Federal Register / Vol. 86, No. 181 / Wednesday, September 22, 2021 / Notices 52713 

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

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78s(b)(1). 

4 17 CFR 240.19b–4. 

5 15 U.S.C. 78s(b)(3)(A). 

6 17 CFR 240.19b–4. 

7See IEX Rule 11.190(b)(2). 

8An odd lot order is generally any order of less 

than 100 shares (the size of a round lot order). See 

IEX Rule 11.180(a). 

9See IEX Rule 1.160(s). 

10See IEX Rule 1.160(p). 

11See IEX Rule 1.160(nn). 

12See IEX Rule 1.160(u). 

13See, e.g., Cboe BZX Exchange, Inc. (‘‘BZX’’) 

Rule 11.9(c)(1); MEMX, LLC (‘‘MEMX’’) Rule 

11.8(b)(4); The Nasdaq Stock Market LLC 

(‘‘Nasdaq’’) Rule 4703(h); and New York Stock 

Exchange LLC Rule 7.31(d)(1). 

14See IEX Rule 11.190(a)(1). 

15See IEX Rule 11.190(b)(2). 

16See IEX Rule 1.160(qq). The text of IEX Rule 

11.190(b)(2) uses the term ‘‘User’’, so any direct 

references to the text of the rule will use the term 

‘‘User.’’ Otherwise, for purposes of this rule filing, 

the term ‘‘Member’’ will be used synonymously 

with the term ‘‘User.’’ 

Office of the General Counsel to spend 

amounts exceeding the previously 

approved program area budget for the 

year. As a result, on July 14, 2021 it 

submitted a supplemental budget to the 

SEC. The PCAOB’s 2021 supplemental 

budget requests Commission approval to 

transfer $3.4 million of FY 2021 funding 

from a certain program area in which all 

funds allocated are projected to not be 

spent in 2021 to the Office of the 

General Counsel to cover the projected 

excess costs related to the engagement 

of outside counsel. The supplemental 

budget does not request an increase to 

the PCAOB’s previously approved 2021 

budget of $287.3 million. 

The Commission directs the PCAOB 

to keep the Commission, through staff in 

its Office of the Chief Accountant, 

apprised each month of monthly legal 

expenses incurred and paid through the 

end of its fiscal year 2021. Separately, 

the Commission directs that the PCAOB 

implement policies and procedures to 

ensure additional funds will not be 

required for spending on outside 

counsel for the 2021 fiscal year beyond 

those approved in this Order. The 

Commission also directs the PCAOB to 

inform the Commission of all of the 

steps it will take to reduce its current 

and future reliance on outside counsel. 

The Commission has determined that 

the PCAOB’s 2021 supplemental budget 

is consistent with Section 109 of the 

Sarbanes-Oxley Act. Accordingly, 

It is ordered, pursuant to Section 109 

of the Sarbanes-Oxley Act, that the 

PCAOB supplemental budget for 

calendar year 2021 is approved. 

By the Commission. 

Vanessa A. Countryman, 

Secretary. 

[FR Doc. 2021–20515 Filed 9–21–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–93027; File No. SR–IEX– 

2021–11] 

Self-Regulatory Organizations; 

Investors Exchange LLC; Notice of 

Filing and Immediate Effectiveness of 

a Proposed Rule Change To Provide 

That a Reserve Order May Have (i) an 

Odd Lot Sized Display Quantity and (ii) 

an Optional Random Initial and 

Replenishment Display Quantity 

September 16, 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 

September 14, 2021, the Investors 

Exchange LLC (‘‘IEX’’ 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 

Pursuant to the provisions of Section 

19(b)(1) under the Act,3 and Rule 19b– 

4 thereunder,4 IEX is filing with the 

Commission a proposed rule change to 

provide that a reserve order may have (i) 

an odd lot sized display quantity and 

(ii) an optional random initial and 

replenishment display quantity. The 

Exchange has designated this rule 

change as ‘‘non-controversial’’ under 

Section 19(b)(3)(A) of the Act 5 and 

provided the Commission with the 

notice required by Rule 19b–4(f)(6) 

thereunder.6

The text of the proposed rule change 

is available at the Exchange’s website at 

www.iextrading.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 the 

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 these statements may be examined at 

the places specified in Item IV below. 

The self-regulatory organization 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 the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of the proposed rule 

filing is to amend IEX Rule 11.190(b)(2) 

to provide that a reserve order 7 may 

have (i) an odd lot 8 size display 

quantity and (ii) an optional random 

initial and replenishment display 

quantity. Specifically, as proposed, a 

reserve order may have an odd lot as 

well as a round or mixed lot initial and 

replenishment display quantity. In 

addition, as proposed, a Member 9 may 

attach an optional random 

replenishment instruction to any reserve 

order pursuant to which the reserve 

order’s display quantity (both upon 

initial posting to the Order Book 10 and 

upon any subsequent replenishments) 

would be randomly determined by the 

System 11 within a replenishment range 

specified by the Member. In addition, 

IEX proposes to make conforming edits 

to IEX Rules 11.190(b)(2) and 

11.220(a)(1)(C) reflecting the proposed 

changes to reserve order functionality. 

The proposed changes are designed to 

increase displayed liquidity on the 

Exchange (potentially at prices better 

than the NBBO),12 to the benefit of all 

market participants, by providing 

additional optionality to Members in the 

use of odd lot size reserve order 

displayed quantities, as well as helping 

to protect Members using reserve orders 

with random replenishment from 

potential information leakage. 

Background 

IEX, like other equities exchanges,13

offers Members a ‘‘reserve’’ order type, 

which allows Members to submit a 

partially displayed limit order,14 so that 

a portion of the order is displayed 

(‘‘display quantity’’) and a portion of the 

order is non-displayed (‘‘reserve 

quantity’’).15 As set forth in IEX Rule 

11.190(b)(2), when Users 16 submit a 

reserve order, they must specify the 

display quantity (which must be a 

round or mixed lot). Upon entry, the 

System attempts to execute a reserve 

order as a single order of its full, 

unexecuted size. If an incoming reserve 

order is not fully executed, it posts to 

the Order Book where it is effectively 

52714 Federal Register / Vol. 86, No. 181 / Wednesday, September 22, 2021 / Notices 

17See IEX Rule 11.190(h)(1). 18See IEX Rule 11.190(h)(2). 19See Securities Exchange Act Release No. 90933 

(January 15, 2021), 86 FR 6687 (January 22, 2021) 

(SR–IEX–2021–01). 20See supra note 19. 

21See Securities Exchange Act Release No. 83768 

(August 3, 2018), 83 FR 39488 (August 9, 2018). The 

fact that, until 2018, NYSE triggered replenishment 

with any partial execution of the display portion of 

a reserve order shows that only replenishing a 

reserve order when it decrements to less than a 

round lot is not the only Commission-approved 

replenishment trigger. 

22See BZX Rule 21.1(d)(1); Cboe EDGX Exchange, 

Inc. (‘‘EDGX’’) Rule 21.1(d)(1). 

23As of July 2021, there are 21 securities trading 

for $1,000 per share or more, and an additional 38 

securities trading between $500 and $999.99 per 

share. 

24See Securities Exchange Act Release No. 90610 

(December 9, 2020), 86 FR 18596, 18616 n. 240 

(April 9, 2021) (‘‘Market Data Infrastructure Final 

Rule’’). 

treated as two discrete orders: The User 

instructed display quantity posts to the 

Order Book as a displayed order 

(‘‘displayed portion’’) and the reserve 

quantity posts to the Order Book as a 

non-displayed order (‘‘non-displayed 

portion’’). For the purposes of pricing 

reserve orders on the Order Book, 

displayed portions are treated as 

displayed orders and non-displayed 

portions are treated as non-displayed 

orders. As described in IEX Rule 

11.190(h), it is possible for the nondisplayed portion to rest at a different 

price than the displayed portion, 

because the displayed portion is subject 

to display-price sliding 17 while the nondisplayed portion is subject to the 

Midpoint Price Constraint.18 If the 

displayed portion of the reserve order is 

decremented such that less than one 

round lot would be displayed, the 

displayed portion of the reserve order 

shall be refreshed for either (i) the 

original displayed quantity, or (ii) the 

entire reserve quantity, if the total 

number of unexecuted shares in the 

order is smaller than the original 

Member instructed displayed quantity. 

Each time the displayed portion of the 

order is refreshed from the reserve 

quantity, that portion is prioritized 

behind other existing displayed orders; 

the priority of the non-displayed 

portion, however, is unchanged by the 

refresh process. 

IEX recently implemented a rule 

change that provides for the option to 

display odd lot size orders, including 

allowing them to aggregate to form a 

protected quotation.19 In connection 

with the implementation of displayed 

odd lot size orders, IEX modified its 

reserve order functionality to provide 

that if the display quantity of a reserve 

order decrements to less than a round 

lot (and there are not enough shares 

remaining in the reserve quantity to 

refresh the display quantity to more 

than a round lot), the display quantity 

retains its displayed status and its 

execution priority.20

Proposal 

IEX proposes to amend IEX Rule 

11.190(b)(2) to: (i) Allow reserve orders 

to be submitted with an odd lot sized 

display portion; and (ii) allow Members 

to elect that the initial and 

replenishment display quantity for the 

reserve order will be randomly 

determined by the System within a 

range specified by the Member. As 

described below, IEX believes this 

proposal, which combines order types 

and functionality previously considered 

by the Commission, will encourage the 

posting of more displayed liquidity on 

the Exchange in a manner that benefits 

all market participants. 

1. Odd Lot Display Quantity Reserve 

Orders 

IEX proposes to modify its reserve 

order type to allow Members to submit 

a reserve order with an odd lot size 

display quantity, in addition to the 

current functionality which allows 

Members to submit a reserve order with 

either a round or mixed lot size display 

quantity. 

As proposed, odd lot size display 

quantity reserve orders (‘‘Displayed Odd 

Lot Reserve orders’’) would function 

much like a round or mixed lot size 

display quantity reserve order, except 

that the display quantity would only 

replenish from the reserve quantity 

when the displayed portion of the order 

is decremented to zero shares, as 

opposed to round and mixed lot size 

display quantity reserve orders, which 

would continue to replenish the display 

quantity whenever they decrement to 

less than a round lot. IEX believes that 

replenishing a Displayed Odd Lot 

Reserve order only when the display 

quantity has been fully exhausted is the 

most reasonable and workable 

approach. As a threshold matter, the 

display quantity of a Displayed Odd Lot 

Reserve order by definition will always 

be less than a round lot and will vary 

based on the Member instructed 

displayed quantity and can be as low as 

one share. Therefore, the trigger for 

replenishment cannot be a quantity that 

is the same for all orders unless it is 

when the displayed quantity 

decrements to zero. 

IEX notes that it also considered 

having Displayed Odd Lot Reserve 

orders replenish anytime one or more 

share of the displayed portion was 

executed, but decided against it for the 

following reasons. First, as a practical 

matter, Displayed Odd Lot Reserve 

orders will be far less useful to Members 

if any partial executions of the display 

portion trigger a replenishment, 

resulting in the display portion 

receiving a new time stamp and being 

prioritized behind all other existing 

displayed orders at that price. Second, 

as discussed below, a Displayed Odd 

Lot Reserve order would be eligible for 

optional random replenishment, which 

means the next time the display 

quantity of the order replenishes, it 

could be randomly set at a value lower 

than the prior display quantity, and IEX 

seeks to avoid this confusing and 

illogical outcome. Third, IEX believes 

that having a Displayed Odd Lot 

Reserve Order replenish any time there 

is a partial execution of the displayed 

portion of the order could increase the 

likelihood of adverse selection through 

information leakage of the presence of a 

larger non-displayed reserve portion of 

the order. IEX notes that the 

Commission made the same 

determination when it approved a 2018 

rule filing by the New York Stock 

Exchange LLC (‘‘NYSE’’) that changed 

NYSE’s reserve order replenishment 

trigger from replenishing after any 

execution of a portion of the displayed 

quantity to only replenishing when the 

display quantity decrements to less than 

a round lot.21 Based on informal 

discussions with Members, IEX believes 

that the proposed approach would lead 

to increased use of Displayed Odd Lot 

Reserve orders compared to other 

approaches, as discussed above. IEX 

also notes that this proposed approach 

to Displayed Odd Lot Reserve order 

replenishment mirrors the functionality 

of options exchanges with reserve order 

types that display in odd lot quantities 

that replenish their display quantity 

only when it is fully exhausted.22

IEX believes that providing for 

Displayed Odd Lot Reserve orders will 

incentivize the posting of more 

displayed liquidity on IEX, and the 

corresponding opportunity for market 

participants to interact with displayed 

liquidity. In this regard, IEX believes 

that the increasing prevalence of highpriced securities (including many 

securities that trade for more than 

$1,000 per share) 23 makes quoting in 

round lot multiples inaccessible to some 

market participants. As the Commission 

recently noted, ‘‘a significant proportion 

of quotation and trading activity occurs 

in odd-lots, particularly for frequently 

traded, high priced stocks.’’ 24 The 

Commission also noted that ‘‘frequently 

traded, high priced securities were more 

likely to have executions occur in oddlot sizes (about 34% of the share volume 

of the 50 securities with the highest 

Federal Register / Vol. 86, No. 181 / Wednesday, September 22, 2021 / Notices 52715 

25See supra note 24. 

26See supra note 24. 

27 Displayed odd lot orders do not update the 

NBBO unless aggregated to form a round lot size 

quotation, and thus can be priced better than the 

NBBO. 

28See BZX Rule 11.9(c)(1); Cboe BYX Exchange, 

Inc. (‘‘BYX’’) Rule 11.9(c)(1); Cboe EDGA Exchange, 

Inc. (‘‘EDGA’’) Rule 11.6(m); EDGX Rule 11.6(m); 

see also Cboe US Equities FIX Specification 

(Version 2.9.2) avail. at http://cdn.cboe.com/ 

resources/membership/Cboe_US_Equities_FIX_

Specification.pdf (setting no minimum value for the 

user instructed display quantity for reserve orders). 

IEX notes that the Cboe equity exchange rules 

clearly allow for the entry of an odd lot size display 

quantity, but are unclear as to how much the 

display quantity must decrement before it 

replenishes to its initial display quantity. 

29See supra note 22. 

30Because random replenishment would not be 

available for mixed lot display quantity reserve 

orders, the maximum value for the random 

replenishment range of a Displayed Odd Lot 

Reserve order must be one share less than a round 

lot. Therefore, if a Member submitted a Displayed 

Odd Lot Reserve order with a Max Floor of 95 and 

a Display Range of 10, the System would randomly 

select a replenishment value between 85 and 99. 

31 Identification of a large resting non-displayed 

order on an exchange can provide information 

regarding buy or sell interest resulting in market 

moving trading adverse to the resting order. 

share prices) than lower priced 

securities (about 3.4% of the 50 

securities with the lowest share 

prices).’’ 25

Furthermore, the Commission has 

noted that almost half of all onexchange trades are odd lot sized, and 

about 40% of those odd lot trades occur 

at prices better than the NBBO.26 Thus, 

allowing reserve orders to display odd 

lot quantities would both encourage the 

posting of more displayed liquidity on 

the Exchange, and offer more price 

improvement for high priced stocks that 

often trade in odd lot quantities at better 

prices than the NBBO.27

Additionally, based on informal 

discussions with IEX Members, the 

Exchange believes that use of reserve 

orders would increase in high priced 

securities if the displayed portion of the 

reserve order could be entered in an odd 

lot quantity. 

IEX notes that its proposal for 

Displayed Odd Lot Reserve orders is not 

novel, in that all four of the Cboe 

equities exchanges allow a reserve order 

to be submitted with a user instructed 

display quantity of less than one round 

lot.28 Additionally, BZX’s and EDGX’s 

options exchanges offer displayed odd 

lot reserve orders that replenish in the 

same manner as the current proposal— 

when the displayed portion of the odd 

lot reserve order is fully executed, the 

order is replenished from the reserve 

quantity.29

2. Random Replenishment 

IEX proposes to offer Members the 

option to elect that the initial and each 

replenishment display quantity for the 

reserve order will be randomly 

determined by the System within a 

range specified by the Member. IEX 

proposes to add the defined term of 

‘‘Max Floor’’ to IEX Rule 11.190(b)(2), to 

specify the base display quantity for all 

reserve orders. As proposed, a Member 

can submit a reserve order with a Max 

Floor in an odd lot quantity, as well as 

in a quantity equal to or greater than a 

round lot as provided for under current 

rules. Further, IEX proposes that if the 

reserve order’s Max Floor is either an 

odd lot or a round lot multiple, the 

Member may include an instruction that 

the reserve order’s display quantity be 

randomly replenished (as discussed 

below, random replenishment would 

not be available to reserve orders with 

a Max Floor of either a single round lot 

or a mixed lot). 

As proposed, Members may attach an 

optional random replenishment 

instruction (the ‘‘Display Range’’) to any 

reserve order with a Max Floor of either 

an odd lot or a round lot multiple. If the 

Member includes a Display Range with 

a reserve order, the reserve order’s 

display quantities (both upon initial 

posting and upon any subsequent 

replenishments) would be randomly 

determined by the System within a 

replenishment range specified by the 

Member. Specifically, the Member 

would specify a Display Range and a 

Max Floor. The System would then 

randomly select the number of shares it 

will use to replenish the display 

quantity in the following ways 

(depending upon the Max Floor of the 

Order): 

• If the reserve order’s Max Floor 

equals a round lot multiple, the Member 

would select a Display Range in a round 

lot or multiple thereof that is less than 

the Max Floor. The System would then 

use the Max Floor and Display Range to 

determine the initial and replenishment 

displayed quantity each time the order 

is subject to replenishment by randomly 

selecting a round lot number of shares 

that is between the Max Floor minus the 

Display Range and the Max Floor plus 

the Display Range. 

• If the reserve order’s Max Floor is 

less than one round lot, the Member 

would select a Display Range of one or 

more shares that is less than the Max 

Floor. The System would then use the 

Max Floor and Display Range to 

determine the initial and replenishment 

displayed quantity each time the order 

is subject to replenishment by randomly 

selecting a number of shares that is 

between the Max Floor minus the 

Display Range and the Max Floor plus 

the Display Range (provided that if the 

Max Floor plus the Display Range 

equals a round lot or greater, the high 

end of the Display Range will be one 

share less than a round lot).30

As proposed, Members could still 

elect to have their reserve orders employ 

the current, fixed replenishment, 

functionality. In order to use fixed 

replenishment, a Member would submit 

a reserve order with a Max Floor, but 

without a Display Range. With fixed 

replenishment, the display quantity will 

be equal to the Max Floor both when the 

order first posts to the Order Book and 

any time the display quantity is 

replenished from the reserve (i.e., when 

the display quantity is decremented to 

zero shares if the Max Floor is less than 

one round lot, or any time the display 

quantity decrements to less than one 

round lot if the Max Floor is greater 

than or equal to a round lot). 

Random replenishment for reserve 

orders is an optional additional tool to 

assist Members in achieving the general 

goal of reserve orders, which is to 

display less than the full size of the 

order to avoid leaking information 

regarding the presence of a large resting 

reserve order.31 Because random 

replenishment results in the display 

quantity of a Reserve order varying with 

each replenishment, this functionality 

will further reduce the ability of other 

market participants to detect that such 

order is in fact a reserve order with a 

potentially large non-displayed reserve 

portion. 

IEX is not proposing to offer random 

replenishment for reserve orders with a 

Max Floor of a single round lot because 

the random replenishment functionality 

would not work with a Max Floor of one 

round lot. Specifically, as noted above, 

when a Member selects random 

replenishment for a reserve order, the 

Member must submit the order with a 

Display Range that is less than the Max 

Floor. Thus, if a reserve order’s Max 

Floor is one round lot, the Display 

Range must be zero, so the reserve order 

will always replenish using only the 

Max Floor, rendering random 

replenishment inoperable. Therefore, 

reserve orders with a Max Floor equal 

to one round lot will only be able to use 

the current fixed replenishment 

functionality. 

Additionally, IEX is not proposing to 

offer random replenishment for reserve 

orders with a Max Floor that is a mixed 

lot because implementation would 

involve technical complexity. From 

informal discussions with Members, IEX 

determined there was little interest in 

having the option of random 

replenishment for a displayed mixed lot 

52716 Federal Register / Vol. 86, No. 181 / Wednesday, September 22, 2021 / Notices 

32See BZX Rule 11.9(c)(1); EDGX Rule 11.6(m); 

MIAX PEARL LLC Rule 2614(c)(8)(A); MEMX Rule 

11.6(k)(1)(A); Nasdaq Rule 4703(h). 

33See supra note 22; see also Cboe US Options 

FIX Specification (Version 2.7.37) avail. at https:// 

cdn.cboe.com/resources/membership/US_Options_

FIX_Specification.pdf (random replenishment of an 

option reserve order requires a Display Range of one 

or more shares, which is the same functionality IEX 

is proposing for random replenishment of a 

Displayed Odd Lot Reserve order). 

34Because IEX is proposing to delete 

subparagraph (H) of the rule, while adding a new 

subparagraph (A), subparagraph (I) will not need to 

be renumbered. 

reserve order. Thus, IEX believes that 

offering only fixed replenishment for 

displayed mixed lot reserve orders 

strikes the right balance of offering 

enhanced reserve order functionality to 

Members without introducing 

unnecessary technical complexity to its 

reserve order functionality. 

IEX notes that the proposed random 

replenishment functionality for reserve 

orders with a Max Floor that is a round 

lot multiple is substantially similar to 

that of several other equity exchanges 

that offer random replenishment for 

reserve orders.32 And as described 

above, the proposed new random 

replenishment functionality for reserve 

orders with a Max Floor that is less than 

a round lot is substantially similar to the 

functionality used by options exchanges 

that offer displayed odd lot reserve 

orders with random replenishment.33

The following examples demonstrate 

the proposed odd lot fixed and random 

replenishment functionality: 

Example 1: Displayed Odd Lot Reserve 

Order With Fixed Replenishment 

• Member submits a reserve order to 

buy 200 shares of XYZ with a Max Floor 

of 20 and no Display Range. 

• The order does not execute upon 

entry and posts to the Order Book with 

a display quantity of 20 shares and a 

reserve quantity of 180 shares. 

• An inbound order to sell 10 shares 

of XYZ is entered into the System and 

executes against 10 shares of the 

displayed quantity. The reserve order 

has a displayed portion of 10 shares and 

a reserve quantity of 180 shares. 

Because the displayed portion did not 

decrement to zero shares, it does not get 

replenished. 

• A second inbound market order to 

sell 10 shares of XYX is entered into the 

System and executes against the 

remaining displayed quantity, 

decrementing it zero shares. 

• The System replenishes the display 

quantity to 20 shares (the Max Floor), 

leaving a reserve quantity of 160 shares. 

Example 2: Displayed Round Lot 

Multiple Reserve Order With Random 

Replenishment 

• Member submits a reserve order to 

buy 2000 shares of XYZ with a Max 

Floor of 400 and a Display Range of 200. 

• The order does not execute on 

entry, and the System uses the Max 

Floor and the Display Range to generate 

a replenishment range of either 200, 

300, 400, 500, or 600 shares from which 

the System will randomly select the 

initial replenishment quantity. The 

System randomly selects 300 as the 

initial replenishment quantity, meaning 

the reserve order’s initial display 

quantity will be 300 shares, with a 

reserve quantity of 1,700 shares. 

• An incoming order to sell 250 

shares matches with the resting reserve 

order’s display quantity, leaving 50 

shares in the display quantity (and 

1,700 in the reserve quantity). 

• Because the Max Floor is at least 

one round lot, the reserve order 

replenishes when the display quantity 

decrements to less than one round lot, 

so the System again randomly selects a 

replenishment quantity from the 

replenishment range of either 200, 300, 

400, 500, or 600 shares. The System 

randomly selects 600 as the next 

replenishment quantity, meaning the 

display quantity will be replenished to 

600 shares, with 550 shares 

decremented from the reserve quantity, 

which will now be 1,150 shares. 

Example 3: Displayed Odd Lot Reserve 

Order With Random Replenishment 

• Member submits a reserve order to 

buy 200 shares with a Max Floor of 50 

and a Display Range of 3. 

• The order does not execute on 

entry, and the System generates a 

replenishment range of either 47, 48, 49, 

50, 51, 52, or 53 from which the System 

will randomly select the replenishment 

quantity. The System randomly selects 

48 as the initial replenishment quantity, 

meaning the displayed quantity will be 

48 shares, with the remaining 152 

shares in the reserve quantity. 

• An incoming order to sell 48 shares 

matches with the resting reserve order’s 

displayed portion, leaving 0 shares in 

the display quantity (and 152 shares in 

the reserve quantity). 

• Because the Max Floor is an odd 

lot, and the display quantity 

decremented to zero shares, the reserve 

order replenishes the display quantity, 

so the System again randomly selects a 

replenishment quantity from the 

replenishment range of either 47, 48, 49, 

50, 51, 52, or 53 shares. The System 

randomly selects 53 as the next 

replenishment quantity, meaning the 

display quantity will be replenished to 

53 shares, with 53 shares decremented 

from the reserve quantity, which will 

now be 99 shares. 

IEX is also proposing to make the 

following conforming changes to IEX 

Rule 11.190(b)(2). First, IEX proposes to 

delete current subparagraph (H), which 

describes how a displayed portion of a 

reserve order retains its displayed status 

and priority if it decrements to an odd 

lot, because it is rendered redundant by 

the introduction of displayed quantity 

odd lot reserve orders. Second, IEX 

proposes to renumber current 

subparagraphs (A) to (G) of the rule as 

subparagraphs (B) to (H) to incorporate 

the addition of new introductory 

subparagraph (A).34 Third, IEX proposes 

to modify Supplementary Material .01 

(‘‘Reserve Orders’’) to clarify that 

displayed portions would be 

replenished based on the replenishment 

options in new IEX Rule 

11.190(b)(2)(A). Finally, IEX proposes to 

modify IEX Rule 11.220(a)(C)(v) to 

change the term ‘‘refreshed’’ to 

‘‘replenished’’ and to clarify that not all 

reserve orders replenish when the 

display portion decrements to less than 

one round lot, but rather pursuant to the 

conditions set forth in the proposed 

changes to IEX Rule 11.190(b)(2). 

The following is a list of the specific 

proposed changes to IEX Rule 

11.190(b)(2): 

• Modify any references in the rule to 

a ‘‘refresh’’ of the display quantity to the 

more technically accurate term 

‘‘replenish,’’ which reflects the manner 

in which the System replenishes the 

displayed portion of a reserve order 

with shares taken from the nondisplayed portion. 

• Modify the second sentence of IEX 

Rule 11.190(b)(2) to add language 

stating that the display quantity ‘‘may 

be a fixed or random number of shares; 

and an odd, mixed, or round lot 

quantity,’’ and delete the language 

stating that User provided display 

quantity ‘‘must be equal to or greater 

than a round lot; the System will reject 

a reserve order with a User instructed 

display quantity less than a round lot.’’ 

• Modify the fourth sentence of IEX 

Rule 11.190(b)(2) to add language 

specifying that the User instructed 

display quantity may be determined by 

‘‘fixed or random replenishment.’’ 

• Add a new seventh sentence of IEX 

Rule 11.190(b)(2) stating that to enter a 

reserve order, a User must specify a base 

display quantity (‘‘Max Floor’’) and may 

enter a replenishment value as 

described in subparagraph (A) of IEX 

Rule 11.190(b). 

• Modify the eighth sentence of IEX 

Rule 11.190(b)(2) (formerly the seventh 

sentence) to add language clarifying that 

a reserve order with a Max Floor of a 

Federal Register / Vol. 86, No. 181 / Wednesday, September 22, 2021 / Notices 52717 

35 15 U.S.C. 78f(b). 

36 15 U.S.C. 78f(b)(5). 

round lot or greater will continue to 

replenish its displayed portion when 

the displayed portion decrements to less 

than one round lot. Also modify the 

language about how a reserve order with 

a Max Floor replenishes by removing 

the language about how it always 

replenishes to the original displayed 

quantity and adding language stating 

that the reserve order will replenish its 

displayed portion pursuant to one of the 

replenishment processes set forth in the 

newly added subparagraph (A) of the 

rule. 

• Add a new ninth sentence of IEX 

Rule 11.190(b)(2) stating that a reserve 

order with a Max Floor of less than one 

round lot (an odd lot), will replenish its 

displayed portion when the displayed 

portion is decremented to zero shares, 

and add language stating that the 

reserve order will replenish its 

displayed portion pursuant to one of the 

replenishment processes set forth in the 

newly added subparagraph (A) of the 

rule. 

• Add to the end of the eleventh 

sentence of IEX Rule 11.190(b)(2) 

(formerly the ninth sentence) the 

language that a reserve order ‘‘has the 

following attributes:’’ set forth in the 

subsequent subparagraphs. 

• Add new subsection (A) to IEX Rule 

11.190(b)(2) (‘‘Replenishment Options’’) 

that reads: ‘‘The following 

replenishment options determine the 

size of the displayed quantity for any 

reserve order that does not fully execute 

on entry. 

• Add new subsection (A)(i) to IEX 

Rule 11.190(b)(2) (‘‘Random 

Replenishment’’) that sets forth new the 

random replenishment functionality, as 

detailed in this filing. 

• Add new subsection (A)(i)(a) to IEX 

Rule 11.190(b)(2) (‘‘Random 

Replenishment’’) that sets forth new the 

random replenishment functionality for 

reserve orders with a Max Floor equal 

to a round lot multiple, which is 

detailed in this filing. 

• Add new subsection (A)(i)(b) to IEX 

Rule 11.190(b)(2) (‘‘Random 

Replenishment’’) that sets forth new the 

random replenishment functionality for 

reserve orders with a Max Floor equal 

to less than one round lot, which is 

detailed in this filing. 

• Add new subsection (A)(ii) to IEX 

Rule 11.190(b)(2) (‘‘Fixed 

Replenishment’’) that sets forth 

retention of the current replenishment 

functionality for all orders for which 

random replenishment has not been 

selected, as detailed in this filing. 

• Renumber current subparagraphs 

(A) to (G) of current IEX Rule 

11.190(b)(2) to subparagraphs (B) to (H). 

• Remove current subparagraph (H) of 

current IEX Rule 11.190(b)(2). 

• Modify Supplementary Material .01 

(‘‘Reserve Orders’’) as follows: (i) In the 

first sentence, add ‘‘on entry’’ after the 

words ‘‘if a reserve order is not fully 

executed’’ for clarity; (ii) in the same 

sentence, remove the words ‘‘for the 

User instructed’’ that describe the 

display quantity and replace them with 

the words ‘‘based on the replenishment 

options sets forth in paragraph (b)(2)(A) 

of this IEX Rule;’’ (iii) in the same 

sentence, add the word ‘‘quantity’’ after 

the words ‘‘non-displayed’’ for clarity 

and consistency (matching the earlier 

phrase ‘‘displayed quantity’’). 

• Modify IEX Rule 11.220(a)(C)(v) to 

change the term ‘‘refreshed’’ to 

‘‘replenished’’ and to remove the words 

‘‘after receiving an execution that 

decrements the displayed portion of a 

reserve order below one round lot 

pursuant to’’ and replace them with the 

words ‘‘as set forth in [IEX Rule 

11.190(b)(2)]’’ to reflect that not all 

reserve orders replenish when the 

display portion decrements to less than 

one round lot, but rather pursuant to the 

conditions set forth in the proposed 

changes to IEX Rule 11.190(b)(2). 

Implementation 

The Exchange will implement the 

proposed rule change within 90 days of 

filing, subject to the 30-day operative 

delay, and provide at least ten (10) days’ 

notice to Members and market 

participants of the implementation 

timeline. 

2. Statutory Basis 

The Exchange believes that the 

proposed rule change is consistent with 

Section 6(b) of the Act,35 in general, and 

furthers the objectives of Section 

6(b)(5),36 in particular, in that 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, 

and 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, the Exchange believes that 

the proposed rule change is consistent 

with the protection of investors and the 

public interest because it is designed to 

provide more flexibility and 

opportunities for Members to add 

displayed liquidity to the Exchange. As 

noted in the Purpose section, the 

proposed rule change is responsive to 

informal feedback from Members 

indicating that they prefer the 

optionality to use Displayed Odd Lot 

Reserve orders to post displayed 

liquidity, particularly for high-priced 

securities. Thus, IEX believes that the 

proposed rule change will attract 

additional displayed liquidity to the 

Exchange and, to the extent it is 

successful in doing so, will benefit all 

market participants, thereby supporting 

the purposes of the Act 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 also 

believes that, as discussed in the 

Purpose section, enabling the use of 

Displayed Odd Lot Reserve orders will 

enhance opportunities for price 

discovery and increase the overall 

displayed liquidity profile on the 

Exchange to the benefit of all market 

participants. 

Additionally, IEX believes that having 

a Displayed Odd Lot Reserve order 

replenish its displayed portion when it 

decrements to zero shares is consistent 

with the Act, because, as discussed in 

the Purpose section, it is the most 

workable reasonable approach to 

protecting investors from information 

leakage and potential adverse selection 

in a manner responsive to Members’ 

feedback. Accordingly, IEX believes that 

this approach could incentivize the use 

of more reserve orders thereby 

increasing the availability of displayed 

liquidity over fully non-displayed 

orders. For all these reasons, IEX 

believes that replenishing Displayed 

Odd Lot Reserve orders when the 

displayed portion decrements to zero 

supports investor protection and the 

public interest. 

Further, IEX believes that the addition 

of the random replenishment option for 

reserve orders is consistent with the Act 

as it is designed to help to achieve the 

general goal of reserve orders, which is 

to display less than the full size of the 

order to avoid leaking information about 

the presence of a large resting reserve 

order which can result in market 

movement adverse to the reserve order. 

Because random replenishment results 

in the display quantity of a reserve order 

varying with each replenishment, this 

functionality will further reduce the 

ability of other market participants to 

detect that such order is in fact a reserve 

order. 

Furthermore, IEX believes it is 

consistent with the Act to offer only 

fixed replenishment for reserve orders 

with a Max Floor of a single round lot 

or a mixed lot for the reasons discussed 

52718 Federal Register / Vol. 86, No. 181 / Wednesday, September 22, 2021 / Notices 

37See supra note 32. 

38See supra note 22. 

39 15 U.S.C. 78s(b)(3)(A)(iii). 

40 17 CFR 240.19b–4(f)(6). 

41 15 U.S.C. 78s(b)(3)(A). 

42 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6)(iii) requires the Exchange to give the 

Commission written notice of the Exchange’s intent 

to file the proposed rule change, along with a brief 

description and text of the proposed rule change, 

at least five business days prior to the date of filing 

of the proposed rule change, or such shorter time 

as designated by the Commission. The Exchange 

has satisfied this requirement. 

in the Purpose section. IEX believes that 

the proposed approach provides a 

reasonable approach with appropriate 

optionality. 

IEX also notes that, as discussed in 

the Purpose section, the proposed 

random replenishment functionality is 

consistent with the rules of several other 

equities 37 and options 38 exchanges and 

thus the Exchange does not believe that 

this aspect of the proposed rule change 

raises any new or novel issues not 

already considered by the Commission. 

Finally, the Exchange believes that 

the proposed non-substantive 

conforming changes to IEX Rule 

11.190(b)(2) (including the 

supplementary material) and IEX Rule 

11.220(a)(1)(C) are consistent with the 

protection of investors and the public 

interest because they will have no 

impact on the functionality of reserve 

orders, but rather simply provide 

consistency and clarity to how reserve 

orders function, thereby reducing the 

potential for confusion of any market 

participants. 

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 does not believe that 

the proposed rule change will impose 

any burden on intermarket competition 

that is not necessary or appropriate in 

furtherance of the purposes of the Act. 

To the contrary, the proposal is 

designed to enhance IEX’s 

competitiveness with other markets by 

enabling IEX to offer reserve order 

functionality substantially similar to 

that offered by several other equity 

exchanges. As discussed in the Purpose 

section, the proposal is designed to 

incentivize the entry of additional 

liquidity providing orders on IEX by 

offering Members the flexibility of using 

an odd lot display quantity as well as 

random replenishment of the displayed 

quantity of a reserve order as described 

in the Purpose and Statutory Basis 

sections. Thus, IEX believes that the 

proposed rule change will enhance its 

ability to compete with other exchanges 

that already offer this functionality and 

thereby attract more reserve orders to 

the Exchange, to the benefit of all 

market participants. Moreover, other 

exchanges may adopt similar 

functionality subject to the Commission 

rule filing process. 

The Exchange also does not believe 

that the proposed rule change will 

impose any burden on intramarket 

competition that is not necessary or 

appropriate in furtherance of the 

purposes of the Act. All Members would 

be eligible to use a Displayed Odd Lot 

Reserve order, and all Members would 

be eligible to use random or fixed 

replenishment for their reserve orders in 

the same manner. Moreover, the 

proposal would provide potential 

benefits to all Members to the extent 

that there is more liquidity available on 

IEX as a result of increased use of 

reserve orders. 

Further, the proposed conforming 

edits to IEX Rule 11.190(b)(2) (including 

the supplementary material) and Rule 

11.220(a)(1)(C) are not designed to 

address any competitive issue, but 

rather to provide additional clarity in 

IEX’s rulebook. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

Written comments were neither 

solicited nor received. 

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 39 and Rule 

19b–4(f)(6) thereunder.40 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 41 and Rule 19b–4(f)(6)(iii) 

thereunder.42

At any time within 60 days of the 

filing of this 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. If the 

Commission takes such action, the 

Commission will institute proceedings 

to determine whether the proposed rule 

change should be approved or 

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– 

IEX–2021–11 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–IEX–2021–11. 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 will also be available for 

inspection and copying at the IEX’s 

principal office and on its internet 

website at www.iextrading.com. All 

comments received will be posted 

without change. 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 

Federal Register / Vol. 86, No. 181 / Wednesday, September 22, 2021 / Notices 52719 

43 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. 

4Capitalized terms used in connection with 

Auctions on the Exchange are defined in Rule 

7.35(a). 

5For purposes of Auctions, the term ‘‘DMM 

Interest’’ is defined in Rule 7.35(a)(9) to mean all 

buy and sell interest entered by a DMM unit in its 

assigned securities and includes the following: (i) 

‘‘DMM Auction Liquidity,’’ which is non-displayed 

buy and sell interest that is designated for an 

Auction only (see Rule 7.35(a)(9)(A)); (ii) ‘‘DMM 

Orders,’’ which are orders, as defined under Rule 

7.31, entered by a DMM unit (see Rule 

7.35(a)(9)(B)); and (iii) ‘‘DMM After-Auction 

Orders,’’ which are orders entered by a DMM unit 

before either the Core Open Auction or Trading Halt 

Auction that do not participate in an Auction and 

are intended instead to maintain price continuity 

with reasonable depth following an Auction (see 

Rule 7.35(a)(9)(C)). 

6Auction-Only Orders available for the Closing 

Auction are defined in Rule 7.31(c)(2)(A)–(D) as the 

Limit-on-Close Order (‘‘LOC Order’’), Market-onClose Order (‘‘MOC Order’’), Closing D Order, and 

Closing Imbalance Offset Order (‘‘Closing IO 

Order’’). 

7The Commission recently approved proposed 

changes to Rule 7.35B that provide that Floor 

Broker Interest is no longer eligible to participate 

in the Closing Auction. See Securities Exchange Act 

Release No. 92480 (July 23, 2021), 86 FR 40886 

(July 29, 2021) (SR–NYSE–2020–95) (‘‘Floor Broker 

Interest Approval Order’’). The term ‘‘Floor Broker 

Interest’’ is defined in Rule 7.35(a)(10) to mean 

orders represented orally by a Floor broker at the 

point of sale. 

In light of the Floor Broker Interest Approval 

Order, the Exchange is proposing conforming 

changes to Rule 7.35B(j)(2) and subparagraph 

(A)(iii) to that Rule. Specifically, Rule 7.35B(j)(2) 

provides that, to avoid closing price dislocation that 

may result from an order entered into Exchange 

systems or represented to a DMM orally at or near 

the end of Core Trading Hours, the Exchange may 

temporarily suspend the requirement to enter all 

order instructions by the end of Core Trading 

Hours. Because the Exchange has eliminated Floor 

Broker Interest at the close, the Exchange proposes 

to delete the phrase ‘‘or represented to a DMM 

orally’’ in Rule 7.35B(j)(2). For similar reasons, the 

Exchange proposes to delete the phrase ‘‘and Floor 

Broker Interest’’ in Rule 7.35B(j)(2)(A)(iii). 

8See Rule 7.35B(e)(1)(A). DMM Orders, as 

defined in Rule 7.35(d)(9)(B), that have been 

entered by the DMM in advance of a Closing 

Auction are included in the Closing Auction 

Imbalance Information. 

9See Rule 7.35(a)(4)(C). In the case of a buy 

Imbalance, the Continuous Book Clearing Price 

would be the highest potential Closing Auction 

Price and in the case of a sell Imbalance, the 

Continuous Book Clearing Price would be the 

lowest potential Closing Auction Price. 

10See Rule 7.35B(e)(3). 

11See Rule 7.35(b)(1)(C)(ii). 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR–IEX– 

2021–11, and should be submitted on or 

before October 13, 2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.43

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–20453 Filed 9–21–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–93037; File No. SR–NYSE– 

2021–44] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; Notice of 

Filing of Proposed Rule Change To 

Amend Rules 7.31, 7.35, 7.35B, 7.35C, 

98, and 104 Relating to the Closing 

Auction 

September 16, 2021. 

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 

September 3, 2021, New York Stock 

Exchange LLC (‘‘NYSE’’ 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 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 

Rules 7.31 (Orders and Modifiers), 7.35 

(General), 7.35B (DMM-Facilitated 

Closing Auctions), 7.35C (ExchangeFacilitated Auctions), 98 (Operation of a 

DMM Unit), and 104 (Dealings and 

Responsibilities of DMMs) relating to 

the Closing Auction. 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 

Rules 7.31 (Orders and Modifiers), 7.35 

(General), 7.35B (DMM-Facilitated 

Closing Auctions), 7.35C (ExchangeFacilitated Auctions), 98 (Operation of a 

DMM Unit), and 104 (Dealings and 

Responsibilities of DMMs) relating to 

the Closing Auction.4

Overview of Current Closing Auction 

Process 

The following rules currently describe 

the Closing Auction process on the 

Exchange: Rule 7.31 (identifying the 

order types eligible to participate in an 

Auction); Rule 7.35 (general rules and 

definitions applicable to Auctions); Rule 

7.35B (describing the process for DMMfacilitated Closing Auctions); Rule 7.35C 

(describing the process for Exchangefacilitated Auctions); and Rule 104 

(establishing DMM obligations with 

respect to Closing Auctions and trading 

leading into the Closing Auction). 

The following interest is eligible to 

participate in a Closing Auction: 

• Unexecuted buy and sell orders 

resting on the Exchange Book at the end 

of Core Trading Hours (including DMM 

Orders); 5

• Auction-Only Orders; 6 and 

• DMM Auction Liquidity entered by 

the DMM in connection with facilitating 

the Closing Auction.7

Beginning 10 minutes before the 

scheduled end of Core Trading Hours, 

the Exchange begins disseminating 

through its proprietary data feed Closing 

Auction Imbalance Information that is 

calculated based on the interest eligible 

to participate in the Closing Auction.8

The Closing Auction Imbalance 

Information includes the Continuous 

Book Clearing Price, which is the price 

at which all better-priced orders eligible 

to trade in the Closing Auction on the 

Side of the Imbalance can be traded.9

The Closing Auction Imbalance 

Information also includes an Imbalance 

Reference Price, which is the Exchange 

Last Sale Price bound by the Exchange 

BBO.10 Beginning five minutes before 

the end of Core Trading Hours, Closing 

D Orders are included in the Closing 

Auction Imbalance Information at their 

undisplayed discretionary price.11 The 

Closing Auction Imbalance Information 

is updated at least every second, unless 

there is no change to the information, 

and is disseminated until the Closing