9972 Federal Register / Vol. 86, No. 30 / Wednesday, February 17, 2021 / Notices 

36 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 81188 

(July 21, 2017), 82 FR 35014 (July 27, 2017) 

(NASDAQ–2017–061); see also Securities Exchange 

Act Release No. 81556 (September 8, 2017), 82 FR 

43264 (September 14, 2017) (NASDAQ–2017–061). 4See Securities Exchange Act Release No. 85292 

(March 12, 2019), 84 FR 9848 (March 18, 2019) 

(NASDAQ–2019–010). 5See Securities Exchange Act Release No. 86642 

(August 13, 2019), 84 FR 42964 (August 19, 2019) 

(NASDAQ–2019–064). 6See Equity 4, Rule 4752. 

7The term ‘‘System Securities’’ shall mean (1) all 

securities listed on Nasdaq and (2) all securities 

subject to the Consolidated Tape Association Plan 

and the Consolidated Quotation Plan except 

securities specifically excluded from trading via a 

list of excluded securities posted on 

www.nasdaqtrader.com. Equity 1, Section 1. 

100 F Street NE, Washington, DC 

20549–1090. 

All submissions should refer to File 

Number SR–DTC–2021–001. 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 

filing also will be available for 

inspection and copying at the principal 

office of DTC and on DTCC’s website 

(http://dtcc.com/legal/sec-rulefilings.aspx). 

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–DTC–2021–001 and should 

be submitted on or before March 10, 

2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.36

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–03090 Filed 2–16–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–91096; File No. SR– 

NASDAQ–2021–004] 

Self-Regulatory Organizations; The 

Nasdaq Stock Market LLC; Notice of 

Filing of Proposed Rule Change To 

Disseminate Abbreviated Order 

Imbalance Information, Amend Certain 

Cutoff Times for On-Open Orders 

Entered gor Participation in the 

Nasdaq Opening Cross and Extend the 

Time Period for Accepting Certain 

Limit On-Open Orders 

February 10, 2021. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on February 

3, 2021, The Nasdaq Stock Market LLC 

(‘‘Nasdaq’’ or ‘‘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 Exchange. 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 (i) 

disseminate abbreviated order 

imbalance information prior to the 

dissemination of the Order Imbalance 

Indicator, (ii) amend certain cutoff times 

for on-open orders entered for 

participation in the Nasdaq Opening 

Cross and (iii) extend the time period 

for accepting certain Limit On Open 

Orders. 

The text of the proposed rule change 

is available on the Exchange’s website at 

https://listingcenter.nasdaq.com/ 

rulebook/nasdaq/rules, 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 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

In July 2017 the Exchange enhanced 

the Nasdaq Closing Cross (‘‘Closing 

Cross’’) process by allowing customers 

to enter Limit-On-Close (‘‘LOC’’) orders 

after the first Net Order Imbalance 

Indicator is disseminated.3 These 

enhancements were designed to 

encourage greater participation and 

interaction opportunities within the 

Nasdaq Closing Cross process and 

support stability in the price discovery 

process. In March 2019, the Exchange 

continued to further improve price 

discovery in the Nasdaq Closing Cross 

process by creating an Early Order 

Imbalance Indicator (‘‘EOII’’) comprised 

of certain Net Order Imbalance Indicator 

(‘‘NOII’’) information that would 

disseminate ten minutes prior to the 

market close.4 In conjunction with the 

adoption of an EOII, in August 2019, the 

Exchange also expanded the order entry 

submission time for LOC orders to allow 

entries after 3:55 p.m. Eastern Time (all 

times noted hereafter are Eastern Time) 

and established a second reference price 

for late LOC orders.5 The Exchange did 

not receive public comments regarding 

any of its enhancements to the Closing 

Cross process. Given the improvements 

in stability and the price discovery 

process of the Closing Cross, the 

Exchange is proposing similar changes 

to the Nasdaq Opening Cross (‘‘Opening 

Cross’’).6

The Opening Cross is Nasdaq’s 

process for matching orders at the 

launch of regular trading hours and is 

open to all System Securities.7 The 

Opening Cross was designed to create a 

robust open that allows for efficient 

price discovery through a transparent 

automated auction process. Currently, 

beginning at 4:00 a.m. ET, Nasdaq 


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Federal Register / Vol. 86, No. 30 / Wednesday, February 17, 2021 / Notices 9973 

8A ‘‘Market On Open Order’’ or ‘‘MOO Order’’ is 

an Order Type entered without a price that may be 

executed only during the Opening Cross. Subject to 

certain qualifications, MOO Orders may be entered, 

cancelled, and/or modified between 4 a.m. ET and 

immediately prior to 9:28 a.m. ET. An MOO Order 

may not be cancelled or modified at or after 9:28 

a.m. ET. An MOO Order shall execute only at the 

price determined by the Opening Cross. See Equity 

4, Rule 4702(b)(8)(A). 

9A ‘‘Limit On Open Order’’ is an Order Type 

entered with a price that may be executed only in 

the Opening Cross, and only if the price determined 

by the Opening Cross is equal to or better than the 

price at which the LOO Order was entered. Subject 

to certain qualifications, LOO Orders may be 

entered, cancelled, and/or modified between 4 a.m. 

ET and immediately prior to 9:28 a.m. ET. See 

Equity 4, Rule 4702(b)(9)(A). 

10An ‘‘Opening Imbalance Only Order’’ or ‘‘OIO 

Order’’ is an Order Type entered with a price that 

may be executed only in the Opening Cross and 

only against MOO Orders, LOO Orders, or Early 

Market Hours Orders (as defined in Equity 4, Rule 

4752). OIO Orders may be entered between 4:00 

a.m. ET until the time of execution of the Opening 

Cross, but may not be cancelled or modified at or 

after 9:28 a.m. ET. If the entered price of an OIO 

Order to buy (sell) is higher than (lower than) the 

highest bid (lowest offer) on the Nasdaq Book, the 

price of the OIO Order will be modified repeatedly 

to equal the highest bid (lowest offer) on the Nasdaq 

Book; provided, however, that the price of the 

Order will not be moved beyond its stated limit 

price. See Equity 4, Rule 4702(b)(10)(A). 

11See Equity 4, Rule 4752(d)(1). 

12Market Hours Orders shall be designated as 

‘‘Early Market Hours Orders’’ if entered into the 

system prior to 9:28 a.m. and shall be treated as 

MOO and LOO, as appropriate, for the purposes of 

the Opening Cross. See Equity 4, Rule 4752(a)(7). 

13See Equity 4, Rule 4752(a)(2). 

14Pursuant to Equity 4, Rule 4752(a)(2), the 

‘‘Current Reference Price’’ means the following: (i) 

The single price that is at or within the current 

Nasdaq Market Center best bid and offer at which 

the maximum number of shares of MOO, LOO, OIO, 

and Early Market Hours orders can be paired; (ii) 

if more than one price exists under (i), the Current 

Reference Price shall mean the price that minimizes 

any Imbalance; (iii)) if more than one price exists 

under (ii), the Current Reference Price shall mean 

the entered price at which shares will remain 

unexecuted in the cross; and (iv) if more than one 

price exists under (iii), the Current Reference Price 

shall mean the price that minimizes the distance 

from the bid-ask midpoint of the inside quotation 

prevailing at the time of the order imbalance 

indicator dissemination. 

15An ‘‘Imbalance shall mean the number of 

shares of buy or sell MOO, LOO or Early Market 

Hours orders that may not be matched with other 

MOO, LOO, Early Market Hours, or OIO order 

shares at a particular price at any given time. See 

Equity 4, Rule 4752(a)(2). 

16The indicative prices shall be the Near Clearing 

Price and Far Clearing Price (as defined in footnote 

18 below). If marketable shares would remain 

unexecuted above or below the Near Clearing Price 

or Far Clearing Price, Nasdaq shall disseminate an 

indicator for ‘‘market buy’’ or ‘‘market sell’’. 

17See Equity 4, Rule 4752(a)(2). 

18 ‘‘Near Clearing Price’’ shall mean the price at 

which both the MOO, LOO, OIO, and Early Market 

Hours orders and Open Eligible Interest in the 

Nasdaq Market Center would execute. See Equity 4, 

Rule 4752(a)(2)(E)(i). ‘‘Far Clearing Price’’ shall 

mean the price at which the MOO, LOO, OIO, and 

Early Market Hours orders in the Nasdaq Opening 

Book would execute. See Equity 4, Rule 

4752(a)(2)(E)(ii). 

accepts Market On Open (‘‘MOO’’) 

Orders 8 and Limit On Open (‘‘LOO’’) 

Orders 9 executable for the Opening 

Cross until immediately prior to 9:28 

a.m. Nasdaq also begins accepting 

Opening Imbalance Only (‘‘OIO’’) 

Orders 10 for the Opening Cross 

beginning at 4:00 a.m. until the time of 

execution of the Opening Cross. At 9:28 

a.m., Nasdaq begins to disseminate by 

electronic means an Order Imbalance 

Indicator (also known as the ‘‘Net Order 

Imbalance Indicator’’ or ‘‘NOII’’) every 

second until market open.11 Nasdaq 

initiates an Opening Cross in all System 

Securities for which there are orders 

that will execute against contra-side 

orders at 9:30 a.m., at which time the 

opening book and the Nasdaq 

continuous book are brought together to 

create single Nasdaq opening prices for 

System Securities. 

Nasdaq is proposing to (i) establish an 

Early Order Imbalance Indicator 

(‘‘EOII’’) for the Opening Cross, (ii) 

amend certain cutoff times for on-open 

orders entered for participation in the 

Opening Cross and (iii) extend the time 

period for accepting certain LOOs, as 

discussed in further detail below. 

Establishment of an EOII 

Currently, Nasdaq provides 

transparency into its Opening Cross 

auction via the NOII. The NOII is a 

message disseminated by electronic 

means containing information about 

MOO orders, LOO orders, OIO orders, 

and Early Market Hours Orders 12 and 

information about the price at which 

those orders would execute at the time 

of dissemination.13 MOO, LOO and OIO 

orders are on-open order types that are 

executable only during the Opening 

Cross. Specifically, the NOII consists of: 

(1) The Current Reference Price; 14 (2) 

the number of shares represented by 

MOO, LOO, OIO, and Early Market 

Hours that are paired at the Current 

Reference Price; (3) the size of any 

Imbalance; 15 (4) the buy/sell direction 

of any Imbalance; and (5) the indicative 

prices 16 at which the Nasdaq Opening 

Cross would occur if the Nasdaq 

Opening Cross were to occur at that 

time and the percent by which the 

indicative prices are outside the then 

current Nasdaq Market Center best bid 

or best offer, whichever is closer.17 The 

NOII is useful because it helps 

participants to identify at what price 

and size the Opening Cross will 

commence, as well as the number of 

shares required to offset any order 

imbalances to optimize an auction. 

Nasdaq is proposing new Equity 4, 

Rule 4752(a)(1) and Equity 4, Rule 

4752(d)(1) to establish an EOII that 

would commence disseminating 

information at 9:25 a.m. until the NOII 

begins to disseminate at 9:28 a.m. The 

proposed EOII data will comprise of (1) 

the Current Reference Price, (2) the 

number of shares represented by MOO, 

LOO OIO and Early Market Hours 

orders that are paired at the Current 

Reference price, (3) any imbalance size, 

and (4) any imbalance direction. The 

Exchange is also proposing to 

disseminate the EOII data every 10 

seconds. 

The Exchange believes that an early 

release of a subset of the NOII data 

would offer participants additional time 

and flexibility to react to imbalance 

information in advance of the 9:28 a.m. 

Opening Cross cutoff time (the ‘‘Cutoff’’) 

and aid them in making informed 

decisions about whether and how to 

participate in the Opening Cross. In 

other words, early dissemination of the 

Current Reference Price, the number of 

paired shares at that price, any 

imbalance size, and any imbalance 

direction would help participants to 

make informed decisions as to whether, 

how, and at what prices they may 

interact with other orders in the 

Opening Cross. For example, if Nasdaq 

released an EOII indicating that a buy 

imbalance exists for a particular symbol, 

a participant could act on that 

information in advance of the Opening 

Cross Cutoff time to offset the imbalance 

with the full suite of Nasdaq on-open 

order options, while also providing 

additional liquidity in the Opening 

Cross. In addition, participants may 

continue to enter certain LOO and OIO 

orders after 9:28 a.m. ET, which allows 

participants to consider information in 

the EOII in making informed decisions 

about whether and how to participate in 

the Opening Cross. Nasdaq believes the 

EOII will also enhance price discovery 

and liquidity by attracting more 

participants to the Nasdaq Opening 

Cross, which establishes the Nasdaq 

Official Opening Price for a security. 

However, the Exchange believes that an 

early release of the NOII should exclude 

indicative prices, including Near and 

Far Clearing Prices.18 Because 

participants may freely enter new orders 

that contribute to price discovery prior 

to the Opening Cross Cutoff, indicative 

prices may change more substantially 

than after the Cutoff. Nasdaq believes 

that the exclusion of the Near and Far 

Clearing Prices will enhance stability in 

the Opening Cross process because it 

will reduce the possibility of large 

indicative price movements during the 

early moments of the price formation 


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9974 Federal Register / Vol. 86, No. 30 / Wednesday, February 17, 2021 / Notices 

19The Exchange is including the Current 

Reference Price as it represents the Nasdaq best bid 

and best offer at the time of dissemination and is 

used to calculate any imbalance direction and 

imbalance size. Providing this information in the 

EOII data increases the transparency of the 

information and will allow participants to provide 

additional orders to improve the price discovery 

process in the opening auction. 

20However, as discussed below, the Exchange is 

separately proposing to allow late LOO Orders to 

be entered after 9:28 a.m. Moreover, unlike MOO 

and LOO Orders, OIO Orders may be entered until 

the time of execution of the Opening Cross. See 

Equity 4, Rule 4702(b)(10)(A). 

21As indicated throughout this filing, Market 

Hours Orders entered between 9:28 a.m. and 

9:29:30 a.m. will be treated as late LOO orders, if 

applicable and rejected as MOO orders, if 

applicable. 

22The Exchange proposes to use natural rounding 

when there is no imbalance. When there is an 

imbalance the Exchange will round such that more 

offsetting interest can participate. Thus, where there 

is a buy imbalance the Exchange will round the 

First Opening Reference Price or Second Opening 

Reference Price up to allow more sell interest to 

participate, and when there is a sell imbalance the 

Exchange will round the First Opening Reference 

Price or Second Opening Reference Price down to 

allow more buy interest to participate. For example, 

if there is a sell imbalance, a First Opening 

Reference Price of $10.015 would be rounded down 

to $10.01. Re-pricing based on a price of $10.01 

would allow additional buy orders to offset the sell 

imbalance at that price when they may be excluded 

at a price of $10.02. 

23The ‘‘Time-in-Force’’ assigned to an Order 

means the period of time that the Nasdaq Market 

Center will hold the Order for potential execution. 

Participants specify an Order’s Time-in-Force by 

designating a time at which the Order will become 

active and a time at which the Order will cease to 

be active. See Equity 4, Rule 4703(a). 

24By definition, Opening Cross/Market Hours 

Orders have a Time-In-Force other than IOC, 

therefore, this is a clarifying, non-substantive 

change. 

25The Exchange is proposing to replace 9:28 a.m. 

with 9:29:30 a.m. as a conforming change because 

as discussed above, the Exchange is proposing to 

allow LOO orders to be entered until 9:29:30 a.m. 

process.19 Additionally, the Exchange 

believes disseminating the EOII data 

every 10 seconds provides participants 

more time to digest the information and 

enter MOO, LOO and OIO orders in 

between dissemination periods. 

Whereas after the Opening Cross Cutoff, 

participants face order restrictions and 

time pressures that render more 

frequent refreshes of the NOII critical to 

guiding their decisions, such order 

restrictions and time pressures do not 

exist, or are less acute, prior to the 

Opening Cross Cutoff. 

Establishment of the EOII will not 

affect the Cutoff for entering MOO or 

LOO orders.20 However, a participant 

may no longer cancel or modify an 

MOO, LOO or OIO order once the 

Exchange commences dissemination of 

the EOII. Therefore, the Exchange is 

proposing to amend the time period for 

cancelling or modifying MOO, LOO or 

OIO orders from 9:28 a.m. to 9:25 a.m. 

Change to LOO Orders 

Currently, pursuant to Equity 4, Rule 

4702(b)(9)(A), LOO orders may be 

executed only in the Opening Cross, and 

only if the price determined by the 

Opening Cross is equal to or better than 

the price at which the LOO Order was 

entered. Subject to certain 

qualifications, LOO orders may be 

entered, cancelled, and/or modified 

between 4 a.m. and immediately prior to 

commencement of the NOII 

dissemination at 9:28 a.m.21

The Exchange is proposing to 

establish a First Opening Reference 

Price and a Second Opening Reference 

Price through Equity 4, Rules 4753(a)(8) 

and (9), respectively. The First Opening 

Reference Price shall mean the previous 

day’s Nasdaq Official Closing Price of 

the security for Nasdaq-listed securities 

or the consolidated closing price to 

cover non-Nasdaq-listed securities. For 

new Exchange Traded Products that do 

not have a Nasdaq Official Closing Price 

or a consolidated closing price, the First 

Opening Reference Price will be the 

offering price. The Exchange is using 

the Nasdaq Official Closing Price as the 

First Opening Reference Price because 

the Nasdaq Official Closing price is a 

well-defined benchmark for the 

security’s market price that serves as the 

most relevant price of a security at or 

before Regular Trading Hours. The 

Second Opening Reference Price shall 

mean the Current Reference Price in the 

Order Imbalance Indicator disseminated 

at 9:28 a.m. ET. The Exchange is 

proposing to use the Current Reference 

Price in the NOII disseminated at 9:28 

a.m. as the Second Opening Reference 

Price because it is consistent with the 

Exchange’s functionality with respect to 

the Closing Cross and Late Limit On 

Close Orders, and is intended to 

promote price stability of the Opening 

Cross. 

Additionally, the Exchange is 

proposing to revise Equity 4, Rule 

4702(b)(9)(A) to permit the entry of LOO 

orders until 9:29:30 a.m., provided that 

the security has a First Opening 

Reference Price or a Second Opening 

Reference Price. The Exchange also 

proposes to reject any LOO Orders 

entered after 9:29:30 a.m. ET that is 

designated as an IOC. The proposed rule 

would also prevent an LOO Order from 

being cancelled or modified at or after 

9:25 a.m. However, the Exchange 

believes that allowing the entry of 

eligible LOO Orders after the Opening 

Cross Cutoff will enhance the price 

discovery and liquidity of a security in 

the Opening Cross, which establishes 

the Nasdaq Official Opening Price for a 

security. Also, the Exchange is 

proposing that an LOO Order entered 

between 9:28 a.m. ET and 9:29:30 a.m. 

ET would be accepted at its limit price, 

unless its limit price is higher (lower) 

than the higher (lower) of the First 

Opening Reference Price and the 

Second Opening Reference Price for an 

LOO Order to buy (sell), in which case 

the LOO Order would be handled 

consistent with the participant’s 

instruction that the LOO Order is to be: 

(1) Rejected; or (2) re-priced to the 

higher (lower) of the First Opening 

Reference Price and the Second 

Opening Reference Price, provided that 

if either the First Opening Reference 

Price or the Second Opening Reference 

Price is not at a permissible minimum 

increment, the First Opening Reference 

Price or the Second Opening Reference 

Price, as applicable, will be rounded (i) 

to the nearest permitted minimum 

increment (with midpoint prices being 

rounded up) if there is no imbalance, (ii) 

up if there is a buy imbalance, or (iii) 

down if there is a sell imbalance.22 The 

default configuration for participants 

that do not specify otherwise will be to 

have such LOO Orders re-priced rather 

than rejected. The Exchange believes 

that the repricing of LOO orders entered 

after the Opening Cross Cutoff is 

designed to reduce order imbalances 

and volatility for securities that 

participate in the Opening Cross. 

The Exchange believes that allowing 

Late LOO orders to be priced at the 

more aggressive of the two reference 

prices will provide flexibility to market 

participants by allowing participants to 

consider information in both the EOII 

and NOII within the context of the 

previous day’s Nasdaq Official Closing 

Price or consolidated closing price to 

facilitate informed decisions about 

whether and how to participate in the 

Opening Cross. 

Additional Conforming and NonSubstantive Changes 

The Exchange is proposing to amend 

Equity 4, Rule 4702(b)(9)(B) to clarify 

that an Opening Cross/Market Hours 

Order, with a Time-in-Force 23 other 

than Immediate or Cancel,24 entered 

between 9:29:30 a.m.25 and the time of 

the Nasdaq Opening Cross, (i) held and 

entered into the System after the 

completion of the Nasdaq Opening 

Cross if it has been assigned a Pegging 

Attribute or Routing Attribute, (ii) 

treated as an Opening Imbalance Only 

Order and entered into the System after 

the completion of the Nasdaq Opening 

Cross if entered through RASH, QIX, or 

FIX but not assigned a Pegging Attribute 

or Routing Attribute, or (iii) treated as 


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26The Nasdaq Book is a montage for quotes and 

orders that collects and ranks all quotes and orders 

submitted by Participants. Equity 4, Rule 4701(a)(1). 

27This time is a proposed update from the 

previous time of 9:28 a.m. 

28 15 U.S.C. 78f(b). 

29 15 U.S.C. 78f(b)(5). 

30See supra n. 4–5. 

31The Exchange is also proposing to delete 

language in Equity 4, Rule 4702(b)(9)(B) stating that 

‘‘[a] Routable Order flagged to participate in the 

Nasdaq Opening Cross with a Time-in-Force other 

than IOC and entered at or after 9:28 a.m. will be 

held and entered into the System after the Nasdaq 

Opening Cross’’ because this language is 

duplicative to similar language in the same Rule. 

an Opening Imbalance Only Order and 

cancelled after the Nasdaq Opening 

Cross if entered through OUCH or 

FLITE. An Opening Cross/Market Hours 

Order entered through RASH or FIX 

after the time of the Nasdaq Opening 

Cross will be accepted but the Nasdaq 

Opening Cross flag will be ignored.26

The Exchange is also removing language 

from Equity 4, Rule 4702(b)(9)(B) 

explaining that a Routable Order flagged 

to participate in the Nasdaq Opening 

Cross with a Time-in-Force other than 

IOC and entered at or after 9:28 a.m. 

will be held and entered into the System 

after the Nasdaq Opening Cross. The 

Exchange believes that this language is 

duplicative to language already 

discussed in Equity 4, Rule 

4702(b)(9)(B) and is therefore, proposing 

to remove the language. The Exchange 

is also proposing to exclude LOO Orders 

from being rejected and to add that 

certain LOO Orders will not be rejected 

if entered after 9:28 a.m. This proposed 

change conforms with the proposed 

change to allow LOO orders to be 

entered until 9:29:30 a.m. 

Additionally, the Exchange is 

proposing to renumber certain 

provisions of Equity 4, Rule 4752 to 

conform with the new definitions added 

to the section. Finally, the Exchange is 

making a non-substantive change to the 

Market Hours Orders definition in 

Equity 4, Rule 4752(a)(7) to use the 

defined terms throughout the 

Exchange’s rulebook. The Exchange is 

also making a conforming change to 

Equity 4, Rule 4752(a)(7) to indicate that 

Market Hours Orders entered into the 

System at 9:29:30 a.m. ET27 or after 

with an Time-in-Force other than an 

IOC shall be designated as ‘‘Late Market 

Hours Orders.’’ The Exchange is also 

making a conforming change to that rule 

to indicate that beginning at 9:25 a.m., 

requests to cancel or modify Market 

Hours Orders will be suspended until 

after completion of the Opening Cross at 

which time such requests shall be 

processed, to the extent that such orders 

remain available within the System. 

Lastly, the Exchange is abbreviating 

the terms ‘‘market-on-open’’ and ‘‘limiton-open’’ to conform with terms used in 

Rule 4752. 

2. Statutory Basis 

The Exchange believes that its 

proposal is consistent with Section 6(b) 

of the Act,28 in general, and furthers the 

objectives of Section 6(b)(5) of the Act,29

in particular, in that it is designed to 

promote just and equitable principles of 

trade, 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. As the 

equities markets continue to evolve and 

become more efficient and automated, 

the Exchange believes that in some ways 

the current on-open order entry process 

is restrictive to market participants that 

wish to participate in the Nasdaq 

Opening Cross. Similar to the changes 

made to the closing auction,30 the 

Exchange believes that the proposed 

changes will give participants 

additional methods of contributing to 

price discovery while still allowing 

participants to react to and offset 

Imbalances. 

In particular, the proposal to establish 

the EOII will provide participants with 

additional information for price 

discovery, which increases market 

transparency and the price discovery 

process of the Opening Cross to the 

benefit of members and investors that 

participate in the Opening Cross. 

Furthermore, limiting the EOII data is 

reasonable because as discussed above, 

it will reduce the possibility of large 

indicative price movements during the 

early moments of the price formation 

process. The EOII will also enhance the 

price discovery and liquidity of a 

security by providing additional time 

and flexibility for participants to react to 

imbalance information and therefore 

increasing the number of participants in 

the Nasdaq Opening Cross, which 

establishes the Nasdaq Official Opening 

Price for a security. Additionally, the 

Exchange believes that disseminating 

the EOII at 10 second intervals is 

reasonable because it strikes the right 

balance between conveying material 

changes in imbalance information prior 

to the Opening Cross Cutoff time and 

avoiding excessive messaging traffic. 

Furthermore, the Exchange has 

established a similar EOII for the 

Closing Cross. 

The Exchange also believes that it is 

reasonable to prohibit cancellation or 

modification of MOO, LOO and OIO 

orders, while allowing the entry of these 

orders, after 9:25 a.m. in order to 

enhance stability in the Opening Cross 

process by reducing the possibility of 

large indicative price movements due to 

participants cancelling or modifying 

orders in reaction to the EOII. The 

Exchange has established similar 

prohibitions for its Closing Cross 

process. 

Additionally, extending the time for 

members to submit LOO orders will 

increase participation in the Opening 

Cross as well as allow participants to 

retain control over their orders for a 

longer period of time, thereby assisting 

those market participants in managing 

their trading at the open. Moreover, 

repricing eligible LOO Orders entered 

after the 9:28 a.m. cutoff time is 

reasonable and equitable because 

repricing is designed to enhance price 

discovery and stability while reducing 

order imbalances by allowing more 

price forming orders that are priced no 

more aggressively than the First and 

Second Opening Reference Prices to 

offset imbalances and to participate in 

the Opening Cross. 

Moreover, the Exchange believes it is 

reasonable to clarify in Equity 4, Rule 

4702(b)(9)(B) that the treatment of an 

Opening Cross/Market Hours Order that 

has a Time-in-Force other than IOC and 

is entered between 9:29:30 a.m. and the 

commencement of the Opening Cross, in 

addition to clarifying that certain LOO 

Orders will not be rejected after 9:28 

a.m., because these are conforming 

changes.31 The changes to the Market 

Hours Orders in Equity 4, Rule 

4752(a)(7) are also conforming changes 

to the proposed change of allowing the 

entry of Late LOO Orders. 

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 not 

necessary or appropriate in furtherance 

of the purposes of the Act. Rather, the 

Exchange believes that the proposed 

rule change is evidence of the 

competitive forces in the equities 

markets insofar as the establishment of 

the EOII is designed to render the 

Opening Cross more transparent and 

flexible, as well as more attractive to 

participants. Additionally, the proposed 

EOII and the extended time period to 

enter LOO Orders will be equally 

available to all participants. Moreover, 

the proposed changes will equally affect 

all participants using MOO, LOO and 

OIO orders. 


jbell on DSKJLSW7X2PROD with NOTICES
9976 Federal Register / Vol. 86, No. 30 / Wednesday, February 17, 2021 / Notices 

32 17 CFR 200.30–3(a)(12). 

1See Blue Tractor ETF Trust and Blue Tractor 

Group, LLC, Investment Company Act Release No. 

33682 (Nov. 14, 2019) (notice) and Investment 

Company Act Release No. 33710 (Dec. 10, 2019) 

(order). Except as specifically noted in the 

application, all representations and conditions 

contained in the application previously submitted 

with the Commission (File No. 812–14625), as 

amended and restated, and filed with the 

Commission on October 23, 2019 (the ‘‘Prior 

Application’’) remain applicable to the operation of 

the Funds and will apply to any Funds relying on 

the Amended Order. 

2The relief granted in the Prior Order under 

section 12(d)(1)(J) of the Act for an exemption from 

sections 12(d)(1)(A) and 12(d)(1)(B) of the 1940 Act 

(the ‘‘Section 12(d)(1) Relief’’), and relief under 

sections 6(c) and 17(b) of the Act for an exemption 

from sections 17(a)(1) and 17(a)(2) of the Act 

relating to the Section 12(d)(1) Relief, will expire 

one year from the effective date of rule 12d1–4. See 

Fund of Funds Arrangements, Investment Company 

Act Rel. No. 10871 (Oct. 7, 2020), at III. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were either 

solicited or received. 

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 within 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– 

NASDAQ–2021–004 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–NASDAQ–2021–004. 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 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–NASDAQ–2021–004, and 

should be submitted on or before March 

10, 2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.32

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–03089 Filed 2–16–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Investment Company Act Release No. 

34194; 812–15162] 

Blue Tractor ETF Trust and Blue 

Tractor Group, LLC 

February 10, 2021. 

AGENCY: Securities and Exchange 

Commission (‘‘Commission’’). 

ACTION: Notice of an application to 

amend a prior order for exemptive 

relief. 

SUMMARY OF APPLICATION: Applicants 

request an order (‘‘Amended Order’’) 

that would amend a prior order to 

permit the Funds, as defined below, to 

use Creation Baskets (as defined below) 

that include instruments that are not 

included, or are included with different 

weightings, in the Fund’s Dynamic SSR 

Portfolio (as defined below). 

APPLICANTS: Blue Tractor ETF Trust and 

Blue Tractor Group, LLC. 

FILING DATES: The application was filed 

on September 18, 2020, and amended 

on January 19, 2021. 

HEARING OR NOTIFICATION OF HEARING: 

An order granting the requested relief 

will be issued unless the Commission 

orders a hearing. Interested persons may 

request a hearing by emailing the 

Commission’s Secretary at SecretarysOffice@sec.gov and serving Applicants 

with a copy of the request by email. 

Hearing requests should be received by 

the Commission by 5:30 p.m. on March 

8, 2021 and should be accompanied by 

proof of service on the Applicants, in 

the form of an affidavit, or, for lawyers, 

a certificate of service. Pursuant to rule 

0–5 under the Investment Company Act 

of 1940 (‘‘Act’’), hearing requests should 

state the nature of the writer’s interest, 

any facts bearing upon the desirability 

of a hearing on the matter, the reason for 

the request, and the issues contested. 

Persons who wish to be notified of a 

hearing may request notification by 

emailing to the Commission’s Secretary 

at Secretarys-Office@sec.gov. 

ADDRESSES: The Commission: 

Secretarys-Office@sec.gov. Applicants: 

MMundt@stradley.com. 

FOR FURTHER INFORMATION CONTACT: 

Marc Mehrespand, Senior Counsel; 

Trace W. Rakestraw, Branch Chief, at 

(202) 551–6825 (Division of Investment 

Management, Chief Counsel’s Office). 

SUPPLEMENTARY INFORMATION: The 

following is a summary of the 

application. The complete application 

may be obtained via the Commission’s 

website by searching for the file 

number, or for an applicant using the 

Company name box, at http://

www.sec.gov/search/search.htm or by 

calling (202) 551–8090. 

I. Introduction 

1. On December 10, 2019, the 

Commission issued an order (‘‘Prior 

Order’’) 1 under section 6(c) of the Act 

for an exemption from sections 2(a)(32), 

5(a)(1), 22(d), and 22(e) of the Act and 

rule 22c–1 under the Act, under 

sections 6(c) and 17(b) of the Act for an 

exemption from sections 17(a)(1) and 

17(a)(2) of the Act, and under section 

12(d)(1)(J) of the Act for an exemption 

from sections 12(d)(1)(A) and 

12(d)(1)(B) of the Act.2 The Prior Order 

permitted Applicants to introduce a 

novel type of actively-managed 


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