Federal Register / Vol. 82, No. 213 / Monday, November 6, 2017 / Notices 51457 

17See NYSE Arca Rule 7.4–E. 

18For purposes only of waiving the 30-day 

operative delay, the Commission has also 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

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

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. 81591 

(September 13, 2017), 82 FR 43611 (‘‘Notice’’). 

4Amendment No. 1 to the proposed rule change 

is a partial amendment in which the Exchange 

clarifies that: (i) In the event that (a) the Adviser 

registers as a broker-dealer or becomes newly 

affiliated with a broker-dealer, or (b) any new 

adviser or a sub-adviser to the Fund is a registered 

broker-dealer or becomes affiliated with a brokerdealer, it will not just implement but also maintain 

a fire wall with respect to its relevant personnel 

and/or such broker-dealer affiliate, if applicable; 

and (ii) the Financial Industry Regulatory 

Authority, Inc. (‘‘FINRA’’), on behalf of the 

Exchange, will communicate as needed with, and 

may obtain information from, other markets and 

entities that are members of the Intermarket 

Surveillance Group (‘‘ISG’’) regarding trading in the 

Shares, and in exchange-traded securities and 

instruments held by the Fund (to the extent those 

exchange-traded securities and instruments are 

known through the publication of the Composition 

File and periodic public disclosures of the Fund’s 

portfolio holdings), and the Exchange may obtain 

such trading information from markets and other 

entities that are members of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement. Amendment No. 1 

is available at: https://www.sec.gov/comments/srnasdaq-2017-091/nasdaq2017091-2447435- 

161078.pdf. Because Amendment No. 1 to the 

proposed rule change does not materially alter the 

substance of the proposed rule change or raise 

unique or novel regulatory issues, Amendment No. 

1 is not subject to notice and comment. 

5Amendment No. 2 to the proposed rule change 

is a partial amendment in which the Exchange 

clarifies that the name of the Fund will be Calvert 

Ultra-Short Duration Income NextShares. 

Amendment No. 2 is available at: https://

www.sec.gov/comments/sr-nasdaq-2017-091/ 

nasdaq2017091-2656932-161387.pdf. Because 

Amendment No. 2 to the proposed rule change does 

not materially alter the substance of the proposed 

rule change or raise unique or novel regulatory 

issues, Amendment No. 2 is not subject to notice 

and comment. 

of investors and the public interest. The 

Exchange has asked the Commission to 

waive the 30-day operative delay. The 

Commission believes that waiver of the 

operative delay is consistent with the 

protection of investors and the public 

interest because the Exchange’s 

proposed rule change is substantially 

similar to a provision to another selfregulatory organization’s rules,17 and 

the Exchange’s proposal does not raise 

any new or novel issues. Accordingly, 

the Commission hereby waives the 30- 

day operative delay requirement and 

designates the proposed rule change as 

operative upon filing.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 shall institute proceedings 

to determine whether the proposed rule 

should be approved or disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

IEX–2017–38 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–IEX–2017–38. 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. 

Persons submitting comments are 

cautioned that we do not redact or edit 

personal identifying information from 

comment submissions. You should 

submit only information that you wish 

to make available publicly. All 

submissions should refer to File 

Number SR–IEX–2017–38, and should 

be submitted on or before November 27, 

2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.19

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–24048 Filed 11–3–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81987; File No. SR– 

NASDAQ–2017–091] 

Self-Regulatory Organizations; The 

NASDAQ Stock Market LLC; Order 

Granting Approval of Proposed Rule 

Change, as Modified by Amendments 

No. 1 and 2, To List and Trade Shares 

of the Calvert Ultra-Short Duration 

Income NextSharesTM Under Nasdaq 

Rule 5745 

October 31, 2017. 

I. Introduction 

On August 30, 2017, The NASDAQ 

Stock Market LLC (‘‘Nasdaq’’ or 

‘‘Exchange’’) 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 common shares (‘‘Shares’’) 

of the Calvert Ultra-Short Duration 

Income NextSharesTM (‘‘Fund’’) under 

Nasdaq Rule 5745. The proposed rule 

change was published for comment in 

the Federal Register on September 18, 

2017.3 On September 15, 2017, the 

Exchange filed Amendment No. 1 to the 

proposed rule change.4 On October 27, 

2017, the Exchange filed Amendment 

No. 2 to the proposed rule change.5 The 

Commission received no comments on 

the proposed rule change. This order 

grants approval of the proposed rule 

change, as modified by Amendments 

No. 1 and 2. 

II. Exchange’s Description of the 

Proposed Rule Change 

The Exchange proposes to list and 

trade the Shares of the Fund under 

Nasdaq Rule 5745, which governs the 

listing and trading of Exchange-Traded 

Managed Fund Shares, as defined in 

Nasdaq Rule 5745(c)(1). The Fund is a 

series of the Calvert Management Series 

(‘‘Trust’’). The Exchange represents that 

the Trust is registered with the 

Commission as an open-end investment 

company and that it has filed a 

registration statement on Form N–1A 


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6See Post-Effective Amendment No. 86 to the 

Registration Statement on Form N–1A for CMS 

Trust dated July 20, 2017 (File Nos. 002–69565 and 

811–03101). 

7According to the Exchange, the Commission has 

issued an order granting Eaton Vance Management, 

Eaton Vance ETMF Trust, Eaton Vance ETMF Trust 

II and certain affiliates exemptive relief under the 

Investment Company Act of 1940 (‘‘1940 Act’’). See 

Investment Company Act Release No. 31361 

(December 2, 2014) (File No. 812–14139) (‘‘Order’’). 

The Exchange states that the Adviser is a whollyowned subsidiary of Eaton Vance Management and 

may rely on this exemptive order with respect to 

the Fund. In compliance with Nasdaq Rule 

5745(b)(5), which applies to Shares based on an 

international or global portfolio, the application for 

the Order states that the Fund will comply with the 

federal securities laws in accepting securities for 

deposits and satisfying redemptions with securities, 

including that the securities accepted for deposits 

and the securities used to satisfy redemption 

requests are sold in transactions that would be 

exempt from registration under the Securities Act 

of 1933, as amended. 

8The Commission notes that additional 

information regarding the Trust, the Fund, and the 

Shares, including investment strategies, risks, 

creation and redemption procedures, calculation of 

net asset value (‘‘NAV’’), fees, distributions, and 

taxes, among other things, can be found in the 

Notice, Amendments No. 1 and 2, and the 

Registration Statement, as applicable. See supra 

notes 3–6, respectively, and accompanying text. 

9According to the Exchange, additional 

information regarding the Fund will be available on 

a free public Web site for the Fund 

(www.calvert.com and/or www.nextshares.com) and 

in the Registration Statement for the Fund. 

10The Exchange represents that the free public 

Web site containing the Composition File will be 

at www.calvert.com and/or www.nextshares.com. 

11 In determining whether the Fund will issue or 

redeem creation units entirely on a cash basis, the 

key consideration will be the benefit that would 

accrue to the Fund and its investors. 

12See Nasdaq Rule 4120(b)(4) (describing the 

three trading sessions on the Exchange: (1) PreMarket Session from 4:00 a.m. to 9:30 a.m. Eastern 

Time (‘‘E.T.’’); (2) Regular Market Session from 9:30 

a.m. to 4:00 p.m. or 4:15 p.m. E.T.; and (3) PostMarket Session from 4:00 p.m. or 4:15 p.m. to 8:00 

p.m. E.T. 

13The IIV disseminated throughout each trading 

day would be based on the same portfolio as used 

to calculate that day’s NAV. The Fund will reflect 

purchases and sales of portfolio positions in its 

NAV the next business day after trades are 

executed. 

14 In NAV-Based Trading (as referenced herein), 

prices of executed trades are not determined until 

the reference NAV is calculated, so buyers and 

sellers of Shares during the trading day will not 

know the final value of their purchases and sales 

until the end of the trading day. The Exchange 

represents that the Registration Statement, Web site, 

and any advertising or marketing materials will 

include prominent disclosure of this fact. The 

Exchange states that although the IIV may provide 

useful estimates of the value of intraday trades, they 

cannot be used to calculate with precision the 

dollar value of the Shares to be bought or sold. 

(‘‘Registration Statement’’) with the 

Commission with respect to the Fund.6

Calvert Research and Management 

(‘‘Adviser’’), a wholly owned subsidiary 

of Eaton Vance Management, will be the 

Adviser to the Fund.7

Foreside Fund Services, LLC will be 

the principal underwriter and 

distributor of the Fund’s Shares. State 

Street Bank and Trust Company will act 

as the accounting agent, custodian, and 

transfer agent to the Fund. ICE Data 

Services will be the intraday indicative 

value (‘‘IIV’’) calculator to the Fund. 

The Exchange has made the following 

representations and statements in 

describing the Fund.8 According to the 

Exchange, the Fund will be actively 

managed and will pursue the principal 

investment strategies described below.9

A. Principal Investment Strategies 

The investment objective of the Fund 

is to seek to maximize income, to the 

extent consistent with preservation of 

capital, through investment in bonds 

and income-producing securities. The 

Fund will seek to achieve its investment 

objective by investing, under normal 

circumstances, at least 80% of its net 

assets (including borrowings for 

investment purposes) in a portfolio of 

floating-rate debt securities (e.g., 

corporate floating-rate securities) and 

debt securities with durations of less 

than or equal to one year. The Fund will 

typically invest at least 65% of its net 

assets in investment grade, U.S. dollardenominated debt securities, as assessed 

at the time of purchase. The Fund will 

invest principally in bonds issued by 

U.S. corporations, the U.S. Government 

or its agencies, and U.S. Governmentsponsored enterprises such as the 

Federal National Mortgage Association 

and the Federal Home Loan Mortgage 

Corporation. The Fund may also invest 

up to 25% of its net assets in foreign 

debt securities. 

B. Portfolio Disclosure and Composition 

File 

Consistent with the disclosure 

requirements that apply to traditional 

open-end investment companies, a 

complete list of the Fund’s current 

portfolio positions will be made 

available at least once each calendar 

quarter, with a reporting lag of not more 

than 60 days. The Fund may provide 

more frequent disclosures of portfolio 

positions at its discretion. 

As defined in Nasdaq Rule 5745(c)(3), 

the ‘‘Composition File’’ is the specified 

portfolio of securities and/or cash that 

the Fund will accept as a deposit in 

issuing a creation unit of Shares, and 

the specified portfolio of securities and/ 

or cash that the Fund will deliver in a 

redemption of a creation unit of Shares. 

The Composition File will be 

disseminated through the National 

Securities Clearing Corporation once 

each business day before the open of 

trading in Shares on that day and also 

will be made available to the public 

each day on a free Web site.10 Because 

the Fund seeks to preserve the 

confidentiality of its current portfolio 

trading program, the Fund’s 

Composition File generally will not be 

a pro rata reflection of the Fund’s 

investment positions. Each security 

included in the Composition File will 

be a current holding of the Fund, but the 

Composition File generally will not 

include all of the securities in the 

Fund’s portfolio or match the 

weightings of the included securities in 

the portfolio. Securities that the Adviser 

is in the process of acquiring for the 

Fund generally will not be represented 

in the Fund’s Composition File until the 

purchase has been completed. Similarly, 

securities that are held in the Fund’s 

portfolio but are in the process of being 

sold may not be removed from its 

Composition File until the sale is 

substantially completed. When creating 

and redeeming Shares in-kind, the Fund 

will use cash amounts to supplement 

the in-kind transactions to the extent 

necessary to ensure that creation units 

are purchased and redeemed at NAV. 

The Composition File also may consist 

entirely of cash, in which case it will 

not include any of the securities in the 

Fund’s portfolio.11

C. Intraday Indicative Value 

An estimated value of an individual 

Share, defined in Nasdaq Rule 

5745(c)(2) as the IIV, will be calculated 

and disseminated at intervals of not 

more than 15 minutes throughout the 

Regular Market Session 12 when Shares 

trade on the Exchange. The Exchange 

will obtain a representation from the 

issuer of the Shares that the IIV will be 

calculated on an intraday basis and 

provided to Nasdaq for dissemination 

via the Nasdaq Global Index Service. 

The IIV will be based on current 

information regarding the value of the 

securities and other assets held by the 

Fund.13 The purpose of the IIV is to 

enable investors to estimate the nextdetermined NAV so they can determine 

the number of Shares to buy or sell if 

they want to transact in an approximate 

dollar amount.14

D. NAV-Based Trading 

Because Shares will be listed and 

traded on the Exchange, Shares will be 

available for purchase and sale on an 

intraday basis. Shares will be purchased 

and sold in the secondary market at 

prices directly linked to the Fund’s 

next-determined NAV using a trading 

protocol called ‘‘NAV-Based Trading.’’ 

All bids, offers, and execution prices of 

Shares will be expressed as a premium/ 

discount (which may be zero) to the 


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15According to the Exchange, the premium or 

discount to NAV at which Share prices are quoted 

and transactions are executed will vary depending 

on market factors, including the balance of supply 

and demand for Shares among investors, 

transaction fees, and other costs in connection with 

creating and redeeming creation units of Shares, the 

cost and availability of borrowing Shares, 

competition among market makers, the Share 

inventory positions and inventory strategies of 

market makers, the profitability requirements and 

business objectives of market makers, and the 

volume of Share trading. 

16According to the Exchange, all orders to buy or 

sell Shares that are not executed on the day the 

order is submitted will be automatically cancelled 

as of the close of trading on that day. Prior to the 

commencement of trading in the Fund, the 

Exchange will inform its members in an 

Information Circular of the effect of this 

characteristic on existing order types. 

17 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). 

18 15 U.S.C. 78f(b)(5). 

19See Nasdaq Rule 5745(h). 

20See Nasdaq Rule 5745(b)(6). 21The Exchange states that FINRA provides 

surveillance of trading on the Exchange pursuant to 

a regulatory services agreement and that the 

Exchange is responsible for FINRA’s performance 

under this regulatory services agreement. 

Fund’s next-determined NAV (e.g., 

NAV¥$0.01, NAV + $0.01).15 The 

Fund’s NAV will be determined each 

business day, normally as of 4:00 p.m. 

E.T. Trade executions will be binding at 

the time orders are matched on Nasdaq’s 

facilities, with the transaction prices 

contingent upon the determination of 

NAV. Nasdaq represents that all Shares 

listed on the Exchange will have a 

unique identifier associated with their 

ticker symbol, which will indicate that 

the Shares are traded using NAV-Based 

Trading. 

According to the Exchange, member 

firms will utilize certain existing order 

types and interfaces to transmit Share 

bids and offers to Nasdaq, which will 

process Share trades like trades in 

shares of other listed securities.16 In the 

systems used to transmit and process 

transactions in Shares, the Fund’s nextdetermined NAV will be represented by 

a proxy price (e.g., 100.00) and a 

premium/discount of a stated amount to 

the next-determined NAV to be 

represented by the same increment/ 

decrement from the proxy price used to 

denote NAV (e.g., NAV¥$0.01 would 

be represented as 99.99; NAV + $0.01 as 

100.01). 

To avoid potential investor confusion, 

Nasdaq represents that it will work with 

member firms and providers of market 

data services to seek to ensure that 

representations of intraday bids, offers, 

and execution prices of Shares that are 

made available to the investing public 

follow the ‘‘NAV¥$0.01/NAV + $0.01’’ 

(or similar) display format. Specifically, 

the Exchange will use the NASDAQ 

Basic and NASDAQ Last Sale data feeds 

to disseminate intraday price and quote 

data for Shares in real time in the 

‘‘NAV¥$0.01/NAV + $0.01’’ (or similar) 

display format. Member firms may use 

the NASDAQ Basic and NASDAQ Last 

Sale data feeds to source intraday Share 

prices for presentation to the investing 

public in the ‘‘NAV¥$0.01/NAV + 

$0.01’’ (or similar) display format. 

Alternatively, member firms may 

source intraday Share prices in proxy 

price format from the Consolidated Tape 

and other Nasdaq data feeds (e.g., 

Nasdaq TotalView and Nasdaq Level 2) 

and use a simple algorithm to convert 

prices into the ‘‘NAV¥$0.01/NAV + 

$0.01’’ (or similar) display format. Prior 

to the commencement of trading in the 

Fund, the Exchange will inform its 

members in an Information Circular of 

the identities of the specific Nasdaq data 

feeds from which intraday Share prices 

in proxy price format may be obtained. 

III. Discussion and Commission 

Findings 

After careful review, the Commission 

finds that the Exchange’s proposal to list 

and trade the Shares is consistent with 

the Act and the rules and regulations 

thereunder applicable to a national 

securities exchange.17 In particular, the 

Commission finds that the proposed 

rule change is consistent with Section 

6(b)(5) of the Act,18 which requires, 

among other things, that the Exchange’s 

rules be 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 Shares will be subject to Nasdaq 

Rule 5745, which sets forth the initial 

and continued listing criteria applicable 

to Exchange-Traded Managed Fund 

Shares. A minimum of 50,000 Shares 

and no less than two creation units of 

the Fund will be outstanding at the 

commencement of trading on the 

Exchange. 

Nasdaq deems the Shares to be equity 

securities, thus rendering trading in the 

Shares subject to Nasdaq’s existing rules 

governing the trading of equity 

securities. Every order to trade Shares of 

the Fund is subject to the proxy price 

protection threshold of plus/minus 

$1.00, which determines the lower and 

upper thresholds for the life of the order 

and provides that the order will be 

cancelled at any point if it exceeds 

$101.00 or falls below $99.00.19 With 

certain exceptions, each order also must 

contain the applicable order attributes, 

including routing instructions and timein-force information, as described in 

Nasdaq Rule 4703.20

Nasdaq also represents that trading in 

the Shares will be subject to the existing 

trading surveillances, administered by 

both Nasdaq and FINRA on behalf of the 

Exchange, which are designed to detect 

violations of Exchange rules and 

applicable federal securities laws.21 The 

Exchange represents that these 

surveillance procedures are adequate to 

properly monitor trading of Shares on 

the Exchange and to deter and detect 

violations of Exchange rules and 

applicable federal securities laws. 

FINRA, on behalf of the Exchange, will 

communicate as needed with, and may 

obtain information from, other markets 

and entities that are members of the ISG 

regarding trading in the Shares and in 

exchange-traded securities and 

instruments held by the Fund (to the 

extent those exchange-traded securities 

and instruments are known through the 

publication of the Composition File and 

periodic public disclosures of the 

Fund’s portfolio holdings). In addition, 

the Exchange may obtain information 

regarding trading in the Shares, and in 

exchange-traded securities and 

instruments held by the Fund (to the 

extent those exchange-traded securities 

and instruments are known through the 

publication of the Composition File and 

periodic public disclosures of the 

Fund’s portfolio holdings), from markets 

and other entities that are members of 

ISG or with which the Exchange has in 

place a comprehensive surveillance 

sharing agreement. Moreover, FINRA, 

on behalf of the Exchange, will be 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. 

Prior to the commencement of trading 

in the Fund, 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) Nasdaq Rule 2111A, 

which imposes suitability obligations on 

Nasdaq members with respect to 

recommending transactions in the 

Shares to customers; (c) how 

information regarding the IIV and 

Composition File is disseminated; (d) 

the requirement that members deliver a 


Pmangrum on DSK3GDR082PROD with NOTICES
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22See Amendment No. 1, supra note 4. The 

Exchange further represents that an investment 

adviser to an open-end fund is required to be 

registered under the Investment Advisers Act of 

1940 (‘‘Advisers Act’’). As a result, the Adviser and 

its related personnel are subject to the provisions 

of Rule 204A–1 under the Advisers Act relating to 

codes of ethics. This Rule requires investment 

advisers to adopt a code of ethics that reflects the 

fiduciary nature of the relationship to clients as 

well as compliance with other applicable securities 

laws. Accordingly, procedures designed to prevent 

the communication and misuse of non-public 

information by an investment adviser must be 

consistent with Rule 204A–1 under the Advisers 

Act. In addition, Rule 206(4)–7 under the Advisers 

Act makes it unlawful for an investment adviser to 

provide investment advice to clients unless such 

investment adviser has: (i) Adopted and 

implemented written policies and procedures 

reasonably designed to prevent violation, by the 

investment adviser and its supervised persons, of 

the Advisers Act and the Commission rules adopted 

thereunder; (ii) implemented, at a minimum, an 

annual review regarding the adequacy of the 

policies and procedures established pursuant to 

subparagraph (i) above and the effectiveness of their 

implementation; and (iii) designated an individual 

(who is a supervised person) responsible for 

administering the policies and procedures adopted 

under subparagraph (i) above. 

23See Nasdaq Rule 5745(c)(4). 

24 15 U.S.C. 78k–1(a)(1)(C)(iii). 

25 Due to systems limitations, the Consolidated 

Tape will report intraday execution prices and 

quotes for Shares using a proxy price format. 

Nasdaq has represented that it will separately report 

real-time execution prices and quotes to member 

firms and providers of market data services in the 

‘‘NAV¥$0.01/NAV + $0.01’’ (or similar) display 

format, and will otherwise seek to ensure that 

representations of intraday bids, offers and 

execution prices for Shares that are made available 

to the investing public follow the same display 

format. 

26According to Nasdaq, FTP is a standard 

network protocol used to transfer computer files on 

the Internet. Nasdaq will arrange for the daily 

dissemination of an FTP file with executed Share 

trades to member firms and market data services. 27The Exchange represents that the Web site 

containing this information will be 

www.calvert.com. 

prospectus to investors purchasing 

Shares prior to or concurrently with the 

confirmation of a transaction; and (e) 

information regarding NAV-Based 

Trading protocols. 

The Information Circular also will 

identify the specific Nasdaq data feeds 

from which intraday Share prices in 

proxy price format may be obtained. As 

noted above, all orders to buy or sell 

Shares that are not executed on the day 

the order is submitted will be 

automatically cancelled as of the close 

of trading on that day, and the 

Information Circular will discuss the 

effect of this characteristic on existing 

order types. In addition, Nasdaq intends 

to provide its members with a detailed 

explanation of NAV-Based Trading 

through a Trading Alert issued prior to 

the commencement of trading in Shares 

on the Exchange. 

Nasdaq states that the Adviser is not 

a registered broker-dealer; however, it is 

affiliated with a broker-dealer and has 

implemented and will maintain a fire 

wall with respect to its affiliated brokerdealer regarding access to information 

concerning the composition of, and/or 

changes to, the Fund’s portfolio.22 In 

addition, personnel who make decisions 

on the Fund’s portfolio composition 

must be subject to procedures designed 

to prevent the use and dissemination of 

material, non-public information 

regarding the open-end fund’s portfolio. 

The Reporting Authority 23 will 

implement and maintain, or ensure that 

the Composition File will be subject to, 

procedures designed to prevent the use 

and dissemination of material nonpublic information regarding the Fund’s 

portfolio positions and changes in the 

positions. In the event that (a) the 

Adviser registers as a broker-dealer or 

becomes newly affiliated with a brokerdealer, or (b) any new adviser or subadviser to the Fund is a registered 

broker-dealer or becomes affiliated with 

a broker-dealer, it will implement and 

maintain a fire wall with respect to its 

relevant personnel and/or such brokerdealer affiliate, as the case may be, 

regarding access to information 

concerning the composition of, and/or 

changes to, the Fund’s portfolio, and 

will be subject to procedures designed 

to prevent the use and dissemination of 

material non-public information 

regarding the portfolio. 

The Commission 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,24 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. Information 

regarding NAV-based trading prices, 

best bids and offers for Shares, and 

volume of Shares traded will be 

continuously available on a real-time 

basis throughout each trading day on 

brokers’ computer screens and other 

electronic services. All bids and offers 

for Shares and all Share trade 

executions will be reported intraday in 

real time by the Exchange to the 

Consolidated Tape 25 and separately 

disseminated to member firms and 

market data services through the 

Exchange data feeds. 

The Commission notes that once a 

Fund’s daily NAV has been calculated 

and disseminated, Nasdaq will price 

each Share trade entered into during the 

day at the Fund’s NAV plus/minus the 

trade’s executed premium/discount. 

Using the final trade price, each 

executed Share trade will then be 

disseminated to member firms and 

market data services via a File Transfer 

Protocol (‘‘FTP’’) file 26 that will be 

created for exchange-traded managed 

funds and will be confirmed to the 

member firms participating in the trade 

to supplement the previously provided 

information with final pricing. 

The Exchange will obtain a 

representation from the issuer of the 

Shares that the NAV per Share will be 

calculated daily (on each business day 

that the New York Stock Exchange is 

open for trading) and provided to 

Nasdaq via the Mutual Fund Quotation 

Service (‘‘MFQS’’) by the fund 

accounting agent. As soon as the NAV 

is entered into the MFQS, Nasdaq will 

disseminate the NAV to market 

participants and market data vendors 

via the Mutual Fund Dissemination 

Service so that all firms will receive the 

NAV per share at the same time. 

The Exchange further represents that 

it may consider all relevant factors in 

exercising its discretion to halt or 

suspend trading in the Shares. The 

Exchange will halt trading in the Shares 

under the conditions specified in 

Nasdaq Rule 4120 and in Nasdaq Rule 

5745(d)(2)(C). Additionally, the 

Exchange may cease trading the Shares 

if other unusual conditions or 

circumstances exist that, in the opinion 

of the Exchange, make further dealings 

on the Exchange detrimental to the 

maintenance of a fair and orderly 

market. To manage the risk of a nonregulatory Share trading halt, Nasdaq 

has in place back-up processes and 

procedures to ensure orderly trading. 

Prior to the commencement of market 

trading in the Shares, the Fund will be 

required to establish and maintain a 

public Web site through which its 

current prospectus may be 

downloaded.27 The Web site will 

include additional information 

concerning the Fund updated on a daily 

basis, including the prior business day’s 

NAV, and the following trading 

information for that business day 

expressed as premiums/discounts to 

NAV: (a) Intraday high, low, average, 

and closing prices of Shares in 

Exchange trading; (b) the midpoint of 

the highest bid and lowest offer prices 

as of the close of Exchange trading, 

expressed as a premium/discount to 

NAV (‘‘Closing Bid/Ask Midpoint’’); 

and (c) the spread between highest bid 

and lowest offer prices as of the close of 

Exchange trading (‘‘Closing Bid/Ask 

Spread.’’). The Web site will also 

contain charts showing the frequency 

distribution and range of values of 


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Federal Register / Vol. 82, No. 213 / Monday, November 6, 2017 / Notices 51461 

28The Commission notes that certain other 

proposals for the listing and trading of Managed 

Fund Shares include a representation that the 

exchange will ‘‘surveil’’ for compliance with the 

continued listing requirements. See, e.g., Securities 

Exchange Act Release No. 78005 (Jun. 7, 2016), 81 

FR 38247 (Jun. 13, 2016) (SR–BATS–2015–100). In 

the context of this representation, it is the 

Commission’s view that ‘‘monitor’’ and ‘‘surveil’’ 

both mean ongoing oversight of a fund’s compliance 

with the continued listing requirements. Therefore, 

the Commission does not view ‘‘monitor’’ as a more 

or less stringent obligation than ‘‘surveil’’ with 

respect to the continued listing requirements. 

29See supra notes 4 and 5. 

30 15 U.S.C. 78f(b)(5). 

31 15 U.S.C. 78k–1(a)(1)(C)(iii). 

32 15 U.S.C. 78s(b)(2). 

33 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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

4 17 CFR 240.19b–4(f)(6). 

5See Securities Exchange Act Release 80040 

(February 14, 2017), 82 FR 11248 (February 21, 

2017) (Order Approving SR–CBOE–2016–088). 

6See Securities Exchange Act Release Nos. 74556 

(March 20, 2015), 80 FR 16031 (March 26, 2015) 

(SR–BATS–2014–067); see also Securities Exchange 

Act Release No. 73884 (December 18, 2014), 79 FR 

77557 (December 24, 2014) (the ‘‘Initial Filing’’); 

81084 (July 6, 2017), 82 FR 32216 (July 12, 2017) 

(SR–BatsBZX–2017–35) (adopting subsequent 

harmonized provisions relating to the calculation of 

Theoretical Price). 

7See Securities Exchange Act Release No. 75650 

(August 7, 2015), 80 FR 48600 (August 13, 2015) 

(SR–EDGX–2015–18). 

trading prices, Closing Bid/Ask 

Midpoints, and Closing Bid/Ask 

Spreads over time. 

The Exchange represents that all 

statements and representations made in 

the filing regarding: (a) The description 

of the portfolio or reference assets, (b) 

limitations on portfolio holdings or 

reference assets, (c) dissemination and 

availability of the reference asset or IIV, 

or (d) the applicability of Exchange 

listing rules shall constitute continued 

listing requirements for listing the 

Shares on the Exchange. The issuer has 

represented to the Exchange that it will 

advise the Exchange of any failure by 

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.28 If the Fund is not in 

compliance with the applicable listing 

requirements, the Exchange will 

commence delisting procedures for the 

Fund under the Nasdaq 5800 Series. 

This approval order is based on all of 

the Exchange’s representations, 

including those set forth above, in the 

Notice, and Amendments No. 1 and 2,29

and the Exchange’s description of the 

Fund. In particular, the Commission 

notes that, although the Shares will be 

available for purchase and sale on an 

intraday basis, the Shares will be 

purchased and sold at prices directly 

linked to the Fund’s next-determined 

NAV. Further, the Commission notes 

that the Fund and the Shares must 

comply with the requirements of 

Nasdaq Rule 5745 and the conditions 

set forth in this proposed rule change to 

be listed and traded on the Exchange on 

an initial and continuing basis. 

For the foregoing reasons, the 

Commission finds that the proposed 

rule change, as modified by 

Amendments No. 1 and 2, is consistent 

with Section 6(b)(5) 30 and Section 

11A(a)(1)(C)(iii)of the Act,31 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,32 that the 

proposed rule change (SR–NASDAQ– 

2017–091), as modified by Amendments 

No. 1 and 2, be, and it hereby is, 

approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.33

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–24047 Filed 11–3–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81992; File No. SR– 

BatsEDGX–2017–43] 

Self-Regulatory Organizations; Cboe 

EDGX Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule Change To Amend Rule 

20.6, Nullification and Adjustment of 

Options Transactions Including 

Obvious Errors 

October 31, 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 October 

25, 2017, Cboe EDGX Exchange, Inc. 

(‘‘EDGX’’ or the ‘‘Exchange’’) (formerly 

known as Bats EDGX Exchange, Inc.) 

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 

Exchange has designated this proposal 

as a ‘‘non-controversial’’ proposed rule 

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

of the Act 3 and Rule 19b–4(f)(6) 

thereunder,4 which renders it effective 

upon filing with the Commission. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange filed a proposal to 

amend Rule 20.6, entitled ‘‘Nullification 

and Adjustment of Options Transactions 

including Obvious Errors.’’ Rule 20.6 

relates to the adjustment and 

nullification of transactions that occur 

on the Exchange’s equity options 

platform (‘‘EDGX Options’’). 

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 

Background 

The Exchange proposes to amend 

Exchange Rule 20.6 to add 

Interpretation and Policy .04 (the 

‘‘Proposed Rule’’). This filing is based 

on a proposal recently submitted by 

Cboe Exchange, Inc. (‘‘Cboe Options’’) 

and approved by the Securities and 

Exchange Commission (the 

‘‘Commission’’).5

In 2015, the U.S. options exchanges 

adopted a new, harmonized rule related 

to the adjustment and nullification of 

erroneous options transactions, 

including a specific provision related to 

coordination in connection with largescale events involving erroneous 

options transactions.6 The Exchange 

launched an options exchange later that 

year, with the newly harmonized rule as 

part of the original rule set.7 The 

Exchange believes that the changes the 

options exchanges implemented with 

the new, harmonized rule have led to 

increased transparency and finality with 


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