[Federal Register Volume 78, Number 80 (Thursday, April 25, 2013)]
[Notices]
[Pages 24449-24455]
[FR Doc No: 2013-09770]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-69419; File No. SR-BOX-2013-01]

Self-Regulatory Organizations; BOX Options Exchange, LLC; Order
Approving a Proposed Rule Change, as Modified by Amendment No. 1,
Relating to Complex Orders

April 19, 2013.

I. Introduction

    On February 20, 2013, BOX Options Exchange LLC (the ``Exchange'')
filed with the Securities and Exchange Commission (the ``Commission''),
pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act'')\1\ and Rule 19b-4 thereunder,\2\ a proposed rule change
to amend the rules governing the trading of Complex Orders on BOX
Market LLC (``BOX''), the options trading facility of the Exchange. On
February 27, 2013, the Exchange filed Amendment No. 1 to the proposal.
The proposed rule change, as modified by Amendment No. 1, was published
for comment in the Federal Register on March 8, 2013.\3\ The Commission
received no comment letters regarding the proposed rule change, as
amended. This order approves the proposed rule change, as amended.
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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. 69027 (March 4,
2013), 78 FR 15093 (March 8, 2013) (``Notice'').
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II. Description

    BOX proposes to amend its rules governing the trading of Complex
Orders to: (i) Adopt definitions applicable to Complex Orders; (ii)
specify additional order types for Complex Orders; (iii) revise the
priority rules for Complex Orders; (iv) revise the rules governing the
execution of Complex Orders and establish a filtering process for
Complex Orders to assure that each leg of a Complex Order is executed
at a price that is equal to or better than the National Best Bid or
Offer (``NBBO'') and the BOX best bid or offer (``BBO'') for that
series; (v) provide for the generation of Legging Orders (as defined
below); (vi) describe the treatment of Legging Orders in the Price
Improvement Period (``PIP'') auction; (vii) provide for the generation
of Implied Orders (as defined below); (viii) delete or update
miscellaneous provisions and rules; and (ix) provide for the display of
Legging Orders, Complex Orders, and Implied Orders in BOX's proprietary
High Speed Vendor Feed (``HSVF'').

A. Definitions

    BOX proposes to amend BOX Rule 7240(a) to define a Complex Order as
any order involving the simultaneous purchase and/or sale of two or
more different options series in the same underlying security, for the
same account, in a ratio that is equal to or greater than one-to-three
(.333) and less than or equal to three-to-one (3.00) and for the
purpose of executing a particular investment strategy.\4\ BOX notes
that its proposed definition of Complex Order is consistent with the
definition of Complex Order in the rules of another options exchange,
and with the definition of Complex Trade for purposes of the trade-
through exception under Options Order Protection and Locked/Crossed
National Market System Plan.\5\ BOX also proposes to delete references
to Stock-Option Orders and Single Stock Future-Option Orders (``SFF-
Option Order'') in the definition of Complex Order because BOX does not
have these order types.\6\
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    \4\ BOX Rule 7240(a) currently defines a Complex Order as a
Spread Order, Straddle Order, Strangle Order, Combination Order,
Stock-Option Order, Single Stock Future-Option Order, Ratio Order,
Butterfly Spread Order, BOX Spread Order, and Collar Order.
    \5\ See ISE Rule 722(a)(1) (definition of Complex Order); and
ISE Rule 1900(d) and BOX Rule 1500(e) (definition of Complex Trade).
    \6\ See Notice, 78 FR at 15103. Similarly, BOX proposes to
delete IM-7240-1, which addresses Stock-Option Orders and SFF-Option
Orders. BOX noted that it will file a proposed rule change pursuant
to Section 19(b)(1) of the Act if it plans to provide for the
trading of Stock-Option Orders or SSF-Option Orders on BOX in the
future. See id.
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    In addition, BOX proposes to add the following defined terms to BOX
Rule 7240(a): Complex Order Strategy; cBBO; cNBB; cNBBO; cNBO; and
Complex Order Book.\7\ Complex Order Strategy or Strategy is proposed
to be defined as a particular combination of components of a Complex
Order and their ratios to one another.\8\ cBBO is proposed to be
defined as the best net bid and offer price for a Complex Order
Strategy based on the BBO on the BOX Book for the individual options
components of the Strategy. cNBBO is proposed to be defined as the best
net bid and offer price for a Complex Order Strategy based on the NBBO
for the individual options components of the Strategy.\9\ cNBB and cNBO
are proposed to be defined, respectively, as the best net bid price for
a Complex Order Strategy and the best net offer price for a Complex
Order Strategy, in each case based on the NBBO for the individual
options components of the Strategy. Complex Order Book is proposed to
be defined as the electronic book of Complex Orders maintained by the
BOX Trading Host. Finally, ``Central Order Book'' or ``BOX Book'' in
BOX Rule 100(a)(10), would be amended to clarify that these terms refer
to the electronic book of orders on each single option series
maintained by the BOX Trading Host.
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    \7\ See BOX Rule 7240(a).
    \8\ BOX will assign a strategy identifier to each Strategy.
    \9\ BOX also proposes to add references to the ``NBB'' and the
``NBO'' to the existing definition of ``NBBO'' in BOX Rule
100(a)(33). NBB and NBO are proposed to be defined as the national
best bid and the national best offer, respectively. See BOX Rule
100(a)(33). BOX believes that these definitions are necessary to
support the definitions of cNBB and cNBO in BOX Rule 7240(a). See
Notice, 78 FR at 15103.
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B. Order Types for Complex Orders

    BOX proposes to amend BOX Rule 7240(b)(4) to allow Complex Orders
to be entered not only as Fill-and-Kill orders, as currently permitted,
but also as Limit Orders, BOX-Top Orders, Market Orders, or Session
Orders, as defined in BOX Rule 7110.\10\ BOX notes that it currently
permits each of these order types for single option series.\11\ BOX
proposes to delete a provision allowing Complex Orders to be entered

as all-or-none orders because BOX does not have all-or-none orders.\12\
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    \10\ See BOX Rule 7420(b)(4)(i) and (ii).
    \11\ See Notice, 78 FR at 15098.
    \12\ See id.
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    As proposed, a BOX-Top Complex Orders will be executed at the best
price available in the market for the total quantity available from any
contra bid (offer).\13\ Any residual volume left after the partial
execution of a BOX-Top Complex Order will be converted automatically
into a limit order on the Complex Order Book at the net Strategy price
at which the original BOX-Top Complex Order was executed.\14\
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    \13\ See BOX Rule 7240(b)(4)(ii).
    \14\ See id.
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    BOX believes that Fill-and-Kill orders, Limit Orders, BOX-Top
Orders, and Session Orders provide valuable limitations on execution
price and time that may protect Participants and investors.\15\ In
addition, BOX notes that Session Orders reduce the risk of erroneous or
stale orders on the Complex Order Book if a Participant encounters
unforeseen systems issues with its connectivity to BOX.\16\ BOX
believes that allowing Complex Orders to be entered with these varying
order types will give Participants greater control and flexibility over
the manner and circumstances in which their orders may be executed,
modified, or cancelled, thereby protecting investors and contributing
to market efficiency.\17\
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    \15\ See Notice, 78 FR at 15106.
    \16\ See id.
    \17\ See id.
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C. Priority Rules for Complex Orders

1. Complex Orders with a One-to-One Ratio
    Currently, BOX Rule 7240(b)(2) provides that a Complex Order may be
executed at a total net debit or credit price with another
Participant's Complex Order without giving priority to bids or offers
in the marketplace that are no better than the bids or offers
comprising the total net debit or credit price, provided that, if one
of the bids or offers in the marketplace is a Customer Limit Order, the
price of at least one leg of the Complex Order must trade at a price
that is better than the corresponding bid or offer in the marketplace.
    BOX proposes to amend BOX Rule 7240(b)(2) to provide that, except
in the case of a Complex Order with a leg ratio other than one-to-one
(a ``Non-Standard Strategy''), a Complex Order may be executed at a net
credit or debit price with another Participant's Complex Order,
provided that at least one leg of the Complex Order trades at a price
that is better than the corresponding bid or offer in the marketplace
by a least one minimum trading increment, as set forth in BOX Rule
7240(b)(1) (i.e., one cent).\18\ BOX believes that giving priority at
the same price to all established interest on the BOX Book--Customer
and non-Customer--for the individual legs of a Complex Order represents
an improvement over the existing practice in the options markets, where
leg market interest has priority over a Complex Order at the same price
only if at least one of the bids and offers in the marketplace is a
Customer Limit Order.\19\ Because BOX will give priority to interest on
the BOX Book, no resting Complex Order with a one-to-one ratio will
trade before orders at the same price on the BOX Book for the component
legs of the Complex Order.\20\
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    \18\ See BOX Rule 7240(b)(2)(i). For a discussion of Non-
Standard Strategies, see infra Section II.C.2.
    \19\ See Notice, 78 FR at 15104.
    \20\ See Notice, 78 FR at 15105.
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2. Complex Order with a Non-Standard Strategy
    BOX proposes to amend Rule 7240(b)(3) to provide that a Complex
Order with a Non-Standard Strategy will execute against the bids and
offers on the BOX Book for the individual legs of the Strategy for all
of the quantity available at the best price in a permissible ratio
until the quantities remaining on the BOX Book are insufficient to
execute against the Complex Order.\21\ Following this execution against
the interest on the BOX Book, the Complex Order may execute against
another Complex Order, and the component legs of these Complex Orders
may trade at prices that are equal to the corresponding prices on the
BOX Book.\22\
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    \21\ See BOX Rule 7240(b)(2)(ii).
    \22\ See id. See Notice, 78 FR at 15097-15098, Example 5, for an
example of the execution of a Complex Order with a Non-Standard
Strategy.
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    Thus, a Complex Order with a Non-Standard Strategy would be able to
execute against another Complex Order at the same price as interest on
the BOX Book only after the Complex Order has executed against interest
on the BOX Book to the extent possible, i.e., until the remaining
quantities on the BOX Book are insufficient to execute against the
Complex Order. BOX notes that this process assures that interest on the
BOX Book will have priority over Complex Order interest at the same
price to the extent that there is sufficient quantity on the BOX Book
to execute against each leg of the Complex Order with a Non-Standard
Strategy.\23\ BOX believes that this process could prevent a locked
market on the Complex Order Book or the rejection of an incoming
Complex Order that is executable against a resting Complex Order.\24\
Without this process, BOX believes that otherwise executable Complex
Orders would lose execution opportunities without any compensating
benefit to interest on the BOX Book that is unable to interact with the
incoming Complex Order.\25\ BOX states, further, that the requirement
to execute one leg of a Complex Order at a price better than the
corresponding leg market price assumes not only that the leg market
provides a price at which the Complex Order could be executed, but also
that the leg market provides sufficient quantity to respect the ratio
of the Complex Order.\26\
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    \23\ See Notice, 78 FR at 15105.
    \24\ See id.
    \25\ See id.
    \26\ See id.
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3. Required Amount of Price Improvement
    BOX notes that on some options exchanges that provide auctions for
Complex Orders, a Complex Order may execute against another Complex
Order if one leg of the Complex Order trades at a price that is at
least one cent better than customer orders in the same series. On one
options exchange that has no auction for Complex Orders, a Complex
Order may execute against another Complex Order if one leg of the
Complex Order trades at a price that is better than Priority Customer
interest in that series by at least one minimum trading increment.
    Although BOX is not proposing to establish an auction for Complex
Orders at this time, BOX believes that it is consistent with the
protection of investors and the public interest to permit Complex
Orders (other than Complex Orders on Non-Standard Strategies \27\) to
execute against each other if one leg of the Complex Order trades at a
price that is better than the corresponding bid or offer on the BOX
Book by one cent, rather than the minimum trading increment, for
several reasons. First, BOX notes that it will always execute Complex
Orders first against interest on the BOX Book to the extent the Complex
Order can be executed in full or in a permissible ratio by that
interest. Second, BOX believes that one cent is a significant and
material improvement to customers. In this regard, BOX states that
various options mechanisms, such as BOX's PIP auction and the Nasdaq
Options

Market's (``NOM'') price improving order, have been implemented because
of the recognition that one cent is a significant and material
improvement to customers. Third, BOX notes that there is price
competition for Complex Orders on BOX driven by other features of the
proposal. In this regard, BOX believes that the generation of Legging
Orders (as discussed below) will provide enhanced price competition and
greater integration of the BOX Book and BOX Complex Order Book. In
addition, BOX notes that each leg of a Complex Order must be executed
at a price that is equal to or better than the NBBO for that series.
Fourth, BOX believes that permitting price improvement by one cent
rather than by the minimum trading increment could permit more active
Complex Order trading by allowing executions where participants may not
otherwise be willing to offer better prices in larger increments.
Finally, BOX notes that since the implementation of the Penny Pilot
Program, many of the options instruments involved in Complex Order
trading now have a minimum trading increment of one cent. As a result,
BOX believes that the effect of its proposal has already been
implemented in a significant number of options instruments involved in
Complex Order trading.
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    \27\ See supra Section II.C.1. for a discussion of the execution
of Complex Orders on Non-Standard Strategies (noting that the
Complex Order will first execute against interest on the BOX Book to
the extent possible, i.e., until the remaining quantities on the BOX
Book are insufficient to execute against the Complex Order, before
executing against another Complex Order).
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D. Execution of Complex Orders

    BOX Rule 7240(b)(3) currently states that Complex Orders will be
executed without consideration of any prices that might be available on
other exchanges trading the same options contracts. BOX proposes to
amend BOX Rule 7240(b)(3) to refer to prices on the same Strategy.
Specifically, BOX Rule 7240(b)(3), as amended, states that Complex
Orders will be executed without consideration of any prices on the same
Strategy that might be available on other exchanges. In addition, BOX
proposes to add several provisions to BOX Rule 7240(b)(3) to describe
the execution of Complex Orders on BOX. BOX Rule 7240(b)(3)(i) states
that Complex Orders will be executed automatically against bids and
offers on the Complex Order Book in price/time priority, provided that
Complex Orders will execute against each other only after bids and
offers at the same net price on the BOX Book for the individual legs of
the Complex Order have been executed.\28\ Complex Orders will be
executed automatically against bids and offers on the BOX Book for the
individual legs of the Complex Order to the extent that the Complex
Order can be executed in full or in a permissible ratio by such bids
and offers.\29\
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    \28\ However, as described above, a Complex Order with a Non-
Standard Strategy could execute against another Complex Order at the
same price as the corresponding leg market prices after the Complex
Order has executed against leg market interest until the quantities
remaining in the leg market are insufficient to execute against the
Complex Order. See also BOX Rule 7240(b)(2)(ii).
    \29\ See BOX Rule 7240(b)(3)(ii). See Notice, 78 FR at 15095,
Examples 1 and 2, for examples of the execution of Complex Orders
interest on the BOX Book and on the Complex Order Book.
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    BOX proposes to amend BOX Rule 7240(b)(3)(iii) to filter all
inbound Complex Orders to ensure that each leg of a Complex Order is
executed at a price that is equal to or better than the NBBO and the
BOX BBO for each component leg of the Complex Order.\30\ Under the
filtering process, if an inbound Complex Order is executable on BOX,
BOX will determine whether the potential execution price is equal to or
better than both the cNBBO and the cBBO and, if so, BOX will execute
the inbound Complex Order according to the priority described in the
preceding paragraph.\31\
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    \30\ See BOX Rule 7240(b)(3)(iii). See Notice, 78 FR 15096,
Example 3, for an example of the Complex Order NBBO filtering
process.
    \31\ See BOX Rule 7240(b)(3)(iii)(A). See also BOX Rule
7240(a)(3)(defining ``cNBBO'') and (1)(defining ``cBBO).
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    Under BOX Rule 7240(b)(3)(iii)(B), an inbound Complex Order that
would be executable on BOX at a price that is not equal to or better
than both the cNBBO and the cBBO will be exposed on the Complex Order
Book for a period of up to one second at a price that is equal to the
cNBB (in the case of a sell order) or the cNBO (in the case of a buy
order).\32\ Any executable opposite side orders received during the
exposure period, including interest on the BOX Book, will execute
immediately against the exposed Complex Order.\33\ Any unexecuted
quantity of the Complex Order remaining at the end of the exposure
period will be cancelled.\34\
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    \32\ See BOX Rule 7240(b)(3)(iii)(B).
    \33\ See id.
    \34\ See id.
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    Under BOX Rule 7240(b)(3)(iii), an inbound Complex Limit Order that
is not executable on BOX but is executable against the cNBBO will be
entered on the Complex Order Book.\35\ A BOX-Top Complex Order or a
market Complex Order that is not executable on BOX but is executable
against the cNBBO will be exposed on the Complex Order Book for a
period of up to one second at a price that is equal to the cNBB (in the
case of a sell order) or the cNBO (in the case of a buy order).\36\ Any
executable opposite side orders received during the exposure period,
including interest on the BOX Book, will execute immediately against
the exposed Complex Order.\37\ Any unexecuted quantity of the Complex
Order remaining at the end of the exposure period will be
cancelled.\38\ An inbound Complex Order that is not executable on BOX
and is not executable against the cNBBO will be entered on the Complex
Order Book.\39\
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    \35\ See BOX Rule 7240(b)(3)(iii)(C)(I).
    \36\ See BOX Rule 7240(b)(3)(iii)(C)(II).
    \37\ See id.
    \38\ See id.
    \39\ See BOX Rule 7240(b)(3)(iii)(D).
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    BOX believes that the requirement that each leg of a Complex Order
execute at a price that is equal to or better than the BOX BBO and the
NBBO for that series represents a step forward in the execution of
Complex Orders and improves upon the rules of other options
exchanges.\40\
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    \40\ See Notice, 78 FR at 15104.
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E. Legging Orders

1. Generation and Removal of Legging Orders; Ranking and Display
    BOX proposes to adopt BOX Rule 7240(c) relating to Legging Orders.
A Legging Order, which is a Limit Order on the BOX Book that represents
one side of a Complex Order, is a firm order that will be included in
the BOX BBO if it is equal to, or better than, the existing BOX
BBO.\41\ A Legging Order will be generated only for a Complex Order
with two legs and a one-to-one ratio, and only if the other leg of the
Complex Order can be executed on BOX at the NBBO for the series.\42\
The price of a Legging Order is the price at which the net price of the
Complex Order can be achieved when the other leg of the Complex Order
is executed against the best displayed bid or offer on the BOX Book at
a price that is equal to or better than the NBBO.\43\ Although a
Legging Order may be generated at a price that is not equal to or
better than the NBBO, it will be eligible for execution only after
being filtered against the NBBO.\44\
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    \41\ See BOX Rule 7240(c)(1).
    \42\ See id.
    \43\ See BOX Rule 7240(c)(2)(i).
    \44\ See BOX Rule 7240(c)(3).
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    Except in cases in which a Legging Order locks or crosses the
opposite side NBBO, a Legging Order will be priced and ranked on the
BOX Book at its generated price to buy (sell) and displayed at the
minimum trading increment permitted for the series below (above) the
price of the Legging Order.\45\ Under BOX Rule 7240(c)(2)(i), a Legging
Order that would lock or cross the opposite side NBBO will be ranked on

the BOX Book at the locking price and displayed at one minimum trading
increment below the current NBO (for bids) or one minimum trading
increment above the current NBB (for offers) for the applicable series
(``display price sliding'').\46\ If the NBO increases or the NBB
decreases, as applicable, the ranking and display prices of the Legging
Order will be adjusted to conform with BOX Rule 7240(c)(2)(i) and will
be displayed at the most aggressive permissible price.\47\ The
recalculation of the display and ranking prices for a Legging Order
will be performed to the extent it achieves a more aggressive price,
and the ranked and displayed prices of the Legging Order may be
adjusted one or more times as required by changes to the prevailing
NBBO.\48\ A Legging Order subject to display price-sliding will retain
its original generated price irrespective of the price(s) at which the
Legging Order is ranked and displayed.\49\ In addition, all Legging
Orders that are re-ranked and re-displayed pursuant to the display-
price sliding process will retain their priority, as compared to other
Legging Orders subject to display-price sliding, based upon the time
the Exchange received the Complex Orders from which the Legging Orders
were generated.\50\
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    \45\ See BOX Rule 7240(c)(1).
    \46\ See Notice, 78 FR at 15099, Example 6, for an example of
the operation of the display-price sliding process.
    \47\ See BOX Rule 7240(c)(2)(ii).
    \48\ See BOX Rule 7240(c)(2)(ii) and (iii).
    \49\ See BOX Rule 7240(c)(2)(ii).
    \50\ See id.
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    BOX proposes that, under BOX Rule 7240(b)(4) a Legging Order will
be removed automatically from the BOX Book if: (i) the execution of the
Legging Order would no longer achieve the net price of the Complex
Order when the other leg is executed against the best displayed bid or
offer on the BOX Book; (ii) the other component leg of the Complex
Order cannot be executed at a price equal to the NBBO; (iii) the
Complex Order is executed in full or in part; or (iv) the Complex Order
is cancelled or modified.\51\
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    \51\ See BOX Rule 7240(c)(4).
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2. Execution of Legging Orders
    BOX proposes that, under BOX Rule 7240(c), a Legging Order will be
executed at its generated price and only after all other executable
orders and quotes at the same price are executed in full.\52\ When a
Legging Order is executed, the other component leg of the Complex Order
will be executed automatically against the displayed BOX BBO.\53\
Executions of a Legging Order generated by multiple Complex Orders at
the same price will be allocated among the Complex Orders in time
priority based on the respective timestamps of the Complex Orders.\54\
An incoming order that is executable against the Legging Order will be
executed at the Legging Order's generated price.\55\
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    \52\ See BOX Rule 7240(c)(1) and (3). See Notice, 78 FR at
15100, Examples 8 and 9, for examples of the execution and priority
of Legging Orders.
    \53\ See BOX Rule 7240(c)(3).
    \54\ See id. See Notice, 78 FR at 15100, Example 10, for an
example of the allocation of orders when a Legging Order is
generated from multiple Complex Orders.
    \55\ See BOX Rule 7240(c)(1).
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    BOX believes that Legging Orders will provide additional execution
opportunities for Complex Orders without negatively impacting investors
in the regular market.\56\ BOX also believes that the generation of
Legging Orders may enhance execution quality for investors in the
regular market by improving the price and/or size of the BOX BBO and by
providing additional execution opportunities for resting orders on the
BOX Book.\57\
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    \56\ See Notice, 78 FR at 15098.
    \57\ See id.
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3. Execution of a BOX-Top Order in a Non-Penny Series Against a Legging
Order
    BOX proposes to amend BOX Rule 7110(c)(2) to address a result that
occurs when a BOX-Top Order that is not a Complex Order executes
against a Legging Order in a one cent increment in a series traded in a
larger increment. Under current BOX Rule 7110(c)(2), BOX-Top Orders
that are entered into the BOX Book are executed at the best price
available in the market for the total quantity available from any
contra bid (offer), and any residual volume is automatically converted
to a limit order at the price at which the BOX-Top Order was
executed.\58\ BOX proposes that, under BOX Rule 7110(c)(2), as amended,
when a BOX-Top Order that is not a Complex Order executes against a
Legging Order in a one-cent increment in a series that trades in a
larger increment, the remaining BOX-Top Order quantity will be priced,
ranked, and displayed on the BOX Book at the nearest increment tick
permitted for the series, rounded up (down) in the case of a sell (buy)
order.\59\
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    \58\ See Notice, 78 FR at 15101.
    \59\ See id. and BOX Rule 7110(c)(2). Example 11, 78 FR at
15101, describes the partial execution of a BOX-Top Complex Order in
a non-penny series against a Legging Order.
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F. Legging Orders in the PIP

    BOX proposes to amend BOX Rule 7150 to describe the treatment of
Legging Orders in the PIP. Legging Orders generated during a PIP will
be treated in the same manner as Unrelated Orders received during a PIP
and will interact with orders in the PIP in the same manner as
Unrelated Orders.\60\ However, at the conclusion of a PIP, a Legging
Order may execute against the PIP Order only after all other quotes and
orders at the same price, including the Primary Improvement Order and
any other Improvement Orders, have been executed in full, except in the
case of a Primary Improvement Order with a ``surrender quantity,'' as
provided in BOX Rule 7150(g)(5).\61\
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    \60\ See Notice, 78 FR at 15107. An Unrelated Order is a non-
Improvement Order entered into the BOX market during a PIP. See BOX
Rule 7150(a).
    \61\ See BOX Rule 7150(f)(3) and Notice, 78 FR at 15101. Example
12, 78 FR at 15101-15102, provides an example of the execution of a
Legging Order and a Primary Improvement Order with a surrender
quantity.
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    Like an Unrelated Order, a Legging Order must be executable to
prematurely terminate the PIP or execute with the PIP Order.\62\ The
generation of a Legging Order on the same side as the PIP Order with a
price that is executable against the opposite side BBO, an Improvement
Order, a Legging Order, or the Primary Improvement Order, will cause
the PIP to terminate early.\63\ The generation of a Legging Order on
the opposite side of the PIP Order that could execute against the
opposite side NBBO, BBO, or a Legging Order will trade against the PIP
Order at one cent better than the NBBO if the BOX BBO is equal to the
NBBO, or at the NBBO if the BOX BBO is worse than the NBBO.\64\
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    \62\ See Notice, 78 FR at 15102.
    \63\ See id and BOX Rule 7150(i). Examples 13 and 14, 78 FR at
15102, demonstrate the execution of orders when an executable
Legging Order is on the same side as a PIP Order.
    \64\ See Notice, 78 FR at 15102, and BOX Rule 7150(j). Example
15, 78 FR at 15102, demonstrates the execution of orders when an
executable Legging Order is on the opposite side of a PIP Order.
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G. Implied Order

    BOX proposes to adopt BOX Rule 7240(d) to provide for the
generation of Implied Orders. An Implied Order is a Complex Order at
the cNBBO that is derived from orders at the BBO on the BOX Book for
each component leg of a Strategy, provided that each component leg is
at a price that is equal to the NBBO for that series.\65\ BOX will
generate Implied Orders only for Strategies with two legs and a one-to-
one ratio.\66\ An Implied Order will be

removed when it is no longer at the cNBBO, and a new Implied Order will
be generated, provided there is interest on the BOX Book to generate an
Implied Order at the new cNBBO and each component leg is at a price
that is equal to the NBBO for that series.\67\ An Implied Order will be
removed if either component leg of the order is executed, in full or in
part, or cancelled.\68\
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    \65\ See BOX Rule 7240(d)(1).
    \66\ See BOX Rule 7240(d)(3). BOX will not generate an Implied
Order for a series going through NBBO exposure pursuant to BOX Rule
7130(b), or using orders in the PIP, the Facilitation Auction, or
the Solicitation Auction. See BOX Rule 7240(d)(4).
    \67\ See BOX Rule 7240(d)(2).
    \68\ See BOX Rule 7240(d)(5).
---------------------------------------------------------------------------

    An Implied Order on the Complex Order Book will execute when a
Complex Order matches the Implied Order.\69\ An Implied Order has
priority over a resting Complex Order at the same price, and Implied
Orders at the same price will execute in time priority according to the
order entry time of each component leg of the order on the BOX
Book.\70\
---------------------------------------------------------------------------

    \69\ See BOX Rule 7240(d)(6)(i).
    \70\ See BOX Rule 7240(d)(6)(ii) and (iii). See Notice, 78 FR
15096, Example 4, for an example of the generation and execution of
an Implied Order.
---------------------------------------------------------------------------

    BOX believes that the generation of Implied Orders should
facilitate additional transactions and interaction between orders on
the Complex Order Book and orders on the BOX Book, and will benefit
market makers, traders, and retail customers by enhancing the
likelihood and efficiency of trade execution.\71\ BOX also believes
that Implied Orders will provide additional execution opportunities for
Complex Orders and interest on the BOX Book.\72\ BOX believes, further,
that generating Implied Orders only for Strategies with two legs and a
one-for-one ratio will produce a manageable and useful set of possible
Implied Orders.\73\ BOX represents that it will closely monitor the
generation of Implied Orders to ensure that they do not negatively
impact system capacity and performance.\74\
---------------------------------------------------------------------------

    \71\ See Notice, 78 FR at 15105-15106.
    \72\ See Notice, 78 FR at 15106.
    \73\ See id.
    \74\ See id.
---------------------------------------------------------------------------

H. Additional Changes

    BOX Rule 7240(b)(1) currently provides that bids and offers on
Complex Orders may be expressed in any decimal price pursuant to BOX
Rule 7050 (Minimum Trading Increments), and the options leg(s) of a
stock-option order may be executed in one cent increments, regardless
of the minimum increments otherwise applicable to the individual option
legs of the order. Current BOX Rule 7240(b)(1) also provides that
Complex Orders expressed in net price increments that are not multiples
of the minimum increment are not entitled to the same priority as
Complex Orders expressed in increments that are multiples of the
minimum increment.
    BOX proposes to retain the provision that provides that bids and
offers on Complex Orders may be expressed in any decimal price, and the
leg(s) of a Complex Order maybe executed in one cent increments,
regardless of the minimum increments otherwise applicable to the
individual legs of the order. In addition, BOX proposes to amend BOX
Rule 7240(b)(1) in two ways. First, as discussed above, BOX proposes to
delete the reference to stock-option order as BOX does not have stock-
option orders. Second, BOX proposes to delete the reference to Complex
Orders priced in increments that are not multiples of the minimum
increment because BOX believes that this provision is unnecessary if
Complex Orders may be expressed in any decimal price.
    Currently BOX Rule 7240(b)(5) prohibits a Complex Order from being
submitted to the PIP or submitted to BOX as a Directed Order. BOX
proposes to renumber BOX Rule 7240(b)(5) as BOX Rule 7240(b)(4)(iii)
but not change the prohibition under the current Rule. BOX also
proposes to delete BOX Rule 7240(c), which describes a manual process
for establishing a Strategy on BOX.\75\
---------------------------------------------------------------------------

    \75\ According to the Exchange, BOX Rule 7240(c) will be
unnecessary following the implementation of the new BOX
functionality for Complex Orders that will allow Participants to
create a Strategy by submitting a Complex Order for that Strategy to
BOX.
---------------------------------------------------------------------------

I. Display of Legging Orders, Complex Orders, and Implied Orders in the
HSVF

    BOX proposes to amend BOX Rule 7130(a)(2)(iv) to provide that BOX's
proprietary HSVF vendor feed will include the best-ranked Legging Order
and the five best-priced Complex Orders and the best-ranked Implied
Order (if any) for each Complex Order Strategy. BOX makes the HSVF
available to all market participants at no charge.\76\ BOX believes
that adding information about Legging Orders, Complex Orders, and
Implied Orders to the HSVF could improve market quality, attract order
flow, and increase transparency.\77\
---------------------------------------------------------------------------

    \76\ See Notice, 78 FR at 15107. See also BOX Rule 7130(a)(2).
    \77\ See id.
---------------------------------------------------------------------------

J. BOX Trading System Capacity

    BOX represents that it has analyzed the potential for additional
message traffic that could result from the proposal and has concluded
that it has sufficient system capacity to handle the implementation of
the proposed changes without degrading system performance.\78\ BOX
represents that it will closely monitor the generation of both Implied
Orders and Legging Orders to ensure that they do not negatively impact
system capacity and performance.\79\ BOX notes that although the
generation of Implied Orders and Legging Orders will require additional
systems processes, BOX believes that the impact of these activities
will be negligible under all but the most severe market conditions.\80\
Accordingly, BOX believes that it possesses sufficient capacity to meet
investor demand.\81\
---------------------------------------------------------------------------

    \78\ See Notice, 78 FR at 15103.
    \79\ See id.
    \80\ See Notice, 78 FR at 15103-15104.
    \81\ See Notice, 78 FR at 15104.
---------------------------------------------------------------------------

III. Discussion and Commission 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.\82\ In particular, for the reasons discussed below, the
Commission finds that the proposed rule change is consistent with
Section 6(b)(5) of the Act,\83\ which requires, among other things,
that the rules of a national securities exchange be designed 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.
---------------------------------------------------------------------------

    \82\ 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).
    \83\ 15 U.S.C. 78f(b)(5).

---------------------------------------------------------------------------

A. Definitions

    The proposal revises or adopts several defined terms used in BOX's
rules. The Commission notes that BOX's new definition of Complex Order
\84\ is consistent with the definition of Complex Order adopted by
other options exchanges.\85\ The Commission also believes that
eliminating references to Stock-Option Orders and Stock-SSF Orders in
the definition of Complex Order could eliminate potential confusion and
help to assure the accuracy of BOX's rules because BOX does not have
these order types.\86\ Similarly, the Commission believes that the
revised definition of Central Order Book or BOX Book and the new
definition of Complex Order Book are designed to clearly identify and
distinguish between, respectively, the electronic book of orders on
single option series and the electronic book of Complex Orders.\87\ The
Commission believes that the definitions of NBB and NBO would identify
these terms and specify BOX's method for calculating them, i.e.,
through information that BOX receives from OPRA.\88\ In addition, BOX
states that the definitions of NBB and NBO are necessary to support its
definitions of cNBB and cNBO.\89\ The Commission notes that BOX's
definitions of cBBO, cNBBO, and Complex Order Strategy are comparable
to definitions adopted by another options exchange.\90\
---------------------------------------------------------------------------

    \84\ See BOX Rule 7240(a)(5).
    \85\ See, e.g., ISE Rule 721(a)(1) and CBOE Rule 6.53C(a)(1).
    \86\ See Notice, 78 FR at 15103. BOX acknowledged that it must
file a proposed rule change with the Commission pursuant to Section
19(b)(1) of the Act if it plans to provide for the trading of Stock-
Option Order or SSF-Option Orders on BOX in the future. See id.
    \87\ See BOX Rules 100(a)(10) and 7240(a)(6).
    \88\ See BOX Rule 100(a)(33).
    \89\ See Notice, 78 FR at 15103.
    \90\ See Phlx Rule 1080, Commentary .08(a)(ii), (iv), and (vi).
---------------------------------------------------------------------------

B. Order Types for Complex Orders

    The Commission believes that amending BOX Rule 7240(b)(4) to allow
Complex Orders to be entered as Limit Orders, BOX-Top Orders, Market
Orders, and Session Orders could provide market participants with
flexibility in trading Complex Orders on BOX and provide a means to
limit execution price or time.\91\ The Commission notes, in addition,
that BOX currently permits each of these orders types for orders on
single option series.\92\ The Commission believes that deleting the
reference in BOX Rule 7240(b)(4) to all-or-none orders, an order type
that BOX does not have, could eliminate potential confusion and help to
assure the accuracy of BOX's rules.
---------------------------------------------------------------------------

    \91\ See Notice, 78 FR at 15106.
    \92\ See Notice, 78 FR at 15106, and BOX Rule 7110.
---------------------------------------------------------------------------

C. Priority Rules for Complex Orders

    As described more fully above, BOX Rule 7240(b)(2) addresses the
priority of Complex Orders. The Commission believes that BOX Rule
7240(b)(2)(i), which addresses the priority of Complex Orders with a
one-to-one ratio, is designed to protect the priority of customer and
non-customer established interest in the leg market by providing that a
Complex Order with a one-to-one ratio that trades with another Complex
Order must execute at a price that is better than established interest
in the leg market by one penny.
    The Commission also believes that BOX Rule 7240(b)(2)(ii), which
applies to Complex Orders with a Non-Standard Strategy, is designed to
protect the priority of orders on the BOX Book by requiring a Complex
Order to execute first against interest on the BOX Book at the best
price to the extent possible, and only then permitting Complex Orders
to execute against each other at that price. Thus, following the
executions against the best-priced interest on the BOX Book, a Complex
Order would no longer be executable against interest on the BOX Book at
the best price because the BOX Book would lack sufficient quantity to
fill the Complex Order at a permissible ratio at that price.\93\
---------------------------------------------------------------------------

    \93\ As BOX notes, orders are executable against each other only
when both the price and the quantity of the orders match. See
Notice, 78 FR at 15097.
---------------------------------------------------------------------------

D. Execution of Complex Orders

    The Commission notes that BOX Rule 7240(b)(3), as amended, which
will allow a Complex Order to be executed without consideration of the
prices on a Strategy that might be available on other exchanges, is
consistent with the rules of another options exchange.\94\
---------------------------------------------------------------------------

    \94\ See CBOE Rules 6.53C(c)(ii) and (d)(v) (allowing complex
orders submitted to the Complex Order Book and the Complex Order
Auction to be executed without consideration to the prices of the
same complex orders that might be available on other exchanges).
---------------------------------------------------------------------------

    BOX Rules 7240(b)(3)(i) and (ii) provide that Complex Orders will
be executed in price/time priority and that, at the same net price, a
Complex Order will execute first against interest on the BOX Book to
the extent that the Complex Order can be executed in full or in a
permissible ratio by interest on the BOX Book. The Commission notes
that these provisions are designed to protect the priority of interest
on the BOX Book by requiring a Complex Order to execute first against
interest on the BOX Book to the extent possible before executing
against another Complex Order at the same price.
    Under BOX Rule 7240(b)(3)(iii), all inbound Complex Orders will be
filtered to ensure that each leg of a Complex Order will be executed at
a price that is equal to or better than the NBBO and the BOX BBO for
each component series of the Complex Order. The Commission previously
approved BOX's NBBO filtering process for orders for individual options
series.\95\ The Commission believes that BOX's filtering process for
Complex Orders could benefit investors by ensuring that no leg of a
Complex Order trades at a price that is worse than the BOX BBO and the
NBBO for that series.
---------------------------------------------------------------------------

    \95\ See BOX Rule 7310(b)(3) and Securities Exchange Act Release
No. 49068 (January 13, 2004), 69 FR 2775 (January 20, 2004) (order
approving File No. SR-BSE-2002-15).
---------------------------------------------------------------------------

E. Legging Orders

1. Generation, Display, and Execution of Legging Orders
    As described more fully above, BOX proposes to provide for the
generation of Legging Orders on behalf of certain Complex Orders. The
Commission believes that Legging Orders could facilitate the execution
of Complex Orders on BOX by increasing the opportunities for Complex
Orders to execute against interest in the leg market, thereby
benefitting investors seeking to execute Complex Orders. In addition,
the Commission believes that Legging Orders could benefit participants
in the leg market by providing additional liquidity, and potentially
more favorable executions, for leg market interest. The Commission
notes that it previously approved a similar proposal by another options
exchange to implement Legging Orders.\96\
---------------------------------------------------------------------------

    \96\ See Securities Exchange Act Release No. 66234 (January 25,
2012), 77 FR 4852 (January 31, 2012) (order approving File No. SR-
ISE-2011-82).
---------------------------------------------------------------------------

    The Commission notes that, on BOX, a Legging Order may be generated
in a $0.01 increment in an options series that trades in larger
increments. A Legging Order in a non-penny series will be priced and
ranked on the BOX Book at its generated price to buy (sell) but will be
displayed at the minimum trading increment permitted for the series
below (above) the price of the Legging Order (except as may be
described in Section II.E.1 above).\97\ The

Commission believes that Legging Orders in non-penny classes would
allow orders to be executed at a better price than would otherwise be
available--inside the disseminated best bid and offer for the
security--potentially resulting in better executions for investors.
---------------------------------------------------------------------------

    \97\ See BOX Rule 7240(c)(1). The Commission notes that Price
Improving Orders on NOM also may be entered at a price that is
smaller than the minimum price variation for the series and are
rounded to the nearest minimum price variation for display. See NOM
Rules, Chapter VI, Section 1(e)(6). See also Securities Exchange Act
Release No. 57478 (March 12, 2008), 73 FR 14521 (March 18, 2008)
(order approving File Nos. SR-NASDAQ-2007-004 and SR-NASDAQ-2007-
080).
---------------------------------------------------------------------------

2. Display Price-Sliding Process
    As described more fully above, a Legging Order that would lock or
cross the opposite side NBBO will be ranked on the BOX Book at the
locking price and displayed at one minimum trading increment below the
current NBO (for bids) or one minimum trading increment above the
current NBB (for offers) for the applicable series.\98\ The ranked and
displayed prices of a Legging Order subject to display-price sliding
may be adjusted one or more times as required by changes to the
prevailing NBBO.\99\ The Commission notes that BOX's display price-
sliding process for Legging Orders is consistent with the display-price
sliding process of another options market, which the Commission has
approved.\100\ The Commission notes, further, that Rule 608(c) of
Regulation NMS \101\ requires BOX to comply with and enforce compliance
by its members with the Options Order Protection and Locked/Crossed
Markets Plan, including the requirement to avoid displaying locked and
crossed markets.\102\ The Commission believes that BOX's display-price
sliding process for Legging Orders is designed to help assure
compliance with this requirement.
---------------------------------------------------------------------------

    \98\ See BOX Rule 7240(c)(2)(i).
    \99\ See BOX Rule 7240(c)(2)(ii).
    \100\ See BATS Rule 21.1(h) and Securities Exchange Act Release
No. 61419 (January 26, 2010), 75 FR 5157 (February 1, 2010) (File
No. SR-BATS-2009-31) (order approving rules governing options
trading on BATS Options Exchange).
    \101\ 17 CFR 242.608(c).
    \102\ See Options Order Protection and Locked/Crossed National
Market System Plan, Securities Exchange Act Release No. 60405 (July
30, 2009), 74 FR 39362 (August 6, 2009).
---------------------------------------------------------------------------

3. Execution of a Legging Order Against a BOX-Top Order
    Under BOX Rule 7110(c)(2), as amended, when a BOX-Top Order in a
non-penny series executes in part against a Legging Order in a one-cent
increment, the remaining quantity of the BOX-Top Order will be priced,
ranked, and displayed on the BOX Book at the nearest increment tick
permitted for the series, rounded up (down) in the case of a sell (buy)
order. The Commission believes that this provision could help to
preserve the intent of the sender of the BOX-Top Order to limit the
price at which its order can be executed while assuring that the
remaining quantity of the BOX-Top Order is priced, ranked, and
displayed on the BOX Book in a permissible trading increment.

F. Legging Orders in the PIP

    Although Complex Orders may not be submitted to the PIP,\103\
Legging Orders may participate in the PIP. At the conclusion of a PIP,
a Legging Order will cede priority to all other executable orders and
quotes at the same price, including the Primary Improvement Order and
any other Improvement Orders, except that a Legging Order on the same
side and at the same price as the Primary Improvement Order could
receive an allocation if the Primary Improvement Order includes a
surrender quantity.\104\ The Commission notes that the priority
treatment of Legging Orders in the PIP is consistent with the priority
treatment of Legging Orders outside of the PIP, which are executed only
after all other executable orders and quotes at the same price are
executed in full.\105\
---------------------------------------------------------------------------

    \103\ See BOX Rule 7240(b)(4)(iii).
    \104\ See BOX Rule 7240(c)(2)(ii).
    \105\ See BOX Rule 7240(c)(3).
---------------------------------------------------------------------------

    BOX Rules 7150(i) and (j), as amended, identify circumstances in
which a Legging Order, like an Unrelated Order, could cause a PIP to
terminate early. BOX represents that Legging Orders generated during a
PIP will be treated in the same manner as Unrelated Orders received
during a PIP are treated currently and will interact with orders in the
PIP in the same manner as Unrelated Orders.\106\ The Commission
previously has found the treatment of Unrelated Orders received during
the PIP to be consistent with the Act.\107\
---------------------------------------------------------------------------

    \106\ See Notice, 78 FR at 15107.
    \107\ See Notice, 78 FR at 15107 and Securities Exchange Act
Release No. 55415 (March 7, 2007), 72 FR 11411 (March 13, 2007)
(order approving File No. SR-BSE-2006-03).
---------------------------------------------------------------------------

G. Implied Orders

    As described more fully above, BOX proposes to provide for Implied
Orders. The Commission believes that Implied Orders could benefit
investors by providing additional execution opportunities for both
Complex Orders and interest on the BOX Book. In addition, the
Commission believes that Implied Orders could facilitate interaction
between the Complex Order Book and the BOX Book, potentially resulting
in a more competitive and efficient market, and better executions for
investors.

H. Additional Changes

    The proposal deletes BOX Rule 7240(c), which refers to a manual
process for establishing a Strategy that will no longer be necessary
following the implementation of BOX's new Complex Order functionality,
and IM-7240-1, which addresses Stock-Option Orders and SSF-Option
Orders that, according to BOX, do not currently trade on the Exchange.
The Commission believes that deleting these provisions could help to
assure the accuracy of BOX's rules and eliminate potential confusion.
In addition, the Commission notes that BOX Rule 7240(b)(1), as amended,
regarding the minimum trading increment for Complex Orders, is
consistent with rules adopted by other options exchanges.\108\
---------------------------------------------------------------------------

    \108\ See, e.g., ISE Rule 722(b)(1) and NYSE MKT Rule 980NY,
Commentary .01.
---------------------------------------------------------------------------

I. Display of Legging Orders, Complex Orders, and Implied Orders in the
HSVF

    BOX proposes to include information regarding Legging Orders,
Complex Orders, and Implied Orders in its proprietary HSVF vendor feed,
which BOX makes available to all market participants at no charge.\109\
The Commission believes that including this additional information in
the HSVF could protect investors and the public interest by increasing
the transparency of BOX's market and facilitating price discovery.
---------------------------------------------------------------------------

    \109\ See BOX Rule 7130(a)(2) and (a)(2)(iv) and Notice, 78 FR
at 15107.
---------------------------------------------------------------------------

IV. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\110\ that the proposed rule change (SR-BOX-2013-01), as amended,
is approved.
---------------------------------------------------------------------------

    \110\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\111\
---------------------------------------------------------------------------

    \111\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Elizabeth M. Murphy,
Secretary.
[FR Doc. 2013-09770 Filed 4-24-13; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register: May 14, 2007 (Volume 72, Number 92)]
[Notices]
[Page 27154-27155]
[DOCID:fr14my07-64]

-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

Proposed Collection; Comment Request

Upon written request, copies available from: Securities and Exchange
Commission, Office of Filings and Information Services, Washington, DC
20549.

Extension: Rule 6a-4; SEC File No. 270-496; OMB Control No. 3235-
0554.

    Notice is hereby given that pursuant to the Paperwork Reduction Act
of 1995,\1\ the Securities and Exchange Commission (``Commission'') is
soliciting comments on the collection of information summarized below.
The Commission plans to submit this existing collection of information
to the Office of Management and Budget for extension and approval.
---------------------------------------------------------------------------

    \1\ 44 U.S.C. 3501 et seq.
---------------------------------------------------------------------------

    Section 6 of the Securities Exchange Act of 1934 (``Act'') \2\ sets
out a framework for the registration and regulation of national
securities exchanges. Under the Commodity Futures Modernization Act of
2000, a

futures market may trade security futures products by registering as a
national securities exchange. Rule 6a-4\3\ sets forth these
registration procedures and directs futures markets to submit a notice
registration on Form 1-N. Form 1-N calls for information regarding how
the futures market operates, its rules and procedures, its criteria for
membership, its subsidiaries and affiliates, and the security futures
products it intends to trade. Rule 6a-4 also would require entities
that have submitted an initial Form 1-N to file: (1) Amendments to Form
1-N in the event of material changes to the information provided in the
initial Form 1-N; (2) periodic updates of certain information provided
in the initial Form 1-N; (3) certain information that is provided to
the futures market's members; and (4) a monthly report summarizing the
futures market's trading of security futures products. The information
required to be filed with the Commission pursuant to Rule 6a-4 is
designed to enable the Commission to carry out its statutorily mandated
oversight functions and to ensure that registered and exempt exchanges
continue to be in compliance with the Act.
---------------------------------------------------------------------------

    \2\ 15 U.S.C. 78f.
    \3\ 17 CFR 240.6a-4.
---------------------------------------------------------------------------

    The respondents to the collection of information are futures
markets.
    The Commission estimates that the total annual burden for all
respondents to provide the amendments and periodic updates under Rule
6a-4 would be 105 hours (15 hours/respondent per year x seven
respondents) and $10,066 ($1438/response x seven responses/year). The
Commission estimates that the total annual burden for the filing of the
supplemental information and the monthly reports required under Rule
6a-4 would be 87.5 hours (25 filings/respondent x seven respondents x
0.5 hours/response). The SEC estimates that the total annual cost for
all supplemental filings would be $3675 (25 filings/respondent per year
x seven respondents x $21/response).
    Written comments are invited on: (a) Whether the proposed
collection of information is necessary for the proper performance of
the functions of the agency, including whether the information shall
have practical utility; (b) the accuracy of the agency's estimate of
the burden of the proposed collection of information; (c) ways to
enhance the quality, utility, and clarity of the information to be
collected; and (d) ways to minimize the burden of the collection of
information on respondents, including through the use of automated
collection techniques or other forms of information technology.
Consideration will be given to comments and suggestions submitted in
writing within 60 days of this publication.
    Comments should be directed to: R. Corey Booth, Director/Chief
Information Officer, Securities and Exchange Commission, C/O Shirley
Martinson, 6432 General Green Way, Alexandria, VA 22312 or send an e-
mail to<EMAIL_ADDRESS>Comments must be submitted within 60
days of this notice.

     Dated: May 7, 2007.
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7-9180 Filed 5-11-07; 8:45 am]

BILLING CODE 8010-01-P


[Federal Register Volume 80, Number 199 (Thursday, October 15, 2015)]
[Notices]
[Pages 62120-62121]
[FR Doc No: 2015-26152]

=======================================================================
-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-76111; File No. SR-ICC-2015-013]

Self-Regulatory Organizations; ICE Clear Credit LLC; Order
Approving Proposed Rule Change To Provide for the Clearance of
Additional Western European Sovereign Single Names

October 8, 2015.

I. Introduction

    On July 6, 2015, ICE Clear Credit LLC (``ICC'') 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 (SR-
ICC-2015-013) to provide the basis for ICC to clear additional Standard
Western European Sovereign credit default swap contracts (``SWES
Contracts''). The proposed rule change was published for comment in the
Federal Register on July 21, 2015.\3\ The Commission did not receive
comments on the proposed rule change. On September 3, 2015, the
Commission extended the time period in which to either approve,
disapprove, or institute proceedings to determine whether to disapprove
the proposed rule change to October 19, 2015.\4\ For the reasons
discussed below, the Commission is approving the proposed rule change.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 34-75456 (July 15,
2015), 80 FR 43146 (July 21, 2015) (SR-ICC-2015-013).
    \4\ Securities Exchange Act Release No. 34-75836 (September 3,
2015), 80 FR 54627 (September 10, 2015) (SR-ICC-2015-013).
---------------------------------------------------------------------------

II. Description of the Proposed Rule Change

    The purpose of the proposed rule change is to adopt rules that will
provide the basis for ICC to clear additional SWES Contracts. ICC
currently clears seven SWES Contracts: The Republic of Ireland, the
Italian Republic, the Portuguese Republic, the Kingdom of Spain, the
Kingdom of Belgium, the Republic of Austria, and the Kingdom of the
Netherlands. ICC proposes to revise subchapter 26I (Standard Western
European Sovereign (``SWES'') Single Name) of its Rules to provide for
the clearance of the additional SWES Contracts by modifying Rule 26I-
102 to include the Federal Republic of Germany, the French Republic,
and the United Kingdom of Great Britain and Northern Ireland in the
list of specific Eligible SWES Reference Entities to be cleared by ICC.
ICC plans to offer these additional SWES Contracts on the 2003 and 2014
ISDA Credit Derivatives Definitions. ICC stated in its filing that
these additional SWES Contracts have terms consistent with the other
SWES Contracts approved for clearing at ICC and governed by subchapter
26I of the ICC Rules, namely the Republic of Ireland, the Italian
Republic, the Portuguese Republic, the Kingdom of Spain, the Kingdom of
Belgium, the Republic of Austria, and the Kingdom of the Netherlands.
    In addition, ICC stated in its filing that the proposed change is
dependent on the approval and implementation of the proposed rule
change in SR-ICC-2015-009 and therefore, the text of the proposed rule
change in Exhibit 5 should be read in conjunction with the proposed
rule change in SR-ICC-2015-009.\5\
---------------------------------------------------------------------------

    \5\ In SR-ICC-2015-009, ICC proposed to revise its Risk
Management Framework to extend its General Wrong Way Risk (``GWWR'')
framework to the portfolio level. The new GWWR methodology is
designed to account for the potential accumulation of portfolio
Wrong Way Risk (``WWR'') through Risk Factor specific WWR exposures
arising from the clearance of credit default swaps referencing
sovereign and banking sector names. The Commission approved the
proposed rule change SR-ICC-2015-009 on September 10, 2015. See
Securities Exchange Act Release No. 34-75887 (September 10, 2015),
80 FR 55672 (September 16, 2015) (SR-ICC-2015-009).
---------------------------------------------------------------------------

III. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act \6\ directs the Commission to
approve a proposed rule change of a self-regulatory organization if the
Commission finds that the proposed rule change is consistent with the
requirements of the Act and the rules and regulations thereunder
applicable to such self-regulatory organization. Section 17A(b)(3)(F)
of the Act \7\ requires, among other things, that the rules of a
clearing agency are designed to promote the prompt and accurate
clearance and settlement of securities transactions and, to the extent
applicable, derivative agreements, contracts, and transactions, to
assure the safeguarding of securities and funds which are in the
custody or control of the clearing agency or for which it is
responsible and, in general, to protect investors and the public
interest.
---------------------------------------------------------------------------

    \6\ 15 U.S.C. 78s(b)(2)(C).
    \7\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

    The Commission finds that the proposed rule change is consistent
with the requirements of section 17A of the Act \8\ and the rules and
regulations thereunder applicable to ICC. The proposed rule change
would provide for the clearing of additional SWES Contracts referencing
Federal Republic of Germany, the French Republic, and the United
Kingdom of Great Britain and Northern Ireland, which are similar to the
other SWES Contracts currently cleared by ICC. ICC would clear the
additional SWES Contracts using ICC's existing clearing arrangements
and related financial safeguards, protections and risk management
procedures, including the portfolio-level GWWR methodology approved in
SR-ICC-2015-009, which is designed to account for the potential
accumulation of uncollateralized portfolio WWR exposures arising from
the clearance of sovereign and banking sector Risk Factors at ICC.\9\
The Commission therefore finds that the proposed rule change is
designed to promote the prompt and accurate clearance and settlement of
securities transactions and, to the extent applicable, derivative
agreements, contracts, and transactions, and to assure the safeguarding
of securities and funds which are in the custody or control of the
clearing agency or for which it is responsible and, in general, to
protect investors and the public interest.
---------------------------------------------------------------------------

    \8\ 15 U.S.C. 78q-1.
    \9\ See supra note 5.
---------------------------------------------------------------------------

IV. Conclusion

    On the basis of the foregoing, the Commission finds that the
proposal is consistent with the requirements of the Act and in
particular with the requirements of section 17A of the Act \10\ and the
rules and regulations thereunder.
---------------------------------------------------------------------------

    \10\ 15 U.S.C. 78q-1.
---------------------------------------------------------------------------

    It is therefore ordered, pursuant to section 19(b)(2) of the
Act,\11\ that the proposed rule change (File No. SR-ICC-2015-013) be,
and hereby is, approved.\12\
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    \11\ 15 U.S.C. 78s(b)(2).
    \12\ In approving the proposed rule change, the Commission
considered the proposal's impact on efficiency, competition and
capital formation. 15 U.S.C. 78c(f).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\13\
---------------------------------------------------------------------------

    \13\ 17 CFR 200.30-3(a)(12).
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Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-26152 Filed 10-14-15; 8:45 am]
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[Federal Register: March 21, 2008 (Volume 73, Number 56)]
[Rules and Regulations]
[Page 15058-15060]
[DOCID:fr21mr08-3]

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DEPARTMENT OF TRANSPORTATION

Federal Aviation Administration

14 CFR Part 71

[Docket No. FAA-2007-0246; Airspace Docket No. 07-ASO-26]

Amendment of Class E Airspace; Danville, KY

AGENCY: Federal Aviation Administration (FAA), DOT.

ACTION: Direct final rule, request for comments.

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SUMMARY: This action modifies Class E Airspace at Danville, KY.
Additional airspace is required to support new Area Navigation (RNAV)
Global Positioning System (GPS) Standard Instrument Approach Procedures
(SIAPs) that have been developed for Stuart Powell Field Airport. This
action enhances the safety and management of Instrument Flight Rule
(IFR) operations in the area by providing the required controlled
airspace to support these approaches around Danville, KY. This action
also imparts a technical amendment to change the airport's name from
Goodall Field Airport to Stuart Powell Field Airport.

DATES: Effective 0901 UTC, June 5, 2008. The Director of the Federal
Register approves this incorporation by reference action under title 1,
Code of Federal Regulations, part 51, subject to the annual revision of
FAA Order 7400.9 and publication of conforming amendments. Comments for
inclusion in the Rules Docket must be received on or before May 5,
2008.

ADDRESSES: Send comments on this rule to: U.S. Department of
Transportation, Docket Operations, West Building Ground Floor, Room
W12-140, 1200 New Jersey Avenue, SE., Washington, DC 20590-0001;
Telephone: 1-800-647-5527; Fax:<PHONE_NUMBER>. You must identify the
Docket Number FAA-2007-0246; Airspace Docket No. 07-ASO-26, at the
beginning of your comments. You may also submit and review received
comments through the Internet at http://www.regulations.gov.
    You may review the public docket containing the rule, any comments
received, and any final disposition in person in the Dockets Office
(see ADDRESSES section for address and phone number) between 9 a.m. and
5 p.m., Monday through Friday, except Federal Holidays. An informal
docket may also be examined during normal business hours at the office
of the Eastern Service Center, Federal Aviation Administration, Room
210, 1701 Columbia Avenue, College Park, Georgia 30337.

FOR FURTHER INFORMATION CONTACT: Daryl Daniels, Airspace Specialist,
System Support Group, Federal Aviation Administration, P.O. Box 20636,
Atlanta, Georgia 30320; Telephone<PHONE_NUMBER>, Fax<PHONE_NUMBER>.

SUPPLEMENTARY INFORMATION:

The Direct Final Rule Procedure

    The FAA anticipates that this regulation will not result in adverse
or negative comments, and, therefore, issues it as a direct final rule.
The FAA has determined that this rule only involves an established body
of technical regulations for which frequent and routine amendments are
necessary to keep them operationally current. Unless a written adverse
or negative comment or a written notice of intent to submit an adverse
or negative comment is received within the comment period, the
regulation will become effective on

the date specified above. After the close of the comment period, the
FAA will publish a document in the Federal Register indicating that no
adverse or negative comments were received and confirming the effective
date. If the FAA receives, within the comment period, an adverse or
negative comment, or written notice of intent to submit such a comment,
a document withdrawing the direct final rule will be published in the
Federal Register, and a notice of proposed rulemaking may be published
with a new comment period.

Comments Invited

    Although this action is in the form of a direct final rule, and was
not preceded by a notice of proposed rulemaking, interested persons are
invited to comment on this rule by submitting such written data, views,
or arguments as they may desire. The direct final rule is used in this
case to facilitate the timing of the charting schedule and enhance the
operation at the airport, while still allowing and requesting public
comment on this rulemaking action. An electronic copy of this document
may be downloaded from and comments submitted through http://
www.regulations.gov. Communications should identify both docket numbers
and be submitted in triplicate to the address specified under the
caption ADDRESSES above or through the Web site. All communications
received on or before the closing date for comments will be considered,
and this rule may be amended or withdrawn in light of the comments
received. Recently published rulemaking documents can also be accessed
through the FAA's Web page at http://www.faa.gov or the Federal
Register's Web page at http://www.gpoaccess.gov/fr/index.html.
    Comments are specifically invited on the overall regulatory,
economic, environmental, and energy aspects of the rule that might
suggest a need to modify the rule. Factual information that supports
the commenter's ideas and suggestions is extremely helpful in
evaluating the effectiveness of this action and determining whether
additional rulemaking action would be needed. All comments submitted
will be available, both before and after the closing date for comments,
in the Rules Docket for examination by interested persons. Those
wishing the FAA to acknowledge receipt of their comments submitted in
response to this rule must submit a self-addressed, stamped postcard on
which the following statement is made: ``Comments to Docket No. FAA-
2007-0246; Airspace Docket No. 07-ASO-26.'' The postcard will be date
stamped and returned to the commenter.

The Rule

    This amendment to Title 14, Code of Federal Regulations (14 CFR)
part 71 modifies Class E airspace at Danville, KY, providing the
controlled airspace required to support new Standard Instrument
Approach Procedures (SIAPs) that were developed for the Stuart Powell
Field Airport (KDVK). Controlled airspace extending upward from 700
feet Above Ground Level (AGL) is required to encompass all SIAPs to the
extent practical. The current E5 airspace at the airport is
insufficient for these approaches, so additional controlled airspace
must be developed. The FAA is amending Title 14, Code of Federal
Regulations (14 CFR) part 71 to modify Class E5 airspace at Danville,
KY, by adding an extension to the current 7-mile radius area. This new
area extends southeastward from the 7-mile radius to 11.8 miles from
the airport via the 122[deg] bearing supporting the descent gradient
for the new approaches.
    During 1993, the airport name was changed from ``Goodall Field'' to
``Stuart Powell Field Airport'' by the Airport Authority. Research
indicates an official name change did not reach all entities,
therefore, for clarification, this docket imparts that name change.
Designations for Class E airspace areas extending upward from 700 feet
or more above the surface of the Earth are published in FAA Order
7400.9R, signed August 15, 2007, effective September 15, 2007, which is
incorporated by reference in 14 CFR part 71.1. The Class E designations
listed in this document will be published subsequently in the Order.

Agency Findings

    The regulations adopted herein will not have substantial direct
effects on the States, on the relationship between the national
government and the States, or on the distribution of power and
responsibilities among various levels of government. Therefore, it is
determined that this final rule does not have federalism implications
under Executive Order 13132.
    The FAA has determined that this regulation only involves an
established body of technical regulations for which frequent and
routine amendments are necessary to keep them operationally current, is
non-controversial and unlikely to result in adverse or negative
comments. It, therefore, (1) is not a ``significant regulatory action''
under Executive Order 12866; (2) is not a ``significant rule'' under
DOT Regulatory Policies and Procedures (44 FR 11034; February 26,
1979); and (3) does not warrant preparation of a Regulatory Evaluation
as the anticipated impact is so minimal. Since this is a routine matter
that will only affect air traffic procedures and air navigation, it is
certified that this rule, when promulgated, will not have a significant
economic impact on a substantial number of small entities under the
criteria of the Regulatory Flexibility Act.
    The FAA's authority to issue rules regarding aviation safety is
found in Title 49 of the United States Code. Subtitle I, Section 106
describes the authority of the FAA Administrator. Subtitle VII,
Aviation Programs, describes in more detail the scope of the agency's
authority.
    This rulemaking is promulgated under the authority described in
Subtitle VII, Part A, Subpart I, Section 40103. Under that section, the
FAA is charged with prescribing regulations to assign the use of
airspace necessary to ensure the safety of aircraft and the efficient
use of airspace. This regulation is within the scope of that authority
as it modifies controlled airspace at the Stuart Powell Field Airport.

Lists of Subjects in 14 CFR Part 71

    Airspace, Incorporation by reference, Navigation (Air).

Adoption of the Amendment

0
In consideration of the foregoing, the Federal Aviation Administration
amends 14 CFR Part 71 as follows:

PART 71--DESIGNATION OF CLASS A, B, C, D AND E AIRSPACE AREAS; AIR
TRAFFIC SERVICE ROUTES; AND REPORTING POINTS

0
1. The authority citation for part 71 continues to read as follows:

    Authority: 49 U.S.C. 106(g); 40103, 40113, 40120; E.O. 10854, 24
FR 9565, 3 CFR, 1959-1963 Comp., p. 389.

Sec.  71.1  [Amended]

0
2. The incorporation by reference in 14 CFR 71.1 of Federal Aviation
Administration Order 7400.9R, Airspace Designations and Reporting
Points, signed August 15, 2007, effective September 15, 2007, is
amended as follows:

Paragraph 6005 Class E Airspace Areas Extending Upward from 700 feet
or More Above the Surface of the Earth.
* * * * *

ASO KY E5 Danville, KY [REVISED]

Stuart Powell Field Airport, Danville, KY
    (Lat. 37[deg]34'41'' N., long. 84[deg]46'11'' W.)

    That airspace extending upward from 700 feet above the surface
of the Earth within a

7-mile radius of Stuart Powell Field Airport and within 2 miles each
side of the 122[deg] bearing from the airport extending from the 7-
mile radius to 11.8 miles southeast of the airport.

* * * * *

    Issued in College Park, Georgia, on February 26, 2008.
 Mark D. Ward,
Manager, System Support Group, Eastern Service Center.
[FR Doc. E8-5575 Filed 3-20-08; 8:45 am]

BILLING CODE 4910-13-M