RR2011

Notice to Members 2011-28

Revisions to OneChicago Rules 510 and 605
Name Changes from NASD and AMEX to FINRA and NYSE AMEX
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Regulatory Release 2011-27

MF Global Inc (OCC Firm 292) is Suspended from Trading and Access Privileges at OneChicago
Effective Date: November 1, 2011
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Regulatory Release 2011-23

Security Futures Products Rule Submission and Rule Certification
OCX.NoDivRisk
Adding new Appendices A and B to Chapter 9
Date: October 21, 2011

OneChicago has submitted a rule amendment to the CFTC which adds a new Appendix A and Appendix B to Chapter 9 that more completely describes the OCX.NoDivRisk™ products.

The revisions are included as Attachment A & B. Deleted text is shown by a strikethrough (—) and new text is underlined ( ___ ). The new appendices to Chapter 9, both A & B, fully describe the adjustment process and provide an overview of the OCX.NoDivRisk features.

Attachment A

Appendix A to Chapter 9

OCX.NoDivRisk™ Processing Example
• ABC1D futures settles at $10.00 on the business day prior to ex-date.
• ABC stock closes at $10.00 on the business day prior to ex-date.
• ABC stock is paying a $0.25 dividend.
• On the business day prior to ex-date, the exchange notifies OCC of the adjustment amount and publishes an OCX.NoDivRisk Adjustment notice.
• On ex-date, OCC adjusts the prior business day’s settlement for all ABC1D futures downward by the adjustment amount, which equals the sum of all distributions going “ex” that day. In this example, OCC adjusts the prior day’s settlement price to $9.75.

Attachment B

Appendix B to Chapter 9

OCX.NoDivRisk™ Products Specifications

As provided for in Rule 902(i), the exchange has designated OCX.NoDivRisk products as a class of security futures contracts that shall be adjusted for the aggregate amount of all cash dividends or distributions and shall be reported by the Exchange to the Clearing Corporation as prescribed in their By-Laws. OCX.NoDivRisk products are identified by a “D” as the ending character in the OneChicago symbol.

The significant characteristics of OCX.NoDivRisk products are:

Canceled Distributions
If all or a portion of a distribution on an OCX.NoDivRisk underlying security is canceled between ex-date and pay date, the Exchange may reverse the original adjustment that was applied on the ex-date by directing OCC to adjust the prior business day’s settlement upward by the amount of the canceled distribution.

  1. Capital Gains
  2. Capital gains are adjusted for in the OCX.NoDivRisk products.

Cash or Stock distributions
The OCX.NoDivRisk product will be adjusted for the cash election in the same fashion that it adjusts for regular cash distributions.

  1. Incorrect Distribution Amount
  2. OneChicago publishes the distribution amount on its website and conveys the amount to the OCC. The exchange will correct any known errors up until the close of business on the ex-date. Any errors in the distribution amount identified post the close of business on the ex-date will not be corrected.

Non-Distribution Corporate Events
All non-distributions corporate events are handled the same between the OCX.Original product and the OCX.NoDivRisk product.

Rounding
All distributions are summed for the instrument for that day and then rounded to 4 decimals.

Special Dividends
Special dividends are adjusted for in the OCX.NoDivRisk products as well as our OCX.Original products.

Underlying Types-MLPs, Common Stock, REITS, ETFs, UITs, ETNs, etc
OCX.NoDivRisk products are adjusted for all cash distributions by the underlying security.

ADR Distributions
The OCX.NoDivRisk products overlaying ADRs are adjusted by the gross United States dollar value of the distribution as announced by the home country company on the declaration date.
The OCX.NoDivRisk adjustment may differ from the final United States dollar payment amount, which is normally caused by currency exchange rate fluctuations between the declaration date and the payment date.

For example:

Initial Announcement for ABC1D

Announcement Date 7/31/10
Ex-Dividend Date 8/3/10
Approximate Amount *$2.0658 USD

*OneChicago gross adjustment amount

Final Announcement for ABC1D

Announcement Date 11/19/10
Payment Date 11/25/10
Actual Amount $2.3680 USD

Regulatory Release 2011-23

Security Futures Products Rule Submission and Rule Certification
Added Appendix A and B to Chapter 9
Date: October 21, 2011

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Notice To Members 2011-17

Security Futures Products Rule Submission and Rule Certification
Updated Revisions to OneChicago Rule 905

Expanding Trade Prices to Four (4) Decimal Points

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Regulatory Release 2011-14

OneChicago Rule Changes
Rule 414, Position Limits and Position Accountability
Rule 417, Block Trading
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Regulatory Release 2011-10

Reminder — Open Interest Reporting and Carry Fees
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Regulatory Release 2011-9

Securities and Exchange Commission Rule 15c3-5
Applicability to Security Futures
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Regulatory Release 2011-8

Rule 417, Block Trading
Rule 610, Priority of Customer Orders
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Regulatory Release 2011-7

Customer Margins Increases Effective April 14, 2011
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Notice to Members 2011-4

March 14, 2011
RE: OneChicago Fee Structure Changes
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Regulatory Release 2011-2

Changes to Position Limits and Position Accountability Thresholds
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Notice to Members 2011-1

Expanding Trade Prices to Four (4) Decimal Points on 1/18/2011.
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