82 FR 50472 - Self-Regulatory Organizations; Bats BZX Exchange, Inc.; Notice of Filing of Amendments No. 2 and No. 3, and Order Granting Accelerated Approval of a Proposed Rule Change, as Modified by Amendments No. 2 and No. 3, To List and Trade Shares of the Aptus Fortified Value ETF, a Series of ETF Series Solutions, Under Rule 14.11(c)
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 82, Issue 209 (October 31, 2017)
Federal Register Volume 82, Issue 209 (October 31, 2017)
| Page Range | 50472-50475 | |
| FR Document | 2017-23583 |
[Federal Register Volume 82, Number 209 (Tuesday, October 31, 2017)] [Notices] [Pages 50472-50475] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2017-23583] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-81947; File No. SR-BatsBZX-2017-46] Self-Regulatory Organizations; Bats BZX Exchange, Inc.; Notice of Filing of Amendments No. 2 and No. 3, and Order Granting Accelerated Approval of a Proposed Rule Change, as Modified by Amendments No. 2 and No. 3, To List and Trade Shares of the Aptus Fortified Value ETF, a Series of ETF Series Solutions, Under Rule 14.11(c) October 25, 2017. I. Introduction On July 10, 2017, Bats BZX Exchange, Inc. (``Exchange'') filed with the Securities and Exchange Commission (``Commission''), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to list and trade shares (``Shares'') of the Aptus Fortified Value ETF (``Fund''), a series of ETF Series Solutions (``Trust''), under Rule 14.11(c). The proposed rule change was published for comment in the Federal Register on July 28, 2017.\3\ On August 31, 2017, the Exchange filed Amendment No. 1 to the proposed rule change. On September 8, 2017, pursuant to Section 19(b)(2) of the Act,\4\ the Commission designated a longer period within which to approve the proposed rule change, disapprove the proposed rule change, or institute proceedings to determine whether to disapprove the proposed rule change.\5\ On October 6, 2017, the Exchange filed Amendment No. 2 to the proposed rule change, which replaced the proposed rule change, as modified by Amendment No. 1, in its entirety.\6\ On October 24, [[Page 50473]] 2017, the Exchange filed Amendment No. 3 to the proposed rule change.\7\ The Commission received no comments on the proposal. The Commission is publishing this notice to solicit comments on Amendments No. 2 and No. 3 from interested persons, and is approving the proposed rule change, as modified by Amendments No. 2 and No. 3, on an accelerated basis. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. \3\ See Securities Exchange Act Release No. 81191 (July 24, 2017), 82 FR 35256. \4\ 15 U.S.C. 78s(b)(2). \5\ See Securities Exchange Act Release No. 81558, 82 FR 43278 (September 14, 2017). \6\ In Amendment No. 2, the Exchange: (1) Provided additional information regarding the Adviser (as defined below), the Index Provider (as defined below), and the index calculation agent; (2) amended and provided additional discussions regarding constituents of the Aptus Fortified Value Index (``Index'') and permitted holdings of the Fund; (3) clarified the types of statements and representations made in the proposal that will constitute continued listing requirements; and (4) made other technical, non-substantive, and conforming changes. Amendment No. 2 is available at: https://www.sec.gov/comments/sr-batsbzx-2017-46/batsbzx201746-2630920-161197.pdf. \7\ In Amendment No. 3, the Exchange: (1) Clarified that all securities included in the Index--rather than held by the Fund--are listed on U.S. securities exchanges that are members of the Intermarket Surveillance Group (``ISG''); and (2) clarified the Fund's compliance with various applicable requirements. Amendment No. 3 is available at: https://www.sec.gov/comments/sr-batsbzx-2017-46/batsbzx201746-2651203-161342.pdf. --------------------------------------------------------------------------- II. Description of the Proposed Rule Change, as Modified by Amendments No. 2 and No. 3 The Exchange proposes to list and trade the Shares under Rule 14.11(c)(3), which governs the listing and trading of Index Fund Shares on the Exchange. The Shares will be offered by the Trust, which was established as a Delaware statutory trust on February 9, 2012. The Trust is registered with the Commission as an open-end investment company and has filed a registration statement on behalf of the Fund on Form N-1A (``Registration Statement'') with the Commission.\8\ Aptus Capital Advisors, LLC (``Adviser'' or ``Index Provider'') serves as investment adviser and index provider to the Fund. The Index Provider is not a broker-dealer and is not affiliated with a broker-dealer. The Index Provider will implement and maintain a ``fire wall'' around the personnel who have access to information concerning changes and adjustments to the Index. The Index is calculated by an unaffiliated third party who is not a broker-dealer or fund advisor. In addition, any advisory committee, supervisory board, or similar entity that advises the Index Provider or that makes decisions on the Index or portfolio composition, methodology and related matters, will implement and maintain, or be subject to, procedures designed to prevent the use and dissemination of material non-public information regarding the Index. --------------------------------------------------------------------------- \8\ See Registration Statement on Form N-1A for the Trust, dated June 8, 2017 (File Nos. 333-179562 and 811-22668). According to the Exchange, the Commission has issued an order, upon which the Trust may rely, granting certain exemptive relief under the Investment Company Act of 1940. See Investment Company Act Release No. 32110 (May 10, 2016) (File No. 812-14604). --------------------------------------------------------------------------- The Fund will seek to track the performance, before fees and expenses, of the Aptus Fortified Value Index. According to the Exchange, the Index does not meet all of the generic listing requirements of Rule 14.11(c)(3)(A)(i). Specifically, Rule 14.11(c)(3)(A)(i) sets forth the requirements for components of an index or portfolio of U.S. Component Stocks, but the Index may include put options, which are not included in the definition of U.S. Component Stocks.\9\ The Index will otherwise conform to the initial and continued listing criteria under Rule 14.11(c). --------------------------------------------------------------------------- \9\ A ``U.S. Component Stock'' is an equity security that is registered under Sections 12(b) or 12(g) of the Act, or an American Depositary Receipt, the underlying equity security of which is registered under Sections 12(b) or 12(g) of the Act. See Rule 14.11(c)(1)(D). --------------------------------------------------------------------------- According to the Exchange, the Index is a rules-based, equal- weighted index that is designed to gain exposure to 50 of the most undervalued U.S.-listed common stocks and real estate investment trusts (``REITs''), while hedging against significant U.S. equity market declines when the market is overvalued. More specifically, the Index is composed of an equity component of 50 common stocks and REITs \10\ and, when the Index determines that the U.S. equity market is overvalued, a ``tail hedge'' component of long put options on a large, highly liquid ETF \11\ listed on a national securities exchange that tracks the performance of the large-cap U.S. equity market (``Underlying ETF'').\12\ All of the securities included in the Index are and will be listed on U.S. exchanges, and all such exchanges are members of the ISG. --------------------------------------------------------------------------- \10\ The equity component of the Index will meet the requirements of Rule 14.11(c)(3)(A)(i). \11\ ETF includes Portfolio Depositary Receipts and Index Fund Shares, as defined in Rules 14.11(b) and 14.11(c), respectively, or their equivalents on other national securities exchanges. \12\ The large-cap U.S. equity market tracking ETF with the highest average daily options volume (as determined annually by the Index rules) will be the Underlying ETF. --------------------------------------------------------------------------- When the tail hedge is not in effect, the Index will be composed 100% of the equity component. At the time the tail hedge is implemented, the Index will be composed 99.5% of the equity component and 0.50% the tail hedge (based on the theoretical dollar value of the Index at the time that the options are added to the Index). Any tail hedge implementation will occur on the last business day of the applicable month.\13\ At the time the tail hedge is implemented, the put options on the Underlying ETF will have an expiration date of approximately three months from the date the tail hedge is implemented, and the strike price will be approximately 30% less than the most recent closing price of the Underlying ETF. --------------------------------------------------------------------------- \13\ On the last business day of each month, any options held by the Index are removed. If the tail hedge will not be in effect for the following month, the weight of such options, if any, will be reallocated pro rata to the securities in the Index's equity component. If the tail hedge will continue in effect for the following month, the Index is rebalanced such that the tail hedge (with new options purchased) has a weight of 0.50% and the equity component securities are adjusted up or down pro rata to have a weight of 99.5%. --------------------------------------------------------------------------- According to the Exchange, the Fund may hold: (1) Securities that are possible constituents of the Index; (2) cash and cash equivalents; \14\ (3) U.S. Government securities, including bills, notes, and bonds differing as to maturity and rates of interest, which are either issued or guaranteed by the U.S. Treasury or by U.S. Government agencies or instrumentalities; and (4) other ETFs.\15\ --------------------------------------------------------------------------- \14\ Cash equivalents include short-term instruments (instruments with maturities of less than 3 months) of the following types: (1) U.S. Government securities, including bills, notes, and bonds differing as to maturity and rates of interest, which are either issued or guaranteed by the U.S. Treasury or by U.S. Government agencies or instrumentalities; (2) certificates of deposit issued against funds deposited in a bank or savings and loan association; (3) bankers' acceptances, which are short-term credit instruments used to finance commercial transactions; (4) repurchase agreements and reverse repurchase agreements; (5) bank time deposits, which are monies kept on deposit with banks or savings and loan associations for a stated period of time at a fixed rate of interest; (6) commercial paper, which are short-term unsecured promissory notes; and (7) money market funds. \15\ These ETFs include Portfolio Depository Receipts (as described in Rule 14.11(b)), Index Fund Shares (as described in Rule 14.11(c)), and Managed Fund Shares (as described in Rule 14.11(i)). The ETFs in which the Fund may invest all will be listed and traded in the U.S. on national securities exchanges. The Fund may invest in inverse ETFs, but will not invest in leveraged (e.g., 2X, -2X, 3X, or -3X) ETFs. --------------------------------------------------------------------------- III. Discussion and Commission Findings After careful review, the Commission finds that the proposed rule change, as modified by Amendments No. 2 and No. 3, is consistent with the Act and the rules and regulations thereunder applicable to a national securities exchange.\16\ In particular, the Commission finds that the proposal is consistent with Section 6(b)(5) of the [[Page 50474]] Act,\17\ which requires, among other things, that the Exchange's rules be designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. --------------------------------------------------------------------------- \16\ In approving this proposed rule change, the Commission has considered the proposed rule's impact on efficiency, competition, and capital formation. See 15 U.S.C. 78c(f). \17\ 15 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- The Commission notes that, except for the options position that may be included in the Index (the aggregate market value of which is capped at 0.50% of the theoretical dollar value of the Index at the time that the options are added to the Index),\18\ the Index will satisfy, on an initial and continued listing basis, all of the generic listing standards under Rule 14.11(c)(3)(A)(i). All of the securities included in the Index are and will be listed on U.S. securities exchanges, and all such exchanges are members of the ISG. Moreover, the Fund may hold only the following: Securities that are possible constituents of the Index (all of which will be listed on U.S. securities exchanges); cash; cash equivalents; U.S. Government securities; and other ETFs (all of which will be listed on U.S. securities exchanges). --------------------------------------------------------------------------- \18\ As noted above, the options will overlie a large, highly liquid ETF listed on a national securities exchange that tracks the performance of the large-cap U.S. equity market. --------------------------------------------------------------------------- The Exchange states that its surveillance procedures are adequate to properly monitor the trading of the Shares on the Exchange during all trading sessions and to deter and detect violations of Exchange rules and the applicable Federal securities laws. The Exchange also states that it may obtain information regarding trading in the Shares and the underlying equities and options contracts held by the Fund and included in the Index via the ISG from other exchanges who are members or affiliates of the ISG or with which the Exchange has entered into a comprehensive surveillance sharing agreement. The Fund will meet and be subject to the requirements of Rule 14.11(c), and other applicable requirements for Index Fund Shares based on a U.S. equity index or portfolio, including, but not limited to, requirements relating to the dissemination of key information such as the Net Asset Value, the Intraday Indicative Value, rules governing the trading of equity securities, trading hours, trading halts, surveillance, and the information circular, as set forth in Exchange rules applicable to Index Fund Shares and the orders approving such rules. In addition, for initial and/or continued listing, the Fund must be in compliance with Rule 10A-3 under the Act.\19\ --------------------------------------------------------------------------- \19\ 17 CFR 240.10A-3. --------------------------------------------------------------------------- The Exchange represents that all statements and representations regarding the index composition, the description of the portfolio or reference assets, limitations on portfolio holdings or reference assets, dissemination and availability of index, reference assets, and intraday indicative values, and the applicability of Exchange listing rules specified in the filing constitute continued listing requirements for the Fund. The issuer has represented to the Exchange that it will advise the Exchange of any failure by the Fund or the Shares to comply with the continued listing requirements. Pursuant to its obligations under Section 19(g)(1) of the Act, the Exchange will surveil for compliance with the continued listing requirements. If the Fund or the Shares are not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under Rule 14.12. This approval order is based on all of the Exchange's statements and representations, including those set forth above and in Amendments No. 2 and No. 3. For the foregoing reasons, the Commission finds that the proposed rule change, as modified by Amendments No. 2 and No. 3, is consistent with Section 6(b)(5) of the Act \20\ and the rules and regulations thereunder applicable to a national securities exchange. --------------------------------------------------------------------------- \20\ 15 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- IV. Solicitation of Comments on Amendments No. 2 and No. 3 to the Proposed Rule Change Interested persons are invited to submit written data, views, and arguments concerning whether Amendments No. 2 and No. 3 are consistent with the Act. Comments may be submitted by any of the following methods: Electronic CommentsUse the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or Send an email to [email protected]. Please include File Number SR-BatsBZX-2017-46 on the subject line. Paper Comments Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-BatsBZX-2017-46. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission's Public Reference Room, 100 F Street NE., Washington, DC 20549, on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of the filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change. Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-BatsBZX-2017-46, and should be submitted on or before November 21, 2017. V. Accelerated Approval of Proposed Rule Change, as Modified by Amendments No. 2 and No. 3 The Commission finds good cause to approve the proposed rule change, as modified by Amendments No. 2 and No. 3, prior to the thirtieth day after the date of publication of notice of the filing of Amendments No. 2 and No. 3 in the Federal Register. The Commission believes that Amendments No. 2 and No. 3 supplement the proposed rule change by providing clarification and additional information regarding the Index and the Fund.\21\ The changes and additional information helped the Commission to evaluate the Shares' susceptibility to manipulation, and whether the listing and trading of the Shares would be consistent with the protection of investors and the public interest. Accordingly, the Commission finds good cause, pursuant to Section 19(b)(2) of the Act,\22\ to approve the [[Page 50475]] proposed rule change, as modified by Amendments No. 2 and No. 3, on an accelerated basis. --------------------------------------------------------------------------- \21\ See supra notes 6 and 7. \22\ 15 U.S.C. 78s(b)(2). --------------------------------------------------------------------------- VI. Conclusion It is therefore ordered, pursuant to Section 19(b)(2) of the Act,\23\ that the proposed rule change (SR-BatsBZX-2017-46), as modified by Amendments No. 2 and No. 3 be, and it hereby is, approved on an accelerated basis. --------------------------------------------------------------------------- \23\ Id. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\24\ --------------------------------------------------------------------------- \24\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017-23583 Filed 10-30-17; 8:45 am] BILLING CODE 8011-01-P
![50472 Federal Register / Vol. 82, No. 209 / Tuesday, October 31, 2017 / Notices
Finally, the Exchange further believes Necessary or appropriate in the public Number SR–ISE–2017–93 and should be
that the proposed change is not unfairly interest; (ii) for the protection of submitted on or before November 21,
discriminatory because it applies investors; or (iii) otherwise in 2017.
equally to all members and ADV furtherance of the purposes of the Act. For the Commission, by the Division of
calculations. If the Commission takes such action, the Trading and Markets, pursuant to delegated
The proposed rule change is designed Commission shall institute proceedings authority.20
adopt a new provision covering the to determine whether the proposed rule Eduardo A. Aleman,
Market Make Plus tier calculation. The should be approved or disapproved. Assistant Secretary.
proposed language for removing a day
from the Market Maker Plus tier IV. Solicitation of Comments [FR Doc. 2017–23580 Filed 10–30–17; 8:45 am]
BILLING CODE 8011–01–P
calculation mirrors the language Interested persons are invited to
currently in place for the ADV submit written data, views, and
calculation, except that the Exchange arguments concerning the foregoing,
SECURITIES AND EXCHANGE
proposes that it will not remove days including whether the proposed rule
COMMISSION
where the Exchange closes early for change is consistent with the Act.
holiday observance. While Market Comments may be submitted by any of [Release No. 34–81947; File No. SR–
Makers can plan for known events, such the following methods: BatsBZX–2017–46]
as a holiday, they are unable to plan for Electronic Comments Self-Regulatory Organizations; Bats
market events which may close the
market for part of a trading day. The • Use the Commission’s Internet BZX Exchange, Inc.; Notice of Filing of
comment form (http://www.sec.gov/ Amendments No. 2 and No. 3, and
Exchange believes that permitting the Order Granting Accelerated Approval
exception for the unanticipated event rules/sro.shtml); or
• Send an email to rule-comments@ of a Proposed Rule Change, as
therefore provides flexibility to Market Modified by Amendments No. 2 and
sec.gov. Please include File Number SR–
Makers in anticipating where to send No. 3, To List and Trade Shares of the
ISE–2017–93 on the subject line.
order flow. The Exchange desires to Aptus Fortified Value ETF, a Series of
incentivize Market Makers to send order Paper Comments ETF Series Solutions, Under Rule
flow to ISE to meet their tier • Send paper comments in triplicate 14.11(c)
requirements. The Exchange believes to Secretary, Securities and Exchange
that the proposed modifications to its Commission, 100 F Street NE., October 25, 2017.
ADV and Market Maker Plus tier Washington, DC 20549–1090. I. Introduction
calculations are pro-competitive and All submissions should refer to File
will result in lower total costs to end On July 10, 2017, Bats BZX Exchange,
Number SR–ISE–2017–93. This file Inc. (‘‘Exchange’’) filed with the
users, a positive outcome of competitive number should be included on the
markets. Securities and Exchange Commission
subject line if email is used. To help the (‘‘Commission’’), pursuant to Section
The Exchange operates in a highly
Commission process and review your 19(b)(1) of the Securities Exchange Act
competitive market in which market
comments more efficiently, please use of 1934 (‘‘Act’’) 1 and Rule 19b–4
participants can readily direct their
only one method. The Commission will thereunder,2 a proposed rule change to
order flow to competing venues. In such
post all comments on the Commission’s list and trade shares (‘‘Shares’’) of the
an environment, the Exchange must
Internet Web site (http://www.sec.gov/ Aptus Fortified Value ETF (‘‘Fund’’), a
continually review, and consider
rules/sro.shtml). Copies of the series of ETF Series Solutions (‘‘Trust’’),
adjusting, its fees and rebates to remain
submission, all subsequent under Rule 14.11(c). The proposed rule
competitive with other exchanges. For
amendments, all written statements change was published for comment in
the reasons described above, the
with respect to the proposed rule the Federal Register on July 28, 2017.3
Exchange believes that the proposed fee
change that are filed with the On August 31, 2017, the Exchange filed
changes reflect this competitive
Commission, and all written Amendment No. 1 to the proposed rule
environment.
communications relating to the change. On September 8, 2017, pursuant
C. Self-Regulatory Organization’s proposed rule change between the to Section 19(b)(2) of the Act,4 the
Statement on Comments on the Commission and any person, other than Commission designated a longer period
Proposed Rule Change Received From those that may be withheld from the within which to approve the proposed
Members, Participants, or Others public in accordance with the rule change, disapprove the proposed
No written comments were either provisions of 5 U.S.C. 552, will be rule change, or institute proceedings to
solicited or received. available for Web site viewing and determine whether to disapprove the
printing in the Commission’s Public proposed rule change.5 On October 6,
III. Date of Effectiveness of the Reference Room, 100 F Street NE., 2017, the Exchange filed Amendment
Proposed Rule Change and Timing for Washington, DC 20549, on official No. 2 to the proposed rule change,
Commission Action business days between the hours of which replaced the proposed rule
The foregoing rule change has become 10:00 a.m. and 3:00 p.m. Copies of the change, as modified by Amendment
effective pursuant to Section filing also will be available for No. 1, in its entirety.6 On October 24,
19(b)(3)(A)(ii) of the Act 18 and Rule inspection and copying at the principal
asabaliauskas on DSKBBXCHB2PROD with NOTICES
19b–4(f)(2) 19 thereunder. At any time office of the Exchange. All comments 20 17 CFR 200.30–3(a)(12).
within 60 days of the filing of the received will be posted without change. 1 15 U.S.C. 78s(b)(1).
proposed rule change, the Commission Persons submitting comments are 2 17 CFR 240.19b–4.
summarily may temporarily suspend cautioned that we do not redact or edit 3 See Securities Exchange Act Release No. 81191
personal identifying information from (July 24, 2017), 82 FR 35256.
such rule change if it appears to the 4 15 U.S.C. 78s(b)(2).
Commission that such action is: (i) comment submissions. You should 5 See Securities Exchange Act Release No. 81558,
submit only information that you wish 82 FR 43278 (September 14, 2017).
18 15 U.S.C. 78s(b)(3)(A)(ii). to make available publicly. All 6 In Amendment No. 2, the Exchange: (1)
19 17 CFR 240.19b–4(f)(2). submissions should refer to File Provided additional information regarding the
VerDate Sep<11>2014 17:37 Oct 30, 2017 Jkt 244001 PO 00000 Frm 00102 Fmt 4703 Sfmt 4703 E:\FR\FM\31OCN1.SGM 31OCN1](https://thefederalregister.org/doc/82_FR_50681/page/1.svg)
![Federal Register / Vol. 82, No. 209 / Tuesday, October 31, 2017 / Notices 50475
proposed rule change, as modified by II. Self-Regulatory Organization’s increased (decreased), by the greater of
Amendments No. 2 and No. 3, on an Statement of the Purpose of, and $0.15 or the specified percentage.
accelerated basis. Statutory Basis for, the Proposed Rule • Limit Order Price Protection: The
Change Exchange proposes to amend Rule
VI. Conclusion
In its filing with the Commission, the 7.31E(a)(2)(B) to introduce the same
It is therefore ordered, pursuant to
self-regulatory organization included proposed minimum dollar threshold
Section 19(b)(2) of the Act,23 that the
statements concerning the purpose of, that is specified above for the Trading
proposed rule change (SR–BatsBZX–
and basis for, the proposed rule change Collar, of $0.15, into the Limit Order
2017–46), as modified by Amendments
and discussed any comments it received Price Protection calculation.
No. 2 and No. 3 be, and it hereby is,
on the proposed rule change. The text Accordingly, the proposed rule would
approved on an accelerated basis.
of those statements may be examined at provide that a Limit Order to buy (sell)
For the Commission, by the Division of the places specified in Item IV below. would be rejected if it was priced at or
Trading and Markets, pursuant to delegated The Exchange has prepared summaries,
authority.24 above (below) the greater of $0.15 or a
set forth in sections A, B, and C below, specified percentage away from the
Eduardo A. Aleman, of the most significant parts of such NBO (NBB). The Exchange believes that
Assistant Secretary. statements. the introduction of a minimum dollar
[FR Doc. 2017–23583 Filed 10–30–17; 8:45 am]
A. Self-Regulatory Organization’s threshold enhances the Limit Order
BILLING CODE 8011–01–P
Statement of the Purpose of, and the Price Protection and encourages price
Statutory Basis for, the Proposed Rule continuity specifically in lower priced
SECURITIES AND EXCHANGE Change illiquid securities.
COMMISSION 1. Purpose The Exchange believes that adding a
minimum dollar threshold to the
[Release No. 34–81943; File No. SR– The Exchange proposes to amend
NYSEAMER–2017–25] Trading Collar and Limit Order Price
NYSE American Equities Rules 7.31E Protection calculations would enhance
(Orders and Modifiers) (‘‘Rule 7.31E’’) to the respective price protection
Self-Regulatory Organizations; NYSE establish a minimum dollar threshold
American LLC; Notice of Filing and mechanisms for securities with a
into the price protection mechanisms
Immediate Effectiveness of Proposed consolidated last sale price below $1.50
provided for in the rule.
Rule Change To Amend NYSE because using the current 10 percent
American Equities Rules 7.31E To Background multiplier for such securities would
Establish a Minimum Dollar Threshold Rule 7.31E(a)(1)(B) describes the price result in too narrow of a price protection
Into the Price Protection Mechanisms protection mechanism for Market mechanism. This proposed rule change
Orders, i.e., Trading Collars. Currently, is consistent with how other exchanges
October 25, 2017.
Rule 7.31E(a)(1)(B)(i) provides that the specify static price collar thresholds for
Pursuant to Section 19(b)(1) 1 of the lower-price securities. For example,
Securities Exchange Act of 1934 (the Trading Collar will be based on a price
that is a specified percentage away from NYSE Arca, Inc. (‘‘NYSE Arca’’) Rule
‘‘Act’’) 2 and Rule 19b–4 thereunder,3
the consolidated last sale price. Rule 7.35–E(e)(7) 4 provides that for securities
notice is hereby given that on October
7.31E(a)(1)(B)(i) further provides that with a consolidated last sale price under
13, 2017, NYSE American LLC (the
the upper (lower) boundary of the $3.00, the price collar threshold for
‘‘Exchange’’ or ‘‘NYSE American’’) filed
Trading Collar is the consolidated last auction collars would be a static $0.15
with the Securities and Exchange
sale price increased (decreased) by the instead of 5 percent.5
Commission (the ‘‘Commission’’) the
proposed rule change as described in specified percentage truncated to the In addition, the Exchange proposes to
Items I and II below, which Items have minimum price variation (‘‘MPV’’) for replace the word ‘‘truncated’’ with the
been prepared by the self-regulatory the security. words ‘‘rounded down’’ 6 in Rule
Additionally, Rule 7.31E(a)(2)(B) 7.31E(a)(1)(B)(i). The Exchange that
organization. The Commission is
(‘‘Limit Order Price Protection’’) believes that conforming the
publishing this notice to solicit
provides the price protection terminology used within Rule 7.31E 7
comments on the proposed rule change
mechanism for Limit Orders and that a and elsewhere in Exchange’s rules
from interested persons.
Limit Order to buy (sell) will be rejected promotes clarity and transparency.
I. Self-Regulatory Organization’s if it is priced at or above (below) a
Statement of the Terms of Substance of specified percentage away from the 4 See Securities Exchange Act Release No. 79846
the Proposed Rule Change National Best Offer (National Best Bid) (January 19, 2017), 82 FR 8548 (January 26, 2017)
The Exchange proposes to amend (‘‘NBO’’ and ‘‘NBB’’, respectively). (SR–NYSEArca–2016–130).
5 See also Nasdaq Stock Market LLC (‘‘Nasdaq’’)
NYSE American Equities Rules 7.31E Proposed Changes Rule 4703(d) (providing that ‘‘any portion of a
(Orders and Modifiers) to establish a
• Trading Collar: The Exchange Primary Pegging Order or Market Pegging Order that
minimum dollar threshold into the price would execute . . . at a price more than $0.25 or
proposes to amend Rule 7.31E(a)(1)(B)(i)
protection mechanisms provided for in 5 percent worse that the NBBO . . . will be
to introduce a minimum dollar cancelled)’’ and Bats BZX Exchange, Inc. (‘‘Bats’’)
the rule. The proposed rule change is
threshold, of $0.15, into the calculation Rule 27.2, Interpretations and Policies .01 and Bats
available on the Exchange’s Web site at Rule 11.13 (stating that Bats ‘‘will not execute any
asabaliauskas on DSKBBXCHB2PROD with NOTICES
of the Trading Collar. As such, the
www.nyse.com, at the principal office of portion of a bid at a price more than the greater of
proposed rule would provide that the
the Exchange, and at the Commission’s 5 cents or 0.5 percent higher than the lowest
Trading Collar would be based on a Protected Offer’’).
Public Reference Room.
price that is the greater of $0.15 or a 6 See Rule 7.46E(f)(2)(A), which provides that
23 Id. specified percentage away from the references to truncating to the MPV in Exchange
consolidated last sale price. rules instead mean rounding down to the applicable
24 17 CFR 200.30–3(a)(12). quoting MPV.
1 15 U.S.C.78s(b)(1). Accordingly, the upper (lower) 7 See Rule 7.31E(a)(2)(B) which provides that
2 15 U.S.C. 78a. boundary of the Trading Collar would ‘‘Limit Order Price Protection will be rounded
3 17 CFR 240.19b–4. be the consolidated last sale price down to the nearest price at the applicable MPV.’’
VerDate Sep<11>2014 17:37 Oct 30, 2017 Jkt 244001 PO 00000 Frm 00105 Fmt 4703 Sfmt 4703 E:\FR\FM\31OCN1.SGM 31OCN1](https://thefederalregister.org/doc/82_FR_50681/page/4.svg)
Document Created: 2018-10-25 10:19:25
Document Modified: 2018-10-25 10:19:25
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
| Publisher | Office of the Federal Register, National Archives and Records Administration | |
| Section | Notices | |
| FR Citation | 82 FR 50472 |
2025 Federal Register | Disclaimer | Privacy Policy
USC | CFR | eCFR