Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Amend the Fees Schedule, 8883-8886 [2017-01999]
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Federal Register / Vol. 82, No. 19 / Tuesday, January 31, 2017 / Notices
regulations/information-collectionsunder-omb-review.html. They may also
be obtained without charge by writing to
the Disclosure Division of the Office of
the General Counsel of PBGC, 1200 K
Street NW., Washington, DC 20005, or
by calling 202–326–4040 during normal
business hours. (TTY and TDD users
may call the Federal relay service tollfree at 800–877–8339 and ask to be
connected to 202–326–4040.)
FOR FURTHER INFORMATION CONTACT:
Deborah C. Murphy, Assistant General
Counsel for Regulatory Affairs, Office of
the General Counsel, Pension Benefit
Guaranty Corporation, 1200 K Street
NW., Washington, DC 20005–4026, 202–
326–4400 ext.3451 or Murphy.Deborah@
pbgc.gov. (TTY and TDD users may call
the Federal relay service toll-free at
800–877–8339 and ask to be connected
to 202–326–4400 ext 3451.)
SUPPLEMENTARY INFORMATION: The
Pension Benefit Guaranty Corporation
(PBGC) administers the pension plan
termination insurance program under
title IV of the Employee Retirement
Income Security Act of 1974 (ERISA).
Section 4006(a)(7) of ERISA provides for
a ‘‘termination premium’’ (in addition to
the flat-rate and variable-rate premiums
under section 4006(a)(3) and (8) of
ERISA) that is payable for three years
following certain distress and
involuntary plan terminations. PBGC’s
regulations on Premium Rates (29 CFR
part 4006) and Payment of Premiums
(29 CFR part 4007) implement the
termination premium. Sections 4007.3
and 4007.13(b) of the premium payment
regulation require the filing of
termination premium information and
payments with PBGC. PBGC has
promulgated Form T and instructions
for paying the termination premium.
In general, the termination premium
applies where a single-employer plan
terminates in a distress termination
under ERISA section 4041(c) (unless
contributing sponsors and controlled
group members meet the bankruptcy
liquidation requirements of ERISA
section 4041(c)(2)(B)(i)) or in an
involuntary termination under ERISA
section 4042, and the termination date
under section 4048 of ERISA is after
2005. The termination premium does
not apply in certain cases where
termination occurs during a bankruptcy
proceeding filed before October 18,
2005.
The termination premium is payable
for three years. The same amount is
payable each year. The amount of each
payment is based on the number of
participants in the plan as of the day
before the termination date. In general,
the amount of each payment is equal to
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$1,250 times the number of participants.
However, the rate is increased from
$1,250 to $2,500 in certain cases
involving commercial airline or airline
catering service plans. The termination
premium is due on the 30th day of each
of three consecutive 12-month periods.
The first 12-month period generally
begins shortly after the termination date
or after the conclusion of bankruptcy
proceedings in certain cases.
The termination premium and related
information must be filed by a person
liable for the termination premium. The
persons liable for the termination
premium are contributing sponsors and
members of their controlled groups,
determined on the day before the plan
termination date. Interest on late
termination premiums is charged at the
rate imposed under section 6601(a) of
the Internal Revenue Code,
compounded daily, from the due date to
the payment date. Penalties based on
facts and circumstances may be assessed
both for failure to timely pay the
termination premium and for failure to
timely file required related information
and may be waived in appropriate
circumstances. A penalty for late
payment will not exceed the amount of
termination premium paid late. Section
4007.10 of the premium payment
regulation requires the retention of
records supporting or validating the
computation of premiums paid and
requires that the records be made
available to PBGC.
OMB has approved the termination
premium collection of information
(Form T and instructions) under control
number 1212–0064 through February
28, 2017. PBGC is requesting that OMB
extend approval of this collection of
information for three years, without
changes. 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 OMB
control number.
PBGC estimates that it will each year
receive an average of about 1 filing for
the first year a termination premium is
due, 1 filing for the second year a
termination premium is due, and 1
filing for the third year a termination
premium is due, from a total of about 3
respondents. PBGC estimates that the
total annual burden of the collection of
information will be about 15 minutes
and $200.
SECURITIES AND EXCHANGE
COMMISSION
Deborah Chase Murphy,
Assistant General Counsel for Regulatory
Affairs, Pension Benefit Guaranty
Corporation.
1. Purpose
The Exchange proposes to adopt a
new Liquidity Provider Sliding Scale
[Release No. 34–79873; File No SR–CBOE–
2017–007]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change To Amend the Fees
Schedule
January 25, 2017.
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 January
17, 2017, Chicago Board Options
Exchange, Incorporated (the ‘‘Exchange’’
or ‘‘CBOE’’) filed with the Securities
and Exchange Commission (the
‘‘Commission’’) the proposed rule
change as described in Items I, II, and
III 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 Substance of
the Proposed Rule Change
The Exchange proposes to amend its
Fees Schedule. The text of the proposed
rule change is also available on the
Exchange’s Web site (https://
www.cboe.com/AboutCBOE/
CBOELegalRegulatoryHome.aspx), at
the Exchange’s Office of the Secretary,
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 aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
[FR Doc. 2017–02018 Filed 1–30–17; 8:45 am]
1 15
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U.S.C. 78s(b)(1).
CFR 240.19b–4.
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Adjustment Table (‘‘Adjustment
Table’’).3 By way of background, under
the Liquidity Provider Sliding Scale
(‘‘LP Sliding Scale’’), a Liquidity
Provider’s (CBOE Market-Makers, DPMs
and LMMs) standard per-contract
transaction fees for all products except
Underlying Symbol List A 4 and mini
options are reduced based upon the
Liquidity Provider (‘‘LP’’) reaching
certain contract volume thresholds in a
month.5 The Exchange proposes to
adopt the Adjustment Table which
would establish Taker fees to be applied
to ‘‘Taker’’ volume and a Maker rebate
that would be applied to ‘‘Maker’’
volume in addition to the transaction
fees assessed under the LP Sliding
Make rate
Performance tier
1
2
3
4
5
Maker rebate
(% based on
prior month)
...........................................................................................
...........................................................................................
...........................................................................................
...........................................................................................
...........................................................................................
Scale. The amount of the Taker fee (or
Maker rebate) would be determined by
the LP’s percentage of volume from the
previous month that was Maker (‘‘Make
Rate’’). The proposed Performance Tiers
(determined by the Make Rate), fees and
rebate are as follows:
Penny classes
0–50
51–75
76–85
86–90
91–100
Taker fee
Non-penny
classes
($0.00)
(0.00)
(0.00)
(0.00)
(0.01)
($0.00)
(0.00)
(0.00)
(0.00)
(0.00)
Penny classes
$0.04
0.03
0.02
0.01
0.00
Non-penny
classes
$0.08
0.06
0.04
0.02
0.00
asabaliauskas on DSK3SPTVN1PROD with NOTICES
As indicated above, the adjustment to
a LP’s transaction fees will be
determined by which Performance Tier
a LP qualifies for, which is based on the
LP’s ‘‘Make Rate.’’ More specifically, the
Make Rate is derived from an LP’s
electronic volume the previous month
in all symbols excluding Underlying
Symbol List A using the following
formula: (i) The LP’s total electronic
automatic execution (‘‘auto-ex’’) Maker
volume (i.e., volume resulting from that
LP’s resting quotes or single sided
quotes/orders that were executed by an
incoming order or quote), divided by (ii)
the LP’s total auto-ex volume (i.e.,
volume that resulted from the LP’s
resting quotes/orders and volume that
resulted from that LP’s quotes/orders
that removed liquidity).6 The Exchange
notes that (i) trades on the open, and (ii)
complex orders 7 will be excluded from
Make Rate calculation. Additionally, as
with the Liquidity Provider Sliding
Scale, the Exchange will aggregate the
trading activity of separate Liquidity
Provider firms for purposes of the
Adjustment Table if there is at least
75% common ownership between the
firms as reflected on each firm’s Form
BD, Schedule A. The Exchange notes
that the Performance Tiers are
independent from the tier levels in the
LP Sliding Scale (e.g., a LP that falls in
Tier 3 of the LP Sliding Scale can fall
in Performance Tier 4 of the Adjustment
Table). The Exchange also notes once a
LP’s Make Rate has been determined for
a given month, the corresponding
Performance Tier will applicable for the
next month only. For example, the
Performance Tier rates that will be
applied in February 2017 will be based
on a LP’s Make Rate volume from
January 2017. Similarly, the
Performance Tier that would apply for
a Market-Maker in March 2017, would
be based off the LP’s Make Rate for
February 2017 and so forth.
The Exchange next proposes to
establish the applicable Taker fees and
Maker rebate set forth in the
Performance Tiers for Penny and nonPenny classes. The Exchange proposes
to apply these adjustments to a LP’s
electronic volume only, including
auction responses, but excluding the
following: (i) Trades on the open, (ii)
Qualified Contingent Cross (‘‘QCC’’)
orders, (iii) complex orders,8 and (iv)
original paired orders executed via an
auction mechanism. As noted above, the
Taker fees set forth in the Adjustment
Table would be applied to ‘‘Taker’’
volume. Taker volume under the
Adjustment Table would include the
following: (i) Volume resulting from a
LP’s orders and/or quotes removing
other market participants’ resting orders
and/or quotes and (ii) volume resulting
from a LP’s primary orders in unpaired
auctions (i.e., Hybrid Agency Liaison
(‘‘HAL’’) and HAL on the Open
(‘‘HALO’’)). The Exchange notes that
Taker fees for Penny classes would be
subject to a cap of $0.50 per contract,
which includes the LP Sliding Scale
transaction fee, Adjustment Table fee
and Marketing Fee.9 The Maker rebate
set forth in the Adjustment Table would
be applied to ‘‘Maker’’ volume, defined
for this purpose as the following: (i)
Volume resulting from executions
against a LP’s resting orders and/or
quotes and (ii) volume resulting from a
LP’s responses to auctions (i.e.,
Automated Improvement Mechanism
(‘‘AIM’’), HAL, and/or HALO
3 The Exchange initially filed the proposed fee
change on January 3, 2017 (SR–CBOE–2017–002).
On January 17, 2017, the Exchange withdrew that
filing and submitted this filing.
4 As of January 3, 2017, Underlying Symbol List
A includes Underlying Symbol List A consists of
[sic] OEX, XEO, RUT, RLG, RLV, RUI, AWDE,
FTEM, FXTM, UKXM SPX/SPXW, SPXpm, SRO,
VIX, Volatility Indexes and binary options.
5 See CBOE Fees Schedule, Liquidity Provider
Sliding Scale.
6 For example, a Trading Permit Holder’s
electronic auto-ex Maker contract volume in
December 2016 is 1,800,000 contracts and its total
electronic auto-ex volume is 3,000,000 contracts,
resulting in a Make Rate of 60% (Performance Tier
2). As such, the Trading Permit Holder’s electronic
Taker volume in January 2017 would be assessed
$0.03 per contract for penny classes and $0.06 per
contract for non-penny class volume.
7 Simple, non-complex orders that execute against
a complex order will not be excluded.
8 Simple, non-complex orders that execute against
a complex order will not be excluded.
9 For example, if an LP is assessed the Marketing
Fee on a given transaction ($0.25 per contract) for
which it was a Taker in a Penny class, and that LP
falls in Tier 1 of the LP Sliding Scale ($0.23 per
contract) and Performance Tier 1 of the Adjustment
Table ($0.04 per contract), the LP would be assessed
$0.50 per contract for the transaction, instead of
$0.52 per contract.
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responses).10 The Exchange notes that
other Exchanges assess transactions fees
based on whether volume is ‘‘maker’’ or
‘‘taker’’.11 The Exchange lastly proposes
to make clear in the ‘‘Notes’’ section of
the Affiliate Volume Program (‘‘AVP’’)
table that the transaction fee credits
under AVP do not apply to the LP
Adjustment Table.
asabaliauskas on DSK3SPTVN1PROD with NOTICES
2. Statutory Basis
The Exchange believes the proposed
rule change is consistent with the
Securities Exchange Act of 1934 (the
‘‘Act’’) and the rules and regulations
thereunder applicable to the Exchange
and, in particular, the requirements of
Section 6(b) of the Act.12 Specifically,
the Exchange believes the proposed rule
change is consistent with the Section
6(b)(5) 13 requirements that the rules of
an exchange be designed to prevent
fraudulent and manipulative acts and
practices, to promote just and equitable
principles of trade, to foster cooperation
and coordination with persons engaged
in regulating, clearing, settling,
processing information with respect to,
and facilitating transactions in
securities, 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.
Additionally, the Exchange believes the
proposed rule change is consistent with
Section 6(b)(4) of the Act,14 which
requires that Exchange rules provide for
the equitable allocation of reasonable
10 For example, based on December 2016’s
volume, a LP’s Performance Tier is Tier 2 for
January 2017. In January 2017, the LP has the
following breakdown of volume:
1,162,500 contracts from AIM responses in Penny
Classes
2,000,000 contracts from electronic Maker
activity in Penny Classes
1,000,000 contracts from electronic Maker
activity in Non-Penny Classes
500,000 contracts from electronic Taker activity
in Penny Classes
100,000 contracts from electronic Taker activity
in Non-Penny Classes
200,000 contracts from responses to HAL in
Penny Classes
Per the proposed Adjustment Table, the LP would
be assessed $0.03 per contract for the 500,000 Taker
Penny contracts ($15,000) and $0.06 per contract for
the 100,000 Taker non-Penny contracts ($6,000),
resulting in an additional charge of $21,000. If
based on December 2016’s volume the LP had
instead met Performance Tier 5, for January 2017,
the LP would have been entitled to a rebate of $0.01
for its Penny Maker volume of 3,362,500 (1,162,500
AIM responses, 2,000,000 Maker auto-ex Penny
contracts and 200,000 HAL responses) for a total
rebate of $33,625. In this example, no additional
fees would be assessed on the LP’s Taker volume.
11 See e.g., Miami International Securities
Exchange LLC (‘‘MIAX’’) Options Fees Schedule,
Section 1(a), Market Maker Transaction Fees.
12 15 U.S.C. 78f(b).
13 15 U.S.C. 78f(b)(5).
14 15 U.S.C. 78f(b)(4).
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dues, fees, and other charges among its
Trading Permit Holders and other
persons using its facilities.
The Exchange believes that adopting
the Adjustment Table is reasonable
because the amount of LP transaction
fees including the proposed Taker fees
and Taker cap of $0.50 per contract are
similar and in line with the amount
assessed for similar transactions at other
Exchanges.15 Additionally, the
Adjustment Table provides LPs an
opportunity to qualify for a rebate they
would not otherwise receive. The
Exchange also notes that other
exchanges have established transaction
fees for Market-Makers based on maker
and taker activity.16 Additionally the
proposed rule change is designed to
encourage LPs to provide and post
liquidity to the Exchange. The different
tiers provide an incremental incentive
for LPs to add, rather than take,
liquidity.
The Exchange believes that it is
reasonable, equitable and not unfairly
discriminatory to only assess an
additional Taker fee to those
transactions removing liquidity from the
market (‘‘Takers’’) and not Maker
volume because the Exchange wants to
continue to encourage market
participation and price improvement.
The Exchange’s proposal to charge LPs
who remove more liquidity higher fees
is equitable and not unfairly
discriminatory as it is common practice
among options exchanges to
differentiate fees for adding liquidity
and fees for removing liquidity as
discussed above.
The Exchange also believes it’s
equitable and not unfairly
discriminatory to assess higher fees for
non-Penny option classes than Penny
option classes and provide a rebate only
for Penny classes because Penny classes
and Non-Penny classes offer different
pricing, liquidity, spread and trading
incentives. The spreads in Penny classes
are tighter than those in Non-Penny
classes (which trade in $0.05
increments). The wider spreads in nonPenny option classes allow for greater
profit potential.
Limiting the Adjustment Table to
orders entered electronically is
equitable and not unfairly
discriminatory because the Exchange
seeks to improve the quality of posted
electronic markets. Additionally, the
Exchange cannot discern whether an
15 See e.g., International Securities Exchange
(‘‘ISE’’) Schedule of Fees, Regular Order Fees and
Rebates. See also, BOX Options Exchange Fees
Schedule, Section I., Exchange Fees.
16 Id. See also MIAX Options Fees Schedule,
Section 1(a), Market Maker Transaction Fees.
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8885
order is a Maker or Taker in openoutcry.
The Exchange believes it’s equitable
and not unfairly discriminatory to
exclude Trades on the Open because
these transactions involve the matching
of undisplayed pre-opening trading
interest. As such, there is, in effect, no
Maker or Taker activity occurring. The
Exchange would also like to encourage
users to submit pre-opening orders. This
brings greater liquidity and trading
opportunity, which benefits all market
participants. Similarly, the Exchange
believes it’s equitable and not unfairly
discriminatory to exclude the original
paired orders entered into an auction
mechanism because there is no Maker or
Taker activity occurring with respect to
the original paired order.
The Exchange believes it’s reasonable,
equitable and not unfairly
discriminatory to exclude complex
orders from the Adjustment Table
because complex orders are already
subject to the Complex Surcharge.
The Exchange believes it’s reasonable,
equitable and not unfairly
discriminatory to exclude QCC orders
from the Adjustment Table because QCC
orders are also not subject to the
Liquidity Provider Sliding Scale.
Excluding auction responses from the
Make Rate is equitable and not unfairly
discriminatory because the Exchange
wants to encourage improved resting
liquidity. The Exchange notes however,
that auction responses are included as
Maker with respect to the potential
Maker rebate, as it still wants to reward
price improvement and using auction
mechanisms.
Lastly, the Exchange believes the
proposed change is also equitable and
not unfairly discriminatory because all
similarly situated LPs are subject to the
same fee structure.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule changes will impose
any burden on competition that are not
necessary or appropriate in furtherance
of the purposes of the Act. The
Exchange does not believe that the
proposed rule change will impose any
burden on intramarket competition that
is not necessary or appropriate in
furtherance of the purposes of the Act
because all similarly situated LPs are
subject to the same fee structure.
Additionally the proposed rule change
is designed to encourage LPs to provide
and post liquidity to the Exchange,
which benefits all market participants.
The Exchange does not believe that
the proposed rule changes will impose
any burden on intermarket competition
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that is not necessary or appropriate in
furtherance of the purposes of the Act
because the proposed change only
affects trading on CBOE. To the extent
that the proposed change makes CBOE
a more attractive marketplace for market
participants at other exchanges, such
market participants are welcome to
become CBOE market participants.
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 proposed
rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
The foregoing rule change has become
effective pursuant to Section 19(b)(3)(A)
of the Act 17 and paragraph (f) of Rule
19b–4 18 thereunder. 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 will institute proceedings
to determine whether the proposed rule
change should be approved or
disapproved.
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:
asabaliauskas on DSK3SPTVN1PROD with NOTICES
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–
CBOE–2017–007 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Brent J. Fields, Secretary, Securities
and Exchange Commission, 100 F Street
NE., Washington, DC 20549.
All submissions should refer to File
Number SR–CBOE–2017–007. This file
number should be included on the
subject line if email is used. To help the
Commission process and review your
U.S.C. 78s(b)(3)(A).
18 17 CFR 240.19b–4(f).
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 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–CBOE–
2017–007 and should be submitted on
or before February 21, 2017.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.19
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017–01999 Filed 1–30–17; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Investment Company Act Release No.
32435; 812–14729]
Causeway ETMF Trust, et al.; Notice of
Application
January 25, 2017.
Securities and Exchange
Commission (‘‘Commission’’).
ACTION: Notice of an application for an
order under section 6(c) of the
Investment Company Act of 1940
(‘‘Act’’) for an exemption from sections
2(a)(32), 5(a)(1), 22(d) and 22(e) of the
Act and rule 22c–1 under the Act, under
sections 6(c) and 17(b) of the Act for an
exemption from sections 17(a)(1) and
(a)(2) of the Act, and under section
12(d)(1)(J) of the Act for an exemption
from sections 12(d)(1)(A) and (B) of the
Act.
AGENCY:
17 15
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Causeway ETMF Trust (the
‘‘Trust’’), Causeway Capital
Management LLC (the ‘‘Adviser’’) and
SEI Investments Distribution Co. (the
‘‘Distributor’’).
SUMMARY OF APPLICATION: Applicants
request an order (‘‘Order’’) that permits:
(a) Actively managed series of certain
open-end management investment
companies to issue shares (‘‘Shares’’)
redeemable in large aggregations only
(‘‘Creation Units’’); (b) secondary market
transactions in Shares to occur at the
next-determined net asset value plus or
minus a market-determined premium or
discount that may vary during the
trading day; (c) certain series to pay
redemption proceeds, under certain
circumstances, more than seven days
from the tender of Shares for
redemption; (d) certain affiliated
persons of the series to deposit
securities into, and receive securities
from, the series in connection with the
purchase and redemption of Creation
Units; (e) certain registered management
investment companies and unit
investment trusts outside of the same
group of investment companies as the
series to acquire Shares; and (f) certain
series to create and redeem Shares in
kind in a master-feeder structure. The
Order would incorporate by reference
terms and conditions of a previous order
granting the same relief sought by
applicants, as that order may be
amended from time to time (‘‘Reference
Order’’).1
FILING DATE: The application was filed
on December 28, 2016.
HEARING OR NOTIFICATION OF HEARING:
An order granting the requested relief
will be issued unless the Commission
orders a hearing. Interested persons may
request a hearing by writing to the
Commission’s Secretary and serving
applicants with a copy of the request,
personally or by mail. Hearing requests
should be received by the Commission
by 5:30 p.m. on February 21, 2017, and
should be accompanied by proof of
service on applicants, in the form of an
affidavit or, for lawyers, a certificate of
service. Pursuant to rule 0–5 under the
Act, hearing requests should state the
nature of the writer’s interest, any facts
bearing upon the desirability of a
hearing on the matter, the reason for the
request, and the issues contested.
Persons who wish to be notified of a
hearing may request notification by
writing to the Commission’s Secretary.
ADDRESSES: The Commission: Secretary,
U.S. Securities and Exchange
APPLICANTS:
1 Eaton Vance Management, et al., Investment
Company Act Rel. Nos. 31333 (Nov. 6, 2014)
(notice) and 31361 (Dec. 2, 2014) (order).
E:\FR\FM\31JAN1.SGM
31JAN1
]]>Agencies
[Federal Register Volume 82, Number 19 (Tuesday, January 31, 2017)]
[Notices]
[Pages 8883-8886]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-01999]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-79873; File No SR-CBOE-2017-007]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing and Immediate Effectiveness of a
Proposed Rule Change To Amend the Fees Schedule
January 25, 2017.
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 January 17, 2017, Chicago Board Options Exchange, Incorporated
(the ``Exchange'' or ``CBOE'') filed with the Securities and Exchange
Commission (the ``Commission'') the proposed rule change as described
in Items I, II, and III 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.
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\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 Substance
of the Proposed Rule Change
The Exchange proposes to amend its Fees Schedule. The text of the
proposed rule change is also available on the Exchange's Web site
(https://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), at the
Exchange's Office of the Secretary, 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 aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to adopt a new Liquidity Provider Sliding
Scale
[[Page 8884]]
Adjustment Table (``Adjustment Table'').\3\ By way of background, under
the Liquidity Provider Sliding Scale (``LP Sliding Scale''), a
Liquidity Provider's (CBOE Market-Makers, DPMs and LMMs) standard per-
contract transaction fees for all products except Underlying Symbol
List A \4\ and mini options are reduced based upon the Liquidity
Provider (``LP'') reaching certain contract volume thresholds in a
month.\5\ The Exchange proposes to adopt the Adjustment Table which
would establish Taker fees to be applied to ``Taker'' volume and a
Maker rebate that would be applied to ``Maker'' volume in addition to
the transaction fees assessed under the LP Sliding Scale. The amount of
the Taker fee (or Maker rebate) would be determined by the LP's
percentage of volume from the previous month that was Maker (``Make
Rate''). The proposed Performance Tiers (determined by the Make Rate),
fees and rebate are as follows:
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\3\ The Exchange initially filed the proposed fee change on
January 3, 2017 (SR-CBOE-2017-002). On January 17, 2017, the
Exchange withdrew that filing and submitted this filing.
\4\ As of January 3, 2017, Underlying Symbol List A includes
Underlying Symbol List A consists of [sic] OEX, XEO, RUT, RLG, RLV,
RUI, AWDE, FTEM, FXTM, UKXM SPX/SPXW, SPXpm, SRO, VIX, Volatility
Indexes and binary options.
\5\ See CBOE Fees Schedule, Liquidity Provider Sliding Scale.
----------------------------------------------------------------------------------------------------------------
Make rate Maker rebate Taker fee
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Performance tier (% based on Non-penny Non-penny
prior month) Penny classes classes Penny classes classes
----------------------------------------------------------------------------------------------------------------
1............................... 0-50 ($0.00) ($0.00) $0.04 $0.08
2............................... 51-75 (0.00) (0.00) 0.03 0.06
3............................... 76-85 (0.00) (0.00) 0.02 0.04
4............................... 86-90 (0.00) (0.00) 0.01 0.02
5............................... 91-100 (0.01) (0.00) 0.00 0.00
----------------------------------------------------------------------------------------------------------------
As indicated above, the adjustment to a LP's transaction fees will
be determined by which Performance Tier a LP qualifies for, which is
based on the LP's ``Make Rate.'' More specifically, the Make Rate is
derived from an LP's electronic volume the previous month in all
symbols excluding Underlying Symbol List A using the following formula:
(i) The LP's total electronic automatic execution (``auto-ex'') Maker
volume (i.e., volume resulting from that LP's resting quotes or single
sided quotes/orders that were executed by an incoming order or quote),
divided by (ii) the LP's total auto-ex volume (i.e., volume that
resulted from the LP's resting quotes/orders and volume that resulted
from that LP's quotes/orders that removed liquidity).\6\ The Exchange
notes that (i) trades on the open, and (ii) complex orders \7\ will be
excluded from Make Rate calculation. Additionally, as with the
Liquidity Provider Sliding Scale, the Exchange will aggregate the
trading activity of separate Liquidity Provider firms for purposes of
the Adjustment Table if there is at least 75% common ownership between
the firms as reflected on each firm's Form BD, Schedule A. The Exchange
notes that the Performance Tiers are independent from the tier levels
in the LP Sliding Scale (e.g., a LP that falls in Tier 3 of the LP
Sliding Scale can fall in Performance Tier 4 of the Adjustment Table).
The Exchange also notes once a LP's Make Rate has been determined for a
given month, the corresponding Performance Tier will applicable for the
next month only. For example, the Performance Tier rates that will be
applied in February 2017 will be based on a LP's Make Rate volume from
January 2017. Similarly, the Performance Tier that would apply for a
Market-Maker in March 2017, would be based off the LP's Make Rate for
February 2017 and so forth.
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\6\ For example, a Trading Permit Holder's electronic auto-ex
Maker contract volume in December 2016 is 1,800,000 contracts and
its total electronic auto-ex volume is 3,000,000 contracts,
resulting in a Make Rate of 60% (Performance Tier 2). As such, the
Trading Permit Holder's electronic Taker volume in January 2017
would be assessed $0.03 per contract for penny classes and $0.06 per
contract for non-penny class volume.
\7\ Simple, non-complex orders that execute against a complex
order will not be excluded.
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The Exchange next proposes to establish the applicable Taker fees
and Maker rebate set forth in the Performance Tiers for Penny and non-
Penny classes. The Exchange proposes to apply these adjustments to a
LP's electronic volume only, including auction responses, but excluding
the following: (i) Trades on the open, (ii) Qualified Contingent Cross
(``QCC'') orders, (iii) complex orders,\8\ and (iv) original paired
orders executed via an auction mechanism. As noted above, the Taker
fees set forth in the Adjustment Table would be applied to ``Taker''
volume. Taker volume under the Adjustment Table would include the
following: (i) Volume resulting from a LP's orders and/or quotes
removing other market participants' resting orders and/or quotes and
(ii) volume resulting from a LP's primary orders in unpaired auctions
(i.e., Hybrid Agency Liaison (``HAL'') and HAL on the Open (``HALO'')).
The Exchange notes that Taker fees for Penny classes would be subject
to a cap of $0.50 per contract, which includes the LP Sliding Scale
transaction fee, Adjustment Table fee and Marketing Fee.\9\ The Maker
rebate set forth in the Adjustment Table would be applied to ``Maker''
volume, defined for this purpose as the following: (i) Volume resulting
from executions against a LP's resting orders and/or quotes and (ii)
volume resulting from a LP's responses to auctions (i.e., Automated
Improvement Mechanism (``AIM''), HAL, and/or HALO
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\8\ Simple, non-complex orders that execute against a complex
order will not be excluded.
\9\ For example, if an LP is assessed the Marketing Fee on a
given transaction ($0.25 per contract) for which it was a Taker in a
Penny class, and that LP falls in Tier 1 of the LP Sliding Scale
($0.23 per contract) and Performance Tier 1 of the Adjustment Table
($0.04 per contract), the LP would be assessed $0.50 per contract
for the transaction, instead of $0.52 per contract.
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[[Page 8885]]
responses).\10\ The Exchange notes that other Exchanges assess
transactions fees based on whether volume is ``maker'' or
``taker''.\11\ The Exchange lastly proposes to make clear in the
``Notes'' section of the Affiliate Volume Program (``AVP'') table that
the transaction fee credits under AVP do not apply to the LP Adjustment
Table.
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\10\ For example, based on December 2016's volume, a LP's
Performance Tier is Tier 2 for January 2017. In January 2017, the LP
has the following breakdown of volume:
1,162,500 contracts from AIM responses in Penny Classes
2,000,000 contracts from electronic Maker activity in Penny
Classes
1,000,000 contracts from electronic Maker activity in Non-Penny
Classes
500,000 contracts from electronic Taker activity in Penny
Classes
100,000 contracts from electronic Taker activity in Non-Penny
Classes
200,000 contracts from responses to HAL in Penny Classes
Per the proposed Adjustment Table, the LP would be assessed
$0.03 per contract for the 500,000 Taker Penny contracts ($15,000)
and $0.06 per contract for the 100,000 Taker non-Penny contracts
($6,000), resulting in an additional charge of $21,000. If based on
December 2016's volume the LP had instead met Performance Tier 5,
for January 2017, the LP would have been entitled to a rebate of
$0.01 for its Penny Maker volume of 3,362,500 (1,162,500 AIM
responses, 2,000,000 Maker auto-ex Penny contracts and 200,000 HAL
responses) for a total rebate of $33,625. In this example, no
additional fees would be assessed on the LP's Taker volume.
\11\ See e.g., Miami International Securities Exchange LLC
(``MIAX'') Options Fees Schedule, Section 1(a), Market Maker
Transaction Fees.
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2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
the Securities Exchange Act of 1934 (the ``Act'') and the rules and
regulations thereunder applicable to the Exchange and, in particular,
the requirements of Section 6(b) of the Act.\12\ Specifically, the
Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \13\ requirements that the rules of an exchange be
designed to prevent fraudulent and manipulative acts and practices, to
promote just and equitable principles of trade, to foster cooperation
and coordination with persons engaged in regulating, clearing,
settling, processing information with respect to, and facilitating
transactions in securities, 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. Additionally,
the Exchange believes the proposed rule change is consistent with
Section 6(b)(4) of the Act,\14\ which requires that Exchange rules
provide for the equitable allocation of reasonable dues, fees, and
other charges among its Trading Permit Holders and other persons using
its facilities.
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\12\ 15 U.S.C. 78f(b).
\13\ 15 U.S.C. 78f(b)(5).
\14\ 15 U.S.C. 78f(b)(4).
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The Exchange believes that adopting the Adjustment Table is
reasonable because the amount of LP transaction fees including the
proposed Taker fees and Taker cap of $0.50 per contract are similar and
in line with the amount assessed for similar transactions at other
Exchanges.\15\ Additionally, the Adjustment Table provides LPs an
opportunity to qualify for a rebate they would not otherwise receive.
The Exchange also notes that other exchanges have established
transaction fees for Market-Makers based on maker and taker
activity.\16\ Additionally the proposed rule change is designed to
encourage LPs to provide and post liquidity to the Exchange. The
different tiers provide an incremental incentive for LPs to add, rather
than take, liquidity.
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\15\ See e.g., International Securities Exchange (``ISE'')
Schedule of Fees, Regular Order Fees and Rebates. See also, BOX
Options Exchange Fees Schedule, Section I., Exchange Fees.
\16\ Id. See also MIAX Options Fees Schedule, Section 1(a),
Market Maker Transaction Fees.
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The Exchange believes that it is reasonable, equitable and not
unfairly discriminatory to only assess an additional Taker fee to those
transactions removing liquidity from the market (``Takers'') and not
Maker volume because the Exchange wants to continue to encourage market
participation and price improvement. The Exchange's proposal to charge
LPs who remove more liquidity higher fees is equitable and not unfairly
discriminatory as it is common practice among options exchanges to
differentiate fees for adding liquidity and fees for removing liquidity
as discussed above.
The Exchange also believes it's equitable and not unfairly
discriminatory to assess higher fees for non-Penny option classes than
Penny option classes and provide a rebate only for Penny classes
because Penny classes and Non-Penny classes offer different pricing,
liquidity, spread and trading incentives. The spreads in Penny classes
are tighter than those in Non-Penny classes (which trade in $0.05
increments). The wider spreads in non-Penny option classes allow for
greater profit potential.
Limiting the Adjustment Table to orders entered electronically is
equitable and not unfairly discriminatory because the Exchange seeks to
improve the quality of posted electronic markets. Additionally, the
Exchange cannot discern whether an order is a Maker or Taker in open-
outcry.
The Exchange believes it's equitable and not unfairly
discriminatory to exclude Trades on the Open because these transactions
involve the matching of undisplayed pre-opening trading interest. As
such, there is, in effect, no Maker or Taker activity occurring. The
Exchange would also like to encourage users to submit pre-opening
orders. This brings greater liquidity and trading opportunity, which
benefits all market participants. Similarly, the Exchange believes it's
equitable and not unfairly discriminatory to exclude the original
paired orders entered into an auction mechanism because there is no
Maker or Taker activity occurring with respect to the original paired
order.
The Exchange believes it's reasonable, equitable and not unfairly
discriminatory to exclude complex orders from the Adjustment Table
because complex orders are already subject to the Complex Surcharge.
The Exchange believes it's reasonable, equitable and not unfairly
discriminatory to exclude QCC orders from the Adjustment Table because
QCC orders are also not subject to the Liquidity Provider Sliding
Scale.
Excluding auction responses from the Make Rate is equitable and not
unfairly discriminatory because the Exchange wants to encourage
improved resting liquidity. The Exchange notes however, that auction
responses are included as Maker with respect to the potential Maker
rebate, as it still wants to reward price improvement and using auction
mechanisms.
Lastly, the Exchange believes the proposed change is also equitable
and not unfairly discriminatory because all similarly situated LPs are
subject to the same fee structure.
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule changes will
impose any burden on competition that are not necessary or appropriate
in furtherance of the purposes of the Act. The Exchange does not
believe that the proposed rule change will impose any burden on
intramarket competition that is not necessary or appropriate in
furtherance of the purposes of the Act because all similarly situated
LPs are subject to the same fee structure. Additionally the proposed
rule change is designed to encourage LPs to provide and post liquidity
to the Exchange, which benefits all market participants.
The Exchange does not believe that the proposed rule changes will
impose any burden on intermarket competition
[[Page 8886]]
that is not necessary or appropriate in furtherance of the purposes of
the Act because the proposed change only affects trading on CBOE. To
the extent that the proposed change makes CBOE a more attractive
marketplace for market participants at other exchanges, such market
participants are welcome to become CBOE market participants.
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
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The foregoing rule change has become effective pursuant to Section
19(b)(3)(A) of the Act \17\ and paragraph (f) of Rule 19b-4 \18\
thereunder. 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 will institute proceedings to
determine whether the proposed rule change should be approved or
disapproved.
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\17\ 15 U.S.C. 78s(b)(3)(A).
\18\ 17 CFR 240.19b-4(f).
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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-CBOE-2017-007 on the subject line.
Paper Comments
Send paper comments in triplicate to Brent J. Fields,
Secretary, Securities and Exchange Commission, 100 F Street NE.,
Washington, DC 20549.
All submissions should refer to File Number SR-CBOE-2017-007. 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 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-CBOE-2017-007 and should be
submitted on or before February 21, 2017.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\19\
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\19\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-01999 Filed 1-30-17; 8:45 am]
BILLING CODE 8011-01-P
