Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Extend the Operation of its SPXPM Pilot Program, 67736-67739 [2022-24411]

Download as PDF 67736 Federal Register / Vol. 87, No. 216 / Wednesday, November 9, 2022 / Notices to align the costs and benefits of using EUR with otherwise available market rates for EUR balances, thereby facilitating the Clearing House’s ability to maintain EUR balances for liquidity management purposes. Further, as discussed above, the change to the spread would be applied equally to all Clearing Members who deposit cash balances in EUR. ICE Clear Europe does not believe that the amendments would adversely affect the ability of such Clearing Members or other market participants generally to access clearing services. Further, ICE Clear Europe believes that the amendments would not otherwise affect competition among Clearing Members, adversely affect the market for clearing services or limit market participants’ choices for obtaining clearing services. As a result, ICE Clear Europe does not believe the amendments would have any impact or impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. (C) Clearing Agency’s Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others Written comments relating to the proposed amendments have not been solicited or received by ICE Clear Europe. ICE Clear Europe will notify the Commission of any comments received with respect to 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 11 and paragraph (f)(2) of Rule 19b–4 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. khammond on DSKJM1Z7X2PROD with NOTICES 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– ICEEU–2022–021 on the subject line. Paper Comments • Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549–1090. All submissions should refer to File Number SR–ICEEU–2022–021. 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 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 such filings will also be available for inspection and copying at the principal office of ICE Clear Europe and on ICE Clear Europe’s website at https:// www.theice.com/clear-europe/ regulation. 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–ICEEU–2022–021 and should be submitted on or before November 30, 2022. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.13 J. Matthew DeLesDernier, Deputy Secretary. [FR Doc. 2022–24414 Filed 11–8–22; 8:45 am] BILLING CODE 8011–01–P 11 15 12 17 U.S.C. 78s(b)(3)(A). CFR 240.19b–4(f)(2). VerDate Sep<11>2014 17:09 Nov 08, 2022 13 17 Jkt 259001 PO 00000 Fmt 4703 [Release No. 34–96222; File No. SR–CBOE– 2022–054] Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Extend the Operation of its SPXPM Pilot Program November 3, 2022. 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 October 24, 2022, 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 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 extend the operation of its SPXPM pilot program. The text of the proposed rule change is provided below. (additions are italicized; deletions are [bracketed]) * * * * * Rules of Cboe Exchange, Inc. * * * Sfmt 4703 * * Rule 4.13. Series of Index Options * * * * * Interpretations and Policies .01–.12 No change. .13 In addition to A.M.-settled S&P 500 Stock Index (‘‘SPX’’) options approved for trading on the Exchange pursuant to Rule 4.13, the Exchange may also list options on SPX whose exercise settlement value is derived from closing prices on the last trading day prior to expiration (P.M.-settled third Friday-of-the-month SPX options series). The Exchange may also list options on the Mini-SPX Index (‘‘XSP’’) and MiniRUT Index (‘‘MRUT’’) whose exercise settlement value is derived from closing prices on the last trading day prior to expiration (‘‘P.M.-settled’’). P.M.-settled third Friday-of-the-month SPX options series and P.M.-settled XSP and MRUT options will be 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 15 U.S.C. 78s(b)(3)(A)(iii). 4 17 CFR 240.19b–4(f)(6). 2 17 CFR 200.30–3(a)(12). Frm 00068 SECURITIES AND EXCHANGE COMMISSION E:\FR\FM\09NON1.SGM 09NON1 Federal Register / Vol. 87, No. 216 / Wednesday, November 9, 2022 / Notices listed for trading for a pilot period ending [November 7, 2022]May 8, 2023. * * * * * The text of the proposed rule change is also available on the Exchange’s website (https://www.cboe.com/ AboutCBOE/CBOELegal RegulatoryHome.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 khammond on DSKJM1Z7X2PROD with NOTICES 1. Purpose On February 8, 2013, the Securities and Exchange Commission (the ‘‘Commission’’) approved a rule change that established a Pilot Program that allows the Exchange to list options on the S&P 500 Index whose exercise settlement value is derived from closing prices on the last trading day prior to expiration (‘‘SPXPM’’).5 On July 31, 2013, the Commission approved a rule change that amended the Pilot Program to allow the Exchange to list options on the Mini-SPX Index (‘‘XSP’’) whose exercise settlement value is derived from closing prices on the last trading day prior to expiration (‘‘P.M.-settled XSP’’).6 On February 5, 2021, the Commission approved a rule change that amended the Pilot Program to allow 5 See Securities Exchange Act Release No. 68888 (February 8, 2013), 78 FR 10668 (February 14, 2013) (SR–CBOE–2012–120) (the ‘‘SPXPM Approval Order’’). Pursuant to Securities Exchange Act Release No. 80060 (February 17, 2017), 82 FR 11673 (February 24, 2017) (SR–CBOE–2016–091), the Exchange moved third-Friday P.M.-settled options into the S&P 500 Index options class, and as a result, the trading symbol for P.M.-settled S&P 500 Index options that have standard third Friday-ofthe-month expirations changed from ‘‘SPXPM’’ to ‘‘SPXW.’’ This change went into effect on May 1, 2017, pursuant to Cboe Options Regulatory Circular RG17–054. 6 See Securities Exchange Act Release No. 70087 (July 31, 2013), 78 FR 47809 (August 6, 2013) (SR– CBOE–2013–055) (the ‘‘P.M.-settled XSP Approval Order’’). VerDate Sep<11>2014 17:09 Nov 08, 2022 Jkt 259001 the Exchange to list options on the Mini Russell 2000 Index (‘‘MRUT’’ or ‘‘MiniRUT’’) whose exercise settlement value is derived from closing prices on the last trading day prior to expiration (‘‘P.M.settled MRUT’’) 7 (together, SPXPM, P.M.-settled XSP, and P.M.-settled MRUT to be referred to herein as the ‘‘Pilot Products’’).8 The Exchange has extended the pilot period numerous times, which, pursuant to Rule 4.13.13, is currently set to expire on the earlier of November 7, 2022 or the date on which the pilot program is approved on a permanent basis.9 The Exchange hereby proposes to further extend the end date of the pilot period to May 8, 2023.10 During the course of the Pilot Program and in support of the extensions of the Pilot Program, the Exchange submits reports to the Commission regarding the Pilot Program that detail the Exchange’s experience with the Pilot Program, pursuant to the SPXPM Approval Order,11 the P.M.-settled XSP Approval Order,12 and the P.M.-settled MRUT Approval Order.13 Specifically, the Exchange submits annual Pilot Program reports to the Commission that contain an analysis of volume, open interest, and trading patterns. The analysis examines trading in Pilot Products as 7 See Securities Exchange Act Release No. 91067 (February 5, 2021), 86 FR 9108 (SR–2020–CBOE– 116) (the ‘‘P.M.-settled MRUT Approval Order’’). 8 For more information on the Pilot Products or the Pilot Program, see the SPXPM Approval Order, the P.M.-settled XSP Approval Order, and the P.M.settled MRUT Approval Order. 9 See Securities Exchange Act Release Nos. 71424 (January 28, 2014), 79 FR 6249 (February 3, 2014) (SR–CBOE–2014–004); 73338 (October 10, 2014), 79 FR 62502 (October 17, 2014) (SR–CBOE–2014–076); 77573 (April 8, 2016), 81 FR 22148 (April 14, 2016) (SR–CBOE–2016–036); 80386 (April 6, 2017), 82 FR 17704 (April 12, 2017) (SR–CBOE–2017–025); 83166 (May 3, 2018), 83 FR 21324 (May 9, 2018) (SR–CBOE–2018–036); 84535 (November 5, 2018), 83 FR 56129 (November 9, 2018) (SR–CBOE–2018– 069); 85688 (April 18, 2019), 84 FR 17214 (April 24, 2019) (SR–CBOE–2019–023); 87464 (November 5, 2019), 84 FR 61099 (November 12, 2019) (SR– CBOE–2019–107); 88674 (April 16, 2020), 85 FR 22479 (April 22, 2020) (SR–CBOE–2020–036); 90263 (October 23, 2020), 85 FR 68611 (October 29, 2020) (SR–CBOE–2020–100); 91698 (April 28, 2021), 86 FR 23761 (May 4, 2021) (SR–CBOE–2021– 027); 93455 (October 28, 2021), 86 FR 60660 (November 3, 2021) (SR–CBOE–2021–062); and 94799 (April 27, 2022), 87 FR 26244 (May 3, 2022) (SR–CBOE–2022–019). 10 The Exchange notes that it is currently drafting a proposal to make the Pilot Program for SPXPM permanent. The Exchange intends to submit the proposal to make the Pilot Program for SPXPM permanent prior to the proposed May 8, 2023 Pilot Program expiration date. Following the Commission’s review and approval of the Exchange’s proposal, the Exchange intends to file a similar proposal(s) to make its Pilot Program for the other Pilot Products permanent. 11 See supra note 5. 12 See supra note 6. 13 See supra note 7. PO 00000 Frm 00069 Fmt 4703 Sfmt 4703 67737 well as trading in the securities that comprise the underlying index. Additionally, for series that exceed certain minimum open interest parameters, the annual reports provide analysis of index price volatility and share trading activity. The Exchange also submits periodic interim reports that contain some, but not all, of the information contained in the annual reports. In providing the annual and periodic interim reports (the ‘‘pilot reports’’) to the Commission, the Exchange has previously requested confidential treatment of the pilot reports under the Freedom of Information Act (‘‘FOIA’’).14 The pilot reports both contain the following volume and open interest data: (1) monthly volume aggregated for all trades; (2) monthly volume aggregated by expiration date; (3) monthly volume for each individual series; (4) month-end open interest aggregated for all series; (5) month-end open interest for all series aggregated by expiration date; and (6) month-end open interest for each individual series. The annual reports also contain (or will contain) the information noted in Items (1) through (6) above for Expiration Friday, A.M.-settled, S&P 500 and RUT index options traded on Cboe Options, as well as the following analysis of trading patterns in the Pilot Products options series in the Pilot Program: (1) a time series analysis of open interest; and (2) an analysis of the distribution of trade sizes. Finally, for series that exceed certain minimum parameters, the annual reports contain the following analysis related to index price changes and underlying share trading volume at the close on Expiration Fridays: (1) a comparison of index price changes at the close of trading on a given Expiration Friday with comparable price changes from a control sample. The data includes a calculation of percentage price changes for various time intervals and compare that information to the respective control sample. Raw percentage price change data as well as percentage price change data normalized for prevailing market volatility, as measured by the Cboe Volatility Index (VIX), is provided; and (2) a calculation of share volume for a sample set of the component securities representing an upper limit on share 14 5 U.S.C. 552. E:\FR\FM\09NON1.SGM 09NON1 67738 Federal Register / Vol. 87, No. 216 / Wednesday, November 9, 2022 / Notices khammond on DSKJM1Z7X2PROD with NOTICES trading that could be attributable to expiring in-the-money series. The data includes a comparison of the calculated share volume for securities in the sample set to the average daily trading volumes of those securities over a sample period. The minimum open interest parameters, control sample, time intervals, method for randomly selecting the component securities, and sample periods are determined by the Exchange and the Commission. In proposing to extend the Pilot Program, the Exchange will continue to abide by the reporting requirements described herein, as well as in the SPXPM Approval Order, the P.M.-settled XSP Approval Order, and the P.M.-settled MRUT Approval Order.15 Additionally, the Exchange will provide the Commission with any additional data or analyses the Commission requests because it deems such data or analyses necessary to determine whether the Pilot Program is consistent with the Exchange Act. The Exchange is in the process of making public on its website all data and analyses previously submitted to the Commission under the Pilot Program,16 and will continue to make public any data and analyses it submits to the Commission under the Pilot Program in the future. The Exchange proposes the extension of the Pilot Program in order to continue to give the Commission more time to consider the impact of the Pilot Program. To this point, Cboe Options believes that the Pilot Program has been well-received by its Trading Permit Holders and the investing public, and the Exchange would like to continue to provide investors with the ability to trade SPXPM and P.M.-settled XSP and MRUT options. All terms regarding the trading of the Pilot Products shall continue to operate as described in the SPXPM Approval Order, the P.M.settled XSP Approval Order, and the P.M.-settled MRUT Approval Order. The Exchange merely proposes herein to extend the term of the Pilot Program to May 8, 2023. 15 Pursuant to Securities Exchange Act Release No. 75914 (September 14, 2015), 80 FR 56522 (September 18, 2015) (SR–CBOE–2015–079), the Exchange added SPXPM and P.M.-settled XSP options to the list of products approved for trading during Extended Trading Hours (‘‘ETH’’). The Exchange will also include the applicable information regarding SPXPM and P.M.-settled XSP options that trade during ETH in its annual and interim reports. 16 Available at https://www.cboe.com/aboutcboe/ legal-regulatory/national-market-system-plans/pmsettlement-spxpm-data. VerDate Sep<11>2014 17:09 Nov 08, 2022 Jkt 259001 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.17 Specifically, the Exchange believes the proposed rule change is consistent with the Section 6(b)(5) 18 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) 19 requirement that the rules of an exchange not be designed to permit unfair discrimination between customers, issuers, brokers, or dealers. In particular, the Exchange believes that the proposed extension of the Pilot Program will continue to provide greater opportunities for investors. Further, the Exchange believes that it has not experienced any adverse effects or meaningful regulatory concerns from the operation of the Pilot Program. As such, the Exchange believes that the extension of the Pilot Program does not raise any unique or prohibitive regulatory concerns. Also, the Exchange believes that such trading has not, and will not, adversely impact fair and orderly markets on Expiration Fridays for the underlying stocks comprising the S&P 500 index and RUT index. The extension of the Pilot Program will continue to provide investors with the opportunity to trade the desirable products of SPXPM and P.M.-settled XSP and MRUT, while also providing the Commission further opportunity to observe such trading of the Pilot Products. B. Self-Regulatory Organization’s Statement on Burden on Competition Cboe Options 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 the continuation of the Pilot Program will 17 15 18 15 U.S.C. 78f(b). U.S.C. 78f(b)(5). 19 Id. PO 00000 Frm 00070 Fmt 4703 Sfmt 4703 impose any unnecessary or inappropriate burden on intramarket competition because it will continue to apply equally to all Cboe Options market participants, and the Pilot Products will be available to all Cboe Options market participants. The Exchange believes there is sufficient investor interest and demand in the Pilot Program to warrant its extension. The Exchange believes that, for the period that the Pilot Program has been in operation, it has provided investors with desirable products with which to trade. Furthermore, the Exchange believes that it has not experienced any adverse market effects or regulatory concerns with respect to the Pilot Program. The Exchange further does not believe that the proposed extension of the Pilot Program will impose any burden on intermarket competition that is not necessary or appropriate in furtherance of the purposes of the Act because it only applies to trading on Cboe Options. To the extent that the continued trading of the Pilot Products may make Cboe Options a more attractive marketplace to market participants at other exchanges, such market participants may elect to become Cboe Options 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 Because the foregoing proposed rule change does not: (i) significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) 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 20 and Rule 19b– 4(f)(6) thereunder.21 A proposed rule change filed under Rule 19b–4(f)(6) 22 normally does not become operative prior to 30 days after the date of the filing. However, Rule 20 15 U.S.C. 78s(b)(3)(A). CFR 240.19b–4(f)(6). In addition, Rule 19b– 4(f)(6)(iii) requires a self-regulatory organization to give the Commission written notice of its intent to file the proposed rule change, along with a brief description and text of the proposed rule change, at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission. The Exchange has satisfied this requirement. 22 17 CFR 240.19b–4(f)(6). 21 17 E:\FR\FM\09NON1.SGM 09NON1 Federal Register / Vol. 87, No. 216 / Wednesday, November 9, 2022 / Notices 19b–4(f)(6)(iii) 23 permits the Commission to designate a shorter time if such action is consistent with the protection of investors and the public interest. The Exchange has asked the Commission to waive the 30-day operative delay so that the proposal may become operative immediately upon filing. The Exchange states that waiver of the 30-day operative delay will allow it to extend the Pilot Program prior to its expiration on November 7, 2022, and maintain the status quo, thereby reducing market disruption. The Commission believes that waiving the 30-day operative delay is consistent with the protection of investors and the public interest as it will allow the Pilot Program to continue uninterrupted, thereby avoiding investor confusion that could result from a temporary interruption in the Pilot Program. Accordingly, the Commission hereby waives the 30-day operative delay and designates the proposed rule change as operative upon filing.24 At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule change should be approved or disapproved. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods: khammond on DSKJM1Z7X2PROD with NOTICES Electronic Comments • Use the Commission’s internet comment form (https://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SR– CBOE–2022–054 on the subject line. All submissions should refer to File Number SR–CBOE–2022–054. 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 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–2022–054 and should be submitted on or before November 30, 2022. SECURITIES AND EXCHANGE COMMISSION For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.25 J. Matthew DeLesDernier, Deputy Secretary. Dated: November 3, 2022. J. Matthew DeLesDernier, Deputy Secretary. Jkt 259001 November 3, 2022. Securities and Exchange Commission. ACTION: Order; correction. AGENCY: The Securities and Exchange Commission published a document in the Federal Register on October 28, 2022, concerning an Order Granting Approval of Proposed Rule Change To Increase the Minimum Required Fund Deposit for Government Securities Division Netting Members and Sponsoring Members, and Make Other Changes. The document contained a typographical error. FOR FURTHER INFORMATION CONTACT: Naomi P. Lewis, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549, (202) 551–5400. SUMMARY: Correction In the Federal Register of October 28, 2022, in FR Doc. 2022–23482, on page 65271, in the third column, in the last paragraph, on the 51st and 52nd lines, remove the reference to ‘‘as modified by Partial Amendment No. 1,’’. [FR Doc. 2022–24428 Filed 11–8–22; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Investment Company Act Release No. 34747; File No. 812–15383] J.P. Morgan Exchange-Traded Fund Trust, et al. November 3, 2022. Securities and Exchange Commission (‘‘Commission’’). ACTION: Notice. AGENCY: 24 For 17:09 Nov 08, 2022 Self-Regulatory Organizations; Fixed Income Clearing Corporation; Order Granting Approval of Proposed Rule Change To Increase the Minimum Required Fund Deposit for Government Securities Division Netting Members and Sponsoring Members, and Make Other Changes; Correction BILLING CODE 8011–01–P 23 17 VerDate Sep<11>2014 [Release No. 34–96136A; File No. SR–FICC– 2022–006] [FR Doc. 2022–24411 Filed 11–8–22; 8:45 am] Paper Comments • Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549–1090. CFR 240.19b–4(f)(6)(iii). purposes only of waiving the 30-day operative delay, the Commission has also considered the proposed rule’s impact on efficiency, competition, and capital formation. See 15 U.S.C. 78c(f). 67739 25 17 PO 00000 CFR 200.30–3(a)(12), (59). Frm 00071 Fmt 4703 Sfmt 4703 Notice of an application under section 6(c) of the Investment Company Act of 1940 (the ‘‘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 E:\FR\FM\09NON1.SGM 09NON1

Agencies

[Federal Register Volume 87, Number 216 (Wednesday, November 9, 2022)]
[Notices]
[Pages 67736-67739]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-24411]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-96222; File No. SR-CBOE-2022-054]


Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of 
Filing and Immediate Effectiveness of a Proposed Rule Change To Extend 
the Operation of its SPXPM Pilot Program

November 3, 2022.
    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 October 24, 2022, 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 extend the operation of its SPXPM pilot program. The text of the 
proposed rule change is provided below. (additions are italicized; 
deletions are [bracketed])
* * * * *

Rules of Cboe Exchange, Inc.

* * * * *

Rule 4.13. Series of Index Options

* * * * *

Interpretations and Policies

    .01-.12 No change.
    .13 In addition to A.M.-settled S&P 500 Stock Index (``SPX'') 
options approved for trading on the Exchange pursuant to Rule 4.13, 
the Exchange may also list options on SPX whose exercise settlement 
value is derived from closing prices on the last trading day prior 
to expiration (P.M.-settled third Friday-of-the-month SPX options 
series). The Exchange may also list options on the Mini-SPX Index 
(``XSP'') and Mini-RUT Index (``MRUT'') whose exercise settlement 
value is derived from closing prices on the last trading day prior 
to expiration (``P.M.-settled''). P.M.-settled third Friday-of-the-
month SPX options series and P.M.-settled XSP and MRUT options will 
be

[[Page 67737]]

listed for trading for a pilot period ending [November 7, 2022]May 
8, 2023.
* * * * *
    The text of the proposed rule change is also available on the 
Exchange's website (https://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), at the Exchange's Office of the 
Secretary, and at the Commission's Public Reference Room.

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

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
sections A, B, and C below, of the most significant aspects of such 
statements.

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

1. Purpose
    On February 8, 2013, the Securities and Exchange Commission (the 
``Commission'') approved a rule change that established a Pilot Program 
that allows the Exchange to list options on the S&P 500 Index whose 
exercise settlement value is derived from closing prices on the last 
trading day prior to expiration (``SPXPM'').\5\ On July 31, 2013, the 
Commission approved a rule change that amended the Pilot Program to 
allow the Exchange to list options on the Mini-SPX Index (``XSP'') 
whose exercise settlement value is derived from closing prices on the 
last trading day prior to expiration (``P.M.-settled XSP'').\6\ On 
February 5, 2021, the Commission approved a rule change that amended 
the Pilot Program to allow the Exchange to list options on the Mini 
Russell 2000 Index (``MRUT'' or ``Mini-RUT'') whose exercise settlement 
value is derived from closing prices on the last trading day prior to 
expiration (``P.M.-settled MRUT'') \7\ (together, SPXPM, P.M.-settled 
XSP, and P.M.-settled MRUT to be referred to herein as the ``Pilot 
Products'').\8\ The Exchange has extended the pilot period numerous 
times, which, pursuant to Rule 4.13.13, is currently set to expire on 
the earlier of November 7, 2022 or the date on which the pilot program 
is approved on a permanent basis.\9\ The Exchange hereby proposes to 
further extend the end date of the pilot period to May 8, 2023.\10\
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    \5\ See Securities Exchange Act Release No. 68888 (February 8, 
2013), 78 FR 10668 (February 14, 2013) (SR-CBOE-2012-120) (the 
``SPXPM Approval Order''). Pursuant to Securities Exchange Act 
Release No. 80060 (February 17, 2017), 82 FR 11673 (February 24, 
2017) (SR-CBOE-2016-091), the Exchange moved third-Friday P.M.-
settled options into the S&P 500 Index options class, and as a 
result, the trading symbol for P.M.-settled S&P 500 Index options 
that have standard third Friday-of-the-month expirations changed 
from ``SPXPM'' to ``SPXW.'' This change went into effect on May 1, 
2017, pursuant to Cboe Options Regulatory Circular RG17-054.
    \6\ See Securities Exchange Act Release No. 70087 (July 31, 
2013), 78 FR 47809 (August 6, 2013) (SR-CBOE-2013-055) (the ``P.M.-
settled XSP Approval Order'').
    \7\ See Securities Exchange Act Release No. 91067 (February 5, 
2021), 86 FR 9108 (SR-2020-CBOE-116) (the ``P.M.-settled MRUT 
Approval Order'').
    \8\ For more information on the Pilot Products or the Pilot 
Program, see the SPXPM Approval Order, the P.M.-settled XSP Approval 
Order, and the P.M.-settled MRUT Approval Order.
    \9\ See Securities Exchange Act Release Nos. 71424 (January 28, 
2014), 79 FR 6249 (February 3, 2014) (SR-CBOE-2014-004); 73338 
(October 10, 2014), 79 FR 62502 (October 17, 2014) (SR-CBOE-2014-
076); 77573 (April 8, 2016), 81 FR 22148 (April 14, 2016) (SR-CBOE-
2016-036); 80386 (April 6, 2017), 82 FR 17704 (April 12, 2017) (SR-
CBOE-2017-025); 83166 (May 3, 2018), 83 FR 21324 (May 9, 2018) (SR-
CBOE-2018-036); 84535 (November 5, 2018), 83 FR 56129 (November 9, 
2018) (SR-CBOE-2018-069); 85688 (April 18, 2019), 84 FR 17214 (April 
24, 2019) (SR-CBOE-2019-023); 87464 (November 5, 2019), 84 FR 61099 
(November 12, 2019) (SR-CBOE-2019-107); 88674 (April 16, 2020), 85 
FR 22479 (April 22, 2020) (SR-CBOE-2020-036); 90263 (October 23, 
2020), 85 FR 68611 (October 29, 2020) (SR-CBOE-2020-100); 91698 
(April 28, 2021), 86 FR 23761 (May 4, 2021) (SR-CBOE-2021-027); 
93455 (October 28, 2021), 86 FR 60660 (November 3, 2021) (SR-CBOE-
2021-062); and 94799 (April 27, 2022), 87 FR 26244 (May 3, 2022) 
(SR-CBOE-2022-019).
    \10\ The Exchange notes that it is currently drafting a proposal 
to make the Pilot Program for SPXPM permanent. The Exchange intends 
to submit the proposal to make the Pilot Program for SPXPM permanent 
prior to the proposed May 8, 2023 Pilot Program expiration date. 
Following the Commission's review and approval of the Exchange's 
proposal, the Exchange intends to file a similar proposal(s) to make 
its Pilot Program for the other Pilot Products permanent.
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    During the course of the Pilot Program and in support of the 
extensions of the Pilot Program, the Exchange submits reports to the 
Commission regarding the Pilot Program that detail the Exchange's 
experience with the Pilot Program, pursuant to the SPXPM Approval 
Order,\11\ the P.M.-settled XSP Approval Order,\12\ and the P.M.-
settled MRUT Approval Order.\13\ Specifically, the Exchange submits 
annual Pilot Program reports to the Commission that contain an analysis 
of volume, open interest, and trading patterns. The analysis examines 
trading in Pilot Products as well as trading in the securities that 
comprise the underlying index. Additionally, for series that exceed 
certain minimum open interest parameters, the annual reports provide 
analysis of index price volatility and share trading activity. The 
Exchange also submits periodic interim reports that contain some, but 
not all, of the information contained in the annual reports. In 
providing the annual and periodic interim reports (the ``pilot 
reports'') to the Commission, the Exchange has previously requested 
confidential treatment of the pilot reports under the Freedom of 
Information Act (``FOIA'').\14\
---------------------------------------------------------------------------

    \11\ See supra note 5.
    \12\ See supra note 6.
    \13\ See supra note 7.
    \14\ 5 U.S.C. 552.
---------------------------------------------------------------------------

    The pilot reports both contain the following volume and open 
interest data:
    (1) monthly volume aggregated for all trades;
    (2) monthly volume aggregated by expiration date;
    (3) monthly volume for each individual series;
    (4) month-end open interest aggregated for all series;
    (5) month-end open interest for all series aggregated by expiration 
date; and
    (6) month-end open interest for each individual series.
    The annual reports also contain (or will contain) the information 
noted in Items (1) through (6) above for Expiration Friday, A.M.-
settled, S&P 500 and RUT index options traded on Cboe Options, as well 
as the following analysis of trading patterns in the Pilot Products 
options series in the Pilot Program:
    (1) a time series analysis of open interest; and
    (2) an analysis of the distribution of trade sizes.
    Finally, for series that exceed certain minimum parameters, the 
annual reports contain the following analysis related to index price 
changes and underlying share trading volume at the close on Expiration 
Fridays:
    (1) a comparison of index price changes at the close of trading on 
a given Expiration Friday with comparable price changes from a control 
sample. The data includes a calculation of percentage price changes for 
various time intervals and compare that information to the respective 
control sample. Raw percentage price change data as well as percentage 
price change data normalized for prevailing market volatility, as 
measured by the Cboe Volatility Index (VIX), is provided; and
    (2) a calculation of share volume for a sample set of the component 
securities representing an upper limit on share

[[Page 67738]]

trading that could be attributable to expiring in-the-money series. The 
data includes a comparison of the calculated share volume for 
securities in the sample set to the average daily trading volumes of 
those securities over a sample period.
    The minimum open interest parameters, control sample, time 
intervals, method for randomly selecting the component securities, and 
sample periods are determined by the Exchange and the Commission. In 
proposing to extend the Pilot Program, the Exchange will continue to 
abide by the reporting requirements described herein, as well as in the 
SPXPM Approval Order, the P.M.-settled XSP Approval Order, and the 
P.M.-settled MRUT Approval Order.\15\ Additionally, the Exchange will 
provide the Commission with any additional data or analyses the 
Commission requests because it deems such data or analyses necessary to 
determine whether the Pilot Program is consistent with the Exchange 
Act. The Exchange is in the process of making public on its website all 
data and analyses previously submitted to the Commission under the 
Pilot Program,\16\ and will continue to make public any data and 
analyses it submits to the Commission under the Pilot Program in the 
future.
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    \15\ Pursuant to Securities Exchange Act Release No. 75914 
(September 14, 2015), 80 FR 56522 (September 18, 2015) (SR-CBOE-
2015-079), the Exchange added SPXPM and P.M.-settled XSP options to 
the list of products approved for trading during Extended Trading 
Hours (``ETH''). The Exchange will also include the applicable 
information regarding SPXPM and P.M.-settled XSP options that trade 
during ETH in its annual and interim reports.
    \16\ Available at https://www.cboe.com/aboutcboe/legal-regulatory/national-market-system-plans/pm-settlement-spxpm-data.
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    The Exchange proposes the extension of the Pilot Program in order 
to continue to give the Commission more time to consider the impact of 
the Pilot Program. To this point, Cboe Options believes that the Pilot 
Program has been well-received by its Trading Permit Holders and the 
investing public, and the Exchange would like to continue to provide 
investors with the ability to trade SPXPM and P.M.-settled XSP and MRUT 
options. All terms regarding the trading of the Pilot Products shall 
continue to operate as described in the SPXPM Approval Order, the P.M.-
settled XSP Approval Order, and the P.M.-settled MRUT Approval Order. 
The Exchange merely proposes herein to extend the term of the Pilot 
Program to May 8, 2023.
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.\17\ Specifically, the 
Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \18\ 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) \19\ requirement that the rules of an exchange not be 
designed to permit unfair discrimination between customers, issuers, 
brokers, or dealers.
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    \17\ 15 U.S.C. 78f(b).
    \18\ 15 U.S.C. 78f(b)(5).
    \19\ Id.
---------------------------------------------------------------------------

    In particular, the Exchange believes that the proposed extension of 
the Pilot Program will continue to provide greater opportunities for 
investors. Further, the Exchange believes that it has not experienced 
any adverse effects or meaningful regulatory concerns from the 
operation of the Pilot Program. As such, the Exchange believes that the 
extension of the Pilot Program does not raise any unique or prohibitive 
regulatory concerns. Also, the Exchange believes that such trading has 
not, and will not, adversely impact fair and orderly markets on 
Expiration Fridays for the underlying stocks comprising the S&P 500 
index and RUT index. The extension of the Pilot Program will continue 
to provide investors with the opportunity to trade the desirable 
products of SPXPM and P.M.-settled XSP and MRUT, while also providing 
the Commission further opportunity to observe such trading of the Pilot 
Products.

B. Self-Regulatory Organization's Statement on Burden on Competition

    Cboe Options 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 the continuation of the Pilot Program will impose any 
unnecessary or inappropriate burden on intramarket competition because 
it will continue to apply equally to all Cboe Options market 
participants, and the Pilot Products will be available to all Cboe 
Options market participants. The Exchange believes there is sufficient 
investor interest and demand in the Pilot Program to warrant its 
extension. The Exchange believes that, for the period that the Pilot 
Program has been in operation, it has provided investors with desirable 
products with which to trade. Furthermore, the Exchange believes that 
it has not experienced any adverse market effects or regulatory 
concerns with respect to the Pilot Program. The Exchange further does 
not believe that the proposed extension of the Pilot Program will 
impose any burden on intermarket competition that is not necessary or 
appropriate in furtherance of the purposes of the Act because it only 
applies to trading on Cboe Options. To the extent that the continued 
trading of the Pilot Products may make Cboe Options a more attractive 
marketplace to market participants at other exchanges, such market 
participants may elect to become Cboe Options 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

    Because the foregoing proposed rule change does not: (i) 
significantly affect the protection of investors or the public 
interest; (ii) impose any significant burden on competition; and (iii) 
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 \20\ and Rule 19b-
4(f)(6) thereunder.\21\
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    \20\ 15 U.S.C. 78s(b)(3)(A).
    \21\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii) 
requires a self-regulatory organization to give the Commission 
written notice of its intent to file the proposed rule change, along 
with a brief description and text of the proposed rule change, at 
least five business days prior to the date of filing of the proposed 
rule change, or such shorter time as designated by the Commission. 
The Exchange has satisfied this requirement.
---------------------------------------------------------------------------

    A proposed rule change filed under Rule 19b-4(f)(6) \22\ normally 
does not become operative prior to 30 days after the date of the 
filing. However, Rule

[[Page 67739]]

19b-4(f)(6)(iii) \23\ permits the Commission to designate a shorter 
time if such action is consistent with the protection of investors and 
the public interest. The Exchange has asked the Commission to waive the 
30-day operative delay so that the proposal may become operative 
immediately upon filing. The Exchange states that waiver of the 30-day 
operative delay will allow it to extend the Pilot Program prior to its 
expiration on November 7, 2022, and maintain the status quo, thereby 
reducing market disruption. The Commission believes that waiving the 
30-day operative delay is consistent with the protection of investors 
and the public interest as it will allow the Pilot Program to continue 
uninterrupted, thereby avoiding investor confusion that could result 
from a temporary interruption in the Pilot Program. Accordingly, the 
Commission hereby waives the 30-day operative delay and designates the 
proposed rule change as operative upon filing.\24\
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    \22\ 17 CFR 240.19b-4(f)(6).
    \23\ 17 CFR 240.19b-4(f)(6)(iii).
    \24\ For purposes only of waiving the 30-day operative delay, 
the Commission has also considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act. If the Commission 
takes such action, the Commission shall institute proceedings to 
determine whether the proposed rule change should be approved or 
disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the 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-2022-054 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-CBOE-2022-054. 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 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-2022-054 and should be submitted on 
or before November 30, 2022.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\25\
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    \25\ 17 CFR 200.30-3(a)(12), (59).
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J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022-24411 Filed 11-8-22; 8:45 am]
BILLING CODE 8011-01-P
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