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Federal Register / Vol. 86, No. 40 / Wednesday, March 3, 2021 / Notices
the time of dissemination. The Far Price will represent the price at which the LULD Closing Cross would execute if the cross were not bounded by the Benchmark Prices. The Far Price will be different from the Near Price and Reference Price to indicate that not all marketable orders can be filled within the Benchmark Prices. To effect this change, Rule 4754b6B will be amended to provide that the Near Price and Reference Prices contained in the NOII will represent the price at which the LULD Closing Cross would execute should the cross conclude at that time, and the Far Price will represent the price at which Eligible Interest would execute.
Corrective Changes The Exchange proposes a corrective change in Rule 4754b6Ai, which currently contains language relating to Trading Pauses triggered at or after 3:50 and before 4:00 p.m. The Exchange previously amended paragraph b6 of Rule 4754 in 2017 to provide that the cross is employed when a Trading Pause exists at or after 3:50 and before 4:00
p.m., but inadvertently did not make a similar change in paragraph b6Ai of this Rule.24 The Exchange now proposes to amend this provision accordingly.
Lastly, the Exchange proposes to update obsolete cross-cites to Rule 4751
within Rules 4756c3B and 4763b.
Rule 4751 was previously relocated as part of a prior rule filing, so the proposed changes will update the obsolete references to their current locations in the Rulebook.25

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2. Statutory Basis The Exchange believes that its proposal is consistent with Section 6b of the Act,26 in general, and furthers the objectives of Section 6b5 of the Act,27
in particular, in that it is 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 Exchange believes that its proposal will promote just and equitable principles of trade because it will implement price protections for the LULD Closing Cross that are similar to the protections used today for the 24 See Securities Exchange Act Release No. 79876
January 25, 2017, 82 FR 8888 January 31, 2017
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25 See Securities Exchange Act Release No. 75252
June 22, 2015, 80 FR 36865 June 26, 2015 SR
NASDAQ2015024.
26 15 U.S.C. 78fb.
27 15 U.S.C. 78fb5.

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standard Closing Cross. As explained above, the Exchange currently calculates and applies a price threshold range within which the standard Closing Cross must execute. The Exchange believes that this mechanism has been effective in facilitating a fair and orderly price discovery process at the close, and ensuring that the cross price derived does not exceed a price reasonably tied to the prevailing market at the time. The Exchange has therefore determined to apply similar protections for the LULD
Closing Cross. The Exchange believes that its proposal will benefit members and investors by facilitating price discovery. Additionally, introducing price protections to the LULD Closing Cross in the manner discussed above will further harmonize the Exchanges LULD and standard Closing Cross processes, thereby promoting a more consistent experience for members and investors, and reducing any potential confusion regarding Nasdaqs closing processes. The Exchange believes that calculating price thresholds associated with the LULD band that triggered the Trading Pause as discussed above will ensure that the LULD Closing Cross executes at a reasonable level relative to the last disseminated LULD Auction Collar, or the LULD band itself, thereby mitigating price dislocations in the cross. The Exchange also believes that allowing members to enter, modify and cancel new MOC, LOC and IO orders pursuant to Rules 4702b11, 4702b12, and 4702b13 in the LULD Closing Cross will keep these close order type functionality consistent with the standard close behavior, and will facilitate a more efficient closing auction by allowing additional interest to participate in the close.
The Exchange believes that the amended execution algorithm for the LULD Closing Cross is consistent with the Act because it is substantially similar to the execution logic that is used for the cross today, with certain intended differences. The proposed tiebreakers in new paragraphs Diiii of Rule 4754b6 are designed to preserve to the extent possible the current tiebreakers in paragraphs B2AC of Rule 4754b2 while accommodating the proposed Benchmark Prices. The proposed changes to add the definitions of Eligible Interest and Imbalance as used in the proposed first and second tiebreakers are consistent with the protection of investors and the public interest because these changes will more accurately describe how the LULD
Closing Cross price will be determined pursuant to the tiebreakers in proposed
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Rule 4754b6A and B. As it relates to the fourth tiebreaker proposed in new paragraph Div of Rule 4754b6, the Exchange believes that using the Benchmark Price in the presence of an Imbalance is appropriate and best reflects current market forces while also making it clear to market participants that the Imbalance exists. The Exchange also believes that using the price that minimizes the distance from the last published LULD Band more accurately reflects current market conditions as opposed to using the existing tiebreaker based on the System bid-ask midpoint as there is no continuous market just prior to the execution of the LULD
Closing Cross.
With respect to not extending a LULD
Closing Cross past 4:00 p.m. ET, the Exchange believes that the clarity that comes from requiring that the LULD
Closing Cross occur at 4:00 p.m. ET will help reduce uncertainty for members participating in the cross. While the Exchange recognizes the reasons for extending the LULD Closing Cross may exist where there are unmatched market orders or dramatic price movements during the cross, the Exchange believes based on its experience with the cross that these concerns are outweighed by the importance of providing members and the investing public with a definitive market close and a NOCP at 4:00 p.m. ET. Taken together with the proposed price thresholds, the Exchange believes that the LULD Closing Cross process, as amended, will reduce unnecessary confusion by providing certainty that the LULD Closing Cross will occur at a specified time, and will occur at a price that is reasonably based on current market conditions.
The Exchange also believes that it is appropriate to amend Rule 4754b6B
to specify the contents of the NOII
message for LULD Closing Cross. The proposed changes will bring greater transparency around what information is disseminated for the LULD Closing Cross, and is therefore consistent with the public interest and the protection of investors.
B. Self-Regulatory Organizations Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition not necessary or appropriate in furtherance of the purposes of the Act. Today, the standard Nasdaq Closing Cross provides a transparent auction process for executing member interest at the close.
The proposed rule change is designed to further align the Exchanges LULD
Closing Cross with the standard Closing Cross to promote a more consistent
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