83650 Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 

26 15 U.S.C. 78s(b)(3)(A). 

27 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6)(iii) requires a self-regulatory organization to 

give the Commission written notice of its intent to 

file the proposed rule change, along with a brief 

description and text of the proposed rule change, 

at least five business days prior to the date of filing 

of the proposed rule change, or such shorter time 

as designated by the Commission. The Exchange 

has satisfied this requirement. 

28 17 CFR 240.19b–4(f)(6). 

29 17 CFR 240.19b–4(f)(6)(iii). 

30See supra note. 

31For purposes only of waiving the 30-day 

operative delay, the Commission has also 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

15 U.S.C. 78c(f). 

32 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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, 

rather will facilitate the transfer from 

Arca and listing of additional exchangetraded products on the Exchange, which 

will enhance competition among listing 

venues, to the benefit of issuers, 

investors, and the marketplace more 

broadly. 

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 

Because the foregoing proposed rule 

change does not: (i) Significantly affect 

the protection of investors or the public 

interest; (ii) impose any significant 

burden on competition; and (iii) become 

operative for 30 days from the date on 

which it was filed, or such shorter time 

as the Commission may designate, it has 

become effective pursuant to Section 

19(b)(3)(A) of the Act 26 and Rule 19b– 

4(f)(6) thereunder.27

A proposed rule change filed under 

Rule 19b–4(f)(6) 28 normally does not 

become operative for 30 days after the 

date of the filing. However, pursuant to 

Rule 19b–4(f)(6)(iii),29 the Commission 

may designate a shorter time if such 

action is consistent with the protection 

of investors and the public interest. The 

Exchange has asked the Commission to 

waive the 30-day operative delay so that 

the proposal may become operative 

immediately upon filing. The Exchange 

states that waiver of the 30-day 

operative delay will allow the Funds to 

transfer listing to the Exchange as soon 

as is practicable and minimize the 

amount of time that the Funds’ listing 

venue will be in transition. The Funds 

have previously been approved by the 

Commission to list and trade on NYSE 

Arca, Inc.30 The Exchange states that 

this proposal is substantively identical 

to the Original Proposal, including 

changes from the Prior Proposal, and the 

issuer represents that all material 

representations contained within the 

Original Proposal, as updated by the 

Prior Proposal, remain true. For these 

reasons, the Commission believes that 

waiver of the 30-day operative delay is 

consistent with the protection of 

investors and the public interest. 

Accordingly, the Commission waives 

the 30-day operative delay and 

designates the proposed rule change 

operative upon filing.31

At any time within 60 days of the 

filing of such proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

CboeBZX–2020–093 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–CboeBZX–2020–093. 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–CboeBZX–2020–093 and 

should be submitted on or before 

January 12, 2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.32

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2020–28151 Filed 12–21–20; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–90685; File No. SR– 

CboeBZX–2020–092] 

Self-Regulatory Organizations; Cboe 

BZX Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule Change To List and 

Trade Shares of the ProShares VIX 

Short-Term Futures ETF and the 

ProShares VIX Mid-Term Futures ETF, 

Each a Series of ProShares Trust II, 

Under Rule 14.11(f)(4) (Trust Issued 

Receipts) 

December 16, 2020. 

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 December 

14, 2020, Cboe 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 Exchange filed the 

proposal as a ‘‘non-controversial’’ 


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Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 83651 

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

4 17 CFR 240.19b–4(f)(6). 

5Rule 14.11(f)(4) applies to Trust Issued Receipts 

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

‘‘Financial Instruments,’’ as defined in Rule 

14.11(f)(4)(A)(iv), means any combination of 

investments, including cash; securities; options on 

securities and indices; futures contracts; options on 

futures contracts; forward contracts; equity caps, 

collars and floors; and swap agreements. 

6The Commission approved BZX Rule 14.11(f)(4) 

in Securities Exchange Act Release No. 68619 

(January 10, 2013), 78 FR 3489 (January 16, 2013) 

(SR–BATS–2012–044). 

7See Securities Exchange Act No. 63317 

(November 16, 2010) 75 FR 71158 (November 22, 

2010) (SR–NYSEArca–2010–101) (Proposal to list 

and trade Shares of the ProShares VIX Short-Term 

Futures ETF and the ProShares VIX Mid-Term 

Futures ETF (the ‘‘Prior Proposal’’)). See also 

Securities Exchange Act No. 63610 (December 27, 

2010) 76 FR 199 (January 3, 2011) (SR–NYSEArca– 

2010–101) (Order approving the listing and trading 

of the ProShares VIX Short-Term Futures ETF and 

the ProShares VIX Mid-Term Futures ETF). 

8Rule 14.11(f)(4) applies to Trust Issued Receipts 

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

‘‘Financial Instruments,’’ as defined in Rule 

14.11(f)(4)(A)(iv), means any combination of 

investments, including cash; securities; options on 

securities and indices; futures contracts; options on 

futurescontracts; forward contracts; equity caps, 

collars and floors; and swap agreements. 

9The Commission approved BZX Rule 14.11(f)(4) 

in Securities Exchange Act Release No. 68619 

(January 10, 2013), 78 FR 3489 (January 16, 2013) 

(SR–BATS–2012–044). 10See Securities Exchange Act No. 63317 

(November 16, 2010) 75 FR 71158 (November 22, 

2010) (SR–NYSEArca–2010–101) (Proposal to list 

and trade Shares of the ProShares VIX Short-Term 

Futures ETF and the ProShares VIX Mid-Term 

Futures ETF (the ‘‘Prior Proposal’’)). See also 

Securities Exchange Act No. 63610 (December 27, 

2010) 76 FR 199 (January 3, 2011) (SR–NYSEArca– 

2010–101) (Order approving the listing and trading 

of the ProShares VIX Short-Term Futures ETF and 

the ProShares VIX Mid-Term Futures ETF). 

11Standard & Poor’s Financial Services LLC is the 

index sponsor with respect to the Indexes and has 

implemented procedures designed to prevent the 

use and dissemination of material, non-public 

information regarding the Indexes. 

12For purposes of this proposal, the term ‘‘Cash 

and Cash Equivalents’’ shall have the definition 

provided in Exchange Rule 14.11(i)(4)(C)(iii), 

applicable to Managed Fund Shares. 

13The ProShares VIX Short-Term Futures ETF 

has filed a registration statement on Form S–3 

under the Securities Act of 1933, dated May 11, 

2020 (File No. 333–238175) and the ProShares VIX 

Mid-Term Futures ETF has filed a registration 

statement on Form S–1 under the Securities 

Exchange Act of 1933, dated August 12, 2020 (File 

No.: 333–244420) (collectively, the ‘‘Registration 

Statement’’). The description of the Funds and the 

Shares contained herein are based on the 

Registration Statement. 

proposed rule change pursuant to 

Section 19(b)(3)(A)(iii) of the Act 3 and 

Rule 19b–4(f)(6) thereunder.4 The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to list and 

trade Shares of the ProShares VIX ShortTerm Futures ETF and the ProShares 

VIX Mid-Term Futures ETF (each a 

‘‘Fund’’ and, collectively, the ‘‘Funds’’) 

under Rule 14.11(f)(4), which governs 

the listing and trading of Trust Issued 

Receipts 5 on the Exchange.6 The 

Exchange notes that the Funds have 

previously been approved by the 

Commission and are currently listed on 

Arca.7 This proposal is substantively 

identical to the Prior Proposal and the 

issuer represents that all material 

representations contained within the 

Prior Proposal remain true. Further, the 

Funds are already trading on the 

Exchange pursuant to unlisted trading 

privileges, as provided in Rule 14.11(j). 

The text of the proposed rule change 

is also available on the Exchange’s 

website (http://markets.cboe.com/us/ 

equities/regulation/rule_filings/bzx/), at 

the Exchange’s Office of the Secretary, 

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 aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to list and 

trade Shares of the ProShares VIX ShortTerm Futures ETF and the ProShares 

VIX Mid-Term Futures ETF (each a 

‘‘Fund’’ and, collectively, the ‘‘Funds’’) 

under Rule 14.11(f)(4), which governs 

the listing and trading of Trust Issued 

Receipts 8 on the Exchange.9 The 

Exchange notes that the Funds have 

previously been approved by the 

Commission and are currently listed on 

Arca.10 This proposal is substantively 

identical to the Prior Proposal and the 

issuer represents that all material 

representations contained within the 

Prior Proposal remain true. Further, the 

Funds are already trading on the 

Exchange pursuant to unlisted trading 

privileges, as provided in Rule 14.11(j). 

The Funds seek to provide investment 

results (before fees and expenses) that 

match the performance of a benchmark 

that seeks to offer exposure to market 

volatility through publicly traded 

futures markets. The benchmark for 

ProShares VIX Short-Term Futures ETF 

is the S&P 500 VIX Short-Term Futures 

Index (ticker symbol SPVIXSTR) and 

the benchmark for ProShares VIX MidTerm Futures ETF is the S&P 500 VIX 

Mid-Term Futures Index (ticker symbol 

SPVIXMTR, each an ‘‘Index’’, and, 

collectively, the ‘‘Indexes’’).11 As 

discussed in further detail below, the 

S&P 500 VIX Short-Term Futures Index 

utilizes prices of the next two near-term 

Cboe Volatility Index (‘‘VIX’’) futures 

contracts to replicate a position that 

rolls the nearest month VIX futures to 

the next month on a daily basis in equal 

fractional amounts, while the S&P 500 

VIX Mid-Term Futures Index measures 

the return of a daily rolling long 

position in the fourth, fifth, sixth and 

seventh month of VIX futures contracts. 

The Funds will invest in futures 

contracts based on the VIX to pursue 

their respective investment objectives. 

Each Fund also may invest in Cash and 

Cash Equivalents 12 such as U.S. 

Treasury securities or other high credit 

quality short-term fixed-income or 

similar securities (including shares of 

money market funds, bank deposits, 

bank money market accounts, certain 

variable rate-demand notes and 

repurchase agreements collateralized by 

government securities) that may serve as 

collateral for the futures contracts. 

ProShare Capital Management LLC 

(the ‘‘Sponsor’’), a Maryland limited 

liability company, serves as the Sponsor 

of ProShares Trust II (the ‘‘Trust’’). The 

Sponsor is a commodity pool 

operator.13 Bank of New York Mellon 

serves as the administrator (the 

‘‘Administrator’’), custodian and 

transfer agent of the Funds and their 

respective Shares. SEI Investments 

Distribution Co. (‘‘Distributor’’) serves 

as Distributor of the Shares. Wilmington 

Trust Company, a Delaware banking 

corporation, is the sole trustee of the 

Trust. 

If the Sponsor to the Trust issuing the 

Trust Issued Receipts is affiliated with 

a broker-dealer, such Sponsor to the 

Trust shall erect a ‘‘fire wall’’ between 

the Sponsor and the broker-dealer with 

respect to access to information 

concerning the composition and/or 

changes to such Trust portfolio. The 

Sponsor is not a broker-dealer, but is 

affiliated with a broker-dealer and has 

implemented and will maintain a ‘‘fire 

wall’’ with respect to such broker-dealer 

regarding access to information 

concerning the composition and/or 


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83652 Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 

14Terms relating to the Funds, the Shares and the 

Indexes referred to, but not defined, herein are 

defined in the Registration Statement. 

15 VIX is the ticker symbol for the Cboe Volatility 

Index, a popular measure of implied volatility. The 

goal of the VIX is to estimate the implied volatility 

of the S&P 500 over the next 30 days. A relatively 

high level of the VIX corresponds to a more volatile 

U.S. equity market as expressed by more costly 

options on the S&P 500 Index. The VIX represents 

one measure of the market’s expectation of over the 

next 30 day period. It is a blend of prices for a range 

of options on the S&P 500 Index. The formula 

utilizes current market prices for a series of out-ofthe-money calls and puts for the near and next-term 

expirations. 

16A ‘‘Business Day’’ means any day other than a 

day when any of BZX, Cboe, CFE or other exchange 

material to the valuation or operation of the Funds, 

or the calculation of the VIX, options contracts 

underlying the VIX, VIX Futures Contracts or the 

Indexes is closed for regular trading. 

changes to the portfolio. In the event 

that (a) the Sponsor becomes a brokerdealer or newly affiliated with a brokerdealer, or (b) any new sponsor is a 

broker-dealer or becomes affiliated with 

a broker-dealer, it 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 

and/or changes to the portfolio, and will 

be subject to procedures designed to 

prevent the use and dissemination of 

material non-public information 

regarding such portfolio. 

According to the Registration 

Statement, if a Fund is successful in 

meeting its objective, its value (before 

fees and expenses) should gain 

approximately as much on a percentage 

basis as the level of its corresponding 

Index when the Index rises. Conversely, 

its value (before fees and expenses) 

should lose approximately as much on 

a percentage basis as the level of its 

corresponding Index when the Index 

declines. Each Fund acquires exposure 

through VIX futures contracts traded on 

the Cboe Futures Exchange (‘‘VIX 

Futures Contracts’’) (‘‘CFE’’), such that 

each Fund typically has exposure 

intended to approximate the benchmark 

at the time of its net asset value 

(‘‘NAV’’) calculation.14

According to the Registration 

Statement, each Fund is not actively 

managed by traditional methods, which 

typically involve effecting changes in 

the composition of a portfolio on the 

basis of judgments relating to economic, 

financial and market considerations 

with a view toward obtaining positive 

results under all market conditions. 

Rather, each Fund seeks to remain fully 

invested at all times in investment 

positions that, in combination, provide 

exposure to its Index consistent with its 

investment objective, even during 

periods in which that benchmark is flat 

or moving in a manner which causes the 

value of a Fund to decline. 

In seeking to achieve each Fund’s 

investment objective, the Sponsor uses 

a mathematical approach to investing. 

Using this approach, the Sponsor 

determines the type, quantity and mix 

of investment positions that the Sponsor 

believes in combination should produce 

daily returns consistent with such 

Fund’s objective. The Sponsor relies 

upon a pre-determined model to 

generate orders that result in 

repositioning the Funds’ investments in 

accordance with their respective 

investment objectives. 

VIX Futures Contracts 

The Indexes are comprised of, and the 

value of the Funds will be based on, VIX 

Futures Contracts. VIX Futures 

Contracts are measures of the market’s 

expectation of the level of VIX at certain 

points in the future, and as such will 

behave differently than current, or spot, 

VIX.15 The Funds are not linked to the 

VIX, and in many cases the Indexes, and 

by extension the Funds, will 

significantly underperform the VIX. 

While the VIX represents a measure of 

the current expected volatility of the 

S&P 500 over the next 30 days, the 

prices of VIX Futures Contracts are 

based on the current expectation of 

what the expected 30-day volatility will 

be at a particular time in the future (on 

the expiration date). For example, a VIX 

Futures Contract purchased in March 

that expires in May, in effect, is a 

forward contract on what the level of 

the VIX, as a measure of 30-day implied 

volatility of the S&P 500, will be on the 

May expiration date. The forward 

volatility reading of the VIX may not 

correlate directly to the current 

volatility reading of the VIX because the 

implied volatility of the S&P 500 at a 

future expiration date may be different 

from the current implied volatility of 

the S&P 500. To illustrate, on December 

4, 2019, the VIX closed at a price of 14.8 

and the price of the February 2020 VIX 

Futures Contracts expiring on February 

19, 2020 was 18.125. In this example, 

the price of the VIX represented the 30- 

day implied, or ‘‘spot,’’ volatility (the 

volatility expected for the period from 

December 5, 2019 to January 5, 2020) of 

the S&P 500 and the February 2020 VIX 

Futures Contracts represented forward 

implied volatility (the volatility 

expected for the period from February 

19 to March 19, 2020) of the S&P 500. 

The S&P 500 VIX Short-Term Futures 

Index and S&P 500 VIX Mid-Term 

Futures Index 

According to the Registration 

Statement, the Indexes act as a measure 

of the implied volatility of the S&P 500 

as reflected by the price of certain VIX 

Futures Contracts (the ‘‘Index 

Components’’), with the price of each 

VIX Futures Contract reflecting the 

market’s measure of the expected 

volatility (i.e., the rate and magnitude of 

variations in performance) of the S&P 

500 over the next 30 days. Each Index 

seeks to reflect the returns that are 

potentially available from holding an 

unleveraged long position in certain VIX 

Futures Contracts. 

Unlike the Indexes, the VIX, which is 

not a benchmark for either Fund, is 

calculated based on the prices of put 

and call options on the S&P 500, which 

are traded on Cboe Exchange, Inc. 

The S&P 500 VIX Short-Term Futures 

Index employs rules for selecting the 

Index Components and a formula to 

calculate a level for the Index from the 

prices of these components. 

Specifically, the Index Components 

represent the prices of the two near-term 

VIX futures months, replicating a 

position that rolls the nearest month 

VIX Futures Contract to the next month 

VIX Futures Contract on a daily basis in 

equal fractional amounts. This results in 

a constant weighted average maturity of 

one month. The roll period begins on 

the Tuesday prior to the monthly CFE 

VIX Futures Contracts settlement date 

and runs through the Tuesday prior to 

the subsequent month’s CFE VIX 

Futures Contract settlement date. 

The S&P 500 VIX Mid Term Futures 

Index also employs rules for selecting 

the Index Components and a formula to 

calculate the level of the Index from the 

prices of these components. Currently, 

the Index Components represent the 

prices for four contract months of VIX 

Futures Contracts, representing a 

market-based estimation of constant 

maturity, five month forward implied 

VIX values. The S&P 500 VIX Mid-Term 

Futures Index measures the return from 

a rolling long position in the fourth, 

fifth, sixth and seventh month VIX 

Futures Contracts, and rolls 

continuously throughout each month 

while maintaining positions in the fifth 

and sixth month contracts. This results 

in a constant weighted average maturity 

of five months. 

Calculation of the Indexes 

The level of each Index is calculated 

in accordance with the method 

described in the Registration Statement. 

The level of each Index will be 

published at least every 15 seconds both 

in real time from 9:30 a.m. to 4:00 p.m., 

E.T. and at the close of trading on each 

Business Day 16 by Bloomberg L.P. and 

Reuters. 


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17Authorized participants have a cut-off time of 

2:00 p.m. E.T. to place creation and redemption 

orders. 

18According to the Registration Statement, net 

asset value means the total assets of the Funds 

including, but not limited to, all Cash and Cash 

Equivalents or other debt securities less total 

liabilities of the Funds, each determined on the 

basis of generally accepted accounting principles in 

the United States, consistently applied under the 

accrual method of accounting. Each Fund’s NAV is 

calculated once each trading day as of 4 p.m. (E.T.), 

or an earlier time as set forth on 

www.proshares.com. 

The Index Components comprising 

each Index represent the prices of 

certain futures contracts on the VIX. 

Each Index takes a daily rolling long 

position in contracts of specified 

maturities and is intended to reflect the 

returns that are potentially available 

through an unleveraged investment in 

those contracts. The S&P 500 VIX ShortTerm Futures Index measures the return 

from a rolling long position in the first 

and second month VIX Futures 

Contracts. The Index rolls continuously 

throughout each month from the first 

month VIX Futures Contracts into the 

second month VIX Futures Contracts. 

The S&P 500 VIX Mid-Term Futures 

Index measures the return from a rolling 

long position in the fourth, fifth, sixth 

and seventh month VIX Futures 

Contracts. The Index rolls continuously 

throughout each month from the fourth 

month contract into the seventh month 

contract while maintaining positions in 

the fifth month and sixth month 

contracts. 

The Indexes roll on a daily basis. One 

of the effects of daily rolling is to 

maintain a constant weighted average 

maturity for the underlying futures 

contracts. Unlike equities, which 

typically entitle the holder to a 

continuing stake in a corporation, 

futures contracts normally specify a 

certain date for the delivery of the 

underlying asset or financial instrument 

or, in the case of futures contracts 

relating to indices such as the VIX, a 

certain date for payment in cash of an 

amount determined by the level of the 

underlying index. The Indexes operate 

by selling, on a daily basis, Index 

Components with a nearby settlement 

date and purchasing Index Components 

with a longer-dated settlement date. The 

roll for each contract occurs on each 

Business Day according to a predetermined schedule that has the effect 

of keeping constant the weighted 

average maturity of the relevant futures 

contracts. This process is known as 

‘‘rolling’’ a futures position, and each 

Index is a ‘‘rolling index’’. The constant 

weighted average maturity for the 

futures underlying the S&P 500 VIX 

Short-Term Futures Index is one month 

and for the futures underlying the S&P 

500 VIX Mid-Term Futures Index is five 

months. 

Because the Indexes incorporate this 

process of rolling futures positions on a 

daily basis, and the Funds, in general, 

also roll their positions on a daily basis, 

the daily roll is not anticipated to be a 

significant source of tracking error 

between either Fund and its respective 

Index. The Indexes are based on VIX 

Futures Contracts and not the VIX, and, 

as such, neither the Funds nor the 

Indexes are expected to track the VIX. 

Purchases and Redemptions of Creation 

Units 

The Funds will create and redeem 

Shares from time to time in one or more 

Creation Units. A Creation Unit is a 

block of 25,000 Shares. Except when 

aggregated in Creation Units, the Shares 

are not redeemable securities. 

On any Business Day, an authorized 

participant may place an order with the 

Distributor to create one or more 

Creation Units.17 The total cash 

payment required to create each 

Creation Unit is the NAV of 25,000 

Shares of the Funds on the purchase 

order date plus the applicable 

transaction fee. 

The procedures by which an 

authorized participant can redeem one 

or more Creation Units mirror the 

procedures for the purchase of Creation 

Units. On any Business Day, an 

authorized participant may place an 

order with the Distributor to redeem one 

or more Creation Units. The redemption 

proceeds from a Fund consist of the 

cash redemption amount. The cash 

redemption amount is equal to the NAV 

of the number of Creation Unit(s) of a 

Fund requested in the authorized 

participant’s redemption order as of the 

time of the calculation of a Fund’s NAV 

on the redemption order date, less 

applicable transaction fees. 

Availability of Information Regarding 

the Shares 

The NAV for the Funds’ Shares will 

be calculated by the Administrator once 

a day and will be disseminated daily to 

all market participants at the same 

time.18 Pricing information will be 

available on the Fund’s website 

including: (1) The prior Business Day’s 

reported NAV, the closing market price 

or the bid/ask price, daily trading 

volume, and a calculation of the 

premium and discount of the closing 

market price or bid/ask price against the 

NAV; and (2) data in chart format 

displaying the frequency distribution of 

discounts and premiums of the daily 

closing price against the NAV, within 

appropriate ranges, for each of the four 

previous calendar quarters. The closing 

prices and settlement prices of the Index 

Components are also readily available 

from the websites of CFE (http://

www.cfe.cboe.com), automated 

quotation systems, published or other 

public sources, or on-line information 

services such as Bloomberg or Reuters. 

Complete real-time data for component 

futures underlying the Indexes is 

available by subscription from Reuters 

and Bloomberg. Specifically, the level of 

each Index will be published at least 

every 15 seconds both in real time from 

9:30 a.m. to 4:00 p.m. E.T. and at the 

close of trading on each Business Day by 

Bloomberg and Reuters. The CFE also 

provides delayed futures information on 

current and past trading sessions and 

market news free of charge on its 

website. The specific contract 

specifications for component futures 

underlying the Indexes are also 

available on such websites, as well as 

other financial informational sources. 

Quotation and last-sale information 

regarding the Shares will be 

disseminated through the facilities of 

the Consolidated Tape Association 

(‘‘CTA’’). Information relating to VIX 

Futures Contracts will be available from 

the exchange on which such 

instruments are traded. Pricing 

information regarding VIX Futures 

Contracts is generally available through 

nationally recognized data services 

providers through subscription 

agreements. Pricing information 

regarding Cash and Cash Equivalents in 

which the Funds may invest is generally 

available through nationally recognized 

data services providers, such as Reuters 

and Bloomberg, through subscription 

agreements. 

In addition, the Funds’ website at 

www.proshares.com will display the 

end of day closing Index levels, and 

NAV per share for the Funds. The 

Funds will provide website disclosure 

of portfolio holdings daily and will 

include, as applicable, the notional 

value (in U.S. dollars) of VIX Futures 

Contracts and characteristics of such 

instruments and Cash and Cash 

Equivalents, and amount of cash held in 

the portfolio of the Funds. This website 

disclosure of the portfolio composition 

of the Funds will occur at the same time 

as the disclosure by the Funds of the 

portfolio composition to authorized 

participants so that all market 

participants are provided portfolio 

composition information at the same 

time. Therefore, the same portfolio 

information will be provided on the 

public website as well as in electronic 

files provided to authorized 

participants. Accordingly, each investor 


jbell on DSKJLSW7X2PROD with NOTICES
83654 Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 

19As defined in Rule 1.5(w), the term ‘‘Regular 

Trading Hours’’ means the time between 9:30 a.m. 

and 4:00 p.m. E.T. 

20For a list of the current members and affiliate 

members of ISG, see www.isgportal.com. The 

Exchange notes that not all components of the 

Fund’s holdings may trade on markets that are 

members of ISG or with which the Exchange has in 

place a comprehensive surveillance sharing 

agreement. 

will have access to the current portfolio 

composition of the Funds through the 

Funds’ website. 

In addition, in order to provide 

updated information relating to the 

Funds for use by investors and market 

professionals, an updated Intraday 

Indicative Value (‘‘IIV’’) will be 

calculated. The IIV is an indicator of the 

value of the VIX Futures Contracts and 

Cash and/or Cash Equivalents less 

liabilities of a Fund at the time the IIV 

is disseminated. The IIV will be 

calculated and widely disseminated by 

one or more major market data vendors 

every 15 seconds throughout Regular 

Trading Hours.19

In addition, the IIV is published on 

the Exchange’s website and is available 

through on-line information services 

such as Bloomberg and Reuters. 

The IIV disseminated during Regular 

Trading Hours should not be viewed as 

an actual real time update of the NAV, 

which is calculated only once a day. 

The IIV also should not be viewed as a 

precise value of the Shares. 

The Exchange believes that 

dissemination of the IIV provides 

additional information regarding the 

Funds that is not otherwise available to 

the public and is useful to professionals 

and investors in connection with the 

related Shares trading on the Exchange 

or the creation or redemption of such 

Shares. 

Additional information regarding the 

Funds and the Shares, including 

investment strategies, risks, creation and 

redemption procedures, fees, portfolio 

holdings disclosure policies, 

distributions and taxes is included in 

the Registration Statement. 

Initial and Continued Listing 

The Shares of each Fund will conform 

to the initial and continued listing 

criteria under BZX Rule 14.11(f)(4). The 

Exchange represents that, for initial and 

continued listing, the Funds and the 

Trust must be in compliance with Rule 

10A–3 under the Act. A minimum of 

100,000 Shares of each Fund 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 for each Fund will be calculated 

daily and will be made available to all 

market participants at the same time. 

Trading Halts 

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 Funds. The Exchange will halt 

trading in the Shares under the 

conditions specified in BZX Rule 11.18. 

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 composing the 

daily disclosed portfolio of the Funds; 

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 Rule 

14.11(f)(4)(C)(ii), which sets forth 

circumstances under which Shares of a 

Fund may be halted. 

The Exchange represents that the 

Exchange may halt trading in the Shares 

of a Fund during the day in which an 

interruption to the dissemination of the 

IIV, the value of an Index, the VIX or the 

value of the underlying VIX Futures 

Contracts occurs. If an interruption to 

the dissemination of the IIV, the value 

of an Index, the VIX or the value of the 

underlying VIX Futures Contracts 

persists past the trading day in which it 

occurred, the Exchange will halt trading 

no later than the beginning of the 

trading day following the interruption. 

In addition, if the Exchange becomes 

aware that the NAV with respect to the 

Shares is not disseminated to all market 

participants at the same time, it will halt 

trading in the Shares until such time as 

the NAV is available to all market 

participants. 

Trading Rules 

The Exchange deems the Shares to be 

equity securities, thus rendering trading 

in the Shares subject to the Exchange’s 

existing rules governing the trading of 

equity securities. The Exchange will 

allow trading in the Shares during all 

trading sessions on the Exchange and 

has the appropriate rules to facilitate 

transactions in the Shares during all 

trading sessions. As provided in BZX 

Rule 11.11(a), the minimum price 

variation for quoting and entry of orders 

in securities traded on the Exchange is 

$0.01, with the exception of securities 

that are priced less than $1.00, for 

which the minimum price variation for 

order entry is $0.0001. 

Surveillance 

Trading of the Shares through the 

Exchange will be subject to the 

Exchange’s surveillance procedures for 

derivative products, including Trust 

Issued Receipts. The Exchange believes 

that its surveillance procedures are 

adequate to properly monitor the 

trading of the Shares on the Exchange 

during all trading sessions and to deter 

and detect violations of Exchange rules 

and the applicable federal securities 

laws. All of the VIX Futures 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.20 The 

Exchange, FINRA, on behalf of the 

Exchange, or both will communicate 

regarding trading in the Shares and the 

underlying listed instruments, including 

listed derivatives held by the Funds, 

with the ISG, other markets or entities 

who are members or affiliates of the ISG, 

or with which the Exchange has entered 

into a comprehensive surveillance 

sharing agreement. In addition, the 

Exchange or FINRA may obtain 

information regarding trading in the 

Shares and the underlying listed 

instruments, including listed 

derivatives, held by the Funds from 

markets and other entities that are 

members of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement. All 

statements and representations made in 

this filing regarding index composition, 

description of the portfolio or reference 

assets, limitations on portfolio holdings 

or reference assets, dissemination and 

availability of an index, reference asset, 

and IIVs, 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 Funds 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 

Funds or the Shares are not in 

compliance with the applicable listing 

requirements, the Exchange will 

commence delisting procedures under 

Exchange Rule 14.12. 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 


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Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 83655 

21 15 U.S.C. 78f. 

22 15 U.S.C. 78f(b)(5). 

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) BZX Rule 3.7, which 

imposes suitability obligations on 

Exchange members with respect to 

recommending transactions in the 

Shares to customers; (3) how 

information regarding the IIV and each 

Fund’s holdings is disseminated; (4) the 

risks involved in trading the Shares 

outside of Regular Trading Hours when 

an updated IIV 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. 

In addition, the Information Circular 

will advise members, prior to the 

commencement of trading, of the 

prospectus delivery requirements 

applicable to the Funds. Members 

purchasing Shares from the Funds 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. 

In addition, the Information Circular 

will reference that the Funds are 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 

Funds and the applicable NAV 

calculation time for the Shares. The 

Information Circular will disclose that 

information about the Shares of the 

Funds will be publicly available on the 

Funds’ website. 

2. Statutory Basis 

The Exchange believes that the 

proposal is consistent with Section 6(b) 

of the Act 21 in general and Section 

6(b)(5) of the Act 22 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. 

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 Exchange Rule 

14.11(f). The Exchange believes that its 

surveillance procedures are adequate to 

properly monitor the trading of the 

Shares on the Exchange during all 

trading sessions and to deter and detect 

violations of Exchange rules and the 

applicable federal securities laws. If the 

Sponsor to the Trust issuing the Trust 

Issued Receipts is affiliated with a 

broker-dealer, such Sponsor to the Trust 

shall erect and maintain a ‘‘fire wall’’ 

between the Sponsor and the brokerdealer with respect to access to 

information concerning the composition 

and/or changes to the Funds’ portfolios. 

The Sponsor is not a broker-dealer, but 

is affiliated with a broker-dealer dealer 

and has implemented and will maintain 

a ‘‘fire wall’’ with respect to such 

broker-dealer regarding access to 

information concerning the composition 

and/or changes to the portfolio. In the 

event that (a) the Sponsor becomes a 

broker-dealer or newly affiliated with a 

broker-dealer, or (b) any new sponsor is 

a broker-dealer or becomes affiliated 

with a broker-dealer, it will implement 

and maintain a fire wall with respect to 

its relevant personnel or such brokerdealer affiliate, as applicable, regarding 

access to information concerning the 

composition and/or changes to the 

portfolio, and will be subject to 

procedures designed to prevent the use 

and dissemination of material nonpublic information regarding the 

portfolio. The Exchange, FINRA, on 

behalf of the Exchange, or both may 

obtain information regarding trading in 

the Shares and the underlying VIX 

Futures Contracts via the ISG from other 

exchanges who are members or affiliates 

of the ISG or with which the Exchange 

has entered into a comprehensive 

surveillance sharing agreement. In 

addition, the Exchange also has a 

general policy prohibiting the 

distribution of material, non-public 

information by its employees. 

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 will be 

calculated daily and that the NAV and 

the Funds’ holdings will be made 

available to all market participants at 

the same time. In addition, a large 

amount of information is publicly 

available regarding the Funds and the 

Shares, thereby promoting market 

transparency. Moreover, the IIV will be 

disseminated by one or more major 

market data vendors at least every 15 

seconds during Regular Trading Hours. 

On each Business Day, before 

commencement of trading in Shares 

during Regular Trading Hours, the 

Funds will disclose on their website the 

holdings that will form the basis for 

each Fund’s calculation of NAV at the 

end of the Business Day. Pricing 

information will be available on the 

Funds’ website including: (1) The prior 

Business Day’s reported NAV, the 

closing market price or the bid/ask 

price, daily trading volume, and a 

calculation of the premium and 

discount of the closing market price or 

bid/ask price against the NAV; and (2) 

data in chart format displaying the 

frequency distribution of discounts and 

premiums of the daily closing price 

against the NAV, within appropriate 

ranges, for each of the four previous 

calendar quarters. Additionally, 

information regarding market price and 

trading 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 be available on the 

facilities of the CTA. The website for the 

Funds will include a form of the 

prospectus for each Fund and additional 

data relating to NAV and other 

applicable quantitative information. 

Trading in Shares of the Funds will be 

halted under the conditions specified in 

Exchange Rule 11.18. Trading may also 

be halted because of market conditions 

or for reasons that, in the view of the 

Exchange, make trading in the Shares 

inadvisable. Finally, trading in the 

Shares will be subject to 

14.11(f)(4)(C)(ii), which sets forth 

circumstances under which Shares of 

the Funds may be halted. In addition, as 

noted above, investors will have ready 

access to information regarding the 

Funds’ holdings, the Indexes, the IIV, 

and quotation and last sale information 

for the Shares. 

Quotation and last-sale information 

regarding the Shares will be 

disseminated through the facilities of 

the CTA. Quotation and last-sale 

information regarding VIX Futures 

Contracts will be available from the 

exchanges on which such instruments 

are traded. Pricing information 

regarding Cash and Cash Equivalents in 

which the Funds will invest is generally 

available through nationally recognized 

data services providers, such as Reuters 

and Bloomberg, through subscription 

agreements. 

The proposed rule change is designed 

to perfect the mechanism of a free and 

open market and, in general, to protect 


jbell on DSKJLSW7X2PROD with NOTICES
83656 Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 

23 15 U.S.C. 78s(b)(3)(A). 

24 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6)(iii) requires a self-regulatory organization to 

give the Commission written notice of its intent to 

file the proposed rule change, along with a brief 

description and text of the proposed rule change, 

at least five business days prior to the date of filing 

of the proposed rule change, or such shorter time 

as designated by the Commission. The Exchange 

has satisfied this requirement. 25 17 CFR 240.19b–4(f)(6). 26 17 CFR 240.19b–4(f)(6)(iii). 27See supra note 10. 28For purposes only of waiving the 30-day 

operative delay, the Commission has also 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

15 U.S.C. 78c(f). 29 17 CFR 200.30–3(a)(12). 

investors and the public interest in that 

it will facilitate the listing and trading 

of exchange-traded products 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 each Fund’s 

holdings, the IIV, and quotation and last 

sale information for the Shares. 

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, 

rather will facilitate the transfer from 

Arca and listing of additional exchangetraded products on the Exchange, which 

will enhance competition among listing 

venues, to the benefit of issuers, 

investors, and the marketplace more 

broadly. 

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 

Because the foregoing proposed rule 

change does not: (i) Significantly affect 

the protection of investors or the public 

interest; (ii) impose any significant 

burden on competition; and (iii) become 

operative for 30 days from the date on 

which it was filed, or such shorter time 

as the Commission may designate, it has 

become effective pursuant to Section 

19(b)(3)(A) of the Act 23 and Rule 19b– 

4(f)(6) thereunder.24

A proposed rule change filed under 

Rule 19b–4(f)(6) 25 normally does not 

become operative for 30 days after the 

date of the filing. However, pursuant to 

Rule 19b–4(f)(6)(iii),26 the Commission 

may designate a shorter time if such 

action is consistent with the protection 

of investors and the public interest. The 

Exchange has asked the Commission to 

waive the 30-day operative delay so that 

the proposal may become operative 

immediately upon filing. The Exchange 

states that waiver of the 30-day 

operative delay will allow the Funds to 

transfer listing to the Exchange as soon 

as is practicable and minimize the 

amount of time that the Funds’ listing 

venue will be in transition. The Funds 

have previously been approved by the 

Commission to list and trade on NYSE 

Arca, Inc.27 The Exchange states that 

this proposal is substantively identical 

to the Prior Proposal and the issuer 

represents that all material 

representations contained within the 

Prior Proposal remain true. For these 

reasons, the Commission believes that 

waiver of the 30-day operative delay is 

consistent with the protection of 

investors and the public interest. 

Accordingly, the Commission waives 

the 30-day operative delay and 

designates the proposed rule change 

operative upon filing.28

At any time within 60 days of the 

filing of such proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

CboeBZX–2020–092 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–CboeBZX–2020–092. 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–CboeBZX–2020–092 and 

should be submitted on or before 

January 12, 2021. 

For the Commission, by the Division 

of Trading and Markets, pursuant to 

delegated authority.29

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2020–28149 Filed 12–21–20; 8:45 am] 

BILLING CODE 8011–01–P 


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