15438 Federal Register / Vol. 77, No. 51 / Thursday, March 15, 2012 / Notices 

10See Note 9 and also Exchange Fees Schedule, 

footnote (9), in which the Exchange waives 

transaction fees for customer orders of 99 contracts 

or less in ETF, ETN and HOLDRs options. 

11 15 U.S.C. 78s(b)(3)(A). 

12 17 CFR 240.19b–4(f). 13 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b-4. 

3See Securities Exchange Act Release No. 66131 

(January 11, 2012), 77 FR 2595 (January 18, 2012) 

(‘‘Notice’’). 

4 In Amendment No. 1, the Exchange represented 

that it will provide to the Commission the same 

data that the Chicago Board of Options Exchange, 

Incorporated provides to the Commission in 

connection with that exchange’s AIM. See 

Securities Exchange Act Release No. 53222 

(February 3, 2006), 71 FR 7089 (February 10, 2006). 

Amendment No. 1 is technical in nature, and 

therefore the Commission is not publishing 

Amendment No. 1 for public comment. 

5The term ‘‘Participant’’ is defined in C2 Rule 

1.1. 

6See Rule 6.51(a)(2)–(3). See also Rule 6.51, 

Interpretations and Policies .03, noting that for at 

99 or fewer contracts are generally 

entered by small retail customers, 

whereas customer orders of 100 or 

greater contracts are generally entered 

by larger, more active customers. Such 

customers are largely more 

sophisticated than smaller retail 

customers and have the capability to 

‘‘link’’ orders themselves (send orders to 

the exchange displaying the NBBO), 

while smaller retail customers often do 

not have such capabilities. As such, 

CBOE does not want to unduly 

subsidize Linkage orders for parties that 

are capable of handling that function 

themselves. Moreover, different fee 

structures are appropriate for these 

different groups due to their different 

demographics and trading 

characteristics, and the Exchange 

currently has set this 100-contract 

threshold in multiple places in its Fees 

Schedule.10

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

CBOE does not believe that the 

proposed rule change will impose any 

burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

The Exchange neither solicited nor 

received comments on the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 

19(b)(3)(A) 11 of the Act and paragraph 

(f) of Rule 19b–4 12 thereunder. At any 

time within 60 days of the filing of the 

proposed rule change, the Commission 

summarily may temporarily suspend 

such rule change if it appears to the 

Commission that such action is 

necessary or appropriate in the public 

interest, for the protection of investors, 

or otherwise in furtherance of the 

purposes of the Act. 

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 rulecomments@sec.gov. Please include File 

Number SR–CBOE–2012–022 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–CBOE–2012–022. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/ 

rules/sro/shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for Web site viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE., 

Washington, DC 20549, on official 

business days between the hours of 

10 a.m. and 3 p.m. Copies of such filing 

will also 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 No. SR–CBOE– 

2012–022 and should be submitted on 

or before April 5, 2012. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.13

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–6234 Filed 3–14–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66552; File No. SR–C2– 

2011–043] 

Self-Regulatory Organizations; C2 

Options Exchange, Incorporated; 

Order Approving Proposed Rule 

Change, as Modified by Amendment 

No. 1 Thereto, Relating to Changes to 

the Automated Improvement 

Mechanism 

March 9, 2012. 

I. Introduction 

On December 30, 2011, C2 Options 

Exchange, Incorporated (‘‘Exchange’’ or 

‘‘C2’’) 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 relating to its 

Automated Improvement Mechanism 

(‘‘AIM’’). The proposed rule change was 

published for comment in the Federal 

Register on January 18, 2012.3 On 

March 2, 2012, the Exchange filed 

Amendment No. 1 to the proposed rule 

change.4 The Commission received no 

comments on the proposal. This order 

approves the proposed rule change, as 

modified by Amendment No. 1 thereto. 

II. Description of the Proposal 

C2’s AIM allows a Participant 5 to 

cross an agency order it presents as 

agent (‘‘Agency Order’’) against 

principal interest or a solicited order, 

provided that it first exposes the Agency 

Order to a one-second auction. If the 

Agency Order is 50 contracts or greater, 

the Participant (‘‘Initiating Participant’’) 

must stop the Agency Order at the 

national best bid or offer (‘‘NBBO’’) (or 

the order’s limit price if better), and if 

it is less than 50 contracts, the 

Participant must stop the Agency Order 

at the NBBO improved by one minimum 

increment (or the order’s limit price if 

better).6 When initiating an auction, an 


srobinson on DSK4SPTVN1PROD with NOTICES
Federal Register / Vol. 77, No. 51 / Thursday, March 15, 2012 / Notices 15439 

least a Pilot Period expiring on July 18, 2012, there 

will be no minimum size requirement for orders to 

be eligible for the auction. 

7See Rule 6.51(b)(1)(A). 

8See id. 

9See Rule 6.51(b)(1)(B)–(C). 

10See Rule 6.51(b)(3)(A). 

11See Rule 6.51(b)(3)(F). 

12See Rule 6.51, Interpretation and Policies .03. 

See also Amendment No. 1, supra note 4. 

13 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). 

14 15 U.S.C. 78f(b). 

15 15 U.S.C. 78f(b)(5). 

16See Rule 6.51(b)(1)(D). 

17See Amendment No. 1, supra note 4. 

18The Commission also notes that the Exchange’s 

auto-match proposal is similar to the current rules 

Continued 

Initiating Participant submitting an 

Agency Order to the AIM either must 

indicate a single price at which it seeks 

to cross the Agency Order (‘‘single-price 

submission’’) or must indicate that it 

will match as principal the price and 

size of all AIM responses (‘‘automatch’’).7 Once the Initiating Participant 

has submitted an Agency Order for 

processing, such submission may not be 

modified or cancelled.8 A Request for 

Responses (‘‘RFR’’) will then be sent to 

any Participant that has elected to 

receive such requests, and the exposure 

period will last for one second.9 If the 

auction attracts responses (which may 

be submitted by Participants), the 

Agency Order will be allocated at the 

best price(s), subject to the allocation 

algorithm in effect for the option class, 

and public customer orders in the book 

will have priority.10 If the best price 

equals the initiating Participant’s singleprice submission, then the Initiating 

Participant will be allocated the greater 

of one contract or a specified percentage 

of the order, which percentage will be 

determined by the Exchange and may 

not be greater than 40% (or 50% in the 

case of a single-price submission where 

only one other market maker matches 

the price).11

The Exchange proposes to amend 

Rule 6.51 to allow an Initiating 

Participant to enter an Agency Order for 

fewer than 50 contracts into the AIM at 

the NBBO. The proposal eliminates the 

distinction between orders for fewer 

than 50 contracts and orders for 50 

contracts or greater and thereby will 

allow an Initiating Participant to submit 

to AIM an Agency Order of any size at 

the NBBO. 

The Exchange also proposes to allow 

an Initiating Participant to elect to automatch competing prices from other 

market participants up to a designated 

limit price. The Initiating Participant 

will not be able to cancel the auto-match 

instruction after an AIM Auction 

commences and will have no control 

over the prices at which it receives an 

allocation in the auction other than the 

outside boundary established by the 

designated limit price. 

The Exchange notes that, during the 

existing pilot for certain components of 

AIM, there is no minimum size 

requirement for orders that are eligible 

for AIM. In connection with the pilot 

program, the Exchange represents that it 

will continue to submit to the 

Commission reports providing AIM 

Auction and order execution data, 

including monthly data regarding 

executions through AIM of agency 

orders for 50 contracts or greater or for 

fewer than 50 contracts, as supporting 

evidence that, among other things, there 

is meaningful competition for all size 

orders.12

The Exchange represents that, in 

connection with the proposed automatch feature, it will provide the 

Commission with the following 

additional data: (1) The percentage of 

trades effected through AIM in which 

the Initiating Participant submitted an 

Agency Order with an auto-match 

instruction that included a designated 

limit price and the percentage that did 

not include a designated limit price; and 

(2) the average amount of price 

improvement provided to AIM Agency 

Orders when the Initiating Participant 

submitted an auto-match instruction 

that included a designated limit price 

and the average amount that did not 

include a designated limit price, versus 

the average amount of price 

improvement provided to AIM Agency 

Orders when the Initiating Participant 

submitted a single price (no auto-match 

instruction). 

At least one week prior to 

implementation of the proposed rule 

change, the Exchange will issue a notice 

to Participants informing them of the 

implementation of the additional automatch feature. Participants will have an 

opportunity to make any necessary 

modifications to coincide with the 

implementation date. 

III. Discussion and Commission 

Findings 

After careful review, the Commission 

finds that the proposed rule change, as 

modified by Amendment No. 1, is 

consistent with the Act and the rules 

and regulations thereunder applicable to 

a national securities exchange.13 In 

particular, the Commission finds that 

the proposed rule change is consistent 

with Section 6(b) of the Act,14 in 

general, and Section 6(b)(5) of the Act,15

in particular, which requires that the 

rules of an exchange be designed, 

among other things, to promote just and 

equitable principles of trade, to prevent 

fraudulent and manipulative acts, to 

remove impediments to and to perfect 

the mechanism for a free and open 

market and a national market system, 

and, in general, to protect investors and 

the public interest. 

The Commission believes that the 

proposal to permit Initiating 

Participants to stop an Agency Order for 

fewer than 50 contracts at the better of 

the NBBO or the order’s limit price will 

continue to provide customers with an 

opportunity for price improvement over 

the NBBO. The Commission also 

believes that the proposal will continue 

to provide Participants with incentives 

to compete in AIM Auctions. The 

Commission notes that once an Agency 

Order is submitted into the AIM 

Auction, the submission may not be 

modified or cancelled. Therefore, the 

Agency Order submitted to the AIM 

Auction will be guaranteed an execution 

price of at least the NBBO and, 

moreover, will be given an opportunity 

for execution at a price better than the 

NBBO. 

The Commission notes that the 

Initiating Participant’s maximum 

allocation in the auction will be only 

40% (or 50% in the case of a single 

price submission where only one other 

market maker matches the price). 

Further, C2’s current rules provide for 

broad participation in the AIM 

Auction,16 which should allow for a 

meaningful, competitive auction. 

Moreover, the Commission believes that 

the proposal may encourage increased 

participation in the AIM by Participants 

willing to trade with an Agency Order 

of less than 50 contracts at the NBBO 

but not better than the NBBO. The 

Commission also notes that the proposal 

makes the handling of AIM Agency 

Orders of under 50 contracts consistent 

with larger AIM Agency Orders. Finally, 

the Commission notes that it will 

continue to receive data from the 

Exchange pursuant to the AIM pilot 

program, and that it will have the 

opportunity to evaluate the data to 

assess the impact of the proposal.17

The Commission believes that the 

proposal to add an option for Initiating 

Participants to auto-match competing 

prices from other market participants up 

to a designated limit price is also 

consistent with the Act. The 

Commission believes that the change 

may encourage increased participation 

in AIM because it will allow Initiating 

Participants to trade with an Agency 

Order at a price better than the NBBO, 

but only up to a certain price.18 In 


srobinson on DSK4SPTVN1PROD with NOTICES
15440 Federal Register / Vol. 77, No. 51 / Thursday, March 15, 2012 / Notices 

of the Boston Options Exchange Group, LLC 

(‘‘BOX’’) and the International Securities Exchange, 

LLC (‘‘ISE’’) relating to the Price Improvement 

Period (‘‘PIP’’) and Price Improvement Mechanism 

(‘‘PIM’’), respectively. See Securities Exchange Act 

Release Nos. 62644 (August 4, 2010), 75 FR 48395 

(August 10, 2010) (SR–ISE–2010–61) (notice of 

filing and immediate effectiveness of rule change to 

add auto-match functionality in the PIM) and 61805 

(March 31, 2010), 75 FR 17454 (April 6, 2010) (SR– 

BX–2010–022) (notice of filing and immediate 

effectiveness of rule change to add auto-match 

functionality in the PIP). 

19 15 U.S.C. 78s(b)(2). 

20 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 66180 

(January 18, 2012), 77 FR 3532 (‘‘Notice’’). 

4Commentary .02 to NYSE Arca Equities Rule 

8.200 applies to Trust Issued Receipts that invest 

in ‘‘Financial Instruments.’’ The term ‘‘Financial 

Instruments,’’ as defined in Commentary .02(b)(4) to 

NYSE Arca Equities Rule 8.200, means any 

combination of investments, including cash; 

securities; options on securities and indices; futures 

contracts; options on futures contracts; forward 

contracts; equity caps, collars and floors; and swap 

agreements. 

5See registration statement on Form S–1, dated 

December 22, 2011 (File No. 333–178707) 

(‘‘Registration Statement’’). 

6The term ‘‘under normal market conditions’’ 

includes, but is not limited to, the absence of 

extreme volatility or trading halts in the futures 

markets or the financial markets generally; 

operational issues causing dissemination of 

inaccurate market information; or force majeure 

type events such as systems failure, natural or manmade disaster, act of God, armed conflict, act of 

terrorism, riot or labor disruption or any similar 

intervening circumstance. 

addition, the Exchange will provide the 

Commission with data showing the 

average amount of price improvement 

provided to AIM Agency Orders when 

the Initiating Participant submitted an 

auto-match instruction versus the 

average amount of price improvement 

provided when there is no auto-match 

instruction. This additional data will 

allow the Commission to evaluate this 

change. 

Thus, for the reasons set forth above, 

the Commission believes that the 

proposal is consistent with the 

requirements of the Act. 

IV. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,19 that the 

proposed rule change (SR–C2–2011– 

043), as modified by Amendment No. 1 

thereto, be, and it hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.20

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–6230 Filed 3–14–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66553; File No. SR– 

NYSEArca-2012–04] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Order Granting Approval of 

Proposed Rule Change Relating to 

Listing and Trading of Shares of 

Twenty-Six Series of ProShares Trust 

II under NYSE Arca Equities Rule 8.200 

March 9, 2012. 

I. Introduction 

On January 6, 2012, NYSE Arca, Inc. 

(‘‘Exchange’’ or ‘‘NYSE Arca’’) 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 shares of 

twenty-six series of the ProShares Trust 

II under Commentary .02 to NYSE Arca 

Equities Rule 8.200. The proposed rule 

change was published for comment in 

the Federal Register on January 24, 

2012.3 The Commission received no 

comments on the proposal. This order 

grants approval of the proposed rule 

change. 

II. Description of the Proposed Rule 

Change 

The Exchange proposes to list and 

trade shares (‘‘Shares’’) of the following 

funds (each a ‘‘Fund’’ and, collectively, 

‘‘Funds’’) pursuant to NYSE Arca 

Equities Rule 8.200, Commentary .02: 

ProShares UltraPro Australian Dollar, 

ProShares UltraPro Canadian Dollar, 

ProShares UltraPro Swiss Franc, 

ProShares UltraPro Euro, ProShares 

UltraPro U.S. Dollar, and ProShares 

UltraPro Yen (collectively, ‘‘UltraPro 

Funds’’); ProShares UltraPro Short 

Australian Dollar, ProShares UltraPro 

Short Canadian Dollar, ProShares 

UltraPro Short Swiss Franc, ProShares 

UltraPro Short Euro, ProShares UltraPro 

Short U.S. Dollar, and ProShares 

UltraPro Short Yen (collectively, 

‘‘UltraPro Short Funds’’); ProShares 

Ultra Australian Dollar, ProShares Ultra 

Canadian Dollar, ProShares Ultra Swiss 

Franc and ProShares Ultra U.S. Dollar 

(collectively, ‘‘Ultra Funds’’); ProShares 

UltraShort Australian Dollar, ProShares 

UltraShort Canadian Dollar, ProShares 

UltraShort Swiss Franc and ProShares 

UltraShort U.S. Dollar (collectively, 

‘‘UltraShort Funds’’); and ProShares 

Short Australian Dollar, ProShares Short 

Canadian Dollar, ProShares Short Swiss 

Franc, ProShares Short Euro, ProShares 

Short U.S. Dollar, and ProShares Short 

Yen (collectively, ‘‘Short Funds’’). 

NYSE Arca Equities Rule 8.200, 

Commentary .02 permits the trading of 

Trust Issued Receipts either by listing or 

pursuant to unlisted trading privileges.4

Each Fund is a series of the ProShares 

Trust II (‘‘Trust’’), a Delaware statutory 

trust.5 ProShare Capital Management 

LLC (‘‘Sponsor’’) is the Trust’s sponsor, 

and Wilmington Trust Company is the 

Trust’s trustee. Brown Brothers 

Harriman & Co. (‘‘Administrator’’) 

serves as the administrator, custodian, 

and transfer agent of the Funds. SEI 

Investments Distribution Co. 

(‘‘Distributor’’) serves as distributor of 

the Shares. 

The UltraPro Funds seek daily 

investment results (before fees and 

expenses) that correspond to three times 

(+300%) the daily performance, whether 

positive or negative, of their 

corresponding benchmark, and the 

UltraPro Short Funds seek daily 

investment results (before fees and 

expenses) that correspond to three times 

the inverse (¥300%) of the daily 

performance, whether positive or 

negative, of their corresponding 

benchmark. The Ultra Funds seek daily 

investment results (before fees and 

expenses) that correspond to twice 

(+200%) the daily performance, whether 

positive or negative, of their 

corresponding benchmarks, and the 

UltraShort Funds seek daily investment 

results (before fees and expenses) that 

correspond to twice the inverse 

(¥200%) of the daily performance, 

whether positive or negative, of their 

corresponding benchmarks. The Short 

Funds seek daily investment results 

(before fees and expenses) that 

correspond to the inverse (¥100%) of 

the daily performance, whether positive 

or negative, of their corresponding 

benchmarks (each corresponding 

benchmark is referred to as a 

‘‘Benchmark’’ and, collectively, 

‘‘Benchmarks’’). 

Each of the Funds will hold futures 

contracts on the applicable Benchmark 

or, in the case of a Benchmark index, 

futures contracts on such Benchmark 

index or the Benchmark index 

components, that are traded on a United 

States exchange (‘‘Benchmark Futures 

Contracts’’) and, to a limited extent, 

forward contracts, as described below, 

to produce the economically ‘‘inverse,’’ 

‘‘leveraged,’’ or ‘‘inverse leveraged’’ 

investment results, as set forth by each 

Fund’s investment objective. 

Each Fund seeks to achieve its 

investment objective by investing, under 

normal market conditions,6 in 

Benchmark Futures Contracts. In the 

event position accountability rules or 

position limits are reached with respect 

to a particular Benchmark Futures 

Contract, the Sponsor may, in its 


srobinson on DSK4SPTVN1PROD with NOTICES