[Federal Register Volume 89, Number 190 (Tuesday, October 1, 2024)]
[Notices]
[Pages 79990-79996]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-22413]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-101190; File No. SR-CboeBZX-2024-089]


Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of 
Filing and Immediate Effectiveness of a Proposed Rule Change To Amend 
Exchange Rule 14.11(e)(10) (Managed Trust Securities) and To List and 
Trade Shares of the Dynamic Short Short-Term Volatility Futures ETF 
Under Amended Rule 14.11(e)(10)

September 25, 2024.
    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 September 16, 2024, Cboe BZX Exchange, Inc. (``Exchange'') filed 
with the Securities and Exchange

[[Page 79991]]

Commission (``Commission'') the proposed rule change as described in 
Items I and II below, which Items have been prepared by the Exchange. 
The Exchange filed the proposal as a ``non-controversial'' proposed 
rule change pursuant to Section 19(b)(3)(A)(iii) of the Act \3\ and 
Rule 19b-4(f)(6) thereunder.\4\ The Commission is publishing this 
notice to solicit comments on the proposed rule change from interested 
persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \4\ 17 CFR 240.19b-4(f)(6).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Cboe BZX Exchange, Inc. (``BZX'' or the ``Exchange'') is filing 
with the Securities and Exchange Commission (``Commission'' or ``SEC'') 
a proposed rule change to (1) amend Exchange Rule 14.11(e)(10) to add 
certain financial instruments that an issue of Managed Trust Securities 
may hold; and (2) list and trade shares of the Dynamic Short Short-Term 
Volatility Futures ETF (the ``Fund''), a series of Dynamic Shares Trust 
(the ``Trust''), under Rule 14.11(e)(10) (Managed Trust Securities), 
which is currently listed on NYSE Arca, Inc. (``Arca'').
    The text of the proposed rule change is also available on the 
Exchange's website (http://markets.cboe.com/us/equities/regulation/rule_filings/bzx/), at the Exchange's Office of the Secretary, and at 
the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
sections A, B, and C below, of the most significant aspects of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    Exchange Rule 14.11(e)(10) permits the trading of Managed Trust 
Securities either by listing or pursuant to unlisted trading privileges 
(``UTP'').\5\ The Exchange proposes to amend Rule 14.11(e)(10)(C)(i) 
to, among other things, permit the use of exchange-traded futures 
contracts involving commodity indices, currency indices, Cboe 
Volatility Index (VIX), or the EURO STOXX 50 Volatility Index (VSTOXX), 
permit the use of swaps on stock indices, fixed income indices, 
commodity indices, the VIX, VSTOXX, commodities, currencies, currency 
indices, or interest rates, and to permit the trust to hold cash and 
cash equivalents.\6\ The Exchange also proposes to list and trade 
Shares of the Dynamic Short Short-Term Volatility Futures ETF (the 
``Fund''), under Rule 14.11(e)(10), as proposed to be amended, which 
governs the listing and trading of Managed Trust Securities on the 
Exchange.\7\ The Exchanges notes that the listing and trading of the 
Shares has previously been approved by the Commission and are currently 
listed on NYSE Arca.\8\ This proposal to list and trade Shares of the 
Fund is substantively identical to the Prior Release and the issuer 
represents that all material representations contained within the Prior 
Release remain true. Further, the Fund is already trading on the 
Exchange pursuant to unlisted trading privileges, as provided in Rule 
14.11(j).
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    \5\ The term ``Managed Trust Securities'' as used in the Rules 
shall, unless the context otherwise requires, mean a security that 
is registered under the Securities Act of 1933, as amended, (a) is 
issued by a trust (``Trust'') that (1) is a commodity pool as 
defined in the Commodity Exchange Act and regulations thereunder, 
and that is managed by a commodity pool operator registered with the 
Commodity Futures Trading Commission, and (2) holds long and/or 
short positions in exchange-traded futures contracts and/or certain 
currency forward contracts selected by the Trust's advisor 
consistent with the Trust's investment objectives, which will only 
include exchange-traded futures contracts involving commodities, 
currencies, stock indices, fixed income indices, interest rates and 
sovereign, private and mortgage or asset backed debt instruments, 
and/or forward contracts on specified currencies, each as disclosed 
in the Trust's prospectus as such may be amended from time to time; 
and (b) is issued and redeemed continuously in specified aggregate 
amounts at the next applicable net asset value. See Exchange Rule 
14.11(e)(10)(C)(i).
    \6\ Another exchange rule similarly provides for a series of 
Managed Trust Securities to hold such instruments. See NYSE Arca 
Rule 8.700-E. Managed Trust Securities. For purposes of the proposed 
amendment to Exchange Rule 14.11(e)(10)(C)(i), cash and cash 
equivalents means 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.
    \7\ The Commission approved BZX Rule 14.11(e)(10) in Securities 
Exchange Act Release No. 70250 (August 23, 2013), 78 FR 53510 
(August 29, 2013) (SR-BATS-2013-038).
    \8\ See Securities Exchange Act Nos. 86714 (August 20, 2019) 84 
FR 44642 (August 26, 2019) (SR-NYSEArca-2019-55) (Notice of Filing 
of Proposed Rule Change To Amend NYSE Arca Rule 8.700-E and To List 
and Trade Shares of the Dynamic Short Short-Term Volatility Futures 
ETF) (the ``Prior Proposal''); 87223 (October 4, 2019) 84 FR 54707 
(October 10, 2019) (Order Approving a Proposed Rule Change To Amend 
NYSE Arca Rule 8.700-E and To List and Trade Shares of the Dynamic 
Short Short-Term Volatility Futures ETF) (the ``Approval Order'' and 
together with the Prior Proposal, the ``Prior Release'').
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Managed Trust Securities
    The Exchange proposes to modify Exchange Rule 14.11(e)(10(C)(i) to 
substantively conform to Arca Rule 8.700(E)[sic](c)(1). Thus, the 
proposed changes to Rule 14.11(e)(10)(C)(i) would make the Exchange 
Rule substantively identical to NYSE Arca Rule 8.700-E(c)(1).
Dynamic Short Short-Term Volatility Futures ETF
    The Exchange proposes to list and trade the Shares of the Fund 
under proposed amended Rule 14.11(e)(10). Dynamic Shares LLC will serve 
as the Trust's sponsor (``Sponsor'') and will serve as its commodity 
pool operator. Wilmington Trust Company is the sole ``Trustee'' of the 
Trust. The Nottingham Company will be the ``Administrator'' for the 
Fund. Nottingham Shareholder Services, LLC will serve as the ``Transfer 
Agent'' for the Fund for ``authorized participants.'' Capital 
Investment Group, Inc. will serve as the ``Distributor'' for the Fund.
    The Sponsor is a commodity pool operator and is not registered or 
affiliated with a broker-dealer. In the event (a) the Sponsor becomes 
registered as a broker-dealer or newly affiliated with a broker-dealer, 
or (b) any new sponsor 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 its broker-dealer 
affiliate regarding access to information concerning the composition 
and/or changes to the Disclosed Portfolio (as defined in Exchange Rule 
14.11(e)(10)(C)(ii)), and will be subject to procedures designed to 
prevent the use and dissemination of material non-

[[Page 79992]]

public information regarding such portfolio.
    According to the Registration Statement,\9\ the Fund will seek to 
provide investors with inverse exposure to the implied volatility of 
the broad-based, large-cap U.S. equity market. Such exposure will be 
for one full trading day. The Fund will seek to achieve its investment 
objective, under normal market conditions,\10\ by obtaining investment 
exposure to an actively managed portfolio of short positions in futures 
on the VIX Index \11\ (``VIX Futures'') with monthly expirations.
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    \9\ On April 25, 2024, the Trust filed with the Commission an 
amended registration statement on Form S-1 under the Securities Act 
of 1933 relating to the Trust (File No. 333-277681) (``Registration 
Statement''). The description of the operation of the Trust herein 
is based, in part, on the Prior Release and the Registration 
Statement.
    \10\ The term ``normal market conditions'' is defined in 
Exchange Rule 14.11(i)(3)(D).
    \11\ The ``VIX Index'' refers to the Cboe Volatility Index.
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    The Fund expects to primarily take short positions in VIX Futures 
by shorting the next two near term VIX Futures and rolling the nearest 
month VIX Futures to the next month on a daily basis. As such, the Fund 
expects to have a constant one-month rolling short position in first 
and second month VIX Futures.
    The Fund also may hold cash and cash equivalents, including U.S. 
Treasury securities.\12\
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    \12\ For purposes of this filing, cash equivalents are the 
following short-term instruments: (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.
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    The Fund will seek to dynamically manage its notional exposure to 
VIX Futures. For instance, when the VIX Index is below its historical 
average, the Fund's notional exposure will be lower than a traditional 
short VIX short term futures ETF, which may maintain a fixed notional 
exposure every day.
    When the VIX Index is going up, the Fund will gradually increase 
its notional exposure, up to a ceiling of -0.5 times its net asset 
value (``NAV''). The Fund expects that its notional exposure will not 
exceed -0.5 times its NAV, but that its notional exposure may exceed -
0.5 times its NAV during intraday trading before recalibration (as 
described further below).
    The Fund will be actively managed and is not benchmarked to the VIX 
Index. As such, according to the Registration Statement, the Fund can 
be expected to perform very differently from the inverse of the VIX 
Index. The Fund does not seek to track the performance of the VIX Index 
or the S&P 500[supreg] and can be expected to perform very differently 
from the VIX Index over all periods of time.
    According to the Registration Statement, the Fund will experience 
positive or negative performance based on changes in the implied level 
of future market volatility to the extent these changes are reflected 
in the price of VIX Futures. The Fund generally will experience 
positive performance, before accounting for fees and expenses, to the 
extent that the implied level of future volatility, as reflected by the 
value of the Fund's short position in VIX Futures, decreases. 
Similarly, the Fund generally will experience negative performance, 
before accounting for fees and expenses, to the extent that the implied 
level of future volatility increases.
    According to the Registration Statement, at the close of each 
trading day, the Fund expects to recalibrate its notional exposure 
value upon the change of the VIX Index and contango on that day.\13\ 
The Fund expects its notional exposure to range from -0.1 to -0.5 after 
each calibration. Movements of the VIX Futures during the day will 
affect whether the Fund's portfolio needs to be repositioned. For 
example, if the levels of the VIX Futures have risen on a given day, 
net assets of the Fund should fall. As a result of the calibration, the 
Fund's inverse exposure will generally increase to a level not beyond -
0.5. Conversely, if the levels of the VIX Futures have fallen on a 
given day, net assets of the Fund should rise. As a result of the 
calibration, the Fund's inverse exposure will generally decrease to as 
low as -0.1.
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    \13\ According to the Registration Statement, the contractual 
obligations of a buyer or seller holding a futures contract to 
expiration may generally be satisfied by taking or making physical 
delivery of the underlying reference asset or settling in cash as 
designated in the contract specifications. Alternatively, futures 
contracts may be closed out prior to expiration by making an 
offsetting sale or purchase of an identical futures contract on the 
same or linked exchange before the designated date of delivery. Once 
this date is reached, the futures contract ``expires.'' As the 
futures contracts held by the Fund near expiration, they are 
generally closed out and replaced by contracts with a later 
expiration. This process is referred to as ``rolling.'' When the 
market for these contracts is such that the prices are higher in the 
more distant delivery months than in the nearer delivery months, the 
sale during the course of the ``rolling process'' of the more nearby 
contract would take place at a price that is lower than the price of 
the more distant contract. This pattern of higher future prices for 
longer expiration futures contracts is often referred to as 
``contango.'' Alternatively, when the market for these contracts is 
such that the prices are higher in the nearer months than in the 
more distant months, the sale during the course of the ``rolling 
process'' of the more nearby contract would take place at a price 
that is higher than the price of the more distant contract. This 
pattern of higher future prices of shorter expiration futures 
contracts is referred to as ``backwardation.''
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    In seeking to achieve the Fund's investment objective, the Sponsor 
uses a proprietary algorithm, which learns from VIX Futures historical 
prices and contango trend, to optimize VIX Futures trading risks and 
returns. The algorithm starts with a relatively low notional exposure 
(-0.1 to -0.15) and recalibrates its notional exposure upon the change 
of price and contango of VIX Futures. The Sponsor expects the algorithm 
to slightly increase the Fund's notional exposure when the price of VIX 
Futures go up to a level not beyond -0.5, and, when the price of VIX 
Futures goes down, the Sponsor expects the algorithm to decrease the 
Fund's notional exposure to lower levels to prepare for potential 
upcoming spikes in the price of VIX Futures. In the event that the 
Fund's notional exposure has already reached -0.5 and the price of VIX 
Futures increases, the Fund expects to maintain its notional exposure 
at -0.5 at the close of each trading day. Conversely, if the price of 
VIX Futures decreases when the Fund's notional exposure is below -0.1, 
the Fund expects to maintain its notional exposure at -0.1 when 
calibrating its notional exposure.
    According to the Registration Statement, the pursuit of the Fund's 
daily investment objective means that the Fund's return for a period 
longer than a full trading day will be the product of the series of 
daily returns, with daily repositioned exposure, for each trading day 
during the relevant period. As a consequence, the return for investors 
that invest for periods less than a full trading day or for a period 
different than a trading day will not be the product of the return of 
the Fund's stated daily inverse investment objective.
Purchases and Redemptions of Creation Units
    Except for the creation unit size, all representations pertaining 
to the purchases and redemptions of creation units are identical to 
those in the Prior Release. Specifically, the Fund will create and 
redeem Shares from time to time in one or more creation units. A 
creation unit is a block of 10,000 Shares.

[[Page 79993]]

Net Asset Value
    Everything stated in the Prior Release pertaining to the NAV per 
Share of the Fund will remain true and in effect.
Intraday Indicative Value (``IIV'') \14\
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    \14\ The Exchange notes that the Prior Release provided that the 
Indicative Optimized Portfolio Value (``IOPV'') would be calculated 
rather than the IIV. However, Arca Rule 8.700-E(c)(3) has since been 
updated to reflect that IIV is currently used for Managed Trust 
Securities listed and traded on Arca rather than the IOPV. The 
definition of IIV in Arca Rule 8.700-E(c)(3) is substantively 
identical to Exchange Rule 14.11(e)(10)(C)(iii).
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    Everything stated in the Prior Release pertaining to the IIV will 
remain true and in effect.
Availability of Information
    The Trust's website, www.dynamicsharesetf.com, which will be 
publicly accessible at no charge, will contain the following 
information: (a) the daily NAV of the Trust, the daily NAV per Share, 
the prior Business Day's NAV per Share, the reported daily closing 
price and the reported daily trading volume; (b) the daily composition 
of the Disclosed Portfolio, as defined in Exchange Rule 
14.11(e)(10)(C)(ii); (c) the midpoint of the bid-ask price as of the 
time the NAV per Share is calculated (the ``Bid-Ask Price''); (d) the 
calculation of the premium or discount of such price against such NAV 
per Share; (e) data in chart form displaying the frequency distribution 
of discounts or premiums of the bid-ask price against the NAV per 
Share, within appropriate ranges for each of the four previous calendar 
quarters; and (f) the current prospectus of the Trust, included in the 
Registration Statement.
    On a daily basis, the Trust will disclose on its website for all of 
the assets held by the Fund the following information: name; ticker 
symbol (if applicable); CUSIP or other identifier (if applicable); 
description of the holding; with respect to derivatives, the identity 
of the security, commodity, index or other underlying asset; the 
quantity or aggregate amount of the holding as measured by par value, 
notional value or amount, number of contracts or number of units (if 
applicable); maturity date; coupon rate (if applicable); effective date 
or issue date (if applicable); market value; percentage weighting in 
the Disclosed Portfolio; and expiration date (if applicable).
    As noted above, the Trust's NAV and the NAV per Share will be 
calculated and disseminated daily after the close of the Regular 
Trading Hours (normally 4:00 p.m., E.T.).\15\ The Exchange will 
disseminate for the Trust on a daily basis by means of the Consolidated 
Tape Association (the ``CTA'') high-speed line information with respect 
to the most recent NAV per Share, and the number of Shares outstanding. 
The Exchange also will make available on its website daily trading 
volume, closing prices and the NAV per Share at no charge.
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    \15\ The Exchange will obtain a representation from the Trust 
that the NAV and the NAV per Share will be calculated daily and that 
the NAV, the NAV per Share and the composition of the Disclosed 
Portfolio will be made available to all market participants at the 
same time.
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    Pricing for VIX is available from major market data vendors. 
Pricing for VIX Futures is available from CFE and from major market 
data vendors. Pricing for Cboe Options is available from Cboe and from 
major market data vendors. Price information for cash equivalents is 
available from major market data vendors.
    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. The 
previous day's closing price and trading volume information for the 
Shares will be published daily in the financial section of newspapers. 
Quotation and last sale information for the Shares will be available 
via the CTA high-speed line.
Impact on Arbitrage Mechanism
    The Sponsor believes there will be minimal, if any, impact to the 
arbitrage mechanism as a result of the use of derivatives. Market 
makers and participants should be able to value derivatives as long as 
the positions are disclosed with relevant information. The Sponsor 
believes that the price at which Shares trade will continue to be 
disciplined by arbitrage opportunities created by the ability to 
purchase or redeem Shares at their NAV, which should help ensure that 
Shares will not trade at a material discount or premium in relation to 
their NAV.
    The Sponsor does not believe there will be any significant impacts 
to the settlement or operational aspects of the Fund's arbitrage 
mechanism due to the use of derivatives.
Criteria for Initial and Continued Listing
    The Trust will be subject to the criteria in Exchange Rule 
14.11(e)(10)(E) for initial and continued listing of the Shares.
    The minimum number of Shares to be outstanding at the start of 
trading will be 100,000 Shares. The Exchange believes that this minimum 
number of Shares to be outstanding at the start of trading is 
sufficient to provide adequate market liquidity. The Exchange 
represents that, for the initial and continued listing of the Shares, 
the Trust must be in compliance with Exchange Rule 14.10 and Rule 10A-3 
under the Exchange Act.\16\
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    \16\ 17 CFR 240.10A-3.
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Trading Rules
    Under Exchange Rule 14.11(e)(10)(B), Managed Trust Securities are 
included within the Exchange's definition of ``securities.'' The 
Exchange deems the Shares to be equity securities, thus rendering 
trading in the Shares subject to the Exchange's existing rules 
governing the trading of equity securities. Interpretation and Policy 
.02 to Exchange Rule 14.11(e)(10) provides that transactions in Managed 
Trust Securities will occur during Regular Trading Hours, and the Early 
Trading,\17\ Pre-Opening \18\ and After Hours Sessions.\19\ Therefore, 
the Shares will trade on the Exchange from 7:00 a.m. to 8:00 p.m. E.T. 
The Exchange has appropriate rules to facilitate transactions in the 
Shares during all trading sessions. As provided in Exchange Rule 11.11, 
the minimum price variation (``MPV'') for quoting and entry of orders 
in equity securities traded on the Exchange is $0.01, with the 
exception of securities that are priced less than $1.00 for which the 
MPV for order entry is $0.0001.
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    \17\ See Exchange Rule 1.5(ff).
    \18\ See Exchange Rule 1.5(r).
    \19\ See Exchange Rule 1.5(c).
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Trading Halts
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares. Trading in the Shares will be halted if the 
circuit breaker parameters under Exchange Rule 11.18 are reached. 
Trading may also be halted because of market conditions or for reasons 
that, in the view of the Exchange, make trading in the Shares 
inadvisable.
    In addition, if the Exchange becomes aware that the NAV, the NAV 
per Share and/or the Disclosed Portfolio with respect to a series of 
Managed Trust Securities is not disseminated to all market participants 
at the same time, it will halt trading in such series until such time 
as the NAV, the NAV per Share and the Disclosed Portfolio is available 
to all market participants.
Surveillance
    The Exchange represents that trading in the Shares will be subject 
to the existing trading surveillances administered by the Exchange, as 
well as cross-market surveillances

[[Page 79994]]

administered by the Financial Industry Regulatory Authority (``FINRA'') 
on behalf of the Exchange, which are designed to detect violations of 
Exchange rules and applicable federal securities laws.\20\ The Exchange 
represents that these procedures are adequate to properly monitor 
Exchange trading of the Shares in all trading sessions and to deter and 
detect violations of Exchange rules and applicable federal securities 
laws.
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    \20\ FINRA 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.
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    The surveillances referred to above generally focus on detecting 
securities trading outside their normal patterns, which could be 
indicative of manipulative or other violative activity. When such 
situations are detected, surveillance analysis follows and 
investigations are opened, where appropriate, to review the behavior of 
all relevant parties for all relevant trading violations.
    The Exchange or FINRA, on behalf of the Exchange, or both, will 
communicate as needed regarding trading in the Shares and VIX Futures 
with other markets or 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 VIX Futures from such markets or 
entities. In addition, the Exchange may obtain information regarding 
trading in the Shares and VIX Futures from markets or other entities 
that are members of ISG or with which the Exchange has in place a 
comprehensive surveillance sharing agreement.\21\ FINRA, on behalf of 
the Exchange, is able to access, as needed, trade information for 
certain cash equivalents held by the Fund reported to FINRA's Trade 
Reporting and Compliance Engine (``TRACE'').
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    \21\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Disclosed Portfolio for the Fund may trade on markets that are 
members of ISG or with which the Exchange has in place a 
comprehensive surveillance sharing agreement.
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    In addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
    Any of the statements or representations regarding the index 
composition, the description of the portfolio or reference assets, 
limitations on portfolio holdings or reference assets, dissemination 
and availability of index, reference asset, intraday indicative values 
(as applicable), or the applicability of Exchange listing rules 
relating to the Shares shall constitute continued listing requirements 
for the Shares listed on the Exchange.
    The issuer has represented to the Exchange that it will advise the 
Exchange of any failure by the Fund to comply with the continued 
listing requirements, and, pursuant to its obligations under Section 
19(g)(1) of the Act, the Exchange will monitor for compliance with the 
continued listing requirements. If the Fund is not in compliance with 
the applicable listing requirements, the Exchange will commence 
delisting procedures under Exchange Rule 14.12.
Information Circular
    Prior to the commencement of trading, the Exchange will inform its 
members in an Information Circular of the special characteristics and 
risks associated with trading the Shares. Specifically, the Information 
Circular will discuss the following: (1) the procedures for purchases 
and redemptions of Shares in Creation Units (and that Shares are not 
individually redeemable); (2) BZX Rule 3.7, which imposes suitability 
obligations on Exchange members with respect to recommending 
transactions in the Shares to customers; (3) how information regarding 
the IIV and the Disclosed Portfolio is disseminated; (4) the risks 
involved in trading the Shares outside of Regular Trading Hours when an 
updated IIV will not be calculated or publicly disseminated; (5) the 
requirement that members deliver a prospectus to investors purchasing 
newly issued Shares prior to or concurrently with the confirmation of a 
transaction; and (6) trading information.
    The Information Circular also will reference the fact that there is 
no regulated source of last sale information regarding certain of the 
asset classes that the Trust may hold and that the Commission has no 
jurisdiction over the trading of VIX Futures.
    In addition, the Information Circular will advise members, prior to 
the commencement of trading, of the prospectus delivery requirements 
applicable to the Fund. Members purchasing Shares from the Fund for 
resale to investors will deliver a prospectus to such investors. The 
Information Circular will also discuss any exemptive, no-action and 
interpretive relief granted by the Commission from any rules under the 
Act. In addition, the Information Circular will reference that the Fund 
is subject to various fees and expenses described in the Registration 
Statement. The Information Circular will also disclose the trading 
hours of the Shares of the Fund and the applicable NAV calculation time 
for the Shares. The Information Circular will disclose that information 
about the Shares of the Fund will be publicly available on the Fund's 
website.
2. Statutory Basis
    The Exchange believes the proposed rule change is consistent with 
the Act and the rules and regulations thereunder applicable to the 
Exchange and, in particular, the requirements of Section 6(b) of the 
Act.\22\ Specifically, the Exchange believes the proposed rule change 
is consistent with the Section 6(b)(5) \23\ requirements that the rules 
of an exchange be 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 regulating, 
clearing, settling, processing information with respect to, and 
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. 
Additionally, the Exchange believes the proposed rule change is 
consistent with the Section 6(b)(5) \24\ requirement that the rules of 
an exchange not be designed to permit unfair discrimination between 
customers, issuers, brokers, or dealers.
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    \22\ 15 U.S.C. 78f(b).
    \23\ 15 U.S.C. 78f(b)(5).
    \24\ Id.
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    In particular, the Exchange is proposing to adopt rules identical 
to those of another exchange and is further proposing a proposed rule 
change to facilitate the transfer of the security to the Exchange. 
Except for the size of the creation unit, all other representations 
made in the Prior Release remain true for the Fund.
    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices with respect to 
the proposal to list and trade Shares on the Exchange pursuant to the 
initial and continued listing criteria in Exchange Rule 14.11(e)(10). 
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. The Sponsor is not a 
broker-dealer and is not affiliated with a broker-dealer dealer. In the 
event (a) the Sponsor becomes registered as a broker-dealer or newly 
affiliated with a broker-dealer, or

[[Page 79995]]

(b) any new sponsor 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 its broker-dealer affiliate 
regarding access to information concerning the composition and/or 
changes to the Disclosed Portfolio (as defined in Exchange Rule 
14.11(e)(10)(C)(ii)), and will be subject to procedures designed to 
prevent the use and dissemination of material non-public information 
regarding such portfolio. The Exchange, FINRA, on behalf of the 
Exchange, or both may obtain information regarding trading in the 
Shares and the underlying VIX Futures via the ISG from other exchanges 
who are members or affiliates of the ISG or with which the Exchange has 
entered into a comprehensive surveillance sharing agreement. In 
addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
    The proposed rule change is designed to 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 
exchange-traded products that will enhance competition among market 
participants, to the benefit of investors and the marketplace. As noted 
above, the Exchange has in place surveillance procedures relating to 
trading in the Shares and may obtain information via ISG from other 
exchanges that are members of ISG or with which the Exchange has 
entered into a comprehensive surveillance sharing agreement.
    For the above reasons, the Exchange believes that the proposed rule 
change is consistent with the requirements of Section 6(b)(5) of the 
Act.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purpose of the Act. The Exchange notes that the 
proposed rule change, rather will facilitate the transfer from NYSE 
Arca and listing of an additional exchange-traded product on the 
Exchange, which will enhance competition among listing venues, to the 
benefit of issuers, investors, and the marketplace more broadly. The 
Exchange does not believe its proposal to amend Exchange Rule 
14.11(e)(10)(C)[sic] will burden competition as the proposed changes 
would make the Rule identical to NYSE Arca Rule 8.700(E)[sic](c)(1).

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    The Exchange neither solicited nor received comments on the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Pursuant to Section 19(b)(3)(A) of the Act \25\ and Rule 19b-
4(f)(6) \26\ thereunder, the Exchange has designated this proposal as 
one that effects a change that: (i) does not significantly affect the 
protection of investors or the public interest; (ii) does not impose 
any significant burden on competition; and (iii) by its terms, does not 
become operative for 30 days after the date of the filing, or such 
shorter time as the Commission may designate if consistent with the 
protection of investors and the public interest.\27\
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    \25\ 15 U.S.C. 78s(b)(3)(A).
    \26\ 17 CFR 240.19b-4(f)(6).
    \27\ In addition, Rule 19b-4(f)(6) requires a self-regulatory 
organization to give the Commission written notice of its intent to 
file the proposed rule change at least five business days prior to 
the date of filing of the proposed rule change, or such shorter time 
as designated by the Commission. See id. The Exchange has satisfied 
this requirement.
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    A proposed rule change filed pursuant to Rule 19b-4(f)(6) under the 
Act normally does not become operative for 30 days after the date of 
its filing. However, Rule 19b-4(f)(6)(iii) \28\ permits the Commission 
to designate a shorter time if such action is consistent with the 
protection of investors and the public interest. The Exchange requested 
that the Commission waive the 30-day operative delay so that the 
proposal may become operative immediately upon filing. The proposed 
rule change, which modifies certain listing standards applicable to 
Managed Trust Securities, conforms to substantially similar standards 
of another national securities exchange \29\ and raises no novel legal 
or regulatory issues. In addition, the Exchange proposes to list and 
trade the Fund's shares, which were previously approved for listing and 
trading and are currently listed and trading on NYSE Arca, Inc.\30\ 
According to the Exchange, the proposal to list and trade the shares of 
the Fund is substantively identical to the Prior Release and, except 
for the modification of the creation unit size, all representations 
contained in the Prior Release remain true.\31\ As such, the proposal 
to list and trade the shares of the Fund on the Exchange raises no 
novel legal or regulatory issues. Therefore, the Commission believes 
that waiver of the 30-day operative delay is consistent with the 
protection of investors and the public interest. Accordingly, the 
Commission hereby waives the 30-day operative delay and designates the 
proposed rule change operative upon filing.\32\
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    \28\ 17 CFR 240.19b-4(f)(6)(iii).
    \29\ See NYSE Arca Rule 8.700-E(c)(1) (setting forth the initial 
and continued listing standards for Managed Trust Securities). See 
also supra note 6 and accompanying text.
    \30\ See supra note 8 and accompanying text. BZX represents that 
the date the Fund shares will transfer listing to the Exchange is 
anticipated to be September 30, 2024. See Item 3 of Form 19b-4 at 
22.
    \31\ While the size of a creation unit for the Fund has changed 
from the Prior Release (in the current proposal, a creation unit is 
a block of 10,000 shares, and in the Prior Release, a creation unit 
is a block of 50,000 shares), the Prior Release represented that the 
size of a creation unit is subject to change. See Prior Proposal, 
supra note 8, 84 FR at 44645. BZX represents that, except for the 
creation unit size, all representations pertaining to the purchases 
and redemptions of creation units are identical to those in the 
Prior Release. The Commission also recognizes that other proposals 
to list and trade shares of exchange-traded products provide for 
similar creation unit sizes and representations. See, e.g., 
Securities Exchange Act Release No. 94569 (March 31, 2022) 87 FR 
19990 (April 6, 2022) (SR-NYSEArca-2022-16) (representing that the 
shares of the DoubleLine Shiller CAPE U.S. Equities ETF will be 
issued and redeemed in creation units of 10,000 shares and that the 
size of a creation unit is subject to change).
    \32\ For purposes only of waiving the 30-day operative delay, 
the Commission has also considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act.

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:

    <bullet> Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
    <bullet> Send an email to <a href="/cdn-cgi/l/email-protection#89fbfce5eca4eae6e4e4ece7fdfac9faeceaa7eee6ff"><span class="__cf_email__" data-cfemail="0f7d7a636a226c6062626a617b7c4f7c6a6c21686079">[email protected]</span></a>. Please include 
file number SR-CboeBZX-2024-089 on the subject line.

Paper Comments:

    <bullet> Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.


[[Page 79996]]


All submissions should refer to file number SR-CboeBZX-2024-089. 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 (https://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 
a.m. and 3 p.m. Copies of the filing also will be available for 
inspection and copying at the principal office of the Exchange. Do not 
include personal identifiable information in submissions; you should 
submit only information that you wish to make available publicly. We 
may redact in part or withhold entirely from publication submitted 
material that is obscene or subject to copyright protection. All 
submissions should refer to file number SR-CboeBZX-2024-089 and should 
be submitted on or before October 22, 2024.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\33\
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    \33\ 17 CFR 200.30-3(a)(12), (59).
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Vanessa A. Countryman,
Secretary.
[FR Doc. 2024-22413 Filed 9-30-24; 8:45 am]
BILLING CODE 8011-01-P


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