10418 Federal Register / Vol. 87, No. 37 / Thursday, February 24, 2022 / Notices 

38 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. 93876 

(December 29, 2021), 87 FR 501 (‘‘Notice’’). 

4See Rule 4754(a)(6). 

5All times referenced are in Eastern Time. 

6See Rule 4754(b)(1)(A). 

7See Rule 4754(b)(1)(B). 

8See Rule 4754(a)(7)(A) (also setting forth various 

tie breakers if more than one price meets this 

definition) and Rule 4754(a)(10). 

9See Rule 4702(b)(12). 

10See Rule 4754(a)(9). 

11See Rule 4754(a)(11). 

12See Rule 4702(b)(12). 

13See id. (also describing the rounding 

methodology if the First Reference Price or Second 

Reference Price is not at a permissible minimum 

increment). 

14See Rule 4754(b)(6). 

15See Securities Exchange Act Release No. 92068 

(May 28, 2021), 86 FR 29864 (June 3, 2021). The 

Exchange has not yet implemented the changes 

made in SR–NASDAQ–2021–009. See Notice, supra 

note 3, at 501. 

16See Rule 4754(b)(6)(C). 

17See id. and Rule 4754(b)(6)(E). 

18See Rule 4754(b)(6)(F)(ii). 

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 FICC 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–FICC– 

2022–001 and should be submitted on 

or before March 17, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.38

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–03872 Filed 2–23–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94277; File No. SR– 

NASDAQ–2021–101] 

Self-Regulatory Organizations; The 

Nasdaq Stock Market LLC; Order 

Approving Proposed Rule Change To 

Amend Equity 4, Rule 4754 Relating to 

Certain Order Handling in the Limit UpLimit Down Closing Cross 

February 17, 2022. 

I. Introduction 

On December 22, 2021, The Nasdaq 

Stock Market LLC (‘‘Exchange’’ or 

‘‘Nasdaq’’) 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 a 

proposed rule change to amend Equity 

4, Rule (‘‘Rule’’) 4754 relating to certain 

order handling in the Limit Up-Limit 

Down (‘‘LULD’’) closing cross. The 

proposed rule change was published for 

comment in the Federal Register on 

January 5, 2022.3 The Commission has 

not received any comment letters on the 

proposed rule change. This order 

approves the proposed rule change. 

II. Description of the Proposed Rule 

Change 

The Nasdaq closing cross is the 

Exchange’s process for determining the 

price at which orders will be executed 

at the close and for executing those 

orders.4 In advance of the closing cross, 

the Exchange disseminates an early 

order imbalance indicator (‘‘EOII’’) 

every 10 seconds, beginning at 3:50 

p.m.5 until the order imbalance 

indicator (‘‘NOII’’) begins to 

disseminate.6 The Exchange 

disseminates the NOII every second, 

beginning at 3:55 p.m. until market 

close.7 Both the EOII and the NOII 

include, among other things, the current 

reference price for a security, which is 

the single price that is at or within the 

current Nasdaq best bid and offer at 

which the maximum number of shares 

of market on close, limit on close 

(‘‘LOC’’), and imbalance only orders can 

be paired.8

Currently, Exchange participants may 

enter LOC orders between 4 a.m. and 

immediately prior to 3:55 p.m. for 

participation in the closing cross.9

Exchange participants may also enter 

LOC orders between 3:55 p.m. and 

immediately prior to 3:58 p.m. (‘‘Late 

LOC orders’’), provided that there is a 

First Reference Price (i.e., the current 

reference price disseminated in the EOII 

at 3:50 p.m.) 10 or a Second Reference 

Price (i.e., the current reference price 

disseminated in the NOII at 3:55 p.m.) 11

for the security.12 A Late LOC order to 

buy (sell) is accepted at its limit price, 

unless its limit price is higher (lower) 

than the higher (lower) of the First 

Reference Price and the Second 

Reference Price, in which case the Late 

LOC order will be handled consistent 

with the participant’s instruction that 

order is to be either rejected or re-priced 

to the higher (lower) of the First 

Reference Price and the Second 

Reference Price.13

The LULD closing cross is the 

Exchange’s process for executing closing 

trades in Nasdaq-listed securities when 

an LULD trading pause exists at or after 

3:50 p.m. and before 4:00 p.m.14 In May 

2021, the Commission approved SR– 

NASDAQ–2021–009, which included 

certain changes to the Exchange’s LULD 

closing cross process.15 As approved, 

consistent with the regular closing 

cross, the Exchange would disseminate 

the EOII for the LULD closing cross 

every 10 seconds beginning at 3:50 p.m. 

until the Exchange begins to 

disseminate the NOII, and the NOII 

would be disseminated every second 

beginning at 3:55 p.m. until market 

close.16 Unlike the regular closing cross, 

the reference price contained in such 

EOII and NOII represents the price at 

which the LULD closing cross would 

execute should the cross conclude at 

that time, and that price is bound by 

benchmarks that are calculated using 

either the LULD price bands or the 

auction collars for reopening following 

an LULD trading pause, depending on 

the time the trading pause was initiated 

and whether the trading pause was 

extended.17 Also as approved in SR– 

NASDAQ–2021–009, consistent with 

the regular closing cross, LOC orders 

(including Late LOC orders) for the 

LULD closing cross may be entered, 

modified, and cancelled pursuant to 

Rule 4702(b)(12).18 In accordance with 

Rule 4702(b)(12), the Exchange would 

determine whether Late LOC orders may 

be entered, rejected, or re-priced using 

the reference prices disseminated in the 

EOII and NOII. 

The Exchange now proposes to amend 

the handling of Late LOC orders in an 

LULD closing cross. Specifically, for 

purposes of determining whether to 

accept, reject, or re-price a Late LOC 

order, the Exchange would use the First 

Reference Price and the Second 

Reference Price, if any, that was 

disseminated in the regular closing 

cross EOII and NOII, instead of any First 

Reference Price and Second Reference 

Price that was disseminated in the 

LULD closing cross EOII and NOII. 


jspears on DSK121TN23PROD with NOTICES1
Federal Register / Vol. 87, No. 37 / Thursday, February 24, 2022 / Notices 10419 

19See proposed Rule 4754(b)(6)(F)(ii)(a). 

20See Notice, supra note 3, at 503 n.15. A 

security that entered an LULD trading pause prior 

and up to 3:50 p.m. would instead have an LULD 

closing cross First Reference Price and Second 

Reference Price. See id. at 503. 

21Such orders may then be rejected or subject to 

re-pricing in accordance with Rule 4702(b)(12), in 

either case consistent with the participant’s 

instructions. See proposed Rule 4754(b)(6)(F)(ii)(b). 

22See Notice, supra note 3, at 503 n.16. A 

security that entered an LULD trading pause after 

3:50 p.m. and up to 3:55 p.m. would instead have 

an LULD closing cross Second Reference Price. See 

id. at 503. 

23Such orders may then be rejected or subject to 

re-pricing in accordance with Rule 4702(b)(12), in 

either case consistent with the participant’s 

instructions. See proposed Rule 4754(b)(6)(F)(ii)(c). 

24See Notice, supra note 3, at 503 n.17. 

25 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

formation. See 15 U.S.C. 78c(f). 

26 15 U.S.C. 78f(b)(5). 

27See supra notes 20, 22, and 24 and 

accompanying text (describing the different First 

and Second Reference Prices that are calculated for 

a security, depending on whether the security 

entered an LULD trading pause prior and up to 3:50 

p.m., after 3:50 p.m. and up to 3:55 p.m., or after 

3:55 p.m.). 

28 15 U.S.C. 78s(b)(2). 

29 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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

4 17 CFR 240.19b–4(f)(6). 

5The Framework sets forth the model risk 

management practices that the Clearing Agencies 

follow to identify, measure, monitor, and manage 

the risks associated with the design, development, 

implementation, use, and validation of quantitative 

models. The Framework is filed as a rule of the 

Clearing Agencies. See Securities Exchange Act 

Release Nos. 81485 (August 25, 2017), 82 FR 41433 

(August 31, 2017) (File Nos. SR–DTC–2017–008, 

SR–FICC–2017–014, SR–NSCC–2017–008) (‘‘2017 

Notice’’); 88911 (May 20, 2020), 85 FR 31828 (May 

27, 2020) (File Nos. SR–DTC–2020–008, SR–FICC– 

2020–004, SR–NSCC–2020–008); and 92379 (July 

13, 2021), 86 FR 38143 (July 19, 2021) (File No. SR– 

DTC–2021–013), 92381 (July 13, 2021), 86 FR 38163 

(July 19, 2021) (File No. SR–NSCC–2021–008), and 

92380 (July 13, 2021), 86 FR 38140 (July 19, 2021) 

(File No. SR–FICC–2021–006) (collectively, the 

‘‘MRMF Filings’’). 

Accordingly, as proposed, if a security 

entered an LULD trading pause prior 

and up to 3:50 p.m., the Exchange 

would not accept Late LOC orders in 

that security,19 because that security 

would not have a regular closing cross 

First Reference Price or Second 

Reference Price.20 In addition, if a 

security entered an LULD trading pause 

after 3:50 p.m. and up to 3:55 p.m., the 

Exchange would accept Late LOC orders 

in that security, provided that there is 

a regular closing cross First Reference 

Price.21 A security that entered an LULD 

trading pause after 3:50 p.m. and up to 

3:55 p.m. could have a regular closing 

cross First Reference Price, but would 

not have a regular closing cross Second 

Reference Price.22 Finally, if a security 

entered an LULD trading pause after 

3:55 p.m., the Exchange would accept 

Late LOC orders in that security, 

provided that there is a regular closing 

cross First Reference Price or Second 

Reference Price.23 A security that 

entered an LULD trading pause after 

3:55 p.m. could have both a regular 

closing cross First Reference Price and 

a regular closing cross Second Reference 

Price.24

III. Discussion and Commission 

Findings 

The Commission finds that the 

proposed rule change is consistent with 

the requirements of the Act and the 

rules and regulations thereunder 

applicable to a national securities 

exchange.25 In particular, the 

Commission finds that the proposed 

rule change is consistent with Section 

6(b)(5) of the Act,26 which requires, 

among other things, that the rules of a 

national securities exchange be 

designed 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. 

As described above, the Exchange 

proposes to use the First Reference Price 

and the Second Reference Price, if any, 

that was disseminated in the regular 

closing cross EOII and NOII, for 

purposes of determining whether to 

accept, reject, or re-price a Late LOC 

order in the LULD closing cross. The 

Commission believes that the 

Exchange’s proposal would allow 

consistent handling of Late LOC orders 

in the LULD closing cross and the 

regular closing cross. The Commission 

also believes that the proposal would 

allow the Exchange to consistently use 

reference prices that are bound by the 

Nasdaq best bid and offer (i.e., the First 

Reference Price and Second Reference 

Price, if any, disseminated for the 

regular closing cross) for purposes of 

determining whether to accept, reject, or 

re-price Late LOC orders, regardless of 

whether a security entered an LULD 

trading pause prior and up to 3:50 p.m., 

after 3:50 p.m. and up to 3:55 p.m., or 

after 3:55 p.m.27 Accordingly, the 

Commission believes that the proposal 

would promote a more consistent 

experience for Exchange participants 

that choose to submit Late LOC orders 

to participate in the Exchange’s closing 

crosses. 

IV. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,28 that the 

proposed rule change (SR–NASDAQ– 

2021–101), be, and hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.29

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–03876 Filed 2–23–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94272; File No. SR–NSCC– 

2022–001] 

Self-Regulatory Organizations; 

National Securities Clearing 

Corporation; Notice of Filing and 

Immediate Effectiveness of a Proposed 

Rule Change To Amend the Clearing 

Agency Model Risk Management 

Framework 

February 17, 2022. 

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 

11, 2022, National Securities Clearing 

Corporation (‘‘NSCC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II and III 

below, which Items have been prepared 

by the clearing agency. NSCC filed the 

proposed rule change pursuant to 

Section 19(b)(3)(A) of the Act 3 and Rule 

19b–4(f)(6) thereunder.4 The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

The proposed rule change consists of 

amendments to the Clearing Agency 

Model Risk Management Framework 

(‘‘Framework’’) of NSCC and its 

affiliates, The Depository Trust 

Company (‘‘DTC’’) and Fixed Income 

Clearing Corporation (‘‘FICC,’’ and 

together with NSCC, the ‘‘CCPs,’’ and 

the CCPs together with DTC, the 

‘‘Clearing Agencies’’).5 The Framework 

has been adopted by the Clearing 

Agencies to support their compliance 

with Rule 17Ad–22(e) (the ‘‘Covered 

Clearing Agency Standards’’) under the 


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