Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Concerning End-of-Month and End-of-Day Indicative Values, 45807-45810 [2019-18753]
Download as PDF
<![CDATA[
Federal Register / Vol. 84, No. 169 / Friday, August 30, 2019 / Notices
personal nature about individuals who
submitted comments on the competition
entries, where disclosure would
constitute unwarranted invasions of
personal privacy. These matters are
exempt under 5 U.S.C. 552b(c)(6) of the
Government in the Sunshine Act.
Dated: August 27, 2019.
Crystal Robinson,
Committee Management Officer.
[FR Doc. 2019–18817 Filed 8–29–19; 8:45 am]
BILLING CODE 7555–01–P
NUCLEAR REGULATORY
COMMISSION
[NRC–2019–0001]
Sunshine Act Meetings
Weeks of September 2,
9, 16, 23, 30, October 7, 2019.
PLACE: Commissioners’ Conference
Room, 11555 Rockville Pike, Rockville,
Maryland.
STATUS: Public and Closed.
MATTERS TO BE CONSIDERED:
TIME AND DATE:
Week of September 2, 2019
There are no meetings scheduled for
the week of September 2, 2019.
Week of September 9, 2019—Tentative
Monday, September 9, 2019
10:00 a.m. NRC All Employees
Meeting (Public Meeting) Marriott
Bethesda North Hotel, 5701 Marinelli
Road, Rockville, MD 20852.
Dated at Rockville, Maryland, this 28th day
of August, 2019.
For the Nuclear Regulatory Commission.
Denise L. McGovern,
Policy Coordinator, Office of the Secretary.
[FR Doc. 2019–18912 Filed 8–28–19; 11:15 am]
BILLING CODE 7590–01–P
Tuesday, September 10, 2019
10:00 a.m. Briefing on NRC
International Activities (Closed—Ex. 1 &
9).
SECURITIES AND EXCHANGE
COMMISSION
Week of September 16, 2019—Tentative
There are no meetings scheduled for
the week of September 16, 2019.
Self-Regulatory Organizations; Cboe
Exchange, Inc.; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change Concerning End-ofMonth and End-of-Day Indicative
Values
Week of September 23, 2019—Tentative
There are no meetings scheduled for
the week of September 23, 2019.
Week of September 30, 2019—Tentative
There are no meetings scheduled for
the week of September 30, 2019.
Week of October 7, 2019—Tentative
There are no meetings scheduled for
the week of October 7, 2019.
CONTACT PERSON FOR MORE INFORMATION:
jspears on DSK3GMQ082PROD with NOTICES
at: https://www.nrc.gov/public-involve/
public-meetings/schedule.html.
The NRC provides reasonable
accommodation to individuals with
disabilities where appropriate. If you
need a reasonable accommodation to
participate in these public meetings or
need this meeting notice or the
transcript or other information from the
public meetings in another format (e.g.,
braille, large print), please notify
Kimberly Meyer-Chambers, NRC
Disability Program Manager, at 301–
287–0739, by videophone at 240–428–
3217, or by email at Kimberly.MeyerChambers@nrc.gov. Determinations on
requests for reasonable accommodation
will be made on a case-by-case basis.
Members of the public may request to
receive this information electronically.
If you would like to be added to the
distribution, please contact the Nuclear
Regulatory Commission, Office of the
Secretary, Washington, DC 20555 (301–
415–1969), or by email at
Wendy.Moore@nrc.gov or Tyesha.Bush@
nrc.gov.
The NRC is holding the meetings
under the authority of the Government
in the Sunshine Act, 5 U.S.C. 552b.
For more information or to verify the
status of meetings, contact Denise
McGovern at 301–415–0681 or via email
at Denise.McGovern@nrc.gov. The
schedule for Commission meetings is
subject to change on short notice.
The NRC Commission Meeting
Schedule can be found on the internet
VerDate Sep<11>2014
16:43 Aug 29, 2019
Jkt 247001
[Release No. 34–86766; File No. SR–CBOE–
2019–046]
August 26, 2019.
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 August
12, 2019, Cboe Exchange, Inc. (the
‘‘Exchange’’ or ‘‘Cboe Options’’) filed
with the Securities and Exchange
Commission (the ‘‘Commission’’) the
proposed rule change as described in
Items I, and II, below, which Items have
been prepared by the Exchange. The
Exchange filed the proposal as a ‘‘noncontroversial’’ proposed rule change
1 15
2 17
PO 00000
U.S.C. 78s(b)(1).
CFR 240.19b–4.
Frm 00099
Fmt 4703
pursuant to Section 19(b)(3)(A)(iii) of
the Act 3 and Rule 19b–4(f)(6)
thereunder.4 The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
Cboe Exchange, Inc. (the ‘‘Exchange’’
or ‘‘Cboe Options’’) proposes to amend
and move certain current Rules in
connection with end-of-month and endof-day indicative values from the
Exchange’s currently effective Rulebook
(‘‘current Rulebook’’) to the shell
structure for the Exchange’s Rulebook
that will become effective upon the
migration of the Exchange’s trading
platform to the same system used by the
Cboe Affiliated Exchanges (as defined
below) (‘‘shell Rulebook’’). The text of
the proposed rule change is provided in
Exhibit 5.
The text of the proposed rule change
is also available on the Exchange’s
website (https://www.cboe.com/
AboutCBOE/CBOELegalRegulatory
Home.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
In 2016, the Exchange’s parent
company, Cboe Global Markets, Inc.
(formerly named CBOE Holdings, Inc.)
(‘‘Cboe Global’’), which is also the
parent company of Cboe C2 Exchange,
Inc. (‘‘C2’’), acquired Cboe EDGA
Exchange, Inc. (‘‘EDGA’’), Cboe EDGX
Exchange, Inc. (‘‘EDGX’’ or ‘‘EDGX
Options’’), Cboe BZX Exchange, Inc.
(‘‘BZX’’ or ‘‘BZX Options’’), and Cboe
BYX Exchange, Inc. (‘‘BYX’’ and,
3 15
4 17
Sfmt 4703
45807
E:\FR\FM\30AUN1.SGM
U.S.C. 78s(b)(3)(A)(iii).
CFR 240.19b–4(f)(6).
30AUN1
jspears on DSK3GMQ082PROD with NOTICES
45808
Federal Register / Vol. 84, No. 169 / Friday, August 30, 2019 / Notices
together with Cboe Options, C2, EDGX,
EDGA, and BZX, the ‘‘Cboe Affiliated
Exchanges’’). The Exchange intends to
migrate its trading platform to the same
system used by the Cboe Affiliated
Exchanges, which the Exchange expects
to complete on October 7, 2019. In
connection with this technology
migration, the Exchange has a shell
Rulebook that resides alongside its
current Rulebook, which shell Rulebook
will contain the Rules that will be in
place upon completion of the Cboe
Options technology migration.
The Exchange proposes to adopt Rule
4.17 (in the shell Rulebook), which
amends its current rules regarding endof-month (‘‘EOM’’) and end-of-day
(‘‘EOD’’) indicative values.5 Currently,
Rule 6.2.06(a) describes the Exchange’s
process for calculating EOM values.
Specifically, it provides that following
the close of trading on the last business
day of each calendar month, the
Exchange will conduct special nontrading closing rotations for each series
of S&P 500 Index (‘‘SPX’’) options in
order to determine the theoretical ‘‘fair
value’’ of such series as of time of the
close of trading in the underlying cash
market. During such special non-trading
closing rotations, Lead Market Makers
(‘‘LMMs’’) or Select Market Makers
(‘‘SMMs’’) in the SPX options in each
series of SPX options, may provide bid
and offer quotations, the midpoint of
which will reflect the theoretical fair
value of the series of SPX options, as
determined by the LMM(s) or SMM(s)
pursuant to the LMMs’ or SMMs’
algorithmic analysis of relevant and
available data. Notwithstanding that
trading in SPX options on the Exchange
continues until fifteen minutes after the
close of trading in the underlying cash
market, on the last business day of each
month, after the close of trading, the
Exchange shall disseminate the fair
value quotations as of the close of
trading in the underlying cash market
provided by the LMM(s) or SMM(s) as
the quotations used to calculate the
theoretical fair value for each series of
SPX options. In particular, LMMs and
SMMs provide the exchange with
quotes to fairly represent the market of
the subject series, using the final EOM
fair value of the corresponding E-Mini
S&P 500 (‘‘ES’’) futures price provided
by the CME Group, Inc. (‘‘CME’’),
usually within 10 minutes of CME’s
EOM fair value market close, which
5 The Exchange notes that current Rule 6.2.06,
which currently provides for EOM and EOD values,
was already ‘‘removed’’ from the current Rulebook
in anticipation of migration, therefore, is effective
only until October 7, 2019. See Securities Exchange
Act Release No. 86387 (July 16, 2019), 84 FR 35147
(July 22, 2019) (SR–CBOE–2019–034).
VerDate Sep<11>2014
16:43 Aug 29, 2019
Jkt 247001
occurs at 3:00 p.m. on the last trading
day of the month.
Current Rule 6.2.06(b) describes the
Exchange’s process for calculating EOD
values. Specifically, it provides that
following the close of trading of Regular
Trading Hours on any trading day that
is not the last business day of a calendar
month, in addition to the Exchange’s
regular end-of-day quotations, the
Exchange may determine, on a seriesby-series basis, to disseminate two-sided
indicative values in non-expiring series
of SPX options in the interests of fair
and orderly markets. The Exchange
derives end-of-day indicative values for
series of SPX options using an algorithm
based on quotations and orders
displayed in series of SPX options prior
to the close of trading or, in the absence
of sufficient quote and order data in a
series, using generally accepted
volatility and options pricing models as
determined by the Exchange. EOD
indicative values shall be clearly
identified and disseminated via the
Options Price Reporting Authority
(‘‘OPRA’’). This permits the Exchange to
disseminate informational indicative
values more reflective of actual options
values in addition to final end-of-day
displayed quotations when Users’
systems issues or market conditions
result in an absence of final quotes or
extraordinarily wide final quotes
without interfering in the markets or
impeding any market functionalities
that rely on accurate pricing or EOD
quotes.
Upon migration, the Exchange will
discontinue the dissemination of
indicative values to OPRA, 6 as well as
the EOM closing rotation. Instead, the
Exchange will make publicly available,
e.g., on its website, the indicative prices
calculated for each series in classes as
the Exchange determines on a class-byclass basis, on any trading day,
including the last trading day of the
month, using the same logic currently
implemented for calculating indicative
values under current Rule 6.2.06(b). As
such, the Exchange now proposes Rule
4.17 (in the shell Rulebook), which
amends the language under current Rule
6.2.06(b) and does not adopt language
from current Rule 6.2.06(a), to account
for the above-described changes to be
implemented upon migration.
The proposed rule does not present
any new or novel functionality as the
indicative value logic will function for
all trading days in the same manner as
it does today for EOD. The proposed
change merely applies the same process
to every trading day, including the last
business day of the calendar month.
This will provide a streamlined
indicative price process for each trading
day in which indicative prices may be
published. In addition to streamlining
the process for each trading day, the
Exchange proposes to remove the
theoretical fair value process for EOM
for a number of other reasons. First, the
migrated technology platform will no
longer support the ability for LMMs or
SMMs to quote after the close as the
current rule provides. Second, the
Exchange believes using an algorithm
based on quotations and orders
displayed will provide a more objective,
static formulation for indicative prices
as opposed to the current analysis
conducted by LMMs or SMMs, which
potentially varies across different LMMs
or SMMs. Third, though CME currently
provides for a EOM fair value procedure
for many of its equities products (which
differs from the 3:15 p.m. daily
settlement process for such products), it
may determine to have a 3:00 p.m. daily
settlement process for all days,
including the last trading day of the
month, in its equities products as it
currently has in place for other
products, which could interfere with the
current EOM process. Therefore, the
Exchange proposes to mitigate any
possibility that indicative values could
not be calculated on the last day of the
month by applying the current
Exchange-generated EOD logic to all
trading days.
The Exchange also proposes that,
instead of a series-by-series basis, the
Exchange may determine which
indicative values will be provided on a
class-by-class basis, which is consistent
with the majority of Exchange
determinations, where applicable,
throughout the Exchange rules, as well
as provides the Exchange with
flexibility to potentially provide
indicative prices for any and all of its
options classes exclusively listed on the
Exchange.7 This will benefit all market
participants by providing more
indicative values than if the Exchange
determined indicative prices on the
narrower series-by-series basis. In
addition to this, rather than
disseminating the indicative pricing to
OPRA, for which market participants
must pay a fee to OPRA to access, the
Exchange will make indicative prices
publicly available, e.g., by posting on its
website, which will provide free access
6 The Exchange has communicated and worked
with OPRA reporting authorities regarding the
implementation of this change.
7 Upon migration, the Exchange plans to provide
indicative prices for SPX, SPXW, VIX, and VIXX
options.
PO 00000
Frm 00100
Fmt 4703
Sfmt 4703
E:\FR\FM\30AUN1.SGM
30AUN1
Federal Register / Vol. 84, No. 169 / Friday, August 30, 2019 / Notices
jspears on DSK3GMQ082PROD with NOTICES
to such prices for all market
participants.
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.8 Specifically,
the Exchange believes the proposed rule
change is consistent with the Section
6(b)(5) 9 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
the Section 6(b)(5) 10 requirement that
the rules of an exchange not be designed
to permit unfair discrimination between
customers, issuers, brokers, or dealers.
The Exchange notes that the proposed
rule does not present any new or novel
functionality, as it will continue to use
the EOD logic in the same manner for
calculating indicative values as it does
today for all trading days. The proposed
change merely applies the current EOD
logic to every trading day, including the
last business day of the calendar month.
As such, the proposed rule change will
protect investors by fostering
cooperation and coordination with
market participants processing
information with respect to securities
and by removing impediments to and
perfecting the mechanism of a free and
open market and national market system
by providing market participants with a
streamlined indicative price process.
The Exchange believes this will make
the process itself easier to understand
within the Exchange Rules, as well as
provide easier access to such pricing. In
addition to streamlining the process for
each trading day, removing the
theoretical fair value process for EOM
will also remove impediments to and
perfect the mechanism of a free and
open market and national market system
by providing market participants with
rules that will accurately reflect the
manner in the Exchange’s System will
8 15
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
10 Id.
9 15
VerDate Sep<11>2014
16:43 Aug 29, 2019
Jkt 247001
function upon migration, allow for a
more objective, static formulation for
indicative prices than the current LMM
or SMM analysis, which potentially
varies across different LMMs or SMMs,
as well as mitigate any potential issues
in deriving indicative values from
CME’s EOM fair value process, which is
subject to change and, as a result, could
interfere with the current EOM process.
Additionally, by providing the
Exchange with the flexibility to
determine indicative values on a
broader class-by-class basis, the
proposed rule change will potentially
provide more indicative pricing
information, benefitting all market
participants. Exchange determinations
on a class-by-class basis are also
consistent with the majority of
Exchange determinations currently
under the Rules. Moreover, the
proposed rule change will remove
impediments to and perfect the
mechanism of a free and open market
and national market system by making
the indicative values publicly available
and free for all participants to access, as
opposed to the current dissemination of
such prices to OPRA, for which market
participants must pay a fee to access.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act. The
Exchange does not believe that the
proposed rule change will impose any
burden on intramarket competition
because the dissemination of EOD
indicative values does not impact
trading on the Exchange, but is intended
merely to make indicative pricing
information available to all market
participants. Likewise, the Exchange
does not believe that the proposed rule
change will impose any burden on
intermarket competition because the
indicative values will be publicly
available, e.g., on the Exchange’s
website, to all market participants for
free.
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
Because the foregoing proposed rule
change does not:
PO 00000
Frm 00101
Fmt 4703
Sfmt 4703
45809
A. Significantly affect the protection
of investors or the public interest;
B. impose any significant burden on
competition; and
C. become operative for 30 days from
the date on which it was filed, or such
shorter time as the Commission may
designate, it has become effective
pursuant to Section 19(b)(3)(A) of the
Act 11 and Rule 19b–4(f)(6) 12
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 shall institute proceedings
under Section 19(b)(2)(B) 13 of the Act to
determine whether the proposed rule
change should be approved or
disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the 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–2019–046 on the subject line.
Paper Comments
• Send paper comments in triplicate
to the Secretary, Securities and
Exchange Commission, 100 F Street NE,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–CBOE–2019–046. 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 website (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
11 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6).
13 15 U.S.C. 78s(b)(2)(B).
12 17
E:\FR\FM\30AUN1.SGM
30AUN1
45810
Federal Register / Vol. 84, No. 169 / Friday, August 30, 2019 / Notices
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 website 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 the
filing also will be available for
inspection and copying at the principal
office of the Exchange. All comments
received will be posted without change.
Persons submitting comments are
cautioned that we do not redact or edit
personal identifying information from
comment submissions. You should
submit only information that you wish
to make available publicly. All
submissions should refer to File
Number SR–CBOE–2019–046 and
should be submitted on or before
September 20, 2019.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.14
Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2019–18753 Filed 8–29–19; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Investment Company Act Release No.
33610; File No. 812–15004]
Hartford Schroders Opportunistic
Income Fund and Hartford Funds
Management Company, LLC
August 27, 2019.
Securities and Exchange
Commission (‘‘Commission’’).
ACTION: Notice.
jspears on DSK3GMQ082PROD with NOTICES
AGENCY:
Notice of an application under section
6(c) of the Investment Company Act of
1940 (the ‘‘Act’’) for an exemption from
sections 18(a)(2), 18(c), and 18(i) of the
Act, under sections 6(c) and 23(c) of the
Act for an exemption from rule 23c–3
under the Act, and for an order pursuant
to section 17(d) of the Act and rule 17d–
1 under the Act.
SUMMARY OF APPLICATION: Applicants
request an order to permit certain
registered closed-end management
investment companies to issue multiple
classes of shares and to impose assetbased service and distribution fees, and
early withdrawal charges (‘‘EWCs’’).
APPLICANTS: Hartford Schroders
Opportunistic Income Fund (the ‘‘Initial
Fund’’) and Hartford Funds
14 17
CFR 200.30–3(a)(12).
VerDate Sep<11>2014
16:43 Aug 29, 2019
Jkt 247001
Management Company, LLC (the
‘‘Adviser’’).
FILING DATES: The application was filed
on February 25, 2019 and amended on
May 29, 2019 and July 29, 2019.
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 September 23, 2019,
and should be accompanied by proof of
service on the 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: Secretary, U.S. Securities
and Exchange Commission, 100 F Street
NE, Washington, DC 20549–1090;
Applicants: Hartford Schroders
Opportunistic Income Fund and
Hartford Funds Management Company,
LLC, 690 Lee Road, Wayne,
Pennsylvania 19087.
FOR FURTHER INFORMATION CONTACT:
Bradley Gude, Senior Counsel, at (202)
551–5590, or Trace W. Rakestraw,
Branch Chief, at (202) 551–6825
(Division of Investment Management,
Chief Counsel’s Office).
SUPPLEMENTARY INFORMATION: The
following is a summary of the
application. The complete application
may be obtained via the Commission’s
website by searching for the file
number, or for an applicant using the
Company name box, at https://
www.sec.gov/search/search.htm or by
calling (202) 551–8090.
Applicants’ Representations
1. The Initial Fund is a Delaware
statutory trust that is registered under
the Act as a diversified, closed-end
management investment company. The
Initial Fund’s investment objective will
be to provide current income and longterm return consistent with preservation
of capital.
2. The Adviser is a Delaware limited
liability company registered as an
investment adviser under the
Investment Advisers Act of 1940. The
Adviser will serve as investment adviser
to the Initial Fund.
3. The applicants seek an order to
permit the Initial Fund to issue multiple
PO 00000
Frm 00102
Fmt 4703
Sfmt 4703
classes of shares, each having its own
fee and expense structure, and to
impose asset-based distribution and
service fees, and EWCs.
4. Applicants request that the order
also apply to any continuously offered
registered closed-end management
investment company that has been
previously organized or that may be
organized in the future for which the
Adviser or any entity controlling,
controlled by, or under common control
with the Adviser, or any successor in
interest to any such entity,1 acts as
investment adviser and which operates
as an interval fund pursuant to rule
23c–3 under the Act or provides
periodic liquidity with respect to its
shares pursuant to rule 13e–4 under the
Securities Exchange Act of 1934
(‘‘Exchange Act’’) (each, a ‘‘Future
Fund’’ and together with the Initial
Fund, the ‘‘Funds’’).2
5. The Initial Fund will make a
continuous public offering of its shares.
Applicants state that additional
offerings by any Fund relying on the
order may be on a private placement or
public offering basis. Shares of the
Funds will not be listed on any
securities exchange, nor quoted on any
quotation medium. The Funds do not
expect there to be a secondary trading
market for their shares.
6. If the requested relief is granted, the
Initial Fund may also offer additional
classes of shares in the future, with each
class having its own fee and expense
structure.
7. Applicants state that, from time to
time, the Funds may create additional
classes of shares, the terms of which
may differ from the initial class
pursuant to and in compliance with rule
18f–3 under the Act.
8. Applicants state that the Initial
Fund will adopt a fundamental policy to
repurchase a specified percentage of its
shares (no less than 5% and not more
than 25%) at net asset value on a
periodic basis. Such repurchase offers
will be conducted pursuant to rule 23c–
3 under the Act.3 Each Future Fund will
likewise adopt a fundamental
investment policy in compliance with
1 A successor in interest is limited to an entity
that results from a reorganization into another
jurisdiction or a change in the type of business
organization.
2 Any Fund relying on this relief in the future will
do so in compliance with the terms and conditions
of the application. Applicants represent that each
entity presently intending to rely on the requested
relief is listed as an applicant.
3 Applicants submit that rule 23c–3 and
Regulation M under the Exchange Act permit an
interval fund to make repurchase offers to
repurchase its shares while engaging in a
continuous offering of its shares pursuant to rule
415 under the Securities Act of 1933.
E:\FR\FM\30AUN1.SGM
30AUN1
]]>Agencies
[Federal Register Volume 84, Number 169 (Friday, August 30, 2019)]
[Notices]
[Pages 45807-45810]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-18753]
=======================================================================
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-86766; File No. SR-CBOE-2019-046]
Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of
Filing and Immediate Effectiveness of a Proposed Rule Change Concerning
End-of-Month and End-of-Day Indicative Values
August 26, 2019.
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 August 12, 2019, Cboe Exchange, Inc. (the ``Exchange'' or
``Cboe Options'') filed with the Securities and Exchange Commission
(the ``Commission'') the proposed rule change as described in Items I,
and II, below, which Items have been prepared by the Exchange. The
Exchange filed the proposal as a ``non-controversial'' proposed rule
change pursuant to Section 19(b)(3)(A)(iii) of the Act \3\ and Rule
19b-4(f)(6) thereunder.\4\ The Commission is publishing this notice to
solicit comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ 15 U.S.C. 78s(b)(3)(A)(iii).
\4\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
Cboe Exchange, Inc. (the ``Exchange'' or ``Cboe Options'') proposes
to amend and move certain current Rules in connection with end-of-month
and end-of-day indicative values from the Exchange's currently
effective Rulebook (``current Rulebook'') to the shell structure for
the Exchange's Rulebook that will become effective upon the migration
of the Exchange's trading platform to the same system used by the Cboe
Affiliated Exchanges (as defined below) (``shell Rulebook''). The text
of the proposed rule change is provided in Exhibit 5.
The text of the proposed rule change is also available on the
Exchange's website (https://www.cboe.com/AboutCBOE/CBOELegalRegulatory
Home.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
In 2016, the Exchange's parent company, Cboe Global Markets, Inc.
(formerly named CBOE Holdings, Inc.) (``Cboe Global''), which is also
the parent company of Cboe C2 Exchange, Inc. (``C2''), acquired Cboe
EDGA Exchange, Inc. (``EDGA''), Cboe EDGX Exchange, Inc. (``EDGX'' or
``EDGX Options''), Cboe BZX Exchange, Inc. (``BZX'' or ``BZX
Options''), and Cboe BYX Exchange, Inc. (``BYX'' and,
[[Page 45808]]
together with Cboe Options, C2, EDGX, EDGA, and BZX, the ``Cboe
Affiliated Exchanges''). The Exchange intends to migrate its trading
platform to the same system used by the Cboe Affiliated Exchanges,
which the Exchange expects to complete on October 7, 2019. In
connection with this technology migration, the Exchange has a shell
Rulebook that resides alongside its current Rulebook, which shell
Rulebook will contain the Rules that will be in place upon completion
of the Cboe Options technology migration.
The Exchange proposes to adopt Rule 4.17 (in the shell Rulebook),
which amends its current rules regarding end-of-month (``EOM'') and
end-of-day (``EOD'') indicative values.\5\ Currently, Rule 6.2.06(a)
describes the Exchange's process for calculating EOM values.
Specifically, it provides that following the close of trading on the
last business day of each calendar month, the Exchange will conduct
special non-trading closing rotations for each series of S&P 500 Index
(``SPX'') options in order to determine the theoretical ``fair value''
of such series as of time of the close of trading in the underlying
cash market. During such special non-trading closing rotations, Lead
Market Makers (``LMMs'') or Select Market Makers (``SMMs'') in the SPX
options in each series of SPX options, may provide bid and offer
quotations, the midpoint of which will reflect the theoretical fair
value of the series of SPX options, as determined by the LMM(s) or
SMM(s) pursuant to the LMMs' or SMMs' algorithmic analysis of relevant
and available data. Notwithstanding that trading in SPX options on the
Exchange continues until fifteen minutes after the close of trading in
the underlying cash market, on the last business day of each month,
after the close of trading, the Exchange shall disseminate the fair
value quotations as of the close of trading in the underlying cash
market provided by the LMM(s) or SMM(s) as the quotations used to
calculate the theoretical fair value for each series of SPX options. In
particular, LMMs and SMMs provide the exchange with quotes to fairly
represent the market of the subject series, using the final EOM fair
value of the corresponding E-Mini S&P 500 (``ES'') futures price
provided by the CME Group, Inc. (``CME''), usually within 10 minutes of
CME's EOM fair value market close, which occurs at 3:00 p.m. on the
last trading day of the month.
---------------------------------------------------------------------------
\5\ The Exchange notes that current Rule 6.2.06, which currently
provides for EOM and EOD values, was already ``removed'' from the
current Rulebook in anticipation of migration, therefore, is
effective only until October 7, 2019. See Securities Exchange Act
Release No. 86387 (July 16, 2019), 84 FR 35147 (July 22, 2019) (SR-
CBOE-2019-034).
---------------------------------------------------------------------------
Current Rule 6.2.06(b) describes the Exchange's process for
calculating EOD values. Specifically, it provides that following the
close of trading of Regular Trading Hours on any trading day that is
not the last business day of a calendar month, in addition to the
Exchange's regular end-of-day quotations, the Exchange may determine,
on a series-by-series basis, to disseminate two-sided indicative values
in non-expiring series of SPX options in the interests of fair and
orderly markets. The Exchange derives end-of-day indicative values for
series of SPX options using an algorithm based on quotations and orders
displayed in series of SPX options prior to the close of trading or, in
the absence of sufficient quote and order data in a series, using
generally accepted volatility and options pricing models as determined
by the Exchange. EOD indicative values shall be clearly identified and
disseminated via the Options Price Reporting Authority (``OPRA''). This
permits the Exchange to disseminate informational indicative values
more reflective of actual options values in addition to final end-of-
day displayed quotations when Users' systems issues or market
conditions result in an absence of final quotes or extraordinarily wide
final quotes without interfering in the markets or impeding any market
functionalities that rely on accurate pricing or EOD quotes.
Upon migration, the Exchange will discontinue the dissemination of
indicative values to OPRA, \6\ as well as the EOM closing rotation.
Instead, the Exchange will make publicly available, e.g., on its
website, the indicative prices calculated for each series in classes as
the Exchange determines on a class-by-class basis, on any trading day,
including the last trading day of the month, using the same logic
currently implemented for calculating indicative values under current
Rule 6.2.06(b). As such, the Exchange now proposes Rule 4.17 (in the
shell Rulebook), which amends the language under current Rule 6.2.06(b)
and does not adopt language from current Rule 6.2.06(a), to account for
the above-described changes to be implemented upon migration.
---------------------------------------------------------------------------
\6\ The Exchange has communicated and worked with OPRA reporting
authorities regarding the implementation of this change.
---------------------------------------------------------------------------
The proposed rule does not present any new or novel functionality
as the indicative value logic will function for all trading days in the
same manner as it does today for EOD. The proposed change merely
applies the same process to every trading day, including the last
business day of the calendar month. This will provide a streamlined
indicative price process for each trading day in which indicative
prices may be published. In addition to streamlining the process for
each trading day, the Exchange proposes to remove the theoretical fair
value process for EOM for a number of other reasons. First, the
migrated technology platform will no longer support the ability for
LMMs or SMMs to quote after the close as the current rule provides.
Second, the Exchange believes using an algorithm based on quotations
and orders displayed will provide a more objective, static formulation
for indicative prices as opposed to the current analysis conducted by
LMMs or SMMs, which potentially varies across different LMMs or SMMs.
Third, though CME currently provides for a EOM fair value procedure for
many of its equities products (which differs from the 3:15 p.m. daily
settlement process for such products), it may determine to have a 3:00
p.m. daily settlement process for all days, including the last trading
day of the month, in its equities products as it currently has in place
for other products, which could interfere with the current EOM process.
Therefore, the Exchange proposes to mitigate any possibility that
indicative values could not be calculated on the last day of the month
by applying the current Exchange-generated EOD logic to all trading
days.
The Exchange also proposes that, instead of a series-by-series
basis, the Exchange may determine which indicative values will be
provided on a class-by-class basis, which is consistent with the
majority of Exchange determinations, where applicable, throughout the
Exchange rules, as well as provides the Exchange with flexibility to
potentially provide indicative prices for any and all of its options
classes exclusively listed on the Exchange.\7\ This will benefit all
market participants by providing more indicative values than if the
Exchange determined indicative prices on the narrower series-by-series
basis. In addition to this, rather than disseminating the indicative
pricing to OPRA, for which market participants must pay a fee to OPRA
to access, the Exchange will make indicative prices publicly available,
e.g., by posting on its website, which will provide free access
[[Page 45809]]
to such prices for all market participants.
---------------------------------------------------------------------------
\7\ Upon migration, the Exchange plans to provide indicative
prices for SPX, SPXW, VIX, and VIXX options.
---------------------------------------------------------------------------
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.\8\ Specifically, the
Exchange believes the proposed rule change is consistent with the
Section 6(b)(5) \9\ 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 the
Section 6(b)(5) \10\ requirement that the rules of an exchange not be
designed to permit unfair discrimination between customers, issuers,
brokers, or dealers.
---------------------------------------------------------------------------
\8\ 15 U.S.C. 78f(b).
\9\ 15 U.S.C. 78f(b)(5).
\10\ Id.
---------------------------------------------------------------------------
The Exchange notes that the proposed rule does not present any new
or novel functionality, as it will continue to use the EOD logic in the
same manner for calculating indicative values as it does today for all
trading days. The proposed change merely applies the current EOD logic
to every trading day, including the last business day of the calendar
month. As such, the proposed rule change will protect investors by
fostering cooperation and coordination with market participants
processing information with respect to securities and by removing
impediments to and perfecting the mechanism of a free and open market
and national market system by providing market participants with a
streamlined indicative price process. The Exchange believes this will
make the process itself easier to understand within the Exchange Rules,
as well as provide easier access to such pricing. In addition to
streamlining the process for each trading day, removing the theoretical
fair value process for EOM will also remove impediments to and perfect
the mechanism of a free and open market and national market system by
providing market participants with rules that will accurately reflect
the manner in the Exchange's System will function upon migration, allow
for a more objective, static formulation for indicative prices than the
current LMM or SMM analysis, which potentially varies across different
LMMs or SMMs, as well as mitigate any potential issues in deriving
indicative values from CME's EOM fair value process, which is subject
to change and, as a result, could interfere with the current EOM
process. Additionally, by providing the Exchange with the flexibility
to determine indicative values on a broader class-by-class basis, the
proposed rule change will potentially provide more indicative pricing
information, benefitting all market participants. Exchange
determinations on a class-by-class basis are also consistent with the
majority of Exchange determinations currently under the Rules.
Moreover, the proposed rule change will remove impediments to and
perfect the mechanism of a free and open market and national market
system by making the indicative values publicly available and free for
all participants to access, as opposed to the current dissemination of
such prices to OPRA, for which market participants must pay a fee to
access.
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act. The Exchange does not
believe that the proposed rule change will impose any burden on
intramarket competition because the dissemination of EOD indicative
values does not impact trading on the Exchange, but is intended merely
to make indicative pricing information available to all market
participants. Likewise, the Exchange does not believe that the proposed
rule change will impose any burden on intermarket competition because
the indicative values will be publicly available, e.g., on the
Exchange's website, to all market participants for free.
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
Because the foregoing proposed rule change does not:
A. Significantly affect the protection of investors or the public
interest;
B. impose any significant burden on competition; and
C. become operative for 30 days from the date on which it was
filed, or such shorter time as the Commission may designate, it has
become effective pursuant to Section 19(b)(3)(A) of the Act \11\ and
Rule 19b-4(f)(6) \12\ 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 shall institute proceedings under Section 19(b)(2)(B) \13\
of the Act to determine whether the proposed rule change should be
approved or disapproved.
---------------------------------------------------------------------------
\11\ 15 U.S.C. 78s(b)(3)(A).
\12\ 17 CFR 240.19b-4(f)(6).
\13\ 15 U.S.C. 78s(b)(2)(B).
---------------------------------------------------------------------------
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to [email protected]. Please include
File Number SR-CBOE-2019-046 on the subject line.
Paper Comments
Send paper comments in triplicate to the Secretary,
Securities and Exchange Commission, 100 F Street NE, Washington, DC
20549-1090.
All submissions should refer to File Number SR-CBOE-2019-046. 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 website (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
[[Page 45810]]
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 website 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
the filing also will be available for inspection and copying at the
principal office of the Exchange. All comments received will be posted
without change. Persons submitting comments are cautioned that we do
not redact or edit personal identifying information from comment
submissions. You should submit only information that you wish to make
available publicly. All submissions should refer to File Number SR-
CBOE-2019-046 and should be submitted on or before September 20, 2019.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\14\
---------------------------------------------------------------------------
\14\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2019-18753 Filed 8-29-19; 8:45 am]
BILLING CODE 8011-01-P
