50472 Federal Register / Vol. 82, No. 209 / Tuesday, October 31, 2017 / Notices 

18 15 U.S.C. 78s(b)(3)(A)(ii). 

19 17 CFR 240.19b–4(f)(2). 

20 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. 81191 

(July 24, 2017), 82 FR 35256. 

4 15 U.S.C. 78s(b)(2). 

5See Securities Exchange Act Release No. 81558, 

82 FR 43278 (September 14, 2017). 

6 In Amendment No. 2, the Exchange: (1) 

Provided additional information regarding the 

Finally, the Exchange further believes 

that the proposed change is not unfairly 

discriminatory because it applies 

equally to all members and ADV 

calculations. 

The proposed rule change is designed 

adopt a new provision covering the 

Market Make Plus tier calculation. The 

proposed language for removing a day 

from the Market Maker Plus tier 

calculation mirrors the language 

currently in place for the ADV 

calculation, except that the Exchange 

proposes that it will not remove days 

where the Exchange closes early for 

holiday observance. While Market 

Makers can plan for known events, such 

as a holiday, they are unable to plan for 

market events which may close the 

market for part of a trading day. The 

Exchange believes that permitting the 

exception for the unanticipated event 

therefore provides flexibility to Market 

Makers in anticipating where to send 

order flow. The Exchange desires to 

incentivize Market Makers to send order 

flow to ISE to meet their tier 

requirements. The Exchange believes 

that the proposed modifications to its 

ADV and Market Maker Plus tier 

calculations are pro-competitive and 

will result in lower total costs to end 

users, a positive outcome of competitive 

markets. 

The Exchange operates in a highly 

competitive market in which market 

participants can readily direct their 

order flow to competing venues. In such 

an environment, the Exchange must 

continually review, and consider 

adjusting, its fees and rebates to remain 

competitive with other exchanges. For 

the reasons described above, the 

Exchange believes that the proposed fee 

changes reflect this competitive 

environment. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were either 

solicited or received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 

19(b)(3)(A)(ii) of the Act 18 and Rule 

19b–4(f)(2) 19 thereunder. At any time 

within 60 days of the filing of the 

proposed rule change, the Commission 

summarily may temporarily suspend 

such rule change if it appears to the 

Commission that such action is: (i) 

Necessary or appropriate in the public 

interest; (ii) for the protection of 

investors; or (iii) otherwise in 

furtherance of the purposes of the Act. 

If the Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

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– 

ISE–2017–93 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–ISE–2017–93. 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 

10:00 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–ISE–2017–93 and should be 

submitted on or before November 21, 

2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.20

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–23580 Filed 10–30–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81947; File No. SR– 

BatsBZX–2017–46] 

Self-Regulatory Organizations; Bats 

BZX Exchange, Inc.; Notice of Filing of 

Amendments No. 2 and No. 3, and 

Order Granting Accelerated Approval 

of a Proposed Rule Change, as 

Modified by Amendments No. 2 and 

No. 3, To List and Trade Shares of the 

Aptus Fortified Value ETF, a Series of 

ETF Series Solutions, Under Rule 

14.11(c) 

October 25, 2017. 

I. Introduction 

On July 10, 2017, Bats BZX Exchange, 

Inc. (‘‘Exchange’’) 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 

list and trade shares (‘‘Shares’’) of the 

Aptus Fortified Value ETF (‘‘Fund’’), a 

series of ETF Series Solutions (‘‘Trust’’), 

under Rule 14.11(c). The proposed rule 

change was published for comment in 

the Federal Register on July 28, 2017.3

On August 31, 2017, the Exchange filed 

Amendment No. 1 to the proposed rule 

change. On September 8, 2017, pursuant 

to Section 19(b)(2) of the Act,4 the 

Commission designated a longer period 

within which to approve the proposed 

rule change, disapprove the proposed 

rule change, or institute proceedings to 

determine whether to disapprove the 

proposed rule change.5 On October 6, 

2017, the Exchange filed Amendment 

No. 2 to the proposed rule change, 

which replaced the proposed rule 

change, as modified by Amendment 

No. 1, in its entirety.6 On October 24, 


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Adviser (as defined below), the Index Provider (as 

defined below), and the index calculation agent; (2) 

amended and provided additional discussions 

regarding constituents of the Aptus Fortified Value 

Index (‘‘Index’’) and permitted holdings of the 

Fund; (3) clarified the types of statements and 

representations made in the proposal that will 

constitute continued listing requirements; and (4) 

made other technical, non-substantive, and 

conforming changes. Amendment No. 2 is available 

at: https://www.sec.gov/comments/sr-batsbzx-2017- 

46/batsbzx201746-2630920-161197.pdf. 

7 In Amendment No. 3, the Exchange: (1) Clarified 

that all securities included in the Index—rather 

than held by the Fund—are listed on U.S. securities 

exchanges that are members of the Intermarket 

Surveillance Group (‘‘ISG’’); and (2) clarified the 

Fund’s compliance with various applicable 

requirements. Amendment No. 3 is available at: 

https://www.sec.gov/comments/sr-batsbzx-2017-46/ 

batsbzx201746-2651203-161342.pdf. 

8See Registration Statement on Form N–1A for 

the Trust, dated June 8, 2017 (File Nos. 333–179562 

and 811–22668). According to the Exchange, the 

Commission has issued an order, upon which the 

Trust may rely, granting certain exemptive relief 

under the Investment Company Act of 1940. See 

Investment Company Act Release No. 32110 (May 

10, 2016) (File No. 812–14604). 

9A ‘‘U.S. Component Stock’’ is an equity security 

that is registered under Sections 12(b) or 12(g) of 

the Act, or an American Depositary Receipt, the 

underlying equity security of which is registered 

under Sections 12(b) or 12(g) of the Act. See Rule 

14.11(c)(1)(D). 

10The equity component of the Index will meet 

the requirements of Rule 14.11(c)(3)(A)(i). 

11ETF includes Portfolio Depositary Receipts and 

Index Fund Shares, as defined in Rules 14.11(b) and 

14.11(c), respectively, or their equivalents on other 

national securities exchanges. 

12The large-cap U.S. equity market tracking ETF 

with the highest average daily options volume (as 

determined annually by the Index rules) will be the 

Underlying ETF. 

13On the last business day of each month, any 

options held by the Index are removed. If the tail 

hedge will not be in effect for the following month, 

the weight of such options, if any, will be 

reallocated pro rata to the securities in the Index’s 

equity component. If the tail hedge will continue 

in effect for the following month, the Index is 

rebalanced such that the tail hedge (with new 

options purchased) has a weight of 0.50% and the 

equity component securities are adjusted up or 

down pro rata to have a weight of 99.5%. 

14Cash equivalents include short-term 

instruments (instruments with maturities of less 

than 3 months) of the following types: (1) U.S. 

Government securities, including bills, notes, and 

bonds differing as to maturity and rates of interest, 

which are either issued or guaranteed by the U.S. 

Treasury or by U.S. Government agencies or 

instrumentalities; (2) certificates of deposit issued 

against funds deposited in a bank or savings and 

loan association; (3) bankers’ acceptances, which 

are short-term credit instruments used to finance 

commercial transactions; (4) repurchase agreements 

and reverse repurchase agreements; (5) bank time 

deposits, which are monies kept on deposit with 

banks or savings and loan associations for a stated 

period of time at a fixed rate of interest; (6) 

commercial paper, which are short-term unsecured 

promissory notes; and (7) money market funds. 

15These ETFs include Portfolio Depository 

Receipts (as described in Rule 14.11(b)), Index Fund 

Shares (as described in Rule 14.11(c)), and Managed 

Fund Shares (as described in Rule 14.11(i)). The 

ETFs in which the Fund may invest all will be 

listed and traded in the U.S. on national securities 

exchanges. The Fund may invest in inverse ETFs, 

but will not invest in leveraged (e.g., 2X, ¥2X, 3X, 

or ¥3X) ETFs. 

16 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). 

2017, the Exchange filed Amendment 

No. 3 to the proposed rule change.7 The 

Commission received no comments on 

the proposal. The Commission is 

publishing this notice to solicit 

comments on Amendments No. 2 and 

No. 3 from interested persons, and is 

approving the proposed rule change, as 

modified by Amendments No. 2 and No. 

3, on an accelerated basis. 

II. Description of the Proposed Rule 

Change, as Modified by Amendments 

No. 2 and No. 3 

The Exchange proposes to list and 

trade the Shares under Rule 14.11(c)(3), 

which governs the listing and trading of 

Index Fund Shares on the Exchange. 

The Shares will be offered by the Trust, 

which was established as a Delaware 

statutory trust on February 9, 2012. The 

Trust is registered with the Commission 

as an open-end investment company 

and has filed a registration statement on 

behalf of the Fund on Form N–1A 

(‘‘Registration Statement’’) with the 

Commission.8 Aptus Capital Advisors, 

LLC (‘‘Adviser’’ or ‘‘Index Provider’’) 

serves as investment adviser and index 

provider to the Fund. The Index 

Provider is not a broker-dealer and is 

not affiliated with a broker-dealer. The 

Index Provider will implement and 

maintain a ‘‘fire wall’’ around the 

personnel who have access to 

information concerning changes and 

adjustments to the Index. The Index is 

calculated by an unaffiliated third party 

who is not a broker-dealer or fund 

advisor. In addition, any advisory 

committee, supervisory board, or similar 

entity that advises the Index Provider or 

that makes decisions on the Index or 

portfolio composition, methodology and 

related matters, will implement and 

maintain, or be subject to, procedures 

designed to prevent the use and 

dissemination of material non-public 

information regarding the Index. 

The Fund will seek to track the 

performance, before fees and expenses, 

of the Aptus Fortified Value Index. 

According to the Exchange, the Index 

does not meet all of the generic listing 

requirements of Rule 14.11(c)(3)(A)(i). 

Specifically, Rule 14.11(c)(3)(A)(i) sets 

forth the requirements for components 

of an index or portfolio of U.S. 

Component Stocks, but the Index may 

include put options, which are not 

included in the definition of U.S. 

Component Stocks.9 The Index will 

otherwise conform to the initial and 

continued listing criteria under Rule 

14.11(c). 

According to the Exchange, the Index 

is a rules-based, equal-weighted index 

that is designed to gain exposure to 50 

of the most undervalued U.S.-listed 

common stocks and real estate 

investment trusts (‘‘REITs’’), while 

hedging against significant U.S. equity 

market declines when the market is 

overvalued. More specifically, the Index 

is composed of an equity component of 

50 common stocks and REITs 10 and, 

when the Index determines that the U.S. 

equity market is overvalued, a ‘‘tail 

hedge’’ component of long put options 

on a large, highly liquid ETF 11 listed on 

a national securities exchange that 

tracks the performance of the large-cap 

U.S. equity market (‘‘Underlying 

ETF’’).12 All of the securities included 

in the Index are and will be listed on 

U.S. exchanges, and all such exchanges 

are members of the ISG. 

When the tail hedge is not in effect, 

the Index will be composed 100% of the 

equity component. At the time the tail 

hedge is implemented, the Index will be 

composed 99.5% of the equity 

component and 0.50% the tail hedge 

(based on the theoretical dollar value of 

the Index at the time that the options are 

added to the Index). Any tail hedge 

implementation will occur on the last 

business day of the applicable month.13

At the time the tail hedge is 

implemented, the put options on the 

Underlying ETF will have an expiration 

date of approximately three months 

from the date the tail hedge is 

implemented, and the strike price will 

be approximately 30% less than the 

most recent closing price of the 

Underlying ETF. 

According to the Exchange, the Fund 

may hold: (1) Securities that are 

possible constituents of the Index; (2) 

cash and cash equivalents; 14 (3) U.S. 

Government securities, including bills, 

notes, and bonds differing as to maturity 

and rates of interest, which are either 

issued or guaranteed by the U.S. 

Treasury or by U.S. Government 

agencies or instrumentalities; and (4) 

other ETFs.15

III. Discussion and Commission 

Findings 

After careful review, the Commission 

finds that the proposed rule change, as 

modified by Amendments No. 2 and No. 

3, is consistent with the Act and the 

rules and regulations thereunder 

applicable to a national securities 

exchange.16 In particular, the 

Commission finds that the proposal is 

consistent with Section 6(b)(5) of the 


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17 15 U.S.C. 78f(b)(5). 

18As noted above, the options will overlie a large, 

highly liquid ETF listed on a national securities 

exchange that tracks the performance of the largecap U.S. equity market. 

19 17 CFR 240.10A–3. 

20 15 U.S.C. 78f(b)(5). 

21See supra notes 6 and 7. 

22 15 U.S.C. 78s(b)(2). 

Act,17 which requires, among other 

things, that the Exchange’s rules be 

designed to prevent fraudulent and 

manipulative acts and practices, 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. 

The Commission notes that, except for 

the options position that may be 

included in the Index (the aggregate 

market value of which is capped at 

0.50% of the theoretical dollar value of 

the Index at the time that the options are 

added to the Index),18 the Index will 

satisfy, on an initial and continued 

listing basis, all of the generic listing 

standards under Rule 14.11(c)(3)(A)(i). 

All of the securities included in the 

Index are and will be listed on U.S. 

securities exchanges, and all such 

exchanges are members of the ISG. 

Moreover, the Fund may hold only the 

following: Securities that are possible 

constituents of the Index (all of which 

will be listed on U.S. securities 

exchanges); cash; cash equivalents; U.S. 

Government securities; and other ETFs 

(all of which will be listed on U.S. 

securities exchanges). 

The Exchange states that its 

surveillance procedures are adequate to 

properly monitor the trading of the 

Shares on the Exchange during all 

trading sessions and to deter and detect 

violations of Exchange rules and the 

applicable Federal securities laws. The 

Exchange also states that it may obtain 

information regarding trading in the 

Shares and the underlying equities and 

options contracts held by the Fund and 

included in the Index via the ISG from 

other exchanges who are members or 

affiliates of the ISG or with which the 

Exchange has entered into a 

comprehensive surveillance sharing 

agreement. 

The Fund will meet and be subject to 

the requirements of Rule 14.11(c), and 

other applicable requirements for Index 

Fund Shares based on a U.S. equity 

index or portfolio, including, but not 

limited to, requirements relating to the 

dissemination of key information such 

as the Net Asset Value, the Intraday 

Indicative Value, rules governing the 

trading of equity securities, trading 

hours, trading halts, surveillance, and 

the information circular, as set forth in 

Exchange rules applicable to Index 

Fund Shares and the orders approving 

such rules. In addition, for initial and/ 

or continued listing, the Fund must be 

in compliance with Rule 10A–3 under 

the Act.19

The Exchange represents that all 

statements and representations 

regarding the index composition, the 

description of the portfolio or reference 

assets, limitations on portfolio holdings 

or reference assets, dissemination and 

availability of index, reference assets, 

and intraday indicative values, and the 

applicability of Exchange listing rules 

specified in the filing constitute 

continued listing requirements for the 

Fund. The issuer has represented to the 

Exchange that it will advise the 

Exchange of any failure by the Fund or 

the Shares to comply with the 

continued listing requirements. 

Pursuant to its obligations under 

Section 19(g)(1) of the Act, the Exchange 

will surveil for compliance with the 

continued listing requirements. If the 

Fund or the Shares are not in 

compliance with the applicable listing 

requirements, the Exchange will 

commence delisting procedures under 

Rule 14.12. This approval order is based 

on all of the Exchange’s statements and 

representations, including those set 

forth above and in Amendments No. 2 

and No. 3. 

For the foregoing reasons, the 

Commission finds that the proposed 

rule change, as modified by 

Amendments No. 2 and No. 3, is 

consistent with Section 6(b)(5) of the 

Act 20 and the rules and regulations 

thereunder applicable to a national 

securities exchange. 

IV. Solicitation of Comments on 

Amendments No. 2 and No. 3 to the 

Proposed Rule Change 

Interested persons are invited to 

submit written data, views, and 

arguments concerning whether 

Amendments No. 2 and No. 3 are 

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– 

BatsBZX–2017–46 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–BatsBZX–2017–46. 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 

10:00 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–BatsBZX–2017–46, and 

should be submitted on or before 

November 21, 2017. 

V. Accelerated Approval of Proposed 

Rule Change, as Modified by 

Amendments No. 2 and No. 3 

The Commission finds good cause to 

approve the proposed rule change, as 

modified by Amendments No. 2 and No. 

3, prior to the thirtieth day after the date 

of publication of notice of the filing of 

Amendments No. 2 and No. 3 in the 

Federal Register. The Commission 

believes that Amendments No. 2 and 

No. 3 supplement the proposed rule 

change by providing clarification and 

additional information regarding the 

Index and the Fund.21 The changes and 

additional information helped the 

Commission to evaluate the Shares’ 

susceptibility to manipulation, and 

whether the listing and trading of the 

Shares would be consistent with the 

protection of investors and the public 

interest. Accordingly, the Commission 

finds good cause, pursuant to Section 

19(b)(2) of the Act,22 to approve the 


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23 Id. 

24 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 Securities Exchange Act Release No. 79846 

(January 19, 2017), 82 FR 8548 (January 26, 2017) 

(SR–NYSEArca–2016–130). 

5See also Nasdaq Stock Market LLC (‘‘Nasdaq’’) 

Rule 4703(d) (providing that ‘‘any portion of a 

Primary Pegging Order or Market Pegging Order that 

would execute . . . at a price more than $0.25 or 

5 percent worse that the NBBO . . . will be 

cancelled)’’ and Bats BZX Exchange, Inc. (‘‘Bats’’) 

Rule 27.2, Interpretations and Policies .01 and Bats 

Rule 11.13 (stating that Bats ‘‘will not execute any 

portion of a bid at a price more than the greater of 

5 cents or 0.5 percent higher than the lowest 

Protected Offer’’). 

6See Rule 7.46E(f)(2)(A), which provides that 

references to truncating to the MPV in Exchange 

rules instead mean rounding down to the applicable 

quoting MPV. 

7See Rule 7.31E(a)(2)(B) which provides that 

‘‘Limit Order Price Protection will be rounded 

down to the nearest price at the applicable MPV.’’ 

proposed rule change, as modified by 

Amendments No. 2 and No. 3, on an 

accelerated basis. 

VI. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,23 that the 

proposed rule change (SR–BatsBZX– 

2017–46), as modified by Amendments 

No. 2 and No. 3 be, and it hereby is, 

approved on an accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.24

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–23583 Filed 10–30–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81943; File No. SR– 

NYSEAMER–2017–25] 

Self-Regulatory Organizations; NYSE 

American LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend NYSE 

American Equities Rules 7.31E To 

Establish a Minimum Dollar Threshold 

Into the Price Protection Mechanisms 

October 25, 2017. 

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 October 

13, 2017, NYSE American LLC (the 

‘‘Exchange’’ or ‘‘NYSE American’’) 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 American Equities Rules 7.31E 

(Orders and Modifiers) to establish a 

minimum dollar threshold into the price 

protection mechanisms provided for in 

the rule. The proposed rule change is 

available on the Exchange’s Web site 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 

NYSE American Equities Rules 7.31E 

(Orders and Modifiers) (‘‘Rule 7.31E’’) to 

establish a minimum dollar threshold 

into the price protection mechanisms 

provided for in the rule. 

Background 

Rule 7.31E(a)(1)(B) describes the price 

protection mechanism for Market 

Orders, i.e., Trading Collars. Currently, 

Rule 7.31E(a)(1)(B)(i) provides that the 

Trading Collar will be based on a price 

that is a specified percentage away from 

the consolidated last sale price. Rule 

7.31E(a)(1)(B)(i) further provides that 

the upper (lower) boundary of the 

Trading Collar is the consolidated last 

sale price increased (decreased) by the 

specified percentage truncated to the 

minimum price variation (‘‘MPV’’) for 

the security. 

Additionally, Rule 7.31E(a)(2)(B) 

(‘‘Limit Order Price Protection’’) 

provides the price protection 

mechanism for Limit Orders and that a 

Limit Order to buy (sell) will be rejected 

if it is priced at or above (below) a 

specified percentage away from the 

National Best Offer (National Best Bid) 

(‘‘NBO’’ and ‘‘NBB’’, respectively). 

Proposed Changes 

• Trading Collar: The Exchange 

proposes to amend Rule 7.31E(a)(1)(B)(i) 

to introduce a minimum dollar 

threshold, of $0.15, into the calculation 

of the Trading Collar. As such, the 

proposed rule would provide that the 

Trading Collar would be based on a 

price that is the greater of $0.15 or a 

specified percentage away from the 

consolidated last sale price. 

Accordingly, the upper (lower) 

boundary of the Trading Collar would 

be the consolidated last sale price 

increased (decreased), by the greater of 

$0.15 or the specified percentage. 

• Limit Order Price Protection: The 

Exchange proposes to amend Rule 

7.31E(a)(2)(B) to introduce the same 

proposed minimum dollar threshold 

that is specified above for the Trading 

Collar, of $0.15, into the Limit Order 

Price Protection calculation. 

Accordingly, the proposed rule would 

provide that a Limit Order to buy (sell) 

would be rejected if it was priced at or 

above (below) the greater of $0.15 or a 

specified percentage away from the 

NBO (NBB). The Exchange believes that 

the introduction of a minimum dollar 

threshold enhances the Limit Order 

Price Protection and encourages price 

continuity specifically in lower priced 

illiquid securities. 

The Exchange believes that adding a 

minimum dollar threshold to the 

Trading Collar and Limit Order Price 

Protection calculations would enhance 

the respective price protection 

mechanisms for securities with a 

consolidated last sale price below $1.50 

because using the current 10 percent 

multiplier for such securities would 

result in too narrow of a price protection 

mechanism. This proposed rule change 

is consistent with how other exchanges 

specify static price collar thresholds for 

lower-price securities. For example, 

NYSE Arca, Inc. (‘‘NYSE Arca’’) Rule 

7.35–E(e)(7) 4 provides that for securities 

with a consolidated last sale price under 

$3.00, the price collar threshold for 

auction collars would be a static $0.15 

instead of 5 percent.5

In addition, the Exchange proposes to 

replace the word ‘‘truncated’’ with the 

words ‘‘rounded down’’ 6 in Rule 

7.31E(a)(1)(B)(i). The Exchange that 

believes that conforming the 

terminology used within Rule 7.31E 7

and elsewhere in Exchange’s rules 

promotes clarity and transparency. 


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