[Federal Register Volume 81, Number 174 (Thursday, September 8, 2016)]
[Notices]
[Pages 62208-62212]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-21643]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-78760; File No. SR-CBOE-2016-049]


Self-Regulatory Organizations; Chicago Board Options Exchange, 
Incorporated; Notice of Filing of Amendment No. 1 and Order Granting 
Accelerated Approval of a Proposed Rule Change, as Modified by 
Amendment No. 1, To List and Trade Options That Overlie the FTSE 
Developed Europe Index and the FTSE Emerging Index and To Amend the 
Maintenance Listing Criteria Applicable to Certain Index Options

September 2, 2016.

I. Introduction

    On June 15, 2016, the Chicago Board Options Exchange, Incorporated 
(``Exchange'' or ``CBOE'') filed with the Securities and Exchange 
Commission (``Commission''), pursuant to Section 19(b)(1) of the 
Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 
thereunder,\2\ a proposed rule change to list and trade options that 
overlie the FTSE Developed Europe Index and the FTSE Emerging Index, to 
raise the comprehensive surveillance agreement (``CSA'') percentages 
applicable to options that overlie the MSCI EAFE Index and the MSCI 
Emerging Markets Index, and to amend the maintenance listing criteria 
applicable to MSCI EAFE, MSCI Emerging Markets, FTSE 100, and FTSE 
China 50 Index options. The proposed rule change was published for 
comment in the Federal Register on July 1, 2016.\3\ On August 9, 2016, 
the Commission extended the time period within which to approve the 
proposed rule change, disapprove the proposed rule change, or institute 
proceedings to determine whether to disapprove the proposed rule 
change.\4\ On August 25, 2016, the Exchange filed Amendment No. 1 to 
the proposed rule change.\5\ The Commission received no comments on the 
proposed rule change. The Commission is publishing this notice to 
solicit comment on Amendment No. 1 to the proposed rule change from 
interested persons and is approving the proposed rule change, as 
modified by Amendment No. 1, on an accelerated basis.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 78177 (Jun. 28, 
2016), 81 FR 43308 (``Notice'').
    \4\ See Securities Exchange Act Release No. 78511, 81 FR 54173 
(Aug. 15, 2016).
    \5\ Pursuant to Amendment No. 1, the Exchange proposes to (i) 
retain the current CSA percentages applicable to the initial and 
continued listing of MSCI EAFE and MSCI Emerging Markets Index 
options at 25% and 27.5%, respectively (the original proposal would 
have raised such CSA percentages to 50%) and (ii) decrease the 
proposed CSA percentages applicable to the initial and continued 
listing of FTSE Developed Europe and FTSE Emerging Index options to 
32.5% and 35%, respectively (the original proposal would have set 
such CSA percentages at 50%). Thus, as amended by Amendment No. 1, 
proposed Rule 24.2, Interpretation and Policy .01(a)(7) provides 
that ``non-U.S. component securities (stocks or ADRs) that are not 
subject to comprehensive surveillance agreements do not, in the 
aggregate, represent more than: (i) Twenty-five percent (25%) of the 
weight of the [MSCI] EAFE Index, (ii) twenty-seven and a half 
percent (27.5%) of the weight of the [MSCI Emerging Markets] Index, 
(iii) thirty-two and a half percent (32.5%) of the weight of the 
FTSE Developed [Europe] Index, and (iv) thirty-five percent (35%) of 
the weight of the FTSE Emerging Index.'' In addition, Amendment No. 
1 amends the proposed maintenance listing criteria applicable to 
FTSE Developed Europe, FTSE Emerging, MSCI EAFE, MSCI Emerging 
Markets, FTSE 100, and FTSE China 50 Index options to require that 
the CSA percentages applicable to such products be satisfied as of 
the first day of the month following the Reporting Authority's 
review of the weighting of the constituents in the applicable index, 
but in no case less than on a quarterly basis (the original proposal 
would have provided that the CSA requirements for such products must 
only be satisfied as of the first day of the January and July in 
each year). Amendment No. 1 is available at: http://www.cboe.com/publish/RuleFilingsSEC/SR-CBOE-2016-049.a1.pdf.
---------------------------------------------------------------------------

II. Description of the Proposed Rule Change

A. Listing and Trading of FTSE Developed Europe Index and FTSE Emerging 
Index Options

    The Exchange proposes to list and trade P.M. cash-settled, 
European-style options on the FTSE Developed Europe Index and the FTSE 
Emerging Index.\6\ The following discussion is a summary of the 
Exchange's description of its proposed listing criteria for the FTSE 
Developed Europe and FTSE Emerging Index options.\7\
---------------------------------------------------------------------------

    \6\ The Exchange proposes to list up to twelve near-term 
expiration months for the FTSE Developed Europe and FTSE Emerging 
Index options. The Exchange also proposes to list LEAPS on the FTSE 
Developed Europe Index and the FTSE Emerging Index. The Exchange 
proposes that options on the FTSE Developed Europe Index and the 
FTSE Emerging Index would be eligible for all other expirations 
permitted for other broad-based indexes (e.g., End of Week/End of 
Month/Wednesday Expirations, Short Term Option Series, and Quarterly 
Options Series). In addition, the Exchange proposes to designate the 
FTSE Developed Europe Index and the FTSE Emerging Index as eligible 
for trading as FLEX options.
    \7\ For a more complete description of the FTSE Developed Europe 
Index and the FTSE Emerging Index, and CBOE's proposed listing 
criteria for options on these indexes, see Notice, supra note 3.
---------------------------------------------------------------------------

    According to the Exchange, the FTSE Developed Europe Index is a 
weighted index representing the performance of large- and mid-cap 
companies in Developed European markets. The FTSE Developed Europe 
Index is comprised of over 500 securities from 15 countries. According 
to the Exchange, the FTSE Emerging Index is a weighted index 
representing the performance of large- and mid-cap companies in 
advanced and secondary emerging markets. The FTSE Emerging Index is 
comprised of approximately 950 securities from 22 countries.\8\ The 
Exchange states that the indexes are monitored and maintained by FTSE 
International Limited (``FTSE'').\9\ Adjustments to the indexes can be 
made on a daily basis, and FTSE reviews the indexes semi-annually.
---------------------------------------------------------------------------

    \8\ The Exchange states that the FTSE Developed Europe Index and 
the FTSE Emerging Index each meet the definition of a broad-based 
index as set forth in Exchange Rule 24.1(i)(1).
    \9\ The Exchange proposes to designate FTSE as the reporting 
authority for the FTSE Developed Europe Index and the FTSE Emerging 
Index.
---------------------------------------------------------------------------

    According to the Exchange, the FTSE Developed Europe Index is 
calculated and published in U.S. dollars on a real-time basis during 
U.S. trading hours from 2:00 a.m. to 10:30 a.m. (Chicago time). At 
10:30 a.m. (Chicago time) the real-time index closes using the closing 
prices from the London Stock Exchange and between 10:30 a.m. and 3:15 
p.m. (Chicago time) the FTSE Developed Europe Index level is a static 
value that market participants can access via data vendors. The FTSE 
Emerging Index is calculated and published in U.S. dollars on a real-
time basis during U.S. trading hours from 6:30 p.m. (Chicago time, 
prior day) to 3:10 p.m. (Chicago time, next day). At 3:10 p.m. (Chicago 
time) the real-time index closes using the closing prices from Brazil, 
Chile, Peru, and Mexico and between 3:10 p.m. and 3:15 p.m. (Chicago 
time) the FTSE Emerging Index level is a static value that market 
participants can access via data vendors.
    The methodologies used to calculate the FTSE Developed Europe Index 
and the FTSE Emerging Index are similar to the methodology used to 
calculate the value of other benchmark market-

[[Page 62209]]

capitalization weighted indexes.\10\ Real-time data is distributed at 
least every 15 seconds while the indexes are being calculated using 
FTSE's real-time calculation engine to Bloomberg L.P. (``Bloomberg''), 
Thomson Reuters (``Reuters''), and other major vendors. End of day data 
is distributed daily to clients through FTSE as well as through major 
quotation vendors, including Bloomberg and Reuters.
---------------------------------------------------------------------------

    \10\ Specifically, the indexes are governed by the Ground Rules 
for the FTSE Global Equity Index Series. Further detail regarding 
this methodology can be found in the Notice, supra note 3, at notes 
7 and 11 and accompanying text.
---------------------------------------------------------------------------

    The Exchange proposes that trading hours for FTSE Developed Europe 
Index options would be from 8:30 a.m. (Chicago Time) to 3:15 p.m. 
(Chicago Time), except that trading in expiring FTSE Developed Europe 
Index options would end upon the close of the London Stock Exchange 
(usually 10:30 a.m. Chicago time) \11\ on their expiration date. The 
Exchange proposes that trading hours for FTSE Emerging Index options 
would be from 8:30 a.m. (Chicago Time) to 3:15 p.m. (Chicago Time).
---------------------------------------------------------------------------

    \11\ For example, Daylight Saving Time began in Chicago on March 
13, 2016, and in London on March 27, 2016. If an expiration were to 
occur after Daylight Savings was observed in Chicago but prior to 
observance in London, trading in expiring FTSE Developed Europe 
Index options would end at 11:30 a.m. (Chicago time). FTSE Emerging 
Index options are not affected by Daylight Savings as trading in 
expiring FTSE Emerging Index options ends at 3:15 p.m. (Chicago 
Time) on their expiration date.
---------------------------------------------------------------------------

    The Exchange proposes that FTSE Developed Europe and FTSE Emerging 
Index options would expire on the third Friday of the expiration 
month.\12\ The exercise settlement value would be the official closing 
values of the FTSE Developed Europe Index and the FTSE Emerging Index 
as reported by FTSE on the last trading day of the expiring contract. 
The exercise settlement amount would be equal to the difference between 
the exercise-settlement value and the exercise price of the option, 
multiplied by the contract multiplier ($100).\13\ Exercise would result 
in delivery of cash on the business day following expiration.
---------------------------------------------------------------------------

    \12\ According to the Exchange, when the last trading day/
expiration date is moved because of an Exchange holiday or closure, 
the last trading day/expiration date for expiring options would be 
the immediately preceding business day.
    \13\ According to the Exchange, if the exercise settlement value 
is not available or the normal settlement procedure cannot be 
utilized due to a trading disruption or other unusual circumstance, 
the settlement value would be determined in accordance with the 
rules and bylaws of the Options Clearing Corporation.
---------------------------------------------------------------------------

    The Exchange proposes to apply the initial and maintenance listing 
criteria in Interpretation and Policy .01(a) to Rule 24.2, currently 
only applicable to MSCI EAFE and MSCI Emerging Markets Index options, 
to options on the FTSE Developed Europe Index and the FTSE Emerging 
Index. Specifically, the Exchange proposes to amend Interpretation and 
Policy .01(a) to Rule 24.2 to provide that the Exchange may trade FTSE 
Developed Europe and FTSE Emerging Index options if each of the 
following conditions is satisfied: (1) The index is broad-based, as 
defined in Exchange Rule 24.1(i)(1); (2) options on the index are 
designated as P.M.-settled index options; (3) the index is 
capitalization-weighted, price-weighted, modified capitalization-
weighted, or equal dollar-weighted; (4) the index consists of 500 or 
more component securities; (5) all of the component securities of the 
index will have a market capitalization of greater than $100 million; 
(6) no single component security accounts for more than fifteen percent 
(15%) of the weight of the index, and the five highest weighted 
component securities in the index do not, in the aggregate, account for 
more than fifty percent (50%) of the weight of the index; (7) non-U.S. 
component securities (stocks or American Depositary Receipts) that are 
not subject to CSAs do not, in the aggregate, represent more than: (a) 
Thirty-two and a half percent (32.5%) of the weight of the FTSE 
Developed Europe Index, and (b) thirty-five percent (35%) of the weight 
of the FTSE Emerging Index; \14\ (8) during the time options on the 
index are traded on the Exchange, the current index value is widely 
disseminated at least once every fifteen (15) seconds by one or more 
major market data vendors; however, the Exchange may continue to trade 
FTSE Developed Europe and FTSE Emerging Index options after trading in 
all component securities has closed for the day and the index level is 
no longer widely disseminated at least once every fifteen (15) seconds 
by one or more major market data vendors, provided that FTSE Developed 
Europe or FTSE Emerging Index futures contracts are trading and prices 
for those contracts may be used as a proxy for the current index value; 
(9) the Exchange reasonably believes it has adequate system capacity to 
support the trading of options on the index, based on a calculation of 
the Exchange's current Independent System Capacity Advisor (ISCA) 
allocation and the number of new messages per second expected to be 
generated by options on such index; and (10) the Exchange has written 
surveillance procedures in place with respect to surveillance of 
trading of options on the index.
---------------------------------------------------------------------------

    \14\ See Amendment No. 1, supra note 5. Other than proposed 
listing criteria 7 of Rule 24.2.01(a) and maintenance listing 
criteria 1 of Rule 24.2.01(b), the Exchange is proposing to adopt 
the same listing criteria for FTSE Developed Europe and FTSE 
Emerging Index options that are currently applicable to MSCI EAFE 
and MSCI Emerging Markets Index options.
---------------------------------------------------------------------------

    Additionally, the Exchange proposes to amend Interpretation and 
Policy .01(b) to Rule 24.2 to set forth the following maintenance 
listing standards for options on the FTSE Developed Europe Index and 
the FTSE Emerging Index: (1) the conditions set forth in subparagraphs 
.01(a)(1), (2), (3), (4), (8), (9), and (10) must continue to be 
satisfied; the conditions set forth in subparagraphs .01(a)(5) and (6) 
must be satisfied only as of the first day of January and July in each 
year; and the conditions set forth in subparagraph .01(a)(7) must be 
satisfied as of the first day of the month following the Reporting 
Authority's review of the weighting of the constituents in the 
applicable index, but in no case less than a quarterly basis; \15\ and 
(2) the total number of component securities in the index may not 
increase or decrease by more than thirty-five percent (35%) from the 
number of component securities in the index at the time of its initial 
listing. In the event a class of index options listed on the Exchange 
pursuant to Interpretation and Policy .01(a) fails to satisfy these 
maintenance listing standards, the Exchange shall not open for trading 
any additional series of options of that class unless the continued 
listing of that class of index options has been approved by the 
Commission under Section 19(b)(2) of the Act.
---------------------------------------------------------------------------

    \15\ See Amendment No. 1, supra note 5.
---------------------------------------------------------------------------

    The contract multiplier for the FTSE Developed Europe and FTSE 
Emerging Index options would be $100. The Exchange proposes that the 
minimum tick size for series trading below $3 would be 0.05 ($5.00), 
and at or above $3 would be 0.10 ($10.00). The Exchange also proposes 
that the strike price interval for FTSE Developed Europe and FTSE 
Emerging Index options would be no less than $5, except that the strike 
price interval would be no less than $2.50 if the strike price is less 
than $200.
    The Exchange proposes to apply the default position limits for 
broad-based index options of 25,000 contracts on the same side of the 
market (and 15,000 contracts near-term limit) to FTSE Developed Europe 
and FTSE Emerging Index options. All position limit hedge exemptions 
would apply. The exercise limits for FTSE Developed Europe and FTSE 
Emerging Index options would be

[[Page 62210]]

equivalent to the near-term position limits for those options. In 
addition, the Exchange proposes that the position limits for FLEX 
options on the FTSE Developed Europe Index and the FTSE Emerging Index 
would be equal to the position limits for non-FLEX options on the FTSE 
Developed Europe Index and the FTSE Emerging Index. The exercise limits 
for FLEX options on the FTSE Developed Europe Index and the FTSE 
Emerging Index would be equivalent to the position limits for those 
options.
    The Exchange states that, except as modified by the proposal, 
Exchange Rules in Chapters I through XIX, XXIV, XXIVA, and XXIVB would 
equally apply to FTSE Developed Europe and FTSE Emerging Index options. 
The Exchange also states that FTSE Developed Europe and FTSE Emerging 
Index options would be subject to the same rules that currently govern 
other CBOE index options, including sales practice rules, margin 
requirements,\16\ and trading rules.\17\
---------------------------------------------------------------------------

    \16\ The Exchange states that FTSE Developed Europe and FTSE 
Emerging Index options would be margined as broad-based index 
options.
    \17\ See, e.g., Exchange Rule Chapters IX (Doing Business with 
the Public), XII (Margins), IV (Business Conduct), VI (Doing 
Business on the Trading Floor), VIII (Market-Makers, Trading Crowds 
and Modified Trading Systems), and XXIV (Index Options).
---------------------------------------------------------------------------

    The Exchange represents that it has an adequate surveillance 
program in place for FTSE Developed Europe and FTSE Emerging Index 
options and intends to use the same surveillance procedures currently 
utilized for each of the Exchange's other index options to monitor 
trading in the proposed options. The Exchange also states that it is a 
member of the Intermarket Surveillance Group; is an affiliate member of 
the International Organization of Securities Commissions; and has 
entered into various CSAs, Memoranda of Understanding, and/or 
information sharing agreements with various stock exchanges. Finally, 
the Exchange represents that it believes it and the Options Price 
Reporting Authority (``OPRA'') have the necessary systems capacity to 
handle the additional traffic associated with the listing of new series 
that would result from the introduction of FTSE Developed Europe and 
FTSE Emerging Index options.

B. Amendment to Maintenance Listing Criteria Applicable to Certain 
Index Options

    The Exchange also proposes to amend Exchange Rule 24.2, 
Interpretation and Policy .01(b)(1), .02(b)(1), and .03(b)(1) to modify 
the maintenance listing criteria applicable to MSCI EAFE, MSCI Emerging 
Markets, FTSE 100, and FTSE China 50 Index options, and that will be 
applicable to the proposed FTSE Developed Europe and FTSE Emerging 
Index options. The Exchange proposes to amend Exchange Rules 
24.2.01(b)(1), 24.2.02(b)(1), and 24.2.03(b)(1) \18\ to specify that 
the listing criteria set forth in subparagraphs .01(a)(7), .02(a)(7), 
and .03(a)(7) to Rule 24.2 need only be met as of the first day of the 
month following the Reporting Authority's review of the weighting of 
the constituents in the applicable index, but in no case less than a 
quarterly basis.\19\ The listing criteria set forth in subparagraphs 
.01(a)(7), .02(a)(7), and .03(a)(7) to Rule 24.2 generally provides 
that non-U.S. component securities (stocks or American Depositary 
Receipts) that are not subject to CSAs do not, in the aggregate, 
represent more than a certain percent of the weight of the applicable 
index. Currently, Rules 24.2.01(b)(1), 24.2.02(b)(1), and 24.2.03(b)(1) 
provide that this listing criteria must continue to be satisfied.
---------------------------------------------------------------------------

    \18\ The Exchange also proposes to amend Rule 24.2.03(b) to 
correct a technical error in which Current Rule 24.2.03(b) and 
(b)(1) mistakenly reference paragraph .02(a), instead of .03(a).
    \19\ See Amendment No. 1, supra note 5.
---------------------------------------------------------------------------

III. Discussion and Commission Findings

    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.\20\ 
Specifically, the Commission finds that the proposed rule change is 
consistent with Section 6(b)(5) of the Act,\21\ 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.
---------------------------------------------------------------------------

    \20\ 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).
    \21\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Commission believes that the listing and trading of FTSE 
Developed Europe Index options should broaden trading and hedging 
opportunities for investors by providing an options instrument based on 
an index representing the performance of large- and mid-cap companies 
in Developed European markets. Similarly, the Commission believes that 
the listing and trading of FTSE Emerging Index options should broaden 
trading and hedging opportunities for investors by providing an options 
instrument based on an index representing the performance of large- and 
mid-cap companies in advanced and secondary emerging markets. Moreover, 
the Exchange states that FTSE Developed Europe and FTSE Emerging Index 
futures contracts are listed for trading on the Chicago Mercantile 
Exchange (``CME'') and that FTSE Developed Europe and FTSE Emerging 
Index options are designed to provide additional opportunities for 
investors to hedge or speculate on the market risk associated with the 
FTSE Developed and FTSE Emerging Indexes by listing an option directly 
on these indexes.
    Because the FTSE Developed Europe Index and the FTSE Emerging Index 
are broad-based indexes composed of actively-traded, well-capitalized 
stocks, the trading of options on these indexes does not raise unique 
regulatory concerns. The Commission believes that the listing 
standards, which are substantially similar to the listing standards for 
MSCI EAFE and MSCI Emerging Markets Index options, are consistent with 
the Act,\22\ for the reasons discussed below.
---------------------------------------------------------------------------

    \22\ See Securities Exchange Act Release No. 74687 (April 8, 
2015), 80 FR 20032 (April 14, 2015) (SR-CBOE-2015-023) (order 
approving the listing of MSCI EAFE and MSCI Emerging Markets Index 
options on the Exchange).
---------------------------------------------------------------------------

    The Commission notes that the proposed listing standards would 
require that the FTSE Developed Europe Index and the FTSE Emerging 
Index each consist of 500 or more component securities. Further, for 
options on the FTSE Developed Europe Index and the FTSE Emerging Index 
to trade, each of the minimum of 500 component securities would need to 
have a market capitalization of greater than $100 million. The 
Commission notes that, according to the Exchange, the FTSE Developed 
Europe Index has more than 500 components and the FTSE Emerging Index 
has more than 900 components, all of which must meet the market 
capitalization requirement to permit options on these indexes to begin 
trading.
    The Commission notes that the proposed listing standards for 
options on the FTSE Developed Europe Index and the FTSE Emerging Index 
would not permit any single component security to account for more than 
15% of the weight of the index, and would not permit the five highest 
weighted component securities to account for more than 50% of the 
weight of the

[[Page 62211]]

index in the aggregate. The Commission believes that, in view of the 
requirement on the number of securities in each index, the number of 
countries represented in each index, and the market capitalization, 
this concentration standard is consistent with the Act. Further, the 
Exchange states that no single component accounts for more than 5% of 
either index. As noted above, the Exchange represents that it has an 
adequate surveillance program in place for FTSE Developed Europe and 
FTSE Emerging Index options and intends to use the same surveillance 
procedures currently utilized for each of the Exchange's other index 
options to monitor trading in the proposed options.
    The proposed listing standards would require that non-U.S. 
component securities of the FTSE Developed Europe Index that are not 
subject to CSAs will not, in the aggregate, represent more than 32.5% 
of the weight of the index. With respect to the FTSE Emerging Index, 
the proposed listing standards would require that non-U.S. component 
securities that are not subject to CSAs must not, in the aggregate, 
represent more than 35% of the weight of the index. The Exchange stated 
that both indexes are broad-based indexes and have high market 
capitalizations. Given the high number of constituents and the overall 
high capitalization of the FTSE Developed Europe and FTSE Emerging 
Indexes and the deep and liquid markets for the securities underlying 
these indexes, the Exchange believes that the concerns for market 
manipulation or disruption in the underlying markets are greatly 
reduced. Additionally, in its filing, the Exchange represented that it 
has an adequate surveillance program for FTSE Developed Europe and FTSE 
Emerging Index options and intends to use the same surveillance 
procedures currently utilized for each of the Exchange's other index 
options to monitor trading in these products.
    The proposed listing standards require that, during the time 
options on the FTSE Developed Europe Index and the FTSE Emerging Index 
are traded on the Exchange, the current index value is widely 
disseminated at least once every 15 seconds by one or more major market 
data vendors. However, the Exchange may continue to trade FTSE 
Developed Europe and FTSE Emerging Index options after trading in all 
component securities has closed for the day and the index level is no 
longer widely disseminated at least once every 15 seconds by one or 
more major market data vendors, provided that FTSE Developed Europe 
Index futures contracts or FTSE Emerging Index futures contracts, 
respectively, are trading and prices for those contracts may be used as 
a proxy for the current index value.\23\
---------------------------------------------------------------------------

    \23\ The Exchange notes that, because trading in the components 
of the FTSE Developed Europe Index ends at approximately 10:30 a.m. 
(Chicago Time), there will not be a current FTSE Developed Europe 
Index level calculated and disseminated during a portion of the time 
when FTSE Developed Europe Index options would be traded (from 
approximately 10:30 a.m. (Chicago Time) to 3:15 p.m. (Chicago 
Time)). However, the Exchange states that FTSE Developed Europe 
Index futures contracts will be trading during this time period and 
that the futures prices would be a proxy for the current FTSE 
Developed Europe Index level during this time period. The Exchange 
states that E-mini FTSE Developed Europe Index futures contracts are 
listed for trading on CME. Similarly, because trading in the 
components of the FTSE Emerging Index ends at approximately 3:10 
p.m. (Chicago Time), there will not be a current FTSE Emerging Index 
level calculated and disseminated during a portion of the time when 
FTSE Emerging Index options would be traded (from approximately 3:10 
p.m. (Chicago Time) to 3:15 p.m. (Chicago Time)). However, the 
Exchange states that FTSE Emerging Index futures contracts will be 
trading during this time period and that the futures prices would be 
a proxy for the current FTSE Emerging Index level during this time 
period. The Exchange states that E-mini FTSE Emerging Index futures 
contracts are listed for trading on CME.
---------------------------------------------------------------------------

    In addition, the proposed listing standards require the Exchange to 
reasonably believe that it has adequate system capacity to support the 
trading of options on the FTSE Developed Europe Index and the FTSE 
Emerging Index. As noted above, the Exchange represents that it 
believes it and the OPRA have the necessary systems capacity to handle 
the additional traffic associated with the listing of new series that 
would result from the introduction of FTSE Developed Europe and FTSE 
Emerging Index options.
    As a national securities exchange, the Exchange is required, under 
Section 6(b)(1) of the Act,\24\ to enforce compliance by its members, 
and persons associated with its members, with the provisions of the 
Act, Commission rules and regulations thereunder, and its own rules. As 
noted above, the Exchange states that, except as modified by the 
proposal, Exchange Rules in Chapters I through XIX, XXIV, XXIVA, and 
XXIVB would equally apply to FTSE Developed Europe and FTSE Emerging 
Index options. The Exchange also states that FTSE Developed Europe and 
FTSE Emerging Index options would be subject to the same rules that 
currently govern other CBOE index options, including sales practice 
rules, margin requirements, and trading rules.
---------------------------------------------------------------------------

    \24\ 15 U.S.C. 78f(b)(1).
---------------------------------------------------------------------------

    The Commission further believes that the Exchange's proposed 
position and exercise limits, trading hours, margin, strike price 
intervals, minimum tick size, series openings, and other aspects of the 
proposed rule change related to the listing and trading of FTSE 
Developed Europe and FTSE Emerging Index options are appropriate and 
consistent with the Act.
    Finally, the Exchange has proposed to modify the maintenance 
listing criteria applicable to current MSCI EAFE, MSCI Emerging 
Markets, FTSE 100, and FTSE China 50 Index options, and to be applied 
to FTSE Developed Europe and FTSE Emerging Index options, to specify 
that the listing criteria set forth in subparagraphs .01(a)(7), 
.02(a)(7), and .03(a)(7) of Rule 24.2, which generally provide that 
non-U.S. component securities (stocks or American Depositary Receipts) 
that are not subject to CSAs do not, in the aggregate, represent more 
than a certain percent of the weight of the applicable indexes, be met 
as of the first day of the month following the Reporting Authority's 
review of the weighting of the constituents in the applicable index, 
but in no case less than a quarterly basis. According to the Exchange, 
any change to the CSA percentages described in subparagraph 7 of Rules 
24.2.01(a), 24.2.02(a), and 24.2.03(a) would most likely occur during 
the rebalancing process by which constituent securities are added or 
removed from the indexes.\25\ Further, the Exchange states that the 
relevant indexes are rebalanced no more frequently than quarterly.\26\ 
Based on these representations, the Commission believes that the 
proposed amendment to the maintenance listing criteria is appropriate 
and consistent with the Act.
---------------------------------------------------------------------------

    \25\ See Amendment No. 1, supra note 5.
    \26\ See id.
---------------------------------------------------------------------------

IV. Solicitation of Comments on Amendment No. 1

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether Amendment No. 1 
is consistent with the Act. Comments may be submitted by any of the 
following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-CBOE-2016-049 on the subject line.

Paper Comments

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


[[Page 62212]]


All submissions should refer to File Number SR-CBOE-2016-049. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street, NE., 
Washington, DC 20549, on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-CBOE-2016-049 and should be 
submitted on or before September 29, 2016.

V. Accelerated Approval of Proposed Rule Change, as Modified by 
Amendment No. 1

    The Commission finds good cause, pursuant to Section 19(b)(2) of 
the Act,\27\ for approving the proposed rule change, as modified by 
Amendment No. 1, prior to the 30th day after the date of publication of 
notice of Amendment No. 1 in the Federal Register. As noted above, the 
Commission previously approved the listing and trading of options on 
the MSCI EAFE Index and the MSCI Emerging Markets Index on the 
Exchange,\28\ and the current proposal is substantially similar to the 
rules applicable to MSCI EAFE and MSCI Emerging Markets Index options 
that were approved by the Commission. The original proposal was subject 
to a full 21-day comment period and no comments were received on the 
proposal. In Amendment No. 1, the Exchange proposed changes to limit 
the scope of its original proposal with respect to (1) the CSA 
requirements applicable to FTSE Developed Europe, FTSE Emerging, MSCI 
EAFE, and MSCI Emerging Markets Index options; and (2) the maintenance 
listing criteria applicable to FTSE Developed Europe, FTSE Emerging, 
MSCI EAFE, MSCI Emerging Markets, FTSE 100, and FTSE China 50 Index 
options.
---------------------------------------------------------------------------

    \27\ 15 U.S.C. 78s(b)(2).
    \28\ See supra note 22.
---------------------------------------------------------------------------

    The Commission believes that the changes proposed in Amendment No. 
1 act to limit the scope of certain aspects of the original proposal, 
as described above,\29\ and do not raise any new substantive issues or 
unique regulatory concerns not originally subjected to the proposal's 
full 21-day comment period, during which no comments were received. 
Therefore, the Commission finds that good cause exists to approve the 
proposal, as modified by Amendment No. 1, on an accelerated basis.
---------------------------------------------------------------------------

    \29\ See supra note 5.
---------------------------------------------------------------------------

VI. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\30\ that the proposed rule change (SR-CBOE-2016-049), as modified 
by Amendment No. 1, be, and hereby is, approved on an accelerated 
basis.
---------------------------------------------------------------------------

    \30\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\31\
---------------------------------------------------------------------------

    \31\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Brent J. Fields,
Secretary.
[FR Doc. 2016-21643 Filed 9-7-16; 8:45 am]
 BILLING CODE 8011-01-P