Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend Rule 7.35-E

<NOTICE> SECURITIES AND EXCHANGE COMMISSION <DEPDOC>[Release No. 34-103886; File No. SR-NYSEARCA-2025-67]</DEPDOC> <SUBJECT>Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend Rule 7.35-E</SUBJECT> <DATE>September 5, 2025.</DATE> Pursuant to Section 19(b)(1)  <SU>1</SU> <FTREF/> of the Securities Exchange Act of 1934 (“Act”)  <SU>2</SU> <FTREF/> and Rule 19b-4 thereunder, <SU>3</SU> <FTREF/> notice is hereby given that, on August 27, 2025, NYSE Arca, Inc. (“NYSE Arca” or the “Exchange”) filed with the Securities and Exchange Commission (the “Commission”) the proposed rule change as described in Items I and II below, which Items have been prepared by the self-regulatory organization. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. <FTNT> <SU>1</SU>  15 U.S.C. 78s(b)(1). </FTNT> <FTNT> <SU>2</SU>  15 U.S.C. 78a. </FTNT> <FTNT> <SU>3</SU>  17 CFR 240.19b-4. </FTNT> <HD SOURCE="HD1">I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change</HD> The Exchange proposes to amend Rule 7.35-E (Auctions) regarding Auction Imbalance Information and make related conforming changes. The proposed rule change is available on the Exchange's website at <E T="03">www.nyse.com</E> and at the principal office of the Exchange. <HD SOURCE="HD1">II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change</HD> 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, set forth in sections A, B, and C below, of the most significant parts of such statements. <HD SOURCE="HD2">A. Self-Regulatory Organization's Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change</HD> <HD SOURCE="HD3">1. Purpose</HD> The Exchange proposes to amend Rule 7.35-E (Auctions) regarding the calculation of auction imbalance information disseminated by the Exchange. Specifically, the Exchange proposes to amend certain provisions of Rule 7.35-E to provide that, for purposes of the Auction Imbalance Information, imbalance information will be calculated based on the Auction Reference Price rather than the Indicative Match Price. As defined in Rule 7.35-E(a)(4), Auction Imbalance Information is information disseminated by the Exchange for an auction. Auction Imbalance Information is updated at least every second, unless there is no change to the information and is disseminated via proprietary data feed. Auction Imbalance Information includes, if applicable, the Total Imbalance, Market Imbalance, Indicative Match Price, Matched Volume, Auction Reference Price, Auction Collar, Book Clearing Price, Far Clearing Price, Imbalance Freeze Indicator, and Auction Indicator. <SU>4</SU> <FTREF/> The Indicative Match Price, as defined in Rule 7.35-E(a)(8), is the best price at which the maximum volume of shares, including the non-displayed quantity of Reserve Orders, is tradable in the applicable auction (subject to the Auction Collars). Auction Reference Price is currently defined in Rule 7.35-E(a)(8)(A) as follows:  <SU>5</SU> <FTREF/> <FTNT> <SU>4</SU>   <E T="03">See</E> Rule 7.35-E(a)(4). </FTNT> <FTNT> <SU>5</SU>  The Exchange notes that it has separately filed a proposed rule change to amend the definition of Auction Reference Price to, among other things, consider the price of the last consolidated trade of at least one round lot. <E T="03">See</E> Securities Exchange Act Release No. 103740 (August 19, 2025), 90 FR 41143 (August 22, 2025) (SR-NYSEARCA-2025-60). For the reasons noted in SR-NYSEARCA-2025-60, the Exchange believes the proposed changes to the Auction Reference Price described therein would enhance the calculation of the Auction Reference Price to better reflect more recent trading activity. The Exchange believes that calculating Auction Imbalance Information based on the Auction Reference Price, whether under the current definition or the definition proposed in SR-NYSEARCA-2025-60, would provide market participants with improved imbalance information that is based on the price at which a security is currently trading. </FTNT> <GPOTABLE COLS="2" OPTS="L2,tp0,i1" CDEF="s50,r150"> <TTITLE> </TTITLE> <CHED H="1">Auction</CHED> <CHED H="1">Auction reference price</CHED> <ROW> <ENT I="01">Early Open Auction</ENT> <ENT>Prior trading day's Official Closing Price.</ENT> </ROW> <ROW> <ENT I="01">Core Open Auction</ENT> <ENT>The midpoint of the Auction NBBO or, if the Auction NBBO is locked, the locked price. If there is no Auction NBBO, the prior trading day's Official Closing Price.</ENT> </ROW> <ROW> <ENT I="01">Closing Auction</ENT> <ENT>Last consolidated round-lot price of that trading day and, if none, the prior trading day's Official Closing Price.</ENT> </ROW> <ROW> <ENT I="01">Trading Halt Auction</ENT> <ENT>Last consolidated round-lot price of that trading day and, if none, the prior trading day's Official Closing Price (except as provided for in Rule 7.35-E(e)(7)(A)).</ENT> </ROW> <ROW> <ENT I="01">IPO Auction</ENT> <ENT>Zero, unless the Exchange is provided with a price for the security.</ENT> </ROW> </GPOTABLE> The Exchange does not propose any change to its use of the Indicative Match Price as the price at which auctions would take place but believes that disseminating Auction Imbalance Information based on the Auction Reference Price instead of the Indicative Match Price would provide market participants with enhanced Auction Imbalance Information. Specifically, whereas the Indicative Match Price is representative of the price at which an auction would take place at a given time, the Auction Reference Price may offer market participants more information on the imbalance in the market for a security because it would reflect, for example, the midpoint of the Auction NBBO  <SU>6</SU> <FTREF/> going into the Core Open Auction and thus may provide a better indication of the prevailing market price for a security. Accordingly, the Exchange believes that the proposed change would enhance the price information available to market participants through the Auction Imbalance Information and could allow market participants to more accurately respond to imbalances in the market for a security, potentially attracting additional orders to the Exchange to participate in the auction. The Exchange also believes that the proposed change could promote auction quality, to the extent the enhanced Auction Imbalance Information encourages auctions to take place at prices closer to where securities are trading in the market. <FTNT> <SU>6</SU>  The Auction NBBO is the national best bid or offer used for purposes of pricing an auction. <E T="03">See</E> NYSE Arca Rule 7.35-E(a)(5). </FTNT> This proposed change would align the Exchange's rules with those of its affiliate NYSE American, LLC (“NYSE American”), which recently filed an immediately effective proposed rule change to make the same changes as proposed in this filing to reflect the calculation of Auction Imbalance Information based on Auction Reference Price. <SU>7</SU> <FTREF/> <FTNT> <SU>7</SU>   <E T="03">See</E> SR-NYSEAMER-2025-52, available at: <E T="03">https://www.nyse.com/publicdocs/nyse/markets/nyse-american/rule-filings/filings/2025/SR-NYSEAMER-2025-52_Re-file.pdf.</E> The proposed rule change set forth in SR-NYSEAMER-2025-52 was effective as of filing on August 26, 2025, and will be operative 30 days thereafter. As noted in SR-NYSEAMER-2025-52, the Exchange will announce the implementation date of the proposed change by Trader Update, and the Exchange expects to implement those changes in conjunction with the changes proposed in this filing. </FTNT> <HD SOURCE="HD2">Proposed Rule Change</HD> The Exchange proposes the following changes to NYSE Arca Rule 7.35-E to effect the changes described above. Rule 7.35-E(a) sets forth definitions of terms used in Rule 7.35-E. Rule 7.35-E(a)(7) defines “Imbalance” as the number of buy (sell) shares that cannot be matched with sell (buy) shares at the Indicative Match Price at any given time and, unless otherwise specified, includes the non-displayed quantity of Reserve Orders eligible to participate in the applicable auction. Rule 7.35-E(a)(7)(A) currently defines “Total Imbalance” as the net Imbalance of all buy (sell) shares at the Indicative Match Price for all orders that are eligible to trade in the applicable auction. The Exchange proposes to amend Rule 7.35-E(a)(7)(A) to replace Indicative Match Price with Auction Reference Price, such that the Total Imbalance (which is disseminated as part of the Auction Imbalance Information) would reflect the net Imbalance calculated at the Auction Reference Price, for the reasons noted above. The Exchange notes that this proposed change would distinguish the Total Imbalance from the Imbalance. Whereas these two terms currently have essentially the same meaning, this proposed change would define Total Imbalance as the Imbalance calculated at the Auction Reference Price, and Imbalance would continue to be calculated at the Indicative Match Price. This proposed change is based on NYSE American Rule 7.35E(a)(7)(A) without any changes. Rule 7.35-E(a)(7)(B) currently defines “Market Imbalance” as the imbalance of any remaining buy (sell) Market Orders that are not matched for trading in the applicable auction. The Market Imbalance is published as part of the Auction Imbalance Information and is also used for other purposes, ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ Preview showing 10k of 29k characters. Full document text is stored and available for version comparison. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━