immediate effectiveness of fifteenth amendment to the Plan, extending the implementation date of LULD Amendment 12 to no later than November 30, 2017). 24 15 U.S.C. 78f(b). 25 15 U.S.C. 78f(b)(5). E:\FR\FM\02NON1.SGM 02NON1 asabaliauskas on DSKBBXCHB2PROD with NOTICES Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices Amendment 12 supports this initiative by requiring trading centers to wait to resume trading following Trading Pause until there is a Reopening Price. This proposed rule change further supports this initiative by proposing uniform trading practices for reopening trading following a Trading Pause. The Exchange believes that the proposed standardized approach for how the Primary Listing Exchanges would conduct certain aspects of an automated reopening following a Trading Pause would remove impediments to and perfect the mechanism of a free and open market and a national market system because it would provide certainty for market participants regarding how a security would reopen following a Trading Pause, regardless of the listing exchange. The Exchange further believes that the proposed changes would remove impediments to and perfect the mechanism of a free and open market and a national market system and protect investors and the public interest because the goal of the proposed changes is to ensure that all Market Order interest could be satisfied in an automated reopening auction while at the same time reducing the potential for multiple Trading Pauses in a single security due to a large order imbalance. The Exchange further believes that the standardized proposal to extend a Trading Pause an additional five minutes would remove impediments to and perfect the mechanism of a free and open market and a national market system because it would provide additional time to attract offsetting liquidity. If at the end of such extension, Market Orders still cannot be satisfied within price collar thresholds or if the reopening auction would be priced outside of the applicable price collar thresholds, the Primary Listing Exchange would extend the Trading Pause an additional five minutes, which the Exchange believes would further protect investors and the public interest by reducing the potential for significant price disparity in post-auction trading, which could otherwise trigger another Trading Pause. With each such extension, the Exchange believes that widening the price collar threshold on the side of the market on which there is buying or selling pressure would remove impediments to and perfect the mechanism of a free and open market and a national market system because it would provide additional time to attract offsetting interest while at the same time addressing that an imbalance may not be resolved within the prior Auction Collars. VerDate Sep<11>2014 22:28 Nov 01, 2017 Jkt 244001 With respect to price collar thresholds, the Exchange believes that using the price of the limit state that preceded the Trading Pause, i.e., either the Lower or Upper Price Band price, would better reflect the most recent price of the security and therefore should be used as the reference price for determining the Auction Collars for such Trading Halt Auction. The Exchange believes that widening Auction Collars only in the direction of the imbalance would address issues relating to the concept of mean reversion, which would protect investors and the public interest by reducing the potential for wide price swings following a Trading Halt Auction. The Exchange believes that applying the proposed changes to its Trading Halt Auctions not only following a Trading Pause, but also following a MWCB Halt or regulatory halt, would remove impediments to and perfect the mechanism of a free and open market and a national market system because it would promote consistency in how the Exchange conducts its Trading Halt Auctions, thus reducing complexity in the marketplace. The Exchange believes that precluding ETP Holders from requesting a review of a Trading Halt Auction as a clearly erroneous execution would remove impediments to and perfect the mechanism of a free and open market and a national market system because the proposed new procedures for reopening trading following a Trading Pause would reduce the possibility that an order(s) from an ETP Holder(s) caused a Trading Halt Auction to be clearly erroneous. Specifically, the Exchange believes that the proposed standardized procedures for reopening trading following a Trading Pause incorporates a methodology that allows for widened collars, which may result in a reopening price away from prior trading prices, but which reopening price would be a result of a measured and transparent process that eliminates the potential that such trade would be considered erroneous. The Exchange believes that the proposed amendments to Rule 7.11E would remove impediments to and perfect the mechanism of a free and open market and a national market system because the proposed changes would remove obsolete rule text and amend the remaining rule text to conform to LULD Amendment 12, as described above. The Exchange believes that the proposed rule change to add an IO Order for Trading Halt Auctions would further remove impediments to and PO 00000 Frm 00051 Fmt 4703 Sfmt 4703 50905 perfect the mechanism of a free and open market and a national market system because such order type is designed to attract offsetting interest that would participate in the Trading Halt Auction. The Exchange believes that offering such order type would provide an option for market participants that are willing to participate in an auction to offset an imbalance, but do not want such orders to participate in continuous trading. The proposed order type is based on the CO Order offered by NYSE Arca and are designed with the same purpose—to reduce the imbalance to assist in achieving pricing equilibrium. The Exchange further believes that the proposed rule change to add a Trading Halt Auction Imbalance Freeze would remove impediments to and perfect the mechanism of a free and open market and a national market system because it would provide market participants with a brief period to assess the imbalance going into a Trading Halt Auction. During such time, order entry and cancellation would be revised in a manner designed to reduce the lastpublished imbalance. The proposed mechanism for the Trading Halt Auction Imbalance Freeze is not novel, as it is based in part on the existing Core Open Auction Imbalance Freeze, i.e., the length of the Auction Imbalance Freeze, and the Closing Auction Imbalance Freeze, i.e., how new orders and order instructions would be processed, with a proposed substantive difference to address how the proposed new IO Order type would be processed during the Auction Imbalance Freeze. The Exchange believes that the proposed manner of how it would process Limit Orders that do not participate in a Trading Halt Auction, but have a limit price within the applicable Auction Collars, in that such orders would roll into continuous trading, would remove impediments to and perfect the mechanism of a free and open market and a national market system. Such Limit Orders likely would not impact the pricing of post-auction trading and trigger another Trading Pause because the limit price of such orders would be within the same price range that trading would otherwise be permitted. The Exchange believes that the proposed amendments to enhance the Auction Imbalance Information to add the Auction Reference Price, the Auction Collar, the Book Clearing Price, the Far Clearing Price, the Imbalance Freeze Indicator, and the Auction Indicator would remove impediments to and perfect the mechanism of a free and open market and a national market E:\FR\FM\02NON1.SGM 02NON1 50906 Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices system because they are designed to promote additional transparency regarding the Exchange’s auctions by providing additional detail regarding what Auction Reference Price would be used in an auction, the Auction Collars applicable to such auction, additional information about potential pricing for such auction, and the status of the applicable auction. The Exchange believes that the proposed amendments to Rule 7.31E(a)(10)(A) to replace ‘‘truncated’’ with ‘‘rounded down’’ would remove impediments to and perfect the mechanism of a free and open market and a national market system because the proposed rule change is designed to promote clarity, consistency, and transparency in Exchange rules. Finally, the Exchange believes that the proposed changes are consistent with the Act because they are based on the rules of NYSE Arca without any substantive differences. asabaliauskas on DSKBBXCHB2PROD with NOTICES B. Self-Regulatory Organization’s Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. The Exchange believes that the proposed rule change is not designed to address any competitive issues, but rather, to achieve the Participants’ goal of more standardized processes across Primary Listing Exchanges in reopening trading following a Trading Pause, and facilitates the production of an equilibrium Reopening Price by centralizing the reopening process through the Primary Listing Exchange, which would also improve the accuracy of the reopening Price Bands. The Exchange believes that the proposed rule change reduces the burden on competition for market participants because it promotes a transparent and consistent process for reopening trading following a Trading Pause regardless of where a security may be listed. The Exchange further believes that the proposed rule change would not impose any burden on competition because they are designed to increase transparency regarding the Exchange’s Trading Halt Auction process while at the same time increasing the ability for offsetting interest to participate in an auction, which would assist in achieving pricing equilibrium for such an auction. VerDate Sep<11>2014 22:28 Nov 01, 2017 Jkt 244001 C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others No written comments were solicited or received with respect to the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action The Exchange has filed the proposed rule change pursuant to Section 19(b)(3)(A)(iii) of the Act 26 and Rule 19b–4(f)(6) thereunder.27 Because the proposed rule change does not: (i) Significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative prior to 30 days from the date on which it was filed, or such shorter time as the Commission may designate, if consistent with the protection of investors and the public interest, the proposed rule change has become effective pursuant to Section 19(b)(3)(A) of the Act and Rule 19b–4(f)(6)(iii) thereunder. A proposed rule change filed under Rule 19b–4(f)(6) 28 normally does not become operative prior to 30 days after the date of the filing. However, pursuant to Rule 19b–4(f)(6)(iii),29 the Commission may designate a shorter time if such action is consistent with the protection of investors and the public interest. At any time within 60 days of the filing of such 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. If the Commission takes such action, the Commission shall institute proceedings under Section 19(b)(2)(B) 30 of the Act to determine whether the proposed rule change should be approved or disapproved. 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: 26 15 U.S.C. 78s(b)(3)(A)(iii). CFR 240.19b–4(f)(6). 28 17 CFR 240.19b–4(f)(6). 29 17 CFR 240.19b–4(f)(6)(iii). 30 15 U.S.C. 78s(b)(2)(B). 27 17 PO 00000 Frm 00052 Fmt 4703 Sfmt 9990 Electronic Comments • Use the Commission’s Internet comment form (http://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SR– NYSEAMER–2017–30 on the subject line. Paper Comments • Send paper comments in triplicate to Brent J. Fields, Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549–1090. All submissions should refer to File Number SR–NYSEAMER–2017–30. 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. Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR–NYSEAMER–2017–30 and should be submitted on or before November 24, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.31 Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017–23826 Filed 11–1–17; 8:45 am] BILLING CODE 8011–01–P 31 17 E:\FR\FM\02NON1.SGM CFR 200.30–3(a)(12). 02NON1

Agencies

[Federal Register Volume 82, Number 211 (Thursday, November 2, 2017)]
[Notices]
[Pages 50898-50906]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-23826]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-81968; File No. SR-NYSEAMER-2017-30]


Self-Regulatory Organizations; NYSE American LLC; Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change To Amend 
Exchange Rule 7.10E To Exclude Trading Halt Auctions From Being 
Reviewed as Clearly Erroneous, Rule 7.11E To Conform to the Limit Up-
Limit Down NMS Plan, Rule 7.31E To Add a New Imbalance Only Order, and 
Rule 7.35E To Enhance the Information Available Before an Auction and 
Revise Procedures for Trading Halt Auctions

October 27, 2017.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given 
that on October 20, 2017, NYSE American LLC (``Exchange'' or ``NYSE 
American'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I, II, 
and III 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.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to amend Rule 7.35E to enhance the 
information available before an auction and revise its procedures for 
Trading Halt

[[Page 50899]]

Auctions, Rule 7.10E to exclude Trading Halt Auctions from being 
reviewed as clearly erroneous, Rule 7.31E to add a new Imbalance Only 
Order, and Rule 7.11E. The proposed rule change is available on the 
Exchange's Web site at www.nyse.com, at the principal office of the 
Exchange, and at the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the self-regulatory organization 
included statements concerning the purpose of, and basis for, the 
proposed rule change and discussed any comments it received on the 
proposed rule change. The text of those statements may be examined at 
the places specified in Item IV below. The Exchange has prepared 
summaries, set forth in sections A, B, and C below, of the most 
significant parts of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to amend Rule 7.35E (Auctions) to enhance the 
information available before an auction and revise its procedures for 
Trading Halt Auctions, Rule 7.10E to exclude Trading Halt Auctions from 
being reviewed as a clearly erroneous execution, Rule 7.31E (Orders and 
Modifiers) to add a new Imbalance Only Order, and Rule 7.11E (Limit 
Up--Limit Down Plan and Trading Pauses in Individual Securities Due to 
Extraordinary Market Volatility) to conform the rule to approved 
changes to the Regulation NMS Plan to Address Extraordinary Market 
Volatility (``Plan'').\4\
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    \4\ See Securities Exchange Act Release No. 80455 (April 13, 
2017), 82 FR 18519 (April 19, 2017) (File No. 4-631) (Order 
approving 13th Amendment to the Plan).
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Overview
    The Operating Committee for the Plan with input from the Advisory 
Committee to the Plan and staff of the Securities and Exchange 
Commission (``SEC'' or ``Commission''), identified a number of 
enhancements to the reopening process following a Trading Pause that 
have been addressed in a combination of an amendment to the Plan and 
amendments to the rules of the Primary Listing Exchanges.\5\ The 
Exchange is a Participant of the Plan and a member of the Operating 
Committee.
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    \5\ Unless otherwise specified, capitalized terms used herein 
have the same meaning as set forth in the Plan or in Exchange rules.
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    With respect to the Plan, the Participants amended the Plan to 
provide that a Trading Pause will continue until the Primary Listing 
Exchange reopens trading using its established reopening procedures and 
reports a Reopening Price.\6\ With LULD Amendment 12, the Participants 
eliminated the current allowance for a trading center to resume trading 
in an NMS Stock following a Trading Pause if the Primary Listing 
Exchange has not reported a Reopening Price within ten minutes after 
the declaration of a Trading Pause and has not declared a Regulatory 
Halt. In addition, to close any gaps of potential scenarios when 
trading may resume without Price Bands, LULD Amendment 12 provides that 
a trading center may not resume trading in an NMS Stock following a 
Trading Pause without Price Bands in such NMS Stock. To address 
potential scenarios of when there may not be a Reopening Price from the 
Primary Listing Exchange from which to calculate Price Bands, LULD 
Amendment 12 further addresses when trading may resume if the Primary 
Listing Exchange is unable to reopen due to a systems or technology 
issue and how the Reference Price would be determined either under such 
circumstances or if the Primary Listing Exchange reopens trading on a 
zero bid or zero quote, or both.
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    \6\ See Securities Exchange Act Release No. 79845 (January 19, 
2017), 82 FR 8551 (January 26, 2017) (File No. 4-631) (Order 
approving the twelfth amendment to the Plan (``LULD Amendment 
12'')).
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    In connection with LULD Amendment 12, the Participants agreed on a 
standardized approach for how the Primary Listing Exchanges should 
conduct certain aspects of an automated reopening following a Trading 
Pause. Specifically, because trading centers will not be permitted to 
resume trading in an NMS Stock until there is a Reopening Price, the 
Participants believe it is appropriate for the Primary Listing 
Exchanges to adopt uniform standards for determining whether and when 
to conduct such automated reopenings, including what price collar 
thresholds would be applicable to such automated reopenings and how to 
provide for extensions of when a reopening auction would be conducted. 
The goal of such changes is to ensure that all Market Order interest 
could be satisfied in an automated reopening auction.
    More specifically, the Participants have agreed that if there is an 
imbalance of market orders, or if the Reopening Price would be outside 
of specified price collar thresholds, the Trading Pause would be 
extended an additional five minutes in order to provide additional time 
to attract offsetting liquidity. If at the end of such extension, 
Market Orders still cannot be satisfied within price collar thresholds 
or if the reopening auction would be priced outside of the applicable 
price collar thresholds, the Primary Listing Exchange would extend the 
Trading Pause an additional five minutes. With each such extension, the 
Participants have agreed that it would be appropriate to widen the 
price collar threshold on the side of the market on which there is 
buying or selling pressure.
    With respect to price collar thresholds, the Participants have 
agreed that the reference price for calculating price collar thresholds 
would be the price of the limit state that preceded the Trading Pause, 
i.e., either the Lower or Upper Price Band price. For NMS Stocks priced 
more than $3.00,
     if there is selling pressure, the lower collar for the 
auction would be the Lower Price Band minus five percent and the upper 
collar would be the Upper Price Band;
     if there is buying pressure, the upper collar for the 
auction would be the Upper Price Band plus five percent and the lower 
collar would be the Lower Price Band.
    For each extension, the collars would be widened an additional five 
percent, but only on the side of the imbalance.\7\ The Participants 
believe that widening collars only in the direction of the imbalance 
would address issues relating to the concept of mean reversion.
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    \7\ For NMS Stocks that are priced $3.00 and under, the price 
collar threshold would be $0.15.
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    Finally, the Participants have agreed that the proposed new 
procedures for reopening trading following a Trading Pause reduces the 
potential that an order or orders entered by one or more ETP Holders 
caused such execution to be clearly erroneous. Specifically, the 
Participants believe that the proposed standardized procedures for 
reopening trading following a Trading Pause incorporates a methodology 
that allows for widened collars, which may result in a reopening price 
away from prior trading prices, but which reopening price would be a 
result of a measured and transparent process that eliminates the 
potential that such trade would be considered erroneous.
    As a Primary Listing Exchange, the Exchange proposes to amend Rule 
7.35E to implement the proposed uniform trading practices with respect 
to

[[Page 50900]]

reopening a security following a Trading Pause, as described above. In 
addition, the Exchange proposes to implement changes for automated 
reopenings following a market-wide circuit breaker under Rule 7.12E and 
any regulatory halts triggered in an Exchange-listed security. The 
Exchange further proposes to amend Rule 7.10E to preclude ETP Holders 
from requesting a review of a Trading Halt Auction as a clearly 
erroneous execution. Finally, in connection with these proposed 
changes, the Exchange proposes additional enhancements to its auction 
processes, including adding a new Imbalance Only Order, an Auction 
Freeze period before a Trading Halt Auction, and enhanced information 
to be disseminated before an auction.
    The proposed rule changes are based on the rules of its affiliated 
exchange, NYSE Arca, Inc. (``NYSE Arca''), without any substantive 
differences.\8\
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    \8\ See Securities Exchange Act Release Nos. 79846 (January 19, 
2017), 82 FR 8548 (January 26, 2017) (SR-NYSEArca-2016-130) 
(Approval Order) (``NYSE Arca Trading Halt Auction Filing'') and 
81603 (September 13, 2017), 82 FR 43609 (September 18, 2017) (SR-
NYSEArca-2017-102) (Notice of filing and immediate effectiveness of 
proposed rule change).
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Uniform Primary Listing Exchange Proposed Rule Changes.
    To effect the proposed enhancements that will be implemented by all 
Primary Listing Exchanges, the Exchange proposes to add new sub-
paragraphs (5)-(10) to Rule 7.35E(e), which governs Trading Halt 
Auctions, re-number current Rule 7.35E(e)(5) as new Rule 7.35E(e)(11), 
and amend Rule 7.35E(e)(2). The Exchange proposes to implement these 
changes for all Trading Halt Auctions. The proposed standardized 
trading practices agreed upon by the Operating Committee are intended 
for Trading Halt Auctions following a trading pause under Rule 7.11E. 
However, the Exchange believes that these proposed procedures would be 
beneficial following all halts, including regulatory halts and halts 
due to extraordinary market volatility. The proposed rule changes are 
based on NYSE Arca Rule 7.35-E(e) without any substantive differences.
    Rule 7.35E(e)(2) currently provides that after trading in a 
security has been halted or paused, the Exchange will disseminate the 
estimated time at which trading in that security will re-open (``Re-
Opening Time''). The Exchange proposes to add to this rule that the 
initial Re-Opening Time for a Trading Halt Auction following a trading 
pause under Rule 7.11E (``Trading Pause'') or trading halt due to 
extraordinary market volatility under Rule 7.12E (``MWCB Halt'') will 
be at the scheduled end of the Trading Pause or MWCB Halt. This 
proposed rule text clarifies that for Trading Pauses and MWCB Halts, 
the length of the initial pause or halt period is as specified in those 
rules. As specified in the Plan, the scheduled end of the Trading Pause 
is five minutes after a Trading Pause has been declared. As specified 
in Rule 7.12E(b), the scheduled end of a Level 1 or Level 2 Market 
Decline is 15 minutes. If there is a Level 3 Market Decline, the 
Exchange will not re-open.
    Proposed Rule 7.35E(e)(5) would provide that a Trading Halt Auction 
would not be conducted if the Indicative Match Price, before being 
adjusted based on Auction Collars, is below (above) the Lower (Upper) 
Auction Collar or if there is a sell (buy) Market Imbalance, either of 
which would be defined as an ``Impermissible Price.'' \9\ This proposed 
rule text would implement the proposed standardized enhancement that 
the Exchange would not conduct a Trading Halt Auction if there are 
either unsatisfied Market Orders, or if the Indicative Match Price 
would be outside the applicable Auction Collars.
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    \9\ The term ``Indicative Match Price'' is defined in Rule 
7.35E(a)(8) to mean the best price at which the maximum volume of 
shares, including the non-displayed quantity of Reserve Orders, is 
tradable in the applicable auction, subject to Auction Collars. For 
purposes of proposed Rule 7.35E(e)(5), the Indicative Match Price 
would not be calculated subject to Auction Collars. The term 
``Auction Collars'' is defined in Rule 7.35E(a)(10) to mean the 
price collar thresholds for the Indicative Match Price for the Core 
Open Auction, Trading Halt Auction, or Closing Auction. The term 
``Market Imbalance'' is defined in Rule 7.35E(a)(7)(B) means the 
imbalance of any buy (sell) Market Orders that are not matched for 
trading in the applicable auction.
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    Extensions: Proposed Rule 7.35E(e)(6) would specify the 
circumstances when the Exchange would extend the Re-Opening Time for a 
Trading Halt Auction, as follows:
     Proposed Rule 7.35E(e)(6)(A) would provide that, if there 
is an Impermissible Price at the initial Re-Opening Time, the pause or 
halt would be extended an additional five minutes and a new Re-Opening 
Time would be disseminated, which would be referred to as the ``First 
Extension.'' The proposed rule would further provide that the Exchange 
would not conduct a Trading Halt Auction before the Re-Opening Time for 
the First Extension. As such, if the Exchange disseminates a First 
Extension, consistent with the Plan in effect before LULD Amendment 12, 
which provides that if the Primary Listing Exchange does not reopen, 
trading centers may not resume trading until ten minutes after the 
beginning of the Trading Pause, the Trading Pause would continue for 
ten minutes and trading would not resume before that ten-minute marker.
     Proposed Rule 7.35E(e)(6)(B) would provide that if there 
is an Impermissible Price at the end of the First Extension, the pause 
or halt would be extended an additional five minutes and a new Re-
Opening Time would be disseminated (``Subsequent Extension''). As 
further proposed, the Exchange would conduct a Trading Halt Auction 
before the Re-Opening Time for a Subsequent Extension if the Indicative 
Match Price, before being adjusted based on Auction Collars, would be 
within the applicable Auction Collars and there is no Market Imbalance. 
This proposed change would implement the Participant's proposal that 
for Subsequent Extensions, if equilibrium of prices is reached, the 
Exchange would conduct the Trading Halt Auction immediately and would 
not extend the Trading Pause any further.
     Proposed Rule 7.35E(e)(6)(C) would provide that the 
trading pause or halt would continue to be extended if there is an 
Impermissible Price at the Re-Opening Time for a Subsequent Extension. 
This proposed rule text makes clear that a halt or pause would continue 
to be extended until a Trading Halt Auction can be conducted, as 
provided for in proposed Rule 7.35E(e)(5).
    Auction Collars: Proposed Rule 7.35E(e)(7) would describe how 
Auction Collars would function for Trading Halt Auctions. As provided 
for in Rule 7.35E(a)(10), Auction Collars mean the price collar 
thresholds for the Indicative Match Price for the Core Open Auction, 
Trading Halt Auction, or Closing Auction. Currently, the price collar 
thresholds for the Trading Halt Auction are the greater of $0.50 or 10% 
away from the Auction Reference Price. These price collar thresholds 
are in effect until a proposed rule change based on the NYSE Arca 
Trading Halt Auction Filing is effective and operative.
    The Exchange proposes that the price collar threshold for Auction 
Collars for securities with an Auction Reference Price above $3.00 
would be the Auction Reference Price multiplied by five percent. The 
price collar threshold for securities with an Auction Reference Price 
$3.00 and below would be $0.15. This value would be defined as the 
``Price Collar Threshold.'' For securities priced above $3.00, once 
calculated, the Price Collar Threshold would be applicable for each 
Subsequent Extension, described below. For securities with an Auction 
Reference

[[Page 50901]]

Price of $3.00 and under, the Price Collar Threshold would be a static 
$0.15 for each Subsequent Extension. The Exchange believes that using a 
5 percent multiplier for stocks priced $3.00 or less would result in 
too narrow of an Auction Collar. Similar to the Plan, which provides 
for wider percentage parameters for stocks priced $3.00 or less, the 
Exchange proposes a wider Price Collar Threshold for stocks with an 
Auction Reference Price of $3.00 or less.
    The Exchange believes that the proposed Price Collar Thresholds are 
designed to align the Auction Collars with the existing percentage 
parameters as specified in the Plan. The Exchange proposes to use the 
single 5% threshold for all securities priced above $3.00 and $0.15 for 
all securities priced $3.00 or less, and not apply a separate 
percentage parameter based on the tiers specified in the Plan, because 
the Exchange believes it would be simpler and more transparent. 
Moreover, the Exchange believes that because the proposed rule changes 
would provide for the widening of collars, and would prevent trades at 
an Impermissible Price, the specific size of the Price Collar Threshold 
becomes less meaningful. For example, if the Market Imbalance is so 
large that the proposed five percent price collar threshold is too 
narrow to permit a Trading Halt Auction, the proposed extensions and 
widening of Auction Collars, as described below, would provide for a 
measured manner by which the collars would be widened either to permit 
a trade at a permissible price or to attract additional offsetting 
interest. If, at a later date, the Plan is amended and the applicable 
tiers and percentage parameters are adjusted, the Exchange will 
reevaluate the Price Collar Thresholds for Trading Halt Auctions and if 
they should be changed, will file a separate proposed rule change.
    Because the Price Collar Thresholds for Auction Collars applicable 
to a Trading Halt Auction would be specified in proposed Rule 
7.35E(e)(7), the Exchange proposes to amend Rule 7.35E(a)(10)(A) to 
specify that the Auction Collar price thresholds specified in that rule 
would be applicable to the Core Trading and Closing Auctions only. The 
Exchange further proposes to delete the following text: ``*The price 
collar thresholds specified in this paragraph applicable to Trading 
Halt Auctions are in effect until proposed rule change based on SR-
NYSEArca-2016-130 for the Exchange is effective and operative.'' The 
Exchange believes that proposed Rule 7.35E(e)(7) obviates the current 
price collar thresholds specified for Trading Halt Auctions, which were 
adopted on an interim basis pending the outcome of the review that 
resulted in LULD Amendment 12 and standardized trading practices among 
the Primary Listing Exchanges for how to resume trading following a 
Trading Pause.
    Trading Halt Auction Reference Price: Proposed Rule 7.35E(e)(7)(A) 
would specify the Auction Reference Price that would be used for a 
Trading Halt Auction following a Trading Pause. As provided for in Rule 
7.35E(a)(8)(A), the Auction Reference Price for the Trading Halt 
Auction is the last consolidated round-lot price of that trade day, and 
if none, the prior day's Official Closing Price. As proposed, the 
Auction Reference Price for a Trading Halt Auction following a Trading 
Pause would be determined as follows: If the Limit State that preceded 
the Trading Pause was at the Lower (Upper) Price Band, the Auction 
Reference Price would be the Lower (Upper) Price Band. This proposed 
change implements the standardized enhancement to use the Limit State 
price as the Auction Reference Price for a Trading Halt Auction 
following a Trading Pause.
    The Exchange proposes to make a related change to Rule 
7.35E(a)(8)(A) to amend the chart that specifies Auction Reference 
Prices for the Trading Halt Auction. As proposed, the Exchange would 
add the clause ``except as provided for in Rule 7.35E(e)(7)(A)'' to 
specify that the Auction Reference Price would be determined under that 
subparagraph of the rule instead of the Auction Reference Price 
specified in Rule 7.35E(a)(8)(A). For a Trading Halt Auction following 
a MWCB Halt or regulatory halt, the Auction Reference Price would 
continue to be as specified in Rule 7.35E(a)(8)(A).
    Initial Auction Collars: Proposed Rule 7.35E(e)(7)(B) would specify 
the Auction Collars if a Trading Halt Auction is conducted at the 
initial Re-Opening Time. Currently, as provided for in Rule 
7.35E(a)(10)(A), the upper (lower) boundary of Auction Collars is the 
Auction Reference Price increased (decreased) by the specified 
percentage. As such, the price collar thresholds are applied on both 
sides of the Auction Reference Price. The Exchange proposes to modify 
how Auction Collars are calculated as proposed:
     Proposed Rule 7.35E(e)(7)(B)(i) would specify how Auction 
Collars would be determined for a Trading Halt Auction following a 
Trading Pause. As proposed, if the Auction Reference Price is the Lower 
(Upper) Price Band, the lower (upper) Auction Collar would be the 
Auction Reference Price decreased (increased) by the Price Collar 
Threshold, rounded down to the nearest MPV,\10\ and the upper (lower) 
Auction Collar would be the Upper (Lower) Price Band. This proposed 
rule implements the proposed standardized trading practice that, for 
Trading Halt Auctions following a Trading Pause, the Auction Collars 
should be widened only in the direction of the trading that invoked the 
Trading Pause. For example, if a Trading Pause is triggered following a 
Limit State at the Lower Price Band, this would indicate selling 
pressure in that NMS Stock. Accordingly, the proposed lower boundary 
Auction Collar would be widened by subtracting the Price Collar 
Threshold from the Auction Reference Price, i.e., the Lower Price Band. 
To address the concept of mean reversion, i.e., that prices may revert 
back to the mean or average price of the NMS Stock, and to avoid a 
security from trading outside of where it would have been permitted to 
trade before the Trading Pause, the Exchange proposes that the Auction 
Collar on the opposite side of the trading pressure should be the Price 
Band in place before the Trading Pause was triggered. Taking the above 
example, the Upper Auction Collar would therefore be the Upper Price 
Band. This way, if during the trading pause, the selling pressure 
reverses and becomes buying pressure, the Auction Collars would not 
permit a trade higher than would have been permitted under the Price 
Bands before the Trading Pause.
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    \10\ See Rules 7.6E and 7.46E (specifying the minimum price 
variation (``MPV'') for quoting and entry of orders).
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     Proposed Rule 7.35E(e)(7)(B)(ii) would specify how Auction 
Collars would be determined for a Trading Halt Auction following a MWCB 
Halt or regulatory halt. In this case, because there would not be a 
security-specific pricing direction reason for the halt, the Exchange 
proposes that the Price Collar Threshold would be applied on both sides 
of the Auction Reference Price. Accordingly, for stocks priced above 
$3.00, the upper (lower) boundary of the Auction Collar would be the 
Auction Reference Price (as defined in Rule 7.35E(a)(8)(A)), plus 
(minus) the Auction Reference Price multiplied by 5%. For stocks priced 
$3.00 and under, the upper (lower) boundary of the Auction Collar would 
be the Auction Reference Price (as defined in Rule 7.35E(a)(8)(A)), 
plus (minus) $0.15. For Trading Halt Auctions following a MWCB Halt or 
regulatory halt, if the Price Collar Threshold calculation results in a 
price that is not in the applicable MPV for the security, the

[[Page 50902]]

Exchange proposes to round down to the nearest price in the applicable 
MPV.
    Auction Collar for Extensions: Proposed Rule 7.35E(e)(7)(C) would 
specify how the Exchange would adjust Auction Collars for each 
Extension. As proposed, the Auction Collar on the side of the 
Impermissible Price would be widened for each Extension. In other 
words, if the Indicative Match Price is at or below the lower Auction 
Collar for the initial Re-Opening Time or there is a sell Market 
Imbalance, the Exchange would widen only the lower Auction Collar. As 
further proposed, the Auction Collar on the opposite side of the 
Impermissible Price would remain the same as the last-calculated 
Auction Collar on that side. Thus, in the case of selling pressure that 
would result in an Auction Extension, the upper Auction Collar would 
remain as the last Upper Price Band.
     Proposed Rule 7.35E(e)(7)(C)(i) would further provide that 
if the Impermissible Price is on the side of the Lower (Upper) Auction 
Collar, the last-calculated Lower (Upper) Auction Collar would be 
decreased (increased) by a Price Collar Threshold and the Upper (Lower) 
Auction Collar would stay the same.
     To address the concept of mean reversion, proposed Rule 
7.35E(e)(7)(C)(ii) would provide that if the side of the Impermissible 
Price changes from the Lower (Upper) Auction Collar to the Upper 
(Lower) Auction Collar, the last-calculated Upper (Lower) Auction 
Collar would be widened for that Extension and the last-calculated 
Lower (Upper) Auction Collar will remain the same. Therefore, if, 
during an Extension, the directional trading pressure switches from 
sell to buy, the upper Auction Collar would be widened, and the last-
Lower Auction Collar would remain the same.
    Proposed Rules 7.35E(e)(8) and (9) would specify the Exchange's 
proposed handling of orders for a Trading Halt Auction, which are 
discussed in greater detail below.
    Proposed Rule 7.35E(e)(10) would specify what the Exchange would do 
if a Re-Opening Time for a Trading Pause would be in the last ten 
minutes of trading before the end of Core Trading Hours. The 
Participants have amended the Plan to provide that if an NMS Stock is 
in a Trading Pause during the last ten minutes of trading before the 
end of Regular Trading Hours, the Primary Listing Exchange would not 
reopen trading and would attempt to execute a closing transaction using 
its established closing procedures.\11\ To implement LULD Amendment 12, 
proposed Rule 7.35E(e)(10) would provide that, if the Re-Opening Time 
for a Trading Halt Auction is in the last ten minutes of trading before 
the end of Core Trading Hours, the Exchange would not conduct a Trading 
Halt Auction in that security and would not transition to continuous 
trading. Instead, the Exchange would remain paused and would conduct a 
Closing Auction in such security as provided for in Rule 7.35E(d).
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    \11\ See supra note 5.
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    In such circumstances, as specified in proposed Rule 
7.35E(e)(10)(A), MOO Orders, LOO Orders, and IO Orders (described 
below) entered during the pause would not participate in the Closing 
Auction and would be cancelled. The Exchange proposes to add this rule 
text to provide transparency to ETP Holders of how orders that are 
designated to participate in a Trading Halt Auction only would be 
processed if the Exchange transitions to a Closing Auction without 
conducting that Trading Halt Auction. The Exchange believes this 
proposed rule text would provide notice for ETP Holders to enter 
closing-only interest, i.e., MOC or LOC Orders, to participate in the 
Closing Auction.
    In addition, as specified in proposed Rule 7.35E(e)(10)(B), the 
Auction Collars for the Closing Auction for such security would be the 
most recently widened Auction Collars for the Trading Halt Auction that 
did not occur. Currently, the Auction Collars for Closing Auctions are 
the greater of $0.50 or 10% away from the Auction Reference Price. The 
Exchange believes that if the Exchange goes directly from an unresolved 
Trading Pause, MWCB Halt, or regulatory halt in an NMS Stock to a 
Closing Auction, the price collar thresholds applicable to the Closing 
Auction would result in Auction Collars that do not correlate to the 
trading condition for that NMS Stock.
    The Exchange proposes to make a related amendment to Rule 
7.35E(a)(10)(A) to add the clause ``except as provided for in Rule 
7.35E(e)(10)(B)''. This proposed rule text makes clear that the price 
collar thresholds for a Closing Auction are defined in Rule 
7.35E(a)(10)(A), except as provided for in proposed Rule 
7.35E(e)(10)(B).
    The Exchange proposes to amend Rule 7.10E(a) to provide that ETP 
Holders may not request a review of a Trading Halt Auction under Rule 
7.10E(b), which specifies the procedures for an ETP Holder to request a 
review of an execution, as clearly erroneous. The Exchange believes 
that this proposed rule text would implement the proposed standardized 
trading practice that reopening auctions would not be eligible for 
review by ETP Holders as a clearly erroneous execution.\12\
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    \12\ The Participants will be engaging in a more comprehensive 
review of Rule 7.10E in connection with amendments to the Plan 
relating to tiering of securities and applicable percentage 
parameters. The Exchange proposes to make this limited amendment to 
Rule 7.10E as an initial step to eliminating its clearly erroneous 
executions rules in their current form.
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    Finally, the Exchange proposes to amend Rule 7.11E to delete 
obsolete rule text and conform the remaining rule text to LULD 
Amendment 12, as described above. First, the Exchange proposes to amend 
Rule 7.11E(b) to delete the second and third sentences of this 
paragraph as inconsistent with LULD Amendment 12, described above.\13\ 
Second, the Exchange proposes to renumber current Rule 7.11E(b)(1) as 
proposed Rule 7.11E(b)(2) and amend the text to provide that if a 
primary listing market issues a Trading Pause, the Exchange would 
resume trading as provided for in Rule 7.18E(a).\14\ This proposed 
amendment is consistent with LULD Amendment 12, described above. 
Finally, the Exchange proposes to add new Rule 7.11E(b)(1) to provide 
that if a Trading Pause is triggered under this Rule or if the Exchange 
is unable to reopen trading at the end of the Trading Pause due to a 
systems or technology issue, the Exchange would immediately notify the 
single plan processor responsible for consolidation of information for 
the security pursuant to Rule 603 of Regulation NMS under the 
Securities Exchange Act of 1934. This proposed rule text is based on 
NYSE Arca Rule 7.11-E(b)(1) and is consistent with LULD Amendment 
12.\15\
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    \13\ The text that the Exchange would delete provides that 
``[i]n the event of a significant imbalance at the end of a Trading 
Pause, the Corporation may delay the re-opening of a security. The 
Exchange will issue a notification if it cannot resume trading for a 
reason other than a significant imbalance.''
    \14\ Rule 7.18E(a) provides that if the UTP Listing Market 
declares a UTP Regulatory Halt, which includes a Trading Pause, the 
Exchange will halt trading until it receives the first Price Band in 
that security. Accordingly, following a Trading Pause declared by 
another Primary Listing Market, the Exchange already waits to 
receive Price Bands before it resumes trading in that UTP Security. 
The Exchange proposes to delete the current rule text in Rule 
7.11E(b)(1) that provides that the Exchange will ``pause trading in 
that security until trading has resumed on the primary listing 
market or notice has been received from the primary listing market 
that trading may resume. If the primary listing market does not 
reopen the security within 10 minutes of notification of a Trading 
Pause, the Exchange may resume trading the security.''
    \15\ See NYSE Arca Trading Halt Auction Filing, supra note 8.
---------------------------------------------------------------------------

Other Proposed Rule Changes
    IO Order: The Exchange proposes to add a new order type, an 
Imbalance

[[Page 50903]]

Only (``IO'') Order, that would be eligible to participate in Trading 
Halt Auctions only. The Exchange proposes to amend Rule 7.31E(c), which 
specifies the Exchange's Auction-Only Order types, to add new 
subsection (5) to describe an IO Order. As proposed, an IO Order would 
be a Limit Order to buy (sell) that is to be traded only in a Trading 
Halt Auction.
    Proposed Rule 7.31E(c)(5)(A) would provide that an IO Order would 
be accepted only during a halt or pause, including any extensions. This 
proposed rule text is consistent with the Exchange's current rules that 
MOO or LOO Orders designated to participate in a Trading Halt Auction 
will be accepted only during the trading halt that precedes such 
Trading Halt Auction.\16\
---------------------------------------------------------------------------

    \16\ See Rule 7.31E(c)(1) and (2).
---------------------------------------------------------------------------

    Proposed Rule 7.31E(c)(5)(B) would provide that an IO Order would 
participate in a Trading Halt Auction only if: (i) There is an 
imbalance in the security on the opposite side of the market from the 
IO Order after taking into account all other orders eligible to trade 
at the Indicative Match Price; and (ii) the limit price of the IO Order 
to buy (sell) would be at or above (below) the Indicative Match Price. 
Proposed Rule 7.31E(c)(5)(C) would provide that the working price of an 
IO Order to buy (sell) would be adjusted to be equal to the Indicative 
Match Price, provided that the working price of the IO Order would not 
be higher (lower) than its limit price. Finally, proposed Rule 
7.31E(c)(5)(D) would provide that an IO Order that participates in a 
Trading Halt Auction would be ranked in time priority among IO Orders 
after all other orders eligible to participate in the auction have been 
allocated. The proposed IO Order is based on the IO Order offered by 
NYSE Arca.\17\
---------------------------------------------------------------------------

    \17\ See NYSE Arca Rule 7.31-E(c)(5).
---------------------------------------------------------------------------

    For example, assume for a Trading Halt Auction that the lower 
boundary of an Auction Collar is $10.00. Assume further that after 
allocating all other orders eligible to participate in the Trading Halt 
Auction, there is a sell Total Imbalance of 10,000 shares and absent 
Auction Collars, the Indicative Match Price would be below $10.00. As 
provided for in Rule 7.35E(a)(10)(B), once the Auction Collars are 
applied, the Indicative Match Price for that Trading Halt Auction would 
be $10.01 (i.e., one MPV above the lower Auction Collar). Assume now 
there are seven IO Orders to buy, each for 2,000 shares, with limit 
prices of $10.00, $10.01, $10.02, $10.03, $10.04, $10.05 and $10.06, 
and they are entered in that order. In this scenario, the IO Order to 
buy with a limit price of $10.00 would not be eligible to participate, 
because the $10.01 Indicative Match Price is higher than the limit 
price of the order. The remaining six IO Orders to buy would be 
assigned a working price of $10.01. However, because the IO Order with 
a limit price of $10.06 was entered last in time, it would not 
participate in the Trading Halt Auction.
    Auction Imbalance Freeze: The Exchange proposes to add an Auction 
Imbalance Freeze before a Trading Halt Auction. As defined in Rule 
7.35E(a)(3), the Auction Imbalance Freeze means the period that begins 
before the scheduled time for the Early Open Auction, Core Open 
Auction, or Closing Auction, as specified in paragraphs (b), (c), and 
(d) of Rule 7.35E, and that ends once the Auction Processing Period 
begins. To effect the proposed rule change, the Exchange proposes to 
add a reference to Trading Halt Auction and Rule 7.35E(e) to Rule 
7.35E(a)(3).
    Proposed Rule 7.35E(e)(8) would describe how the Trading Halt 
Auction Imbalance Freeze would function. As proposed, the Trading Halt 
Auction Imbalance Freeze would begin five seconds before the Re-Opening 
Time, including Re-Opening Times for each Extension. The Exchange 
proposes to use the same period of time for the Trading Halt Auction 
Imbalance Freeze, five seconds, as provided for in Rule 7.35E(c)(3) for 
the Core Open Auction. Specifically, the Exchange believes that the 
proposed five-second time period strikes the appropriate balance for 
providing sufficient time for market participants to enter and cancel 
orders before the Trading Halt Auction while at the same time having a 
short period for any imbalance to stabilize before the auction is 
conducted. The rule would further provide that if a pause or halt is 
extended, the Trading Halt Auction Imbalance Freeze for the prior 
period would end, new orders and order instructions received during the 
prior period's Trading Halt Auction Imbalance Freeze would be 
processed, and the Exchange would accept new order entry and 
cancellation as provided for in Rule 7.18E(c) until the next Trading 
Halt Auction Imbalance Freeze. In other words, if at the Re-Opening 
Time, the Exchange extends the Trading Pause for five minutes, the 
restrictions on order entry and cancellation from the prior freeze 
would no longer be in effect, and any order instructions that were not 
processed will be processed.
    The proposed rule would further provide how order entry and 
cancellation during the Trading Halt Auction Imbalance Freeze would be 
processed:
     As proposed in Rule 7.35E(e)(8)(A), MOO Orders and LOO 
Orders that are on the same side as the Imbalance, would flip the 
Imbalance, or would create a new Imbalance would be rejected. This 
proposed rule text is based on how MOC Orders and LOC Orders are 
processed during the Closing Auction Imbalance Freeze, as described in 
Rule 7.35E(d)(2)(A).
     As proposed in Rule 7.35E(e)(8)(B), Market Orders (other 
than MOO Orders) and Limit Orders would be accepted but would not be 
included in the calculation of the Indicative Match Price or the 
Trading Halt Auction Imbalance Information.\18\ Such orders would 
participate in the Trading Halt Auction only to offset the Imbalance 
that would be remaining after all orders entered before the Trading 
Halt Auction Imbalance Freeze, including the non-display quantity of 
Reserve Orders, are allocated in the Trading Halt Auction, and would be 
allocated in price-time priority under Rule 7.36E(c)-(g) consistent 
with the priority ranking associated with each order and ahead of any 
IO Orders. This proposed rule text is based on how Market Orders (other 
than MOO Orders) and Limit Orders that are entered during the Core Open 
Auction Imbalance Freeze, as described in Rule 7.35E(c)(3)(B). As such, 
these orders would participate in the Trading Halt Auction only to 
offset the final Imbalance for the auction. Such orders would be ranked 
in price-time priority after all other orders, except for IO Orders, 
have been allocated. Because the Exchange would be accepting IO Orders 
for the Trading Halt Auction and because IO Orders do not participate 
until all other eligible interest has been allocated, the Exchange 
proposes a substantive difference from the rule governing the Core Open 
Auction to address how IO Orders would be processed relative to Market 
Orders (other than MOO Orders) or Limit Orders entered during the 
Trading Halt Auction Imbalance Freeze. As proposed, IO Orders would not 
be allocated until Market Orders (other than MOO Orders) and Limit 
Orders entered during the Trading Halt Auction Imbalance Freeze have 
been allocated.
---------------------------------------------------------------------------

    \18\ Rule 7.35E(a) provides that unless otherwise specified, 
references to the term ``Market Orders'' in Rule 7.35E also includes 
MOO Orders. Proposed Rule 7.35E(e)(8)(B) is an example of when the 
Exchange proposes that the term Market Orders would not include MOO 
Orders. By contrast, in Rule 7.35E, Limit Orders are distinct from 
LOO Orders and therefore the reference to Limit Orders in proposed 
Rule 7.35E(e)(8)(B) would not include LOO Orders.
---------------------------------------------------------------------------

     Proposed Rule 7.35E(e)(8)(C) would provide that requests 
to cancel and requests to cancel and replace Market

[[Page 50904]]

Orders, LOO Orders, Limit Orders, and IO Orders would be accepted but 
not processed until either after the Trading Halt Auction concludes, as 
provided for in Rule 7.35E(h), or if a pause or halt is extended, when 
the Trading Halt Auction Imbalance Freeze for the prior period 
ends.\19\ This proposed rule text is based on Rule 7.35E(c)(3)(C) 
governing which order instructions will be accepted but not processed 
during the Core Open Auction Imbalance Freeze. The Exchange proposes a 
substantive difference to reference how requests to cancel IO Orders 
would be processed if received during the freeze period.
---------------------------------------------------------------------------

    \19\ Because they are not specifically excluded, the reference 
to Market Orders in proposed Rule 7.35E(e)(8)(C) would include MOO 
Orders.
---------------------------------------------------------------------------

     Finally, proposed Rule 7.35E(e)(8)(D) would provide that 
all other order instructions would be accepted. This proposed rule text 
is based on Rules 7.35E(c)(3)(D) and (d)(2)(C), without any 
differences.
    Unexecuted Limit Orders: The Exchange proposes to specify how it 
would process Limit Orders that do not participate in the Trading Halt 
Auction. As discussed above, an Impermissible Price would occur if 
there is a Market Imbalance or if the Indicative Match Price were at or 
outside the specified Price Collar Thresholds. However, if the 
Indicative Match Price were within the specified Price Collar 
Thresholds and there is no Market Imbalance, it is still possible to 
have an imbalance of Limit Orders within the Auction Collars. In such 
case, the Exchange proposes to transition such unexecuted Limit Orders 
to continuous trading. The Exchange believes that because such Limit 
Orders would have a limit price within the Auction Collars, having such 
Limit Orders transition to continuous trading would not have 
significant pricing impact on post-Trading Halt Auction trading. 
Accordingly, proposed Rule 7.35E(e)(9) would provide that any Limit 
Orders that were eligible to participate in the Trading Halt Auction, 
but did not participate, would transition to continuous trading as 
provided for in paragraph (h) of this Rule.
    Auction Imbalance Information: The Exchange proposes to enhance the 
Auction Imbalance Information. Rule 7.35E(a)(4) defines Auction 
Imbalance Information as the information that is disseminated by the 
Exchange for an auction and includes, if applicable, the Total 
Imbalance, Market Imbalance, Indicative Match Price, and Matched 
Volume.\20\ The Exchange proposes to enhance the Auction Imbalance 
Information to include the following additional information: Auction 
Reference Price, Auction Collar, Book Clearing Price, Far Clearing 
Price, Imbalance Freeze Indicator, and Auction Indicator. The Auction 
Reference Price is defined in Rule 7.35E(a)(8)(A) and proposed Rule 
7.35E(e)(7)(A), described above. The Auction Collar is defined in Rule 
7.35E(a)(10) and proposed Rules 7.35E(e)(7) and (e)(10)(B), described 
above. The Exchange proposes to define the additional terms as follows:
---------------------------------------------------------------------------

    \20\ See Rule 7.35E(a)(7) (defining the terms Total Imbalance 
and Market Imbalance); 7.35E(a)(8) (defining the term Indicative 
Match Price); and 7.35E(a)(9) (defining the term Matched Volume).
---------------------------------------------------------------------------

     Proposed Rule 7.35E(a)(11) would define the term ``Book 
Clearing Price'' to mean the price at which all interest eligible to 
participate in an auction could be traded if not subject to an Auction 
Collar. The rule would further provide that the Book Clearing Price 
would be zero if a sell (buy) imbalance cannot be filled by any buy 
(sell) orders. For example, if there are only sell orders and no buy 
orders, the Book Clearing Price would be zero.
     Proposed Rule 7.35E(a)(12) would define the term ``Far 
Clearing Price'' to mean the price at which Auction-Only Orders could 
be traded within the Auction Collar. Auction-Only Orders are defined in 
Rule 7.31E(c).
     Proposed Rule 7.35E(a)(13) would define the term ``Auction 
Indicator'' to mean an indicator of whether an auction could be 
conducted, based on the applicable Auction Collar and Imbalance. This 
information would be relevant for the Trading Halt Auction and provide 
transparency regarding whether a Trading Pause, MWCB Halt, or 
regulatory halt would be eligible to be conducted. If an Auction 
Indicator is ``no,'' market participants would be on notice that 
submitting offsetting interest may reduce the possibility of the 
Exchange extending a Trading Halt Auction.
     Proposed Rule 7.35E(a)(14) would define the term 
``Imbalance Freeze Indicator'' to mean an indicator of whether a 
security is currently in an Auction Imbalance Freeze. This indicator 
would put market participants on notice of whether there are order 
entry and cancellation restrictions in place at any given time before 
an auction.
    Finally, the Exchange proposes to replace the word ``truncated'' 
with the words ``rounded down'' \21\ in Rule 7.35E(a)(10)(A). The 
Exchange believes that conforming the terminology used in Rules 7.31E 
\22\ and 7.35E promotes clarity and transparency.
---------------------------------------------------------------------------

    \21\ See Rule 7.46E(f)(2)(A), which provides that references to 
truncating to the MPV in Exchange rules instead mean rounding down 
to the applicable quoting MPV.
    \22\ See Rules 7.31E(a)(1)(B)(i) (providing that when 
calculating the Trading Collar, the specified percentage will be 
rounded down) and 7.31E(a)(2)(B) (providing that ``Limit Order Price 
Protection . . . will be rounded down to the nearest price at the 
applicable MPV'').
---------------------------------------------------------------------------

* * * * *
    The Exchange proposes to implement the proposed rule change at the 
same time that LULD Amendment 12 is implemented, which, subject to 
technology changes and the effectiveness of the extension for the 
implementation date for the LULD Amendment 12 changes, is anticipated 
to be in the fourth quarter of 2017.\23\ The Exchange will announce the 
implementation date via Trader Update.
---------------------------------------------------------------------------

    \23\ See Securities Exchange Act Release No. 81720 (September 
26, 2017), 82 FR 45922 (October 2, 2017) (File No. 4-631) (Notice of 
filing and immediate effectiveness of fifteenth amendment to the 
Plan, extending the implementation date of LULD Amendment 12 to no 
later than November 30, 2017).
---------------------------------------------------------------------------

2. Statutory Basis
    The proposed rule change is consistent with Section 6(b) of the 
Securities Exchange Act of 1934 (the ``Act''),\24\ in general, and 
furthers the objectives of Section 6(b)(5),\25\ in particular, because 
it is 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 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.
---------------------------------------------------------------------------

    \24\ 15 U.S.C. 78f(b).
    \25\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes the proposed changes would 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, because they are designed, together with LULD Amendment 12, 
to address the issues experienced on August 24, 2015 by reducing the 
number of repeat Trading Pauses in a single NMS Stock. LULD Amendment 
12 is an essential component to Participants' goal of more standardized 
processes across Primary Listing Exchanges in reopening trading 
following a Trading Pause, and facilitates the production of an 
equilibrium Reopening Price by centralizing the reopening process 
through the Primary Listing Exchange, which would also improve the 
accuracy of the reopening Price Bands. LULD

[[Page 50905]]

Amendment 12 supports this initiative by requiring trading centers to 
wait to resume trading following Trading Pause until there is a 
Reopening Price.
    This proposed rule change further supports this initiative by 
proposing uniform trading practices for reopening trading following a 
Trading Pause. The Exchange believes that the proposed standardized 
approach for how the Primary Listing Exchanges would conduct certain 
aspects of an automated reopening following a Trading Pause would 
remove impediments to and perfect the mechanism of a free and open 
market and a national market system because it would provide certainty 
for market participants regarding how a security would reopen following 
a Trading Pause, regardless of the listing exchange. The Exchange 
further believes that the proposed changes would remove impediments to 
and perfect the mechanism of a free and open market and a national 
market system and protect investors and the public interest because the 
goal of the proposed changes is to ensure that all Market Order 
interest could be satisfied in an automated reopening auction while at 
the same time reducing the potential for multiple Trading Pauses in a 
single security due to a large order imbalance.
    The Exchange further believes that the standardized proposal to 
extend a Trading Pause an additional five minutes would remove 
impediments to and perfect the mechanism of a free and open market and 
a national market system because it would provide additional time to 
attract offsetting liquidity. If at the end of such extension, Market 
Orders still cannot be satisfied within price collar thresholds or if 
the reopening auction would be priced outside of the applicable price 
collar thresholds, the Primary Listing Exchange would extend the 
Trading Pause an additional five minutes, which the Exchange believes 
would further protect investors and the public interest by reducing the 
potential for significant price disparity in post-auction trading, 
which could otherwise trigger another Trading Pause. With each such 
extension, the Exchange believes that widening the price collar 
threshold on the side of the market on which there is buying or selling 
pressure would remove impediments to and perfect the mechanism of a 
free and open market and a national market system because it would 
provide additional time to attract offsetting interest while at the 
same time addressing that an imbalance may not be resolved within the 
prior Auction Collars.
    With respect to price collar thresholds, the Exchange believes that 
using the price of the limit state that preceded the Trading Pause, 
i.e., either the Lower or Upper Price Band price, would better reflect 
the most recent price of the security and therefore should be used as 
the reference price for determining the Auction Collars for such 
Trading Halt Auction. The Exchange believes that widening Auction 
Collars only in the direction of the imbalance would address issues 
relating to the concept of mean reversion, which would protect 
investors and the public interest by reducing the potential for wide 
price swings following a Trading Halt Auction.
    The Exchange believes that applying the proposed changes to its 
Trading Halt Auctions not only following a Trading Pause, but also 
following a MWCB Halt or regulatory halt, would remove impediments to 
and perfect the mechanism of a free and open market and a national 
market system because it would promote consistency in how the Exchange 
conducts its Trading Halt Auctions, thus reducing complexity in the 
marketplace.
    The Exchange believes that precluding ETP Holders from requesting a 
review of a Trading Halt Auction as a clearly erroneous execution would 
remove impediments to and perfect the mechanism of a free and open 
market and a national market system because the proposed new procedures 
for reopening trading following a Trading Pause would reduce the 
possibility that an order(s) from an ETP Holder(s) caused a Trading 
Halt Auction to be clearly erroneous. Specifically, the Exchange 
believes that the proposed standardized procedures for reopening 
trading following a Trading Pause incorporates a methodology that 
allows for widened collars, which may result in a reopening price away 
from prior trading prices, but which reopening price would be a result 
of a measured and transparent process that eliminates the potential 
that such trade would be considered erroneous.
    The Exchange believes that the proposed amendments to Rule 7.11E 
would remove impediments to and perfect the mechanism of a free and 
open market and a national market system because the proposed changes 
would remove obsolete rule text and amend the remaining rule text to 
conform to LULD Amendment 12, as described above.
    The Exchange believes that the proposed rule change to add an IO 
Order for Trading Halt Auctions would further remove impediments to and 
perfect the mechanism of a free and open market and a national market 
system because such order type is designed to attract offsetting 
interest that would participate in the Trading Halt Auction. The 
Exchange believes that offering such order type would provide an option 
for market participants that are willing to participate in an auction 
to offset an imbalance, but do not want such orders to participate in 
continuous trading. The proposed order type is based on the CO Order 
offered by NYSE Arca and are designed with the same purpose--to reduce 
the imbalance to assist in achieving pricing equilibrium.
    The Exchange further believes that the proposed rule change to add 
a Trading Halt Auction Imbalance Freeze would remove impediments to and 
perfect the mechanism of a free and open market and a national market 
system because it would provide market participants with a brief period 
to assess the imbalance going into a Trading Halt Auction. During such 
time, order entry and cancellation would be revised in a manner 
designed to reduce the last-published imbalance. The proposed mechanism 
for the Trading Halt Auction Imbalance Freeze is not novel, as it is 
based in part on the existing Core Open Auction Imbalance Freeze, i.e., 
the length of the Auction Imbalance Freeze, and the Closing Auction 
Imbalance Freeze, i.e., how new orders and order instructions would be 
processed, with a proposed substantive difference to address how the 
proposed new IO Order type would be processed during the Auction 
Imbalance Freeze.
    The Exchange believes that the proposed manner of how it would 
process Limit Orders that do not participate in a Trading Halt Auction, 
but have a limit price within the applicable Auction Collars, in that 
such orders would roll into continuous trading, would remove 
impediments to and perfect the mechanism of a free and open market and 
a national market system. Such Limit Orders likely would not impact the 
pricing of post-auction trading and trigger another Trading Pause 
because the limit price of such orders would be within the same price 
range that trading would otherwise be permitted.
    The Exchange believes that the proposed amendments to enhance the 
Auction Imbalance Information to add the Auction Reference Price, the 
Auction Collar, the Book Clearing Price, the Far Clearing Price, the 
Imbalance Freeze Indicator, and the Auction Indicator would remove 
impediments to and perfect the mechanism of a free and open market and 
a national market

[[Page 50906]]

system because they are designed to promote additional transparency 
regarding the Exchange's auctions by providing additional detail 
regarding what Auction Reference Price would be used in an auction, the 
Auction Collars applicable to such auction, additional information 
about potential pricing for such auction, and the status of the 
applicable auction.
    The Exchange believes that the proposed amendments to Rule 
7.31E(a)(10)(A) to replace ``truncated'' with ``rounded down'' would 
remove impediments to and perfect the mechanism of a free and open 
market and a national market system because the proposed rule change is 
designed to promote clarity, consistency, and transparency in Exchange 
rules.
    Finally, the Exchange believes that the proposed changes are 
consistent with the Act because they are based on the rules of NYSE 
Arca without any substantive differences.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act. The Exchange believes that 
the proposed rule change is not designed to address any competitive 
issues, but rather, to achieve the Participants' goal of more 
standardized processes across Primary Listing Exchanges in reopening 
trading following a Trading Pause, and facilitates the production of an 
equilibrium Reopening Price by centralizing the reopening process 
through the Primary Listing Exchange, which would also improve the 
accuracy of the reopening Price Bands. The Exchange believes that the 
proposed rule change reduces the burden on competition for market 
participants because it promotes a transparent and consistent process 
for reopening trading following a Trading Pause regardless of where a 
security may be listed. The Exchange further believes that the proposed 
rule change would not impose any burden on competition because they are 
designed to increase transparency regarding the Exchange's Trading Halt 
Auction process while at the same time increasing the ability for 
offsetting interest to participate in an auction, which would assist in 
achieving pricing equilibrium for such an auction.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    No written comments were solicited or received with respect to the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    The Exchange has filed the proposed rule change pursuant to Section 
19(b)(3)(A)(iii) of the Act \26\ and Rule 19b-4(f)(6) thereunder.\27\ 
Because the proposed rule change does not: (i) Significantly affect the 
protection of investors or the public interest; (ii) impose any 
significant burden on competition; and (iii) become operative prior to 
30 days from the date on which it was filed, or such shorter time as 
the Commission may designate, if consistent with the protection of 
investors and the public interest, the proposed rule change has become 
effective pursuant to Section 19(b)(3)(A) of the Act and Rule 19b-
4(f)(6)(iii) thereunder.
---------------------------------------------------------------------------

    \26\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \27\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

    A proposed rule change filed under Rule 19b-4(f)(6) \28\ normally 
does not become operative prior to 30 days after the date of the 
filing. However, pursuant to Rule 19b-4(f)(6)(iii),\29\ the Commission 
may designate a shorter time if such action is consistent with the 
protection of investors and the public interest.
---------------------------------------------------------------------------

    \28\ 17 CFR 240.19b-4(f)(6).
    \29\ 17 CFR 240.19b-4(f)(6)(iii).
---------------------------------------------------------------------------

    At any time within 60 days of the filing of such 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. If the Commission 
takes such action, the Commission shall institute proceedings under 
Section 19(b)(2)(B) \30\ of the Act to determine whether the proposed 
rule change should be approved or disapproved.
---------------------------------------------------------------------------

    \30\ 15 U.S.C. 78s(b)(2)(B).
---------------------------------------------------------------------------

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 (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-NYSEAMER-2017-30 on the subject line.

Paper Comments

     Send paper comments in triplicate to Brent J. Fields, 
Secretary, Securities and Exchange Commission, 100 F Street NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-NYSEAMER-2017-30. 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. Persons submitting 
comments are cautioned that we do not redact or edit personal 
identifying information from comment submissions. You should submit 
only information that you wish to make available publicly. All 
submissions should refer to File Number SR-NYSEAMER-2017-30 and should 
be submitted on or before November 24, 2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\31\
---------------------------------------------------------------------------

    \31\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-23826 Filed 11-1-17; 8:45 am]
 BILLING CODE 8011-01-P