82 FR 42003 - Self-Regulatory Organizations; Bats BZX Exchange, Inc.; Notice of Filing of a Proposed Rule Change To List and Trade Shares of Specified Series of the Innovator Shield Strategy S&P 500 Monthly Index Series and Innovator Ultra Shield Strategy S&P 500 Monthly Index Series Under Rule 14.11(c)(3)
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 82, Issue 170 (September 5, 2017)
Federal Register Volume 82, Issue 170 (September 5, 2017)
| Page Range | 42003-42008 | |
| FR Document | 2017-18660 |
[Federal Register Volume 82, Number 170 (Tuesday, September 5, 2017)] [Notices] [Pages 42003-42008] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2017-18660] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-81495; File No. SR-BatsBZX-2017-56] Self-Regulatory Organizations; Bats BZX Exchange, Inc.; Notice of Filing of a Proposed Rule Change To List and Trade Shares of Specified Series of the Innovator Shield Strategy S&P 500 Monthly Index Series and Innovator Ultra Shield Strategy S&P 500 Monthly Index Series Under Rule 14.11(c)(3) August 29, 2017. 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 August 22, 2017, Bats BZX Exchange, Inc. (``Exchange'' or ``BZX'') 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 Exchange. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. --------------------------------------------------------------------------- I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The Exchange filed a proposal to list and trade shares of series of the Innovator Shield Strategy S&P 500 Monthly Index Series and Innovator Ultra Shield Strategy S&P 500 Monthly Index Series under the Academy Funds Trust, under Rule 14.11(c)(3) (``Index Fund Shares''). The text of the proposed rule change is available at the Exchange's Web site at www.bats.com, at the principal office of the Exchange, and at the Commission's Public Reference Room. 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 Exchange 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 Exchange has prepared summaries, set forth in Sections A, B, and C below, of the most significant parts 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 list and trade shares (``Shares'') of each series of the Innovator Shield Strategy S&P 500 ETF (collectively, the ``Shield Funds'') and Innovator Ultra Shield Strategy S&P 500 ETF (collectively, the ``Ultra Shield Funds'') (each a ``Fund'' and, collectively, the ``Funds'') under Rule 14.11(c)(3), which governs the listing and trading of Index Fund Shares on the Exchange. In total, the Exchange is proposing to list and trade Shares of twelve monthly series of the Innovator Shield Strategy S&P 500 Monthly Index Series and twelve monthly series of the Innovator Ultra Shield Strategy S&P 500 Monthly Index Series. Each Fund will be an index-based exchange traded fund (``ETF''). The Shares will be offered by Academy Funds Trust (the ``Trust''), which was established as a Delaware statutory trust on October 17, 2007. The Trust is registered with the Commission as an investment company and has filed a registration statement on Form N-1A (``Registration Statement'') with the Commission on behalf of the Funds.\3\ Each Fund intends to qualify each year as a regulated investment company (a ``RIC'') under Subchapter M of the Internal Revenue Code of 1986, as amended.\4\ --------------------------------------------------------------------------- \3\ See Post-Effective Amendment Nos. 45 and 46 to Registration Statement on Form N-1A for the Trust, dated May 15, 2017 (File Nos. 333-146827 and 811-22135). The descriptions of the Fund and the Shares contained herein are based on information in the Registration Statement. \4\ 26 U.S.C. 851. --------------------------------------------------------------------------- Each Shield Fund's investment objective is to track, before fees and expenses, the performance of its respective index (the ``Shield Index''). Each Ultra Shield Fund's investment objective is to track, before fees and [[Page 42004]] expenses, the performance of its respective index (the ``Ultra Shield Index''). Innovator Capital Management LLC (the ``Advisor'') will act as adviser to the Funds. Both the Shield Index and the Ultra Shield Index (collectively, the ``Indexes'') are owned and operated by S&P Dow Jones Indices, and were developed by the Chicago Board Options Exchange (``CBOE'' or ``Index Provider'') in coordination with Milliman Financial Risk Management LLC. The value of each Index is calculated daily as of the close of trading hours on the New York Stock Exchange by CBOE utilizing an option valuation model and data provided by CBOE. Milliman Financial Risk Management LLC will act as sub-adviser for the Funds (the ``Sub-Adviser''). The Indexes employ a ``defined outcome strategy'' that seeks to provide investment returns that deliver one-to-one exposure to any gains of the S&P 500 Price Return Index (``S&P 500''), up to a capped amount, while protecting investors from S&P 500 losses of up to a capped amount, as further described below. The Indexes will be composed exclusively of FLexible EXchange Options (``FLEX Options'') linked to the S&P 500. Defined outcome strategies are designed to participate in market gains and losses within pre-determined ranges over a specified period (i.e. point to point). These outcomes are predicated on the assumption that an investment vehicle employing the strategy is held for the designated outcome periods. As such, the Exchange is proposing to list up to twelve monthly series of each of the Shield Funds and Ultra Shield Funds. The Exchange is submitting this proposed rule change because the Indexes do not meet all of the ``generic'' listing requirements of Rule 14.11(c)(3)(A)(i), applicable to the listing of Index Fund Shares based upon an index of ``U.S. Component Stocks.'' \5\ Specifically, Rule 14.11(c)(3)(A)(i) sets forth the requirements to be met by components of an index or portfolio of U.S. Component Stocks. Because the Index consists of FLEX Options, rather than ``U.S. Component Stocks'' as defined in Rule 14.11(c)(1)(D), the Index does not satisfy the requirements of Rule 14.11(c)(3)(A)(i).\6\ --------------------------------------------------------------------------- \5\ As defined in Rule 14.11(c)(1)(D), the term ``U.S. Component Stock'' shall mean an equity security that is registered under Sections 12(b) or 12(g) of the Act, or an American Depositary Receipt, the underlying equity security of which is registered under Sections 12(b) or 12(g) of the Act. \6\ Rule 14.11(c)(3)(A)(i)(e) provides that all securities in the applicable index or portfolio shall be U.S. Component Stocks listed on a national securities exchange and shall be NMS Stocks as defined in Rule 600 under Regulation NMS of the Act. Each component stock of the S&P 500 is a U.S. Component Stock that is listed on a national securities exchange and is an NMS Stock. Options are excluded from the definition of NMS Stock. The Funds and the Indexes meet all of the requirements of the listing standards for Index Fund Shares in Rule 14.11(c)(3), except the requirements in Rule 14.11(c)(3)(A)(i)(a)-(e), as the Index consists of options on U.S. Component Stocks. The S&P 500 consists of U.S. Component Stocks and satisfies the requirements of Rule 14.11(c)(3)(A)(i)(a)-(e). --------------------------------------------------------------------------- The Shares will conform to the initial and continued listing criteria under Rule 14.11(c), except that the Indexes will not meet the requirements of Rule 14.11(c)(3)(A)(i)(a)-(e) in that the Indexes will consist of options based on U.S. Component Stocks (i.e., FLEX Options that reference the S&P 500), rather than U.S. Component Stocks. Innovator Shield S&P 500 ETF Under Normal Market Conditions,\7\ each Shield Fund will attempt to achieve its investment objective of tracking, before fees and expenses, the performance of its respective Shield Index. Each Shield Index employs a ``defined outcome strategy'' that seeks to provide investment returns that deliver one to one exposure to any gains of the S&P 500, up to a capped amount, while protecting investors from S&P 500 losses of up to 15%. Each Index will be composed exclusively of FLEX Options that reference the S&P 500. --------------------------------------------------------------------------- \7\ As defined in Rule 14.11(i)(3)(E), the term ``Normal Market Conditions'' includes, but is not limited to, the absence of trading halts in the applicable financial markets generally; operational issues causing dissemination of inaccurate market information or system failures; or force majeure type events such as natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption, or any similar intervening circumstance. --------------------------------------------------------------------------- Defined outcome strategies are designed to participate in market gains and losses within pre-determined ranges over a specified period (i.e., point to point). These outcomes are predicated on the assumption that an investment vehicle employing the strategy is held for the designated outcome periods. The Shield Indexes will be composed of a portfolio of FLEX Options linked to an underlying asset, the S&P 500, that, when held for the specified period, seeks to produce returns that, over a period of approximately one year, provide one to one returns on the price appreciation of the S&P 500 up to a capped maximum annualized return (the ``Cap Level''), while protecting investors from the first 15% of S&P 500 losses. The FLEX Options comprising the Shield Indexes will first be entered into on approximately the date of the Shield Fund's inception and will automatically reset on approximately the one year anniversary thereafter (each, an ``outcome period''). These FLEX Options have been chosen to seek to provide investors, before fees and expenses, with the following outcomes:If the S&P 500 appreciates over the outcome period: The Shield Index seeks to provide a total return that matches the percentage increase of the S&P 500, up to the Cap Level; If the S&P 500 decreases over the outcome period by 15% or less: The Shield Index seeks to provide a total return of zero; and If the S&P 500 decreases over the outcome period by more than 15%: The Shield Index seeks to provide a total return loss that is 15% less than the percentage loss on the S&P 500 with a maximum loss of approximately 85%. These outcomes are sought through the effect of layering purchased and written FLEX Options that comprise the Shield Index. Any FLEX Options that are written by a Shield Fund pursuant to its respective Shield Index that create an obligation to sell or buy an asset will be offset with a position in FLEX Options purchased by the Shield Fund pursuant to the Shield Index to create the right to buy or sell the same asset such that the Shield Fund will always be in a net long position. That is, any obligations of a Shield Fund created by its writing of FLEX Options will be covered by offsetting positions in other purchased FLEX Options. As the FLEX Options mature at the end of each outcome period, they are replaced. By replacing FLEX Options annually, each Shield Index seeks to ensure that investments made in a given month during the current year buffer against negative returns of the S&P 500 up to pre-determined levels in that same month of the following year. The Shield Funds do not offer any protection against declines in the S&P 500 exceeding 15% on an annualized basis. Shareholders will bear all S&P 500 losses exceeding 15% on a one-to-one basis. The value of the FLEX Options purchased by a Shield Fund in accordance with the Index on any given day will be reflected in the Shield Fund's net asset value (``NAV''). The FLEX Options owned by the Shield Funds will have the same terms (i.e. same strike price and expiration) for all investors of the Shield Fund within an outcome period. The Cap Level is determined with respect to the applicable Shield Index on the inception date of the Shield Fund and at the beginning of each outcome period. [[Page 42005]] Innovator Ultra Shield Strategy S&P 500 ETF Under Normal Market Conditions, each Ultra Shield Fund will attempt to achieve its investment objective of tracking, before fees and expenses, the performance of its respective Ultra Shield Index. Each Ultra Shield Index employs a ``defined outcome strategy'' that seeks to provide investment returns that deliver one to one exposure to any gains of the S&P 500, up to a capped amount, while protecting investors from S&P 500 losses of between 5% and 35%. Each Index will be composed exclusively of FLEX Options that reference the S&P 500. Defined outcome strategies are designed to participate in market gains and losses within pre-determined ranges over a specified period (i.e., point to point). These outcomes are predicated on the assumption that an investment vehicle employing the strategy is held for the designated outcome periods. The Ultra Shield Indexes will be composed of a portfolio of FLEX Options linked to an underlying asset, the S&P 500, that, when held for the specified period, seeks to produce returns that, over a period of approximately one year, provide one to one returns on the price appreciation of the S&P 500 up to the Cap Level, while protecting investors from between 5% and 35% of S&P 500 losses. The FLEX Options comprising the Ultra Shield Indexes will first be entered into on approximately the date of the Shield Fund's inception and will automatically reset on approximately the one year anniversary thereafter (each, an ``outcome period''). These FLEX Options have been chosen to seek to provide investors, before fees and expenses, with the following outcomes: If the S&P 500 appreciates over the outcome period: The Ultra Shield Index seeks to provide a total return that matches the percentage increase of the S&P 500, up to the Cap Level; If the S&P 500 decreases over the outcome period by 5% or less: The Ultra Shield Index seeks to provide a total return loss that is equal to the percentage loss on the S&P 500; If the S&P 500 decreases over the outcome period by 5%- 35%: The Ultra Shield Index seeks to provide a total return loss of 5%; and If the S&P If the S&P 500 decreases over the outcome period by more than 35%: The Ultra Shield Index seeks to provide a total return loss that is 30% less than the percentage loss on the S&P 500 with a maximum loss of approximately 70%. These outcomes are sought through the effect of layering purchased and written FLEX Options that comprise an Ultra Shield Index. Any FLEX Options that are written by an Ultra Shield Fund pursuant to its respective Ultra Shield Index that create an obligation to sell or buy an asset will be offset with a position in FLEX Options purchased by the Ultra Shield Fund pursuant to the Ultra Shield Index to create the right to buy or sell the same asset such that the Ultra Shield Fund will always be in a net long position. That is, any obligations of an Ultra Shield Fund created by its writing of FLEX Options will be covered by offsetting positions in other purchased FLEX Options. As the FLEX Options mature at the end of each outcome period, they are replaced. By replacing FLEX Options annually, each Ultra Shield Index seeks to ensure that investments made in a given month during the current year buffer against negative returns of the S&P 500 up to pre- determined levels in that same month of the following year. The Ultra Shield Fund does not offer any protection against declines in the S&P 500 of less than 5% or exceeding 35% on an annualized basis thereafter. Shareholders will bear all S&P 500 losses less than 5% and exceeding 35% on a one-to-one basis. The value of the FLEX Options purchased by the Ultra Shield Fund in accordance with the Index on any given day will be reflected in the Ultra Shield Fund's NAV. The FLEX Options owned by an Ultra Shield Fund will have the same terms (i.e., same strike price and expiration) for all investors of the Ultra Shield Fund within an outcome period. The Cap Level is determined with respect to the Index on the inception date of the Ultra Shield Fund and at the beginning of each outcome period. Investment Methodology for the Funds Under Normal Market Conditions, each of the Funds will invest not less than 80% of its assets in the FLEX Options that comprise their respective Index. Each of the Funds may invest up to 20% of its net assets (in the aggregate) in other investments that are not included in the Fund's respective Index, but which the Adviser or Sub-Adviser believes will help the Fund to track its Index and that will be disclosed at the end of each trading day (``Other Assets''). Other Assets include only cash or cash equivalents, as defined in Rule 14.11(i)(4)(C)(iii),\8\ and traditional U.S. exchange-traded options contracts that reference either the S&P 500 or ETFs that track the S&P 500 (``Reference ETFs''). --------------------------------------------------------------------------- \8\ As defined in Rule 14.11(i)(4)(C)(iii), cash equivalents include short-term instruments with maturities of less than three months, including: (i) U.S. Government securities, including bills, notes, and bonds differing as to maturity and rates of interest, which are either issued or guaranteed by the U.S. Treasury or by U.S. Government agencies or instrumentalities; (ii) certificates of deposit issued against funds deposited in a bank or savings and loan association; (iii) bankers acceptances, which are short-term credit instruments used to finance commercial transactions; (iv) repurchase agreements and reverse repurchase agreements; (v) bank time deposits, which are monies kept on deposit with banks or savings and loan associations for a stated period of time at a fixed rate of interest; (vi) commercial paper, which are short-term unsecured promissory notes; and (vii) money market funds. --------------------------------------------------------------------------- S&P 500 FLEX Options The market for options contracts on the S&P 500 traded on CBOE, including FLEX Options, is among the most liquid markets in the world [sic] S&P 500 FLEX Options are a subset of S&P 500 options traded on the CBOE.\9\ In 2016, 1,023,623 options contracts on the S&P 500 were traded per day on CBOE, which is more than $200 billion in notional volume traded on a daily basis.\10\ While, as described below, FLEX Options are traded differently than traditional options contracts, the Exchange believes that the liquidity and arbitrage opportunities of the S&P 500 bolsters the market for FLEX Options, as described below. --------------------------------------------------------------------------- \9\ See https://www.theocc.com/webapps/flex-reports. Unless otherwise noted, all statistics provided herein are based on information from the Options Clearing Corporation. \10\ As of July 24, 2017, FLEX Options on the S&P 500 had open interest of 349,596 contracts. --------------------------------------------------------------------------- FLEX Options on the S&P 500 are quoted by the same market makers that trade traditional options contracts. Every FLEX Option order submitted to CBOE is exposed to a competitive auction process for price discovery. The process begins with a request for quote (``RFQ'') in which the interested party establishes the terms of the FLEX Options contract. The RFQ solicits interested market participants, including on-floor market makers, remote market makers trading electronically, and member firm traders, to respond to the RFQ with bids or offers through a competitive process. This solicitation contains all of the contract specifications-underlying, size, type of option, expiration date, strike price, exercise style and settlement basis. During a specified amount of time, responses to the RFQ are received and at the end of that time period, the initiator can decide whether to accept the best bid or offer. The process occurs under the rules of CBOE which means that customer transactions are effected according to the principles of a fair and orderly market following trading procedures and policies developed by [[Page 42006]] CBOE. By way of example, during June and July 2017, the Sub-Adviser traded 2,500 FLEX Option S&P 500 contracts with a notional exposure of $626 million. The trades were executed at approximately .25% from the mid-market mark, which is similar to the transaction costs of exchange traded funds of similar size. The Exchange believes that sufficient protections are in place to protect against market manipulation of the Funds' Shares and FLEX Options on the S&P 500 for several reasons: (i) The liquidity in the market for options on the S&P 500; (ii) the competitive quoting process for FLEX Options; (iii) the diversity, liquidity, and market cap of the securities underlying the S&P 500; and (iv) surveillance by the Exchange, CBOE and the Financial Industry Regulatory Authority (``FINRA'') designed to detect violations of the federal securities laws and self-regulatory organization (``SRO'') rules; [sic]. Trading in the Shares and the underlying investments will be subject to the federal securities laws and Exchange, CBOE and FINRA rules and surveillance programs.\11\ In this regard, the Exchange has in place a surveillance program for transactions in ETFs to ensure the availability of information necessary to detect and deter potential manipulations and other trading abuses, thereby making the Shares less readily susceptible to manipulation as assets in the portfolio-- comprised primarily of FLEX Options on the S&P 500--will be acquired in extremely liquid and highly regulated markets. --------------------------------------------------------------------------- \11\ The Exchange notes that CBOE is a member of the Option Price Regulatory Surveillance Authority, which was established in 2006, to provide efficiencies in looking for insider trading and serves as a central organization to facilitate collaboration in insider trading and investigations for the U.S. options exchanges. For more information, see http://www.cboe.com/aboutcboe/legal/departments/orsareg.aspx. --------------------------------------------------------------------------- As noted above, options on the S&P 500 are among the most liquid options in the world and derive their value from the actively traded S&P 500 Index components. The contracts are cash-settled with no delivery of stocks or ETFs, and trade in competitive auction markets with price and quote transparency. The Exchange believes the highly regulated options markets and the broad base and scope of the S&P 500 Index make securities that derive their value from the index less susceptible to market manipulation in view of market capitalization and liquidity of the S&P 500 components, price and quote transparency, and arbitrage opportunities. The Exchange believes that the efficiency and liquidity of the markets for S&P 500 securities, options on the S&P 500, including FLEX Options, and other related derivatives are sufficiently great to deter fraudulent or manipulative acts associated with the Funds' Shares price. The Exchange also believes that such efficiency and liquidity are sufficient to support the creation and redemption mechanism. Coupled with the extensive surveillance programs of the SROs described above, the Exchange does not believe that trading in the Fund's Shares would present manipulation concerns. The Exchange represents that, except as described above, the Funds will meet each of the initial and continued listing criteria in BZX Rule 14.11(c) with the exception Rule 14.11(c)(3)(A)(i), applicable to the listing of Index Fund Shares based upon an index of ``U.S. Component Stocks.'' The Trust is required to comply with Rule 10A-3 under the Act for the initial and continued listing of the Shares of the Fund. In addition, the Exchange represents that the Shares of the Funds will comply with all other requirements applicable to Index Fund Shares including, but not limited to, requirements relating to the dissemination of key information such as the Disclosed Portfolio, Net Asset Value, and the Intraday Indicative Value, rules governing the trading of equity securities, trading hours, trading halts, surveillance, and the information circular, as set forth in Exchange rules applicable to Index Fund Shares and the orders approving such rules. Moreover, all of the options contracts held by the Funds will trade on markets that are a member of Intermarket Surveillance Group (``ISG'') or affiliated with a member of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement.\12\ All statements and representations made in this filing regarding the index composition, the description of the portfolio or reference assets, limitations on portfolio holdings or reference assets, dissemination and availability of index, reference asset, and intraday indicative values, and the applicability of Exchange rules specified in this filing shall constitute continued listing requirements for the Funds. The issuer has represented to the Exchange that it will advise the Exchange of any failure by the Fund or the Shares to comply with the continued listing requirements, and, pursuant to its obligations under Section 19(g)(1) of the Act, the Exchange will surveil for compliance with the continued listing requirements. If the Fund or the Shares are not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under Exchange Rule 14.12. --------------------------------------------------------------------------- \12\ For a list of the current members and affiliate members of ISG, see www.isgportal.com. The Exchange notes that not all components of the Disclosed Portfolio for the Fund may trade on markets that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement. --------------------------------------------------------------------------- 2. Statutory Basis The Exchange believes that the proposal is consistent with Section 6(b) of the Act \13\ in general and Section 6(b)(5) of the Act \14\ in particular in that it is designed 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. --------------------------------------------------------------------------- \13\ 15 U.S.C. 78f. \14\ 15 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- The Exchange believes that the proposed rule change is designed 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 in that the Shares of each Fund will meet each of the initial and continued listing criteria in BZX Rule 14.11(c) with the exception Rule 14.11(c)(3)(A)(i), applicable to the listing of Index Fund Shares based upon an index of ``U.S. Component Stocks.'' Specifically, Rule 14.11(c)(3)(A)(i) sets forth the requirements to be met by components of an index or portfolio of U.S. Component Stocks. Because the Index consists of FLEX Options, rather than ``U.S. Component Stocks'' as defined in Rule 14.11(c)(1)(D), the Index does not satisfy the requirements of Rule 14.11(c)(3)(A)(i).\15\ The Exchange [[Page 42007]] believes that the concerns that Rule 14.11(c)(3)(A)(i) are intended to address are mitigated by: (i) The liquidity in the market for options on the S&P 500; \16\ (ii) the competitive quoting process for FLEX Options; and (iii) the diversity, liquidity, and market cap of the securities underlying the S&P 500. --------------------------------------------------------------------------- \15\ Rule 14.11(c)(3)(A)(i)(e) provides that all securities in the applicable index or portfolio shall be U.S. Component Stocks listed on a national securities exchange and shall be NMS Stocks as defined in Rule 600 under Regulation NMS of the Act. Each component stock of the S&P 500 is a U.S. Component Stock that is listed on a national securities exchange and is an NMS Stock. Options are excluded from the definition of NMS Stock. The Funds and the Indexes meet all of the requirements of the listing standards for Index Fund Shares in Rule 14.11(c)(3), except the requirements in Rule 14.11(c)(3)(A)(i)(a)-(e), as the Index consists of options on U.S. Component Stocks. The S&P 500 consists of U.S. Component Stocks and satisfies the requirements of Rule 14.11(c)(3)(A)(i)(a)-(e). \16\ In 2016, 1,023,623 options contracts on the S&P 500 were traded per day on CBOE, which is more than $200 billion in notional volume traded on a daily basis. --------------------------------------------------------------------------- Further, trading in the Shares and the underlying Fund investments will be subject to the federal securities laws and Exchange, CBOE and FINRA rules and surveillance programs.\17\ In this regard, the Exchange has in place a surveillance program for transactions in ETFs to ensure the availability of information necessary to detect and deter potential manipulations and other trading abuses, thereby making the Shares less readily susceptible to manipulation as assets in the portfolio-- comprised primarily of FLEX Options on the S&P 500--will be acquired in extremely liquid and highly regulated markets. --------------------------------------------------------------------------- \17\ The Exchange notes that CBOE is a member of the Option Price Regulatory Surveillance Authority, which was established in 2006, to provide efficiencies in looking for insider trading and serves as a central organization to facilitate collaboration in insider trading and investigations for the U.S. options exchanges. For more information, see http://www.cboe.com/aboutcboe/legal/departments/orsareg.aspx. --------------------------------------------------------------------------- As noted above, options on the S&P 500 are among the most liquid options in the world and derive their value from the actively traded S&P 500 Index components. The contracts are cash-settled with no delivery of stocks or ETFs, and trade in competitive auction markets with price and quote transparency. The Exchange believes the highly regulated options markets and the broad base and scope of the S&P 500 Index make securities that derive their value from the index less susceptible to market manipulation in view of market capitalization and liquidity of the S&P 500 components, price and quote transparency, and arbitrage opportunities. The Exchange believes that the efficiency and liquidity of the markets for S&P 500 securities, options on the S&P 500, and other related derivatives are sufficiently great to deter fraudulent or manipulative acts associated with the Funds' Shares price. The Exchange also believes that such efficiency and liquidity are sufficient to support the creation and redemption mechanism. Coupled with the extensive surveillance programs of the SROs described above, the Exchange does not believe that trading in the Fund's Shares would present manipulation concerns. The Exchange represents that, except as described above, the Funds will satisfy, on an initial and continued listing basis, all of the generic listing standards under BZX Rule 14.11(c)(3)(A)(i) and all other applicable requirements for Index Fund Shares under Rule 14.11(c). The Trust is required to comply with Rule 10A-3 under the Act for the initial and continued listing of the Shares of the Fund. In addition, the Exchange represents that the Shares of the Funds will comply with all other requirements applicable to Index Fund Shares including, but not limited to, requirements relating to the dissemination of key information such as the Disclosed Portfolio, Net Asset Value, and the Intraday Indicative Value, rules governing the trading of equity securities, trading hours, trading halts, surveillance, and the information circular, as set forth in Exchange rules applicable to Index Fund Shares and the orders approving such rules. Moreover, all of the options contracts held by the Funds will trade on markets that are a member of ISG or affiliated with a member of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement.\18\ All statements and representations made in this filing regarding the index composition, the description of the portfolio or reference assets, limitations on portfolio holdings or reference assets, dissemination and availability of index, reference asset, and intraday indicative values, and the applicability of Exchange rules specified in this filing shall constitute continued listing requirements for the Fund. The issuer has represented to the Exchange that it will advise the Exchange of any failure by the Fund or the Shares to comply with the continued listing requirements, and, pursuant to its obligations under Section 19(g)(1) of the Act, the Exchange will surveil for compliance with the continued listing requirements. If the Fund or the Shares are not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under Exchange Rule 14.12. --------------------------------------------------------------------------- \18\ For a list of the current members and affiliate members of ISG, see www.isgportal.com. The Exchange notes that not all components of the Disclosed Portfolio for the Fund may trade on markets that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement. --------------------------------------------------------------------------- For the above reasons, the Exchange believes that the proposed rule change is consistent with the requirements of Section 6(b)(5) of the Act. B. Self-Regulatory Organization's Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purpose of the Act. The Exchange notes that the proposed rule change will facilitate the listing and trading of an additional type of Index Fund Shares that will enhance competition among market participants, to the benefit of investors and the marketplace. C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others The Exchange has neither solicited nor received written comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 45 days of the date of publication of this notice in the Federal Register or up to 90 days (i) as the Commission may designate if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the self-regulatory organization consents, the Commission will: (A) By order approve or disapprove the proposed rule change, or (B) institute proceedings to determine whether the proposed rule change should be disapproved. 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 Exchange 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-BatsBZX-2017-56 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-BatsBZX-2017-56. This file number should be included on the subject line if email is used. To help the [[Page 42008]] 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-BatsBZX-2017-56 and should be submitted on or before September 26, 2017. --------------------------------------------------------------------------- \19\ 17 CFR 200.30-3(a)(12). For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\19\ Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017-18660 Filed 9-1-17; 8:45 am] BILLING CODE 8011-01-P
![Federal Register / Vol. 82, No. 170 / Tuesday, September 5, 2017 / Notices 42003
Commission summarily may available publicly. All submissions II. Self-Regulatory Organization’s
temporarily suspend such rule change if should refer to File Number SR– Statement of the Purpose of, and
it appears to the Commission that such NASDAQ–2017–085 and should be Statutory Basis for, the Proposed Rule
action is: (i) Necessary or appropriate in submitted on or before September 26, Change
the public interest; (ii) for the protection 2017. In its filing with the Commission, the
of investors; or (iii) otherwise in Exchange included statements
For the Commission, by the Division of
furtherance of the purposes of the Act. concerning the purpose of and basis for
Trading and Markets, pursuant to delegated
If the Commission takes such action, the the proposed rule change and discussed
authority.12
Commission shall institute proceedings any comments it received on the
to determine whether the proposed rule Eduardo A. Aleman,
proposed rule change. The text of these
should be approved or disapproved. Assistant Secretary. statements may be examined at the
[FR Doc. 2017–18658 Filed 9–1–17; 8:45 am] places specified in Item IV below. The
IV. Solicitation of Comments
BILLING CODE 8011–01–P Exchange has prepared summaries, set
Interested persons are invited to
forth in Sections A, B, and C below, of
submit written data, views, and
arguments concerning the foregoing, the most significant parts of such
SECURITIES AND EXCHANGE statements.
including whether the proposed rule COMMISSION
change is consistent with the Act. A. Self-Regulatory Organization’s
Comments may be submitted by any of Statement of the Purpose of, and
the following methods: [Release No. 34–81495; File No. SR– Statutory Basis for, the Proposed Rule
BatsBZX–2017–56]
Electronic Comments Change
• Use the Commission’s Internet Self-Regulatory Organizations; Bats 1. Purpose
comment form (http://www.sec.gov/ BZX Exchange, Inc.; Notice of Filing of The Exchange proposes to list and
rules/sro.shtml); or a Proposed Rule Change To List and trade shares (‘‘Shares’’) of each series of
• Send an email to rule-comments@ Trade Shares of Specified Series of the the Innovator Shield Strategy S&P 500
sec.gov. Please include File Number SR– Innovator Shield Strategy S&P 500 ETF (collectively, the ‘‘Shield Funds’’)
NASDAQ–2017–085 on the subject line. Monthly Index Series and Innovator and Innovator Ultra Shield Strategy S&P
Paper Comments Ultra Shield Strategy S&P 500 Monthly 500 ETF (collectively, the ‘‘Ultra Shield
Index Series Under Rule 14.11(c)(3) Funds’’) (each a ‘‘Fund’’ and,
• Send paper comments in triplicate collectively, the ‘‘Funds’’) under Rule
to Secretary, Securities and Exchange August 29, 2017. 14.11(c)(3), which governs the listing
Commission, 100 F Street NE., and trading of Index Fund Shares on the
Pursuant to Section 19(b)(1) of the
Washington, DC 20549–1090. Exchange. In total, the Exchange is
Securities Exchange Act of 1934
All submissions should refer to File (‘‘Act’’),1 and Rule 19b–4 thereunder,2 proposing to list and trade Shares of
Number SR–NASDAQ–2017–085. This twelve monthly series of the Innovator
notice is hereby given that, on August
file number should be included on the Shield Strategy S&P 500 Monthly Index
22, 2017, Bats BZX Exchange, Inc.
subject line if email is used. To help the Series and twelve monthly series of the
Commission process and review your (‘‘Exchange’’ or ‘‘BZX’’) filed with the
Securities and Exchange Commission Innovator Ultra Shield Strategy S&P 500
comments more efficiently, please use Monthly Index Series. Each Fund will
only one method. The Commission will (‘‘Commission’’) the proposed rule
change as described in Items I and II be an index-based exchange traded fund
post all comments on the Commission’s (‘‘ETF’’).
Internet Web site (http://www.sec.gov/ below, which Items have been prepared
The Shares will be offered by
rules/sro.shtml). Copies of the by the Exchange. The Commission is
Academy Funds Trust (the ‘‘Trust’’),
submission, all subsequent publishing this notice to solicit which was established as a Delaware
amendments, all written statements comments on the proposed rule change statutory trust on October 17, 2007. The
with respect to the proposed rule from interested persons. Trust is registered with the Commission
change that are filed with the as an investment company and has filed
I. Self-Regulatory Organization’s
Commission, and all written a registration statement on Form N–1A
Statement of the Terms of Substance of
communications relating to the (‘‘Registration Statement’’) with the
proposed rule change between the the Proposed Rule Change
Commission on behalf of the Funds.3
Commission and any person, other than The Exchange filed a proposal to list Each Fund intends to qualify each year
those that may be withheld from the and trade shares of series of the as a regulated investment company (a
public in accordance with the Innovator Shield Strategy S&P 500 ‘‘RIC’’) under Subchapter M of the
provisions of 5 U.S.C. 552, will be Monthly Index Series and Innovator Internal Revenue Code of 1986, as
available for Web site viewing and Ultra Shield Strategy S&P 500 Monthly amended.4
printing in the Commission’s Public Each Shield Fund’s investment
Index Series under the Academy Funds
Reference Room, 100 F Street NE., objective is to track, before fees and
Trust, under Rule 14.11(c)(3) (‘‘Index
Washington, DC 20549, on official expenses, the performance of its
business days between the hours of Fund Shares’’).
respective index (the ‘‘Shield Index’’).
10:00 a.m. and 3:00 p.m. Copies of the The text of the proposed rule change Each Ultra Shield Fund’s investment
filing also will be available for is available at the Exchange’s Web site objective is to track, before fees and
mstockstill on DSK30JT082PROD with NOTICES
inspection and copying at the principal at www.bats.com, at the principal office
office of the Exchange. All comments of the Exchange, and at the 3 See Post-Effective Amendment Nos. 45 and 46
received will be posted without change; Commission’s Public Reference Room. to Registration Statement on Form N–1A for the
the Commission does not edit personal Trust, dated May 15, 2017 (File Nos. 333–146827
and 811–22135). The descriptions of the Fund and
identifying information from 12 17 CFR 200.30–3(a)(12). the Shares contained herein are based on
submissions. You should submit only 1 15 U.S.C. 78s(b)(1). information in the Registration Statement.
information that you wish to make 2 17 CFR 240.19b–4. 4 26 U.S.C. 851.
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![Federal Register / Vol. 82, No. 170 / Tuesday, September 5, 2017 / Notices 42005
Innovator Ultra Shield Strategy S&P 500 written FLEX Options that comprise an exchange-traded options contracts that
ETF Ultra Shield Index. Any FLEX Options reference either the S&P 500 or ETFs
Under Normal Market Conditions, that are written by an Ultra Shield Fund that track the S&P 500 (‘‘Reference
each Ultra Shield Fund will attempt to pursuant to its respective Ultra Shield ETFs’’).
achieve its investment objective of Index that create an obligation to sell or
S&P 500 FLEX Options
tracking, before fees and expenses, the buy an asset will be offset with a
position in FLEX Options purchased by The market for options contracts on
performance of its respective Ultra
the Ultra Shield Fund pursuant to the the S&P 500 traded on CBOE, including
Shield Index. Each Ultra Shield Index
Ultra Shield Index to create the right to FLEX Options, is among the most liquid
employs a ‘‘defined outcome strategy’’
buy or sell the same asset such that the markets in the world [sic] S&P 500
that seeks to provide investment returns
Ultra Shield Fund will always be in a FLEX Options are a subset of S&P 500
that deliver one to one exposure to any
net long position. That is, any options traded on the CBOE.9 In 2016,
gains of the S&P 500, up to a capped
obligations of an Ultra Shield Fund 1,023,623 options contracts on the S&P
amount, while protecting investors from
created by its writing of FLEX Options 500 were traded per day on CBOE,
S&P 500 losses of between 5% and 35%.
will be covered by offsetting positions which is more than $200 billion in
Each Index will be composed
in other purchased FLEX Options. As notional volume traded on a daily
exclusively of FLEX Options that
the FLEX Options mature at the end of basis.10 While, as described below,
reference the S&P 500.
Defined outcome strategies are each outcome period, they are replaced. FLEX Options are traded differently
designed to participate in market gains By replacing FLEX Options annually, than traditional options contracts, the
and losses within pre-determined ranges each Ultra Shield Index seeks to ensure Exchange believes that the liquidity and
over a specified period (i.e., point to that investments made in a given month arbitrage opportunities of the S&P 500
point). These outcomes are predicated during the current year buffer against bolsters the market for FLEX Options, as
on the assumption that an investment negative returns of the S&P 500 up to described below.
pre-determined levels in that same FLEX Options on the S&P 500 are
vehicle employing the strategy is held
month of the following year. The Ultra quoted by the same market makers that
for the designated outcome periods. The
Shield Fund does not offer any trade traditional options contracts.
Ultra Shield Indexes will be composed
protection against declines in the S&P Every FLEX Option order submitted to
of a portfolio of FLEX Options linked to
500 of less than 5% or exceeding 35% CBOE is exposed to a competitive
an underlying asset, the S&P 500, that,
on an annualized basis thereafter. auction process for price discovery. The
when held for the specified period,
Shareholders will bear all S&P 500 process begins with a request for quote
seeks to produce returns that, over a
losses less than 5% and exceeding 35% (‘‘RFQ’’) in which the interested party
period of approximately one year,
on a one-to-one basis. establishes the terms of the FLEX
provide one to one returns on the price
The value of the FLEX Options Options contract. The RFQ solicits
appreciation of the S&P 500 up to the
purchased by the Ultra Shield Fund in interested market participants,
Cap Level, while protecting investors
accordance with the Index on any given including on-floor market makers,
from between 5% and 35% of S&P 500
day will be reflected in the Ultra Shield remote market makers trading
losses.
The FLEX Options comprising the Fund’s NAV. The FLEX Options owned electronically, and member firm traders,
Ultra Shield Indexes will first be by an Ultra Shield Fund will have the to respond to the RFQ with bids or
entered into on approximately the date same terms (i.e., same strike price and offers through a competitive process.
of the Shield Fund’s inception and will expiration) for all investors of the Ultra This solicitation contains all of the
automatically reset on approximately Shield Fund within an outcome period. contract specifications-underlying, size,
the one year anniversary thereafter The Cap Level is determined with type of option, expiration date, strike
(each, an ‘‘outcome period’’). These respect to the Index on the inception price, exercise style and settlement
FLEX Options have been chosen to seek date of the Ultra Shield Fund and at the basis. During a specified amount of
to provide investors, before fees and beginning of each outcome period. time, responses to the RFQ are received
expenses, with the following outcomes: and at the end of that time period, the
Investment Methodology for the Funds
• If the S&P 500 appreciates over the initiator can decide whether to accept
outcome period: The Ultra Shield Index Under Normal Market Conditions, the best bid or offer. The process occurs
seeks to provide a total return that each of the Funds will invest not less under the rules of CBOE which means
matches the percentage increase of the than 80% of its assets in the FLEX that customer transactions are effected
S&P 500, up to the Cap Level; Options that comprise their respective according to the principles of a fair and
• If the S&P 500 decreases over the Index. Each of the Funds may invest up orderly market following trading
outcome period by 5% or less: The Ultra to 20% of its net assets (in the aggregate) procedures and policies developed by
Shield Index seeks to provide a total in other investments that are not
return loss that is equal to the included in the Fund’s respective Index, or instrumentalities; (ii) certificates of deposit
percentage loss on the S&P 500; but which the Adviser or Sub-Adviser issued against funds deposited in a bank or savings
and loan association; (iii) bankers acceptances,
• If the S&P 500 decreases over the believes will help the Fund to track its which are short-term credit instruments used to
outcome period by 5%–35%: The Ultra Index and that will be disclosed at the finance commercial transactions; (iv) repurchase
Shield Index seeks to provide a total end of each trading day (‘‘Other agreements and reverse repurchase agreements; (v)
return loss of 5%; and Assets’’). Other Assets include only cash bank time deposits, which are monies kept on
• If the S&P If the S&P 500 decreases or cash equivalents, as defined in Rule
deposit with banks or savings and loan associations
for a stated period of time at a fixed rate of interest;
over the outcome period by more than
mstockstill on DSK30JT082PROD with NOTICES
14.11(i)(4)(C)(iii),8 and traditional U.S. (vi) commercial paper, which are short-term
35%: The Ultra Shield Index seeks to unsecured promissory notes; and (vii) money
provide a total return loss that is 30% 8 As defined in Rule 14.11(i)(4)(C)(iii), cash market funds.
9 See https://www.theocc.com/webapps/flex-
less than the percentage loss on the S&P equivalents include short-term instruments with
maturities of less than three months, including: (i) reports. Unless otherwise noted, all statistics
500 with a maximum loss of provided herein are based on information from the
U.S. Government securities, including bills, notes,
approximately 70%. and bonds differing as to maturity and rates of Options Clearing Corporation.
These outcomes are sought through interest, which are either issued or guaranteed by 10 As of July 24, 2017, FLEX Options on the S&P
the effect of layering purchased and the U.S. Treasury or by U.S. Government agencies 500 had open interest of 349,596 contracts.
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![42006 Federal Register / Vol. 82, No. 170 / Tuesday, September 5, 2017 / Notices
CBOE. By way of example, during June The Exchange believes that the by the Fund or the Shares to comply
and July 2017, the Sub-Adviser traded efficiency and liquidity of the markets with the continued listing requirements,
2,500 FLEX Option S&P 500 contracts for S&P 500 securities, options on the and, pursuant to its obligations under
with a notional exposure of $626 S&P 500, including FLEX Options, and Section 19(g)(1) of the Act, the Exchange
million. The trades were executed at other related derivatives are sufficiently will surveil for compliance with the
approximately .25% from the mid- great to deter fraudulent or continued listing requirements. If the
market mark, which is similar to the manipulative acts associated with the Fund or the Shares are not in
transaction costs of exchange traded Funds’ Shares price. The Exchange also compliance with the applicable listing
funds of similar size. believes that such efficiency and requirements, the Exchange will
The Exchange believes that sufficient liquidity are sufficient to support the commence delisting procedures under
protections are in place to protect creation and redemption mechanism. Exchange Rule 14.12.
against market manipulation of the Coupled with the extensive surveillance
programs of the SROs described above, 2. Statutory Basis
Funds’ Shares and FLEX Options on the
S&P 500 for several reasons: (i) The the Exchange does not believe that The Exchange believes that the
liquidity in the market for options on trading in the Fund’s Shares would proposal is consistent with Section 6(b)
the S&P 500; (ii) the competitive quoting present manipulation concerns. of the Act 13 in general and Section
process for FLEX Options; (iii) the The Exchange represents that, except 6(b)(5) of the Act 14 in particular in that
diversity, liquidity, and market cap of as described above, the Funds will meet it is designed to prevent fraudulent and
the securities underlying the S&P 500; each of the initial and continued listing manipulative acts and practices, to
and (iv) surveillance by the Exchange, criteria in BZX Rule 14.11(c) with the promote just and equitable principles of
CBOE and the Financial Industry exception Rule 14.11(c)(3)(A)(i), trade, to foster cooperation and
Regulatory Authority (‘‘FINRA’’) applicable to the listing of Index Fund coordination with persons engaged in
designed to detect violations of the Shares based upon an index of ‘‘U.S. facilitating transactions in securities, to
federal securities laws and self- Component Stocks.’’ The Trust is remove impediments to and perfect the
regulatory organization (‘‘SRO’’) rules; required to comply with Rule 10A–3 mechanism of a free and open market
[sic]. under the Act for the initial and and a national market system and, in
Trading in the Shares and the continued listing of the Shares of the general, to protect investors and the
underlying investments will be subject Fund. In addition, the Exchange public interest.
to the federal securities laws and represents that the Shares of the Funds The Exchange believes that the
Exchange, CBOE and FINRA rules and will comply with all other requirements proposed rule change is designed to
surveillance programs.11 In this regard, applicable to Index Fund Shares prevent fraudulent and manipulative
the Exchange has in place a surveillance including, but not limited to, acts and practices, to promote just and
program for transactions in ETFs to requirements relating to the equitable principles of trade, to foster
ensure the availability of information dissemination of key information such cooperation and coordination with
necessary to detect and deter potential as the Disclosed Portfolio, Net Asset persons engaged in facilitating
manipulations and other trading abuses, Value, and the Intraday Indicative transactions in securities, to remove
thereby making the Shares less readily Value, rules governing the trading of impediments to and perfect the
susceptible to manipulation as assets in equity securities, trading hours, trading mechanism of a free and open market
the portfolio—comprised primarily of halts, surveillance, and the information and a national market system and, in
FLEX Options on the S&P 500—will be circular, as set forth in Exchange rules general, to protect investors and the
acquired in extremely liquid and highly applicable to Index Fund Shares and the public interest in that the Shares of each
regulated markets. orders approving such rules. Moreover, Fund will meet each of the initial and
As noted above, options on the S&P all of the options contracts held by the continued listing criteria in BZX Rule
500 are among the most liquid options Funds will trade on markets that are a 14.11(c) with the exception Rule
in the world and derive their value from member of Intermarket Surveillance 14.11(c)(3)(A)(i), applicable to the
the actively traded S&P 500 Index Group (‘‘ISG’’) or affiliated with a listing of Index Fund Shares based upon
components. The contracts are cash- member of ISG or with which the an index of ‘‘U.S. Component Stocks.’’
settled with no delivery of stocks or Exchange has in place a comprehensive Specifically, Rule 14.11(c)(3)(A)(i) sets
ETFs, and trade in competitive auction surveillance sharing agreement.12 All forth the requirements to be met by
markets with price and quote statements and representations made in components of an index or portfolio of
transparency. The Exchange believes the this filing regarding the index U.S. Component Stocks. Because the
highly regulated options markets and composition, the description of the Index consists of FLEX Options, rather
the broad base and scope of the S&P 500 portfolio or reference assets, limitations than ‘‘U.S. Component Stocks’’ as
Index make securities that derive their on portfolio holdings or reference assets, defined in Rule 14.11(c)(1)(D), the Index
value from the index less susceptible to dissemination and availability of index, does not satisfy the requirements of
market manipulation in view of market reference asset, and intraday indicative Rule 14.11(c)(3)(A)(i).15 The Exchange
capitalization and liquidity of the S&P values, and the applicability of
500 components, price and quote Exchange rules specified in this filing 13 15 U.S.C. 78f.
transparency, and arbitrage shall constitute continued listing 14 15 U.S.C. 78f(b)(5).
opportunities. requirements for the Funds. The issuer 15 Rule 14.11(c)(3)(A)(i)(e) provides that all
has represented to the Exchange that it securities in the applicable index or portfolio shall
be U.S. Component Stocks listed on a national
mstockstill on DSK30JT082PROD with NOTICES
11 The Exchange notes that CBOE is a member of will advise the Exchange of any failure securities exchange and shall be NMS Stocks as
the Option Price Regulatory Surveillance Authority, defined in Rule 600 under Regulation NMS of the
which was established in 2006, to provide 12 For a list of the current members and affiliate Act. Each component stock of the S&P 500 is a U.S.
efficiencies in looking for insider trading and serves members of ISG, see www.isgportal.com. The Component Stock that is listed on a national
as a central organization to facilitate collaboration Exchange notes that not all components of the securities exchange and is an NMS Stock. Options
in insider trading and investigations for the U.S. Disclosed Portfolio for the Fund may trade on are excluded from the definition of NMS Stock. The
options exchanges. For more information, see markets that are members of ISG or with which the Funds and the Indexes meet all of the requirements
http://www.cboe.com/aboutcboe/legal/ Exchange has in place a comprehensive of the listing standards for Index Fund Shares in
departments/orsareg.aspx. surveillance sharing agreement. Rule 14.11(c)(3), except the requirements in Rule
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![42008 Federal Register / Vol. 82, No. 170 / Tuesday, September 5, 2017 / Notices
Commission process and review your U.S.C. 552b(c)(3), (5), (7), 9(B) and (10) Commission is publishing this notice to
comments more efficiently, please use and 17 CFR 200.402(a)(3), (a)(5), (a)(7), solicit comments on the proposed rule
only one method. The Commission will (a)(9)(ii) and (a)(10), permit change from interested persons.
post all comments on the Commission’s consideration of the scheduled matters
I. Self-Regulatory Organization’s
Internet Web site (http://www.sec.gov/ at the closed meeting.
Statement of the Terms of Substance of
rules/sro.shtml). Copies of the Commissioner Stein, as duty officer, the Proposed Rule Change
submission, all subsequent voted to consider the items listed for the
amendments, all written statements closed meeting in closed session. The Exchange proposes to amend
with respect to the proposed rule The subject matters of the closed Section 202.06 of the NYSE Listed
change that are filed with the meeting will be: Company Manual (the ‘‘Manual’’) to
Commission, and all written Institution and settlement of limit the issuance of material news by
communications relating to the injunctive actions; listed companies in the period
proposed rule change between the Institution and settlement of immediately after the official closing
Commission and any person, other than administrative proceedings; time for the Exchange’s trading session.
those that may be withheld from the Adjudicatory matters; The proposed rule change is available
public in accordance with the Resolution of litigation claims; and on the Exchange’s Web site at
provisions of 5 U.S.C. 552, will be Other matters relating to enforcement www.nyse.com, at the principal office of
available for Web site viewing and proceedings. the Exchange, and at the Commission’s
printing in the Commission’s Public At times, changes in Commission Public Reference Room.
Reference Room, 100 F Street NE., priorities require alterations in the II. Self-Regulatory Organization’s
Washington, DC 20549 on official scheduling of meeting items. Statement of the Purpose of, and
business days between the hours of For further information and to Statutory Basis for, the Proposed Rule
10:00 a.m. and 3:00 p.m. Copies of the ascertain what, if any, matters have been Change
filing also will be available for added, deleted or postponed; please
In its filing with the Commission, the
inspection and copying at the principal contact Brent J. Fields from the Office of
self-regulatory organization included
office of the Exchange. All comments the Secretary at (202) 551–5400.
statements concerning the purpose of,
received will be posted without change; Dated: August 30, 2017. and basis for, the proposed rule change
the Commission does not edit personal
Brent J. Fields, and discussed any comments it received
identifying information from
Secretary. on the proposed rule change. The text
submissions. You should submit only
[FR Doc. 2017–18807 Filed 8–31–17; 11:15 am] of those statements may be examined at
information that you wish to make
the places specified in Item IV below.
available publicly. All submissions BILLING CODE 8011–01–P
The Exchange has prepared summaries,
should refer to File Number SR–
set forth in sections A, B, and C below,
BatsBZX–2017–56 and should be
SECURITIES AND EXCHANGE of the most significant parts of such
submitted on or before September 26,
COMMISSION statements.
2017.
For the Commission, by the Division of [Release No. 34–81494; File No. SR–NYSE– A. Self-Regulatory Organization’s
Trading and Markets, pursuant to delegated 2017–32] Statement of the Purpose of, and the
authority.19 Statutory Basis for, the Proposed Rule
Eduardo A. Aleman, Self-Regulatory Organizations; New Change
Assistant Secretary. York Stock Exchange LLC; Notice of
Filing of Proposed Rule Change To 1. Purpose
[FR Doc. 2017–18660 Filed 9–1–17; 8:45 am]
Amend Section 202.06 of the NYSE The Exchange proposes to amend
BILLING CODE 8011–01–P
Listed Company Manual To Prohibit Section 202.06 of the Manual to limit
Listed Companies From Issuing the issuance of material news by listed
SECURITIES AND EXCHANGE Material News After the Official Closing companies in the period immediately
COMMISSION Time for the Exchange’s Trading after the official closing time for the
Session Until the Earlier of Publication Exchange’s trading session.
Sunshine Act Meeting of Such Company’s Official Closing Continuous trading on the Exchange
Price on the Exchange or Five Minutes ends at the Exchange’s official closing
Notice is hereby given, pursuant to After the Official Closing Time time of 4:00 p.m. Eastern Time (except
the provisions of the Government in the that on certain days the official closing
Sunshine Act, Public Law 94–409, that August 29, 2017. time occurs early at 1:00 p.m. Eastern
the Securities and Exchange Pursuant to Section 19(b)(1) 1 of the Time), which is when the Exchange
Commission will hold a closed meeting Securities Exchange Act of 1934 (the stops accepting new orders, including
on Wednesday, September 6, 2017 at 2 ‘‘Act’’) 2 and Rule 19b–4 thereunder,3 orders designated for the closing
p.m. notice is hereby given that, on August auction, and requests to cancel orders.4
Commissioners, Counsel to the 17, 2017, New York Stock Exchange The Designated Market Maker (‘‘DMM’’)
Commissioners, the Secretary to the LLC (‘‘NYSE’’ or the ‘‘Exchange’’) filed registered in a security facilitates the
Commission, and recording secretaries with the Securities and Exchange close of trading after continuous trading
will attend the closed meeting. Certain Commission (the ‘‘Commission’’) the ends at the official closing time of 4:00
staff members who have an interest in
mstockstill on DSK30JT082PROD with NOTICES
proposed rule change as described in
the matters also may be present. Items I, II, and III below, which Items 4 Pursuant to NYSE Rule 123C(2), orders
The General Counsel of the have been prepared by the self- designated for the close, including Market on Close
Commission, or his designee, has regulatory organization. The (‘‘MOC’’) and Limit on Close (‘‘LOC’’) Orders can
certified that, in his opinion, one or be entered after 3:45 p.m. to offset a published
Mandatory MOC/LOC Imbalance Publication.
more of the exemptions set forth in 5 1 15 U.S.C. 78s(b)(1). Closing Offset (‘‘CO’’) Orders can be entered on
2 15 U.S.C. 78a. both sides of the market up to 4:00 p.m. regardless
19 17 CFR 200.30–3(a)(12). 3 17 CFR 240.19b–4. of whether there is a published imbalance.
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Document Created: 2017-09-02 03:25:18
Document Modified: 2017-09-02 03:25:18
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
| Publisher | Office of the Federal Register, National Archives and Records Administration | |
| Section | Notices | |
| FR Citation | 82 FR 42003 |
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