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 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 (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 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 (http://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 (http://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]


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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 (http://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 (http://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\
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    \10\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-06388 Filed 3-25-22; 8:45 am]
BILLING CODE 8011-01-P