Document ID: SEC-2009-0592-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes:  NYSE Amex LLC
Posted Date: 2009-04-29T04:00Z

[Federal Register: April 29, 2009 (Volume 74, Number 81)]
[Notices]               
[Page 19614-19617]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr29ap09-148]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-59816; File No. SR-NYSEAmex-2009-13]

 
Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing 
and Immediate Effectiveness of Proposed Rule Change Amending NYSE Amex 
Equities Rules 15 and 123C Regarding the Operation of Its NYSE Amex 
Order Imbalance Information Service To Modify the Reference Price at 
Which the Exchange Reports the Order Imbalance Information and Clarify 
What Information Is Included and Excluded From the Order Imbalance 
Information Reports

April 23, 2009.
    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 April 17,

[[Page 19615]]

2009, NYSE Amex LLC (the ``Exchange'' or ``NYSE Amex'') 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.
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    \1\ 15 U.S.C.78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to amend NYSE Amex Equities Rules 15 and 123C 
regarding the operation of its NYSE Amex Order Imbalance Information 
service to: (1) Modify the reference price at which the Exchange 
reports the Order Imbalance Information; and (2) clarify what 
information is included and excluded from the Order Imbalance 
Information reports. The text of the proposed rule change is available 
at the Exchange, the Commission's Public Reference Room, and http://
www.nyse.com.

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 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    NYSE Amex LLC (``NYSE Amex'' or the ``Exchange'') is proposing to 
amend NYSE Amex Equities Rules 15 and 123C regarding the operation of 
its Order Imbalance Information service to: (1) Modify the reference 
price at which the Exchange reports the Order Imbalance Information; 
and (2) clarify what information is included and excluded from the 
Order Imbalance Information reports.
    The Exchange notes that parallel changes are proposed to be made to 
the rules of the New York Stock Exchange LLC.\4\
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    \4\ See SR-NYSE-2009-41 (to be filed April 17, 2009).
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a. Background
    By Notice dated April 9, 2009, NYSE Amex implemented the NYSE Amex 
Order Imbalance Information Data Product.\5\ NYSE Amex maintains an 
Order Imbalance Information datafeed of real-time order imbalances that 
accumulate prior to the opening of trading on the Exchange and prior to 
the close of trading on the Exchange. These orders are subject to 
execution at the market's opening or closing price, as the case may be, 
and represent issues that are likely to be of particular trading 
interest at the opening or closing.
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    \5\ See Securities Exchange Act Release No. 59743 (April 9, 
2009) (SR-NYSEAmex-2009-11).
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    The Exchange distributes information about these imbalances in 
real-time at specified intervals prior to the opening and closing 
auctions. The Exchange currently makes order imbalance information 
available at the following intervals.
    For opening Order Imbalance Information:
     Every five minutes between 8:30 a.m. EST and 9 a.m. EST.
     Every one minute between 9 a.m. EST and 9:20 a.m. EST.
     Every 15 seconds between 9:20 a.m. EST and the opening (or 
9:35 a.m. EST if the opening is delayed).
    For closing Order Imbalance Information:
     Every fifteen seconds between 3:40 p.m. EST and 3:50 p.m. 
EST.
     Every five seconds between 3:50 p.m. EST and 4 p.m. EST.
Reference Price
    The NYSE Amex Order Imbalance Information service currently uses 
the last sale price as the reference price for the Order Imbalance 
Information. In the case of opening order imbalances, this means the 
last sale price at the end of the prior trading day. For closing order 
imbalances, the reference price is equal to the last sale price.
Orders Included in NYSE Amex Order Imbalance Reports
    The NYSE Amex Order Imbalance Information service provides the 
following information:
    (A) In the case of the pre-opening datafeed, all interest eligible 
to trade in the opening transactions excluding odd-lot orders and the 
odd-lot portion of partial round-lot orders. Floor broker interest 
includes all interest except non-displayed reserve interest marked ``Do 
Not Display'' (``DND''). Customer interest includes all interest except 
for non-displayed reserve interest. DMM interest is not included in the 
pre-opening datafeed.
    (B) In the case of pre-closing datafeed, all market-on-close orders 
and limit-on-close orders eligible to participate in the closing 
transaction. It excludes odd-lot orders, the odd-lot portion of partial 
round-lot orders, DMM interest and Crowd interest.
b. Proposed Amendments
Reference Price
    In order to provide the most accurate imbalance information, the 
Exchange proposes to modify what constitutes the reference price for 
the dissemination of the NYSE Amex Order Imbalance Information feed. 
Prior to the opening transaction, if a pre-opening indication is 
published pursuant to the provisions of NYSE Amex Equities Rule 15 
(``Pre-Opening Indications'') paragraphs (a) and (b), or in the event 
of a mandatory publication \6\ pursuant to NYSE Amex Equities Rule 123D 
(``Openings and Halts in Trading''), the reference price will no longer 
be the closing price of the prior trading day.
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    \6\ Exchange policy requires the dissemination of an indication 
in connection with any delayed opening--involving any stock which 
has not opened (or been quoted) by 10 a.m. In addition, the 
dissemination of an indication is mandatory for an opening which 
will result in a significant price change from the previous close 
[See table above].

------------------------------------------------------------------------
                                               Price change (equal or
      Previous exchange closing price               greater than)
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Under $10.................................  1 point.
$10-$99.99................................  the lesser of 10% or 3
                                             points.
$100 and Over.............................  5 points.
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    The Exchange proposes to have the reference price equal the last 
sale (previous closing price) or the price indication published under 
the Rule 15 or 123D. Therefore, when the Exchange publishes a pre-
opening indication in a security pursuant to the provisions of 
paragraphs (a) and (b) of NYSE Amex Equities Rule 15 or NYSE Amex 
Equities Rule 123D, the reference price will be determined as follows:
     If the Bid Price from the indication (the lower price) is 
higher than the last sale, the Reference Price will be the Bid.
     If the Offer Price from the indication (the higher price) 
is lower than the last sale, the Reference Price will be the Offer.
     If the Last Sale is within the indication range, the Book 
shall use the Last Sale as the Reference Price
     If multiple indications have been published, the last 
indication that the Exchange makes available shall be used as the 
Reference Price.
    Examples:
    (1) XYZ security closed at a price of $15.00 on April 1, 2009. On 
April 2,

[[Page 19616]]

2009, the Exchange publishes a pre-opening indication for XYZ with a 
bid price of $16.00 and an offer price of $16.50. The reference price 
for the NYSE Order Imbalance datafeed in XYZ security on April 2, 2009 
will be $16.00.
    (2) XYZ security closed at a price of $15.00 on April 1, 2009. On 
April 2, 2009, the Exchange publishes a pre-opening indication for XYZ 
with a bid price of $14.00 and an offer price of $14.50. The reference 
price for XYZ data feed on April 2, 2009 will be $14.50.
    (3) XYZ security closed at a price of $15.00 on April 1, 2009. On 
April 2, 2009, the Exchange publishes pre-opening indication for XYZ 
with a bid price of $14.99 and an offer price of $15.02. The reference 
price for XYZ data feed on April 2, 2009 will be $15.00.
    In the case of pre-closing imbalances, the NYSE Amex Order 
Imbalance Information service also uses the last sale price as the 
reference price for pre-closing Order Imbalance Information that it 
disseminated pursuant to NYSE Amex Equities Rule 123C (``Market on the 
Close Policy and Expiration Procedures'').
    The Exchange proposes to modify what it uses as the reference price 
when the last sale price does not fall within the best bid and the best 
offer on the Exchange at the time that the Exchange calculates a 
closing imbalance for a security,\7\ as follows:
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    \7\ Currently NYSE Amex securities operating on the 14.0 
Technology Release employ the proposed method to determine the 
reference price.
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     If the last sale price is lower than the Bid price, then 
the Bid Price will serve as the Reference Price.
     If the last sale price is higher than the Offer Price, 
then the Offer Price will serve as the Reference Price.
     If the last sale price falls within the Exchange's best 
bid and offer for the security, the last sale price will serve as the 
Reference Price.
    Examples:
    (1) The sale in XYZ security prior to the dissemination of the 
order imbalance feed was at a price of $15.00. The quote prior to the 
dissemination of the datafeed is 100 shares bid at a price of $15.02 
and 500 shares offered at a $15.20. The reference price for the NYSE 
Order Imbalance datafeed in XYZ security will be $15.02.
    (2) The sale in XYZ security prior to the dissemination of the 
order imbalance feed was at a price of $15.00. The quote prior to the 
dissemination of the datafeed is 100 shares bid at a price of $14.91 
and 500 shares offered at a $14.99. The reference price for the NYSE 
Order Imbalance datafeed in XYZ security will be $14.99.
    (3) The sale in XYZ security prior to the dissemination of the 
order imbalance feed was at a price of $15.00. The quote prior to the 
dissemination of the datafeed is 100 shares bid at a price of $14.98 
and 500 shares offered at a $15.02. The reference price for the NYSE 
Order Imbalance datafeed in XYZ security will be $15.00.
    The Exchange believes that the amendments to the reference price 
for the publication of the NYSE Amex Order Imbalance Information 
service will enhance the value of the product by providing the user 
with a more accurate depiction of the market interest available in the 
security.
Orders Included in NYSE Amex Pre-Opening Order Imbalance Information 
Reports
    The Exchange proposes to add all DMM s-quote interest eligible for 
execution in the opening transaction, at no additional charge, to the 
order information currently included in the pre-opening NYSE Amex Order 
Imbalance Information Reports. DMM s-quote interest is currently 
eligible for execution in the opening transaction but is not included 
in the Order Imbalance Information Report. The Exchange believes that 
the addition of DMM s-quote interest to the Order Imbalance Information 
Report will enhance the value of this product by including additional 
information about the electronic interest eligible to trade at the 
opening.
2. Statutory Basis
    The bases under the Securities Exchange Act of 1934 (the ``1934 
Act'') for this proposed rule change are the requirements under Section 
6(b)(5) that the rules of an exchange be designed 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 
Exchange believes that the proposal benefits investors by modifying 
NYSE Amex Order Imbalance Information to provide investors with a more 
accurate depiction of the market and additional information on the open 
for a security.

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.

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

    Because the foregoing proposed rule change: (i) Does not 
significantly affect the protection of investors or the public 
interest; (ii) does not impose any significant burden on competition; 
and (iii) by its terms, does not become operative for 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, it has become effective pursuant to Section 
19(b)(3)(A) of the Act \8\ and Rule 19b-4(f)(6) thereunder.\9\
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    \8\ 15 U.S.C. 78s(b)(3)(A).
    \9\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii) 
requires the self-regulatory organization to submit to the 
Commission written notice of its intent to file the proposed rule 
change, along with a brief description and text of the proposed rule 
change, at least five business days prior to the date of filing of 
the proposed rule change, or such shorter time as designated by the 
Commission. The Exchange has satisfied this requirement.
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    The Exchange has requested that the Commission waive the 30-day 
operative delay so that the proposal may become operative immediately 
upon filing in order to immediately provide market participants with 
the most accurate supplemental market information prior to the 
execution of the opening and closing transactions on the Exchange. The 
Commission believes such waiver is consistent with the protection of 
investors and the public interest.\10\ Accordingly, the Commission 
designates the proposed rule change operative upon filing with the 
Commission.
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    \10\ For purposes only of waiving the 30-day operative delay of 
this proposal, the Commission has considered the proposed rule's 
impact on efficiency, competition, and capital formation. See 15 
U.S.C. 78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission may summarily abrogate 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.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing,

[[Page 19617]]

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 e-mail to rule-comments@sec.gov. Please include 
File Number SR-NYSEAmex-2009-13 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-NYSEAmex-2009-13. This 
file number should be included on the subject line if e-mail 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 inspection 
and copying in the Commission's Public Reference Room on official 
business days between the hours of 10 a.m. and 3 p.m. Copies of such 
filing also will be available for inspection and copying at the 
principal office of the Exchange. All comments received will be posted 
without change; the Commission does not edit personal identifying 
information from submissions. You should submit only information that 
you wish to make available publicly. All submissions should refer to 
File Number SR-NYSEAmex-2009-13 and should be submitted on or before 
May 20, 2009.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\11\
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    \11\ 17 CFR 200.30-3(a)(12).
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Elizabeth M. Murphy,
Secretary.
[FR Doc. E9-9818 Filed 4-28-09; 8:45 am]

BILLING CODE 8010-01-P