Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 83657 

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

2 17 CFR 240.19b–4. 

3As defined in Rule 14.11(m)(3)(A), the term 

‘‘Tracking Fund Share’’ means a security that: (i) 

Represents an interest in an investment company 

(‘‘Investment Company’’) registered under the 

Investment Company Act of 1940 (the ‘‘1940 Act’’) 

organized as an open-end management investment 

company, that invests in a portfolio of securities 

selected by the Investment Company’s investment 

adviser consistent with the Investment Company’s 

investment objectives and policies; (ii) is issued in 

a specified aggregate minimum number in return for 

a deposit of a specified Tracking Basket and/or a 

cash amount with a value equal to the next 

determined Net Asset Value (‘‘NAV’’); (iii) when 

aggregated in the same specified minimum number, 

may be redeemed at a holder’s request, which 

holder will be paid a specified Tracking Basket and/ 

or a cash amount with a value equal to the next 

determined NAV; and (iv) the portfolio holdings for 

which are disclosed within at least 60 days 

following the end of every fiscal quarter. 

4Rule 14.11(m) was approved along with the 

listing and trading of three series of Tracking Fund 

Shares by the Commission on May 15, 2020. See 

Securities Exchange Act Release No. 88887 (May 

15, 2020), 85 FR 30990 (May 21, 2020) (the 

‘‘Tracking Fund Shares Approval Order’’). 

5As defined in Rule 14.11(m)(3)(A), the term 

‘‘Tracking Fund Share’’ means a security that: (i) 

Represents an interest in an investment company 

(‘‘Investment Company’’) registered under the 

Investment Company Act of 1940 (the ‘‘1940 Act’’) 

organized as an open-end management investment 

company, that invests in a portfolio of securities 

selected by the Investment Company’s investment 

adviser consistent with the Investment Company’s 

investment objectives and policies; (ii) is issued in 

a specified aggregate minimum number in return for 

a deposit of a specified Tracking Basket and/or a 

cash amount with a value equal to the next 

determined Net Asset Value (‘‘NAV’’); (iii) when 

aggregated in the same specified minimum number, 

may be redeemed at a holder’s request, which 

holder will be paid a specified Tracking Basket and/ 

or a cash amount with a value equal to the next 

determined NAV; and (iv) the portfolio holdings for 

which are disclosed within at least 60 days 

following the end of every fiscal quarter. 

6Rule 14.11(m) was approved along with the 

listing and trading of three series of Tracking Fund 

Shares by the Commission on May 15, 2020. See 

Securities Exchange Act Release No. 88887 (May 

15, 2020), 85 FR 30990 (May 21, 2020) (the 

‘‘Tracking Fund Shares Approval Order’’). 

7The Trust is registered under the 1940 Act. On 

September 25, 2020, the Trust filed post-effective 

amendments to its registration statement on Form 

N–1A relating to each Fund (File No. 811–22148) 

(the ‘‘Registration Statement’’). The descriptions of 

the Funds and the Shares contained herein are 

based, in part, on information included in the 

Registration Statement. The Commission has issued 

an order granting certain exemptive relief to the 

Trust (the ‘‘Exemptive Order’’) under the 1940 Act. 

See Investment Company Act of 1940 Release No. 

34076 (October 27, 2020). 

8As defined in Rule 14.11(m)(3)(E), the term 

‘‘Tracking Basket’’ means the identities and 

quantities of the securities and other assets 

included in a basket that is designed to closely track 

the daily performance of the Fund Portfolio, as 

provided in the exemptive relief under the 1940 Act 

applicable to a series of Tracking Fund Shares. 

9As defined in Rule 14.11(m)(3)(B), the term 

‘‘Fund Portfolio’’ means the identities and 

quantities of the securities and other assets held by 

the Investment Company that will form the basis for 

the Investment Company’s calculation of net asset 

value at the end of the business day. 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–90686; File No. SR– 

CboeBZX–2020–090] 

Self-Regulatory Organizations; Cboe 

BZX Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule To List and Trade 

Shares of the Invesco Real Assets ESG 

ETF and the Invesco US Large Cap 

Core ESG ETF, Each a Series of the 

Invesco Actively Managed ExchangeTraded Fund Trust, Under Rule 

14.11(m) (Tracking Fund Shares) 

December 16, 2020. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on December 

15, 2020, Cboe BZX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘BZX’’) filed with the 

Securities and Exchange Commission 

(the ‘‘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. 

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 Invesco Real Assets 

ESG ETF and the Invesco US Large Cap 

Core ESG ETF pursuant to Rule 

14.11(m), Tracking Fund Shares,3 which 

are securities issued by an actively 

managed open-end management 

investment company.4 The Exchange is 

submitting this proposal as required by 

Rule 14.11(m)(2)(A), which provides 

that the Exchange must file separate 

proposals under Section 19(b) of the Act 

before listing and trading of a series of 

Tracking Fund Shares. 

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 Invesco Real Assets 

ESG ETF and the Invesco US Large Cap 

Core ESG ETF pursuant to Rule 

14.11(m), Tracking Fund Shares,5 which 

are securities issued by an actively 

managed open-end management 

investment company.6 The Exchange is 

submitting this proposal as required by 

Rule 14.11(m)(2)(A), which provides 

that the Exchange must file separate 

proposals under Section 19(b) of the Act 

before listing and trading of a series of 

Tracking Fund Shares. 

The Shares will be offered by the 

Trust, which was organized as a 

Delaware statutory trust on November 6, 

2007. The Trust is registered with the 

Commission as an open-end investment 

company and has filed a registration 

statement on behalf of the Funds on 

Form N–1A with the Commission.7

Invesco Capital Management LLC (the 

‘‘Adviser’’) will be the investment 

adviser to the Funds. The Adviser is not 

registered as a broker-dealer, but is 

affiliated with broker-dealers. The 

Adviser represents that a fire wall exists 

and will be maintained between the 

respective personnel at the Adviser and 

affiliated broker-dealers with respect to 

access to information concerning the 

composition and/or changes to each 

Fund’s portfolio and Tracking Basket.8

Personnel who make decisions on a 

Fund’s portfolio composition and/or 

Tracking Basket or who have access to 

nonpublic information regarding the 

Fund Portfolio 9 and/or the Tracking 

Basket or changes thereto are subject to 

procedures designed to prevent the use 

and dissemination of material nonpublic information regarding such 

portfolio and/or Tracking Basket. The 

Funds’ sub-adviser, Invesco Advisers, 

Inc. (the ‘‘Sub-Adviser’’), is not 

registered as a broker-dealer but is 

affiliated with broker-dealers. SubAdviser personnel who make decisions 

regarding a Fund’s Fund Portfolio and/ 

or Tracking Basket or who have access 

to information regarding the Fund 

Portfolio and/or the Tracking Basket or 

changes thereto are subject to 

procedures designed to prevent the use 

and dissemination of material 

nonpublic information regarding the 

Fund’s portfolio and/or Tracking Basket. 


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83658 Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 

10See 17 CFR 240.10A–3. 

11Pursuant to the Exemptive Relief, the Fund’s 

permissible investments include only the following 

instruments: ETFs, exchange-traded notes, 

exchange-traded common stocks, common stocks 

listed on a foreign exchange that trade on such 

exchange contemporaneously with the Shares 

(‘‘foreign common stocks’’), exchange-traded 

preferred stocks, exchange-traded American 

Depositary Receipts (‘‘ADRs’’), exchange-traded real 

estate investment trusts, exchange-traded 

commodity pools, exchange-traded metals trusts, 

exchange-traded currency trusts, and exchangetraded futures that trade contemporaneously with 

the Shares, as well as cash and cash equivalents. 

With the exception of foreign common stocks and 

cash and cash equivalents, all holdings of the Fund 

will be listed on a U.S. national securities exchange. 

12For a list of the current members of ISG, see 

www.isgportal.com. The Exchange notes that all 

components, except the cash and cash equivalent 

components, of the Funds may trade on markets 

that are members of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement. 

13Pursuant to the Exemptive Relief, the Fund’s 

permissible investments include only the following 

instruments: ETFs, exchange-traded notes, 

exchange-traded common stocks, foreign common 

stocks, exchange-traded preferred stocks, ADRs, 

exchange-traded real estate investment trusts, 

exchange-traded commodity pools, exchange-traded 

metals trusts, exchange-traded currency trusts, and 

exchange-traded futures that trade 

contemporaneously with the Shares, as well as cash 

and cash equivalents. With the exception of foreign 

common stocks and cash and cash equivalents, all 

holdings of the Fund will be listed on a U.S. 

national securities exchange. 

14For a list of the current members of ISG, see 

www.isgportal.com. The Exchange notes that all 

components, except the cash and cash equivalent 

components, of the Funds may trade on markets 

that are members of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement. 

15As defined in Rule 14.11(m)(3)(D), the term 

‘‘Normal Market Conditions’’ includes, but is not 

limited to, the absence of trading halts in the 

applicable financial markets generally; operational 

issues (e.g., systems failure) causing dissemination 

of inaccurate market information; or force majeure 

type events such as natural or manmade disaster, 

act of God, armed conflict, act of terrorism, riot or 

labor disruption or any similar intervening 

circumstance. 

In the event that (a) the Adviser or a 

Sub-Adviser becomes registered as a 

broker-dealer or newly affiliated with a 

broker-dealer; or (b) any new adviser or 

sub-adviser is a registered broker-dealer 

or becomes newly affiliated with a 

broker-dealer; it will implement and 

maintain 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 Fund 

Portfolio and/or Tracking Basket, and 

will be subject to procedures designed 

to prevent the use and dissemination of 

material non-public information 

regarding such portfolio and/or 

Tracking Basket. Any person or entity, 

including any service provider for the 

Funds, who has access to nonpublic 

information regarding a Fund Portfolio 

or Tracking Basket or changes thereto 

for a Fund or Funds will be subject to 

procedures designed to prevent the use 

and dissemination of material 

nonpublic information regarding the 

applicable Fund Portfolio or Tracking 

Basket or changes thereto. Further, any 

such person or entity that is registered 

as a broker-dealer or affiliated with a 

broker-dealer, has erected and will 

maintain a ‘‘fire wall’’ between the 

person or entity and the broker-dealer 

with respect to access to information 

concerning the composition and/or 

changes to such Fund Portfolio or 

Tracking Basket. Each Fund intends to 

qualify each year as a regulated 

investment company under Subchapter 

M of the Internal Revenue Code of 1986, 

as amended. 

The Shares will conform to the initial 

and continued listing criteria under 

Rule 14.11(m) as well as all terms in the 

Exemptive Order. The Exchange 

represents that, for initial and/or 

continued listing, each Fund will be in 

compliance with Rule 10A–3 under the 

Act.10 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 of each Fund that the NAV per 

share of each Fund will be calculated 

daily and will be made available to all 

market participants at the same time. 

Each Fund’s investments will be 

consistent with its investment objective 

and will not be used to enhance 

leverage. 

Invesco Real Assets ESG ETF 

The Fund’s holdings will conform to 

the permissible investments as set forth 

in the Exemptive Relief and the 

holdings will be consistent with all 

requirements in the Exemptive Relief.11

Any foreign common stocks held by the 

Fund will be traded on an exchange that 

is a member of the Intermarket 

Surveillance Group (‘‘ISG’’) 12 or with 

which the Exchange has in place a 

comprehensive surveillance sharing 

agreement. 

The Fund seeks capital appreciation 

as its investment objective with a 

secondary objective of current income. 

The Fund seeks to achieve its 

investment objective by investing 

primarily in exchange-traded equity 

securities of ‘‘real assets’’ companies (as 

identified below) located in North 

America that meet high environmental, 

social and governance (‘‘ESG’’) 

standards, as determined by the SubAdviser. Real assets are characterized by 

having physical attributes, including 

real estate, infrastructure, natural 

resources and timber. The Sub-Adviser 

considers ‘‘real assets’’ companies to be 

those that own, operate, or derive a 

significant portion of their value from 

real assets or the production thereof. In 

selecting equity securities for the Fund, 

the investment team uses fundamental 

analysis to identify securities that 

adhere to ESG principals described 

herein and are viewed to have relatively 

favorable long-term prospects. Some of 

the factors that the investment team 

considers include, but are not limited 

to: Assessment of long term 

fundamental growth, sustainable 

dividends, attractive physical and 

locational attributes and capital 

structure viability. As a result of the 

analysis, the investment team generally 

favors companies with a balanced mix 

of the factors above. The investment 

team will consider selling a security 

when it no longer meets the investment 

criteria, or a more attractive alternative 

is identified. The Fund may invest in 

companies of any market capitalization. 

Invesco US Large Cap Core ESG ETF 

The Fund’s holdings will conform to 

the permissible investments as set forth 

in the Exemptive Relief and the 

holdings will be consistent with all 

requirements in the Exemptive Relief.13

Any foreign common stocks held by the 

Fund will be traded on an exchange that 

is a member of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement.14

The Fund seeks capital appreciation 

as its investment objective. The Fund 

seeks to achieve its investment objective 

by investing, under Normal Market 

Conditions,15 at least 80% of its net 

assets (plus any borrowings for 

investment purposes) in exchangetraded equity securities of U.S. large 

capitalization issuers. Additionally, the 

Fund seeks to achieve its investment 

objective by investing mainly in 

common stock of U.S. companies that 

meet high ESG standards, as determined 

by the Sub-Adviser. 

Trading Halts 

Rule 14.11(m)(4)(B)(iv) provides that 

(a) the Exchange may consider all 

relevant factors in exercising its 

discretion to halt trading in a series of 

Tracking Fund Shares. 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: (i) The 

extent to which trading is not occurring 

in the securities and/or the financial 

instruments composing the Tracking 

Basket or Fund Portfolio; or (ii) whether 

other unusual conditions or 

circumstances detrimental to the 


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Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 83659 

16With respect to trading in Tracking Fund 

Shares, all of the BZX Member obligations relating 

to product description and prospectus delivery 

requirements will continue to apply in accordance 

with Exchange rules and federal securities laws, 

and the Exchange will continue to monitor its 

Members for compliance with such requirements. 

17See Tracking Fund Shares Approval Order. 

18The set of ETFs that are ‘‘representative’’ to be 

used in the Tracking Basket will depend on certain 

factors, including the Fund’s investment objective, 

past holdings, and benchmark, and may change 

from time to time. For example, a U.S. diversified 

fund benchmarked to a diversified U.S. index 

would use liquid U.S. exchange-traded ETFs to 

capture size (large, mid or small capitalization), 

style (growth or value) and/or sector exposures in 

the Fund’s portfolio. Leveraged and inverse ETFs 

will not be included in the Tracking Basket. ETFs 

may constitute no more than 50% of the Tracking 

Basket’s assets. 

19Tracking error measures the deviations 

between the Tracking Basket and Fund. Turnover 

cost and basket creation cost are measures of the 

cost to create and maintain the Tracking Basket as 

a hedge. 

20The Adviser uses a trading cost model to 

develop estimates of costs to trade a new Tracking 

Basket. There are essentially two elements to this 

cost: (1) The cost to purchase securities constituting 

the Tracking Basket, i.e., the cost to put on the 

hedge for the Authorized Participant, and (2) the 

cost of any adjustments that need to be made to the 

composition of the Tracking Basket, i.e., the cost to 

the Authorized Participant to change or maintain 

the hedge position. The inclusion of the trading cost 

model in the optimization process is intended to 

result in a Tracking Basket that is cost effective and 

liquid without compromising its tracking ability. 

21The Exchange notes that to the extent that the 

Fund Portfolio or Tracking Basket include any 

foreign common stocks, such securities will be 

traded on an exchange that is a member of ISG or 

with which the Exchange has in place a 

comprehensive surveillance sharing agreement. 

maintenance of a fair and orderly 

market are present; and (b) if the 

Exchange becomes aware that one of the 

following is not being made available to 

all market participants at the same time: 

The net asset value, the Tracking Basket, 

or the Fund Portfolio with respect to a 

series of Tracking Fund Shares, then the 

Exchange will halt trading in such series 

until such time as the net asset value, 

the Tracking Basket, or the Fund 

Portfolio is available to all market 

participants, as applicable. 

Trading Rules 

The Exchange deems Tracking Fund 

Shares to be equity securities, thus 

rendering trading in the Shares subject 

to the Exchange’s existing rules 

governing the trading of equity 

securities.16 As provided in Rule 

14.11(m)(2)(C), the minimum price 

variation for quoting and entry of orders 

in securities traded on the Exchange is 

$0.01. The Exchange has appropriate 

rules to facilitate trading in Tracking 

Fund Shares during all trading sessions. 

Tracking Basket for the Proposed Funds 

For the Funds, the Tracking Basket 

will consist of a combination of the 

Fund’s recently disclosed portfolio 

holdings and representative ETFs. The 

Exchange notes that the Tracking Basket 

methodology used by the Fund is 

substantively identical to a proposal 

previously approved by the 

Commission.17 ETFs selected for 

inclusion in the Tracking Basket will be 

consistent with the Fund’s objective and 

selected based on certain criteria, 

including, but not limited to, liquidity, 

assets under management, holding 

limits and compliance considerations. 

Representative ETFs can provide a 

useful mechanism to reflect a Fund’s 

holdings’ exposures within the Tracking 

Basket without revealing a Fund’s exact 

positions.18 Intraday pricing 

information for all constituents of the 

Tracking Basket that are exchangetraded, which includes all eligible 

instruments except cash and cash 

equivalents, will be available on the 

exchanges on which they are traded and 

through subscription services. Intraday 

pricing information for cash equivalents 

will be available through subscription 

services and/or pricing services. The 

Exchange notes that each Fund’s NAV 

will form the basis for creations and 

redemptions for the Funds and creations 

and redemptions will work in a manner 

substantively identical to that of series 

of Managed Fund Shares. The Adviser 

expects that the Shares of the Funds 

will generally be created and redeemed 

in-kind, with limited exceptions. The 

names and quantities of the instruments 

that constitute the basket of securities 

for creations and redemptions will be 

the same as a Fund’s Tracking Basket, 

except to the extent purchases and 

redemptions are made entirely or in part 

on a cash basis. In the event that the 

value of the Tracking Basket is not the 

same as a Fund’s NAV, the creation and 

redemption baskets will consist of the 

securities included in the Tracking 

Basket plus or minus an amount of cash 

equal to the difference between the NAV 

and the value of the Tracking Basket, as 

further described below. 

The Tracking Basket will be 

constructed utilizing a covariance 

matrix based on an optimization process 

to minimize deviations in the return of 

the Tracking Basket relative to the Fund. 

The proprietary optimization process 

mathematically seeks to minimize three 

key parameters that the Adviser believes 

are important to the effectiveness of the 

Tracking Basket as a hedge: Tracking 

error (standard deviation of return 

differentials between the Tracking 

Basket and the Fund), turnover cost, and 

basket creation cost.19 Typically, the 

Tracking Basket is expected to be 

rebalanced on schedule with the public 

disclosure of the Fund’s holdings; 

however, a new optimized Tracking 

Basket may be generated as frequently 

as daily, and therefore, rebalancing may 

occur more frequently at the Adviser’s 

discretion. In determining whether to 

rebalance a new optimized Tracking 

Basket, the Adviser will consider 

various factors, including liquidity of 

the securities in the Tracking Basket, 

tracking error, and the cost to create and 

trade the Tracking Basket.20 For 

example, if the Adviser determines that 

a new Tracking Basket would reduce the 

variability of return differentials 

between the Tracking Basket and the 

Fund when balanced against the cost to 

trade the new Tracking Basket, 

rebalancing may be appropriate. The 

Adviser will periodically review the 

Tracking Basket parameters and 

Tracking Basket performance and 

process. 

As noted above, each Fund will also 

disclose the entirety of its portfolio 

holdings, including the name, identifier, 

market value and weight of each 

security and instrument in the portfolio, 

at a minimum within at least 60 days 

following the end of every fiscal quarter. 

The Exchange notes that the concept of 

the Tracking Basket employed under 

this structure is designed to provide 

investors with the traditional benefits of 

ETFs while protecting the Funds from 

the potential for front running or free 

riding of portfolio transactions, which 

could adversely impact the performance 

of a Fund. 

The Exchange believes that the 

particular instruments that may be 

included in each of the Fund’s 

respective Fund Portfolio and Tracking 

Basket do not raise any concerns related 

to the Tracking Baskets being able to 

closely track the NAV of the Funds 

because such instruments include only 

instruments that trade on an exchange 

contemporaneously with the Shares.21

In addition, each Fund’s Tracking 

Basket will be optimized so that it 

reliably and consistently correlates to 

the performance of the Fund. 

The Adviser anticipates that the 

returns between a Fund and its 

respective Tracking Basket will have a 

consistent relationship and that the 

deviation in the returns between a Fund 

and its Tracking Basket will be 

sufficiently small such that the Tracking 

Basket will provide authorized 

participants, arbitrageurs, and certain 

other market participants (collectively, 

‘‘Market Makers’’) with a reliable 

hedging vehicle that they can use to 

effectuate low-risk arbitrage trades in 

Fund Shares. The Exchange believes 


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83660 Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 

22 15 U.S.C. 78f. 

23 15 U.S.C. 78f(b)(5). 24See supra note 14. 

that the disclosures provided by the 

Funds will allow Market Makers to 

understand the relationship between the 

performance of a Fund and its Tracking 

Basket. Market Makers will be able to 

estimate the value of and hedge 

positions in a Fund’s Shares, which the 

Exchange believes will facilitate the 

arbitrage process and help ensure that 

the Fund’s Shares normally will trade at 

market prices close to their NAV. The 

Exchange also believes that competitive 

market making, where traders are 

looking to take advantage of differences 

in bid-ask spread, will aid in keeping 

spreads tight. 

2. Statutory Basis 

The Exchange believes that the 

proposal is consistent with Section 6(b) 

of the Act 22 in general and Section 

6(b)(5) of the Act 23 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 notes that a significant 

amount of information about each Fund 

and its Fund Portfolio will be publicly 

available at all times. Each Fund will 

disclose the Tracking Basket, which is 

designed to closely track the daily 

performance of the Fund Portfolio, on a 

daily basis. Each Fund will at a 

minimum publicly disclose the entirety 

of its portfolio holdings, including the 

name, identifier, market value and 

weight of each security and instrument 

in the portfolio within at least 60 days 

following the end of every fiscal quarter 

in a manner consistent with normal 

disclosure requirements otherwise 

applicable to open-end investment 

companies registered under the 1940 

Act. The website will include additional 

quantitative information updated on a 

daily basis, including, on a per Share 

basis for each Fund, the prior business 

day’s NAV and the closing price or bid/ 

ask price at the time of calculation of 

such NAV, and a calculation of the 

premium or discount of the closing 

price or bid/ask price against such NAV. 

The website will also disclose the 

percentage weight overlap between the 

holdings of the Tracking Basket 

compared to the Fund Holdings for the 

prior business day and any information 

regarding the bid/ask spread for each 

Fund as may be required for other ETFs 

under Rule 6c–11 under the 1940 Act, 

as amended. Price information for the 

exchange-listed instruments held by the 

Funds, including both U.S. and nonU.S. listed equity securities and U.S. 

exchange-listed futures will be available 

through major market data vendors or 

securities exchanges listing and trading 

such securities. 

The Exchange represents that the 

Shares of the Funds will continue to 

comply with all other requirements 

applicable to Tracking Fund Shares, 

including the dissemination of key 

information such as the Tracking 

Basket, the Fund Portfolio, and NAV, 

suspension of trading or removal, 

trading halts, surveillance, minimum 

price variation for quoting and order 

entry, an information circular informing 

members of the special characteristics 

and risks associated with trading in the 

Shares, and firewalls as set forth in the 

Rules applicable to Tracking Fund 

Shares and the order approving such 

rules. Moreover, U.S.-listed equity 

securities held by the Funds will trade 

on markets that are a member of ISG or 

with which the Exchange has in place 

a comprehensive surveillance sharing 

agreement.24 All statements and 

representations made in this filing 

regarding the description of the 

portfolio or reference assets, limitations 

on portfolio holdings or reference assets, 

dissemination and availability of 

reference asset (as applicable), or the 

applicability of Exchange listing rules 

specified in this filing shall constitute 

continued listing requirements for the 

Shares. The issuer has represented to 

the Exchange that it will advise the 

Exchange of any failure by a Fund or 

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. FINRA conducts certain 

cross-market surveillances on behalf of 

the Exchange pursuant to a regulatory 

services agreement. The Exchange is 

responsible for FINRA’s performance 

under this regulatory services 

agreement. If a Fund is not in 

compliance with the applicable listing 

requirements, the Exchange will 

commence delisting procedures with 

respect to such Fund under Exchange 

Rule 14.12. 

The Exchange believes that the 

proposal is designed to prevent 

fraudulent and manipulative acts and 

practices in that the Rules relating to 

listing and trading of Tracking Fund 

Shares provide specific initial and 

continued listing criteria required to be 

met by such securities. 

Rules 14.11(m)(4)(B)(iii) and (iv) 

provide that the Exchange will consider 

the suspension of trading in and will 

commence delisting proceedings for a 

Fund pursuant to Rule 14.12 under any 

of the circumstances described above 

and that the Exchange may consider all 

relevant factors in exercising its 

discretion to halt trading in a series of 

Tracking Fund Shares. Trading may be 

halted because of market conditions or 

for reasons that, in the view of the 

Exchange, make trading in the Shares 

inadvisable. 

Additionally, the Exchange believes 

that the requirements related to 

information protection enumerated 

under Rule 14.11(m)(2)(F) will act as a 

strong safeguard against any misuse and 

improper dissemination of information 

related to a Fund Portfolio, the Tracking 

Basket, or changes thereto. The 

requirement that any person or entity, 

including a custodian, Reporting 

Authority, distributor, or administrator, 

who has access to nonpublic 

information regarding the Fund 

Portfolio or the Tracking Basket or 

changes thereto, must be subject to 

procedures designed to prevent the use 

and dissemination of material 

nonpublic information regarding the 

applicable Fund Portfolio or the 

Tracking Basket or changes thereto will 

act to prevent any individual or entity 

from sharing such information 

externally. 

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. 

Trading of the Shares through the 

Exchange will be subject to the 

Exchange’s surveillance procedures for 

derivative products, including Tracking 

Fund Shares. If a Fund is 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. Any foreign common stocks 

held by the Fund will be traded on an 

exchange that is a member of ISG or 

with which the Exchange has in place 

a comprehensive surveillance sharing 

agreement. All futures contracts that the 

Funds may invest in will be traded on 

a U.S. futures exchange. The Exchange 

or FINRA, on behalf of the Exchange, or 

both, will communicate as needed 

regarding trading in the Shares, 


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Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 83661 

25 15 U.S.C. 78s(b)(3)(A). 

26 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. 

27 17 CFR 240.19b–4(f)(6). 

28 17 CFR 240.19b–4(f)(6)(iii). 

29See Securities Exchange Act Release No. 88887 

(May 15, 2020), 85 FR 30990 (May 21, 2020) (SR– 

CboeBZX–2019–107) (Notice of Filing of 

Amendment No. 5 and Order Granting Accelerated 

Approval of a Proposed Rule Change, as Modified 

by Amendment No. 5, to Adopt Rule 14.11(m), 

Tracking Fund Shares, and to List and Trade Shares 

of the Fidelity Blue Chip Value ETF, Fidelity Blue 

Chip Growth ETF, and Fidelity New Millennium 

ETF). See also Securities Exchange Act Release No. 

90530 (November 30, 2020), 85 FR 78366 

(December 4, 2020) (SR–CboeBZX–2020–085) 

(Notice of Filing and Immediate Effectiveness of a 

Proposed Rule Change Relating to List and Trade 

Shares of the Fidelity Growth Opportunities ETF, 

Fidelity Magellan ETF, Fidelity Real Estate 

Investment ETF, and Fidelity Small-Mid Cap 

Opportunities ETF). 

30For 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). 

underlying U.S. exchange-listed equity 

securities, and U.S. exchange-listed 

futures with other markets and other 

entities that are members of ISG, and the 

Exchange or FINRA, on behalf of the 

Exchange, or both, may obtain trading 

information regarding trading such 

instruments from such markets and 

other entities. In addition, the Exchange 

may obtain information regarding 

trading in the Shares, underlying equity 

securities, and U.S. exchange-listed 

futures from markets and other entities 

that are members of ISG or with which 

the Exchange has in place a 

comprehensive surveillance sharing 

agreement. 

As provided in Rule 14.11(m)(2)(D), 

the Adviser will upon request make 

available to the Exchange and/or 

FINRA, on behalf of the Exchange, the 

daily Fund Portfolio of each Fund. The 

Exchange believes that the ability to 

access the information on an as needed 

basis will provide it with sufficient 

information to perform the necessary 

regulatory functions associated with 

listing and trading the Shares on the 

Exchange, including the ability to 

monitor compliance with the initial and 

continued listing requirements as well 

as the ability to surveil for manipulation 

of the Shares. 

In addition, Form N–PORT requires 

reporting of a fund’s complete portfolio 

holdings on a position-by-position basis 

on a quarterly basis within 60 days after 

fiscal quarter end. Investors can obtain 

a fund’s Statement of Additional 

Information, its Shareholder Reports, its 

Form N–CSR, filed twice a year, and its 

Form N–CEN, filed annually. A fund’s 

SAI and Shareholder Reports are 

available free upon request from the 

Investment Company, and those 

documents and the Form N–PORT, 

Form N–CSR, and Form N–CEN may be 

viewed on-screen or downloaded from 

the Commission’s website at 

www.sec.gov. The Exchange also notes 

that the Exemptive Relief provides that 

the Funds will comply with Regulation 

Fair Disclosure, which prohibits 

selective disclosure of any material nonpublic information, which otherwise do 

not apply to issuers of Tracking Fund 

Shares. 

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. Quotation and 

last sale information for the Shares will 

be available via the CTA high-speed 

line. The Exchange deems Tracking 

Fund Shares to be equity securities, thus 

rendering trading in the Shares subject 

to the Exchange’s existing rules 

governing the trading of equity 

securities. As provided in Rule 

14.11(m)(2)(C), the minimum price 

variation for quoting and entry of orders 

in securities traded on the Exchange is 

$0.01. 

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. Rather, the 

Exchange notes that the proposed rule 

change will facilitate the listing of 

several new series of actively-managed 

exchange-traded products, thus 

enhancing competition among both 

market participants and listing venues, 

to the benefit of investors and the 

marketplace. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange has neither solicited 

nor received written comments on the 

proposed rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

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 25 and Rule 19b– 

4(f)(6) thereunder.26

A proposed rule change filed under 

Rule 19b–4(f)(6) 27 normally does not 

become operative for 30 days after the 

date of the filing. However, pursuant to 

Rule 19b–4(f)(6)(iii),28 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. The 

proposed rule change is substantially 

similar to other Tracking Fund Shares 

the Commission previously approved 29

and does not raise any novel regulatory 

issues. Accordingly, the Commission 

waives the 30-day operative delay and 

designates the proposal operative upon 

filing.30

At any time within 60 days of the 

filing of the 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. If the 

Commission takes such action, the 

Commission will institute proceedings 

to determine whether the proposed rule 

change should be approved or 

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 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–2020–090 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. 


jbell on DSKJLSW7X2PROD with NOTICES
83662 Federal Register / Vol. 85, No. 246 / Tuesday, December 22, 2020 / Notices 

31 17 CFR 200.30–3(a)(12). 

1 12 U.S.C. 5465(e)(1). 

2 17 CFR 240.19b–4(n)(1)(i). 

3 15 U.S.C. 78a et seq. 

4See Notice of Filing infra note 5, at 85 FR 73553. 

5Securities Exchange Act Release No. 90416 

(Nov. 13, 2020), 85 FR 73553 (Nov. 18, 2020) (File 

No. SR–OCC–2020–806) (‘‘Notice of Filing’’). On 

October 20, 2020, OCC also filed a related proposed 

rule change (SR–OCC–2020–013) with the 

Commission pursuant to Section 19(b)(1) of the 

Exchange Act and Rule 19b–4 thereunder 

(‘‘Proposed Rule Change’’). 15 U.S.C. 78s(b)(1) and 

17 CFR 240.19b–4, respectively. In the Proposed 

Rule Change, which was published in the Federal 

Register on November 9, 2020, OCC seeks approval 

of proposed changes to its rules necessary to 

implement the Advance Notice. Securities 

Exchange Act Release No. 90315 (Nov. 3, 2020), 85 

FR 71384 (Nov. 9, 2020) (File No. SR–OCC–2020– 

013). The comment period for the related Proposed 

Rule Change filing closed on November 30, 2020. 

6Since the proposal contained in the Advance 

Notice was also filed as a proposed rule change, all 

public comments received on the proposal are 

considered regardless of whether the comments are 

submitted on the Proposed Rule Change or the 

Advance Notice. 

7 In Partial Amendment No. 1, OCC corrects and 

updates a confidential Exhibit 5 to the materials 

filed on October 20, 2020 regarding File No. SR– 

OCC–2020–806. Partial Amendment No. 1 corrects 

an error in the proposed rule text and updates the 

list of vendor agreements attached to the RWD Plan, 

but did not change the purpose of or basis for the 

Advance Notice. References to the Advance Notice 

from this point forward refer to the Advance Notice, 

as amended by Partial Amendment No. 1. 8Capitalized terms used but not defined herein 

have the meanings specified in OCC’s Rules and ByLaws, available at https://www.theocc.com/about/ 

publications/bylaws.jsp. 9See Securities Exchange Act Release No. 85121 

(Feb. 13, 2019), 84 FR 5157 (Feb. 20, 2019) (File No. 

SR–OCC–2015–02). 

10See Securities Exchange Act Release No. 86725 

(Aug. 21, 2019), 84 FR 44952 (Aug. 27, 2019) (File 

No. SR–OCC–2019–007). 

All submissions should refer to File 

Number SR–CboeBZX–2020–090. 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–2020–090 and 

should be submitted on or before 

January 12, 2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.31

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2020–28150 Filed 12–21–20; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–90701; File No. SR–OCC– 

2020–806] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing of Partial Amendment No. 1 

and Notice of No Objection To 

Advance Notice, as Modified by Partial 

Amendment No. 1, Related to 

Proposed Changes To Update the 

Options Clearing Corporation’s 

Recovery and Orderly Wind-Down Plan 

December 17, 2020. 

I. Introduction 

On October 20, 2020, the Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) advance 

notice SR–OCC–2020–806 (‘‘Advance 

Notice’’)pursuant to Section 806(e)(1) of 

Title VIII of the Dodd-Frank Wall Street 

Reform and Consumer Protection Act, 

entitled Payment, Clearing and 

Settlement Supervision Act of 2010 

(‘‘Clearing Supervision Act’’) 1 and Rule 

19b–4(n)(1)(i) 2 under the Securities 

Exchange Act of 1934 (‘‘Exchange 

Act’’) 3 to make changes to OCC’s 

Recovery and Orderly Wind-Down Plan 

(‘‘RWD Plan’’).4 The Advance Notice 

was published for public comment in 

the Federal Register on November 18, 

2020,5 and the Commission has received 

no comments regarding the changes 

proposed in the Advance Notice.6 On 

November 18, 2020, OCC filed a partial 

amendment (‘‘Partial Amendment No. 

1’’) to modify the Advance Notice.7 The 

Commission is publishing this notice to 

solicit comments on Partial Amendment 

No. 1 from interested persons and, for 

the reasons discussed below, is hereby 

providing notice of no objection to the 

Advance Notice. 

II. Background 8

The Advance Notice concerns 

changes to OCC’s RWD Plan. As 

described in greater detail below, OCC 

proposes to (1) update the RWD Plan to 

reflect changes to OCC’s capital 

structure resulting from the disapproval 

of OCC’s previously approved ‘‘Capital 

Plan’’ 9 and the subsequent approval of 

OCC’s ‘‘Capital Management Policy,’’ 10

and (2) implement changes identified 

during OCC’s annual review of the RWD 

Plan. The changes arise out of OCC’s 

annual review of the RWD Plan and 

include factual updates (e.g., market 

share and contract volume data) and 

streamlined discussions in the RWD 

Plan (e.g., replacement of detailed 

overview of OCC’s risk management 

program with a more concise summary). 

Capital Management Policy Updates. 

As a result of the implementation of the 

Capital Management Policy, OCC is 

proposing changes to Chapters 2, 5, and 

6 of its RWD Plan. In Chapter 2, OCC 

is proposing to revise its discussion of 

fee management for consistency with 

the Capital Management Policy. In 

Chapter 5, OCC is proposing to (i) 

replace its discussion of the 

Replenishment Plan established under 

the disapproved Capital Plan with a 

discussion of the replenishment 

structure adopted under the Capital 

Management Policy; (ii) replace 

references to the discretionary use of 

OCC’s current and/or retained earnings 

with references to the mandatory 

contribution—immediately following 

the use of margin, deposits in lieu of 

margin and the Clearing Fund deposits 

of the suspended Clearing Member—of 

OCC’s current and retained earnings 

greater than 110% of OCC’s annuallyestablished ‘‘Target Capital 

Requirement;’’ (iii) update the 

description of how OCC could increase 

the minimum required cash 


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