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Federal Register / Vol. 86, No. 40 / Wednesday, March 3, 2021 / Notices and before 4:00 p.m. ET.13 The LULD
Closing Cross price will be the NOCP for Nasdaq-listed securities that participate in the LULD Closing Cross. Unlike the standard Closing Cross, the LULD
Closing Cross currently occurs at 4:00
p.m. ET, with no price thresholds, and may be extended pursuant to Rule 4754b6Aiii if there is an order imbalance. In this case, the Exchange would extend the time of the LULD
Closing Cross in one minute increments until the order imbalance no longer exists.14 If this condition persists until 5:00 p.m., Nasdaq would not conduct a cross in that security and would instead use the last-sale on Nasdaq as the NOCP
in that security for that trading day.
Price Thresholds
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The Exchange now proposes to introduce price protections to the LULD
Closing Cross that will be similar to the protections used today for the standard Closing Cross, and will ensure that the LULD Closing Cross price is reasonably related to current market conditions.
The proposed price thresholds will be calculated by applying a threshold amount set by Nasdaq management in advance and communicated to market participants LULD Price Thresholds.
The LULD Price Thresholds, like the thresholds presently used for the standard Closing Cross, will be published on Nasdaqs public website.
The LULD Price Thresholds will be applied to a benchmark associated with the LULD Band that triggered the Trading Pause to calculate the benchmark price range within which the LULD Closing Cross price must fall Benchmark Prices. The Benchmark Prices will be published via the SIP and Exchange proprietary data feeds. Nasdaq will initially set the LULD Price Thresholds at the greater of $1.00 or 10% for securities with a reference price greater than $1.00 or $0.50 for securities with a benchmark equal to or less than $1.00, which will be applied to the last disseminated LULD Auction Collar, or the LULD Band that triggered the Trading Pause in the direction of the trading that invoked the Trading Pause.
To effect these changes, the Exchange proposes in new paragraph E of Rule 13 See Rule 4754b6. While the current language indicates that the stock will resume trading via the LULD Closing Cross, the Exchange will amend this Rule to make clear that the LULD Closing Cross will apply only for Nasdaq-listed securities.
14 Specifically, if the expected cross price moves the greater of 5% or 50 cents, or if all market orders will not be executed in the cross, Nasdaq will delay the execution of the LULD Closing Cross pursuant to Rule 4754b6Aiii. These volatility checks are governed by Rule 4120c7C.

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4754b6 15 to provide that the Benchmark Prices within which the LULD Closing Cross price must fall is established by adding or subtracting a threshold amount from the:
i Upper or lower Auction Collar that was last updated for any security that enters a Trading Pause that was extended prior to 3:50 p.m. ET, rounded to the nearest minimum price increment;
ii Upper Auction Collar for a Limit Up triggered pause or lower Auction Collar for a Limit Down triggered pause for any security that entered a Trading Pause that was not extended prior to 3:50 p.m. ET, rounded to the nearest minimum price increment; or ii sic Upper Band for a Limit Up triggered pause or Lower Band for a Limit Down triggered pause for any security that entered a Trading Pause at or after 3:50 p.m. ET, rounded to the nearest minimum price increment.
Nasdaq management shall set and modify such thresholds from time to time upon prior notice to market participants.
As applied, for securities that entered a Trading Pause prior to 3:50 p.m. ET
and for which the Trading Pause was subsequently extended, the Exchange will calculate the lower and upper Benchmark Prices as follows:
If the lower Auction Collar was the collar that was last widened for the security subject to the Trading Pause, the lower Benchmark Price will be calculated by subtracting 10% of the last updated lower Auction Collar price or $1.00 or $0.50 if the lower Auction Collar price is equal to or below $1.00, whichever is greater from the last updated lower Auction Collar price rounded to the nearest minimum price increment. The upper Benchmark Price will be equal to the last updated upper Auction Collar price that was updated with the lower Auction Collar price used to calculate the lower Benchmark Price.
If the upper Auction Collar was the collar that was last widened for the security subject to the Trading Pause, the upper Benchmark Price will be calculated by adding 10% of the last updated upper Auction Collar price or $1.00 or $0.50 if the upper Auction Collar price is equal to or below $1.00, whichever is greater to the last updated upper Auction Collar price rounded to the nearest minimum price increment.
The lower Benchmark Price will be equal to the last updated lower Auction Collar price that was updated with the 15 With
the proposed change, current paragraphs C and D will be renumbered as paragraphs F
and G.

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upper Auction Collar price used to calculate the upper Benchmark Price.
For securities that entered a Trading Pause that was not extended prior to 3:50 p.m. ET,16 the Exchange will calculate the lower and upper Benchmark Prices as follows:
For a Limit Down triggered pause, the lower Benchmark Price will be calculated by subtracting 10% of the lower Auction Collar price or $1.00 or $0.50 if the lower Auction Collar price is equal to or below $1.00, whichever is greater from the lower Auction Collar price rounded to the nearest minimum price increment. The upper Benchmark Price will be equal to the upper Auction Collar price that was disseminated with the lower Auction Collar price used to calculate the lower Benchmark Price.
For a Limit Up triggered pause, the upper Benchmark Price will be calculated by adding 10% of the upper Auction Collar price or $1.00 or $0.50
if the upper Auction Collar price is equal to or below $1.00, whichever is greater to the upper Auction Collar price rounded to the nearest minimum price increment. The lower Benchmark Price will be equal to the lower Auction Collar price that was disseminated with the upper Auction Collar price used to calculate the upper Benchmark Price.
For securities that entered a Trading Pause at or after 3:50 p.m. ET, the Exchange will calculate the lower and upper Benchmark Prices as follows:
For a Limit Down triggered pause, the lower Benchmark Price will be calculated by subtracting 10% of the Lower LULD Band or $1.00 or $0.50 if the Lower LULD Band is equal to or below $1.00, whichever is greater from the Lower LULD Band rounded to the nearest minimum price increment. The upper Benchmark Price will be equal to Upper LULD Band in place at the time the Trading Pause was triggered.
For a Limit Up triggered pause, the upper Benchmark Price will be calculated by adding 10% of the Upper LULD Band or $1.00 or $0.50 if the Upper LULD Band is equal to or below $1.00, whichever is greater to the Upper LULD Band rounded to the nearest minimum price increment. The lower Benchmark Price will be equal to Lower LULD Band in place at the time the Trading Pause was triggered.
At 4:00 p.m. ET, Nasdaq will conduct the LULD Closing Cross, and if the cross price would fall outside of the Benchmark Prices as calculated above, the LULD Closing Cross will execute all 16 This would occur if, for example, a security entered a Trading Pause between 3:45 and 3:50 p.m.
ET, and the LULD Auction Collar had not yet been updated.

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