Federal Register / Vol. 82, No. 172 / Thursday, September 7, 2017 / Notices 42399 

23 17 CFR 240.17Ad–22(e)(23)(i), (ii). 

24 15 U.S.C. 78q–1(b)(3)(I). 

25 15 U.S.C. 78s(b)(3)(A). 

26 17 CFR 240.19b–4(f). 

27 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

consequences. By doing so, the 

proposed rule change would provide for 

the public disclosure of the rules and 

procedures through which FICC 

assesses, collects and withholds certain 

margin charges, credits and/or 

entitlements from members on the 

Watch List. By providing information 

regarding the assessment, collection and 

withholding of certain margin charges 

and other consequences of the Watch 

List, the proposed rule change would 

also enable FICC’s members to identify 

and evaluate the risks and material costs 

they incur by participating in FICC. As 

such, FICC believes the proposed rule 

change is consistent with Rule 17Ad– 

22(e)(23)(i) and (ii) under the Act.23

(B) Clearing Agency’s Statement on 

Burden on Competition 

FICC does not believe that the 

proposed rule change would impact 

competition.24 The proposed rule 

change provides interpretive guidance 

with respect to existing Rules and 

would increase the transparency of the 

Rules regarding the Watch List and its 

impact on FICC members’ respective 

Clearing Fund deposits and other 

consequences by clarifying FICC’s 

current practices with respect to the 

assessment, collection and withholding 

of certain margin charges, credits and/ 

or entitlements from members on the 

Watch List. The proposed rule change 

would not change such current 

practices. As such, FICC believes that 

the proposed rule change will not 

impact FICC members or have any 

impact on competition. 

(C) Clearing Agency’s Statement on 

Comments on the Proposed Rule 

Change Received From Members, 

Participants, or Others 

Written comments relating to this 

proposed rule change have not been 

solicited or received. FICC will notify 

the Commission of any written 

comments received by FICC. 

III. Date of Effectiveness of the 

Proposed Rule Change, and Timing for 

Commission Action 

The foregoing rule change has become 

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

of the Act 25 and paragraph (f) of Rule 

19b–4 thereunder.26 At any time within 

60 days of the filing of the proposed rule 

change, the Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• 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– 

FICC–2017–019 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE., 

Washington, DC 20549. 

All submissions should refer to File 

Number SR–FICC–2017–019. 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 FICC and on DTCC’s Web site 

(http://dtcc.com/legal/sec-rulefilings.aspx). 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–FICC– 

2017–019 and should be submitted on 

or before September 28, 2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.27

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–18936 Filed 9–6–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81510; File No. SR– 

BatsBZX–2017–53] 

Self-Regulatory Organizations; Bats 

BZX Exchange, Inc.; Notice of Filing of 

a Proposed Rule Change To List and 

Trade Shares of the WisdomTree 

CBOE Russell 2000 PutWrite Strategy 

Fund, a Series of the WisdomTree 

Trust, Under Rule 14.11(c)(3), Index 

Fund Shares 

August 31, 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 

18, 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 the WisdomTree 

CBOE Russell 2000 PutWrite Strategy 

Fund, a series of the WisdomTree 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 

mstockstill on DSK30JT082PROD with NOTICES

42400 Federal Register / Vol. 82, No. 172 / Thursday, September 7, 2017 / Notices 

3See Post-Effective Amendment No. 595 to 

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

dated July 27, 2017 (File Nos. 333–132380 and 811– 

21864). The descriptions of the Fund and the 

Shares contained herein are based on information 

in the Registration Statement. 

4As 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. 

5As defined in Rule 14.11(c)(4), the term ‘‘Fixed 

Income Security’’ shall mean debt securities that are 

notes, bonds, debentures or evidence of 

indebtedness that include, but are not limited to, 

U.S. Department of Treasury securities (‘‘Treasury 

Securities’’), government-sponsored entity 

securities (‘‘GSE Securities’’), municipal securities, 

trust preferred securities supranational debt and 

debt of a foreign country or subdivision thereof. 

6The Exchange notes that the Russell 2000 Index 

has been previously approved by the Commission 

under Section 19(b)(2) of the Act in connection 

with the listing and trading of FLEX Options and 

Quarterly Index Options, as well as other securities. 

See, e.g., Securities Exchange Act Release Nos. 

32694 (July 29, 1993), 58 FR 41814 (July 5, 1993) 

(approving the listing and trading of FLEX Options 

based on the Russell 2000 Index); 32693 (July 29, 

1993), 58 FR 41817 (August 5, 1993) (approving the 

listing and trading of Quarterly Index Option based 

on the Russell 2000 Index). Rule 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 

Russell 2000 Index 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 Fund and the Index 

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 Russell 2000 Index consists of U.S. 

Component Stocks and satisfies the requirements of 

Rule 14.11(c)(3)(A)(i)(a)–(e). 

7See Securities Exchange Act Release Nos. 74675 

(April 8, 2015), 80 FR 20038 (April 14, 2015) (order 

approving proposed rule change to list shares of the 

Wisdom Tree Put Write Strategy Fund) and 77045 

(February 3, 2016), 81 FR 6916 (February 9, 2016) 

(order approving a proposed rule change relating to 

the index underlying the WisdomTree Put Write 

Strategy Fund). 

8The 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 manmade disaster, act of God, armed conflict, act of 

terrorism, riot or labor disruption, or any similar 

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 the 

WisdomTree CBOE Russell 2000 

PutWrite Strategy Fund (‘‘Fund’’) under 

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

listing and trading of Index Fund Shares 

on the Exchange. The Fund will be an 

index-based exchange traded fund 

(‘‘ETF’’). 

The Shares will be offered by the 

WisdomTree Trust (‘‘Trust’’), which was 

established as a Delaware statutory trust 

on December 15, 2005. 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 Fund.3

The Fund’s investment objective is to 

seek investment results that track the 

price and yield performance, before fees 

and expenses, of the CBOE Russell 2000 

PutWrite Index (‘‘Index’’). The Index 

was developed and is maintained by the 

Chicago Board Options Exchange, Inc. 

(‘‘CBOE’’ or the ‘‘Index Provider’’), used 

under license from The Frank Russell 

Company. None of the Trust, 

WisdomTree Asset Management, Inc. 

(the ‘‘Adviser’’), Mellon Capital 

Management (the ‘‘Sub-Adviser’’), State 

Street Bank and Trust Company (the 

‘‘Administrator, ‘‘Custodian,’’ and 

‘‘Transfer Agent’’), or Foreside Fund 

Services, LLC (the ‘‘Distributor’’) is 

affiliated with the Index Provider. 

The Index tracks the value of a 

passive investment strategy, which 

consists of selling (or ‘‘writing’’) Russell 

2000 Index put options (‘‘RUT Puts’’) 

and investing the sale proceeds in onemonth Treasury bills (‘‘RUT Strategy’’). 

The RUT Puts are struck at-the-money 

and are sold on a monthly basis, usually 

the third Friday of the month (i.e., the 

‘‘Roll Date’’), which matches the 

expiration date of the RUT Puts. All 

RUT Puts are standardized options 

traded on the CBOE. The Index consists 

of only two components: RUT Puts and 

one-month Treasury bills. 

The Exchange is submitting this 

proposed rule change because the Index 

for the Fund does not meet the listing 

requirements of Rule 14.11(c)(5) 

applicable to an Index that consists of 

both U.S. Component Stocks 4 and Fixed 

Income Securities,5 which requires that 

the equity and fixed income component 

securities separately meet the criteria set 

forth in Rule 14.11(c)(3)(A)(i) and 

14.11(c)(4), respectively. Specifically, 

the Fund does 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. 

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 primarily of RUT Puts, 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 Fixed 

Income Security component of the 

Index, which consists of only onemonth Treasury bills, meets the 

‘‘generic’’ listing requirements of Rule 

14.11(c)(4). 

The Shares will conform to the initial 

and continued listing criteria under 

Rule 14.11(c), except that the Index will 

not meet the requirements of Rule 

14.11(c)(3)(A)(i)(a)–(e) in that the Index 

will consist of one series of options 

based on U.S. Component Stocks (i.e., 

RUT Puts), rather than U.S. Component 

Stocks. The Exchange notes that the 

Commission has previously approved a 

fund that employs a very similar 

strategy.7

WisdomTree CBOE Russell 2000 

PutWrite Strategy Fund Index 

Methodology 

The Fund seeks to track the 

performance of an underlying index, the 

CBOE Russell 2000 PutWrite Index 

(‘‘Index’’). The Index is based on a 

passive investment strategy which 

consists of overlapping hypothetical 

investments in a single series of 

exchange-listed Russell 2000 Index 

options (‘‘RUT Puts’’) over a money 

market account hypothetically invested 

in one-month Treasury bills. 

Specifically, the Index hypothetically 

writes at-the-money RUT Puts on a 

monthly basis, usually on the third 

Friday of the month (i.e., the Roll Date), 

which matches the expiration date of 

the hypothetical RUT Puts. All RUT 

Puts hypothetically invested in by the 

Index are standardized options traded 

on the CBOE. At each Roll Date, any 

settlement loss in the Index based on 

the expiring RUT Puts is financed by the 

Treasury bill account and a new batch 

of hypothetical at-the-money RUT Puts 

is sold. Revenue from their sale is added 

to the Index’s hypothetical Treasury bill 

account. On each Roll Date, the revenue 

from the hypothetical sale of RUT Puts 

is hypothetically invested separately at 

the one-month Treasury bill rate, and 

where applicable, any one-month 

Treasury bills purchased in the prior 

month are deemed to mature and 

hypothetically invested in new onemonth Treasury bills at the one-month 

Treasury bill rate. As stated above, all 

investments used to determine Index 

value are hypothetical. 

Fund’s Investment Methodology 

Under Normal Market Conditions,8

the Fund will invest not less than 80% 

mstockstill on DSK30JT082PROD with NOTICES

Federal Register / Vol. 82, No. 172 / Thursday, September 7, 2017 / Notices 42401 

intervening circumstance. In response to adverse 

market, economic, political, or other conditions, the 

Fund reserves the right to invest in U.S. government 

securities, other money market instruments (as 

defined below), and cash, without limitation, as 

determined by the Adviser or Sub-Adviser. In the 

event the Fund engages in these temporary 

defensive strategies that are inconsistent with its 

investment strategies, the Fund’s ability to achieve 

its investment objectives may be limited. 

9Source: CBOE. 

10Source: CBOE. 

11The Exchange notes that CBOE is a member of 

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

12The 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. 

13The Treasury securities in which the Fund may 

invest will include variable rate Treasury securities, 

whose rates are adjusted daily (or at such other 

increment as may later be determined by the 

Department of the Treasury) to generally 

correspond with the rate paid on one-month 

Treasury securities. 

of its assets in RUT Puts and one month 

or three-month U.S. Treasury bills. The 

Fund may invest up to 20% of its net 

assets (in the aggregate) in other 

investments, that are not included in the 

Index, but which the Adviser or the 

Sub-Adviser believes will help the Fund 

to track the Index and that will be 

disclosed daily (‘‘Other Assets’’). The 

Fund’s investment strategy will be 

designed to write a sequence of onemonth, at-the-money, RUT Puts and 

invest cash and Other Assets targeted to 

achieve one-month Treasury bill rates. 

The number of RUT Puts written will 

vary from month to month, but will be 

limited to permit the amount held in the 

Fund’s investment in Treasury bills to 

finance the maximum possible loss from 

final settlement of the RUT Puts. 

According to the Registration Statement, 

the Fund will generally use a sampling 

strategy in seeking to track the Index. 

The new RUT Puts will be struck and 

sold on a monthly basis on the Roll 

Date, (i.e., the same Roll Date at that 

used by the Index), which matches the 

expiration date of the current RUT Puts. 

The strike price of the new RUT Puts 

will be based on the strike price of 

Russell 2000 Index put options listed on 

the CBOE with the closest strike price 

below the last value of the Russell 2000 

Index reported before 11:00 a.m. ET. For 

example, if the last Russell 2000 Index 

value reported before 11:00 a.m. ET is 

1,137.02 and the closest listed Russell 

2000 Index put option with a strike 

price below 1,137.02 is 1,130, then the 

1,130 strike RUT put option will be sold 

by the Fund. 

Russell 2000 Index options traded on 

CBOE are highly liquid, with average 

daily trading volume in 2016 of 71,365 

contracts, with a notional size per 

contract of $117,169. The Exchange 

represents that the daily trading volume 

of at-the-money 30-day RUT Puts on 

each of the three recent Roll Dates was 

as follows: For Roll Date of April 21, 

2017 (expiry May 19, 2017), strike price 

of 1375, 315 contracts on Roll Date, 209 

average contracts per day through 

expiration; for Roll Date of May 19, 2017 

(expiry June 16, 2017), strike price of 

1370, 1,133 contracts on Roll Date, 701 

average contracts per day through 

expiration; and for Roll Date of June 16, 

2017 (expiry July 21, 2017), strike price 

of 1400, 545 contracts on Roll Date, 527 

average contracts per day through 

expiration.9 Moreover, the proceeds of 

the sales of the RUT Puts will be 

invested in U.S. Treasury bills, which 

are also highly liquid instruments. 

The daily high, low and last reported 

sales prices on each of the Roll Dates for 

RUT Puts at-the-money are as follows: 

Roll Date of April 21, 2017 (expiry May 

19, 2017, strike price of 1375, daily 

high: $23.54, low: $21.88, last: $22.40; 

Roll Date of May 19, 2017 (expiry June 

16, 2017), strike price of 1370, daily 

high: $27.39, low: $20.15, last: $23.97; 

and Roll Date of June 16, 2017 (expiry 

July 21, 2017), strike price of 1400, daily 

high: $24.90, low: $18.46, last: $18.67.10

The Exchange estimates that on 

launch date, the Fund would hold 

approximately $2.5–$5.0 million in cash 

and cash equivalents (e.g., one-month 

Treasury bills). This estimate is based 

on a minimum of 100,000–200,000 

Shares being created at an estimated 

initial offering price of $25 per Share. 

The Exchange believes that sufficient 

protections are in place to protect 

against market manipulation of the 

Fund’s Shares and RUT Puts for several 

reasons: (i) Surveillance by the 

Exchange, CBOE 11 and the Financial 

Industry Regulatory Authority 

(‘‘FINRA’’) designed to detect violations 

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

(ii) the large number of financial 

instruments tied to the specified 

securities; and (iii) the ETF creation/ 

redemption arbitrage mechanism tied to 

the large pool of liquidity of the Fund’s 

underlying investments, as more fully 

described below. 

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.12 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 

RUT Puts and U.S. Treasury bills—will 

be acquired in extremely liquid and 

highly regulated markets. 

Russell 2000 index options are among 

the most liquid options in the U.S. and 

derive their value from the actively 

traded Russell 2000 Index components. 

RUT Puts are cash-settled with no 

delivery of stocks or ETFs, and trade in 

competitive auction markets with price 

and quote transparency. The Exchange 

believes the highly regulated Russell 

2000 Index options markets and the 

broad base and scope of the Russell 

2000 Index make securities that derive 

their value from the index, including 

RUT Puts, less susceptible to market 

manipulation in view of market 

capitalization and liquidity of the 

Russell 2000 Index components, price 

and quote transparency, and arbitrage 

opportunities. 

Because the pricing of the Shares is 

tied to the Fund’s underlying assets 

(RUT Puts and U.S. Treasury bills), all 

of which are traded in efficient, 

diversified and liquid markets, the 

Exchange also expects the liquidity in 

the congruent creation/redemption 

arbitrage mechanism to keep the Shares’ 

market pricing in line such that the 

Shares’ pricing would not materially 

differ from their net asset value. The 

Exchange believes that the efficiency 

and liquidity of the markets for RUT 

Puts, related derivatives, and U.S. 

Treasury bills are sufficiently great to 

deter fraudulent or manipulative acts 

associated with the Fund’s Shares price. 

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. 

Other Assets 

The Fund may invest up to 20% of its 

net assets (in the aggregate) in Other 

Assets. Other Assets includes only the 

following: Short-term, high quality 

securities issued or guaranteed by the 

U.S. government and non-U.S. 

governments,13 and each of their 

agencies and instrumentalities; U.S. 

government sponsored enterprises; 

repurchase agreements backed by U.S. 

government and non-U.S. government 

securities; money market mutual funds; 

deposit and other obligations of U.S. 

and non-U.S. banks and financial 

institutions (‘‘money market 

mstockstill on DSK30JT082PROD with NOTICES

42402 Federal Register / Vol. 82, No. 172 / Thursday, September 7, 2017 / Notices 

14All money market instruments acquired by the 

Fund will be rated investment grade, except that a 

Fund may invest in unrated money market 

instruments that are deemed by the Adviser or SubAdviser to be of comparable quality to money 

market securities rated investment grade. The term 

‘‘investment grade,’’ for purposes of money market 

instruments only, is intended to mean securities 

rated A1 or A2 by one or more nationally 

recognized statistical rating organizations. 

15The Fund may invest up to 10% of its assets 

in over-the-counter Russell 2000 put options (‘‘OTC 

Russell 2000 Index put options’’). 

16The Fund will limit its direct investments in 

futures and options on futures to the extent 

necessary for the Adviser to claim the exclusion 

from regulation as a ‘‘commodity pool operator’’ 

with respect to the Fund under Rule 4.5 

promulgated by the Commodity Futures Trading 

Commission (‘‘CFTC’’), as such rule may be 

amended from time to time. Under Rule 4.5 as 

currently in effect, the Fund would limit its trading 

activity in futures and options on futures (excluding 

activity for ‘‘bona fide hedging purposes,’’ as 

defined by the CFTC) such that it will meet one of 

the following tests: (i) Aggregate initial margin and 

premiums required to establish its futures and 

options on futures positions will not exceed 5% of 

the liquidation value of the Fund’s portfolio, after 

taking into account unrealized profits and losses on 

such positions; or (ii) aggregate net notional value 

of its futures and options on futures positions will 

not exceed 100% of the liquidation value of the 

Fund’s portfolio, after taking into account 

unrealized profits and losses on such positions. The 

exchange-listed futures contracts in which the Fund 

may invest will be listed on exchanges in the U.S. 

Each of the exchange-listed futures contracts in 

which the Fund may invest will be listed on 

exchanges that are members of ISG. 

17The Fund may use total return swaps to create 

positions equivalent to investments in RUT Puts 

and the component securities underlying the 

Russell 2000 Index. The Fund’s investments in total 

return swap agreements will be backed by 

investments in U.S. government securities in an 

amount equal to the exposure of such contracts. 

18The Fund may invest in shares of both taxable 

and tax-exempted money market funds. When used 

herein, ETPs may include, without limitation, Index 

Fund Shares (as described in Rule 14.11(c)); Linked 

Securities (as described in Rule 14.11(d)); Portfolio 

Depositary Receipts (as described in Rule 14.11(b)); 

Trust-Issued Receipts (as described in Rule 

14.11(f)); Commodity-Based Trust Shares (as 

described in Rule 14.11(e)(4)); Currency Trust 

Shares (as described in Rule 14.11(e)(5)); 

Commodity Index Trust Shares (as described in 

Rule 14.11(e)(6)); Trust Units (as described in Rule 

14.11(e)(9)); Managed Fund Shares (as described in 

Rule 14.11(i)), and closed-end funds. The ETPs in 

which the Fund may invest all will be listed and 

traded on U.S. exchanges. The Fund may invest in 

the securities of ETPs registered under the 1940 Act 

consistent with the requirements of Section 12(d)(1) 

of the 1940 Act or any rule, regulation or order of 

the Commission or interpretation thereof. The Fund 

will only make such investments in conformity 

with the requirements of Section 817 of the Internal 

Revenue Code of 1986. The ETPs in which the Fund 

may invest will primarily be index-based ETFs that 

hold substantially all of their assets in securities 

representing a specific index. The Fund will not 

invest in leveraged (e.g., 2X, ¥2X, 3X, or ¥3X) 

ETPs. 

19The Fund may invest in securities (in addition 

to U.S. Treasury securities, described above) that 

have variable or floating interest rates which are 

readjusted on set dates (such as the last day of the 

month) in the case of variable rates or whenever a 

specified interest rate change occurs in the case of 

a floating rate instrument. Variable or floating 

interest rates generally reduce changes in the 

market price of securities from their original 

purchase price because, upon readjustment, such 

rates approximate market rates. Accordingly, as 

interest rates decrease or increase, the potential for 

capital appreciation or depreciation is less for 

variable or floating rate securities than for fixed rate 

obligations. 

20The Commission has stated that long-standing 

Commission guidelines have required open-end 

funds to hold no more than 15% of their net assets 

in illiquid securities and other illiquid assets. See 

Investment Company Act Release No. 28193 (March 

11, 2008), 73 FR 14618 (March 18, 2008), footnote 

34. See also, Investment Company Act Release No. 

5847 (October 21, 1969), 35 FR 19989 (December 

31, 1970) (Statement Regarding ‘‘Restricted 

Securities’’); Investment Company Act Release No. 

18612 (March 12, 1992), 57 FR 9828 (March 20, 

1992) (Revisions of Guidelines to Form N–1A). A 

fund’s portfolio security is illiquid if it cannot be 

disposed of in the ordinary course of business 

within seven days at approximately the value 

ascribed to it by the fund. See Investment Company 

Act Release No. 14983 (March 12, 1986), 51 FR 

9773 (March 21, 1986) (adopting amendments to 

Rule 2a–7 under the 1940 Act); Investment 

Company Act Release No. 17452 (April 23, 1990), 

55 FR 17933 (April 30, 1990) (adopting Rule 144A 

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

21The Fund will include appropriate risk 

disclosure in its offering documents, including 

leveraging risk. Leveraging risk is the risk that 

certain transactions of a fund, including a fund’s 

use of derivatives, may give rise to leverage, causing 

a fund to be more volatile than if it had not been 

leveraged. To mitigate leveraging risk, the Adviser 

will segregate or earmark liquid assets or otherwise 

cover the transactions that give rise to such risk. See 

15 U.S.C. 80a–18; Investment Company Act Release 

No. 10666 (April 18, 1979), 44 FR 25128 (April 27, 

1979); Dreyfus Strategic Investing, Commission NoAction Letter (June 22, 1987); Merrill Lynch Asset 

Management, L.P., Commission No-Action Letter 

(July 2, 1996). 

22 26 U.S.C. 851. 

23The NAV of the Fund’s Shares generally will 

be calculated once daily Monday through Friday as 

of the close of regular trading on the New York 

Stock Exchange (NYSE’’), generally 4:00 p.m. ET 

(the ‘‘NAV Calculation Time’’). NAV per Share will 

be calculated by dividing the Fund’s net assets by 

the number of Fund shares outstanding. 

instruments’’); 14 Russell 2000 ETF put 

options,15 Russell 2000 Index futures 

and/or options on Russell 2000 Index 

futures; 16 total return swaps; 17 other 

exchange traded products (‘‘ETPs’’); 18

non-exchange-traded registered openend investment companies (i.e., mutual 

funds); and variable or floating interest 

rate securities.19 The foregoing 

investments shall include buying the 

applicable derivative instrument or 

selling the applicable derivative 

instrument (i.e., writing the applicable 

put option) and investing the proceeds. 

Investment Restrictions 

The Fund may hold up to an aggregate 

of 15% of its net assets in illiquid assets 

(calculated at the time of investment). 

The Fund will monitor its portfolio 

liquidity on an ongoing basis to 

determine whether, in light of current 

circumstances, an adequate level of 

liquidity is being maintained, and will 

consider taking appropriate steps in 

order to maintain adequate liquidity if 

through a change in values, net assets, 

or other circumstances, more than 15% 

of the Fund’s net assets are held in 

illiquid assets. Illiquid assets include 

securities subject to contractual or other 

restrictions on resale and other 

instruments that lack readily available 

markets as determined in accordance 

with Commission staff guidance.20

The Fund will not invest in any nonU.S. equity securities. The Fund’s 

investments will be consistent with the 

Fund’s investment objective and will 

not be used to enhance leverage.21

In order to reduce interest rate risk, 

the Fund will generally maintain a 

weighted average portfolio maturity of 

180 days or less on average (not to 

exceed 18 months) and will not 

purchase any money market instrument 

with a remaining maturity of more than 

397 calendar days. The ‘‘average 

portfolio maturity’’ of a Fund is the 

average of all current maturities of the 

individual securities in the Fund’s 

portfolio. The Fund’s actual portfolio 

duration may be longer or shorter 

depending on market conditions. 

The 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.22 The Fund will invest its 

respective assets, and otherwise conduct 

its operations, in a manner that is 

intended to satisfy the qualifying 

income, diversification and distribution 

requirements necessary to establish and 

maintain RIC qualification under 

Subchapter M. The Fund is to be 

considered ‘‘non-diversified.’’ A nondiversified classification means that the 

Fund is not limited by the 1940 Act 

with regard to the percentage of total 

assets that be invested in the securities 

of a single issuer. As a result, the Fund 

may invest more of its total assets in the 

securities of a single issuer or a smaller 

number of issuers than if it were 

classified as a diversified fund. 

Creation and Redemption of Shares 

According to the Registration 

Statement, the Fund will issue and 

redeem Shares on a continuous basis at 

net asset value (‘‘NAV’’),23 only in large 

blocks of shares (‘‘Creation Units’’), in 

transactions with Authorized 

Participants. Creation Units generally 

will consist of 50,000 Shares, though 

this may change from time to time. 

Creation Units are not expected to 

consist of less than 25,000 Shares. 

The consideration for purchase of a 

Creation Unit of the Fund generally will 

consist of either (i) the in-kind deposit 

of a designated portfolio of securities 

(the ‘‘Deposit Securities’’) per Creation 

mstockstill on DSK30JT082PROD with NOTICES

Federal Register / Vol. 82, No. 172 / Thursday, September 7, 2017 / Notices 42403 

24The Adviser represents that, to the extent the 

Trust effects the redemption of Shares in cash, the 

value of the redemption payment will equal the 

NAV per share. 

25The Bid/Ask Price of the Fund will be 

determined using the midpoint of the highest bid 

and the lowest offer on the Exchange as of the time 

of calculation of the Fund’s NAV. The records 

relating to Bid/Ask Prices will be retained by the 

Fund and its service providers. 

Unit and the ‘‘Cash Component’’ 

(defined below), computed as described 

below or (ii) the cash value of the 

Deposit Securities (‘‘Deposit Cash’’) and 

the ‘‘Cash Component,’’ computed as 

described below. Because non-exchange 

traded derivatives and certain listed 

derivatives are not currently eligible for 

in-kind transfer, they will be substituted 

with an amount of cash of equal value 

(i.e., Deposit Cash) when the Fund 

processes purchases of Creation Units 

in-kind. Specifically, the Fund will not 

accept exchange-traded or over-thecounter options, exchange traded 

futures (or options on futures), and total 

return swaps as Deposit Securities. 

When accepting purchases of Creation 

Units for cash, the Fund may incur 

additional costs associated with the 

acquisition of Deposit Securities that 

would otherwise be provided by an inkind purchase. Together, the Deposit 

Securities or Deposit Cash, as 

applicable, and the Cash Component 

constitute the ‘‘Fund Deposit,’’ which 

represents the minimum initial and 

subsequent investment amount for a 

Creation Unit of the Fund. The Cash 

Component is an amount equal to the 

difference between the NAV of the 

Shares (per Creation Unit) and the 

market value of the Deposit Securities or 

Deposit Cash, as applicable. The Cash 

Component serves the function of 

compensating for any difference 

between the NAV per Creation Unit and 

the market value of the Deposit 

Securities or Deposit Cash, as 

applicable. 

A portfolio composition file, to be 

sent via the National Securities Clearing 

Corporation (‘‘NSCC’’), will be made 

available on each business day, prior to 

the opening of business on the Exchange 

(currently 9:30 a.m. ET) containing a list 

of the names and the required amount 

of each security in the Deposit 

Securities to be included in the current 

Fund Deposit for the Fund (based on 

information about the Fund’s portfolio 

at the end of the previous business day). 

In addition, on each business day, the 

estimated Cash Component, effective 

through and including the previous 

business day, will be made available 

through NSCC. The Fund Deposit is 

subject to any applicable adjustments as 

described in the Registration Statement. 

All purchase orders must be placed by 

an ‘‘Authorized Participant.’’ An 

Authorized Participant must be either a 

broker-dealer or other participant in the 

Continuous Net Settlement System 

(‘‘Clearing Process’’) of the NSCC or a 

participant in The Depository Trust 

Company (‘‘DTC’’) with access to the 

DTC system, and must execute an 

agreement with the Distributor that 

governs transactions in the Fund’s 

Creation Units. In-kind portions of 

purchase orders will be processed 

though the Clearing Process when it is 

available. 

Shares of the Fund may be redeemed 

only in Creation Units at their NAV next 

determined after receipt of a redemption 

request in proper form by the Fund 

through the Distributor and only on a 

business day. The Fund, through the 

NSCC, will make available immediately 

prior to the opening of business on each 

business day, the list of the names and 

quantities of the Fund’s portfolio 

securities that will be applicable 

(subject to possible amendment or 

correction) to redemption requests 

received in proper form on that day 

(‘‘Fund Securities’’). Redemption 

proceeds for a Creation Unit will be 

paid either in-kind or in cash or a 

combination thereof, and Fund 

Securities and Deposit Securities may 

differ. With respect to in-kind 

redemptions of the Fund, redemption 

proceeds for a Creation Unit will consist 

of Fund Securities 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 Fund Securities (the ‘‘Cash 

Redemption Amount’’). In the event that 

the Fund Securities have a value greater 

than the NAV of the Shares, a 

compensating cash payment equal to the 

differential will be required to be made 

by or through an Authorized Participant 

by the redeeming shareholder. 

Notwithstanding the foregoing, at the 

Trust’s discretion, an Authorized 

Participant may receive the 

corresponding cash value of the 

securities in lieu of the in-kind 

securities representing one or more 

Fund Securities.24 Because nonexchange traded derivatives and certain 

listed derivatives are not eligible for inkind transfer, they will be substituted 

with an amount of cash of equal value 

when the Fund processes redemptions 

of Creation Units in-kind. Specifically, 

the Fund will transfer the corresponding 

cash value of exchange-traded options, 

exchange-traded futures, exchangetraded options on futures contracts, and 

total return swap agreements in lieu of 

in-kind securities. 

For an order involving a Creation Unit 

to be effectuated at the Fund’s NAV on 

a particular day, it must be received by 

the Distributor by or before the deadline 

for such order (‘‘Order Cut-Off Time’’). 

The Order Cut-Off Time for creation and 

redemption orders for the Fund will be 

as described in the Registration 

Statement, but not later than 4:00 p.m. 

ET. A standard creation or redemption 

transaction fee (as applicable) will be 

imposed to offset transfer and other 

transaction costs that may be incurred 

by the Fund. 

Availability of Information 

The Trust’s Web site 

(www.wisdomtree.com), which will be 

publicly available prior to the public 

offering of Shares, will include a form 

of the prospectus for the Fund that may 

be downloaded. The Web site will 

include additional quantitative 

information updated on a daily basis, 

including, for the Fund: (1) The most 

recently reported NAV, mid-point of the 

bid/ask spread at the time of calculation 

of such NAV (the ‘‘Bid/Ask Price’’),25

and a calculation of the premium and 

discount of the Bid/Ask Price against 

the NAV; and (2) data in chart format 

displaying the frequency distribution of 

discounts and premiums of the daily 

Bid/Ask Price against the NAV, within 

appropriate ranges, for each of the four 

previous calendar quarters. 

On each business day, before 

commencement of trading in Shares 

during Regular Trading Hours on the 

Exchange, the Trust will disclose on its 

Web site the following information 

regarding each portfolio holding, as 

applicable to the type of holding: Ticker 

symbol, CUSIP number or other 

identifier, if any; a description of the 

holding (including the type of holding, 

such as the type of swap); the identity 

of the security, index or other asset or 

instrument underlying the holding, if 

any; for options, the option strike price; 

quantity held (as measured by, for 

example, par value, notional value or 

number of shares, contracts or units); 

maturity date, if any; effective date, if 

any; coupon rate, if any; market value of 

the holding; and the percentage 

weighting of the holding in the Fund’s 

portfolio. The Web site information will 

be publicly available at no charge. 

In addition, a portfolio composition 

file, which will include the security 

names and quantities of securities and 

other assets required to be delivered in 

exchange for the Fund’s Shares, together 

with estimates and actual cash 

components, will be publicly 

disseminated prior to the opening of the 

Exchange via the NSCC. The portfolio 

mstockstill on DSK30JT082PROD with NOTICES

42404 Federal Register / Vol. 82, No. 172 / Thursday, September 7, 2017 / Notices 

26As defined in Rule 1.5(w), the term ‘‘Regular 

Trading Hours’’ means the time between 9:30 a.m. 

and 4:00 p.m. Eastern Time. 

27Currently, it is the Exchange’s understanding 

that several major market data vendors display and/ 

or make widely available IIV’s taken from the CTA 

or other data feeds. 

28See 17 CFR 240.10A–3. 

will represent one Creation Unit of the 

Fund. Authorized Participants may refer 

to the portfolio composition file for 

information regarding RUT Puts, shortterm U.S. Treasury Securities, money 

market instruments, and any other 

instrument that may comprise the 

Fund’s portfolio on a given day. 

Investors can also obtain the Trust’s 

Statement of Additional Information 

(‘‘SAI’’), the Fund’s Shareholder 

Reports, and its Form N–CSR and Form 

N–SAR, filed twice a year. The Trust’s 

SAI and Shareholder Reports will be 

available free upon request from the 

Trust, and those documents and the 

Form N–CSR may be viewed on screen 

or downloaded from the Commission’s 

Web site at www.sec.gov. Information 

regarding market price and trading 

volume for the Shares will be 

continually available on a real-time 

basis throughout the day on brokers’ 

computer screens and other electronic 

services. Information regarding the 

previous day’s closing price and trading 

volume information for the Shares will 

be published daily in the financial 

section of newspapers. Quotation and 

last sale information for the Shares and 

any ETPs it which it invests will be 

available via the Consolidated Tape 

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

Quotation and last sale information for 

U.S. exchange-listed options contracts 

cleared by The Options Clearing 

Corporation will be available via the 

Options Price Reporting Authority. The 

intra-day, closing and settlement prices 

of exchange-traded portfolio assets, 

including ETPs, futures and options will 

be readily available from the securities 

exchanges and futures exchanges 

trading such securities and futures, as 

the case may be, automated quotation 

systems, published or other public 

sources, or online information services 

such as Bloomberg or Reuters. Price 

information on fixed income portfolio 

securities, including money market 

instruments, and other Fund assets 

traded in the over-the-counter markets, 

is available from major broker-dealer 

firms or market data vendors, as well as 

from automated quotation systems, 

published or other public sources, or 

online information services. In addition, 

the value of the Index will be published 

by one or more major market data 

vendors every 15 seconds during 

Regular Trading Hours 26 on the 

Exchange. Information about the Index 

constituents, the weighting of the 

constituents, the Index’s methodology 

and the Index’s rules will be available 

at no charge on the Index Provider’s 

Web site at www.CBOE.com. 

In addition, the Intraday Indicative 

Value (‘‘IIV’’), as defined in Rule 

14.11(c)(3)(C), will be widely 

disseminated at least every 15 seconds 

during Regular Trading Hours by one or 

more major market vendors.27 All Fund 

holdings will be included in calculating 

the IIV. 

The dissemination of the IIV is 

intended to allow investors to determine 

the value of the underlying portfolio of 

the Fund on a daily basis and to 

approximate that value throughout the 

trading day. The intra-day, closing and 

settlement prices of debt securities and 

money market instruments will be 

readily available from published and 

other public sources or on-line 

information services. Price information 

regarding investment company 

securities, including ETFs, will be 

available from on-line information 

services and from the Web site for the 

applicable investment company 

security. 

Additional information regarding the 

Trust and the Shares, including 

investment strategies, risks, creation and 

redemption procedures, fees, portfolio 

holdings disclosures policies, 

distributions and taxes is included in 

the Registration Statement. All terms 

relating to the Fund that are referred to, 

but not defined in, this proposed rule 

change are defined in the Registration 

Statement. 

Initial and Continued Listing 

The Shares will conform to the initial 

and continued listing criteria under Bats 

Rule 14.11(c)(3), except that the Index 

will not meet the requirements of Rule 

14.11(c)(3)(A)(i)(a)–(e) in that the Index 

will consist of one series of options 

based on U.S. Component Stocks (i.e., 

RUT Puts), rather than U.S. Component 

Stocks. The Exchange represents that, 

for initial and/or continued listing, the 

Fund will be in compliance with Rule 

10A–3 28 under the Act, as provided by 

Rule 14.10. A minimum of 100,000 

Shares for the Fund will be outstanding 

at the commencement of trading on the 

Exchange. The Exchange will obtain a 

representation from the issuer of the 

Shares that the NAV per Share will be 

calculated daily and that the NAV and 

will be made available to all market 

participants at the same time. 

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 

the Funds. The Exchange will halt 

trading in the Shares under the 

conditions specified in BZX Rule 11.18. 

Trading may be halted because of 

market conditions or for reasons that, in 

the view of the Exchange, make trading 

in the Shares inadvisable. These may 

include: (1) The extent to which trading 

is not occurring in the securities and/or 

the financial instruments composing the 

daily disclosed portfolio of the Funds; 

or (2) whether other unusual conditions 

or circumstances detrimental to the 

maintenance of a fair and orderly 

market are present. Trading in the 

Shares also will be subject to Rule 

14.11(c)(1)(B)(iv), which sets forth 

circumstances under which Shares of a 

Fund may be halted. 

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. The Exchange will 

allow trading in the Shares from 8:00 

a.m. until 5:00 p.m. Eastern Time and 

has the appropriate rules to facilitate 

transactions in the Shares during all 

trading sessions. As provided in BZX 

Rule 11.11(a), the minimum price 

variation for quoting and entry of orders 

in securities traded on the Exchange is 

$0.01, with the exception of securities 

that are priced less than $1.00, for 

which the minimum price variation for 

order entry is $0.0001. 

Surveillance 

The Exchange believes that its 

surveillance procedures are adequate to 

properly monitor the trading of the 

Shares on the Exchange during all 

trading sessions and to deter and detect 

violations of Exchange rules and the 

applicable federal securities laws. 

Trading of the Shares through the 

Exchange will be subject to the 

Exchange’s surveillance procedures for 

derivative products, including Index 

Fund Shares. The issuer has represented 

to the Exchange that it will advise the 

Exchange of any failure by the Fund to 

comply with the continued listing 

requirements, and, pursuant to its 

obligations under Section 19(g)(1) of the 

Exchange Act, the Exchange will surveil 

for compliance with the continued 

listing requirements. FINRA conducts 

certain cross-market surveillances on 

behalf of the Exchange pursuant to a 

regulatory services agreement. The 

mstockstill on DSK30JT082PROD with NOTICES

Federal Register / Vol. 82, No. 172 / Thursday, September 7, 2017 / Notices 42405 

29For a list of the current members of ISG, see 

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

of the components of the portfolio for the Fund may 

trade on exchanges that are members of the ISG or 

with which the Exchange has in place a 

comprehensive surveillance sharing agreement. 

30The Pre-Opening Session is from 8:00 a.m. to 

9:30 a.m. Eastern Time. 

31The After Hours Trading Session is from 4:00 

p.m. to 5:00 p.m. Eastern Time. 

32 15 U.S.C. 78f. 

33 15 U.S.C. 78f(b)(5). 

Exchange is responsible for FINRA’s 

performance under this regulatory 

services agreement. If the Fund is not in 

compliance with the applicable listing 

requirements, the Exchange will 

commence delisting procedures under 

Exchange Rule 14.12. 

The Exchange or FINRA, on behalf of 

the Exchange, will communicate as 

needed regarding trading in the Shares, 

futures contracts, ETPs, and exchangetraded options contracts with other 

markets and other entities that are 

members of the ISG and may obtain 

trading information regarding trading in 

the Shares, futures contracts, exchangetraded options contracts and ETPs from 

such markets and other entities. In 

addition, the Exchange may obtain 

information regarding trading in the 

Shares, futures contracts, exchangetraded options contracts, and ETPs from 

markets and other entities that are 

members of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement.29 All 

futures contracts (and options on 

futures), listed options and ETPs held 

by the Fund will be traded on U.S. 

exchanges, all of which are members of 

ISG or are exchanges with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement. In 

addition, the Exchange is able to access, 

as needed, trade information for certain 

fixed income securities held by the 

Fund reported to FINRA’s Trade 

Reporting and Compliance Engine 

(‘‘TRACE’’). 

In addition, the Exchange also has a 

general policy prohibiting the 

distribution of material, non-public 

information by its employees. 

Information Circular 

Prior to the commencement of 

trading, the Exchange will inform its 

members in an Information Circular of 

the special characteristics and risks 

associated with trading the Shares. 

Specifically, the Information Circular 

will discuss the following: (1) The 

procedures for purchases and 

redemptions of Shares in Creation Units 

(and that Shares are not individually 

redeemable); (2) BZX Rule 3.7, which 

imposes suitability obligations on 

Exchange members with respect to 

recommending transactions in the 

Shares to customers; (3) how 

information regarding the IIV and Index 

value is disseminated; (4) the risks 

involved in trading the Shares during 

the Pre-Opening 30 and After Hours 

Trading Sessions 31 when an updated 

Intraday Indicative Value will not be 

calculated or publicly disseminated; (5) 

the requirement that members deliver a 

prospectus to investors purchasing 

newly issued Shares prior to or 

concurrently with the confirmation of a 

transaction; and (6) trading information. 

In addition, the Information Circular 

will advise members, prior to the 

commencement of trading, of the 

prospectus delivery requirements 

applicable to the Funds. Members 

purchasing Shares from the Funds for 

resale to investors will deliver a 

prospectus to such investors. The 

Information Circular will also discuss 

any exemptive, no-action, and 

interpretive relief granted by the 

Commission from any rules under the 

Act. 

In addition, the Information Circular 

will reference that each Fund is subject 

to various fees and expenses described 

in the Registration Statement. The 

Information Circular will also disclose 

the trading hours of the Shares of the 

Funds and the applicable NAV 

calculation time for the Shares. The 

Information Circular will disclose that 

information about the Shares of the 

Funds will be publicly available on the 

Funds’ Web site. In addition, the 

Information Circular will reference that 

the Trust is subject to various fees and 

expenses described in each Fund’s 

Registration Statement. 

2. Statutory Basis 

The Exchange believes that the 

proposal is consistent with Section 6(b) 

of the Act 32 in general and Section 

6(b)(5) of the Act 33 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 in that the Shares will 

be listed on the Exchange pursuant to 

the initial and continued listing criteria 

in Bats Rule 14.11(c)(3), except that the 

Index will consist solely of RUT Puts 

and Treasury bills, rather than U.S. 

Component Stocks. 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 listing 

criteria in Bats Rule 14.11(c). The 

Exchange believes that its surveillances, 

which generally focus on detecting 

securities trading outside of their 

normal patterns which could be 

indicative of manipulative or other 

violative activity, and associated 

surveillance procedures are adequate to 

properly monitor the trading of the 

Shares on the Exchange during all 

trading sessions and to deter and detect 

violations of Exchange rules and the 

applicable federal securities laws. 

FINRA and the Exchange, as applicable, 

may each obtain information via ISG 

from other exchanges that are members 

of ISG, and in the case of the Exchange, 

from other market or entities with 

which the Exchange has entered into a 

comprehensive surveillance sharing 

agreement. 

The Index Provider is not registered 

as an investment adviser or brokerdealer and is not affiliated with any 

broker-dealers. The Adviser is not 

registered as, or affiliated with, any 

broker-dealer. The Sub-Adviser is 

affiliated with multiple broker-dealers 

and has implemented a ‘‘fire wall’’ with 

respect to such broker-dealers and their 

personnel regarding access to 

information concerning the composition 

and/or changes to the Index. In 

addition, Sub-Adviser personnel who 

make decisions regarding the Fund’s 

portfolio are subject to procedures 

designed to prevent the use and 

dissemination of material nonpublic 

information regarding the Fund’s 

portfolio. The Adviser and the Index 

Provider have represented that a fire 

wall exists around the respective 

personnel who have access to 

information concerning changes and 

adjustments to the Index. All exchangelisted options, futures contracts and 

ETPs held by the Fund will be traded on 

U.S. exchanges, all of which are 

members of ISG or are exchanges with 

which the Exchange has in place a 

comprehensive surveillance sharing 

agreement. 

Under Normal Market Conditions, not 

less than 80% of the Fund’s total assets 

will be comprised of RUT Puts and U.S. 

Treasury bills, although the Fund may 

also invest up to 20% of its total assets 

in Other Assets. Other Assets includes 

only the following: short-term, high 

quality securities issued or guaranteed 

by the U.S. government and non-U.S. 

governments, and each of their agencies 

mstockstill on DSK30JT082PROD with NOTICES

42406 Federal Register / Vol. 82, No. 172 / Thursday, September 7, 2017 / Notices 

34The Fund may invest up to 10% of its net 

assets in OTC Russell 2000 Index put options. 

35The Fund’s investments in listed futures 

contracts will be backed by investments in U.S. 

government securities in an amount equal to the 

exposure of such contracts. 

36The Fund’s investments in total return swap 

agreements will be backed by investments in U.S. 

government securities in an amount equal to the 

exposure of such contracts. 

and instrumentalities; U.S. government 

sponsored enterprises; repurchase 

agreements backed by U.S. government 

and non-U.S. government securities; 

money market mutual funds; money 

market instruments; Russell 2000 ETF 

put options,34 Russell 2000 Index 

futures and/or options on Russell 2000 

Index futures; 35 total return swaps; 36

other ETPs; non-exchange-traded 

registered open-end investment 

companies (i.e., mutual funds); and 

variable or floating interest rate 

securities. 

The Fund may hold up to an aggregate 

amount of 15% of its net assets in 

illiquid assets (calculated at the time of 

investment), consistent with 

Commission guidance. The Fund 

therefore will not use derivative 

instruments to enhance leverage. The 

Fund will not invest in non-U.S. equity 

securities. 

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 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. FINRA 

conducts certain cross-market 

surveillances on behalf of the Exchange 

pursuant to a regulatory services 

agreement. The Exchange is responsible 

for FINRA’s performance under this 

regulatory services agreement. If the 

Fund is not in compliance with the 

applicable listing requirements, the 

Exchange will commence delisting 

procedures under Bats Rule 14.12. 

The proposed rule change is designed 

to promote just and equitable principles 

of trade and to protect investors and the 

public interest in that the Exchange will 

obtain a representation from the issuer 

of the Shares that the NAV per Share 

will be calculated daily every day the 

NYSE is open, and that the NAV will be 

made available to all market 

participants at the same time. In 

addition, a large amount of information 

will be publicly available regarding the 

Fund and the Shares, thereby promoting 

market transparency. 

Moreover, the IIV will be widely 

disseminated by one or more major 

market data vendors at least every 15 

seconds during Regular Trading Hours. 

On each business day, before 

commencement of trading in the Shares 

on the Exchange during Regular Trading 

Hours, the Fund will disclose on its 

Web site the portfolio that will form the 

basis for the Fund’s calculation of NAV 

at the end of the business day. 

Information regarding market price and 

trading volume of the Shares will be 

continually available on a real-time 

basis throughout the day on brokers’ 

computer screens and other electronic 

services, and quotations and last sale 

information will be available via the 

CTA high-speed line. Information 

relating to U.S. exchange-listed options 

is available via the Options Price 

Reporting Authority. Quotation and last 

sale information for the Shares and any 

ETPs it which it invests will be 

available via the CTA high-speed line. 

Quotation and last sale information for 

U.S. exchange-listed options contracts 

cleared by The Options Clearing 

Corporation will be available via the 

Options Price Reporting Authority. The 

intra-day, closing and settlement prices 

of exchange-traded portfolio assets, 

including ETPs, futures and exchangetraded options contracts will be readily 

available from the securities exchanges 

and futures exchange trading such 

securities and futures, as the case may 

be, automated quotation systems, 

published or other public sources, or 

online information services such as 

Bloomberg or Reuters. Such price 

information on fixed income portfolio 

securities, including money market 

instruments, and other Fund assets 

traded in the over-the-counter markets, 

including bonds and money market 

instruments is available from major 

broker-dealer firms or market data 

vendors, as well as from automated 

quotation systems, published or other 

public sources, or online information 

services. The Web site for the Fund will 

include the prospectus for the Fund and 

additional data relating to NAV and 

other applicable quantitative 

information. Moreover, prior to 

commencement of trading, the Exchange 

will inform its Members in an 

Information Circular of the special 

characteristics and risks associated with 

trading the Shares. If the Exchange 

becomes aware that the NAV is not 

being 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. 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 the Funds. Trading also 

may be halted because of market 

conditions or for reasons that, in the 

view of the Exchange, make trading in 

the Shares inadvisable. These may 

include: (1) The extent to which trading 

is not occurring in the securities and/or 

the financial instruments composing the 

daily disclosed portfolio of each Fund; 

or (2) whether other unusual conditions 

or circumstances detrimental to the 

maintenance of a fair and orderly 

market are present. Trading in the 

Shares also will be subject to Rule 

14.11(c)(1)(B)(iv), which sets forth 

circumstances under which Shares of a 

Fund may be halted. If the IIV of any of 

[sic] the Fund or value of the Index are 

[sic] not being disseminated as required, 

the Exchange may halt trading during 

the day in which the interruption to the 

dissemination of the IIV or index value 

occurs. In addition, as noted above, 

investors will have ready access to 

information regarding the Fund’s 

holdings, the IIV, the Fund’s portfolio, 

and quotation and last sale information 

for the Shares. 

The proposed rule change is designed 

to perfect the mechanism of a free and 

open market and, in general, to protect 

investors and the public interest in that 

it will facilitate the listing and trading 

of an additional type of exchange-traded 

product that will enhance competition 

among market participants, to the 

benefit of investors and the marketplace. 

As noted above, the Shares will be 

subject to the existing trading 

surveillances, which are designed to 

detect violations of Exchange rules and 

federal securities laws applicable to 

trading on the Exchange. The Exchange 

or FINRA, on behalf of the Exchange, 

will communicate as needed regarding 

trading in the Shares, ETPs, futures 

contracts, and exchange-traded options 

contracts with other market and other 

entities that are members of ISG and 

may obtain trading information in the 

Shares, futures contracts, exchangetraded options contracts, and ETPs from 

such markets and other entities. In 

addition, the Exchange may obtain 

information regarding trading in the 

Shares, futures contracts, exchangetraded options contracts, and ETPs from 

markets and other entities that are 

members of ISG or with which the 

mstockstill on DSK30JT082PROD with NOTICES

Federal Register / Vol. 82, No. 172 / Thursday, September 7, 2017 / Notices 42407 

37 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b-4. 

Exchange has in place a comprehensive 

surveillance sharing agreement. In 

addition, as noted above, investors will 

have ready access to information 

regarding the Fund’s holdings, the IIV, 

and quotation and last sale information 

for the Shares. 

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 within such longer period 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding, or (ii) as to which 

the self-regulatory organization 

consents, the Commission will: 

(A) By order approve or disapprove 

the proposed rule change; or 

(B) institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views and 

arguments concerning the foregoing, 

including whether the proposal 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 No. SR– 

BatsBZX–2017–53 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 No. 

SR-BatsBZX–2017–53. 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 such 

filing will also 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 No. SR–BatsBZX– 

2017–53 and should be submitted on or 

before September 28, 2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.37

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–18935 Filed 9–6–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81512; File No. SR–BX– 

2017–039] 

Self-Regulatory Organizations; 

NASDAQ BX, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Address the 

Application of Exchange Rule 11140 

(Transactions in Securities ‘‘ExDividend,’’ ‘‘Ex-Rights’’ or ‘‘ExWarrants’’) as it Relates to Establishing 

Ex-Dividend Dates in connection With 

the Implementation of the T+2 

Settlement Cycle on September 5, 2017 

August 31, 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 

29, 2017, NASDAQ BX, Inc. (‘‘BX’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission (‘‘SEC’’ or 

‘‘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 proposes to address the 

application of Exchange Rule 11140 

(Transactions in Securities ‘‘ExDividend,’’ ‘‘Ex-Rights’’ or ‘‘ExWarrants’’) as it relates to establishing 

ex-dividend dates in connection with 

the implementation of the T+2 

settlement cycle on September 5, 2017. 

No change to the text of Rule 

11140(b)(1) is required by this proposal. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

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

the most significant aspects of such 

statements. 

mstockstill on DSK30JT082PROD with NOTICES