Self-Regulatory Organizations; Bats BZX Exchange, Inc.; Notice of Filing of Proposed Rule Change to BZX Rule 14.11(d) To Add the EURO STOXX 50® Volatility Futures to the Definition of Futures Reference Asset, 45185-45188 [2016-16380]

Download as PDF mstockstill on DSK3G9T082PROD with NOTICES Federal Register / Vol. 81, No. 133 / Tuesday, July 12, 2016 / Notices in the U.S. and other nations that is relevant and useful to practitioners, researchers, policymakers, and the public, including statistical data on (A) research and development trends; (B) the science and engineering workforce; (C) U.S. competitiveness in science, engineering, technology, and research and development. . .’’ Use of the information: The proposed project will continue the annual survey cycle for three years. The Higher Education R&D Survey will provide continuity of statistics on R&D expenditures by source of funding, type of R&D (basic research, applied research, or development), and field of R&D, with separate data requested on research equipment by field. Further breakdowns are collected on funds passed through to subrecipients and funds received as a subrecipient, and on R&D expenditures by field from specific federal agency sources. As of FY 2010, the survey also requests total R&D expenditures funded from foreign sources, R&D within an institution’s medical school, clinical trial expenditures, R&D by type of funding mechanism (contracts vs. grants), and R&D by cost category (salaries, equipment, software, etc.). The survey also requests headcounts of principal investigators and other personnel paid from R&D funds. Data are published in NSF’s annual publication series Higher Education Research and Development, available on the web at https://www.nsf.gov/statistics/ srvyherd/. Expected respondents: The FY 2016 Higher Education R&D Survey will be administered to approximately 700 institutions. In addition, a shorter version of the survey asking for R&D expenditures by source of funding and broad field will be sent to approximately 300 institutions spending under $1 million on R&D in their previous fiscal year. We also expect approximately 150 institutions to respond to the population screener form sent to determine eligibility for the survey. Finally, a survey requesting R&D expenditures by source of funds, cost categories, and type of R&D will be administered to the 42 Federally Funded Research and Development Centers. Estimate of burden: The survey is a fully automated web data collection effort and is handled primarily by administrators in university sponsored programs and accounting offices. To minimize burden, institutions are provided with an abundance of guidance and resources on the web, and are able to respond via downloadable VerDate Sep<11>2014 18:30 Jul 11, 2016 Jkt 238001 spreadsheet if desired. Each institution’s record is pre-loaded with the 2 previous years of comparable data that facilitate editing and trend checking. Response to this voluntary survey has exceeded 95 percent each year. The average burden estimate is 1 hour for the approximately 150 institutions responding to the population screener form, 55 hours for the approximately 700 institutions reporting over $1 million in R&D expenditures on the standard form, 8 hours for the approximately 300 institutions reporting less than $1 million on the short form, and 12 hours for the 42 organizations completing the FFRDC survey. The total calculated burden across all forms is 40,812 hours. Dated: July 6, 2016. Suzanne H. Plimpton, Reports Clearance Officer, National Science Foundation. [FR Doc. 2016–16421 Filed 7–11–16; 8:45 am] BILLING CODE 7555–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–78236; File No. SR– BatsBZX–2016–26] Self-Regulatory Organizations; Bats BZX Exchange, Inc.; Notice of Filing of Proposed Rule Change to BZX Rule 14.11(d) To Add the EURO STOXX 50® Volatility Futures to the Definition of Futures Reference Asset July 6, 2016. 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 June 23, 2016, Bats BZX Exchange, Inc. (the ‘‘Exchange’’ or ‘‘BZX’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule change as described in Items I and II below, which Items have been prepared by the Exchange. 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 the Substance of the Proposed Rule Change The Exchange filed a proposal to amend Rule 14.11(d) in order to add the EURO STOXX 50® Volatility (VSTOXX®) Futures (‘‘VSTOXX Futures’’) to the definition of Futures Reference Asset. PO 00000 1 15 2 17 U.S.C. 78s(b)(1). CFR 240.19b–4. Frm 00065 Fmt 4703 Sfmt 4703 45185 The text of the proposed rule change is available at the Exchange’s Web site at www.batstrading.com, at the principal office of the Exchange, and at the Commission’s Public Reference Room. 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 these 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 Statutory Basis for, the Proposed Rule Change 1. Purpose The Commission has approved the listing of debt securities known as Linked Securities 3 and, in particular, Futures-Linked Securities, which are Linked Securities with a payment at maturity based on the performance of a Futures Reference Asset,4 including listing pursuant to Rule 19b–4(e) under Rule 14.11(d)(2).5 Rule 19b–4(e) 6 under the Act provides that the listing and trading of a new derivative securities product by a self-regulatory organization (‘‘SRO’’) shall not be deemed a proposed rule change, pursuant to section (c)(1) of Rule 19b–4,7 if the Commission has 3 As defined in Rule 14.11(d), ‘‘Linked Securities’’ includes Multifactor Index-Linked Securities, Equity Index-Linked Securities, Commodity-Linked Securities, Fixed Income IndexLinked Securities, and Futures-Linked Securities. 4 As defined in Rule 14.11(d), ‘‘Futures Reference Asset’’ includes ‘‘an index of (a) futures on Treasury Securities, GSE Securities, supranational debt and debt of a foreign country or a subdivision thereof, or options or other derivatives on any of the foregoing; or (b) interest rate futures or options or derivatives on the foregoing in this subparagraph (b); or (c) CBOE Volatility Index (VIX) Futures.’’ 5 See Securities Exchange Act Release No. 65225 (August 30, 2011), 76 FR 55148 (September 6, 2011) (SR–BATS–2011–018) (Order Approving Proposed Rule Change to Adopt Rules for the Qualification, Listing and Delisting of Companies on the Exchange) (the ‘‘Approval Order’’). The Approval Order approved the rules permitting the listing of both Tier I and Tier II securities on the Exchange and the requirements associated therewith, which includes, among others, the listing and trading of Linked Securities, trading hours and halts, and listing fees originally applicable to Linked Securities. 6 17 CFR 240.19b–4(e). 7 17 CFR 240.19b–4(c)(1). E:\FR\FM\12JYN1.SGM 12JYN1 45186 Federal Register / Vol. 81, No. 133 / Tuesday, July 12, 2016 / Notices mstockstill on DSK3G9T082PROD with NOTICES approved, pursuant to Section 19(b) of the Act,8 the SRO’s trading rules, procedures, and listing standards for the product class and the SRO has a surveillance program for the product class.9 The Exchange proposes to amend Rule 14.11(d) in order to add VSTOXX Futures to the definition of Futures Reference Asset, which would allow the Exchange to list Futures-Linked Securities linked to VSTOXX Futures through generic listing standards pursuant to Rule 19b–4(e) under BZX Rule 14.11(d)(2)(K)(iv). Rule 14.11(d)(2)(K)(iv)(a) requires that a Futures-Linked Security meet one of the following standards: (1) That the Futures Reference Asset to which the security is linked shall have been reviewed and approved for the trading of Futures-Linked Securities or options or other derivatives by the Commission under Section 19(b)(2) of the Act and rules thereunder and the conditions set forth in the Commission’s approval order, including with respect to comprehensive surveillance sharing agreements, continue to be satisfied; or (2) the pricing information for components of a Futures Reference Asset must be derived from a market which is a member or affiliate of a member of the Intermarket Surveillance Group (‘‘ISG’’) or a market with which the Exchange has a comprehensive surveillance sharing agreement (‘‘CSSA’’).10 A Futures Reference Asset may include components not representing more than 10% of the dollar weight of such Futures Reference Asset for which the pricing information is derived from markets that do not meet requirement (2); provided, however, that no single component subject to this exceptions [sic] exceeds 7% of the dollar weight of the Futures Reference Asset. As proposed, adding VSTOXX Futures to the definition of Futures Reference Asset would satisfy the first criterion described above and the second criterion would be satisfied by virtue of Eurex Deutschland’s membership in ISG, as further described below. Further, any Futures-Linked Securities linked to VSTOXX Futures would also be required to meet both the initial and continued listing standards under Rule 14.11(d)(2)(K)(iv)(b) and (c) 8 15 U.S.C. 78s(b). Securities Exchange Act Release No. 40761 (December 8, 1998), 63 FR 70952 (December 22, 1998). 10 ISG is comprised of an international group of exchanges, market centers, and market regulators that perform front-line market surveillance in their respective jurisdictions. See https:// www.isgportal.org/home.html. 9 See VerDate Sep<11>2014 18:30 Jul 11, 2016 Jkt 238001 or be subject to delisting or removal proceedings, which include: (i) That the value of the Futures Reference Asset be calculated and widely disseminated by one or more major market data vendors on at least a 15-second basis during the Exchange’s regular market session; (ii) for Futures-Linked Securities that are periodically redeemable, the Intraday Indicative Value of the securities must be calculated and widely disseminated by the Exchange or one or more major market data vendors on at least a 15second basis during the Exchange’s regular market session; (iii) the aggregate market value or the principal amount of the Futures-Linked Securities must be at least $400,000; (iv) the value of the VSTOXX Futures must be calculated and available; and (v) any other event occurs or condition exists which in the opinion of the Exchange makes further dealings on the Exchange inadvisable. Any Futures-Linked Securities linked to VSTOXX Futures would also be required to meet the listing standards applicable to all Linked Securities under 14.11(d)(2). Finally, all Linked Securities listed pursuant to Rule 14.11(d) are included within the definition of ‘‘security’’ or ‘‘securities’’ as such terms are used in the Rules of the Exchange and, as such, are subject to the full panoply of Exchange Rules and procedures that currently govern the trading of securities on the Exchange. The Exchange believes that the proposed standards would continue to ensure transparency surrounding the listing process for Linked Securities. Additionally, the Exchange believes that the existing standards for listing and trading Futures-Linked Securities are reasonably designed to promote a fair and orderly market for such FuturesLinked Securities and the addition of VSTOXX Futures to Futures Reference Assets does not affect this. The proposed addition of VSTOXX Futures to those instruments included in Futures Reference Assets would also work in conjunction with the existing initial and continued listing criteria related to surveillance procedures and trading guidelines. The Exchange believes that its surveillance procedures are adequate to continue to properly monitor the trading of the Futures-Linked Securities linked to VSTOXX Futures in all trading sessions and to deter and detect violations of Exchange rules. Specifically, the Exchange intends to utilize its existing surveillance procedures applicable to derivative products, which includes Linked Securities, to monitor trading in the Futures-Linked Securities. The issuer of PO 00000 Frm 00066 Fmt 4703 Sfmt 4703 a series of Linked Securities is and will continue to be required to comply with Rule 10A–3 under the Act for the initial and continued listing of Linked Securities, as provided under Rule 14.11(d)(2)(F). The Exchange notes that the proposed change is not intended to amend any other component or requirement of Rule 14.11(d). VSTOXX The information in this filing relating to the VSTOXX was taken from the Web site of STOXX Limited (‘‘STOXX’’). The VSTOXX was originally developed by STOXX in 2005 and is based on EURO STOXX 50 Index real-time option prices that are listed on the Eurex Deutschland (‘‘Eurex’’) and are designed to reflect the market expectations of near-term up to long-term volatility by measuring the square root of the implied variances across all options of a given time to expiration. The EURO STOXX 50 Index, Europe’s leading Blue-chip index for the Eurozone, provides a blue-chip representation of super sector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The model for VSTOXX aims at making pure volatility tradable—i.e. it should be possible to replicate the indices with an options portfolio which does not react to price fluctuations, but to changes in volatility only. The VSTOXX does not measure implied volatilities of at-the-money EURO STOXX 50 Index options, but the implied variance across all options of a given time to expiry. A portfolio of EURO STOXX 50 Index options with different exercise price and weighting meets this goal: the implied volatilities of all eligible options with a given time to expiry are considered. The VSTOXX is calculated using a series of subindices that are based on put and call options on the EURO STOXX in eight expiry months with a maximum time to expiry of two years in order to bracket a 30-day calendar period. The VSTOXX is calculated using linear interpolation of the sub-indices whose times to expiration closely surround the targeted fixed time to expiry. If there are no such surrounding sub-indices, the VSTOXX is calculated by extrapolation of two sub-indices with closest time to expiry. Because the calculation relies on two sub-indices, VSTOXX is independent of a specific time to expiry, which helps to eliminate effects that typically result in strong volatility fluctuations close to expiry. E:\FR\FM\12JYN1.SGM 12JYN1 Federal Register / Vol. 81, No. 133 / Tuesday, July 12, 2016 / Notices STOXX will compute the index on a real-time basis throughout each trading day, from 8:50 a.m. until 5:30 p.m. Central European Time (‘‘CET’’) (3:50 a.m. until 12:30 p.m. Eastern Time (‘‘ET’’)). VSTOXX levels will be calculated by STOXX and disseminated by major market data vendors such as Bloomberg and Thomson Reuters. VSTOXX Futures Additional information regarding the VSTOXX Futures can be found on the Eurex Web site. Eurex 11 began listing and trading VSTOXX Futures in June 2009 under the ticker symbol FVS. VSTOXX Futures are cash settled and trade between the hours of 7:30 a.m. and 10:30 p.m. CET (2:30 a.m. and 5:30 p.m. ET). The VSTOXX Futures contract value is 100 Euros per index point of the underlying and it is traded to two decimal places with a minimum price change of 0.05 points (equivalent to a value of 5 Euros). The daily settlement price is determined during the closing auction of the respective futures contract. The last trading day and final settlement day is 30 calendar days prior to the third Friday of the expiration month of the underlying options, which is usually the Wednesday prior to the second to last Friday of the respective maturity month. The monthly volume and open interest, in USD, as of the last day of each month in 2015 for the VSTOXX Futures was as follows: Monthly volume (USD) mstockstill on DSK3G9T082PROD with NOTICES Jan-15 ... Feb-15 .. Mar-15 .. Apr-15 ... May-15 .. Jun-15 ... Jul-15 .... Aug-15 .. Sep-15 .. Oct-15 ... Nov-15 .. Dec-15 .. 1,916,437,601 1,126,070,071 1,318,852,657 1,484,997,987 1,236,975,400 1,952,524,278 1,658,790,585 1,269,161,197 2,059,860,768 1,354,413,865 1,239,076,845 15,350,681,777 Open interest (USD) 486,772,067 409,419,303 414,012,733 451,249,212 426,194,591 588,991,482 575,821,234 469,785,978 684,640,331 600,708,025 397,025,249 276,743,850 Both in the numbers shown above and throughout the history of VSTOXX Futures, the monthly trading volume and open interest in VSTOXX Futures has, subject to natural fluctuation in the market, continued to grow. The Exchange notes that the monthly trading volume in the VSTOXX Futures is very similar to the trading volume of the CBOE Volatility Index® (VIX®) Futures 11 The Exchange notes that Eurex is a member of the ISG and, as such, the Exchange may obtain information regarding trading in the underlying VSTOXX futures contracts. For a list of the current members and affiliate members of ISG, see www.isgportal.com. VerDate Sep<11>2014 18:30 Jul 11, 2016 Jkt 238001 prior to NYSE Arca, Inc. adding the VIX Futures to the definition of futures reference asset in its comparable rule,12 which, as noted above, the Exchange also added to its rules related to Futures-Linked Securities. Much like the Futures-Linked Securities linked to the VIX Futures, Futures-Linked Securities linked to the VSTOXX Futures will provide investors with the ability to better diversify and hedge their portfolios using an exchange listed security without having to trade directly in the underlying futures contracts. As such, the Exchange believes that the proposed amendment to add VSTOXX Futures as an underlying Futures Reference asset will facilitate the listing and trading of an additional Futures-Linked Security that will enhance competition among market participants, to the benefit of investors and the marketplace. 2. Statutory Basis The Exchange believes that the proposal is consistent with Section 6(b) of the Act 13 in general and Section 6(b)(5) of the Act 14 in particular in that it is designed to promote just and equitable principles of trade, to remove impediments to and perfect the mechanism of a free and open market and a national market system and, in general, to protect investors and the public interest. The proposed rule change is designed to promote just and equitable principles of trade, to perfect the mechanism of a free and open market and, in general, to protect investors and the public interest in that it will facilitate the listing and trading of additional types of FuturesLinked Securities that will enhance competition among market participants, to the benefit of investors and the marketplace. As noted above, the Exchange has in place surveillance procedures relating to trading in Futures-Linked Securities and may obtain information regarding both the Futures-Linked Securities and VSTOXX Futures via ISG from other exchanges that are members of ISG or with which the Exchange has entered into a comprehensive surveillance sharing agreement. In addition, as noted above, investors will have ready access to information on an intraday basis regarding: (i) The value of the Futures Reference Asset, which will be calculated and widely disseminated by one or more major market data vendors 12 See Securities Exchange Act Release No. 58968 (November 17, 2008), 73 FR 71082 (November 24, 2008) (NYSEArca–2008–111). 13 15 U.S.C. 78f. 14 15 U.S.C. 78f(b)(5). PO 00000 Frm 00067 Fmt 4703 Sfmt 4703 45187 on at least a 15-second basis during the Exchange’s regular market session; (ii) for Futures-Linked Securities that are periodically redeemable, the Intraday Indicative Value of the securities, which must be calculated and widely disseminated by the Exchange or one or more major market data vendors on at least a 15-second basis during the Exchange’s regular market session; and (iii) information regarding market price and trading of Futures-Linked Securities will be continually available on a realtime basis throughout the day on brokers’ computer screens and other electronic services, and quotation and last sale information for the securities will be available on the facilities of the CTA. Further, any Futures-Linked Securities linked to VSTOXX Futures would be required to meet both the initial and continued listing standards, including certain of those named above, under Rule 14.11(d)(2)(K)(iv)(b) and (c) or be subject to delisting or removal proceedings, which include: (i) That the value of the Futures Reference Asset be calculated and widely disseminated by one or more major market data vendors on at least a 15-second basis during the Exchange’s regular market session; (ii) for Futures-Linked Securities that are periodically redeemable, the Intraday Indicative Value of the securities must be calculated and widely disseminated by the Exchange or one or more major market data vendors on at least a 15second basis during the Exchange’s regular market session; (iii) the aggregate market value or the principal amount of the Futures-Linked Securities must be at least $400,000; (iv) the value of the VSTOXX Futures must be calculated and available; and (v) any other event occurs or condition exists which in the opinion of the Exchange makes further dealings on the Exchange inadvisable. Any Futures-Linked Securities linked to VSTOXX Futures would also be required to meet the listing standards applicable to all Linked Securities under 14.11(d)(2). Finally, all Linked Securities listed pursuant to Rule 14.11(d) are included within the definition of ‘‘security’’ or ‘‘securities’’ as such terms are used in the Rules of the Exchange and, as such, are subject to the full panoply of Exchange Rules and procedures that currently govern the trading of securities on the Exchange. Additionally, trading in the securities will be halted under the conditions specified in BZX Rule 11.18. Trading may also be halted because of market conditions, for reasons that, in the view of the Exchange, make trading in the E:\FR\FM\12JYN1.SGM 12JYN1 45188 Federal Register / Vol. 81, No. 133 / Tuesday, July 12, 2016 / Notices mstockstill on DSK3G9T082PROD with NOTICES securities inadvisable, or the circumstances set forth in BZX Rule 14.11(d)(2)(H), which sets forth circumstances under which Linked Securities may be halted. As noted above, both in the context presented herein and throughout the history of VSTOXX Futures, the monthly trading volume and open interest in VSTOXX Futures has, subject to natural fluctuation in the market, continued to grow. The Exchange notes that the monthly trading volume in the VSTOXX Futures is very similar to the trading volume of the CBOE Volatility Index® (VIX®) Futures prior to NYSE Arca, Inc. adding the VIX Futures to the definition of futures reference asset in its comparable rule,15 which, as noted above, the Exchange also added to its rules related to Futures-Linked Securities. Much like the FuturesLinked Securities linked to the VIX Futures, Futures-Linked Securities linked to the VSTOXX Futures will provide investors with the ability to better diversify and hedge their portfolios using an exchange listed security without having to trade directly in the underlying futures contracts. The Exchange also believes that the proposed rule change would fulfill the intended objective of Rule 19b–4(e) under the Act by allowing FuturesLinked Securities linked to the VSTOXX Futures that satisfy the listing standards in Rule 14.11(d) to be listed and traded without separate Commission approval. However, as proposed, the Exchange would continue to file separate proposed rule changes before the listing and trading of Futures-Linked Securities that do not satisfy the criteria of Rule 14.11(d)(2)(K)(iv). As such, the Exchange believes that the proposed amendment to add VSTOXX Futures as an underlying Futures Reference asset will facilitate the listing and trading of an additional Futures-Linked Security that will enhance competition among market participants, to the benefit of investors and the marketplace. For the above reasons, the Exchange believes that the proposed rule change is consistent with the requirements of Section 6(b)(5) of the Act. 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 purpose of the Act. Instead, the Exchange believes that the proposed 15 See Securities Exchange Act Release No. 58968 (November 17, 2008), 73 FR 71082 (November 24, 2008) (NYSEArca–2008–111). VerDate Sep<11>2014 18:30 Jul 11, 2016 Jkt 238001 rule change would facilitate the listing and trading of additional types of Futures-Linked Securities, which will enhance competition among market participants, to the benefit of investors and the marketplace and provide investors with the ability to better diversify and hedge their portfolios using an exchange listed security without having to trade directly in the underlying futures contracts. The Exchange believes that this would reduce the time frame for bringing Futures-Linked Securities linked to the VSTOXX Futures to market, thereby reducing the burdens on issuers and other market participants and promoting competition. C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others The Exchange has neither solicited nor received written comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 45 days of the date of publication of this notice in the Federal Register or within such longer period up to 90 days (i) as the Commission may designate if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the self-regulatory organization consents, the Commission will: (a) By order approve or disapprove such proposed rule change; or (b) institute proceedings to determine whether the proposed rule change should be 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 Act. Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission’s Internet comment form (https://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SRBatsBZX–2016–26 on the subject line. Paper Comments • Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549–1090. All submissions should refer to File Number SR-BatsBZX–2016–26. This file PO 00000 Frm 00068 Fmt 4703 Sfmt 4703 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 (https://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 10:00 a.m. and 3:00 p.m. Copies of such filing will also 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 SRBatsBZX–2016–26, and should be submitted on or before August 2, 2016. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.16 Brent J. Fields, Secretary. [FR Doc. 2016–16380 Filed 7–11–16; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–78234; File No. SR–BX– 2016–033] Self-Regulatory Organizations; NASDAQ BX, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend Rule 4120 July 6, 2016. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’),1 and Rule 19b–4 thereunder,2 notice is hereby given that on June 22, 2016, NASDAQ BX, Inc. (‘‘BX’’ or ‘‘Exchange’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule 16 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 1 15 E:\FR\FM\12JYN1.SGM 12JYN1

Agencies

[Federal Register Volume 81, Number 133 (Tuesday, July 12, 2016)]
[Notices]
[Pages 45185-45188]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-16380]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-78236; File No. SR-BatsBZX-2016-26]


Self-Regulatory Organizations; Bats BZX Exchange, Inc.; Notice of 
Filing of Proposed Rule Change to BZX Rule 14.11(d) To Add the EURO 
STOXX 50[supreg] Volatility Futures to the Definition of Futures 
Reference Asset

July 6, 2016.
    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 June 23, 2016, Bats BZX Exchange, Inc. (the ``Exchange'' or 
``BZX'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I and 
II below, which Items have been prepared by the Exchange. 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.
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I. Self-Regulatory Organization's Statement of the Terms of the 
Substance of the Proposed Rule Change

    The Exchange filed a proposal to amend Rule 14.11(d) in order to 
add the EURO STOXX 50[supreg] Volatility (VSTOXX[supreg]) Futures 
(``VSTOXX Futures'') to the definition of Futures Reference Asset.
    The text of the proposed rule change is available at the Exchange's 
Web site at www.batstrading.com, at the principal office of the 
Exchange, and at the Commission's Public Reference Room.

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 these 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 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Commission has approved the listing of debt securities known as 
Linked Securities \3\ and, in particular, Futures-Linked Securities, 
which are Linked Securities with a payment at maturity based on the 
performance of a Futures Reference Asset,\4\ including listing pursuant 
to Rule 19b-4(e) under Rule 14.11(d)(2).\5\ Rule 19b-4(e) \6\ under the 
Act provides that the listing and trading of a new derivative 
securities product by a self-regulatory organization (``SRO'') shall 
not be deemed a proposed rule change, pursuant to section (c)(1) of 
Rule 19b-4,\7\ if the Commission has

[[Page 45186]]

approved, pursuant to Section 19(b) of the Act,\8\ the SRO's trading 
rules, procedures, and listing standards for the product class and the 
SRO has a surveillance program for the product class.\9\
---------------------------------------------------------------------------

    \3\ As defined in Rule 14.11(d), ``Linked Securities'' includes 
Multifactor Index-Linked Securities, Equity Index-Linked Securities, 
Commodity-Linked Securities, Fixed Income Index-Linked Securities, 
and Futures-Linked Securities.
    \4\ As defined in Rule 14.11(d), ``Futures Reference Asset'' 
includes ``an index of (a) futures on Treasury Securities, GSE 
Securities, supranational debt and debt of a foreign country or a 
subdivision thereof, or options or other derivatives on any of the 
foregoing; or (b) interest rate futures or options or derivatives on 
the foregoing in this subparagraph (b); or (c) CBOE Volatility Index 
(VIX) Futures.''
    \5\ See Securities Exchange Act Release No. 65225 (August 30, 
2011), 76 FR 55148 (September 6, 2011) (SR-BATS-2011-018) (Order 
Approving Proposed Rule Change to Adopt Rules for the Qualification, 
Listing and Delisting of Companies on the Exchange) (the ``Approval 
Order''). The Approval Order approved the rules permitting the 
listing of both Tier I and Tier II securities on the Exchange and 
the requirements associated therewith, which includes, among others, 
the listing and trading of Linked Securities, trading hours and 
halts, and listing fees originally applicable to Linked Securities.
    \6\ 17 CFR 240.19b-4(e).
    \7\ 17 CFR 240.19b-4(c)(1).
    \8\ 15 U.S.C. 78s(b).
    \9\ See Securities Exchange Act Release No. 40761 (December 8, 
1998), 63 FR 70952 (December 22, 1998).
---------------------------------------------------------------------------

    The Exchange proposes to amend Rule 14.11(d) in order to add VSTOXX 
Futures to the definition of Futures Reference Asset, which would allow 
the Exchange to list Futures-Linked Securities linked to VSTOXX Futures 
through generic listing standards pursuant to Rule 19b-4(e) under BZX 
Rule 14.11(d)(2)(K)(iv).
    Rule 14.11(d)(2)(K)(iv)(a) requires that a Futures-Linked Security 
meet one of the following standards: (1) That the Futures Reference 
Asset to which the security is linked shall have been reviewed and 
approved for the trading of Futures-Linked Securities or options or 
other derivatives by the Commission under Section 19(b)(2) of the Act 
and rules thereunder and the conditions set forth in the Commission's 
approval order, including with respect to comprehensive surveillance 
sharing agreements, continue to be satisfied; or (2) the pricing 
information for components of a Futures Reference Asset must be derived 
from a market which is a member or affiliate of a member of the 
Intermarket Surveillance Group (``ISG'') or a market with which the 
Exchange has a comprehensive surveillance sharing agreement 
(``CSSA'').\10\ A Futures Reference Asset may include components not 
representing more than 10% of the dollar weight of such Futures 
Reference Asset for which the pricing information is derived from 
markets that do not meet requirement (2); provided, however, that no 
single component subject to this exceptions [sic] exceeds 7% of the 
dollar weight of the Futures Reference Asset. As proposed, adding 
VSTOXX Futures to the definition of Futures Reference Asset would 
satisfy the first criterion described above and the second criterion 
would be satisfied by virtue of Eurex Deutschland's membership in ISG, 
as further described below.
---------------------------------------------------------------------------

    \10\ ISG is comprised of an international group of exchanges, 
market centers, and market regulators that perform front-line market 
surveillance in their respective jurisdictions. See https://www.isgportal.org/home.html.
---------------------------------------------------------------------------

    Further, any Futures-Linked Securities linked to VSTOXX Futures 
would also be required to meet both the initial and continued listing 
standards under Rule 14.11(d)(2)(K)(iv)(b) and (c) or be subject to 
delisting or removal proceedings, which include: (i) That the value of 
the Futures Reference Asset be calculated and widely disseminated by 
one or more major market data vendors on at least a 15-second basis 
during the Exchange's regular market session; (ii) for Futures-Linked 
Securities that are periodically redeemable, the Intraday Indicative 
Value of the securities must be calculated and widely disseminated by 
the Exchange or one or more major market data vendors on at least a 15-
second basis during the Exchange's regular market session; (iii) the 
aggregate market value or the principal amount of the Futures-Linked 
Securities must be at least $400,000; (iv) the value of the VSTOXX 
Futures must be calculated and available; and (v) any other event 
occurs or condition exists which in the opinion of the Exchange makes 
further dealings on the Exchange inadvisable. Any Futures-Linked 
Securities linked to VSTOXX Futures would also be required to meet the 
listing standards applicable to all Linked Securities under 
14.11(d)(2). Finally, all Linked Securities listed pursuant to Rule 
14.11(d) are included within the definition of ``security'' or 
``securities'' as such terms are used in the Rules of the Exchange and, 
as such, are subject to the full panoply of Exchange Rules and 
procedures that currently govern the trading of securities on the 
Exchange.
    The Exchange believes that the proposed standards would continue to 
ensure transparency surrounding the listing process for Linked 
Securities. Additionally, the Exchange believes that the existing 
standards for listing and trading Futures-Linked Securities are 
reasonably designed to promote a fair and orderly market for such 
Futures-Linked Securities and the addition of VSTOXX Futures to Futures 
Reference Assets does not affect this. The proposed addition of VSTOXX 
Futures to those instruments included in Futures Reference Assets would 
also work in conjunction with the existing initial and continued 
listing criteria related to surveillance procedures and trading 
guidelines.
    The Exchange believes that its surveillance procedures are adequate 
to continue to properly monitor the trading of the Futures-Linked 
Securities linked to VSTOXX Futures in all trading sessions and to 
deter and detect violations of Exchange rules. Specifically, the 
Exchange intends to utilize its existing surveillance procedures 
applicable to derivative products, which includes Linked Securities, to 
monitor trading in the Futures-Linked Securities. The issuer of a 
series of Linked Securities is and will continue to be required to 
comply with Rule 10A-3 under the Act for the initial and continued 
listing of Linked Securities, as provided under Rule 14.11(d)(2)(F). 
The Exchange notes that the proposed change is not intended to amend 
any other component or requirement of Rule 14.11(d).
VSTOXX
    The information in this filing relating to the VSTOXX was taken 
from the Web site of STOXX Limited (``STOXX''). The VSTOXX was 
originally developed by STOXX in 2005 and is based on EURO STOXX 50 
Index real-time option prices that are listed on the Eurex Deutschland 
(``Eurex'') and are designed to reflect the market expectations of 
near-term up to long-term volatility by measuring the square root of 
the implied variances across all options of a given time to expiration. 
The EURO STOXX 50 Index, Europe's leading Blue-chip index for the 
Eurozone, provides a blue-chip representation of super sector leaders 
in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: 
Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, 
Luxembourg, the Netherlands, Portugal and Spain.
    The model for VSTOXX aims at making pure volatility tradable--i.e. 
it should be possible to replicate the indices with an options 
portfolio which does not react to price fluctuations, but to changes in 
volatility only. The VSTOXX does not measure implied volatilities of 
at-the-money EURO STOXX 50 Index options, but the implied variance 
across all options of a given time to expiry. A portfolio of EURO STOXX 
50 Index options with different exercise price and weighting meets this 
goal: the implied volatilities of all eligible options with a given 
time to expiry are considered. The VSTOXX is calculated using a series 
of sub-indices that are based on put and call options on the EURO STOXX 
in eight expiry months with a maximum time to expiry of two years in 
order to bracket a 30-day calendar period. The VSTOXX is calculated 
using linear interpolation of the sub-indices whose times to expiration 
closely surround the targeted fixed time to expiry. If there are no 
such surrounding sub-indices, the VSTOXX is calculated by extrapolation 
of two sub-indices with closest time to expiry. Because the calculation 
relies on two sub-indices, VSTOXX is independent of a specific time to 
expiry, which helps to eliminate effects that typically result in 
strong volatility fluctuations close to expiry.

[[Page 45187]]

    STOXX will compute the index on a real-time basis throughout each 
trading day, from 8:50 a.m. until 5:30 p.m. Central European Time 
(``CET'') (3:50 a.m. until 12:30 p.m. Eastern Time (``ET'')). VSTOXX 
levels will be calculated by STOXX and disseminated by major market 
data vendors such as Bloomberg and Thomson Reuters.
VSTOXX Futures
    Additional information regarding the VSTOXX Futures can be found on 
the Eurex Web site. Eurex \11\ began listing and trading VSTOXX Futures 
in June 2009 under the ticker symbol FVS. VSTOXX Futures are cash 
settled and trade between the hours of 7:30 a.m. and 10:30 p.m. CET 
(2:30 a.m. and 5:30 p.m. ET). The VSTOXX Futures contract value is 100 
Euros per index point of the underlying and it is traded to two decimal 
places with a minimum price change of 0.05 points (equivalent to a 
value of 5 Euros). The daily settlement price is determined during the 
closing auction of the respective futures contract. The last trading 
day and final settlement day is 30 calendar days prior to the third 
Friday of the expiration month of the underlying options, which is 
usually the Wednesday prior to the second to last Friday of the 
respective maturity month.
---------------------------------------------------------------------------

    \11\ The Exchange notes that Eurex is a member of the ISG and, 
as such, the Exchange may obtain information regarding trading in 
the underlying VSTOXX futures contracts. For a list of the current 
members and affiliate members of ISG, see www.isgportal.com.
---------------------------------------------------------------------------

    The monthly volume and open interest, in USD, as of the last day of 
each month in 2015 for the VSTOXX Futures was as follows:

------------------------------------------------------------------------
                                         Monthly volume   Open interest
                                             (USD)            (USD)
------------------------------------------------------------------------
Jan-15................................    1,916,437,601      486,772,067
Feb-15................................    1,126,070,071      409,419,303
Mar-15................................    1,318,852,657      414,012,733
Apr-15................................    1,484,997,987      451,249,212
May-15................................    1,236,975,400      426,194,591
Jun-15................................    1,952,524,278      588,991,482
Jul-15................................    1,658,790,585      575,821,234
Aug-15................................    1,269,161,197      469,785,978
Sep-15................................    2,059,860,768      684,640,331
Oct-15................................    1,354,413,865      600,708,025
Nov-15................................    1,239,076,845      397,025,249
Dec-15................................   15,350,681,777      276,743,850
------------------------------------------------------------------------

    Both in the numbers shown above and throughout the history of 
VSTOXX Futures, the monthly trading volume and open interest in VSTOXX 
Futures has, subject to natural fluctuation in the market, continued to 
grow. The Exchange notes that the monthly trading volume in the VSTOXX 
Futures is very similar to the trading volume of the CBOE Volatility 
Index[supreg] (VIX[supreg]) Futures prior to NYSE Arca, Inc. adding the 
VIX Futures to the definition of futures reference asset in its 
comparable rule,\12\ which, as noted above, the Exchange also added to 
its rules related to Futures-Linked Securities. Much like the Futures-
Linked Securities linked to the VIX Futures, Futures-Linked Securities 
linked to the VSTOXX Futures will provide investors with the ability to 
better diversify and hedge their portfolios using an exchange listed 
security without having to trade directly in the underlying futures 
contracts.
---------------------------------------------------------------------------

    \12\ See Securities Exchange Act Release No. 58968 (November 17, 
2008), 73 FR 71082 (November 24, 2008) (NYSEArca-2008-111).
---------------------------------------------------------------------------

    As such, the Exchange believes that the proposed amendment to add 
VSTOXX Futures as an underlying Futures Reference asset will facilitate 
the listing and trading of an additional Futures-Linked Security that 
will enhance competition among market participants, to the benefit of 
investors and the marketplace.
2. Statutory Basis
    The Exchange believes that the proposal is consistent with Section 
6(b) of the Act \13\ in general and Section 6(b)(5) of the Act \14\ in 
particular in that it is designed to promote just and equitable 
principles of trade, to remove impediments to and perfect the mechanism 
of a free and open market and a national market system and, in general, 
to protect investors and the public interest.
---------------------------------------------------------------------------

    \13\ 15 U.S.C. 78f.
    \14\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The proposed rule change is designed to promote just and equitable 
principles of trade, to perfect the mechanism of a free and open market 
and, in general, to protect investors and the public interest in that 
it will facilitate the listing and trading of additional types of 
Futures-Linked Securities that will enhance competition among market 
participants, to the benefit of investors and the marketplace. As noted 
above, the Exchange has in place surveillance procedures relating to 
trading in Futures-Linked Securities and may obtain information 
regarding both the Futures-Linked Securities and VSTOXX Futures via ISG 
from other exchanges that are members of ISG or with which the Exchange 
has entered into a comprehensive surveillance sharing agreement. In 
addition, as noted above, investors will have ready access to 
information on an intraday basis regarding: (i) The value of the 
Futures Reference Asset, which will be calculated and widely 
disseminated by one or more major market data vendors on at least a 15-
second basis during the Exchange's regular market session; (ii) for 
Futures-Linked Securities that are periodically redeemable, the 
Intraday Indicative Value of the securities, which must be calculated 
and widely disseminated by the Exchange or one or more major market 
data vendors on at least a 15-second basis during the Exchange's 
regular market session; and (iii) information regarding market price 
and trading of Futures-Linked Securities will be continually available 
on a real-time basis throughout the day on brokers' computer screens 
and other electronic services, and quotation and last sale information 
for the securities will be available on the facilities of the CTA.
    Further, any Futures-Linked Securities linked to VSTOXX Futures 
would be required to meet both the initial and continued listing 
standards, including certain of those named above, under Rule 
14.11(d)(2)(K)(iv)(b) and (c) or be subject to delisting or removal 
proceedings, which include: (i) That the value of the Futures Reference 
Asset be calculated and widely disseminated by one or more major market 
data vendors on at least a 15-second basis during the Exchange's 
regular market session; (ii) for Futures-Linked Securities that are 
periodically redeemable, the Intraday Indicative Value of the 
securities must be calculated and widely disseminated by the Exchange 
or one or more major market data vendors on at least a 15-second basis 
during the Exchange's regular market session; (iii) the aggregate 
market value or the principal amount of the Futures-Linked Securities 
must be at least $400,000; (iv) the value of the VSTOXX Futures must be 
calculated and available; and (v) any other event occurs or condition 
exists which in the opinion of the Exchange makes further dealings on 
the Exchange inadvisable. Any Futures-Linked Securities linked to 
VSTOXX Futures would also be required to meet the listing standards 
applicable to all Linked Securities under 14.11(d)(2). Finally, all 
Linked Securities listed pursuant to Rule 14.11(d) are included within 
the definition of ``security'' or ``securities'' as such terms are used 
in the Rules of the Exchange and, as such, are subject to the full 
panoply of Exchange Rules and procedures that currently govern the 
trading of securities on the Exchange. Additionally, trading in the 
securities will be halted under the conditions specified in BZX Rule 
11.18. Trading may also be halted because of market conditions, for 
reasons that, in the view of the Exchange, make trading in the

[[Page 45188]]

securities inadvisable, or the circumstances set forth in BZX Rule 
14.11(d)(2)(H), which sets forth circumstances under which Linked 
Securities may be halted.
    As noted above, both in the context presented herein and throughout 
the history of VSTOXX Futures, the monthly trading volume and open 
interest in VSTOXX Futures has, subject to natural fluctuation in the 
market, continued to grow. The Exchange notes that the monthly trading 
volume in the VSTOXX Futures is very similar to the trading volume of 
the CBOE Volatility Index[supreg] (VIX[supreg]) Futures prior to NYSE 
Arca, Inc. adding the VIX Futures to the definition of futures 
reference asset in its comparable rule,\15\ which, as noted above, the 
Exchange also added to its rules related to Futures-Linked Securities. 
Much like the Futures-Linked Securities linked to the VIX Futures, 
Futures-Linked Securities linked to the VSTOXX Futures will provide 
investors with the ability to better diversify and hedge their 
portfolios using an exchange listed security without having to trade 
directly in the underlying futures contracts. The Exchange also 
believes that the proposed rule change would fulfill the intended 
objective of Rule 19b-4(e) under the Act by allowing Futures-Linked 
Securities linked to the VSTOXX Futures that satisfy the listing 
standards in Rule 14.11(d) to be listed and traded without separate 
Commission approval. However, as proposed, the Exchange would continue 
to file separate proposed rule changes before the listing and trading 
of Futures-Linked Securities that do not satisfy the criteria of Rule 
14.11(d)(2)(K)(iv). As such, the Exchange believes that the proposed 
amendment to add VSTOXX Futures as an underlying Futures Reference 
asset will facilitate the listing and trading of an additional Futures-
Linked Security that will enhance competition among market 
participants, to the benefit of investors and the marketplace.
---------------------------------------------------------------------------

    \15\ See Securities Exchange Act Release No. 58968 (November 17, 
2008), 73 FR 71082 (November 24, 2008) (NYSEArca-2008-111).
---------------------------------------------------------------------------

    For the above reasons, the Exchange believes that the proposed rule 
change is consistent with the requirements of Section 6(b)(5) of the 
Act.

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 purpose of the Act. Instead, the Exchange 
believes that the proposed rule change would facilitate the listing and 
trading of additional types of Futures-Linked Securities, which will 
enhance competition among market participants, to the benefit of 
investors and the marketplace and provide investors with the ability to 
better diversify and hedge their portfolios using an exchange listed 
security without having to trade directly in the underlying futures 
contracts. The Exchange believes that this would reduce the time frame 
for bringing Futures-Linked Securities linked to the VSTOXX Futures to 
market, thereby reducing the burdens on issuers and other market 
participants and promoting competition.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    The Exchange has neither solicited nor received written comments on 
the proposed rule change.

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

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will: 
(a) By order approve or disapprove such proposed rule change; or (b) 
institute proceedings to determine whether the proposed rule change 
should be 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 Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-BatsBZX-2016-26 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-BatsBZX-2016-26. 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 (https://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 
10:00 a.m. and 3:00 p.m. Copies of such filing will also 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-BatsBZX-2016-
26, and should be submitted on or before August 2, 2016.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\16\
---------------------------------------------------------------------------

    \16\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Brent J. Fields,
Secretary.
[FR Doc. 2016-16380 Filed 7-11-16; 8:45 am]
 BILLING CODE 8011-01-P
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