81 FR 70714 - Self-Regulatory Organizations; Bats BZX Exchange, Inc.; Order Granting Approval of Proposed Rule Change, as Modified by Amendment No. 1, To Amend BZX Rule 14.11(d) To Add the EURO STOXX 50 Volatility Futures to the Definition of Futures Reference Asset
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 81, Issue 198 (October 13, 2016)
Federal Register Volume 81, Issue 198 (October 13, 2016)
| Page Range | 70714-70716 | |
| FR Document | 2016-24776 |
[Federal Register Volume 81, Number 198 (Thursday, October 13, 2016)] [Notices] [Pages 70714-70716] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2016-24776] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-79069; File No. SR-BatsBZX-2016-26] Self-Regulatory Organizations; Bats BZX Exchange, Inc.; Order Granting Approval of Proposed Rule Change, as Modified by Amendment No. 1, To Amend BZX Rule 14.11(d) To Add the EURO STOXX 50 Volatility Futures to the Definition of Futures Reference Asset October 7, 2016. I. Introduction On June 23, 2016, Bats BZX Exchange, Inc. (``Exchange'' or ``BZX'') filed with the Securities and Exchange Commission (``Commission''), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to amend BZX Rule 14.11(d) in order to add the EURO STOXX 50 Volatility (``VSTOXX'') Futures (``VSTOXX Futures'') to the definition of Futures Reference Asset. The proposed rule change was published for comment in the Federal Register on July 12, 2016.\3\ On August 23, 2016, pursuant to Section 19(b)(2) of the Act,\4\ the Commission designated a longer period within which to approve the proposed rule change, disapprove the proposed rule change, or institute proceedings to determine whether to disapprove the proposed rule change.\5\ On September 30, 2016, the Exchange filed Amendment No. 1 to the proposed rule change.\6\ The Commission received no comments on the proposed rule change. This order grants approval of the proposed rule change, as modified by Amendment No. 1. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. \3\ See Securities Exchange Act Release No. 78236 (Jul. 6, 2016), 81 FR 45185 (``Notice''). \4\ 15 U.S.C. 78s(b)(2). \5\ See Securities Exchange Act Release No. 78640, 81 FR 59257 (Aug. 29, 2016). \6\ In Amendment No. 1, the Exchange: (a) Clarified that an issuer would be required to represent to the Exchange that it will advise the Exchange of any failure of Futures-Linked Securities to comply with the continued listing requirements; (b) provided additional information regarding the comparability of the VSTOXX Futures and the CBOE Volatility Index (``VIX'') Futures currently included in the definition of Futures Reference Asset; (c) included additional background regarding the EURO STOXX 50 Index; (d) clarified that VSTOXX levels will be calculated by STOXX (as defined herein) and disseminated by major market data vendors such as Bloomberg and Thomson Reuters on a real-time basis throughout each trading day; and (e) made other grammatical corrections and typographical edits. Because the changes in Amendment No. 1 clarify certain statements in the proposal and do not materially alter the substance of the proposed rule change or raise any novel regulatory issues, it is not subject to notice and comment. Amendment No. 1, which amended and replaced the proposed rule change in its entirety, is available on the Commission's Web site at: https://www.sec.gov/comments/sr-batsbzx-2016-26/batsbzx201626-1.pdf. --------------------------------------------------------------------------- II. Exchange's Description of the Proposal The Exchange proposes to amend BZX Rule 14.11(d) to add VSTOXX Futures to the definition of Futures Reference Asset.\7\ By adding VSTOXX Futures to the definition of Futures Reference Asset, the Exchange would be permitted to generically list and trade Futures- Linked Securities linked to [[Page 70715]] VSTOXX Futures pursuant to Rule 19b-4(e) under the Act.\8\ --------------------------------------------------------------------------- \7\ As defined in BZX Rule 14.11(d), ``Futures Reference Asset'' currently includes an index of (a) futures on Treasury Securities, GSE Securities, supranational debt and debt of a foreign country or a subdivision thereof, or options or other derivatives on any of the foregoing; or (b) interest rate futures or options or derivatives on the foregoing in this subparagraph (b); or (c) CBOE Volatility Index (VIX) Futures. \8\ 17 CFR 240.19b-4(e). Rule 19b-4(e) provides that the listing and trading of a new derivative securities product by a self- regulatory organization (``SRO'') shall not be deemed a proposed rule change, pursuant to section (c)(1) of Rule 19b-4, if the Commission has approved, pursuant to Section 19(b) of the Act, the SRO's trading rules, procedures, and listing standards for the product class, and the SRO has a surveillance program for the product class. --------------------------------------------------------------------------- The Exchange has made the following representations and statements in describing the proposal, including information and background relating to VSTOXX and VSTOXX Futures.\9\ --------------------------------------------------------------------------- \9\ The Commission notes that additional information regarding EURO STOXX 50, VSTOXX, and VSTOXX Futures, among other things, can be found in the Notice. See Notice, supra note 3. --------------------------------------------------------------------------- A. Description of VSTOXX and VSTOXX Futures According to the Exchange, the VSTOXX was originally developed in 2005 and is based on EURO STOXX 50 Index \10\ real-time option prices that are listed on the Eurex Deutschland (``Eurex'').\11\ The VSTOXX is designed to reflect market expectations of near-term to long-term volatility by measuring the square root of the implied variances across all options of a given time to expiration. The Exchange represents that the model for VSTOXX aims to make pure volatility tradable, i.e., it should be possible to replicate the indices with an options portfolio that does not react to price fluctuations, but to changes in volatility only. The VSTOXX does not measure implied volatilities of at-the-money EURO STOXX 50 Index options, but the implied variance across all options of a given time to expiry.\12\ --------------------------------------------------------------------------- \10\ The EURO STOXX 50 Index includes 50 stocks that are among the largest free-float market capitalization stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal, and Spain. Additional details of the EURO STOXX 50 Index, including information relating to weighting and eligibility requirements for components, among other things, can be found in the Notice and Amendment No 1 to the proposed rule change. See Notice and Amendment No. 1, supra notes 3 and 6. \11\ The Exchange represents that Eurex is a member of the Intermarket Surveillance Group (``ISG'') and, accordingly, the Exchange may obtain information regarding trading in the underlying VSTOXX Futures contracts. For a list of the current members and affiliate members of ISG, see www.isgportal.com. \12\ The VSTOXX is calculated using a series of sub-indices that are based on put and call options on the EURO STOXX 50 Index in eight expiry months, with a maximum time to expiry of two years, in order to bracket a 30-day calendar period. VSTOXX levels will be calculated by STOXX and disseminated by major market-data vendors such as Bloomberg and Thomson Reuters. Additional details of the VSTOXX, including information relating to calculation methodology, can be found in the Notice and Amendment No 1 to the proposed rule change. See Notice and Amendment No. 1, supra notes 3 and 6. --------------------------------------------------------------------------- According to the Exchange, VSTOXX Futures are cash settled and trade between the hours of 7:30 a.m. and 10:30 p.m. Central European Time (2:30 a.m. and 5:30 p.m. Eastern Time).\13\ The VSTOXX Futures contract value is 100 Euros per index point of the underlying and it is traded to two decimal places, with a minimum price change of 0.05 points (equivalent to a value of 5 Euros). The daily settlement price is determined during the closing auction of the respective futures contracts. The last trading day and final settlement day is 30 calendar days prior to the third Friday of the expiration month of the underlying options, which is usually the Wednesday prior to the second- to-last Friday of the respective maturity month. --------------------------------------------------------------------------- \13\ The Exchange represents that additional information regarding the VSTOXX Futures can be found on the Eurex Web site. Additional details of the VSTOXX Futures, including monthly trading volume and open interest, among other things, also can be found in the Notice and Amendment No 1 to the proposed rule change. See Notice and Amendment No. 1, supra notes 3 and 6. --------------------------------------------------------------------------- B. Comparability of VSTOXX and VIX According to the Exchange, the VSTOXX and VIX are nearly identical calculations of expected volatility in the EURO STOXX 50 Index and the S&P 500, respectively, based on pricing in the applicable options. The exchange represents that both processes involve screening of available option prices, followed by the construction of variance terms and then the subsequent weighting of those terms into the index values, and that the differences between the two processes are largely cosmetic. VSTOXX employs the following screens on EURO STOXX 50 Index options: (i) All option prices that are one-sided or without both a bid and ask are screened out; (ii) only options that are quoted within an established maximum spread are eligible for inclusion; and (iii) options that are too far out of the money (i.e., that would change the index value less than 0.5 index points) are excluded. Similarly, VIX excludes options on the S&P 500 as follows: (a) All calls that have a bid price of zero are excluded, and, after two consecutive strikes have zero bid prices, no higher strikes are used; and (b) all puts that have a bid price of zero are excluded and after two consecutive strikes have zero bid prices, no lower strikes are used. The Exchange notes that, while these screens are not exactly the same, they are both designed to exclude options from their universe that do not have sufficient liquidity for the index to rely on their pricing for purposes of calculating volatility. In addition, after choosing the applicable options universe, both VSTOXX and VIX use essentially identical formulas for calculating variance across the included options. Finally, after determining the variance, both VSTOXX and VIX use a substantively identical formula for weighting each of the individual variances in order to calculate the respective index value. III. Discussion and Commission's Findings After careful review, the Commission finds that the proposed rule change, as modified by Amendment No. 1, is consistent with the requirements of Section 6 of the Act \14\ and the rules and regulations thereunder applicable to a national securities exchange.\15\ In particular, the Commission finds that the proposal is consistent with Section 6(b)(5) of the Act,\16\ which requires, among other things, that the Exchange's rules 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. --------------------------------------------------------------------------- \14\ 15 U.S.C. 78f. \15\ In approving this proposed rule change, the Commission has considered the proposed rule's impact on efficiency, competition, and capital formation. See 15 U.S.C. 78c(f). \16\ 17 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- The Commission notes that VIX Futures are currently included as a Futures Reference Asset for Futures-Linked Securities.\17\ The Commission also notes that, based on the Exchange's representations, the VSTOXX and VIX employ nearly identical calculations of expected volatility in the EURO STOXX 50 Index and the S&P 500, respectively. In addition, both VSTOXX and VIX use essentially identical formulas for calculating variance across the included options, and, after determining the variance, use a substantively identical formula for weighting each of the individual variances in order to calculate the respective index value. Given the similarities between VSTOXX and VIX, which was previously approved by the Commission as a Futures Reference Asset, the Commission believes that it is consistent with the Act for the Exchange [[Page 70716]] to amend its listing standard to include VSTOXX as a Futures Reference Asset. --------------------------------------------------------------------------- \17\ See supra note 7. --------------------------------------------------------------------------- In addition, the Commission notes that, notwithstanding the addition of VSTOXX Futures to the definition of Futures Reference Asset, the existing initial and continued listing criteria applicable to Linked-Securities, generally, and Futures-Linked Securities, specifically, would continue to apply. For example, the Exchange represents that any Futures-Linked Securities linked to VSTOXX Futures would be required to meet both the initial and continued listing standards under BZX Rule 14.11(d)(2)(K)(iv)(b) and (c) or be subject to delisting or removal proceedings. These initial and continued listing standards require, among other things: (i) The value of the Futures Reference Asset be calculated and widely disseminated by one or more major market data vendors on at least a 15-second basis during the Exchange's regular market session; (ii) for Futures-Linked Securities that are periodically redeemable, the Intraday Indicative Value of the securities be calculated and widely disseminated by the Exchange or one or more major market data vendors on at least a 15-second basis during the Exchange's regular market session; (iii) the aggregate market value or the principal amount of the Futures-Linked Securities be at least $400,000; and (iv) the value of the VSTOXX Futures be calculated and available. In addition, any Futures-Linked Securities linked to VSTOXX Futures also would be required to meet the listing standards applicable to all Linked Securities under BZX Rule 14.11(d)(2). The Exchange represents that any securities it would list and trade pursuant to amended BZX Rule 14.11(d) would continue to comply with all Exchange rules applicable to the listing and trading of Linked Securities. Further, the Exchange represents that its existing surveillance procedures are adequate to continue to properly monitor the trading of the Futures-Linked Securities linked to VSTOXX Futures in all trading sessions and to deter and detect violations of Exchange rules. Specifically, the Exchange stated that it intends to utilize its existing surveillance procedures applicable to derivative products, which includes Linked Securities, to monitor trading in the Futures- Linked Securities. The Commission notes that Eurex, on which VSTOXX Futures trade, is a member of ISG, and the Exchange represents that it may obtain information regarding trading in the underlying VSTOXX Futures. The Commission further notes that the issuer of a series of Linked Securities is and will continue to be required to comply with Rule 10A- 3 under the Act for the initial and continued listing of Linked Securities, as provided under BZX Rule 14.11(d)(2)(F). Moreover, the Exchange represents that prior to listing Futures-Linked Securities linked to VSTOXX Futures pursuant to BZX Rule 14.11(c)(2)(K)(iv), an issuer would be required to represent to the Exchange that it will advise the Exchange of any failure of the Futures-Linked Securities to comply with the continued listing requirements. For the foregoing reasons, the Commission finds that the proposed rule change, as modified by Amendment No. 1, is consistent with Section 6(b)(5) of the Act \18\ and the rules and regulations thereunder applicable to a national securities exchange. --------------------------------------------------------------------------- \18\ 15 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- IV. Conclusion It is therefore ordered, pursuant to Section 19(b)(2) of the Act,\19\ that the proposed rule change (SR-BatsBZX-2016-26), as modified by Amendment No. 1 thereto, be, and it hereby is, approved. --------------------------------------------------------------------------- \19\ 15 U.S.C. 78s(b)(2). \20\ 17 CFR 200.30-3(a)(12). For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\20\ Robert W. Errett, Deputy Secretary. [FR Doc. 2016-24776 Filed 10-12-16; 8:45 am] BILLING CODE 8011-01-P
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section 22(e) to prevent unreasonable, limitations in section 12(d)(1)(A) and 19b–4 thereunder,2 a proposed rule
undisclosed or unforeseen delays in the permit the Master Fund, and any change to amend BZX Rule 14.11(d) in
actual payment of redemption proceeds. principal underwriter for the Master order to add the EURO STOXX 50
7. Applicants request an exemption to Fund, to sell shares of the Master Fund Volatility (‘‘VSTOXX’’) Futures
permit Funds of Funds to acquire Fund to the Feeder Fund beyond the (‘‘VSTOXX Futures’’) to the definition of
shares beyond the limits of section limitations in section 12(d)(1)(B). Futures Reference Asset. The proposed
12(d)(1)(A) of the Act; and the Funds, 10. Section 6(c) of the Act permits the rule change was published for comment
and any principal underwriter for the Commission to exempt any persons or in the Federal Register on July 12,
Funds, and/or any broker or dealer transactions from any provision of the 2016.3 On August 23, 2016, pursuant to
registered under the Exchange Act, to Act if such exemption is necessary or Section 19(b)(2) of the Act,4 the
sell shares to Funds of Funds beyond appropriate in the public interest and Commission designated a longer period
the limits of section 12(d)(1)(B) of the consistent with the protection of within which to approve the proposed
Act. The application’s terms and investors and the purposes fairly rule change, disapprove the proposed
conditions are designed to, among other intended by the policy and provisions of rule change, or institute proceedings to
things, help prevent any potential (i) the Act. Section 12(d)(1)(J) of the Act determine whether to disapprove the
undue influence over a Fund through provides that the Commission may proposed rule change.5 On September
control or voting power, or in exempt any person, security, or 30, 2016, the Exchange filed
connection with certain services, transaction, or any class or classes of Amendment No. 1 to the proposed rule
transactions, and underwritings, (ii) persons, securities, or transactions, from change.6 The Commission received no
excessive layering of fees, and (iii) any provision of section 12(d)(1) if the comments on the proposed rule change.
overly complex fund structures, which exemption is consistent with the public This order grants approval of the
are the concerns underlying the limits interest and the protection of investors. proposed rule change, as modified by
in sections 12(d)(1)(A) and (B) of the Section 17(b) of the Act authorizes the Amendment No. 1.
Act. Commission to grant an order
8. Applicants request an exemption permitting a transaction otherwise II. Exchange’s Description of the
from sections 17(a)(1) and 17(a)(2) of the prohibited by section 17(a) if it finds Proposal
Act to permit persons that are Affiliated that (a) the terms of the proposed
Persons, or Second-Tier Affiliates, of the transaction are fair and reasonable and The Exchange proposes to amend
Funds, solely by virtue of certain do not involve overreaching on the part BZX Rule 14.11(d) to add VSTOXX
ownership interests, to effectuate of any person concerned; (b) the Futures to the definition of Futures
purchases and redemptions in-kind. The proposed transaction is consistent with Reference Asset.7 By adding VSTOXX
deposit procedures for in-kind the policies of each registered Futures to the definition of Futures
purchases of Creation Units and the investment company involved; and (c) Reference Asset, the Exchange would be
redemption procedures for in-kind the proposed transaction is consistent permitted to generically list and trade
redemptions of Creation Units will be with the general purposes of the Act. Futures-Linked Securities linked to
the same for all purchases and For the Commission, by the Division of
redemptions and Deposit Instruments Investment Management, under delegated
2 17 CFR 240.19b–4.
and Redemption Instruments will be authority.
3 See Securities Exchange Act Release No. 78236
valued in the same manner as those (Jul. 6, 2016), 81 FR 45185 (‘‘Notice’’).
Brent J. Fields, 4 15 U.S.C. 78s(b)(2).
investment positions currently held by Secretary. 5 See Securities Exchange Act Release No. 78640,
the Funds. Applicants also seek relief [FR Doc. 2016–24708 Filed 10–12–16; 8:45 am] 81 FR 59257 (Aug. 29, 2016).
from the prohibitions on affiliated 6 In Amendment No. 1, the Exchange: (a) Clarified
BILLING CODE 8011–01–P
transactions in section 17(a) to permit a that an issuer would be required to represent to the
Fund to sell its shares to and redeem its Exchange that it will advise the Exchange of any
shares from a Fund of Funds, and to failure of Futures-Linked Securities to comply with
SECURITIES AND EXCHANGE the continued listing requirements; (b) provided
engage in the accompanying in-kind COMMISSION additional information regarding the comparability
transactions with the Fund of Funds.3 of the VSTOXX Futures and the CBOE Volatility
The purchase of Creation Units by a [Release No. 34–79069; File No. SR– Index (‘‘VIX’’) Futures currently included in the
Fund of Funds directly from a Fund will BatsBZX–2016–26] definition of Futures Reference Asset; (c) included
additional background regarding the EURO STOXX
be accomplished in accordance with the 50 Index; (d) clarified that VSTOXX levels will be
Self-Regulatory Organizations; Bats
policies of the Fund of Funds and will calculated by STOXX (as defined herein) and
BZX Exchange, Inc.; Order Granting
be based on the NAVs of the Funds. disseminated by major market data vendors such as
9. Applicants also request relief to Approval of Proposed Rule Change, as Bloomberg and Thomson Reuters on a real-time
permit a Feeder Fund to acquire shares Modified by Amendment No. 1, To basis throughout each trading day; and (e) made
Amend BZX Rule 14.11(d) To Add the other grammatical corrections and typographical
of another registered investment edits. Because the changes in Amendment No. 1
company managed by the Adviser EURO STOXX 50 Volatility Futures to clarify certain statements in the proposal and do not
having substantially the same the Definition of Futures Reference materially alter the substance of the proposed rule
investment objectives as the Feeder Asset change or raise any novel regulatory issues, it is not
subject to notice and comment. Amendment No. 1,
Fund (‘‘Master Fund’’) beyond the October 7, 2016. which amended and replaced the proposed rule
change in its entirety, is available on the
3 The requested relief would apply to direct sales I. Introduction Commission’s Web site at: https://www.sec.gov/
of shares in Creation Units by a Fund to a Fund of comments/sr-batsbzx-2016-26/batsbzx201626-1.pdf.
On June 23, 2016, Bats BZX Exchange,
Funds and redemptions of those shares. Applicants, 7 As defined in BZX Rule 14.11(d), ‘‘Futures
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moreover, are not seeking relief from section 17(a) Inc. (‘‘Exchange’’ or ‘‘BZX’’) filed with Reference Asset’’ currently includes an index of (a)
for, and the requested relief will not apply to, the Securities and Exchange futures on Treasury Securities, GSE Securities,
transactions where a Fund could be deemed an Commission (‘‘Commission’’), pursuant supranational debt and debt of a foreign country or
Affiliated Person, or a Second-Tier Affiliate, of a to Section 19(b)(1) of the Securities a subdivision thereof, or options or other
Fund of Funds because an Adviser or an entity derivatives on any of the foregoing; or (b) interest
controlling, controlled by or under common control Exchange Act of 1934 (‘‘Act’’) 1 and Rule rate futures or options or derivatives on the
with an Adviser provides investment advisory foregoing in this subparagraph (b); or (c) CBOE
services to that Fund of Funds. 1 15 U.S.C. 78s(b)(1). Volatility Index (VIX) Futures.
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to amend its listing standard to include Securities is and will continue to be The Commission is publishing this
VSTOXX as a Futures Reference Asset. required to comply with Rule 10A–3 notice to solicit comments on the
In addition, the Commission notes under the Act for the initial and proposed rule change from interested
that, notwithstanding the addition of continued listing of Linked Securities, persons.
VSTOXX Futures to the definition of as provided under BZX Rule
Futures Reference Asset, the existing I. Self-Regulatory Organization’s
14.11(d)(2)(F). Moreover, the Exchange Statement of the Terms of Substance of
initial and continued listing criteria represents that prior to listing Futures-
applicable to Linked-Securities, the Proposed Rule Change
Linked Securities linked to VSTOXX
generally, and Futures-Linked Futures pursuant to BZX Rule The Exchange proposes to amend a
Securities, specifically, would continue 14.11(c)(2)(K)(iv), an issuer would be current billing practice with respect to
to apply. For example, the Exchange required to represent to the Exchange billing disputes.
represents that any Futures-Linked that it will advise the Exchange of any The text of the proposed rule change
Securities linked to VSTOXX Futures failure of the Futures-Linked Securities is available on the Exchange’s Web site
would be required to meet both the to comply with the continued listing at www.ise.com, at the principal office
initial and continued listing standards requirements. of the Exchange, and at the
under BZX Rule 14.11(d)(2)(K)(iv)(b) For the foregoing reasons, the Commission’s Public Reference Room.
and (c) or be subject to delisting or Commission finds that the proposed II. Self-Regulatory Organization’s
removal proceedings. These initial and rule change, as modified by Amendment Statement of the Purpose of, and
continued listing standards require, No. 1, is consistent with Section 6(b)(5) Statutory Basis for, the Proposed Rule
among other things: (i) The value of the of the Act 18 and the rules and Change
Futures Reference Asset be calculated regulations thereunder applicable to a
and widely disseminated by one or In its filing with the Commission, the
national securities exchange. Exchange included statements
more major market data vendors on at
least a 15-second basis during the IV. Conclusion concerning the purpose of and basis for
Exchange’s regular market session; (ii) It is therefore ordered, pursuant to the proposed rule change and discussed
for Futures-Linked Securities that are Section 19(b)(2) of the Act,19 that the any comments it received on the
periodically redeemable, the Intraday proposed rule change (SR–BatsBZX– proposed rule change. The text of these
Indicative Value of the securities be 2016–26), as modified by Amendment statements may be examined at the
calculated and widely disseminated by No. 1 thereto, be, and it hereby is, places specified in Item IV below. The
the Exchange or one or more major approved. Exchange has prepared summaries, set
market data vendors on at least a 15- forth in sections A, B, and C below, of
For the Commission, by the Division of the most significant aspects of such
second basis during the Exchange’s Trading and Markets, pursuant to delegated
regular market session; (iii) the statements.
authority.20
aggregate market value or the principal Robert W. Errett, A. Self-Regulatory Organization’s
amount of the Futures-Linked Securities Deputy Secretary. Statement of the Purpose of, and
be at least $400,000; and (iv) the value [FR Doc. 2016–24776 Filed 10–12–16; 8:45 am] Statutory Basis for, the Proposed Rule
of the VSTOXX Futures be calculated Change
BILLING CODE 8011–01–P
and available. In addition, any Futures-
Linked Securities linked to VSTOXX 1. Purpose
Futures also would be required to meet SECURITIES AND EXCHANGE The Exchange proposes to amend its
the listing standards applicable to all COMMISSION Schedule of Fees to change the
Linked Securities under BZX Rule timeframe within which Members must
14.11(d)(2). The Exchange represents [Release No. 34–79060; File No. SR– dispute billing. Today, ISE Gemini
that any securities it would list and ISEGemini–2016–11] Members must submit all disputes no
trade pursuant to amended BZX Rule later than ninety calendar days after
14.11(d) would continue to comply with Self-Regulatory Organizations; ISE
receipt of an Exchange invoice. After
all Exchange rules applicable to the Gemini, LLC; Notice of Filing and
ninety calendar days, all fees assessed
listing and trading of Linked Securities. Immediate Effectiveness of Proposed
by the Exchange are considered final.
Further, the Exchange represents that Rule Change to a Proposal To Amend
The Exchange is proposing to amend the
its existing surveillance procedures are a Current Billing Practice With Respect
policy from ninety to sixty days to
adequate to continue to properly to Billing Disputes
submit a dispute. Today, the NASDAQ
monitor the trading of the Futures- October 6, 2016. PHLX LLC (‘‘Phlx’’), NASDAQ BX, Inc.
Linked Securities linked to VSTOXX Pursuant to Section 19(b)(1) of the (‘‘BX’’), and The NASDAQ Options
Futures in all trading sessions and to Securities Exchange Act of 1934 Market LLC (‘‘NOM’’) all have a sixty
deter and detect violations of Exchange (‘‘Act’’),1 and Rule 19b–4 thereunder,2 day timeframe within which to dispute
rules. Specifically, the Exchange stated notice is hereby given that on option invoices.3
that it intends to utilize its existing September 22, 2016, ISE Gemini, LLC The Exchange provides Members with
surveillance procedures applicable to (‘‘ISE Gemini’’ or ‘‘Exchange’’) filed both daily and monthly fee reports and
derivative products, which includes with the Securities and Exchange thus believes Members should be aware
Linked Securities, to monitor trading in Commission (‘‘SEC’’ or ‘‘Commission’’) of any potential billing errors within
the Futures-Linked Securities. The the proposed rule change as described sixty calendar days of receiving an
Commission notes that Eurex, on which in Items I, II, and III, below, which Items invoice. Requiring that Members
Lhorne on DSK30JT082PROD with NOTICES
VSTOXX Futures trade, is a member of have been prepared by the Exchange. dispute an invoice within this time
ISG, and the Exchange represents that it period will encourage them to promptly
may obtain information regarding 18 15 U.S.C. 78f(b)(5). review their invoices so that any
trading in the underlying VSTOXX 19 15 U.S.C. 78s(b)(2). disputed charges can be addressed in a
Futures. 20 17 CFR 200.30–3(a)(12).
The Commission further notes that 1 15 U.S.C. 78s(b)(1). 3 See Phlx’s Pricing Schedule. See also NOM and
the issuer of a series of Linked 2 17 CFR 240.19b–4. BX Rules at Chapter XV, Section 7.
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Document Created: 2016-10-13 00:53:50
Document Modified: 2016-10-13 00:53:50
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
| Publisher | Office of the Federal Register, National Archives and Records Administration | |
| Section | Notices | |
| FR Citation | 81 FR 70714 |
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