40816 Federal Register / Vol. 82, No. 165 / Monday, August 28, 2017 / Notices 

48 15 U.S.C. 78s(b)(3)(A). 

49 17 CFR 240.19b–4. 

50 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. 

4Commentary .02 to NYSE Arca Equities Rule 

8.200 applies to Trust Issued Receipts that invest 

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

Instruments,’’ as defined in Commentary .02(b)(4) to 

NYSE Arca Equities Rule 8.200, means any 

combination of investments, including cash; 

securities; options on securities and indices; futures 

contracts; options on futures contracts; forward 

contracts; equity caps, collars, and floors; and swap 

agreements. 

5On June 9, 2017, the Trust submitted to the 

Commission its draft registration statement on Form 

S–1 (the ‘‘Registration Statement’’) under the 

Securities Act of 1933 (15 U.S.C. 77a) (‘‘Securities 

Act’’). The Jumpstart Our Business Startups Act, 

enacted on April 5, 2012, added Section 6(e) to the 

Securities Act. Section 6(e) of the Securities Act 

Act 48 and paragraph (f)(6) of Rule 19b– 

4 thereunder,49 the Exchange has 

designated this rule filing as noncontroversial. The Exchange has given 

the Commission written notice of its 

intent to file the proposed rule change, 

along with a brief description and text 

of the proposed rule change at least five 

business days prior to the date of filing 

of the proposed rule change, or such 

shorter time as designated by the 

Commission. 

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: (1) Necessary or appropriate in 

the public interest; (2) for the protection 

of investors; or (3) otherwise in 

furtherance of the purposes of the Act. 

If the Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

BatsEDGX–2017–34 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–BatsEDGX–2017–34. 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 Web site (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 Web site 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; 

the Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR– 

BatsEDGX–2017–34 and should be 

submitted on or before September 18, 

2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.50

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–18127 Filed 8–25–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81453; File No. SR– 

NYSEArca–2017–88] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of Proposed 

Rule Change to List and Trade the 

Shares of the U.S. Equity Cumulative 

Dividends Fund—Series 2027 and the 

U.S. Equity Ex-Dividend Fund—Series 

2027 Under NYSE Arca Equities Rule 

8.200, Commentary .02 

August 22, 2017. 

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 August 

8, 2017, NYSE Arca, Inc. (‘‘Exchange’’ or 

‘‘NYSE Arca’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared by the self-regulatory 

organization. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to list and 

trade the shares of the following under 

NYSE Arca Equities Rule 8.200, 

Commentary .02 (‘‘Trust Issued 

Receipts’’): The U.S. Equity Cumulative 

Dividends Fund—Series 2027 and the 

U.S. Equity Ex-Dividend Fund—Series 

2027. The proposed change is available 

on the Exchange’s Web site 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 following 

under NYSE Arca Equities Rule 8.200, 

Commentary .02, which governs the 

listing and trading of Trust Issued 

Receipts: U.S. Equity Cumulative 

Dividends Fund—Series 2027 (the 

‘‘Dividend Fund’’) and U.S. Equity ExDividend Fund—Series 2027 (the ‘‘ExDividend Fund’’, and together with the 

Dividend Fund, the ‘‘Funds’’ and each, 

a ‘‘Fund’’).4

Each Fund will be a series of 

Metaurus Equity Component Trust (the 

‘‘Trust’’), a Delaware statutory trust.5


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provides that an ‘‘emerging growth company’’ may 

confidentially submit to the Commission a draft 

registration statement for confidential, non-public 

review by the Commission staff prior to public 

filing, provided that the initial confidential 

submission and all amendments thereto shall be 

publicly filed not later than 21 days before the date 

on which the issuer conducts a road show, as such 

term is defined in Securities Act Rule 433(h)(4). An 

emerging growth company is defined in Section 

2(a)(19) of the Securities Act as an issuer with less 

than $1,000,000,000 total annual gross revenues 

during its most recently completed fiscal year. The 

Trust meets the definition of an emerging growth 

company and consequently has submitted its Form 

S–1 Registration Statement on a confidential basis 

with the Commission. 

6 7 U.S.C. 1a(10). 

7For purposes of this filing, cash equivalents are 

short-term instruments with maturities of less than 

three months and shall include the following: (i) 

Certificates of deposit issued against funds 

deposited in a bank or savings and loan association; 

(ii) bankers’ acceptances, which are short-term 

credit instruments used to finance commercial 

transactions; (iii) repurchase agreements and 

reverse repurchase agreements; (iv) 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; (v) 

commercial paper, which are short-term unsecured 

promissory notes; (vi) Treasury Securities, and (vii) 

money market funds, including exchange-traded 

funds (‘‘ETFs’’). For purposes of this filing, ETFs 

include Investment Company Units (as described in 

NYSE Arca Equities Rule 5.2(j)(3)); Portfolio 

Depositary Receipts (as described in NYSE Arca 

Equities Rule 8.100); and Managed Fund Shares (as 

described in NYSE Arca Equities Rule 8.600). The 

ETFs all will be listed and traded in the U.S. on 

registered exchanges. The ETFs in which a Fund 

may invest will be ETFs that invest principally in 

money market instruments. The Funds will not 

invest in inverse or leveraged (e.g., +2x, ¥2X) index 

ETFs. 

8The Dividend Fund will hold the following 

Annual S&P 500 Dividend Futures Contracts: S&P 

500 Annual Dividend Index Futures with annual 

expiry of 2018, 2019, 2020, 2021, 2022, 2023, 2024, 

2025, 2026, and 2027. CME Group, Inc. is a member 

of the Intermarket Surveillance Group (‘‘ISG’’). See 

note 20, infra. 

9The Dividend Fund will hold the following 

Quarterly S&P 500 Dividend Futures Contracts: S&P 

500 Quarterly Dividend Index Futures with 

quarterly expiry of 2018, 2019, 2020, 2021, 2022, 

2023, 2024, 2025, 2026, and 2027. These contracts 

trade on the CME. 

Metaurus Advisors LLC (‘‘Metaurus’’ or 

the ‘‘Sponsor’’) will be the sponsor, 

commodity pool operator and 

commodity trading advisor of each 

Fund. SEI Investments Global Fund 

Services, (‘‘SEI’’ or the 

‘‘Administrator’’), will be the Funds’ 

Administrator. The Administrator will 

be responsible for the day-to-day 

administration of the Trust and the 

Funds, which includes valuing all of the 

portfolio holdings of the Funds and 

calculating the net asset value (‘‘NAV’’) 

of the Funds. Brown Brothers Harriman 

& Co. (‘‘BBH&Co.’’) will serve as 

registrar and transfer agent for the 

Funds as well as custodian (the 

‘‘Custodian’’) for the Funds. 

Each Fund is a commodity pool as 

defined in the Commodity Exchange 

Act 6 and the applicable regulations of 

the Commodity Futures Trading 

Commission (‘‘CFTC’’). 

U.S. Equity Cumulative Dividends 

Fund—Series 2027 

According to the Registration 

Statement, the Dividend Fund will seek 

investment results that, before fees and 

expenses, correspond to the 

performance of the Solactive U.S. Equity 

Cumulative Dividends Index—Series 

2027 (the ‘‘Solactive Dividend Index’’). 

The Dividend Fund will be a term fund 

that will terminate on or prior to 

December 31, 2027. 

The Dividend Fund will seek to 

provide shareholders of the Dividend 

Fund with returns designed to replicate 

the dividends on constituent companies 

of the S&P 500 Index (‘‘S&P 500’’), 

without exposure to the underlying 

securities. The value of the Dividend 

Fund’s Shares will be affected by both 

the current level of such dividends and 

general expectations in the market 

regarding the future levels of such 

dividends. 

The Dividend Fund intends primarily 

to invest its assets in the component 

instruments of the Solactive Dividend 

Index, as well as cash and cash 

equivalents.7 The component 

instruments of the Solactive Dividend 

Index consist of U.S. Treasury Securities 

(‘‘Treasury Securities’’) and long 

positions in annual futures contracts 

listed on the Chicago Mercantile 

Exchange (‘‘CME’’) that provide 

exposure to dividends paid on the S&P 

500 constituent companies (‘‘Annual 

S&P 500 Dividend Futures Contracts’’ 8) 

pro rata for each year of the life of the 

Dividend Fund. As a result, in addition 

to the Treasury Securities, cash and/or 

cash equivalents, the Dividend Fund is 

initially expected to hold each of the 

Annual S&P 500 Dividend Futures 

Contracts that are traded and expire 

during its ten-year term. Each year 

thereafter, until December 2027 when 

the Dividend Fund will terminate, the 

Dividend Fund will hold one less 

Annual S&P 500 Dividend Futures 

Contract due to expiry of the prior year’s 

contract. 

The Dividend Fund expects to pay 

monthly cash distributions to its 

Shareholders throughout each calendar 

year. Such distributions shall, on an 

annual basis, before fees and expenses, 

equal all or a substantial portion of the 

Dividend Fund’s NAV attributable to 

the ordinary cash dividends 

accumulated by the S&P 500 Dividend 

Points Index (Annual) (the ‘‘Dividend 

Points Index’’) for the year (as reflected 

in the current year’s Annual S&P 500 

Dividend Futures Contracts held by the 

Dividend Fund). 

The Dividend Fund’s exposure to 

dividend payments will be based on its 

investments in Annual S&P 500 

Dividend Futures Contracts. According 

to the Registration Statement, the value 

of the Annual S&P 500 Dividend 

Futures Contracts, on which the value of 

the Dividend Fund will be based, will 

tend to increase if the actual dividends 

paid or expected to be paid by S&P 500 

constituent companies in the periods 

tracked by the Annual S&P 500 

Dividend Futures Contracts increase. 

The value of the Annual S&P 500 

Dividend Futures Contracts will tend to 

decrease if the actual dividends paid or 

expected to be paid by S&P 500 

constituent companies (as measured in 

the current year by the Dividend Points 

Index) decrease in the periods tracked 

by the Annual S&P 500 Dividend 

Futures Contracts. 

Other Dividend Fund Investments 

The Dividend Fund will invest 

primarily in the component instruments 

of the Solactive Dividend Index, cash 

and cash equivalents, as described 

above. In certain instances, however, the 

Dividend Fund may invest in quarterly 

S&P 500 dividend futures contracts 9

(the ‘‘Quarterly S&P 500 Dividend 

Futures Contracts, and, together with 

the Annual S&P 500 Dividend Futures 

Contracts, the ‘‘Dividend Futures 

Contracts’’), rather than the Annual S&P 

500 Dividend Futures Contracts if, in 

the judgment of Metaurus, utilizing 

such alternative maturity instruments 

would be in the best interest of the 

Dividend Fund (e.g., due to liquidity or 

similar market factors). 

The Dividend Fund will not employ 

leverage to implement its investment 

strategy. For these purposes, we 

interpret leverage to mean use of loans, 

borrowings and extensions of credit 

from third parties for the purchase of 

investments. The Dividend Fund may, 

however, enter into short-term loans 

and reverse repurchase agreements for 

liquidity purposes, including to fund 

distributions. The Dividend Fund will 

purchase all investments at market 

prices through the in-kind creation 

process or in the market place at the 

then-market price. Although the 

Dividend Fund will not employ the type 

of investment leverage described above, 

it will hold investment instruments that 

are described as having embedded 

leverage. For example, the futures 

contracts that the Dividend Fund will 

invest in could be described as having 

embedded leverage, because the 


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40818 Federal Register / Vol. 82, No. 165 / Monday, August 28, 2017 / Notices 

10A Business Day is any day on which the NYSE 

Arca is open for business, including any partial-day 

opening. 

11Members of the committee are subject to 

procedures designed to prevent the use and 

dissemination of material nonpublic information 

regarding changes to the Solactive Dividend Index 

and the Solactive Ex-Dividend Index. 

12Shares of SPDRs are listed and traded on the 

Exchange pursuant to NYSE Arca Equities Rule 

8.100 (Portfolio Depositary Receipts). 

13The Quarterly S&P 500 Index Futures Contracts 

include: (i) S&P 500 Futures; and (ii) E-mini S&P 

500 Futures. These contracts trade on the CME. 

14These contracts trade on the CME. 

notional amount of the contracts will 

exceed the cash or assets required to 

establish or maintain such futures 

contract positions. Such embedded 

leverage is designed to be fully defeased 

by the Dividend Fund’s Treasury 

Securities. 

The Solactive Dividend Index 

The Solactive Dividend Index is 

owned, maintained, calculated and 

distributed by Solactive AG, which is an 

independent index sponsor and data 

provider (the ‘‘Calculation Agent’’ or 

‘‘Solactive’’). According to the 

Registration Statement, the value of the 

Solactive Dividend Index is affected by 

the ordinary cash dividends that have 

been paid to date by constituent 

companies in the S&P 500 in the 

applicable period and the expectations 

of investors regarding the dividends to 

be paid by constituent companies in the 

S&P 500. The Annual S&P 500 Dividend 

Futures Contracts use the Dividend 

Points Index to track the cumulative 

amount of ordinary dividends paid by 

constituent companies in the S&P 500 in 

the current yearly period. The Dividend 

Points Index resets to zero on the third 

Friday of each December 

contemporaneously with the expiration 

of the applicable Annual S&P 500 

Dividend Futures Contract. The 

Solactive Dividend Index is a price only 

index. 

The Solactive Dividend Index aims to 

represent the discounted present value 

of all listed Annual S&P 500 Dividend 

Futures Contracts out to and including 

the December 2027 Annual S&P 500 

Dividend Futures Contract. To 

accomplish this, each Annual S&P 500 

Dividend Futures Contract market price 

will be discounted by using the 

computed yield of a specified Treasury 

Security with a similar or prior maturity 

date as the corresponding Annual S&P 

500 Dividend Futures Contract expiry. 

After annual expiry of an Annual S&P 

500 Dividend Futures Contract, such 

futures contract and its corresponding 

Treasury Security will be removed from 

the Solactive Dividend Index during the 

annual rebalancing of the Solactive 

Dividend Index. 

The Solactive Dividend Index is 

calculated and published in USD via the 

price marketing services of Boerse 

Stuttgart AG based on the prices of the 

components (‘‘Index Components’’) on 

the applicable listing exchanges posted 

by quotation services or otherwise as 

determined by Solactive. The most 

recent prices of all Index Components 

are used. Should there be no current 

price posted on the applicable price 

source, such as Reuters, Solactive will 

use the most recent price shown for 

such investment on Reuters for the 

preceding trading day in making the 

calculation. The Solactive Dividend 

Index is widely disseminated every 15 

seconds on each ‘‘Business Day’’ 10 by 

major market data vendors during the 

NYSE Arca’s Core Trading Session. 

The Solactive Dividend Index does 

not weigh the values of the components. 

The Solactive Dividend Index is 

intended to be a static index in that the 

composition of the Solactive Dividend 

Index should not be expected to change 

after the Solactive Dividend Index has 

been originally constituted. A 

committee composed of staff from 

Solactive is responsible for decisions 

regarding the composition of the 

Solactive Dividend Index as well as any 

amendments to the index calculation 

methodology. Members of the 

committee can recommend changes to 

the index calculation methodology for 

calculating the Solactive Dividend 

Index and submit them to the committee 

for approval.11

All or a portion of the methodologies 

and algorithms used to calculate the 

Solactive Dividend Index are covered by 

one or more pending U.S. patents. The 

Sponsor developed the algorithm on 

which the Solactive Dividend Index is 

based and licensed it to Solactive. 

Solactive is not affiliated with the 

Sponsor and is solely responsible for 

calculating the Solactive Dividend 

Index. 

All specifications and information 

relevant for calculating the Solactive 

Dividend Index are made available at 

http://www.solactive.de. 

U.S. Equity Ex-Dividend Fund—Series 

2027 

According to the Registration 

Statement, the Ex-Dividend Fund will 

seek investment results that, before fees 

and expenses, correspond to the 

performance of the Solactive U.S. Equity 

Ex-Dividend Index—Series 2027 (the 

‘‘Solactive Ex-Dividend Index’’, and 

together with the Solactive Dividend 

Index, the ‘‘Underlying Indexes’’). The 

Ex-Dividend Fund will be a term fund 

that will terminate on or prior to 

December 31, 2027. The Ex-Dividend 

Fund will seek to provide shareholders 

of the Ex-Dividend Fund with returns 

that are equivalent to the performance of 

the SPDR® S&P 500® ETF (‘‘SPDRs’’) 12

less the value of current and future 

expected dividends on the S&P 500 

constituent companies over the term of 

the Ex-Dividend Fund. 

The Solactive Ex-Dividend Index 

tracks the performance of SPDRs 

together with the performance of short 

positions in the Annual S&P 500 

Dividend Futures Contracts for each 

year from the Ex-Dividend Fund’s 

launch date through December 2027. 

In seeking to track the Solactive ExDividend Index, the Ex-Dividend Fund 

intends to replicate the returns of SPDRs 

through owning long positions in 

quarterly S&P 500 Index futures 

contracts (the ‘‘Quarterly S&P 500 Index 

Futures Contracts’’) rather than shares of 

SPDRs.13 Additionally, the Ex-Dividend 

Fund intends to track the performance 

of the Solactive Ex-Dividend Index by 

selling Annual S&P 500 Dividend 

Futures Contracts out to the maturity 

date of the Ex-Dividend Fund. The ExDividend will also hold Treasury 

Securities, cash and/or cash equivalents. 

The Ex-Dividend Fund does not intend 

to hold shares of SPDRs or any other 

ETF (other than a money market fund 

ETF). 

Other Ex-Dividend Fund Investments 

The Ex-Dividend Fund will primarily 

invest in Quarterly S&P 500 Index 

Futures Contracts as described above. In 

certain instances, however, the ExDividend Fund may invest in (i) annual 

S&P 500 Index futures contracts 14 (the 

‘‘Annual S&P 500 Index Futures 

Contracts’’, and, together with the 

Quarterly S&P 500 Index Futures 

Contracts, the ‘‘Index Futures 

Contracts’’) and (ii) Quarterly S&P 500 

Dividend Futures Contracts, in each 

case, if, in the judgment of Metaurus, 

utilizing such alternative maturity 

instruments would be in the best 

interest of the Ex-Dividend Fund (e.g., 

due to liquidity, arbitrage pricing or 

similar market factors). 

The Ex-Dividend Fund will not 

employ leverage to implement its 

investment strategy. For these purposes, 

we interpret leverage to mean use of 

loans, borrowings and extensions of 

credit from third parties for the 

purchase of investments. The ExDividend Fund may, however, enter 

into short-term loans and reverse 

repurchase agreements for liquidity 

purposes. The Ex-Dividend Fund will 


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Federal Register / Vol. 82, No. 165 / Monday, August 28, 2017 / Notices 40819 

15According to the Registration Statement, 

because the Funds hold futures contracts, the 

exchange of these instruments will be conducted in 

accordance with the rules of the CME. In 

connection with an EFRP, the ‘‘Authorized 

Participant’’ (as defined below) would be required 

to deliver to a Fund, through a Fund’s Clearing 

Futures Commission Merchant, futures contracts 

and Treasury Securities, replicating a pro rata slice 

of a Fund’s portfolio invested in those instruments 

and the Cash Component, together having a value 

equal to the NAV of the Basket, in exchange for 

delivery to the Authorized Participant, through 

DTC, of the Basket. 

purchase all investments at market 

prices through the in-kind creation 

process or in the market place at the 

then-market price. Although the ExDividend Fund will not employ the type 

of investment leverage described above, 

it will hold investment instruments that 

are described as having embedded 

leverage. For example, the futures 

contracts that the Ex-Dividend Fund 

will invest in could be described as 

having embedded leverage, because the 

notional amount of the contracts will 

exceed the cash or assets required to 

establish or maintain such futures 

contract positions. Such embedded 

leverage is designed to be fully defeased 

by the Ex-Dividend Fund’s Treasury 

Securities. 

The Solactive Ex-Dividend Index 

According to the Registration 

Statement, the Solactive Ex-Dividend 

Index aims to represent the current 

value of 0.5 shares of SPDRs, less the 

current value of ordinary cash 

dividends expected to be paid on the 

S&P 500, until the Ex-Dividend Fund’s 

maturity. The current value of such 

dividends is represented by the 

Solactive Dividend Index. The Solactive 

Dividend Index aims to represent the 

discounted present value of all listed 

Annual S&P 500 Dividend Futures 

Contracts out to and including the 

December 2027 Annual S&P 500 

Dividend Futures Contracts expiry. 

The Solactive Ex-Dividend Index 

includes shares of SPDRs and short 

positions in Annual S&P 500 Dividend 

Futures Contracts for each year from the 

Ex-Dividend Fund’s launch date 

through December 2027. 

The Solactive Ex-Dividend Index is an 

index of Solactive and is owned, 

maintained, calculated and distributed 

by Solactive. The Solactive Ex-Dividend 

Index is a price-only index. 

The Solactive Ex-Dividend Index is 

calculated and published in USD via the 

price marketing services of Boerse 

Stuttgart AG based on the prices of the 

Index Components on the applicable 

listing exchanges posted by quotation 

services or otherwise as determined by 

Solactive. The most recent prices of all 

Index Components are used. Should 

there be no current price posted on the 

applicable price source, such as Reuters, 

Solactive will use the most recent price 

shown for such investment on Reuters 

for the preceding trading day in making 

the calculation. The Solactive ExDividend Index is widely disseminated 

every 15 seconds on each Business Day 

by major market data vendors during the 

NYSE Arca’s Core Trading Session. 

Because the Solactive Ex-Dividend 

Index tracks the performance of 0.5 

Shares of SPDRs and sums up the 

discounted values of the Annual S&P 

500 Dividend Futures Contracts, no 

weighting is applied. 

The Solactive Ex-Dividend Index is 

intended to be a static index in that the 

composition of the Solactive ExDividend Index should not be expected 

to change after the Solactive ExDividend Index has been originally 

constituted. A committee composed of 

staff from Solactive is responsible for 

decisions regarding the composition of 

the Solactive Ex-Dividend Index as well 

as any amendments to the index 

calculation methodology. Members of 

the committee can recommend changes 

to the index calculation methodology 

for calculating the Solactive ExDividend Index and submit them to the 

committee for approval. 

All or a portion of the methodologies 

and algorithms used to calculate the 

Solactive Ex-Dividend Index are 

covered by one or more pending U.S. 

patents. The Sponsor developed the 

algorithm on which the Solactive ExDividend Index is based and licensed it 

to Solactive. Solactive is not affiliated 

with the Sponsor and is solely 

responsible for calculating the Solactive 

Ex-Dividend Index. 

All specifications and information 

relevant for calculating the Solactive ExDividend Index are made available at 

http://www.solactive.de. 

Creation and Redemption of Shares 

According to the Registration 

Statement, the Trust will issue and sell 

Shares of a Fund in one or more block 

size aggregations of 100,000 Shares 

(each, a ‘‘Basket’’) on a continuous basis 

through the Distributor at a Fund’s NAV 

next determined after receipt, on any 

Business Day, of an order in proper 

form. The size of a Basket is subject to 

change. Proceeds received by the Funds 

from the issuance and sale of Baskets 

will consist of cash, in the case of a cash 

creation, or futures contracts, Treasury 

Securities and other financial 

instruments designed to track such 

Fund’s Underlying Index (‘‘Deposit 

Instruments’’), together with the deposit 

of a specified cash payment (‘‘Cash 

Component’’), in the case of an in-kind 

creation, as described below. The Cash 

Component is the difference between 

the NAV attributable to a Basket and the 

aggregate market value of the Deposit 

Instruments exchanged for the Basket. 

The party conveying instruments with 

the lower value will pay to the other 

such difference. A difference may occur 

where the market value of the Deposit 

Instruments, as applicable, changes 

relative to the NAV of a Fund due to the 

fact that a position cannot be transferred 

in kind, instruments cannot be broken 

up, minor differences due to rounding 

or due to a rebalancing of a Fund to 

match the Underlying Index. The cash 

amount announced by a Fund at the 

beginning of each day is a Fund’s 

estimate of the actual cash amount. In 

the case of a cash creation, the Funds 

intend to use the cash to purchase 

Deposit Instruments. 

The consideration for purchase of a 

Basket of Shares of the Funds will 

generally be conducted on an in-kind 

basis through an exchange for related 

positions transactions, effected pursuant 

to the rules of the CME (an ‘‘EFRP’’). 

The EFRP will consist of the exchange 

between the Funds and their Authorized 

Participants (as defined below) of 

Deposit Instruments (comprised of 

futures contracts, Treasury Securities 

and the Cash Component) for Shares. 

Together, the Deposit Instruments and 

the Cash Component constitute the 

‘‘Portfolio Deposit,’’ which represents 

the minimum initial and subsequent 

investment amount for a Basket of a 

Fund.15

According to the Registration 

Statement, the Funds reserve the right to 

permit or require the substitution of an 

amount of cash (a ‘‘cash in lieu’’ 

amount) to be added to the Cash 

Component to replace any Deposit 

Instrument which may not be available 

in sufficient quantity for delivery or that 

is not be eligible for transfer through an 

EFRP or for other similar reasons. In this 

case, a Fund will utilize the cash in lieu 

amount to purchase the missing Deposit 

Instruments, which, in the case of the 

futures contracts, will generally be 

effected through a purchase on the CME 

or through a block trade, if permissible 

under CME rules for the futures 

contracts comprising the missing futures 

contracts, and through purchases 

through banks, government securities 

dealers and broker-dealers, in the case 

of the Treasury Securities. 

The Funds will make available 

through the National Securities Clearing 

Corporation (‘‘NSCC’’) on each Business 

Day, prior to the opening of business of 

the Exchange’s Core Trading Session 

(currently 9:30 a.m., Eastern Time 


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(‘‘E.T.’’)), the list of the names and the 

required amount of each Deposit 

Instrument to be included in the current 

Portfolio Deposit (based on information 

at the end of the previous Business Day) 

for the Funds. Such Deposit Instruments 

will be applicable, subject to any 

adjustments as described below, to 

purchases of Baskets of the Funds until 

such time as the next-announced 

Deposit Instruments composition is 

made available. In addition to the list of 

names and numbers of instruments 

constituting the current Deposit 

Instruments of a Portfolio Deposit, on 

each Business Day, an estimate of the 

Cash Component, per outstanding 

Basket of a Fund, will be made available 

at the same time. 

Baskets of Shares may be purchased 

only by or through institutions that (1) 

are registered broker-dealers and, if 

required in connection with their 

activities, are registered futures 

commission merchants, (2) are members 

of the Depository Trust Company 

(‘‘DTC’’), and (3) have entered into 

agreements to act as authorized 

participants of the Trust (‘‘Authorized 

Participants’’). 

An Authorized Participant must 

submit an irrevocable purchase order no 

later than the earlier of (i) 2:00 p.m., 

E.T. or (ii) two hours prior to the 

scheduled closing time of the 

Exchange’s Core Trading Session on any 

Business Day in order to receive that 

Business Day’s NAV. 

Redemption of Shares 

Shares of the Funds may be redeemed 

only in Baskets at their NAV next 

determined after receipt of a redemption 

request in proper form by the 

Distributor. 

By placing a redemption order, an 

Authorized Participant agrees to (1) 

deliver the ‘‘Redemption Basket’’ to be 

redeemed through DTC’s book-entry 

system to a Fund’s account with the 

Custodian not later than 3:00 p.m. E.T. 

on the Business Day following the 

effective date of the redemption order, 

and (2) if required by the Sponsor in its 

sole discretion, enter into or arrange an 

EFRP or block trade, or any other overthe-counter transaction (through itself or 

a designated acceptable broker) with a 

Fund for the sale of a number and type 

of futures contracts at the closing 

settlement price for such contracts on 

the effective date of the redemption 

order. 

The Funds will make available 

through the NSCC prior to the opening 

of the NYSE Arca’s Core Trading 

Session (currently 9:30 a.m., E.T.) on 

each Business Day, the identity and 

number of ‘‘Deposit Instruments’’ that 

will be applicable (subject to possible 

amendment or correction) to 

redemption requests received in proper 

form on that day. Deposit Instruments 

received on redemption may not be 

identical to Deposit Instruments that are 

applicable to creation of Baskets. Unless 

cash redemptions are available or 

specified for a Fund, the redemption 

proceeds for a Basket generally will 

consist of Deposit Instruments on the 

Business Day of the request for 

redemption, plus cash in an amount 

equal to the difference between the NAV 

of the Shares being redeemed, as next 

determined after a receipt of a request 

in proper form, and the value of the 

Deposit Instruments, less a fixed 

redemption transaction fee. 

An Authorized Participant must 

submit an irrevocable redemption 

request no later than the earlier of (i) 

2:00 p.m., E.T. or (ii) two hours prior to 

the scheduled closing time of the 

Exchange’s Core Trading Session on any 

Business Day in order to receive that 

Business Day’s NAV. 

Net Asset Value 

The NAV per Share for a Fund will 

be determined by dividing the NAV of 

a Fund by the number of outstanding 

Shares of a Fund. The NAV of each 

Fund will be calculated as soon as 

practicable after the close of trading of 

the Shares on the NYSE Arca’s Core 

Trading Session (normally 4:00 p.m. 

E.T.) on each Business Day. Each Fund’s 

NAV on a Business Day will be obtained 

by subtracting accrued expenses and 

other liabilities borne by such Fund, if 

any, from the total value of the assets 

held by a Fund, in each case, as of the 

time of calculation. 

The value of the Dividend Futures 

Contracts and the Index Futures 

Contracts (together, the ‘‘S&P 500 

Futures Contracts’’) will be determined 

by the Administrator by using the 

closing or settlement price published by 

the CME or, in the case of a market 

disruption, the last traded price before 

settlement. Cash equivalents (with the 

exception of money market funds and 

ETFs) will be valued on the basis of 

broker quotes or valuations provided by 

a third party pricing service. Money 

market funds will be valued at NAV. 

ETFs will be valued based on the last 

sale price on the applicable exchange. 

Indicative Fund Value 

In addition, in order to provide 

updated information relating to a Fund 

for use by investors and market 

professionals, an updated ‘‘Indicative 

Fund Value’’ (‘‘IFV’’) will be calculated 

and disseminated throughout the 

Exchange’s Core Trading Session of 9:30 

a.m. E.T. to 4:00 p.m. E.T. on each 

trading day. The IFV will be calculated 

by using the prior day’s closing NAV 

per Share of a Fund as a base and 

updating that value throughout the 

trading day to reflect changes in the 

most recently reported trade prices for 

the S&P 500 Futures Contracts on the 

CME. The IFV will be disseminated on 

a per Share basis for each Fund every 

15 seconds during the Exchange’s Core 

Trading Session. 

Availability of Information 

The NAV for the Funds’ Shares will 

be disseminated daily to all market 

participants at the same time. The 

Exchange will make available on its 

Web site at no charge daily trading 

volume of the Shares of each Fund, 

closing prices of such Shares, and 

number of Shares outstanding. The 

intraday, closing prices, and settlement 

prices of the S&P 500 Futures Contracts 

will be readily available from the CME 

Web site, automated quotation systems, 

published or other public sources, or 

major market data vendors. Pricing 

information for cash equivalents is 

available from major market data 

vendors. In addition, price information 

for ETFs is available from the applicable 

exchange. Quotation information from 

brokers and dealers or pricing services 

is available for Treasury Securities. 

Complete real-time data for the S&P 

500 Futures Contracts is available by 

subscription through on-line 

information services. CME also provides 

delayed futures information on current 

and past trading sessions and market 

news free of charge on its Web site. 

Quotation and last-sale information 

regarding the Shares will be 

disseminated through the facilities of 

the Consolidated Tape Association 

(‘‘CTA’’). The IFV will be available 

through on-line information services. 

The S&P 500 Futures Contracts trading 

prices will be disseminated by one or 

more major market data vendors every 

15 seconds during the NYSE Arca’s Core 

Trading Session of 9:30 a.m. to 4:00 

p.m. E.T. 

In addition, the Funds’ Web site, 

www.metaurus.com, will display the 

applicable end of day closing NAV. The 

daily holdings of each Fund will be 

available on the Funds’ Web site before 

9:30 a.m. E.T. each day. The Web site 

disclosure of portfolio holdings will be 

made daily and will include, as 

applicable, (i) the composite value of 

the total portfolio, (ii) the quantity and 

type of each holding (including the 

ticker symbol, maturity date or other 

identifier, if any) and other descriptive 

information, (iii) the value of each 

Treasury Security and cash 


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16Other than the futures contracts described 

herein and cash, Treasury Securities and cash 

equivalents are the only types of portfolio holdings 

that the Funds may hold. 

17See NYSE Arca Equities Rule 7.12. 

18 17 CFR 240.10A–3. 

19FINRA 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. 

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

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

components of the Funds may trade on markets that 

are members of ISG or with which the Exchange has 

in place a CSSA. 

equivalent,16 and (iv) the amount of 

cash held in each Fund’s portfolio. The 

Funds’ Web site will be publicly 

accessible at no charge. 

This Web site disclosure of each 

Fund’s daily holdings will occur at the 

same time as the disclosure by the Trust 

of the daily holdings to Authorized 

Participants so that all market 

participants are provided daily holdings 

information at the same time. Therefore, 

the same holdings information will be 

provided on the public Web site as well 

as in electronic files provided to 

Authorized Participants. Accordingly, 

each investor will have access to the 

current daily holdings of each Fund 

through the Funds’ Web site. 

Trading Halts 

With respect to trading halts, the 

Exchange may consider all relevant 

factors in exercising its discretion to 

halt or suspend trading in the Shares of 

a Fund.17 Trading in Shares of a Fund 

will be halted if the circuit breaker 

parameters in NYSE Arca Equities Rule 

7.12 have been reached. Trading also 

may be halted because of market 

conditions or for reasons that, in the 

view of the Exchange, make trading in 

the Shares of a Fund inadvisable. 

The Exchange may halt trading during 

the day in which an interruption to the 

dissemination of the IFV or the value of 

an Underlying Index occurs. If the 

interruption to the dissemination of the 

IFV, or the value of an Underlying Index 

persists past the trading day in which it 

occurred, the Exchange will halt trading 

no later than the beginning of the 

trading day following the interruption. 

In addition, if the Exchange becomes 

aware that the NAV with respect to the 

Shares is not disseminated to all market 

participants at the same time, it will halt 

trading in the Shares until such time as 

the NAV is available to all market 

participants. 

Trading Rules 

The Exchange deems the Shares to be 

equity securities, thus rendering trading 

in the Shares subject to the Exchange’s 

existing rules governing the trading of 

equity securities. Shares will trade on 

the NYSE Arca Marketplace from 4 a.m. 

to 8 p.m. E.T. in accordance with NYSE 

Arca Equities Rule 7.34 (Early, Core, 

and Late Trading Sessions). The 

Exchange has appropriate rules to 

facilitate transactions in the Shares 

during all trading sessions. As provided 

in NYSE Arca Equities Rule 7.6, the 

minimum price variation (‘‘MPV’’) for 

quoting and entry of orders in equity 

securities traded on the NYSE Arca 

Marketplace 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. 

The Shares will conform to the initial 

and continued listing criteria under 

NYSE Arca Equities Rule 8.200. The 

trading of the Shares will be subject to 

NYSE Arca Equities Rule 8.200, 

Commentary .02(e), which sets forth 

certain restrictions on Equity Trading 

Permit (‘‘ETP’’) Holders acting as 

registered Market Makers in Trust 

Issued Receipts to facilitate 

surveillance. The Exchange represents 

that, for initial and continued listing, 

the Funds will be in compliance with 

Rule 10A–3 18 under the Act, as 

provided by NYSE Arca Equities Rule 

5.3. A minimum of 100,000 Shares of a 

Fund will be outstanding at the 

commencement of trading on the 

Exchange. 

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 

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.19 The Exchange 

represents that these procedures are 

adequate to properly monitor Exchange 

trading of the Shares of the Funds in all 

trading sessions and to deter and detect 

violations of Exchange rules and federal 

securities laws applicable to trading on 

the Exchange. 

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 S&P 500 

Futures Contracts with other markets 

and other entities that are members of 

the ISG, and the Exchange or FINRA, on 

behalf of the Exchange, or both, may 

obtain trading information regarding 

trading in the Shares and S&P 500 

Futures Contracts from such markets 

and other entities. In addition, the 

Exchange may obtain information 

regarding trading in the Shares and S&P 

500 Futures Contracts from markets and 

other entities that are members of ISG or 

with which the Exchange has in place 

a comprehensive surveillance sharing 

agreement (‘‘CSSA’’).20

In addition, the Exchange also has a 

general policy prohibiting the 

distribution of material, non-public 

information by its employees. 

All statements and representations 

made in this filing regarding (a) the 

description of the portfolios, indexes 

and reference assets, (b) limitations on 

portfolio holdings, indexes and 

reference assets, or (c) applicability of 

Exchange listing rules specified in this 

filing 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 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 a Fund is not in 

compliance with the applicable listing 

requirements, the Exchange will 

commence delisting procedures under 

NYSE Arca Equities Rule 5.5(m). 

Information Bulletin 

Prior to the 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. 

Specifically, the Information Bulletin 

will discuss the following: (1) The risks 

involved in trading the Shares during 

the Early and Late Trading Sessions 

when an updated IFV will not be 

calculated or publicly disseminated; (2) 

the procedures for purchases and 

redemptions of Shares in Baskets (and 

that Shares are not individually 

redeemable); (3) NYSE Arca Equities 

Rule 9.2(a), which imposes a duty of 

due diligence on its ETP Holders to 

learn the essential facts relating to every 

customer prior to trading the Shares; (4) 

how information regarding the IFV is 

disseminated; (5) how information 

regarding portfolio holdings is 


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40822 Federal Register / Vol. 82, No. 165 / Monday, August 28, 2017 / Notices 

21 15 U.S.C. 78f(b)(5). 

disseminated; (6) the requirement that 

ETP Holders deliver a prospectus to 

investors purchasing newly issued 

Shares prior to or concurrently with the 

confirmation of a transaction; and (7) 

trading information. 

In addition, the Information Bulletin 

will advise ETP Holders, prior to the 

commencement of trading, of the 

prospectus delivery requirements 

applicable to a Fund. The Exchange 

notes that investors purchasing Shares 

directly from a Fund will receive a 

prospectus. ETP Holders purchasing 

Shares from a Fund for resale to 

investors will deliver a prospectus to 

such investors. The Information Bulletin 

will also discuss any exemptive, noaction, and interpretive relief granted by 

the Commission from any rules under 

the Act. In addition, the Information 

Bulletin will reference that a Fund is 

subject to various fees and expenses 

described in the Registration Statement. 

The Information Bulletin will also 

reference that the CFTC has regulatory 

jurisdiction over the trading of stock 

index futures traded on U.S. markets. 

The Information Bulletin will also 

disclose the trading hours of the Shares 

and that the NAV for the Shares will be 

calculated after 4:00 p.m. E.T. each 

trading day. The Information Bulletin 

will disclose that information about the 

Shares will be publicly available on the 

Funds’ Web site. 

2. Statutory Basis 

The basis under the Act for this 

proposed rule change is the requirement 

under Section 6(b)(5) 21 that an 

exchange has 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 and traded on the Exchange 

pursuant to the initial and continued 

listing criteria in NYSE Arca Equities 

Rule 8.200. The Exchange has in place 

surveillance procedures that are 

adequate to properly monitor trading in 

the Shares of the Funds in all trading 

sessions and to deter and detect 

violations of Exchange rules and 

applicable federal securities laws. The 

Exchange or FINRA, on behalf of the 

Exchange, or both, will communicate as 

needed regarding trading in the Shares, 

and S&P 500 Futures Contracts with 

other markets and other entities that are 

members of the ISG, and the Exchange 

or FINRA, on behalf of the Exchange, or 

both, may obtain trading information 

regarding trading in the Shares and S&P 

500 Futures Contracts from such 

markets and other entities. In addition, 

the Exchange may obtain information 

regarding trading in the Shares and S&P 

500 Futures Contracts from markets and 

other entities that are members of ISG or 

with which the Exchange has in place 

a CSSA. All S&P 500 Futures Contracts 

are traded on CME, an ISG member. The 

Exchange will make available on its 

Web site daily trading volume of each 

of the Funds’ Shares, closing prices of 

such Shares, and number of Shares 

outstanding. The intraday, closing 

prices, and settlement prices of the S&P 

500 Futures Contracts will be readily 

available from the applicable exchange 

Web site, automated quotation systems, 

published or other public sources, or 

on-line information services. 

Complete real-time data for S&P 500 

Futures Contracts is available by 

subscription from on-line information 

services. CME also provides delayed 

futures information on current and past 

trading sessions and market news free of 

charge on its Web site. Information 

regarding exchange-traded cash-settled 

options and cleared swap contracts will 

be available from the applicable 

exchanges and major market data 

vendors. Quotation and last-sale 

information regarding the Shares will be 

disseminated through the facilities of 

the CTA. In addition, the Funds’ Web 

site will display the applicable end of 

day closing NAV. The daily holdings of 

each Fund will be disclosed on the 

Funds’ Web site before 9:30 a.m. E.T. 

each day. The Web site disclosure of 

portfolio holdings will be made daily 

and will include, as applicable, (i) the 

composite value of the total portfolio, 

(ii) the name and value of S&P 500 

Futures Contracts, (iii) the name and 

value of each Treasury Security and 

cash equivalent, and (iv) the amount of 

cash held in each Fund’s portfolio. 

Moreover, prior to the commencement 

of trading, the Exchange will inform its 

Equity Trading Permit Holders in an 

Information Bulletin of the special 

characteristics and risks associated with 

trading the Shares. Trading in Shares of 

a Fund will be halted if the circuit 

breaker parameters in NYSE Arca 

Equities Rule 7.12 have been reached or 

because of market conditions or for 

reasons that, in the view of the 

Exchange, make trading in the Shares 

inadvisable 

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 additional types of Trust Issued 

Receipts based in part on futures prices 

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 that are 

adequate to properly monitor trading in 

the Shares in all trading sessions and to 

deter and detect violations of Exchange 

rules and applicable federal securities 

laws. 

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 

additional types of issues of Trust 

Issued Receipts based on futures 

indexes 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 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 is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 


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22 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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

4 17 CFR 240.19b–4(f)(6)(iii). 

5See Exchange Rule 11.6(e)(2). 

6See Exchange Rule 11.8(e) for a complete 

description of the operation of MDOs. 

7See Exchange Rule 1.5(d). 

8See Exchange Rule 1.5(ee). 

9See Exchange Rule 11.6(e)(1). 

10The Exchange proposes to renumber existing 

paragraph (4) as (5) and to increase the numbering 

of each following paragraph under Rule 11.8(e) 

accordingly. 

11See Exchange Rule 11.6(a). 

12See Exchange Rule 11.6(a)(1). 

13See e.g, Exchange Rule 11.8(b)(4). 

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–2017–88 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSEArca–2017–88. 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 Web site (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 Web site 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; 

the Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR– 

NYSEArca–2017–88 and should be 

submitted on or before September 18, 

2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.22

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–18125 Filed 8–25–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81454; File No. SR– 

BatsEDGA–2017–21] 

Self-Regulatory Organizations; Bats 

EDGA Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule Change To Amend Rule 

11.8, Order Types, To Permit Midpoint 

Discretionary Orders To Be NonDisplayed 

August 22, 2017. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on August 

11, 2017, Bats EDGA Exchange, Inc. (the 

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

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared by the Exchange. The 

Exchange has designated this proposal 

as a ‘‘non-controversial’’ proposed rule 

change pursuant to Section 19(b)(3)(A) 

of the Act 3 and Rule 19b–4(f)(6)(iii) 

thereunder,4 which renders it effective 

upon filing with the Commission. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange filed a proposed rule 

change to permit MidPoint 

Discretionary Orders (‘‘MDO’’) to be 

Non-Displayed 5 by amending paragraph 

(e) of Exchange Rule 11.8, Order Types. 

The text of the proposed rule change 

is available at the Exchange’s Web site 

at www.bats.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 

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 

An MDO is a limit order to buy that 

is displayed at and pegged to the 

National Best Bid (‘‘NBB’’), with 

discretion to execute at prices up to and 

including the midpoint of the National 

Best Bid and Offer (‘‘NBBO’’), or a limit 

order to sell that is displayed at and 

pegged to the National Best Offer 

(‘‘NBO’’), with discretion to execute at 

prices down to and including the 

midpoint of the NBBO.6 MDOs are 

designed to exercise discretion to 

execute to the midpoint of the NBBO 

and provide price improvement over the 

NBBO. 

Currently, an MDO is displayed on 

the EDGA Book 7 at the NBB or NBO to 

which it is pegged. The Exchange now 

proposes to permit Users 8 to elect that 

their MDO be Non-Displayed on the 

EDGA Book by amending paragraph (e) 

of Exchange Rule 11.8, Order Types. 

Therefore, the Exchange proposes to add 

new paragraph (4) to the description of 

MDOs under Rule 11.8(e) stating that an 

MDO will default to a Displayed 9

instruction unless the User includes a 

Non-Displayed instruction on the order 

and will be Displayed or Non-Displayed 

on the EDGA Book at its pegged or limit 

price in accordance with paragraph (e) 

of Rule 11.8.10 The price to which an 

MDO is pegged to, whether Displayed or 

Non-Displayed, will continue to operate 

in the same manner as it does today in 

all other respects. Proposed paragraph 

(4) of Rule 11.8(e) would also specify 

that a User may elect that its MDO that 

is displayed on the EDGA Book include 

the User’s market participant identifier 

(‘‘MPID’’) by selecting the Attributable 

instruction.11 Otherwise, an MDO with 

a Displayed instruction will 

automatically default to a NonAttributable 12 instruction. This is 

consistent with the current operation of 

orders that are to be displayed on the 

EDGA Book.13


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