NYSE Guide,Rule 7.35B.,New York Stock Exchange,DMM-Facilitated Closing Auctions


(a) DMM and Floor Broker Responsibilities. It is the responsibility of each DMM to ensure that registered securities close as soon after the end of Core Trading Hours as possible, while at the same time not unduly hasty, particularly when at a price disparity from the Exchange Last Sale Price.

(1)

Floor Broker Interest: Floor Broker Interest is eligible to participate in the Closing Auction provided that the Floor broker has electronically entered such interest before the Auction Processing Period for the Closing Auction begins.

(A)

For such interest to be eligible to participate in the Closing Auction, a Floor broker must:

(i)

first, by the end of, but not after, Core Trading Hours, orally represent Floor Broker Interest at the point of sale, including symbol, side, size, and limit price.

(ii)

then, electronically enter such interest after the end of Core Trading Hours. The electronic entry of Floor Broker Interest will not be subject to Limit Order Price Protection.

(B)

Before Floor Broker Interest is ranked for the Closing Auction, it must be electronically accepted by the DMM. Once accepted, Floor Broker Interest will be processed as an order ranked Priority 2 - Display Orders from a Floor Broker Participant for purposes of inclusion in Closing Auction Imbalance Information and ranking and allocation in the Closing Auction.

(C)

After the end of Core Trading Hours, electronically-entered Floor Broker Interest cannot be reduced in size or replaced, provided that, subject to Floor Official approval, a DMM can accept a full cancellation of electronically-entered Floor Broker Interest to correct a Legitimate Error.

(2)

DMM Interest: A DMM may enter or cancel DMM Interest after the end of Core Trading Hours in order to supply liquidity as needed to meet the DMM’s obligation to facilitate the Closing Auction in a fair and orderly manner. The entry of DMM Interest after the end of Core Trading Hours will not be subject to Limit Order Price Protection.

(b) Closing Without a Trade. If there is no interest to conduct a Closing Auction, a DMM may close a registered security without a trade. In such case, the Official Closing Price for the security will be determined as provided for in Rule 1.1.

(c) DMM Closing Process. The DMM may effectuate a Closing Auction manually or electronically (see Rule 104(b)(ii)).

(1)

A DMM may not effect a Closing Auction electronically if:

(A)

the DMM has begun the process to close a security manually, including by manually entering DMM Auction Liquidity;

(B)

Floor Broker Interest for the Closing Auction that has been electronically entered or requested to be cancelled has not yet been accepted by the DMM;

(C)

it is the first day of trading of a security that is the subject of an IPO or a Direct Listing and the security never opened;

(D)

the security is suspended or halted at the end of Core Trading Hours;

(E)

there is no Exchange Last Sale Price;

(F)

a temporary suspension under paragraph (j)(2)(A) of this Rule has been invoked;

(G)

the Closing Auction Price will be more than a designated percentage away from the Exchange Last Sale Price as follows:


Exchange Last Sale Price

Designated Percentage


$25.00 and below

5%


$25.01 to $50.00

4%


Above $50.00

2%


(H)

the paired volume for the Closing Auction will be more than 1,000 round lots for such security.

(d) Closing Imbalance. A Closing Imbalance publication will include the Imbalance and the Side of the Imbalance. The Imbalance Reference Price for a Closing Imbalance is the Exchange Last Sale Price. The Exchange will not disseminate a Closing Imbalance if there is no Exchange Last Sale Price. A Closing Imbalance is disseminated to the securities information processor and a Regulatory Closing Imbalance is also disseminated to proprietary data feeds.

(1)

Publication of Regulatory Closing Imbalance. At the Closing Auction Imbalance Freeze Time, if the Closing Imbalance is 500 round lots or more, the Exchange will disseminate a Regulatory Closing Imbalance.

(A)

If, at the Closing Auction Imbalance Freeze Time, the Closing Imbalance is less than 500 round lots, but is otherwise significant in relation to the average daily trading volume in the security, a DMM may disseminate a Regulatory Closing Imbalance only with prior Floor Official approval.

(B)

A Regulatory Closing Imbalance is a one-time publication that should not be updated.

(C)

A Regulatory Closing Imbalance will be disseminated at the Closing Auction Imbalance Freeze Time regardless of whether the security has not opened or is halted or paused at that time.

(2)

Publication of Manual Closing Imbalance. Beginning one hour before the scheduled end of Core Trading Hours up to the Closing Auction Imbalance Freeze Time, a DMM may disseminate a Manual Closing Imbalance only with prior Floor Official approval. Only a DMM can update a Manual Closing Imbalance publication.

(A)

If a DMM disseminates a Manual Closing Imbalance, such publication must be updated at the Closing Auction Imbalance Freeze Time with either:

(i)

a Regulatory Closing Imbalance, if the conditions specified in paragraph (d)(1) of this Rule are met; or

(ii)

a “No Imbalance” publication if the conditions specified in paragraph (d)(1) of this Rule are no longer met.

(e) Auction Imbalance Information.

(1)

Time of Publication.

(A)

For the Closing Auction, the Exchange will begin disseminating Auction Imbalance Information at the Closing Auction Imbalance Freeze Time even if such security is in a halt condition or has not yet opened.

(B)

Beginning two hours before the end of Core Trading Hours up to the Closing Auction Imbalance Freeze Time, the Exchange will make available Total Imbalance, Side of Total Imbalance, Paired Quantity, Unpaired Quantity, Side of Unpaired Quantity, and if published, Manual Closing Imbalance, to Floor brokers for any security (i) in which a Floor broker has entered an order or (ii) as specifically requested by a Floor broker. This Auction Imbalance Information will be provided in a manner that does not permit electronic redistribution. Beginning at the Closing Auction Imbalance Freeze Time, all Closing Auction Imbalance Information will be made available to Floor Brokers.

(C)

The Exchange will not disseminate Auction Imbalance Information for the Closing Auction if there is no Exchange Last Sale Price.

(2)

Content. For the Closing Auction, the Exchange disseminates Total Imbalance, Side of Total Imbalance, Paired Quantity, Unpaired Quantity, Side of Unpaired Quantity, Continuous Book Clearing Price, Closing Interest Only Clearing Price, and Regulatory Closing Imbalance.

(3)

Imbalance Reference Price. The Imbalance Reference Price for the Closing Auction Imbalance Information will be:

(A)

the BB if the Exchange Last Sale Price is lower than the BB;

(B)

the BO if the Exchange Last Sale Price is higher than the BO; or

(C)

the Exchange Last Sale Price if it is at or between the BBO or if the security was halted or not opened by the Closing Auction Imbalance Freeze Time.

(f) Auction Imbalance Freeze. The Auction Imbalance Freeze for the Closing Auction will begin at the Closing Auction Imbalance Freeze Time. Order entry and cancellation will be processed during the Closing Auction Imbalance Freeze as follows:

(1)

Entry of MOC and LOC Orders:

(A)

If a Regulatory Closing Imbalance has not been published, the Exchange will reject all MOC and LOC Orders.

(B)

If a Regulatory Closing Imbalance has been published, the Exchange will accept MOC and LOC Orders opposite to the Side of the Regulatory Closing Imbalance and will reject MOC and LOC Orders on the Side of the Imbalance.

(2)

Cancellation of MOC, LOC, and Closing IO Orders:

(A)

From the beginning of the Auction Imbalance Freeze until two minutes before the scheduled end of Core Trading Hours, MOC, LOC, and Closing IO Orders may be cancelled or reduced in size only to correct a Legitimate Error.

(B)

Except as provided for in paragraph (j)(2)(B) of this Rule, a request to cancel, cancel and replace, or reduce in size a MOC, LOC, or Closing IO Order entered two minutes or less before the scheduled end of Core Trading Hours will be rejected.

(3)

Beginning 10 seconds before the scheduled close of trading, a request to enter a Closing D Order or D Order in any security or cancel, cancel and replace, or modify a Closing D Order or D Order in an Auction-Eligible Security will be rejected.

(4)

All other order instructions will be accepted, subject to the terms of such orders.

(g) Determining an Auction Price. The DMM is responsible for determining the Auction Price for a Closing Auction under this Rule. If there is an Imbalance of any size, the DMM must select an Auction Price at which all better-priced orders on the Side of the Imbalance can be satisfied.

(h) Auction Allocation. Once an Auction Price has been determined, orders will be allocated as follows:

(1)

Better-priced orders, including Yielding Orders and the reserve interest of Reserve Orders, entered by the Book Participant or a Floor Broker Participant are guaranteed to participate in the Closing Auction at the Auction Price.

(2)

At-priced orders and DMM Interest of any price are not guaranteed to participate in the Closing Auction and will be allocated in the following order:

(A)

First, orders ranked Priority 2- Displayed Orders and Closing D Orders will be allocated on parity by Participant pursuant to Rule 7.37(b)(2) - (7).

(B)

Next, orders ranked Priority 3 - Non-Displayed Orders will be allocated on parity by Participant pursuant to Rule 7.37(b)(2) - (7).

(C)

Next, LOC Orders will be allocated on time.

(D)

Next, Closing IO Orders opposite to the Side of the Unpaired Quantity will be allocated on time.

(i)

Closing IO Orders will not participate in the Closing Auction if there is no Unpaired Quantity at the Auction Price.

(E)

Next, the display quantity of orders ranked Priority 4 - Yielding Orders and Closing D Orders with a Yielding Modifier will be allocated on time.

(F)

Next, the non-display quantity of orders ranked Priority 4 - Yielding Orders will be allocated on time.

(3)

DMM Participant Allocation.

(A)

At-priced DMM Orders will be placed on the allocation wheel for the Closing Auction based on the time of entry and any other orders or interest from such DMM will join that position on the allocation wheel. If the only DMM Interest available to participate in a Closing Auction is DMM Auction Liquidity or betterpriced DMM Orders or both, such DMM Interest will be placed last on the allocation wheel.

(B)

A parity allocation to the DMM Participant will be allocated in price-time priority.

(i) The Closing Auction will be designated with a modifier to identify it as a Closing Auction Trade. The Exchange will report an Official Closing Price, as defined in Rule 1.1, for all Auction-Eligible Securities that trade on the Exchange, provided that an Official Closing Price will not be reported for a security if there was no Exchange Last Sale Price in such security on a trading day.

(j) Temporary Rule Suspensions.

(1)

Temporary Suspension of DMM Automated Closing Limitations.

(A)

If the CEO of the Exchange, or his or her designee, determines that a Floor-wide event is likely to have an impact on the ability of DMMs to arrange for a fair and orderly Closing Auction and that, absent relief, the operation of the Exchange is likely to be impaired, the CEO of the Exchange may temporarily suspend the prohibition on a DMM closing a security electronically if the Closing Auction Price will be more than the price or volume parameters specified in paragraph (c)(1)(F) and (G) of this Rule.

(B)

In determining whether to temporarily suspend the paragraphs (c)(1)(F) or (G) of this Rule, the CEO of the Exchange will:

(i)

consider the facts and circumstances that are likely to have Floor-wide impact for a particular trading session, including volatility in the day's trading session, trading in foreign markets, substantial activity in the futures market, evidence of pre-closing significant order imbalances across the market, government announcements, news and corporate events, and such other market conditions that could impact Floor-wide trading conditions;

(ii)

notify the Chief Regulatory Officer of the Exchange; and

(iii)

inform the Securities and Exchange Commission staff as promptly as practicable of the temporary suspension.

(C)

A temporary suspension under this Rule will be in effect for the trading day on which it was declared only.

(2)

Extreme Order Imbalances at or Near the Close. To avoid closing price dislocation that may result from an order entered into Exchange systems or represented to a DMM orally at or near the end of Core Trading Hours, the Exchange may temporarily suspend the following:

(A)

The requirement to enter all order instructions by the end of Core Trading Hours (Rule 7.34(a)(2)(B)) to permit the solicitation and entry of orders into Exchange systems, provided that:

(i)

Such orders are solicited solely to offset any Imbalance in a security that may exist as of the scheduled end of Core Trading Hours. For purposes of paragraph (j)(2)(A) of this Rule, the Imbalance includes all interest eligible to participate in the Closing Auction;

(ii)

The Exchange will disseminate a notice via its proprietary data feed and such other methods of communication, as determined by the Exchange, that notifies both on-Floor and off-Floor participants that the Exchange will be accepting offsetting orders after the end of Core Trading Hours up to an order acceptance cut-off time designated by the Exchange (the “Solicitation Period”). Such notification will include, at a minimum: (A) the security symbol; (B) the Total Imbalance; (C) the Side of the Total Imbalance; and (D) the Exchange Last Sale Price;

(iii)

If the Side of the Imbalance is to buy (sell), during the Solicitation Period, the Exchange will accept only sell (buy) Limit Orders and Floor Broker Interest with a limit price equal to or higher (lower) than the Exchange Last Sale Price. Such orders will not be subject to the Limit Order Price Check and will not be routed to an Away Market. The Exchange will reject all other orders and requests to cancel any orders, regardless of the time of entry of the original order. Orders entered during the Solicitation Period will be included in the calculation of the Continuous Book Clearing Price;

(iv)

The DMM will close the security the earlier of the order acceptance cut-off time or if the Imbalance is paired off at or reasonably contiguous to the Exchange Last Sale Price. For purposes of this Rule, a price reasonably contiguous to the Exchange Last Sale Price is within cents of the Exchange Last Sale Price and would be a price point that during a regular closing auction would not be considered a dislocating closing price as compared to the Exchange Last Sale Price. All offsetting interest solicited pursuant to this paragraph of the Rule will be executed consistent with paragraph (h) of this Rule; and

(v)

If the Exchange solicits orders after the close of Core Trading Hours pursuant to this Rule, the Total Imbalance information that is disseminated pursuant to paragraph (d) of this Rule will include all orders eligible to participate in the Closing Auction.

(B)

The prohibition on canceling an MOC or LOC Order after two minutes before the scheduled end of Core Trading Hours (paragraph (f)(2)(B) of this Rule), provided that:

(i)

The cancellation is necessary to correct a Legitimate Error; and

(ii)

Execution of such an MOC or LOC Order would cause significant price dislocation at the close.

(3)

Only the DMM assigned to a particular security may request a temporary suspension under paragraph (j)(2) of this Rule. A determination to declare such a temporary suspension may be made after the scheduled end of Core Trading Hours and will be made on a security-by-security basis. Such determination, as well as any entry or cancellation of orders or closing of a security under paragraph (j)(2) of this Rule, must be supervised and approved by an Executive Floor Governor and supervised by an Exchange Officer. Factors that may be considered when making such a determination include, but are not limited to, when the order(s) that impacted the Imbalance were entered into Exchange systems or orally represented to the DMM, the impact of such order(s) on the closing price of the security, the volatility of the security during the trading session, and the ability of the DMM to commit capital to dampen the price dislocation.

(4)

A temporary suspension under paragraph (j)(2) of this Rule is in effect only for the particular security for which such suspension has been granted and for that trading day.

Adopted: May 29, 2019 (NYSE-2019-05).

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