[Federal Register Volume 79, Number 29 (Wednesday, February 12, 2014)]
[Notices]
[Pages 8520-8524]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-03005]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-71498; File No. SR-BATS-2013-066]
Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of
Filing of Amendment No. 1, and Order Granting Accelerated Approval of a
Proposed Rule Change, as Modified by Amendment No. 1, To Adopt Rules To
Hold a Volatility Closing Auction
February 6, 2014.
I. Introduction
On December 19, 2013, BATS Exchange, Inc. (the ``Exchange'' or
``BATS'') filed with the Securities and Exchange Commission
(``Commission'') pursuant to Section 19(b)(1) of the Securities
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a
proposed rule change to amend Exchange Rule 11.23 to add a new auction
type known as the Volatility Closing Auction. The proposed rule change
was published for comment in the Federal Register on December 27,
2013.\3\ The Commission received one comment on the proposal.\4\ On
January
[[Page 8521]]
14, 2014, BATS filed Amendment No. 1 to the proposed rule change.\5\
This order approves the proposed rule change, as modified by Amendment
No. 1, on an accelerated basis.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 71162 (December 20,
2013), 78 FR 79030 (``Notice'').
\4\ See Letter to Elizabeth M. Murphy, Secretary, Commission,
from Abraham Kohen, AK FE Consultants LLC, dated December 23, 2013
(``Kohen Letter''). The commenter questioned the Exchange's
determination to refer to the new auction type as the Volatility
Closing Auction and suggested that a more specific Web site address
should be used within the Notice to direct readers to the text of
the proposed rule change. The Exchange did not respond to the
comment.
\5\ In Amendment No. 1, BATS amended the proposal to make clear
that where a halt occurs before 3:50 p.m. E.T. and the Quote-Only
Period for the associated Halt Auction would be extended between
3:50 p.m. and 4:00 p.m. E.T. such Halt Auction will, instead of
being extended, immediately become a Volatility Closing Auction. The
Amendment also proposes to amend the definition of ``Quote-Only
Period'' as defined in Exchange Rule 11.23(a)(17) to include
Volatility Closing Auctions.
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II. Description of the Proposal
In its filing with the Commission, the Exchange proposes to add a
new auction type to its rules, a Volatility Closing Auction, which will
apply any time that an Exchange-listed security is halted during the
last 10 minutes of Regular Trading Hours \6\ or where the Quote-Only
Period \7\ of a Halt Auction would be extended during the last 10
minutes of Regular Trading Hours. In particular, the Exchange proposes
to add the Volatility Closing Auction in preparation for the operation
during the last 15 minutes of Regular Trading Hours of the National
Market System Plan to Address Extraordinary Market Volatility (the
``Limit Up-Limit Down Plan'' or ``Plan'').\8\
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\6\ Regular Trading Hours are defined in Exchange Rule 1.5(w) as
the time between 9:30 a.m. to 4:00 p.m. E.T.
\7\ Quote-Only Period means a designated period of time prior to
a Halt Auction or an IPO Auction during which Users may submit
orders to the Exchange for participation in the auction. See
Exchange Rule 11.23(a)(17).
\8\ See Securities Exchange Act Release No. 67091 (May 31,
2012), 77 FR 33498 (June 6, 2012) (File No. 4-631) (Order Approving,
on a Pilot Basis, the National Market System Plan To Address
Extraordinary Market Volatility).
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The Plan is designed to prevent trades in individual NMS Stocks
from occurring outside of specified Price Bands.\9\ The requirements of
the Plan are coupled with Trading Pauses, or halts, to accommodate more
fundamental price moves (as opposed to erroneous trades or momentary
gaps in liquidity). The Commission approved the Plan, as amended, on a
one-year pilot basis.\10\ The Plan first became operational in April of
2013, with a staged rollout with respect to the portion of the trading
day to which the Plan applies as well as the securities subject to the
Plan. All trading centers in NMS Stocks, including both those operated
by Participants and those operated by members of Participants, are
required to establish, maintain, and enforce written policies and
procedures that are reasonably designed to comply with the requirements
specified in the Plan. The Exchange is a Participant in the Plan.
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\9\ Unless otherwise specified, capitalized terms used herein
are based on the defined terms of the Plan.
\10\ See supra note 8.
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As currently implemented, the Limit Up-Limit Down Plan applies to
securities between 9:30 a.m. and 3:45 p.m. E.T. each trading day. In
the near future, the operation of the Plan will be extended to include
the time between 3:45 p.m. and 4:00 p.m. E.T., which is the end of
Regular Trading Hours on the Exchange and is when the Exchange
typically conducts a Closing Auction for each of its listed securities.
The Exchange proposes to adopt rules for a Volatility Closing Auction
in connection with the extension of the Plan to the end of Regular
Trading Hours.
The Exchange proposes to add new paragraph (e) to Rule 11.23 to
govern the operation of Volatility Closing Auctions on the Exchange,
which will be auctions of Exchange-listed securities that are halted in
the last 10 minutes of Regular Trading Hours or where the Quote-Only
Period of a Halt Auction would be extended during the last 10 minutes
of Regular Trading Hours.\11\ As noted by the Exchange, a Volatility
Closing Auction would operate in certain respects like an Exchange Halt
Auction as described in Exchange Rule 11.23(d) and in other respects
like an Exchange Closing Auction as described in Exchange Rule
11.23(c).\12\
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\11\ See Notice, supra note 3 at 79031.
\12\ See Id.
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According to the Exchange, similar to a Halt Auction on the
Exchange, a Volatility Closing Auction will have a period of time that
orders are accepted for participation in such auction during which no
trading is occurring on the Exchange (the ``Quote-Only Period'').\13\
The Quote-Only Period with respect to a Volatility Closing Auction
would commence at the time a security is halted between 3:50 p.m. and
4:00 p.m. and will end at 4:00 p.m.\14\ Thus, to the extent the
Exchange halts a security after 3:55 p.m. but before 4:00 p.m., such
security will be halted for less than five minutes prior to the
Volatility Closing Auction.\15\ The Exchange believes this is
appropriate because it will ensure that the final auction of the day in
all Exchange-listed securities consistently occurs at 4:00 p.m.
E.T.\16\
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\13\ See Id.
\14\ See Proposed Rule 11.23(e).
\15\ See Notice, supra note 3 at 79031. The Exchange clarified
that where a halt occurs before 3:50 p.m. E.T. and the Quote-Only
Period for the associated Halt Auction would be extended between
3:50 p.m. and 4:00 p.m. E.T., such Halt Auction will, instead of
being extended, immediately become a Volatility Closing Auction. See
Amendment No. 1.
\16\ See Id.
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The Exchange notes it will not extend the Quote-Only Period
associated with a Volatility Closing Auction, which is the same as with
a Closing Auction.\17\ In contrast, the Exchange's rules related to
Exchange Halt Auctions provide that the Quote-Only Period may be
extended where there are unmatched market orders on the auction book
associated with the auction and where the indicative price moves the
greater of 10% or fifty (50) cents in the fifteen (15) seconds prior to
the Halt Auction, both to ensure that there is sufficient interest and
stability after a halt to reopen the security for trading.\18\ Halt
Auctions, however, occur during Regular Trading Hours and the Exchange
retains discretion to not extend the Quote-Only Period of a Halt
Auction such that it would interfere with a Closing Auction. While the
Exchange acknowledges that some of the same issues for which the
ability to extend the Quote-Only Period of a Halt Auction may exist
where there are unmatched market orders or dramatic price movements
near the end of the Quote-Only Period of the Volatility Closing
Auction, the Exchange believes that these concerns are outweighed by
the importance of providing members and the investing public with a
definitive market close and an official closing price at 4:00 p.m. E.T.
The Exchange believes that the clarity that comes from requiring that a
Volatility Closing Auction occurs at 4:00 p.m. E.T. will help reduce
uncertainty for members participating in the Volatility Closing
Auction.\19\
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\17\ See Id.
\18\ See Exchange Rule 11.23(d)(2)(B).
\19\ See Notice, supra note 3 at 79031-2.
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The Exchange highlights certain elements of its closing process
that promote a fair and orderly closing, despite its determination to
have Volatility Closing Auctions conclude at 4:00 p.m. E.T. First, the
Exchange notes that, even where a halt is declared very near 4:00 p.m.
E.T., it has proposed that all Volatility Closing Auctions be required
to close at a price level within the Collar Price Range \20\ in order
to ensure that the Volatility Closing Auction price is based on
rational and current market conditions.\21\ Second,
[[Page 8522]]
the Exchange further restricts the price of a Volatility Closing
Auction by using the Final Last Sale Eligible Trade as the Volatility
Closing Auction price where no limit orders from one or both sides
would participate in the Volatility Closing Auction.\22\ According to
the Exchange, this restriction ensures that there is crossed limit
interest in the Volatility Closing Auction if the Volatility Closing
Auction price is going to look to the entered limit interest to
determine the price, which prevents a single limit order from
interacting with market orders to determine the Volatility Closing
Auction Price.\23\ Finally, the Exchange notes that it retains
discretion under Rule 11.23(f) (re-numbered pursuant to this proposal)
to adjust the timing of or suspend an auction with prior notice to
Users where the interests of a fair and orderly market so require.\24\
As noted by the Exchange, in a situation where the Exchange deemed it
necessary to adjust the timing of a Volatility Closing Auction in order
to maintain a fair and orderly market, i.e., to a time later than 4:00
p.m. E.T., the Exchange would notify Exchange Users in advance of the
time that the auction would occur and would provide for a Quote-Only
period prior to such auction.\25\
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\20\ See Exchange Rule 11.23(a)(6).
\21\ See Notice, supra note 3 at 79032.
\22\ See Proposed Rule 11.23(e)(2)(B).
\23\ See Notice, supra note 3 at 79032.
\24\ See Proposed Rule 11.23(f).
\25\ See Notice, supra note 3 at 79032.
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During the Quote-Only Period of a Volatility Closing Auction, the
Exchange will accept all orders eligible to participate in both a Halt
Auction and a Closing Auction in order to avoid participant confusion
and to facilitate participation in the Volatility Closing Auction. This
includes limit and market orders as well as any Eligible Auction Orders
applicable to a Closing Auction on the Exchange. Thus, the Exchange
will accept Regular Hours Only orders (``RHOs''), Limit-On-Close orders
(``LOCs''), Late-Limit-On-Close orders (``LLOCs'') and Market-On-Close
orders (``MOCs'') for participation in a Volatility Closing Auction,
and the typical restrictions on such orders will apply. For instance,
as with a Closing Auction, the Exchange will not accept any LOCs or
MOCs after 3:55 p.m. E.T. Similarly, the Exchange will not accept any
LLOCs before 3:55 p.m. E.T. The Exchange notes, however, that, while
these restrictions remain in place, regular limit and market orders can
be entered and cancelled without restriction at any time prior to
execution. In contrast to a typical Closing Auction, however, because
the Exchange is accepting Eligible Auction Orders only to facilitate
participation in and avoid confusion during the Volatility Closing
Auction and because a User could alternatively enter and cancel limit
orders and market orders without restriction during the Quote-Only
Period, Eligible Auction Orders associated with a Volatility Closing
Auction may also be cancelled at any time prior to execution.\26\ The
Exchange believes that allowing participants to cancel orders
specifically designated for a Closing Auction up to the time of the
Volatility Closing Auction is appropriate because halts or extensions
of a Quote-Only Period of a Halt Auction in the last 10 minutes of the
trading day necessitating a Volatility Closing Auction may be
indicative of price dislocation in a security and because such orders
may have been entered well before such event occurred.\27\
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\26\ In a Closing Auction, LOC and MOC orders cannot be
cancelled in the five minutes leading up to the auction.
\27\ See Notice, supra note 3 at 79033.
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With respect to market data, the Exchange represents that it will
disseminate the same information that it does for other auctions
conducted on the Exchange.\28\ Thus, coinciding with the beginning of
the Quote-Only Period for a security and updated every five seconds
thereafter, the Reference Price, Indicative Price, Auction Only Price,
and the lesser of Reference Buy Shares and Reference Sell Shares
associated with the Volatility Closing Auction will be disseminated by
the Exchange via electronic means.
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\28\ Id. at 79031.
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The Exchange represents that it will conduct a Volatility Closing
Auction in a manner similar to a Halt Auction. Specifically, orders
will be executed at the price that maximizes the number of shares
executed in the auction.\29\ For ETPs, orders will be executed at the
price level within the Collar Price Range that maximizes the number of
shares executed in the auction. In the event of a volume based tie at
multiple price levels, the price level closest to the Final Last Sale
Eligible Trade will be used for Volatility Closing Auctions. Where no
limit orders from one or both sides (the buy side, the sell side, or
both the buy and sell side) would participate in a Volatility Closing
Auction, the Volatility Closing Auction will occur at the price of the
Final Last Sale Eligible Trade. According to the Exchange, the only
differences between the processing of a Halt Auction and a Volatility
Closing Auction are that: (1) The Volatility Closing Auction price will
be used as the official closing price for dissemination to the
consolidated tape (the ``BATS Official Closing Price''), and (2) a
Volatility Closing Auction will not be delayed due to a market order
imbalance or due to a significant change in the Indicative Price, which
can extend the Quote-Only Period of a Halt Auction, as explained
above.\30\
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\29\ See Proposed Rule 11.23(e)(2)(B).
\30\ See Notice, supra note 3 at 79032.
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The Exchange also proposes to process a Volatility Closing Auction
in a manner consistent with auctions conducted by the Exchange, in
that, as proposed, market orders, including MOCs, will have higher
priority than other Volatility Closing Auction Eligible Orders.\31\ To
the extent there is executable contra side interest, such market orders
will be executed at the BATS Official Closing Price according to time
priority. After the execution of all market orders, the remaining
orders priced at or more aggressively than the BATS Official Closing
Price will be executed on the basis of price/time priority.\32\
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\31\ See Proposed Rule 11.23(e)(2)(C).
\32\ See Id.
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The Exchange will transition to the After Hours Trading Session
\33\ following a Volatility Closing Auction in much the way that it
does for a Closing Auction.\34\ Thus, limit order shares that are not
executed in the Volatility Closing Auction will remain on the
Exchange's order book during the After Hours Trading Session, subject
to a User's instructions and the fact that certain auction specific
limit orders will be cancelled.\35\ RHO, LOC, LLOC, MOC and market
order shares that are not executed in the Volatility Closing Auction
will be cancelled at the conclusion of the Volatility Closing
Auction.\36\ According to the Exchange, the only difference between
this transition and a typical Closing Auction is that market orders are
also cancelled, which differs only because such orders may enter the
Volatility Closing Auction in the first place.\37\ Other than MOCs,
which are specifically designated for a Closing Auction, market orders
cannot participate in Closing Auctions because they do not post to the
Continuous Book,\38\ and thus the Exchange does not
[[Page 8523]]
address their transition to the After Hours Trading Session in its
Closing Auction transition process.
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\33\ The After Hours Trading Session is defined in Exchange Rule
1.5(c) and currently means the time between 4:00 p.m. to 5:00 p.m.
E.T.
\34\ See Proposed Rule 11.23(e)(3).
\35\ See Id.
\36\ See Id.
\37\ See Notice, supra note 3 at 79032.
\38\ Market orders received by the Exchange are executed or
routed by the Exchange to other market centers but do not post to
the Exchange's Continuous Book. See Rules 11.9(a)(2), 11.13(a)(1)
and 11.13(a)(2). The Continuous Book is defined in Exchange Rule
11.23(a)(7) as all orders on the BATS Book that are not Eligible
Auction Orders.
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In addition to the changes described above, in order to correct a
typographical error in the original filing that proposed Rule 11.23,
the Exchange proposes to re-number paragraphs (g), (h) and (i) as (f),
(g) and (h), respectively. Finally, the Exchange proposes to add a
reference to the new auction type, a Volatility Closing Auction, to
current paragraph (h) (to be re-numbered as (g).
III. Discussion and Commission Findings
After careful review of the proposal, as modified by Amendment No.
1, and the comment letter received \39\ the Commission finds that the
proposed rule change is consistent with the requirements of the Act and
the rules and regulations thereunder that are applicable to a national
securities exchange.\40\ In particular, the Commission finds that the
proposed rule change is consistent with Section 6(b)(5) of the Act,\41\
which requires, among other things, that the rules of an exchange be
designed to promote just and equitable principles of trade, remove
impediments to, and perfect the mechanism of, a free and open market
and a national market system, and, in general, protect investors and
the public.
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\39\ See Kohen Letter. The Commission believes that the Exchange
may refer to this new auction as the Volatility Closing Auction as
it directly relates to the policies and procedures necessary to
implement the Limit Up-Limit Down Plan. The Commission believes that
the commenter's more general comments regarding the domain address
where an Exchange's rules are posted are not germane to this
proposed rule change.
\40\ In approving the proposal, the Commission has considered
the proposed rule's impact on efficiency, competition, and capital
formation. See 15 U.S.C. 78c(f).
\41\ 15 U.S.C. 78f(b)(1).
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The Exchange notes that all aspects of the proposed Volatility
Closing Auction are based upon existing processes built into both the
Exchanges' Halt Auction and the Exchange's Closing Auction. Consistent
with existing auctions, the Exchange will accept all orders eligible to
participate in both a Halt Auction and a Closing Auction and market
orders, including MOCs, will have higher priority than other Volatility
Closing Auction Eligible Orders. Such market orders, including MOCs,
will be executed at the BATS Official Closing Price according to time
priority to the extent there is executable contra side interest, after
which remaining orders priced at or more aggressively than the BATS
Official Closing Price will be executed on the basis of price/time
priority.\42\ Additionally, the Exchange will continue to disseminate
the same market data information for Volatility Closing Auctions as it
does with existing auctions.
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\42\ See Proposed Rule 11.23(e)(2)(C).
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Without the proposal, the Exchange notes that it could potentially
have a Halt Auction within minutes of the Closing Auction, which could
cause unnecessary confusion. The Exchanges believes that this proposal
is consistent with the Act and that the operation of a Volatility
Closing Auction for securities listed on the Exchange will assist in
the price discovery process and help to ensure a fair and orderly
market for securities listed on the Exchange that are halted at the end
of the trading day. The Exchange believes this proposal will ensure
that market participants have a single closing price at the end of the
trading day.
The Exchange's proposed Volatility Closing Auctions differs from
its Halt Auctions and Closing Auctions in certain ways that it believes
are appropriate and consistent with the Act. As discussed above, the
Exchange's Volatility Closing Auction differs from its Halt Auction in
that the Quote-Only Period for the Volatility Closing Auction will not,
as a general matter, be extended. While the Exchange acknowledges that
some of the same issues for which the ability to extend the Quote-Only
Period of a Halt Auction may exist where there are unmatched market
orders or dramatic price movements near the end of the Quote-Only
Period of the Volatility Closing Auction, the Exchange believes that
these concerns are outweighed by the importance of providing members
and the investing public with a definitive market close and an official
closing price at 4:00 p.m. E.T. The Exchange believes the clarity that
comes from requiring a Volatility Closing Auction to occur at 4:00 p.m.
E.T. will help reduce uncertainty for Members participating in the
Volatility Closing Auction.\43\
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\43\ See Notice, supra note 3 at 79031-2.
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Despite its determination to have Volatility Closing Auctions
conclude at 4:00 p.m. E.T., the Exchange highlights certain elements of
its closing process that it believes promote a fair and orderly market
and closing prices that are based on rational and current market
conditions. As explained above, the Exchange has proposed certain price
and execution constraints for the Volatility Closing Auction to ensure
that the auction occurs at a price that is based on rational and
current market conditions.\44\ Additionally, the Exchange reiterates
that it retains discretion under Rule 11.23(f) to adjust the timing of
or suspend an auction with prior notice to Users where the interests of
a fair and orderly market so require.
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\44\ See supra notes 21-26, 30, and accompanying text.
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The proposed Volatility Closing Auction also differs from Closing
Auctions. Specifically, orders specifically designated for the Closing
Auction are not permitted to be canceled after a certain time for
Closing Auctions. In contrast, the Exchange proposes to allow
participants to cancel orders specifically designated for a Closing
Auction up to the time of the Volatility Closing Auction. The Exchange
states that this is appropriate because the halt of trading of a
security or extension of the Quote-Only Period of a Halt Auction in the
last 10 minutes of the trading day necessitating a Volatility Closing
Auction may be indicative of price dislocation in a security and
because such orders may have been entered well before such halt
occurred.\45\ The Exchange believes it is appropriate and in the best
interests of investors and the public interest to allow orders to be
cancelled in such an event.
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\45\ The Exchange notes that its existing Halt Auction process
allows orders to be cancelled prior to such auction.
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For the various reasons noted above, the Commission finds that the
proposed rule change as modified by Amendment No. 1 is consistent with
the Act, including Section 6(b)(5) of the Act,\46\ which requires,
among other things, that the rules of an exchange be designed to
promote just and equitable principles of trade, remove impediments to,
and perfect the mechanism of, a free and open market and a national
market system, and, in general, protect investors and the public.
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\46\ 15 U.S.C. 78f(b)(1).
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The Commission finds good cause to approve the filing, as modified
by Amendment No. 1 to the proposed rule change, prior to the thirtieth
day after the date of the publication of notice of the filing thereof
in the Federal Register. The proposed revisions should further enhance
the Exchange's policies and procedures with respect to the operation of
the Limit Up-Limit Down Plan. Accelerated approval would allow the
Exchange to update its rule text immediately, thus providing users with
greater clarity and certainty with respect to the use of the new
Volatility Closing Auction functionality offered by the Exchange in
anticipation of the application of the Limit Up-Limit Down
[[Page 8524]]
plan through the end of Regular Trading Hours. Accordingly, the
Commission finds that good cause exists, consistent with Section
6(b)(5) of the Act, to approve the filing, as modified by Amendment No.
1, on an accelerated basis.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether Amendment No. 1
is consistent with the Act. 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 email to [email protected]. Please include
File Number SR-BATS-2013-066 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-BATS-2013-066. This file
number should be included on the subject line if email 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 Web site viewing and printing in
the Commission's Public Reference Room on official business days
between the hours of 10:00 a.m. and 3:00 p.m. Copies of such filing
also will be available for inspection and copying at the principal
offices 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-BATS-2013-066, and should be submitted on or before March 5, 2014.
V. Conclusion
It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\47\ that the proposed rule change, SR-BATS-2013-066, as modified
by amendment No. 1, be, and hereby is, approved on an accelerated
basis.
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\47\ 15 U.S.C. 78s(b)(2).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\48\
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\48\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-03005 Filed 2-11-14; 8:45 am]
BILLING CODE 8011-01-P