[Federal Register Volume 74, Number 153 (Tuesday, August 11, 2009)]
[Notices]
[Pages 40259-40264]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: E9-19145]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-60429; File No. SR-NYSE-2009-71]
Self-Regulatory Organizations; Notice of Filing of Proposed Rule
Change by New York Stock Exchange LLC Amending NYSE Rule 1000 To Allow
Exchange Systems To Access CCS Interest To Partially Fill an Incoming
Limit Order
August 4, 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 July 20, 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,
II, and III 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.
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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 amend NYSE Rule 1000 to allow Exchange
systems to access CCS interest to partially fill an incoming limit
order. 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,
[[Page 40260]]
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 amend NYSE Rule 1000 to make available additional liquidity to
partially fill an incoming limit order.
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-NYSE Amex-2009-46.
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a. Background
The NYSE implemented sweeping changes to its market rules and
execution technology designed to improve execution quality on the
Exchange. Among the elements of the enhanced Exchange market model, the
NYSE eliminated the function of specialists on the Exchange creating a
new category of market participant, the Designated Market Maker or DMM.
The DMM, like specialists, have affirmative obligations to make an
orderly market, including continuous quoting requirements and
obligations to re-enter the market when reaching across to execute
against trading interest. The NYSE also recognized that in view of the
NYSE's electronic execution functionality, the DMM, unlike the
specialist, would no longer be deemed the agent for every incoming
order. The NYSE also responded to customer demand to create additional
undisplayed reserve interest.
In another enhancement to the Exchange's market model, designed to
encourage DMMs to add liquidity, the Exchange implemented a system
change that allowed DMMs to create a schedule of additional non-
displayed liquidity at various price points where the DMM is willing to
interact with interest and provide price improvement to orders in the
Exchange's system. This schedule is known as the DMM Capital Commitment
Schedule (``CCS'').\5\ CCS provides the Display Book[supreg] \6\ with
the amount of shares that the DMM is willing to trade at price points
outside, at and inside the Exchange BBO. CCS interest is separate and
distinct from other DMM interest in that it serves as the interest of
last resort.
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\5\ The provisions of NYSE Rule 1000 relating to CCS are in
effect pursuant to a pilot that commenced on October 2008 and is
scheduled to end on October 1, 2009.
\6\ The Display Book[supreg] system is an order management and
execution facility. The Display Book system receives and displays
orders to the DMMs, contains the order information, and provides a
mechanism to execute and report transactions and publish the results
to the Consolidated Tape. The Display Book system is connected to a
number of other Exchange systems for the purposes of comparison,
surveillance, and reporting information to customers and other
market data and national market systems.
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When an order is entered for an amount of shares that exceeds the
liquidity available at the Exchange BBO, Exchange systems review all
the liquidity available on the Display Book including CCS interest to
determine the final price point at which the order can be fully
executed (the ``completion price''). Exchange systems determine the
completion price by calculating the unfilled volume of the incoming
order (i.e., the volume of the incoming order that exceeds the volume
available to execute against it that is then present in the Exchange
bid or offer) and reviewing the additional displayed and non-displayed
interest available in the Display Book, which may be at more than one
price point, including the CCS interest submitted by the DMM unit that
is available at the completion price if the CCS interest were to
participate at the completion price. Exchange systems also review any
protected bids or offers on markets other than the Exchange (``away
interest'') and determines the price at which the remaining volume of
the contra side order can be executed in full.
Exchange systems then review the amount of liquidity offered by CCS
to determine if the number of shares provided via the DMM's CCS at the
completion price is less than the number of CCS shares provided at the
next different price that has interest that is one minimum price
variation (``MPV'') (as that term is defined in Exchange Rule 62 \7\)
or more higher (in the case of an order to sell) or at the next
different price that has interest that is one MPV or more lower (in the
case of an order to buy) (hereinafter collectively referred to as
``better price'').
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\7\ See NYSE Rule 62, Supplementary Material .10, which provides
that the minimum price variation (MPV) for quoting and entry of
orders in equity securities admitted to dealings on the Exchange
shall be as stated in the table above.
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Minimum
Price of order or interest price
variation
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Less Than $1.00............................................ $.0001
$1.00 to 99,999.99......................................... .01
$100,000 or greater........................................ .10
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If the volume of CCS interest that would be accessed is the same at the
completion price and the better price, Exchange systems access CCS
interest at the completion price with CCS interest yielding to any
other interest in Exchange systems at the completion price.
If the number of shares that would be allocated to the CCS interest
at the better price is more than the number of shares that would be
allocated to the DMM's CCS interest at the completion price, then
Exchange systems will access the CCS liquidity available at the better
price with CCS interest yielding to any other interest in Exchange
systems (both displayed and undisplayed reserve interest) at the better
price. Any remaining balance of the incoming order is executed at the
completion price against displayable and non-displayable interest
pursuant to NYSE Rule 72 (``Priority of Bids and Offers and Allocation
of Executions'').\8\
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\8\ Pursuant to NYSE Rule 72 round-lot executions on the
Exchange are allocated on an equal basis, i.e. parity, among market
participants at a price point unless one of the participants has
established priority. Priority is established when the participant
is the only interest displayed at the price point when such price is
or becomes the best bid or offer published by the Exchange. A
participant that establishes priority for the displayed portion of
his or her order is allocated the first 15% of any execution (a
minimum of one round lot). Any DMM non-CCS interest included in the
displayed quantity and non-displayed quantity is also executed
pursuant to NYSE Rule 72.
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Exchange systems can access CCS interest only once to participate
in the execution of an incoming order. As such, CCS interest that may
exist at the completion price is inaccessible to Exchange systems to
trade with any remaining balance of the incoming order if Exchange
systems included the DMM's CCS interest in the execution of any portion
of such order at the better price. Moreover, Exchange systems will only
access CCS interest to participate in the execution of an incoming
order where the incoming order will be executed in full.
b. Proposed Amendment to NYSE Rule 1000
The Exchange proposes to allow Exchange systems to access CCS
interest to participate in executions where the incoming order will
only be partially executed. The purpose of this change is to provide
additional liquidity to the incoming order.
As illustrated in the example below, because Exchange systems are
permitted to access CCS interest only where an incoming order would be
executed in full, there are times when the incoming order exhausts the
displayed and reserve interest on the Display Book at various price
points and the remaining
[[Page 40261]]
shares of the order are quoted. In these instances Exchange systems
cannot access the CCS interest available at the price point where the
remaining shares of the order will be quoted to partially fill the
incoming limit order.
Example of Current CCS Operation
The Exchange Market is 200 shares bid at the price of $20.05 and
200 shares offered at a price of $20.10. At the price points of $20.04,
$20.03, $20.02, $20.01 and $20.00 there are 100 shares bid. The CCS
interest file is willing to provide 200 shares of additional bid
liquidity at each of those price points as well. A customer sends the
Exchange a sell order for 1200 shares with a limit price of $20.00.
Given the current operation of CCS, the order will execute against the
200 shares at the Exchange bid price of $20.05 and all the shares
indicated in italic typeface at each price point down to the orders
limit price of $20.00 will be executed against the order for a total
execution of 700 shares. The remaining 500 shares of the order will be
filed in Display Book at its limit price of $20.00.
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CCS Interest Shares bid Bid price Offer price Shares offered CCS interest
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................. ................. $20.10 200 200
200 200 $20.05
200 100 20.04
200 100 20.03
200 100 20.02
200 100 20.01
200 100 20.00
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The Exchange proposes to modify the operation of CCS interest to
allow Exchange systems to access and execute CCS interest designated to
partially fill an incoming limit order. This will create an additional
processing action for Exchange systems. Exchange systems will continue
to review all the liquidity available on the Display Book and any away
market centers; however, once it determines that the order cannot be
executed in full, it will also review the DMM CCS interest file to
determine if any of the liquidity is eligible to partially fill the
incoming limit order at the price where any remaining shares of the
order would be quoted.
In order for the DMM CCS interest to participate in a partial
execution of an incoming limit order that exceeds the liquidity
available at the Exchange BBO the DMM must designate interest available
in the CCS interest file eligible for partial execution by including a
``PF'' indicator on the shares provided at the price point. All
liquidity provided in the CCS interest file will continue to be
eligible to participate in executions of incoming limit orders in full.
Only DMM CCS interest containing the PF indicator will be available to
participate in an execution to provide a partial execution of an
incoming limit order that exceeds the liquidity available at the
Exchange BBO. In this way incoming limit orders will have another
opportunity to receive fuller executions prior to quoting.
Example of Proposed CCS Partial Fill at the Price the Remaining Shares
Will Be Quoted
The Exchange Market is 200 shares bid at the price of $20.05 and
200 shares offered at a price of $20.10. At the price points of $20.04,
$20.03, $20.02, $20.01 and $20.00 there are 100 shares bid. The CCS
interest file is willing to provide 200 shares of additional bid
liquidity at each of those price points as well. The CCS interest at
$20.00 is designated for partial fill. A customer sends the Exchange a
sell order for 1200 shares with a limit price of $20.00. Enabling
Exchange systems to access CCS interest to partially fill the order,
the incoming limit order will execute against the 200 shares at the
Exchange bid price of $20.05. The order would then execute against all
the shares bid, indicated in italic typeface at each price point down
to the orders limit price of $20.00, Exchange systems would execute an
additional 200 shares of the order against the CCS interest at $20.00
designated for partial fill. The incoming limit order receives a total
execution of 900 shares and the remaining 300 shares of the order will
be filed in the Display Book at its limit price of $20.00.
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CCS Interest Shares bid Bid price Offer price Shares offered CCS interest
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................. ................. $20.10 200 200
200 200 $20.05
200 100 20.04
200 100 20.03
200 100 20.02
200 100 20.01
200PF 100 20.00
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When Exchange systems access the CCS interest in order to provide a
partial execution of an incoming order, CCS interest will participate
at the price point where the remaining shares will be quoted as
illustrated in the example above. If, however, the incoming order
reaches a Liquidity Replenishment Point (``LRP'') \9\ prior to being
executed in full, then Exchange systems will execute the CCS interest
at the LRP price, as illustrated in the example below, and the
remaining shares of the order will be quoted thereafter at its limit
price. In the case of a market order it will be quoted at the LRP
price.
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\9\ LRPs are pre-determined price points that temporarily
convert the automatic Exchange market to an auction market in order
to dampen volatility when the market is experiencing a large price
movement based on a security's typical trading characteristics or
market conditions over short periods of time during the trading day.
LRPs allow the DMM to solicit additional liquidity.
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Example of Proposed CCS Partial Fill at the LRP Price
CCS Partial Fill at the LRP 1
The Exchange Market is 200 shares bid at the price of $20.10 and
200 shares offered at a price of $20.15. The price
[[Page 40262]]
point of $20.05 is a designated LRP. At the price points of $20.09 down
to $20.05 there are 100 shares bid. The CCS interest file is willing to
provide 200 shares of additional bid liquidity at the price points of
$20.09 down to $20.05.\10\ In addition, the CCS interest file indicates
that the interest at the prices $20.08, $20.07 and $20.05 is available
to provide a partial fill. A customer sends the Exchange a sell order
for 1200 shares with a limit price of $20.00. Enabling Exchange systems
to access CCS interest to partially fill the order, the incoming limit
order would execute against the 200 shares at the Exchange bid price of
$20.10. The order would then execute against all the shares bid
(indicated in italic typeface) at each price point down to the LRP
price of $20.05. Exchange systems would execute an additional 200
shares of the order against the CCS interest at the LRP price of $20.05
for a total 900 shares of the incoming limit order executed. The
original order will execute a total of 900 shares above its limit price
before the remaining 300 shares of the order is posted on the Display
Book at its limit price of $20.00.
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\10\ A DMM cannot provide CCS interest past the LRPs because
that interest will not be executed. Pursuant to current NYSE Rules,
once an LRP is reached interest may not trade through the price
point.
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CCS Interest Shares bid Bid price Offer price Shares offered CCS Interest
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................. ................. $20.15 200 200
200 200 $20.10
200 100 20.09
200 PF 100 20.08
200 PF 100 20.07
200 100 20.06
200 PF 100 20.05 LRP
0 0 20.04
0 0 20.03
0 0 20.02
0 0 20.01
0 0 20.00
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CCS Partial Fill at the LRP 2
The Exchange Market is 200 shares bid at the price of $20.10 and
200 shares offered at a price of $20.15. The price point of $20.05 is a
designated LRP. At the price points of $20.09 and $20.08 there are 100
shares bid. The CCS interest file is willing to provide 200 shares of
additional bid liquidity at the price points of $20.09 down to $20.05.
In addition, the CCS interest file indicates that the interest at the
prices $20.08, $20.07 and $20.05 is available to provide a partial
fill. A customer sends the Exchange a sell order for 700 \11\ shares
with a limit price of $20.00. Enabling Exchange systems to access CCS
interest to partially fill the order, the incoming limit order would
execute against the 200 shares at the Exchange bid price of $20.10. The
order would then execute 100 shares against the shares bid at $20.09
and $20.08. Exchange systems would execute an additional 200 shares of
the order against the CCS interest at the LRP price of $20.05 for a
total 600 shares of the incoming limit order executed. The remaining
100 shares of the order will be posted on the Display Book at its limit
price of $20.00.
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\11\ If the order were for 600 shares Exchange systems would
have executed 200 shares at the bid price of $20.10, 100 shares at
the price of $20.09. The Exchange will execute the remaining 300
shares at the price of $20.08 against the 100 shares of ``Shares
Bid'' and CCS interest at the price point. However, because the 700
share order could not be completely filled at the price of $20.08
including CCS interest, it is executed based on the rules governing
partial executions and will thus be executed as illustrated in the
example.
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CCS interest Shares bid Bid price Offer price Shares offered CCS interest
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................. ................. 20.15 200 200
200 200 $20.10 ................. ................. .................
200 100 20.09 ................. ................. .................
200PF 100 20.08 ................. ................. .................
200PF 0 20.07 ................. ................. .................
200 0 20.06 ................. ................. .................
200PF 0 20.05LRP ................. ................. .................
0 0 20.04 ................. ................. .................
0 0 20.03 ................. ................. .................
0 0 20.02 ................. ................. .................
0 0 20.01 ................. ................. .................
0 0 20.00 ................. ................. .................
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When accessing CCS interest to partially execute an order, Exchange
systems will not review the liquidity available at one minimum price
variation better than the execution price to determine if the number of
shares that CCS interest is willing to provide at the better price is
greater than the number of shares at the price point where the order
would execute and then post. The order will be executed against the CCS
interest where the remaining shares of the order will ultimately be
quoted or in the event an LRP is reached, at the LRP price.\12\
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\12\ If the DMM did not designate the CCS interest eligible for
partial fill, then the CCS interest would not participate in the
execution and the remaining shares of the order would be quoted.
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Whether the order is executed at the price where the remaining
shares will be quoted or at the LRP price, Exchange systems will not
access CCS interest designated PF until all other interest on
[[Page 40263]]
the Display Book up to the price point is executed in full. CCS
interest therefore, remains the interest of last resort because
Exchange systems will access CCS interest to provide a partial
execution to an incoming limit order only after all it has satisfied
protected interest on away market centers and all other interest on the
Display Book eligible to be executed against the order is executed in
full. In all instances where Exchange systems access CCS to provide a
partial execution of an order, the customer order is afforded the
ability for price improvement within the parameters of the rule.
The Exchange therefore proposes to amend NYSE Rule 1000, to allow
Exchange systems to access available CCS interest in order to provide
an incoming order with a fuller execution. The Exchange proposes to
amend NYSE Rule 1000(e)(iii)(A)(4) to include this provision and
renumber former subparagraph (e)(iii)(A)(4) to (e)(iii)(A)(5).
The Exchange believes that the instant proposal to maximize an
order's partial execution by allowing Exchange systems to access CCS
interest removes the current impediment from a limit order accessing
all the liquidity available on the Display Book. The proposed
modification increases the opportunities for executing a greater number
of shares of the incoming order and exposes it to additional
opportunity for price improvement. The Exchange believes that the
proposal therefore contributes to perfect the mechanism of a free and
open market and ultimately protects investors and the public interest.
Administrative Amendments to NYSE Rule 1000
The Exchange further proposes to delete legacy references to ``ITS
Plan'' contained in NYSE Rule 1000 subparagraphs (e)(ii) and (e)(iii)
and replace the concept of ITS commitments with appropriate language
consistent with the current practice of routing orders to away market
centers.
The Exchange also proposes to include references to its Do Not Ship
Order \13\ in NYSE Rule 1000 subparagraphs (e)(ii)(C) and
(e)(iii)(A)(5) to illustrate the additional order type that requires
the same execution handling as Reg. NMS-compliant IOC. NYSE Rule 1000
subparagraph (e)(ii)(D) is proposed for deletion because it restates
the information contained in subparagraph (e)(ii) above it.
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\13\ See NYSE Rule 13.
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Finally, the Exchange proposes to delete the rule language of NYSE
Rule 1000 Supplementary Material .10 that is no longer applicable, as
it relates to a former pilot operated by the Exchange between May 12,
2006 and October 31, 2006. The Exchange proposes to reserve this rule
section.
2. Statutory Basis
The basis under the Securities Exchange Act of 1934 (the ``Act'')
\14\ for these proposed rule changes is the requirement under Section
6(b)(5) \15\ 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 proposed rule change supports these principles in that it seeks to
protect the investor and the public interest by allowing an incoming
limit order to execute against all the liquidity available on the
Exchange.
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\14\ 15 U.S.C. 78a.
\15\ 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
Within 35 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) By order approve the proposed rule change, or
(B) Institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. In addition, the Commission seeks
comment on whether the proposed handling of incoming orders receiving
partial fills that include CCS interest is consistent with the Act and,
in particular, whether the proposed rule changes are designed to
promote just and equitable principles of trade and, in general, to
protect investors and the public interest.
Specifically, in certain situations, the Exchange's proposal would
allow the DMM's CCS interest to participate in partial fills at the
best possible price (from the DMM's perspective), even when this price
is inferior to all the non-CCS interest participating in the same
execution. Currently, NYSE's rules allow for CCS participation only
when the incoming order will be completely filled, and the DMM's CCS
interest may not participate in an execution at a price inferior to the
completion price.
The Commission notes the fact pattern presented above under the
heading ``CCS Partial Fill at the LRP 2'' where, under NYSE's
current rules, an incoming order of 600 shares would be completed at
$20.08 (200, 100, and 100 shares of non-CCS interest at $20.10, $20.09,
and $20.08 respectively, and 200 shares of CCS interest also at
$20.08).\16\ In contrast, under the proposal, an incoming order of 700
shares that outsizes the available non-CCS interest would be partially
completed by CCS interest at the LRP price, and thus would receive an
execution of 200 shares against CCS interest at $20.05, rather than
$20.08, before the system quotes the residual 100 shares at $20.05, the
LRP.\17\
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\16\ See supra note 11.
\17\ See supra text accompanying note 11.
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Absent the proposed rule change, a 700-share incoming order would
result in a partial fill without any CCS participation, with 300 shares
unexecuted and quoting at the LRP. Thus, the Commission notes that the
proposal may benefit the incoming order by immediately and
automatically executing additional shares at the order's limit price or
at the LRP price, as applicable. However, the Commission is interested
in commenters' views on the proposed expansion of DMMs' CCS
capabilities for partial fills and, in particular, on the proposed
execution of CCS interest at the limit price of the order or the LRP
price, as the case may be, even when no other interest resides at that
price. To illustrate, in the ``CCS Partial Fill at the LRP 2''
example above, the proposal would result in a CCS interest execution at
$20.05 (i.e., the LRP price). Is another price more
[[Page 40264]]
appropriate? For example, should such CCS interest be executed at
$20.08 (the last price at which there is non-CCS interest)? Another
price? Why or why not?
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 [email protected]. Please include
File Number SR-NYSE-2009-71 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street, NE., Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSE-2009-71. 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, 100 F Street, NE.,
Washington, DC 20549, on official business days between the hours of 10
a.m. and 3 p.m. Copies of the 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-2009-71 and should be
submitted on or before September 1, 2009.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\18\
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\18\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-19145 Filed 8-10-09; 8:45 am]
BILLING CODE 8010-01-P