[Federal Register Volume 77, Number 210 (Tuesday, October 30, 2012)]
[Notices]
[Pages 65747-65751]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-26642]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-68100; File No. SR-CFE-2012-001]
Self-Regulatory Organizations; CBOE Futures Exchange, LLC; Notice
of Filing and Immediate Effectiveness of a Proposed Rule Change To
Adopt and Amend Certain Rules That Are Applicable to Security Futures
October 24, 2012.
Pursuant to Section 19(b)(7) of the Securities Exchange Act of 1934
(``Act''),\1\ notice is hereby given that on October 17, 2012, CBOE
Futures Exchange, LLC (``CFE'' or ``Exchange'') filed with the
Securities and Exchange Commission (``SEC'' or ``Commission'') the
proposed rule change described in Items I, II, and III below, which
Items have been prepared by CFE. The Commission is publishing this
notice to solicit comments on the proposed rule change from interested
persons. CFE also has filed this proposed rule change with the
Commodity Futures Trading Commission (``CFTC''). CFE filed a written
certification with the CFTC under Section 5c(c) of the Commodity
Exchange Act (``CEA'') \2\ on October 2, 2012 for effectiveness on
October 17, 2012.
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\1\ 15 U.S.C. 78s(b)(7).
\2\ 7 U.S.C. 7a-2(c).
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I. Self-Regulatory Organization's Description of the Proposed Rule
Change
The Exchange proposes to adopt and amend certain rules that are
applicable to security futures traded on CFE. The only security futures
currently traded on CFE are traded under Chapter 16 of CFE's Rulebook
which is applicable to Individual Stock Based and Exchange-Traded Fund
Based Volatility Index (``Volatility Index'') security futures. The
rule amendments included as part of this rule change relate generally
to improper trading practices, recordkeeping, reporting, and
coordinated trading halts. The text of the proposed rule change is
attached as Exhibit 4.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, CFE included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. CFE has prepared summaries, set forth in Sections A, B,
and C below, of the most significant aspects of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The purpose of the proposed CFE rule amendments included as part of
this rule change is to amend CFE rules consistent with the rules,
acceptable practices, and guidance adopted by the Commodity Futures
Trading Commission (``CFTC'') under the caption Core Principles and
Other Requirements for Designated Contract Markets (``DCMs'') and
published in the Federal Register at 77 FR 36611 (June 19, 2012)
(``CFTC Rulemaking''). The rule amendments included as part of this
rule change are to apply to all products traded on CFE, including both
non-security futures and security futures. CFE is making these rule
amendments in conjunction with other rule amendments being made by CFE
consistent with the CFTC Rulemaking that are not required to be
submitted to the Commission pursuant to Section 19(b)(7) of the Act \3\
and thus are not included as part of this rule change.
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\3\ 15 U.S.C. 78s(b)(7).
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Improper Trading Practices
CFE is proposing to add to its Rules CFE Rule 616 relating to wash
trades, CFE Rule 617 relating to money passes, CFE Rule 618 relating to
accommodation trading, and CFE Rule 619 relating to front-running. In
addition, CFE is proposing to add CFE Rule 620 to its Rulebook in order
to specifically prohibit the disruptive practices enumerated in Section
4c(a)(5) of the Commodity Exchange Act,\4\
[[Page 65748]]
which were added to the Act by Section 747 of the Dodd-Frank Wall
Street Reform and Consumer Protection Act.\5\
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\4\ 7 U.S.C. 6c(a)(5).
\5\ Dodd-Frank Wall Street Reform and Consumer Protection Act,
Public Law 111-203, 124 Stat. 1376 (2010).
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These abusive trading practices are already prohibited by CFE
Rules. For example, CFE Rule 604 prohibits CFE Trading Privilege
Holders and their Related Parties from engaging in conduct in violation
of Applicable Law (which includes, among other things, the CEA,\6\ CFTC
regulations, and to the extent applicable, the Act \7\ as well as
Regulations under the Act), and CFE Rule 608 prohibits conduct
inconsistent with just and equitable principles of trade.
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\6\ 7 U.S.C. 1 et seq.
\7\ 15 U.S.C. 78a et seq.
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Although these practices are already prohibited by other CFE rules,
each of these practices as they relate to futures trading is now also
proposed to be specifically addressed in CFE's Rulebook through the
addition of the above rules. The addition of these rules is consistent
with CFTC Regulation 38.152 \8\ which provides that DCMs must
specifically prohibit certain trading practices and any other
manipulative or disruptive practices prohibited by the CEA.\9\
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\8\ 17 CFR 38.152.
\9\ 7 U.S.C. 1 et seq.
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CFE Rule 616 is proposed to provide that no Trading Privilege
Holder nor any of its Related Parties shall place or accept buy and
sell orders in the same CFE Contract and expiration month, and, for a
put or call option, the same strike price, where the Trading Privilege
Holder or Related Party knows or reasonably should know that the
purpose of the orders is to avoid taking a bona fide market position
exposed to market risk (transactions commonly known or referred to as
wash trades). Buy and sell orders for different accounts with common
beneficial ownership that are entered with the intent to negate market
risk or price competition would also be deemed to violate the
prohibition on wash trades. Additionally, Rule 616 is proposed to
provide that no Trading Privilege Holder nor any of its Related Parties
shall knowingly execute or accommodate the execution of such orders by
direct or indirect means.
CFE Rule 617 regarding money passes is proposed to provide that no
Trading Privilege Holder nor any of its Related Parties shall
prearrange the execution of transactions on the Exchange for the
purpose of passing money between accounts. Rule 617 would also require
that all transactions executed on the Exchange must be made in good
faith for the purpose of executing bona fide transactions and that
prearranged trades intended to effectuate a transfer of funds from one
account to another are prohibited.
CFE Rule 618 regarding accommodation trading is proposed to provide
that no Trading Privilege Holder nor any of its Related Parties shall
enter into non-competitive transactions on the Exchange for the purpose
of assisting another Person to engage in transactions that are in
violation of the Rules of the Exchange or Applicable Law.
CFE Rule 619 regarding front running is proposed to provide that no
Trading Privilege Holder nor any of its Related Parties shall take a
position in a CFE Contract based upon non-public information regarding
an impending transaction by another Person in the same or a related
Contract, except as expressly permitted by other enumerated Exchange
Rules or in accordance with any policies or procedures for pre-
execution discussions from time to time adopted by the Exchange.
CFE Rule 620 regarding disruptive practices is proposed to provide
that no Trading Privilege Holder nor any of its Related Parties shall
engage in any trading, practice, or conduct on the Exchange or subject
to the Rules of the Exchange that (i) violates bids or offers; (ii)
demonstrates intentional or reckless disregard for the orderly
execution of transactions during the closing period; or (iii) is, is of
the character of, or is commonly known in the trade as ``spoofing''
(bidding or offering with the intent to cancel the bid or offer before
execution).
Rule 608, which already prohibits any act detrimental to the
Exchange and conduct inconsistent with just and equitable principles of
trade, is proposed to be revised to also prohibit abusive practices,
including without limitation, fraudulent, noncompetitive, or unfair
actions. The addition of this language is consistent with CFTC
Regulation 38.651 \10\ which provides that a DCM must have and enforce
rules that are designed to promote fair and equitable trading and to
protect the market and market participants from abusive practices,
including fraudulent, noncompetitive, or unfair actions, committed by
any party.
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\10\ 17 CFR 38.651.
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Rule 608 and Rule 604 are also proposed to be amended to eliminate
redundancy between the two rules. Rule 604 relates to adherence to law
and is proposed to be amended to also prohibit Trading Privilege
Holders and their Related Parties from engaging in conduct in violation
of an agreement with the Exchange. This provision is currently in Rule
608, and CFE believes that a more logical place for it is in Rule 604.
Therefore, the provision is proposed to be moved to Rule 604. Rule 608
is also proposed to be amended to delete a prohibition on violating
Exchange and Clearing Corporation rules since this prohibition already
exists in Rule 604.
Recordkeeping
CFE is proposing to further specify certain recordkeeping
requirements in CFE's rules.
New CFE Rule 414(f) is proposed to be added to Rule 414 relating to
Exchange of Contract for Related Position (``ECRP'') transactions and
CFE Rule 415(e) relating to Block Trades is proposed to be amended to
require every Trading Privilege Holder handling, executing, clearing,
or carrying ECRP transactions, Block Trades, or ECRP or Block Trade
positions to mark as such by appropriate symbol or designation all of
these transactions or positions and all orders, records, and memoranda
pertaining thereto. This change incorporates a requirement that already
exists under CFTC Regulation 1.38(b) \11\ and generally under CFE Rule
604, which requires adherence to CFTC regulations, and will now be
specifically stated in CFE's rules. Additionally, current Rule 414(f)
is proposed to be re-numbered as Rule 414(g) and to be amended to make
clear that each Trading Privilege Holder involved in an ECRP
transaction must maintain or be able to obtain from its Customer
documentation relating to the Related Position portion of the ECRP
transaction, including those documents customarily generated in
accordance with Related Position market practices which demonstrate the
existence and nature of the Related Position portion of the
transaction.
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\11\ 17 CFR 1.38(b).
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CFE Rule 418(d) is proposed to be amended to provide that CFE will
submit to the CFTC in accordance with CFTC Regulation 40.6 \12\
information on all regulatory actions carried out by CFE pursuant to
Rule 418, which authorizes CFE to take various emergency actions.
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\12\ 17 CFR 40.6.
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CFE Rule 501(a) is proposed to be amended to provide that the books
and records which each Trading Privilege Holder and CFE Clearing Member
must maintain shall include, without limitation, records of the
activity, positions, and transactions of each
[[Page 65749]]
Trading Privilege Holder and Clearing Member in the underlying
commodity or reference market and related derivatives markets in
relation to a CFE Contract. Additionally, Rule 501(c) is proposed to be
revised to provide that if a CFE Contract is settled by reference to
the price of a contract or commodity traded in another venue, including
a price or index derived from prices on another designated contract
market, Trading Privilege Holders shall make available to the Exchange
upon request in a form and manner prescribed by the Exchange and within
the time frame designated by the Exchange information and their books
and records regarding their activities in the reference market. The
addition of these requirements is consistent with the requirements of
CFTC Regulation 38.253(b).\13\
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\13\ 17 CFR 38.253(b).
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CFE is proposing to specifically incorporate into its Rulebook
certain CFTC Regulations relating to recordkeeping and to provide that
a violation of any of those regulations shall be deemed a violation of
a specific CFE Rule. These requirements are proposed to be incorporated
into an Appendix to Chapter 5 of CFE's Rulebook, and CFE Rule 518 is
proposed to be added as the first rule in this Appendix. Rule 518 is
proposed to provide that without limiting the generality and
applicability of the prior rules in Chapter 5, any other CFE rules, and
Applicable Law, Trading Privilege Holders shall comply with the CFTC
regulations relating to minimum financial requirements, financial
reporting requirements, and protection of customer funds that are set
forth in the Appendix to Chapter 5 to the extent that Trading Privilege
Holders are subject to those CFTC regulations. Rule 518 is also
proposed to provide that to the extent that any of the CFTC regulations
set forth in the Appendix to Chapter 5 are amended from time to time by
the CFTC, Trading Privilege Holders are required to comply with the
CFTC regulations as amended, to the extent applicable, regardless of
whether CFE has yet amended the Appendix to Chapter 5 to incorporate
the amendments.
The recordkeeping requirements proposed to be included in the
Appendix to Chapter 5 already exist generally under CFE Rule 604, which
requires adherence to CFTC regulations, and will now be specifically
incorporated into CFE's rules consistent with the provisions of CFTC
Regulation 38.603.\14\ In particular, CFE is proposing to add as part
of the Appendix to Chapter 5 CFE Rule 522 which incorporates into CFE's
Rulebook CFTC Regulation 1.18 (Records for and relating to Financial
Reporting and Monthly Computation by Futures Commission Merchants and
Introducing Brokers),\15\ CFE Rule 528 which incorporates in CFE's
Rulebook CFTC Regulation 1.25 (Investment of Customer Funds),\16\ CFE
Rule 530 which incorporates into CFE's Rulebook CFTC Regulation 1.27
(Record of Investments),\17\ CFE Rule 534 which incorporates into CFE's
Rulebook CFTC Regulation 1.31 (Books and Records; Keeping and
Inspection),\18\ CFE Rule 535 which incorporates into CFE's Rulebook
CFTC Regulation 1.32 (Segregated Account; Daily Computation and
Record),\19\ and CFE Rule 536 which incorporates into CFE's Rulebook
CFTC Regulation 1.36 (Record of Securities and Property Received from
Customers and Options Customers).\20\
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\14\ 17 CFR 38.603.
\15\ 17 CFR 1.18.
\16\ 17 CFR 1.25.
\17\ 17 CFR 1.27.
\18\ 17 CFR 1.31.
\19\ 17 CFR 1.32.
\20\ 17 CFR 1.36.
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Reporting
Rule 501(a) is proposed to be revised to make clear that books and
records required to be prepared and kept current under Rule 501(a)
shall be made available to the Exchange in a form and manner prescribed
by the Exchange and within the time frame designated by the Exchange
when requested by the Exchange. Similarly, CFE Rules 502, 611(e), and
702(b) are proposed to be amended to make clear either that books and
records requested by the Exchange be made available in a form and
manner prescribed by the Exchange and/or within a time frame designated
by the Exchange to the extent that this is not already stated
explicitly in these rules.
CFE is also proposing to add CFE Rule 503A to its Rulebook which
contains two reporting requirements. First, each Trading Privilege
Holder that is a Futures Commission Merchant or Introducing Broker
would be required, in a form and manner prescribed by the Exchange, to
concurrently file with the Exchange a copy of all Form 1-FR-FCM, Form
1-FR-IB, or FOCUS Report Part II, IIA, or Part II CSE submissions, as
applicable, made by the Trading Privilege Holder. Second, each Trading
Privilege Holder that is a Futures Commission Merchant and (i) is not
Clearing Member or (ii) is a Clearing Member that utilizes another
Clearing Member for purposes of clearing Exchange Contracts would, in a
form and manner prescribed by the Exchange, be required to provide a
report to the Exchange on a daily basis which sets forth the positions,
if any, in CFE Contracts of the Trading Privilege Holder's customers
held by any Clearing Member in the customer range at CFE's Clearing
Corporation. The receipt of this information will assist CFE in meeting
its obligations under CFTC Regulations 38.603 \21\ and 38.604.\22\
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\21\ 17 CFR 38.603.
\22\ 17 CFR 38.604.
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As CFE is proposing to do with various recordkeeping requirements,
CFE is also proposing to specifically incorporate into the new Appendix
to Chapter 5 of its Rulebook a CFTC Regulation relating to reporting
and to provide that a violation of this regulation shall be deemed a
violation of a specific CFE Rule. Like with the foregoing recordkeeping
requirements, the reporting requirements under this regulation already
exist generally under CFE Rule 604, which requires adherence to CFTC
regulations, and will now be specifically incorporated into CFE's rules
consistent with the provisions of CFTC Regulation 38.603.\23\ In
particular, CFE is proposing to add CFE Rule 519 which incorporates
into CFE's Rulebook CFTC Regulation 1.10 (Financial Reports of Futures
Commission Merchants and Introducing Brokers).\24\
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\23\ 17 CFR 38.603.
\24\ 17 CFR 1.10.
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Trading Halts
CFE Rule 1602(i) already provides that trading in Volatility Index
security futures shall be halted to the extent required by CFE Rule 417
relating to ``regulatory halts'' (as that term is defined in CFTC
Regulation 41.1(l) \25\). One instance of a regulatory halt under CFTC
Regulation 41.1(l) \26\ is the operation of circuit breaker procedures
to halt or suspend trading in all equity securities trading on a
national securities exchange or national securities association.
Consistent with the foregoing and with other CFE Contract rule
chapters, Rule 1602(i) also currently provides that trading in
Volatility Index security futures shall be halted whenever a market-
wide trading halt commonly known as a circuit breaker is in effect on
the New York Stock Exchange in response to extraordinary market
conditions. Because circuit breaker trading halt rules on securities
exchanges are
[[Page 65750]]
changing effective February 4, 2013,\27\ CFE is proposing to add
substantively similar circuit breaker trading halt provisions which
will be applicable to all CFE products in new CFE Rule 417A. CFE is
also proposing to amend Rule 1602(i) to provide that its current
reference to halting for New York Stock Exchange circuit breaker halts
will apply prior to February 4, 2013 and that trading shall halt
pursuant to the circuit breaker halt provisions of new Rule 417A on or
after February 4, 2013.
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\25\ 17 CFR 41.1(l).
\26\ 17 CFR 41.1(l).
\27\ See, e.g., Chicago Board Options Exchange, Incorporated
Rule 6.3B.
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New Rule 417A is proposed to provide that CFE shall halt trading in
all CFE Contracts and shall not reopen for specified time periods if
there is a Level 1, 2, or 3 Market Decline. Specifically, Rule 417A is
proposed to provide that: A ``Market Decline'' means a decline in price
of the S&P 500 Index between 8:30 a.m. and 3:00 p.m. (all times are CT)
on a trading day as compared to the closing price of the S&P 500 Index
for the immediately preceding trading day. The Level 1, Level 2, and
Level 3 Market Declines that will be applicable for the trading day
will be the levels publicly disseminated by securities information
processors.\28\ A ``Level 1 Market Decline'' means a Market Decline of
7%, a ``Level 2 Market Decline'' means a Market Decline of 13%, and a
``Level 3 Market Decline'' means a Market Decline of 20%. If a Level 1
or Level 2 Market Decline occurs after 8:30 a.m. and up to and
including 2:25 p.m. or, in the case of an early scheduled close, 11:25
a.m., the Exchange shall halt trading in all CFE Contracts for 15
minutes after a Level 1 or Level 2 Market Decline. The Exchange shall
halt trading based on a Level 1 or Level 2 Market Decline only once per
trading day. The Exchange will not halt trading if a Level 1 or Level 2
Market Decline occurs after 2:25 p.m. or, in the case of an early
scheduled close, 11:25 a.m. If a Level 3 Market Decline occurs at any
time during the trading day, the Exchange shall halt trading in all CFE
Contracts until the next trading day. If a circuit breaker is initiated
in all Contracts due to a Level 1 or Level 2 Market Decline, the
Exchange may resume trading in each CFE Contract anytime after the 15-
minute halt period.
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\28\ CFE represents that the Level 1, Level 2, and Level 3
Market Declines that will be applicable for the trading day will be
the levels publicly disseminated by securities information
processors before 8:30 a.m.
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These changes to CFE's trading halt provisions are consistent with
CFTC Regulation 38.255 \29\ which provides that DCMs must establish and
maintain risk control mechanisms to prevent and reduce the potential
risk of price distortions and market disruptions, including, but not
limited to, market restrictions that pause or halt trading in market
conditions prescribed by the designated contract market.
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\29\ 17 CFR 38.255.
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2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with Section 6(b) of the Act,\30\ in general, and furthers the
objectives of Section 6(b)(5) \31\ in particular in that it is designed
to prevent fraudulent and manipulative acts and practices, to promote
just and equitable principles of trade, to foster cooperation and
coordination with persons engaged in facilitating transactions in
securities, and 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.
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\30\ 15 U.S.C. 78f(b).
\31\ 15 U.S.C. 78f(b)(5).
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The addition of Rule 616 relating to wash trades, Rule 617 relating
to money passes, Rule 618 relating to accommodation trading, Rule 619
relating to front-running, and Rule 620 relating to disruptive
practices as well as the changes to Rules 604 and 608 will augment
CFE's existing rules that prohibit fraudulent and manipulative acts and
practices and conduct inconsistent with just and equitable principles
of trade. By specifically enumerating these provisions in CFE's
Rulebook and expanding the description of improper trading practices
under CFE Rules, CFE's ability to protect investors and the public
interest will be enhanced.
The recordkeeping provisions that CFE is adding to Rules 414, 415,
418, 501, 518, 522, 528, 530, and 534-536 and the reporting provisions
that CFE is adding to Rules 501, 502, 503A, 519, 611, and 702 will also
enhance CFE's ability to protect investors and the public interest and
to enforce CFE Rules that prohibit fraudulent and manipulative acts and
conduct inconsistent with just and equitable principles of trade. These
recordkeeping requirements are designed to ensure that Trading
Privilege Holders maintain records that enable CFE and/or other
regulators to investigate whether Trading Privilege Holders are
complying with applicable rules and regulations by requiring the
maintenance of information that may be reviewed to determine whether or
not a Trading Privilege Holder is complying with applicable regulatory
requirements. Similarly, these reporting requirements are designed to
enable CFE to receive and request information that allows CFE to
monitor for compliance with rules and regulations, to investigate for
noncompliance when appropriate, and to conduct financial monitoring
with regard to CFE Trading Privilege Holders that are Futures
Commission Merchants.
The new circuit breaker trading halt provisions that CFE is
including in Rule 1602(i) and Rule 417A are designed to foster
cooperation and coordination with persons engaged in facilitating
transactions in securities and to remove impediments to and perfect the
mechanism of a free and open market and a national market system.
Specifically, these provisions promote uniformity across securities and
futures markets concerning when and how to halt trading as a result of
extraordinary market volatility which in turn facilitates the
protection of investors and the public interest.
B. Self-Regulatory Organization's Statement on Burden on Competition
CFE does not believe that the proposed rule change will impose any
burden on competition not necessary or appropriate in furtherance of
the purposes of the Act.\32\
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\32\ 15 U.S.C. 78a et seq.
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C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
No written comments were solicited or received with respect to the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The proposed rule change will become effective on October 17, 2012.
At any time within 60 days of the date of effectiveness of the
proposed rule change, the Commission, after consultation with the CFTC,
may summarily abrogate the proposed rule change and require that the
proposed rule change be refiled in accordance with the provisions of
Section 19(b)(1) of the Act.\33\
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\33\ 15 U.S.C. 78s(b)(1).
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IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
[[Page 65751]]
Electronic Comments
Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
Send an email to [email protected]. Please include
File Number SR-CFE-2012-001 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-CFE-2012-001. 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 on official business
days between the hours of 10:00 a.m. and 3:00 p.m. Copies of such
filing also will be available for inspection and copying at the
principal offices 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-CFE-2012-001, and should be submitted on or before
November 20, 2012.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\34\
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\34\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-26642 Filed 10-29-12; 8:45 am]
BILLING CODE 8011-01-P