[Federal Register: November 17, 2009 (Volume 74, Number 220)]
[Notices]
[Page 59308-59318]
[DOCID:fr17no09-122]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-60973; File No. SR-NYSEAmex-2009-81]

Self-Regulatory Organizations; Notice of Filing of Proposed Rule
Change by NYSE Amex LLC Amending NYSE Amex Equities Rule 123C To Modify
the Procedures for Its Closing Process and Make Conforming Changes to
NYSE Amex Equities Rules 13 and Rule 15

November 9, 2009.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on November 9, 2009, NYSE Amex LLC (``NYSE Amex'' or the ``Exchange'')
filed with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I, II, and III below, which
Items have been prepared by the Exchange. 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\ 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 amendments to NYSE Amex Equities Rule 123C
(Market On The Close Policy And Expiration Procedures) to modify the
procedures for its closing process; and make conforming changes to NYSE
Amex Equities Rule 13 (``Definitions of Orders'') and Rule 15. The text
of the proposed rule change is available at the Exchange, the
Commission's Public Reference Room, and http://www.nyse.com.

II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the self-regulatory organization
included statements concerning the purpose of, and basis for, the
proposed rule change and discussed any comments it received on the
proposed rule change. The text of those statements may be examined at
the places specified in Item IV below. The Exchange has prepared
summaries, set forth in sections A, B, and C below, of the most
significant parts of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

1. Purpose
    In October 2008, NYSE Amex implemented sweeping changes to its
market rules and execution technology that were designed to improve
execution quality on the Exchange. Among the elements of the enhanced
Exchange market model, NYSE Amex eliminated the function of specialists
on the Exchange by creating a new category of market participant, the
Designated Market Maker or DMM. The DMMs, like specialists, have
affirmative obligations to make an orderly market in assigned
securities, including continuous quoting requirements and obligations
to re-enter the market when reaching across to execute against trading
interest. NYSE Amex also recognized that in view of the NYSE's
electronic execution functionality, the DMM, unlike the specialist,
would no longer be deemed the agent for every incoming order. NYSE Amex
also responded to customer demand and created new order types to
represent additional undisplayed reserve interest.
    NYSE Amex has also focused on streamlining and improving efficiency
of its closing process by implementing a single print close,\3\
activating systemic compliance filters for market at-the-close
(``MOC'') and limit at-the-close (``LOC'') orders and enhancing the
transparency of its informational data feed for imbalances by including
d-Quotes \4\ and all other e-Quotes \5\ containing pegging instructions
eligible to participate in the closing transaction in the NYSE Amex
Order Imbalance Information datafeed.\6\ In continuing the enhancements
to the Exchange's market model, the Exchange seeks to amend NYSE Amex
Equities Rule 123C to streamline the closing process, enhance
transparency on the close \7\ and allow for greater customer
participation when there is an imbalance in a security prior to the
closing transaction. Specifically, the Exchange proposes to amend NYSE
Amex Equities Rule 123C to: (i) Extend the time for the entry of MOC
and LOC orders \8\ from 3:40 p.m. to 3:45 p.m.; (ii) amend the
procedures for the entry of MOC/LOC orders in response to imbalance
publications and regulatory trading halts; (iii) change the
cancellation time for MOC/LOC orders to 3:58 p.m.; (iv) require only
one mandatory imbalance publication; (v) rescind the provisions
governing Expiration Friday Auxiliary Procedures for the Opening and
Due Diligence Requirements; (vi) modify the dissemination of Order
Imbalance Information pursuant to NYSE Rule 123C(6) to commence at 3:45
p.m.; (vii) include additional information in both the pre-opening and
pre-closing Order Imbalance Information data feeds; (viii) amend NYSE
Rule 13 to create a conditional-instruction limit order type called the
Closing Offset Order (``CO order''), which may only be used to offset
an existing imbalance of orders on the close; (ix) delete the ``At the
Close'' order type from NYSE Rule 13 and replace it with the specific
definitions of MOC and LOC orders; and (x) codify the hierarchy of
allocation of interest in the closing transaction in NYSE Rule 123(C).
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    \3\ See Securities Exchange [sic] Release No. 59360 (February 4,
2009), 74 FR 6936 (February, 2009) (SR-NYSEALTR-2009-06).
    \4\ See NYSE Amex Equities Rule 70, Supplementary Material .25.
    \5\ See NYSE Amex Equities Rule 70(a).
    \6\ See Securities Exchange [sic] Release No. 59743 (April 9,
2009), 74 FR 17699 (April 16, 2009) (SR-NYSE Amex-2009-11).
    \7\ Conforming changes related to the information disseminated
prior to the opening transaction are also proposed in this filing.
    \8\ In the NYSE Amex Equities Rules and for the purposes of this
discussion, the terms ``market-on-close'' and ``limit-on-close'' are
used interchangeably with ``market-at-the-close'' and ``limit-at-
the-close''.
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    The Exchange notes that similar changes are proposed to the rules
of its affiliate, New York Stock Exchange LLC (``NYSE'').\9\
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    \9\ See SR-NYSE-2009-111.
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Current Closing Procedures
    NYSE Amex Equities Rule 123C prescribes, inter alia, the procedure
for the entry and execution of MOC and marketable LOC orders and the
determination of the closing print(s) to be reported to the
Consolidated Tape for each security at the close of trading.
    Pursuant to NYSE Amex Equities Rule 123C market participants may
enter an MOC order for execution as part of the closing transaction at
the price of the close.\10\ Similar to a market order, an MOC order is
to be executed in its entirety at the closing price; however, if the
order is not executed as a result of a trading halt or because of its
terms (e.g., buy minus or sell plus), the MOC order is cancelled.\11\
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    \10\ See NYSE Amex Equities Rule 123C(1).
    \11\ See Id.
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    Market participants that seek to have their orders executed on the
close but are sensitive to price, may pursuant to NYSE Amex Equities
Rule 123C, enter LOC orders that will be eligible for execution in the
closing transaction, provided that the closing price is at or within
the limit specified.\12\ An LOC order is not guaranteed an execution in
the closing transaction; rather, only an LOC order with a limit price
that is better \13\ than the closing price is guaranteed an
execution.\14\ An LOC order limited at the closing price is sequenced
with other LOC orders on the Display Book[supreg] \15\ (``Display
Book'') in time priority of receipt in Exchange systems and is
available for execution after all other orders on the Display Book at
the closing price are executed, regardless of when such other orders
are received.\16\
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    \12\ See NYSE Amex Equities Rule 123C(2).
    \13\ As used herein, ``better priced than the closing price''
means an order that is lower than the closing price in the case of
an order to sell or higher than the closing price in the case of an
order to buy.
    \14\ It should be noted that orders are cancelled if there is a
trading halt in the security that is not lifted prior to the close
of trading.
    \15\ The Display Book system is an order management and
execution facility. The Display Book system receives and displays
orders to the DMM, contains order information, and provides a
mechanism to execute and report transactions and publish results to
the Consolidated Tape. The Display Book system is connected to a
number of other Exchange systems for the purposes of comparison,
surveillance, and reporting information to customers and other
market data and national market systems.
    \16\ See NYSE Amex Equities Rule 123C(2).
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    NYSE Amex Equities Rule 123C(1) and (2) require that all MOC/LOC
orders be entered by 3:40 p.m. in any stock on any trading day, unless
entered to offset a published imbalance, or on either side of the
market if a regulatory halt is in effect at 3:40 p.m. or occurs after
that time. Pursuant to NYSE Amex Equities Rule 123C, between 3:40 and
3:50 p.m., MOC/LOC orders are irrevocable, except to correct a
legitimate error (e.g., side, size, symbol, price, or duplication of an
order) or when a regulatory trading halt is in effect \17\ at or after
3:40 p.m. During normal trading conditions, cancellations or reductions
in the size of a MOC/LOC orders after 3:50 p.m. are not permitted for
any reason, even in the case of legitimate error, except as provided in
NYSE Amex Equities Rule 123C(8)(a)(2). Currently, NYSE Amex Equities
Rule 123C(8) allows the Exchange to temporarily suspend certain
requirements related to the closing of securities, provided certain
conditions are met.\18\ If a suspension is invoked in

a security pursuant to NYSE Amex Equities Rule 123C(8)(a)(2), MOC/LOC
interest may be cancelled or reduced after 3:50 p.m.\19\
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    \17\ In the case of a regulatory halt, MOC orders may be entered
until 3:50 p.m. or until the stock reopens, whichever occurs first,
even if an imbalance publication occurred prior to the regulatory
halt.
    \18\ See Securities Exchange [sic] Release No. 59755 (April 13,
2009), 74 FR 18009 (April 20, 2009) (SR-NYSEALTR-2009-15) (approving
the ability of the Exchange to temporarily suspend certain
requirements related to the closing of securities on the Exchange
with the provisions of NYSE Amex Equities Rule 123(C)(8)(a)(1)
operating as a pilot scheduled to end on October 12, 2009). See also
Securities Exchange [sic] Release No. 60808 (October 9, 2009), 74 FR
53539 (October 19, 2009) (SR-NYSEAmex-2009-70) (extending the
Exchange ability to temporarily suspend certain requirements related
to the closing of securities on the Exchange with the provisions of
NYSE Amex Equities Rule 123(C)(8)(a)(1) operating as a pilot
scheduled to end on December 31, 2009). Pursuant to 123C(8), to
avoid closing price dislocation that may result from an order
entered into Exchange systems or represented to a DMM orally at or
near the close, the Exchange may temporarily suspend the hours
during which the Exchange is open for the transaction of business
pursuant to NYSE Amex Equities Rule 52. A determination to declare
such a temporary suspension is made on a security-by-security basis.
The determination, as well as any entry or cancellation of orders or
closing of a security pursuant to NYSE Amex Equities Rule 123C(8)(a)
must be supervised and approved by either an Executive Floor
Governor or a qualified NYSE Euronext employee, as defined under
NYSE Amex Equities Rule 46(b)(v), and supervised by a qualified
Exchange Officer, as defined in NYSE Amex Equities Rule 48(d).
    \19\ Pursuant to NYSE Amex Equities Rule 123C(8)(a)(2), with
approval of an Executive Floor Governor or a qualified NYSE Euronext
employee, MOC/LOC orders may be cancelled or reduced if:
    (i) The cancellation or reduction is necessary to correct a
legitimate error; and
    (ii) [sic] Execution of such an MOC or LOC order would cause
significant price dislocation at the close.
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    Exchange systems calculate imbalance of MOC and marketable LOC
orders (i.e., more shares to buy than sell or vice versa) by netting
the aggregate amount of MOC shares and marketable LOC buy orders
against the aggregate amount of MOC shares and marketable LOC sell
orders.\20\
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    \20\ See NYSE Amex Equities Rule 116.40(B) and 123C(3)(A).
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    Between 3 p.m. and 3:40 p.m., if there is an imbalance of MOC/LOC
orders, a DMM who has received Floor Official approval may publish an
imbalance of any size (``Informational Imbalance''). If the DMM
publishes an Informational Imbalance and at 3:40 p.m. there exists an
imbalance of 25,000 shares or more, or any other significant imbalance,
the DMM must publish that updated imbalance information as soon as
possible after 3:40 p.m. If there is neither a significant imbalance
nor one of 25,000 shares or more, the DMM is required to publish a ``no
imbalance'' message if an Informational Imbalance was published. If the
DMM publishes a ``no imbalance'' message at 3:40 p.m. and a significant
imbalance or one of 25,000 shares or more occurs between 3:40 and 3:50
p.m., then the DMM must publish the imbalance information as soon as
possible after 3:50 p.m.
    In the absence of an Informational Imbalance publication, if at
3:40 p.m. there is an imbalance of 25,000 shares or more of MOC/LOC
orders, the DMM is required to publish the imbalance information to the
Consolidated Tape in order to solicit contra-side interest.\21\ The
published imbalance information must be updated again at 3:50 p.m. with
the current numerical imbalance or a no imbalance message.\22\
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    \21\ See NYSE Amex Equities Rule 123C(1), (2) and (5). Imbalance
publications pursuant to these provisions of the rule are
interpreted as the mandatory publications.
    \22\ At 3:50 p.m., a ``no imbalance message'' indicates that the
subsequent imbalance of shares, is less than 50,000 shares and is
not significant in relation to the average daily trading volume in
the security.
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    NYSE Amex Equities Rule 123C(6) further allows Exchange systems to
disseminate a data feed of real-time order imbalances that accumulate
prior to the close of trading on the Exchange (``Order Imbalance
Information'').\23\ Order Imbalance Information is supplemental
information disseminated by the Exchange prior to a closing
transaction.\24\ Specifically, Order Imbalance Information is
disseminated every fifteen seconds between 3:40 p.m. and 3:50 p.m.;
thereafter, it is disseminated every five seconds between 3:50 p.m. and
4 p.m. \25\
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    \23\ See Securities Exchange [sic] Release Nos. 59743 (April 9,
2009), 74 FR 17699 (April 16, 2009) (SR-NYSEAmex-2009-11)
(establishing Order Imbalance Information); 60385 (July 24, 2009),
74 FR 30184 (July 31, 2009) (SR-NYSEAmex-2009-26) (establishing fees
for Order Imbalance Information); 60151 (June 19, 2009) 74 FR 30653
(June 29, 2009) (SR-NYSEAmex-2009-29) (including Floor broker agency
interest containing pegging and/or discretionary instructions
eligible for execution in the closing transaction in Order Imbalance
Information).
    \24\ See NYSE Amex Equities Rule 123C(6). Pursuant to NYSE Amex
Equities Rule 15, the Exchange also distributes information about
imbalances in real-time at specified intervals prior to the opening
transaction. The pre-opening Order Imbalance Information data feed
is disseminated (i) every five minutes between 8:30 a.m. and 9 a.m.;
(ii) every one minute between 9 a.m. and 9:20 a.m.; and (iii) every
15 seconds between 9:20 a.m. and the opening (or 9:35 a.m. if the
opening is delayed).
    \25\ On any day that the scheduled close of trading on the
Exchange is earlier than 4:00 p.m., the dissemination of Order
Imbalance Information prior to the closing transaction will commence
20 minutes before the scheduled closing time. Order Imbalance
Information will be disseminated every fifteen seconds for
approximately 10 minutes. Thereafter, the Order Imbalance
Information will be disseminated ever [sic] five seconds until the
scheduled closing time.
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    The mandatory publications are included in both the Order Imbalance
Information data feed and on the Consolidated Tape. In addition,
commencing at 3:55 p.m., the Order Imbalance Information data feed also
includes d-Quotes \26\ and all other e-Quotes \27\ containing pegging
instructions \28\ eligible to participate in the closing
transaction.\29\
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    \26\ This type of Floor broker agency interest contains
discretionary instructions as to size and/or price of an e-Quote.
See NYSE Amex Equities Rule 70 Supplementary Material .25.
    \27\ Floor brokers are permitted to represent orders
electronically through the use of e-Quotes. See NYSE Amex Equities
Rule 70(a)(i).
    \28\ This type of Floor broker agency interest contains a
distinct instruction that may be used in conjunction with an e-Quote
and/or a d-Quote. See NYSE Amex Equities Rule 70, Supplementary
Material .26. This type of instruction allows the Floor broker to
maintain his/her interest in the Exchange Best Bid or Offer
(``BBO'') if the quote moves from the orders initial quote price.
Pegged interest moves with the Exchange BBO within the designated
range. Any discretionary instructions associated with that interest
will continue to be applied as long as it is within the Floor
broker's designated price range. Buy side e-Quotes will peg to the
best bid and sell side e-Quotes will peg to the best offer. The
Exchange filed a proposal with the SEC to amend NYSE Amex Equities
Rule 70.25 to permit d-Quotes to be active throughout the trading
day and to provide for discretionary instructions that a d-Quote
will execute only if a minimum trade size requirement is met, and to
amend NYSE Amex Equities Rule 70.26 to provide for e-Quotes and d-
Quotes to peg to the National best bid or offer (``NBBO'') rather
than the Exchange best bid or offer (``BBO''). See Securities and
Exchange [sic] Release No. 60887 (October 27, 2009), 74 FR 56889
(November 3, 2009) (SR-NYSEAmex-2009-76).
    \29\ Similarly, in the case of the pre-opening Order Imbalance
Information data feed, all interest eligible to trade in the opening
transaction, excluding odd-lot orders and the odd-lot portion of
partial round-lot orders, are included in the data feed. Floor
broker interest includes all interest except non-displayed reserve
interest marked ``do not display.'' Customer interest includes all
interest except for non-displayed reserve interest. DMM interest is
not included in the pre-opening Order Imbalance Information data
feed.
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    The Order Imbalance Information data feed prior to the close
calculates the reference price, when the last sale price does not fall
within the best bid and the best offer on the Exchange at the time that
the Exchange calculates a closing imbalance for a security,\30\ as
follows:
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    \30\ The reference price for the pre-opening Order Imbalance
Information data feed is equal the last sale (previous closing
price) or the price indication published under the Rule 15 or 123D.
Therefore, when the Exchange publishes a pre-opening indication in a
security pursuant to the provisions of paragraphs (a) and (b) of
NYSE Amex Equities Rule 15 or NYSE Amex Equities Rule 123D, the
reference price will be determined as follows:
    If the Bid Price from the indication (the lower price) is higher
than the last sale, the Reference Price will be the Bid.
    If the Offer Price from the indication (the higher price) is
lower than the last sale, the Reference Price will be the Offer.
    If the Last Sale is within the indication range, the Book will
use the Last Sale as the Reference Price.
    If multiple indications have been published, the last indication
that the Exchange makes available will be used as the Reference
Price.
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     If the last sale price is lower than the Bid price, then
the Bid Price will serve as the Reference Price.
     If the last sale price is higher than the Offer price,
then the Offer Price will serve as the Reference Price.
     If the last sale price falls within the Exchange's best
bid and offer for the

security, the last sale price will serve as the Reference Price.
Examples
    (1) The sale in XYZ security prior to the dissemination of the
order imbalance feed was at a price of $15.00. The quote prior to the
dissemination of the data feed is 100 shares bid at a price of $15.02
and 500 shares offered at a price of $15.20. The reference price for
the NYSE Order Imbalance data feed in XYZ security will be $15.02.
    (2) The sale in XYZ security prior to the dissemination of the
order imbalance feed was at a price of $15.00. The quote prior to the
dissemination of the data feed is 100 shares bid at a price of $14.91
and 500 shares offered at a price of $14.99. The reference price for
the NYSE Order Imbalance data feed in XYZ security will be $14.99.
    (3) The sale in XYZ security prior to the dissemination of the
order imbalance feed was at a price of $15.00. The quote prior to the
dissemination of the data feed is 100 shares bid at a price of $14.98
and 500 shares offered at a $15.02. The reference price for the NYSE
Order Imbalance data feed in XYZ security will be $15.00.
    Only the mandatory indications published pursuant to NYSE Amex
Equities Rule 123C(1) control whether a party may enter MOC/LOC
interest to offset an imbalance publication.
    In executing the closing transaction, Exchange systems calculate
the shares of MOC and marketable LOC orders on each side of the market.
Where there is an imbalance, the shares constituting the imbalance are
executed against the offer side (in case of a buy imbalance) or the bid
side (in the case of a sell imbalance).\31\ The remaining MOC and
marketable LOC buy and sell orders are paired off against each other at
the price at which the imbalance shares were executed.\32\ The
imbalance and the pair off transaction are reported to the Consolidated
Tape as a single transaction.\33\
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    \31\ See NYSE Rules 123C(3) and 116.40(B).
    \32\ See NYSE Rules 123C(3).
    \33\ See NYSE Rules 123C(3) and 116.40(C).
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    If there is no imbalance, the aggregate buy and sell MOC and
marketable LOC orders are paired off at the price of the last sale on
the Exchange prior to the close of trading in the security.\34\ This
transaction is reported to the Consolidated Tape as a single
transaction.\35\
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    \34\ See NYSE Amex Equities Rules 116.40(C) and 123C(3)(B).
    \35\ See Id.
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    Any stop orders that are elected by the closing price in a
particular security are automatically and systemically converted into
market orders and are included in the total number of MOC orders to be
executed at the close for that security.\36\
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    \36\ See NYSE Amex Equities Rules 116.40(A) and 123C(3)(A).
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    Interest executed in the closing transaction is allocated pursuant
to NYSE Amex Equities Rule 72 (``Priority of Bids and Offers and
Allocation of Executions'') and consistent with the hierarchy of
interest which currently is only codified in the NYSE Floor Official
Manual.\37\ In the hierarchy of allocation, better priced interest must
receive an execution in whole or in part \38\ (``must execute
interest'') in order for the security to close. Included in this
category are MOC orders without tick restrictions, MOC orders with tick
restrictions that are eligible to be executed at a price better than
the closing price, better priced limit orders, better priced LOC orders
with or without tick restrictions that are eligible for execution at a
better price than the closing price and Crowd interest.\39\ After the
``must execute interest'' is satisfied, then any limit orders
represented in Display Book at the closing price may be used to offset
the remaining imbalance. It should be noted that DMM interest,
including better priced DMM interest entered into the Display Book
prior to the closing transaction, eligible to participate in the
closing transaction is always included in the hierarchy of execution as
if it were interest equal to the price of the closing transaction. Next
eligible for execution in the hierarchy of allocation for the closing
transaction are LOC orders without tick restrictions limited to the
closing price, then MOC orders that have tick restrictions which limit
the order's price to the price of the closing transaction,\40\ followed
by LOC orders limited to the price of the closing transaction that have
tick restrictions and finally ``G'' orders,\41\ including all better
priced ``G'' orders.
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    \37\ See New York Stock Exchange Inc., Floor Official Manual,
214-215 (June 2004 Edition). The NYSE ceased publication of the
Floor Official Manual after this edition. The proposed amendments
herein seek to add transparency to the closing process and will
incorporate the hierarchy of allocation into the proposed rule text.
NYSE Amex's equity trading systems and facilities are operated by
the NYSE on behalf of the Exchange. The allocation logic for equity
securities on NYSE Amex is the same as that utilized by the NYSE.
See Securities Exchange Act Release No. 58673 (September 29, 2008),
73 FR 57707 (October 3, 2008) (SR-NYSE-2008-60 and SR-Amex-2008-62)
(approving the Merger).
    \38\ MOC orders must be executed in its entirety at the closing
price. Marketable limit orders receive an execution subject to the
availability of contra side volume.
    \39\ As used herein, Crowd interest means verbal Floor broker
interest at the market entered by the DMM to interact with orders in
the Display Book.
    \40\ For example, the last sale on the Exchange was at a price
of $46.00 on a minus tick, the closing price is $46.01, all sell
plus MOC orders are limited to the closing price of $46.01 because
the closing transaction would be the next plus tick.
    \41\ Section 11(a)(1) of the Act generally prohibits a member of
a national securities exchange from effecting transactions on that
exchange for its own account, the account of an associated person,
or any account over which it or an associated person exercises
discretion. See 15 U.S.C. 78k(a)(1). Subsection (G) of Section
11(a)(1) provides an exemption allowing an exchange member to have
its own Floor broker execute a proprietary transaction (``G
order''). A g-Quote is an electronic method for Floor brokers to
represent G orders. G orders on NYSE Amex yield priority, and parity
to all other non-G orders.
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    Once the last sale in the security occurs, the DMM organizes the
closing transaction by considering Crowd interest, interest available
to participate on the close and his own trading interest (consistent
with affirmative obligations).\42\ Pursuant to the DMM's affirmative
obligation, the DMM should minimize price dislocation caused by
disparity between supply and demand. At that point, he or she must
assess potential imbalances (if any) at various potential closing price
points in order to price the close. The DMM will generally close the
security by picking a price point that he or she believes is an
appropriate price based on supply and demand and may insert DMM trading
interest.
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    \42\ DMMs [sic] trading interest is determined in part by risk
management goals. DMMs may manage risk by trading on the same side
of the imbalance if consistent with his or her affirmative
obligation under NYSE Amex Equities Rule 104 and other NYSE Amex and
SEC rules. If the DMM participates on the same side of an order
imbalance in a security such that the price of the security moves
significantly, this may raise a concern as to whether the DMM is
meeting his or her affirmative obligation and other regulatory
requirements.
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Example of a Current Close Including the Imbalance Publications
Example 1
    XYZ security has an average daily trading volume of approximately
250,000 shares. At 3:10 p.m. XYZ receives a buy MOC order for 20,000
shares. Shortly thereafter, in consultation with a Floor Official, the
DMM publishes an Informational Imbalance. By 3:40 p.m. the buy
imbalance has increased to 100,000 shares and the DMM disseminates a
mandatory imbalance publication showing the updated amount. Also at
3:40 the Order Imbalance Information data feed commences and is
disseminated every 15 seconds thereafter.
    By 3:50 p.m. the DMM has received 50,000 shares of sell MOC
interest to offset the 150,000 share buy imbalance.

At 3:50 p.m. the DMM disseminates another mandatory imbalance
publication updating the imbalance to a 50,000 share buy imbalance.
    Also at 3:50 the Order Imbalance information data feed increases
the frequency of its publications to every 5 seconds. Beginning at 3:55
p.m. the Order Imbalance data feed includes d-Quotes and all other e-
Quotes containing pegging instructions that are eligible to participate
in the closing transaction based on current execution prices.
    The DMM did not receive any additional offsetting interest between
3:50 and 4 p.m. (official closing time) so the imbalance remained at
50,000 shares to buy.
    The last bid in XYZ security prior to the closing transaction was
$19.85 and the offer was $20.00. The last sale prior to 4 p.m.
(official closing time) was at $19.85.
    The sell interest on the Display Book leading into the closing
transaction consists of:
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price better than the last sale;
    2. 5,000 shares of Crowd market interest;
    3. 10,000 shares of public limit orders at $20.24;
    4. 5,000 shares of tick sensitive LOC interest at $20.24;
    5. 5,000 shares of d-Quote interest that at its maximum discretion
is $20.24;
    6. 10,000 shares LOC interest at $20.25;
    7. 5,000 shares of non-MOC ``G'' market orders.
    Given this interest available in Display Book, the DMM determines
to close trading in XYZ security at a price of $20.25 and to sell 5,000
shares for the dealer account. The DMM interest is entered into the
Display Book while the DMM is arranging the closing transaction which
may be after 4 p.m. The DMM then executes the closing transaction in
XYZ security at the price of $20.25.
    The closing execution logic is as follows: \43\
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    \43\ The execution occurs as a single transaction. The logic
described in the text refers to how the Display book allocates
shares, not the order of execution.
---------------------------------------------------------------------------

    The offsetting 50,000 shares of sell MOC interest is netted against
50,000 shares of the 100,000 shares of the buy imbalance at a price of
$20.25, leaving a buy imbalance of 50,000 shares.
    The remaining imbalance of 100,000 shares is offset by allocating
it to the interest listed below, at the closing price of $20.25. As
interest priced better than the closing price, numbers 1-5 below are
required to be included in the closing transaction.
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price better than the last sale, which leaves a 45,000 share buy
imbalance;
    2. 5,000 shares of Crowd market interest which leaves a 40,000
share buy imbalance;
    3. 10,000 shares of public limit orders at $20.24, which leaves an
30,000 share buy imbalance; and [sic]
    4. 5,000 shares of tick sensitive LOC interest at $20.24 which
leaves a 25,000 share buy imbalance;
    5. 5,000 shares of d-Quote interest that at its maximum discretion
is $20.24, which leaves a 20,000 share buy imbalance; \44\
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    \44\ Any super-marketable d-Quote interest that exercises its
maximum discretion becomes better priced limit interest for the
purposes of the hierarchy of execution and is included in the
closing transaction as must execute interest.
---------------------------------------------------------------------------

    The remaining 20,000 share buy imbalance will be offset at the
price of $20.25 as follows:
    6. 5,000 shares of DMM interest, which leaves a 15,000 share buy
imbalance;
    7. 10,000 shares LOC interest at $20.25, which leaves a 5,000 share
buy imbalance; and
    8. 5,000 shares of non-MOC ``G'' orders.
    Example number 1 above is a simple closing transaction that
demonstrates all interest eligible to receive an execution in the
closing transaction being executed in full. In the above example, the
offsetting interest was equal to the size of the actual buy imbalance;
however, in the event that any one type of offsetting interest with
precedence in the hierarchy is sufficient to fill the imbalance, that
interest will be filled and the remaining interest lower in the
hierarchy will receive a report of ``nothing done.'' Example number 2
below demonstrates this principle and further illustrates the operation
of parity allocations in the closing transactions.
Example 2
    Assuming the same imbalance publication information and receipt of
offsetting interest in Example 1. The last sale in the
security is at the price of $19.85. Again, the offsetting sell MOC
interest is of 50,000 shares is netted against 50,000 shares of the
100,000 shares of the buy imbalance at a price of $20.25, leaving a buy
imbalance of 50,000 shares. The sell interest on the Display Book now
consists of:
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price better than the last sale;
    2. 5,000 shares of Crowd market interest;
    3. 5,000 shares of tick sensitive LOC interest at $20.24;
    4. 5,000 shares of d-Quote interest that at its maximum discretion
is $20.24;
    5. 10,000 shares e-Quote interest from a single Floor broker at
$20.25;
    6. 20,000 shares of public limit orders at $20.25;
    7. 20,000 shares LOC interest at $20.25;
    8. 10,000 shares of non-MOC ``G'' market orders.
    Given this interest available in Display Book, the DMM determines
to close trading in XYZ security at a price of $20.25 and to sell
20,000 shares for the dealer account. The DMM interest is entered into
the Display Book while the DMM is arranging the closing transaction
which may be after 4 p.m. The DMM then executes the closing transaction
in XYZ security at the price of $20.25.
    The closing execution logic is as follows:
    The offsetting 50,000 shares of sell MOC interest is netted against
50,000 shares of the 100,000 shares of the buy imbalance at a price of
$20.25, leaving a buy imbalance of 50,000 shares.
    The remaining imbalance of 50,000 shares is offset by allocating it
to the interest listed below, at the closing price of $20.25. As
interest priced better than the closing price, numbers 1-4 below are
required to be included in the closing transaction.
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price better than the last sale, which leaves a 45,000 share buy
imbalance;
    2. 5,000 shares of Crowd market interest, which leaves a 40,000
share buy imbalance;
    3. 5,000 shares of tick sensitive LOC interest at $20.24, which
leaves an 35,000 share buy imbalance;
    4. 10,000 shares of d-Quote interest that at its maximum discretion
is $20.2424, which leaves a 30,000 shares buy imbalance;
    The remaining 30,000 shares of the buy imbalance will be offset at
the price of $20.25 as follows:
    5. 10,000 shares of e-Quote interest at $20.25, which leaves a
20,000 share buy imbalance;
    6. 10,000 shares of at-priced DMM interest, which leaves a 10,000
shares buy imbalance;
    7. 10,000 shares of public limit orders at $20.25, which fills the
remaining 10,000 shares of the imbalance.

    The remaining 10,000 shares of at-priced DMM interest and the
10,000 shares of public limit orders at $20.25 will not be
executed.\45\ Additionally, the 20,000 shares LOC interest priced at
$20.25 and 10,000 shares of ``G'' orders will also remain unexecuted
and receive reports of ``nothing done.'' \46\
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    \45\ Interest represented in numbers 5-7 received an allocation
of shares that is less than their full quantity consistent with NYSE
Amex Equities Rule 72 which requires the shares to be allocated on a
parity basis. Specifically, DMM interests, individual e-Quotes
interests and public limit order interests each represent a distinct
parity group which and the available shares are divided among the
parity groups.
    \46\ DMM interest is considered at price interest and is
therefore higher in the hierarchy of execution than at priced LOC
interest which are not guaranteed an execution pursuant to the
provisions of 123C(2). It should be noted that DMM interest
participating in the closing transaction is executed as if it were
priced equal to the closing transaction. This includes DMM interest
entered in Display Book prior to the closing transaction at better
price points that are eligible to participate in the closing
transaction.
---------------------------------------------------------------------------

Example 3
    Example 3 further illustrates a DMMM [sic] facilitation of
the closing transaction and demonstrates that the DMM may enter his or
her interest on the same side of the MOC/LOC imbalance when effecting
the closing transaction.
    Assuming the same imbalance publication information and receipt of
offsetting interest in Example 1. The last sale in the
security in this Example 3 is at the price of $20.23. Again,
the offsetting sell MOC interest is of 50,000 shares is netted against
50,000 shares of the 100,000 shares of the buy imbalance at a price of
$20.25, leaving a buy imbalance of 50,000 shares. The sell interest on
the Display Book now consists of:
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price better than the last sale;
    2. 5,000 shares of Crowd market interest;
    3. 10,000 shares of tick sensitive LOC interest at $20.24;
    4. 10,000 shares of public limit orders at $20.25;
    5. 10,000 shares of d-Quote interest that at its maximum discretion
is $20.24;
    6. 10,000 shares of LOC interest at $20.25.
    In addition, while arranging the closing transaction after 4:00
p.m. the DMM enters 20,000 shares of DMM interest to buy for the dealer
account.\47\ There is additional sell interest on the Display Book that
would accommodate the DMM's additional interest as follows:
---------------------------------------------------------------------------

    \47\ See supra note 42. As previously noted DMM trading must be
consistent with his or her affirmative obligation under NYSE Amex
Equities Rule 104 and other NYSE Amex Equities Rules and SEC rules
particularly in this example where the DMM is participating on the
same side of the imbalance.
---------------------------------------------------------------------------

    7. 10,000 shares of public limit orders to sell at $20.26;
    8. 10,000 shares of public limit orders to sell at $20.27;
    Based on the interest available in Display Book on both sides of
the market, the DMM has determined to close trading in XYZ security at
a price of $20.27.
    The offsetting 50,000 shares of sell MOC interest is netted against
50,000 shares of the current 100,000 shares of the buy imbalance at a
price of $20.27, leaving a buy imbalance of 120,000 shares (including
DMM interest).
    The remaining imbalance of 120,000 shares is offset by allocating
it to the interest listed below, at the closing price of $20.27. As
interest priced better than the closing price, numbers 1-7 below are
required to be included in the closing transaction.
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price better than the last sale, which leaves a 115,000 share buy
imbalance;
    2. 5,000 shares of Crowd Market interest, which leaves a 110,000
share buy imbalance;
    3. 10,000 shares of tick sensitive LOC interest at $20.24, which
leaves an 100,000 share buy imbalance;
    4. 50,000 shares of public limit orders at $20.25, which leaves a
50,000 share buy imbalance;
    5. 10,000 shares of d-Quote interest that at its maximum discretion
is $20.24, which leaves a 40,000 share buy imbalance;
    6. 20,000 shares LOC interest at $20.25, which leaves a 20,000
share buy imbalance;
    7. 10,000 shares of public limit orders at $20.26, which leaves a
10,000 share buy imbalance; and
    8. 10,000 shares of public limit orders at $20.27 are executed
against the remaining 10,000 share buy imbalance.
Additional Procedures Governed by NYSE Amex Equities Rule 123C
    In addition to current Market on the Close procedures, NYSE Amex
Equities Rule 123C prescribes the Expiration Friday \48\ Auxiliary
Procedures for the Opening. The provisions of the rule govern the time
of entry and the marking of orders related to expiring index
contracts.\49\
---------------------------------------------------------------------------

    \48\ An expiration day is a trading day prior to the expiration
of index-related derivative products (futures, options or options on
futures), whose settlement pricing is based upon opening or closing
prices on the Exchange, as identified by a qualified clearing
corporation (e.g., the Options Clearing Corporation). The twelve
expiration days are ``expiration Fridays'' which fall on the third
Friday in every month. If that Friday is an Exchange holiday, there
will be an expiration Thursday in such a month.
    \49\ NYSE Amex Equities Rule 123C(7) requires, among other
things, that orders related to index contracts whose settlement
pricing is based upon the ``Expiration Friday'' opening prices must
be received by 9:00 a.m. Orders not related to index contracts whose
settlement is not based on opening prices may be received before or
after 9:00 a.m. It further requires orders relating to opening-price
settling contracts be identified ``OPG'' and sets forth procedures
for firms that are unable to comply with the marking requirement.
---------------------------------------------------------------------------

Proposed New Closing Procedures
    The Exchange seeks to build on the changes NYSE Amex began this
year as noted above, to simplify its closing procedures in order to
provide customers with a more efficient closing process. The closing
transaction on the Exchange continues to be a manual auction in order
to facilitate greater price discovery and allow for the maximum
interaction between market participants. While the Exchange currently
provides DMM units with tools to facilitate an efficient closing
process, the Exchange believes that changes proposed herein will
maximize the use of those electronic tools and allow for an even more
efficient closing process.
Order Entry, Cancellation, Mandatory MOC/LOC Imbalance and
Informational Imbalance Publications
    In order to optimize the efficient operation of the closing
process, the Exchange proposes to amend NYSE Amex Equities Rule 123C to
require electronic entry of all MOC and LOC orders, including those
entered to offset imbalances.\50\ The Exchange believes that the
electronic entry of MOC and LOC orders will allow the DMM to maximize
the Display Book capability to continuously update and provide the DMM
and trading community with imbalance information, thus enhancing the
DMM's ability to efficiently manage the closing process and customers
with the ability to interact appropriately.
---------------------------------------------------------------------------

    \50\ In the event a Floor broker's handheld device malfunctions,
the DMM should assist the Floor broker by entering or cancelling
MOC/LOC orders on the Floor broker's behalf. DMMs perform this
administrative function on a best efforts basis. See NYSE
Information Memos 09-26 (June 18, 2009); NYSE Member Education
Bulletin 05-24 (December 9, 2005) incorporated pursuant to the
Merger.
---------------------------------------------------------------------------

    The electronic entry of MOC and LOC interest will obviate the need
to have an imbalance publication at 3:40 p.m. and 3:50 p.m. because the
DMM will not have to manually keep track of the MOC/LOC interest;
rather, Exchange systems will track the electronically

entered MOC/LOC interest. Exchange systems will therefore be able to
provide more accurate and timely imbalance information to all market
participants systemically. The Exchange's customers have expressed that
in the current more electronic environment two imbalance publications
ten minutes apart are not useful. Accordingly, the Exchange proposes to
modify the order information available prior to the closing transaction
as described more fully below and amend NYSE Rule 123C to provide for a
single imbalance publication as soon as practicable after 3:45 p.m., to
be referred to as the ``Mandatory MOC/LOC Imbalance Publication,''
(herein ``Mandatory MOC/LOC Imbalance'') when there is an imbalance:
(i) of 50,000 shares or more; or (ii) of less than 50,000 shares that
is deemed to be ``significant'' \51\ (i.e., significant in relation to
the average daily volume of the security).\52\ The last sale price at
3:45 p.m. will serve as the basis for the Mandatory MOC/LOC Imbalance.
---------------------------------------------------------------------------

    \51\ Mandatory MOC/LOC Imbalance publications for less than
50,000 shares may only be published with the prior approval of a
Floor Official or qualified NYSE Euronext employee as defined in
Supplementary Material .10 of NYSE Rule 46.
    \52\ See proposed NYSE Rule 123C paragraphs (1)(d) (Definition:
Mandatory MOC/LOC Imbalance) and (4) Calculation of MOC Imbalances.
---------------------------------------------------------------------------

    The Exchange intends to retain the current ability to publish an
Informational Imbalance of any size. The Exchange seeks to extend the
time for the publication of such imbalance from 3:40 p.m. until 3:45
p.m. in order to provide a mechanism for an imbalance publication prior
to any Mandatory MOC/LOC Imbalance if the DMM in consultation with a
Floor Official or qualified NYSE Amex Euronext employee as defined in
Supplementary Material .10 of NYSE Amex Equities Rule 46 deem that such
imbalance publication is warranted for the security. In extending the
time to 3:45 p.m., the proposed rule will provide that a Mandatory MOC/
LOC Imbalance or ``no imbalance'' notice must occur as soon as possible
after 3:45 p.m.\53\
---------------------------------------------------------------------------

    \53\ See proposed NYSE Amex Equities Rule 123C paragraphs (1)(b)
(Definition: Informational Imbalance) and (4) Calculation and
Publication of MOC Imbalances) [sic]. In the event that an
Informational Imbalance is disseminated prior to 3:45 and thereafter
there is no Mandatory MOC/LOC Imbalance, the DMM will be required to
manual [sic] disseminate a ``no imbalance'' notification.
---------------------------------------------------------------------------

    The proposed new rule will further explicitly state that the entry
of MOC/LOC orders in response to a Mandatory MOC/LOC Imbalance after
3:45 p.m. may be entered only to offset the published imbalance.\54\ In
the case of a ``no imbalance'' notification, no offsetting MOC/LOC
interest may be entered at all after 3:45 p.m.\55\
---------------------------------------------------------------------------

    \54\ See proposed NYSE Amex Equities Rule 123C paragraphs
(2)(b)(i) (Order entry).
    \55\ See proposed NYSE Amex Equities Rule 123C paragraphs
(2)(b)(ii) (Order entry).
---------------------------------------------------------------------------

    Given that MOC/LOC orders will be entered electronically, Exchange
systems will keep track of the available interest thus making it more
readily available for the DMM. The Exchange therefore further proposes
to allow customers to cancel or reduce MOC/LOC orders in the case of
legitimate errors \56\ between 3:45 p.m. and 3:58 p.m.\57\ Systemic
tracking of MOC/LOC interest makes it entirely feasible for the DMM to
review in two minutes the interest eligible to participate in the
closing transaction and facilitate the execution of the closing
transaction. After 3:58 p.m., cancellations or reduction in the size of
MOC/LOC orders, even in the event of legitimate error, will not be
permitted.\58\
---------------------------------------------------------------------------

    \56\ Through the instant filing, the Exchange seeks to clarify
what is meant by legitimate error as it applies to the closing
process. The Exchange proposes to define a legitimate error in the
proposed definition section of 123C. Specifically, a [sic] pursuant
to proposed NYSE Rule 123C(1)(c), a legitimate error means an error
in any term of an MOC or LOC order, such as price, number of shares,
side of the transaction (buy or sell) or identification of the
security.
    \57\ See proposed NYSE Rule 123C(3) (Cancellation of MOC and LOC
orders). The Exchange anticipates that DMMs will have sufficient
time to perform the requisite calculations for the closing
transaction while affording customers the ability to cancel or
reduce in size an MOC/LOC order until 3:58 p.m.
    \58\ Current NYSE Amex Equities Rule 123C(8)(a)(2) permits the
Exchange to temporarily suspend the prohibitions on canceling or
reducing an MOC or LOC order if there is an extreme order imbalance
at or near the close. This filing would renumber that rule as
proposed NYSE Amex Equities Rule 123C(9).
---------------------------------------------------------------------------

    The Exchange further proposes to provide all market participants an
additional method to offset a published imbalance and proposes to
create a conditional-instruction limit-type order that will be eligible
to participate in the closing transaction to offset an order imbalance
at the close, the CO order. The CO order will not be guaranteed to
participate in the closing transaction. CO orders will be eligible to
participate in the closing transaction when there is an imbalance of
orders to be executed on the opposite side of the market from the CO
order and there is no other interest remaining to trade at the closing
price. This order type must yield to all other eligible interest.
    Unlike MOC/LOC orders, CO orders may be entered on any side of the
market at anytime prior to the close.\59\ CO orders will not be
included in the calculation of the Mandatory MOC/LOC Imbalance and
Informational Imbalance. The Exchange proposes that the time periods to
cancel a CO order be consistent with the cancellation requirements for
MOC and LOC orders. As such, proposed NYSE Amex Equities Rule 123(C)(3)
will provide that up to 3:45 p.m., a CO order may be canceled or
reduced for any reason. Between 3:45 p.m. and 3:58 p.m., a CO order may
be canceled or reduced only in the case of a legitimate error as that
term is defined by proposed NYSE Amex Equities Rule 123C(1)(c). After
3:58 p.m., a CO order, like MOC/LOC orders, may not be cancelled for
any reason.
---------------------------------------------------------------------------

    \59\ See proposed NYSE Amex Equities Rule 123C(2)(b)(iv).
---------------------------------------------------------------------------

    CO orders will be eligible to participate in the closing
transaction only to offset an imbalance and do not add to or flip the
imbalance. If there is an imbalance at the close and the price of the
closing transaction is at or within the limit of the CO order, the CO
order will be eligible to participate in the closing transaction,
subject to strict time priority of receipt in Exchange systems among
such eligible CO orders and after yielding to all other interest in the
closing execution, including MOCs, marketable LOCs, ``G'' orders, DMM
interest, and at-priced LOCs. CO orders deemed eligible to participate
in the close will be executed at the price of the closing transaction.
If the number of shares represented by CO orders is larger than the
number of shares required to offset the imbalance, Exchange systems
will execute only those shares of CO orders required to complete the
execution of the imbalance in full based on the time priority of
receipt in Exchange systems of the CO orders. CO orders therefore will
not be allowed to swing an imbalance to the opposite side of the
market. Accordingly, if there is a 50,000 share buy imbalance and
100,000 shares of CO orders eligible to sell at the closing price, the
first 50,000 shares of CO orders that were entered into Exchange
systems throughout the trading day will participate in the closing
transaction. The remaining 50,000 shares of CO orders will not
participate and will be cancelled.
    Modifications to Order Imbalance Information Data Feed Prior to the
Closing and Opening Transaction
    The Exchange further proposes to modify the Order Imbalance data
feed prior to closing transaction to commence at 3:45 p.m., the same
time as the Mandatory MOC/LOC Imbalance. Pursuant to proposed NYSE Amex
Equities Rule 123C(6)(a)(iii), the Order Imbalance data feed will be
disseminated approximately every five

seconds between 3:45 p.m. and 4:00 p.m.
    Moreover, to increase transparency of order information prior to
the execution of the closing transaction, the Exchange proposes to
expand the order information included in the Order Imbalance
Information data feed. Currently the pre-closing Order Imbalance
Information data feed includes the: (i) Reference price; (ii) MOC/LOC
imbalance and the side of the market; (iii) d-Quotes and all other e-
Quotes containing pegging instructions eligible to participate in the
closing transaction; and (iv) MOC/LOC paired quantity at reference
price. The proposed new data feed will continue to provide that
information but also additionally include (i) CO orders on the opposite
side \60\ of the imbalance and (ii) at-priced LOC interest eligible to
offset the imbalance.
---------------------------------------------------------------------------

    \60\ In the case of a buy imbalance, CO orders to sell at a
price equal to or lower than the reference price are to be included
in the imbalance. In the case of a sell imbalance, CO orders to buy
at a price equal to or higher than the reference price are to be
included in the imbalance.
---------------------------------------------------------------------------

    The proposed Order Imbalance Information data feed prior to the
closing transaction will also make available two new data fields. The
proposed new data fields will provide subscribers with a snap shot of
the prices at which interest eligible to participate in the closing
transaction would be executed in full against each other at the time
data feed is disseminated. It will also provide subscribers with the
price at which closing-only interest (i.e., MOC orders, marketable LOC
orders, and CO orders on the opposite side of the imbalance) may be
executed in full and the price at which orders in the Display Book
(e.g., Minimum Display Reserve Orders, Floor broker reserve e-Quotes
not designated to be excluded from the aggregated agency interest
information available to the DMM (``do not display''), d-Quotes pegged
e-Quotes, \61\ and Stop orders) will be executed in full.
---------------------------------------------------------------------------

    \61\ d-Quotes and pegged e-Quotes included in this new data
field of the Order Imbalance Information data feed are included at
the price indicated on the order as the base price to be used to
calculate the range of discretion and not at prices within their
discretionary pricing instructions.
---------------------------------------------------------------------------

    Only those CO orders on the opposite side of the imbalance will be
included in the calculation of the new data fields. In order to avoid
compromising the reserve interest at price points between the quote, if
the price at which all closing orders in the Display Book may be
executed in full is at or between the quote, then both data fields
indicating imbalance information will publish the price at which the
closing-only interest (i.e., MOC orders, marketable LOC orders, and CO
orders) may be executed in full.
    Similarly the Exchange proposes to conform the pre-opening Order
Imbalance Information data feed to provide its market participants with
more information prior to the opening transaction. As such, the pre-
opening Order Imbalance Information data feed will include the price at
which all the interest eligible to participate in the opening
transaction may be executed in full.\62\ The Exchange does not propose
to modify the time periods pursuant to NYSE Amex Equities Rule 15 when
the pre-opening Order Imbalance data feed is disseminated. Moreover,
the calculation of the reference price will also remain the same.
---------------------------------------------------------------------------

    \62\ See Proposed NYSE Amex Equities Rule 15.
---------------------------------------------------------------------------

Execution of the Closing Transaction
    The Exchange proposes to maintain its current execution logic and
codify the hierarchy of allocation logic applied to interest
participating in the closing transaction. Proposed NYSE Amex Equities
Rule 123C(7) will list all the interest that must be executed or
cancelled as part of the closing transaction and the hierarchy of the
interest that may be used to offset the closing imbalance. Moreover,
proposed NYSE Amex Equities Rule 123C(7) will add the CO order as the
last interest eligible to participate in the closing transaction to
offset an imbalance.
    The codification of hierarchy of allocation logic applied to
interest participating in the closing transaction pursuant to proposed
NYSE Amex Equities Rule 123C(7) will only slightly modify the execution
of a closing transaction on the Exchange because it will now
incorporate the new proposed CO order type into the closing transaction
where it is eligible to participate.
Example of a Close Including the Imbalance Publications Pursuant to
Proposed NYSE Amex Equities Rule 123C \63\
---------------------------------------------------------------------------

    \63\ Example numbers 4-6 mirror example numbers 1-3 above in
that all the examples illustrate the execution of the closing
transaction based on the principles explained above; however,
example numbers 4-6 also incorporate the proposed new CO order type.
---------------------------------------------------------------------------

Example 4
    XYZ security has an average daily trading volume of approximately
250,000 shares. At 3:10 p.m. XYZ receives a buy MOC order for 20,000
shares. Shortly thereafter, in consultation with a Floor Official, the
DMM publishes an Informational Imbalance. By 3:45 p.m. the buy
imbalance has increased to 100,000 shares and the DMM disseminates a
mandatory imbalance publication showing the updated amount. Also at
3:45 the Order Imbalance Information data feed commences and is
disseminated every 5 seconds thereafter.
    Beginning at 3:55 p.m. the Order Imbalance data feed includes d-
Quotes and all other e-Quotes containing pegging instructions that are
eligible to participate in the closing transaction based on current
execution prices.
    The DMM received offsetting interest between 3:50 and 4 p.m.
(official closing time) reducing the buy imbalance to 50,000 shares.
    The last bid in XYZ security prior to the closing transaction was
$19.85 and the offer was $20.00. The last sale prior to 4 p.m.
(official closing time) was at $19.85.
    The sell interest on the Display Book leading into the closing
transaction consists of:
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price better than the last sale;
    2. 5,000 shares of Crowd market interest;
    3. 10,000 shares of public limit orders at $20.24;
    4. 5,000 shares of tick sensitive LOC interest at $20.24;
    5. 5,000 shares of d-Quote interest at its maximum discretion of
$20.24;
    6. 5, 000 shares LOC interest at $20.25;
    7. 5,000 shares of non-MOC ``G'' market orders; and
    8. 5,000 shares of CO orders.
    Given this interest available in Display Book on both sides of the
market, the DMM determines to close trading in XYZ security at a price
of $20.25 and to sell 10,000 shares for the dealer account. The DMM
interest is entered into the Display Book while the DMM is arranging
the closing transaction which may be after after 4 p.m. The DMM then
executes the closing transaction in XYZ security at the price of
$20.25.
    The closing execution logic is as follows:
    The offsetting 50,000 shares of sell MOC interest is netted against
50,000 shares of the 150,000 shares of the buy imbalance at a price of
$20.25, leaving a buy imbalance of 50,000 shares.
    The remaining imbalance of 50,000 shares is offset by allocating it
to the interest listed below, at the closing price of $20.25. As
interest priced better than the closing price, numbers 1-5 above are
required to be included in the closing transaction.
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price

better than the last sale, which leaves a 45,000 share buy imbalance;
    2. 5,000 shares of Crowd market interest which leaves a 40,000
share buy imbalance;
    3. 10,000 shares of public limit orders at $20.24, which leaves a
30,000 share buy imbalance; and [sic]
    4. 5,000 shares of tick sensitive LOC interest at $20.24 which
leaves a 25,000 share buy imbalance;
    5. 5,000 shares of d-Quote interest that at its maximum discretion
is $20.24; which leaves a 20,000 share buy imbalance; \64\
---------------------------------------------------------------------------

    \64\ See supra text accompanying note 44.
---------------------------------------------------------------------------

    The remaining 20,000 share buy imbalance will be offset at the
price of $20.25 as follows:
    6. 5,000 shares of DMM interest, which leaves a 15,000 share buy
imbalance;
    7. 5,000 shares LOC interest at $20.25, which leaves a 10,000 share
buy imbalance;
    8. 5,000 shares of non-MOC ``G'' orders which leaves a 5,000 share
buy imbalance; and
    9. 5,000 shares of CO orders fill the 5,000 shares remaining of the
buy imbalance.
    In the above example, the offsetting interest was equal to the size
of the actual buy imbalance; however, in the event that any one type of
offsetting interest with precedence in the hierarchy is sufficient to
fill the imbalance that interest will be filled and the remaining
interest lower in the hierarchy will receive a report of ``nothing
done.''
Example 5
    Assuming the same imbalance publication information and receipt of
offsetting interest in Example 4. The last sale in the
security is at the price of $19.85. Again, the offsetting sell MOC
interest of 50,000 shares is netted against 50,000 shares of the
100,000 shares of the buy imbalance at a price of $20.25, leaving a buy
imbalance of 50,000 shares. The sell interest on the Display Book now
consists of:
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price better than the last sale;
    2. 5,000 shares of Crowd market interest;
    3. 5,000 shares of tick sensitive LOC interest at $20.24;
    4. 5,000 shares of d-Quote interest that at its maximum discretion
is $20.24;
    5. 10,000 shares of e-Quote interest from a single Floor broker at
$20.25;
    6. 20,000 shares of public limit orders at $20.25;
    7. 20,000 shares LOC interest at $20.25;
    8. 10,000 shares of non-MOC ``G'' market orders;
    9. 10,000 shares of CO orders.
    Given this interest available in Display Book, the DMM determines
to close trading in XYZ security at a price of $20.25 and to sell
50,000 shares for the dealer account. The DMM interest is entered into
the Display Book while the DMM is arranging the closing transaction
which may be after 4 p.m. The DMM then executes the closing transaction
in XYZ security at the price of $20.25.
    The closing execution logic is as follows:
    The offsetting 50,000 shares of sell MOC interest is netted against
50,000 shares of the 100,000 shares of the buy imbalance at a price of
$20.25, leaving a buy imbalance of 50,000 shares.
    The remaining imbalance of 50,000 shares is offset by allocating it
to the interest listed below, at the closing price of $20.25. As
interest priced better than the closing price, numbers 1-4 below are
required to be included in the closing transaction.
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price better than the last sale, which leaves a 45,000 share buy
imbalance;
    2. 5,000 shares of Crowd market interest, which leaves a 40,000
share buy imbalance;
    3. 5,000 shares of tick sensitive LOC interest at $20.24, which
leaves a 35,000 share buy imbalance;
    4. 10,000 shares of d-Quote interest that at its maximum discretion
is $20.24, which leaves a 30,000 shares buy imbalance;
    The remaining 30,000 shares of the buy imbalance will be offset at
the price of $20.25 as follows:
    5. 10,000 shares of e-Quote interest at $20.25, which leaves a
20,000 share buy imbalance;
    6. 10,000 shares of at-priced DMM interest, which leaves a 10,000
shares buy imbalance;
    7. 10,000 shares of public limit orders at $20.25, which fills the
remaining 10,000 shares of the imbalance.
    The remaining 10,000 shares of at-priced DMM interest and the
10,000 shares of public limit orders at $20.25 will not be
executed.\65\ Additionally, the 20,000 shares LOC interest priced at
$20.25, 10,000 shares of ``G'' orders and 10,000 shares of CO orders
will also remain unexecuted and receive reports of ``nothing
done.''\66\
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    \65\ See supra text accompanying note 45.
    \66\ See supra text accompanying note 46.
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Example 6
    Assuming the same imbalance publication information and receipt of
offsetting interest in Example 4. The last sale in the
security in this Example 6 is at the price of $20.23. Again,
the offsetting sell MOC interest is of 50,000 shares is netted against
50,000 shares of the 100,000 shares of the buy imbalance at a price of
$20.25, leaving a buy imbalance of 50,000 shares. The sell interest on
the Display Book now consists of:
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price better than the last sale;
    2. 5,000 shares of Crowd market interest;
    3. 10,000 shares of tick sensitive LOC interest at $20.24;
    4. 10,000 shares of public limit orders at $20.25;
    5. 10,000 shares of d-Quote interest that at its maximum discretion
is $20.24;
    6. 5,000 shares of LOC interest at $20.25
    7. 5,000 shares of CO orders.
    In addition, while arranging the closing transaction after 4:00
p.m. the DMM enters 20,000 shares of DMM interest to buy for the dealer
account.\67\ There is additional sell interest on the Display Book that
would accommodate the DMM's additional interest as follows:
---------------------------------------------------------------------------

    \67\ See supra text accompanying note 47.
---------------------------------------------------------------------------

    8. 10,000 shares of public limit orders to sell at $20.26;
    9. 10,000 shares of public limit orders to sell at $20.27.
    Based on the interest available in Display Book on both sides of
the market, the DMM has determined to close trading in XYZ security at
a price of $20.27.
    The offsetting 50,000 shares of sell MOC interest is netted against
50,000 shares of the current 120,000 shares of the buy imbalance at a
price of $20.27, leaving a buy imbalance of 70,000 shares (including
DMM interest).
    The remaining imbalance of 70,000 shares is offset by allocating it
to the interest listed below, at the closing price of $20.27. As
interest priced better than the closing price, numbers 1-7 below are
required to be included in the closing transaction.
    1. 5,000 shares of tick sensitive MOC orders eligible to execute at
a price better than the last sale, which leaves a 65,000 share buy
imbalance;
    2. 5,000 shares of Crowd market interest, which leaves a 60,000
share buy imbalance;

    3. 10,000 shares of tick sensitive LOC interest at $20.24, which
leaves a 50,000 share buy imbalance;
    4. 10,000 shares of public limit orders at $20.25, which leaves a
40,000 share buy imbalance;
    5. 10,000 shares of d-Quote interest that at its maximum discretion
is $20.24, which leaves a 30,000 share buy imbalance;
    6. 5,000 shares LOC interest at $20.25, which leaves a 25,000 share
buy imbalance;
    7. 10,000 shares of public limit orders at $20.26, which leaves a
15,000 share buy imbalance;
    8. 10,000 shares of public limit orders at $20.27, which leaves a
5,000 share buy imbalance;
    9. 5,000 shares of CO orders fill the remaining 10,000 shares of
the buy imbalance.
Trading Halts
    The Exchange further proposes to amend NYSE Amex Equities Rule 123C
to make ``trading halt'' a defined term whose meaning is consistent
with a halt in trading in any security pursuant to the provisions of
NYSE Amex Equities Rule 123D (``Trading Halt'').\68\ Further, pursuant
to the proposed rule, where a Trading Halt is in effect at 3:45 p.m., a
Mandatory MOC/LOC Imbalance will be published as close to the
resumption of trading as possible if the Trading Halt is lifted prior
to the close of trading. In this event, MOC/LOC orders may be entered
to offset the published imbalance. If the Trading Halt is not lifted,
the entry of MOC/LOC interest, including offsetting interest, is
prohibited.
---------------------------------------------------------------------------

    \68\ See proposed NYSE Amex Equities Rule 123C(1)(f).
---------------------------------------------------------------------------

    Where a Trading Halt occurs in a security after a Mandatory MOC/LOC
Imbalance is published (i.e., after 3:45 p.m.), MOC/LOC orders may be
entered to offset the published imbalance.\69\ Where a Trading Halt
occurs after 3:45 p.m. and there is no Mandatory MOC/LOC Imbalance in
the security, the entry of MOC/LOC interest will not be allowed.\70\
---------------------------------------------------------------------------

    \69\ See proposed NYSE Amex Equities Rule 123C(2)(c)(i).
    \70\ See proposed NYSE Amex Equities Rule 123C(2)(c)(iii).
---------------------------------------------------------------------------

    Unlike MOC/LOC orders, the entry of CO orders on both sides of the
market will be permitted when a Trading Halt occurs in a security, but
is lifted prior to the close of trading in the security. Because CO
orders are the interest of last resort in the closing transaction,
entry of such orders is not restricted to offsetting the Mandatory MOC/
LOC Imbalance.
Rescission of Expiration Friday Auxiliary Procedures for the Opening
and Due Diligence Requirements
    The Exchange further proposes to amend NYSE Amex Equities Rule 123C
to rescind the provisions governing ``Expiration Friday Auxiliary
Procedures for the Opening''. The provisions governing Expiration
Friday are vestigial in that they were created to facilitate a fair and
orderly opening transaction in light of the additional order flow on
Expiration Fridays. Today, modifications to Exchange systems allow the
DMM to accommodate for such fluctuation in volume, thus rendering the
provisions of this section unnecessary. Moreover, the order marking
provisions (i.e., appending the indicator ``OPG'') were an
accommodation to member organizations whose systems were unable to
electronically affix the OPG designation. Today, all Exchange member
organizations are capable of affixing appropriate order designations
rendering these provisions unwarranted. For these reasons the Exchange
believes that the rescission of the Expiration Friday Auxiliary
Procedures for the Opening is appropriate.
    In keeping with the above amendments, the Exchange further seeks to
make the provisions of NYSE Amex Equities Rule 123C govern solely
Market and Limit ``on the Close'' Policy. Therefore, the Exchange
proposes to delete the ``Due Diligence Requirements'' from this rule as
they are redundant provisions that are codified in NYSE Amex Equities
Rule 405 (``Diligence as to Accounts'').
Conclusion
    The Exchange believes that requiring MOC/LOC interest to be
electronically entered will increase the efficiency at the point of
sale. It will provide accurate information faster to market
participants and allow the DMM greater control in active trading
crowds. Furthermore, the Exchange believes that moving the cut-off time
for the entry of MOC/LOC orders from 3:40 p.m. to 3:45 p.m. will allow
Exchange participants greater control of the handling of their orders
to be executed in the closing transaction and greater participation in
active markets. The Exchange further believes that the proposed
amendments to create the CO order will add greater efficiency to the
closing process by providing an additional source of liquidity to
offset an imbalance going into the closing transaction. The proposed
modifications will provide investors with a more accurate depiction of
the market interest prior to the closing transaction thereby allowing
them to make better informed trading decisions.
2. Statutory Basis
    The Exchange believes that its proposal is consistent with Section
6(b) of the Securities Exchange Act of 1934 (the ``Act''),\71\ in
general, and furthers the objectives of Section 6(b)(5) of the Act,\72\
in particular, in that it is designed to prevent fraudulent and
manipulative acts and practices, to promote just and equitable
principles of trade, to remove impediments to and perfect the mechanism
of a free and open market and a national market system, and, in
general, to protect investors and the public interest. The Exchange
believes the proposed rule change will facilitate the timely and
efficient closing of securities on the Exchange by increasing
transparency and providing market participants with an additional
method of offset imbalances prior to the closing transaction that
ultimately serves to protect investors and the public interest.
---------------------------------------------------------------------------

    \71\ 15 U.S.C. 78f(b).
    \72\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.

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

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

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

    Within 35 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date 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 such proposed rule change, or
    (b) institute proceedings to determine whether the proposed rule
change should be disapproved.
    The Exchange has requested accelerated approval of this proposed
rule change prior to the 30th day after the date of publication of the
notice in the Federal Register. The Commission

is considering granting accelerated approval of the proposed rule
change at the end of a 21-day comment period.

 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 e-mail to<EMAIL_ADDRESS>Please include
File Number SR-NYSEAmex-2009-81 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEAmex-2009-81. This
file number should be included on the subject line if e-mail is used.
To help the Commission process and review your comments more
efficiently, please use only one method. The Commission will post all
comments on the Commission's Internet Web site (http://www.sec.gov/
rules/sro.shtml). Copies of the submission, all subsequent amendments,
all written statements with respect to the proposed rule change that
are filed with the Commission, and all written communications relating
to the proposed rule change between the Commission and any person,
other than those that may be withheld from the public in accordance
with the provisions of 5 U.S.C. 552, will be available for inspection
and copying in the Commission's Public Reference Room, on official
business days between the hours of 10 a.m. and 3 p.m. Copies of the
filing also will be available for inspection and copying at the
principal office of the Exchange. All comments received will be posted
without change; the Commission does not edit personal identifying
information from submissions. You should submit only information that
you wish to make available publicly. All submissions should refer to
File Number SR-NYSEAmex-2009-81 and should be submitted on or before
December 8, 2009.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\73\
---------------------------------------------------------------------------

    \73\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-27502 Filed 11-16-09; 8:45 am]

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[Federal Register Volume 80, Number 180 (Thursday, September 17, 2015)]
[Notices]
[Page 55859]
[FR Doc No: 2015-23366]

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DEPARTMENT OF HEALTH AND HUMAN SERVICES

Food and Drug Administration

[Docket No. FDA-2015-N-0001]

Pediatric Oncology Subcommittee of the Oncologic Drugs Advisory
Committee; Notice of Meeting

AGENCY: Food and Drug Administration, HHS.

ACTION: Notice.

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    This notice announces a forthcoming meeting of a public advisory
committee of the Food and Drug Administration (FDA). The meeting will
be open to the public.
    Name of Committee: Pediatric Oncology Subcommittee of the Oncologic
Drugs Advisory Committee.
    General Function of the Committee: To provide advice and
recommendations to the Agency on FDA's regulatory issues.
    Date and Time: The meeting will be held on November 19, 2015, from
8 a.m. to 1 p.m.
    Location: FDA White Oak Campus, 10903 New Hampshire Ave., Bldg. 31
Conference Center, the Great Room (Rm. 1503), Silver Spring, MD 20993-
0002. Answers to commonly asked questions including information
regarding special accommodations due to a disability, visitor parking,
and transportation may be accessed at: http://www.fda.gov/AdvisoryCommittees/AboutAdvisoryCommittees/ucm408555.htm.
    Contact Person: Lauren D. Tesh, Center for Drug Evaluation and
Research, Food and Drug Administration, 10903 New Hampshire Ave., Bldg.
31, Rm. 2417, Silver Spring, MD 20993-0002,<PHONE_NUMBER>, FAX: 301-847-
8533<EMAIL_ADDRESS>or FDA Advisory Committee Information Line, 1-
800-741-8138<PHONE_NUMBER> in the Washington, DC area). A notice in the
Federal Register about last minute modifications that impact a
previously announced advisory committee meeting cannot always be
published quickly enough to provide timely notice. Therefore, you
should always check the Agency's Web site at http://www.fda.gov/AdvisoryCommittees/default.htm and scroll down to the appropriate
advisory committee meeting link, or call the advisory committee
information line to learn about possible modifications before coming to
the meeting.
    Agenda: Information will be presented to gauge investigator
interest in exploring potential pediatric development plans for two
products in various stages of development for adult cancer indications.
The subcommittee will consider and discuss issues concerning diseases
to be studied, patient populations to be included, and possible study
designs in the development of these products for pediatric use. The
discussion will also provide information to the Agency pertinent to the
formulation of written requests for pediatric studies, if appropriate.
The products under consideration are: (1) ABT-414, application
submitted by AbbVie, Inc., and (2) Lenvatinib, application submitted by
Eisai, Inc.
    FDA intends to make background material available to the public no
later than 2 business days before the meeting. If FDA is unable to post
the background material on its Web site prior to the meeting, the
background material will be made publicly available at the location of
the advisory committee meeting, and the background material will be
posted on FDA's Web site after the meeting. Background material is
available at http://www.fda.gov/AdvisoryCommittees/Calendar/default.htm. Scroll down to the appropriate advisory committee meeting
link.
    Procedure: Interested persons may present data, information, or
views, orally or in writing, on issues pending before the subcommittee.
Written submissions may be made to the contact person on or before
November 4, 2015. Oral presentations from the public will be scheduled
between approximately 9:05 a.m. to 9:35 a.m., and 11:30 a.m. to 12
noon. Those individuals interested in making formal oral presentations
should notify the contact person and submit a brief statement of the
general nature of the evidence or arguments they wish to present, the
names and addresses of proposed participants, and an indication of the
approximate time requested to make their presentation on or before
October 27, 2015. Time allotted for each presentation may be limited.
If the number of registrants requesting to speak is greater than can be
reasonably accommodated during the scheduled open public hearing
session, FDA may conduct a lottery to determine the speakers for the
scheduled open public hearing session. The contact person will notify
interested persons regarding their request to speak by October 28,
2015.
    Persons attending FDA's advisory committee meetings are advised
that the Agency is not responsible for providing access to electrical
outlets.
    FDA welcomes the attendance of the public at its advisory committee
meetings and will make every effort to accommodate persons with
disabilities. If you require accommodations due to a disability, please
contact Lauren D. Tesh at least 7 days in advance of the meeting.
    FDA is committed to the orderly conduct of its advisory committee
meetings. Please visit our Web site at http://www.fda.gov/AdvisoryCommittees/AboutAdvisoryCommittees/ucm111462.htm for procedures
on public conduct during advisory committee meetings.
    Notice of this meeting is given under the Federal Advisory
Committee Act (5 U.S.C. app. 2).

    Dated: September 14, 2015.
Jill Hartzler Warner,
Associate Commissioner for Special Medical Programs.
[FR Doc. 2015-23366 Filed 9-16-15; 8:45 am]
BILLING CODE 4164-01-P