Voglio sapere a riguardo di…

12504

Federal Register / Vol. 86, No. 40 / Wednesday, March 3, 2021 / Notices
Commission the proposed rule change as described in Items I and II
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.
I. Self-Regulatory Organizations Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to amend Rule 4754 to introduce price protections for the Limit-Up Limit-Down LULD
Closing Cross 3 that are similar to the protections currently employed by the standard Nasdaq Closing Cross,4 and to make other changes related to the LULD
Closing Cross.
The text of the proposed rule change is available on the Exchanges website at https listingcenter.nasdaq.com/
rulebook/nasdaq/rules, at the principal office of the Exchange, and at the Commissions Public Reference Room.
II. Self-Regulatory Organizations Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange 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 these 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 aspects of such statements.
A. Self-Regulatory Organizations Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The purpose of the proposed rule change is to amend Rule 4754 to introduce price protections for the LULD Closing Cross that are similar to the protections currently employed by the standard Nasdaq Closing Cross, and to make other changes related to the LULD Closing Cross. With the proposed changes, the Exchanges LULD and standard Closing Cross processes will be more harmonized, which the Exchange believes will promote a more consistent jbell on DSKJLSW7X2PROD with NOTICES

3 The
LULD Closing Cross is the Exchanges auction process for executing closing trades in Nasdaq-listed securities when a Trading Pause pursuant to Rule 4120a12 exists at or after 3:50
p.m. and before 4:00 p.m. ET. See Rule 4754b6.
4 Nasdaq Closing Cross shall mean the process for determining the price at which orders shall be executed at the close and for executing those orders.
See Rule 4754a.

VerDate Sep<11>2014

17:29 Mar 02, 2021

Jkt 253001

experience for members and investors participating in the close and reduce any potential confusion regarding Nasdaqs closing processes.
Background The Nasdaq Closing Cross is a transparent auction process that determines a single price for the close.
The price determined by the Closing Cross is also the Nasdaq Official Closing Price NOCP for securities that participate in the cross. Members can submit Limit on Close LOC Orders,5
Market on Close MOC Orders,6 and Imbalance Only IO Orders 7 that are available to participate in the Closing Cross along with other Close Eligible Interest.8 At 4:00 p.m. ET, the Exchange will execute the Nasdaq Closing Cross at a price determined in accordance with Rule 4754b2.
When the Closing Cross price is calculated as described in Rule 4754b2, the Exchange applies a boundary within which the cross must execute to ensure that the closing price derived does not exceed a price reasonably tied to the prevailing market at the time. Specifically, the Exchange applies a threshold amount to a benchmark value that, when applied to an individual security, determines the threshold price range that a security may cross, outside of which the closing price of a security may not occur.9 If the Closing Cross price of a security would otherwise be outside of this threshold range, the Exchange will adjust the Closing Cross price of the security to a price within the threshold range that best satisfies the normal process for determining the Closing Cross price.10
This adjustment happens automatically prior to execution of the Closing Cross.
All unexecuted shares designated to expire upon the conclusion of the Closing Cross,11 including those that fall 5 A Limit On Close Order or 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 Rule 4702b12.
6 A Market On Close Order or MOC Order is an Order Type entered without a price that may be executed only during the Nasdaq Closing Cross. See Rule 4702b11.
7 An Imbalance Only Order or 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 Rule 4702b13.
8 Close Eligible Interest shall mean any quotation or any order that may be entered into the system and designated with a time-in-force of SDAY, SGTC, MDAY, MGTC, SHEX, or GTMC. See Rule 4754a1.
9 See Rule 4754b2E.
10 See Rules 4754b2AD.
11 These are: MOC, LOC, and IO Orders designated to participate in the Closing Cross. Prior to the Closing Cross, the Exchange maintains a
PO 00000

Frm 00095

Fmt 4703

Sfmt 4703

outside of the calculated threshold price range, are cancelled.
The threshold amounts and benchmarks are set by Nasdaq management in advance and communicated to market participants.
Nasdaq may adjust the threshold amounts and benchmarks from time to time based on Nasdaqs experience with the Closing Cross. Nasdaq publishes this information publicly on its website, and sets the threshold amount so that repricing of a security is rare.12
Currently, Nasdaq applies a threshold amount that is the greater of $0.50 or 10%, which is applied to the Nasdaq Best Bid and Offer QBBO midpoint and is added to the Nasdaq Offer and subtracted from the Nasdaq Bid to establish the threshold range. For example, if the QBBO is $10.00
$11.00, then the midpoint is $10.50 and the threshold amount is 10%, resulting in a threshold value of $1.05 10% of 10.50 = 1.05. This value is then added to the offer and subtracted from the bid to obtain the Closing Crosss threshold price range. In this example, it would result in a lower threshold of $8.95
10.001.05 = 8.95 and an upper threshold of $12.05 11.00 + 1.05 =
12.05, thus creating a range between $8.95 to $12.05, within which the Closing Cross can occur. This means $8.95 is the lowest price at which the cross can occur, and $12.05 is the highest price at which it can occur. The threshold range is dynamic; as the QBBO changes, the threshold price range changes. The Exchange believes that the foregoing price thresholds for the standard Closing Cross has been effective at facilitating price discovery and ensuring that the closing price of a security is reasonably based on current market conditions in the security, and therefore proposes to adopt similar thresholds for its LULD Closing Cross.
Today, in addition to the standard Nasdaq Closing Cross described above, the Exchange operates a LULD Closing Cross that provides an alternative process for executing closing trades on Nasdaq. The Exchange conducts this process instead of the standard Closing Cross for Nasdaq-listed securities when a Trading Pause pursuant to Rule 4120a12 exists at or after 3:50 p.m.
continuous order book and a Closing Cross order book. Orders in the Closing Cross order book may execute only in the Closing Cross process, while Orders in the continuous book may execute in regular market hours or in the Closing Cross if the Order has a time-in-force that will allow it to remain active.
12 See http www.nasdaqtrader.com/content/
ProductsServices/Trading/Crosses/openclose_
faqs.pdf.

E:FRFM03MRN1.SGM

03MRN1