Document ID: SEC-2018-1166-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: Cboe BZX Exchange, Inc.
Posted Date: 2018-07-26T04:00Z

[Federal Register Volume 83, Number 144 (Thursday, July 26, 2018)]
[Notices]
[Pages 35505-35512]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2018-15945]

-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-83679; File No. SR-BatsBZX-2017-72]

Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of 
Filing of Amendment No. 4 and Order Granting Accelerated Approval of a 
Proposed Rule Change, as Modified by Amendment No. 4 Thereto, To List 
and Trade Shares of the Innovator S&P 500 Buffer ETF Series, Innovator 
S&P 500 Power Buffer ETF Series, and Innovator S&P 500 Ultra Buffer ETF 
Series Under Rule 14.11(i)

July 20, 2018.

I. Introduction

    On November 7, 2017, Cboe BZX Exchange, Inc. (``Exchange'' or 
``BZX''), formerly known as Bats BZX Exchange, Inc., filed with the 
Securities and Exchange Commission (``Commission''), pursuant to 
Section 19(b)(1) \1\ of the Securities Exchange Act of 1934 (``Act'') 
\2\ and Rule 19b-4 thereunder,\3\ a proposed rule change to list and 
trade shares of the Innovator S&P 500 Buffer ETF Series (formerly known 
both as the Innovator S&P 500 Enhance and Buffer ETF Series and 
Innovator S&P 500 Enhance and 10% Shield Strategy ETF Series), 
Innovator S&P 500 Power Buffer ETF Series (formerly known as both the 
Innovator S&P 500 Buffer ETF Series and Innovator S&P 500 15% Shield 
Strategy ETF Series), and Innovator S&P 500 Ultra Buffer ETF Series 
(formerly known as both the Innovator S&P 500 Power Buffer ETF Series 
and Innovator S&P 500 -5% to -35% Shield Strategy ETF Series) under BZX 
Rule 14.11(i). The proposed rule change was published for comment in 
the Federal Register on November 22, 2017.\4\ On December 21, 2017, the 
Commission extended the time period within which to approve the 
proposed rule change, disapprove the proposed rule change, or institute 
proceedings to determine whether to approve or disapprove the proposed 
rule change.\5\ On February 20, 2018, the Commission initiated 
proceedings to determine whether to disapprove the proposed rule 
change.\6\ On April 4, 2018, the Exchange filed Amendment No. 1 to the 
proposed rule change, which amended and superseded the proposed rule 
change as originally filed. On July 12, 2018, the Exchange filed 
Amendment No. 2 to the proposed rule change, which amended and 
superseded the proposed rule change as modified by Amendment No. 1, as 
well as Amendment No. 3 to the proposed rule change, which amended and 
superseded the proposed rule change as modified by Amendment No. 2. On 
July 18, 2018, the Exchange filed Amendment No. 4 to the proposed rule 
change, which amended and superseded the proposed rule change as 
modified by Amendment No. 3.\7\ The Commission received no comments on 
the proposed rule change. The Commission is publishing this notice to 
solicit comments on Amendment No. 4 from interested persons and is 
approving the proposed rule change, as modified by Amendment No. 4, on 
an accelerated basis.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
    \4\ See Securities Exchange Act Release No. 82097 (November 16, 
2017), 82 FR 55689.
    \5\ See Securities Exchange Act Release No. 82387, 82 FR 61613 
(December 28, 2017) (extending the time period to February 20, 
2018).
    \6\ See Securities Exchange Act Release No. 82739, 83 FR 8309 
(February 26, 2018).
    \7\ The amendments to the proposed rule change are available at: 
https://www.sec.gov/comments/sr-batsbzx-2017-72/batsbzx201772.htm. 
In Amendment No. 4, the Exchange (among other things) narrowed the 
scope of the proposed rule change to withdraw its request to list 
and trade shares of the Innovator S&P 500 Ultra ETF Series (formerly 
known as the Innovator S&P 500 Ultra Strategy ETF Series).
---------------------------------------------------------------------------

II. The Exchange's Description of the Proposed Rule Change, as Modified 
by Amendment No. 4

    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
    This Amendment No. 4 to SR-BatsBZX-2017-72 amends and replaces in 
its entirety the third amended proposal submitted on July 12, 2018.

[[Page 35506]]

The Exchange submits this Amendment No. 4 in order to revise certain 
details regarding the Funds.
    The Exchange proposes to list and trade shares (``Shares'') of up 
to twelve monthly Innovator S&P 500 Buffer ETF Series (collectively, 
the ``Buffer Funds''), Innovator S&P 500 Power Buffer ETF Series 
(collectively, the ``Power Buffer Funds''), and Innovator S&P 500 Ultra 
Buffer ETF Series (collectively, the ``Ultra Buffer Funds'') (each a 
``Fund'' and, collectively, the ``Funds'') under Rule 14.11(i), which 
governs the listing and trading of Managed Fund Shares on the 
Exchange.\8\ Each Fund will be an actively managed exchange traded fund 
(``ETF'').
---------------------------------------------------------------------------

    \8\ The 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).
---------------------------------------------------------------------------

    The Shares will be offered by Innovator ETFs Trust (formerly 
Academy Funds Trust) (the ``Trust''), which was established as a 
Delaware statutory trust on October 17, 2007. The Trust is registered 
with the Commission as an investment company and has filed, for each 
Fund, a registration statement on Form N-1A (``Registration 
Statement'') with the Commission on behalf of the Funds.\9\ Each Fund 
intends to qualify each year as a regulated investment company (a 
``RIC'') under Subchapter M of the Internal Revenue Code of 1986, as 
amended.\10\ Innovator Capital Management, LLC (the ``Adviser'') is the 
investment adviser to the Funds and Milliman Financial Risk Management 
LLC (the ``Sub-Adviser'') is the sub-adviser. Rule 14.11(i)(7) provides 
that, if the investment adviser to the investment company issuing 
Managed Fund Shares is affiliated with a broker-dealer, such investment 
adviser shall erect a ``fire wall'' between the investment adviser and 
the broker-dealer with respect to access to information concerning the 
composition and/or changes to such investment company portfolio.\11\ In 
addition, Rule 14.11(i)(7) further requires that personnel who make 
decisions on the investment company's portfolio composition must be 
subject to procedures designed to prevent the use and dissemination of 
material nonpublic information regarding the applicable investment 
company portfolio. Neither the Adviser nor the Sub-Adviser is a 
registered broker-dealer, and neither the Adviser nor the Sub-Adviser 
are affiliated with broker-dealers. In addition, Adviser and Sub-
Adviser personnel who make decisions regarding a Fund's portfolio are 
subject to procedures designed to prevent the use and dissemination of 
material nonpublic information regarding the Fund's portfolio. In the 
event that (a) the Adviser or Sub-Adviser becomes registered as a 
broker-dealer or newly affiliated with a broker-dealer, or (b) any new 
adviser or sub-adviser 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 or such broker-dealer 
affiliate, as applicable, regarding access to information concerning 
the composition and/or changes to the portfolio, and will be subject to 
procedures designed to prevent the use and dissemination of material 
non-public information regarding such portfolio. Similarly, to the 
extent that a Fund is based on a benchmark index, in the event that the 
index provider of the benchmark index (the ``Index Provider'') becomes 
registered as a broker-dealer or newly affiliated with a broker-dealer, 
it will implement and maintain a fire wall with respect to its relevant 
personnel or such broker-dealer affiliate, as applicable, regarding 
access to information concerning the composition and/or changes to the 
portfolio, and will be subject to procedures designed to prevent the 
use and dissemination of material non-public information regarding such 
portfolio.
---------------------------------------------------------------------------

    \9\ See Post-Effective Amendment Nos. 149, 150, and 151 to 
Registration Statement on Form N-1A for the Trust, which were filed 
with the Commission on July 12, 2018 (File Nos. 333-146827 and 811-
22135). The descriptions of the Funds and the Shares contained 
herein are based on information in the Registration Statement. There 
are no permissible holdings for the Funds that are not described in 
this proposal. The Commission has issued an order granting certain 
exemptive relief to the Trust under the Investment Company Act of 
1940 (15 U.S.C. 80a-1) (``1940 Act'') (the ``Exemptive Order''). See 
Investment Company Act Release No. 32854 (October 6, 2017) (File No. 
812-14781).
    \10\ 26 U.S.C. 851.
    \11\ An investment adviser to an open-end fund is required to be 
registered under the Investment Advisers Act of 1940 (the ``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.
---------------------------------------------------------------------------

    The investment objective of the Funds is to provide investors with 
returns that match those of the S&P 500 Price Return Index (the ``S&P 
500 Index'') over a period of approximately one year, while providing a 
level of protection from S&P 500 Index losses.
    The Funds are each actively managed funds that employ a ``defined 
outcome strategy'' that:
    (1) For the Buffer Funds, seeks to provide investment returns that 
match the gains of the S&P 500 Index, up to a maximized annual return 
(the ``Buffer Cap Level''), while guarding against a decline in the S&P 
500 Index of the first 10% (the ``Buffer Strategy'');
    (2) for the Power Buffer Funds, seeks to provide investment returns 
that match the gains of the S&P 500 Index, up to a maximized annual 
return (the ``Power Buffer Cap Level''), while guarding against a 
decline in the S&P 500 Index of the first 15% (the ``Power Buffer 
Strategy''); and
    (3) for the Ultra Buffer Funds, seeks to provide investment returns 
that match the gains of the S&P 500 Index, up to a maximized annual 
return (the ``Ultra Buffer Cap Level''), while guarding against a 
decline in the S&P 500 Index of between 5% and 35% (the ``Ultra Buffer 
Strategy'').
    Pursuant to the Strategies, each Fund will invest primarily in 
exchange-traded options contracts that reference either the S&P 500 
Index or ETFs that track the S&P 500 Index. Defined outcome strategies 
are designed to participate in market gains and losses within pre-
determined ranges over a specified period (i.e., point to point). These 
outcomes are predicated on the assumption that an investment vehicle 
employing the strategy is held for the designated outcome periods. As 
such, the Exchange is proposing to list up to twelve monthly series of 
each of the Buffer Funds, Power Buffer Funds and Ultra Buffer Funds, as 
named above.
    The Exchange submits this proposal in order to allow each Fund to 
hold listed derivatives, in particular FLexible EXchange Options 
(``FLEX Options'') on the S&P 500 Index, in a manner that does not 
comply with Rule 14.11(i)(4)(C)(iv)(b).\12\ Otherwise, the

[[Page 35507]]

Funds will comply with all other listing requirements of the Generic 
Listing Standards \13\ for Managed Fund Shares on an initial and 
continued listing basis under Rule 14.11(i).
---------------------------------------------------------------------------

    \12\ Rule 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 Funds 
do not meet the generic listing standards because they fail to meet 
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) and 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).
    \13\ For purposes of this proposal, the term ``Generic Listing 
Standards'' shall mean the generic listing rules for Managed Fund 
Shares under Rule 14.11(i)(4)(C).
---------------------------------------------------------------------------

Innovator S&P 500 Buffer ETF Series
    Under Normal Market Conditions,\14\ each Buffer Fund will attempt 
to achieve its investment objective by employing a ``defined outcome 
strategy'' that will seek to provide investment returns during the 
outcome period that match the gains of the S&P 500 Index, up to the 
Buffer Cap Level, while shielding investors from S&P 500 Index losses 
of up to 10%. Pursuant to the Buffer Strategy, each Buffer Fund will 
invest primarily in FLEX Options or standardized options contracts 
listed on a U.S. exchange that reference either the S&P 500 Index or 
ETFs that track the S&P 500 Index.
---------------------------------------------------------------------------

    \14\ As 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.
---------------------------------------------------------------------------

    The portfolio managers will invest in a portfolio of FLEX Options 
linked to an underlying asset, the S&P 500 Index, that, when held for 
the specified period, seeks to produce returns that, over the outcome 
period, match the positive returns of the S&P 500 Index up to the 
Buffer Cap Level. Pursuant to the Buffer Strategy, each Buffer Fund's 
portfolio managers will seek to produce the following outcomes during 
the outcome period:
     If the S&P 500 Index appreciates over the outcome period: 
The Buffer Fund will seek to provide shareholders with a total return 
that matches that of the S&P 500 Index, up to and including the Buffer 
Cap Level;
     If the S&P 500 Index depreciates over the outcome period 
by 10% or less: The Buffer Fund will seek to provide a total return of 
zero;
     If the S&P 500 Index decreases over the outcome period by 
more than 10%: The Buffer Fund will seek to provide a total return loss 
that is 10% less than the percentage loss on the S&P 500 Index with a 
maximum loss of approximately 90%.
    The Buffer Funds will produce these outcomes by layering purchased 
and written FLEX Options. The customizable nature of FLEX Options 
allows for the creation of a strategy that sets desired defined outcome 
parameters. The FLEX Options comprising a Buffer Fund's portfolio have 
terms that, when layered upon each other, are designed to buffer 
against losses or match the gains of the S&P 500 Index. However, 
another effect of the layering of FLEX Options with these terms is a 
cap on the level of possible gains.
    Any FLEX Options that are written by a Buffer Fund that create an 
obligation to sell or buy an asset will be offset with a position in 
FLEX Options purchased by the Buffer Fund to create the right to buy or 
sell the same asset such that the Buffer Fund will always be in a net 
long position. That is, any obligations of a Buffer Fund created by its 
writing of FLEX Options will be covered by offsetting positions in 
other purchased FLEX Options. As the FLEX Options mature at the end of 
each outcome period, they are replaced. By replacing FLEX Options 
annually, each Buffer Fund seeks to ensure that investments made in a 
given month during the current year buffer against negative returns of 
the S&P 500 Index up to pre-determined levels in that same month of the 
following year. The Buffer Funds do not offer any protection against 
declines in the S&P 500 Index exceeding 10% on an annualized basis. 
Shareholders will bear all S&P 500 Index losses exceeding 10% on a one-
to-one basis.
    The FLEX Options owned by each of the Buffer Funds will have the 
same terms (i.e., same strike price and expiration) for all investors 
of a Buffer Fund within an outcome period. The Buffer Cap Level will be 
determined with respect to each Buffer Fund on the inception date of 
the Buffer Fund and at the beginning of each outcome period and is 
determined based on the price of the FLEX Options acquired by the 
Buffer Fund at that time.
Innovator S&P 500 Power Buffer ETF Series
    Under Normal Market Conditions, each Power Buffer Fund will attempt 
to achieve its investment objective by employing a ``defined outcome 
strategy'' that will seek to provide investment returns during the 
outcome period that match the gains of the S&P 500 Index, up to the 
Power Buffer Cap Level, while shielding investors from S&P 500 Index 
losses of up to 15%. Pursuant to the Power Buffer Strategy, each Power 
Buffer Fund will invest primarily in FLEX Options or standardized 
options contracts listed on a U.S. exchange that reference either the 
S&P 500 Index or ETFs that track the S&P 500 Index.
    The portfolio managers will invest in a portfolio of FLEX Options 
linked to an underlying asset, the S&P 500 Index, that, when held for 
the specified period, seeks to produce returns that, over the outcome 
period, match the positive returns of the S&P 500 Index up to the Power 
Buffer Cap Level. Pursuant to the Power Buffer Strategy, each Power 
Buffer Fund's portfolio managers will seek to produce the following 
outcomes during the outcome period:
     If the S&P 500 Index appreciates over the outcome period: 
The Power Buffer Fund will seek to provide shareholders with a total 
return that matches that of the S&P 500 Index, up to and including the 
Power Buffer Cap Level;
     If the S&P 500 Index depreciates over the outcome period 
by 15% or less: The Power Buffer Fund will seek to provide a total 
return of zero; and
     If the S&P 500 Index decreases over the outcome period by 
more than 15%: The Power Buffer Fund will seek to provide a total 
return loss that is 15% less than the percentage loss on the S&P 500 
Index with a maximum loss of approximately 85%.
    The Power Buffer Funds will produce these outcomes by layering 
purchased and written FLEX Options. The customizable nature of FLEX 
Options allows for the creation of a strategy that sets desired defined 
outcome parameters. The FLEX Options comprising a Power Buffer Fund's 
portfolio have terms that, when layered upon each other, are designed 
to buffer against losses or match the gains of the S&P 500 Index. 
However, another effect of the layering of FLEX Options with these 
terms is a cap on the level of possible gains.
    Any FLEX Options that are written by a Power Buffer Fund that 
create an obligation to sell or buy an asset will be offset with a 
position in FLEX Options purchased by the Power Buffer Fund to create 
the right to buy or sell the same asset such that the Power Buffer Fund 
will always be in a net long position. That is, any obligations of a 
Power Buffer Fund created by its writing of

[[Page 35508]]

FLEX Options will be covered by offsetting positions in other purchased 
FLEX Options. As the FLEX Options mature at the end of each outcome 
period, they are replaced. By replacing FLEX Options annually, each 
Power Buffer Fund seeks to ensure that investments made in a given 
month during the current year buffer against negative returns of the 
S&P 500 Index up to pre-determined levels in that same month of the 
following year. The Power Buffer Funds do not offer any protection 
against declines in the S&P 500 Index exceeding 15% on an annualized 
basis. Shareholders will bear all S&P 500 Index losses exceeding 15% on 
a one-to-one basis.
    The FLEX Options owned by each of the Power Buffer Funds will have 
the same terms (i.e. same strike price and expiration) for all 
investors of a Power Buffer Fund within an outcome period. The Power 
Buffer Cap Level will be determined with respect to each Power Buffer 
Fund on the inception date of the Power Buffer Fund and at the 
beginning of each outcome period and is determined based on the price 
of the FLEX Options acquired by the Power Buffer Fund at that time.
Innovator S&P 500 Ultra Buffer ETF Series
    Under Normal Market Conditions, each Ultra Buffer Fund will attempt 
to achieve its investment objective by employing a ``defined outcome 
strategy'' that will seek to provide investment returns during the 
outcome period that match the gains of the S&P 500 Index, up to the 
Ultra Buffer Cap Level, while shielding investors from S&P 500 Index 
losses of between 5% and 35%. Pursuant to the Ultra Buffer Strategy, 
each Ultra Buffer Fund will invest primarily in FLEX Options or 
standardized options contracts listed on a U.S. exchange that reference 
either the S&P 500 Index or ETFs that track the S&P 500 Index.
    The portfolio managers will invest in a portfolio of FLEX Options 
linked to an underlying asset, the S&P 500 Index, that, when held for 
the specified period, seeks to produce returns that, over the outcome 
period, match the positive returns of the S&P 500 Index up to the Ultra 
Buffer Cap Level. Pursuant to the Ultra Buffer Strategy, each Ultra 
Buffer Fund's portfolio managers will seek to produce the following 
outcomes during the outcome period:
     If the S&P 500 Index appreciates over the outcome period: 
The Ultra Buffer Fund will seek to provide a total return that matches 
the percentage increase of the S&P 500 Index, up to the Ultra Buffer 
Cap Level;
     If the S&P 500 Index decreases over the outcome period by 
5% or less: The Ultra Buffer Fund will seek to provide a total return 
loss that is equal to the percentage loss on the S&P 500 Index;
     If the S&P 500 Index decreases over the outcome period by 
5%-35%: The Ultra Buffer Fund will seek to provide a total return loss 
of 5%; and
     If the S&P 500 Index depreciates over the outcome period 
by greater than 35%: The Ultra Buffer Fund will seek to provide a total 
return loss that is 30% less than the percentage loss on the S&P 500 
Index with a maximum loss of approximately 70%.
    The Ultra Buffer Funds will produce these outcomes by layering 
purchased and written FLEX Options. The customizable nature of FLEX 
Options allows for the creation of a strategy that sets desired defined 
outcome parameters. The FLEX Options comprising an Ultra Buffer Fund's 
portfolio have terms that, when layered upon each other, are designed 
to buffer against losses or match the gains of the S&P 500 Index. 
However, another effect of the layering of FLEX Options with these 
terms is a cap on the level of possible gains.
    Any FLEX Options that are written by an Ultra Buffer Fund that 
create an obligation to sell or buy an asset will be offset with a 
position in FLEX Options purchased by the Ultra Buffer Fund to create 
the right to buy or sell the same asset such that the Ultra Buffer Fund 
will always be in a net long position. That is, any obligations of an 
Ultra Buffer Fund created by its writing of FLEX Options will be 
covered by offsetting positions in other purchased FLEX Options. As the 
FLEX Options mature at the end of each outcome period, they are 
replaced. By replacing FLEX Options annually, each Ultra Buffer Fund 
seeks to ensure that investments made in a given month during the 
current year buffer against negative returns of the S&P 500 Index up to 
pre-determined levels in that same month of the following year. The 
Ultra Buffer Funds do not offer any protection against declines in the 
S&P 500 Index exceeding 35% on an annualized basis. Shareholders will 
bear all S&P 500 Index losses exceeding 35% on a one-to-one basis.
    The FLEX Options owned by each of the Ultra Buffer Funds will have 
the same terms (i.e. same strike price and expiration) for all 
investors of an Ultra Buffer Fund within an outcome period. The Ultra 
Buffer Cap Level will be determined with respect to each Ultra Buffer 
Fund on the inception date of the Ultra Buffer Fund and at the 
beginning of each outcome period and is determined based on the price 
of the FLEX Options acquired by the Ultra Buffer Fund at that time.
Investment Methodology for the Funds
    Under Normal Market Conditions, each Fund will invest primarily in 
U.S. exchange-listed FLEX Options on the S&P 500 Index. Each of the 
Funds may invest its net assets (in the aggregate) in other investments 
which the Adviser or Sub-Adviser believes will help each Fund to meet 
its investment objective and that will be disclosed at the end of each 
trading day (``Other Assets''). Other Assets include only the 
following: Cash or cash equivalents, as defined in Rule 
14.11(i)(4)(C)(iii) \15\ and standardized options contracts listed on a 
U.S. securities exchange that reference either the S&P 500 Index or 
that reference ETFs that track the S&P 500 Index (``Reference ETFs'').
---------------------------------------------------------------------------

    \15\ As defined in Rule 14.11(i)(4)(C)(iii), cash equivalents 
include short-term instruments with maturities of less than three 
months, including: (i) U.S. Government securities, including bills, 
notes, and bonds differing as to maturity and rates of interest, 
which are either issued or guaranteed by the U.S. Treasury or by 
U.S. Government agencies or instrumentalities; (ii) certificates of 
deposit issued against funds deposited in a bank or savings and loan 
association; (iii) bankers acceptances, which are short-term credit 
instruments used to finance commercial transactions; (iv) repurchase 
agreements and reverse repurchase agreements; (v) bank time 
deposits, which are monies kept on deposit with banks or savings and 
loan associations for a stated period of time at a fixed rate of 
interest; (vi) commercial paper, which are short-term unsecured 
promissory notes; and (vii) money market funds.
---------------------------------------------------------------------------

S&P 500 Index FLEX Options
    The market for options contracts on the S&P 500 Index traded on 
Cboe Exchange, Inc. (``Cboe Options'') is among the most liquid markets 
in the world. In 2017, more than 1.16 million options contracts on the 
S&P 500 Index were traded per day on Cboe Options, which is more than 
$250 billion in notional volume traded on a daily basis. While FLEX 
Options are traded differently than standardized options contracts, the 
Exchange believes that this liquidity bolsters the market for FLEX 
Options, as described below. Every FLEX Option order submitted to Cboe 
Options is exposed to a competitive auction process for price 
discovery. The process begins with a request for quote (``RFQ'') in 
which the interested party establishes the terms of the FLEX Options 
contract. The RFQ solicits interested market participants, including 
on-floor market makers, remote market makers trading electronically, 
and member firm traders, to respond to the RFQ with bids or offers 
through a competitive process. This solicitation contains all of the

[[Page 35509]]

contract specifications-underlying, size, type of option, expiration 
date, strike price, exercise style and settlement basis. During a 
specified amount of time, responses to the RFQ are received and at the 
end of that time period, the initiator can decide whether to accept the 
best bid or offer. The process occurs under the rules of Cboe Options 
which means that customer transactions are effected according to the 
principles of a fair and orderly market following trading procedures 
and policies developed by Cboe Options.
    The Exchange believes that sufficient protections are in place to 
protect against market manipulation of the Funds' Shares and FLEX 
Options on the S&P 500 Index for several reasons: (i) The diversity, 
liquidity, and market cap of the securities underlying the S&P 500 
Index; (ii) the competitive quoting process for FLEX Options; (iii) the 
significant liquidity in the market for options on the S&P 500 Index 
results in a well-established price discovery process that provides 
meaningful guideposts for FLEX Option pricing; and (iv) surveillance by 
the Exchange, Cboe Options \16\ and the Financial Industry Regulatory 
Authority (``FINRA'') designed to detect violations of the federal 
securities laws and self-regulatory organization (``SRO'') rules. The 
Exchange has in place a surveillance program for transactions in ETFs 
to ensure the availability of information necessary to detect and deter 
potential manipulations and other trading abuses, thereby making the 
Shares less readily susceptible to manipulation. Further, the Exchange 
believes that because the assets in each Fund's portfolio, which are 
comprised primarily of FLEX Options on the S&P 500 Index, will be 
acquired in extremely liquid and highly regulated markets,\17\ the 
Shares are less readily susceptible to manipulation.
---------------------------------------------------------------------------

    \16\ The Exchange notes that Cboe Options 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.
    \17\ All exchange-listed securities that the Funds may hold will 
trade on a market that is a member of the Intermarket Surveillance 
Group (``ISG'') and the Funds will not hold any non-exchange-listed 
equities or options, however, not all of the components of the 
portfolio for the Funds may trade on exchanges that are members of 
the ISG or with which the Exchange has in place a comprehensive 
surveillance sharing agreement. For a list of the current members of 
ISG, see www.isgportal.org.
---------------------------------------------------------------------------

    The Exchange believes that its surveillance procedures are adequate 
to properly monitor the trading of the Shares on the Exchange during 
all trading sessions and to deter and detect violations of Exchange 
rules and the applicable federal securities laws. Trading of the Shares 
through the Exchange will be subject to the Exchange's surveillance 
procedures for derivative products, including Managed Fund Shares. All 
statements and representations made in this filing regarding (a) the 
description of the portfolio, reference assets, and index, (b) 
limitations on portfolio holdings or reference assets, or (c) the 
applicability of Exchange 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 a Fund or the related 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 a Fund or the related Shares are not 
in compliance with the applicable listing requirements, then, with 
respect to such Fund or Shares, the Exchange will commence delisting 
procedures under Exchange Rule 14.12. FINRA conducts certain cross-
market surveillances on behalf of the Exchange pursuant to a regulatory 
services agreement. The Exchange is responsible for FINRA's performance 
under this regulatory services agreement. If a Fund is not in 
compliance with the applicable listing requirements, the Exchange will 
commence delisting procedures with respect to such Fund under Exchange 
Rule 14.12.
    The Exchange or FINRA, on behalf of the Exchange, will communicate 
as needed regarding trading in the Shares and exchange-traded options 
contracts with other markets and other entities that are members of the 
ISG and may obtain trading information regarding trading in the Shares 
and exchange-traded options contracts from such markets and other 
entities. In addition, the Exchange may obtain information regarding 
trading in the Shares and exchange-traded options contracts 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 also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
    As noted above, options on the S&P 500 Index are among the most 
liquid options in the world and derive their value from the actively 
traded S&P 500 Index components. The contracts are cash-settled with no 
delivery of stocks or ETFs, and trade in competitive auction markets 
with price and quote transparency. The Exchange believes the highly 
regulated options markets and the broad base and scope of the S&P 500 
Index make securities that derive their value from that index less 
susceptible to market manipulation in view of market capitalization and 
liquidity of the S&P 500 Index components, price and quote 
transparency, and arbitrage opportunities.
    The Exchange believes that the liquidity of the markets for S&P 500 
Index securities, options on the S&P 500 Index, and other related 
derivatives is sufficiently great to deter fraudulent or manipulative 
acts associated with the Funds' Shares price. The Exchange also 
believes that such liquidity is sufficient to support the creation and 
redemption mechanism. Coupled with the extensive surveillance programs 
of the SROs described above, the Exchange does not believe that trading 
in the Funds' Shares would present manipulation concerns.
    The Exchange represents that, except for the limitations on listed 
derivatives in BZX Rule 14.11(i)(4)(C)(iv)(b), the Funds' 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 Funds. A 
minimum of 100,000 Shares will be outstanding at the commencement of 
trading on the Exchange. In addition, the Exchange represents that the 
Shares of the Funds will comply with all other requirements applicable 
to Managed Fund Shares, which includes the dissemination of key 
information such as the Disclosed Portfolio,\18\ Net Asset Value,\19\ 
and the Intraday Indicative Value,\20\ suspension of trading or 
removal,\21\ trading halts,\22\ surveillance,\23\ minimum price 
variation for quoting and order entry,\24\ and the information 
circular,\25\ as set forth in Exchange rules applicable to Managed Fund 
Shares. Moreover, all of the options contracts held by the Funds will 
trade on markets that are a member of ISG or affiliated with a member 
of ISG or with which the Exchange has in place

[[Page 35510]]

a comprehensive surveillance sharing agreement. 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. RFQ information for FLEX Options will be available 
directly from Cboe Options. The intra-day, closing and settlement 
prices of exchange-traded options will be readily available from the 
options exchanges, automated quotation systems, published or other 
public sources, or online information services such as Bloomberg or 
Reuters. Price information on cash equivalents is available from major 
broker-dealer firms or market data vendors, as well as from automated 
quotation systems, published or other public sources, or online 
information services.
---------------------------------------------------------------------------

    \18\ See Rule 14.11(i)(4)(A)(ii) and 14.11(i)(4)(B)(ii).
    \19\ See Rule 14.11(i)(4)(A)(ii).
    \20\ See Rule 14.11(i)(4)(B)(i).
    \21\ See Rule 14.11(i)(4)(B)(iii).
    \22\ See Rule 14.11(i)(4)(B)(iv).
    \23\ See Rule 14.11(i)(2)(C).
    \24\ See Rule 14.11(i)(2)(B).
    \25\ See Rule 14.11(i)(6).
---------------------------------------------------------------------------

    Lastly, the issuer represents that it will provide and maintain a 
publicly available web tool for each of the Funds on its website that 
provides existing and prospective shareholders with important 
information to help inform investment decisions. The information 
provided includes the start and end dates of the current outcome 
period, the time remaining in the outcome period, the Fund's current 
net asset value, the Fund's cap for the outcome period and the maximum 
investment gain available up to the cap for a shareholder purchasing 
Shares at the current net asset value. For each of the Funds, the web 
tool also provides information regarding each Fund's buffer. This 
information includes the remaining buffer available for a shareholder 
purchasing Shares at the current net asset value or the amount of 
losses that a shareholder purchasing Shares at the current net asset 
value would incur before benefitting from the protection of the buffer. 
The cover of each Fund's prospectus, as well as the disclosure 
contained in ``Principal Investment Strategies,'' provides the specific 
web address for each Fund's web tool.
2. Statutory Basis
    The Exchange believes that the proposal is consistent with Section 
6(b) of the Act \26\ in general and Section 6(b)(5) of the Act \27\ 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.
---------------------------------------------------------------------------

    \26\ 15 U.S.C. 78f.
    \27\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    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) 
with the exception of Rule 14.11(i)(4)(C)(iv)(b), which requires 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).\28\ Rule 
14.11(i)(4)(C)(iv)(b) is intended to ensure that a fund is not subject 
to manipulation by virtue of significant exposure to a manipulable 
underlying reference asset by establishing concentration limits among 
the underlying reference assets for listed derivatives held by a 
particular fund.
---------------------------------------------------------------------------

    \28\ As noted above, the Exchange is submitting this proposal 
because the Funds would not meet the requirements of Rule 
14.11(i)(4)(C)(iv)(b) which 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) and the aggregate gross notional value of 
listed derivatives based on any five or fewer underlying reference 
assets from exceeding 65% of the weight of the portfolio (including 
gross notional exposures).
---------------------------------------------------------------------------

    The Exchange believes that sufficient protections are in place to 
protect against market manipulation of the Funds' Shares and FLEX 
Options on the S&P 500 Index for several reasons: (i) The diversity, 
liquidity, and market cap of the securities underlying the S&P 500 
Index; (ii) the competitive quoting process for FLEX Options; (iii) the 
significant liquidity in the market for options on the S&P 500 Index 
results in a well-established price discovery process that provides 
meaningful guideposts for FLEX Option pricing; and (iv) surveillance by 
the Exchange, Cboe Options and FINRA designed to detect violations of 
the federal securities laws and SRO rules. The Exchange has in place a 
surveillance program for transactions in ETFs to ensure the 
availability of information necessary to detect and deter potential 
manipulations and other trading abuses, thereby making the Shares less 
readily susceptible to manipulation. Further, the Exchange believes 
that because the assets in each Fund's portfolio, which are comprised 
primarily of FLEX Options on the S&P 500 Index, will be acquired in 
extremely liquid and highly regulated markets, the Shares are less 
readily susceptible to manipulation.
    The Exchange believes that its surveillance procedures are adequate 
to properly monitor the trading of the Shares on the Exchange during 
all trading sessions and to deter and detect violations of Exchange 
rules and the applicable federal securities laws. Trading of the Shares 
through the Exchange will be subject to the Exchange's surveillance 
procedures for derivative products, including Managed Fund Shares. All 
statements and representations made in this filing regarding (a) the 
description of the portfolio, reference assets, and index, (b) 
limitations on portfolio holdings or reference assets, or (c) the 
applicability of Exchange 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 a Fund or the related 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 a Fund or the related Shares are not 
in compliance with the applicable listing requirements, then, with 
respect to such Fund or Shares, the Exchange will commence delisting 
procedures under Exchange Rule 14.12. FINRA conducts certain cross-
market surveillances on behalf of the Exchange pursuant to a regulatory 
services agreement. The Exchange is responsible for FINRA's performance 
under this regulatory services agreement. If a Fund is not in 
compliance with the applicable listing requirements, the Exchange will 
commence delisting procedures with respect to such Fund under Exchange 
Rule 14.12.
    The Exchange or FINRA, on behalf of the Exchange, will communicate 
as needed regarding trading in the Shares and exchange-traded options 
contracts with other markets and other entities that are members of the 
ISG and may obtain trading information regarding trading in the Shares 
and exchange-traded options contracts from such markets and other 
entities. In addition, the Exchange may obtain information

[[Page 35511]]

regarding trading in the Shares and exchange-traded options contracts 
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 also has a general policy 
prohibiting the distribution of material, non-public information by its 
employees. As noted above, options on the S&P 500 Index are among the 
most liquid options in the world and derive their value from the 
actively traded S&P 500 Index components. The contracts are cash-
settled with no delivery of stocks or ETFs, and trade in competitive 
auction markets with price and quote transparency. The Exchange 
believes the highly regulated options markets and the broad base and 
scope of the S&P 500 Index make securities that derive their value from 
that index less susceptible to market manipulation in view of market 
capitalization and liquidity of the S&P 500 Index components, price and 
quote transparency, and arbitrage opportunities.
    The Exchange believes that the liquidity of the markets for S&P 500 
Index securities, options on the S&P 500 Index, and other related 
derivatives is sufficiently great to deter fraudulent or manipulative 
acts associated with the Funds' Shares price. The Exchange also 
believes that such liquidity is sufficient to support the creation and 
redemption mechanism. Coupled with the extensive surveillance programs 
of the SROs described above, the Exchange does not believe that trading 
in the Funds' Shares would present manipulation concerns.
    The Exchange represents that, except as described above, the Funds 
will meet and be subject to all other requirements of the Generic 
Listing Standards and other applicable continued listing requirements 
for Managed Fund Shares under Rule 14.11(i), including those 
requirements regarding the Disclosed Portfolio,\29\ Intraday Indicative 
Value,\30\ suspension of trading or removal,\31\ trading halts,\32\ 
disclosure,\33\ and firewalls.\34\ The Trust is required to comply with 
Rule 10A-3 under the Act for the initial and continued listing of the 
Shares of each Fund. Moreover, all of the options contracts held by the 
Funds will trade on markets that are a member of ISG or affiliated with 
a member of ISG or with which the Exchange has in place a comprehensive 
surveillance sharing agreement.
---------------------------------------------------------------------------

    \29\ See Rule 14.11(i)(4)(B)(ii).
    \30\ See Rule 14.11(i)(4)(B)(i).
    \31\ See Rule 14.11(i)(4)(B)(iii).
    \32\ See Rule 14.11(i)(4)(B)(iv).
    \33\ See Rule 14.11(i)(6).
    \34\ See Rule 14.11(i)(7).
---------------------------------------------------------------------------

    For the above reasons, the Exchange believes that the proposed rule 
change is consistent with the requirements of Section 6(b)(5) of the 
Act.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purpose of the Act. The Exchange notes that the 
proposed rule change will facilitate the listing and trading of an 
additional type of Managed Fund Shares that will enhance competition 
among market participants, to the benefit of investors and the 
marketplace.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants or Others

    The Exchange has neither solicited nor received written comments on 
the proposed rule change.

III. 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.\35\ In particular, the Commission finds that the 
proposed rule change, as modified by Amendment No. 4, is consistent 
with Section 6(b)(5) of the Act,\36\ 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,\37\ 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.
---------------------------------------------------------------------------

    \35\ 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).
    \36\ 15 U.S.C. 78f(b)(5).
    \37\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
---------------------------------------------------------------------------

    According to the Exchange, 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.\38\ RFQ information for FLEX Options will be available 
directly from Cboe Options. The intra-day, closing and settlement 
prices of exchange-traded options will be readily available from the 
options exchanges, automated quotation systems, published or other 
public sources, or online information services.\39\ In addition, price 
information about cash equivalents will be available from major broker-
dealer firms or market data vendors, as well as from automated 
quotation systems, published or other public sources, or online 
information services.\40\
---------------------------------------------------------------------------

    \38\ See Amendment No. 4, supra note 7, at 20.
    \39\ See id.
    \40\ See id. at 20-21.
---------------------------------------------------------------------------

    The Commission also 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. Under BZX Rule 14.11(i)(4)(B)(iv), if the Exchange becomes 
aware that the NAV or the Disclosed Portfolio is not disseminated to 
all market participants at the same time, the Exchange is required to 
halt trading in such series of Managed Fund Shares. In addition, the 
Exchange represents that if the Funds or the Shares are not in 
compliance with the applicable listing requirements for Managed Funds 
Shares under BZX Rule 14.11(i), the Exchange will commence delisting 
procedures under BZX Rule 14.12 (Failure to Meet Listing 
Standards).\41\ The Exchange also states that it has a general policy 
prohibiting the distribution of material, non-public information by its 
employees.\42\ Further, the Trust has represented that it will provide 
and maintain a publicly available tool on its website that will provide 
existing and prospective Fund shareholders with certain information for 
each of the Funds including, among other things, current NAV, start and 
end dates of the current outcome period, and the remaining buffer 
available for a shareholder purchasing Shares at the current NAV or the 
amount of losses that a shareholder purchasing Shares at the current 
NAV would incur before benefitting from the protection of the 
buffer.\43\
---------------------------------------------------------------------------

    \41\ See id. at 18.
    \42\ See id. at 19.
    \43\ See id. at 21.
---------------------------------------------------------------------------

    The Shares do not qualify for generic listing because the Funds 
will not

[[Page 35512]]

satisfy the requirement of BZX Rule 14.11(i)(4)(C)(iv)(b) 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 and the aggregate gross notional value of listed 
derivatives based on any single underlying reference asset not exceed 
30% of the weight of the portfolio (including gross notional 
exposures). Although the Funds will hold listed derivatives primarily 
on a single reference asset, the S&P 500 Index,\44\ the Commission 
believes that the prices of the Shares will be less susceptible to 
manipulation. As the Exchange states, options on the S&P 500 Index are 
among the most liquid options in the world, and derive their value from 
the actively traded index components. Additionally, all of the options 
held by the Funds will trade on markets that are a member of ISG or 
affiliated with a member of ISG or with which the Exchange has in place 
a comprehensive surveillance sharing agreement.\45\
---------------------------------------------------------------------------

    \44\ The Funds also may invest in options overlying Reference 
ETFs.
    \45\ For a list of the current members of ISG, see 
www.isgportal.org.
---------------------------------------------------------------------------

    In support of this proposal, the Exchange represented that:
    (1) The Funds and the Shares will satisfy all of the requirements 
applicable to Managed Fund Shares under BZX Rule 14.11(i), as well as 
the Generic Listing Standards other than BZX Rule 
14.11(i)(4)(C)(iv)(b).
    (2) Trading in the Shares will be subject to the existing trading 
surveillances administered by the Exchange, as well as cross-market 
surveillances administered by Cboe Options and FINRA, on behalf of the 
Exchange, which are designed to detect violations of Exchange rules and 
applicable federal securities laws.
    (3) For initial and continued listing, the Funds will be in 
compliance with Rule 10A-3 under the Act.\46\
---------------------------------------------------------------------------

    \46\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    (4) A minimum of 100,000 Shares will be outstanding at the 
commencement of trading on the Exchange.\47\
---------------------------------------------------------------------------

    \47\ See Amendment No. 4, supra note 7, at 20.
---------------------------------------------------------------------------

    This approval order is based on all of the Exchange's statements 
and representations, including those set forth above and in Amendment 
No. 4.
    For the foregoing reasons, the Commission finds that the proposed 
rule change, as modified by Amendment No. 4 thereto, is consistent with 
Section 6(b)(5) of the Act \48\ and the rules and regulations 
thereunder applicable to a national securities exchange.
---------------------------------------------------------------------------

    \48\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

IV. Solicitation of Comments on Amendment No. 4 to the Proposed Rule 
Change

    Interested persons are invited to submit written views, data, and 
arguments concerning whether Amendment No. 4 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 [email protected]. Please include 
File Number SR-BatsBZX-2017-72 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.

All submissions should refer to File Number SR-BatsBZX-2017-72. 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 website (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 website 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-BatsBZX-2017-72 and should be submitted 
on or before August 16, 2018.

V. Accelerated Approval of Proposed Rule Change, as Modified by 
Amendment No. 4

    The Commission finds good cause to approve the proposed rule 
change, as modified by Amendment No. 4, prior to the 30th day after the 
date of publication of notice of the filing of Amendment No. 4 in the 
Federal Register. Amendment No. 4 supplements the proposal by, among 
other things, representing that the issuer will provide and maintain a 
publicly available web tool for each of the Funds that will offer 
important information to help inform investment decisions by 
prospective and existing shareholders. The amendment assisted the 
Commission in evaluating the Exchange's proposal and in determining 
that the listing and trading of the Shares is consistent with the Act. 
Accordingly, the Commission finds good cause, pursuant to Section 
19(b)(2) of the Act,\49\ to approve the proposed rule change, as 
modified by Amendment No. 4, on an accelerated basis.
---------------------------------------------------------------------------

    \49\ 15 U.S.C. 78s(b)(2).
---------------------------------------------------------------------------

VI. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\50\ that the proposed rule change (SR-BatsBZX-2017-72), as 
modified by Amendment No. 4 be, and it hereby is, approved on an 
accelerated basis.
---------------------------------------------------------------------------

    \50\ Id.
    \51\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\51\
Brent J. Fields,
Secretary.
[FR Doc. 2018-15945 Filed 7-25-18; 8:45 am]
BILLING CODE 8011-01-P