83 FR 8719 - Self-Regulatory Organizations; The Nasdaq Stock Market LLC; Notice of Filing of Proposed Rule Change To List and Trade, Under Nasdaq Rule 5705, the Shares of the Horizons Russell 2000 Covered Call ETF
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 83, Issue 40 (February 28, 2018)
Federal Register Volume 83, Issue 40 (February 28, 2018)
| Page Range | 8719-8727 | |
| FR Document | 2018-04035 |
[Federal Register Volume 83, Number 40 (Wednesday, February 28, 2018)] [Notices] [Pages 8719-8727] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2018-04035] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-82761; File No. SR-NASDAQ-2018-012] Self-Regulatory Organizations; The Nasdaq Stock Market LLC; Notice of Filing of Proposed Rule Change To List and Trade, Under Nasdaq Rule 5705, the Shares of the Horizons Russell 2000 Covered Call ETF February 22, 2018. 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 February 9, 2018, The Nasdaq Stock Market LLC (``Nasdaq'' or ``Exchange'') filed with the Securities and Exchange Commission (``SEC'' or ``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 proposes to list and trade, under Nasdaq Rule 5705, the shares (``Index Fund Shares'' or ``Shares'') of the Horizons Russell 2000 Covered Call ETF (the ``Fund''), a series of the Horizons ETF Trust I (the ``Trust''). 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 aspects of such statements. A. Self-Regulatory Organization's Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange proposes to list and trade the Shares of the Fund under Rule 5705, which rule governs the listing and trading of Index Fund Shares \3\ on the Exchange.\4\ The Shares will be offered by the Fund, which will be a passively managed exchange-traded fund (``ETF'') that seeks to track the performance of the CBOE Russell 2000 30-Delta BuyWrite V2 Index (the ``Benchmark Index'').\5\ The Fund is a series of the Trust. The Trust was established as a Delaware statutory trust on May 17, [[Page 8720]] 2012. The Trust is registered with the Commission as an open-end management investment company and has filed a post-effective amendment to its registration statement on Form N-1A (the ``Registration Statement'') with the Commission to register the Fund and its Shares under the 1940 Act and the Securities Act of 1933.\6\ --------------------------------------------------------------------------- \3\ Rule 5705(b)(1)(A) provides that an ``Index Fund Share'' is a security (i) that is issued by an open-end management investment company based on a portfolio of stocks or fixed income securities or a combination thereof, that seeks to provide investment results that correspond generally to the price and yield performance or total return performance of a specified foreign or domestic stock index, fixed income securities index or combination thereof; (ii) that is issued by such an open-end management investment company in a specified aggregate minimum number in return for a deposit of specified numbers of shares of stock and/or a cash amount, a specified portfolio of fixed income securities and/or a cash amount and/or a combination of the above, with a value equal to the next determined net asset value; and (iii) that, when aggregated in the same specified minimum number, may be redeemed at a holder's request by such open-end investment company which will pay to the redeeming holder the stock and/or cash, fixed income securities and/or cash and/or a combination thereof, with a value equal to the next determined net asset value. In contrast, an open-end investment company that issues Managed Fund Shares, listed and traded on the Exchange under Nasdaq Rule 5735, seeks to provide investment results from a portfolio of securities selected by its investment adviser consistent with its investment objective and policies. \4\ The Commission approved Nasdaq Rule 5705 in Securities Exchange Act Release No. 57962 (June 13, 2008), 73 FR 35175 (June 20, 2008) (SR-NASDAQ-2008-039). \5\ The Exchange notes that its proposal to list shares of the Fund which tracks the performance of an index of U.S. exchange- listed options is similar to the proposal and resultant order issued to the NYSE ARCA to list and trade under NYSE Arca Equities Rule 5.2(j)(3) (which is similar to Nasdaq Rule 5705(b)). See Securities Exchange Act Release No. 68708 (January 23, 2013) (SR-NYSEArca-2012- 131) (order approving listing and trading of shares of the Horizons S&P 500 Covered Call ETF, Horizons S&P Financial Select Sector Covered Call ETF and Horizons S&P Energy Select Sector Covered Call ETF). The Exchange believes the proposed rule change does not raise any significant issues not previously addressed in this or prior Commission orders. \6\ See Registration Statement for the Trust, filed on June 22, 2017 (File No. 333-183155). The descriptions of the Fund and the Shares contained herein are based, in part, on information in the Registration Statement. In addition, the Commission has issued an order granting certain exemptive relief to the Trust under the 1940 Act. See Investment Company Act Release No. 31961 (Jan. 19, 2016) (File No. 812-14461) (``Exemptive Order''). --------------------------------------------------------------------------- Horizons ETF Management (US), LLC will serve as the investment adviser (the ``Adviser'') to the Fund. Foreside Fund Services, LLC will serve as the principal underwriter and distributor of the Fund's Shares (the ``Distributor''). U.S. Bank National Association will act as the custodian for the Fund (the ``Custodian''). U.S. Bancorp Fund Services, LLC will serve as the administrator, transfer agent and fund accounting agent for the Fund (the ``Administrator''). The Benchmark Index was developed by and is maintained by FTSE International Limited and Frank Russell Company (the ``Index Provider'').\7\ The Index Provider is a global provider of index and data services. --------------------------------------------------------------------------- \7\ The Benchmark Index methodology is available at https://www.cboe.com/products/strategy-benchmark-indexes/buywrite-indexes/cboe-russell-2000-30-delta-buywrite-index-bxrd. --------------------------------------------------------------------------- Nasdaq Rule 5705(b)(5)(A)(i) provides that, if an index is maintained by a broker-dealer or fund adviser, the broker-dealer or fund adviser shall erect a ``fire wall'' around the personnel who have to access to information concerning changes and adjustments to the index. In addition, Nasdaq Rule 5705(b)(5)(A)(iii) further requires that any advisory committee, supervisory board, or similar entity that advises a Reporting Authority or that makes decisions on index composition, methodology and related matters, must implement and maintain, or be subject to, procedures designed to prevent the use and dissemination of material non-public information regarding the applicable index. The Adviser is not a broker-dealer; however, it is affiliated with two broker-dealers. The Adviser represents that a fire wall exists around the respective personnel at the Adviser and affiliated broker- dealers who have access to information concerning changes and adjustments to the composition and/or changes to the Fund's portfolio. In addition, and in accordance with Nasdaq Rule 5705(b)(5)(a)(iii), such personnel will be subject to procedures designed to prevent the use and dissemination of material non-public information regarding the Fund's portfolio. The Index Provider is not a broker-dealer and it is not affiliated with a broker-dealer. The Index Provider has represented that a fire wall exists around its personnel who have access to information concerning changes and adjustments to the Benchmark Index. In addition, and in accordance with Nasdaq Rule 5705(b)(5)(A)(iii), such personnel will be subject to procedures designed to prevent the use and dissemination of material non-public information regarding the Benchmark Index. The Chicago Board Options Exchange, Incorporated (``CBOE'') is the index calculation agent for the Benchmark Index. CBOE has represented that a fire wall exists around its personnel who have access to information concerning changes and adjustments to the Benchmark Index. In addition, such personnel will be subject to procedures designed to prevent the use and dissemination of material non-public information regarding the Benchmark Index. The Exchange represents that in the event (a) the Adviser, any sub- adviser, or the Index Provider becomes registered as a broker-dealer or is newly affiliated with a broker dealer, or (b) any new adviser, sub- adviser, or Index Provider is a registered broker-dealer or becomes affiliated with a broker dealer, then the Adviser, sub-adviser or Index Provider will implement a fire wall with respect to its relevant personnel or such broker dealer affiliate, as applicable, regarding access to information concerning the composition or changes to the portfolio or concerning changes and adjustments to the Benchmark Index and will be subject to procedures designed to prevent the use and dissemination of material, nonpublic information regarding the Fund's portfolio. The Fund does not currently intend to use a sub-adviser.\8\ --------------------------------------------------------------------------- \8\ An investment adviser to an open-end fund is required to be registered under the Investment Advisers Act of 1940 (the ``Advisers Act''). As a result, the Adviser and its related personnel are subject to the provisions of Rule 204A-1 under the Advisers Act relating to codes of ethics. This Rule requires investment advisers to adopt a code of ethics that reflects the fiduciary nature of the relationship to clients as well as compliance with other applicable securities laws. Accordingly, procedures designed to prevent the communication and misuse of non-public information by an investment adviser must be consistent with the Advisers Act and Rule 204A-1 thereunder. In addition, Rule 206(4)-7 under the Advisers Act makes it unlawful for an investment adviser to provide investment advice to clients unless such investment adviser has (i) adopted and implemented written policies and procedures reasonably designed to prevent violation, by the investment adviser and its supervised persons, of the Advisers Act and the Commission rules adopted thereunder; (ii) implemented, at a minimum, an annual review regarding the adequacy of the policies and procedures established pursuant to subparagraph (i) above and the effectiveness of their implementation; and (iii) designated an individual (who is a supervised person) responsible for administering the policies and procedures adopted under subparagraph (i) above. --------------------------------------------------------------------------- Horizons Russell 2000 Covered Call ETF Principal Investments The Fund's investment objective is to seek to track the investment results that correspond (before fees and expenses) generally to the performance of the Benchmark Index provided by the Index Provider. The Fund will pursue its objective by investing at least 80% of its total assets in all of the equity securities in the Russell 2000 Index and a single written one-month out-of-the-money covered call option on the Russell 2000 Index. The market value of the option strategy may be up to 20% of the Fund's overall net asset value. The market value of the call options included in the Benchmark Index will not represent more than 10% of the total weight of the Benchmark Index. The component securities of the Benchmark Index meet all requirements of Nasdaq Rule 5705(b)(3)(A)(i) except that the Benchmark Index includes call options, which are not NMS Stocks as defined in Rule 600 of Regulation NMS. In pursuing its investment objective, under normal market conditions,\9\ the Fund will seek investment results that, before fees and expenses, generally correspond to the performance of the Benchmark Index. The Fund seeks correlation of 0.90 or better between its performance and the performance of the Benchmark Index. A figure of 1.00 would represent perfect correlation. The call option written is at the strike nearest to the 30 Delta between 10:30 a.m. and 11:00 a.m. CT on the roll date (the third Friday of every month). --------------------------------------------------------------------------- \9\ The term ``under normal market conditions'' as used herein includes, but is not limited to, the absence of adverse market, economic, political or other conditions, including extreme volatility or trading halts in the securities markets or the financial markets generally; operational issues causing dissemination of inaccurate market information; or force majeure type events such as systems failure, natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance. In periods of extreme market disturbance, the Fund may take temporary defensive positions, by overweighting its portfolio in cash/cash-like instruments; however, to the extent possible, the Adviser would continue to seek to achieve the Fund's investment objective. --------------------------------------------------------------------------- The Benchmark Index is a benchmark index that measures the performance of [[Page 8721]] a theoretical portfolio that holds the stocks included in the Russell 2000 Index and ``writes'' (or sells) a single one-month out-of-the- money Russell 2000 Index covered call option. The call option written for the Benchmark Index is at the strike nearest to the 30 Delta between 10:30 a.m. and 11:00 a.m. CT on the roll date (the third Friday of every month). The Russell 2000 Index measures the performance of the small capitalization sector of the U.S. equity market, as defined by the Index Provider. The Russell 2000 Index is a subset of the Russell 3000 Index, which measures the performance of the broad U.S. equity market, as determined by the Index Provider. The Russell 2000 Index is a float-adjusted capitalization-weighted index of equity securities issued by the approximately 2000 smallest issuers in the Russell 3000 Index. Preferred and convertible preferred stock, redeemable shares, participating preferred stock, warrants, rights, installment receipts and trust receipts are not included in the Russell 2000 Index. Because a covered call strategy generates income in the form of premiums on the written call options, the Benchmark Index is generally expected to provide higher total returns with lower volatility than the Russell 2000 Index in most market environments, with the exception of when the equity market is rallying rapidly. Each single call option in the Benchmark Index will be traded on national securities exchanges, such as the CBOE. As of October 31, 2017, the Russell 2000 Index included common stocks of 1984 companies, with an average market capitalization of approximately $2.3 billion. The Fund will generally use a replication methodology, meaning it will invest in all of the securities and the call option comprising the Benchmark Index in proportion to the weightings in Benchmark Index. However, the Fund may, from time-to-time, utilize a sampling methodology under various circumstances where it may not be possible or practicable to purchase all of the equity securities comprising the Benchmark Index. The equity securities in which the Fund will invest and the option that the Fund will write will be limited to U.S. exchange-traded securities and call options, respectively. They will trade in markets that are members of the Intermarket Surveillance Group (``ISG''), which includes all U.S. national securities exchanges and certain foreign exchanges, or they will be parties to a comprehensive surveillance sharing agreement with the Exchange. A list of ISG members is available at www.isgportal.org. The equity securities held by the Fund will be rebalanced quarterly. The call option portion of the portfolio will consist of a single U.S. exchange-traded one-month covered call on the Russell 2000 Index that is written by the Fund slightly out-of-the-money. A call option will give the holder the right to buy the securities underlying the call options written at a predetermined strike price from the Fund. The notional value of the covered call options written (including financial instruments described in Other Investments below) will be generally be 100% of the overall Fund. The Fund will utilize options in accordance with Rule 4.5 of the Commodity Exchange Act (``CEA''). The Trust, on behalf of the Fund, has filed a notice of eligibility for exclusion from the definition of the term ``commodity pool operator'' in accordance with Rule 4.5 so that the Fund is not subject to registration or regulation as a commodity pool operator under the CEA. Other Investments The Fund may invest no more than 20% of its net assets in the instruments described below. The Fund may invest in ETFs, which shall be registered as investment companies under the 1940 Act and trade on a U.S. national securities exchange. The Fund may also buy and sell individual large capitalization equity securities that do not comprise the Russell 2000 Index and are traded on a U.S. national securities exchange. The Fund may invest in U.S. exchange-listed futures contracts based on (1) the Benchmark Index or Russell 2000 Index and (2) ETFs designed to track the Benchmark Index or Russell 2000 Index. In addition, the Fund may invest in forward contracts based on (1) the Benchmark Index or Russell 2000 Index and (2) ETFs designed to track the Benchmark Index or Russell 2000 Index. The Fund may also buy and sell OTC options on (1) the Benchmark Index or Russell 2000 Index and (2) ETFs designed to track the Benchmark Index or Russell 2000 Index. Moreover, the Fund may enter into dividend and total return swap transactions (including equity swap transactions) based on (1) the Benchmark Index or Russell 2000 Index and (2) ETFs designed to track the Benchmark Index or Russell 2000 Index.\10\ In a typical swap transaction, one party agrees to make periodic payments to another party (``counterparty'') in an amount that equals the change in market value or level of a specified rate, index, or asset. In return, the counterparty agrees to make periodic payments to the first party in an amount that equals the change in market value or level of a specified rate, index, or asset.\11\ For example, the Fund enters into a two-year equity swap with a counterparty in which the Fund will receive the rate of return on the Russell 2000 Index and agree to pay the counterparty a certain fixed dollar amount during the two-year period. Swap transactions are usually done on a net basis, whereby the Fund would receive or pay only the net amount of the two payments. In a typical dividend swap transaction, the Fund would pay the swap counterparty a premium and would be entitled to receive the value of the actual dividends paid on the subject index during the term of the swap contract. In a typical total return swap, the Fund might exchange long or short exposures to the return of the underlying securities or index to isolate the value of the dividends paid on the underlying securities or index constituents. The Fund also may engage in interest rate swap transactions. In a typical interest rate swap transaction one stream of future interest payments is exchanged for another. Such transactions often take the form of an exchange of a fixed payment for a variable payment based on a future interest rate. The Fund would use interest rate swap transactions to manage or hedge exposure to interest rate fluctuations. --------------------------------------------------------------------------- \10\ The Fund will transact only with swap dealers that have in place an ISDA agreement with the Fund. \11\ Where practicable, the Fund intends to invest in swaps cleared through a central clearing house (``Cleared Swaps''). Currently, only certain of the interest rate swaps in which the Fund intends to invest are Cleared Swaps, while the dividend and total return swaps (including equity swaps) in which the Fund may invest are currently not Cleared Swaps. --------------------------------------------------------------------------- The Fund's short positions and its investments in swaps, futures contracts, forward contracts and options based on the Benchmark Index and Russell 2000 Index and ETFs designed to track the Benchmark Index or Russell 2000 Index will be backed by investments in cash, high- quality short-term debt securities and money-market instruments in an amount equal to the Fund's maximum liability under the applicable position or contract, or will otherwise be offset in accordance with Section 18 of the 1940 Act.\12\ --------------------------------------------------------------------------- \12\ The Fund will seek, where possible, to use counterparties, as applicable, whose financial status is such that the risk of default is reduced; however, the risk of losses resulting from default is still possible. The Adviser will evaluate the creditworthiness of counterparties on an ongoing basis. In addition to information provided by credit agencies, the Adviser will evaluate each approved counterparty using various methods of analysis, such as, for example, the counterparty's liquidity in the event of default, the counterparty's reputation, the Adviser's past experience with the counterparty, and the counterparty's share of market participation. --------------------------------------------------------------------------- [[Page 8722]] The Fund will attempt to limit counterparty risk in non-cleared swaps, forwards, and OTC option contracts by entering into such contracts only with counterparties the Adviser believes are creditworthy and by limiting the Fund's exposure to each counterparty. The Adviser will monitor the creditworthiness of each counterparty and the Fund's exposure to each counterparty on an ongoing basis. The Fund may invest in short-term debt securities, money market instruments and shares of money market funds to the extent permitted under the 1940 Act. Short-term debt securities and money market instruments include shares of fixed income or money market mutual funds, commercial paper, certificates of deposit, bankers' acceptances, U.S. government securities (including securities issued or guaranteed by the U.S. government or its authorities, agencies, or instrumentalities) and, repurchase agreements.\13\ Short-term debt securities include bonds that are rated BBB or higher. --------------------------------------------------------------------------- \13\ The Fund may enter into repurchase agreements with banks and broker-dealers. A repurchase agreement is an agreement under which securities are acquired by a fund from a securities dealer or bank subject to resale at an agreed upon price on a later date. The acquiring fund bears a risk of loss in the event that the other party to a repurchase agreement defaults on its obligations and the fund is delayed or prevented from exercising its rights to dispose of the collateral securities. --------------------------------------------------------------------------- The Fund's investments that it describes above in this section will be consistent with the Fund's investment objective and with the requirements of the 1940 Act.\14\ --------------------------------------------------------------------------- \14\ To limit the potential risk associated with such transactions, the Fund will segregate or ``earmark'' assets determined to be liquid by the Adviser in accordance with procedures established by the Trust's Board of Trustees and in accordance with the 1940 Act (or, as permitted by applicable regulation, enter into certain offsetting positions) to cover its obligations arising from such transactions. These procedures have been adopted consistent with Section 18 of the 1940 Act and related Commission guidance. In addition, the Fund will include appropriate risk disclosure in its offering documents, including leveraging risk. Leveraging risk is the risk that certain transactions of the Fund may give rise to leverage, causing the Fund to be more volatile than if it had not been leveraged. To mitigate leveraging risk, the Adviser will segregate or ``earmark'' liquid assets or otherwise cover the transactions that may give rise to such risk the 1940 Act. The Fund will not make investments in securities to seek to achieve a multiple or inverse multiple of an index and they will not be used to enhance leverage. --------------------------------------------------------------------------- The Fund may hold up to an aggregate amount of 15% of its net assets in illiquid securities (calculated at the time of investment). The Fund will monitor its portfolio liquidity on an ongoing basis to determine whether, in light of current circumstances, an adequate level of liquidity is being maintained, and will consider taking appropriate steps in order to maintain adequate liquidity if, through a change in values, net assets, or other circumstances, more than 15% of the Fund's net assets are held in illiquid securities. Illiquid securities include securities subject to contractual or other restrictions on resale and other instruments that lack readily available markets, as determined in accordance with Commission staff guidance. The Fund will not invest in assets that are not described in this proposed rule change. The Fund seeks to track the Benchmark Index, which itself may have concentration in certain regions, economies, markets, industries or sectors. The Fund may concentrate its investments in a particular industry or group of industries to the extent that the Russell 2000 Index concentrates in an industry or group of industries.\15\ By concentrating its investments in an industry or sector, the Fund faces more risks than if it were diversified broadly over numerous industries or sectors. --------------------------------------------------------------------------- \15\ See Form N-1A, Item 9. The Commission has taken the position that a fund is concentrated if it invests more than 25% of the value of its total assets in any one industry. See, e.g., Investment Company Act Release No. 9011 (October 30, 1975), 40 FR 54241 (November 21, 1975). --------------------------------------------------------------------------- The Shares The Fund will issue and redeem Shares only in Creation Units at the net asset value (``NAV'') \16\ next determined after receipt of an order on a continuous basis every day except weekends and specified holidays. The NAV of the Fund will be determined once each business day, normally as of the close of trading of the NYSE, which is, generally, 4:00 p.m. Eastern Time. Creation Unit sizes will be 50,000 Shares per Creation Unit. The Trust will issue and sell Shares of the Fund only in Creation Units on a continuous basis through the Distributor, without a sales load (but subject to transaction fees), at their NAV per Share next determined after receipt of an order, on any business day, in proper form pursuant to the terms of the applicable agreement with an Authorized Participant (as discussed below). --------------------------------------------------------------------------- \16\ The NAV of the Fund's Shares generally will be calculated once daily Monday through Friday as of the close of regular trading on the Nasdaq Stock Exchange, generally 4:00 p.m. Eastern time (the ``NAV Calculation Time''). NAV per Share will be calculated by dividing the Fund's net assets by the number of Fund Shares outstanding. For more information regarding the valuation of Fund investments in calculating the Fund's NAV, see Registration Statement. --------------------------------------------------------------------------- The consideration for purchase of a Creation Unit generally will consist of either (i) the in-kind deposit of a designated portfolio of securities (the ``Deposit Securities'') per each Creation Unit and the Cash Component (defined below), computed as described below or (ii) the cash value of all or a portion of the Deposit Securities (``Deposit Cash'') and the ``Cash Component,'' computed as described below. The Fund may, under certain circumstances, effect a portion of creations and redemptions for cash, rather than in-kind securities, particularly for the put and call options in which the Fund invests. When accepting purchases of Creation Units for cash, the Fund may incur additional costs associated with the acquisition of Deposit Securities that would otherwise be provided by an in-kind purchaser. Together, the Deposit Securities or Deposit Cash, as applicable, and the Cash Component will constitute the ``Fund Deposit,'' which represents the minimum initial and subsequent investment amount for a Creation Unit of the Fund. The ``Cash Component'' will be an amount equal to the difference between the NAV of the Shares (per Creation Unit) and the market value of the Deposit Securities or Deposit Cash, as applicable. If the Cash Component is a positive number (i.e., the NAV per Creation Unit exceeds the market value of the Deposit Securities or Deposit Cash, as applicable), the Cash Component will be such positive amount. If the Cash Component is a negative number (i.e., the NAV per Creation Unit is less than the market value of the Deposit Securities or Deposit Cash, as applicable), the Cash Component will be such negative amount and the creator will be entitled to receive cash in an amount equal to the Cash Component. The Cash Component will serve the function of compensating for any difference between the NAV per Creation Unit and the market value of the Deposit Securities or Deposit Cash, as applicable. To be eligible to place orders with respect to creations and redemptions of Creation Units, an entity must be (i) a ``Participating Party,'' i.e., a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (``NSCC'') or (ii) a Depository Trust Company (``DTC'') Participant (a ``DTC Participant''). In addition, each [[Page 8723]] Participating Party or DTC Participant (each, an ``Authorized Participant'') must execute an agreement that has been agreed to by the Distributor and the Administrator with respect to purchases and redemptions of Creation Units. The Administrator, through the NSCC, will make available on each business day, immediately prior to the opening of business on the Exchange's Regular Market Session (currently 9:30 a.m. Eastern time), the list of the names and the required number of shares of each Deposit Security and/or the required amount of Deposit Cash, as applicable, to be included in the current Fund Deposit (based on information at the end of the previous business day). Such Fund Deposit, subject to any relevant adjustments, will be applicable in order to effect purchases of Creation Units of the Fund until such time as the next announced composition of the Deposit Securities and/or the required amount of Deposit Cash, as applicable, is made available. Shares may be redeemed only in Creation Units at their NAV next determined after receipt of a redemption request in proper form by the Fund through the Administrator and only on a business day. With respect to the Fund, the Administrator, through the NSCC, will make available immediately prior to the opening of business on the Exchange (9:30 a.m. Eastern time) on each business day, the list of the names and share quantities of the Fund's portfolio securities (``Fund Securities'') and/or, if relevant, the required cash value thereof that will be applicable (subject to possible amendment or correction) to redemption requests received in proper form on that day. Fund Securities received on redemption may not be identical to Deposit Securities. Redemption proceeds for a Creation Unit will be paid either in-kind or in cash or a combination thereof, as determined by the Trust. With respect to in-kind redemptions of the Fund, redemption proceeds for a Creation Unit will consist of Fund Securities as announced by the Administrator on the business day of the request for redemption received in proper form plus cash in an amount equal to the difference between the NAV of the Shares being redeemed, as next determined after a receipt of a request in proper form, and the value of the Fund Securities (the ``Cash Redemption Amount''), less a fixed redemption transaction fee and any applicable additional variable charge as set forth in the Registration Statement. In the event that the Fund Securities have a value greater than the NAV of the Shares, a compensating cash payment equal to the differential will be required to be made by or through an Authorized Participant by the redeeming shareholder. Notwithstanding the foregoing, at the Trust's discretion, an Authorized Participant may receive the corresponding cash value of the securities in lieu of one or more Fund Securities. The creation/redemption order cut off time for the Fund is expected to be 4:00 p.m. Eastern time for purchases of Shares. On days when the Exchange closes earlier than normal and in the case of custom orders, the Fund may require orders for Creation Units to be placed earlier in the day. Availability of Information The Fund's website (www.us.horizonsetfs.com), which will be publicly available prior to the public offering of Shares, will include a form of the prospectus for the Fund that may be downloaded. The website will include the Shares' ticker, CUSIP and exchange information along with additional quantitative information updated on a daily basis, including, for the Fund: (1) Daily trading volume, the prior business day's reported NAV and closing price, mid-point of the bid/ask spread at the time of calculation of such NAV (the ``Bid/Ask Price''),\17\ and a calculation of the premium and discount of the Bid/ Ask Price against the NAV; and (2) data in chart format displaying the frequency distribution of discounts and premiums of the daily Bid/Ask Price against the NAV, within appropriate ranges, for each of the four previous calendar quarters. --------------------------------------------------------------------------- \17\ The Bid/Ask Price of the Fund will be determined using the midpoint of the highest bid and the lowest offer on the Exchange as of the time of calculation of the Fund's NAV. The records relating to Bid/Ask Prices will be retained by the Fund and its service providers. --------------------------------------------------------------------------- On each business day, before commencement of trading in Shares in the Regular Market Session \18\ on the Exchange, the Fund will disclose on its website the identities and quantities of the portfolio of securities and other assets (the ``Disclosed Portfolio'') held by the Fund that will form the basis for the Fund's calculation of NAV at the end of the business day.\19\ --------------------------------------------------------------------------- \18\ See Nasdaq Rule 4120(b)(4) (describing the three trading sessions on the Exchange: (1) Pre-Market Session from 4 a.m. to 9:30 a.m. Eastern time; (2) Regular Market Session from 9:30 a.m. to 4 p.m. or 4:15 p.m. Eastern time; and (3) Post-Market Session from 4 p.m. or 4:15 p.m. to 8 p.m. Eastern time). \19\ Under accounting procedures to be followed by the Fund, trades made on the prior business day (``T'') will be booked and reflected in NAV on the current business day (``T+1''). Notwithstanding the foregoing, portfolio trades that are executed prior to the opening of the Exchange on any business day may be booked and reflected in NAV on such business day. Accordingly, the Fund will be able to disclose at the beginning of the business day the portfolio that will form the basis for the NAV calculation at the end of the business day. --------------------------------------------------------------------------- On a daily basis, the Fund will disclose on the Fund's website the following information regarding each portfolio holding, as applicable to the type of holding: Ticker symbol; CUSIP number or other identifier, if any; a description of the holding (including the type of holding); with respect to holdings in derivatives, the identity of the security, index, or other asset upon which the derivative is based; for options, the option strike price, quantity held (as measured by, for example, par value, notional value or number of shares, contracts or units), and expiration of call option; maturity date, if any; coupon rate; if any; effective date, if any; market value of the holding; percentage weighting of the holding in the Fund's portfolio; and cash equivalents and the amount of cash held. The website information will be publicly available at no charge. In addition, the Disclosed Portfolio will be publicly disseminated daily prior to the opening of Nasdaq, via NSCC. The basket will represent one Creation Unit of the Fund. The quotation and last-sale information for the Shares will be available via Nasdaq proprietary quote and trade services, as well as in accordance with the Unlisted Trading Privileges and the Consolidated Tape Association plans for the Shares held by the Fund that will form the basis for the Fund's calculation of NAV at the end of the business day. The value of the Benchmark Index will be published by one or more major market data vendors every 15 seconds during the Regular Market Session. Information about the Benchmark Index constituents, the weighting of the constituents, the Benchmark Index's methodology, and the Benchmark Index's rules will be available at no charge on the Index Provider's website at www.ftse.com. In addition, for the Fund, an estimated value, defined in Rule 5705(b)(3)(C) as the ``Intraday Indicative Value,'' that reflects an estimated intraday value of the Fund's portfolio, will be disseminated. Moreover, the Intraday Indicative Value, available on the NASDAQ Information LLC proprietary index data service,\20\ will be [[Page 8724]] based upon the current value for the components of the Disclosed Portfolio and will be updated and widely disseminated and broadly displayed at least every 15 seconds during the Regular Market Session. The Intraday Indicative Value will be based on quotes and closing prices from the assets' local market and may not reflect events that occur subsequent to the local market's close. Premiums and discounts between the Intraday Indicative Value and the market price may occur. This should not be viewed as a ``real time'' update of the NAV per Share of the Fund, which is calculated only once a day. --------------------------------------------------------------------------- \20\ Currently, the NASDAQ Global Index Data Service (``GIDS'') is the NASDAQ global index data feed service, offering real-time updates, daily summary messages, and access to widely followed indexes and Intraday Indicative Values for ETFs. GIDS provides investment professionals with the daily information needed to track or trade NASDAQ indexes, listed ETFs, or third-party partner indexes and ETFs. --------------------------------------------------------------------------- The dissemination of the Intraday Indicative Value, together with the Disclosed Portfolio, will allow investors to determine the value of the underlying portfolio of the Fund on a daily basis and will provide a close estimate of that value throughout the trading day. Information regarding market price and trading volume of the Shares will be continually available on a real-time basis throughout the day on brokers' computer screens and other electronic services. Information regarding the previous day's closing price and trading volume information for the Shares will be published daily in the financial section of newspapers. The Fund's website will include a form of the prospectus for the Fund that may be downloaded and additional data relating to NAV and other applicable quantitative information. Investors will also be able to obtain the Fund's Statement of Additional Information (``SAI''), the Fund's annual and semi-annual reports (together, ``Shareholder Reports''), and its Form N-CSR and Form N-SAR, filed twice a year. The Fund's SAI and Shareholder Reports will be available free upon request from the Fund, and those documents and the Form N-CSR and Form N-SAR may be viewed on-screen or downloaded from the Commission's website at www.sec.gov. With respect to the securities and other assets held by the Fund, the Intra-day, executable price quotations on such securities will be available from major broker-dealer firms or on the exchange on which they are traded, as applicable. Intra-day price information will also be available through subscription services, such as Bloomberg, Markit and Thomson Reuters, which can be accessed by Authorized Participants and other investors. Specifically, the intra-day, closing and settlement prices of the portfolio securities and other Fund investments, including exchange-listed equity securities (which include common stocks and ETFs), exchange-listed futures, and exchange-listed options, will be readily available from the national securities exchanges trading such securities, automated quotation systems, published or other public sources, and, with respect to OTC options, swaps, and forwards, from third party pricing sources, or on-line information services such as Bloomberg or Reuters. Price information regarding ETFs will be available from on-line information services and from the website for the applicable investment company security. The intra-day, closing and settlement prices of short-term debt securities and money market instruments will be readily available from published and other public sources or on-line information services. Money market funds are typically priced once each business day and their prices will be available through the applicable fund's website or from major market data vendors. In addition, a basket composition file, which includes the asset names, amounts and share quantities, as applicable, required to be delivered in exchange for the Fund's Shares, together with estimates and actual cash components, will be publicly disseminated daily prior to the opening of Nasdaq, via NSCC. The basket will represent one Creation Unit of the Fund. Additional information regarding the Fund and the Shares, including investment strategies, risks, creation and redemption procedures, fees, Fund holdings disclosure policies, distributions and taxes is included in the Registration Statement. All terms relating to the Fund that are referred to, but not defined in, this proposed rule change are defined in the Registration Statement. Initial and Continued Listing The Shares will be subject to Rule 5705, which sets forth the initial and continued listing criteria applicable to Index Fund Shares. The Exchange represents that, for initial and/or continued listing, the Fund must be in compliance with Rule 10A-3 \21\ under the Act. A minimum of 100,000 Shares will be outstanding at the commencement of trading on the Exchange. The Exchange will obtain a representation from the issuer of the Shares that the NAV per Share will be calculated daily and that the NAV and the Disclosed Portfolio will be made available to all market participants at the same time. --------------------------------------------------------------------------- \21\ See 17 CFR 240.10A-3. --------------------------------------------------------------------------- Trading Halts and Trading Pauses With respect to trading halts, the Exchange may consider all relevant factors in exercising its discretion to halt or suspend trading in the Shares of the Fund. Nasdaq will halt or pause trading in the Shares under the conditions specified in Nasdaq Rules 4120 and 4121, including the trading pauses under Nasdaq Rules 4120(a)(11) and (12). Trading may be halted because of market conditions or for reasons that, in the view of the Exchange, make trading in the Shares inadvisable. These may include: (1) The extent to which trading is not occurring in the securities and/or the financial instruments constituting the Disclosed Portfolio of the Fund; or (2) whether other unusual conditions or circumstances detrimental to the maintenance of a fair and orderly market are present. Trading in the Shares also will be subject to Nasdaq Rules 5705(b)(1)(B)(iv), which set forth circumstances under which Shares of the Fund may be halted. If the Intraday Indicative Value, the Benchmark Index value or the value of the Disclosed Portfolio is not being disseminated as required, the Exchange may halt trading during the day in which the disruption occurs; if the interruption persists past the day in which it occurred, the Exchange will halt trading no later than the beginning of the trading day following the interruption. The Exchange will obtain a representation from the Fund that the NAV for the Fund will be calculated daily and will be made available to all market participants at the same time. Trading Rules Nasdaq deems the Shares to be equity securities, thus rendering trading in the Shares subject to Nasdaq's existing rules governing the trading of equity securities. Nasdaq will allow trading in the Shares from 4:00 a.m. until 8:00 p.m. Eastern time. The Exchange has appropriate rules to facilitate transactions in the Shares during all trading sessions As provided in Nasdaq Rule 4613(a)(2)(ii), the minimum price variation for quoting and entry of orders in Index Fund Shares traded on the Exchange is $0.01. Surveillance The Exchange represents that trading in the Shares will be subject to the existing trading surveillances, administered by both Nasdaq and also the Financial Industry Regulatory Authority (``FINRA'') on behalf of the Exchange, which are designed to detect [[Page 8725]] violations of Exchange rules and applicable federal securities laws.\22\ The Exchange represents that these procedures are adequate to properly monitor Exchange trading of the Shares in all trading sessions and to deter and detect violations of Exchange rules and applicable federal securities laws. --------------------------------------------------------------------------- \22\ FINRA surveils trading on the Exchange pursuant to a regulatory services agreement. The Exchange is responsible for FINRA's performance under this regulatory services agreement. --------------------------------------------------------------------------- The surveillances referred to above generally focus on detecting securities trading outside their normal patterns, which could be indicative of manipulative or other violative activity. When such situations are detected, surveillance analysis follows and investigations are opened, where appropriate, to review the behavior of all relevant parties for all relevant trading violations. FINRA, on behalf of the Exchange, will communicate as needed regarding trading in the Shares, in the equity securities in which the Fund will invest, and in the U.S. exchange-traded options and futures which the Fund will buy and write with other markets and other entities that are members of the ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement.\23\ FINRA may obtain trading information regarding trading in the Shares and in such equity securities and U.S. exchange-traded options and futures from such markets and other entities. In addition, the Exchange may obtain information regarding trading in the Shares and in such equity securities and U.S. exchange-traded options and futures from markets and other entities that are members of the ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement. The Exchange may also obtain information from the Trade Reporting and Compliance Engine (``TRACE''), which is the FINRA developed vehicle that facilitates mandatory reporting of OTC secondary market transactions in eligible fixed income securities. --------------------------------------------------------------------------- \23\ For a list of the current members of ISG, see www.isgportal.org. --------------------------------------------------------------------------- In addition, the Exchange also has a general policy prohibiting the distribution of material, non-public information by its employees. Information Circular Prior to the commencement of trading, the Exchange will inform its members in an Information Circular of the special characteristics and risks associated with trading the Shares. Specifically, the Information Circular will discuss the following: (1) The procedures for purchases and redemptions of Shares in Creation Units (and that Shares are not individually redeemable); (2) Nasdaq Rule 2111A, which imposes suitability obligations on Nasdaq members with respect to recommending transactions in the Shares to customers; (3) how information regarding the Benchmark Index value and Intraday Indicative Value is disseminated; (4) the risks involved in trading the Shares during the Pre-Market and Post-Market Sessions when an updated Benchmark Index value and Intraday Indicative Value will not be calculated or publicly disseminated; (5) the requirement that members deliver a prospectus to investors purchasing newly issued Shares prior to or concurrently with the confirmation of a transaction; and (6) trading information. The Information Circular will also discuss any exemptive, no-action and interpretive relief granted by the Commission from any rules under the Act. In addition, the Information Circular will advise members, prior to the commencement of trading, of the prospectus delivery requirements applicable to the Fund. Members purchasing Shares from the Fund for resale to investors will deliver a prospectus to such investors. The Information Circular will also discuss any exemptive, no-action and interpretive relief granted by the Commission from any rules under the Act. Additionally, the Information Circular will reference that the Fund is subject to various fees and expenses described in the Registration Statement. The Information Circular will also disclose the trading hours of the Shares of the Fund and the applicable NAV Calculation Time for the Shares. The Information Circular will disclose that information about the Shares of the Fund will be publicly available on the Distributor's website. Continued Listing Representations All statements and representations made in this filing regarding (a) the description of the portfolio, (b) limitations on portfolio holdings or reference assets, (c) dissemination and availability of the reference asset or intraday indicative values, or (d) the applicability of Exchange listing rules shall constitute continued listing requirements for listing the Shares on the Exchange. In addition, the issuer has represented to the Exchange that it will advise the Exchange of any failure by the Fund to comply with the continued listing requirements, and, pursuant to its obligations under Section 19(g)(1) of the Act, the Exchange will monitor for compliance with the continued listing requirements. If the Fund is not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under the Nasdaq 5800 Series. 2. Statutory Basis The Exchange believes that its proposal is consistent with Section 6(b) of the Act,\24\ in general, and furthers the objectives of Section 6(b)(5) of the Act,\25\ in particular, in that it is designed to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in facilitating transactions in securities, and to remove impediments to and perfect the mechanism of a free and open market and, in general to protect investors and the public interest. --------------------------------------------------------------------------- \24\ 15 U.S.C. 78f(b). \25\ 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 in that the Shares will be listed and traded on the Exchange pursuant to the initial and continued listing criteria in Nasdaq Rule 5705. The Exchange believes that its surveillance procedures are adequate to properly monitor the trading of the Shares on Nasdaq during all trading sessions and to deter and detect violations of Exchange rules and the applicable federal securities laws. The Adviser maintains a fire wall around the respective personnel at the Adviser and affiliated broker-dealers who have access to information concerning changes and adjustments to the composition and/ or changes to the Fund's portfolio. In addition, and in accordance with Nasdaq Rule 5705(b)(5)(A)(iii), such personnel will be subject to procedures designed to prevent the use and dissemination of material non-public information regarding the Fund's portfolio. The Index Provider maintains a fire wall around its personnel who have access to information concerning changes and adjustments to the Benchmark Index. In addition, and in accordance with Nasdaq Rule 5705(b)(5)(A)(ii), such personnel will be subject to procedures designed to prevent the use and dissemination of material non-public information regarding the Benchmark Index. The CBOE is the index calculation agent for the Benchmark Index. CBOE has represented that a fire wall exists around its personnel who have access to information concerning changes and adjustments to the Benchmark Index. In [[Page 8726]] addition, such personnel will be subject to procedures designed to prevent the use and dissemination of material non-public information regarding the Benchmark Index. The equity securities in which the Fund may invest and the options which the Fund may write will be limited to U.S. exchange-traded securities and options, respectively, that trade in markets that are members of the ISG, which includes all U.S. national securities exchanges and certain foreign exchanges, or are parties to a comprehensive surveillance sharing agreement with the Exchange. The Exchange may obtain information via ISG from other exchanges that are members of ISG or with which the Exchange has entered into a comprehensive surveillance sharing agreement. The market value of the call options included in the Benchmark Index will not represent more than 10% of the total weight of the Benchmark Index. Each call option included in the Benchmark Index must meet the criteria of the Benchmark Index methodology, which methodology is publicly available. The Fund seeks a correlation over time of 0.90 or better between the Fund's performance and the performance of its Benchmark Index. A figure of 1.00 would represent perfect correlation. The Fund will pursue its objective by investing in all the equity securities in the Russell 2000 Index and each month writing a single one-month out-of-the-money covered call option on the Russell 2000 Index. Under normal circumstances, the Fund will invest primarily in U.S. exchange-traded equity securities. The Fund will also utilize an option strategy consisting of writing a single U.S. exchange-traded covered call option on the Russell 2000 Index. The market value of the option strategy may be up to 20% of the Fund's overall net asset value. In addition to such option strategy, the Fund may invest no more than 20% of the market value of its net assets in, as described above, futures contracts, options, interest rate swaps, equity swaps, total return swaps, dividend swaps, forward contracts, ETFs, individual large capitalization equity securities that do not comprise the Russell 2000 Index, short-term debt securities, money market fund shares, money market instruments and repurchase agreements. The Fund may hold up to an aggregate amount of 15% of its net assets in illiquid securities (calculated at the time of investment). The Fund will monitor its portfolio liquidity on an ongoing basis to determine whether, in light of current circumstances, an adequate level of liquidity is being maintained, and will consider taking appropriate steps in order to maintain adequate liquidity if, through a change in values, net assets, or other circumstances, more than 15% of the Fund's net assets are held in illiquid securities. Illiquid securities include securities subject to contractual or other restrictions on resale and other instruments that lack readily available markets as determined in accordance with Commission staff guidance. The Fund's investments will be consistent with the Fund's investment objective and will not be used to enhance leverage. The proposed rule change is designed to promote just and equitable principles of trade and to protect investors and the public interest in that the Exchange will obtain a representation from the issuer of the Shares that the NAV per Share will be calculated daily and that the NAV and the Disclosed Portfolio will be made available to all market participants at the same time. In addition, a large amount of information will be publicly available regarding the Fund and the Shares, thereby promoting market transparency. The Intraday Indicative Value, available on the NASDAQ Information LLC proprietary index data service, will be widely disseminated by one or more major market data vendors and broadly displayed at least every 15 seconds during the Regular Market Session. On each business day, before commencement of trading in Shares in the Regular Market Session on the Exchange, the Fund will disclose on its website the Disclosed Portfolio that will form the basis for the Fund's calculation of NAV at the end of the business day. Information regarding market price and trading volume of the Shares will be continually available on a real-time basis throughout the day on brokers' computer screens and other electronic services, and quotation and last sale information for the Shares will also be available via Nasdaq proprietary quote and trade services, as well as in accordance with the Unlisted Trading Privileges and the Consolidated Tape Association plans for the Shares and any underlying exchange-traded products. Intra-day, executable price quotations of the securities and other assets held by the Fund will be available from major broker-dealer firms or on the exchange on which they are traded, if applicable. Intra-day price information will also be available through subscription services, such as Bloomberg, Markit and Thomson Reuters, which can be accessed by Authorized Participants and other investors. The Fund's website will include a form of the prospectus for the Fund and additional data relating to NAV and other applicable quantitative information. Trading in Shares of the Fund will be halted or paused under the conditions specified in Nasdaq Rules 4120 and 4121, including the trading pauses under Nasdaq Rules 4120(a)(11) and (12). Trading may be halted because of market conditions or for reasons that, in the view of the Exchange, make trading in the Shares inadvisable, and trading in the Shares will be subject to Nasdaq Rule 5705(b)(1)(B)(iv), which sets forth circumstances under which Shares of the Fund may be halted. In addition, as noted above, investors will have ready access to information regarding the Fund's holdings, the Intraday Indicative Value, the Disclosed Portfolio, and quotation and last sale information for the Shares. The proposed rule change is designed to perfect the mechanism of a free and open market and, in general, to protect investors and the public interest in that it will facilitate the listing and trading of an additional type of passively-managed exchange-traded product that will enhance competition among market participants, to the benefit of investors and the marketplace. As noted above, the Exchange has in place surveillance procedures relating to trading in the Shares and may obtain information via ISG from other exchanges that are members of ISG or with which the Exchange has entered into a comprehensive surveillance sharing agreement. In addition, as noted above, investors will have ready access to information regarding the Fund's holdings, the Intraday Indicative Value, the Disclosed Portfolio, and quotation and last sale information for the Shares. For the above reasons, Nasdaq believes 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 not necessary or appropriate in furtherance of the purposes of the Act. The Exchange believes that the proposed rule change will facilitate the listing and trading of an additional type of passively-managed ETF that will enhance competition among market participants, to the benefit of investors and the marketplace. [[Page 8727]] C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others No written comments were either solicited or received. 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 within such longer period 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 such 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 Act. Comments may be submitted by any of the following methods: Electronic CommentsUse 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-NASDAQ-2018-012 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-NASDAQ-2018-012. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's internet website (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for website viewing and printing in the Commission's Public Reference Room, 100 F Street NE, Washington, DC 20549, on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of the filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change. Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-NASDAQ-2018-012 and should be submitted on or before March 21, 2018. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\26\ --------------------------------------------------------------------------- \26\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2018-04035 Filed 2-27-18; 8:45 am] BILLING CODE 8011-01-P
![Federal Register / Vol. 83, No. 40 / Wednesday, February 28, 2018 / Notices 8719
For the Commission, by the Division of Accordingly, the Commission, any comments it received on the
Investment Management, pursuant to pursuant to Section 19(b)(2) of the Act,5 proposed rule change. The text of these
delegated authority. designates April 18, 2018, as the date by statements may be examined at the
Robert W. Errett, which the Commission shall either places specified in Item IV below. The
Deputy Secretary. approve or disapprove, or institute Exchange has prepared summaries, set
[FR Doc. 2018–04087 Filed 2–27–18; 8:45 am] proceedings to determine whether to forth in sections A, B, and C below, of
BILLING CODE 8011–01–P disapprove, the proposed rule change the most significant aspects of such
(File No. SR–CboeBZX–2018–001). statements.
For the Commission, by the Division of A. Self-Regulatory Organization’s
SECURITIES AND EXCHANGE Trading and Markets, pursuant to delegated Statement of the Purpose of, and the
COMMISSION authority.6 Statutory Basis for, the Proposed Rule
Eduardo A. Aleman, Change
[Release No. 34–82759; File No. SR– Assistant Secretary.
CboeBZX–2018–001) [FR Doc. 2018–04034 Filed 2–27–18; 8:45 am]
1. Purpose
BILLING CODE 8011–01–P The Exchange proposes to list and
Self-Regulatory Organizations; Cboe trade the Shares of the Fund under Rule
BZX Exchange, Inc.; Notice of 5705, which rule governs the listing and
Designation of a Longer Period for SECURITIES AND EXCHANGE trading of Index Fund Shares 3 on the
Commission Action on a Proposed COMMISSION Exchange.4 The Shares will be offered
Rule Change To List and Trade the by the Fund, which will be a passively
Shares of the GraniteShares Bitcoin [Release No. 34–82761; File No. SR–
NASDAQ–2018–012]
managed exchange-traded fund (‘‘ETF’’)
ETF and the GraniteShares Short that seeks to track the performance of
Bitcoin ETF, a Series of the the CBOE Russell 2000 30-Delta
Self-Regulatory Organizations; The
GraniteShares ETP Trust, Under Rule BuyWrite V2 Index (the ‘‘Benchmark
Nasdaq Stock Market LLC; Notice of
14.11(f)(4), Trust Issued Receipts Index’’).5 The Fund is a series of the
Filing of Proposed Rule Change To
February 22, 2018. List and Trade, Under Nasdaq Rule Trust. The Trust was established as a
5705, the Shares of the Horizons Delaware statutory trust on May 17,
On January 5, 2018, Cboe BZX
Exchange, Inc. (‘‘BZX’’) filed with the Russell 2000 Covered Call ETF
3 Rule 5705(b)(1)(A) provides that an ‘‘Index Fund
Securities and Exchange Commission February 22, 2018. Share’’ is a security (i) that is issued by an open-
(‘‘Commission’’), pursuant to Section Pursuant to Section 19(b)(1) of the end management investment company based on a
19(b)(1) of the Securities Exchange Act portfolio of stocks or fixed income securities or a
Securities Exchange Act of 1934 combination thereof, that seeks to provide
of 1934 (‘‘Act’’) 1 and Rule 19b–4 (‘‘Act’’),1 and Rule 19b–4 thereunder,2 investment results that correspond generally to the
thereunder,2 a proposed rule change to notice is hereby given that on February price and yield performance or total return
list and trade the shares of the 9, 2018, The Nasdaq Stock Market LLC performance of a specified foreign or domestic stock
GraniteShares Bitcoin ETF and the index, fixed income securities index or combination
(‘‘Nasdaq’’ or ‘‘Exchange’’) filed with the thereof; (ii) that is issued by such an open-end
GraniteShares Short Bitcoin ETF under Securities and Exchange Commission management investment company in a specified
BZX Rule 14.11(f)(4). The proposed rule (‘‘SEC’’ or ‘‘Commission’’) the proposed aggregate minimum number in return for a deposit
change was published for comment in rule change as described in Items I and of specified numbers of shares of stock and/or a
the Federal Register on January 18, cash amount, a specified portfolio of fixed income
II, below, which Items have been securities and/or a cash amount and/or a
2018.3 The Commission has received no prepared by the Exchange. The combination of the above, with a value equal to the
comments on the proposed rule change. Commission is publishing this notice to next determined net asset value; and (iii) that, when
Section 19(b)(2) of the Act 4 provides aggregated in the same specified minimum number,
solicit comments on the proposed rule may be redeemed at a holder’s request by such
that within 45 days of the publication of change from interested persons. open-end investment company which will pay to
notice of the filing of a proposed rule the redeeming holder the stock and/or cash, fixed
change, or within such longer period up I. Self-Regulatory Organization’s income securities and/or cash and/or a combination
to 90 days as the Commission may Statement of the Terms of Substance of thereof, with a value equal to the next determined
the Proposed Rule Change net asset value. In contrast, an open-end investment
designate if it finds such longer period company that issues Managed Fund Shares, listed
to be appropriate and publishes its The Exchange proposes to list and and traded on the Exchange under Nasdaq Rule
reasons for so finding or as to which the trade, under Nasdaq Rule 5705, the 5735, seeks to provide investment results from a
self-regulatory organization consents, shares (‘‘Index Fund Shares’’ or portfolio of securities selected by its investment
adviser consistent with its investment objective and
the Commission shall either approve the ‘‘Shares’’) of the Horizons Russell 2000 policies.
proposed rule change, disapprove the Covered Call ETF (the ‘‘Fund’’), a series 4 The Commission approved Nasdaq Rule 5705 in
proposed rule change, or institute of the Horizons ETF Trust I (the Securities Exchange Act Release No. 57962 (June
proceedings to determine whether the ‘‘Trust’’). 13, 2008), 73 FR 35175 (June 20, 2008) (SR–
proposed rule change should be NASDAQ–2008–039).
disapproved. The Commission is II. Self-Regulatory Organization’s 5 The Exchange notes that its proposal to list
Statement of the Purpose of, and shares of the Fund which tracks the performance of
extending this 45-day time period. The an index of U.S. exchange-listed options is similar
Commission finds that it is appropriate Statutory Basis for, the Proposed Rule to the proposal and resultant order issued to the
to designate a longer period within Change NYSE ARCA to list and trade under NYSE Arca
Equities Rule 5.2(j)(3) (which is similar to Nasdaq
which to take action on the proposed In its filing with the Commission, the Rule 5705(b)). See Securities Exchange Act Release
sradovich on DSK3GMQ082PROD with NOTICES
rule change so that it has sufficient time Exchange included statements No. 68708 (January 23, 2013) (SR–NYSEArca–2012–
to consider the proposed rule change. concerning the purpose of and basis for 131) (order approving listing and trading of shares
the proposed rule change and discussed of the Horizons S&P 500 Covered Call ETF,
1 15
Horizons S&P Financial Select Sector Covered Call
U.S.C. 78s(b)(1). ETF and Horizons S&P Energy Select Sector
2 17 5 Id.
CFR 240.19b–4. Covered Call ETF). The Exchange believes the
3 See Securities Exchange Act Release No. 82484 6 17 CFR 200.30–3(a)(31). proposed rule change does not raise any significant
(Jan. 11, 2018), 83 FR 2704. 1 15 U.S.C. 78s(b)(1). issues not previously addressed in this or prior
4 15 U.S.C. 78s(b)(2). 2 17 CFR 240.19b–4. Commission orders.
VerDate Sep<11>2014 17:25 Feb 27, 2018 Jkt 244001 PO 00000 Frm 00071 Fmt 4703 Sfmt 4703 E:\FR\FM\28FEN1.SGM 28FEN1](https://thefederalregister.org/doc/83_FR_8759/page/1.svg)
![Federal Register / Vol. 83, No. 40 / Wednesday, February 28, 2018 / Notices 8727
C. Self-Regulatory Organization’s available for website viewing and The agenda for the meeting includes:
Statement on Comments on the printing in the Commission’s Public Remarks from Commissioners; a discussion
Proposed Rule Change Received From Reference Room, 100 F Street NE, of regulatory approaches to combat retail
investor fraud; a discussion regarding
Members, Participants, or Others Washington, DC 20549, on official financial support for law school clinics that
No written comments were either business days between the hours of support investors (which may include a
solicited or received. 10:00 a.m. and 3:00 p.m. Copies of the recommendation of the Committee as a
filing also will be available for whole); a discussion regarding dual-class
III. Date of Effectiveness of the inspection and copying at the principal share structures (which may include a
Proposed Rule Change and Timing for office of the Exchange. All comments recommendation of the Investor as Owner
Commission Action received will be posted without change. Subcommittee); a discussion regarding efforts
to combat the financial exploitation of
Within 45 days of the date of Persons submitting comments are
vulnerable adults; subcommittee reports; and
publication of this notice in the Federal cautioned that we do not redact or edit a nonpublic administrative work session
Register or within such longer period personal identifying information from during lunch.
up to 90 days (i) as the Commission may comment submissions. You should
Dated: February 22, 2018.
designate if it finds such longer period submit only information that you wish
Brent J. Fields,
to be appropriate and publishes its to make available publicly. All
submissions should refer to File Secretary.
reasons for so finding or (ii) as to which
Number SR–NASDAQ–2018–012 and [FR Doc. 2018–04031 Filed 2–27–18; 8:45 am]
the self-regulatory organization
consents, the Commission will: (a) By should be submitted on or before March BILLING CODE 8011–01–P
order approve or disapprove such 21, 2018.
proposed rule change; or (b) institute For the Commission, by the Division of
proceedings to determine whether the Trading and Markets, pursuant to delegated DEPARTMENT OF STATE
proposed rule change should be authority.26 [Public Notice: 10334]
disapproved. Eduardo A. Aleman,
Assistant Secretary. E.O. 13224 Designation of ISIS-Egypt,
IV. Solicitation of Comments aka Islamic State in Egypt, aka Islamic
[FR Doc. 2018–04035 Filed 2–27–18; 8:45 am]
Interested persons are invited to BILLING CODE 8011–01–P
State Egypt, as a Specially Designated
submit written data, views, and Global Terrorist
arguments concerning the foregoing,
Acting under the authority of and in
including whether the proposed rule SECURITIES AND EXCHANGE accordance with section 1(b) of
change is consistent with the Act. COMMISSION Executive Order 13224 of September 23,
Comments may be submitted by any of
[Release Nos. 33–10456A; 34–82656A; File 2001, as amended by Executive Order
the following methods:
No. 265–28] 13268 of July 2, 2002, and Executive
Electronic Comments Order 13284 of January 23, 2003, I
Investor Advisory Committee Meeting hereby determine that the person known
• Use the Commission’s internet
comment form (http://www.sec.gov/ as ISIS-Egypt, also known as Islamic
AGENCY: Securities and Exchange
rules/sro.shtml); or State in Egypt, also known as Islamic
Commission.
• Send an email to rule-comments@ State Egypt, also known as IS Egypt,
ACTION: Notice of Meeting of Securities also known as IS-Egypt, committed, or
sec.gov. Please include File Number SR– and Exchange Commission Dodd-Frank
NASDAQ–2018–012 on the subject line. poses a significant risk of committing,
Investor Advisory Committee; acts of terrorism that threaten the
Paper Comments correction. security of U.S. nationals or the national
• Send paper comments in triplicate security, foreign policy, or economy of
SUMMARY: The Securities and Exchange
to Secretary, Securities and Exchange the United States.
Commission published a document in
Commission, 100 F Street NE, Consistent with the determination in
the Federal Register on February 13,
Washington, DC 20549–1090. section 10 of Executive Order 13224 that
2018, providing notice that the
prior notice to persons determined to be
All submissions should refer to File Securities and Exchange Commission
subject to the Order who might have a
Number SR–NASDAQ–2018–012. This Investor Advisory Committee would
constitutional presence in the United
file number should be included on the hold a public meeting on Thursday,
States would render ineffectual the
subject line if email is used. To help the March 8, 2018. The document contained
blocking and other measures authorized
Commission process and review your an incorrect description of the agenda
in the Order because of the ability to
comments more efficiently, please use for the meeting.
transfer funds instantaneously, I
only one method. The Commission will FOR FURTHER INFORMATION CONTACT: determine that no prior notice needs to
post all comments on the Commission’s Marc Oorloff Sharma, Chief Counsel, be provided to any person subject to this
internet website (http://www.sec.gov/ Office of the Investor Advocate, at (202) determination who might have a
rules/sro.shtml). Copies of the 551–3302, Securities and Exchange constitutional presence in the United
submission, all subsequent Commission, 100 F Street NE, States, because to do so would render
amendments, all written statements Washington, DC 20549. ineffectual the measures authorized in
with respect to the proposed rule the Order.
change that are filed with the Correction
sradovich on DSK3GMQ082PROD with NOTICES
This notice shall be published in the
Commission, and all written In the Federal Register of February Federal Register.
communications relating to the 13, 2018, in FR Doc. 2018–02850, on
proposed rule change between the Dated: October 31, 2017.
page 6280, in the first column, correct
Commission and any person, other than the description of the meeting agenda to Rex W. Tillerson,
those that may be withheld from the read: Secretary of State.
public in accordance with the [FR Doc. 2018–03998 Filed 2–27–18; 8:45 am]
provisions of 5 U.S.C. 552, will be 26 17 CFR 200.30–3(a)(12). BILLING CODE 4710–AD–P
VerDate Sep<11>2014 17:25 Feb 27, 2018 Jkt 244001 PO 00000 Frm 00079 Fmt 4703 Sfmt 9990 E:\FR\FM\28FEN1.SGM 28FEN1](https://thefederalregister.org/doc/83_FR_8759/page/9.svg)
Document Created: 2018-02-28 03:20:01
Document Modified: 2018-02-28 03:20:01
| 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 | 83 FR 8719 |
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