77304 Federal Register / Vol. 85, No. 231 / Tuesday, December 1, 2020 / Notices to the Commission (or its (8) The annualized tracking error SECURITIES AND EXCHANGE representatives), upon request; between the net asset value (‘‘NAV’’) of COMMISSION (4) Section 17(b) of the Exchange Act, the SPY and the S&P 500 Index does not and the rules and regulations meet or exceed 1%; provided, however, [Release No. 34–90495; File No. SR–NYSE– thereunder, as it relates to the obligation that if over two consecutive trading days 2020–95] of MGEX, in its capacity as a national the returns used to calculate annualized securities exchange, to make itself tracking error can be netted, such that Self-Regulatory Organizations; New available to inspection and examination the annualized tracking error falls below York Stock Exchange LLC; Notice of by the Commission (or its 1%, then any such exceedance shall be Filing of Proposed Rule Change To representatives), upon request; and deemed not to have occurred on those Make Permanent Commentaries to (5) the requirement that MGEX two consecutive trading days for Rule 7.35A and Commentaries to Rule register with the Commission as a purposes of this condition. For purposes 7.35B and Make Related Changes to clearing agency, as set forth in Section of this condition, the term ‘‘annualized Rules 7.32, 7.35C, 46B, and 47 17A of the Exchange Act, and the rules tracking error’’ should be calculated by and regulations thereunder, including taking the weekly return differences November 24, 2020. the exemption from registration in Pursuant to Section 19(b)(1) 1 of the paragraph (b)(7) of that section. between the NAV of the SPY and the Securities Exchange Act of 1934 Such exemptions are subject to the S&P 500 Index for the trailing 12 (‘‘Act’’) 2 and Rule 19b–4 thereunder,3 conditions set forth below. To the extent months (with each week beginning and notice is hereby given that, on that one or more of these conditions is ending on a Friday), taking into account no longer satisfied, the exemptions set dividends (as applicable), and then November 13, 2020, New York Stock forth in this order will no longer apply multiplying the standard deviation of Exchange LLC (‘‘NYSE’’ or ‘‘Exchange’’) three calendar months after the end of those return differences by the square filed with the Securities and Exchange the month in which any condition was root of 52. Commission (‘‘Commission’’) the proposed rule change as described in no longer satisfied. (9) The official closing price of the Items I and II below, which Items have (1) SPIKES measures the magnitude of SPY, as determined pursuant to the been prepared by the self-regulatory changes in the level of the price of the rules of its primary listing exchange, ® ® organization. The Commission is units of the SPDR S&P 500 ETF Trust does not deviate from the NAV of the publishing this notice to solicit (‘‘SPY’’) over a defined period of time, SPY by more than 20 basis points for comments on the proposed rule change which magnitude is calculated using the five or more consecutive trading days. prices of options on the SPY and from interested persons. (10) MGEX shall monitor the daily represents: (a) An annualized standard I. Self-Regulatory Organization’s deviation of percent changes in the closing prices and the NAV of the SPY Statement of the Terms of Substance of price of the units of the SPY; (b) an and the corresponding returns of the the Proposed Rule Change annualized variance of percent changes S&P 500 Index. If (i) at any time the in the price of the units of the SPY; or annualized tracking error between the The Exchange proposes to make (c) on a non-annualized basis either the NAV of the SPY and the S&P 500 Index permanent Commentaries .01(a) and (b) standard deviation or the variance of exceeds 0.5% or (ii) for two or more and .06 to Rule 7.35A and percent changes in the price of the units consecutive trading days the official Commentaries .01 and .03 to Rule 7.35B of the SPY. closing price of the SPY, as determined and make related changes to Rules 7.32, (2) The average daily dollar volume in pursuant to the rules of its primary 7.35C, 46B, and 47. The proposed rule the units of the SPY is at least $10 listing exchange, deviates from the NAV change is available on the Exchange’s billion calculated over the preceding of the SPY by more than 20 basis points, website at www.nyse.com, at the 180 days. MGEX shall (A) promptly notify the principal office of the Exchange, and at (3) Units of the SPY are listed and Commission of such divergence, in a the Commission’s Public Reference traded on a national securities exchange form and manner acceptable to the Room. registered under section 6(a) of the Commission, and (B) conduct an Exchange Act. investigation in an attempt to determine II. Self-Regulatory Organization’s (4) The aggregate average daily its cause. Statement of the Purpose of, and notional volume in options on the SPY Statutory Basis for, the Proposed Rule is at least $400 million calculated over Dated: November 24, 2020. Change the preceding 180 days. By the Commission. (5) Options on the SPY are listed and Vanessa A. Countryman, In its filing with the Commission, the traded on a national securities exchange Secretary. self-regulatory organization included registered under section 6(a) of the [FR Doc. 2020–26419 Filed 11–30–20; 8:45 am] statements concerning the purpose of, Exchange Act. and basis for, the proposed rule change BILLING CODE 8011–01–P (6) The SPY is a ‘‘unit investment and discussed any comments it received trust,’’ as defined in Section 4(2) of the on the proposed rule change. The text Investment Company Act of 1940, and of those statements may be examined at is registered with the Commission as an the places specified in Item IV below. investment company under the The Exchange has prepared summaries, Investment Company Act of 1940. set forth in sections A, B, and C below, (7) The SPY holds a portfolio of of the most significant parts of such common stocks designed to provide statements. investment returns that, before expenses, correspond generally to the 1 15 U.S.C. 78s(b)(1). price and yield performance of the S&P 2 15 U.S.C. 78a. 500 Index. 3 17 CFR 240.19b–4. VerDate Sep<11>2014 18:11 Nov 30, 2020 Jkt 253001 PO 00000 Frm 00166 Fmt 4703 Sfmt 4703 E:\FR\FM\01DEN1.SGM 01DEN1 khammond on DSKJM1Z7X2PROD with NOTICES4 Federal Register / Vol. 85, No. 231 / Tuesday, December 1, 2020 / Notices 77305 A. Self-Regulatory Organization’s For a temporary period that begins Proposed Rule Changes Statement of the Purpose of, and the March 23, 2020, when the Trading Floor Proposed Changes to Parameters for Statutory Basis for, the Proposed Rule facilities have been closed pursuant to DMM-Facilitated Electronic Auctions Change Rule 7.1(c)(3), and ends on the earlier of a full reopening of the Trading Floor The Exchange proposes to make 1. Purpose facilities to DMMs or after the Exchange permanent the parameters for DMM- The Exchange proposes to make closes on December 31, 2020: facilitated electronic auctions that are permanent Commentaries .01(a) and (b) currently in effect on a temporary basis (a) The percentage price parameters in as set forth in Commentaries .01(a) and and .06 to Rule 7.35A (DMM-Facilitated paragraph (c)(1)(G) and (c)(2) of this Core Open and Trading Halt Auctions) (b) to Rule 7.35A and Commentary .01 Rule are suspended and a DMM may not to Rule 7.35B. and Commentaries .01 and .03 to Rule effect a Core Open or Trading Halt 7.35B (DMM-Facilitated Closing Current Rules 7.35A(c)(1)(G) and (H) Auction electronically if the Core Open provide that a DMM may not effect a Auctions) and make related changes to or Trading Halt Auction Price will be Rules 7.32 (Order Entry), 7.35C Core Open or Trading Halt Auction more than 10% away from the electronically if (i) the Auction Price (Exchange-Facilitated Closing Consolidated Last Sale Price. Auctions), 46B (Regulatory Trading will be more than 4% away from the (b) The volume parameters in 9 Official), and 47 (Floor Officials— Consolidated Last Sale Price, or (ii) the paragraph (c)(1)(H) of this Rule are Unusual Situations). paired volume for the Auction will be suspended. more than 1,500 round lots for securities Background (c) The requirement to publish a pre- with an average opening volume of In connection with the closing of the opening indication pursuant to 1,000 round lots or fewer in the Trading Floor facilities located at 11 paragraph (d) of this Rule before either previous calendar quarter, or 5,000 Wall Street in New York City as of a Core Open or Trading Halt Auction is round lots for securities with an average March 23, 2020 and moving the suspended. opening volume of over 1,000 round lots Exchange, on a temporary basis, to fully Commentary .06 to Rule 7.35A in the previous calendar quarter. Rule electronic trading,4 and subsequent provides: 7.35A(c)(2) further provides that if as of reopening of the Trading Floor on a 9:00 a.m., the E-mini S&P 500 Futures For a temporary period that begins on are +/¥2% from the prior day’s closing limited basis first to Floor Brokers on June 17, 2020 and ends on the earlier of 5 price of the E-mini S&P 500 Futures, or May 26, 2020 and then to DMMs on a full reopening of the Trading Floor 6 if the Exchange determines that it is June 15, 2020, the Exchange added facilities to DMMs or after the Exchange Commentaries .01 and .06 to Rule 7.35A necessary or appropriate for the closes on December 31, 2020, the maintenance of a fair and orderly and Commentaries .01 and .03 to Applicable Price Range specified in 7.35B.7 Currently, these Commentaries market, a DMM may effect an opening paragraphs (d)(3)(A) and (B) of this Rule or reopening electronically if the are in effect until the earlier of a full is suspended and the Applicable Price reopening of the Trading Floor facilities Auction Price will be up to 8% away Range will be 10% for securities with an from Consolidated Last Sale Price, to DMMs or after the Exchange closes on Indication Reference Price higher than December 31, 2020.8 without any volume limitations.