Federal Register / Vol. 82, No. 186 / Wednesday, September 27, 2017 / Notices 45103 

24 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3The Commission originally approved BZX Rule 

14.11(i) in Securities Exchange Act Release No. 

65225 (August 30, 2011), 76 FR 55148 (September 

6, 2011) (SR–BATS–2011–018) and subsequently 

approved generic listing standards for Managed 

Fund Shares under Rule 14.11(i) in Securities 

Exchange Act Release No. 78396 (July 22, 2016), 81 

FR 49698 (July 28, 2016) (SR–BATS–2015–100). 

4Rule 14.11(i)(4)(C)(iv)(a) provides that ‘‘there 

shall be no limitation to the percentage of the 

portfolio invested in such holdings; provided, 

however, that in the aggregate, at least 90% of the 

weight of such holdings invested in futures, 

exchange-traded options, and listed swaps shall, on 

both an initial and continuing basis, consist of 

futures, options, and swaps for which the Exchange 

may obtain information via the Intermarket 

Surveillance Group (‘‘ISG’’) from other members or 

affiliates of the ISG or for which the principal 

market is a market with which the Exchange has a 

comprehensive surveillance sharing agreement, 

calculated using the aggregate gross notional value 

of such holdings.’’ The Exchange is proposing that 

the Fund be exempt from this requirement only as 

it relates to the Fund’s holdings in certain credit 

default swaps and Inflation Swaps, as further 

described below. 

5Rule 14.11(i)(4)(C)(iv)(b) provides that ‘‘the 

aggregate gross notional value of listed derivatives 

based on any five or fewer underlying reference 

assets shall not exceed 65% of the weight of the 

portfolio (including gross notional exposures), and 

the aggregate gross notional value of listed 

derivatives based on any single underlying 

reference asset shall not exceed 30% of the weight 

of the portfolio (including gross notional 

exposures).’’ The Exchange is proposing that the 

Fund be exempt only from the requirement of Rule 

14.11(i)(4)(C)(iv)(b) that prevents the aggregate gross 

notional value of listed derivatives based on any 

single underlying reference asset from exceeding 

30% of the weight of the portfolio (including gross 

notional exposures). The Exchange is proposing 

that the Fund be exempt from this requirement only 

Continued 

change 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– 

NYSEAMER–2017–17 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSEAMER–2017–17. 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– 

NYSEAMER–2017–17 and should be 

submitted on or before October 18, 

2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.24

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–20626 Filed 9–26–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81671; File No. SR– 

BatsBZX–2017–54] 

Self-Regulatory Organizations; Bats 

BZX Exchange, Inc.; Notice of Filing of 

a Proposed Rule Change To List and 

Trade Shares of the iShares Inflation 

Hedged Corporate Bond ETF, a Series 

of the iShares U.S. ETF Trust, Under 

Rule 14.11(i), Managed Fund Shares 

September 21, 2017. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on 

September 7, 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 iShares Inflation 

Hedged Corporate Bond ETF (the 

‘‘Fund’’), a series of the iShares U.S. 

ETF Trust (the ‘‘Trust’’), under Rule 

14.11(i) (‘‘Managed Fund Shares’’). The 

shares of the Fund are referred to herein 

as the ‘‘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 the Shares under Rule 14.11(i), 

which governs the listing and trading of 

Managed Fund Shares on the 

Exchange.3 The Fund will be an actively 

managed exchange-traded fund that 

seeks to mitigate the inflation risk of a 

portfolio composed of U.S. dollardenominated investment-grade 

corporate bonds either through holding 

such bonds or through holding 

exchange-traded funds that hold such 

bonds, as further described below. The 

Exchange submits this proposal in order 

to allow the Fund to hold Inflation 

Hedging Instruments, as defined below, 

in a manner that may not comply with 

Rule 14.11(i)(4)(C)(iv)(a),4 Rule 

14.11(i)(4)(C)(iv)(b),5 and/or Rule 


asabaliauskas on DSKBBXCHB2PROD with NOTICES
45104 Federal Register / Vol. 82, No. 186 / Wednesday, September 27, 2017 / Notices 

as it relates to the Fund’s holdings in listed 

derivatives, which include U.S. Treasury futures, 

credit default swaps, and certain Inflation Swaps, 

as further described below. The Fund will meet the 

requirement that the aggregate gross notional value 

of listed derivatives based on any five or fewer 

underlying reference assets shall not exceed 65% of 

the weight of the portfolio (including gross notional 

exposures). 

6Rule 14.11(i)(4)(C)(v) provides that ‘‘the 

portfolio may, on both an initial and continuing 

basis, hold OTC derivatives, including forwards, 

options, and swaps on commodities, currencies and 

financial instruments (e.g., stocks, fixed income, 

interest rates, and volatility) or a basket or index of 

any of the foregoing, however the aggregate gross 

notional value of OTC Derivatives shall not exceed 

20% of the weight of the portfolio (including gross 

notional exposures).’’ The Exchange is proposing 

that the Fund be exempt from this requirement only 

as it relates to the Fund’s holdings in OTC 

derivatives, which include total return swaps and 

certain inflation swaps, as further described below. 

7See Registration Statement on Form N–1A for 

the Trust, dated April 6, 2017 (File Nos. 333– 

179904 and 811–22649). The descriptions of the 

Fund and the Shares contained herein are based, in 

part, on information in the Registration Statement. 

The Commission has issued an order granting 

certain exemptive relief to the Company under the 

Investment Company Act of 1940 (15 U.S.C. 80a– 

1) (‘‘1940 Act’’) (the ‘‘Exemptive Order’’). See 

Investment Company Act Release No. 29571 

(January 24, 2011) (File No. 812–13601). 

8As 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. 

9For purposes of this proposal, the term ETF 

includes Portfolio Depositary Receipts, Index Fund 

Shares, and Managed Fund Shares as defined in 

Rule 14.11(b), (c), and (i), respectively, and their 

equivalents on other national securities exchanges. 10See supra notes 4, 5, and 6. All Inflation Swaps 

held by the Fund will be listed and/or centrally 

cleared in order to reduce counterparty risk. 11See supra note 6. The Fund will attempt to 

limit counterparty risk in non-cleared swap 

contracts by entering into such contracts only with 

counterparties the Adviser believes are 

creditworthy and by limiting the Fund’s exposure 

to each counterparty. The Adviser will monitor the 

creditworthiness of each counterparty and the 

Fund’s exposure to each counterparty on an 

ongoing basis. 

12See supra notes 4 and 5. Credit default swaps 

held by the Fund will be traded on a U.S. Swap 

Execution Facility registered with the Commodity 

Futures Trading Commission. 13See supra note 5. 

14See supra note 4. 

15See supra note 5. 

16See supra note 6. 

14.11(i)(4)(C)(v),6 as further described 

below. Otherwise, the Fund will comply 

with all other listing requirements on an 

initial and continued listing basis under 

Rule 14.11(i). 

The Shares will be offered by the 

Trust, which was established as a 

Delaware statutory trust on June 21, 

2011. The Trust is registered with the 

Commission as an open-end investment 

company and has filed a registration 

statement on behalf of the Fund on 

Form N–1A (‘‘Registration Statement’’) 

with the Commission.7

The Fund intends to qualify each year 

as a regulated investment company 

under Subchapter M of the Internal 

Revenue Code of 1986, as amended. 

iShares Inflation Hedged Corporate 

Bond ETF 

According to the Registration 

Statement, the Fund will be an actively 

managed exchange-traded fund that will 

seek to mitigate the inflation risk of a 

portfolio composed of U.S. dollardenominated investment-grade 

corporate bonds. The Fund seeks to 

achieve its investment objective by 

investing, under Normal Market 

Conditions,8 at least 80% of its net 

assets in the iShares iBoxx $ Investment 

Grade Corporate Bond ETF (the 

‘‘Underlying Fund’’), U.S. dollardenominated investment-grade 

corporate bonds, in one or more other 

underlying ETFs 9 that principally 

invest in investment-grade corporate 

bonds, and in Inflation Hedging 

Instruments, as defined below. The 

Fund will gain exposure to U.S. dollardenominated investment-grade 

corporate bonds primarily through 

investing in the Underlying Fund. As an 

alternative, the Fund may gain such 

exposure by investing in U.S. dollardenominated investment-grade 

corporate bonds or through other 

exchange-traded funds that are listed on 

a national securities exchange that 

principally invest in investment-grade 

corporate bonds. The Fund will attempt 

to mitigate the inflation risk of the 

Fund’s exposure to U.S. dollardenominated investment-grade 

corporate bonds primarily through the 

use of either OTC or listed inflation 

swaps (i.e., contracts in which the Fund 

will make fixed-rate payments based on 

notional amount while receiving 

floating-rate payments determined from 

an inflation index) (‘‘Inflation 

Swaps’’),10 which are managed on an 

active basis. As an alternative, the Fund 

may also attempt to mitigate the 

inflation risk of the underlying 

securities or the Underlying Fund 

through investing in other products 

designed to transfer inflation risk from 

one party to another, including but not 

limited to Treasury Inflation-Protected 

Securities (‘‘TIPS’’), total return 

swaps,11 credit default swaps,12 and 

U.S. Treasury futures 13 (collectively 

with Inflation Swaps, ‘‘Inflation 

Hedging Instruments’’). The Exchange is 

proposing to allow the Fund to hold up 

to 50% of the weight of its portfolio 

(including gross notional exposure) in 

Inflation Hedging Instruments, 

collectively, in a manner that may not 

comply with Rules 

14.11(i)(4)(C)(iv)(a),14

14.11(i)(4)(C)(iv)(b),15 and/or 

14.11(i)(4)(C)(v),16 as discussed above. 

The Fund’s investments, including 

derivatives, will be consistent with the 

Fund’s investment objective and will 

not be used to enhance leverage 

(although certain derivatives and other 

investments may result in leverage). 

That is, while the Fund will be 

permitted to borrow as permitted under 

the 1940 Act, the Fund’s investments 

will not be used to seek performance 

that is the multiple or inverse multiple 

(i.e., 2Xs and 3Xs) of the Fund’s primary 

broad-based securities benchmark index 

(as defined in Form N–1A). The Fund 

will only use those derivatives included 

in the defined term Inflation Hedging 

Instruments. The Fund’s use of 

derivative instruments will be 

collateralized. As noted above, the Fund 

will only use derivative instruments in 

order to attempt to mitigate the inflation 

risk of the U.S. dollar-denominated 

investment-grade corporate bonds. 

The Exchange notes that the Fund 

may also hold certain fixed income 

securities and cash and cash equivalents 

in compliance with Rules 

14.11(i)(4)(C)(ii) and (iii) in order to 

collateralize its derivatives positions. 

Surveillance 

The Exchange represents that, except 

for the exceptions to BZX Rule 

14.11(i)(4)(C) described above, the 

Fund’s proposed investments will 

satisfy, on an initial and continued 

listing basis, all of the generic listing 

standards under BZX Rule 14.11(i)(4)(C) 

and all other applicable requirements 

for Managed Fund Shares under Rule 

14.11(i). 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 Fund will comply with all other 

requirements applicable to Managed 

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 Managed Fund Shares and 

the orders approving such rules. At least 

100,000 Shares will be outstanding 

upon the commencement of trading. 

Moreover, all of the equity securities 

and futures contracts held by the Fund 


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Federal Register / Vol. 82, No. 186 / Wednesday, September 27, 2017 / Notices 45105 

17For 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. 

18 15 U.S.C. 78f. 

19 15 U.S.C. 78f(b)(5). 

20See supra note 4. 

21See supra note 5. 

22See supra note 6. 

23See note 17, supra. 

24See Rule 14.11(i)(4)(B)(ii). 

25See Rule 14.11(i)(4)(B)(i). 

26See Rule 14.11(i)(4)(B)(iii). 

27See Rule 14.11(i)(4)(B)(iv). 

28See Rule 14.11(i)(6). 

29See Rule 14.11(i)(7). 

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.17 Additionally, the 

Exchange or FINRA, on behalf of the 

Exchange, are able to access, as needed, 

trade information for certain fixed 

income instruments reported to FINRA’s 

Trade Reporting and Compliance Engine 

(‘‘TRACE’’). All statements and 

representations made in this filing 

regarding 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. 

Availability of Information 

As noted above, the Fund will comply 

with the requirements for Managed 

Fund Shares related to Disclosed 

Portfolio, Net Asset Value, and the 

Intraday Indicative Value. Additionally, 

the intra-day, closing and settlement 

prices of exchange-traded portfolio 

assets, including ETPs and futures, 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. Intraday 

price quotations on swaps, TIPS, and 

fixed income instruments are available 

from major broker-dealer firms and from 

third-parties, which may provide prices 

free with a time delay or in real-time for 

a paid fee. 

2. Statutory Basis 

The Exchange believes that the 

proposal is consistent with Section 6(b) 

of the Act 18 in general and Section 

6(b)(5) of the Act 19 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 will 

meet each of the initial and continued 

listing criteria in BZX Rule 14.11(i) 

except that the Fund may not comply 

with Rules 14.11(i)(4)(C)(iv)(a),20

14.11(i)(4)(C)(iv)(b),21 and/or 

14.11(i)(4)(C)(v).22 Further, the 

Exchange believes that the liquidity in 

the Treasury futures, credit default 

swaps, and listed Inflation Swaps 

markets mitigates the concerns that Rule 

14.11(i)(4)(C)(iv)(b) is intended to 

address and that such liquidity would 

prevent the Shares from being 

susceptible to manipulation. The 

Exchange also notes that the Fund will 

attempt to limit counterparty risk in 

non-cleared OTC swap contracts, 

namely total return swaps and certain 

Inflation Swaps, by entering into such 

contracts only with counterparties the 

Adviser believes are creditworthy and 

by limiting the Fund’s exposure to each 

counterparty. The Adviser will monitor 

the creditworthiness of each 

counterparty and the Fund’s exposure to 

each counterparty on an ongoing basis. 

As it relates to Rule 

14.11(i)(4)(C)(iv)(a), 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. All of the futures contracts, equity 

securities, and certain of the listed 

credit default swaps held by the Fund 

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. The Exchange or 

FINRA, on behalf of the Exchange, may 

obtain information regarding trading in 

the Shares and the underlying futures 

contracts, equity securities, and certain 

of the listed credit default swaps held 

by the Fund via the ISG from other 

exchanges who are members or affiliates 

of the ISG or with which the Exchange 

has entered into a comprehensive 

surveillance sharing agreement.23

Additionally, the Exchange or FINRA, 

on behalf of the Exchange, may access, 

as needed, trade information for certain 

fixed income instruments reported to 

FINRA’s Trade Reporting and 

Compliance Engine (‘‘TRACE’’). 

The Exchange notes that the Fund 

will meet and be subject to all other 

requirements of the Generic Listing 

Rules and other applicable continued 

listing requirements for Managed Fund 

Shares under Rule 14.11(i), including 

those requirements regarding the 

Disclosed Portfolio and the requirement 

that the Disclosed Portfolio will be 

made available to all market 

participants at the same time,24 Intraday 

Indicative Value,25 suspension of 

trading or removal,26 trading halts,27

disclosure,28 and firewalls.29 Further, at 

least 100,000 Shares will be outstanding 

upon the commencement of trading. 

For the above reasons, the Exchange 

believes that the proposed rule change 

is consistent with the requirements of 

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

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purpose of the Act. The Exchange 

notes that the proposed rule change, 

rather will facilitate the listing and 

trading of an additional activelymanaged exchange-traded product that 

will enhance competition among both 

market participants and listing venues, 

to the benefit of investors and the 

marketplace. 


asabaliauskas on DSKBBXCHB2PROD with NOTICES
45106 Federal Register / Vol. 82, No. 186 / Wednesday, September 27, 2017 / Notices 

30 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Pursuant to a telephone call with the Clearing 

Agencies’ internal counsel on September 19, 2017, 

staff in the Commission’s Office of Clearance and 

Settlement corrected the title of the Framework 

from ‘‘Clearing Agency Securities Framework’’ to 

‘‘Clearing Agency Securities Valuation 

Framework,’’ as it now reads. 

4 17 CFR 240.17Ad–22(e)(4)(i). 

5 17 CFR 240.17Ad–22(e)(6)(iv). Each of the 

Clearing Agencies is a ‘‘covered clearing agency’’ as 

defined in Rule 17Ad–22(a)(5), and must comply 

with subsection (e) of Rule 17Ad–22. As Rule 

17Ad–22(e)(6)(iv) only applies to covered clearing 

agencies that are central counterparties, references 

thereto and compliance therewith apply to the CCPs 

only and do not apply to DTC. 

6Capitalized terms not defined herein are defined 

in the DTC Rules, GSD Rules, MBSD Rules, or 

NSCC Rules, as applicable, available at http://

dtcc.com/legal/rules-and-procedures. 

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 Exchange consents, the Commission 

shall: (a) By order approve or 

disapprove such 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–2017–54 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–2017–54. 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 No. SR–BatsBZX– 

2017–54 and should be submitted on or 

before October 18, 2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.30

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–20625 Filed 9–26–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81667; File Nos. SR–DTC– 

2017–016; SR–NSCC–2017–016; SR–FICC– 

2017–020] 

Self-Regulatory Organizations; The 

Depository Trust Company; National 

Securities Clearing Corporation; Fixed 

Income Clearing Corporation; Notice of 

Filings of Proposed Rule Changes To 

Adopt the Clearing Agency Securities 

Valuation Framework 

September 21, 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 

September 8, 2017, The Depository 

Trust Company (‘‘DTC’’), National 

Securities Clearing Corporation 

(‘‘NSCC’’), and Fixed Income Clearing 

Corporation (‘‘FICC,’’ each a ‘‘Clearing 

Agency,’’ and together with DTC and 

NSCC, the ‘‘Clearing Agencies’’), filed 

with the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule changes as described in 

Items I, II and III below, which Items 

have been prepared primarily by the 

Clearing Agencies. The Commission is 

publishing this notice to solicit 

comments on the proposed rule changes 

from interested persons. 

I. Clearing Agencies’ Statement of the 

Terms of Substance of the Proposed 

Rule Changes 

The proposed rule changes would 

adopt the Clearing Agency Securities 

Valuation Framework (‘‘Framework’’) 3

of the Clearing Agencies, as described 

below, including both of FICC’s 

divisions: the Government Securities 

Division (‘‘GSD’’) and the MortgageBacked Securities Division (‘‘MBSD’’). 

The Framework would be maintained 

by the Clearing Agencies to support 

their compliance with Rule 17Ad– 

22(e)(4)(i) 4 under the Act and, with 

respect to NSCC and FICC as central 

counterparties (the ‘‘CCPs’’), Rule 

17Ad–22(e)(6)(iv) 5 under the Act, as 

described below. 

Although the Clearing Agencies 

would consider the Framework to be a 

rule, the proposed rule changes do not 

require any changes to the Rules, Bylaws and Organization Certificate of 

DTC (‘‘DTC Rules’’), the Rulebook of 

GSD (‘‘GSD Rules’’), the Clearing Rules 

of MBSD (‘‘MBSD Rules’’), or the Rules 

& Procedures of NSCC (‘‘NSCC Rules’’), 

as the Framework would be a 

standalone document.6

II. Clearing Agencies’ Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Changes 

In their filings with the Commission, 

the Clearing Agencies included 

statements concerning the purpose of 

and basis for the proposed rule changes 

and discussed any comments they 

received on the proposed rule changes. 

The text of these statements may be 

examined at the places specified in Item 

IV below. The Clearing Agencies have 

prepared summaries, set forth in 

sections A, B, and C below, of the most 

significant aspects of such statements. 


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