Federal Register / Vol. 82, No. 170 / Tuesday, September 5, 2017 / Notices 42003 

12 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Post-Effective Amendment Nos. 45 and 46 

to Registration Statement on Form N–1A for the 

Trust, dated May 15, 2017 (File Nos. 333–146827 

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

the Shares contained herein are based on 

information in the Registration Statement. 

4 26 U.S.C. 851. 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is: (i) Necessary or appropriate in 

the public interest; (ii) for the protection 

of investors; or (iii) 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– 

NASDAQ–2017–085 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–NASDAQ–2017–085. 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– 

NASDAQ–2017–085 and should be 

submitted on or before September 26, 

2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–18658 Filed 9–1–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81495; File No. SR– 

BatsBZX–2017–56] 

Self-Regulatory Organizations; Bats 

BZX Exchange, Inc.; Notice of Filing of 

a Proposed Rule Change To List and 

Trade Shares of Specified Series of the 

Innovator Shield Strategy S&P 500 

Monthly Index Series and Innovator 

Ultra Shield Strategy S&P 500 Monthly 

Index Series Under Rule 14.11(c)(3) 

August 29, 2017. 

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 August 

22, 2017, Bats BZX Exchange, Inc. 

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

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange filed a proposal to list 

and trade shares of series of the 

Innovator Shield Strategy S&P 500 

Monthly Index Series and Innovator 

Ultra Shield Strategy S&P 500 Monthly 

Index Series under the Academy Funds 

Trust, under Rule 14.11(c)(3) (‘‘Index 

Fund Shares’’). 

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 

The Exchange proposes to list and 

trade shares (‘‘Shares’’) of each series of 

the Innovator Shield Strategy S&P 500 

ETF (collectively, the ‘‘Shield Funds’’) 

and Innovator Ultra Shield Strategy S&P 

500 ETF (collectively, the ‘‘Ultra Shield 

Funds’’) (each a ‘‘Fund’’ and, 

collectively, the ‘‘Funds’’) under Rule 

14.11(c)(3), which governs the listing 

and trading of Index Fund Shares on the 

Exchange. In total, the Exchange is 

proposing to list and trade Shares of 

twelve monthly series of the Innovator 

Shield Strategy S&P 500 Monthly Index 

Series and twelve monthly series of the 

Innovator Ultra Shield Strategy S&P 500 

Monthly Index Series. Each Fund will 

be an index-based exchange traded fund 

(‘‘ETF’’). 

The Shares will be offered by 

Academy Funds Trust (the ‘‘Trust’’), 

which was established as a Delaware 

statutory trust on October 17, 2007. The 

Trust is registered with the Commission 

as an investment company and has filed 

a registration statement on Form N–1A 

(‘‘Registration Statement’’) with the 

Commission on behalf of the Funds.3

Each Fund intends to qualify each year 

as a regulated investment company (a 

‘‘RIC’’) under Subchapter M of the 

Internal Revenue Code of 1986, as 

amended.4

Each Shield Fund’s investment 

objective is to track, before fees and 

expenses, the performance of its 

respective index (the ‘‘Shield Index’’). 

Each Ultra Shield Fund’s investment 

objective is to track, before fees and 

mstockstill on DSK30JT082PROD with NOTICES

42004 Federal Register / Vol. 82, No. 170 / Tuesday, September 5, 2017 / Notices 

5As defined in Rule 14.11(c)(1)(D), the term ‘‘U.S. 

Component Stock’’ shall mean an equity security 

that is registered under Sections 12(b) or 12(g) of 

the Act, or an American Depositary Receipt, the 

underlying equity security of which is registered 

under Sections 12(b) or 12(g) of the Act. 

6Rule 14.11(c)(3)(A)(i)(e) provides that all 

securities in the applicable index or portfolio shall 

be U.S. Component Stocks listed on a national 

securities exchange and shall be NMS Stocks as 

defined in Rule 600 under Regulation NMS of the 

Act. Each component stock of the S&P 500 is a U.S. 

Component Stock that is listed on a national 

securities exchange and is an NMS Stock. Options 

are excluded from the definition of NMS Stock. The 

Funds and the Indexes meet all of the requirements 

of the listing standards for Index Fund Shares in 

Rule 14.11(c)(3), except the requirements in Rule 

14.11(c)(3)(A)(i)(a)–(e), as the Index consists of 

options on U.S. Component Stocks. The S&P 500 

consists of U.S. Component Stocks and satisfies the 

requirements of Rule 14.11(c)(3)(A)(i)(a)–(e). 

7As defined in Rule 14.11(i)(3)(E), the term 

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

limited to, the absence of trading halts in the 

applicable financial markets generally; operational 

issues causing dissemination of inaccurate market 

information or system failures; or force majeure 

type events such as natural or man-made disaster, 

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

labor disruption, or any similar intervening 

circumstance. 

expenses, the performance of its 

respective index (the ‘‘Ultra Shield 

Index’’). Innovator Capital Management 

LLC (the ‘‘Advisor’’) will act as adviser 

to the Funds. Both the Shield Index and 

the Ultra Shield Index (collectively, the 

‘‘Indexes’’) are owned and operated by 

S&P Dow Jones Indices, and were 

developed by the Chicago Board 

Options Exchange (‘‘CBOE’’ or ‘‘Index 

Provider’’) in coordination with 

Milliman Financial Risk Management 

LLC. The value of each Index is 

calculated daily as of the close of 

trading hours on the New York Stock 

Exchange by CBOE utilizing an option 

valuation model and data provided by 

CBOE. Milliman Financial Risk 

Management LLC will act as sub-adviser 

for the Funds (the ‘‘Sub-Adviser’’). 

The Indexes employ a ‘‘defined 

outcome strategy’’ that seeks to provide 

investment returns that deliver one-toone exposure to any gains of the S&P 

500 Price Return Index (‘‘S&P 500’’), up 

to a capped amount, while protecting 

investors from S&P 500 losses of up to 

a capped amount, as further described 

below. The Indexes will be composed 

exclusively of FLexible EXchange 

Options (‘‘FLEX Options’’) linked to the 

S&P 500. Defined outcome strategies are 

designed to participate in market gains 

and losses within pre-determined ranges 

over a specified period (i.e. point to 

point). These outcomes are predicated 

on the assumption that an investment 

vehicle employing the strategy is held 

for the designated outcome periods. As 

such, the Exchange is proposing to list 

up to twelve monthly series of each of 

the Shield Funds and Ultra Shield 

Funds. 

The Exchange is submitting this 

proposed rule change because the 

Indexes do not meet all of the ‘‘generic’’ 

listing requirements of Rule 

14.11(c)(3)(A)(i), applicable to the 

listing of Index Fund Shares based upon 

an index of ‘‘U.S. Component Stocks.’’ 5

Specifically, Rule 14.11(c)(3)(A)(i) sets 

forth the requirements to be met by 

components of an index or portfolio of 

U.S. Component Stocks. Because the 

Index consists of FLEX Options, rather 

than ‘‘U.S. Component Stocks’’ as 

defined in Rule 14.11(c)(1)(D), the Index 

does not satisfy the requirements of 

Rule 14.11(c)(3)(A)(i).6

The Shares will conform to the initial 

and continued listing criteria under 

Rule 14.11(c), except that the Indexes 

will not meet the requirements of Rule 

14.11(c)(3)(A)(i)(a)–(e) in that the 

Indexes will consist of options based on 

U.S. Component Stocks (i.e., FLEX 

Options that reference the S&P 500), 

rather than U.S. Component Stocks. 

Innovator Shield S&P 500 ETF 

Under Normal Market Conditions,7

each Shield Fund will attempt to 

achieve its investment objective of 

tracking, before fees and expenses, the 

performance of its respective Shield 

Index. Each Shield Index employs a 

‘‘defined outcome strategy’’ that seeks to 

provide investment returns that deliver 

one to one exposure to any gains of the 

S&P 500, up to a capped amount, while 

protecting investors from S&P 500 losses 

of up to 15%. Each Index will be 

composed exclusively of FLEX Options 

that reference the S&P 500. 

Defined outcome strategies are 

designed to participate in market gains 

and losses within pre-determined ranges 

over a specified period (i.e., point to 

point). These outcomes are predicated 

on the assumption that an investment 

vehicle employing the strategy is held 

for the designated outcome periods. The 

Shield Indexes will be composed of a 

portfolio of FLEX Options linked to an 

underlying asset, the S&P 500, that, 

when held for the specified period, 

seeks to produce returns that, over a 

period of approximately one year, 

provide one to one returns on the price 

appreciation of the S&P 500 up to a 

capped maximum annualized return 

(the ‘‘Cap Level’’), while protecting 

investors from the first 15% of S&P 500 

losses. 

The FLEX Options comprising the 

Shield Indexes will first be entered into 

on approximately the date of the Shield 

Fund’s inception and will automatically 

reset on approximately the one year 

anniversary thereafter (each, an 

‘‘outcome period’’). These FLEX 

Options have been chosen to seek to 

provide investors, before fees and 

expenses, with the following outcomes: 

• If the S&P 500 appreciates over the 

outcome period: The Shield Index seeks 

to provide a total return that matches 

the percentage increase of the S&P 500, 

up to the Cap Level; 

• If the S&P 500 decreases over the 

outcome period by 15% or less: The 

Shield Index seeks to provide a total 

return of zero; and 

• If the S&P 500 decreases over the 

outcome period by more than 15%: The 

Shield Index seeks to provide a total 

return loss that is 15% less than the 

percentage loss on the S&P 500 with a 

maximum loss of approximately 85%. 

These outcomes are sought through 

the effect of layering purchased and 

written FLEX Options that comprise the 

Shield Index. Any FLEX Options that 

are written by a Shield Fund pursuant 

to its respective Shield Index that create 

an obligation to sell or buy an asset will 

be offset with a position in FLEX 

Options purchased by the Shield Fund 

pursuant to the Shield Index to create 

the right to buy or sell the same asset 

such that the Shield Fund will always 

be in a net long position. That is, any 

obligations of a Shield Fund created by 

its writing of FLEX Options will be 

covered by offsetting positions in other 

purchased FLEX Options. As the FLEX 

Options mature at the end of each 

outcome period, they are replaced. By 

replacing FLEX Options annually, each 

Shield Index seeks to ensure that 

investments made in a given month 

during the current year buffer against 

negative returns of the S&P 500 up to 

pre-determined levels in that same 

month of the following year. The Shield 

Funds do not offer any protection 

against declines in the S&P 500 

exceeding 15% on an annualized basis. 

Shareholders will bear all S&P 500 

losses exceeding 15% on a one-to-one 

basis. 

The value of the FLEX Options 

purchased by a Shield Fund in 

accordance with the Index on any given 

day will be reflected in the Shield 

Fund’s net asset value (‘‘NAV’’). The 

FLEX Options owned by the Shield 

Funds will have the same terms (i.e. 

same strike price and expiration) for all 

investors of the Shield Fund within an 

outcome period. The Cap Level is 

determined with respect to the 

applicable Shield Index on the 

inception date of the Shield Fund and 

at the beginning of each outcome 

period. 

mstockstill on DSK30JT082PROD with NOTICES

Federal Register / Vol. 82, No. 170 / Tuesday, September 5, 2017 / Notices 42005 

8As defined in Rule 14.11(i)(4)(C)(iii), cash 

equivalents include short-term instruments with 

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

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

and bonds differing as to maturity and rates of 

interest, which are either issued or guaranteed by 

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

or instrumentalities; (ii) certificates of deposit 

issued against funds deposited in a bank or savings 

and loan association; (iii) bankers acceptances, 

which are short-term credit instruments used to 

finance commercial transactions; (iv) repurchase 

agreements and reverse repurchase agreements; (v) 

bank time deposits, which are monies kept on 

deposit with banks or savings and loan associations 

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

(vi) commercial paper, which are short-term 

unsecured promissory notes; and (vii) money 

market funds. 

9See https://www.theocc.com/webapps/flexreports. Unless otherwise noted, all statistics 

provided herein are based on information from the 

Options Clearing Corporation. 

10As of July 24, 2017, FLEX Options on the S&P 

500 had open interest of 349,596 contracts. 

Innovator Ultra Shield Strategy S&P 500 

ETF 

Under Normal Market Conditions, 

each Ultra Shield Fund will attempt to 

achieve its investment objective of 

tracking, before fees and expenses, the 

performance of its respective Ultra 

Shield Index. Each Ultra Shield Index 

employs a ‘‘defined outcome strategy’’ 

that seeks to provide investment returns 

that deliver one to one exposure to any 

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

amount, while protecting investors from 

S&P 500 losses of between 5% and 35%. 

Each Index will be composed 

exclusively of FLEX Options that 

reference the S&P 500. 

Defined outcome strategies are 

designed to participate in market gains 

and losses within pre-determined ranges 

over a specified period (i.e., point to 

point). These outcomes are predicated 

on the assumption that an investment 

vehicle employing the strategy is held 

for the designated outcome periods. The 

Ultra Shield Indexes will be composed 

of a portfolio of FLEX Options linked to 

an underlying asset, the S&P 500, that, 

when held for the specified period, 

seeks to produce returns that, over a 

period of approximately one year, 

provide one to one returns on the price 

appreciation of the S&P 500 up to the 

Cap Level, while protecting investors 

from between 5% and 35% of S&P 500 

losses. 

The FLEX Options comprising the 

Ultra Shield Indexes will first be 

entered into on approximately the date 

of the Shield Fund’s inception and will 

automatically reset on approximately 

the one year anniversary thereafter 

(each, an ‘‘outcome period’’). These 

FLEX Options have been chosen to seek 

to provide investors, before fees and 

expenses, with the following outcomes: 

• If the S&P 500 appreciates over the 

outcome period: The Ultra Shield Index 

seeks to provide a total return that 

matches the percentage increase of the 

S&P 500, up to the Cap Level; 

• If the S&P 500 decreases over the 

outcome period by 5% or less: The Ultra 

Shield Index seeks to provide a total 

return loss that is equal to the 

percentage loss on the S&P 500; 

• If the S&P 500 decreases over the 

outcome period by 5%–35%: The Ultra 

Shield Index seeks to provide a total 

return loss of 5%; and 

• If the S&P If the S&P 500 decreases 

over the outcome period by more than 

35%: The Ultra Shield Index seeks to 

provide a total return loss that is 30% 

less than the percentage loss on the S&P 

500 with a maximum loss of 

approximately 70%. 

These outcomes are sought through 

the effect of layering purchased and 

written FLEX Options that comprise an 

Ultra Shield Index. Any FLEX Options 

that are written by an Ultra Shield Fund 

pursuant to its respective Ultra Shield 

Index that create an obligation to sell or 

buy an asset will be offset with a 

position in FLEX Options purchased by 

the Ultra Shield Fund pursuant to the 

Ultra Shield Index to create the right to 

buy or sell the same asset such that the 

Ultra Shield Fund will always be in a 

net long position. That is, any 

obligations of an Ultra Shield Fund 

created by its writing of FLEX Options 

will be covered by offsetting positions 

in other purchased FLEX Options. As 

the FLEX Options mature at the end of 

each outcome period, they are replaced. 

By replacing FLEX Options annually, 

each Ultra Shield Index seeks to ensure 

that investments made in a given month 

during the current year buffer against 

negative returns of the S&P 500 up to 

pre-determined levels in that same 

month of the following year. The Ultra 

Shield Fund does not offer any 

protection against declines in the S&P 

500 of less than 5% or exceeding 35% 

on an annualized basis thereafter. 

Shareholders will bear all S&P 500 

losses less than 5% and exceeding 35% 

on a one-to-one basis. 

The value of the FLEX Options 

purchased by the Ultra Shield Fund in 

accordance with the Index on any given 

day will be reflected in the Ultra Shield 

Fund’s NAV. The FLEX Options owned 

by an Ultra Shield Fund will have the 

same terms (i.e., same strike price and 

expiration) for all investors of the Ultra 

Shield Fund within an outcome period. 

The Cap Level is determined with 

respect to the Index on the inception 

date of the Ultra Shield Fund and at the 

beginning of each outcome period. 

Investment Methodology for the Funds 

Under Normal Market Conditions, 

each of the Funds will invest not less 

than 80% of its assets in the FLEX 

Options that comprise their respective 

Index. Each of the Funds may invest up 

to 20% of its net assets (in the aggregate) 

in other investments that are not 

included in the Fund’s respective Index, 

but which the Adviser or Sub-Adviser 

believes will help the Fund to track its 

Index and that will be disclosed at the 

end of each trading day (‘‘Other 

Assets’’). Other Assets include only cash 

or cash equivalents, as defined in Rule 

14.11(i)(4)(C)(iii),8 and traditional U.S. 

exchange-traded options contracts that 

reference either the S&P 500 or ETFs 

that track the S&P 500 (‘‘Reference 

ETFs’’). 

S&P 500 FLEX Options 

The market for options contracts on 

the S&P 500 traded on CBOE, including 

FLEX Options, is among the most liquid 

markets in the world [sic] S&P 500 

FLEX Options are a subset of S&P 500 

options traded on the CBOE.9 In 2016, 

1,023,623 options contracts on the S&P 

500 were traded per day on CBOE, 

which is more than $200 billion in 

notional volume traded on a daily 

basis.10 While, as described below, 

FLEX Options are traded differently 

than traditional options contracts, the 

Exchange believes that the liquidity and 

arbitrage opportunities of the S&P 500 

bolsters the market for FLEX Options, as 

described below. 

FLEX Options on the S&P 500 are 

quoted by the same market makers that 

trade traditional options contracts. 

Every FLEX Option order submitted to 

CBOE is exposed to a competitive 

auction process for price discovery. The 

process begins with a request for quote 

(‘‘RFQ’’) in which the interested party 

establishes the terms of the FLEX 

Options contract. The RFQ solicits 

interested market participants, 

including on-floor market makers, 

remote market makers trading 

electronically, and member firm traders, 

to respond to the RFQ with bids or 

offers through a competitive process. 

This solicitation contains all of the 

contract specifications-underlying, size, 

type of option, expiration date, strike 

price, exercise style and settlement 

basis. During a specified amount of 

time, responses to the RFQ are received 

and at the end of that time period, the 

initiator can decide whether to accept 

the best bid or offer. The process occurs 

under the rules of CBOE which means 

that customer transactions are effected 

according to the principles of a fair and 

orderly market following trading 

procedures and policies developed by 

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42006 Federal Register / Vol. 82, No. 170 / Tuesday, September 5, 2017 / Notices 

11The Exchange notes that CBOE is a member of 

the Option Price Regulatory Surveillance Authority, 

which was established in 2006, to provide 

efficiencies in looking for insider trading and serves 

as a central organization to facilitate collaboration 

in insider trading and investigations for the U.S. 

options exchanges. For more information, see 

http://www.cboe.com/aboutcboe/legal/ 

departments/orsareg.aspx. 

12For a list of the current members and affiliate 

members of ISG, see www.isgportal.com. 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. 

13 15 U.S.C. 78f. 

14 15 U.S.C. 78f(b)(5). 

15Rule 14.11(c)(3)(A)(i)(e) provides that all 

securities in the applicable index or portfolio shall 

be U.S. Component Stocks listed on a national 

securities exchange and shall be NMS Stocks as 

defined in Rule 600 under Regulation NMS of the 

Act. Each component stock of the S&P 500 is a U.S. 

Component Stock that is listed on a national 

securities exchange and is an NMS Stock. Options 

are excluded from the definition of NMS Stock. The 

Funds and the Indexes meet all of the requirements 

of the listing standards for Index Fund Shares in 

Rule 14.11(c)(3), except the requirements in Rule 

CBOE. By way of example, during June 

and July 2017, the Sub-Adviser traded 

2,500 FLEX Option S&P 500 contracts 

with a notional exposure of $626 

million. The trades were executed at 

approximately .25% from the midmarket mark, which is similar to the 

transaction costs of exchange traded 

funds of similar size. 

The Exchange believes that sufficient 

protections are in place to protect 

against market manipulation of the 

Funds’ Shares and FLEX Options on the 

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

liquidity in the market for options on 

the S&P 500; (ii) the competitive quoting 

process for FLEX Options; (iii) the 

diversity, liquidity, and market cap of 

the securities underlying the S&P 500; 

and (iv) surveillance by the Exchange, 

CBOE and the Financial Industry 

Regulatory Authority (‘‘FINRA’’) 

designed to detect violations of the 

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

[sic]. 

Trading in the Shares and the 

underlying investments will be subject 

to the federal securities laws and 

Exchange, CBOE and FINRA rules and 

surveillance programs.11 In this regard, 

the Exchange has in place a surveillance 

program for transactions in ETFs to 

ensure the availability of information 

necessary to detect and deter potential 

manipulations and other trading abuses, 

thereby making the Shares less readily 

susceptible to manipulation as assets in 

the portfolio—comprised primarily of 

FLEX Options on the S&P 500—will be 

acquired in extremely liquid and highly 

regulated markets. 

As noted above, options on the S&P 

500 are among the most liquid options 

in the world and derive their value from 

the actively traded S&P 500 Index 

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

ETFs, and trade in competitive auction 

markets with price and quote 

transparency. The Exchange believes the 

highly regulated options markets and 

the broad base and scope of the S&P 500 

Index make securities that derive their 

value from the index less susceptible to 

market manipulation in view of market 

capitalization and liquidity of the S&P 

500 components, price and quote 

transparency, and arbitrage 

opportunities. 

The Exchange believes that the 

efficiency and liquidity of the markets 

for S&P 500 securities, options on the 

S&P 500, including FLEX Options, and 

other related derivatives are sufficiently 

great to deter fraudulent or 

manipulative acts associated with the 

Funds’ Shares price. The Exchange also 

believes that such efficiency and 

liquidity are sufficient to support the 

creation and redemption mechanism. 

Coupled with the extensive surveillance 

programs of the SROs described above, 

the Exchange does not believe that 

trading in the Fund’s Shares would 

present manipulation concerns. 

The Exchange represents that, except 

as described above, the Funds will meet 

each of the initial and continued listing 

criteria in BZX Rule 14.11(c) with the 

exception Rule 14.11(c)(3)(A)(i), 

applicable to the listing of Index Fund 

Shares based upon an index of ‘‘U.S. 

Component Stocks.’’ The Trust is 

required to comply with Rule 10A–3 

under the Act for the initial and 

continued listing of the Shares of the 

Fund. In addition, the Exchange 

represents that the Shares of the Funds 

will comply with all other requirements 

applicable to Index Fund Shares 

including, but not limited to, 

requirements relating to the 

dissemination of key information such 

as the Disclosed Portfolio, Net Asset 

Value, and the Intraday Indicative 

Value, rules governing the trading of 

equity securities, trading hours, trading 

halts, surveillance, and the information 

circular, as set forth in Exchange rules 

applicable to Index Fund Shares and the 

orders approving such rules. Moreover, 

all of the options contracts held by the 

Funds will trade on markets that are a 

member of Intermarket Surveillance 

Group (‘‘ISG’’) or affiliated with a 

member of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement.12 All 

statements and representations made in 

this filing 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, and intraday indicative 

values, and the applicability of 

Exchange rules specified in this filing 

shall constitute continued listing 

requirements for the Funds. The issuer 

has represented to the Exchange that it 

will advise the Exchange of any failure 

by the Fund or the Shares to comply 

with the continued listing requirements, 

and, pursuant to its obligations under 

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

will surveil for compliance with the 

continued listing requirements. If the 

Fund or the Shares are not in 

compliance with the applicable listing 

requirements, the Exchange will 

commence delisting procedures under 

Exchange Rule 14.12. 

2. Statutory Basis 

The Exchange believes that the 

proposal is consistent with Section 6(b) 

of the Act 13 in general and Section 

6(b)(5) of the Act 14 in particular in that 

it is designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to foster cooperation and 

coordination with persons engaged in 

facilitating transactions in securities, to 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest. 

The Exchange believes that the 

proposed rule change is designed to 

prevent fraudulent and manipulative 

acts and practices, to promote just and 

equitable principles of trade, to foster 

cooperation and coordination with 

persons engaged in facilitating 

transactions in securities, to remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest in that the Shares of each 

Fund will meet each of the initial and 

continued listing criteria in BZX Rule 

14.11(c) with the exception Rule 

14.11(c)(3)(A)(i), applicable to the 

listing of Index Fund Shares based upon 

an index of ‘‘U.S. Component Stocks.’’ 

Specifically, Rule 14.11(c)(3)(A)(i) sets 

forth the requirements to be met by 

components of an index or portfolio of 

U.S. Component Stocks. Because the 

Index consists of FLEX Options, rather 

than ‘‘U.S. Component Stocks’’ as 

defined in Rule 14.11(c)(1)(D), the Index 

does not satisfy the requirements of 

Rule 14.11(c)(3)(A)(i).15 The Exchange 

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Federal Register / Vol. 82, No. 170 / Tuesday, September 5, 2017 / Notices 42007 

14.11(c)(3)(A)(i)(a)–(e), as the Index consists of 

options on U.S. Component Stocks. The S&P 500 

consists of U.S. Component Stocks and satisfies the 

requirements of Rule 14.11(c)(3)(A)(i)(a)–(e). 

16 In 2016, 1,023,623 options contracts on the S&P 

500 were traded per day on CBOE, which is more 

than $200 billion in notional volume traded on a 

daily basis. 

17The Exchange notes that CBOE is a member of 

the Option Price Regulatory Surveillance Authority, 

which was established in 2006, to provide 

efficiencies in looking for insider trading and serves 

as a central organization to facilitate collaboration 

in insider trading and investigations for the U.S. 

options exchanges. For more information, see 

http://www.cboe.com/aboutcboe/legal/ 

departments/orsareg.aspx. 

18For a list of the current members and affiliate 

members of ISG, see www.isgportal.com. 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. 

believes that the concerns that Rule 

14.11(c)(3)(A)(i) are intended to address 

are mitigated by: (i) The liquidity in the 

market for options on the S&P 500; 16 (ii) 

the competitive quoting process for 

FLEX Options; and (iii) the diversity, 

liquidity, and market cap of the 

securities underlying the S&P 500. 

Further, trading in the Shares and the 

underlying Fund investments will be 

subject to the federal securities laws and 

Exchange, CBOE and FINRA rules and 

surveillance programs.17 In this regard, 

the Exchange has in place a surveillance 

program for transactions in ETFs to 

ensure the availability of information 

necessary to detect and deter potential 

manipulations and other trading abuses, 

thereby making the Shares less readily 

susceptible to manipulation as assets in 

the portfolio—comprised primarily of 

FLEX Options on the S&P 500—will be 

acquired in extremely liquid and highly 

regulated markets. 

As noted above, options on the S&P 

500 are among the most liquid options 

in the world and derive their value from 

the actively traded S&P 500 Index 

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

ETFs, and trade in competitive auction 

markets with price and quote 

transparency. The Exchange believes the 

highly regulated options markets and 

the broad base and scope of the S&P 500 

Index make securities that derive their 

value from the index less susceptible to 

market manipulation in view of market 

capitalization and liquidity of the S&P 

500 components, price and quote 

transparency, and arbitrage 

opportunities. 

The Exchange believes that the 

efficiency and liquidity of the markets 

for S&P 500 securities, options on the 

S&P 500, and other related derivatives 

are sufficiently great to deter fraudulent 

or manipulative acts associated with the 

Funds’ Shares price. The Exchange also 

believes that such efficiency and 

liquidity are sufficient to support the 

creation and redemption mechanism. 

Coupled with the extensive surveillance 

programs of the SROs described above, 

the Exchange does not believe that 

trading in the Fund’s Shares would 

present manipulation concerns. 

The Exchange represents that, except 

as described above, the Funds will 

satisfy, on an initial and continued 

listing basis, all of the generic listing 

standards under BZX Rule 

14.11(c)(3)(A)(i) and all other applicable 

requirements for Index Fund Shares 

under Rule 14.11(c). The Trust is 

required to comply with Rule 10A–3 

under the Act for the initial and 

continued listing of the Shares of the 

Fund. In addition, the Exchange 

represents that the Shares of the Funds 

will comply with all other requirements 

applicable to Index Fund Shares 

including, but not limited to, 

requirements relating to the 

dissemination of key information such 

as the Disclosed Portfolio, Net Asset 

Value, and the Intraday Indicative 

Value, rules governing the trading of 

equity securities, trading hours, trading 

halts, surveillance, and the information 

circular, as set forth in Exchange rules 

applicable to Index Fund Shares and the 

orders approving such rules. Moreover, 

all of the options contracts held by the 

Funds will trade on markets that are a 

member of ISG or affiliated with a 

member of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement.18 All 

statements and representations made in 

this filing 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, and intraday indicative 

values, and the applicability of 

Exchange rules specified in this filing 

shall constitute continued listing 

requirements for the Fund. The issuer 

has represented to the Exchange that it 

will advise the Exchange of any failure 

by the Fund or the Shares to comply 

with the continued listing requirements, 

and, pursuant to its obligations under 

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

will surveil for compliance with the 

continued listing requirements. If the 

Fund or the Shares are not in 

compliance with the applicable listing 

requirements, the Exchange will 

commence delisting procedures under 

Exchange Rule 14.12. 

For the above reasons, the Exchange 

believes that the proposed rule change 

is consistent with the requirements of 

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

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purpose of the Act. The Exchange 

notes that the proposed rule change will 

facilitate the listing and trading of an 

additional type of Index Fund Shares 

that will enhance competition among 

market participants, to the benefit of 

investors and the marketplace. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange has neither solicited 

nor received written comments on the 

proposed rule change. 

III. 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 Exchange 

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– 

BatsBZX–2017–56 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–BatsBZX–2017–56. This file 

number should be included on the 

subject line if email is used. To help the 

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42008 Federal Register / Vol. 82, No. 170 / Tuesday, September 5, 2017 / Notices 

19 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. 

4Pursuant to NYSE Rule 123C(2), orders 

designated for the close, including Market on Close 

(‘‘MOC’’) and Limit on Close (‘‘LOC’’) Orders can 

be entered after 3:45 p.m. to offset a published 

Mandatory MOC/LOC Imbalance Publication. 

Closing Offset (‘‘CO’’) Orders can be entered on 

both sides of the market up to 4:00 p.m. regardless 

of whether there is a published imbalance. 

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– 

BatsBZX–2017–56 and should be 

submitted on or before September 26, 

2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.19

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–18660 Filed 9–1–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

Sunshine Act Meeting 

Notice is hereby given, pursuant to 

the provisions of the Government in the 

Sunshine Act, Public Law 94–409, that 

the Securities and Exchange 

Commission will hold a closed meeting 

on Wednesday, September 6, 2017 at 2 

p.m. 

Commissioners, Counsel to the 

Commissioners, the Secretary to the 

Commission, and recording secretaries 

will attend the closed meeting. Certain 

staff members who have an interest in 

the matters also may be present. 

The General Counsel of the 

Commission, or his designee, has 

certified that, in his opinion, one or 

more of the exemptions set forth in 5 

U.S.C. 552b(c)(3), (5), (7), 9(B) and (10) 

and 17 CFR 200.402(a)(3), (a)(5), (a)(7), 

(a)(9)(ii) and (a)(10), permit 

consideration of the scheduled matters 

at the closed meeting. 

Commissioner Stein, as duty officer, 

voted to consider the items listed for the 

closed meeting in closed session. 

The subject matters of the closed 

meeting will be: 

Institution and settlement of 

injunctive actions; 

Institution and settlement of 

administrative proceedings; 

Adjudicatory matters; 

Resolution of litigation claims; and 

Other matters relating to enforcement 

proceedings. 

At times, changes in Commission 

priorities require alterations in the 

scheduling of meeting items. 

For further information and to 

ascertain what, if any, matters have been 

added, deleted or postponed; please 

contact Brent J. Fields from the Office of 

the Secretary at (202) 551–5400. 

Dated: August 30, 2017. 

Brent J. Fields, 

Secretary. 

[FR Doc. 2017–18807 Filed 8–31–17; 11:15 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81494; File No. SR–NYSE– 

2017–32] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; Notice of 

Filing of Proposed Rule Change To 

Amend Section 202.06 of the NYSE 

Listed Company Manual To Prohibit 

Listed Companies From Issuing 

Material News After the Official Closing 

Time for the Exchange’s Trading 

Session Until the Earlier of Publication 

of Such Company’s Official Closing 

Price on the Exchange or Five Minutes 

After the Official Closing Time 

August 29, 2017. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that, on August 

17, 2017, New York Stock Exchange 

LLC (‘‘NYSE’’ or the ‘‘Exchange’’) filed 

with the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I, II, and III below, which Items 

have been prepared by the selfregulatory 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 amend 

Section 202.06 of the NYSE Listed 

Company Manual (the ‘‘Manual’’) to 

limit the issuance of material news by 

listed companies in the period 

immediately after the official closing 

time for the Exchange’s trading session. 

The proposed rule 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 amend 

Section 202.06 of the Manual to limit 

the issuance of material news by listed 

companies in the period immediately 

after the official closing time for the 

Exchange’s trading session. 

Continuous trading on the Exchange 

ends at the Exchange’s official closing 

time of 4:00 p.m. Eastern Time (except 

that on certain days the official closing 

time occurs early at 1:00 p.m. Eastern 

Time), which is when the Exchange 

stops accepting new orders, including 

orders designated for the closing 

auction, and requests to cancel orders.4

The Designated Market Maker (‘‘DMM’’) 

registered in a security facilitates the 

close of trading after continuous trading 

ends at the official closing time of 4:00 

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