42188 Federal Register / Vol. 83, No. 161 / Monday, August 20, 2018 / Notices 

22 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. 

4NYSE Arca Rule 5.2–E(j)(3)(A) provides that an 

Investment Company Unit is a security that 

represents an interest in a registered investment 

company that holds securities comprising, or 

otherwise based on or representing an interest in, 

an index or portfolio of securities (or holds 

securities in another registered investment 

company that holds securities comprising, or 

otherwise based on or representing an interest in, 

an index or portfolio of securities). 

5See Post-Effective Amendment No. 65 to 

Registration Statement on Form N–1A for the Trust, 

dated June 26, 2018 (File Nos. 333–207937 and 

811–23108). The descriptions of the Fund and the 

Shares contained herein are based, in part, on 

information in the Registration Statement. In 

addition, the Commission has issued an order 

granting certain exemptive relief to the Trust under 

the Investment Company Act of 1940 (15 U.S.C. 

80a–1) (‘‘1940 Act’’). See Investment Company Act 

Release No. 31822 (September 14, 2015) (File No. 

812–14424) (‘‘Exemptive Order’’). 

6An 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 Sub-adviser are subject to 

the provisions of Rule 204A–1 under the Advisers 

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– 

NYSEAMER–2018–40 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–NYSEAMER–2018–40. 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–NYSEAMER–2018–40 and 

should be submitted on or before 

September 10, 2018. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.22

Robert W. Errett, 

Deputy Secretary. 

[FR Doc. 2018–17829 Filed 8–17–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–83845; File No. SR– 

NYSEArca–2018–57] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of Proposed 

Rule Change, as Modified by 

Amendment No. 1, To List and Trade 

Shares of the Amplify BlackSwan 

Growth & Treasury Core ETF Under 

Commentary .02 to NYSE Arca Rule 

5.2–E(j)(3) 

August 14, 2018. 

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

Securities Exchange Act of 1934 

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

notice is hereby given that on July 31, 

2018, NYSE Arca, Inc. (‘‘NYSE Arca’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) a proposed rule 

change. On August 10, 2018, the 

Exchange filed Amendment No. 1 to 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, as modified by Amendment No. 

1, 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 the shares of the following fund of 

the Amplify ETF Trust under 

Commentary .02 to NYSE Arca Rule 

5.2–E(j)(3) (‘‘Investment Company 

Units’’): the Amplify BlackSwan Growth 

& Treasury Core ETF. This Amendment 

No. 1 to SR–NYSEArca–2018–57 

replaces SR–NYSEArca–2018–57 as 

originally filed and supersedes such 

filing in its entirety. The proposed 

change is available on the Exchange’s 

website at www.nyse.com, at the 

principal office of the Exchange, and at 

the Commission’s Public Reference 

Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization 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 those 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 the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to list and 

trade shares (‘‘Shares’’) of the Amplify 

BlackSwan Growth & Treasury Core ETF 

(‘‘Fund’’) under Commentary .02 to 

NYSE Arca Rule 5.2–E(j)(3), which 

governs the listing and trading of 

Investment Company Units (‘‘Units’’) on 

the Exchange.4 The Fund will be an 

index-based exchange traded fund 

(‘‘ETF’’). The Shares will be offered by 

the Amplify ETF Trust (‘‘Trust’’), which 

is registered with the Commission as an 

investment company and has filed a 

registration statement on Form N–1A 

(‘‘Registration Statement’’) with the 

Commission on behalf of the Fund.5

Amplify Investments LLC will be the 

investment adviser (‘‘Adviser’’) to the 

Fund. CSAT Investment Advisory, L.P., 

d/b/a Exponential ETFs will serve as 

sub-adviser for the Fund (‘‘SubAdviser’’). U.S. Bancorp Fund Services, 

LLC will be the administrator, custodian 

and fund accounting and transfer agent 

for the Fund. Quasar Distributors LLC 

will serve as the distributor for the 

Fund. 

Commentary .02(b)(i) to Rule 5.2– 

E(j)(3) provides that, if the applicable 

index is maintained by a broker-dealer 

or fund advisor, the broker-dealer or 

fund advisor shall erect and maintain a 

‘‘fire wall’’ around the personnel who 

have access to information concerning 

changes and adjustments to the index.6


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Federal Register / Vol. 83, No. 161 / Monday, August 20, 2018 / Notices 42189 

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 nonpublic information by an investment adviser must 

be consistent with Rule 204A–1 under the Advisers 

Act. 

7The Index Provider is not affiliated with the 

Fund, Adviser or Sub-Adviser. 

8Commentary .02 to NYSE Arca Rule 5.2–E(j)(3) 

states that Fixed Income Securities are debt 

securities that are notes, bonds, debentures or 

evidence of indebtedness that include, but are not 

limited to, U.S. Department of Treasury securities, 

government-sponsored entity securities, municipal 

securities, trust preferred securities, supranational 

debt and debt of a foreign country or a subdivision 

thereof. 

9Commentary .02(a)(1) to Rule 5.2–E(j)(3) 

provides that, with respect to components of an 

index or portfolio underlying a series of Units listed 

pursuant to Rule 19b–4(e) under the Act, the 

following criterion shall be met on an initial and 

continued listing basis: The index or portfolio must 

consist of (a) only Fixed Income Securities or (b) 

Fixed Income Securities and cash. 

10For purposes of this filing, the term ‘‘normal 

market conditions’’ is as that term is defined in 

NYSE Arca Rule 8.600–E(c)(5). 

11Long-term Equity AnticiPation SecuritiesSM

(‘‘LEAPS®’’) are long-term exchange-traded call 

options. Call options allow holders the opportunity 

to participate in the underlying securities’ 

appreciation in excess of a specified strike price 

without receiving payments equivalent to any cash 

dividends declared on the underlying securities. A 

holder of a LEAPS will be entitled to receive a 

specified number of shares of the underlying stock 

upon payment of the strike price, and therefore the 

LEAPS will be exercisable when the price of the 

underlying stock is above the strike price. However, 

if at expiration the price of the underlying stock is 

at or below the strike price, the LEAPS will expire 

and be worthless. LEAPS are traded on U.S. options 

exchanges. 

12Shares of the SPDR S&P 500 ETF Trust are 

listed and traded on the Exchange. 

13The Index is compiled by the Index Provider 

and calculated by S-Network Global Indexes, Inc. 

(the ‘‘Calculation Agent’’). 

14An ‘‘in-the-money’’ call option contract is an 

option contract with a strike price that is below the 

current price of the underlying reference asset. 

15For purposes of this filing, the term ‘‘cash 

equivalents’’ has the meaning specified in 

Commentary .01(c) to NYSE Arca Rule 8.600–E. 

The ‘‘Index Provider’’ (‘‘ARGI 

Investment Services LLC’’) is registered 

as an investment adviser but is not 

registered as a broker-dealer or affiliated 

with a broker-dealer.7 The Adviser is 

not registered as a broker-dealer but is 

affiliated with a broker-dealer and has 

implemented and will maintain a fire 

wall with respect to its broker-dealer 

affiliate regarding access to information 

concerning the composition and/or 

changes to the Fund’s portfolio. The 

Sub-Adviser is not registered as a 

broker-dealer or affiliated with a brokerdealer. In the event (a) the Adviser or 

the 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 brokerdealer, it will implement and maintain 

a fire wall with respect to its relevant 

personnel or its broker-dealer affiliate 

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 Exchange is submitting this 

proposed rule change because the Index 

for the Fund does not meet all of the 

‘‘generic’’ listing requirements of 

Commentary .02(a) to NYSE Arca Rule 

5.2–E(j)(3), applicable to the listing of 

Units based on an index of ‘‘Fixed 

Income Securities.’’ 8 Specifically, 

Commentary .02(a) to NYSE Arca Rule 

5.2–E(j)(3) sets forth the requirements to 

be met by components of an index or 

portfolio of Fixed Income Securities 

underlying a series of Units. Because, as 

discussed in more detail herein, the 

ARGI BlackSwan Core Index (the 

‘‘Index’’) will include ‘‘LEAPS’’ (as 

described below), the Index does not 

satisfy the requirements of Commentary 

.02(a)(1) to Rule 5.2–E(j)(3).9 The 

Exchange represents that the Index will 

meet each of the initial and continued 

listing criteria in Commentary .02 to 

Rule 5.2–E(j)(3) with the exception of 

the requirements of Commentary .02 

(a)(1) to Rule 5.2–E(j)(3). 

Amplify BlackSwan Growth & Treasury 

Core ETF 

Principal Investments 

According to the Registration 

Statement, the Fund will seek 

investment results that generally 

correspond (before fees and expenses) to 

the price and yield of the Index. Under 

normal market conditions,10 the Fund 

will invest at least 80% of its total assets 

in the securities that comprise the 

Index, which are U.S. Treasury 

securities and long-dated call options 

(‘‘LEAPS’’) 11 on the SPDR S&P 500 ETF 

Trust (‘‘SPY’’).12 These options are 

referred to herein as ‘‘SPY LEAPS’’. The 

Fund, using an indexing investment 

approach, attempts to replicate, before 

fees and expenses, the performance of 

the Index.13 The Index was created and 

is maintained by the Index Provider. 

According to the Registration 

Statement, the Index is a rules-based, 

quantitative index that seeks to provide 

capital protection against the 

unpredictable, rare and highly 

disruptive events that have come to be 

referred to as ‘‘Black Swans.’’ The Index 

endeavors to provide investment returns 

that correspond to those of the S&P 500 

Index, while mitigating against 

significant losses. One portion of the 

Index is a portfolio of U.S. Treasury 

securities and the other is a portfolio of 

SPY LEAPS. Twice a year, in June and 

December, on the Index reconstitution 

and rebalance date, the Index places 

90% of its index market capitalization 

in the portfolio of U.S. Treasury 

securities and 10% of its index market 

capitalization in the portfolio of LEAPS. 

According to the Registration 

Statement, the U.S. Treasury portfolio of 

the Index is comprised of 2-, 3-, 5-, 

7-, 10- and 30-year U.S. Treasury 

securities that cumulatively provide a 

portfolio duration that matches the 

initial duration of the 10-year U.S. 

Treasury security. 

The LEAPS portfolio of the Index is 

composed of in-the-money LEAPS that, 

at the time of purchase, had expirations 

of at least one year and one day in the 

future and expire in either June or 

December, as applicable.14 For the 

LEAPS in the Index and in which the 

Fund invests, the reference asset is SPY. 

The LEAPS will generally have a delta 

of 70 at the time of purchase, meaning 

that for every $1.00 of movement in the 

share price of SPY, the price of the 

LEAPS will have a corresponding 

movement of $0.70. LEAPS positions 

are reconstituted twice per year on the 

first trading day of June and December. 

At each June reconstitution, the Index 

liquidates its existing June LEAPS and 

purchases LEAPS that expire the 

following June. The December LEAPS 

positions will remain unchanged at each 

June reconstitution. At each December 

reconstitution, the Index liquidates its 

existing December LEAPS and 

purchases LEAPS that expire the 

following December. The June LEAPS 

positions will remain unchanged at each 

December reconstitution. Net gains or 

losses derived from the reconstitutions 

of the LEAPS positions will be added to 

or subtracted from the U.S. Treasury 

portfolio at each reconstitution. 

Other Investments 

While, under normal market 

conditions, the Fund will invest at least 

80% of its total assets in the securities 

that comprise the Index, as described 

above, the Fund may hold other 

securities and financial instruments, as 

described below. 

The Fund may hold cash and cash 

equivalents.15

The ARGI BlackSwan Core Index 

According to the Registration 

Statement, the ARGI BlackSwan Core 

Index is composed of U.S. Treasury 

securities and SPY LEAPS. The Index 

seeks to realize capital appreciation in 


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42190 Federal Register / Vol. 83, No. 161 / Monday, August 20, 2018 / Notices 

16 Intraday quotations and last sale information 

for LEAPS are available directly from the exchange 

on which they are traded or through the Options 

Price Reporting Authority. Information about 

existing outstanding interest in LEAPS is available 

on the Options Clearing Corporation’s (‘‘OCC’’) 

website. 

17The Exchange notes that the S&P 500 Index 

underlying SPY would meet the generic listing 

standards applicable to an index composed of U.S. 

Component Stocks in Commentary .01(a) to NYSE 

Arca Rule 5.2–E(j)(3), including criteria relating to 

liquidity, market capitalization and diversification. 

18FINRA conducts 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. 19The U.S. Treasury securities market is highly 

liquid. The Treasury market and its participants are 

subject to a wide range of oversight and regulations, 

including requirements designed to prevent market 

manipulation and other abuses. For example, 

Treasury market participants and the Treasury 

market, itself, are subject to significant oversight by 

a number of regulatory authorities, including the 

Treasury, the Commission, federal bank regulators, 

and FINRA. The Exchange believes that the U.S. 

Treasury securities that the Fund will acquire as 

part of its strategy are not readily susceptible to 

market manipulation due to the liquidity and 

extensive oversight associated with the U.S. 

Treasury securities market. 

20For a list of the current members of ISG, see 

www.isgportal.org. The Exchange notes that not all 

components of the Fund’s portfolio may trade on 

markets that are members of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement. 

21As of August 9, 2018, open interest in SPY 

LEAPS was 1,072,869 contracts. In addition, 

options on SPY have the highest liquidity among 

all exchange-traded fund options, with open 

interest far in excess of other ETFs in option market 

liquidity. As of June 19, 2018, open interest on SPY 

contracts were 17,771,528, whereas the next highest 

ETF options were iShares MSCI Emerging Markets 

ETF (EEM) and PowerShares QQQ Trust (QQQ) at 

6,635,087 and 6,488,055, respectively. Source: 

Bloomberg. 

line with the performance of SPY while 

avoiding substantial capital drawdowns. 

On each rebalancing date, the Index 

places 90% of its index market 

capitalization in treasuries and 10% in 

SPY LEAPS. The weighting among U.S. 

Treasury securities is determined by the 

option reconstitution schedule. 

The option portion of the portfolio 

holds 5% of Index market capitalization 

in June 70-delta SPY LEAPS and 5% in 

December 70-delta SPY LEAPS. Initially 

and at each Index rebalance date, calls 

that are purchased should all have at 

least one year plus one day until 

expiration. The 70-delta rule only 

applies to initial purchases on the 

rebalance date. Should there not be a 

70-delta option, the closest option above 

70 will be utilized. 

The treasury position holds 5% of its 

allocated portion of Index market 

capitalization in a ‘‘barbell’’ portfolio of 

2- and 30-year treasuries, and 95% of its 

allocated portion of market 

capitalization in a core portfolio that 

invests in 3-, 5-, 7-, 10- and 30-year 

treasuries. 

The Index is overseen by a committee 

(the ‘‘Committee’’) that is responsible 

for overseeing the activities of the 

Calculation Agent and approving all 

changes to the Index related to its semiannual reconstitutions and quarterly 

rebalances. All members of the 

Committee and their advisors shall 

comply with the Calculation Agent’s 

code of conduct and ethics with respect 

to the disclosure and use of material 

non-public information. 

Surveillance 

The Exchange believes that sufficient 

protections are in place to protect 

against market manipulation of the 

Fund’s Shares and SPY LEAPS for 

several reasons: (i) The diversity, 

liquidity, and market cap of the 

securities underlying the S&P 500 

Index, which deters manipulation of the 

S&P 500 Index and mitigates risk 

associated with manipulation in SPY 

LEAPS; 16 (ii) liquidity in the market for 

SPY LEAPS and shares of the SPDR S&P 

500 ETF Trust; 17 and (iii) surveillances 

by the Exchange and the Financial 

Industry Regulatory Authority 

(‘‘FINRA’’) designed to detect violations 

of self-regulatory organization (‘‘SRO’’) 

rules and the federal securities laws.18

In this regard, the Exchange has in place 

a surveillance program for transactions 

in ETFs to ensure the availability of 

information necessary to detect and 

deter potential manipulations and other 

trading abuses, thereby making the 

Shares less readily susceptible to 

manipulation. The Exchange notes that 

the Fund’s portfolio is not readily 

susceptible to manipulation as assets in 

the portfolio, comprised primarily of 

U.S. Treasury securities 19 and SPY 

LEAPS, will be acquired in extremely 

liquid and highly regulated markets. 

Exchange and FINRA surveillances 

referred to above generally focus on 

detecting securities trading outside their 

normal patterns, which could be 

indicative of manipulative or other 

violative activity. When such situations 

are detected, surveillance analysis 

follows and investigations are opened, 

where appropriate, to review the 

behavior of all relevant parties for all 

relevant trading violations. 

The Exchange or FINRA, on behalf of 

the Exchange, or both, will 

communicate as needed regarding 

trading in the Shares and SPY LEAPS 

with other markets and other entities 

that are members of the Intermarket 

Surveillance Group (‘‘ISG’’), and the 

Exchange or FINRA, on behalf of the 

Exchange, or both, may obtain trading 

information regarding trading in the 

Shares and SPY LEAPS from such 

markets and other entities.20 In 

addition, the Exchange may obtain 

information regarding trading in the 

Shares and SPY LEAPS 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, FINRA, 

on behalf of the Exchange, is able to 

access, as needed, trade information for 

certain fixed income securities held by 

the Fund reported to FINRA’s Trade 

Reporting and Compliance Engine 

(‘‘TRACE’’). 

All statements and representations 

made in this filing regarding (a) the 

description of the portfolio or reference 

asset, (b) limitations on portfolio 

holdings or reference assets, or (c) the 

applicability of Exchange listing rules 

specified in this rule filing shall 

constitute continued listing 

requirements for listing the Shares of 

the Fund on the Exchange. 

The issuer must notify the Exchange 

of any failure by the Fund to comply 

with the continued listing requirements, 

and, pursuant to its obligations under 

Section 19(g)(1) of the Act, the Exchange 

will monitor for compliance with the 

continued listing requirements. If the 

Fund is not in compliance with the 

applicable listing requirements, the 

Exchange will commence delisting 

procedures under NYSE Arca Rule 

5.5–E(m). 

SPY LEAPS are highly liquid and 

derive their value from the actively 

traded S&P 500 Index components. The 

contracts are cash-settled, 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 U.S. 

Treasury securities in the Fund’s 

portfolio, S&P 500 Index securities, and 

SPY LEAPS is sufficiently great to deter 

fraudulent or manipulative acts 

associated with the price of a Fund’s 

Shares.21 The Exchange also believes 

that such liquidity is sufficient to 

support the creation and redemption 

mechanism. The Fund’s investments 

will be consistent with its investment 

objective and will not be used to 

enhance leverage. The Fund’s 

investments will not be used to seek 


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Federal Register / Vol. 83, No. 161 / Monday, August 20, 2018 / Notices 42191 

22The Bid/Ask Price of the Fund’s Shares will be 

determined using the midpoint of the highest bid 

and the lowest offer on the Exchange as of the time 

of calculation of the Fund’s NAV. The records 

relating to Bid/Ask Prices will be retained by the 

Fund and its service providers. 

23The Core Trading Session is 9:30 a.m. to 4:00 

p.m. Eastern Time (‘‘E.T’’). 

24Currently, it is the Exchange’s understanding 

that several major market data vendors display and/ 

or make widely available IIV’s taken from the CTA 

or other data feeds. 

performance that is the multiple or 

inverse multiple (e.g., 2x or ¥2x) of the 

Index. The Fund’s use of derivative 

instruments will be collateralized. The 

Exchange represents that, except as 

described above, the Fund and the 

Index will meet each of the initial and 

continued listing criteria in 

Commentary .02 to Rule 5.2–E (j)(3) 

with the exception of meeting the 

requirements of Commentary .02(a)(1) to 

Rule 5.2–E(j)(3) with respect to SPY 

LEAPS applicable to the listing of Units 

based upon an index of Fixed Income 

Securities. In addition, the Exchange 

represents that the Shares of the Fund 

will comply with all other requirements 

applicable to Units, which includes 

requirements relating to the 

dissemination of key information such 

as the Index value, the net asset value 

(‘‘NAV’’), and the Intraday Indicative 

Value (‘‘IIV’’), rules governing the 

trading of equity securities, trading 

hours, trading halts, firewalls for the 

Index Provider and Adviser, 

surveillance, and the Information 

Bulletin, as set forth in Exchange rules 

applicable to Units and the orders 

approving such rules. 

Quotation and last sale information 

for U.S. exchange-listed options 

contracts cleared by the OCC is 

available via the Options Price 

Reporting Authority. Quotation 

information for LEAPS is available 

directly from the exchange on which 

they are traded. The intra-day, closing 

and settlement prices of exchangetraded 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 Treasury bills, 

cash equivalents and other short-term 

instruments 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. On each business day, before 

commencement of trading in the Shares 

on the Exchange during the Exchange’s 

Core Trading Session, the portfolio that 

will form the basis for the Fund’s 

calculation of the NAV at the end of the 

business day will be provided on the 

Adviser’s website at 

www.amplifyetfs.com. 

Suitability 

NYSE Arca Rule 9.2–E(a) provides 

that every ETP Holder shall use due 

diligence to learn the essential facts 

relative to every customer, every order, 

every account accepted or carried by 

such ETP Holder and every person 

holding power of attorney over any 

account accepted or carried by such ETP 

Holder. 

In recommending to a customer the 

purchase, sale or exchange of any 

security, an ETP Holder shall have 

reasonable grounds for believing that 

the recommendation is suitable for such 

customer upon the basis of any facts 

disclosed by the customer as to his or 

her other security holdings, financial 

situation and needs. 

Availability of Information 

The Trust’s website 

(www.amplifyetfs.com), which will be 

publicly available prior to the public 

offering of Shares, will include a form 

of the prospectus for the Fund that may 

be downloaded. The website will 

include additional quantitative 

information updated on a daily basis, 

including, for the Fund: (1) The prior 

business day’s reported NAV, mid-point 

of the bid/ask spread at the time of 

calculation of such NAV (the ‘‘Bid/Ask 

Price’’),22 and a calculation of the 

premium and discount of the Bid/Ask 

Price against the NAV; and (2) data in 

chart format displaying the frequency 

distribution of discounts and premiums 

of the daily Bid/Ask Price against the 

NAV, within appropriate ranges, for 

each of the four previous calendar 

quarters. 

On each business day, before 

commencement of trading in Shares in 

the Core Trading Session 23 on the 

Exchange, the Trust will disclose on its 

website the following information 

regarding each portfolio holding, as 

applicable to the type of holding: Ticker 

symbol, CUSIP number or other 

identifier, if any; a description of the 

holding (including the type of holding); 

the identity of the security, index or 

other asset or instrument underlying the 

holding, if any; for options, the option 

strike price; quantity held (as measured 

by, for example, par value, notional 

value or number of shares, contracts or 

units); maturity date, if any; coupon 

rate, if any; market value of the holding; 

and the percentage weighting of the 

holding in the Fund’s portfolio. The 

website information will be publicly 

available at no charge. 

In addition, a portfolio composition 

file, which will include the security 

names and quantities of securities and 

other assets required to be delivered in 

exchange for the Fund’s Shares, together 

with estimates and actual cash 

components, will be publicly 

disseminated prior to the opening of the 

Exchange via the National Securities 

Clearing Corporation. The portfolio will 

represent one Creation Unit of the Fund. 

Authorized Participants may refer to the 

portfolio composition file for 

information regarding LEAPS, U.S. 

Treasury Securities, money market 

instruments, and any other instrument 

that may comprise the Fund’s portfolio 

on a given day. 

Investors can also obtain the Trust’s 

Statement of Additional Information 

(‘‘SAI’’), the Fund’s Shareholder 

Reports, and its Form N–CSR, filed 

twice a year. The Trust’s SAI and 

Shareholder Reports will be available 

free upon request from the Trust, and 

those documents and the Form N–CSR 

may be viewed on screen or 

downloaded from the Commission’s 

website at www.sec.gov. Information 

regarding market price and trading 

volume for 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 Consolidated Tape 

Association (‘‘CTA’’) high-speed line. 

Quotation and last sale information for 

LEAPS will be available via the Options 

Price Reporting Authority. Price 

information on fixed income portfolio 

securities, including U.S. Treasury 

securities, cash equivalents and other 

short term instruments 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. In addition, the value of the 

Index will be published by one or more 

major market data vendors every 15 

seconds during the NYSE Arca Core 

Trading Session. Information about the 

Index constituents, the weighting of the 

constituents, the Index’s methodology 

and the Index’s rules will be available 

on the Index Provider’s website. 

In addition, the IIV as defined in 

NYSE Arca Rule 5.2–E (j)(3), 

Commentary .02 (c) will be widely 

disseminated at least every 15 seconds 

during the Core Trading Session by one 

or more major market data vendors.24


daltland on DSKBBV9HB2PROD with NOTICES
42192 Federal Register / Vol. 83, No. 161 / Monday, August 20, 2018 / Notices 

25See 17 CFR 240.10A–3. 

26 15 U.S.C. 78f(b)(5). 

All Fund holdings will be included in 

calculating the IIV. 

The dissemination of the IIV is 

intended to allow investors to determine 

the value of the underlying portfolio of 

the Fund on a daily basis and to 

approximate that value throughout the 

trading day. The intra-day, closing and 

settlement prices of the portfolio 

securities and other Fund investments 

will also be readily available from the 

exchanges trading such instruments, 

automated quotation systems, published 

or other public sources. The intra-day, 

closing and settlement prices of 

treasuries and money market 

instruments will be readily available 

from published and other public sources 

or on-line information services. 

Initial and Continued Listing 

The Shares will conform to the initial 

and continued listing criteria under 

NYSE Arca Rules 5.2–E(j)(3) and 5.5– 

E(g)(2), except that the Index will not 

meet the requirements of NYSE Arca 

Rule 5.2–E(j)(3), Commentary .02(a)(1) 

in that the Index will include of SPY 

LEAPS. The Exchange represents that, 

for initial and/or continued listing, the 

Fund will be in compliance with Rule 

10A–3 25 under the Act, as provided by 

NYSE Arca Rule 5.3–E. A minimum of 

100,000 Shares for the Fund will be 

outstanding at the commencement of 

trading on the Exchange. The Exchange 

will obtain a representation from the 

issuer of the Shares that the NAV per 

Share will be calculated daily every day 

the New York Stock Exchange is open 

and that the NAV and will be made 

available to all market participants at 

the same time. 

2. Statutory Basis 

The basis under the Act for this 

proposed rule change is the requirement 

under Section 6(b)(5) 26 that an 

exchange have rules that are designed to 

prevent fraudulent and manipulative 

acts and practices, to promote just and 

equitable principles of trade, to remove 

impediments to, and perfect the 

mechanism of a free and open market 

and, in general, to protect investors and 

the public interest. 

The Exchange believes that the 

proposed rule change is designed to 

prevent fraudulent and manipulative 

acts and practices in that the Shares will 

be listed on the Exchange pursuant to 

the initial and continued listing criteria 

in NYSE Arca Commentary .02 to Rule 

5.2–E(j)(3) and NYSE Arca Rule 5.2– 

E(g)(2) [sic], except that the Index 

includes SPY LEAPS, rather than only 

Fixed Income Securities. Under normal 

market conditions, the Fund will invest 

at least 80% of its total assets in the 

securities that comprise the Index, 

which will be composed of U.S. 

Treasury securities and SPY LEAPS. 

As noted above, SPY LEAPS are 

highly liquid and derive their value 

from the actively traded S&P 500 Index 

components. 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 U.S. 

Treasury securities in the Fund’s 

portfolio, S&P 500 Index securities, and 

SPY LEAPS is sufficiently great to deter 

fraudulent or manipulative acts 

associated with the price of a Fund’s 

Shares. The Exchange also believes that 

such liquidity is sufficient to support 

the creation and redemption 

mechanism. 

The Shares will be subject to the 

existing trading surveillances 

administered by the Exchange or FINRA 

on behalf of the Exchange, which are 

designed to deter and detect violations 

of Exchange rules and applicable federal 

securities laws relating to trading on the 

Exchange. FINRA and the Exchange, as 

applicable, may each obtain information 

via ISG from other exchanges that are 

members of ISG, and in the case of the 

Exchange, from other market or entities 

with which the Exchange has entered 

into a comprehensive surveillance 

sharing agreement. 

The Index Provider is registered as an 

investment adviser but is not registered 

as a broker-dealer or affiliated with a 

broker-dealer. The Adviser is not 

registered as a broker-dealer but is 

affiliated with a broker-dealer and has 

implemented and will maintain a fire 

wall with respect to its broker-dealer 

affiliate regarding access to information 

concerning the composition and/or 

changes to the Fund’s portfolio. The 

Sub-Adviser is not registered as a 

broker-dealer or affiliated with a brokerdealer. In the event that (a) the Adviser 

or Sub-Adviser becomes registered as a 

broker-dealer or newly affiliated with 

another 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 nonpublic information regarding such 

portfolio. 

The proposed rule change is designed 

to promote just and equitable principles 

of trade and to protect investors and the 

public interest in that the Exchange will 

obtain a representation from the issuer 

of the Shares that the NAV per Share 

will be calculated daily every day the 

New York Stock Exchange is open, and 

that the NAV will be made available to 

all market participants at the same time. 

In addition, a large amount of publicly 

available information will be publicly 

available regarding the Fund and the 

Shares, thereby promoting market 

transparency. Moreover, the IIV will be 

widely disseminated by one or more 

major market data vendors at least every 

15 seconds during the Exchange’s Core 

Trading Session. 

On each business day, before 

commencement of trading in the Shares 

in the Core Trading Session on the 

Exchange, the Fund will disclose on its 

website the portfolio that will form the 

basis for the Fund’s calculation of NAV 

at the end of the business day. 

Information regarding market price and 

trading volume of the Shares will be 

continually available on a real-time 

basis throughout the day on brokers’ 

computer screens and other electronic 

services, and quotations and last sale 

information will be available via the 

CTA high-speed line. 

Information relating to U.S. exchangelisted options is available via the 

Options Price Reporting Authority. 

Quotation and last sale information for 

the Shares will be available via the CTA 

high-speed line. Quotation and last sale 

information for U.S. exchange-listed 

options contracts cleared by the OCC is 

available via the Options Price 

Reporting Authority. Quotation 

information for LEAPS is available 

directly from the exchange on which 

they are traded. The intra-day, closing 

and settlement prices of exchangetraded 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. 

Such price information on fixed income 

portfolio securities, including U.S. 

Treasury securities, cash equivalents 

and other short term instruments 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. 


daltland on DSKBBV9HB2PROD with NOTICES
Federal Register / Vol. 83, No. 161 / Monday, August 20, 2018 / Notices 42193 

27 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

The website for the Fund will include 

the prospectus for the Fund and 

additional data relating to NAV and 

other applicable quantitative 

information. Moreover, prior to 

commencement of trading, the Exchange 

will inform its ETP Holders in an 

Information Bulletin of the special 

characteristics and risks associated with 

trading the Shares. Trading in Shares of 

the Fund will be halted if the circuit 

breaker parameters in NYSE Arca Rule 

7.12–E have been reached or because of 

market conditions or for reasons that, in 

the view of the Exchange, make trading 

the Shares inadvisable. In addition, as 

noted above, investors will have ready 

access to information regarding the 

Fund’s holdings, the IIV, the Fund’s 

portfolio, and quotation and last sale 

information for the Shares. 

The proposed rule change is designed 

to perfect the mechanism of a free and 

open market and, in general, to protect 

investors and the public interest in that 

it will facilitate the listing and trading 

of an additional type of exchange-traded 

product that will enhance competition 

among market participants, to the 

benefit of investors and the marketplace. 

As noted above, the Shares will be 

subject to the existing trading 

surveillances administered by the 

Exchange or FINRA on behalf of the 

Exchange, which are designed to detect 

violations of Exchange rules and federal 

securities laws applicable to trading on 

the Exchange. The Exchange or FINRA, 

on behalf of the Exchange, will 

communicate as needed regarding 

trading in the Shares and LEAPS with 

other market and other entities that are 

members of ISG, and the Exchange or 

FINRA, on behalf of the Exchange, may 

obtain trading information in the Shares 

and LEAPS from such markets and other 

entities. In addition, the Exchange may 

obtain information regarding trading in 

the Shares and LEAPS 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, as noted above, 

investors will have ready access to 

information regarding the Fund’s 

holdings, the IIV, and quotation and last 

sale information for the Shares. 

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 Units that can hold 

options contracts and 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 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or (ii) as to which 

the self-regulatory organization 

consents, the Commission will: 

(A) By order approve or disapprove 

the proposed rule change, or 

(B) institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change, as modified by Amendment No. 

1, 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– 

NYSEArca–2018–57 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–NYSEArca–2018–57. 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 such 

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–NYSEArca–2018–57, and 

should be submitted on or before 

September 10, 2018. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.27

Robert W. Errett, 

Deputy Secretary. 

[FR Doc. 2018–17832 Filed 8–17–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–83841; File No. SR–ISE– 

2018–72] 

Self-Regulatory Organizations; Nasdaq 

ISE, LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend the Schedule 

of Fees at Section II 

August 14, 2018. 

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

Securities Exchange Act of 1934 

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

notice is hereby given that on July 30, 

2018, Nasdaq ISE, LLC (‘‘ISE’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 


daltland on DSKBBV9HB2PROD with NOTICES