10584 Federal Register / Vol. 77, No. 35 / Wednesday, February 22, 2012 / Notices 

10 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4See NYSE Amex Equities Rule 13 for definitions 

of MOC and LOC orders. 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for Web site viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE., 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of such filing 

also will be available for inspection and 

copying at the principal office of the 

Exchange. All comments received will 

be posted without change; the 

Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File No. SR–NYSE– 

2012–03 and should be submitted on or 

before March 14, 2012. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.10

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–4080 Filed 2–21–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66400; File No. SR– 

NYSEAmex–2012–07] 

Self-Regulatory Organizations; NYSE 

Amex LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Amending NYSE Amex 

Equities Rule 123C(4) To Provide for 

How Certain Interest Is Included in the 

Calculation of MOC and LOC 

Imbalances 

February 15, 2012. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that on February 

3, 2012, NYSE Amex LLC (the 

‘‘Exchange’’ or ‘‘NYSE Amex’’) filed 

with the Securities and Exchange 

Commission (the ‘‘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 

NYSE Amex Equities Rule 123C(4) to 

provide for how certain interest is 

included in the calculation of MOC and 

LOC imbalances. The text of the 

proposed rule change is available at the 

Exchange, the Commission’s Public 

Reference Room, and www.nyse.com, 

and www.sec.gov. 

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 

NYSE Amex Equities Rule 123C(4) to 

provide more specificity of how certain 

interest is treated for purpose of 

calculating MOC and LOC4 imbalances. 

In particular, the Exchange proposes to 

amend Rule 123C(4)(a)(vi) to describe 

how LOC orders priced equal to the last 

sale are treated in the imbalance 

publication and to add new 

supplementary material to describe how 

sell short interest is treated in the 

imbalance publication during a Short 

Sale Period, as defined in NYSE Amex 

Equities Rule 440B. 

Background 

NYSE Amex Equities Rule 123C(4) 

describes how the Exchange calculates 

the MOC and LOC imbalances. The 

Exchange publishes MOC and LOC 

imbalance information as part of its 

Informational Imbalance Publication (as 

defined in Rule 123C(1)(b)), Mandatory 

MOC/LOC Imbalance Publication (as 

defined in Rule 123C(1)(d)), and Order 

Imbalance Information (as defined in 

Rule 123C(1)(e)), which are further 

described in Rule 123C(5) and (6). The 

MOC and LOC imbalance information is 

intended to provide market participants 

with a snapshot of the prices at which 

interest eligible to participate in the 

closing transaction would be executed 

in full against each other at the time the 

data feed is disseminated. The manner 

by which the imbalance is calculated 

takes into consideration the order of 

execution at the close, as set forth in 

Rule 123C(7). The goal of such 

transparency is to attract contra-side 

interest to offset order imbalances, 

thereby potentially minimizing price 

dislocation at the close. 

Proposed Amendments 

Because the MOC and LOC imbalance 

calculations under Rule 123C(4) are 

intended to provide an informational 

snapshot of what an imbalance may be 

at a particular time, and are intended to 

mirror how the imbalance is calculated 

for purposes of determining the closing 

price, the Exchange proposes to amend 

elements of Rule 123C(4) to describe 

with more specificity how the 

imbalance is calculated. The Exchange 

notes that these proposed rule change 

does not change how the Exchange 

currently calculates the imbalance 

information, but rather provides more 

detail in the rule text concerning the 

methodology for calculation. 

First, the Exchange proposes to 

amend Rule 123C(4)(a)(vi) to describe 

with more specificity how LOC interest 

that is priced equal to the last sale is 

addressed in the MOC and LOC 

imbalance calculation. Because the Buy 

or Sell Imbalance is intended to be 

indicative of what the imbalance would 

be at the close, the Exchange seeks to 

reduce the Buy or Sell Imbalance by any 

closing interest that could potentially 

participate in the close, which is why 

the rule currently provides that tick 

sensitive MOC and LOC interest can 

reduce the Buy or Sell Imbalance to 

bring the imbalance quantity as close to 

zero as possible. 

The Exchange proposes to amend 

Rule 123C(4)(a)(vi) to add that LOC 

orders priced equal to the last sale also 

reduce the Buy or Sell Imbalance. The 

Exchange proposes this change because, 

as set forth in Rule 123C(7)(b)(ii), LOC 

orders priced equal to the closing price 

may participate in the closing 

transaction. Because such interest may 


srobinson on DSK4SPTVN1PROD with NOTICES
Federal Register / Vol. 77, No. 35 / Wednesday, February 22, 2012 / Notices 10585 

5As defined in NYSE Amex Equities Rule 13, a 

Sell Plus order is a market or limit order to sell a 

stated amount of stock for which the price to be 

obtained is not lower than the last sale if the last 

sale was a ‘‘plus’’ or ‘‘zero plus’’ tick, and is not 

lower than the last sale plus the minimal fractional 

change in the stock if the last sale was a ‘‘minus’’ 

or ‘‘zero minus’’ tick. The purpose of a Sell Plus 

order is to ensure that a market participant does 

create a new low price with the sell order. For 

example, if the closing price is $10.10, and the last 

sale prior to the closing transaction was $10.11 or 

higher on a plus or zero plus tick, a Sell Plus LOC 

with a limit of $10.09 would not participate in the 

closing transaction because it would be selling at a 

price lower than the last sale, which was on a plus 

or zero plus tick. 

6As defined in NYSE Amex Equities Rule 13, a 

Buy Minus order is a market or limit order to buy 

a stated amount of stock on the close for which the 

price to be obtained is not higher than the last sale 

if the last sale was a ‘‘minus’’ or ‘‘zero minus’’ tick, 

and is not higher than the last sale minus the 

minimum fractional change in the stock if the last 

sale was a ‘‘plus’’ or ‘‘zero plus’’ tick. The purpose 

of a Buy Minus order is to ensure that a market 

participant does not create a new high price with 

the buy order. For example, if the closing price is 

$10.10, and the last sale prior to the closing 

transaction was $10.09 or below on a minus or zero 

minus tick, a Buy Minus LOC with a limit price of 

$10.11 would not participate in the closing 

transaction because it would be buying at a price 

higher than the last sale, which was on a minus or 

zero minus tick. 7 15 U.S.C. 78f(b)(5). 

participate in the close, the Exchange 

believes that when calculating the 

imbalance, reducing the Buy or Sell 

Imbalance by the amount of LOC 

interest priced equal to the last sale 

provides a potentially more realistic 

indication of how the imbalance may be 

offset at the close. 

Second, the Exchange proposes to 

make conforming amendments to Rules 

123C(4)(a)(vi)(A) and (B), which 

currently provide more detail of which 

tick sensitive interest is included to 

offset a Buy or Sell Imbalance, as 

provided for under Rule 123C(4)(a)(vi). 

Rule 123C(4)(a)(vi)(A) currently 

provides that of tick sensitive orders, 

only Sell Plus 5 MOC and Sell Plus LOC 

orders priced below the last sale will be 

included to offset the Buy Imbalance. 

Rule 123C4(a)(vi)(B) currently provides 

that of tick sensitive orders, only Buy 

Minus 6 MOC and Buy Minus LOC 

orders priced above the last sale price 

will be included to offset the Sell 

Imbalance. Because the Exchange is 

proposing to amend Rule 123C(4)(a)(vi) 

to add that LOC interest priced equal to 

the last sale price can offset the Buy or 

Sell Imbalance, the Exchange proposes 

to make conforming amendments to 

Rules 123C(4)(a)(vi)(A) and (B). 

Accordingly, the Exchange proposes to 

amend Rule 123C(4)(a)(vi)(A) to specify 

that Sell Plus LOC orders priced equal 

to or below the last sale price and Sell 

and Sell Short LOC orders priced equal 

to the last sale price will also be 

included to offset the Buy Imbalance. 

Similarly, the Exchange proposes to 

amend Rule 123C(4)(a)(vi)(B) to specify 

that Buy Minus LOC orders priced equal 

to or above the last sale price, and Buy 

LOC orders priced equal to the last sale 

will be included to offset the Sell 

Imbalance. 

Third, the Exchange proposes to 

amend Rule 123C(4)(a)(vi)(A) and (B) to 

further specify that tick sensitive 

interest will be included to offset the 

Buy or Sell Imbalance only if such 

orders could be executed consistent 

with the terms of their tick restrictions. 

This proposed amendment is consistent 

with the rationale of how MOC and LOC 

imbalances are calculated, namely, to 

include interest that could participate in 

the closing price to offset the imbalance. 

If, by the terms of the tick restriction, an 

order could not participate in the close, 

such interest should not be used to 

offset the imbalance calculation. For 

example, if the Buy Imbalance is 

calculated based on a $10.10 reference 

price, and the last sale prior to that 

reference price is $10.11 on a plus or 

zero plus tick, Sell Plus MOCs and Sell 

Plus LOCs are not included to offset that 

Buy Imbalance because they would not 

participate if that were the closing price 

at that time. Likewise, if the last sale is 

$10.09 on a minus or zero minus tick, 

and the Sell Imbalance is calculated 

based on a $10.10 reference price, Buy 

Minus MOCs and Buy Minus LOCS 

priced below the last sale are not 

included to offset the Sell Imbalance 

because they would not participate if 

that were the closing price at that time. 

Finally, the Exchange proposes to add 

supplementary material .30 to Rule 

123C to specify how Sell Short interest 

is treated for purposes of calculating 

MOC and LOC imbalances during a 

Short Sale Period, as defined in Rule 

440B(d). Rule 123C(4)(a)(iv) currently 

provides that Sell Short MOC and Sell 

Short LOC orders priced below the last 

sale price are included in the 

aggregation of the Sell side closing 

volume. During a Short Sale Period, if 

a security closes at a price equal to or 

lower than the last Exchange bid, sell 

short interest would not be eligible to 

participate in the closing transaction. 

Because a Sell imbalance publication is 

an indication that the security is more 

likely to close at a price that is equal to 

or lower than the bid, during a Short 

Sale Period, Sell Short MOC and LOC 

interest likely would not participate in 

the closing transaction. The Exchange 

therefore believes it is appropriate 

during a Short Sale Period to exclude 

Sell Short MOC and LOC orders from 

the Sell side volume because such 

interest would likely not be eligible to 

participate in the closing transaction. 

In addition, during a Short Sale 

Period, in addition to the interest 

specified in Rule 123C(a)(4)(vi)(A) that 

offsets the Buy Imbalance (as amended 

by this rule proposal), all Sell Short 

MOC and LOC interest priced equal to 

or below the last sale price will be 

included to offset the Buy Imbalance. 

During a Short Sale Period, if a security 

closes higher than the last Exchange bid, 

Sell Short MOC and LOC interest would 

be eligible to participate in the closing 

transaction. Because a Buy side 

imbalance publication is an indication 

that there may be upward price pressure 

on the closing sale price, and the 

security is more likely to close at a price 

that is above the bid, in such a situation, 

Sell Short MOC and LOC interest likely 

would participate in the closing 

transaction. The Exchange therefore 

believes it is appropriate during a Short 

Sale Period to offset the Buy Imbalance 

with Sell Short MOC and LOC interest 

because such interest would likely 

participate in the closing transaction. 

The Exchange notes that the manner 

by which the Exchange currently 

calculates the MOC and LOC 

imbalances is consistent with how such 

interest would participate if the closing 

transaction were to be based on the 

point in time at which each MOC and 

LOC imbalance publication is 

calculated. The Exchange proposes 

these rule amendments to provide that 

level of specificity in how the rule text 

describes the manner by which the 

MOC and LOC imbalances are being 

calculated. The Exchange further notes 

that this rule change concerns only the 

manner by which the MOC and LOC 

imbalance is calculated for purposes of 

imbalance publications and does not 

change in any way the manner by which 

trading occurs at the Exchange or how 

interest is executed in the closing 

transaction. 

2. Statutory Basis 

The basis under the Act for these 

proposed rule changes are the 

requirement under Section 6(b)(5) 7 that 

an Exchange have rules that are 

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. Specifically, this rule 

proposal supports the objective of 

perfecting the mechanism of a free and 

open market as it provides transparency 

in the manner by which the Exchange 

calculates the MOC and LOC imbalance 

information that the Exchange publishes 


srobinson on DSK4SPTVN1PROD with NOTICES
10586 Federal Register / Vol. 77, No. 35 / Wednesday, February 22, 2012 / Notices 

8 15 U.S.C. 78s(b)(3)(A)(iii). 

9 17 CFR 240.19b–4(f)(6). 10 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See NYSE Rule 98(b)(2). ‘‘DMM unit’’ means 

any member organization, aggregation unit within 

a member organization, or division or department 

within an integrated proprietary aggregation unit of 

a member organization that (i) has been approved 

by NYSE Regulation pursuant to section (c) of 

NYSE Rule 98, (ii) is eligible for allocations under 

NYSE Rule 103B as a DMM unit in a security listed 

on the Exchange, and (iii) has met all registration 

and qualification requirements for DMM units 

assigned to such unit. The term ‘‘DMM’’ means any 

individual qualified to act as a DMM on the Floor 

of the Exchange under NYSE Rule 103. See also 

NYSE Amex Equities Rule 2(i). Rule 2(i) defines the 

term ‘‘DMM’’ to mean an individual member, 

officer, partner, employee or associated person of a 

DMM unit who is approved by the Exchange to act 

in the capacity of a DMM. NYSE Amex Equities 

Rule 2(j) defines the term ‘‘DMM unit’’ as a member 

organization or unit within a member organization 

that has been approved to act as a DMM unit under 

NYSE Amex Equities Rule 98. 

4Securities Exchange Act Release Nos. 65735 

(November 10, 2011), 76 FR 71405 (SR– 

NYSEAmex–2011–86) and 65736 (November 10, 

2011), 76 FR 71399 (SR–NYSE–2011–56). 

pursuant to NYSE Amex Equities Rule 

123C(5) and (6) both during regular 

trading and during a Short Sale Period 

pursuant to NYSE Amex Equities Rule 

440B. Specifically, these rule changes 

provide transparency of how LOC 

interest priced equal to the last sale 

price will be used to offset a Buy or Sell 

Imbalance and how Sell Short interest 

will be treated for the imbalance 

calculation during a Short Sale Period. 

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. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The Exchange has filed the proposed 

rule change pursuant to Section 

19(b)(3)(A)(iii) of the Act 8 and Rule 

19b–4(f)(6) thereunder.9 Because the 

proposed rule change does not: (i) 

Significantly affect the protection of 

investors or the public interest; (ii) 

impose any significant burden on 

competition; and (iii) become operative 

prior to 30 days from the date on which 

it was filed, or such shorter time as the 

Commission may designate, if 

consistent with the protection of 

investors and the public interest, the 

proposed rule change has become 

effective pursuant to Section 19(b)(3)(A) 

of the Act and Rule 19b–4(f)(6)(iii) 

thereunder. 

At any time within 60 days of the 

filing of such proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. 

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 No. SR– 

NYSEAmex–2012–07 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Elizabeth M. Murphy, Secretary, 

Securities and Exchange Commission, 

100 F Street NE., Washington, DC 

20549–1090. 

All submissions should refer to File No. 

SR–NYSEAmex–2012–07. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for Web site viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE., 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of such filing 

also will be available for inspection and 

copying at the principal office of the 

Exchange. All comments received will 

be posted without change; the 

Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File No. SR– 

NYSEAmex–2012–07 and should be 

submitted on or before March 14, 2012. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.10

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–4079 Filed 2–21–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66397; File Nos. SR–NYSE– 

2011–56; SR–NYSEAmex–2011–86] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; NYSE 

Amex LLC; Order Instituting 

Proceedings To Determine Whether To 

Disapprove Proposed Rule Changes 

To Codify Certain Traditional Trading 

Floor Functions That May Be 

Performed by Designated Market 

Makers and To Permit Designated 

Market Makers and Floor Brokers 

Access to Disaggregated Order 

Information 

February 15, 2012. 

I. Introduction 

On October 31, 2011, the New York 

Stock Exchange LLC (‘‘NYSE’’) and 

NYSE Amex LLC (‘‘NYSE Amex’’) 

(collectively, the ‘‘SROs’’) each filed 

with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

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

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder,2 proposed rule 

changes (the ‘‘SRO Proposals’’) to 

amend certain of their respective rules 

relating to Designated Market Makers 

(‘‘DMMs’’) 3 and Floor brokers. The SRO 

Proposals were published for comment 

in the Federal Register on November 17, 

2011.4 The Commission received no 

comment letters on the proposals. 

On December 22, 2011, the 

Commission extended the time period 

in which to either approve the SRO 

Proposals, disapprove the SRO 

Proposals, or to institute proceedings to 

determine whether to disapprove the 


srobinson on DSK4SPTVN1PROD with NOTICES