[Federal Register Volume 80, Number 197 (Tuesday, October 13, 2015)]
[Notices]
[Pages 61513-61527]
[FR Doc No: 2015-25864]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-76085; File No. SR-NYSEARCA-2015-86]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change for New Equity Trading Rules Relating to
Auctions for Pillar, the Exchange's New Trading Technology Platform

 October 6, 2015.
    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 September 22, 2015, NYSE Arca, Inc. (the ``Exchange'' or
``NYSE Arca'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I, II,
and III 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 new equity trading rules relating to auctions
for Pillar, the Exchange's new trading technology platform. The text of
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
    On April 30, 2015, the Exchange filed its first rule filing
relating to the implementation of Pillar, which is an integrated
trading technology platform designed to use a single specification for
connecting to the equities and options markets operated by NYSE Arca
and its affiliates, New York Stock Exchange LLC (``NYSE'') and NYSE MKT
LLC (``NYSE MKT'').\4\ The Pillar I Filing, which was approved on July
20, 2015, adopted new rules for Trading Sessions, Order Ranking and
Display, and Order Execution.\5\ The second rule filing relating to the
implementation of Pillar proposes to adopt new rules for Orders and
Modifiers and the Retail Liquidity Program.\6\ The third rule filing
relating to the implementation of Pillar proposes to adopt new rules
for Trading Halts, Short Sales, Limit Up-Limit Down, and Odd Lots and
Mixed Lots.\7\
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    \4\ See Securities Exchange Act Release No. 74951 (May 13,
2015), 80 FR 28721 (May 19, 2015) (SR-NYSEArca-2015-38) (Notice of
Filing) (``Pillar I Filing''). In the Pillar I Filing, the Exchange
described its proposed implementation of Pillar, including that it
would be submitting more than one rule filing to correspond to the
anticipated phased migration to Pillar.
    \5\ See Securities Exchange Act Release No. 75494 (July 20,
2015), 80 FR 44170 (July 24, 2015) (SR-NYSEArca-2015-38) (Pillar I
Filing Approval Order).
    \6\ See Securities Exchange Act Release No. 75497 (July 21,
2015), 80 FR 45022 (July 28, 2015) (SR-NYSEArca-2015-56) (Notice of
Filing) (``Pillar II Filing'').
    \7\ See Securities Exchange Act Release No. 75467 (July 16,
2015), 80 FR 43515 (July 22, 2015) (SR-NYSE-2015-58) (Notice of
Filing) (``Pillar III Filing'').
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    This filing is the fourth and final set of proposed rule changes to
support Pillar implementation and is intended to be read together with
the rules approved in the Pillar I Filing, and the proposed rule
changes in the Pillar II Filing and the Pillar III Filing. As described
in the Pillar I Filing, new rules to govern trading on Pillar will have
the same numbering as current rules, but with the modifier ``P''
appended to the rule number. For example, Rule 7.35, governing
auctions, would remain unchanged and continue to apply to any trading
in symbols on the current trading platform. Proposed Rule 7.35P would
govern auctions for trading in symbols migrated to the Pillar platform.
In addition, the proposed new rules to support Pillar in this filing
would use the terms and definitions approved in the Pillar I Filing and
proposed in the Pillar II Filing and Pillar III Filing.\8\
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    \8\ Capitalized terms not proposed to be defined in this filing
are the defined terms set forth in the Pillar I Filing, Pillar II
Filing, Pillar III Filing, or in Exchange rules.
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    In this filing, the Exchange proposes new Pillar Rule 7.35P
relating to auctions. The Exchange also proposes to change definitions
in Rule 1.1.
Rule 1.1 Definitions
    Rule 1.1 sets forth definitions. In the Pillar I Filing, the
Exchange amended specified definitions and, in the Pillar II Filing and
the Pillar III Filing, proposed additional amendments to Rule 1.1.\9\
In this filing, the Exchange proposes to amend Rules 1.1(r) and (s) to
specify that these definitions would be applicable only for auctions
conducted on the current trading platform.
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    \9\ As discussed in the Pillar I Filing, supra note 4, the
Exchange appended the letter ``P'' for definitions that only would
be applicable for symbols trading on the Pillar trading platform.
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    Current Rule 1.1(r) defines an Imbalance for the purposes of the
Opening Auction, the Market Order Auction, the Closing Auction, and the
Trading Halt Auction. Current Rule 1.1(s) defines the Indicative Match
Price for the Opening Auction, the Market Order Auction, the Closing
Auction, and the Trading Halt Auction. As discussed below, the Exchange
proposes to define the terms ``Imbalance'' and ``Indicative Match
Price'' for Pillar in Rule 7.35P, and therefore would not use these
terms as defined in current Rules 1.1(r) and (s).
    In order to specify that the current Rules 1.1(r) and (s)
definitions would be applicable only to trading on the current trading
platform, the Exchange proposes to specify that each definition is for
purposes of Rule 7.35 and delete the clause in each definition that
provides ``the Opening Auction, the Market Order Auction, the Closing
Auction, and the trading Auction, as the case may be.'' Because Rule
7.35 governs auctions on the current trading platform, by specifying
that these definitions are for purposes of Rule 7.35, these definitions
would not be applicable to Rule 7.35P, which will govern auctions on
Pillar.
Proposed New Rule 7.35P--Auctions
    The Exchange proposes new Rule 7.35P to describe auctions on the
Pillar trading platform and is based on current Rule 7.35 and Rules
1.1(r) and (s). Auctions in Pillar would function

similarly to auctions on the current trading platform. However, as with
other proposed Pillar rules, the Exchange proposes new rule text for
Rule 7.35P that uses Pillar terminology that includes both substantive
and non-substantive differences and clarifications from the current
rule text.
    For example, consistent with Rule 7.34P, in proposed Rule 7.35P,
the Exchange would use Pillar terminology, including the terms ``Early
Open Auction'' instead of ``Opening Auction,'' ``Core Open Auction''
instead of ``Market Order Auction,'' and the terms Early Trading
Session, Core Trading Session, and Late Trading Session. In addition,
proposed Rule 7.35P would use terms defined in Rule 7.36P, including
terms relating to the priority ranking of orders in Pillar. Further,
the Exchange proposes to include in Rule 7.35P the definitions that are
used for auctions rather than have them be set forth in Rule 1.1.
    The Exchange also proposes the following substantive differences
for auctions in Pillar:
     Consistent with the substantive difference proposed in the
Pillar II Filing that MOO Orders would participate in Trading Halt
Auctions, the term ``Market Orders'' in proposed Rule 7.35P would also
mean MOO Orders for the Trading Halt Auction, unless otherwise
specified. In addition, because in Pillar, unexecuted Market Orders
would participate in the Closing Auction, for the Closing Auction, the
term ``Market Orders'' would include MOC Orders, unless otherwise
specified.
     The securities eligible to participate in an auction,
i.e., ``Auction-Eligible Securities,'' would be defined more broadly to
provide the Exchange with the ability to conduct auctions in all
securities that trade on the Exchange.
     The Exchange would consolidate existing definitions
relating to auctions in proposed Rule 7.35P and would create new
definitions for Pillar for the terms Auction Processing Period, Auction
Imbalance Freeze, Auction NBBO, Auction Ranking, and Auction Reference
Price.\10\
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    \10\ Capitalized terms used in proposed Rule 7.35P are described
below.
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     Auction Imbalance Information would be updated at least
every second, rather than on a real-time basis, both for the
proprietary data feed dissemination and for determining order entry
eligibility during the applicable Auction Imbalance Freeze period.
     The Exchange is proposing a new term, ``Auction NBBO,''
which would be used as the basis for pricing the Core Open Auction and
the Indicative Match Price for the Closing Auction when that auction
consists only of Market Orders.
     The Exchange would allocate orders on the side of the
Imbalance the same for all auctions and would consolidate the
description of such ranking in the new defined term ``Auction
Ranking.'' MOO and MOC Orders would be ranked Priority 1--Market
Orders, LOO Orders and LOC Orders would be ranked as Priority 2--
Display Orders, and the limit price of an order would be used for
ranking purposes,
     During a Short Sale Period, for purposes of pricing an
auction and ranking orders for allocation in an auction, sell short
orders that have been adjusted to a Permitted Price would be processed
as Limit Orders ranked Priority 2--Display Orders. In addition, for
Auction Imbalance Information, sell short orders that are not yet
eligible to trade would be adjusted to a Permitted Price as the NBB
moves up and down.\11\
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    \11\ In Pillar, the term ``Short Sale Period'' would be defined
in proposed Rule 7.16P(f)(4) and the term ``Permitted Price'' would
be defined in proposed Rule 7.16P(f)(5)(A). See Pillar III Filing,
supra note 7. The term ``NBB'' is defined in Rule 1.1(dd).
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     The Market Imbalance would be Market Orders not matched
for trading in an auction against any interest, and not just Market
Orders not matched for trading against other Market Orders.
     To attract interest for an auction, the Exchange would
publish an Indicative Match Price value when there is no Matched Volume
but there is a published BBO.\12\ If the BB equals the BO volume, the
Exchange would use the BB as the Indicative Match Price.
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    \12\ In Rule 1.1(h), the term ``BBO'' is defined as the best bid
or offer on the NYSE Arca Marketplace, the term ``BB'' means the
best bid on the NYSE Arca Marketplace, and the term ``BO'' means the
best offer on the NYSE Arca Marketplace. The term ``NYSE Arca
Marketplace'' is defined in Rule 1.1(e) as the electronic securities
communications and trading facility designated by the Board of
Directors through which orders of Users are consolidated for
execution and/or display.
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     The Indicative Match Price would be determined for all
securities in the same manner regardless of whether the Exchange is the
primary listing market for a security or the security is a UTP
Security.
     The Auction Reference Price for purposes of determining
the Indicative Match Price and Auction Collars for the Core Open
Auction would be based on the midpoint of an Auction NBBO and would use
the prior trading day's Official Closing Price if there is no Auction
NBBO.
     The Exchange would conduct a Closing Auction if there are
only Market Orders on both sides of the market, in which case, the
Indicative Match Price would be the midpoint of the Auction NBBO. For
the Core Open Auction, if there are only Market Orders, the Indicative
Match Price would also be the midpoint of the Auction NBBO.
     An Indicative Match Price that is outside the Auction
Collars would be adjusted to be one MPV inside the Auction Collars,
rather than to the Auction Collar.\13\
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    \13\ Rule 7.6 defines the term MPV as the minimum price
variation for quoting and entry of orders.
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     As specified in Rule 7.34P, because the Core Open Auction
would be conducted in the Core Trading Session and not the Early
Trading Session, orders designated for the Early Trading Session would
not be eligible to participate in the Core Open Auction.
     There would not be any order entry or cancellation
restrictions during the one-minute Auction Imbalance Freeze before the
Early Open Auction.
     The Core Open Auction Imbalance Freeze would be five
seconds, instead of one minute, and during this period, MOO Orders and
LOO Orders would be rejected regardless of the Imbalance. In addition,
during the Core Open Auction Imbalance Freeze, the Exchange would
accept Market Orders and Limit Orders designated for the Core Trading
Session only on both sides of the market, but such orders would be
eligible to participate in the auction only to offset the Imbalance as
of the time of the scheduled Auction, and requests to cancel such
orders would not be processed until after the Core Open Auction
concludes. All other order instructions would be accepted during the
Core Open Auction Imbalance Freeze. As with the current trading
platform, requests to cancel MOO Orders and LOO Orders entered
beginning one minute before the scheduled time for the Core Open
Auction would be rejected.
    Definitions: Proposed Rule 7.35P(a) would set forth definitions
used in Rule 7.35P and is based on text from Rules 1.1(r) and (s) as
well as rule text throughout Rule 7.35.
    Rule 7.35P(a) would provide that for purposes of proposed Rule
7.35P, unless otherwise specified, the term ``Market Orders'' includes
MOO Orders (for the Core Open Auction and Trading Halt Auction) and MOC
Orders (for the Closing Auction). With respect to the Core Open
Auction, this text is based on the last clause of current Rule 7.35(c),
which provides that unless stated otherwise, for the Market Order
Auction, reference to Market Orders shall include MOO Orders.
    With respect to the Trading Halt Auction, the Exchange proposes a

substantive difference in Rule 7.35P to provide that Market Orders
would include MOO Orders. This proposed substantive difference is
consistent with the proposal in the Pillar II Filing that in Pillar,
MOO Orders would be eligible to participate in a Trading Halt
Auction.\14\
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    \14\ See Pillar II Filing, supra note 6 at proposed Rule
7.31P(c)(2).
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    The Exchange further proposes to include in Rule 7.35P(a) that for
the Closing Auction, Market Orders would include MOC Orders. Current
Rule 7.35(e) refers only to MOC Orders for Closing Auctions. However,
because unexecuted Market Orders that are held at a Trading Collar or
NBBO would be eligible to participate in the Closing Auction and would
be included in Closing Auction Imbalance Information, the Exchange
proposes that Rule 7.35P would refer to Market Orders generally for the
Closing Auction, which would include MOC Orders.\15\
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    \15\ Id. at proposed Rule 7.31P(a)(1)(A) and (B).
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    The Exchange proposes the following definitions for purposes of
Rule 7.35P:
    Auction-Eligible Security. Proposed Rule 7.35P(a)(1)(A) would
define an ``Auction-Eligible Security'' for the Early Open Auction,
Core Open Auction, and Closing Auction, as all securities for which the
Exchange is the primary listing market and UTP Securities \16\
designated by the Corporation.\17\ This rule text is based on the first
sentence of the first paragraph of current Rule 7.35(c),\18\ Rule
7.35(c)(1)(A), 7.35(c)(2)(A), 7.34(c)(3)(A), and the first sentence of
the first paragraph of Rule 7.35(e), which provide that the Market
Order Auction and Closing Auction will be conducted in exchange-listed
securities, including: (i) Exchange-listed securities for which the
Corporation is the primary market and (ii) all exchange-listed
Derivative Securities Products as defined in Rule 7.34(a)(4)(A).\19\
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    \16\ The Exchange has proposed to define the term ``UTP
Security'' to mean a security that is listed on a national
securities exchange other than the Exchange and that trades on the
NYSE Arca Marketplace pursuant to unlisted trading privileges. See
Pillar III Filing, supra note 7 at proposed Rule 1.1(ii).
    \17\ The term ``Corporation'' is defined in Rule 1.1(k) as NYSE
Arca Equities, Inc., as described in NYSE Arca Equities, Inc.'s
Certificate of Incorporation and Bylaws.
    \18\ In Pillar, the subject matter of the second sentence of
Rule 7.35(c) is set forth in Rule 7.34P(c)(2)(A).
    \19\ Current Rule 7.34(a)(4)(A) defines a ``Derivative
Securities Product'' as a security described in NYSE Arca Equities
Rules 5.1(b)(13), 5.1(b)(18), 5.2(j)(3), 8.100, 8.200, 8.201, 8.202,
8.203, 8.204, 8.300, 8.400, 8.500, 8.600 and 8.700. The Exchange now
defines the terms ``Derivative Securities Product'' and ``UTP
Derivative Securities Product,'' in Rule 1.1(bbb).
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    As with the current rule, all securities for which the Exchange is
the primary listing market would be Auction-Eligible Securities. The
Exchange proposes a substantive difference for Pillar to provide that
the Exchange would designate UTP Securities that would be Auction-
Eligible Securities. This proposed rule text would allow, as under the
current rules, for the Exchange to conduct auctions in UTP Derivative
Securities Products. It would also allow the Exchange to designate Tape
A, B, or C securities that are not UTP Derivative Securities Products
as being auction eligible. The Exchange believes this proposed rule
change would support the initiatives of the Exchange, NYSE, and the
NASDAQ Stock Market LLC (``Nasdaq'') to increase resiliency by having
auctions on NYSE Arca serve as a back-up to either NYSE or Nasdaq if
one of those markets is unable to conduct an auction.\20\
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    \20\ See NYSE press release dated July 22, 2015, available here:
http://ir.theice.com/press-and-publications/press-releases/all-categories/2015/07-22-2015.aspx.
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    Proposed Rule 7.35P(a)(1)(B) would define Auction-Eligible
Securities for the Trading Halt Auction as securities for which NYSE
Arca is the primary listing market. This proposed rule text is
consistent with the substantive difference proposed in the Pillar III
Filing that the Exchange would not conduct a Trading Halt Auction in a
UTP Security.\21\
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    \21\ See Pillar III Filing, supra note 7 at proposed Rule
7.18P(b).
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    Auction Processing Period. Proposed Rule 7.35P(a)(2) would define
the term ``Auction Processing Period'' to mean the period during which
the applicable auction is being processed. This definition would be new
in Pillar.
    Auction Imbalance Freeze. Proposed Rule 7.35P(a)(3) would define
the term ``Auction Imbalance Freeze'' to mean the period that begins
before the scheduled time for the Early Open Auction, Core Open
Auction, or Closing Auction, which would be specified in paragraphs
(b), (c), and (d) in proposed Rule 7.35P, as described below, and
ending once the Auction Processing Period begins. The Auction Imbalance
Freeze would be a new defined term in Rule 7.35P that would represent
the period before the commencement of the Auction Processing Period
during which Auction Imbalance Information may differ or order entry
eligibility may be restricted. Currently, this period is described in
Rules 7.35(a)(4), 7.35(c)(2)(A)(2) and (3), 7.35(d)(1) and (2),
7.35(e)(2)(B) and (C), but is not a defined term. The Exchange proposes
to use a defined term to describe this period for clarity.
    Auction Imbalance Information. Proposed Rule 7.35P(a)(4) would
define the term ``Auction Imbalance Information'' to mean the
information that is disseminated by the Corporation for an auction and
includes, if applicable, the Total Imbalance, Market Imbalance,
Indicative Match Price, and Matched Volume, each of which are proposed
to be separately defined terms and are described below. The Auction
Imbalance Information would be a new defined term in Rule 7.35P to
refer collectively to the information that the Exchange currently
provides in advance of an auction and, in Pillar, would continue to
provide in advance of an auction.\22\ As described in greater detail
below, using a single defined term would provide clarity in Exchange
rules by using a common term to describe the information that is
disseminated in advance of an auction.
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    \22\ The Exchange disseminates order imbalance information in
advance of auctions through its NYSE Arca Integrated Data Feed. See
Securities Exchange Act Release No. 65669 (Nov. 2, 2011), 76 FR
69311 (Nov. 8, 2011) (SR-NYSEArca-2011-78).
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    Proposed Rule 7.35P(a)(4)(A) would provide that Auction Imbalance
Information would be updated at least every second, unless there is no
change to the information. The frequency of how often Auction Imbalance
Information would be updated is based on rule text from Rules
7.35(a)(3) (imbalance information before the Opening Auction will be
published at ``various times . . . as determined from time to time by
the Corporation''), 7.35(c)(1)(A)(1) (imbalance information before the
Market Order Auction will be ``updated real-time''), 7.35(e)(1)
(imbalance information before the Closing Auction will be ``updated
real-time''), and 7.35(f)(2)(A) (imbalance information before a Trading
Halt Auction will be ``updated real-time'').
    The Exchange proposes a substantive difference in Pillar that
Auction Imbalance Information would be updated at least every second,
unless there is no change to the information. To reflect that order
entry eligibility would be based on the Imbalance that is updated on
this schedule, if applicable for the respective auction as described
below, proposed Rule 7.35P(a)(4)(B) would provide that order entry
eligibility during an Auction Imbalance Freeze would be based on the
most recently-updated Auction Imbalance Information.
    In addition, to reflect that in Pillar the Exchange would
disseminate Auction Imbalance Information via a proprietary market data
feed, proposed Rule

7.35P(a)(4)(C) would provide that the Corporation would disseminate
Auction Imbalance Information via a proprietary data feed during the
times specified in Rule 7.35P.\23\
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    \23\ This information is currently disseminated as part of the
Exchange's NYSE Arca Integrated feed proprietary data product and
would continue to be disseminated on this proprietary data feed in
Pillar. In addition, for Pillar, the Exchange proposes to establish
through a separate proposed rule change a stand-alone proprietary
data feed that would disseminate Auction Imbalance Information only.
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    Auction NBBO. Proposed Rule 7.35P(a)(5) would define the term
``Auction NBBO,'' which would be a new term in Pillar, as an NBBO \24\
that is used for purposes of pricing an auction. As described in
greater detail below, the Exchange proposes to use the Auction NBBO as
a basis for determining the Auction Reference Price for the Core Open
Auction and for determining the Indicative Match Price in specified
situations for the Closing Auction. As proposed, an NBBO would be an
Auction NBBO when:
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    \24\ In Rule 1.1(dd), the term ``NBBO'' means the best bid or
offer and the term ``NBB'' means the national best bid and the term
``NBO'' means the national best offer.
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     There is an NBB above zero and NBO for the security; and
     The NBBO is not crossed
    In addition, for the Core Open Auction, the Exchange proposes that
an NBBO would be an Auction NBBO when the midpoint of the NBBO when
multiplied by the designated percentage, is greater than or equal to
the spread of that NBBO. As further proposed, the designated percentage
would be determined by the Corporation from time to time upon prior
notice to ETP Holders. The proposed method for determining an Auction
NBBO for the Core Open Auction is designed to validate whether an NBBO
bears a relation to the value of the applicable security.
    The proposed definition of Auction NBBO is based in part on BATS
Exchange, Inc. (``Bats'') Rule 11.23(a)(23), which defines a ``Valid
NBBO'' as when there is both an NBB and NBO for a security, the NBBO is
not crossed, and the midpoint of the NBBO is less than the Maximum
Percentage way from both the NBB and the NBO. The Exchange proposes to
include greater specificity than the Bats rule to describe that the
requirement to have both an NBB and an NBO means that the NBB cannot be
zero.
    In addition to requiring an NBB that is above zero and an NBBO that
is not crossed, for the Core Open Auction, the Exchange proposes to
validate whether an NBBO bears a relation to the value of the security.
Similar to Bats, the Exchange would compare the midpoint price to the
NBBO. However, unlike Bats, the Exchange proposes to multiply the
midpoint by a designated percentage and compare this value to the
spread of the NBBO. If the value of the midpoint when multiplied by the
designated percentage is greater than or equal to the spread of the
NBBO, the Exchange would use the NBBO as an Auction NBBO. The Exchange
believes that if the NBBO spread is greater than the value of the
midpoint as multiplied by the designated percentage, it would indicate
that the spread is too wide, and therefore may not be representative of
the value of the security. In such scenario, the NBBO would not be
considered an Auction NBBO and therefore would not be used as an
Auction Reference Price for the Core Open Auction.
    Bats determines the Maximum Percentage for determining its Valid
NBBO and publishes that percentage to its members via a Circular. The
Exchange proposes to similarly specify the designated percentage used
for determining the Auction NBBO for the Core Open Auction via Trader
Update. The Exchange believes that it is consistent with a fair and
orderly market and the protection of investors and the public to be
able to change the designated percentage on notice to ETP Holders
because such flexibility would provide the Exchange with the ability to
respond quickly to market-wide events that may warrant use of a
different designated percentage.
    Auction Ranking. Proposed Rule 7.35P(a)(6) would define the term
``Auction Ranking'' to mean how orders on the side of an Imbalance
would be ranked for allocation in an auction. This proposed definition
would be a new term in Pillar and is based on text from current Rule
7.35(c)(2)(A)(1)(i)-(iv), which describes the priority of executions of
orders on the side of the imbalance for the Market Order Auction,\25\
Rule 7.35(e)(2)(A)(i)-(iii), which describes the priority of executions
of orders on the side of the imbalance for the Closing Auction,\26\ and
Rule 7.35(f)(3)(A)(i)-(ii), which describes the priority of executions
of orders on the side of the imbalance for the Trading Halt
Auction.\27\
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    \25\ The current priority specified in Rule 7.35(c)(2)(A)(1)(i)-
(iv) is Market Orders, Limit Orders eligible for the Opening
Session, Limit Orders designated for the Core Trading Session and
entered before 6:29 a.m. (Pacific Time), and LOO Orders.
    \26\ The current priority specified in Rule 7.35(e)(2)(A)(i)-
(iii) is MOC Orders, Limit Orders eligible prior to the Closing
Auction, and LOC Orders.
    \27\ The current priority specified in Rule 7.35(f)(3)(A)(i)-
(ii) is Market Orders and then Limit Orders.
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    The Exchange proposes a substantive difference in Pillar to
allocate orders on the side of the Imbalance the same for all auctions
and therefore would consolidate the description of how orders would be
allocated in a single definition of Auction Ranking in new Rule
7.35P(a)(6). As proposed, orders on the side of an Imbalance would be
ranked in price-time priority under Rule 7.36P(c)-(g) consistent with
the priority ranking associated with each order.\28\ Accordingly,
Market Orders would trade first in priority, then at each price point,
orders ranked Priority 2--Display Orders would trade before orders
ranked Priority 3--Non-Display Orders.\29\ In addition, the Exchange
proposes the following for auctions:
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    \28\ Proposed Rule 7.31P would specify the priority ranking
associated with specific orders. See Pillar II Filing, supra note 6.
    \29\ The only order ranked Priority 3mNon-Display Orders that
would be eligible to participate in an auction is the non-displayed
quantity of a Reserve Order.
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     As proposed in Rule 7.35P(a)(6)(A), Limit Orders, LOO
Orders, and LOC Orders would be ranked based on their limit price and
not the price at which they would participate in the auction.\30\ A
Limit Order, LOO Order, or LOC Order to buy (sell) priced higher
(lower) than the Indicative Match Price would be eligible to
participate in the auction at the Indicative Match Price, not the
order's limit price. The Exchange proposes, however, to use the order's
limit price for ranking purposes.
---------------------------------------------------------------------------

    \30\ The term ``limit price'' is defined in Rule 7.36P(a)(2) as
the highest (lowest) specified price at which a Limit Order to buy
(sell) is eligible to trade.
---------------------------------------------------------------------------

     As proposed in Rule 7.35P(a)(6)(B), MOO Orders and MOC
Orders would be ranked Priority 1--Market Orders. This priority is
based on current Rule 7.35(c), which provides that Market Orders
includes MOO Orders, and then provides that Market Orders are executed
first, but uses Pillar terminology to specify the priority ranking for
MOO Orders and MOC Orders.
     As proposed in Rule 7.35P(a)(6)(C), LOO Orders and LOC
Orders would be ranked in time priority with Limit Orders ranked
Priority 2--Display Orders. For the Core Open Auction, this proposed
ranking of LOO Orders would be a substantive difference in Pillar and
differs from the ranking set forth in current Rule 7.35(c)(2)(1)(ii)-
(iv), which provides priority to Limit Orders eligible for the Opening
Session first, then Limit Orders designated for the

Core Trading Session and entered before 6:29 a.m. (Pacific Time), and
finally LOO Orders. For the Closing Auction, this proposed ranking of
LOC Orders would be a substantive difference in Pillar and differs from
the ranking set forth in current Rule 7.35(e)(2)(A)(i)-(iii), which
provides priority to Limit Orders entered before the Closing Auction
before LOC Orders. Finally, for the Trading Halt Auction, this proposed
ranking of LOO Orders would be a substantive difference in Pillar
because LOO Orders do not currently participate in a Trading Halt
Auction.\31\
---------------------------------------------------------------------------

    \31\ The Exchange has proposed a substantive difference in
Pillar that MOO Orders and LOO Orders would be eligible to
participate in Trading Halt Auctions. See Pillar II Filing, supra
note 6, at proposed Rule 7.31P(c)(1) and (2).
---------------------------------------------------------------------------

     As proposed in Rule 7.35P(a)(6)(D), orders on the side of
the Imbalance would not be guaranteed to participate in an auction.
This proposed rule text would be new in Pillar and makes explicit that
the reason why orders are ranked for an auction is because not all
orders on the side of the Imbalance are guaranteed to participate in an
auction.
    Imbalance. Proposed Rule 7.35P(a)(7) would define the term
``Imbalance'' to mean the number of buy (sell) shares that cannot be
matched with sell (buy) shares at the Indicative Match Price at any
given time and unless otherwise specified, includes the non-displayed
quantity of Reserve Orders eligible to participate in the applicable
auction. This proposed rule text is based on current Rule 1.1(r)(1),
which defines the term ``Imbalance'' as the number of buy or sell
shares that cannot be matched with other shares at the Indicative Match
Price at any given time, with non-substantive differences regarding how
buy and sell orders are described. The Exchange proposes an additional
non-substantive difference to provide greater specificity in Pillar
that unless otherwise specified (and as described below), the Imbalance
would include information about the non-display quantity of Reserve
Orders.
    Total Imbalance. Proposed Rule 7.35P(a)(7)(A) would define the term
``Total Imbalance'' to mean the net Imbalance of all buy (sell) shares
at the Indicative Match Price for all orders that are eligible to trade
in the applicable auction. This proposed rule text is based on current
Rule 1.1(r)(1)(A), which defines the term ``Total Imbalance'' as the
net imbalance of buy (sell) shares at the Indicative Match price for
all orders that are eligible for execution during the applicable
auction, with non-substantive differences to use the term ``to trade''
instead of ``for execution.''
    Market Imbalance. Proposed Rule 7.35P(a)(7)(B) would define the
term ``Market Imbalance'' to mean the imbalance of any remaining buy
(sell) Market Orders that are not matched for trading in the applicable
auction. This proposed rule text is based on current Rule
1.1(r)(1)(B)(i) and (ii), which provides that the Market Imbalance, as
it relates to the Market Order Auction, is the imbalance of any
remaining buy (sell) Market Orders that are not matched for execution
against Market Orders during the applicable auction and as it relates
to the Closing Auction, the imbalance of any remaining buy (sell)
Market-on-Close Orders that are not matched for execution against
Market-on-Close Orders during the applicable auction.
    The Exchange proposes a substantive difference in Pillar regarding
how it would calculate the Market Imbalance. As proposed, the Market
Imbalance would be the volume of Market Orders that are not paired off
with any interest, including Limit Orders. By contrast, under current
rules, the Market Imbalance only shows the Market Orders that are not
paired off with other Market Orders. The Exchange believes that this
proposed substantive difference would provide transparency regarding
the volume of Market Orders that are not paired up against any
interest. The Exchange also proposes a non-substantive difference to
use the term ``Market Orders'' generally for all applicable auctions,
and not use the term ``Market-on-Close Orders'' for the Closing
Auction. As discussed above, unless stated otherwise, the term ``Market
Orders'' in Rule 7.35P would include MOO Orders or MOC Orders, as
applicable.
    Indicative Match Price. Proposed Rule 7.35P(a)(8) would define
``Indicative Match Price'' to mean the best price at which the maximum
volume of shares, including the non-displayed quantity of Reserve
Orders, is tradable in the applicable auction, subject to the Auction
Collars. This proposed rule text is based on current Rule 1.1(s), which
provides that the term ``Indicative Match Price'' means the best price
at which the maximum volume of shares are executable. The Exchange
proposes non-substantive differences to use the term ``tradable''
instead of ``executable,'' refer to Auction Collars, and to add clarity
to the definition to specify that the non-displayed quantity of Reserve
Orders would be included for purposes of determining the Indicative
Match Price.
    Proposed Rule 7.35P(a)(8)(A)-(E) would provide greater specificity
regarding how the Indicative Match Price in Pillar would be determined
in different scenarios.
    Proposed Rule 7.35P(a)(8)(A) would provide that if there are two or
more prices at which the maximum volume of shares is tradable, the
Indicative Match Price would be the price closest to the Auction
Reference Price, which would be specified in the rule text as follows:

------------------------------------------------------------------------
              Auction                      Auction reference price
------------------------------------------------------------------------
Early Open Auction................  Prior trading day's Official Closing
                                     Price.
Core Open Auction.................  The midpoint of the Auction NBBO or,
                                     if the Auction NBBO is locked, the
                                     locked price. If there is no
                                     Auction NBBO, the prior day's
                                     Official Closing Price.
Closing Auction...................  Last consolidated round-lot price of
                                     that trading day and, if none, the
                                     prior trading day's Official
                                     Closing Price.
Trading Halt Auction..............  Last consolidated round-lot price of
                                     that trading day and, if none, the
                                     prior trading day's Official
                                     Closing Price.
IPO Auction.......................  Zero, unless the Corporation is
                                     provided with a price for the
                                     security.
------------------------------------------------------------------------

    This rule text is based on current Rule 1.1(s), which provides that
if there are two or more prices at which the maximum volume of shares
are executable, the price that is closest to the closing price of the
previous trading day's normal market hours (or, in the case of a
Closing Auction or a Trading Halt Auction, the last sale during normal
market hours), as determined by the consolidated tape will establish
the opening price (or the closing price in the case of a Closing
Auction). The Exchange proposes in Rule 7.35P(a)(8)(A) to add a new
defined

term, the ``Auction Reference Price,'' to describe the prices used for
determining the Indicative Match Price for auctions.
     For the Early Open Auction, the Exchange proposes that the
Auction Reference Price would be the prior trading day's Official
Closing Price. This proposed rule text is based on current rule text in
Rule 1.1(s) that the Opening Auction uses the closing price of the
previous trading day's normal market hours, with a non-substantive
difference to use the term ``Official Closing Price,'' which would be a
new defined term in Pillar.\32\
---------------------------------------------------------------------------

    \32\ See Pillar III Filing, supra note 7 at proposed Rule
1.1(ggP).
---------------------------------------------------------------------------

     For the Core Open Auction, the Exchange proposes a
substantive difference in Pillar that the Auction Reference Price would
be the midpoint of the Auction NBBO or, if the Auction NBBO is locked,
the locked price. The Exchange further proposes that if there is no
Auction NBBO, e.g., the NBBO does not qualify as an Auction NBBO under
proposed Rule 7.35P(a)(5), the Exchange would use the prior trading
day's Official Closing Price as the Auction Reference Price. Because
the Indicative Match Price would be included in the information for the
Auction Imbalance Information, and because the Auction Reference Price
for the Core Open Auction would be based on the Auction NBBO, the
Exchange would begin calculating an Auction NBBO at the same time it
begins disseminating Auction Imbalance Information for the Core Open
Auction, described below.
     For the Trading Halt Auction and Closing Auction, the
Exchange proposes that the Auction Reference Price would be the last
consolidated round-lot price of that trading day and, if none, the
prior trading day's Official Closing Price. This Auction Reference
Price would be based on current rule text in Rule 1.1(s), with non-
substantive differences to provide more specificity that it would be a
last consolidated round-lot price of that trading day, and to provide
specificity regarding which reference price to use if there were no
last consolidated round lot trades that day.
     For an IPO Auction, the Exchange proposes that the Auction
Reference Price would be zero unless the Corporation is provided with a
price for the security. This proposed rule text would be new for
Pillar. As is currently used for an IPO Auction, the Exchange proposes
to use zero as the Auction Reference Price if there are two prices at
which the maximum volume of shares can be traded because there would
not be any prior trading in that security. In Pillar, the Exchange
proposes to add the ability to use a value other than zero in such
cases if, for example, on the first day of trading of a new listing of
a Derivative Securities Product, the Exchange is provided with a deal
price for such Derivative Securities Product. In such a case, the deal
price would be used as the Auction Reference Price in lieu of the
default of zero.
    Proposed Rule 7.35P(a)(8)(A) would further provide that the
Indicative Match Price would not be lower (higher) than the price of an
order to buy (sell) ranked Priority 2--Display Orders that was eligible
to participate in the applicable auction. This rule text is based on
current rule text in Rule 1.1(s) that provides that if the Indicative
Match price would trade through eligible Limited Price Order designated
for such auction, then the auction price will occur at the best price
level available where no trade through occurs. The Exchange proposes
non-substantive differences in Rule 7.35P(a)(8)(A) to use Pillar
terminology, including reference to priority ranking defined in Rule
7.36P, to describe how the Indicative Match Price would not trade
through an order that was eligible to participate in the auction.
Rather than use the phrase ``trade through,'' the Exchange proposes a
non-substantive difference to describe that the Indicative Match Price
would not be lower (higher) than the price of an order to buy
(sell).\33\
---------------------------------------------------------------------------

    \33\ The Exchange proposes to refer to an order ranked Priority
2--Display Orders rather than a Limit Order ranked Priority 2--
Display Orders because, as discussed below in proposed Commentary
.01(a) to Rule 7.35P, sell short Market Orders that are adjusted to
a Permitted Price during a Short Sale Period would be ranked as
Priority 2--Display Orders.
---------------------------------------------------------------------------

    Proposed Rule 7.35P(a)(8)(B) would provide that if there are two
prices at which the maximum volume of shares is tradable and both
prices are equidistant to the Auction Reference Price, the Indicative
Match Price would be the Auction Reference Price. This proposed rule
text is based in part on rule text in current Rule 1.1(s), but is more
specific regarding the price that would be used if the two prices at
which the maximum volume of tradable shares are equidistant to the
Auction Reference Price.
    Proposed Rule 7.35P(a)(8)(C) would specify the Indicative Match
Price if the Matched Volume for an auction consists of buy and sell
Market Orders only.
     For the Core Open Auction, the Indicative Match Price
would be the Auction Reference Price, which as described above, would
be the midpoint of the Auction NBBO and, if no Auction NBBO, the last
Official Closing Price for that security. Matching Market Orders at the
Auction Reference Price would be a substantive difference in Pillar.
Accordingly, the Exchange would not include in Rule 7.35P the current
rule text in Rule 7.35(c)(3)(A)(2)(i) and (ii), which describes how the
Exchange currently determines the Market Order Auction price if there
are no limit orders eligible for execution in the Market Order Auction.
    The Exchange proposes a substantive difference in Pillar that the
Exchange would use the Auction Reference Price for all Auction-Eligible
Securities, regardless of where the security is listed.
     For the Closing Auction, the Indicative Match Price would
be the midpoint of the Auction NBBO as of the time the auction is
conducted, provided that if the Auction NBBO is locked, it would be the
locked price, and if there is no Auction NBBO, it would be the Auction
Reference Price.
    This proposed rule text represents a substantive difference because
in Pillar, the Exchange would conduct a Closing Auction if there are
only buy and sell Market Orders, and would price such auction based on
the Auction NBBO. The Exchange, therefore, is not proposing to include
in the Pillar rule, text in current Rule 7.35(e)(3)(B) that provides
that if there are no Limit Orders eligible for execution in the Closing
Auction, MOC Orders would be rejected.
     For the Trading Halt Auction, the Indicative Match Price
would be the Auction Reference Price. This rule text is based in part
on current Rule 7.35(f)(4)(A), which provides that if equilibrium
exists between buy and sell Market Orders, the match price shall be the
last Corporation sale price in the security regardless of the trading
session. In Pillar, by using the Auction Reference Price as the
Indicative Match Price for a Trading Halt Auction, the Exchange would
be using the last consolidated round lot trading price during that
trading day, which could include an Early Trading Session trade, just
as under current rules.\34\
---------------------------------------------------------------------------

    \34\ The Exchange would not include in the Pillar rule the
current rule text set forth in current Rule 7.35(f)(4)(A) that for
the Trading Halt Auction, if there are only Market Orders and the
last Corporation sale price is lower than the BBO, the match price
shall be the displayed bid in the security or, if the last
Corporation sale price is higher than the BBO, the match price will
be the displayed offer in the security.
---------------------------------------------------------------------------

    Proposed Rule 7.35P(a)(8)(D) would provide that if there is a BBO,
but no Matched Volume (i.e., the Exchange has

buy and sell Limit Orders that do not cross in price and no Market
Orders), the Indicative Match Price and Total Imbalance for the Auction
Imbalance Information would be (i) the side of the BBO that has the
higher volume; or (ii) of the volume of the BB equals the volume of the
BO, the BB. While there would be no Matched Volume with which to
conduct an auction, this Indicative Match Price would be a benchmark
price that could attract more interest for participation in the
applicable auction. The Exchange proposes to use the side of the BBO
that has more volume because it represents a volume imbalance of orders
on the buy or sell side, and therefore the side likely to set the
price. The Exchange proposes a substantive difference in Pillar that if
the volumes of the BBO are equal, the Exchange would publish the price
of the BB as the Indicative Match Price to provide ETP Holders with a
benchmark price to attract additional interest.
    Proposed Rule 7.35P(a)(8)(E) would provide that, if there is no
Matched Volume and Market Orders on only one side of the market, the
Indicative Match Price for the Auction Imbalance Information would be
zero. This proposed rule text would be new for Pillar and provides
specificity regarding the price that would be disseminated as part of
the Auction Imbalance Information if there is no Matched Volume and
Market Orders on only one side of the market.
    Because of the additional level of specificity in proposed Rule
7.35P regarding how the Exchange would determine the Indicative Match
Price, as well as the substantive differences of how these values would
be determined in Pillar, the Exchange proposes that Rule 7.35P would
not include the examples of Indicative Match Price and Imbalance
calculations set forth in current Rules 7.35(c)(1)(A) and
7.35(e)(1)(A). Rather, the Exchange believes that the detailed rule
text provides transparency regarding how the Indicative Match Price and
Imbalances are determined without the need for examples.
    Matched Volume. Proposed Rule 7.35P(a)(9) would define ``Matched
Volume'' to mean the number of buy and sell shares that can be matched
at the Indicative Match Price at any given time. The term ``match
volume'' is currently used in the examples set forth Rules
7.35(c)(1)(A) and 7.35(e)(1)(A), but is not defined separately in the
current rule. Because text from these rules would not be included in
Rule 7.35P, the Exchange proposes to define the term ``Matched Volume''
separately in Pillar.
    Auction Collar. Proposed Rule 7.35P(a)(10) would define ``Auction
Collar'' to mean the price collar thresholds for the Indicative Match
Price for the Core Open Auction, Trading Halt Auction, or Closing
Auction. This term is based on rule text set forth in current Rule
1.1(s)(A), which provides that when the Market Order Auction Price or
Closing Auction Price is established by NYSE Arca Equities Rule
7.35(c)(3)(A)(1) or 7.35(e)(3), the Limit Orders eligible for
determining the Indicative Match Price will be limited by the price
collar thresholds established by the Corporation and that the
Corporation sets and modifies such thresholds from time to time upon
prior notice to ETP Holders.\35\
---------------------------------------------------------------------------

    \35\ The price collar thresholds were modified on April 13, 2015
and September 8, 2015. See NYSE Arca Trader Update, ``NYSE Arca
Equities Enhancements to Auction Collars,'' dated April 10, 2015,
and NYSE Arca Trader Update, ``NYSE Arca Equities Enhancements to
Auction Collars,'' dated September 4, 2015, available here: https://www.nyse.com/trader-update/history and here: https://www.nyse.com/publicdocs/nyse/markets/nyse-arca/NYSE_Arca_Trader_Update_Auction_Collars_Sept_2015.pdf.
---------------------------------------------------------------------------

    The Exchange proposes a non-substantive difference in Pillar to
provide that the Auction Collars would be applicable to the ``Core Open
Auction'' instead of the ``Market Order Auction.'' The Exchange also
proposes in Pillar to refer to it as a price collar threshold for the
Indicative Match Price, rather than a price collar threshold for the
Limit Orders eligible for determining the Indicative Match Price. Both
manners of describing Auction Collars result in orders participating in
an auction being priced within price collar thresholds. However, in
Pillar, the Exchange has proposed new terminology to describe the limit
price of an order being the highest (lowest) specified price at which a
Limit Orders to buy (sell) is eligible to trade.\36\ As described
above, when allocating Limit Orders in an auction, the Exchange would
use the limit price for determining its ranking, even if it
participates at an Indicative Match Price that is different from the
limit price or if the Indicative Match Price has been collared.
Accordingly, in Pillar, the Auction Collars would not re-price the
limit price of Limit Orders, but would re-price the Indicative Match
Price to be within the collar thresholds.
---------------------------------------------------------------------------

    \36\ See NYSE Arca Equities Rule 7.36P(a)(2).
---------------------------------------------------------------------------

    Proposed Rule 7.35P(a)(10)(A) would provide that the Auction Collar
would be based on a price that is a specified percentage away from the
Auction Reference Price for the applicable auction and that the
Corporation would set and modify such thresholds from time to time upon
prior notice to ETP Holders. The rule would further provide that the
upper (lower) boundary of the Auction Collar would be the Auction
Reference Price increased (decreased) by the specified percentage,
truncated to the MPV. This proposed rule text specifies in detail how
Auction Collars would be set in Pillar, except for the specified
percentage. As provided for in current Rule 1.1(s)(A), the Exchange
would continue to set and modify the thresholds from time to time upon
prior notice to ETP Holders.\37\
---------------------------------------------------------------------------

    \37\ See, e.g., Nasdaq Rules 4752(b)(2)(E) and 4754(b)(2)(E)
(Nasdaq establishes threshold benchmarks for its Opening Cross and
Closing Cross).
---------------------------------------------------------------------------

    Proposed Rule 7.35P(a)(10)(B) would provide that an Indicative
Match Price that is equal to or higher (lower) than the upper (lower)
boundary of the Auction Collar would be adjusted to one MPV below
(above) the upper (lower) boundary of the Auction Collar and orders
eligible to participate in the applicable auction would trade at the
collared Indicative Match Price. This proposed rule text uses Pillar
terminology to provide specificity regarding how the Auction Collars
would function and is based on current functionality. The Exchange
proposes a substantive difference in Pillar that the Indicative Match
Price would be at least one MPV inside the Auction Collars, and could
not be equal to the Auction Collar.
    Proposed Rule 7.35P(a)(10)(C) would provide that Limit Orders to
buy (sell) with a limit price at or above (below) the upper (lower)
Auction Collar would be included in the Auction Imbalance Information
at the collared Indicative Match Price and would be eligible to trade
at the Indicative Match Price. Proposed Rule 7.35P(a)(10)(D) would
further provide that Limit Orders to buy (sell) with a limit price
below (above) the lower (upper) Auction Collar would not be included in
the Auction Imbalance Information and would not participate in the
applicable auction. This proposed rule text uses Pillar terminology to
provide specificity regarding how Limit Orders would participate in an
auction that is subject to Auction Collars and is based on current
functionality.
    Early Open Auction: Proposed Rule 7.35P(b) would set forth how the
Exchange would conduct the Early Open Auction in Pillar. As proposed,
the Early Open Auction would be conducted at the beginning of the Early
Trading Session, which is based on rule

text in current Rule 7.35(b)(1), which provides that at 1:00 a.m.
(Pacific Time), Limit Orders designated for the Opening Session are
matched and executed in the Opening Auction. In Pillar, Rule 7.34P sets
forth the specific times associated with each trading session and, as
set forth in Rule 7.34P(a)(1), the Early Trading Session will begin at
4:00 a.m. Eastern Time. Accordingly, the Early Open Auction would be
conducted at 4:00 a.m. Eastern Time.
    Proposed Rule 7.35P(b) would further provide that only Limit Orders
in Auction-Eligible Securities would be eligible to participate in the
Early Open Auction. This text is based on current Rule 7.35(a)(2),
which provides that only Limit Orders designated for the Opening
Session will be eligible for the Opening Auction.\38\ Proposed Rule
7.35P(b) would also provide that if there is no Matched Volume for the
Early Open Auction, the NYSE Arca Marketplace would open the Early
Trading Session with a quote. This proposed rule text uses Pillar
terminology to describe how the Exchange would open Early Trading
Session trading in the absence of an Early Open Auction.
---------------------------------------------------------------------------

    \38\ The substance of the rule text set forth in current Rule
7.35(a)(1) and the second and third sentence of Rule 7.35(a)(2) is
set forth in Rule 7.34P(a)(1) and 7.34P(b)(1) and 7.34P(c).
---------------------------------------------------------------------------

    Proposed Rule 7.35P(b)(1) would provide that thirty minutes before
the Early Trading Session begins, the NYSE Arca Marketplace would begin
disseminating the Early Open Auction Imbalance Information. This
proposed rule text is based on current Rule 7.35(a)(3), which provides
that, beginning 30 minutes prior to the Opening Session, and various
times thereafter as determined from time to time by the Corporation,
the Indicative Match Price of the Opening Auction and any Imbalance
associated therewith, shall be published by electronic means as
determined from time to time by the Corporation. Proposed Rule
7.35P(b)(1) would further provide that the non-displayed quantity of
Reserve Orders eligible to participate in the Early Open Auction would
not be included in the Matched Volume or Total Imbalance until the
Early Open Auction Freeze begins, which would be new in Pillar. In
addition, the Exchange proposes non-substantive differences for
proposed Rule 7.35P(b)(1) to use Pillar terminology that is defined in
proposed Rule 7.35P(a) to describe the same functionality as Rule
7.35(a)(3).
    Proposed Rule 7.35P(b)(2) would provide that the Early Open Auction
Imbalance Freeze would begin one minute before the scheduled time for
the Early Open Auction. This proposed rule text is based on rule text
in Rule 7.35(a)(4), which describes the one minute period prior to the
Opening Auction as when orders may not be cancelled.
    In Pillar, the Exchange proposes a substantive difference that
during the Early Open Auction Imbalance Freeze, there would be no
restrictions on order entry or cancellation. Accordingly, the Exchange
would not include in Rule 7.35P rule text from current Rule 7.35(a)(4),
which provides that orders that are eligible for the Opening Auction
may not be cancelled one minute prior to the Opening Session until the
conclusion of the Opening Auction.
    Proposed Rule 7.35P(b)(3) would provide that Limit Orders eligible
to trade in the Early Open Auction would be matched and traded in the
Early Open Auction at the Indicative Match Price following Auction
Ranking as of the time of the Early Open Auction. This proposed rule
text is based on current Rule 7.35(b)(2), which provides that the
orders in the Opening Auction shall be executed at the Indicative Match
Price as of the time of the Opening Auction.
    Proposed Rule 7.35P(b)(4) would provide that the Early Open Auction
trade would be designated with a modifier to identify it as an extended
hour .T trade. This rule text is based on current Rule 7.34(f), which
provides that trades on the NYSE Arca Marketplace executed and reported
outside of the Core Trading Session shall be designated as .T trades.
The Exchange proposes to include this text in Rule 7.35P to provide
specificity that an auction that occurs outside the Core Trading
Session would also be designated as a .T trade.
    Core Open Auction: Proposed Rule 7.35P(c) would set forth how the
Exchange would conduct the Core Open Auction. As proposed, the Core
Open Auction would be conducted at the beginning of the Core Trading
Session. As noted in the Pillar I Filing and Rule 7.34P, the Exchange
proposes a substantive difference in Pillar that the Core Open Auction
would occur at the beginning of the Core Trading Session, rather than
be the end of the Early Trading Session.\39\ Specifically, Rule
7.34P(a)(2) provides that the Core Trading Session will begin for each
security at 9:30 a.m. Eastern Time and that the Core Open Auction will
begin the Core Trading Session. Accordingly, the Core Open Auction
would be conducted at 9:30 a.m. Eastern Time.
---------------------------------------------------------------------------

    \39\ See Pillar I Filing, supra note 4. Rule 7.34(a)(2), which
governs trading on the current platform, provides that the Core
Trading Session shall begin for each security at 6:30:00 a.m.
(Pacific Time) or at the conclusion of the Market Order Auction,
whichever comes later.
---------------------------------------------------------------------------

    Proposed Rule 7.35P(c) would further provide that orders in
Auction-Eligible Securities that include a designation for the Core
Trading Session and that are eligible to participate in an auction
would be eligible to participate in the Core Open Auction. The Exchange
has proposed in new Rule 7.31P to define which orders and modifiers are
not eligible to participate in an auction.\40\ As noted in the Pillar I
Filing, the Exchange proposes a substantive difference in Pillar that,
because the Core Open Auction would occur during the Core Trading
Session, orders designated to participate in the Early Trading Session
only would not be eligible to participate in the Core Open Auction.\41\
---------------------------------------------------------------------------

    \40\ See Pillar II Filing, supra note 6 at Rules 7.31P(b)(2)
(Limit Orders designated IOC, which would include Cross Orders, are
not eligible to participate in auctions and would be cancelled if
arrives during auction processing), 7.31P(d)(2) (Limit Non-Displayed
Orders do not participate in any auctions), 7.31P(d)(3) (MPL Orders
do not participate in any auctions), 7.31P(d)(4) (Tracking Orders
are only triggered to trade by an order that would otherwise route
to an Away Market), 7.31P(f) (Primary Only Orders route to the
primary listing market), and 7.31P(h)(1) (Market Pegged Orders will
not participate in any auctions).
    \41\ See supra note 39.
---------------------------------------------------------------------------

    Proposed Rule 7.35P(c)(1) would provide that the NYSE Arca
Marketplace would begin publishing Core Open Auction Imbalance
Information at 8:00 a.m. Eastern Time. This rule text is based on
current Rule 7.35(c)(1), which provides that beginning at 5:00 a.m.
(Pacific Time), and updated real-time thereafter, the Indicative Match
Price of the Market Order Auction and the volume of Market Orders and
Limit Orders available to trade at such price, and the Market Imbalance
and Total Imbalance, if any, shall be published via electronic means
and that Market Orders shall be included for purposes of calculating
the Total Imbalance and Market Imbalance. The Exchange proposes non-
substantive differences to use Eastern Time rather than Pacific Time,
and to use new Pillar terminology, as proposed in Rule 7.35P(a)(7)
above, to describe which information would be disseminated.
    Proposed Rule 7.35P(c)(1) would further provide that the non-
displayed quantity of Reserve Orders that are eligible to participate
in the Core Open Auction would not be included in the Matched Volume,
Total Imbalance, or Market Imbalance until the Core Open

Auction Imbalance Freeze begins.\42\ This would be new rule text for
Pillar, to specify that for Reserve Orders that are eligible to
participate in the Core Open Auction, the reserve quantity would not be
included in specified Imbalance information until the Core Open Auction
Imbalance Freeze begins.
---------------------------------------------------------------------------

    \42\ As with current functionality, the Indicative Match Price
would include the non-display quantity of such Reserve Orders at all
times.
---------------------------------------------------------------------------

    Proposed Rule 7.35P(c)(3) would specify that the Core Open Auction
Imbalance Freeze would begin five seconds before the scheduled time for
the Core Open Auction. This proposed time frame would be a substantive
difference for Pillar because on the current trading platform, order
entry and cancellation restrictions begin one minute before the Market
Order Auction. The Exchange also proposes substantive differences to
how order entry and cancellation would be processed before the Core
Open Auction. Accordingly, rule text in current Rule 7.35(c) and (d),
which describe the order entry and cancellation requirements during the
period between 6:29 a.m. (Pacific Time) and the conclusion of the
Market Order Auction, would not be included in proposed Rule 7.35P.\43\
---------------------------------------------------------------------------

    \43\ The current rule provides for order entry and cancellation
in the one-minute period before the Market Order Auction as follows:
Limit Orders eligible for the Opening Session may be cancelled (Rule
7.35(c)(2)(A)(2)); Limit Orders not eligible for the Opening
Session, Market Orders, and LOO Orders may not be cancelled (Rule
7.35(c)(2)(A)(2)); Market Orders and LOO Orders may not be entered
on the same side of the Imbalance (Rule 7.35(c)(2)(A)(3)); Market
Orders and LOO Orders may be entered on the opposite side of the
Imbalance any time before the conclusion of the Market Order Auction
(Rule 7.35(c)(2)(A)(3)); Limit Orders entered after 6:29 a.m.
(Pacific Time) will become eligible for execution at 6:30 a.m.
(Pacific Time) or the conclusion of the Market Order Auction,
whichever is later (Rule 7.35(d)(1)); and Market Orders entered
after 6:29 a.m. (Pacific Time), unless eligible to participate in
the Auction because it reduces the Imbalance, will become eligible
for execution at 6:30 a.m. (Pacific Time) or the conclusion of the
Market Order Auction, whichever is later (Rule 7.35(d)(2)).
---------------------------------------------------------------------------

    The Exchange proposes a shorter Auction Imbalance Freeze period in
order to provide additional time for market participants to enter
orders for the Core Open Auction without restriction. As further
proposed, in Pillar, the Exchange would not validate order entry during
the freeze period based on whether an order offsets the real-time
Imbalance. Rather, because of the shorter freeze period, MOO Orders and
LOO Orders entered during the Core Open Auction Imbalance Freeze would
be rejected, regardless of the side of the market. Market Orders and
Limit Orders designated for the Core Trading Session only would be
accepted during the Auction Imbalance Freeze without validating them on
entry against the published Imbalance. Such orders would be eligible to
participate in the Core Open Auction only to offset the Imbalance for
the auction. The Exchange also proposes to retain the current
functionality that MOO Orders and LOO Orders may not be cancelled
beginning one minute before the scheduled time of the Core Open
Auction.
    Specifically, the Exchange proposes to process order entry and
cancellation of orders before and during the Core Open Auction
Imbalance Freeze as follows:
     Proposed Rule 7.35P(c)(2) would provide that beginning one
minute before the scheduled time for the Core Open Auction, requests to
cancel and requests to cancel and replace MOO Orders and LOO Orders
would be rejected. This is based on current Rule 7.35(c)(2)(A)(2),
which provides that beginning at 6:29 a.m. (Pacific Time) Market Orders
(which include MOO Orders) and Limit Orders designated for the Core
Trading Session may not be cancelled. The Exchange proposes a non-
substantive difference to specify that such requests to cancel or
cancel and replace would be rejected.
     Proposed Rule 7.35P(c)(3)(A) would provide that during the
Core Open Auction Imbalance Freeze, MOO Orders and LOO Orders would be
rejected. This proposed rule text would be a substantive difference in
Pillar because currently, under Rule 7.35(c)(2)(A)(3), MOO Orders and
LOO Orders may be entered to offset an Imbalance. Because the proposed
Core Auction Imbalance Freeze period would be shorter in Pillar, the
Exchange proposes instead to reject new MOO or LOO Orders, regardless
of the side of the order.
     Proposed Rule 7.35P(c)(3)(B) would provide that Market
Orders (other than MOO Orders) and Limit Orders designated for the Core
Trading Session only would be accepted but would not be included in the
calculation of the Indicative Match Price or the Core Open Auction
Imbalance Information and that such orders would participate in the
Core Open Auction only to offset the Imbalance that would remain after
all orders entered before the Core Open Auction Imbalance Freeze,
including the non-display quantity of Reserve Orders, are allocated in
the Core Open Auction. The proposed rule would further provide that
these offsetting orders would be allocated in price-time priority under
Rule 7.36P(c)-(g) consistent with the priority ranking associated with
each order.
    This proposed rule text would be similar to current Rules
7.35(c)(2)(A)(3) 7.35(d)(2) in that Market Orders and Limit Orders
designated for the Core Trading Session would participate in the
auction only to reduce the Imbalance. The Exchange proposes a
substantive difference in Pillar because the Exchange would not
validate such orders on entry against the published Imbalance. Rather,
such orders would be accepted but would only participate in the Core
Open Auction if they were to offset the final Imbalance for the
auction. As interest of last resort, such orders would be ranked in
price-time priority after all other orders have been allocated.
    The Exchange proposes to process Market Orders and Limit Orders
differently from MOO Orders and LOO Orders because such orders would
not expire at the end of the Core Open Auction. Rather than rejecting
Market Orders and Limit Orders upon entry, they would be accepted and
would be eligible to be offsetting interest for the auction. If these
orders do not participate in the Core Open Auction, they would become
eligible to participate in the Core Trading Session.
     Proposed Rule 7.35P(c)(3)(C) would provide that requests
to cancel and requests to cancel and replace Market Orders (other than
MOO Orders) and Limit Orders designated for the Core Trading Session
only would be accepted but not processed until after the Core Open
Auction concludes. This proposed rule text is based on current Rule
7.35(c)(2)(A)(2), but with a proposed substantive difference that order
entry restrictions would be during a five-second rather than a one-
minute period. The proposed Pillar rule would function similarly to the
current rule in that requests to cancel pending Market Orders and Limit
Orders would not be permitted during the Core Open Auction Imbalance
Freeze period.
     Proposed Rule 7.35P(c)(3)(D) would provide that all other
order instructions would be accepted. Proposed Rule 7.35P(c)(3)(D)
would therefore include that requests to cancel Limit Orders designated
for both the Early Trading Session and Core Trading Session would be
accepted, which is based on current Rule 7.35(c)(2)(A)(2).
    Proposed Rule 7.35P(c)(4) would provide that all orders eligible to
trade in the Core Open Auction would be matched and traded at the
Indicative Match Price following Auction Ranking as of the time of the
Core Open Auction. This rule text is based on current Rule 7.35(c)(3),
which specifies how the Market Order Auction Price is determined. As
discussed above, in

Pillar, the Exchange proposes to describe how the Indicative Match
Price would be determined in proposed Rule 7.35P(a)(6)(A)-(E), and
therefore would not duplicate the text currently set forth in Rule
7.35(c)(A)(3)(1)-(2) in the Pillar rule.
    Proposed Rule 7.35P(c)(5) would provide that the Core Open Auction
trade would be designated with a modifier to identify it as a Core Open
Auction trade. This rule text is based on current Rule 7.35(c)(4), with
non-substantive differences to use Pillar terminology.
    Closing Auction: Proposed Rule 7.35P(d) would set forth how the
Exchange would conduct the Closing Auction. As proposed, the Closing
Auction would be conducted at the end of the Core Trading Session. As
noted in the Pillar I Filing and Rule 7.34P(a)(2), the Core Trading
Session ends at the conclusion of the Core Trading Hours or the Core
Closing Auction, whichever comes later.\44\ Because Core Trading Hours
end at 4:00 p.m. Eastern Time, the Exchange would conduct the Closing
Auction at 4:00 p.m. Eastern Time, except on days when the Exchange has
an early scheduled close, in which case, the Closing Auction would be
conducted at 1:00 p.m. Eastern Time.\45\
---------------------------------------------------------------------------

    \44\ The Core Trading Hours are defined in Rule 1.1(j) to mean
the hours of 9:30 a.m. Eastern Time through 4:00 p.m. Eastern Time,
or such other hours as may be determined by the Corporation from
time to time.
    \45\ The Exchange is scheduled to close early on the day after
Thanksgiving and December 24 of each year. See NYSE holiday
schedule, available here: https://www.nyse.com/markets/hours-calendars#holidays.
---------------------------------------------------------------------------

    Proposed Rule 7.35P(d) would further provide that orders in
Auction-Eligible Securities that include a designation for the Core
Trading Session and that are eligible to participate in an auction
would be eligible to participate in the Closing Auction. As discussed
above, proposed Rule 7.31P would specify which orders are eligible to
participate in an auction.\46\
---------------------------------------------------------------------------

    \46\ See supra note 40.
---------------------------------------------------------------------------

    Proposed Rule 7.35P(d)(1) would provide that the NYSE Arca
Marketplace would begin publishing Closing Auction Imbalance
Information one hour before the scheduled time for the Closing Auction.
This proposed rule text is based on current Rule 7.35(e)(1)(A), which
provides that beginning at 12:00 p.m. (Pacific Time), and updated real-
time thereafter, the Indicative Match Price of the Closing Auction and
volume available to trade at such price, and the Total Imbalance and
Market Imbalance associated with the Closing Auction, if any, will be
published via electronic means. The Exchange proposes non-substantive
differences to specify that the information would begin being published
one hour before the scheduled time for the Closing Auction, rather than
specifying 12:00 p.m. Pacific Time. This proposed difference would
address those days when the Exchange has an early scheduled close, in
which case, Closing Auction Imbalance Information would be disseminated
beginning at 12:00 p.m. Eastern Time, which is one hour before the
early scheduled close of 1:00 p.m. Eastern Time. The Exchange also
proposes non-substantive differences to use new Pillar terminology, as
proposed in Rule 7.35P(a)(4) above, to describe which information would
be disseminated. Proposed Rule 7.35P(d)(1) would further provide that
the non-displayed quantity of Reserve Orders that would be eligible to
participate in the Closing Auction would not be included in the Matched
Volume, Total Imbalance, or Market Imbalance until the Closing Auction
Imbalance Freeze would begin. This would be new rule text in Pillar.
    Proposed Rule 7.35P(d)(2) would specify that the Closing Auction
Imbalance Freeze would begin one minute before the scheduled time for
the Closing Auction. This proposed time frame is based on rule text in
current Rule 7.35(e)(2)(B) and (C), which describe the order entry and
cancellation requirements during the period between 12:59 p.m. (Pacific
Time) and the conclusion of the Closing Auction.
    The Exchange proposes non-substantive differences in Pillar
regarding how order entry and cancellation would be handled during the
Closing Auction Imbalance Freeze. The Exchange proposes to process
order entry and cancellation of orders during the Closing Auction
Imbalance Freeze as follows:
     Proposed Rule 7.35P(d)(2)(A) would provide that LOC Orders
and MOC Orders that are on the same side of the Imbalance, would flip
the Imbalance, or would create a new Imbalance would be rejected. This
proposed rule text is based on the first and third sentences of current
Rule 7.35(e)(2)(C), which provides that MOC Orders and LOC Orders may
not be entered on the same side as the Imbalance and that MOC Orders
and LOC Orders that create equilibrium and thereafter convert the
Imbalance from a buy to a sell (or convert the Imbalance from a sell to
a buy) Imbalance will be rejected. The Exchange proposes non-
substantive differences in Rule 7.35P to use Pillar terminology and to
specify that such orders would be rejected. The Exchange would not
include the examples set forth in current Rule 7.35(e)(2)(C)(1) and (2)
in the Pillar rule because the Exchange believes that the proposed
Pillar rule describes which orders would be rejected without the need
for examples.
     Proposed Rule 7.35P(d)(2)(B) would provide that requests
to cancel and requests to cancel and replace MOC Orders and LOC Orders
would be rejected. This proposed rule text is based on current Rule
7.35(e)(2)(B), which provides that MOC Orders and LOC Orders may not be
cancelled. The Exchange proposes a non-substantive difference to
specify that any such requests would be rejected.
     Proposed Rule 7.35P(d)(2)(C) would provide that all other
order instructions would be accepted. Because the Exchange would
continue to accept requests to cancel Limit Orders, rule text set forth
in Rule 7.35(e)(2)(B), which provides that Limit Orders (except LOC
Orders) may be cancelled, would not be included in proposed Rule
7.35P(d)(2). Similarly, because MOC Orders and LOC Orders, other than
those specified in proposed Rule 7.35P(d)(2)(A), would be accepted
during the Closing Auction Imbalance Freeze, the Exchange would not
include text from the second sentence of Rule 7.35(e)(2)(C), which
provides that MOC Orders and LOC Orders that reduce the Imbalance may
be entered on the opposite side of the Imbalance any time before the
conclusion of the Closing Auction, in the Pillar rule.
    Proposed Rule 7.35P(d)(3) would provide that all orders eligible to
trade in the Closing Auction would be matched and traded at the
Indicative Match Price following Auction Ranking as of the time of the
Closing Auction. This rule text is based on current Rule 7.35(e)(3),
which specifies how the Closing Auction Price is determined. As
discussed above, in Pillar, the Exchange proposes to describe how the
Indicative Match Price would be determined in proposed Rule
7.35P(a)(6)(A)-(E), and therefore would not duplicate the text
currently set forth in Rule 7.35(e)(3)(A)-(B) in the Pillar rule.\47\
---------------------------------------------------------------------------

    \47\ As described above, the Exchange proposes a substantive
difference in Pillar and would conduct a Closing Auction if there
are only Market Orders eligible to participate in the Closing
Auction. See proposed Rule 7.35P(a)(6)(C)(ii).
---------------------------------------------------------------------------

    Proposed Rule 7.35P(d)(4) would provide that the Closing Auction
trade would be designated with a modifier to identify it as a Closing
Auction trade. This rule text is based on current Rule 7.35(e)(3)(D),
with non-substantive differences to use Pillar terminology.

Proposed Rule 7.35P(d)(4) would further provide that the Exchange would
publish an Official Closing Price for all securities that trade on the
NYSE Arca Marketplace. This proposed rule text uses Pillar terminology,
specifically the proposed term ``Official Closing Price,'' to describe
current functionality that would continue in Pillar.
    Trading Halt Auction: Proposed Rule 7.35P(e) would set forth how
the Exchange would conduct a Trading Halt Auction. As proposed, a
Trading Halt Auction would be conducted to re-open trading in an
Auction-Eligible Security following a halt or pause of trading in that
security in either the Early Trading Session, Core Trading Session, or
Late Trading Session, as applicable.\48\ The rule would further provide
that orders that include a designation for the applicable trading
session and are eligible to participate in an auction would be eligible
to participate in a Trading Halt Auction.\49\ This proposed rule text
is based on current Rule 7.35(f), with non-substantive differences to
use Pillar terminology.
---------------------------------------------------------------------------

    \48\ As proposed in Rule 7.35P(a)(1)(B), described above,
Auction-Eligible Securities for Trading Halt Auctions would be only
those securities for which the Exchange is the primary listing
market.
    \49\ As proposed in the Pillar II Filing, see supra note 6, MOO
Orders and LOO Orders would be eligible to participate in Trading
Halt Auctions. See Proposed Rule 7.31P(c)(1) and (2).
---------------------------------------------------------------------------

    Proposed Rule 7.35P(e)(1) would provide that immediately after
trading in an Auction-Eligible Security is halted or paused, the NYSE
Arca Marketplace would begin publishing Trading Halt Auction Imbalance
Information. This proposed rule text is based on current Rule
7.35(f)(2)(A) and (B), which provides that immediately after trading is
halted in a security, and updated real-time thereafter, the Indicative
Match Price of the Trading Halt Auction and the volume available to
trade at such price, as well as the Market and Total Imbalance
information, shall be published via electronic means and that if such a
price does not exist, the NYSE Arca Marketplace shall indicate via
electronic means that an Indicative Match Price does not exist. The
Exchange proposes non-substantive differences to use new Pillar
terminology, as proposed in Rule 7.35P(a)(4) above, to describe which
information would be disseminated. The Exchange also proposes to
specify that Trading Halt Auction Imbalance Information would be
disseminated during a trading pause, which is current
functionality.\50\
---------------------------------------------------------------------------

    \50\ In Pillar, the Exchange would not disseminate a ``SIG''
designator during a halt or pause if the difference between the
Indicative Match Price and the last price before the halt is equal
to or greater than a pre-determined amount. Accordingly, rule text
in current Rule 7.35(f)(2)(C) would not be included in Rule 7.35P.
---------------------------------------------------------------------------

    Proposed Rule 7.35P(e)(2) would provide that after trading in a
security has been halted or paused, the NYSE Arca Marketplace would
disseminate the estimated time at which trading in that security would
re-open, which would be defined as the ``Re-Opening Time.'' This
proposed rule text is based on current Rule 7.35(f)(1), which provides
that after trading in a security has been halted, the NYSE Arca
Marketplace shall disseminate the estimated time at which trading in
that security will re-open (the ``Re-Opening Time''). The Exchange
proposes non-substantive differences in the Pillar rule to specify that
a Re-Opening Time would be disseminated during a trading pause and to
use the term ``will'' instead of ``shall.''
    Proposed Rule 7.35P(e)(3) would provide that during a trading halt
or pause in an Auction-Eligible Security, entry and cancellations of
orders eligible to participate in the Trading Halt Auction would be
processed as provided for in Rule 7.18P(c).\51\ This rule text would be
new in Pillar to provide clarity of which rule would govern entry and
cancellation of orders during a trading halt or pause.
---------------------------------------------------------------------------

    \51\ See Pillar III Filing, supra note 7, which proposes to
adopt Rule 7.18P(c). Because proposed Rule 7.18P(c) would specify
which orders may be entered during a halt, the Exchange would not
include in Rule 7.35P rule text currently set forth in Rule
7.35(f)(3)(B), which provides that Primary Only Orders may be
submitted to the NYSE Arca Marketplace during a trading halt.
---------------------------------------------------------------------------

    Proposed Rule 7.35P(e)(4) would provide that all orders eligible to
trade in a Trading Halt Auction would be matched and traded at the
Indicative Match Price following Auction Ranking as of the Re-Opening
Time. This rule text is based on the first sentence of current Rule
7.35(f)(4)(A), which provides that for those issues for which the
Corporation is the primary market, Orders will be executed at the
Indicative Match Price at the Re-Opening Time. As discussed above, in
Pillar, the Exchange proposes to describe how the Indicative Match
Price would be determined in proposed Rule 7.35P(a)(6)(A)-(E), and
therefore would not duplicate the remaining text currently set forth in
Rule 7.35(f)(4) in the Pillar rule.
    Proposed Rule 7.35P(e)(5) would provide that a Trading Halt Auction
that occurs during the Early Trading Session or the Late Trading
Session would be designated with a modifier to identify it as an
extended hour .T trade. A Trading Halt Auction that occurs during the
Core Trading Session would be designated with a modifier to identify it
as a halt auction. This would be new rule text in Pillar, but
represents how trades are currently reported.
    In Pillar, the Exchange would not have a Trading Halt Auction
Imbalance Freeze. Accordingly, rule text in current Rule 7.35(f)(3)(C),
which provides that the Corporation, if it deems such action necessary,
will disseminate the time, prior to the time that orders are matched
pursuant to the Trading Halt Auction, at which orders may no longer be
cancelled, would not be included in Rule 7.35P.
    IPO Auction: Proposed Rule 7.35P(f) would set forth how the
Exchange would conduct an IPO Auction and would be new rule text for
Pillar. As proposed, an IPO Auction would be conducted during the Core
Trading Session on the first day of trading for any security, including
a Derivative Securities Product, for which NYSE Arca is the primary
listing market, excluding transfers. While the Exchange would define
such auction as an ``IPO Auction,'' the first day of trading of a
Derivative Securities Product may not technically be an initial public
offering. However, the Exchange proposes to use the term ``IPO'' as
signifying that this would be the auction on the first day of trading
of a new listing on the Exchange, and thus is similar to an IPO of a
new operating company.
    As further proposed, an IPO Auction would follow the processing
rules of a Core Open Auction, provided that:
     As provided for in proposed Rule 7.35P(f)(1), the NYSE
Arca Marketplace would specify the time that an IPO Auction would be
conducted. While an IPO Auction would occur during the Core Trading
Session, the Exchange proposes to provide the Exchange with discretion
to designate the time for the IPO Auction.
     As provided for in proposed Rule 7.35P(f)(2), there would
be no Auction Imbalance Freeze, Auction Collars, or restrictions on the
entry or cancellation of orders for an IPO Auction. Because an IPO
Auction would not be set at a specific time, nor would there be any
trading in the security before the IPO Auction, the Exchange does not
believe that an Auction Imbalance Freeze or Auction Collars would
assist in the price discovery process. Similarly, because the time of
an IPO Auction may change, the Exchange does not believe that there
needs to be any restrictions on the entry or cancellation of orders,
including cancellation of MOO Orders and LOO Orders, before an IPO
Auction. Accordingly, an IPO Auction would not be subject to these
requirements.
     As provided for in proposed Rule 7.35P(f)(3), an IPO
Auction would not

be conducted if there were only Market Orders on both sides of the
market. Because the Exchange would be able to specify the time for an
IPO Auction, if there were only Market Orders on both sides of the
market, the Exchange has the flexibility to change the time in order to
attract more interest for the auction.
    Order Processing during an Auction Processing Period: Proposed Rule
7.35P(g) would specify how the Exchange would process order
instructions during an Auction Processing Period. This rule text would
be new in Pillar. As proposed, new orders, requests to cancel, and
requests to cancel and replace an order that are received during the
Auction Processing Period would be accepted but would not be processed
until after the applicable auction concludes. The rule would further
provide that a request to cancel and replace an order that was entered
during the Auction Processing Period for an order that was also entered
during the Auction Processing Period would be rejected. The proposed
rule text provides specificity in the Pillar rule of how order
instructions that are received during the Auction Processing Period
would be processed.
    Transition from Auction to Continuous Trading: Proposed Rule
7.35P(h) would specify how the Exchange would transition from auction
processing to continuous trading. As proposed, after auction processing
concludes, including if there is no Matched Volume and an auction is
not conducted, the Exchange would transition to continuous trading for
the applicable trading session as specified in Rule 7.35P(h)(1)-(3).
    As proposed in Rule 7.35P(h)(1), after auction processing
concludes, orders that are no longer eligible to trade, either because
they are Auction-Only Orders or not eligible for the next trading
session, would expire. This proposed rule text is based on current Rule
7.35(e)(3)(C), which provides that MOC Orders that are eligible for,
but not executed in, the Closing Auction, shall be cancelled
immediately upon conclusion of the Closing Auction. The Exchange
proposes non-substantive differences to specify that any order that is
not eligible for the next trading session, and not just MOC Orders,
would expire after the respective auction concludes.
    As proposed in Rule 7.35P(h)(2), orders that are designated for the
trading session following an auction and that were received before the
auction or during the Auction Processing Period, and that did not
participate in the auction, would become eligible to trade. This
proposed rule text is based on the following rules:
     Rule 7.35(b)(3), which provides that orders that are
eligible for, but not executed in, the Opening Auction shall become
eligible for the Opening Session immediately upon conclusion of the
Opening Auction;
     Rule 7.35(c)(3)(A)(3), which provides that the Market
Orders that are eligible for both the Market Order Auction and the Core
Trading Session, but which are not executed in the Market Order
Auction, shall become eligible for execution in the Core Trading
Session immediately upon conclusion of the Market Order Auction;
     Rule 7.35(d)(1) and (2), which provide that Limit and
Market Orders entered after 6:29 a.m. (Pacific Time) become eligible
for execution at 6:30 a.m. (Pacific Time) or the conclusion of the
Market Order Auction, whichever is later; and
     Rule 7.35(f)(5), which provides that if any orders are not
executed in their entirety during the Trading Halt Auction, then such
orders shall be executed in accordance with Rule 7.37 after the
completion of the Trading Halt Auction.
    The Exchange proposes non-substantive differences in proposed Rule
7.35P(h)(2) to consolidate the text of Rules 7.35(b)(3),
7.35(c)(3)(A)(3), 7.35(d)(1) and (2), and 7.35(f)(5) into a single rule
that uses Pillar terminology to describe that orders that do not
participate in an auction and that are eligible for the trading session
following such auction would become eligible to trade.
    Proposed Rule 7.35P(h)(3) would provide that before continuous
trading in the Trading Session following the applicable auction begins,
the Exchange would process orders as follows:
     As provided for in proposed Rule 7.35P(h)(3)(A), any order
instructions received during either the Auction Imbalance Freeze or
Auction Processing Period that were not processed will be processed.
For example, a request to cancel a Limit Order designated for the Core
Trading Session only and that was entered during the Core Open Auction
Imbalance Freeze would be processed after the auction processing
concludes. This rule text would be new in Pillar and uses Pillar
terminology to specify when order instructions would be processed.
     As provided for in proposed Rule 7.35P(h)(3)(B), the
working price of orders would be adjusted based on the PBBO or NBBO, as
provided for in proposed Rule 7.31P. Before becoming eligible to trade
in the next trading session, orders would have their working prices
adjusted as provided for in proposed Rule 7.31P and consistent with the
terms of the respective orders. This rule text would be new in Pillar
and uses Pillar terminology regarding when an order would receive a new
working price.
     As provided for in proposed Rule 7.35P(h)(3)(C), if orders
that become eligible to trade would be marketable, such orders would
trade and/or route based on price-time priority of individual orders as
provided for in Rule 7.37P. This rule text would be new in Pillar and
uses Pillar terminology to describe that following an auction, orders
that are marketable would trade or route, as provided for in Rule
7.37P, before the Exchange would disseminate its first quote following
an auction. The Exchange proposes that following an auction, if orders
that did not trade in an auction, or were not eligible to trade in an
auction, are marketable, these orders should trade or route, as
applicable, rather than publishing a locked or crossed quote from the
NYSE Arca Book.
     As provided for in proposed Rule 7.35P(h)(3)(D), after
marketable orders have been routed or traded, the NYSE Arca Marketplace
would publish a quote for the next trading session. This rule text
would be new in Pillar.
    Proposed Rule 7.35P(i): Proposed Rule 7.35P(i) would provide that
whenever in the judgment of the Corporation the interest of a fair and
order market so require, the Corporation may adjust the timing of or
suspend the auctions set forth in this Rule with prior notice to ETP
Holders. This proposed rule text is based on current Rule 7.35(g),
which provides that whenever in the judgment of the Corporation the
interests of a fair and orderly market so require, the Corporation may
adjust the timing of or suspend the auctions set forth in this Rule
with prior notice to ETP Holders.
    Proposed Rule 7.35P(j): Proposed Rule 7.35P(j) would provide that
for purposes of Rule 611(b)(3) of Regulation NMS,\52\ the Early Open
Auction, Core Open Auction, Closing Auction, Trading Halt Auction, and
IPO Auction are single-priced opening, reopening, or closing
transactions and may trade through any other Away Market's Manual or
Protected Quotations. This proposed rule text is based on current Rule
7.35(h), which provides that for purposes of Rule 611(b)(3) of
Regulation NMS, orders executed pursuant to the Opening Auction,
Closing Auction, Market Order Auction, and Halt Auction may trade-
through any other Trading Center Manual or Protected Quotation if

the transaction that constituted the trade-through was a single-priced
opening, reopening, or closing transaction by the trading center. The
Exchange proposes non-substantive differences to use Pillar terminology
to specify that the auctions described in Rule 7.35P would be eligible
for the exception set forth in Rule 611(b)(3) of Regulation NMS from
trading through a protected quotation.
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    \52\ 17 CFR 242.611(b)(3).
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    Commentary: The Exchange proposes to add Commentary .01 to proposed
Rule 7.35P to address how sell short orders would be processed during a
Short Sale Period in auctions. As proposed in Commentary .01(a) to Rule
7.35P, during a Short Sale Period, for purposes of pricing an auction
and ranking orders for allocation in an auction, sell short Market
Orders that would be adjusted to a Permitted Price would be processed
as Limit Orders ranked Priority 2--Display Orders and would not be
included in the Market Imbalance.
    This proposed treatment of sell short Market Orders would be
applicable only for purposes of auctions because once adjusted to a
Permitted Price, a sell short Market Order has a price and such price
would be used for purposes of determining the price of an auction. For
example, if there are only buy Market Orders and sell short Market
Orders for an auction, the Permitted Price at which sell short Market
Orders are priced to a Permitted Price would be the basis for
determining the Indicative Match Price for that auction, instead of the
applicable Auction Reference Price, as described above. Because the
Permitted Price of sell short Market Orders would be used for purposes
of determining the Indicative Match Price, the Exchange proposes that
for purposes of order allocation during an auction, sell short Market
Orders that have been adjusted to a Permitted Price would be ranked as
Priority 2--Display Orders.
    Proposed Commentary .01(b) to Rule 7.35P would further provide
that, during a Short Sale Period, sell short orders that would be
included in Auction Imbalance Information, but which would not be
eligible for continuous trading before the applicable auction, would be
adjusted to a Permitted Price as the NBB moves both up and down. The
Exchange believes this proposed rule text provides clarity that for
purposes of calculating Auction Imbalance Information before each
applicable auction, orders that are not eligible for continuous trading
(e.g., Auction-Only Orders, or for the Core Open Auction, Market Orders
and Limit Orders designated for the Core Trading Session only) would be
continuously re-priced based on the then-applicable NBB. The Exchange
believes that during a Short Sale Period, continuously re-pricing sell
short orders that are not yet eligible to trade would provide greater
transparency regarding the price at which such orders would be included
in Auction Imbalance Information in advance of the applicable auction.
* * * * *
    As discussed in the Pillar I Filing, because of the technology
changes associated with the migration to the Pillar trading platform,
the Exchange will announce by Trader Update when rules with a ``P''
modifier will become operative and for which symbols. The Exchange
believes that keeping existing rules pending the full migration of
Pillar is necessary because they would continue to govern trading on
the current trading platform pending the full migration.
2. Statutory Basis
    The proposed rule change is consistent with Section 6(b) of the
Securities Exchange Act of 1934 (the ``Act''),\53\ in general, and
furthers the objectives of Section 6(b)(5),\54\ 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.
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    \53\ 15 U.S.C. 78f(b).
    \54\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes that new Rule 7.35P, together with the rules
adopted in the Pillar I Filing and the rules proposed in the Pillar II
Filing and Pillar III Filing, would remove impediments to and perfect
the mechanism of a free and open market because they would promote
transparency by using consistent terminology for rules governing
equities trading, thereby ensuring that members, regulators, and the
public can more easily navigate the Exchange's rulebook and better
understand how equity trading would be conducted on the Pillar trading
platform. Adding new rules with the modifier ``P'' to denote those
rules that would be operative for the Pillar trading platform would
remove impediments to and perfect the mechanism of a free and open
market by providing transparency of which rules govern trading once a
symbol has been migrated to the Pillar platform. In addition, the
proposed use of new Pillar terminology would promote consistency in the
Exchange's rulebook regarding how the Exchange would process orders
during an auction.
    The Exchange believes that the proposed amendments to existing
definitions in Rule 1.1 would remove impediments to and perfect the
mechanism of a fair and orderly market because they would not make any
substantive changes to Exchange rules, but rather are designed to
reduce confusion by specifying that Rules 1.1(r) and (s) would be
applicable to auctions on the current trading platform only, and would
not be applicable to symbols trading on the Pillar platform.
    The Exchange believes that proposed Rule 7.35P, which would govern
auctions in Pillar, would remove impediments to and perfect the
mechanism of a fair and orderly market because it would set forth in a
single rule the requirements for auctions in Pillar in both UTP
Securities and Exchange-listed securities, which are currently
described in Rules 1.1(r) and (s) and Rule 7.35. The proposed new
definitions for new Rule 7.35P, including the new terms Auction
Processing Period, Auction Imbalance Freeze, Auction NBBO, Auction
Ranking, and Auction Reference Price, would promote transparency by
using common definitions that incorporate Pillar terminology to
describe how auctions would function in Pillar.
    The Exchange believes that the proposed substantive differences for
Rule 7.35P as compared to the current rules would remove impediments to
and perfect the mechanism of a fair and orderly market for the
following reasons:
     The proposed substantive difference to add that Market
Orders would include not only MOO Orders for the Core Open Auction, but
also MOO Orders for a Trading Halt Auction and MOC Orders for the
Closing Auction, and use Pillar terminology to specify that all such
orders would be ranked Priority 1--Market Orders, would promote
transparency in Exchange rules regarding how Market Orders, MOO Orders,
and MOC Orders would be processed during an auction.
     The proposed substantive difference to define the term
``Auction-Eligible Securities,'' to provide the Exchange with the
ability to conduct auctions in all securities that trade on the
Exchange, including UTP Securities, would support the initiatives of
the Exchange, NYSE, and Nasdaq to increase resiliency by having
auctions on the Exchange serve as a back-up to

either NYSE or Nasdaq if one of those markets is unable to conduct an
auction.
     The proposed substantive difference to update Auction
Imbalance Information at least every second, rather than on a real-time
basis, both for the proprietary data feed dissemination and for
determining order entry eligibility during the applicable Auction
Imbalance Freeze period would promote transparency in Exchange rules
regarding which Imbalance would be used to determine order entry
eligibility during specified Auction Imbalance Freeze periods.
     The proposed substantive difference to define a new term,
``Auction NBBO,'' to use as the basis for pricing the Core Open Auction
and the Indicative Match Price for the Closing Auction when that
auction consists only of Market Orders would promote transparency
regarding how the Exchange would determine pricing for such auctions.
Further to this point, the Exchange believes that creating a process to
validate the Auction NBBO for the Core Open Auction by comparing the
midpoint value to the spread of the NBBO, and if the NBBO is not valid,
to use the prior day's Official Closing Price, would ensure that the
NBBO is sufficiently tight to guarantee that the midpoint of the NBBO
would be a meaningful and accurate basis for pricing the Core Open
Auction.
     The proposed substantive difference to allocate orders on
the side of the Imbalance the same for all auctions and describe such
ranking in the new defined term ``Auction Ranking'' would promote
transparency in Exchange rules by consolidating into a single location
how orders would be ranked for auctions. In addition, using the same
methodology to rank and allocate orders on the side of the Imbalance
for all auctions based on the priority ranking described in Rule 7.36P
would promote consistency in how the Exchange would rank orders on the
Pillar trading platform, whether for continuous trading or for
auctions.
     The proposed substantive difference that during a Short
Sale Period, processing sell short Market Orders that have been
adjusted to a Permitted Price as Limit Orders ranked Priority 2--
Display Orders for purposes of pricing an auction and ranking orders
for allocation in an auction would ensure that such orders would not
trade at or below the NBB. In addition, processing such re-priced sell
short Market Orders as Limit Orders would promote transparency by
processing all orders that have a price similarly in an auction.
     The proposed substantive difference that the Market
Imbalance would be Market Orders not matched for trading in an auction
against any interest, and not just Market Orders not matched for
trading against other Market Orders, would promote transparency
regarding the volume of Market Orders that have not been paired against
any interest for an auction.
     The proposed substantive difference to publish an
Indicative Match Price based on a published BBO when there is no
Matched Volume, and more specifically, if the BB equals the BO volume,
to use the BB as the Indicative Match Price, would serve as a benchmark
price to attract additional interest for an auction, thereby promoting
price discovery.
     The proposed substantive difference to determine the
Indicative Match Price for all securities in the same manner regardless
of whether the Exchange is the primary listing market for a security or
the security is a UTP Security would promote clarity and transparency
in Exchange rules and streamline how auctions would be processed.
     The proposed substantive difference to conduct a Closing
Auction if there are only Market Orders on both sides of the market and
use the midpoint of the Auction NBBO to price such auction would
increase the potential for market participants that have entered MOC
Orders to receive an execution in an auction that is priced based on
the prevailing value of the security. Specifically, pricing such
auction based on the midpoint of the Auction NBBO in effect as of the
scheduled time of the Closing Auction would reflect the most recent
quoting activity in a stock and therefore the market's view of the
value of the security. If there is no Auction NBBO, which would
indicate that there is not a good quote in a security, the Exchange
would instead price the auction based on the last consolidated round
lot sale, which, in the absence of an Auction NBBO, would reflect the
most recent price for the security.
     The proposed substantive difference to adjust an
Indicative Match Price that is outside the Auction Collars to be one
MPV inside the Auction Collars, rather than to the Auction Collar,
would reduce the potential for an auction to be priced at the Auction
Collar. More specifically, if the Auction Collars are based on the
clearly erroneous execution thresholds (which is currently the case for
the Core Open Auction), pricing an auction one MPV inside the Auction
Collar would potentially prevent an auction from being a clearly
erroneous execution.
     The proposed substantive difference not to have any order
entry or cancellation restrictions during the one-minute Auction
Imbalance Freeze before the Early Open Auction reflects that there is
not any trading occurring before the Early Open Auction, and therefore
the risk to manipulate market prices before the Early Open Auction is
minimal.
     The proposed substantive difference to have a Core Open
Auction Imbalance Freeze of five seconds instead of one minute would
increase the period during which orders may be entered to participate
in the Core Open Auction, thereby promoting price discovery for the
auction. To reduce the potential to manipulate pricing for the auction,
the Exchange proposes to retain the current functionality that MOO
Orders and LOO Orders may not be cancelled beginning one minute before
the scheduled time for the auction.
    With respect to order entry and cancellation during the Core Open
Auction Imbalance Freeze, the Exchange believes that rejecting all MOO
Orders and LOO Orders during this period would remove the potential for
such orders to impact the Imbalance. The Exchange further believes that
accepting Market Orders and Limit Orders designated for the Core
Trading Session only on both sides of the market during the Core Open
Auction Freeze and then allowing such orders to participate in the Core
Open Auction only if they offset the Imbalance in effect at the
scheduled time of the Core Open Auction would eliminate the possibility
for these orders to create an Imbalance or increase an Imbalance.

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 proposed change is not
designed to address any competitive issue but rather to adopt new rules
to support the Exchange's new Pillar trading platform. As discussed in
detail above, the Exchange proposes a new rule for auctions in Pillar,
which would be based on current rules with both substantive and non-
substantive differences. The proposed substantive differences would
promote competition because the Exchange would be offering
functionality that would promote price discovery and liquidity on the
primary listing market for auctions, thereby supporting competition.
The proposed

non-substantive differences in Rule 7.35P would be to use new Pillar
terminology, which would promote consistent use of terminology to
support the Pillar trading platform making the Exchange's rules easier
to navigate.

C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others

    No written comments were solicited or received with respect to the
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action

    Within 45 days of the date of publication of this notice in the
Federal Register or up to 90 days (i) as the Commission may designate
if it finds such longer period to be appropriate and publishes its
reasons for so finding or (ii) as to which the self-regulatory
organization consents, the Commission will:
    (A) By order approve or disapprove the proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to<EMAIL_ADDRESS>Please include
File Number SR-NYSEARCA-2015-86 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-NYSEARCA-2015-86. 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 will also be available
for inspection and copying at the NYSE's principal office and on its
Internet Web site at www.nyse.com. 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-NYSEARCA-2015-86 and should be submitted on or before
November 3, 2015.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\55\
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    \55\ 17 CFR 200.30-3(a)(12).
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Robert W. Errett,
Deputy Secretary.
 [FR Doc. 2015-25864 Filed 10-9-15; 8:45 am]
 BILLING CODE 8011-01-P