
[Federal Register Volume 74, Number 122 (Friday, June 26, 2009)]
[Notices]
[Pages 30656-30658]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E9-15155]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-60153; File No. SR-NYSE-2009-49]


Self-Regulatory Organizations; New York Stock Exchange LLC; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To 
Include Floor Broker Agency Interest Containing Pegging and/or 
Discretionary Instructions, Eligible for Execution in the Closing 
Transaction, in the NYSE Order Imbalance Information Datafeed 
Disseminated Prior to the Closing Transaction

June 19, 2009.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 
given that, on June 18, 2009, New York Stock Exchange LLC (``NYSE'' or 
the ``Exchange'') filed with the Securities and Exchange Commission 
(the ``Commission'') the proposed rule change as described in Items I 
and II below, which Items have been prepared by the self-regulatory 
organization. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to include Floor Broker agency interest 
containing pegging and/or discretionary instructions, eligible for 
execution in the closing transaction, in the NYSE Order Imbalance 
Information datafeed disseminated prior to the closing transaction. 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
    New York Stock Exchange LLC (``NYSE'' or the ``Exchange'') proposes 
to include Floor Broker agency interest files (``e-Quotes'') containing 
pegging and/or discretionary instructions (``d-Quotes'') (collectively 
``Floor broker agency interest''), eligible for execution in the 
closing transaction, in the NYSE Order Imbalance Information datafeed 
disseminated prior to the closing transaction.
    The Exchange notes that parallel changes are proposed to be made to 
the rules of NYSE Amex LLC (formerly the American Stock Exchange).\4\
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    \4\ See SR-NYSEAmex-2009-29.
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Background of NYSE Amex Order Imbalance Information
    Currently, NYSE Rule 123C allows Exchange systems to make available 
a datafeed of real-time order imbalances that accumulate prior to the 
closing transactions on the Exchange.\5\ The datafeed contains 
aggregate information about orders that are potentially subject to 
execution at the market's closing price and represent issues that are 
likely to be of particular trading interest at the close. Recipients of 
the NYSE Order Imbalance Information datafeed currently pay a $500 
monthly fee for access to this datafeed.
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    \5\ See Securities Exchange Act Release No. 57861 (May 23, 
2008), 73 FR 31905 (June 4, 2008) (SR-NYSE-2008-42) (enhancing NYSE 
OpenBook Product offerings with the introduction of the Order 
Imbalance Information datafeed); See also Securities Exchange Act 
Release No. 59202 (January 6, 2009), 74 FR 1744 (January 13, 2009) 
(SR-NYSE-2008-132) (introducing the NYSE Order Imbalance Information 
Fee); See also Securities Exchange Act Release No. 59815 (April 23, 
2009), 74 FR 19609 (April 29, 2009) (SR-NYSE-2009-41) (modifying the 
reference price at which the Exchange reports the Order Imbalance 
Information and clarifying what information is included in and 
excluded from the Order Imbalance Information Reports). Pursuant to 
NYSE Rule 15, similar information is disseminated prior to the 
opening transaction via this product.
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    The NYSE Order Imbalance Information datafeed disseminated prior to 
the closing transaction (``NYSE Closing Order Imbalance Information'') 
includes all market-on-close orders and limit-on-close orders eligible 
to participate in the closing transaction. DMM interest and Crowd 
interest are excluded.
    Prior to the closing transaction, NYSE Closing Order Imbalance 
Information is disseminated every fifteen seconds between 3:40 p.m. and 
3:50 p.m. and every five seconds between 3:50 p.m. and 4 p.m. On any 
day that the scheduled close of trading on the Exchange is earlier than 
4 p.m. EST, the dissemination of the NYSE Closing Order Imbalance will 
commence 20 minutes before the scheduled closing time. NYSE Closing 
Order imbalance information will be disseminated every 15 seconds for 
approximately 10 minutes. Thereafter, the order imbalance information 
will be disseminated every five seconds until the scheduled closing 
time.
d-Quotes and Pegging Instructions
    Pursuant to NYSE Rule 70, Floor brokers are permitted to represent 
orders electronically through the use of e-Quotes. A d-Quote, as 
provided by NYSE Rule 70, Supplementary Material .25, permits the Floor 
broker to include discretionary instructions as to size and/or price on 
an e-Quote. D-Quote discretionary instructions specify the price at 
which the d-Quote may trade and the number of shares to be executed 
based on the application of the discretionary instructions. The Floor 
broker must also specify the price at which the d-Quote is to be 
quoted.
    Pegging is a distinct instruction that may be used in conjunction 
with an e-Quote and/or a d-Quote pursuant NYSE Rule 70, Supplementary 
Material .26. Pegging instructions allow 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.

[[Page 30657]]

Proposal to Include Floor Broker Agency Interest in the Closing NYSE 
Amex Order Imbalance Information Datafeed
    Through this filing, the Exchange proposes to enhance the 
information included in the NYSE Closing Order Imbalance Information 
datafeed. Specifically, the Exchange proposes to also include, at no 
additional charge, Floor broker agency interest, eligible for execution 
in the closing transaction, in the NYSE Closing Order Imbalance 
Information datafeed. The Exchange currently also provides displayable 
aggregated d-Quote and pegging e-Quote interest in its NYSE 
OpenBook[supreg] and NYSE Trades[supreg] market data products. The 
Exchange now seeks to add additional transparency to the NYSE Order 
Imbalance Information datafeed. Accordingly, the Exchange believes that 
the inclusion of this information in the NYSE Closing Order Imbalance 
Information datafeed will provide increased transparency regarding the 
anticipated closing transaction.
    The NYSE Closing Order Imbalance Information will include d-Quote 
interest using the maximum discretionary price that could be available 
on the close and pegging e-Quotes at their ceiling\6\ or floor\7\ 
price. Beginning at 3:55 p.m., Exchange systems will use the maximum 
discretionary or maximum pegged price (ceiling or floor) associated 
with the Floor broker agency interest to determine its inclusion in the 
NYSE Closing Order Imbalance Information datafeed.
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    \6\ Pursuant to Supplementary Material .26 (ix)(B) of NYSE Rule 
70, the ``ceiling price'' is the highest price to which a buy-side 
e-Quote or d-Quote may peg.
    \7\ Pursuant to Supplementary Material .26(ix)(C) of NYSE Rule 
70, the ``floor price'' is the lowest price to which a sell-side e-
Quote or d-Quote may peg.
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    The Exchange anticipates that the inclusion of Floor broker agency 
interest, eligible for execution in the closing transaction, in the 
NYSE Closing Order Imbalance Information datafeed will provide its 
customers with the requested transparency and allow sufficient time for 
contra-side interest to develop, thereby decreasing volatility and 
ultimately contributing to the maintenance of a fair and orderly 
market.
    Currently, systemic modifications are required to implement the 
inclusion of d-Quotes and all other pegging e-Quotes eligible to 
participate in the closing transaction in all the securities traded on 
the Exchange. There are approximately 10 securities on the Exchange 
that will not receive the modified Order Imbalance Information datafeed 
on the implementation date of June 22, 2009. During the implementation 
process, the Exchange will identify on its Web site all the securities 
operating on modified systems and receiving the Order Imbalance 
Information datafeed containing d-quotes and all other pegging e-quotes 
eligible to participate in the closing transaction. The Exchange 
anticipates the completion of these modifications on or about July 31, 
2009.
2. Statutory Basis
    The basis under the Securities Exchange Act of 1934 (the ``Act'') 
for this proposed rule change is the requirement under Section 6(b)(5) 
\8\ that an Exchange have rules that are designed to promote just and 
equitable principles of trade, to remove impediments to and perfect the 
mechanism of a free and open market and a national market system and, 
in general, to protect investors and the public interest. The instant 
proposal is in keeping with these principles in that it seeks to 
provide greater transparency to Exchange market participants, affording 
them additional information which further promotes just and equitable 
principles of trade. The Exchange submits that the proposal to include 
Floor broker agency interest in the NYSE Order Imbalance Information 
datafeed furthers the protection of investors and the public interest 
by providing investors with a more accurate depiction of the market 
interest prior to the closing transaction, thereby allowing them to 
make better informed trading decisions.
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    \8\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition

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

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

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

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

    Because the foregoing proposed rule change: (i) Does not 
significantly affect the protection of investors or the public 
interest; (ii) does not impose any significant burden on competition; 
and (iii) by its terms, does not become operative for 30 days from the 
date on which it was filed, or such shorter time as the Commission may 
designate, if consistent with the protection of investors and the 
public interest, it has become effective pursuant to Section 
19(b)(3)(A) of the Act \9\ and Rule 19b-4(f)(6) thereunder.\10\
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    \9\ 15 U.S.C. 78s(b)(3)(A).
    \10\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii) 
requires the self-regulatory organization to submit to the 
Commission written notice of its intent to file the proposed rule 
change, along with a brief description and text of the proposed rule 
change, at least five business days prior to the date of filing of 
the proposed rule change, or such shorter time as designated by the 
Commission. The Exchange has satisfied this requirement.
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    The Exchange has requested that the Commission waive the 30-day 
operative delay so that the proposal may become operative immediately 
upon filing in order to assist investors in making better informed 
trading decisions by providing a more accurate depiction of the 
available market interest prior to the closing transaction. Moreover, a 
grant of immediate effectiveness will ensure that the Exchange can 
provide this increased transparency afforded by the additional 
information for the June 26, 2009 rebalance of the Russell Index which 
has historically been characterized by increased trading volatility 
associated with the closing transaction. The Exchange believes that the 
provision of more accurate information prior to the closing 
transactions will serve to mitigate volatility, assisting in the 
maintenance of a fair and orderly market and ultimately protecting 
investors and the public interest. The Commission believes such waiver 
is consistent with the protection of investors and the public 
interest.\11\ Accordingly, the Commission designates the proposed rule 
change operative upon filing with the Commission.
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    \11\ For purposes only of waiving the 30-day operative delay of 
this proposal, the Commission has considered the proposed rule's 
impact on efficiency, competition, and capital formation. See 15 
U.S.C. 78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission may summarily abrogate such rule change if it 
appears to the Commission that such action is necessary or appropriate 
in the public interest, for the protection of investors, or otherwise 
in furtherance of the purposes of the Act.

IV. Solicitation of Comments

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

[[Page 30658]]

including whether the proposed rule change is consistent with the Act. 
Comments may be submitted by any of the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an e-mail to rule-comments@sec.gov. Please include 
File Number SR-NYSE-2009-49 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-NYSE-2009-49. This file 
number should be included on the subject line if e-mail is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for inspection and 
copying in the Commission's Public Reference Room on official business 
days between the hours of 10 a.m. and 3 p.m. Copies of such filing also 
will be available for inspection and copying at the principal office of 
the Exchange. All comments received will be posted without change; the 
Commission does not edit personal identifying information from 
submissions. You should submit only information that you wish to make 
available publicly. All submissions should refer to File Number SR-
NYSE-2009-49 and should be submitted on or before July 17, 2009.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\12\
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    \12\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-15155 Filed 6-25-09; 8:45 am]
BILLING CODE 8010-01-P


