50898 Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

NATIONAL SCIENCE FOUNDATION 

Sunshine Act Meeting; National 

Science Board 

The National Science Board’s 

Committee on Oversight (CO), pursuant 

to NSF regulations (45 CFR part 614), 

the National Science Foundation Act, as 

amended (42 U.S.C. 1862n–5), and the 

Government in the Sunshine Act (5 

U.S.C. 552b), hereby gives notice of the 

scheduling of a teleconference for the 

transaction of National Science Board 

business, as follows: 

TIME AND DATE: Friday, November 3, 

2017 at 9:00 a.m. EDT. 

STATUS: Open. 

MATTERS TO BE CONSIDERED: Committee 

Chair’s remarks, and discussion of the 

functions of the Merit Review report 

and consideration of possible research 

topics. 

CONTACT PERSON FOR MORE INFORMATION: 

Point of contact for this meeting is: Ann 

Bushmiller (abushmil@nsf.gov), 2415 

Eisenhower Avenue, Alexandria, VA 

22314. This meeting will be held by 

teleconference at the National Science 

Foundation, 2415 Eisenhower Avenue, 

Alexandria, VA 22314. An audio link 

will be available for the public. 

Members of the public must contact the 

Board Office to request the public audio 

link by sending an email to 

nationalsciencebrd@nsf.gov at least 24 

hours prior to the teleconference. 

Please refer to the National Science 

Board Web site https://www.nsf.gov/ 

nsb/meetings/notices.jsp#sunshine for 

meeting information and updates. You 

may find general information at https:// 

www.nsf.gov/nsb/. 

Chris Blair, 

Executive Assistant to the National Science 

Board Office. 

[FR Doc. 2017–23962 Filed 10–31–17; 11:15 am] 

BILLING CODE 7555–01–P 

NATIONAL SCIENCE FOUNDATION 

Request for Recommendations for 

Membership on Stem Education 

Advisory Panel 

ACTION: Notice. 

SUMMARY: The National Science 

Foundation (NSF), the Department of 

Education, the National Aeronautics 

and Space Administration, and the 

National Oceanic and Atmospheric 

Administration are currently requesting 

recommendations for membership on 

the Science, Technology, Engineering, 

and Mathematics (STEM) Education 

Advisory Panel (Committee). 

Recommendations should consist of the 

name of the submitting individual, the 

organization or the affiliation providing 

the member nomination, the name of 

the recommended individual, the 

recommended individual’s curriculum 

vita, an expression of the individual’s 

interest in serving, and the following 

recommended individual’s contact 

information: Address, telephone 

number, FAX number, and email 

address. Self-recommendations are 

accepted. If you would like to make a 

membership recommendation, please 

send your recommendation to Nafeesa 

Owens at stemedadvisory@nsf.gov. 

ADDRESSES: The mailing address for the 

National Science Foundation is 2415 

Eisenhower Avenue, Alexandria, 

Virginia 22314. The web link to 

committee information may be found on 

the NSF Web site: NSF Advisory 

Committees. 

SUPPLEMENTARY INFORMATION: The STEM 

Education Advisory Panel (Committee) 

was established on October 18, 2017, 

under the authority of the American 

Innovation and Competitiveness Act 

(Pub. L. 114–329; Section 303(b)) and 

the Federal Advisory Committee Act 

(‘‘FACA’’) of 1972 (5 U.S.C, Appendix 2, 

as amended). 

The role of the Science, Technology, 

Engineering, and Mathematics (STEM) 

Education Advisory Panel (Committee) 

is to provide advice and 

recommendations to the Committee on 

Science, Technology, Engineering, and 

Mathematics Education (CoSTEM), 

assess CoSTEM’s progress in carrying 

out responsibilities related to the 

America COMPETES Reauthorization 

Act, and help identify need or 

opportunity to update the Federal STEM 

Education 5-Year Strategic Plan. 

NSF encourages individuals to submit 

their recommendations by November 

30, 2017, in order to be considered for 

initial selection. Thereafter, NSF 

intends to publish a notice requesting 

recommendations on an annual basis. 

NSF will keep recommendations active 

for 12 months from the date of receipt. 

Although NSF welcomes all 

recommendations, the Agency will not 

be able to acknowledge or respond 

positively to each person who contacts 

NSF or has been recommended. 

A primary consideration when 

formulating committee membership is 

recognized knowledge, expertise, or 

demonstrated ability. Other factors that 

may be considered are balance among 

diverse institutions, regions, and groups 

underrepresented in science, 

technology, engineering, and 

mathematics. 

Membership will consist of no less 

than 11 individuals. Members shall 

primarily be individuals from academic 

institutions, nonprofit organizations, 

and industry, including in-school, outof-school, and informal education 

practitioners; and shall be individuals 

who are qualified to provide advice and 

information on STEM education 

research, development, training, 

implementation, interventions, 

professional development or workforce 

needs or concerns. Members may serve 

on the panel (Committee) for up to a 

three-year term. Advisory meetings will 

be held twice a year. 

Dated: October 30, 2017. 

Crystal Robinson, 

Committee Management Officer. 

[FR Doc. 2017–23859 Filed 11–1–17; 8:45 am] 

BILLING CODE 7555–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81968; File No. SR– 

NYSEAMER–2017–30] 

Self-Regulatory Organizations; NYSE 

American LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend Exchange 

Rule 7.10E To Exclude Trading Halt 

Auctions From Being Reviewed as 

Clearly Erroneous, Rule 7.11E To 

Conform to the Limit Up-Limit Down 

NMS Plan, Rule 7.31E To Add a New 

Imbalance Only Order, and Rule 7.35E 

To Enhance the Information Available 

Before an Auction and Revise 

Procedures for Trading Halt Auctions 

October 27, 2017. 

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 October 

20, 2017, NYSE American LLC 

(‘‘Exchange’’ or ‘‘NYSE American’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change as described in 

Items I, II, and III below, which Items 

have been prepared by the selfregulatory 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 7.35E to enhance the information 

available before an auction and revise 

its procedures for Trading Halt 


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4See Securities Exchange Act Release No. 80455 

(April 13, 2017), 82 FR 18519 (April 19, 2017) (File 

No. 4–631) (Order approving 13th Amendment to 

the Plan). 

5Unless otherwise specified, capitalized terms 

used herein have the same meaning as set forth in 

the Plan or in Exchange rules. 

6See Securities Exchange Act Release No. 79845 

(January 19, 2017), 82 FR 8551 (January 26, 2017) 

(File No. 4–631) (Order approving the twelfth 

amendment to the Plan (‘‘LULD Amendment 12’’)). 

7For NMS Stocks that are priced $3.00 and 

under, the price collar threshold would be $0.15. 

Auctions, Rule 7.10E to exclude Trading 

Halt Auctions from being reviewed as 

clearly erroneous, Rule 7.31E to add a 

new Imbalance Only Order, and Rule 

7.11E. 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 

Rule 7.35E (Auctions) to enhance the 

information available before an auction 

and revise its procedures for Trading 

Halt Auctions, Rule 7.10E to exclude 

Trading Halt Auctions from being 

reviewed as a clearly erroneous 

execution, Rule 7.31E (Orders and 

Modifiers) to add a new Imbalance Only 

Order, and Rule 7.11E (Limit Up—Limit 

Down Plan and Trading Pauses in 

Individual Securities Due to 

Extraordinary Market Volatility) to 

conform the rule to approved changes to 

the Regulation NMS Plan to Address 

Extraordinary Market Volatility 

(‘‘Plan’’).4

Overview 

The Operating Committee for the Plan 

with input from the Advisory 

Committee to the Plan and staff of the 

Securities and Exchange Commission 

(‘‘SEC’’ or ‘‘Commission’’), identified a 

number of enhancements to the 

reopening process following a Trading 

Pause that have been addressed in a 

combination of an amendment to the 

Plan and amendments to the rules of the 

Primary Listing Exchanges.5 The 

Exchange is a Participant of the Plan 

and a member of the Operating 

Committee. 

With respect to the Plan, the 

Participants amended the Plan to 

provide that a Trading Pause will 

continue until the Primary Listing 

Exchange reopens trading using its 

established reopening procedures and 

reports a Reopening Price.6 With LULD 

Amendment 12, the Participants 

eliminated the current allowance for a 

trading center to resume trading in an 

NMS Stock following a Trading Pause if 

the Primary Listing Exchange has not 

reported a Reopening Price within ten 

minutes after the declaration of a 

Trading Pause and has not declared a 

Regulatory Halt. In addition, to close 

any gaps of potential scenarios when 

trading may resume without Price 

Bands, LULD Amendment 12 provides 

that a trading center may not resume 

trading in an NMS Stock following a 

Trading Pause without Price Bands in 

such NMS Stock. To address potential 

scenarios of when there may not be a 

Reopening Price from the Primary 

Listing Exchange from which to 

calculate Price Bands, LULD 

Amendment 12 further addresses when 

trading may resume if the Primary 

Listing Exchange is unable to reopen 

due to a systems or technology issue 

and how the Reference Price would be 

determined either under such 

circumstances or if the Primary Listing 

Exchange reopens trading on a zero bid 

or zero quote, or both. 

In connection with LULD 

Amendment 12, the Participants agreed 

on a standardized approach for how the 

Primary Listing Exchanges should 

conduct certain aspects of an automated 

reopening following a Trading Pause. 

Specifically, because trading centers 

will not be permitted to resume trading 

in an NMS Stock until there is a 

Reopening Price, the Participants 

believe it is appropriate for the Primary 

Listing Exchanges to adopt uniform 

standards for determining whether and 

when to conduct such automated 

reopenings, including what price collar 

thresholds would be applicable to such 

automated reopenings and how to 

provide for extensions of when a 

reopening auction would be conducted. 

The goal of such changes is to ensure 

that all Market Order interest could be 

satisfied in an automated reopening 

auction. 

More specifically, the Participants 

have agreed that if there is an imbalance 

of market orders, or if the Reopening 

Price would be outside of specified 

price collar thresholds, the Trading 

Pause would be extended an additional 

five minutes in order to provide 

additional time to attract offsetting 

liquidity. If at the end of such extension, 

Market Orders still cannot be satisfied 

within price collar thresholds or if the 

reopening auction would be priced 

outside of the applicable price collar 

thresholds, the Primary Listing 

Exchange would extend the Trading 

Pause an additional five minutes. With 

each such extension, the Participants 

have agreed that it would be appropriate 

to widen the price collar threshold on 

the side of the market on which there is 

buying or selling pressure. 

With respect to price collar 

thresholds, the Participants have agreed 

that the reference price for calculating 

price collar thresholds would be the 

price of the limit state that preceded the 

Trading Pause, i.e., either the Lower or 

Upper Price Band price. For NMS 

Stocks priced more than $3.00, 

• if there is selling pressure, the 

lower collar for the auction would be 

the Lower Price Band minus five 

percent and the upper collar would be 

the Upper Price Band; 

• if there is buying pressure, the 

upper collar for the auction would be 

the Upper Price Band plus five percent 

and the lower collar would be the Lower 

Price Band. 

For each extension, the collars would 

be widened an additional five percent, 

but only on the side of the imbalance.7

The Participants believe that widening 

collars only in the direction of the 

imbalance would address issues relating 

to the concept of mean reversion. 

Finally, the Participants have agreed 

that the proposed new procedures for 

reopening trading following a Trading 

Pause reduces the potential that an 

order or orders entered by one or more 

ETP Holders caused such execution to 

be clearly erroneous. Specifically, the 

Participants believe that the proposed 

standardized procedures for reopening 

trading following a Trading Pause 

incorporates a methodology that allows 

for widened collars, which may result in 

a reopening price away from prior 

trading prices, but which reopening 

price would be a result of a measured 

and transparent process that eliminates 

the potential that such trade would be 

considered erroneous. 

As a Primary Listing Exchange, the 

Exchange proposes to amend Rule 7.35E 

to implement the proposed uniform 

trading practices with respect to 


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50900 Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices 

8See Securities Exchange Act Release Nos. 79846 

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

(SR–NYSEArca–2016–130) (Approval Order) 

(‘‘NYSE Arca Trading Halt Auction Filing’’) and 

81603 (September 13, 2017), 82 FR 43609 

(September 18, 2017) (SR–NYSEArca–2017–102) 

(Notice of filing and immediate effectiveness of 

proposed rule change). 

9The term ‘‘Indicative Match Price’’ is defined in 

Rule 7.35E(a)(8) to mean the best price at which the 

maximum volume of shares, including the nondisplayed quantity of Reserve Orders, is tradable in 

the applicable auction, subject to Auction Collars. 

For purposes of proposed Rule 7.35E(e)(5), the 

Indicative Match Price would not be calculated 

subject to Auction Collars. The term ‘‘Auction 

Collars’’ is defined in Rule 7.35E(a)(10) to mean the 

price collar thresholds for the Indicative Match 

Price for the Core Open Auction, Trading Halt 

Auction, or Closing Auction. The term ‘‘Market 

Imbalance’’ is defined in Rule 7.35E(a)(7)(B) means 

the imbalance of any buy (sell) Market Orders that 

are not matched for trading in the applicable 

auction. 

reopening a security following a Trading 

Pause, as described above. In addition, 

the Exchange proposes to implement 

changes for automated reopenings 

following a market-wide circuit breaker 

under Rule 7.12E and any regulatory 

halts triggered in an Exchange-listed 

security. The Exchange further proposes 

to amend Rule 7.10E to preclude ETP 

Holders from requesting a review of a 

Trading Halt Auction as a clearly 

erroneous execution. Finally, in 

connection with these proposed 

changes, the Exchange proposes 

additional enhancements to its auction 

processes, including adding a new 

Imbalance Only Order, an Auction 

Freeze period before a Trading Halt 

Auction, and enhanced information to 

be disseminated before an auction. 

The proposed rule changes are based 

on the rules of its affiliated exchange, 

NYSE Arca, Inc. (‘‘NYSE Arca’’), 

without any substantive differences.8

Uniform Primary Listing Exchange 

Proposed Rule Changes. 

To effect the proposed enhancements 

that will be implemented by all Primary 

Listing Exchanges, the Exchange 

proposes to add new sub-paragraphs 

(5)–(10) to Rule 7.35E(e), which governs 

Trading Halt Auctions, re-number 

current Rule 7.35E(e)(5) as new Rule 

7.35E(e)(11), and amend Rule 

7.35E(e)(2). The Exchange proposes to 

implement these changes for all Trading 

Halt Auctions. The proposed 

standardized trading practices agreed 

upon by the Operating Committee are 

intended for Trading Halt Auctions 

following a trading pause under Rule 

7.11E. However, the Exchange believes 

that these proposed procedures would 

be beneficial following all halts, 

including regulatory halts and halts due 

to extraordinary market volatility. The 

proposed rule changes are based on 

NYSE Arca Rule 7.35–E(e) without any 

substantive differences. 

Rule 7.35E(e)(2) currently provides 

that after trading in a security has been 

halted or paused, the Exchange will 

disseminate the estimated time at which 

trading in that security will re-open 

(‘‘Re-Opening Time’’). The Exchange 

proposes to add to this rule that the 

initial Re-Opening Time for a Trading 

Halt Auction following a trading pause 

under Rule 7.11E (‘‘Trading Pause’’) or 

trading halt due to extraordinary market 

volatility under Rule 7.12E (‘‘MWCB 

Halt’’) will be at the scheduled end of 

the Trading Pause or MWCB Halt. This 

proposed rule text clarifies that for 

Trading Pauses and MWCB Halts, the 

length of the initial pause or halt period 

is as specified in those rules. As 

specified in the Plan, the scheduled end 

of the Trading Pause is five minutes 

after a Trading Pause has been declared. 

As specified in Rule 7.12E(b), the 

scheduled end of a Level 1 or Level 2 

Market Decline is 15 minutes. If there is 

a Level 3 Market Decline, the Exchange 

will not re-open. 

Proposed Rule 7.35E(e)(5) would 

provide that a Trading Halt Auction 

would not be conducted if the 

Indicative Match Price, before being 

adjusted based on Auction Collars, is 

below (above) the Lower (Upper) 

Auction Collar or if there is a sell (buy) 

Market Imbalance, either of which 

would be defined as an ‘‘Impermissible 

Price.’’ 9 This proposed rule text would 

implement the proposed standardized 

enhancement that the Exchange would 

not conduct a Trading Halt Auction if 

there are either unsatisfied Market 

Orders, or if the Indicative Match Price 

would be outside the applicable 

Auction Collars. 

Extensions: Proposed Rule 7.35E(e)(6) 

would specify the circumstances when 

the Exchange would extend the ReOpening Time for a Trading Halt 

Auction, as follows: 

• Proposed Rule 7.35E(e)(6)(A) would 

provide that, if there is an 

Impermissible Price at the initial ReOpening Time, the pause or halt would 

be extended an additional five minutes 

and a new Re-Opening Time would be 

disseminated, which would be referred 

to as the ‘‘First Extension.’’ The 

proposed rule would further provide 

that the Exchange would not conduct a 

Trading Halt Auction before the ReOpening Time for the First Extension. 

As such, if the Exchange disseminates a 

First Extension, consistent with the Plan 

in effect before LULD Amendment 12, 

which provides that if the Primary 

Listing Exchange does not reopen, 

trading centers may not resume trading 

until ten minutes after the beginning of 

the Trading Pause, the Trading Pause 

would continue for ten minutes and 

trading would not resume before that 

ten-minute marker. 

• Proposed Rule 7.35E(e)(6)(B) would 

provide that if there is an Impermissible 

Price at the end of the First Extension, 

the pause or halt would be extended an 

additional five minutes and a new ReOpening Time would be disseminated 

(‘‘Subsequent Extension’’). As further 

proposed, the Exchange would conduct 

a Trading Halt Auction before the ReOpening Time for a Subsequent 

Extension if the Indicative Match Price, 

before being adjusted based on Auction 

Collars, would be within the applicable 

Auction Collars and there is no Market 

Imbalance. This proposed change would 

implement the Participant’s proposal 

that for Subsequent Extensions, if 

equilibrium of prices is reached, the 

Exchange would conduct the Trading 

Halt Auction immediately and would 

not extend the Trading Pause any 

further. 

• Proposed Rule 7.35E(e)(6)(C) would 

provide that the trading pause or halt 

would continue to be extended if there 

is an Impermissible Price at the ReOpening Time for a Subsequent 

Extension. This proposed rule text 

makes clear that a halt or pause would 

continue to be extended until a Trading 

Halt Auction can be conducted, as 

provided for in proposed Rule 

7.35E(e)(5). 

Auction Collars: Proposed Rule 

7.35E(e)(7) would describe how Auction 

Collars would function for Trading Halt 

Auctions. As provided for in Rule 

7.35E(a)(10), Auction Collars mean the 

price collar thresholds for the Indicative 

Match Price for the Core Open Auction, 

Trading Halt Auction, or Closing 

Auction. Currently, the price collar 

thresholds for the Trading Halt Auction 

are the greater of $0.50 or 10% away 

from the Auction Reference Price. These 

price collar thresholds are in effect until 

a proposed rule change based on the 

NYSE Arca Trading Halt Auction Filing 

is effective and operative. 

The Exchange proposes that the price 

collar threshold for Auction Collars for 

securities with an Auction Reference 

Price above $3.00 would be the Auction 

Reference Price multiplied by five 

percent. The price collar threshold for 

securities with an Auction Reference 

Price $3.00 and below would be $0.15. 

This value would be defined as the 

‘‘Price Collar Threshold.’’ For securities 

priced above $3.00, once calculated, the 

Price Collar Threshold would be 

applicable for each Subsequent 

Extension, described below. For 

securities with an Auction Reference 


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10See Rules 7.6E and 7.46E (specifying the 

minimum price variation (‘‘MPV’’) for quoting and 

entry of orders). 

Price of $3.00 and under, the Price 

Collar Threshold would be a static $0.15 

for each Subsequent Extension. The 

Exchange believes that using a 5 percent 

multiplier for stocks priced $3.00 or less 

would result in too narrow of an 

Auction Collar. Similar to the Plan, 

which provides for wider percentage 

parameters for stocks priced $3.00 or 

less, the Exchange proposes a wider 

Price Collar Threshold for stocks with 

an Auction Reference Price of $3.00 or 

less. 

The Exchange believes that the 

proposed Price Collar Thresholds are 

designed to align the Auction Collars 

with the existing percentage parameters 

as specified in the Plan. The Exchange 

proposes to use the single 5% threshold 

for all securities priced above $3.00 and 

$0.15 for all securities priced $3.00 or 

less, and not apply a separate 

percentage parameter based on the tiers 

specified in the Plan, because the 

Exchange believes it would be simpler 

and more transparent. Moreover, the 

Exchange believes that because the 

proposed rule changes would provide 

for the widening of collars, and would 

prevent trades at an Impermissible 

Price, the specific size of the Price 

Collar Threshold becomes less 

meaningful. For example, if the Market 

Imbalance is so large that the proposed 

five percent price collar threshold is too 

narrow to permit a Trading Halt 

Auction, the proposed extensions and 

widening of Auction Collars, as 

described below, would provide for a 

measured manner by which the collars 

would be widened either to permit a 

trade at a permissible price or to attract 

additional offsetting interest. If, at a 

later date, the Plan is amended and the 

applicable tiers and percentage 

parameters are adjusted, the Exchange 

will reevaluate the Price Collar 

Thresholds for Trading Halt Auctions 

and if they should be changed, will file 

a separate proposed rule change. 

Because the Price Collar Thresholds 

for Auction Collars applicable to a 

Trading Halt Auction would be 

specified in proposed Rule 7.35E(e)(7), 

the Exchange proposes to amend Rule 

7.35E(a)(10)(A) to specify that the 

Auction Collar price thresholds 

specified in that rule would be 

applicable to the Core Trading and 

Closing Auctions only. The Exchange 

further proposes to delete the following 

text: ‘‘*The price collar thresholds 

specified in this paragraph applicable to 

Trading Halt Auctions are in effect until 

proposed rule change based on SR– 

NYSEArca–2016–130 for the Exchange 

is effective and operative.’’ The 

Exchange believes that proposed Rule 

7.35E(e)(7) obviates the current price 

collar thresholds specified for Trading 

Halt Auctions, which were adopted on 

an interim basis pending the outcome of 

the review that resulted in LULD 

Amendment 12 and standardized 

trading practices among the Primary 

Listing Exchanges for how to resume 

trading following a Trading Pause. 

Trading Halt Auction Reference Price: 

Proposed Rule 7.35E(e)(7)(A) would 

specify the Auction Reference Price that 

would be used for a Trading Halt 

Auction following a Trading Pause. As 

provided for in Rule 7.35E(a)(8)(A), the 

Auction Reference Price for the Trading 

Halt Auction is the last consolidated 

round-lot price of that trade day, and if 

none, the prior day’s Official Closing 

Price. As proposed, the Auction 

Reference Price for a Trading Halt 

Auction following a Trading Pause 

would be determined as follows: If the 

Limit State that preceded the Trading 

Pause was at the Lower (Upper) Price 

Band, the Auction Reference Price 

would be the Lower (Upper) Price Band. 

This proposed change implements the 

standardized enhancement to use the 

Limit State price as the Auction 

Reference Price for a Trading Halt 

Auction following a Trading Pause. 

The Exchange proposes to make a 

related change to Rule 7.35E(a)(8)(A) to 

amend the chart that specifies Auction 

Reference Prices for the Trading Halt 

Auction. As proposed, the Exchange 

would add the clause ‘‘except as 

provided for in Rule 7.35E(e)(7)(A)’’ to 

specify that the Auction Reference Price 

would be determined under that 

subparagraph of the rule instead of the 

Auction Reference Price specified in 

Rule 7.35E(a)(8)(A). For a Trading Halt 

Auction following a MWCB Halt or 

regulatory halt, the Auction Reference 

Price would continue to be as specified 

in Rule 7.35E(a)(8)(A). 

Initial Auction Collars: Proposed Rule 

7.35E(e)(7)(B) would specify the 

Auction Collars if a Trading Halt 

Auction is conducted at the initial ReOpening Time. Currently, as provided 

for in Rule 7.35E(a)(10)(A), the upper 

(lower) boundary of Auction Collars is 

the Auction Reference Price increased 

(decreased) by the specified percentage. 

As such, the price collar thresholds are 

applied on both sides of the Auction 

Reference Price. The Exchange proposes 

to modify how Auction Collars are 

calculated as proposed: 

• Proposed Rule 7.35E(e)(7)(B)(i) 

would specify how Auction Collars 

would be determined for a Trading Halt 

Auction following a Trading Pause. As 

proposed, if the Auction Reference Price 

is the Lower (Upper) Price Band, the 

lower (upper) Auction Collar would be 

the Auction Reference Price decreased 

(increased) by the Price Collar 

Threshold, rounded down to the nearest 

MPV,10 and the upper (lower) Auction 

Collar would be the Upper (Lower) Price 

Band. This proposed rule implements 

the proposed standardized trading 

practice that, for Trading Halt Auctions 

following a Trading Pause, the Auction 

Collars should be widened only in the 

direction of the trading that invoked the 

Trading Pause. For example, if a 

Trading Pause is triggered following a 

Limit State at the Lower Price Band, this 

would indicate selling pressure in that 

NMS Stock. Accordingly, the proposed 

lower boundary Auction Collar would 

be widened by subtracting the Price 

Collar Threshold from the Auction 

Reference Price, i.e., the Lower Price 

Band. To address the concept of mean 

reversion, i.e., that prices may revert 

back to the mean or average price of the 

NMS Stock, and to avoid a security from 

trading outside of where it would have 

been permitted to trade before the 

Trading Pause, the Exchange proposes 

that the Auction Collar on the opposite 

side of the trading pressure should be 

the Price Band in place before the 

Trading Pause was triggered. Taking the 

above example, the Upper Auction 

Collar would therefore be the Upper 

Price Band. This way, if during the 

trading pause, the selling pressure 

reverses and becomes buying pressure, 

the Auction Collars would not permit a 

trade higher than would have been 

permitted under the Price Bands before 

the Trading Pause. 

• Proposed Rule 7.35E(e)(7)(B)(ii) 

would specify how Auction Collars 

would be determined for a Trading Halt 

Auction following a MWCB Halt or 

regulatory halt. In this case, because 

there would not be a security-specific 

pricing direction reason for the halt, the 

Exchange proposes that the Price Collar 

Threshold would be applied on both 

sides of the Auction Reference Price. 

Accordingly, for stocks priced above 

$3.00, the upper (lower) boundary of the 

Auction Collar would be the Auction 

Reference Price (as defined in Rule 

7.35E(a)(8)(A)), plus (minus) the 

Auction Reference Price multiplied by 

5%. For stocks priced $3.00 and under, 

the upper (lower) boundary of the 

Auction Collar would be the Auction 

Reference Price (as defined in Rule 

7.35E(a)(8)(A)), plus (minus) $0.15. For 

Trading Halt Auctions following a 

MWCB Halt or regulatory halt, if the 

Price Collar Threshold calculation 

results in a price that is not in the 

applicable MPV for the security, the 


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11See supra note 5. 

12The Participants will be engaging in a more 

comprehensive review of Rule 7.10E in connection 

with amendments to the Plan relating to tiering of 

securities and applicable percentage parameters. 

The Exchange proposes to make this limited 

amendment to Rule 7.10E as an initial step to 

eliminating its clearly erroneous executions rules in 

their current form. 

13The text that the Exchange would delete 

provides that ‘‘[i]n the event of a significant 

imbalance at the end of a Trading Pause, the 

Corporation may delay the re-opening of a security. 

The Exchange will issue a notification if it cannot 

resume trading for a reason other than a significant 

imbalance.’’ 

14Rule 7.18E(a) provides that if the UTP Listing 

Market declares a UTP Regulatory Halt, which 

includes a Trading Pause, the Exchange will halt 

trading until it receives the first Price Band in that 

security. Accordingly, following a Trading Pause 

declared by another Primary Listing Market, the 

Exchange already waits to receive Price Bands 

before it resumes trading in that UTP Security. The 

Exchange proposes to delete the current rule text in 

Rule 7.11E(b)(1) that provides that the Exchange 

will ‘‘pause trading in that security until trading has 

resumed on the primary listing market or notice has 

been received from the primary listing market that 

trading may resume. If the primary listing market 

does not reopen the security within 10 minutes of 

notification of a Trading Pause, the Exchange may 

resume trading the security.’’ 

15See NYSE Arca Trading Halt Auction Filing, 

supra note 8. 

Exchange proposes to round down to 

the nearest price in the applicable MPV. 

Auction Collar for Extensions: 

Proposed Rule 7.35E(e)(7)(C) would 

specify how the Exchange would adjust 

Auction Collars for each Extension. As 

proposed, the Auction Collar on the side 

of the Impermissible Price would be 

widened for each Extension. In other 

words, if the Indicative Match Price is 

at or below the lower Auction Collar for 

the initial Re-Opening Time or there is 

a sell Market Imbalance, the Exchange 

would widen only the lower Auction 

Collar. As further proposed, the Auction 

Collar on the opposite side of the 

Impermissible Price would remain the 

same as the last-calculated Auction 

Collar on that side. Thus, in the case of 

selling pressure that would result in an 

Auction Extension, the upper Auction 

Collar would remain as the last Upper 

Price Band. 

• Proposed Rule 7.35E(e)(7)(C)(i) 

would further provide that if the 

Impermissible Price is on the side of the 

Lower (Upper) Auction Collar, the lastcalculated Lower (Upper) Auction 

Collar would be decreased (increased) 

by a Price Collar Threshold and the 

Upper (Lower) Auction Collar would 

stay the same. 

• To address the concept of mean 

reversion, proposed Rule 

7.35E(e)(7)(C)(ii) would provide that if 

the side of the Impermissible Price 

changes from the Lower (Upper) 

Auction Collar to the Upper (Lower) 

Auction Collar, the last-calculated 

Upper (Lower) Auction Collar would be 

widened for that Extension and the lastcalculated Lower (Upper) Auction 

Collar will remain the same. Therefore, 

if, during an Extension, the directional 

trading pressure switches from sell to 

buy, the upper Auction Collar would be 

widened, and the last-Lower Auction 

Collar would remain the same. 

Proposed Rules 7.35E(e)(8) and (9) 

would specify the Exchange’s proposed 

handling of orders for a Trading Halt 

Auction, which are discussed in greater 

detail below. 

Proposed Rule 7.35E(e)(10) would 

specify what the Exchange would do if 

a Re-Opening Time for a Trading Pause 

would be in the last ten minutes of 

trading before the end of Core Trading 

Hours. The Participants have amended 

the Plan to provide that if an NMS Stock 

is in a Trading Pause during the last ten 

minutes of trading before the end of 

Regular Trading Hours, the Primary 

Listing Exchange would not reopen 

trading and would attempt to execute a 

closing transaction using its established 

closing procedures.11 To implement 

LULD Amendment 12, proposed Rule 

7.35E(e)(10) would provide that, if the 

Re-Opening Time for a Trading Halt 

Auction is in the last ten minutes of 

trading before the end of Core Trading 

Hours, the Exchange would not conduct 

a Trading Halt Auction in that security 

and would not transition to continuous 

trading. Instead, the Exchange would 

remain paused and would conduct a 

Closing Auction in such security as 

provided for in Rule 7.35E(d). 

In such circumstances, as specified in 

proposed Rule 7.35E(e)(10)(A), MOO 

Orders, LOO Orders, and IO Orders 

(described below) entered during the 

pause would not participate in the 

Closing Auction and would be 

cancelled. The Exchange proposes to 

add this rule text to provide 

transparency to ETP Holders of how 

orders that are designated to participate 

in a Trading Halt Auction only would 

be processed if the Exchange transitions 

to a Closing Auction without 

conducting that Trading Halt Auction. 

The Exchange believes this proposed 

rule text would provide notice for ETP 

Holders to enter closing-only interest, 

i.e., MOC or LOC Orders, to participate 

in the Closing Auction. 

In addition, as specified in proposed 

Rule 7.35E(e)(10)(B), the Auction 

Collars for the Closing Auction for such 

security would be the most recently 

widened Auction Collars for the Trading 

Halt Auction that did not occur. 

Currently, the Auction Collars for 

Closing Auctions are the greater of $0.50 

or 10% away from the Auction 

Reference Price. The Exchange believes 

that if the Exchange goes directly from 

an unresolved Trading Pause, MWCB 

Halt, or regulatory halt in an NMS Stock 

to a Closing Auction, the price collar 

thresholds applicable to the Closing 

Auction would result in Auction Collars 

that do not correlate to the trading 

condition for that NMS Stock. 

The Exchange proposes to make a 

related amendment to Rule 

7.35E(a)(10)(A) to add the clause 

‘‘except as provided for in Rule 

7.35E(e)(10)(B)’’. This proposed rule text 

makes clear that the price collar 

thresholds for a Closing Auction are 

defined in Rule 7.35E(a)(10)(A), except 

as provided for in proposed Rule 

7.35E(e)(10)(B). 

The Exchange proposes to amend 

Rule 7.10E(a) to provide that ETP 

Holders may not request a review of a 

Trading Halt Auction under Rule 

7.10E(b), which specifies the procedures 

for an ETP Holder to request a review 

of an execution, as clearly erroneous. 

The Exchange believes that this 

proposed rule text would implement the 

proposed standardized trading practice 

that reopening auctions would not be 

eligible for review by ETP Holders as a 

clearly erroneous execution.12

Finally, the Exchange proposes to 

amend Rule 7.11E to delete obsolete 

rule text and conform the remaining 

rule text to LULD Amendment 12, as 

described above. First, the Exchange 

proposes to amend Rule 7.11E(b) to 

delete the second and third sentences of 

this paragraph as inconsistent with 

LULD Amendment 12, described 

above.13 Second, the Exchange proposes 

to renumber current Rule 7.11E(b)(1) as 

proposed Rule 7.11E(b)(2) and amend 

the text to provide that if a primary 

listing market issues a Trading Pause, 

the Exchange would resume trading as 

provided for in Rule 7.18E(a).14 This 

proposed amendment is consistent with 

LULD Amendment 12, described above. 

Finally, the Exchange proposes to add 

new Rule 7.11E(b)(1) to provide that if 

a Trading Pause is triggered under this 

Rule or if the Exchange is unable to 

reopen trading at the end of the Trading 

Pause due to a systems or technology 

issue, the Exchange would immediately 

notify the single plan processor 

responsible for consolidation of 

information for the security pursuant to 

Rule 603 of Regulation NMS under the 

Securities Exchange Act of 1934. This 

proposed rule text is based on NYSE 

Arca Rule 7.11–E(b)(1) and is consistent 

with LULD Amendment 12.15

Other Proposed Rule Changes 

IO Order: The Exchange proposes to 

add a new order type, an Imbalance 


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16See Rule 7.31E(c)(1) and (2). 

17See NYSE Arca Rule 7.31–E(c)(5). 

18Rule 7.35E(a) provides that unless otherwise 

specified, references to the term ‘‘Market Orders’’ in 

Rule 7.35E also includes MOO Orders. Proposed 

Rule 7.35E(e)(8)(B) is an example of when the 

Exchange proposes that the term Market Orders 

would not include MOO Orders. By contrast, in 

Rule 7.35E, Limit Orders are distinct from LOO 

Orders and therefore the reference to Limit Orders 

in proposed Rule 7.35E(e)(8)(B) would not include 

LOO Orders. 

Only (‘‘IO’’) Order, that would be 

eligible to participate in Trading Halt 

Auctions only. The Exchange proposes 

to amend Rule 7.31E(c), which specifies 

the Exchange’s Auction-Only Order 

types, to add new subsection (5) to 

describe an IO Order. As proposed, an 

IO Order would be a Limit Order to buy 

(sell) that is to be traded only in a 

Trading Halt Auction. 

Proposed Rule 7.31E(c)(5)(A) would 

provide that an IO Order would be 

accepted only during a halt or pause, 

including any extensions. This 

proposed rule text is consistent with the 

Exchange’s current rules that MOO or 

LOO Orders designated to participate in 

a Trading Halt Auction will be accepted 

only during the trading halt that 

precedes such Trading Halt Auction.16

Proposed Rule 7.31E(c)(5)(B) would 

provide that an IO Order would 

participate in a Trading Halt Auction 

only if: (i) There is an imbalance in the 

security on the opposite side of the 

market from the IO Order after taking 

into account all other orders eligible to 

trade at the Indicative Match Price; and 

(ii) the limit price of the IO Order to buy 

(sell) would be at or above (below) the 

Indicative Match Price. Proposed Rule 

7.31E(c)(5)(C) would provide that the 

working price of an IO Order to buy 

(sell) would be adjusted to be equal to 

the Indicative Match Price, provided 

that the working price of the IO Order 

would not be higher (lower) than its 

limit price. Finally, proposed Rule 

7.31E(c)(5)(D) would provide that an IO 

Order that participates in a Trading Halt 

Auction would be ranked in time 

priority among IO Orders after all other 

orders eligible to participate in the 

auction have been allocated. The 

proposed IO Order is based on the IO 

Order offered by NYSE Arca.17

For example, assume for a Trading 

Halt Auction that the lower boundary of 

an Auction Collar is $10.00. Assume 

further that after allocating all other 

orders eligible to participate in the 

Trading Halt Auction, there is a sell 

Total Imbalance of 10,000 shares and 

absent Auction Collars, the Indicative 

Match Price would be below $10.00. As 

provided for in Rule 7.35E(a)(10)(B), 

once the Auction Collars are applied, 

the Indicative Match Price for that 

Trading Halt Auction would be $10.01 

(i.e., one MPV above the lower Auction 

Collar). Assume now there are seven IO 

Orders to buy, each for 2,000 shares, 

with limit prices of $10.00, $10.01, 

$10.02, $10.03, $10.04, $10.05 and 

$10.06, and they are entered in that 

order. In this scenario, the IO Order to 

buy with a limit price of $10.00 would 

not be eligible to participate, because 

the $10.01 Indicative Match Price is 

higher than the limit price of the order. 

The remaining six IO Orders to buy 

would be assigned a working price of 

$10.01. However, because the IO Order 

with a limit price of $10.06 was entered 

last in time, it would not participate in 

the Trading Halt Auction. 

Auction Imbalance Freeze: The 

Exchange proposes to add an Auction 

Imbalance Freeze before a Trading Halt 

Auction. As defined in Rule 7.35E(a)(3), 

the Auction Imbalance Freeze means the 

period that begins before the scheduled 

time for the Early Open Auction, Core 

Open Auction, or Closing Auction, as 

specified in paragraphs (b), (c), and (d) 

of Rule 7.35E, and that ends once the 

Auction Processing Period begins. To 

effect the proposed rule change, the 

Exchange proposes to add a reference to 

Trading Halt Auction and Rule 7.35E(e) 

to Rule 7.35E(a)(3). 

Proposed Rule 7.35E(e)(8) would 

describe how the Trading Halt Auction 

Imbalance Freeze would function. As 

proposed, the Trading Halt Auction 

Imbalance Freeze would begin five 

seconds before the Re-Opening Time, 

including Re-Opening Times for each 

Extension. The Exchange proposes to 

use the same period of time for the 

Trading Halt Auction Imbalance Freeze, 

five seconds, as provided for in Rule 

7.35E(c)(3) for the Core Open Auction. 

Specifically, the Exchange believes that 

the proposed five-second time period 

strikes the appropriate balance for 

providing sufficient time for market 

participants to enter and cancel orders 

before the Trading Halt Auction while at 

the same time having a short period for 

any imbalance to stabilize before the 

auction is conducted. The rule would 

further provide that if a pause or halt is 

extended, the Trading Halt Auction 

Imbalance Freeze for the prior period 

would end, new orders and order 

instructions received during the prior 

period’s Trading Halt Auction 

Imbalance Freeze would be processed, 

and the Exchange would accept new 

order entry and cancellation as provided 

for in Rule 7.18E(c) until the next 

Trading Halt Auction Imbalance Freeze. 

In other words, if at the Re-Opening 

Time, the Exchange extends the Trading 

Pause for five minutes, the restrictions 

on order entry and cancellation from the 

prior freeze would no longer be in 

effect, and any order instructions that 

were not processed will be processed. 

The proposed rule would further 

provide how order entry and 

cancellation during the Trading Halt 

Auction Imbalance Freeze would be 

processed: 

• As proposed in Rule 7.35E(e)(8)(A), 

MOO Orders and LOO Orders that are 

on the same side as the Imbalance, 

would flip the Imbalance, or would 

create a new Imbalance would be 

rejected. This proposed rule text is 

based on how MOC Orders and LOC 

Orders are processed during the Closing 

Auction Imbalance Freeze, as described 

in Rule 7.35E(d)(2)(A). 

• As proposed in Rule 7.35E(e)(8)(B), 

Market Orders (other than MOO Orders) 

and Limit Orders would be accepted but 

would not be included in the 

calculation of the Indicative Match Price 

or the Trading Halt Auction Imbalance 

Information.18 Such orders would 

participate in the Trading Halt Auction 

only to offset the Imbalance that would 

be remaining after all orders entered 

before the Trading Halt Auction 

Imbalance Freeze, including the nondisplay quantity of Reserve Orders, are 

allocated in the Trading Halt Auction, 

and would be allocated in price-time 

priority under Rule 7.36E(c)–(g) 

consistent with the priority ranking 

associated with each order and ahead of 

any IO Orders. This proposed rule text 

is based on how Market Orders (other 

than MOO Orders) and Limit Orders 

that are entered during the Core Open 

Auction Imbalance Freeze, as described 

in Rule 7.35E(c)(3)(B). As such, these 

orders would participate in the Trading 

Halt Auction only to offset the final 

Imbalance for the auction. Such orders 

would be ranked in price-time priority 

after all other orders, except for IO 

Orders, have been allocated. Because 

the Exchange would be accepting IO 

Orders for the Trading Halt Auction and 

because IO Orders do not participate 

until all other eligible interest has been 

allocated, the Exchange proposes a 

substantive difference from the rule 

governing the Core Open Auction to 

address how IO Orders would be 

processed relative to Market Orders 

(other than MOO Orders) or Limit 

Orders entered during the Trading Halt 

Auction Imbalance Freeze. As proposed, 

IO Orders would not be allocated until 

Market Orders (other than MOO Orders) 

and Limit Orders entered during the 

Trading Halt Auction Imbalance Freeze 

have been allocated. 

• Proposed Rule 7.35E(e)(8)(C) would 

provide that requests to cancel and 

requests to cancel and replace Market 


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19Because they are not specifically excluded, the 

reference to Market Orders in proposed Rule 

7.35E(e)(8)(C) would include MOO Orders. 

20See Rule 7.35E(a)(7) (defining the terms Total 

Imbalance and Market Imbalance); 7.35E(a)(8) 

(defining the term Indicative Match Price); and 

7.35E(a)(9) (defining the term Matched Volume). 

21See 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. 

22See Rules 7.31E(a)(1)(B)(i) (providing that 

when calculating the Trading Collar, the specified 

percentage will be rounded down) and 

7.31E(a)(2)(B) (providing that ‘‘Limit Order Price 

Protection . . . will be rounded down to the nearest 

price at the applicable MPV’’). 

23See Securities Exchange Act Release No. 81720 

(September 26, 2017), 82 FR 45922 (October 2, 

2017) (File No. 4–631) (Notice of filing and 

immediate effectiveness of fifteenth amendment to 

the Plan, extending the implementation date of 

LULD Amendment 12 to no later than November 

30, 2017). 

24 15 U.S.C. 78f(b). 

25 15 U.S.C. 78f(b)(5). 

Orders, LOO Orders, Limit Orders, and 

IO Orders would be accepted but not 

processed until either after the Trading 

Halt Auction concludes, as provided for 

in Rule 7.35E(h), or if a pause or halt is 

extended, when the Trading Halt 

Auction Imbalance Freeze for the prior 

period ends.19 This proposed rule text is 

based on Rule 7.35E(c)(3)(C) governing 

which order instructions will be 

accepted but not processed during the 

Core Open Auction Imbalance Freeze. 

The Exchange proposes a substantive 

difference to reference how requests to 

cancel IO Orders would be processed if 

received during the freeze period. 

• Finally, proposed Rule 

7.35E(e)(8)(D) would provide that all 

other order instructions would be 

accepted. This proposed rule text is 

based on Rules 7.35E(c)(3)(D) and 

(d)(2)(C), without any differences. 

Unexecuted Limit Orders: The 

Exchange proposes to specify how it 

would process Limit Orders that do not 

participate in the Trading Halt Auction. 

As discussed above, an Impermissible 

Price would occur if there is a Market 

Imbalance or if the Indicative Match 

Price were at or outside the specified 

Price Collar Thresholds. However, if the 

Indicative Match Price were within the 

specified Price Collar Thresholds and 

there is no Market Imbalance, it is still 

possible to have an imbalance of Limit 

Orders within the Auction Collars. In 

such case, the Exchange proposes to 

transition such unexecuted Limit Orders 

to continuous trading. The Exchange 

believes that because such Limit Orders 

would have a limit price within the 

Auction Collars, having such Limit 

Orders transition to continuous trading 

would not have significant pricing 

impact on post-Trading Halt Auction 

trading. Accordingly, proposed Rule 

7.35E(e)(9) would provide that any 

Limit Orders that were eligible to 

participate in the Trading Halt Auction, 

but did not participate, would transition 

to continuous trading as provided for in 

paragraph (h) of this Rule. 

Auction Imbalance Information: The 

Exchange proposes to enhance the 

Auction Imbalance Information. Rule 

7.35E(a)(4) defines Auction Imbalance 

Information as the information that is 

disseminated by the Exchange for an 

auction and includes, if applicable, the 

Total Imbalance, Market Imbalance, 

Indicative Match Price, and Matched 

Volume.20 The Exchange proposes to 

enhance the Auction Imbalance 

Information to include the following 

additional information: Auction 

Reference Price, Auction Collar, Book 

Clearing Price, Far Clearing Price, 

Imbalance Freeze Indicator, and 

Auction Indicator. The Auction 

Reference Price is defined in Rule 

7.35E(a)(8)(A) and proposed Rule 

7.35E(e)(7)(A), described above. The 

Auction Collar is defined in Rule 

7.35E(a)(10) and proposed Rules 

7.35E(e)(7) and (e)(10)(B), described 

above. The Exchange proposes to define 

the additional terms as follows: 

• Proposed Rule 7.35E(a)(11) would 

define the term ‘‘Book Clearing Price’’ to 

mean the price at which all interest 

eligible to participate in an auction 

could be traded if not subject to an 

Auction Collar. The rule would further 

provide that the Book Clearing Price 

would be zero if a sell (buy) imbalance 

cannot be filled by any buy (sell) orders. 

For example, if there are only sell orders 

and no buy orders, the Book Clearing 

Price would be zero. 

• Proposed Rule 7.35E(a)(12) would 

define the term ‘‘Far Clearing Price’’ to 

mean the price at which Auction-Only 

Orders could be traded within the 

Auction Collar. Auction-Only Orders 

are defined in Rule 7.31E(c). 

• Proposed Rule 7.35E(a)(13) would 

define the term ‘‘Auction Indicator’’ to 

mean an indicator of whether an auction 

could be conducted, based on the 

applicable Auction Collar and 

Imbalance. This information would be 

relevant for the Trading Halt Auction 

and provide transparency regarding 

whether a Trading Pause, MWCB Halt, 

or regulatory halt would be eligible to be 

conducted. If an Auction Indicator is 

‘‘no,’’ market participants would be on 

notice that submitting offsetting interest 

may reduce the possibility of the 

Exchange extending a Trading Halt 

Auction. 

• Proposed Rule 7.35E(a)(14) would 

define the term ‘‘Imbalance Freeze 

Indicator’’ to mean an indicator of 

whether a security is currently in an 

Auction Imbalance Freeze. This 

indicator would put market participants 

on notice of whether there are order 

entry and cancellation restrictions in 

place at any given time before an 

auction. 

Finally, the Exchange proposes to 

replace the word ‘‘truncated’’ with the 

words ‘‘rounded down’’ 21 in Rule 

7.35E(a)(10)(A). The Exchange believes 

that conforming the terminology used in 

Rules 7.31E 22 and 7.35E promotes 

clarity and transparency. 

* * * * * 

The Exchange proposes to implement 

the proposed rule change at the same 

time that LULD Amendment 12 is 

implemented, which, subject to 

technology changes and the 

effectiveness of the extension for the 

implementation date for the LULD 

Amendment 12 changes, is anticipated 

to be in the fourth quarter of 2017.23 The 

Exchange will announce the 

implementation date via Trader Update. 

2. Statutory Basis 

The proposed rule change is 

consistent with Section 6(b) of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’),24 in general, and furthers the 

objectives of Section 6(b)(5),25 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 the proposed 

changes would 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, 

because they are designed, together with 

LULD Amendment 12, to address the 

issues experienced on August 24, 2015 

by reducing the number of repeat 

Trading Pauses in a single NMS Stock. 

LULD Amendment 12 is an essential 

component to Participants’ goal of more 

standardized processes across Primary 

Listing Exchanges in reopening trading 

following a Trading Pause, and 

facilitates the production of an 

equilibrium Reopening Price by 

centralizing the reopening process 

through the Primary Listing Exchange, 

which would also improve the accuracy 

of the reopening Price Bands. LULD 


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Amendment 12 supports this initiative 

by requiring trading centers to wait to 

resume trading following Trading Pause 

until there is a Reopening Price. 

This proposed rule change further 

supports this initiative by proposing 

uniform trading practices for reopening 

trading following a Trading Pause. The 

Exchange believes that the proposed 

standardized approach for how the 

Primary Listing Exchanges would 

conduct certain aspects of an automated 

reopening following a Trading Pause 

would remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system because it would provide 

certainty for market participants 

regarding how a security would reopen 

following a Trading Pause, regardless of 

the listing exchange. The Exchange 

further believes that the proposed 

changes would 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 the goal of the 

proposed changes is to ensure that all 

Market Order interest could be satisfied 

in an automated reopening auction 

while at the same time reducing the 

potential for multiple Trading Pauses in 

a single security due to a large order 

imbalance. 

The Exchange further believes that the 

standardized proposal to extend a 

Trading Pause an additional five 

minutes would remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 

system because it would provide 

additional time to attract offsetting 

liquidity. If at the end of such extension, 

Market Orders still cannot be satisfied 

within price collar thresholds or if the 

reopening auction would be priced 

outside of the applicable price collar 

thresholds, the Primary Listing 

Exchange would extend the Trading 

Pause an additional five minutes, which 

the Exchange believes would further 

protect investors and the public interest 

by reducing the potential for significant 

price disparity in post-auction trading, 

which could otherwise trigger another 

Trading Pause. With each such 

extension, the Exchange believes that 

widening the price collar threshold on 

the side of the market on which there is 

buying or selling pressure would 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system because it 

would provide additional time to attract 

offsetting interest while at the same time 

addressing that an imbalance may not 

be resolved within the prior Auction 

Collars. 

With respect to price collar 

thresholds, the Exchange believes that 

using the price of the limit state that 

preceded the Trading Pause, i.e., either 

the Lower or Upper Price Band price, 

would better reflect the most recent 

price of the security and therefore 

should be used as the reference price for 

determining the Auction Collars for 

such Trading Halt Auction. The 

Exchange believes that widening 

Auction Collars only in the direction of 

the imbalance would address issues 

relating to the concept of mean 

reversion, which would protect 

investors and the public interest by 

reducing the potential for wide price 

swings following a Trading Halt 

Auction. 

The Exchange believes that applying 

the proposed changes to its Trading Halt 

Auctions not only following a Trading 

Pause, but also following a MWCB Halt 

or regulatory halt, would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because it 

would promote consistency in how the 

Exchange conducts its Trading Halt 

Auctions, thus reducing complexity in 

the marketplace. 

The Exchange believes that 

precluding ETP Holders from requesting 

a review of a Trading Halt Auction as a 

clearly erroneous execution would 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system because 

the proposed new procedures for 

reopening trading following a Trading 

Pause would reduce the possibility that 

an order(s) from an ETP Holder(s) 

caused a Trading Halt Auction to be 

clearly erroneous. Specifically, the 

Exchange believes that the proposed 

standardized procedures for reopening 

trading following a Trading Pause 

incorporates a methodology that allows 

for widened collars, which may result in 

a reopening price away from prior 

trading prices, but which reopening 

price would be a result of a measured 

and transparent process that eliminates 

the potential that such trade would be 

considered erroneous. 

The Exchange believes that the 

proposed amendments to Rule 7.11E 

would remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system because the proposed changes 

would remove obsolete rule text and 

amend the remaining rule text to 

conform to LULD Amendment 12, as 

described above. 

The Exchange believes that the 

proposed rule change to add an IO 

Order for Trading Halt Auctions would 

further remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system because such order type is 

designed to attract offsetting interest 

that would participate in the Trading 

Halt Auction. The Exchange believes 

that offering such order type would 

provide an option for market 

participants that are willing to 

participate in an auction to offset an 

imbalance, but do not want such orders 

to participate in continuous trading. The 

proposed order type is based on the CO 

Order offered by NYSE Arca and are 

designed with the same purpose—to 

reduce the imbalance to assist in 

achieving pricing equilibrium. 

The Exchange further believes that the 

proposed rule change to add a Trading 

Halt Auction Imbalance Freeze would 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system because it 

would provide market participants with 

a brief period to assess the imbalance 

going into a Trading Halt Auction. 

During such time, order entry and 

cancellation would be revised in a 

manner designed to reduce the lastpublished imbalance. The proposed 

mechanism for the Trading Halt Auction 

Imbalance Freeze is not novel, as it is 

based in part on the existing Core Open 

Auction Imbalance Freeze, i.e., the 

length of the Auction Imbalance Freeze, 

and the Closing Auction Imbalance 

Freeze, i.e., how new orders and order 

instructions would be processed, with a 

proposed substantive difference to 

address how the proposed new IO Order 

type would be processed during the 

Auction Imbalance Freeze. 

The Exchange believes that the 

proposed manner of how it would 

process Limit Orders that do not 

participate in a Trading Halt Auction, 

but have a limit price within the 

applicable Auction Collars, in that such 

orders would roll into continuous 

trading, would remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 

system. Such Limit Orders likely would 

not impact the pricing of post-auction 

trading and trigger another Trading 

Pause because the limit price of such 

orders would be within the same price 

range that trading would otherwise be 

permitted. 

The Exchange believes that the 

proposed amendments to enhance the 

Auction Imbalance Information to add 

the Auction Reference Price, the 

Auction Collar, the Book Clearing Price, 

the Far Clearing Price, the Imbalance 

Freeze Indicator, and the Auction 

Indicator would remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 


asabaliauskas on DSKBBXCHB2PROD with NOTICES
50906 Federal Register / Vol. 82, No. 211 / Thursday, November 2, 2017 / Notices 

26 15 U.S.C. 78s(b)(3)(A)(iii). 

27 17 CFR 240.19b–4(f)(6). 

28 17 CFR 240.19b–4(f)(6). 

29 17 CFR 240.19b–4(f)(6)(iii). 

30 15 U.S.C. 78s(b)(2)(B). 31 17 CFR 200.30–3(a)(12). 

system because they are designed to 

promote additional transparency 

regarding the Exchange’s auctions by 

providing additional detail regarding 

what Auction Reference Price would be 

used in an auction, the Auction Collars 

applicable to such auction, additional 

information about potential pricing for 

such auction, and the status of the 

applicable auction. 

The Exchange believes that the 

proposed amendments to Rule 

7.31E(a)(10)(A) to replace ‘‘truncated’’ 

with ‘‘rounded down’’ would remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system because 

the proposed rule change is designed to 

promote clarity, consistency, and 

transparency in Exchange rules. 

Finally, the Exchange believes that 

the proposed changes are consistent 

with the Act because they are based on 

the rules of NYSE Arca without any 

substantive differences. 

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 

rule change is not designed to address 

any competitive issues, but rather, to 

achieve the Participants’ goal of more 

standardized processes across Primary 

Listing Exchanges in reopening trading 

following a Trading Pause, and 

facilitates the production of an 

equilibrium Reopening Price by 

centralizing the reopening process 

through the Primary Listing Exchange, 

which would also improve the accuracy 

of the reopening Price Bands. The 

Exchange believes that the proposed 

rule change reduces the burden on 

competition for market participants 

because it promotes a transparent and 

consistent process for reopening trading 

following a Trading Pause regardless of 

where a security may be listed. The 

Exchange further believes that the 

proposed rule change would not impose 

any burden on competition because they 

are designed to increase transparency 

regarding the Exchange’s Trading Halt 

Auction process while at the same time 

increasing the ability for offsetting 

interest to participate in an auction, 

which would assist in achieving pricing 

equilibrium for such an auction. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The Exchange has filed the proposed 

rule change pursuant to Section 

19(b)(3)(A)(iii) of the Act 26 and Rule 

19b–4(f)(6) thereunder.27 Because the 

proposed rule change does not: (i) 

Significantly affect the protection of 

investors or the public interest; (ii) 

impose any significant burden on 

competition; and (iii) become operative 

prior to 30 days from the date on which 

it was filed, or such shorter time as the 

Commission may designate, if 

consistent with the protection of 

investors and the public interest, the 

proposed rule change has become 

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

of the Act and Rule 19b–4(f)(6)(iii) 

thereunder. 

A proposed rule change filed under 

Rule 19b–4(f)(6) 28 normally does not 

become operative prior to 30 days after 

the date of the filing. However, pursuant 

to Rule 19b–4(f)(6)(iii),29 the 

Commission may designate a shorter 

time if such action is consistent with the 

protection of investors and the public 

interest. 

At any time within 60 days of the 

filing of such proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission shall institute proceedings 

under Section 19(b)(2)(B) 30 of the Act 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– 

NYSEAMER–2017–30 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSEAMER–2017–30. 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–NYSEAMER–2017–30 and 

should be submitted on or before 

November 24, 2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.31

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–23826 Filed 11–1–17; 8:45 am] 

BILLING CODE 8011–01–P 


asabaliauskas on DSKBBXCHB2PROD with NOTICES