Federal Register / Vol. 83, No. 144 / Thursday, July 26, 2018 / Notices 35505 

16 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4See Securities Exchange Act Release No. 82097 

(November 16, 2017), 82 FR 55689. 

5See Securities Exchange Act Release No. 82387, 

82 FR 61613 (December 28, 2017) (extending the 

time period to February 20, 2018). 

6See Securities Exchange Act Release No. 82739, 

83 FR 8309 (February 26, 2018). 

7The amendments to the proposed rule change 

are available at: https://www.sec.gov/comments/srbatsbzx-2017-72/batsbzx201772.htm. In 

Amendment No. 4, the Exchange (among other 

things) narrowed the scope of the proposed rule 

change to withdraw its request to list and trade 

shares of the Innovator S&P 500 Ultra ETF Series 

(formerly known as the Innovator S&P 500 Ultra 

Strategy ETF Series). 

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– 

BX–2018–032 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–BX–2018–032. 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–BX–2018–032 and should 

be submitted on or before August 16, 

2018. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.16

Brent J. Fields, 

Secretary. 

[FR Doc. 2018–15944 Filed 7–25–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–83679; File No. SR– 

BatsBZX–2017–72] 

Self-Regulatory Organizations; Cboe 

BZX Exchange, Inc.; Notice of Filing of 

Amendment No. 4 and Order Granting 

Accelerated Approval of a Proposed 

Rule Change, as Modified by 

Amendment No. 4 Thereto, To List and 

Trade Shares of the Innovator S&P 500 

Buffer ETF Series, Innovator S&P 500 

Power Buffer ETF Series, and 

Innovator S&P 500 Ultra Buffer ETF 

Series Under Rule 14.11(i) 

July 20, 2018. 

I. Introduction 

On November 7, 2017, Cboe BZX 

Exchange, Inc. (‘‘Exchange’’ or ‘‘BZX’’), 

formerly known as Bats BZX Exchange, 

Inc., filed with the Securities and 

Exchange Commission (‘‘Commission’’), 

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

Securities Exchange Act of 1934 

(‘‘Act’’) 2 and Rule 19b–4 thereunder,3 a 

proposed rule change to list and trade 

shares of the Innovator S&P 500 Buffer 

ETF Series (formerly known both as the 

Innovator S&P 500 Enhance and Buffer 

ETF Series and Innovator S&P 500 

Enhance and 10% Shield Strategy ETF 

Series), Innovator S&P 500 Power Buffer 

ETF Series (formerly known as both the 

Innovator S&P 500 Buffer ETF Series 

and Innovator S&P 500 15% Shield 

Strategy ETF Series), and Innovator S&P 

500 Ultra Buffer ETF Series (formerly 

known as both the Innovator S&P 500 

Power Buffer ETF Series and Innovator 

S&P 500 ¥5% to ¥35% Shield Strategy 

ETF Series) under BZX Rule 14.11(i). 

The proposed rule change was 

published for comment in the Federal 

Register on November 22, 2017.4 On 

December 21, 2017, the Commission 

extended the time period within which 

to approve the proposed rule change, 

disapprove the proposed rule change, or 

institute proceedings to determine 

whether to approve or disapprove the 

proposed rule change.5 On February 20, 

2018, the Commission initiated 

proceedings to determine whether to 

disapprove the proposed rule change.6

On April 4, 2018, the Exchange filed 

Amendment No. 1 to the proposed rule 

change, which amended and superseded 

the proposed rule change as originally 

filed. On July 12, 2018, the Exchange 

filed Amendment No. 2 to the proposed 

rule change, which amended and 

superseded the proposed rule change as 

modified by Amendment No. 1, as well 

as Amendment No. 3 to the proposed 

rule change, which amended and 

superseded the proposed rule change as 

modified by Amendment No. 2. On July 

18, 2018, the Exchange filed 

Amendment No. 4 to the proposed rule 

change, which amended and superseded 

the proposed rule change as modified by 

Amendment No. 3.7 The Commission 

received no comments on the proposed 

rule change. The Commission is 

publishing this notice to solicit 

comments on Amendment No. 4 from 

interested persons and is approving the 

proposed rule change, as modified by 

Amendment No. 4, on an accelerated 

basis. 

II. The Exchange’s Description of the 

Proposed Rule Change, as Modified by 

Amendment No. 4 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

forth in Sections A, B, and C below, of 

the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

This Amendment No. 4 to SR– 

BatsBZX–2017–72 amends and replaces 

in its entirety the third amended 

proposal submitted on July 12, 2018. 


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35506 Federal Register / Vol. 83, No. 144 / Thursday, July 26, 2018 / Notices 

8The Commission originally approved BZX Rule 

14.11(i) in Securities Exchange Act Release No. 

65225 (August 30, 2011), 76 FR 55148 (September 

6, 2011) (SR–BATS–2011–018) and subsequently 

approved generic listing standards for Managed 

Fund Shares under Rule 14.11(i) in Securities 

Exchange Act Release No. 78396 (July 22, 2016), 81 

FR 49698 (July 28, 2016) (SR–BATS–2015–100). 

9See Post-Effective Amendment Nos. 149, 150, 

and 151 to Registration Statement on Form N–1A 

for the Trust, which were filed with the 

Commission on July 12, 2018 (File Nos. 333–146827 

and 811–22135). The descriptions of the Funds and 

the Shares contained herein are based on 

information in the Registration Statement. There are 

no permissible holdings for the Funds that are not 

described in this proposal. The Commission has 

issued an order granting certain exemptive relief to 

the Trust under the Investment Company Act of 

1940 (15 U.S.C. 80a–1) (‘‘1940 Act’’) (the 

‘‘Exemptive Order’’). See Investment Company Act 

Release No. 32854 (October 6, 2017) (File No. 812– 

14781). 

10 26 U.S.C. 851. 

11An investment adviser to an open-end fund is 

required to be registered under the Investment 

Advisers Act of 1940 (the ‘‘Advisers Act’’). As a 

result, the Adviser and its related personnel are 

subject to the provisions of Rule 204A–1 under the 

Advisers Act relating to codes of ethics. This Rule 

requires investment advisers to adopt a code of 

ethics that reflects the fiduciary nature of the 

relationship to clients as well as compliance with 

other applicable securities laws. Accordingly, 

procedures designed to prevent the communication 

and misuse of non-public information by an 

investment adviser must be consistent with Rule 

204A–1 under the Advisers Act. In addition, Rule 

206(4)–7 under the Advisers Act makes it unlawful 

for an investment adviser to provide investment 

advice to clients unless such investment adviser has 

(i) adopted and implemented written policies and 

procedures reasonably designed to prevent 

violation, by the investment adviser and its 

supervised persons, of the Advisers Act and the 

Commission rules adopted thereunder; (ii) 

implemented, at a minimum, an annual review 

regarding the adequacy of the policies and 

procedures established pursuant to subparagraph (i) 

above and the effectiveness of their 

implementation; and (iii) designated an individual 

(who is a supervised person) responsible for 

administering the policies and procedures adopted 

under subparagraph (i) above. 

12Rule 14.11(i)(4)(C)(iv)(b) provides that ‘‘the 

aggregate gross notional value of listed derivatives 

based on any five or fewer underlying reference 

The Exchange submits this Amendment 

No. 4 in order to revise certain details 

regarding the Funds. 

The Exchange proposes to list and 

trade shares (‘‘Shares’’) of up to twelve 

monthly Innovator S&P 500 Buffer ETF 

Series (collectively, the ‘‘Buffer 

Funds’’), Innovator S&P 500 Power 

Buffer ETF Series (collectively, the 

‘‘Power Buffer Funds’’), and Innovator 

S&P 500 Ultra Buffer ETF Series 

(collectively, the ‘‘Ultra Buffer Funds’’) 

(each a ‘‘Fund’’ and, collectively, the 

‘‘Funds’’) under Rule 14.11(i), which 

governs the listing and trading of 

Managed Fund Shares on the 

Exchange.8 Each Fund will be an 

actively managed exchange traded fund 

(‘‘ETF’’). 

The Shares will be offered by 

Innovator ETFs Trust (formerly 

Academy Funds Trust) (the ‘‘Trust’’), 

which was established as a Delaware 

statutory trust on October 17, 2007. The 

Trust is registered with the Commission 

as an investment company and has 

filed, for each Fund, a registration 

statement on Form N–1A (‘‘Registration 

Statement’’) with the Commission on 

behalf of the Funds.9 Each Fund intends 

to qualify each year as a regulated 

investment company (a ‘‘RIC’’) under 

Subchapter M of the Internal Revenue 

Code of 1986, as amended.10 Innovator 

Capital Management, LLC (the 

‘‘Adviser’’) is the investment adviser to 

the Funds and Milliman Financial Risk 

Management LLC (the ‘‘Sub-Adviser’’) is 

the sub-adviser. Rule 14.11(i)(7) 

provides that, if the investment adviser 

to the investment company issuing 

Managed Fund Shares is affiliated with 

a broker-dealer, such investment adviser 

shall erect a ‘‘fire wall’’ between the 

investment adviser and the brokerdealer with respect to access to 

information concerning the composition 

and/or changes to such investment 

company portfolio.11 In addition, Rule 

14.11(i)(7) further requires that 

personnel who make decisions on the 

investment company’s portfolio 

composition must be subject to 

procedures designed to prevent the use 

and dissemination of material 

nonpublic information regarding the 

applicable investment company 

portfolio. Neither the Adviser nor the 

Sub-Adviser is a registered brokerdealer, and neither the Adviser nor the 

Sub-Adviser are affiliated with brokerdealers. In addition, Adviser and SubAdviser personnel who make decisions 

regarding a Fund’s portfolio are subject 

to procedures designed to prevent the 

use and dissemination of material 

nonpublic information regarding the 

Fund’s portfolio. In the event that (a) the 

Adviser or 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 

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 portfolio, and will be 

subject to procedures designed to 

prevent the use and dissemination of 

material non-public information 

regarding such portfolio. Similarly, to 

the extent that a Fund is based on a 

benchmark index, in the event that the 

index provider of the benchmark index 

(the ‘‘Index Provider’’) becomes 

registered as a broker-dealer or 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 portfolio, and will be 

subject to procedures designed to 

prevent the use and dissemination of 

material non-public information 

regarding such portfolio. 

The investment objective of the Funds 

is to provide investors with returns that 

match those of the S&P 500 Price Return 

Index (the ‘‘S&P 500 Index’’) over a 

period of approximately one year, while 

providing a level of protection from S&P 

500 Index losses. 

The Funds are each actively managed 

funds that employ a ‘‘defined outcome 

strategy’’ that: 

(1) For the Buffer Funds, seeks to 

provide investment returns that match 

the gains of the S&P 500 Index, up to a 

maximized annual return (the ‘‘Buffer 

Cap Level’’), while guarding against a 

decline in the S&P 500 Index of the first 

10% (the ‘‘Buffer Strategy’’); 

(2) for the Power Buffer Funds, seeks 

to provide investment returns that 

match the gains of the S&P 500 Index, 

up to a maximized annual return (the 

‘‘Power Buffer Cap Level’’), while 

guarding against a decline in the S&P 

500 Index of the first 15% (the ‘‘Power 

Buffer Strategy’’); and 

(3) for the Ultra Buffer Funds, seeks 

to provide investment returns that 

match the gains of the S&P 500 Index, 

up to a maximized annual return (the 

‘‘Ultra Buffer Cap Level’’), while 

guarding against a decline in the S&P 

500 Index of between 5% and 35% (the 

‘‘Ultra Buffer Strategy’’). 

Pursuant to the Strategies, each Fund 

will invest primarily in exchange-traded 

options contracts that reference either 

the S&P 500 Index or ETFs that track the 

S&P 500 Index. Defined outcome 

strategies are designed to participate in 

market gains and losses within predetermined ranges over a specified 

period (i.e., point to point). These 

outcomes are predicated on the 

assumption that an investment vehicle 

employing the strategy is held for the 

designated outcome periods. As such, 

the Exchange is proposing to list up to 

twelve monthly series of each of the 

Buffer Funds, Power Buffer Funds and 

Ultra Buffer Funds, as named above. 

The Exchange submits this proposal 

in order to allow each Fund to hold 

listed derivatives, in particular FLexible 

EXchange Options (‘‘FLEX Options’’) on 

the S&P 500 Index, in a manner that 

does not comply with Rule 

14.11(i)(4)(C)(iv)(b).12 Otherwise, the 


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assets shall not exceed 65% of the weight of the 

portfolio (including gross notional exposures), and 

the aggregate gross notional value of listed 

derivatives based on any single underlying 

reference asset shall not exceed 30% of the weight 

of the portfolio (including gross notional 

exposures).’’ The Funds do not meet the generic 

listing standards because they fail to meet the 

requirement of Rule 14.11(i)(4)(C)(iv)(b) that 

prevents the aggregate gross notional value of listed 

derivatives based on any single underlying 

reference asset from exceeding 30% of the weight 

of the portfolio (including gross notional exposures) 

and the requirement that the aggregate gross 

notional value of listed derivatives based on any 

five or fewer underlying reference assets shall not 

exceed 65% of the weight of the portfolio 

(including gross notional exposures). 

13For purposes of this proposal, the term 

‘‘Generic Listing Standards’’ shall mean the generic 

listing rules for Managed Fund Shares under Rule 

14.11(i)(4)(C). 

14As defined in Rule 14.11(i)(3)(E), the term 

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

limited to, the absence of trading halts in the 

applicable financial markets generally; operational 

issues causing dissemination of inaccurate market 

information or system failures; or force majeure 

type events such as natural or man-made disaster, 

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

labor disruption, or any similar intervening 

circumstance. 

Funds will comply with all other listing 

requirements of the Generic Listing 

Standards 13 for Managed Fund Shares 

on an initial and continued listing basis 

under Rule 14.11(i). 

Innovator S&P 500 Buffer ETF Series 

Under Normal Market Conditions,14

each Buffer Fund will attempt to 

achieve its investment objective by 

employing a ‘‘defined outcome strategy’’ 

that will seek to provide investment 

returns during the outcome period that 

match the gains of the S&P 500 Index, 

up to the Buffer Cap Level, while 

shielding investors from S&P 500 Index 

losses of up to 10%. Pursuant to the 

Buffer Strategy, each Buffer Fund will 

invest primarily in FLEX Options or 

standardized options contracts listed on 

a U.S. exchange that reference either the 

S&P 500 Index or ETFs that track the 

S&P 500 Index. 

The portfolio managers will invest in 

a portfolio of FLEX Options linked to an 

underlying asset, the S&P 500 Index, 

that, when held for the specified period, 

seeks to produce returns that, over the 

outcome period, match the positive 

returns of the S&P 500 Index up to the 

Buffer Cap Level. Pursuant to the Buffer 

Strategy, each Buffer Fund’s portfolio 

managers will seek to produce the 

following outcomes during the outcome 

period: 

• If the S&P 500 Index appreciates 

over the outcome period: The Buffer 

Fund will seek to provide shareholders 

with a total return that matches that of 

the S&P 500 Index, up to and including 

the Buffer Cap Level; 

• If the S&P 500 Index depreciates 

over the outcome period by 10% or less: 

The Buffer Fund will seek to provide a 

total return of zero; 

• If the S&P 500 Index decreases over 

the outcome period by more than 10%: 

The Buffer Fund will seek to provide a 

total return loss that is 10% less than 

the percentage loss on the S&P 500 

Index with a maximum loss of 

approximately 90%. 

The Buffer Funds will produce these 

outcomes by layering purchased and 

written FLEX Options. The 

customizable nature of FLEX Options 

allows for the creation of a strategy that 

sets desired defined outcome 

parameters. The FLEX Options 

comprising a Buffer Fund’s portfolio 

have terms that, when layered upon 

each other, are designed to buffer 

against losses or match the gains of the 

S&P 500 Index. However, another effect 

of the layering of FLEX Options with 

these terms is a cap on the level of 

possible gains. 

Any FLEX Options that are written by 

a Buffer Fund that create an obligation 

to sell or buy an asset will be offset with 

a position in FLEX Options purchased 

by the Buffer Fund to create the right to 

buy or sell the same asset such that the 

Buffer Fund will always be in a net long 

position. That is, any obligations of a 

Buffer Fund created by its writing of 

FLEX Options will be covered by 

offsetting positions in other purchased 

FLEX Options. As the FLEX Options 

mature at the end of each outcome 

period, they are replaced. By replacing 

FLEX Options annually, each Buffer 

Fund seeks to ensure that investments 

made in a given month during the 

current year buffer against negative 

returns of the S&P 500 Index up to predetermined levels in that same month of 

the following year. The Buffer Funds do 

not offer any protection against declines 

in the S&P 500 Index exceeding 10% on 

an annualized basis. Shareholders will 

bear all S&P 500 Index losses exceeding 

10% on a one-to-one basis. 

The FLEX Options owned by each of 

the Buffer Funds will have the same 

terms (i.e., same strike price and 

expiration) for all investors of a Buffer 

Fund within an outcome period. The 

Buffer Cap Level will be determined 

with respect to each Buffer Fund on the 

inception date of the Buffer Fund and at 

the beginning of each outcome period 

and is determined based on the price of 

the FLEX Options acquired by the 

Buffer Fund at that time. 

Innovator S&P 500 Power Buffer ETF 

Series 

Under Normal Market Conditions, 

each Power Buffer Fund will attempt to 

achieve its investment objective by 

employing a ‘‘defined outcome strategy’’ 

that will seek to provide investment 

returns during the outcome period that 

match the gains of the S&P 500 Index, 

up to the Power Buffer Cap Level, while 

shielding investors from S&P 500 Index 

losses of up to 15%. Pursuant to the 

Power Buffer Strategy, each Power 

Buffer Fund will invest primarily in 

FLEX Options or standardized options 

contracts listed on a U.S. exchange that 

reference either the S&P 500 Index or 

ETFs that track the S&P 500 Index. 

The portfolio managers will invest in 

a portfolio of FLEX Options linked to an 

underlying asset, the S&P 500 Index, 

that, when held for the specified period, 

seeks to produce returns that, over the 

outcome period, match the positive 

returns of the S&P 500 Index up to the 

Power Buffer Cap Level. Pursuant to the 

Power Buffer Strategy, each Power 

Buffer Fund’s portfolio managers will 

seek to produce the following outcomes 

during the outcome period: 

• If the S&P 500 Index appreciates 

over the outcome period: The Power 

Buffer Fund will seek to provide 

shareholders with a total return that 

matches that of the S&P 500 Index, up 

to and including the Power Buffer Cap 

Level; 

• If the S&P 500 Index depreciates 

over the outcome period by 15% or less: 

The Power Buffer Fund will seek to 

provide a total return of zero; and 

• If the S&P 500 Index decreases over 

the outcome period by more than 15%: 

The Power Buffer Fund will seek to 

provide a total return loss that is 15% 

less than the percentage loss on the S&P 

500 Index with a maximum loss of 

approximately 85%. 

The Power Buffer Funds will produce 

these outcomes by layering purchased 

and written FLEX Options. The 

customizable nature of FLEX Options 

allows for the creation of a strategy that 

sets desired defined outcome 

parameters. The FLEX Options 

comprising a Power Buffer Fund’s 

portfolio have terms that, when layered 

upon each other, are designed to buffer 

against losses or match the gains of the 

S&P 500 Index. However, another effect 

of the layering of FLEX Options with 

these terms is a cap on the level of 

possible gains. 

Any FLEX Options that are written by 

a Power Buffer Fund that create an 

obligation to sell or buy an asset will be 

offset with a position in FLEX Options 

purchased by the Power Buffer Fund to 

create the right to buy or sell the same 

asset such that the Power Buffer Fund 

will always be in a net long position. 

That is, any obligations of a Power 

Buffer Fund created by its writing of 


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15As defined in Rule 14.11(i)(4)(C)(iii), cash 

equivalents include short-term instruments with 

maturities of less than three months, including: (i) 

U.S. Government securities, including bills, notes, 

and bonds differing as to maturity and rates of 

interest, which are either issued or guaranteed by 

the U.S. Treasury or by U.S. Government agencies 

or instrumentalities; (ii) certificates of deposit 

issued against funds deposited in a bank or savings 

and loan association; (iii) bankers acceptances, 

which are short-term credit instruments used to 

finance commercial transactions; (iv) repurchase 

agreements and reverse repurchase agreements; (v) 

bank time deposits, which are monies kept on 

deposit with banks or savings and loan associations 

for a stated period of time at a fixed rate of interest; 

(vi) commercial paper, which are short-term 

unsecured promissory notes; and (vii) money 

market funds. 

FLEX Options will be covered by 

offsetting positions in other purchased 

FLEX Options. As the FLEX Options 

mature at the end of each outcome 

period, they are replaced. By replacing 

FLEX Options annually, each Power 

Buffer Fund seeks to ensure that 

investments made in a given month 

during the current year buffer against 

negative returns of the S&P 500 Index 

up to pre-determined levels in that same 

month of the following year. The Power 

Buffer Funds do not offer any protection 

against declines in the S&P 500 Index 

exceeding 15% on an annualized basis. 

Shareholders will bear all S&P 500 

Index losses exceeding 15% on a oneto-one basis. 

The FLEX Options owned by each of 

the Power Buffer Funds will have the 

same terms (i.e. same strike price and 

expiration) for all investors of a Power 

Buffer Fund within an outcome period. 

The Power Buffer Cap Level will be 

determined with respect to each Power 

Buffer Fund on the inception date of the 

Power Buffer Fund and at the beginning 

of each outcome period and is 

determined based on the price of the 

FLEX Options acquired by the Power 

Buffer Fund at that time. 

Innovator S&P 500 Ultra Buffer ETF 

Series 

Under Normal Market Conditions, 

each Ultra Buffer Fund will attempt to 

achieve its investment objective by 

employing a ‘‘defined outcome strategy’’ 

that will seek to provide investment 

returns during the outcome period that 

match the gains of the S&P 500 Index, 

up to the Ultra Buffer Cap Level, while 

shielding investors from S&P 500 Index 

losses of between 5% and 35%. 

Pursuant to the Ultra Buffer Strategy, 

each Ultra Buffer Fund will invest 

primarily in FLEX Options or 

standardized options contracts listed on 

a U.S. exchange that reference either the 

S&P 500 Index or ETFs that track the 

S&P 500 Index. 

The portfolio managers will invest in 

a portfolio of FLEX Options linked to an 

underlying asset, the S&P 500 Index, 

that, when held for the specified period, 

seeks to produce returns that, over the 

outcome period, match the positive 

returns of the S&P 500 Index up to the 

Ultra Buffer Cap Level. Pursuant to the 

Ultra Buffer Strategy, each Ultra Buffer 

Fund’s portfolio managers will seek to 

produce the following outcomes during 

the outcome period: 

• If the S&P 500 Index appreciates 

over the outcome period: The Ultra 

Buffer Fund will seek to provide a total 

return that matches the percentage 

increase of the S&P 500 Index, up to the 

Ultra Buffer Cap Level; 

• If the S&P 500 Index decreases over 

the outcome period by 5% or less: The 

Ultra Buffer Fund will seek to provide 

a total return loss that is equal to the 

percentage loss on the S&P 500 Index; 

• If the S&P 500 Index decreases over 

the outcome period by 5%-35%: The 

Ultra Buffer Fund will seek to provide 

a total return loss of 5%; and 

• If the S&P 500 Index depreciates 

over the outcome period by greater than 

35%: The Ultra Buffer Fund will seek to 

provide a total return loss that is 30% 

less than the percentage loss on the S&P 

500 Index with a maximum loss of 

approximately 70%. 

The Ultra Buffer Funds will produce 

these outcomes by layering purchased 

and written FLEX Options. The 

customizable nature of FLEX Options 

allows for the creation of a strategy that 

sets desired defined outcome 

parameters. The FLEX Options 

comprising an Ultra Buffer Fund’s 

portfolio have terms that, when layered 

upon each other, are designed to buffer 

against losses or match the gains of the 

S&P 500 Index. However, another effect 

of the layering of FLEX Options with 

these terms is a cap on the level of 

possible gains. 

Any FLEX Options that are written by 

an Ultra Buffer Fund that create an 

obligation to sell or buy an asset will be 

offset with a position in FLEX Options 

purchased by the Ultra Buffer Fund to 

create the right to buy or sell the same 

asset such that the Ultra Buffer Fund 

will always be in a net long position. 

That is, any obligations of an Ultra 

Buffer Fund created by its writing of 

FLEX Options will be covered by 

offsetting positions in other purchased 

FLEX Options. As the FLEX Options 

mature at the end of each outcome 

period, they are replaced. By replacing 

FLEX Options annually, each Ultra 

Buffer Fund seeks to ensure that 

investments made in a given month 

during the current year buffer against 

negative returns of the S&P 500 Index 

up to pre-determined levels in that same 

month of the following year. The Ultra 

Buffer Funds do not offer any protection 

against declines in the S&P 500 Index 

exceeding 35% on an annualized basis. 

Shareholders will bear all S&P 500 

Index losses exceeding 35% on a oneto-one basis. 

The FLEX Options owned by each of 

the Ultra Buffer Funds will have the 

same terms (i.e. same strike price and 

expiration) for all investors of an Ultra 

Buffer Fund within an outcome period. 

The Ultra Buffer Cap Level will be 

determined with respect to each Ultra 

Buffer Fund on the inception date of the 

Ultra Buffer Fund and at the beginning 

of each outcome period and is 

determined based on the price of the 

FLEX Options acquired by the Ultra 

Buffer Fund at that time. 

Investment Methodology for the Funds 

Under Normal Market Conditions, 

each Fund will invest primarily in U.S. 

exchange-listed FLEX Options on the 

S&P 500 Index. Each of the Funds may 

invest its net assets (in the aggregate) in 

other investments which the Adviser or 

Sub-Adviser believes will help each 

Fund to meet its investment objective 

and that will be disclosed at the end of 

each trading day (‘‘Other Assets’’). Other 

Assets include only the following: Cash 

or cash equivalents, as defined in Rule 

14.11(i)(4)(C)(iii) 15 and standardized 

options contracts listed on a U.S. 

securities exchange that reference either 

the S&P 500 Index or that reference 

ETFs that track the S&P 500 Index 

(‘‘Reference ETFs’’). 

S&P 500 Index FLEX Options 

The market for options contracts on 

the S&P 500 Index traded on Cboe 

Exchange, Inc. (‘‘Cboe Options’’) is 

among the most liquid markets in the 

world. In 2017, more than 1.16 million 

options contracts on the S&P 500 Index 

were traded per day on Cboe Options, 

which is more than $250 billion in 

notional volume traded on a daily basis. 

While FLEX Options are traded 

differently than standardized options 

contracts, the Exchange believes that 

this liquidity bolsters the market for 

FLEX Options, as described below. 

Every FLEX Option order submitted to 

Cboe Options is exposed to a 

competitive auction process for price 

discovery. The process begins with a 

request for quote (‘‘RFQ’’) in which the 

interested party establishes the terms of 

the FLEX Options contract. The RFQ 

solicits interested market participants, 

including on-floor market makers, 

remote market makers trading 

electronically, and member firm traders, 

to respond to the RFQ with bids or 

offers through a competitive process. 

This solicitation contains all of the 


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16The Exchange notes that Cboe Options is a 

member of the Option Price Regulatory Surveillance 

Authority, which was established in 2006, to 

provide efficiencies in looking for insider trading 

and serves as a central organization to facilitate 

collaboration in insider trading and investigations 

for the U.S. options exchanges. For more 

information, see http://www.cboe.com/aboutcboe/ 

legal/departments/orsareg.aspx. 

17All exchange-listed securities that the Funds 

may hold will trade on a market that is a member 

of the Intermarket Surveillance Group (‘‘ISG’’) and 

the Funds will not hold any non-exchange-listed 

equities or options, however, not all of the 

components of the portfolio for the Funds may 

trade on exchanges that are members of the ISG or 

with which the Exchange has in place a 

comprehensive surveillance sharing agreement. For 

a list of the current members of ISG, see 

www.isgportal.org. 

18See Rule 14.11(i)(4)(A)(ii) and 14.11(i)(4)(B)(ii). 

19See Rule 14.11(i)(4)(A)(ii). 

20See Rule 14.11(i)(4)(B)(i). 

21See Rule 14.11(i)(4)(B)(iii). 

22See Rule 14.11(i)(4)(B)(iv). 

23See Rule 14.11(i)(2)(C). 

24See Rule 14.11(i)(2)(B). 

25See Rule 14.11(i)(6). 

contract specifications-underlying, size, 

type of option, expiration date, strike 

price, exercise style and settlement 

basis. During a specified amount of 

time, responses to the RFQ are received 

and at the end of that time period, the 

initiator can decide whether to accept 

the best bid or offer. The process occurs 

under the rules of Cboe Options which 

means that customer transactions are 

effected according to the principles of a 

fair and orderly market following 

trading procedures and policies 

developed by Cboe Options. 

The Exchange believes that sufficient 

protections are in place to protect 

against market manipulation of the 

Funds’ Shares and FLEX Options on the 

S&P 500 Index for several reasons: (i) 

The diversity, liquidity, and market cap 

of the securities underlying the S&P 500 

Index; (ii) the competitive quoting 

process for FLEX Options; (iii) the 

significant liquidity in the market for 

options on the S&P 500 Index results in 

a well-established price discovery 

process that provides meaningful 

guideposts for FLEX Option pricing; and 

(iv) surveillance by the Exchange, Cboe 

Options 16 and the Financial Industry 

Regulatory Authority (‘‘FINRA’’) 

designed to detect violations of the 

federal securities laws and selfregulatory organization (‘‘SRO’’) rules. 

The Exchange has in place a 

surveillance program for transactions in 

ETFs to ensure the availability of 

information necessary to detect and 

deter potential manipulations and other 

trading abuses, thereby making the 

Shares less readily susceptible to 

manipulation. Further, the Exchange 

believes that because the assets in each 

Fund’s portfolio, which are comprised 

primarily of FLEX Options on the S&P 

500 Index, will be acquired in extremely 

liquid and highly regulated markets,17

the Shares are less readily susceptible to 

manipulation. 

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 Managed 

Fund Shares. All statements and 

representations made in this filing 

regarding (a) the description of the 

portfolio, reference assets, and index, (b) 

limitations on portfolio holdings or 

reference assets, or (c) the applicability 

of Exchange rules shall constitute 

continued listing requirements for 

listing the Shares on the Exchange. The 

issuer has represented to the Exchange 

that it will advise the Exchange of any 

failure by a Fund or the related 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 a Fund or the related 

Shares are not in compliance with the 

applicable listing requirements, then, 

with respect to such Fund or Shares, the 

Exchange will commence delisting 

procedures under Exchange Rule 14.12. 

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 or FINRA, on behalf of 

the Exchange, will communicate as 

needed regarding trading in the Shares 

and exchange-traded options contracts 

with other markets and other entities 

that are members of the ISG and may 

obtain trading information regarding 

trading in the Shares and exchangetraded options contracts from such 

markets and other entities. In addition, 

the Exchange may obtain information 

regarding trading in the Shares and 

exchange-traded options contracts from 

markets and other entities that are 

members of ISG or with which the 

Exchange has in place 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. 

As noted above, options on the S&P 

500 Index are among the most liquid 

options in the world and derive their 

value from the actively traded S&P 500 

Index components. The contracts are 

cash-settled with no delivery of stocks 

or ETFs, and trade in competitive 

auction markets with price and quote 

transparency. The Exchange believes the 

highly regulated options markets and 

the broad base and scope of the S&P 500 

Index make securities that derive their 

value from that index less susceptible to 

market manipulation in view of market 

capitalization and liquidity of the S&P 

500 Index components, price and quote 

transparency, and arbitrage 

opportunities. 

The Exchange believes that the 

liquidity of the markets for S&P 500 

Index securities, options on the S&P 500 

Index, and other related derivatives is 

sufficiently great to deter fraudulent or 

manipulative acts associated with the 

Funds’ Shares price. The Exchange also 

believes that such liquidity is sufficient 

to support the creation and redemption 

mechanism. Coupled with the extensive 

surveillance programs of the SROs 

described above, the Exchange does not 

believe that trading in the Funds’ Shares 

would present manipulation concerns. 

The Exchange represents that, except 

for the limitations on listed derivatives 

in BZX Rule 14.11(i)(4)(C)(iv)(b), the 

Funds’ proposed investments will 

satisfy, on an initial and continued 

listing basis, all of the generic listing 

standards under BZX Rule 14.11(i)(4)(C) 

and all other applicable requirements 

for Managed Fund Shares under Rule 

14.11(i). The Trust is required to comply 

with Rule 10A–3 under the Act for the 

initial and continued listing of the 

Shares of the Funds. A minimum of 

100,000 Shares will be outstanding at 

the commencement of trading on the 

Exchange. In addition, the Exchange 

represents that the Shares of the Funds 

will comply with all other requirements 

applicable to Managed Fund Shares, 

which includes the dissemination of key 

information such as the Disclosed 

Portfolio,18 Net Asset Value,19 and the 

Intraday Indicative Value,20 suspension 

of trading or removal,21 trading halts,22

surveillance,23 minimum price variation 

for quoting and order entry,24 and the 

information circular,25 as set forth in 

Exchange rules applicable to Managed 

Fund Shares. Moreover, all of the 

options contracts held by the Funds will 

trade on markets that are a member of 

ISG or affiliated with a member of ISG 

or with which the Exchange has in place 


sradovich on DSK3GMQ082PROD with NOTICES
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26 15 U.S.C. 78f. 

27 15 U.S.C. 78f(b)(5). 

28As noted above, the Exchange is submitting this 

proposal because the Funds would not meet the 

requirements of Rule 14.11(i)(4)(C)(iv)(b) which 

prevents the aggregate gross notional value of listed 

derivatives based on any single underlying 

reference asset from exceeding 30% of the weight 

of the portfolio (including gross notional exposures) 

and the aggregate gross notional value of listed 

derivatives based on any five or fewer underlying 

reference assets from exceeding 65% of the weight 

of the portfolio (including gross notional 

exposures). 

a comprehensive surveillance sharing 

agreement. Quotation and last sale 

information for U.S. exchange-listed 

options contracts cleared by The 

Options Clearing Corporation will be 

available via the Options Price 

Reporting Authority. RFQ information 

for FLEX Options will be available 

directly from Cboe Options. The intraday, closing and settlement prices of 

exchange-traded options will be readily 

available from the options exchanges, 

automated quotation systems, published 

or other public sources, or online 

information services such as Bloomberg 

or Reuters. Price information on cash 

equivalents is available from major 

broker-dealer firms or market data 

vendors, as well as from automated 

quotation systems, published or other 

public sources, or online information 

services. 

Lastly, the issuer represents that it 

will provide and maintain a publicly 

available web tool for each of the Funds 

on its website that provides existing and 

prospective shareholders with 

important information to help inform 

investment decisions. The information 

provided includes the start and end 

dates of the current outcome period, the 

time remaining in the outcome period, 

the Fund’s current net asset value, the 

Fund’s cap for the outcome period and 

the maximum investment gain available 

up to the cap for a shareholder 

purchasing Shares at the current net 

asset value. For each of the Funds, the 

web tool also provides information 

regarding each Fund’s buffer. This 

information includes the remaining 

buffer available for a shareholder 

purchasing Shares at the current net 

asset value or the amount of losses that 

a shareholder purchasing Shares at the 

current net asset value would incur 

before benefitting from the protection of 

the buffer. The cover of each Fund’s 

prospectus, as well as the disclosure 

contained in ‘‘Principal Investment 

Strategies,’’ provides the specific web 

address for each Fund’s web tool. 

2. Statutory Basis 

The Exchange believes that the 

proposal is consistent with Section 6(b) 

of the Act 26 in general and Section 

6(b)(5) of the Act 27 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, to promote just and 

equitable principles of trade, to foster 

cooperation and coordination with 

persons engaged in facilitating 

transactions in securities, to remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest in that the Shares will 

meet each of the initial and continued 

listing criteria in BZX Rule 14.11(i) with 

the exception of Rule 

14.11(i)(4)(C)(iv)(b), which requires that 

the aggregate gross notional value of 

listed derivatives based on any five or 

fewer underlying reference assets shall 

not exceed 65% of the weight of the 

portfolio (including gross notional 

exposures), and the aggregate gross 

notional value of listed derivatives 

based on any single underlying 

reference asset shall not exceed 30% of 

the weight of the portfolio (including 

gross notional exposures).28 Rule 

14.11(i)(4)(C)(iv)(b) is intended to 

ensure that a fund is not subject to 

manipulation by virtue of significant 

exposure to a manipulable underlying 

reference asset by establishing 

concentration limits among the 

underlying reference assets for listed 

derivatives held by a particular fund. 

The Exchange believes that sufficient 

protections are in place to protect 

against market manipulation of the 

Funds’ Shares and FLEX Options on the 

S&P 500 Index for several reasons: (i) 

The diversity, liquidity, and market cap 

of the securities underlying the S&P 500 

Index; (ii) the competitive quoting 

process for FLEX Options; (iii) the 

significant liquidity in the market for 

options on the S&P 500 Index results in 

a well-established price discovery 

process that provides meaningful 

guideposts for FLEX Option pricing; and 

(iv) surveillance by the Exchange, Cboe 

Options and FINRA designed to detect 

violations of the federal securities laws 

and SRO rules. The Exchange has in 

place a surveillance program for 

transactions in ETFs to ensure the 

availability of information necessary to 

detect and deter potential 

manipulations and other trading abuses, 

thereby making the Shares less readily 

susceptible to manipulation. Further, 

the Exchange believes that because the 

assets in each Fund’s portfolio, which 

are comprised primarily of FLEX 

Options on the S&P 500 Index, will be 

acquired in extremely liquid and highly 

regulated markets, the Shares are less 

readily susceptible to manipulation. 

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 Managed 

Fund Shares. All statements and 

representations made in this filing 

regarding (a) the description of the 

portfolio, reference assets, and index, (b) 

limitations on portfolio holdings or 

reference assets, or (c) the applicability 

of Exchange rules shall constitute 

continued listing requirements for 

listing the Shares on the Exchange. The 

issuer has represented to the Exchange 

that it will advise the Exchange of any 

failure by a Fund or the related 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 a Fund or the related 

Shares are not in compliance with the 

applicable listing requirements, then, 

with respect to such Fund or Shares, the 

Exchange will commence delisting 

procedures under Exchange Rule 14.12. 

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 or FINRA, on behalf of 

the Exchange, will communicate as 

needed regarding trading in the Shares 

and exchange-traded options contracts 

with other markets and other entities 

that are members of the ISG and may 

obtain trading information regarding 

trading in the Shares and exchangetraded options contracts from such 

markets and other entities. In addition, 

the Exchange may obtain information 


sradovich on DSK3GMQ082PROD with NOTICES
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29See Rule 14.11(i)(4)(B)(ii). 

30See Rule 14.11(i)(4)(B)(i). 

31See Rule 14.11(i)(4)(B)(iii). 

32See Rule 14.11(i)(4)(B)(iv). 

33See Rule 14.11(i)(6). 

34See Rule 14.11(i)(7). 

35 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

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

36 15 U.S.C. 78f(b)(5). 

37 15 U.S.C. 78k–1(a)(1)(C)(iii). 

38See Amendment No. 4, supra note 7, at 20. 

39See id. 

40See id. at 20–21. 

41See id. at 18. 

42See id. at 19. 

43See id. at 21. 

regarding trading in the Shares and 

exchange-traded options contracts from 

markets and other entities that are 

members of ISG or with which the 

Exchange has in place 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. As noted 

above, options on the S&P 500 Index are 

among the most liquid options in the 

world and derive their value from the 

actively traded S&P 500 Index 

components. The contracts are cashsettled with no delivery of stocks or 

ETFs, and trade in competitive auction 

markets with price and quote 

transparency. The Exchange believes the 

highly regulated options markets and 

the broad base and scope of the S&P 500 

Index make securities that derive their 

value from that index less susceptible to 

market manipulation in view of market 

capitalization and liquidity of the S&P 

500 Index components, price and quote 

transparency, and arbitrage 

opportunities. 

The Exchange believes that the 

liquidity of the markets for S&P 500 

Index securities, options on the S&P 500 

Index, and other related derivatives is 

sufficiently great to deter fraudulent or 

manipulative acts associated with the 

Funds’ Shares price. The Exchange also 

believes that such liquidity is sufficient 

to support the creation and redemption 

mechanism. Coupled with the extensive 

surveillance programs of the SROs 

described above, the Exchange does not 

believe that trading in the Funds’ Shares 

would present manipulation concerns. 

The Exchange represents that, except 

as described above, the Funds will meet 

and be subject to all other requirements 

of the Generic Listing Standards and 

other applicable continued listing 

requirements for Managed Fund Shares 

under Rule 14.11(i), including those 

requirements regarding the Disclosed 

Portfolio,29 Intraday Indicative Value,30

suspension of trading or removal,31

trading halts,32 disclosure,33 and 

firewalls.34 The Trust is required to 

comply with Rule 10A–3 under the Act 

for the initial and continued listing of 

the Shares of each Fund. Moreover, all 

of the options contracts held by the 

Funds will trade on markets that are a 

member of ISG or affiliated with a 

member of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement. 

For the above reasons, the Exchange 

believes that the proposed rule change 

is consistent with the requirements of 

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

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purpose of the Act. The Exchange 

notes that the proposed rule change will 

facilitate the listing and trading of an 

additional type of Managed Fund Shares 

that will enhance competition among 

market participants, to the benefit of 

investors and the marketplace. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

The Exchange has neither solicited 

nor received written comments on the 

proposed rule change. 

III. Discussion and Commission 

Findings 

After careful review, the Commission 

finds that the Exchange’s proposal to list 

and trade the Shares is consistent with 

the Act and the rules and regulations 

thereunder applicable to a national 

securities exchange.35 In particular, the 

Commission finds that the proposed 

rule change, as modified by Amendment 

No. 4, is consistent with Section 6(b)(5) 

of the Act,36 which requires, among 

other things, that the Exchange’s rules 

be designed to promote just and 

equitable principles of trade, 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 Commission also 

finds that the proposal to list and trade 

the Shares on the Exchange is consistent 

with Section 11A(a)(1)(C)(iii) of the 

Act,37 which sets forth Congress’ finding 

that it is in the public interest and 

appropriate for the protection of 

investors and the maintenance of fair 

and orderly markets to assure the 

availability to brokers, dealers and 

investors of information with respect to 

quotations for and transactions in 

securities. 

According to the Exchange, quotation 

and last-sale information for U.S. 

exchange-listed options contracts 

cleared by The Options Clearing 

Corporation will be available via the 

Options Price Reporting Authority.38

RFQ information for FLEX Options will 

be available directly from Cboe Options. 

The intra-day, closing and settlement 

prices of exchange-traded options will 

be readily available from the options 

exchanges, automated quotation 

systems, published or other public 

sources, or online information 

services.39 In addition, price 

information about cash equivalents will 

be available from major broker-dealer 

firms or market data vendors, as well as 

from automated quotation systems, 

published or other public sources, or 

online information services.40

The Commission also believes that the 

proposal to list and trade the Shares is 

reasonably designed to promote fair 

disclosure of information that may be 

necessary to price the Shares 

appropriately and to prevent trading 

when a reasonable degree of 

transparency cannot be assured. Under 

BZX Rule 14.11(i)(4)(B)(iv), if the 

Exchange becomes aware that the NAV 

or the Disclosed Portfolio is not 

disseminated to all market participants 

at the same time, the Exchange is 

required to halt trading in such series of 

Managed Fund Shares. In addition, the 

Exchange represents that if the Funds or 

the Shares are not in compliance with 

the applicable listing requirements for 

Managed Funds Shares under BZX Rule 

14.11(i), the Exchange will commence 

delisting procedures under BZX Rule 

14.12 (Failure to Meet Listing 

Standards).41 The Exchange also states 

that it has a general policy prohibiting 

the distribution of material, non-public 

information by its employees.42 Further, 

the Trust has represented that it will 

provide and maintain a publicly 

available tool on its website that will 

provide existing and prospective Fund 

shareholders with certain information 

for each of the Funds including, among 

other things, current NAV, start and end 

dates of the current outcome period, and 

the remaining buffer available for a 

shareholder purchasing Shares at the 

current NAV or the amount of losses 

that a shareholder purchasing Shares at 

the current NAV would incur before 

benefitting from the protection of the 

buffer.43

The Shares do not qualify for generic 

listing because the Funds will not 


sradovich on DSK3GMQ082PROD with NOTICES
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44The Funds also may invest in options overlying 

Reference ETFs. 

45For a list of the current members of ISG, see 

www.isgportal.org. 

46 17 CFR 240.10A–3. 

47See Amendment No. 4, supra note 7, at 20. 

48 15 U.S.C. 78f(b)(5). 

49 15 U.S.C. 78s(b)(2). 

50 Id. 

51 17 CFR 200.30–3(a)(12). 

satisfy the requirement of BZX Rule 

14.11(i)(4)(C)(iv)(b) that the aggregate 

gross notional value of listed derivatives 

based on any five or fewer underlying 

reference assets shall not exceed 65% of 

the weight of the portfolio and the 

aggregate gross notional value of listed 

derivatives based on any single 

underlying reference asset not exceed 

30% of the weight of the portfolio 

(including gross notional exposures). 

Although the Funds will hold listed 

derivatives primarily on a single 

reference asset, the S&P 500 Index,44 the 

Commission believes that the prices of 

the Shares will be less susceptible to 

manipulation. As the Exchange states, 

options on the S&P 500 Index are among 

the most liquid options in the world, 

and derive their value from the actively 

traded index components. Additionally, 

all of the options 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.45

In support of this proposal, the 

Exchange represented that: 

(1) The Funds and the Shares will 

satisfy all of the requirements applicable 

to Managed Fund Shares under BZX 

Rule 14.11(i), as well as the Generic 

Listing Standards other than BZX Rule 

14.11(i)(4)(C)(iv)(b). 

(2) Trading in the Shares will be 

subject to the existing trading 

surveillances administered by the 

Exchange, as well as cross-market 

surveillances administered by Cboe 

Options and FINRA, on behalf of the 

Exchange, which are designed to detect 

violations of Exchange rules and 

applicable federal securities laws. 

(3) For initial and continued listing, 

the Funds will be in compliance with 

Rule 10A–3 under the Act.46

(4) A minimum of 100,000 Shares will 

be outstanding at the commencement of 

trading on the Exchange.47

This approval order is based on all of 

the Exchange’s statements and 

representations, including those set 

forth above and in Amendment No. 4. 

For the foregoing reasons, the 

Commission finds that the proposed 

rule change, as modified by Amendment 

No. 4 thereto, is consistent with Section 

6(b)(5) of the Act 48 and the rules and 

regulations thereunder applicable to a 

national securities exchange. 

IV. Solicitation of Comments on 

Amendment No. 4 to the Proposed Rule 

Change 

Interested persons are invited to 

submit written views, data, and 

arguments concerning whether 

Amendment No. 4 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 SRBatsBZX–2017–72 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–BatsBZX–2017–72. 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–BatsBZX–2017–72 and 

should be submitted on or before 

August 16, 2018. 

V. Accelerated Approval of Proposed 

Rule Change, as Modified by 

Amendment No. 4 

The Commission finds good cause to 

approve the proposed rule change, as 

modified by Amendment No. 4, prior to 

the 30th day after the date of 

publication of notice of the filing of 

Amendment No. 4 in the Federal 

Register. Amendment No. 4 

supplements the proposal by, among 

other things, representing that the issuer 

will provide and maintain a publicly 

available web tool for each of the Funds 

that will offer important information to 

help inform investment decisions by 

prospective and existing shareholders. 

The amendment assisted the 

Commission in evaluating the 

Exchange’s proposal and in determining 

that the listing and trading of the Shares 

is consistent with the Act. Accordingly, 

the Commission finds good cause, 

pursuant to Section 19(b)(2) of the 

Act,49 to approve the proposed rule 

change, as modified by Amendment No. 

4, on an accelerated basis. 

VI. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,50 that the 

proposed rule change (SR–BatsBZX– 

2017–72), as modified by Amendment 

No. 4 be, and it hereby is, approved on 

an accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.51

Brent J. Fields, 

Secretary. 

[FR Doc. 2018–15945 Filed 7–25–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

Sunshine Act Meetings 

FEDERAL REGISTER CITATION OF PREVIOUS

ANNOUNCEMENT: 83 FR 35041, July 24, 

2018. 

PREVIOUSLY ANNOUNCED TIME AND DATE OF

THE MEETING: Thursday, July 26, 2018 at 

2:00 p.m. 

CHANGES IN THE MEETING: The following 

matter will also be considered during 

the 2 p.m. Closed Meeting scheduled for 

Thursday, July 26, 2018: 

Formal order of investigation 

CONTACT PERSON FOR MORE INFORMATION: 

For further information and to ascertain 

what, if any, matters have been added, 

deleted or postponed, please contact the 


sradovich on DSK3GMQ082PROD with NOTICES