82_FR_24518 82 FR 24417 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Approving a Proposed Rule Change Relating to the Exposure Periods of the Automated Improvement Mechanism and the Solicitation Auction Mechanism

82 FR 24417 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Approving a Proposed Rule Change Relating to the Exposure Periods of the Automated Improvement Mechanism and the Solicitation Auction Mechanism

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 82, Issue 101 (May 26, 2017)

Page Range24417-24418
FR Document2017-10790

Federal Register, Volume 82 Issue 101 (Friday, May 26, 2017)
[Federal Register Volume 82, Number 101 (Friday, May 26, 2017)]
[Notices]
[Pages 24417-24418]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2017-10790]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80738; File No. SR-CBOE-2017-029]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Incorporated; Order Approving a Proposed Rule Change Relating to the 
Exposure Periods of the Automated Improvement Mechanism and the 
Solicitation Auction Mechanism

May 22, 2017.

I. Introduction

    On March 31, 2017, Chicago Board Options Exchange, Incorporated 
(the ``Exchange'' or ``CBOE'') 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 CBOE Rules 6.74A and 
6.74B to reduce the exposure periods of the Exchange's Automated 
Improvement Mechanism (``AIM'') and Solicitation Auction Mechanism 
(``SAM'') from 1 second to a time period designated by the Exchange of 
no less than 100 milliseconds and no more than 1 second. The proposed 
rule change was published for comment in the Federal Register on April 
14, 2017.\3\ The Commission received no comment letters on the proposed 
rule change. This order approves the proposed rule change.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 80421 (April 10, 
2017), 82 FR 18048 (``Notice'').
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II. Description of the Proposed Rule Change

    CBOE's AIM auction allows a Trading Permit Holder (``TPH'') to 
execute electronically an order it represents as agent against 
principal interest or against a solicited order.\4\ CBOE's SAM auction 
allows a TPH to execute electronically an agency order of 500 contracts 
or more against solicited orders.\5\ After an agency order is properly 
designated for AIM or SAM processing, the Exchange will send a Request 
for Responses (``RFR'') to all TPHs who have elected to receive 
RFRs.\6\ Orders entered in the AIM or SAM are currently exposed for a 
period of 1 second, during which time competitive responses to the 
auction may be submitted. The Exchange proposes to revise the RFR 
response periods for AIM and SAM to permit the Exchange to designate a 
specific time within a range of no less than 100 milliseconds and no 
more than 1 second.\7\
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    \4\ See CBOE Rule 6.74A.
    \5\ See CBOE Rule 6.74B.
    \6\ The AIM RFR specifies the side and size of the order, while 
the SAM RFR specifies the price, side, and size of the order. See 
CBOE Rule 6.74A(b)(1)(B) and 6.74B(b)(1)(B).
    \7\ Although the proposed rule change would allow the Exchange 
to select an exposure period from a range of 1 second to 100 
milliseconds, the Exchange stated that it currently plans to 
decrease the time period allowed for responses to 100 milliseconds. 
See Notice, supra note 3, at 18050. The Exchange noted that its 
proposal is consistent with exposure periods permitted in similar 
mechanisms on other options exchanges. See id. at 18049; see also 
Securities Exchange Act Release Nos. 76301 (October 29, 2015), 80 FR 
68347 (November 4, 2015) (SR-BX-2015-032) (establishing an exposure 
period for the Nasdaq BX's options price improvement mechanism 
(``PRISM'') of no less than 100 milliseconds and no more than 1 
second); 77557 (April 7, 2016), 81 FR 21935 (April 13, 2016) (SR-
Phlx-2016-40) (amending the exposure period for the Nasdaq Phlx's 
Price Improvement XL (``PIXL'') to be no less than 100 milliseconds 
and no more than 1 second); and 79733 (January 4, 2017), 82 FR 3055 
(January 10, 2017) (SR-ISE-2016-26) (amending the exposure period 
for the Nasdaq ISE's Price Improvement Mechanism (``PIM'') to be no 
less than 100 milliseconds and no more than 1 second).
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III. Discussion and Commission's Findings

    After careful review, the Commission finds that the proposed rule 
change is consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to a national securities exchange.\8\ 
In particular, the Commission finds that the proposed rule change is 
consistent with Section 6(b)(5) of the Act,\9\ which requires, among 
other things, that the rules of a national securities exchange be 
designed to promote just and equitable principles of trade, to foster 
cooperation and coordination with persons engaged in regulating 
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, and not be 
designed to permit unfair discrimination between customers, issuers, 
brokers, or dealers. The Commission also finds that the proposed rule 
change is consistent with Section 6(b)(8) of the Act,\10\ which 
requires that the rules of an exchange not impose any burden on 
competition that is not necessary or appropriate in furtherance of the 
purposes of the Act.
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    \8\ 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).
    \9\ 15 U.S.C. 78f(b)(5).
    \10\ 15 U.S.C. 78f(b)(8).
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    The Commission believes that, given the electronic nature of the 
AIM and SAM mechanisms and the ability of TPHs to respond within the 
proposed exposure periods, reducing each of the exposure periods from 1 
second to no less than 100 milliseconds could facilitate the prompt 
execution of orders, while continuing to provide market participants 
with an opportunity to compete to trade with the exposed order by 
submitting responses to the auctions. According to the Exchange, 
numerous TPHs have the capability to and do respond within a 100 
millisecond exposure period or less on the Hybrid Trading System.\11\ 
The Exchange notes that the response timers for its Exchange's Hybrid 
Agency Liaison (``HAL''), Complex Order Auction (``COA''), and Simple 
Auction Liaison (``SAL'') mechanisms are set at 100 milliseconds or 
less and numerous TPHs can and do respond to HAL, SAL, and COA messages 
within these time frames.\12\ The Exchange also notes that the AIM and 
SAM mechanisms operate on the Hybrid Trading System and employ the same 
type of mechanical

[[Page 24418]]

messaging as the HAL, SAL, and COA mechanisms.\13\
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    \11\ See Notice, supra note 3, at 18049 n.4.
    \12\ See id.
    \13\ See id.
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    To substantiate that its members can receive, process, and 
communicate a response back to the Exchange within 100 milliseconds, 
the Exchange states that it surveyed its top 15 AIM and SAM 
responders.\14\ According to the Exchange, each of the 15 TPHs it 
surveyed indicated that they can receive, process, and communicate a 
response back to the Exchange within 100 milliseconds.\15\ In addition, 
the Exchange states that it reviewed all AIM and SAM responses that 
resulted in traded orders in December 2016, and its review indicated 
that approximately 63% of AIM responses and 63% of SAM responses 
resulting in price improving executions at the conclusion of the 
auction occurred within 100 milliseconds of the initial order.\16\ 
Furthermore, with regard to the impact of the proposal on system 
capacity, the Exchange states that it has analyzed its capacity and 
represents that it has the necessary systems capacity to handle the 
potential additional traffic associated with the additional 
transactions that may occur with the implementation of the proposed 
reduction in the AIM and SAM duration to no less than 100 
milliseconds.\17\ The Exchange also represents that its systems will be 
able to sufficiently maintain an audit trail for order and trade 
information with the reduction in the AIM and SAM duration.\18\
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    \14\ See Notice, supra note 3, at 18050.
    \15\ See id.
    \16\ See id. In addition to the 63% of AIM responses and 63% of 
SAM responses that occur within 100 milliseconds of the initial 
order, approximately 20% of AIM responses and 15% of SAM responses 
that resulted in price improving executions at the conclusion of the 
auction occurred in the final 800-1000 milliseconds (i.e., within 
200 milliseconds of the end of the RFR). See id. The Exchange 
believes that the timing of these responses indicates that TPHs have 
configured their trading systems to either respond immediately to an 
AIM or SAM auction, or to wait until the end of an auction period to 
reduce the risk of the market moving. See id.
    \17\ See id.
    \18\ See id.
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    Upon effectiveness of the proposed rule change, and at least six 
weeks prior to implementation of the proposed rule change, the Exchange 
will issue a circular to TPHs, informing them of the implementation 
date of the reduction of the AIM and SAM duration from 1 second to the 
auction time designated by the Exchange to allow TPHs to perform any 
necessary systems changes.\19\ The Exchange also represents that it 
will issue a circular at least four weeks prior to any future changes, 
as permitted by its rules, to the auction response time.\20\
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    \19\ See id.
    \20\ See id.
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    Based on the Exchange's statements, the Commission believes that 
market participants should continue to have opportunities to compete to 
trade with the exposed order by submitting responses to the auctions 
within an exposure period of no less than 100 milliseconds and no more 
than 1 second.\21\ Accordingly, for the reasons discussed above, the 
Commission believes that the Exchange's proposal is consistent with the 
Act.
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    \21\ The Commission notes that the ability to designate such an 
exposure time period is consistent with the rules of other options 
exchanges. See supra note 7. See also NASDAQ Phlx Rule 
1080(n)(ii)(A)(4), NASDAQ BX Options Rules Chapter VI, Section 
9(ii)(A)(3), Nasdaq ISE Rule 716, Supplementary Material .04, and 
Nasdaq ISE Rule 723(c)(1).
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IV. Conclusion

    It is Therefore Ordered, pursuant to Section 19(b)(2) of the 
Act,\22\ that the proposed rule change (SR-CBOE-2017-029) be, and 
hereby is, approved.
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    \22\ 15 U.S.C. 78s(b)(2).
    \23\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\23\
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-10790 Filed 5-25-17; 8:45 am]
 BILLING CODE 8011-01-P



                                     Federal Register / Vol. 82, No. 101 / Friday, May 26, 2017 / Notices                                                    24417

     Commission, and all written                             second to a time period designated by                  III. Discussion and Commission’s
     communications relating to the                          the Exchange of no less than 100                       Findings
     proposed rule change between the                        milliseconds and no more than 1                           After careful review, the Commission
     Commission and any person, other than                   second. The proposed rule change was                   finds that the proposed rule change is
     those that may be withheld from the                     published for comment in the Federal                   consistent with the requirements of the
     public in accordance with the                           Register on April 14, 2017.3 The                       Act and the rules and regulations
     provisions of 5 U.S.C. 552, will be                     Commission received no comment                         thereunder applicable to a national
     available for Web site viewing and                      letters on the proposed rule change.                   securities exchange.8 In particular, the
     printing in the Commission’s Public                     This order approves the proposed rule                  Commission finds that the proposed
     Reference Room, 100 F Street NE.,                       change.                                                rule change is consistent with Section
     Washington, DC 20549 on official                                                                               6(b)(5) of the Act,9 which requires,
     business days between the hours of                      II. Description of the Proposed Rule                   among other things, that the rules of a
     10:00 a.m. and 3:00 p.m. Copies of these                Change                                                 national securities exchange be
     filings also will be available for                                                                             designed to promote just and equitable
     inspection and copying at the principal                   CBOE’s AIM auction allows a Trading
                                                             Permit Holder (‘‘TPH’’) to execute                     principles of trade, to foster cooperation
     office of the Exchange. All comments
                                                                                                                    and coordination with persons engaged
     received will be posted without change;                 electronically an order it represents as
                                                                                                                    in regulating transactions in securities,
     the Commission does not edit personal                   agent against principal interest or
                                                                                                                    to remove impediments to and perfect
     identifying information from                            against a solicited order.4 CBOE’s SAM
                                                                                                                    the mechanism of a free and open
     submissions. You should submit only                     auction allows a TPH to execute                        market and a national market system
     information that you wish to make                       electronically an agency order of 500                  and, in general, to protect investors and
     available publicly. All submissions                     contracts or more against solicited                    the public interest, and not be designed
     should refer to File Number SR–CHX–                     orders.5 After an agency order is                      to permit unfair discrimination between
     2017–04 and should be submitted on or                   properly designated for AIM or SAM                     customers, issuers, brokers, or dealers.
     before June 16, 2017. Rebuttal                          processing, the Exchange will send a                   The Commission also finds that the
     comments should be submitted by June                    Request for Responses (‘‘RFR’’) to all                 proposed rule change is consistent with
     30, 2017.                                               TPHs who have elected to receive                       Section 6(b)(8) of the Act,10 which
       For the Commission, by the Division of                RFRs.6 Orders entered in the AIM or                    requires that the rules of an exchange
     Trading and Markets, pursuant to delegated              SAM are currently exposed for a period                 not impose any burden on competition
     authority.84
                                                             of 1 second, during which time                         that is not necessary or appropriate in
     Eduardo A. Aleman,
                                                             competitive responses to the auction                   furtherance of the purposes of the Act.
     Assistant Secretary.                                                                                              The Commission believes that, given
                                                             may be submitted. The Exchange
     [FR Doc. 2017–10807 Filed 5–25–17; 8:45 am]             proposes to revise the RFR response                    the electronic nature of the AIM and
     BILLING CODE 8011–01–P
                                                             periods for AIM and SAM to permit the                  SAM mechanisms and the ability of
                                                             Exchange to designate a specific time                  TPHs to respond within the proposed
                                                             within a range of no less than 100                     exposure periods, reducing each of the
     SECURITIES AND EXCHANGE                                                                                        exposure periods from 1 second to no
     COMMISSION                                              milliseconds and no more than 1
                                                             second.7                                               less than 100 milliseconds could
     [Release No. 34–80738; File No. SR–CBOE–                                                                       facilitate the prompt execution of
     2017–029]                                                  3 See Securities Exchange Act Release No. 80421
                                                                                                                    orders, while continuing to provide
                                                             (April 10, 2017), 82 FR 18048 (‘‘Notice’’).            market participants with an opportunity
     Self-Regulatory Organizations;                             4 See CBOE Rule 6.74A.                              to compete to trade with the exposed
     Chicago Board Options Exchange,                            5 See CBOE Rule 6.74B.                              order by submitting responses to the
     Incorporated; Order Approving a                            6 The AIM RFR specifies the side and size of the    auctions. According to the Exchange,
     Proposed Rule Change Relating to the                    order, while the SAM RFR specifies the price, side,    numerous TPHs have the capability to
     Exposure Periods of the Automated                       and size of the order. See CBOE Rule 6.74A(b)(1)(B)    and do respond within a 100
     Improvement Mechanism and the                           and 6.74B(b)(1)(B).                                    millisecond exposure period or less on
                                                                7 Although the proposed rule change would allow
     Solicitation Auction Mechanism                                                                                 the Hybrid Trading System.11 The
                                                             the Exchange to select an exposure period from a
     May 22, 2017.                                           range of 1 second to 100 milliseconds, the Exchange
                                                                                                                    Exchange notes that the response timers
                                                             stated that it currently plans to decrease the time    for its Exchange’s Hybrid Agency
     I. Introduction                                         period allowed for responses to 100 milliseconds.      Liaison (‘‘HAL’’), Complex Order
        On March 31, 2017, Chicago Board                     See Notice, supra note 3, at 18050. The Exchange       Auction (‘‘COA’’), and Simple Auction
                                                             noted that its proposal is consistent with exposure    Liaison (‘‘SAL’’) mechanisms are set at
     Options Exchange, Incorporated (the                     periods permitted in similar mechanisms on other
     ‘‘Exchange’’ or ‘‘CBOE’’) filed with the                                                                       100 milliseconds or less and numerous
                                                             options exchanges. See id. at 18049; see also
     Securities and Exchange Commission                      Securities Exchange Act Release Nos. 76301             TPHs can and do respond to HAL, SAL,
     (‘‘Commission’’) pursuant to Section                    (October 29, 2015), 80 FR 68347 (November 4, 2015)     and COA messages within these time
     19(b)(1) of the Securities Exchange Act                 (SR–BX–2015–032) (establishing an exposure             frames.12 The Exchange also notes that
     of 1934 (‘‘Act’’) 1 and Rule 19b–4                      period for the Nasdaq BX’s options price               the AIM and SAM mechanisms operate
                                                             improvement mechanism (‘‘PRISM’’) of no less than      on the Hybrid Trading System and
     thereunder,2 a proposed rule change to                  100 milliseconds and no more than 1 second);
     amend CBOE Rules 6.74A and 6.74B to                     77557 (April 7, 2016), 81 FR 21935 (April 13, 2016)
                                                                                                                    employ the same type of mechanical
     reduce the exposure periods of the                      (SR–Phlx–2016–40) (amending the exposure period
                                                                                                                      8 In approving this proposed rule change, the
     Exchange’s Automated Improvement                        for the Nasdaq Phlx’s Price Improvement XL
                                                             (‘‘PIXL’’) to be no less than 100 milliseconds and     Commission has considered the proposed rule’s
     Mechanism (‘‘AIM’’) and Solicitation                                                                           impact on efficiency, competition, and capital
                                                             no more than 1 second); and 79733 (January 4,
     Auction Mechanism (‘‘SAM’’) from 1                      2017), 82 FR 3055 (January 10, 2017) (SR–ISE–          formation. See 15 U.S.C. 78c(f).
                                                                                                                      9 15 U.S.C. 78f(b)(5).
                                                             2016–26) (amending the exposure period for the
       84 17 CFR 200.30–3(a)(57).                                                                                     10 15 U.S.C. 78f(b)(8).
                                                             Nasdaq ISE’s Price Improvement Mechanism
       1 15 U.S.C. 78s(b)(1).                                                                                         11 See Notice, supra note 3, at 18049 n.4.
                                                             (‘‘PIM’’) to be no less than 100 milliseconds and no
       2 17 CFR 240.19b–4.                                   more than 1 second).                                     12 See id.




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     24418                           Federal Register / Vol. 82, No. 101 / Friday, May 26, 2017 / Notices

     messaging as the HAL, SAL, and COA                      permitted by its rules, to the auction                APPLICANTS:    Corporate Capital Trust,
     mechanisms.13                                           response time.20                                      Inc. (‘‘CCT I’’); Corporate Capital Trust
        To substantiate that its members can                   Based on the Exchange’s statements,                 II (‘‘CCT II’’); KKR Income
     receive, process, and communicate a                     the Commission believes that market                   Opportunities Fund (‘‘KIO,’’ and
     response back to the Exchange within                    participants should continue to have                  together with CCT I and CCT II, the
     100 milliseconds, the Exchange states                   opportunities to compete to trade with                ‘‘Existing Regulated Entities’’); CNL
     that it surveyed its top 15 AIM and SAM                 the exposed order by submitting                       Fund Advisors Company (‘‘CFA’’); CNL
     responders.14 According to the                          responses to the auctions within an                   Fund Advisors II, LLC (‘‘CFA II’’); KKR
     Exchange, each of the 15 TPHs it                        exposure period of no less than 100                   Credit Advisors (US) LLC (‘‘KKR
     surveyed indicated that they can                        milliseconds and no more than 1                       Credit’’); the investment advisory
     receive, process, and communicate a                     second.21 Accordingly, for the reasons                subsidiaries and relying advisers of KKR
     response back to the Exchange within                    discussed above, the Commission                       Credit set forth on Schedule A to the
     100 milliseconds.15 In addition, the                    believes that the Exchange’s proposal is              application (collectively, with KKR
     Exchange states that it reviewed all AIM                consistent with the Act.                              Credit, the ‘‘Existing KKR Credit
     and SAM responses that resulted in                                                                            Advisers’’); KKR Capital Markets
                                                             IV. Conclusion
     traded orders in December 2016, and its                                                                       Holdings L.P. and its capital markets
     review indicated that approximately                       It is Therefore Ordered, pursuant to                subsidiaries and other indirect, wholly-
     63% of AIM responses and 63% of SAM                     Section 19(b)(2) of the Act,22 that the               or majority-owned subsidiaries of KKR
     responses resulting in price improving                  proposed rule change (SR–CBOE–2017–                   & Co. L.P. (‘‘KKR’’) set forth on
     executions at the conclusion of the                     029) be, and hereby is, approved.                     Schedule A to the application
     auction occurred within 100                               For the Commission, by the Division of              (collectively, the ‘‘KCM Companies’’); 2
     milliseconds of the initial order.16                    Trading and Markets, pursuant to delegated            KKR Financial Holdings LLC (‘‘KFN’’)
     Furthermore, with regard to the impact                  authority.23                                          and its wholly-owned subsidiaries set
     of the proposal on system capacity, the                 Eduardo A. Aleman,                                    forth on Schedule A to the application
     Exchange states that it has analyzed its                Assistant Secretary.                                  (together with wholly-owned
     capacity and represents that it has the                 [FR Doc. 2017–10790 Filed 5–25–17; 8:45 am]           subsidiaries of KFN that may be formed
     necessary systems capacity to handle                    BILLING CODE 8011–01–P                                in the future, the ‘‘KFN Subsidiaries.’’);
     the potential additional traffic                                                                              the Existing Affiliated Funds set forth
     associated with the additional                                                                                on Schedule A to the application 3; and
     transactions that may occur with the                    SECURITIES AND EXCHANGE                               Prisma Capital Partners LP (the
     implementation of the proposed                          COMMISSION                                            ‘‘Existing KKR Primary Adviser’’).
     reduction in the AIM and SAM duration
                                                             [Investment Company Act Release No.                   FILING DATES: The application was filed
     to no less than 100 milliseconds.17 The
                                                             32642; 812–14408]                                     on December 24, 2014, and amended on
     Exchange also represents that its
                                                                                                                   June 1, 2015, December 7, 2015, July 14,
     systems will be able to sufficiently                    Corporate Capital Trust, Inc., et al.                 2016, and May 8, 2017.
     maintain an audit trail for order and
     trade information with the reduction in                 May 22, 2017.                                         HEARING OR NOTIFICATION OF HEARING:
     the AIM and SAM duration.18                             AGENCY: Securities and Exchange                       An order granting the requested relief
        Upon effectiveness of the proposed                   Commission (‘‘Commission’’).                          will be issued unless the Commission
     rule change, and at least six weeks prior               ACTION: Notice.                                       orders a hearing. Interested persons may
     to implementation of the proposed rule                                                                        request a hearing by writing to the
     change, the Exchange will issue a                          Notice of application for an order                 Commission’s Secretary and serving
     circular to TPHs, informing them of the                 under sections 17(d) and 57(i) of the                 applicants with a copy of the request,
     implementation date of the reduction of                 Investment Company Act of 1940 (the                   personally or by mail. Hearing requests
     the AIM and SAM duration from 1                         ‘‘Act’’) and rule 17d–1 under the Act to              should be received by the Commission
     second to the auction time designated                   permit certain joint transactions                     by 5:30 p.m. on June 16, 2017, and
     by the Exchange to allow TPHs to                        otherwise prohibited by sections 17(d)
     perform any necessary systems                           and 57(a)(4) of the Act and rule 17d–1                May 21, 2013 (In the Matter of Corporate Capital
                                                             under the Act.                                        Trust, et al., Investment Company Act Release Nos.
     changes.19 The Exchange also represents                                                                       30494 (Apr. 25, 2013) (notice) and 30526 (May 21,
     that it will issue a circular at least four             SUMMARY OF APPLICATION: Applicants                    2013) (order)) (the ‘‘Prior Order’’), with the result
     weeks prior to any future changes, as                   request an order to permit business                   that no person will continue to rely on the Prior
                                                             development companies (‘‘BDCs’’) and                  Order if the Order is granted.
                                                                                                                     2 These entities are all indirect, wholly- or
       13 See  id.                                           closed-end management investment
                                                                                                                   majority-owned subsidiaries of KKR and, from time
       14 See  Notice, supra note 3, at 18050.               companies to co-invest in portfolio                   to time, may hold various financial assets in a
        15 See id.
                                                             companies with each other and with                    principal capacity (in such capacity, ‘‘Existing KKR
        16 See id. In addition to the 63% of AIM
                                                             certain affiliated investment funds and               Proprietary Accounts’’).
     responses and 63% of SAM responses that occur
     within 100 milliseconds of the initial order,
                                                             accounts.1                                              3 The Existing Affiliated Funds, together with

                                                                                                                   their direct and indirect wholly-owned subsidiaries,
     approximately 20% of AIM responses and 15% of                                                                 are entities (i) (A) whose primary investment
                                                               20 See id.
     SAM responses that resulted in price improving                                                                adviser is an Existing KKR Credit Adviser or (B)
     executions at the conclusion of the auction               21 The  Commission notes that the ability to        whose primary investment adviser is the Existing
     occurred in the final 800–1000 milliseconds (i.e.,      designate such an exposure time period is             KKR Primary Adviser and whose sub-adviser is an
     within 200 milliseconds of the end of the RFR). See     consistent with the rules of other options            Existing KKR Credit Adviser (‘‘Sub-Advised
     id. The Exchange believes that the timing of these      exchanges. See supra note 7. See also NASDAQ          Affiliated Fund’’) and (ii) that either (A) would be
     responses indicates that TPHs have configured their     Phlx Rule 1080(n)(ii)(A)(4), NASDAQ BX Options        an investment company but for section 3(c)(1) or
     trading systems to either respond immediately to an     Rules Chapter VI, Section 9(ii)(A)(3), Nasdaq ISE     3(c)(7) of the Act or (B) may rely on the rule 3a–
     AIM or SAM auction, or to wait until the end of         Rule 716, Supplementary Material .04, and Nasdaq      7 exemption from investment company status.
     an auction period to reduce the risk of the market      ISE Rule 723(c)(1).                                   Certain Existing Affiliated Funds are collateralized
     moving. See id.                                           22 15 U.S.C. 78s(b)(2).
                                                                                                                   loan obligation (‘‘CLO’’) entities that rely on rule
        17 See id.                                             23 17 CFR 200.30–3(a)(12).
                                                                                                                   3a–7 under the Act in addition to section 3(c)(7)
        18 See id.                                             1 The requested order (‘‘Order’’) would supersede   thereof. These Existing Affiliated Funds are all
        19 See id.                                           an exemptive order issued by the Commission on        advised by Existing KKR Credit Advisers.



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Document Created: 2017-05-26 02:23:48
Document Modified: 2017-05-26 02:23:48
CategoryRegulatory Information
CollectionFederal Register
sudoc ClassAE 2.7:
GS 4.107:
AE 2.106:
PublisherOffice of the Federal Register, National Archives and Records Administration
SectionNotices
FR Citation82 FR 24417 

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