Federal Register / Vol. 87, No. 59 / Monday, March 28, 2022 / Notices 17349 

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. 

4A 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 7.31E(h). 

5NYSE American Rule 1.1E(dd) defines PBB as 

the highest Protected Bid and PBO as the lowest 

Protected Offer. Rule 1.1E(dd) also provides that 

‘‘PBBO’’ means the Best Protected Bid and the Best 

Protected Offer. 

6The Exchange eliminated the Delay Mechanism, 

which added a delay of 350 microseconds of 

latency to specified order processing, in 2019. See 

Securities Exchange Act Release No. 87550 

(November 15, 2019), 84 FR 64359 (November 21, 

2019) (SR–NYSEAMER–2019–48) (Notice of Filing 

and Immediate Effectiveness of Proposed Rule 

Change to Amend Exchange Rules 1.1E and 7.29E 

to Eliminate the Delay Mechanism and Amend 

Exchange Rule 7.31E and Related Exchange Rules 

to Re-Introduce Previously-Approved Order Types 

and Modifiers). 

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–EMERALD–2022–11 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. 2022–06387 Filed 3–25–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94487; File No. SR– 

NYSEAMER–2022–15] 

Self-Regulatory Organizations; NYSE 

American LLC; Notice of Filing of 

Proposed Rule Change To Amend Rule 

7.31E(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 American LLC (‘‘NYSE 

American’’ 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 7.31E(h)(3). The proposed rule 

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 7.31E(h)(3) to modify certain 

factors relevant to the quote instability 

calculation for Discretionary Pegged 

Orders. Specifically, the Exchange 

proposes to amend Rule 

7.31E(h)(3)(D)(i)(D)(1)(a), which sets 

forth the quote stability coefficients. 

Under Rule 7.31E(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 7.31E(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 Exchange 

Book, except during periods of quote 

instability as defined in Rule 

7.31E(h)(3)(D). 

Rule 7.31E(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 7.31E(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 

7.31E(h)(3)(D)(i)(D)(1)(a) and Rule 

7.31E(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 

7.31E(h)(3) was adopted. The proposed 

changes are intended to update the 

quote stability coefficients to be based 

on more current market data and 

activity on the Exchange, including to 

reflect the Exchange’s elimination of a 

delay mechanism that previously added 

latency to certain order processing (the 

‘‘Delay Mechanism’’).6

The Exchange reviewed NYSE 

American 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 

American 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 7.31E(h)(3)(D)(i)(D)(1)(a)(i) through 

(v) as follows: 

Quote stability 

coefficient 

Current 

value 

Proposed 

value 

C0 ..................... ¥2.39515 ¥2.174901 


jspears on DSK121TN23PROD with NOTICES1
17350 Federal Register / Vol. 87, No. 59 / Monday, March 28, 2022 / Notices 

7 15 U.S.C. 78f(b). 

8 15 U.S.C. 78f(b)(5). 9 17 CFR 200.30–3(a)(12). 

Quote stability 

coefficient 

Current 

value 

Proposed 

value 

C1 ..................... ¥0.76504 ¥0.561555 

C2 ..................... 0.07599 0.077739 

C3 ..................... 0.38374 0.4860265 

C4 ..................... 0.14466 0.1627735 

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 (including the 

elimination of the Delay Mechanism), 

would improve the calibration of the 

quote instability calculation to activity 

on the Exchange, thereby enhancing 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,7

in general, and furthers the objectives of 

Section 6(b)(5),8 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 

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 account for 

the fact that the Exchange no longer 

operates with the Delay Mechanism), 

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 rule-comments@

sec.gov. Please include File Number SR– 

NYSEAMER–2022–15 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–NYSEAMER–2022–15. 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–NYSEAMER–2022–15 and 

should be submitted on or before April 

18, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.9

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–06386 Filed 3–25–22; 8:45 am] 

BILLING CODE 8011–01–P 


jspears on DSK121TN23PROD with NOTICES1