[Federal Register Volume 85, Number 32 (Tuesday, February 18, 2020)]
[Notices]
[Pages 8976-8978]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-03088]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-88158; File No. SR-CFE-2020-001]


Self-Regulatory Organizations; Cboe Futures Exchange, LLC; Notice 
of Filing of a Proposed Rule Change Regarding Quoting Functionality

February 11, 2020.
    Pursuant to Section 19(b)(7) of the Securities Exchange Act of 1934 
(``Act''),\1\ notice is hereby given that on January 29, 2020 Cboe 
Futures Exchange, LLC (``CFE'' or ``Exchange'') filed with the 
Securities and Exchange Commission (``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 
January 29, 2020.
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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 specify the information that is required 
to be included within a Bulk Message and within a Quote in connection 
with the implementation of quoting functionality on CFE's trading 
system (``CFE System'').
    The scope of this filing is limited solely to the application of 
the rule amendments to security futures that may be traded on CFE. 
Although no security futures are currently listed for trading on CFE, 
CFE may list security futures for trading in the future.
    CFE is making the rule amendments included in this proposed rule 
change in conjunction with other rule amendments being made by CFE in 
connection with its implementation of quoting functionality 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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    The rule amendments included as part of this proposed rule change 
are to apply to all products traded on CFE, including both non-security 
futures and any security futures that may be listed for trading on CFE. 
CFE is submitting these rule amendments to the Commission under Section 
19(b)(7) of the Act \4\ because they relate to reporting requirements 
that would apply with respect to any security futures that may be 
traded on CFE.
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    \4\ 15 U.S.C. 78s(b)(7).
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    The text of the proposed rule change is attached as Exhibit 4 to 
the filing but is not attached to the publication of this notice.

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
    CFE Trading Privilege Holders (``TPHs'') currently utilize match 
capacity allocations to submit Orders to the CFE System. These match 
capacity allocations may be used for the submission of single Orders to 
the CFE System utilizing either the Financial Information Exchange 
(``FIX'') or Binary Order Entry (``BOE'') protocol. A single Order 
refers to an Order that is submitted to the CFE System through a 
message type that may include one Order in each message. Going forward, 
these match capacity allocations will be referred to as order match 
capacity allocations.
    In connection with the implementation of quoting functionality on 
the CFE System, CFE will provide all TPHs with the option to use order 
match capacity allocations and/or quoting match capacity allocations. A 
quoting match capacity allocation is an additional type of match 
capacity allocation that will provide the ability to submit single 
Orders and Bulk Messages to the CFE System utilizing the BOE protocol. 
A Bulk Message is a new message type that may be utilized to submit 
multiple Quotes to the CFE System in a single message. A Quote refers 
to the entry, modification, or cancellation of a bid or offer for a CFE 
Contract through a Bulk Message. A Quote will be treated the same as an 
Order, and the term ``Order'' encompasses a Quote, unless the Exchange 
rules specify otherwise.
    CFE Rule 403 (Order Entry and Maintenance of Front-End Audit Trail 
Information) currently requires that Orders contain specified 
information and that Orders that do not contain this information are 
rejected or canceled back to the sender. CFE is proposing to modify 
Rule 403 to provide that these existing provisions apply to single 
Orders, to set forth the information that is required to be included 
within a Bulk Message and within a Quote, and to provide that Bulk 
Messages and Quotes that do not contain the required information will 
be rejected or canceled back to the sender.
    Specifically, CFE is proposing to amend Rule 403 in the following 
ways:
    Rule 403(a) currently provides, in pertinent part, that each Order 
must contain the following information: (i) Whether such Order is a buy 
or sell Order; (ii) Order type; (iii) price or premium (if the Order is 
not a Market Order); (iv) quantity; (v) Contract

[[Page 8977]]

identifier or product and contract expiration(s); (vi) Client Order ID; 
(vii) Executing Firm ID (``EFID''); (viii) Order Entry Operator ID; 
(ix) Clearing Corporation origin code (C for Customer or F for Firm); 
(x) Customer Type Indicator code; (xi) manual Order indicator; (xii) 
account designation (which is the account number of the account of the 
party for which the Order was placed, except that a different account 
designation may be included in the case of a bunched Order or in the 
case of an Order for which there will be a post-trade allocation of the 
resulting trade(s) to a different clearing member); (xiii) in the case 
of Orders for Options, either Contract identifier or each of strike 
price, type of option (put or call) and expiration; and (xiv) such 
additional information as may be prescribed from time to time by the 
Exchange. CFE is proposing to move the above provisions from current 
Rule 403(a) to new Rule 403(b) and to provide in new Rule 403(b) that 
the above provisions will apply to single Orders.
    CFE is proposing to add new Rule 403(c) to provide that each Bulk 
Message must contain the following information: (i) Quote Update ID; 
(ii) EFID; (iii) Order Entry Operator ID; (iv) Clearing Corporation 
origin code (C for Customer or F for Firm); (iv) Customer Type 
Indicator code; (v) manual Order indicator; (vi) account designation 
(which shall be the account number of the account of the party for 
which the Quotes in the Bulk Message were placed, except that a 
different account designation may be included in the case of a Quote 
that is a bunched Order or in the case of a Quote for which there will 
be a post-trade allocation of the resulting trade(s) to a different 
clearing member); (vii) at least one Quote; and (vii) such additional 
information as may be prescribed from time to time by the Exchange.
    CFE is proposing to add new Rule 403(d) to provide that each Quote 
must contain the following information: (i) Whether the Quote is to buy 
or sell; (ii) price or premium; (iii) quantity; (iv) Contract 
identifier; and (v) such additional information as may be prescribed 
from time to time by the Exchange.
    Rule 403(a) currently provides that any Order that does not contain 
required information in a form and manner prescribed by the Exchange 
will be rejected or canceled back to the sender by the CFE System. CFE 
is proposing to delete that provision from Rule 403(a) and to add an 
equivalent provision to new Rule 403(e) that will apply to single 
Orders, Bulk Messages, and Quotes. Specifically, CFE proposes that new 
Rule 403(e) provide that any single Order, Bulk Message, or Quote that 
does not contain required information in a form and manner prescribed 
by the Exchange will be rejected or canceled back to the sender by the 
CFE System.
    Finally, CFE is proposing to change the paragraph lettering of 
current Rule 403(b) to Rule 403(f) and to change the paragraph 
lettering of current Rule 403(c) to Rule 403(g) without changing the 
text of either provision.
2. Statutory Basis
    The Exchange believes that the proposed rule change is consistent 
with Section 6(b) of the Act,\5\ in general, and furthers the 
objectives of Sections 6(b)(1) \6\ and 6(b)(5) \7\ in particular in 
that it is designed:
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    \5\ 15 U.S.C. 78f(b).
    \6\ 15 U.S.C. 78f(b)(1).
    \7\ 15 U.S.C. 78f(b)(5).
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     To enable the Exchange to enforce compliance by its TPHs 
and persons associated with its TPHs with the provisions of the rules 
of the Exchange,
     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,
     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.
    The Exchange believes that the proposed rule change serves to 
enhance CFE's market by contributing to CFE's ability to implement 
quoting functionality by requiring the provision of information that 
the CFE System needs in order to process Bulk Messages and Quotes 
submitted through that quoting functionality.
    The Exchange also believes that the proposed rule change serves to 
strengthen CFE's ability to carry out its responsibilities as a self-
regulatory organization. First, the proposed rule change provides 
guidance to TPHs regarding the type of information that must be 
included within Bulk Messages and Quotes. Second, the proposed rule 
change contributes to enhancing the effectiveness of CFE's audit trail 
program by helping to assure that required information is included 
within Bulk Messages and Quotes. Third, the proposed rule change 
furthers CFE's ability to enforce compliance with CFE rules since the 
Exchange plans to utilize this audit trail information in connection 
with its surveillance of CFE's market and in connection with reviewing 
trading activity on CFE's market for rule compliance.

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, in that the proposed rule change will enhance 
CFE's ability to carry out its responsibilities as a self-regulatory 
organization. The Exchange believes that the proposed rule change is 
equitable and not unfairly discriminatory in that the rule amendments 
included in the proposed rule change would apply equally to all TPHs.

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 operative on February 12, 
2020. 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.\8\
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    \8\ 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:

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-2020-001 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange

[[Page 8978]]

Commission, 100 F Street NE, Washington, DC 20549-1090.

All submissions should refer to File Number SR-CFE-2020-001. 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 website (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 website 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. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-CFE-2020-001, and should be submitted on 
or before March 10, 2020.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\9\
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    \9\ 17 CFR 200.30-3(a)(73).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-03088 Filed 2-14-20; 8:45 am]
BILLING CODE 8011-01-P