Federal Register / Vol. 82, No. 202 / Friday, October 20, 2017 / Notices 48861 

16 15 U.S.C. 78s(b)(3)(A). 

17 17 CFR 240.19b–4(f)(6). 

18 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6) requires a self-regulatory organization to give 

the Commission written notice of its intent to file 

the proposed rule change at least five business days 

prior to the date of filing of the proposed rule 

change, or such shorter time as designated by the 

Commission. The Exchange has satisfied this 

requirement. 19 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 81510 

(Aug. 31, 2017), 82 FR 42399 (‘‘Notice’’). 

4See 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). 

5According to the Exchange, none of the Trust, 

WisdomTree Asset Management, Inc. (‘‘Adviser’’), 

Mellon Capital Management (‘‘Sub-Adviser’’), State 

Street Bank and Trust Company (administrator, 

Continued 

S&P Select Sector Index option 

promotes competition and efficiency by 

incentivizing more Market-Makers to 

obtain an appointment in the newly 

listed classes. The Exchange believes 

this may result in liquidity and 

competitive pricing in these classes, 

which ultimately benefits investors. The 

proposed rule change does not result in 

unfair discrimination, as the 

appointment cost will apply to all 

Market-Makers in these classes. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange neither solicited nor 

received comments on the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing proposed rule 

change does not: 

A. Significantly affect the protection 

of investors or the public interest; 

B. impose any significant burden on 

competition; and 

C. become operative for 30 days from 

the date on which it was filed, or such 

shorter time as the Commission may 

designate, it has become effective 

pursuant to Section 19(b)(3)(A) of the 

Act 16 and Rule 19b–4(f)(6) 17

thereunder.18 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. If the 

Commission takes such action, the 

Commission will institute proceedings 

to determine whether the proposed rule 

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– 

CBOE–2017–065 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–CBOE–2017–065. 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–CBOE– 

2017–065 and should be submitted on 

or before November 13, 2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.19

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–22754 Filed 10–19–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81876; File No. SR– 

BatsBZX–2017–53] 

Self-Regulatory Organizations; Bats 

BZX Exchange, Inc.; Order Granting 

Approval 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) 

October 16, 2017. 

I. Introduction 

On August 18, 2017, Bats BZX 

Exchange, Inc. (‘‘Exchange’’ or ‘‘BZX’’) 

filed with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

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

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder,2 a proposed rule 

change to list and trade shares 

(‘‘Shares’’) of the WisdomTree CBOE 

Russell 2000 PutWrite Strategy Fund 

(‘‘Fund’’). The proposed rule change 

was published for comment in the 

Federal Register on September 7, 2017.3

The Commission has received no 

comments on the proposal. This order 

approves the proposed rule change. 

II. Exchange’s Description of the 

Proposed Rule Change 

The Exchange proposes to list and 

trade Shares of the Fund under Rule 

14.11(c), which governs the listing and 

trading of Index Fund Shares on the 

Exchange. The Fund will be an indexbased exchange-traded fund (‘‘ETF’’). 

The Shares will be offered by the 

WisdomTree Trust (‘‘Trust’’), which 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.4

The Fund will seek investment results 

that track the price and yield 

performance, before fees and expenses, 

of the CBOE Russell 2000 PutWrite 

Index (‘‘Index’’), which was developed 

and is maintained by the Chicago Board 

Options Exchange, Inc. (‘‘CBOE’’ or 

‘‘Index Provider’’).5 The Index consists 


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custodian, and transfer agent for the Fund), or 

Foreside Fund Services, LLC (distributor for the 

Fund) is affiliated with the Index Provider. 

6The Exchange notes that CBOE is a member of 

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

7According to the Exchange, the fixed income 

security component of the Index, which consists of 

only one-month Treasury bills, meets the ‘‘generic’’ 

listing requirements of Rule 14.11(c)(4). 

8As 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. 

9Additional information regarding the Trust, the 

Fund, and the Shares, including information 

relating to the underlying Index, investment 

strategies, risks, net asset value (‘‘NAV’’) 

calculation, creation and redemption procedures, 

fees, portfolio holdings disclosure policies, 

distributions, and taxes, among other information, 

is included in the Notice and the Registration 

Statement, as applicable. See Notice, supra note 3 

and Registration Statement, supra note 4. 

10The 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 

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. 

11The Exchange states that 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. 

12The Exchange also 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 only two components: RUT Puts and 

one-month Treasury bills. The Index 

tracks the value of a passive investment 

strategy, which consists of selling 

(writing) Russell 2000 Index put options 

(‘‘RUT Puts’’) and investing the sale 

proceeds in one-month Treasury bills. 

All RUT Puts are standardized options 

traded on CBOE.6

The Exchange submitted the proposed 

rule change because the Index 

underlying the Fund does not meet all 

of the ‘‘generic’’ listing requirements of 

Rule 14.11(c), and more specifically, the 

requirements of Rule 14.11(c)(5) 

applicable to Index Fund Shares based 

on an Index of component securities 

representing a combination of the equity 

and the fixed income markets. Rule 

14.11(c)(5) requires that the equity and 

fixed income component securities 

separately meet the criteria set forth in 

Rules 14.11(c)(3) and 14.11(c)(4), 

respectively. With respect to the Fund, 

the Index does not meet all of the 

generic requirements of Rule 14.11(c)(3) 

because the Index consists primarily of 

RUT Puts.7 The Exchange represents 

that 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) in that the Index will 

consist of options based on equity 

securities (i.e., RUT Puts).8

The Exchange has made the following 

representations and statements in 

describing the Fund and its investment 

strategies, including other assets and 

investment restrictions.9

A. Description of the Index Methodology 

The Index is based on a passive 

investment strategy that consists of 

overlapping hypothetical investments in 

a single series of exchange-listed 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 (‘‘Roll Date’’), 

which matches the expiration date of 

the hypothetical RUT Puts. 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-themoney RUT Puts is sold. Revenue from 

the sale of RUT Puts 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. 

B. Principal Investments of the Fund 

The Fund seeks to track the 

performance of an underlying index, the 

Index. Under Normal Market 

Conditions,10 the Fund will invest not 

less than 80% 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 (as 

discussed below, ‘‘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 Exchange, 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 

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. RUT Puts are cash-settled 

and trade in competitive auction 

markets with price and quote 

transparency. According to the 

Exchange, 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.11

The Exchange represents that trading 

in the Shares and the underlying Fund 

investments will be subject to the 

federal securities laws and Exchange, 

CBOE, and Financial Industry 

Regulatory Authority (‘‘FINRA’’) rules 

and surveillance programs.12 In 

addition, 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. 

C. Other Investments of the Fund 

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 


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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. 

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 the rules 

promulgated by the Commodity Futures Trading 

Commission, as such rules may be amended from 

time to time. According to the Exchange, 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. All of the 

ETPs in which the Fund may invest will be listed 

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

in the securities of ETPs registered under the 

Investment Company Act of 1940 (‘‘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. 

20 15 U.S.C. 78f. 

21 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

formation. See 15 U.S.C. 78c(f). 

22 15 U.S.C. 78f(b)(5). 

23 15 U.S.C. 78k–1(a)(1)(C)(iii). 

24As defined in Rule 1.5(w), the term ‘‘Regular 

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

and 4:00 p.m. ET. 

25According to the Exchange, several major 

market data vendors display and/or make widely 

available IIV’s taken from the CTA or other data 

feeds. 

agencies and instrumentalities, and 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 

instruments’’); 14 Russell 2000 ETF put 

options; 15 Russell 2000 Index futures 

and 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 include buying the 

derivative instrument or selling the 

derivative instrument (i.e., writing the 

applicable put option) and investing the 

proceeds. 

III. Discussion and Commission’s 

Findings 

After careful review, the Commission 

finds that the proposed rule change is 

consistent with the requirements of 

Section 6 of the Act 20 and the rules and 

regulations thereunder applicable to a 

national securities exchange.21 In 

particular, the Commission finds that 

the proposal is consistent with Section 

6(b)(5) of the Act,22 which requires, 

among other things, that the Exchange’s 

rules be designed to promote just and 

equitable principles of trade, 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 Commission also 

finds that the proposal to list and trade 

the Shares on the Exchange is consistent 

with Section 11A(a)(1)(C)(iii) of the 

Act,23 which sets forth Congress’ finding 

that it is in the public interest and 

appropriate for the protection of 

investors and the maintenance of fair 

and orderly markets to assure the 

availability to brokers, dealers, and 

investors of information with respect to 

quotations for, and transactions in, 

securities. 

Quotation and last-sale information 

for the Shares and any ETPs in 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 brokerdealer 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 24 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. 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.25 All Fund 

holdings will be included in calculating 

the IIV. 

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. 

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 


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26These may include: (1) The extent to which 

trading is not occurring in the securities or the 

financial instruments composing the daily 

disclosed portfolio of the Fund; or (2) whether other 

unusual conditions or circumstances detrimental to 

the maintenance of a fair and orderly market are 

present. 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 Fund. 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. 

27See, e.g., Securities Exchange Act Release Nos. 

74675 (Apr. 8, 2015), 80 FR 20038 (Apr. 14, 2015) 

(SR–NYSEArca–2015–05) (order approving 

proposed rule change to list shares of the 

WisdomTree Put Write Strategy Fund); and 77045 

(Feb. 3, 2016), 81 FR 6916 (Feb. 9, 2016) (SR– 

NYSEArca–2015–113) (order approving a proposed 

rule change relating to the index underlying the 

WisdomTree Put Write Strategy Fund). 

28The Pre-Opening Session is from 8:00 a.m. to 

9:30 a.m. ET. 

29The After Hours Trading Session is from 4:00 

p.m. to 5:00 p.m. ET. 

30See 17 CFR 240.10A–3. 

volume information for the Shares will 

be published daily in the financial 

section of newspapers. The Trust’s Web 

site, 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 and 

additional quantitative information 

updated on a daily basis relating to the 

Fund. 

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 National Securities 

Clearing Corporation. The portfolio 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 constitute the 

Fund’s portfolio on a given day. The 

NAV of the Fund’s Shares will be 

calculated once daily Monday through 

Friday as of the close of regular trading 

on the New York Stock Exchange, 

generally 4:00 p.m. ET. 

The Commission further believes that 

the proposal to list and trade the Shares 

is reasonably designed to promote fair 

disclosure of information that may be 

necessary to price the Shares 

appropriately and to prevent trading 

when a reasonable degree of 

transparency cannot be assured. 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 may be halted 

because of market conditions or for 

reasons that, in the view of the 

Exchange, make trading in the Shares 

inadvisable.26 The Exchange states that 

it has a general policy prohibiting the 

distribution of material, non-public 

information by its employees. In 

addition, the Exchange states that the 

Index Provider is not registered as an 

investment adviser or broker-dealer and 

is not affiliated with any broker-dealers. 

The Exchange also represents that the 

Adviser is not registered as, or affiliated 

with, any broker-dealer. The Exchange 

represents that the Sub-Adviser is 

affiliated with multiple broker-dealers 

and has implemented a ‘‘fire wall’’ with 

respect to those broker-dealers and their 

personnel regarding access to 

information concerning the composition 

of, and 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, non-public 

information regarding the Fund’s 

portfolio. According to the Exchange, 

the Adviser and the Index Provider 

represent that a fire wall exists around 

the respective personnel who have 

access to information concerning 

changes and adjustments to the Index. 

The Exchange represents that 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 further 

represents that these 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. Moreover, 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. 

The Commission notes that the Shares 

and the Fund must comply with the 

initial and continued listing criteria in 

Rule 14.11(c) for the Shares to be listed 

and traded on the Exchange. In 

addition, the Commission notes it has 

previously approved a proposal to list 

and trade shares of an ETF that employs 

a very similar strategy.27

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. In support of this 

proposal, the Exchange has also made 

the following representations: 

(1) 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) because the Index will 

consist of options. 

(2) The Exchange has the appropriate 

rules to facilitate transactions in the 

Shares during all trading sessions. 

(3) 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 

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. 

(4) 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: (a) The 

procedures for purchases and 

redemptions of Shares in Creation Units 

(and that Shares are not individually 

redeemable); (b) BZX Rule 3.7, which 

imposes suitability obligations on 

Exchange members with respect to 

recommending transactions in the 

Shares to customers; (c) how 

information regarding the IIV and Index 

value is disseminated; (d) the risks 

involved in trading the Shares during 

the Pre-Opening 28 and After Hours 

Trading Sessions 29 when an updated 

Intraday Indicative Value will not be 

calculated or publicly disseminated; (e) 

the requirement that members deliver a 

prospectus to investors purchasing 

newly issued Shares prior to or 

concurrently with the confirmation of a 

transaction; and (f) trading information. 

(5) For initial and continued listing, 

the Fund will be in compliance with 

Rule 10A–3 under the Act,30 as 

provided by Rule 14.10. 

(6) The Fund may hold up to an 

aggregate amount of 15% of its net 


srobinson on DSKBC5CHB2PROD with NOTICES
Federal Register / Vol. 82, No. 202 / Friday, October 20, 2017 / Notices 48865 

31The Exchange represents that the 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. 

32 15 U.S.C. 78f(b)(5). 

33 15 U.S.C. 78s(b)(2). 

34 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3SQF is an interface that allows market makers 

to connect and send quotes, sweeps and auction 

responses into the Exchange. Data includes the 

following: (1) Options Auction Notifications (e.g., 

opening imbalance, Flash, PIM, Solicitation and 

Facilitation or other information); (2) Options 

Symbol Directory Messages; (3) System Event 

Messages (e.g., start of messages, start of system 

hours, start of quoting, start of opening); (4) Option 

Trading Action Messages (e.g., halts, resumes); (5) 

Execution Messages; (6) Quote Messages (quote/ 

sweep messages, risk protection triggers or purge 

notifications). 

4SQF Purge is a specific port for the SQF 

interface that only receives and notifies of purge 

requests from the market maker. 

5The term ‘‘Market Makers’’ refers to 

‘‘Competitive Market Makers’’ and ‘‘Primary Market 

Makers’’ collectively. See ISE Rule 100(a)(25). 

assets in illiquid assets (calculated at 

the time of investment). 

(7) A minimum of 100,000 Shares for 

the Fund will be outstanding at the 

commencement of trading on the 

Exchange. 

(8) 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. 

(9) The Fund will not invest in any 

non-U.S. equity securities. 

(10) The Fund’s investments will be 

consistent with the Fund’s investment 

objective and will not be used to 

enhance leverage.31 The Fund will not 

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

–3X) ETPs. 

(11) 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 those contracts. 

(12) The Fund may invest up to 10% 

of its assets in over-the-counter Russell 

2000 put options. 

(13) All 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 Sub-Adviser to be of 

comparable quality to money market 

securities rated investment grade. 

(14) The Russell 2000 Index options 

traded on CBOE are highly liquid, with 

average daily trading volume in 2016 of 

71,365 contracts and a notional size per 

contract of $117,169. CBOE is a member 

of the Option Price Regulatory 

Surveillance Authority, which was 

established 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. 

The Exchange further represents that 

all statements and representations made 

in the 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 the filing 

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. The 

Exchange further represents that FINRA 

conducts certain cross-market 

surveillances on behalf of the Exchange 

pursuant to a regulatory services 

agreement, and 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 

Rule 14.12. 

This approval order is based on all of 

the Exchange’s representations, 

including those set forth above and in 

the Notice. For the foregoing reasons, 

the Commission finds that the proposed 

rule change is consistent with Section 

6(b)(5) of the Act 32 and the rules and 

regulations thereunder applicable to a 

national securities exchange. 

IV. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,33 that the 

proposed rule change (SR–BatsBZX– 

2017–53) be, and it hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.34

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–22752 Filed 10–19–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81882; File No. SR–ISE– 

2017–87] 

Self-Regulatory Organizations; Nasdaq 

ISE, LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Assess Fees for 

Specialized Quote Feed and SQF 

Purge Ports 

October 16, 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 October 

2, 2017, Nasdaq ISE, LLC (‘‘ISE’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission (‘‘SEC’’ or 

‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III, 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 proposal to 

amend its Schedule of Fees, as 

described further below. 

The text of the proposed rule change 

is available on the Exchange’s Web site 

at www.ise.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 aspects 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 is proposing to amend 

its Schedule of Fees to assess fees for 

Specialized Quote Feed (‘‘SQF’’) 3 and 

SQF Purge 4 Ports that Market Makers 5

utilize to connect to the Exchange. The 

Exchange recently completed the 

migration of the Exchange’s T7 trading 


srobinson on DSKBC5CHB2PROD with NOTICES