[Federal Register Volume 77, Number 123 (Tuesday, June 26, 2012)]
[Notices]
[Pages 38100-38107]
[FR Doc No: 2012-15489]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-67225; File No. SR-ISE-2012-22]

Self-Regulatory Organizations; International Securities Exchange,
LLC; Order Instituting Proceedings To Determine Whether To Approve or
Disapprove Proposed Rule Change, as Modified by Amendment No. 1, To Add
an Index Option Product for Trading on the Exchange

June 20, 2012.

I. Introduction

    On March 9, 2012, the International Securities Exchange, LLC
(``Exchange'' or ``ISE'') filed with the Securities and Exchange
Commission (``Commission''), pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (``Exchange Act'' or ``Act'') \1\ and
Rule 19b-4 thereunder,\2\ a proposed rule change to list and trade
options on the ISE Max SPY Index (``ISE Max SPY''). The proposed rule
change was published for comment in the Federal Register on March 22,
2012.\3\ The Commission received three comment letters on the proposed
rule change.\4\ On May 1, 2012, the Commission extended the time period
for Commission action to June 20, 2012.\5\ On May 4, 2012, ISE
submitted a response to the comment letters \6\ and filed Amendment No.
1 to

the proposed rule change.\7\ The Commission subsequently received three
additional comment letters \8\ and a second response letter from
ISE.\9\ All the comment letters received, including ISE's response
letters, are available on the Commission's Web site.\10\
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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. 66614 (March 16,
2012), 77 FR 16883 (``Notice'').
    \4\ See letters to Elizabeth M. Murphy, Secretary, Commission,
from Janet McGinness, EVP & Corporate Secretary, NYSE Euronext,
dated April 2, 2012 (``NYSE Letter''); Kenneth M. Vittor, Executive
Vice President and General Counsel, McGraw-Hill Companies, Inc.,
dated April 11, 2012 (``McGraw-Hill Letter I''); and Edward T.
Tilly, President and Chief Operating Officer, Chicago Board Options
Exchange, Incorporated (``CBOE''), dated April 13, 2012 (``CBOE
Letter I'').
    \5\ See Securities Exchange Act Release No. 66889 (May 1, 2012),
77 FR 26812 (May 7, 2012).
    \6\ See letter to Elizabeth M. Murphy, Secretary, Commission,
from Michael J. Simon, Secretary and General Counsel, ISE, dated May
4, 2012 (``ISE Response Letter I'').
    \7\ Amendment No. 1 replaced the sentence: ``Additionally, the
proposed rule change would provide Members and investors with
additional opportunities to trade S&P 500[supreg] options with a
p.m.-settlement feature in an exchange environment and subject to
transparent exchange-based rules, and that investors would also
benefit from the opportunity to trade in association with this
product on Expiration Fridays thereby removing impediments to a free
and open market consistent with the Act.'' with the sentence:
``Additionally, the proposed rule change would provide Members and
investors with additional opportunities to trade options on a
product that provides exposure to the share prices of SPY with a
p.m.-settlement feature in an exchange environment and subject to
transparent exchange-based rules, and that investors would also
benefit from the opportunity to trade in association with this
product on expiration Fridays thereby removing impediments to a free
and open market consistent with the Act.'' According to ISE, the
purpose of the amendment is to correct an erroneous sentence in the
Statutory Basis section that could be misinterpreted. See Amendment
No. 1.
    \8\ See letters to Elizabeth M. Murphy, Secretary, Commission,
from Edward T. Tilly, President and Chief Operating Officer, CBOE,
dated June 7, 2012 (``CBOE Letter II''); Kenneth M. Vittor,
Executive Vice President and General Counsel, McGraw-Hill Companies,
Inc., dated June 18, 2012 (``McGraw-Hill Letter II''); and from
Edward T. Tilly, President and Chief Operating Officer, CBOE, dated
June 19, 2012 (``CBOE Letter III'').
    \9\ See letter to Elizabeth M. Murphy, Secretary, Commission,
from Michael J. Simon, Secretary and General Counsel, ISE, dated
June 15, 2012 (``ISE Response Letter II'').
    \10\ The comment letters are available at http://sec.gov/comments/sr-ise-2012-22/ise201222.shtml.
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    This order institutes proceedings to determine whether to approve
or disapprove the proposed rule change, as modified by Amendment No. 1.
Institution of these proceedings, however, does not indicate that the
Commission has reached any conclusions with respect to the proposed
rule change, nor does it mean that the Commission will ultimately
disapprove the proposed rule change. Rather, as addressed below, the
Commission desires to solicit additional input from interested parties
on the issues presented by the proposed rule change.

II. Description of the Proposal

    As set forth in more detail in the Notice, ISE proposes to list and
trade options, including long-term options, on the ISE Max SPY Index,
which is ``designed to represent 10 times the value of the published
share prices in the SPDR S&P 500 ETF [(``SPY'')] Trust.'' \11\ Options
on the ISE Max SPY Index would be European-style and p.m. cash-settled,
and they would be quoted and traded in U.S. dollars.
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    \11\ ISE states that SPY is based on the S&P 500, which is a
capitalization-weighted index of 500 stocks from a broad range of
industries.
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    According to ISE, the real-time value of the ISE Max SPY Index is
calculated by multiplying the share prices of SPY by a factor of ten
and rounding to the tenth place. This value would be calculated by ISE
or its agent, and would be disseminated by ISE every 15 seconds during
its regular trading hours to market information vendors via the Options
Price Reporting Authority.\12\
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    \12\ ISE states that it also would disseminate these values to
its members.
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    ISE proposes to calculate the settlement value for options on the
ISE Max SPY Index using the net asset value (``NAV'') of the fund, as
calculated by ISE, on a per share basis, times ten. ISE states that the
method it will use for calculating the NAV of SPY is the same method
that is used industry-wide for calculating the NAV of an exchange
traded fund (``ETF'') with equity-only holdings, and is the per-share
dollar amount of the fund, which is calculated by dividing the total
value of all the securities in its portfolio, less any liabilities, by
the number of fund shares outstanding.\13\ ISE also states that the
settlement value that it calculates may be different from the NAV
published by the trustee of the SPY trust.\14\ In calculating the
settlement value for options on the ISE Max SPY Index, ISE states that
it would use the published closing prices from the primary market of
the SPY trust's portfolio securities.\15\
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    \13\ See Notice, supra note 3 and ISE Response Letter II, supra
note 9, at 3. In its second response letter, ISE sets forth its
formula for calculating the index settlement value:
Isett(t) = NAVSPY(t) x M. See ISE Response
Letter II, supra note 9, at 2-3. In this formula,
``Isett(t)'' is the ISE Max SPY settlement value at time
(t), ``NAVSPY(t)'' is the NAV per share of the SPY trust
at time (t) as calculated by ISE, and ``M'' is the constant
multiplier of 10. See id. ISE also provides the formula for
calculating NAVSPY(t):
    NAVSPY(t) = [[Sigma]ni=1[P(i) x S(i) + Cash] x [1 - Fee/365]/
Shares Outstanding
    See id. In this formula, ``n'' is the number of stocks held by
the trust, ``P(i)'' is the closing price of each stock
held by the trust, ``S(i)'' is the number of shares of
each stock held by the trust, ``Cash'' is the cash held in the
trust, ``Fee'' is the stated fee for the trust, and ``Shares
Outstanding'' is the number of trust shares outstanding. See id. ISE
also states that ``the net cash amount is determined by adding the
accrued dividends of the portfolio securities since the fund's last
distribution minus the accrued fees, which are essentially the
annual management fees prorated per day.'' See id. at 3.
    \14\ ISE explains in its response letters that this difference
may result because the trust may independently decide which exchange
it deems to be the ``primary market'' as a source of closing prices,
and the trustee reserves the right to evaluate portfolio securities
independently of closing sale prices if it deems such prices to be
``inappropriate.'' See ISE Response Letter I, supra note 6, at 6-7
and ISE Response Letter II, supra note 9, at 3. See also infra
Section III.B.2.ii.
    \15\ In its response letters, ISE provides additional
clarification regarding its calculation of the NAV of SPY, and its
rationale for the difference between the calculation of the
settlement value for the proposed options and the value for the ISE
Max SPY Index itself. See infra Section III.B.2.
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    As proposed, Exchange rules that are applicable to the trading of
options on broad-based indexes would apply to the trading of options on
the ISE Max SPY Index.\16\ Specifically, the trading of options on the
ISE Max SPY Index would be subject to, among others, Exchange rules
governing margin requirements and trading halt procedures for index
options. The trading of options on the ISE Max SPY Index also would be
subject to the Exchange's customer protection rules.\17\
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    \16\ See ISE Rules 2000 through 2013.
    \17\ See ISE Rules 608-612 and 616.
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    ISE proposes that options on the ISE Max SPY Index be approved on a
pilot basis for an initial period of 14 months. ISE states that if it
were to propose an extension of the program or propose to make the
program permanent, then it would submit a filing proposing such
amendments to the program. ISE notes that any positions established
under the pilot would not be impacted by the expiration of the
pilot.\18\ As part of the pilot program, ISE would submit a pilot
program report to the Commission at least two months prior to the
expiration date of the program (``annual report''). The annual report
would contain an analysis of volume, open interest and trading
patterns. The analysis would examine trading in the proposed option
product as well as trading in the securities that comprise the S&P 500
index. In addition, for series that exceed certain minimum open
interest parameters, the annual report would provide analysis of index
price volatility and share trading activity. In addition to the annual
report, ISE committed to provide the Commission with periodic interim
reports while the pilot is in effect that would contain some, but not
all, of the information contained in the annual report. In its filing,
ISE notes that it would provide the annual and interim reports to the
Commission on a confidential basis.
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    \18\ As an example, ISE states in the Notice that a position in
a series that expires beyond the conclusion of the pilot period
could be established during the 14-month pilot. If the pilot program
were not extended, then the position could continue to exist.
However, any further trading in the series would be restricted to
transactions where at least one side of the trade is a closing
transaction. See Notice, supra note 3.
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Comment Letters

    As noted above, the Commission received six comment letters and two

ISE response letters on the proposed rule change.\19\
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    \19\ See supra notes 4, 6, 8, and 9.
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    One commenter expresses support for the proposed rule change and
states that it ``generally applaud[s] efforts to provide investors with
additional opportunities to invest using listed options.'' \20\ In
particular, this commenter supports ISE's proposal to allow p.m.
settlement for options on the ISE Max SPY Index.\21\ This commenter
also supports the proposal to impose no position limits for options on
the ISE Max SPY Index.\22\ This commenter states that a key part of its
basis for agreeing with the proposed position limits is the fact that
``there is a very large degree of economic equivalence between options
on [ISE's] proposed index and the existing C2 SPXPM product.'' \23\
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    \20\ See NYSE Letter, supra note 4, at 1.
    \21\ See id. at 1-2.
    \22\ See id. at 2.
    \23\ See id.
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    Two commenters oppose the proposed rule change for the reasons
discussed below.

A. Pending Litigation; Potential for Market Disruption and Harm to
Investors

    Two commenters argue that the proposed options are, in fact,
options on the S&P 500 index and therefore would violate a permanent
injunction entered by the Illinois state court in 2010
(``Injunction'').\24\ These two commenters have filed a motion to
enforce this Injunction against ISE in Illinois Circuit Court,\25\ and
request that the Commission disapprove the proposed rule change \26\ or
not take action to approve the proposed rule change until the
litigation is resolved.\27\ In a second comment letter, CBOE argues
that the Commission should disapprove the proposed options because they
could not legally be traded.\28\ In addition, CBOE requests that if the
Commission considers the proposed rule change prior to judicial action
on the motion, the Commission should make clear that any approval is
solely concerned with whether the proposed rule change is consistent
with the Act, and that the Illinois state court has full and
independent authority to resolve the issues that arise under state
law.\29\
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    \24\ See CBOE Letter I and McGraw-Hill Letter I, supra note 4.
According to one commenter, ``the ISE rule filing itself violates
the Injunction because the Injunction prohibits ISE from listing
options on the S&P 500 Index and the submission and notification of
the rule filing commences the process of listing such options.'' See
CBOE Letter I, supra note 4, at 2. Another commenter states that
ISE's planned unauthorized use of the S&P 500 index constitutes an
unlawful violation of Standard & Poor's Financial Services LLC's
(``S&P'') intellectual property rights. See McGraw-Hill Letter I,
supra note 4, at 1 and 4. This commenter urges the Commission to not
approve the listing and trading of products that have previously
been determined to be unlawful. See id. at 4. In subsequent comment
letters, commenters note that the Illinois Appellate Court recently
affirmed the lower court's Injunction. See CBOE Letter II, supra
note 8, at 6 and McGraw-Hill Letter II, supra note 8, at 1.
    \25\ See Attachment 1 to CBOE Letter I and Attachment to McGraw-
Hill Letter I, supra note 4.
    \26\ See CBOE Letter I, supra note 4, at 2 and McGraw-Hill
Letter I, supra note 4, at 1.
    \27\ See CBOE Letter I, supra note 4, at 2.
    \28\ See CBOE Letter II, supra note 8, at 7.
    \29\ See CBOE Letter I, supra note 4, at 2. See also CBOE Letter
II, supra note 8, at 8.
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    In its response letter, ISE states that it is opposing the motion
to enforce the Injunction.\30\ ISE objects to the commenters' request
that the Commission delay approval of the proposed rule change until
the Illinois court decides on the motion, referring to prior Commission
action where the Commission indicated that its decision to approve a
rule filing should be based solely on whether it complies with the Act,
without regard to any state law issues.\31\ ISE states that because the
current Illinois proceedings involve issues of intellectual property
law and state procedure, the Commission should approve this proposed
rule change without regard to the Illinois proceedings.\32\
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    \30\ See ISE Response Letter I, supra note 6, at 2. ISE states
that the commenters' primary basis for claiming that the proposed
options are options on the S&P 500 index is ``a single, erroneous
sentence contained in ISE's 50 page rule filing'' and that this
sentence ``is contained in the basis section of ISE's rule filing,
which section is not controlling in terms of the description of the
product.'' See id. at 3. ISE subsequently amended this sentence in
Amendment No. 1. See supra note 7.
    \31\ See ISE Response Letter I, supra note 6, at 2-3.
    \32\ See id. at 3.
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    According to the two commenters, significant market disruption and
harm to investors could occur if the Commission were to approve the
proposed rule change prior to the Illinois court ruling on whether the
proposed options violate the existing Injunction or are otherwise
unlawful.\33\ Specifically, these commenters express the concern that
if ISE commences trading in the proposed options before a decision by
the Illinois court where the court finds that such trading is unlawful,
investors would have no readily available means to trade out of or
exercise their positions in the proposed options.\34\
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    \33\ See CBOE Letter I, supra note 4, at 2 and McGraw-Hill
Letter I, supra note 4, at 1 and 4.
    \34\ See CBOE Letter I, supra note 4, at 2 and McGraw-Hill
Letter I, supra note 4, at 1 and 4.
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    In its first response letter, ISE disagrees with the comment that
the Commission's approval of the proposed rule change before the
Illinois court's ruling on the motion could result in significant
market disruption or harm to investors.\35\ Nevertheless, ISE
represents that, absent returning to the Commission and seeking
explicit approval to do so, it will not commence trading options on the
ISE Max SPY Index until the Illinois Circuit Court has ruled on the
motion.\36\
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    \35\ See ISE Response Letter I, supra note 6, at 4.
    \36\ See id.
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    In a second comment letter, CBOE reiterates its concerns regarding
potential market disruption and harm to investors.\37\ In response to
ISE's letter, CBOE states that the Illinois lower court's ruling on the
motion to enforce the Injunction may not be the end of the litigation
over whether the proposed options may be validly traded under state
law, and that the Commission should condition any approval on ISE's
undertaking not to commence trading until all judicial challenges to
the lawfulness of the proposed options under state law have been
resolved.\38\
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    \37\ See CBOE Letter II, supra note 8, at 7. The commenter
states that by exposing investors to these undisclosed risks, the
proposal fails to protect investors and the public interest. See id.
See also McGraw-Hill Letter II, supra note 8, at 2-3 (stating that
it would be inappropriate and contrary to the public interest for
the Commission to approve a product that has been enjoined and is
the subject of ongoing litigation to enforce the Injunction).
    \38\ See CBOE Letter II, supra note 8, at 8.
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    In its second response letter, ISE again represents that it will
not launch the proposed options for trading unless and until the
Illinois Circuit Court denies the motion to enforce the Injunction.\39\
In addition, in the event that the Illinois Circuit Court were to deny
the motion to enforce the Injunction, and such a decision was to be
subsequently reversed and ISE were to be enjoined from offering the
proposed options after it had commenced trading and there is open
interest, ISE represents that it would seek to have the state court
permit it to continue to offer a market for closing-only transactions
for so long as it takes all open interest to wind down in an orderly
manner.\40\ ISE states that it has systems, rules, and procedures in
place that would permit such a closing-only orderly wind down, and that
it is ``inconceivable that the Court would refuse to permit such a
closing-only market.'' \41\ ISE further states that even if the court
were to deny a closing-only market, there are adequate rules and
procedures in place, at the exchange and the clearing level, to allow
for an orderly wind down of

any open interest.\42\ In addition, ISE represents that it will insert
a litigation risk discussion into the Options Disclosure Document
(``ODD''),\43\ which will be substantially similar to the litigation
risk language included in prior versions of the ODD with respect to
index participation products.\44\ Finally, ISE states that these
investor protection risks are not unique to the proposed product, and
that there have been multiple cases where a market becomes unavailable
for the continued trading of a product in which there is open
interest.\45\
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    \39\ See ISE Response Letter II, supra note 9, at 4.
    \40\ See id.
    \41\ See id.
    \42\ See id. As an example, ISE points out that the Options
Clearing Corporation (``OCC'') has by-laws and rules that, in the
case of index options, permit it to create and use a replacement
index to close out the open interest. See id.
    \43\ The ODD explains the characteristics and risks of exchange-
traded options. Rule 9b-1 under the Act requires, among other
things, that broker-dealers furnish the ODD to a customer before
accepting an order from the customer to purchase or sell an option
contract relating to an options class that is the subject of the
ODD, or approve the customer's account for the trading of such
option. See 17 CFR 240.9b-1(d).
    \44\ See ISE Response Letter II, supra note 9, at 4-5.
    \45\ See id. at 5. ISE gives an example of a listed company
declaring bankruptcy, where all options markets have delisted
options on the stock and there was no available market to close
existing open interest. See id. ISE states that in these instances,
investors with open positions waited until expiration and were
either assigned or not, according to OCC rules and procedures. See
id.
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B. Potential for Investor Confusion

1. Characterization of the Product as Options on the ISE Max SPY Index
    One commenter asserts that ISE's description of the proposed
options is inaccurate and misleading.\46\ This commenter understands
from the filing that the settlement value for options on the ISE Max
SPY Index would be calculated differently from all other values of the
ISE Max SPY Index, stating that ``the settlement value will be
calculated by reference to the stocks in the S&P 500 Index as weighted
by S&P in its S&P 500 Index.'' \47\ This commenter argues that the
benchmark for the proposed option is not SPY, because the proposed
options are not actually settled by reference to SPY.\48\ This
commenter subsequently asserts that the proposed rule change ``misleads
investors by falsely characterizing the Proposed Options as options on
the ISE Max SPY Index.'' \49\ Specifically, this commenter states that
ISE has admitted that the proposed options would not be settled based
on the value of SPY and has failed to set forth any way in which the
settlement value for the proposed options would have any relation to
the ISE Max SPY Index.\50\ This commenter also asserts that the
proposed rule change misleads investors by characterizing the proposed
option as a broad-based index option, when the ISE Max SPY Index
actually consists of only a single component security.\51\
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    \46\ See CBOE Letter I, supra note 4, at 4.
    \47\ See id. See also McGraw-Hill Letter I, supra note 4, at 3.
    \48\ See CBOE Letter I, supra note 4, at 4. According to the
commenter, this point is further illustrated by ISE's proposal with
respect to position limits for the options on the ISE Max SPY Index.
See id. at 5. The commenter points out that ISE proposed no position
limits for these options by reference to the position limits for the
p.m.-settled S&P 500 index (``SPXPM'') options, rather than the
position limits for other SPY-based products. See id. Another
commenter states that the Commission should be concerned by the
misleading disconnect between the name of the proposed options and
the manner in which the options would be settled. See also McGraw-
Hill Letter I, supra note 4, at 2-3 and note 5.
    \49\ See CBOE Letter II, supra note 8, at 2.
    \50\ See id. Another commenter also reiterates, in its second
comment letter, that the proposed options would not be settled based
on any value of the ISE Max SPY Index, but rather based on ISE's
recalculation of the S&P 500 index, using the same stocks selected
by S&P and the same weighting methodology. See McGraw-Hill Letter
II, supra note 8, at 2.
    \51\ See CBOE Letter II, supra note 8, at 4.
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    In response, ISE states that the rule filing makes clear that the
ISE Max SPY Index is calculated based on the traded prices of SPY
shares, and that the options on the ISE Max SPY Index are settled on
the basis of a calculation of the NAV of the SPY trust's assets.\52\
Further, to ensure that investors have an ongoing means to access
information about options on the ISE Max SPY Index, ISE represents, in
its second response letter, that it will: (i) Work with the OCC to
amend the ODD to provide a clear and unambiguous description of the
product and any unique risks associated with it; (ii) display the
contract specifications on its Web site; (iii) create a special web
page devoted exclusively to the proposed options, which will describe
in plain English all the terms of this product, including index
calculation and settlement; and (iv) follow the same marketing process
it follows for all of its other new products, which is designed to
promote awareness and a clear understanding of the product.\53\
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    \52\ See ISE Response Letter I, supra note 6, at 3.
    \53\ See ISE Response Letter II, supra note 9, at 2.
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    Further, according to one commenter, to the extent that the ``ISE
Max SPY Index'' is ``index-like,'' it is only because the SPY trust
holds all of the stocks in the S&P 500 index, weighted as the stocks in
the S&P 500 index are weighted.\54\ This commenter argues that even if
the benchmark could be said to have reference to SPY, the benchmark
would have only one component security and therefore would not be an
index.\55\ ISE states in response that an index with one component is
still an index and refers to CBOE's micro narrow-based index options
and CBOE's indexes that measure the spot yield of individual U.S.
Treasury Securities by simply multiplying them by ten (i.e., TNX).\56\
In its second letter, CBOE states that, consistent with Section 3 of
the Act \57\ and the principles set forth in Commission's staff legal
bulletin, micro narrow-based indexes may consist of no fewer than two
securities and no more than nine securities.\58\ CBOE also states that
its micro narrow-based index option rule applies only to an underlying
benchmark that is itself a security index.\59\ With respect to ISE's
reference to CBOE's indexes that measure the spot yield of individual
U.S. Treasury Securities, CBOE states that ``TNX options were not
security index options, but instead were interest rate options based on
interest rate values that were `indexed' to make the options contracts
a suitable size.'' \60\ CBOE further states that TNX options were
regulated as interest rate options and were described for all purposes
as interest rate options.\61\
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    \54\ See CBOE Letter I, supra note 4, at 5.
    \55\ See id. at 4 and CBOE Letter II, supra note 8, at 4-6. CBOE
states that ``allowing options to trade on a security index
comprised of a single component would implicate potentially far-
reaching regulatory considerations under the Exchange Act. If the
concept of a `security index option' is that elastic, then options
on a single equity stock could just as easily be traded as a
security index option, through the fiction of creating a reference
point to that single stock's prices. That has never before been
contemplated, and should not be permitted--at least without deep
regulatory examination of the implications of that development.''
See CBOE Letter II, supra note 8, at 6. See also McGraw-Hill Letter
I, supra note 4, at note 3.
    \56\ See ISE Response Letter I, supra note 6, at 7-8.
    \57\ In this regard, CBOE points out that the definition of
``security future'' in Section 3 of the Act makes a distinction
between a ``narrow-based security index'' and a ``single security.''
See CBOE Letter II, supra note 8, at 5.
    \58\ See id. at 4-5.
    \59\ See id. at 5.
    \60\ See id. at 6. CBOE states that ``[t]he term `index' was
used in referring to the reference value for the TNX in a manner
distinct from the meaning of a `security index' '' and that the term
``meant a number or a reference point, in the same sense that the
word `index' is used in the term `consumer price index.' '' See id.
    \61\ See id.
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    In response, ISE states that there is no legal requirement that an
index consists of more than one component.\62\ ISE disagrees with the
commenter's rationale that indexes must contain at least two
components, and states that the commenter is ``backpedaling on its

own past history of creating one-component indexes.'' \63\
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    \62\ See ISE Response Letter II, supra note 9, at 5.
    \63\ See id.
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2. Clarity and Completeness of the Description of the Options on the
ISE Max SPY Index
i. Method for Calculating Settlement Values
    One commenter states that ISE is unclear in describing the assets
that it would take into account in calculating the settlement value of
the proposed options, and points out the differences between ISE's
calculation of the NAV of SPY, as described in the Notice, and the
trust's calculation of the NAV of SPY.\64\ In particular, this
commenter points out that ISE omitted the reference to ``other assets''
of the trust in the description of its calculation methodology.\65\ The
commenter states that if ISE does not take the ``other assets'' held in
the trust into account in calculating settlement values for the
proposed options, its settlement value calculation methodology will
``clearly diverge from the method used by the Trustee for the Trust to
calculate NAVs for the Trust.'' \66\ The commenter states that if this
is ISE's intent, it needs to be clearly stated in the filing.\67\
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    \64\ See CBOE Letter I, supra note 4, at 5-6.
    \65\ See id. The commenter also states that the calculation of
the values of the S&P 500 index, unlike the calculation of the NAV
of SPY, does not take into account other assets such as dividends.
See id. at 6.
    \66\ See id.
    \67\ See id.
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    In its response letter, ISE states that the ISE Max SPY Index ``is
settled by reference to the value of the SPY ETF'' and that it is
independently calculating the NAV of the SPY ETF using a methodology
that closely tracks the methodology that State Street Global Advisors
(``SSgA'') uses to calculate the NAV of the SPY ETF.\68\ ISE states
that generally, the NAV for equity-based ETFs is calculated in the same
manner, regardless of who the calculation agent is.\69\ ISE further
explains that NAV is determined by adding the value of the portfolio
securities to the trust's net cash (accrued dividends minus accrued
fees and expenses), and dividing the result by the total number of
outstanding shares of the fund.\70\ ISE states that the net cash amount
is usually determined by the fund's administrator, who provides that
information to the National Securities Clearing Corporation
(``NSCC'').\71\
---------------------------------------------------------------------------

    \68\ See ISE Response Letter I, supra note 6, at 4.
    \69\ See id. at 6.
    \70\ See id.
    \71\ See id.
---------------------------------------------------------------------------

    In a second comment letter, CBOE reiterates that ISE fails to
explain the differences between its calculation of the NAV and the NAV
published by the trustee of the trust.\72\ CBOE states that ISE's
proposal did not make clear that the settlement of the proposed options
is based on a calculation of the NAV of the SPY ETF, and that the
proposal misleads investors about how ISE would calculate the
settlement value.\73\ CBOE notes that ``ISE states that the NAV
calculation of an ETF `generally' is determined by `adding the trust's
net cash (accrued dividends minus accrued fees and expenses)' to the
value of the portfolio securities,'' thereby implying that it would do
so as well when computing the settlement value of the proposed
options.\74\ CBOE states, however, that ``ISE is careful never to
actually state--either in the ISE Proposal or [ISE Response Letter I]--
that it would use dividends and Trust expenses when calculating the
settlement value of the Proposed Options.'' \75\ CBOE further points
out that ISE may not be able to include those factors in its
calculation because the trust disseminates information about the SPY
ETF's net cash at the same time as the information about the value of
its stock holdings.\76\
---------------------------------------------------------------------------

    \72\ See CBOE Letter II, supra note 8, at 4.
    \73\ See id. at 3-4.
    \74\ See id. at 3.
    \75\ See id. Another commenter states, in a second comment
letter, that ``the Commission should not be misled by ISE's oblique
reference to the use of a `well known methodology that is intended
to track, as closely as possible SSGA's methodology for its
calculation of the NAV for the SPY ETF' '' because ``[t]he `well-
known methodology' that ISE proposes to employ is to use S&P's
selection of stocks for inclusion in the S&P 500 and the manner in
which those stocks are weighted by S&P for purposes of calculating
the S&P 500, both of which are proprietary to S&P.'' See McGraw-Hill
Letter II, supra note 8, at 2.
    \76\ See CBOE Letter II, supra note 8, at 3-4. CBOE reiterates
this comment in its third comment letter. See CBOE Letter III, supra
note 8, at 1-2. In particular, CBOE questions the timing that the
information necessary for ISE to make the settlement calculation
would be made available. See id. In this regard, CBOE states that
``the information on which ISE purportedly would rely to compute the
NAV of the SPY ETF would not be available until hours after ISE's
admitted deadline.'' See id. at 2. Accordingly, CBOE concludes that
ISE's proposal ``continues to mislead investors about how the
Proposed Options would settle.'' See id. See also infra Section
III.B.2.i (describing the calculating methodology for the settlement
value of options on the ISE Max SPY Index).
---------------------------------------------------------------------------

    In a second response letter, ISE specifically sets forth the
formula for settlement value calculation, including the formula for
calculating the NAV of SPY.\77\ ISE states that its NAV calculating
method is the same standard method that is used industry-wide for ETFs
with equity-only holdings.\78\ Specifically, ISE explains that after
the close of each trading day, the fund's administrator provides to the
NSCC the portfolio securities of the fund, the number of shares of each
security, the net cash of the fund, and the shares outstanding of the
fund.\79\ The NSCC makes this information available to market
participants on a daily basis after the close of each trading day.\80\
ISE states that, by way of its market data vendor, it will calculate
the settlement value using the data received from the NSCC.\81\
---------------------------------------------------------------------------

    \77\ See ISE Response Letter II, supra note 9, at 2-3.
    \78\ See id. at 3.
    \79\ See id.
    \80\ See id.
    \81\ See id. ISE states that, unlike the trust's NAV
calculation, investors will have certainty in knowing how the
settlement value of ISE Max SPY options was calculated by ISE. See
id.
---------------------------------------------------------------------------

ii. Source of Prices Used in Calculating Settlement Values
    One commenter states that ISE is unclear in describing the sources
of the prices that it would use in calculating settlement values for
the proposed options and that ISE's representation of the trust's NAV
calculation is inconsistent with the prospectus.\82\ In its response
letter, ISE states that the filing clearly identifies the source of the
prices--the published closing prices from the primary market of the
securities.\83\ ISE also disagrees with the comment that its
representation is inconsistent with the SPDR prospectus because the
trust may independently decide which exchange it deems to be the
``primary market'' as a source for closing prices.\84\ In a second
response letter, ISE again states that its calculation of the NAV would
be based upon the closing prices from the primary markets of each
portfolio security, and that it recognizes that the SPY trust may use
different prices because the trustee reserves the right to evaluate
portfolio securities independently of closing sale prices if it deems
such prices to be ``inappropriate.'' \85\
---------------------------------------------------------------------------

    \82\ See CBOE Letter I, supra note 4, at 6-7.
    \83\ See ISE Response Letter I, supra note 6, at 6-7.
    \84\ See id. at 7.
    \85\ See ISE Response Letter II, supra note 9, at 3.
---------------------------------------------------------------------------

iii. Differences between Settlement Value and All Other Values
    One commenter states that ISE's filing ``does not contain any
explanation of why it proposes to calculate settlement values of the
Proposed Benchmark differently from all other values of the Proposed
Benchmark.'' \86\ In its response

letter, ISE explains that it is doing so to decrease the opportunity
for manipulation and other abusive trading practices.\87\ Specifically,
ISE states that a would-be manipulator would need to manipulate the
closing price of 500 individual stocks, as opposed to the closing price
of one ETF.\88\ ISE also states that its calculation of the NAV would
allow for a timely settlement of the proposed options.\89\
Specifically, ISE states that the obligation of SSgA is to establish a
NAV of the SPY ETF before the next day's opening.\90\ However, since
the OCC requires settlement values to be sent to it the same day as the
settlement of an option, ISE cannot rely on the SSgA-published NAV.\91\
---------------------------------------------------------------------------

    \86\ See CBOE Letter I, supra note 4, at 7. The ``Proposed
Benchmark'' refers to the ISE Max SPY Index. See id. at note 2. This
commenter further states that ``ISE's plan to use the same prices to
calculate settlement values that S&P uses to calculate the S&P 500
demonstrates that ISE's true purpose is to replicate the value of
the S&P 500 as closely as possible, even though doing so creates the
possibility of discontinuities between the settlement values of the
Proposed Benchmark and all other values of that benchmark.'' See id.
at 7. See also CBOE Letter II, supra note 8, at 3 (stating that ISE
intends ``to replicate European-style, p.m. settled S&P 500 index
options'' by ``divorcing its Proposed Options from all connection to
the ISE Max SPY Index value at the most important time--i.e.,
settlement--and by instead calculating the settlement value on the
`closing prices of [the] 500 individual stocks' in the S&P 500
index.'')
    \87\ See ISE Response Letter I, supra note 6, at 4. CBOE
disagrees with ISE's argument that its calculation methodology for
the settlement of options on the ISE Max SPY Index would decrease
manipulation because ``the SPY ETF is one of the most actively
traded securities in the investing world.'' See CBOE Letter II,
supra note 8, at 3.
    \88\ See ISE Response Letter I, supra note 6, at 5.
    \89\ See id. at 4. See also supra note 76 (discussing CBOE's
response to this comment in its third comment letter).
    \90\ See id. at 5.
    \91\ See id. at 5-6. In its second response letter, ISE
reiterates that because the trustee is under no obligation to
distribute the NAV before the next day's open, ISE will perform its
own calculation of the NAV to ensure that the settlement value is
transmitted to OCC in time for regular processing of expiring
contracts (generally before 6 p.m. ET). See ISE Response Letter II,
supra note 9, at 3-4.
---------------------------------------------------------------------------

    Further, ISE points out that ``the concept of utilizing a reference
price to settle an index option product that differs from the values of
the proposed benchmark is not novel, and is best illustrated in CBOE's
AM-settled S&P 500 index [(``SPX'')] options.'' \92\ In response, CBOE
differentiates the settlement of SPX options from the settlement of ISE
Max SPY options.\93\ Specifically, CBOE states that SOQ \94\ represents
a modified calculation of the same interest that underlies SPX options
during their life--the S&P 500 index.\95\ Conversely, CBOE states that
ISE would use a different underlying benchmark to calculate the
settlement value of the proposed options--the benchmark during the life
of the proposed options would be the ISE Max SPY Index (based on the
traded prices of SPY), whereas the benchmark at settlement would be a
recalculated S&P 500 index.\96\
---------------------------------------------------------------------------

    \92\ See ISE Response Letter I, supra note 6, at 4-5.
Specifically, ISE states that SPX options use a settlement value
calculation called the Special Opening Quotation (``SOQ''), and SOQ
is a special calculation of the underlying index where the opening
prices of the index components are used to determine the settlement
value of options contracts. See id. at 5. According to ISE, because
component stocks may open after the primary markets have opened, or
not at all, this can result in a settlement value that has a
significant discrepancy from the initial index quote. See id. ISE
reiterates this point in its second response letter. See ISE
Response Letter II, supra note 9, at 4.
    \93\ See CBOE Letter II, supra note 8, at 2.
    \94\ See supra note 92.
    \95\ See CBOE Letter II, supra note 8, at 2.
    \96\ See id.
---------------------------------------------------------------------------

iv. Special Dividends and Special Distributions
    One commenter states that companies in the S&P 500 index from time
to time pay special dividends and make special distributions to their
shareholders, and ISE did not explain whether or how the relationship
between settlement value and other values would be preserved in such a
circumstance.\97\
---------------------------------------------------------------------------

    \97\ See CBOE Letter I, supra note 4, at 7.
---------------------------------------------------------------------------

    In its response letter, ISE states that it has never been a
practice of the exchanges to describe the details on dividend
processing for components of indexes in rule filings seeking approval
of index options.\98\ Further, ISE states that because the proposed
product is an index option, it does not anticipate adjustments being
made to the options as a result of any component dividends, and that
this is customary practice for index options.\99\
---------------------------------------------------------------------------

    \98\ See ISE Response Letter I, supra note 6, at 7.
    \99\ See id.
---------------------------------------------------------------------------

3. ODD Amendments
    One commenter suggests that the ODD would require supplementation
before the proposed options could be listed and traded.\100\ First,
this commenter states that an investor looking for disclosure with
respect to the proposed product might be uncertain as to whether they
are described in Chapter III (Options on Equity Securities) or Chapter
IV (Index Options) of the ODD.\101\ Second, this commenter states that
the ODD would need to be supplemented to provide disclosure with
respect to the difference between the calculation of the settlement
value and all other values of the proposed options.\102\
---------------------------------------------------------------------------

    \100\ See CBOE Letter I, supra note 4.
    \101\ See id. at 7-8.
    \102\ See id. at 8-9.
---------------------------------------------------------------------------

    In its response letter, ISE states that it will follow the well-
settled process for supplementing the ODD to devise disclosure of any
risks associated with the proposed options that are determined by the
Listed Options Disclosure Committee (``LODC'') \103\ to be necessary
for disclosure.\104\ Further, as discussed above, in its second
response letter, ISE represents that it will work with the OCC to amend
the ODD to provide a clear and unambiguous description of the proposed
options and any unique risks associated with it.\105\
---------------------------------------------------------------------------

    \103\ ISE states that the LODC is comprised of representatives
of the OCC and each of the participant exchanges, and has the
responsibility for determining and performing the necessary
disclosure. See ISE Response Letter I, supra note 6, at 8.
    \104\ See id.
    \105\ See ISE Response Letter II, supra note 9, at 2.
---------------------------------------------------------------------------

IV. Proceedings To Determine Whether To Approve or Disapprove SR-ISE-
2012-22, as Modified by Amendment No. 1, and Grounds for Disapproval
Under Consideration

    The Commission is instituting proceedings pursuant to Section
19(b)(2) of the Act to determine whether the proposed rule change
should be approved or disapproved.\106\ Institution of such proceedings
is appropriate at this time in view of the legal and policy issues
raised by the proposed rule change. Institution of disapproval
proceedings does not indicate that the Commission has reached any
conclusions with respect to any of the issues involved. Rather, as
described in greater detail below, the Commission seeks and encourages
interested persons to provide additional comment on the proposed rule
change to inform the Commission's analysis of whether to approve or
disapprove the proposed rule change.
---------------------------------------------------------------------------

    \106\ 15 U.S.C. 78s(b)(2). Section 19(b)(2)(B) of the Act
provides that proceedings to determine whether to approve or
disapprove a proposed rule change must be concluded within 180 days
of the date of publication of notice of the filing of the proposed
rule change. The time for conclusion of the proceedings may be
extended for up to an additional 60 days if the Commission finds
good cause for such extension and publishes its reasons for so
finding or if the self-regulatory organization consents to the
extension.
---------------------------------------------------------------------------

    As discussed above, the proposed rule change would allow ISE to
list and trade European-style, p.m. and cash settled options on the ISE
Max SPY Index. The proposed options would not be subject to position
limits. The real-time value of the ISE Max SPY Index would be
calculated by multiplying the share prices of SPY by a factor of ten
and rounding to the tenth place, whereas the settlement value of the
option would be

based on the NAV of SPY, as calculated by ISE,\107\ on a per share
basis, times ten.
---------------------------------------------------------------------------

    \107\ See supra note 13.
---------------------------------------------------------------------------

    The section of the Act applicable to the proposed rule change that
provides the grounds for the disapproval (or approval) under
consideration is Section 6(b)(5),\108\ which requires that the rules of
an exchange be designed, among other things, to prevent fraudulent and
manipulative acts and practices, to promote just and equitable
principles of trade, 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.
---------------------------------------------------------------------------

    \108\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    As discussed above, one commenter supports the proposed rule
change,\109\ while two commenters oppose the proposed rule change.\110\
Commenters raise the concern that the proposed rule change could lead
to significant market disruption and harm to investors if ISE commences
trading in the proposed options before all judicial challenges to the
lawfulness of the proposed options under state law have been
resolved.\111\ In addition, commenters raise concerns regarding whether
the proposed new product could be misleading to investors and
questioned the accuracy and clarity of ISE's description of the
proposed options, including the calculation of the settlement
value,\112\ the differences between the calculation of the settlement
value and all other values of the ISE Max SPY Index,\113\ and the
characterization of the proposed options as options on the ``ISE Max
SPY Index.'' \114\
---------------------------------------------------------------------------

    \109\ See NYSE Letter, supra note 4.
    \110\ See CBOE Letter I, supra note 4; McGraw-Hill Letter I,
supra note 4; CBOE Letter II, supra note 8; McGraw-Hill Letter II,
supra note 8; and CBOE Letter III, supra note 8.
    \111\ See CBOE Letter I, supra note 4, at 2; McGraw-Hill Letter
I, supra note 4, at 1 and 4; CBOE Letter II, supra note 8, at 6-8;
and McGraw-Hill Letter II, supra note 8, at 2-3.
    \112\ See CBOE Letter I, supra note 4, at 5-7; CBOE Letter II,
supra note 8, at 3-4; McGraw-Hill Letter II, supra note 8, at 2; and
CBOE Letter III, supra note 8, at 1-2.
    \113\ See CBOE Letter I, supra note 4, at 7; McGraw-Hill Letter
I, supra note 4, at 3; and CBOE Letter II, supra note 8, at 2-3.
    \114\ See CBOE Letter I, supra note 4, at 4-5; McGraw-Hill
Letter I, supra note 4, at 2-4; CBOE Letter II, supra note 8, at 2-
7; and McGraw-Hill Letter II, supra note 8, at 2.
---------------------------------------------------------------------------

    In light of the concerns raised by commenters, the Commission
believes that questions remain as to whether the proposed rule change
is consistent with the requirements of Section 6(b)(5) of the Act,
including whether the proposed options are designed to protect
investors and the public interest.

V. Procedure: Request for Written Comments

    The Commission requests that interested persons provide written
submissions of their views, data and arguments with respect to the
issues identified above, as well as any others they may have identified
with the proposal. In particular, the Commission invites the written
views of interested persons concerning whether the proposed rule change
is consistent with Section 6(b)(5) or any other provision of the Act,
or the rules and regulations thereunder. Although there do not appear
to be any issues relevant to approval or disapproval which would be
facilitated by an oral presentation of views, data, and arguments, the
Commission will consider, pursuant to Rule 19b-4, any request for an
opportunity to make an oral presentation.\115\
---------------------------------------------------------------------------

    \115\ Section 19(b)(2) of the Act, as amended by the Securities
Acts Amendments of 1975, Pub. L. 94-29, 89 Stat. 97 (1975), grants
the Commission flexibility to determine what type of proceeding--
either oral or notice and opportunity for written comments--is
appropriate for consideration of a particular proposal by a self-
regulatory organization. See Securities Acts Amendments of 1975,
Report of the Senate Committee on Banking, Housing and Urban Affairs
to Accompany S. 249, S. Rep. No. 75, 94th Cong., 1st Sess. 30
(1975).
---------------------------------------------------------------------------

    Interested persons are invited to submit written data, views and
arguments regarding whether the proposed rule change should be approved
or disapproved by August 10, 2012. Any person who wishes to file a
rebuttal to any other person's submission must file that rebuttal by
August 27, 2012.
    The Commission is asking that commenters address the merit of ISE's
statements in support of the proposal, in addition to any other
comments they may wish to submit about the proposed rule change.
Specifically, the Commission is requesting comment on the following:
     What are commenters' views as to whether market disruption
and harm to investors would occur if the Commission were to approve the
proposed rule change before all judicial challenges to the lawfulness
of the proposed options under state law have been resolved? In light of
the Exchange's representation that it would not start trading the
proposed options until the Illinois Circuit Court rules on the motion
to enforce the Injunction, and its representation regarding the
potential mechanisms to ensure an orderly wind down of trading in the
event that ISE is enjoined from offering the product after trading has
already begun, do commenters believe any harm would result if the
Exchange started trading the proposed options before all judicial
challenges to the lawfulness of the proposed options under state law
have been resolved? Why or why not?
     As outlined above, the Exchange has provided additional
detail about how it intends to calculate the settlement value for
options on the ISE Max SPY Index.\116\ What are commenters' views as to
whether the Exchange should provide additional clarity in the filing
regarding the calculation methodology for the settlement value of
options on the ISE Max SPY Index to mitigate concerns regarding the
potential for investor confusion? Please be specific in your response.
---------------------------------------------------------------------------

    \116\ See supra Section III.B.2.i. and note 13.
---------------------------------------------------------------------------

     As noted above, the Exchange would calculate the value of
the ISE Max SPY Index by reference to the traded prices of SPY, times
ten, at all times. However, the settlement value of the options on the
ISE Max SPY Index would be calculated by reference to the NAV of SPY,
as calculated by the Exchange, on a per share basis, times ten.\117\
What are commenters' views of the impact, if any, of the differences
between the calculation of the settlement value of the proposed options
and the value of the ISE Max SPY Index itself on investor understanding
of the options on the ISE Max SPY Index? Do commenters believe that the
differences between the calculation of the settlement value of the
proposed options and the value of the ISE Max SPY Index itself could
cause investor confusion? Please explain why or why not.
---------------------------------------------------------------------------

    \117\ See supra Section III.B.2.i. and note 13.
---------------------------------------------------------------------------

     If commenters believe that the differences between the
calculation of the settlement value of the proposed options and the
value of the ISE Max SPY Index itself could cause investor confusion,
what are commenters' views as to whether the steps that ISE has
proposed to take to provide investors with information about the
product \118\

would be sufficient to mitigate such concerns?
---------------------------------------------------------------------------

    \118\ As stated above, in its second response letter, ISE
represents that it will: (i) Work with the OCC to amend the ODD to
provide a clear and unambiguous description of the product and any
unique risks associated with it; (ii) display the contract
specifications on its Web site; (iii) create a special Web page
devoted exclusively to the proposed options, which will describe in
plain English all the terms of this product, including index
calculation and settlement; and (iv) follow the same marketing
process it follows for all of its other new products, which is
designed to promote awareness and a clear understanding of the
product. See ISE Response Letter II, supra note 9, at 2.
---------------------------------------------------------------------------

     Do commenters believe that the characterization of the
proposed options as options on the ``ISE Max SPY Index'' would have the
potential to cause investor confusion? If so, why? If not, why not? If
so, what are commenters' views on whether any potential confusion would
be sufficiently mitigated by the steps that ISE has proposed to take to
provide investors with information about the product? \119\ Please be
specific in your response.
---------------------------------------------------------------------------

    \119\ See id.
---------------------------------------------------------------------------

    Comments may be submitted by any of the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to<EMAIL_ADDRESS>Please include
File Number SR-ISE-2012-22 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-ISE-2012-22. This file
number should be included on the subject line if email is used. To help
the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street NE.,
Washington, DC 20549, on official business days between the hours of 10
a.m. and 3 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; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-ISE-2012-22 and should be
submitted on or before August 10, 2012. Rebuttal comments should be
submitted by August 27, 2012.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\120\
---------------------------------------------------------------------------

    \120\ 17 CFR 200.30-3(a)(57).
---------------------------------------------------------------------------

Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-15489 Filed 6-25-12; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register: May 16, 2006 (Volume 71, Number 94)]
[Notices]
[Page 28312]
[DOCID:fr16my06-58]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Docket No. RP06-345-000]

ANR Pipeline Company; Notice of Tariff Filing

May 9, 2006.
    Take notice that on May 5, 2006, ANR Pipeline Company (ANR)
tendered for filing as part of its FERC Gas Tariff, Second Revised
Volume No. 1, Third Revised Sheet No. 118, with an effective date of
June 5, 2006.
    Any person desiring to intervene or to protest this filing must
file in accordance with Rules 211 and 214 of the Commission's Rules of
Practice and Procedure (18 CFR 385.211 and 385.214). Protests will be
considered by the Commission in determining the appropriate action to
be taken, but will not serve to make protestants parties to the
proceeding. Any person wishing to become a party must file a notice of
intervention or motion to intervene, as appropriate. Such notices,
motions, or protests must be filed in accordance with the provisions of
Sec.  154.210 of the Commission's regulations (18 CFR 154.210). Anyone
filing an intervention or protest must serve a copy of that document on
the Applicant. Anyone filing an intervention or protest on or before
the intervention or protest date need not serve motions to intervene or
protests on persons other than the Applicant.
    The Commission encourages electronic submission of protests and
interventions in lieu of paper using the ``eFiling'' link at http://www.ferc.gov.
 Persons unable to file electronically should submit an

original and 14 copies of the protest or intervention to the Federal
Energy Regulatory Commission, 888 First Street, NE., Washington, DC
20426.
    This filing is accessible on-line at http://www.ferc.gov, using the

``eLibrary'' link and is available for review in the Commission's
Public Reference Room in Washington, DC. There is an ``eSubscription''
link on the Web site that enables subscribers to receive e-mail
notification when a document is added to a subscribed docket(s). For
assistance with any FERC Online service, please e-mail
<EMAIL_ADDRESS>or call<PHONE_NUMBER> (toll free). For

TTY, call<PHONE_NUMBER>.

Magalie R. Salas,
Secretary.
 [FR Doc. E6-7378 Filed 5-15-06; 8:45 am]

BILLING CODE 6717-01-P


[Federal Register Volume 79, Number 236 (Tuesday, December 9, 2014)]
[Notices]
[Pages 73058-73059]
[FR Doc No: 2014-28739]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

Combined Notice of Filings #1

    Take notice that the Commission received the following electric
corporate filings:

    Docket Numbers: EC15-43-000.
    Applicants: Niagara Generation, LLC.
    Description: Application of Niagara Generation, LLC and NiGen, LLC
for Expedited Approval of Intra-Corporate Transfer Under Section 203 of
the Federal Power Act.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5300.
    Comments Due: 5 p.m. ET 12/22/14.

    Take notice that the Commission received the following electric
rate filings:

    Docket Numbers: ER10-3301-005; ER10-2757-005; ER10-2756-005.
    Applicants: Arlington Valley, LLC, GWF Energy LLC, Griffith Energy
LLC.
    Description: Notification of Non-Material Change in Status of the
Star West Companies.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5302.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER14-2569-001.
    Applicants: Alabama Power Company.
    Description: Compliance filing per 35: Attachment J-2 (SGIP) Filing
to Comply with Errata relating to Order No. 792 to be effective 8/1/
2014.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5230.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-539-000.
    Applicants: Puget Sound Energy, Inc.
    Description: Compliance filing per 35: Order No. 676-H Compliance
Filing to be effective 2/2/2015.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5225.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-540-000.
    Applicants: Alabama Power Company.
    Description: Compliance filing per 35: OATT Attachment O Filing in
Compliance with Order No. 676-H to be effective 2/2/2015.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5226.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-541-000.
    Applicants: Alabama Power Company.
    Description: Sec.  205(d) rate filing per 35.13(a)(2)(iii): OATT
Attachment T Amdendment Filing to be effective 12/1/2014.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5228.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-542-000.
    Applicants: Midcontinent Independent System Operator, Inc.
    Description: Sec.  205(d) rate filing per 35.13(a)(2)(iii): 2014-
12-01_Land Cost Recovery Filing to be effective 1/31/2015.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5236.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-543-000.
    Applicants: Black Hills Power, Inc.
    Description: Compliance filing per 35: Order No. 676-H Compliance
Filing to be effective 5/15/2015.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5258.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-544-000.
    Applicants: Alcoa Power Generating Inc.
    Description: Compliance filing per 35: Order No. 676-H Compliance
Filing to be effective 12/2/2014 under ER15-544 Filing Type: 80.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5261.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-545-000.
    Applicants: Black Hills/Colorado Electric Utility Co.
    Description: Compliance filing per 35: Order No. 676-H Compliance
Filing to be effective 5/15/2015.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5266.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-546-000.
    Applicants: Cheyenne Light, Fuel and Power Company.
    Description: Compliance filing per 35: Order No. 676-H Compliance
Filing to be effective 5/15/2015.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5271.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-547-000.
    Applicants: Avista Corporation.
    Description: Compliance filing per 35: Avista Corp OATT Order 676-H
Compliance Filing to be effective 2/2/2015.
    Filed Date: 12/2/14.
    Accession Number: 20141202-5000.
    Comments Due: 5 p.m. ET 12/23/14.

    Docket Numbers: ER15-548-000.
    Applicants: Midcontinent Independent System Operator, Inc.
    Description: Request for Temporary Waiver of Midcontinent
Independent System Operator, Inc.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5287.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-549-000.
    Applicants: Southern Company Services, Inc.
    Description: Request for Waiver of Southern Company Services, Inc.
(as Agent).
    Filed Date: 12/1/14.
    Accession Number: 20141201-5298.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-550-000.
    Applicants: New York Independent System Operator, Inc.
    Description: Request of the New York Independent System Operator
for Waivers of North American Energy Standards Board Wholesale Electric
Quadrant Standards under ER15-550.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5299.
    Comments Due: 5 p.m. ET 12/22/14.

    Docket Numbers: ER15-551-000.
    Applicants: Southwest Power Pool, Inc.
    Description: Sec.  205(d) rate filing per 35.13(a)(2)(iii): 2390R2
Westar Energy, Inc. NITSA and NOA to be effective 8/1/2014.
    Filed Date: 12/2/14.
    Accession Number: 20141202-5036.
    Comments Due: 5 p.m. ET 12/23/14.

    Docket Numbers: ER15-552-000.
    Applicants: Southwest Power Pool, Inc.
    Description: Sec.  205(d) rate filing per 35.13(a)(2)(iii): 1894R3
Westar Energy, Inc. NITSA and NOA to be effective 8/1/2014.

    Filed Date: 12/2/14.
    Accession Number: 20141202-5037.
    Comments Due: 5 p.m. ET 12/23/14.

    Docket Numbers: ER15-553-000.
    Applicants: San Diego Gas & Electric Company.
    Description: Second Annual Informational Filing of Fourth
Transmission Owner Rate Formula rate mechanism of San Diego Gas &
Electric Company.
    Filed Date: 12/1/14.
    Accession Number: 20141201-5301.
    Comments Due: 5 p.m. ET 12/22/14.

    The filings are accessible in the Commission's eLibrary system by
clicking on the links or querying the docket number.
    Any person desiring to intervene or protest in any of the above
proceedings must file in accordance with Rules 211 and 214 of the
Commission's Regulations (18 CFR Sec.  385.211 and Sec.  385.214) on or
before 5:00 p.m. Eastern time on the specified comment date. Protests
may be considered, but intervention is necessary to become a party to
the proceeding.
    eFiling is encouraged. More detailed information relating to filing
requirements, interventions, protests, service, and qualifying
facilities filings can be found at: http://www.ferc.gov/docs-filing/efiling/filing-req.pdf. For other information, call<PHONE_NUMBER>
(toll free). For TTY, call<PHONE_NUMBER>.

    Dated: December 2, 2014.
Nathaniel J. Davis, Sr.,
Deputy Secretary.
[FR Doc. 2014-28739 Filed 12-8-14; 8:45 am]
BILLING CODE 6717-01-P