Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change To Amend Rule 7.31-E(h)(3), 17376-17378 [2022-06388]
Download as PDF
<![CDATA[
17376
Federal Register / Vol. 87, No. 59 / Monday, March 28, 2022 / Notices
All submissions should refer to File
Number SR–ICEEU–2022–007. 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 website (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for website viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE,
Washington, DC 20549, on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of such
filings will also be available for
inspection and copying at the principal
office of ICE Clear Europe and on ICE
Clear Europe’s website at https://
www.theice.com/clear-europe/
regulation.
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–ICEEU–2022–007
and should be submitted on or before
April 18, 2022.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.15
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022–06384 Filed 3–25–22; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
jspears on DSK121TN23PROD with NOTICES1
[Release No. 34–94490; File No. SR–
NYSEArca–2022–13]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing of Proposed
Rule Change To Amend Rule 7.31–
E(h)(3)
(‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that, on March 9,
2022, NYSE Arca, Inc. (‘‘NYSE Arca’’ or
the ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the self-regulatory organization. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend
Rule 7.31–E(h)(3) with respect to
Discretionary Pegged Orders. The
proposed change is available on the
Exchange’s website 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 7.31–E(h)(3) to modify certain
factors relevant to the quote instability
calculation for Discretionary Pegged
Orders. Specifically, the Exchange
proposes to amend Rule 7.31–
E(h)(3)(D)(i)(D)(1)(a), which sets forth
the quote stability coefficients. Under
Rule 7.31–E(h)(3)(D)(i)(D)(3), the
Exchange may modify the quote
stability coefficients at any time, subject
to a filing of a proposed rule change.
The Exchange proposes such changes in
this rule filing.
Discretionary Pegged Orders
March 22, 2022.
19(b)(1) 1
Pursuant to Section
of the
Securities Exchange Act of 1934
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
Rule 7.31–E(h)(3) provides for
Discretionary Pegged Orders, which are
15 17
2 15
1 15
3 17
VerDate Sep<11>2014
17:30 Mar 25, 2022
Jkt 256001
PO 00000
U.S.C. 78a.
CFR 240.19b–4.
Frm 00115
Fmt 4703
Sfmt 4703
Pegged Orders 4 that may exercise price
discretion from their working price to a
discretionary price in order to trade
with contra-side orders on the NYSE
Arca Book, except during periods of
quote instability as defined in Rule
7.31–E(h)(3)(D).
Rule 7.31–E(h)(3)(D) provides that the
Exchange uses a quote instability
calculation to assess a security’s ‘‘quote
instability factor,’’ or the probability of
an imminent change to the current PBB
to a lower price or PBO to a higher
price.5 When quoting activity in a
security meets predefined criteria and
the quote instability factor calculated is
greater than the Exchange’s defined
‘‘quote instability threshold,’’ the
Exchange treats the quote as unstable
(‘‘quote instability’’ or a ‘‘crumbling
quote’’).
Rule 7.31–E(h)(3)(D)(i) provides that
the Exchange determines a quote to be
unstable when, among other factors, the
quote instability factor result from the
quote stability calculation is greater
than the quote instability threshold. To
perform the quote stability calculation
and determine the quote instability
factor, the Exchange employs a fixed
formula utilizing the quote stability
coefficients and quote stability variables
set forth in Rule 7.31–
E(h)(3)(D)(i)(D)(1)(a) and Rule 7.31–
E(h)(3)(D)(i)(D)(1)(b), respectively.
Proposed Rule Change
The Exchange proposes to update the
quote stability coefficients used in the
quote instability calculation, which
have not been modified since Rule 7.31–
E(h)(3) was adopted.6 The proposed
changes are intended to update the
quote stability coefficients so that they
are based on current market data and
better calibrated to function on an
exchange without an intentional delay
mechanism and with deeper liquidity
4 A Pegged Order is a Limit Order that does not
route with a working price that is pegged to a
dynamic reference price. If the designated reference
price is higher (lower) than the limit price of a
Pegged Order to buy (sell), the working price will
be the limit price of the order. See Rule 7.31–E(h).
5 NYSE Arca Rule 1.1 defines PBB as the highest
Protected Bid and PBO as the lowest Protected
Offer. Rule 1.1 also provides that ‘‘PBBO’’ means
the Best Protected Bid and the Best Protected Offer.
6 The Exchange adopted Rule 7.31–E(h)(3)
governing Discretionary Pegged Orders in 2016 but
has not yet announced the implementation of the
order type. See Securities Exchange Act Release No.
78181 (June 28, 2016), 81 FR 43297 (July 1, 2016)
(SR–NYSEArca–2016–44) (Notice of Filing of
Amendment No. 1, and Order Granting Accelerated
Approval of a Proposed Rule Change, as Modified
by Amendment No. 1, to Add a New Discretionary
Pegged Order). Accordingly, the current quote
stability coefficients have not been in operation on
the Exchange.
E:\FR\FM\28MRN1.SGM
28MRN1
Federal Register / Vol. 87, No. 59 / Monday, March 28, 2022 / Notices
than other exchanges that offer similar
functionality.7
The Exchange reviewed NYSE Arca
market data from randomly selected
days in the fourth quarter of 2021 to
analyze the effectiveness of the quote
stability coefficients in predicting
changes to the PBBO. Specifically, the
Exchange reviewed PBBO data, on a
nanosecond level, for certain intervals
throughout each randomly selected day
to track changes to quotes on NYSE
Arca and away markets. The Exchange
used this data to generate and test the
proposed quote stability coefficients,
and based on its analysis, believes that
modifying the quote stability
coefficients would enable the Exchange
to evaluate the quality of the PBBO
more effectively.
The Exchange proposes to modify the
quote stability coefficients set forth in
Rule 7.31–E(h)(3)(D)(i)(D)(1)(a)(i)
through (v) as follows:
change, the Exchange will announce the
implementation date by Trader Update.
jspears on DSK121TN23PROD with NOTICES1
2. Statutory Basis
The proposed rule change is
consistent with Section 6(b) of the Act,8
in general, and furthers the objectives of
Section 6(b)(5),9 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 that the
proposed change would promote just
and equitable principles of trade,
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
Quote stability
Current
Proposed
because it is designed to increase the
coefficient
value
value
effectiveness of the quote instability
C0 .....................
¥2.39515 ¥1.793885 calculation used to determine whether a
C1 .....................
¥0.76504 ¥0.600796 crumbling quote exists. As discussed
C2 .....................
0.07599
0.0776515 above, the proposed change is based on
C3 .....................
0.38374
0.492649 the Exchange’s analysis of market data,
C4 .....................
0.14466
0.1631485
which supports that the proposed
change would improve the accuracy of
The Exchange believes that its
the Exchange’s quote instability
proposed modification of the quote
calculation. Accordingly, the Exchange
stability coefficients, based on the
believes that the proposed change
market data analysis described above,
would remove impediments to, and
would improve the accuracy of the fixed
perfect the mechanism of, a free and
formula used to perform the quote
open market and a national market
instability calculation. Specifically, the
system, as well as protect investors and
Exchange believes that the proposed
the public interest, by enhancing the
quote stability coefficients, which have
Exchange’s protection of Discretionary
been adjusted to reflect more recent
Pegged Orders. Specifically, because the
activity on the Exchange, would
proposed quote stability coefficients
improve the calibration of the quote
were derived through an analysis of
instability calculation to activity on the
more recent market data and are
Exchange, thereby improving the
calibrated to reflect current activity on
Exchange’s ability to predict whether
the Exchange (including to adapt them
there is quote instability and protect
to function on an exchange without an
Discretionary Pegged Orders from
intentional delay mechanism and with
exercising discretion when the PBBO is
deeper liquidity than other exchanges
unstable.
that offer similar functionality), the
Because of the technology changes
Exchange believes that the proposed
associated with this proposed rule
change would improve the effectiveness
of the quote instability calculation in
7 The Exchange notes that its rules governing the
predicting periods of quote instability
Discretionary Pegged Order, including the formula
and thus enhance the extent to which
for the quote instability calculation, are based on
Discretionary Pegged Orders would be
the Investors Exchange LLC (‘‘IEX’’) Discretionary
Peg Order (‘‘D-Peg Order’’), which functions in
protected from unfavorable executions.
conjunction with IEX’s speed bump. See id. The
Exchange does not anticipate any issues in
connection with the introduction of the order type,
including because such orders would be processed
similarly to Discretionary Pegged Orders on its
affiliated exchange, NYSE American LLC (‘‘NYSE
American’’). NYSE American, which also does not
currently function with any intentional delay, offers
a Discretionary Pegged Order as set forth in NYSE
American Rule 7.31E(h)(3), which is substantially
the same as NYSE Arca Rule 7.31–E(h)(3).
VerDate Sep<11>2014
17:30 Mar 25, 2022
Jkt 256001
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
8 15
9 15
PO 00000
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
Frm 00116
Fmt 4703
Sfmt 4703
17377
necessary or appropriate in furtherance
of the purposes of the Act. The
Exchange believes that the proposed
change would promote competition by
improving the accuracy of the quote
instability calculation, thereby
enhancing the protection of
Discretionary Pegged Orders from
unfavorable executions during periods
of quote instability.
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
Within 45 days of the date of
publication of this notice in the Federal
Register or such longer period up to 90
days (i) as the Commission may
designate if it finds such longer period
to be appropriate and publishes its
reasons for so finding or (ii) as to which
the self-regulatory organization
consents, the Commission will:
(A) By order approve or disapprove
the proposed rule change, or
(B) institute proceedings to determine
whether the proposed rule change
should be 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:
Electronic Comments
• Use the Commission’s internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
NYSEArca–2022–13 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street NE,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–NYSEArca–2022–13. 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 website (https://www.sec.gov/
rules/sro.shtml). Copies of the
E:\FR\FM\28MRN1.SGM
28MRN1
17378
Federal Register / Vol. 87, No. 59 / Monday, March 28, 2022 / Notices
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 website 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–NYSEArca–2022–13 and
should be submitted on or before April
18, 2022.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.10
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022–06388 Filed 3–25–22; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[SEC File No. 270–789, OMB Control No.
3235–0731]
jspears on DSK121TN23PROD with NOTICES1
Submission for OMB Review;
Comment Request; Extension for
Generic ICR: Generic Clearance for the
Collection of Qualitative Feedback on
Agency Service Delivery
Upon Written Request Copies Available
From: U.S. Securities and Exchange
Commission, Office of FOIA Services,
100 F Street NE, Washington, DC
20549–2736
Notice is hereby given that, pursuant
to the Paperwork Reduction Act of 1995
(44 U.S.C. 3501 et seq.), the Securities
and Exchange Commission
(‘‘Commission’’) is soliciting comments
on the collection of information
summarized below. The Commission
plans to submit this existing collection
of information to the Office of
10 17
CFR 200.30–3(a)(12).
VerDate Sep<11>2014
17:30 Mar 25, 2022
Jkt 256001
Management and Budget for extension
and approval.
The information collection activity
will garner qualitative customer and
stakeholder feedback in an efficient,
timely manner, in accordance with the
Administration’s commitment to
improving service delivery. By
qualitative feedback we mean
information that provides useful
insights on perceptions and opinions,
but are not statistical surveys that yield
quantitative results that can be
generalized to the population of study.
This feedback will provide insights into
customer or stakeholder perceptions,
experiences and expectations, provide
an early warning of issues with service,
or focus attention on areas where
communication, training or changes in
operations might improve delivery of
products or services. These collections
will allow for ongoing, collaborative and
actionable communications between the
SEC and its customers and stakeholders.
It will also allow feedback to contribute
directly to the improvement of program
management.
Feedback collected under this generic
clearance will provide useful
information, but it will not yield data
that can be generalized to the overall
population. This type of generic
clearance for qualitative information
will not be used for quantitative
information collections that are
designed to yield reliably actionable
results, such as monitoring trends over
time or documenting program
performance. Depending on the degree
of influence the results are likely to
have, such collections may still be
eligible for submission for other generic
mechanisms that are designed to yield
quantitative results.
Below is the projected average annual
estimates each year for the next three
years:
Expected Annual Number of
activities: [20].
Respondents: [20,000].
Annual responses: [20,000].
Frequency of Response: Once per
request.
Average minutes per response: [10].
Annual burden hours: [3,500].
Written comments are invited on: (a)
Whether the proposed collection of
information is necessary for the proper
performance of the functions of the
Commission, including whether the
information shall have practical utility;
(b) the accuracy of the Commission’s
estimates of the burden of the proposed
collection of information; (c) ways to
enhance the quality, utility, and clarity
of the information to be collected; and
(d) ways to minimize the burden of the
collection of information on
PO 00000
Frm 00117
Fmt 4703
Sfmt 4703
respondents, including through the use
of automated collection techniques or
other forms of information technology.
An agency may not conduct or sponsor,
and a person is not required to respond
to, a collection of information unless it
displays a currently valid OMB control
number.
The public may view the background
documentation for this information
collection at the following website,
www.reginfo.gov. Comments should be
directed to: (i) Desk Officer for the
Securities and Exchange Commission,
Office of Information and Regulatory
Affairs, Office of Management and
Budget, Room 10102, New Executive
Office Building, Washington, DC 20503,
or by sending an email to:
Lindsay.M.Abate@omb.eop.gov and
Alex.W.Goodenough@omb.eop.gov; and
(ii) David Bottom, Director/Chief
Information Officer, Securities and
Exchange Commission, c/o John
Pezzullo, 100 F Street NE, Washington,
DC 20549 or send an email to: PRA_
Mailbox@sec.gov. Comments must be
submitted to OMB within 30 days of
this notice April 27, 2022.
Dated: March 23, 2022.
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022–06420 Filed 3–25–22; 8:45 am]
BILLING CODE 8011–01–P
STATE DEPARTMENT
[Public Notice 11660]
Overseas Security Advisory Council
(OSAC) Meeting Notice; Closed
Meeting
The Department of State announces
meetings of the U.S. State Department’s
Overseas Security Advisory Council on
June 8, and November 15, 2022.
Pursuant to Section 10(d) of the Federal
Advisory Committee Act (5 U.S.C.
Appendix), 5 U.S.C. 552b(c)(4), and 5
U.S.C. 552b(c)(7)(E), it has been
determined that the meetings will be
closed to the public. The meetings will
focus on an examination of corporate
security policies and procedures and
will involve extensive discussion of
trade secrets and proprietary
commercial information that is
privileged and confidential, and will
discuss law enforcement investigative
techniques and procedures. The agendas
will include updated committee reports,
global threat overviews, and other
matters relating to private sector
security policies and protective
programs and the protection of U.S.
business information overseas.
E:\FR\FM\28MRN1.SGM
28MRN1
]]>Agencies
[Federal Register Volume 87, Number 59 (Monday, March 28, 2022)]
[Notices]
[Pages 17376-17378]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-06388]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-94490; File No. SR-NYSEArca-2022-13]
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change To Amend Rule 7.31-E(h)(3)
March 22, 2022.
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 March 9, 2022, NYSE Arca, Inc. (``NYSE Arca'' or the
``Exchange'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I and
II below, which Items have been prepared by the self-regulatory
organization. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to amend Rule 7.31-E(h)(3) with respect to
Discretionary Pegged Orders. The proposed change is available on the
Exchange's website 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 7.31-E(h)(3) to modify certain
factors relevant to the quote instability calculation for Discretionary
Pegged Orders. Specifically, the Exchange proposes to amend Rule 7.31-
E(h)(3)(D)(i)(D)(1)(a), which sets forth the quote stability
coefficients. Under Rule 7.31-E(h)(3)(D)(i)(D)(3), the Exchange may
modify the quote stability coefficients at any time, subject to a
filing of a proposed rule change. The Exchange proposes such changes in
this rule filing.
Discretionary Pegged Orders
Rule 7.31-E(h)(3) provides for Discretionary Pegged Orders, which
are Pegged Orders \4\ that may exercise price discretion from their
working price to a discretionary price in order to trade with contra-
side orders on the NYSE Arca Book, except during periods of quote
instability as defined in Rule 7.31-E(h)(3)(D).
---------------------------------------------------------------------------
\4\ A Pegged Order is a Limit Order that does not route with a
working price that is pegged to a dynamic reference price. If the
designated reference price is higher (lower) than the limit price of
a Pegged Order to buy (sell), the working price will be the limit
price of the order. See Rule 7.31-E(h).
---------------------------------------------------------------------------
Rule 7.31-E(h)(3)(D) provides that the Exchange uses a quote
instability calculation to assess a security's ``quote instability
factor,'' or the probability of an imminent change to the current PBB
to a lower price or PBO to a higher price.\5\ When quoting activity in
a security meets predefined criteria and the quote instability factor
calculated is greater than the Exchange's defined ``quote instability
threshold,'' the Exchange treats the quote as unstable (``quote
instability'' or a ``crumbling quote'').
---------------------------------------------------------------------------
\5\ NYSE Arca Rule 1.1 defines PBB as the highest Protected Bid
and PBO as the lowest Protected Offer. Rule 1.1 also provides that
``PBBO'' means the Best Protected Bid and the Best Protected Offer.
---------------------------------------------------------------------------
Rule 7.31-E(h)(3)(D)(i) provides that the Exchange determines a
quote to be unstable when, among other factors, the quote instability
factor result from the quote stability calculation is greater than the
quote instability threshold. To perform the quote stability calculation
and determine the quote instability factor, the Exchange employs a
fixed formula utilizing the quote stability coefficients and quote
stability variables set forth in Rule 7.31-E(h)(3)(D)(i)(D)(1)(a) and
Rule 7.31-E(h)(3)(D)(i)(D)(1)(b), respectively.
Proposed Rule Change
The Exchange proposes to update the quote stability coefficients
used in the quote instability calculation, which have not been modified
since Rule 7.31-E(h)(3) was adopted.\6\ The proposed changes are
intended to update the quote stability coefficients so that they are
based on current market data and better calibrated to function on an
exchange without an intentional delay mechanism and with deeper
liquidity
[[Page 17377]]
than other exchanges that offer similar functionality.\7\
---------------------------------------------------------------------------
\6\ The Exchange adopted Rule 7.31-E(h)(3) governing
Discretionary Pegged Orders in 2016 but has not yet announced the
implementation of the order type. See Securities Exchange Act
Release No. 78181 (June 28, 2016), 81 FR 43297 (July 1, 2016) (SR-
NYSEArca-2016-44) (Notice of Filing of Amendment No. 1, and Order
Granting Accelerated Approval of a Proposed Rule Change, as Modified
by Amendment No. 1, to Add a New Discretionary Pegged Order).
Accordingly, the current quote stability coefficients have not been
in operation on the Exchange.
\7\ The Exchange notes that its rules governing the
Discretionary Pegged Order, including the formula for the quote
instability calculation, are based on the Investors Exchange LLC
(``IEX'') Discretionary Peg Order (``D-Peg Order''), which functions
in conjunction with IEX's speed bump. See id. The Exchange does not
anticipate any issues in connection with the introduction of the
order type, including because such orders would be processed
similarly to Discretionary Pegged Orders on its affiliated exchange,
NYSE American LLC (``NYSE American''). NYSE American, which also
does not currently function with any intentional delay, offers a
Discretionary Pegged Order as set forth in NYSE American Rule
7.31E(h)(3), which is substantially the same as NYSE Arca Rule 7.31-
E(h)(3).
---------------------------------------------------------------------------
The Exchange reviewed NYSE Arca market data from randomly selected
days in the fourth quarter of 2021 to analyze the effectiveness of the
quote stability coefficients in predicting changes to the PBBO.
Specifically, the Exchange reviewed PBBO data, on a nanosecond level,
for certain intervals throughout each randomly selected day to track
changes to quotes on NYSE Arca and away markets. The Exchange used this
data to generate and test the proposed quote stability coefficients,
and based on its analysis, believes that modifying the quote stability
coefficients would enable the Exchange to evaluate the quality of the
PBBO more effectively.
The Exchange proposes to modify the quote stability coefficients
set forth in Rule 7.31-E(h)(3)(D)(i)(D)(1)(a)(i) through (v) as
follows:
------------------------------------------------------------------------
Current Proposed
Quote stability coefficient value value
------------------------------------------------------------------------
C0............................................ -2.39515 -1.793885
C1............................................ -0.76504 -0.600796
C2............................................ 0.07599 0.0776515
C3............................................ 0.38374 0.492649
C4............................................ 0.14466 0.1631485
------------------------------------------------------------------------
The Exchange believes that its proposed modification of the quote
stability coefficients, based on the market data analysis described
above, would improve the accuracy of the fixed formula used to perform
the quote instability calculation. Specifically, the Exchange believes
that the proposed quote stability coefficients, which have been
adjusted to reflect more recent activity on the Exchange, would improve
the calibration of the quote instability calculation to activity on the
Exchange, thereby improving the Exchange's ability to predict whether
there is quote instability and protect Discretionary Pegged Orders from
exercising discretion when the PBBO is unstable.
Because of the technology changes associated with this proposed
rule change, the Exchange will announce the implementation date by
Trader Update.
2. Statutory Basis
The proposed rule change is consistent with Section 6(b) of the
Act,\8\ in general, and furthers the objectives of Section 6(b)(5),\9\
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.
---------------------------------------------------------------------------
\8\ 15 U.S.C. 78f(b).
\9\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
The Exchange believes that the proposed change would promote just
and equitable principles of trade, 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 it is designed to
increase the effectiveness of the quote instability calculation used to
determine whether a crumbling quote exists. As discussed above, the
proposed change is based on the Exchange's analysis of market data,
which supports that the proposed change would improve the accuracy of
the Exchange's quote instability calculation. Accordingly, the Exchange
believes that the proposed change would remove impediments to, and
perfect the mechanism of, a free and open market and a national market
system, as well as protect investors and the public interest, by
enhancing the Exchange's protection of Discretionary Pegged Orders.
Specifically, because the proposed quote stability coefficients were
derived through an analysis of more recent market data and are
calibrated to reflect current activity on the Exchange (including to
adapt them to function on an exchange without an intentional delay
mechanism and with deeper liquidity than other exchanges that offer
similar functionality), the Exchange believes that the proposed change
would improve the effectiveness of the quote instability calculation in
predicting periods of quote instability and thus enhance the extent to
which Discretionary Pegged Orders would be protected from unfavorable
executions.
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 change would promote competition by improving the accuracy
of the quote instability calculation, thereby enhancing the protection
of Discretionary Pegged Orders from unfavorable executions during
periods of quote instability.
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
Within 45 days of the date of publication of this notice in the
Federal Register or such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) By order approve or disapprove the proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be 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:
Electronic Comments
Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to [email protected]. Please include
File Number SR-NYSEArca-2022-13 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSEArca-2022-13. 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 website (https://www.sec.gov/rules/sro.shtml).
Copies of the
[[Page 17378]]
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 website 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-NYSEArca-2022-13 and should be submitted
on or before April 18, 2022.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\10\
---------------------------------------------------------------------------
\10\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-06388 Filed 3-25-22; 8:45 am]
BILLING CODE 8011-01-P
