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]

Download as PDF asabaliauskas on DSK3SPTVN1PROD with NOTICES 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 VerDate Sep<11>2014 18:22 Jan 30, 2017 Jkt 241001 8883 $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 (http:// 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 BILLING CODE 7709–02–P 2 17 PO 00000 Frm 00061 Fmt 4703 Sfmt 4703 E:\FR\FM\31JAN1.SGM U.S.C. 78s(b)(1). CFR 240.19b–4. 31JAN1 8884 Federal Register / Vol. 82, No. 19 / Tuesday, January 31, 2017 / Notices 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. VerDate Sep<11>2014 18:22 Jan 30, 2017 Jkt 241001 PO 00000 Frm 00062 Fmt 4703 Sfmt 4703 E:\FR\FM\31JAN1.SGM 31JAN1 Federal Register / Vol. 82, No. 19 / Tuesday, January 31, 2017 / Notices 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). VerDate Sep<11>2014 18:22 Jan 30, 2017 Jkt 241001 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. PO 00000 Frm 00063 Fmt 4703 Sfmt 4703 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 E:\FR\FM\31JAN1.SGM 31JAN1 8886 Federal Register / Vol. 82, No. 19 / Tuesday, January 31, 2017 / Notices 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 (http://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 (http://www.sec.gov/ rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission’s Public Reference Room, 100 F Street NE., Washington, DC 20549, on official business days between the hours of 10:00 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 VerDate Sep<11>2014 18:22 Jan 30, 2017 19 17 Jkt 241001 PO 00000 CFR 200.30–3(a)(12). Frm 00064 Fmt 4703 Sfmt 4703 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]


=======================================================================
-----------------------------------------------------------------------

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.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

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 
(http://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:
---------------------------------------------------------------------------

    \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
                                 -------------------------------------------------------------------------------
        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.
---------------------------------------------------------------------------

    \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.
---------------------------------------------------------------------------

    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
---------------------------------------------------------------------------

    \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.

---------------------------------------------------------------------------

[[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.
---------------------------------------------------------------------------

    \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.
---------------------------------------------------------------------------

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.
---------------------------------------------------------------------------

    \12\ 15 U.S.C. 78f(b).
    \13\ 15 U.S.C. 78f(b)(5).
    \14\ 15 U.S.C. 78f(b)(4).
---------------------------------------------------------------------------

    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.
---------------------------------------------------------------------------

    \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.

---------------------------------------------------------------------------

    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.
---------------------------------------------------------------------------

    \17\ 15 U.S.C. 78s(b)(3)(A).
    \18\ 17 CFR 240.19b-4(f).
---------------------------------------------------------------------------

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 (http://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 (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549, on official business days between the hours of 
10:00 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\
---------------------------------------------------------------------------

    \19\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-01999 Filed 1-30-17; 8:45 am]
 BILLING CODE 8011-01-P