Federal Register / Vol. 80, No. 24 / Thursday, February 5, 2015 / Notices 6555 

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

2 17 CFR 240.19b–4. 

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

4 17 CFR 240.19b–4(f)(4)(ii). 

of applicants and the acquiring fund, or 

their affiliates. 

Filing Date: The applications were 

filed on December 22, 2014. 

Applicants’ Address: 800 Nicollet 

Mall, BC–MN–H04N, Minneapolis, MN 

55402. 

Minnesota Municipal Income Portfolio 

Inc. [File No. 811–7680] 

First American Minnesota Municipal 

Income Fund II Inc. [File No. 811– 

21193] 

Summary: Each applicant, a closedend investment company, seeks an 

order declaring that it has ceased to be 

an investment company. Applicants 

transferred their assets to Nuveen 

Minnesota Municipal Income Fund, and 

on October 22, 2014, made distributions 

to their shareholders based on net asset 

value. Expenses of $259,711 and 

$88,537, respectively, incurred in 

connection with the reorganizations 

were paid by the investment advisers of 

applicants and the acquiring fund, or 

their affiliates. 

Filing Date: The applications were 

filed on December 22, 2014. 

Applicants’ Address: 800 Nicollet 

Mall, BC–MN–H04N, Minneapolis, MN 

55402. 

BlackRock Fixed Income Value 

Opportunities [File No. 811–22252] 

Summary: Applicant, a closed-end 

investment company, seeks an order 

declaring that it has ceased to be an 

investment company. On December 17, 

2014, applicant made a liquidating 

distribution to its shareholders, based 

on net asset value. Applicant has 

retained $58,600 in cash in a liquidating 

trust to pay contingent liabilities, and 

any remaining assets will be distributed 

to shareholders. Expenses of 

approximately $30,500 incurred in 

connection with the liquidation were 

paid by applicant. 

Filing Date: The application was filed 

on December 22, 2014. 

Applicant’s Address: 100 Bellevue 

Pkwy., Wilmington, DE 19809. 

Williams Capital Management Trust 

[File No. 811–21186] 

Summary: Applicant seeks an order 

declaring that it has ceased to be an 

investment company. On September 22, 

2014, applicant made a liquidating 

distribution to its shareholders, based 

on net asset value. Expenses of $30,000 

incurred in connection with the 

liquidation were paid by applicant. 

Filing Dates: The application was 

filed on November 25, 2014, and 

amended on December 22, 2014. 

Applicant’s Address: 650 Fifth Ave., 

9th Floor, New York, NY 10019. 

Pacific Corporate Group Private Equity 

Fund [File No. 811–8637] 

Summary: Applicant, a closed-end 

investment company, seeks an order 

declaring that it has ceased to be an 

investment company. On December 30, 

2014, applicant made a liquidating 

distribution to its shareholders, based 

on net asset value. Applicant has 

retained $188,657 to pay its outstanding 

expenses. Additional expenses of 

$109,555 incurred in connection with 

reorganization were previously paid by 

applicant. 

Filing Date: The application was filed 

on January 16, 2015. 

Applicant’s Address: 1015 Ocean 

Blvd., Coronado, CA 92118. 

Salient MLP & Energy Infrastructure 

Fund [File No. 811–22530] 

Summary: Applicant, a closed-end 

investment company, seeks an order 

declaring that it has ceased to be an 

investment company. Applicant 

transferred its assets to Salient 

Midstream & MLP Fund, and on 

November 17, 2014, made distributions 

to its shareholders based on net asset 

value. Expenses of $89,525 incurred in 

connection with the reorganization were 

paid by applicant and the acquiring 

fund. 

Filing Date: The application was filed 

on December 15, 2014. 

Applicant’s Address: 4265 San Felipe, 

8th Floor, Houston, TX 77027. 

Nomura Partners Funds, Inc. [File No. 

811–1090] 

Summary: Applicant seeks an order 

declaring that it has ceased to be an 

investment company. Applicant 

transferred the assets of its remaining 

series to Nomura High Yield Fund, a 

series of The Advisors’ Inner Circle 

Fund III, and on December 8, 2014, 

made distributions to its shareholders 

based on net asset value. Applicant did 

not incur any expenses in connection 

with the reorganization. 

Filing Date: The application was filed 

on December 16, 2014. 

Applicant’s Address: 4 Copley Place, 

5th Floor, CPH–0326, Boston, MA 

02116. 

American Fidelity Dual Strategy Fund, 

Inc. [File No. 811–8873] 

Summary: Applicant seeks an order 

declaring that it has ceased to be an 

investment company. On December 2, 

2014, applicant made a liquidating 

distribution to its shareholders, based 

on net asset value. Expenses $18,530 

incurred in connection with the 

liquidation were paid by American 

Fidelity Assurance Company, 

applicant’s investment adviser. 

Filing Dates: The application was 

filed on December 1, 2014, and 

amended on January 8, 2015. 

Applicant’s Address: 2000 N Classen 

Blvd., Oklahoma City, OK 73106. 

Clipper Fund, Inc. [File No. 811–3931] 

Summary: Applicant seeks an order 

declaring that it has ceased to be an 

investment company. Applicant 

transferred its assets to Clipper Fund, a 

series of Clipper Funds Trust, and on 

December 17, 2014, made distributions 

to shareholders based on net asset value. 

Expenses of approximately $361,841 

incurred in connection with the 

reorganization were paid by applicant 

and Davis Selected Advisors, L.P., 

applicant’s investment adviser. 

Filing Date: The application was filed 

on December 29, 2014. 

Applicant’s Address: c/o Davis 

Advisors—Legal Department, 2949 E. 

Elvira Rd., Ste. 101, Tucson, AZ 85756. 

For the Commission, by the Division of 

Investment Management, pursuant to 

delegated authority. 

Jill M. Peterson, 

Assistant Secretary. 

[FR Doc. 2015–02303 Filed 2–4–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74179; File No. SR–CME– 

2015–002] 

Self-Regulatory Organizations; 

Chicago Mercantile Exchange Inc.; 

Notice of Filing and Immediate 

Effectiveness of Proposed Rule 

Change Related to Enhancements to 

Its Risk Model for Credit Default Swaps 

January 30, 2015. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 (‘‘Act’’ 

or ‘‘Exchange Act’’),1 and Rule 19b–4 

thereunder,2 notice is hereby given that 

on January 21, 2015, Chicago Mercantile 

Exchange Inc. (‘‘CME’’) 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 

primarily by CME. CME filed the 

proposal pursuant to Section 19(b)(3)(A) 

of the Act,3 and Rule 19b–4(f)(4)(ii) 4

thereunder, so that the proposal was 

effective upon filing with the 

Commission. The Commission is 

publishing this notice to solicit 


rljohnson on DSK3VPTVN1PROD with NOTICES
6556 Federal Register / Vol. 80, No. 24 / Thursday, February 5, 2015 / Notices 

5For purposes of determining the largest 

potential residual losses, the self-referencing 

exposure of a CDS SR Clearing Member will be 

aggregated with that of any affiliated CDS SR 

Clearing Member. 

6CME received a notice of non-objection to the 

proposed rule change contained herein from the 

Commodity Futures Trading Commission (‘‘CFTC’’). 

See Letter from Phyllis Dietz, Acting Director, 

CFTC, to Jason Silverstein, Executive Director and 

Associate General Counsel, CME (December 22, 

2014). The CFTC imposed conditions in the notice 

of non-objection. In accordance with the CFTC 

conditions, CME will monitor the self-referencing 

risk brought by CDS SR Clearing Members on a 

daily basis. In the event the self-referencing 

potential residual loss of three or more CDS SR 

Clearing Members exceeds the equivalent of 50 

million Euros each, CME will require additional 

initial margin from each such CDS SR Clearing 

Member to cover the incremental portion of the selfreferencing risk it brings above 50 million Euros. 

7 15 U.S.C. 78q–1. 

8 15 U.S.C. 78q–1(b)(3)(F). 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

CME is proposing to add a new CDS 

Guaranty Fund charge to CDS Clearing 

Members that clear CDS Products that 

reference themselves or their affiliates 

and delete the current threshold-based 

approach. Specifically, CME proposes to 

add a new risk component to its CDS 

Stress Test Methodology to capture selfreferencing risk arising from contracts 

that include component transactions for 

which the reference entity is a clearing 

member or one of its affiliates. In 

addition, CME proposes to add a new 

stress exposure calculation to size the 

self-referencing risk. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, 

CME included statements concerning 

the purpose 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. CME 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 

CME is proposing to add a new CDS 

Guaranty Fund charge to CDS Clearing 

Members that clear CDS Products that 

reference themselves or their affiliates 

and delete the current threshold-based 

approach. Specifically, CME proposes to 

add a new risk component to its CDS 

Stress Test Methodology to capture selfreferencing risk arising from contracts 

that include component transactions for 

which the reference entity is a Clearing 

Member or one of its affiliates. In 

addition, CME proposes to add a new 

stress exposure calculation to size the 

anticipated maximum self-referencing 

risk. 

Although CME does not permit a CDS 

Clearing Member or a customer to enter 

into or maintain a single-name CDS 

position referencing the clearing 

member or an affiliate, a self-referencing 

CDS position may arise where the CDS 

Clearing Member or its affiliate is the 

Reference Entity in respect of a 

component transaction within the index 

referenced in a CDS position. For 

example, such a situation may arise in 

the context of index CDS contracts 

which reference CDS Clearing Members 

or their affiliates. In such cases, the CDS 

Clearing Member (a ‘‘CDS SR Clearing 

Member’’), either through its own 

account or that of a customer, has 

exposure to a CDS Product that 

references itself or its affiliate (each, an 

‘‘SR Transaction’’). CME proposes to 

address this potential exposure to selfreferencing risk by allocating an 

additional ‘‘jump-to-default’’ (‘‘JTD’’) 

risk for each CDS SR Clearing Member 

under its Stress Test Methodology. CME 

considers a CDS Clearing Member 

default to be an extreme tail risk event 

which is subject to the CDS financial 

safeguards, including mutualization 

across all other CDS Clearing Members 

via the CDS Guaranty Fund. 

Currently, CDS SR Clearing Members 

that clear self-referencing indices for 

themselves or their customers are 

required to collateralize the selfreferencing exposure in an amount 

specified in the CME Rules. CME is now 

proposing to adopt a risk-based 

approach without reference to any 

preset threshold to capture this selfreferencing risk. The additional risk 

associated with CDS SR Clearing 

Members will be added to the stress 

scenarios used to size the CDS Guaranty 

Fund and CME will require each CDS 

SR Clearing Member to make an 

additional CDS Guaranty Fund Deposit 

to address this risk (such additional 

deposit, the ‘‘CDS SR Deposit’’). The 

aggregate amount of CDS SR Deposits 

will be sized to cover the net selfreferencing exposure of the two CDS SR 

Clearing Members whose combined 

default would create the largest possible 

loss to CME in extreme but plausible 

market conditions 5 using the stress 

testing methodology and will be 

allocated proportionately to each CDS 

SR Clearing Member. The required CDS 

SR Deposit will be allocated to each 

CDS SR Clearing Member in proportion 

to each such CDS SR Clearing Member’s 

net self-referencing exposure.6

A new CME Rule 8H06 (CDS SR 

Deposit) has been added to reflect 

accurately these proposed changes to 

the CDS Guaranty Fund in the CME 

Rules, and CME Rule 8H802.B 

(Satisfaction of Clearing House 

Obligations) has been amended to 

reflect the introduction of the CDS SR 

Deposit. In addition, provisions in CME 

Rule 80104.A (Clearing Through 

Clearing Member’s House (or 

Proprietary) Account) and CME Rule 

80104.B (Clearing Through Clearing 

Members Customer Account) that relate 

to the requirement by clearing members 

that clear self-referencing indices for 

themselves or their customers to 

collateralize the self-referencing 

exposure in an amount specified in the 

CME Rules have been deleted. 

2. Statutory Basis 

CME believes the proposed rule 

change is consistent with the 

requirements of the Exchange Act, 

including Section 17A of the Exchange 

Act 7 and the applicable regulations 

thereunder. The proposed rule change is 

designed to promote the prompt and 

accurate clearance and settlement of 

securities transactions and, to the extent 

applicable, derivatives agreements, 

contracts, and transactions, to assure the 

safeguarding of securities and funds 

which are in the custody or control of 

the clearing agency or for which it is 

responsible, and, in general, to protect 

investors and the public interest 

consistent with Section 17A(b)(3)(F) of 

the Exchange Act.8

The proposed rule change 

accomplishes these objectives because it 

is intended to capture more accurately 

the risk associated with CDS Clearing 

Members that clear CDS Products that 

references themselves or their affiliates. 

A CDS Clearing Member default may 

result in contagion among financial 

institutions, widening spreads and 

exposing portfolios consisting of index 

CDS that reference financial entities to 

potential wrong-way risk. For example, 

the default of a CDS Clearing Member 

based in the United States, which is not 

referenced in an index referencing 

European names, could lead to overall 

widening of the credit spreads among 

financial institutions worldwide, 

leading to widening of spreads in nonUS indices. This may lead to variations 

in correlations between such non-US 

indices and other North American 


rljohnson on DSK3VPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 24 / Thursday, February 5, 2015 / Notices 6557 

9 Id. 

10 17 CFR 240.17Ad–22. 

11 17 CFR 240.17Ad–22(b)(2). 

12 17 CFR 240.17Ad–22(d)(14). 

13 17 CFR 240.17Ad–22(b)(3). 

14 17 CFR 240.17Ad–22(b)(1). 

15 17 CFR 240.17Ad–22(d)(11). 

16 15 U.S.C. 78s(b)(3)(A). 

17 17 CFR 240.19b–4(f)(4)(ii). 

18See Securities Exchange Act Release No. 34– 

73615 (Nov. 17, 2014), 79 FR 69545 (Nov. 21, 2014) 

(SR–CME–2014–49). The only exception is with 

regards to Restructuring European Single Name 

CDS Contracts created following the occurrence of 

a Restructuring Credit Event in respect of an iTraxx 

Component Transaction. The clearing of 

Restructuring European Single Name CDS Contracts 

will be a necessary byproduct after such time that 

CME begins clearing iTraxx Europe index CDS. 

indices, potentially adversely impacting 

certain portfolios which are sensitive to 

such correlations. This increase in 

potential exposure caused by contagion 

is addressed in the Proposed CDS Risk 

Model and Stress Test Methodology via 

incorporation of stressed correlation 

scenarios. 

CME will also promote the efficient 

use of margin for the clearinghouse and 

its Clearing Members and their 

customers, by enabling CME to provide 

appropriate portfolio margining 

treatment between index and singlename CDS positions and as such 

contribute to the safeguarding of 

securities and funds in CME’s custody 

or control or for which CME is 

responsible and the protection of 

investors.9

CME also believes the proposed rule 

change is consistent with the 

requirements of Rule 17Ad–22 of the 

Exchange Act.10 In particular, in terms 

of financial resources, CME believes that 

the proposed rule change will continue 

to ensure sufficient margin to cover its 

credit exposure to its clearing members, 

consistent with the requirements of Rule 

17Ad–22(b)(2) 11 and Rule 17Ad– 

22(d)(14),12 and that the CDS Guaranty 

Fund contributions and required margin 

will provide sufficient financial 

resources to withstand a default by the 

two participant families to which it has 

the largest exposures in extreme but 

plausible market conditions consistent 

with the requirements of Rule 17Ad– 

22(b)(3).13 CME is adding a CDS 

Guaranty Fund deposit using this 

approach to address self-referencing 

risk, which has historically not been a 

material risk in relation to the CDS 

products cleared by CME to date. In 

anticipation of clearing additional 

products, CME proposes to replace the 

existing threshold-based margin 

requirement with a risk-based 

additional CDS Guaranty Fund charge. 

In addition, CME believes that the 

proposed rule change is consistent with 

CME’s requirement to limit its 

exposures to potential losses from 

defaults by its participants under 

normal market conditions pursuant to 

17Ad–22(b)(1).14 CME also believes that 

the proposed rule change will continue 

to allow for it to take timely action to 

contain losses and liquidity pressures 

and to continue meeting its obligations 

in the event of clearing member 

insolvencies or defaults, in accordance 

with Rule 17Ad–22(d)(11).15

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

CME does not believe that the 

proposed rule change will have any 

impact, or impose any burden, on 

competition. The proposed rule change 

reflects enhancements to CME’s CDS 

Risk Model. Consequently, CME does 

not believe that the proposed rule 

change would significantly affect the 

ability of Clearing Members or other 

market participants to continue to clear 

CDS, consistent with the risk 

management requirements of CME, or 

otherwise limit market participants’ 

choices for selecting clearing services. 

For the foregoing reasons, the Proposed 

CDS Risk Model does not, in CME’s 

view, impose any unnecessary or 

inappropriate burden on competition. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

Written comments relating to the 

Proposed CDS Risk Model have not 

been solicited or received. CME will 

notify the Commission of any written 

comments received by CME. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective upon filing pursuant to Section 

19(b)(3)(A) 16 of the Act and Rule 19b– 

4(f)(4)(ii) 17 thereunder. 

CME asserts that this proposal 

constitutes a change in an existing 

service of CME that (a) primarily affects 

the clearing operations of CME with 

respect to products that are not 

securities, including futures that are not 

security futures, and swaps that are not 

security-based swaps or mixed swaps, 

and forwards that are not security 

forwards; and (b) does not significantly 

affect any securities clearing operations 

of CME or any rights or obligations of 

CME with respect to securities clearing 

or persons using such securities-clearing 

service, which renders the proposed 

change effective upon filing. CME 

believes that the proposal does not 

significantly affect any securities 

clearing operations of CME because 

CME recently filed a proposed rule 

change that clarified that CME has 

decided not to clear security-based 

swaps, except in a very limited set of 

circumstances.18 The rule filing 

reflecting CME’s decision not to clear 

security-based swaps removed any 

ambiguity concerning CME’s ability or 

intent to perform the functions of a 

clearing agency with respect to securitybased swaps. Therefore, this proposal 

will not have an effect on any securities 

clearing operations of CME. 

At any time within 60 days of the 

filing of the proposed 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 rule-comments@

sec.gov. Please include File No. SR– 

CME–2015–002 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. 

All submissions should refer to File 

Number SR–CME–2015–002. 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 


rljohnson on DSK3VPTVN1PROD with NOTICES
6558 Federal Register / Vol. 80, No. 24 / Thursday, February 5, 2015 / Notices 

19 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. 73821 

(December 11, 2014), 79 FR 75217 (‘‘Notice’’). 

4 15 U.S.C. 78s(b)(2). 

5 15 U.S.C. 78s(b)(2). 

6 17 CFR 200.30–3(a)(31). 

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

2 17 CFR 240.19b–4. 

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 or 

10:00 a.m. and 3:00 p.m. Copies of such 

filing also will be available for 

inspection and copying at the principal 

office of CME and on CME’s Web site at 

http://www.cmegroup.com/marketregulation/rule-filings.html. 

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–CME–2015–002 and should 

be submitted on or before February 26, 

2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.19

Jill M. Peterson, 

Assistant Secretary. 

[FR Doc. 2015–02251 Filed 2–4–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74184; File No. SR–NYSE– 

2014–65] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; Notice of 

Designation of Longer Period for 

Commission Action on Proposed Rule 

Change Amending Its Continued 

Listing Requirements in Relation to the 

Late Filing of a Company’s Annual 

Report With the Securities and 

Exchange Commission as Set Forth in 

Section 802.01E of the Exchange’s 

Listed Company Manual 

January 30, 2015. 

On December 4, 2014, New York 

Stock Exchange LLC (‘‘NYSE’’ or the 

‘‘Exchange’’) 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 

amend its continued listing 

requirements in relation to the late filing 

of a company’s annual report with the 

Commission as set forth in Section 

802.01E of the Exchange’s Listed 

Company Manual (‘‘Late Filer Rule’’). 

The proposed rule change was 

published for comment in the Federal 

Register on December 17, 2014.3 The 

Commission received no comment 

letters regarding the proposed rule 

change. 

Section 19(b)(2) of the Act 4 provides 

that within 45 days of the publication of 

notice of the filing of a proposed rule 

change, or within such longer period up 

to 90 days as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or as to which the 

self-regulatory organization consents, 

the Commission shall either approve the 

proposed rule change, disapprove the 

proposed rule change, or institute 

proceedings to determine whether these 

proposed rule changes should be 

disapproved. The 45th day for this filing 

is January 31, 2015. 

The Commission is extending the 45- 

day time period for Commission action 

on the proposed rule change. The 

Commission finds that it is appropriate 

to designate a longer period within 

which to take action on the proposed 

rule change so that it has sufficient time 

to consider the proposed rule change. 

Accordingly, pursuant to Section 

19(b)(2) of the Act 5 and for the reasons 

stated above, the Commission 

designates March 17, 2015, as the date 

by which the Commission should either 

approve or disapprove, or institute 

proceedings to determine whether to 

disapprove, the proposed rule change. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.6

Jill M. Peterson, 

Assistant Secretary. 

[FR Doc. 2015–02267 Filed 2–4–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74178; File No. SR–BOX– 

2015–06] 

Self-Regulatory Organizations; BOX 

Options Exchange LLC; Notice of 

Filing of Proposed Rule Change To 

Amend Its Rules for the Listing and 

Trading on the Exchange of Options 

Settling to the RealVolTM SPY Index 

(‘‘Index’’) 

January 30, 2015. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on January 

21, 2015, BOX Options Exchange LLC 

(the ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the self-regulatory organization. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend 

Rules 6010, 6040, 6090, and 10120 to 

allow for the listing and trading on the 

Exchange of options settling to the 

RealVolTM SPY Index (‘‘Index’’). The 

text of the proposed rule change is 

available from the principal office of the 

Exchange, at the Commission’s Public 

Reference Room and also on the 

Exchange’s Internet Web site at http://

boxexchange.com. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization 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. 

The self-regulatory organization 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 Exchange proposes to amend its 

rules to provide for the listing and 

trading on the Exchange of options 

settling to the RealVolTM SPY Index 

(‘‘Index’’). The Index measures the 

realized volatility of the SPDR® S&P 

500® Exchange Traded Fund (ETF) (this 

security is known by its symbol ‘‘SPY’’). 

At settlement, the Index is based on the 

daily closing values of SPY, over the 

previous 21 trading days, as calculated 

by the RealVol Daily Formula, and 

promulgated by The VolX Group 

Corporation (‘‘VolX®’’). Options on the 

Index (proposed symbol ‘‘VOLS’’) will 

be P.M. cash-settled and will have 


rljohnson on DSK3VPTVN1PROD with NOTICES