83 FR 53923 - Self-Regulatory Organizations; The Nasdaq Stock Market LLC; Order Approving Proposed Rule Change, as Modified by Amendment No. 1, To Extend the Cutoff Times for Accepting on Close Orders Entered for Participation in the Nasdaq Closing Cross and To Make Related Changes
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 83, Issue 207 (October 25, 2018)
Federal Register Volume 83, Issue 207 (October 25, 2018)
| Page Range | 53923-53925 | |
| FR Document | 2018-23277 |
[Federal Register Volume 83, Number 207 (Thursday, October 25, 2018)] [Notices] [Pages 53923-53925] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2018-23277] [[Page 53923]] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-84454; File No. SR-NASDAQ-2018-068] Self-Regulatory Organizations; The Nasdaq Stock Market LLC; Order Approving Proposed Rule Change, as Modified by Amendment No. 1, To Extend the Cutoff Times for Accepting on Close Orders Entered for Participation in the Nasdaq Closing Cross and To Make Related Changes October 19, 2018. I. Introduction On August 15, 2018, The Nasdaq Stock Market LLC (``Nasdaq'' or ``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 extend the cutoff times for accepting on close orders entered for participation in the Nasdaq Closing Cross and to make related changes. The proposed rule change was published for comment in the Federal Register on September 5, 2018.\3\ On October 15, 2018, the Exchange filed Amendment No. 1 to the proposed rule change, which amended and superseded the original filing in its entirety.\4\ The Commission has received no comments on the proposed rule change. This order approves the proposed rule change, as modified by Amendment No. 1. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. \3\ See Securities Exchange Act Release No. 83988 (August 29, 2018), 83 FR 45165. \4\ In Amendment No. 1, the Exchange: (1) Proposed conforming changes to Nasdaq Rule 7018(a)(3) to reflect the proposed cutoff times and provided additional discussion regarding the proposed changes to Nasdaq Rule 7018(a); (2) proposed to implement the proposal in Q4 2018; and (3) made other technical changes. Because Amendment No. 1 does not materially alter the substance of the proposed rule change or raise unique or novel regulatory issues, Amendment No. 1 is not subject to notice and comment. Amendment No. 1 is available at https://www.sec.gov/comments/sr-nasdaq-2018-068/srnasdaq2018068-4523622-176030.pdf. --------------------------------------------------------------------------- II. Description of the Proposed Rule Change, as Modified by Amendment No. 1 5 --------------------------------------------------------------------------- \5\ For a more detailed description of the proposal, see Amendment No. 1, supra note 4. --------------------------------------------------------------------------- The Exchange proposes to amend certain cutoff times for on close orders entered for participation in the Nasdaq Closing Cross, to reject Closing Cross/Extended Hours Orders \6\ that have been assigned a Pegging Attribute \7\ regardless of when such orders are entered, and to make changes to the Order Imbalance Indicator. --------------------------------------------------------------------------- \6\ See infra note 18. \7\ See infra note 19. --------------------------------------------------------------------------- A. Nasdaq Closing Cross Cutoff Times Nasdaq Rule 4702(b)(11) currently provides that Market On Close (``MOC'') Orders \8\ may be entered, cancelled, and/or modified between 4 a.m. ET and immediately prior to 3:50 p.m. ET. MOC Orders entered after 3:50 p.m. ET are rejected. Between 3:50 p.m. ET and immediately prior to 3:55 p.m. ET, MOC Orders can be cancelled and/or modified only if the participant requests that Nasdaq correct a legitimate error in the order (e.g., side, size, symbol, price, or duplication of an order). MOC orders cannot be cancelled or modified for any reason at or after 3:55 p.m. ET. --------------------------------------------------------------------------- \8\ A MOC Order is an order type entered without a price that may be executed only during the Nasdaq Closing Cross. See Nasdaq Rule 4702(b)(11)(A). --------------------------------------------------------------------------- Nasdaq Rule 4702(b)(12) currently provides that Limit On Close (``LOC'') Orders \9\ may be entered, cancelled, and/or modified between 4 a.m. ET and immediately prior to 3:50 p.m. ET. LOC Orders may be entered between 3:50 p.m. ET and immediately prior to 3:55 p.m. ET provided that there is a First Reference Price.\10\ LOC Orders entered at or after 3:55 p.m. ET are rejected.\11\ Between 3:50 p.m. ET and immediately prior to 3:55 p.m. ET, LOC orders cannot be modified, and they can be cancelled only if the participant requests that Nasdaq correct a legitimate error in the order. --------------------------------------------------------------------------- \9\ A LOC Order is an order type entered with a price that may be executed only in the Nasdaq Closing Cross, and only if the price determined by the Nasdaq Closing Cross is equal to or better than the price at which the LOC Order was entered. See Nasdaq Rule 4702(b)(12)(A). \10\ A LOC Order entered between 3:50 p.m. ET and immediately prior to 3:55 p.m. ET is accepted at its limit price, unless its limit price is higher (lower) than the First Reference Price for a LOC Order to buy (sell), in which case the participant has the choice to have the order rejected or re-priced to the First Reference Price. The First Reference Price is the Current Reference Price in the first Order Imbalance Indicator disseminated at or after 3:50 p.m. ET. See Nasdaq Rule 4754(a)(9). \11\ Nasdaq Rule 4702(b)(12)(B) provides that a Closing Cross/ Extended Hours Order entered through OUCH, FLITE, RASH, or FIX with a time-in-force other than immediate-or-cancel after the time of the Nasdaq Closing Cross will be accepted but the Nasdaq Closing Cross flag will be ignored. All other Closing Cross/Extended Hours Orders entered at or after 3:55 p.m. ET are rejected. --------------------------------------------------------------------------- Nasdaq Rule 4702(b)(13) currently provides that Imbalance Only (``IO'') Orders \12\ may be entered between 4:00 a.m. ET until the time of execution of the Nasdaq Closing Cross.\13\ IO Orders may be cancelled and/or modified between 3:50 p.m. ET and immediately prior to 3:55 p.m. ET if the participant requests that Nasdaq correct a legitimate error in the order. IO Orders may not be cancelled or modified for any reason at or after 3:55 p.m. ET. --------------------------------------------------------------------------- \12\ An IO Order is an order entered with a price that may be executed only in the Nasdaq Closing Cross and only against MOC Orders or LOC Orders. See Nasdaq Rule 4702(b)(13)(A). \13\ The Nasdaq Closing Cross begins at 4:00:00 p.m. ET and post-market hours trading commences when the Nasdaq Closing Cross concludes. See Nasdaq Rule 4754(b). --------------------------------------------------------------------------- The Exchange now proposes to amend these cutoff times. As proposed, Nasdaq Rule 4702(b)(11) would provide that MOC Orders may be entered, cancelled, and/or modified between 4 a.m. ET and immediately prior to 3:55 p.m. ET. MOC Orders entered at or after 3:55 p.m. ET would be rejected. Between 3:55 p.m. ET and immediately prior to 3:58 p.m. ET, MOC Orders could be cancelled and/or modified only if the participant requests that Nasdaq correct a legitimate error in the order. MOC orders could not be cancelled or modified for any reason at or after 3:58 p.m. ET. As proposed, Nasdaq Rule 4702(b)(12) would provide that LOC Orders may be entered, cancelled, and/or modified between 4 a.m. ET and immediately prior to 3:55 p.m. ET. LOC Orders could be entered between 3:55 p.m. ET and immediately prior to 3:58 p.m. ET provided that there is a First Reference Price.\14\ LOC Orders entered at or after 3:58 p.m. ET would be rejected.\15\ Between 3:55 p.m. ET and immediately prior to 3:58 p.m. ET, LOC orders could not be modified, and they could be cancelled only if the participant requests that Nasdaq correct a legitimate error in the order. As proposed, Nasdaq Rule 4702(b)(13) \16\ would provide that IO Orders may be cancelled and/or modified between 3:55 p.m. ET and immediately prior to 3:58 p.m. ET if the participant requests that Nasdaq correct a legitimate error in the order. IO Orders could not be cancelled or modified for any reason at or after 3:58 p.m. ET. --------------------------------------------------------------------------- \14\ As proposed, a LOC Order entered between 3:55 p.m. ET and immediately prior to 3:58 p.m. ET would be accepted at its limit price, unless its limit price is higher (lower) than the First Reference Price for a LOC Order to buy (sell), in which case the participant would have the choice to have the order rejected or re- priced to the First Reference Price. \15\ Nasdaq Rule 4702(b)(12)(B) continues to provide that a Closing Cross/Extended Hours Order entered through OUCH, FLITE, RASH, or FIX with a time-in-force other than immediate-or-cancel after the time of the Nasdaq Closing Cross will be accepted but the Nasdaq Closing Cross flag will be ignored. As proposed, all other Closing Cross/Extended Hours Orders entered at or after 3:58 p.m. ET would be rejected. \16\ Unchanged from the current rule, IO Orders may be entered between 4:00 a.m. ET until the time of execution of the Nasdaq Closing Cross. --------------------------------------------------------------------------- [[Page 53924]] The Exchange also proposes to make conforming changes throughout its rules to reflect the proposed cutoff times.\17\ --------------------------------------------------------------------------- \17\ Specifically, the Exchange proposes to make conforming changes to Nasdaq Rule 4754(b)(7)(B) and Nasdaq Rules 7018(a)(1), (2), and (3) to reflect the proposed cutoff times. --------------------------------------------------------------------------- B. Closing Cross/Extended Hours Order With Pegging Attribute Nasdaq Rule 4702(b)(12)(B) currently provides that a Closing Cross/ Extended Hours Order \18\ that is entered between 3:50 p.m. ET and the time of the Nasdaq Closing Cross will be rejected if it has been assigned a Pegging Attribute.\19\ The Exchange proposes to delete the reference in this rule to the time period between 3:50 p.m. ET and the time of the Nasdaq Closing Cross. Therefore, as proposed, a Closing Cross/Extended Hours Order would be rejected if it has been assigned a Pegging Attribute regardless of when the order is entered. --------------------------------------------------------------------------- \18\ A Closing Cross/Extended Hours Order is an order that is flagged to participate in the Nasdaq Closing Cross and that has a time-in-force that continues after the time of the Nasdaq Closing Cross. See Nasdaq Rule 4702(b)(12)(B). A Closing Cross/Extended Hours Order participates in the Nasdaq Closing Cross like a LOC Order, and it operates thereafter in accordance with its order type and order attributes (if not executed in full in the Nasdaq Closing Cross). See id. \19\ Pegging is an order attribute that allows an order to have its price automatically set with reference to the national best bid or offer and is available only during Market Hours. See Nasdaq Rule 4703(d). --------------------------------------------------------------------------- C. Order Imbalance Indicator Currently, Nasdaq Rule 4754(b)(1) provides that, beginning at 3:50 p.m., Nasdaq disseminates by electronic means an Order Imbalance Indicator \20\ every five seconds until market close. The Exchange proposes to begin disseminating the Order Imbalance Indicator for the Nasdaq Closing Cross at 3:55 p.m. ET and to disseminate the Order Imbalance Indicator every second.\21\ The Exchange also proposes to disseminate the Order Imbalance Indicators for the Nasdaq Opening Cross,\22\ the Nasdaq Halt Cross,\23\ and the LULD Closing Cross \24\ every second instead of every five seconds. --------------------------------------------------------------------------- \20\ The Order Imbalance Indicator for the Nasdaq Closing Cross is a message disseminated by electronic means containing information about MOC, LOC, IO, and Close Eligible Interest and the price at which those orders would execute at the time of dissemination. See Nasdaq Rule 4754(a)(7). \21\ Because the Exchange proposes to begin disseminating the Order Imbalance Indicator for the Nasdaq Closing Cross at 3:55 p.m. ET, the Exchange also proposes to amend the definition of First Reference Price to mean the Current Reference Price in the first Order Imbalance Indicator disseminated at or after 3:55 p.m. ET. See proposed Nasdaq Rule 4754(a)(9). \22\ See proposed Nasdaq Rule 4752(d)(1). \23\ See proposed Nasdaq Rule 4753(b)(1). \24\ See proposed Nasdaq Rule 4754(b)(6)(B). --------------------------------------------------------------------------- The Exchange proposes to implement the proposed changes in Q4 2018, and will announce the implementation date in an Equity Trader Alert issued to participants prior to implementing the changes. III. Discussion and Commission Findings After careful review, the Commission finds that the proposed rule change, as modified by Amendment No. 1, is consistent with the requirements of the Act and the rules and regulations thereunder applicable to a national securities exchange.\25\ In particular, the Commission finds that the proposed rule change is consistent with Section 6(b)(5) of the Act,\26\ which requires, among other things, that the rules of a national securities exchange be designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in facilitating transactions in securities, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. --------------------------------------------------------------------------- \25\ 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). \26\ 15 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- As discussed above, the Exchange proposes to extend the cutoff times for entering MOC and LOC Orders, for modifying and cancelling MOC, LOC, and IO Orders, for modifying MOC and IO Orders to correct legitimate errors, and for cancelling MOC, LOC, and IO Orders to correct legitimate errors.\27\ The Commission believes that extending these cutoff times would allow Exchange participants to retain flexibility with respect to entering, modifying, and cancelling their on close orders until a later time, while still providing time for Exchange participants to react to and resolve imbalances in the Nasdaq Closing Cross.\28\ As a result, the Commission believes that the proposal could encourage participation in the Nasdaq Closing Cross by market participants who are unwilling to give up flexibility and control over their on close orders starting at 3:50 p.m. ET.\29\ --------------------------------------------------------------------------- \27\ See supra Section II.A. \28\ The Commission also notes that the proposal would continue to provide a brief period of additional time after 3:55 p.m. ET for Exchange participants to submit LOC Orders provided that there is a First Reference Price, and to correct legitimate errors in their on close orders. \29\ The Commission notes that Cboe BZX Exchange Inc. (``BZX'') has a 3:55 p.m. cutoff time for entering market-on-close and limit- on-close orders, and that BZX accepts late-limit-on-close orders between 3:55 p.m. and 4:00 p.m. See BZX Rule 11.23(c)(1)(A). The Commission also notes that NYSE Arca, Inc. (``NYSE Arca'') initiates its closing auction imbalance freeze for market-on-close and limit- on-close orders one minute before the scheduled time for the closing auction. See NYSE Arca Rule 7.35-E(d)(2). --------------------------------------------------------------------------- As discussed above, the Exchange also proposes to amend its rules to provide that a Closing Cross/Extended Hours Order would be rejected if it has been assigned a Pegging Attribute (i.e., regardless of the time the order is entered).\30\ The Commission notes that Pegging Attributes are available only during Market Hours \31\ and Closing Cross/Extended Hours Orders only operate outside of Market Hours.\32\ The Commission believes that the proposal would reflect the current operation of the Pegging Attribute and Closing Cross/Extended Hours Orders. --------------------------------------------------------------------------- \30\ See supra Section II.B. \31\ See supra note 19 and Nasdaq Rule 4703(d). \32\ See supra note 18 and Nasdaq Rule 4702(b)(12)(B). --------------------------------------------------------------------------- In addition, as discussed above, the Exchange proposes to disseminate the Order Imbalance Indicator for the Nasdaq Closing Cross beginning at 3:55 p.m. ET instead of 3:50 p.m. ET, and to disseminate the Order Imbalance Indicators for the Nasdaq Opening Cross, Nasdaq Halt Cross, Nasdaq Closing Cross, and LULD Closing Cross every second instead of every five seconds.\33\ The Commission notes that because Exchange participants would have more flexibility to enter, modify, and cancel on close orders before 3:55 p.m. ET than after,\34\ the proposal would permit the Exchange to start disseminating the Order Imbalance Indicator for the Nasdaq Closing Cross when on close interest is relatively locked in.\35\ The Commission also believes that disseminating the Order Imbalance Indicators every second would provide a timelier and more frequent view of the market before a cross.\36\ --------------------------------------------------------------------------- \33\ See supra Section II.C. \34\ See supra Section II.A. \35\ The Commission notes that, currently, the Exchange also begins disseminating the Order Imbalance Indicator for the Nasdaq Closing Cross when on close interest is relatively locked in (i.e., at 3:50 p.m. ET). \36\ The Commission notes that NYSE Arca updates its auction imbalance information at least every second, unless there is no change to the information. See NYSE Arca Rule 7.35-E(a)(4)(A). --------------------------------------------------------------------------- IV. Conclusion It is therefore ordered, pursuant to Section 19(b)(2) of the Act,\37\ that the proposed rule change (SR-NASDAQ- [[Page 53925]] 2018-068), as modified by Amendment No. 1, be, and hereby is, approved. --------------------------------------------------------------------------- \37\ 15 U.S.C. 78s(b)(2). For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\38\ --------------------------------------------------------------------------- \38\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2018-23277 Filed 10-24-18; 8:45 am] BILLING CODE 8011-01-P
![Federal Register / Vol. 83, No. 207 / Thursday, October 25, 2018 / Notices 53923
SECURITIES AND EXCHANGE of when such orders are entered, and to the Nasdaq Closing Cross.13 IO Orders
COMMISSION make changes to the Order Imbalance may be cancelled and/or modified
Indicator. between 3:50 p.m. ET and immediately
[Release No. 34–84454; File No. SR–
NASDAQ–2018–068] prior to 3:55 p.m. ET if the participant
A. Nasdaq Closing Cross Cutoff Times
requests that Nasdaq correct a legitimate
Self-Regulatory Organizations; The Nasdaq Rule 4702(b)(11) currently error in the order. IO Orders may not be
Nasdaq Stock Market LLC; Order provides that Market On Close (‘‘MOC’’) cancelled or modified for any reason at
Approving Proposed Rule Change, as Orders 8 may be entered, cancelled, and/ or after 3:55 p.m. ET.
Modified by Amendment No. 1, To or modified between 4 a.m. ET and The Exchange now proposes to amend
Extend the Cutoff Times for Accepting immediately prior to 3:50 p.m. ET. MOC these cutoff times. As proposed, Nasdaq
on Close Orders Entered for Orders entered after 3:50 p.m. ET are Rule 4702(b)(11) would provide that
Participation in the Nasdaq Closing rejected. Between 3:50 p.m. ET and MOC Orders may be entered, cancelled,
Cross and To Make Related Changes immediately prior to 3:55 p.m. ET, MOC and/or modified between 4 a.m. ET and
October 19, 2018.
Orders can be cancelled and/or immediately prior to 3:55 p.m. ET. MOC
modified only if the participant requests Orders entered at or after 3:55 p.m. ET
I. Introduction that Nasdaq correct a legitimate error in would be rejected. Between 3:55 p.m.
On August 15, 2018, The Nasdaq the order (e.g., side, size, symbol, price, ET and immediately prior to 3:58 p.m.
Stock Market LLC (‘‘Nasdaq’’ or or duplication of an order). MOC orders ET, MOC Orders could be cancelled
‘‘Exchange’’) filed with the Securities cannot be cancelled or modified for any and/or modified only if the participant
and Exchange Commission reason at or after 3:55 p.m. ET. requests that Nasdaq correct a legitimate
(‘‘Commission’’), pursuant to Section Nasdaq Rule 4702(b)(12) currently error in the order. MOC orders could not
19(b)(1) of the Securities Exchange Act provides that Limit On Close (‘‘LOC’’) be cancelled or modified for any reason
of 1934 (‘‘Act’’) 1 and Rule 19b–4 Orders 9 may be entered, cancelled, and/ at or after 3:58 p.m. ET. As proposed,
thereunder,2 a proposed rule change to or modified between 4 a.m. ET and Nasdaq Rule 4702(b)(12) would provide
extend the cutoff times for accepting on immediately prior to 3:50 p.m. ET. LOC that LOC Orders may be entered,
close orders entered for participation in Orders may be entered between 3:50 cancelled, and/or modified between 4
the Nasdaq Closing Cross and to make p.m. ET and immediately prior to 3:55 a.m. ET and immediately prior to 3:55
related changes. The proposed rule p.m. ET provided that there is a First p.m. ET. LOC Orders could be entered
change was published for comment in Reference Price.10 LOC Orders entered between 3:55 p.m. ET and immediately
the Federal Register on September 5, at or after 3:55 p.m. ET are rejected.11 prior to 3:58 p.m. ET provided that there
2018.3 On October 15, 2018, the Between 3:50 p.m. ET and immediately is a First Reference Price.14 LOC Orders
Exchange filed Amendment No. 1 to the prior to 3:55 p.m. ET, LOC orders
proposed rule change, which amended entered at or after 3:58 p.m. ET would
cannot be modified, and they can be be rejected.15 Between 3:55 p.m. ET and
and superseded the original filing in its cancelled only if the participant
entirety.4 The Commission has received immediately prior to 3:58 p.m. ET, LOC
requests that Nasdaq correct a legitimate orders could not be modified, and they
no comments on the proposed rule error in the order.
change. This order approves the could be cancelled only if the
proposed rule change, as modified by Nasdaq Rule 4702(b)(13) currently participant requests that Nasdaq correct
Amendment No. 1. provides that Imbalance Only (‘‘IO’’) a legitimate error in the order. As
Orders 12 may be entered between 4:00 proposed, Nasdaq Rule 4702(b)(13) 16
II. Description of the Proposed Rule a.m. ET until the time of execution of would provide that IO Orders may be
Change, as Modified by Amendment cancelled and/or modified between 3:55
No. 1 5 8 A MOC Order is an order type entered without
p.m. ET and immediately prior to 3:58
The Exchange proposes to amend a price that may be executed only during the p.m. ET if the participant requests that
Nasdaq Closing Cross. See Nasdaq Rule
certain cutoff times for on close orders 4702(b)(11)(A). Nasdaq correct a legitimate error in the
entered for participation in the Nasdaq 9 A LOC Order is an order type entered with a order. IO Orders could not be cancelled
Closing Cross, to reject Closing Cross/ price that may be executed only in the Nasdaq or modified for any reason at or after
Extended Hours Orders 6 that have been Closing Cross, and only if the price determined by 3:58 p.m. ET.
assigned a Pegging Attribute 7 regardless the Nasdaq Closing Cross is equal to or better than
the price at which the LOC Order was entered. See
Nasdaq Rule 4702(b)(12)(A). 13 The Nasdaq Closing Cross begins at 4:00:00
1 15 U.S.C. 78s(b)(1). 10 A LOC Order entered between 3:50 p.m. ET and p.m. ET and post-market hours trading commences
2 17 CFR 240.19b–4.
immediately prior to 3:55 p.m. ET is accepted at its when the Nasdaq Closing Cross concludes. See
3 See Securities Exchange Act Release No. 83988
limit price, unless its limit price is higher (lower) Nasdaq Rule 4754(b).
(August 29, 2018), 83 FR 45165. than the First Reference Price for a LOC Order to 14 As proposed, a LOC Order entered between
4 In Amendment No. 1, the Exchange: (1) buy (sell), in which case the participant has the 3:55 p.m. ET and immediately prior to 3:58 p.m. ET
Proposed conforming changes to Nasdaq Rule choice to have the order rejected or re-priced to the would be accepted at its limit price, unless its limit
7018(a)(3) to reflect the proposed cutoff times and First Reference Price. The First Reference Price is price is higher (lower) than the First Reference Price
provided additional discussion regarding the the Current Reference Price in the first Order for a LOC Order to buy (sell), in which case the
proposed changes to Nasdaq Rule 7018(a); (2) Imbalance Indicator disseminated at or after 3:50 participant would have the choice to have the order
proposed to implement the proposal in Q4 2018; p.m. ET. See Nasdaq Rule 4754(a)(9). rejected or re-priced to the First Reference Price.
and (3) made other technical changes. Because 11 Nasdaq Rule 4702(b)(12)(B) provides that a 15 Nasdaq Rule 4702(b)(12)(B) continues to
Amendment No. 1 does not materially alter the Closing Cross/Extended Hours Order entered provide that a Closing Cross/Extended Hours Order
substance of the proposed rule change or raise through OUCH, FLITE, RASH, or FIX with a time- entered through OUCH, FLITE, RASH, or FIX with
daltland on DSKBBV9HB2PROD with NOTICES
unique or novel regulatory issues, Amendment No. in-force other than immediate-or-cancel after the a time-in-force other than immediate-or-cancel after
1 is not subject to notice and comment. Amendment time of the Nasdaq Closing Cross will be accepted the time of the Nasdaq Closing Cross will be
No. 1 is available at https://www.sec.gov/comments/ but the Nasdaq Closing Cross flag will be ignored. accepted but the Nasdaq Closing Cross flag will be
sr-nasdaq-2018-068/srnasdaq2018068-4523622- All other Closing Cross/Extended Hours Orders ignored. As proposed, all other Closing Cross/
176030.pdf. entered at or after 3:55 p.m. ET are rejected. Extended Hours Orders entered at or after 3:58 p.m.
5 For a more detailed description of the proposal, 12 An IO Order is an order entered with a price ET would be rejected.
see Amendment No. 1, supra note 4. that may be executed only in the Nasdaq Closing 16 Unchanged from the current rule, IO Orders
6 See infra note 18.
Cross and only against MOC Orders or LOC Orders. may be entered between 4:00 a.m. ET until the time
7 See infra note 19. See Nasdaq Rule 4702(b)(13)(A). of execution of the Nasdaq Closing Cross.
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![Federal Register / Vol. 83, No. 207 / Thursday, October 25, 2018 / Notices 53925
2018–068), as modified by Amendment Operational Risk Management (A) Clearing Agencies’ Statements of the
No. 1, be, and hereby is, approved. Framework (‘‘Operational Risk Purpose of, and Statutory Basis for, the
For the Commission, by the Division of Management Framework’’), Clearing Proposed Rule Changes
Trading and Markets, pursuant to delegated Agency Risk Management Framework 1. Purpose
authority.38 (‘‘Risk Management Framework’’),
Eduardo A. Aleman, Clearing Agency Securities Valuation The Clearing Agencies adopted the
Assistant Secretary. Framework (‘‘Securities Valuation Clearing Agency Frameworks 5 in order
[FR Doc. 2018–23277 Filed 10–24–18; 8:45 am] Framework’’), Clearing Agency Policy to set forth the manner in which each
BILLING CODE 8011–01–P on Capital Requirements (‘‘Capital of the Clearing Agencies addresses
Policy’’), and Clearing Agency Capital certain risks as required by Rule 17Ad–
Replenishment Plan (‘‘Capital 22(e) under the Act,6 as described in the
SECURITIES AND EXCHANGE Replenishment Plan,’’ and, together Initial Filings. In addition to setting
COMMISSION with the Stress Testing Framework, forth the manner in which each of the
Clearing Agencies addresses the
[Release No. 34–84458; File Nos. SR–DTC– Liquidity Risk Management Framework,
requirements of Rule 17Ad–22(e), each
2018–009; SR–FICC–2018–010; SR–NSCC– Model Risk Management Framework,
2018–009] Framework also contains a section titled
Operational Risk Management ‘‘Framework Ownership and Change
Framework, Risk Management Management’’ that, among other
Self-Regulatory Organizations; The
Framework, Securities Valuation matters, identifies the title of the
Depository Trust Company; Fixed
Framework and Capital Policy, the individual or group who owns and is
Income Clearing Corporation; National
‘‘Clearing Agency Frameworks’’ or responsible for managing the
Securities Clearing Corporation;
Notice of Filing and Immediate ‘‘Frameworks’’) of the Clearing Framework and describes the required
Effectiveness of Proposed Rule Agencies. governance process for review and
Changes To Amend the Clearing Specifically, the proposed rule approval of changes to the Framework.
Agency Frameworks changes would (1) amend each of the The Clearing Agencies are proposing
Clearing Agency Frameworks to to (1) amend each of the Clearing
October 19, 2018. Agency Frameworks in order to align
incorporate and align with an existing
Pursuant to Section 19(b)(1) of the with an existing delegation of authority
delegation of authority to the General
Securities Exchange Act of 1934 to the General Counsel and Deputy
Counsel and Deputy General Counsels
(‘‘Act’’) 1 and Rule 19b–4 thereunder,2 General Counsels of the Clearing
notice is hereby given that on October of the Clearing Agencies to approve
certain changes to the Clearing Agency Agencies to approve certain changes to
11, 2018, The Depository Trust the Clearing Agency Frameworks; (2)
Company (‘‘DTC’’), Fixed Income Frameworks; (2) revise the identification
of the individuals who own and manage revise the identification of the
Clearing Corporation (‘‘FICC’’), and individuals who own and manage the
National Securities Clearing Corporation the Frameworks, where applicable; (3)
make further corrections and Frameworks, where applicable; (3) make
(‘‘NSCC,’’ and together with DTC and further corrections and clarifications to
FICC, the ‘‘Clearing Agencies’’) filed clarifications to the Stress Testing
the Stress Testing Framework, including
with the Securities and Exchange Framework, including revisions to the
revisions to the description of
Commission (‘‘Commission’’) the description of responsibilities of certain
responsibilities of certain groups and
proposed rule changes as described in groups and expansion of reverse stress expansion of the reverse stress testing
Items I and II below, which Items have testing analyses, as further described analyses, as further described below;
been prepared primarily by the Clearing below; and (4) correct the description of and (4) correct the description of an
Agencies. The Clearing Agencies filed an assumption underlying a stress assumption underlying a stress scenario
the proposed rule changes pursuant to scenario in the Liquidity Risk in the Liquidity Risk Management
Section 19(b)(3)(A) of the Act 3 and Rule Management Framework, as further Framework, as further described below.
19b–4(f)(6) thereunder.4 The described below.
Commission is publishing this notice to 5 See Securities Exchange Act Release Nos. 82368
solicit comments on the proposed rule II. Clearing Agencies’ Statements of the
(December 19, 2017), 82 FR 61082 (December 26,
changes from interested persons. Purpose of, and Statutory Basis for, the 2017) (SR–DTC–2017–005; SR–FICC–2017–009;
Proposed Rule Changes SR–NSCC–2017–006) (Stress Testing Framework);
I. Clearing Agencies’ Statements of the 82377 (December 21, 2017), 82 FR 61617 (December
Terms of Substance of the Proposed In their filings with the Commission, 28, 2017) (SR–DTC–2017–004; SR–NSCC–2017–
Rule Changes the Clearing Agencies included 005; SR–FICC–2017–008) (Liquidity Risk
Management Framework); 81485 (August 25, 2017),
The proposed rule changes would statements concerning the purpose of 82 FR 41433 (August 31, 2017) (SR–DTC–2017–008;
amend the Clearing Agency Stress and basis for the proposed rule changes SR–FICC–2017–014; SR–NSCC–2017–008) (Model
and discussed any comments they Risk Management Framework); 81745 (September
Testing Framework (Market Risk) 28, 2017), 82 FR 46332 (October 4, 2017) (SR–DTC–
(‘‘Stress Testing Framework’’), Clearing received on the proposed rule changes. 2017–014; SR–NSCC–2017–013; SR–FICC–2017–
Agency Liquidity Risk Management The text of these statements may be 017) (Operational Risk Management Framework);
Framework (‘‘Liquidity Risk examined at the places specified in Item 81635 (September 15, 2017), 82 FR 44224
(September 21, 2017) (SR–DTC–2017–013; SR–
Management Framework’’), Clearing IV below. The Clearing Agencies have NSCC–2017–012; SR–FICC–2017–016) (Risk
Agency Model Risk Management prepared summaries, set forth in Management Framework); 82006 (November 2,
Framework (‘‘Model Risk Management
daltland on DSKBBV9HB2PROD with NOTICES
sections A, B, and C below, of the most 2017), 82 FR 51892 (November 8, 2017) (SR–DTC–
Framework’’), Clearing Agency significant aspects of such statements. 2017–016; SR–NSCC–2017–016; SR–FICC–2017–
020) (Securities Valuation Framework); 81105 (July
38 17
7, 2017), 82 FR 32399 (July 13, 2017) (SR–DTC–
CFR 200.30–3(a)(12). 2017–003, SR–FICC–2017–007, SR–NSCC–2017–
1 15 U.S.C. 78s(b)(1). 004) (Capital Policy and Capital Replenishment
2 17 CFR 240.19b–4.
Plan) (each, an ‘‘Initial Filing’’ and collectively,
3 15 U.S.C. 78s(b)(3)(A). ‘‘Initial Filings’’).
4 17 CFR 240.19b–4(f)(6). 6 17 CFR 240.17Ad–22(e).
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Document Created: 2018-10-25 01:44:00
Document Modified: 2018-10-25 01:44:00
| 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 | 83 FR 53923 |
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