Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Related to the Quote Risk Monitor Mechanism, 72011-72012 [2011-29871]

Download as PDF Federal Register / Vol. 76, No. 224 / Monday, November 21, 2011 / Notices emcdonald on DSK5VPTVN1PROD with NOTICES Rule 6e–2 and Form N–6EI–1; SEC File No. 270–177; OMB Control No. 3235–0177. Notice is hereby given that, pursuant to the Paperwork Reduction Act of 1995 (44 U.S.C. 3501 et seq.), the Securities and Exchange Commission (‘‘Commission’’) has submitted to the Office of Management and Budget a request for extension of the previously approved collection of information discussed below. Rule 6e–2 (17 CFR 270.6e–2) under the Investment Company Act of 1940 (‘‘Act’’) (15 U.S.C. 80a) is an exemptive rule that provides separate accounts formed by life insurance companies to fund certain variable life insurance products, exemptions from certain provisions of the Act, subject to conditions set forth in the rule. The rule sets forth several information collection requirements. Rule 6e–2 provides a separate account with an exemption from the registration provisions of section 8(a) of the Act if the account files with the Commission Form N–6EI–1 (17 CFR 274.301), a notification of claim of exemption. The rule also exempts a separate account from a number of other sections of the Act, provided that the separate account makes certain disclosure in its registration statements (in the case of those separate account that elect to register), reports to contract holders, proxy solicitations, and submissions to state regulatory authorities, as prescribed by the rule. Paragraph (b)(9) of rule 6e–2 provides an exemption from the requirements of section 17(f) of the Act and imposes a reporting burden and certain other conditions. Section 17(f) requires that every registered management company meet various custody requirements for its securities and similar investments. The exemption provided in paragraph (b)(9) applies only to management accounts that offer life insurance contracts. Since 2008, there have been no filings under paragraph (b)(9) of rule 6e–2 by management accounts. Therefore, there has been no cost or burden to the industry regarding the information collection requirements of paragraph (b)(9) of rule 6e–2. In addition, there have been no filings of Form N–6EI–1 by separate accounts. The Commission requests authorization to maintain an inventory of one burden hour for administrative purposes. An agency may not conduct or sponsor, and a person is not required to respond to, a collection of information unless it displays a currently valid control number. The public may view the background documentation for this information VerDate Mar<15>2010 16:00 Nov 18, 2011 Jkt 226001 collection at the following Web site, http://www.reginfo.gov. Comments should be directed to: (i) Desk Officer for the Securities and Exchange Commission, Office of Information and Regulatory Affairs, Office of Management and Budget, Room 10102, New Executive Office Building, Washington, DC 20503, or by sending an email to: Shagufta_Ahmed@omb.eop.gov; and (ii) Thomas Bayer, Director/Chief Information Officer, Securities and Exchange Commission, c/o Remi PavlikSimon, 6432 General Green Way, Alexandria, VA 22312 or send an email to: PRA_Mailbox@sec.gov. Comments must be submitted to OMB within 30 days of this notice. Dated: November 14, 2011. Elizabeth M. Murphy, Secretary. [FR Doc. 2011–29873 Filed 11–18–11; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–65744; File No. SR–C2– 2011–034] Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Related to the Quote Risk Monitor Mechanism November 14, 2011. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ‘‘Act’’),1 and Rule 19b-4 thereunder,2 notice is hereby given that on November 7, 2011, the C2 Options Exchange, Incorporated (‘‘Exchange’’ or ‘‘C2’’) 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 Exchange. The Exchange has designated the proposal as a ‘‘non-controversial’’ proposed rule change pursuant to Section 19(b)(3)(A)(iii) of the Act 3 and Rule 19b-4(f)(6) thereunder.4 The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to adopt Rule 8.12 Quote Risk Monitor Mechanism. 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 15 U.S.C. 78s(b)(3)(A)(iii). 4 17 CFR 240.19b–4(f)(6). 2 17 PO 00000 Frm 00080 Fmt 4703 Sfmt 4703 72011 The text of the proposed rule change is available on the Exchange’s Web site (http://www.c2exchange.com/Legal/ RuleFilings.aspx), at the Exchange’s Office of the Secretary and at the Commission. 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 Exchange 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. A. Self-Regulatory Organization’s Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change 1. Purpose Through this rule change, the Exchange proposes to codify in its rules a service the Exchange offers to help Market-Makers manage their quotations. C2 Rules require Market-Makers to maintain continuous electronic quotes.5 To comply with this requirement, each Market-Maker can employ its own proprietary quotation and risk management systems to determine the prices and sizes at which it quotes. A Market-Maker’s risk in an options class is not limited to the risk in a single series of that class. Rather, a MarketMaker typically is active in quoting in multiple option classes, and each such option class can comprise dozens of individual option series. On C2, trades are automatically effected against a Market-Maker’s then current quote. As a result, a Market-Maker faces exposure in all series of a class, requiring that the Market-Maker off-set or otherwise hedge its overall position in a class. The QRM functionality helps Market-Makers limit this overall exposure and risk. Specifically, the functionality permits a Market-Maker to establish parameters in the system to cancel its electronic quotes in all series of an option class until the Market-Maker refreshes those electronic quotes. Under proposed Rule 8.12, each Market-Maker that elect to use the functionality would be required to specify two parameters that the QRM Mechanism would use to determine 5 See E:\FR\FM\21NON1.SGM C2 Rule 8.5(a)(1). 21NON1 72012 Federal Register / Vol. 76, No. 224 / Monday, November 21, 2011 / Notices when that Market-Maker’s quotes should be cancelled. In particular, each Market-Maker is required to specify a maximum number of contracts for each option class (the ‘‘Contract Limit’’) and a rolling time period in seconds during which such Contract Limit is to be measured (the ‘‘Measurement Interval’’). When the QRM Mechanism determines that the Market-Maker has traded more than the Contract Limit for any option class during any rolling Measurement Interval, the QRM Mechanism automatically cancels all of the Market-Maker’s quotes in any series of that option class. By limiting its exposure across series, a Market-Maker is better able to quote aggressively in an option, knowing that the QRM Mechanism will automatically cancel all its quotations in a class when its exposure limit is hit. The Exchange notes that the proposed rule would not relieve a Market-Maker of its obligations to provide continuous electronic quotes under the Exchange rules 6 nor to provide ‘‘firm’’ quotes pursuant to the requirements of Exchange Rule 8.6. The Exchange also notes that the proposed rule is based on Chicago Board Options Exchange, Incorporated (‘‘CBOE’’) Rule 8.18 (Quote Risk Monitor Mechanism). emcdonald on DSK5VPTVN1PROD with NOTICES 2. Statutory Basis The basis under the Securities Exchange Act of 1934 (the ‘‘Act’’) for this proposed rule change is the requirement under Section 6(b)(5) 7 that an exchange have rules that are designed to promote just and equitable principles of trade, and to remove impediments to and perfect the mechanism for a free and open market and a national market system, and, in general, to protect investors and the public interest. In particular, the Exchange believes the proposed change is designed to promote just and equitable principles of trade, and to remove impediments to and perfect the mechanism for a free and open market and national market system because the rule change would provide a mechanism that would allow C2 Market-Makers to more effectively and efficiently manage their quotations. Knowing that a helpful quote management tool is in place would, in turn, allow those Market-Makers to quote more aggressively which removes impediments to a free and open market and benefits all C2 users. 6 See 7 15 C2 Rule 8.5(a)(1). U.S.C. 78f(b)(5). VerDate Mar<15>2010 16:00 Nov 18, 2011 Jkt 226001 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 The Exchange neither solicited nor received comments on the proposal. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing proposed rule change: (1) Does not significantly affect the protection of investors or the public interest; (2) does not impose any significant burden on competition; and (3) by its terms does not become operative for 30 days after the date of this filing, or such shorter time as the Commission may designate if consistent with the protection of investors and the public interest, the proposed rule change has become effective pursuant to Section 19(b)(3)(A) 8 of the Act and Rule 19b–4(f)(6) thereunder.9 At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule change should be approved or 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 Exchange 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 rulecomments@sec.gov. Please include File No. SR–C2–2011–034 in 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–C2–2011–034. 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, 100 F Street NE., Washington, DC 20549, on official business days between the hours of 10 a.m. and 3 p.m. Copies of such 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–C2– 2011–034 and should be submitted by December 12, 2011. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.10 Elizabeth M. Murphy, Secretary. [FR Doc. 2011–29871 Filed 11–18–11; 8:45 am] BILLING CODE 8011–01–P 8 15 U.S.C. 78s(b)(3)(A). In addition, Rule 19b– 4(f)(6) requires the Exchange to give the Commission written notice of the Exchange’s intent to file the proposed rule change at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission. The Exchange has satisfied this requirement. 9 17 CFR 240.19b–4(f)(6). PO 00000 Frm 00081 Fmt 4703 Sfmt 9990 10 17 E:\FR\FM\21NON1.SGM CFR 200.30–3(a)(12). 21NON1

Agencies

[Federal Register Volume 76, Number 224 (Monday, November 21, 2011)]
[Notices]
[Pages 72011-72012]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2011-29871]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-65744; File No. SR-C2-2011-034]


 Self-Regulatory Organizations; C2 Options Exchange, 
Incorporated; Notice of Filing and Immediate Effectiveness of Proposed 
Rule Change Related to the Quote Risk Monitor Mechanism

November 14, 2011.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on November 7, 2011, the C2 Options Exchange, Incorporated 
(``Exchange'' or ``C2'') 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 
Exchange. The Exchange has designated the proposal as a ``non-
controversial'' proposed rule change pursuant to Section 
19(b)(3)(A)(iii) of the Act \3\ and Rule 19b-4(f)(6) thereunder.\4\ The 
Commission is publishing this notice to solicit comments on the 
proposed rule change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \4\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to adopt Rule 8.12 Quote Risk Monitor 
Mechanism. The text of the proposed rule change is available on the 
Exchange's Web site (http://www.c2exchange.com/Legal/RuleFilings.aspx), 
at the Exchange's Office of the Secretary and at the Commission.

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 Exchange 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.

A. Self-Regulatory Organization's Statement of the Purpose of, and the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    Through this rule change, the Exchange proposes to codify in its 
rules a service the Exchange offers to help Market-Makers manage their 
quotations. C2 Rules require Market-Makers to maintain continuous 
electronic quotes.\5\ To comply with this requirement, each Market-
Maker can employ its own proprietary quotation and risk management 
systems to determine the prices and sizes at which it quotes.
---------------------------------------------------------------------------

    \5\ See C2 Rule 8.5(a)(1).
---------------------------------------------------------------------------

    A Market-Maker's risk in an options class is not limited to the 
risk in a single series of that class. Rather, a Market-Maker typically 
is active in quoting in multiple option classes, and each such option 
class can comprise dozens of individual option series. On C2, trades 
are automatically effected against a Market-Maker's then current quote. 
As a result, a Market-Maker faces exposure in all series of a class, 
requiring that the Market-Maker off-set or otherwise hedge its overall 
position in a class. The QRM functionality helps Market-Makers limit 
this overall exposure and risk. Specifically, the functionality permits 
a Market-Maker to establish parameters in the system to cancel its 
electronic quotes in all series of an option class until the Market-
Maker refreshes those electronic quotes.
    Under proposed Rule 8.12, each Market-Maker that elect to use the 
functionality would be required to specify two parameters that the QRM 
Mechanism would use to determine

[[Page 72012]]

when that Market-Maker's quotes should be cancelled. In particular, 
each Market-Maker is required to specify a maximum number of contracts 
for each option class (the ``Contract Limit'') and a rolling time 
period in seconds during which such Contract Limit is to be measured 
(the ``Measurement Interval'').
    When the QRM Mechanism determines that the Market-Maker has traded 
more than the Contract Limit for any option class during any rolling 
Measurement Interval, the QRM Mechanism automatically cancels all of 
the Market-Maker's quotes in any series of that option class. By 
limiting its exposure across series, a Market-Maker is better able to 
quote aggressively in an option, knowing that the QRM Mechanism will 
automatically cancel all its quotations in a class when its exposure 
limit is hit.
    The Exchange notes that the proposed rule would not relieve a 
Market-Maker of its obligations to provide continuous electronic quotes 
under the Exchange rules \6\ nor to provide ``firm'' quotes pursuant to 
the requirements of Exchange Rule 8.6. The Exchange also notes that the 
proposed rule is based on Chicago Board Options Exchange, Incorporated 
(``CBOE'') Rule 8.18 (Quote Risk Monitor Mechanism).
---------------------------------------------------------------------------

    \6\ See C2 Rule 8.5(a)(1).
---------------------------------------------------------------------------

2. Statutory Basis
    The basis under the Securities Exchange Act of 1934 (the ``Act'') 
for this proposed rule change is the requirement under Section 6(b)(5) 
\7\ that an exchange have rules that are designed to promote just and 
equitable principles of trade, and to remove impediments to and perfect 
the mechanism for a free and open market and a national market system, 
and, in general, to protect investors and the public interest. In 
particular, the Exchange believes the proposed change is designed to 
promote just and equitable principles of trade, and to remove 
impediments to and perfect the mechanism for a free and open market and 
national market system because the rule change would provide a 
mechanism that would allow C2 Market-Makers to more effectively and 
efficiently manage their quotations. Knowing that a helpful quote 
management tool is in place would, in turn, allow those Market-Makers 
to quote more aggressively which removes impediments to a free and open 
market and benefits all C2 users.
---------------------------------------------------------------------------

    \7\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

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

    The Exchange neither solicited nor received comments on the 
proposal.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Because the foregoing proposed rule change: (1) Does not 
significantly affect the protection of investors or the public 
interest; (2) does not impose any significant burden on competition; 
and (3) by its terms does not become operative for 30 days after the 
date of this filing, or such shorter time as the Commission may 
designate if consistent with the protection of investors and the public 
interest, the proposed rule change has become effective pursuant to 
Section 19(b)(3)(A) \8\ of the Act and Rule 19b-4(f)(6) thereunder.\9\
---------------------------------------------------------------------------

    \8\ 15 U.S.C. 78s(b)(3)(A). In addition, Rule 19b-4(f)(6) 
requires the Exchange to give the Commission written notice of the 
Exchange's intent to file the proposed rule change at least five 
business days prior to the date of filing of the proposed rule 
change, or such shorter time as designated by the Commission. The 
Exchange has satisfied this requirement.
    \9\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act. If the Commission 
takes such action, the Commission shall institute proceedings to 
determine whether the proposed rule change should be approved or 
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 Exchange 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 rule-comments@sec.gov. Please include 
File No. SR-C2-2011-034 in 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-C2-2011-034. 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, 100 F Street NE., 
Washington, DC 20549, on official business days between the hours of 10 
a.m. and 3 p.m. Copies of such 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-C2-2011-034 and should be 
submitted by December 12, 2011.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\10\
---------------------------------------------------------------------------

    \10\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011-29871 Filed 11-18-11; 8:45 am]
BILLING CODE 8011-01-P