[Federal Register Volume 84, Number 150 (Monday, August 5, 2019)]
[Notices]
[Pages 38078-38085]
[FR Doc No: 2019-16612]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-86511; File No. SR-CboeBZX-2019-067]

Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of
Filing of a Proposed Rule Change To List and Trade Shares of the
Innovator-100 Buffer ETF Series and Innovator Russell 2000 Buffer ETF
Series, Innovator-100 Power Buffer ETF Series and Innovator Russell
2000 Power Buffer ETF Series, and Innovator-100 Ultra Buffer ETF Series
and Innovator Russell 2000 Ultra Buffer ETF Series Under Rule 14.11(i)

July 30, 2019.
    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 July 18, 2019, Cboe BZX Exchange, Inc. (the ``Exchange'' or
``BZX'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I and II
below, which Items have been prepared by the Exchange. The Commission
is publishing this notice to solicit comments on the proposed rule
change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    The Exchange proposes a rule change to list and trade shares of the
Innovator-100 Buffer ETF Series and Innovator Russell 2000 Buffer ETF
Series; Innovator-100 Power Buffer ETF Series and Innovator Russell
2000 Power Buffer ETF Series; and Innovator-100 Ultra Buffer ETF Series
and Innovator Russell 2000 Ultra Buffer ETF Series under the Innovator
ETFs Trust under Rule 14.11(i) (``Managed Fund Shares'').
    The text of the proposed rule change is also available on the
Exchange's website (http://markets.cboe.com/us/equities/regulation/rule_filings/bzx/), at the Exchange's Office of the Secretary, and at
the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant aspects of such
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to list and trade shares (``Shares'') of up
to twelve monthly Innovator-100 Buffer ETF Series and Innovator Russell
2000 Buffer ETF Series (collectively, the ``Buffer Funds''); Innovator-
100 Power Buffer ETF Series and Innovator Russell 2000 Power Buffer ETF
Series (collectively, the ``Power Buffer Funds''); and Innovator-100
Ultra Buffer ETF Series and Innovator Russell 2000 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.\3\ Each Fund will be an actively managed ETF.\4\ The
Exchange submits this proposal in order to allow each Fund to hold
listed derivatives in a manner that does not comply with Rule
14.11(i)(4)(C)(iv)(b), as further described below. The Exchange notes
that: (i) Each of the Buffer Funds, the Power Buffer Funds, and the
Ultra Buffer Funds in this proposal have an investment objective and
strategy substantially identical to those in the Original Approval; and
(ii) the statements or representations herein regarding the description
of the portfolio, reference assets, and indexes, limitations on
portfolio holdings or reference assets, and the applicability of
Exchange rules are substantively identical to those statements and
representations included in the Original Approval, except that the
funds in the Original Approval were based on the S&P 500 Index while
the Funds herein are based on the Reference Indexes, as defined
below.\5\
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    \3\ 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).
    \4\ For purposes of this filing, the term ``ETF'' means
Portfolio Depository Receipts as defined in Rule 14.11(b), Index
Fund Shares as defined under Rule 14.11(c), Managed Fund Shares as
defined under Rule 14.11(i), or their respective equivalents on
other U.S. national securities exchanges.
    \5\ See Securities Exchange Act Release No. 83679 (July 20,
2018), 83 FR 35505 (July 26, 2018) (SR-BatsBZX-2017-72) (the
``Original Approval'').
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    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.\6\ 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.\7\ 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.\8\ 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.
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    \6\ See Post-Effective Amendment Nos. 191, 192, 193, and 194 to
Registration Statement on Form N-1A for the Trust, which were filed
with the Commission on February 6, 2019 (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).
    \7\ 26 U.S.C. 851.
    \8\ 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.
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    The investment objective of the Funds is to provide investors with
returns that match those of the Nasdaq-100 Index (the ``Nasdaq-100
Price Index'') or the Russell 2000 Price Index (the ``Russell 2000
Price Index'') (collectively, the ``Reference Indexes'') over a period
of approximately one year, while providing a level of protection from
losses in the applicable Reference Index.
    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 applicable Reference Index, up to a maximized
annual return (the ``Buffer Cap Level''), while guarding against a
decline in the Reference 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 applicable Reference Index, up to a
maximized annual return (the ``Power Buffer Cap Level''), while
guarding against a decline in the Reference 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 applicable Reference Index, up to a
maximized annual return (the ``Ultra Buffer Cap Level''), while
guarding against a decline in the Reference 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 Reference
Index or ETFs that track the Reference 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 a total of up to 72 Funds: Up
to twelve monthly series for each Reference Index for each of the
Buffer Strategy, Power Buffer Strategy and Ultra Buffer Strategy.
    The Exchange submits this proposal in order to allow each Fund to
hold listed derivatives, in particular FLexible EXchange Options
(``FLEX Options'') on the applicable Reference Index, in a manner that
does not comply with Rule 14.11(i)(4)(C)(iv)(b).\9\ Otherwise, the
Funds will comply with all other listing requirements of the Generic
Listing Standards \10\ for Managed Fund Shares on an initial and
continued listing basis under Rule 14.11(i).
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    \9\ 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).
    \10\ 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).
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Buffer Funds
    Under Normal Market Conditions,\11\ each Buffer Fund (which include
the Innovator-100 Buffer ETF Series and Innovator Russell 2000 Buffer
ETF Series) 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 applicable Reference Index (either the Nasdaq-100 Price Index or
the Russell 2000 Price Index, respectively), up to the applicable
Buffer Cap Level, while shielding investors from Reference 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 applicable
Reference Index or ETFs that track that Reference Index.
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    \11\ 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.
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    The portfolio managers will invest in a portfolio of FLEX Options
linked to an underlying asset that, the Reference Index, when held for
the specified period, seeks to produce returns that, over the outcome
period, match the positive returns of the applicable Reference Index up
to the applicable 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 Reference Index appreciates over the outcome
period: the Buffer Fund will seek to provide shareholders with a total
return that matches that of the applicable Reference Index, up to and
including the applicable Buffer Cap Level;
     If the Reference Index depreciates over the outcome period
by 10% or less: The Buffer Fund will seek to provide a total return of
zero;
     If the Reference 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 Reference 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 applicable Reference 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 applicable Reference 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 Reference Index exceeding 10% on an
annualized basis. Shareholders will bear all Reference 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.
Power Buffer Funds
    Under Normal Market Conditions, each Power Buffer Fund (which
include the Innovator-100 Power Buffer ETF Series and Innovator Russell
2000 Power Buffer ETF Series) 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 applicable Reference Index (either the Nasdaq-100 Price
Index or the Russell 2000 Price Index, respectively), up to the
applicable Power Buffer Cap Level, while shielding investors from
Reference 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 applicable Reference Index or ETFs that track that
Reference Index.
    The portfolio managers will invest in a portfolio of FLEX Options
linked to an underlying asset, the Reference Index, that, when held for
the specified period, seeks to produce returns that, over the outcome
period, match the positive returns of the applicable Reference Index up
to the applicable 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 Reference Index appreciates over the outcome
period: The Power Buffer Fund will seek to provide shareholders with a
total return that matches that of the applicable Reference Index, up to
and including the applicable Power Buffer Cap Level;

     If the Reference 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 Reference 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 Reference
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 applicable Reference
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 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 applicable
Reference 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 Reference Index exceeding 15% on an annualized
basis. Shareholders will bear all Reference 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.
Ultra Buffer Funds
    Under Normal Market Conditions, each Ultra Buffer Fund (which
include the Innovator-100 Ultra Buffer ETF Series and Innovator Russell
2000 Ultra Buffer ETF Series) 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 applicable Reference Index (either the Nasdaq-100 Price
Index or the Russell 2000 Price Index, respectively), up to the
applicable Ultra Buffer Cap Level, while shielding investors from
Reference 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 applicable Reference Index or ETFs that track
that Reference Index.
    The portfolio managers will invest in a portfolio of FLEX Options
linked to an underlying asset, the Reference Index, that, when held for
the specified period, seeks to produce returns that, over the outcome
period, match the positive returns of the applicable Reference Index up
to the applicable 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 Reference Index appreciates over the outcome
period: The Ultra Buffer Fund will seek to provide a total return that
matches the percentage increase of the applicable Reference Index, up
to the applicable Ultra Buffer Cap Level;
     If the Reference 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 Reference
Index;
     If the Reference 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 Reference 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 Reference
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 applicable Reference
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 applicable
Reference 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 Reference Index exceeding 35% on an annualized
basis. Shareholders will bear all Reference 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 Reference 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) \12\ and standardized

options contracts listed on a U.S. securities exchange that reference
either the Reference Index or that reference ETFs that track the
Reference Index (``Reference ETFs'').
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    \12\ 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.
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Reference Index Options Discussion
    The Exchange notes that each of the applicable Reference Indexes
meet the generic listing standards applicable to indexes underlying
series of Index Fund Shares listed on the Exchange under Rule
14.11(c)(3)(A)(i) and (ii), which include diversity, liquidity, and
market cap requirements that are designed to ensure that an underlying
index is not susceptible to manipulation. Further, the Exchange notes
that the market for each of the options contracts based on the
Reference Indexes is deep and liquid, representing multiple billions of
dollars in notional volume traded on a daily basis, as laid out below.
    Nasdaq-100 Price Index--In 2018, more than 15,000 options contracts
on the Nasdaq-100 Price Index were traded per day, which is more than
$10 billion in notional volume traded on a daily basis.
    Russell 2000 Price Index--In 2018, more than 60,000 options
contracts on the Russell 2000 Price Index were traded per day, which is
more than $9 billion in notional volume traded on a daily basis.
    While FLEX Options are traded differently than standardized options
contracts, the Exchange believes that the liquidity in the standardized
options contracts for each Reference Index, as laid out above, bolsters
the market for FLEX Options. Every FLEX Option order submitted to the
applicable listing exchange 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
to respond to the RFQ with bids or offers through a competitive
process. This solicitation contains all of the 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 the applicable exchange which means
that customer transactions are effected according to the principles of
a fair and orderly market following trading procedures and policies
developed by a national securities exchange.
    The Exchange believes that sufficient protections are in place to
protect against market manipulation of the Funds' Shares and FLEX
Options on each of the applicable Reference Indexes for several
reasons: (i) The diversity, liquidity, and market cap of the securities
underlying each Reference Index; \13\ (ii) the competitive quoting
process for FLEX Options; (iii) the significant liquidity in the market
for options on each of the applicable Reference Indexes, as described
above, results in a well-established price discovery process that
provides meaningful guideposts for FLEX Option pricing; and (iv)
surveillance by the Exchange, other national securities exchanges on
which the options contracts on the Reference Indexes are listed, 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 applicable Reference Index, will be
acquired in extremely liquid and highly regulated markets,\14\ the
Shares are less readily susceptible to manipulation.
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    \13\ Each of the applicable Reference Indexes meet the generic
listing standards applicable to indexes underlying series of Index
Fund Shares listed on the Exchange, which include diversity,
liquidity, and market cap requirements that are designed to ensure
that an underlying index is not susceptible to manipulation. See
Exchange Rule 14.11(c)(3)(A)(i) and (ii).
    \14\ 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.
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    As noted above, options on the Reference Indexes are extremely
liquid and derive their value from the actively traded components of
the applicable Reference Indexes. 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 each
Reference Index make securities that derive their value from that index
less susceptible to market manipulation in view of market
capitalization and liquidity of the components of each Reference Index,
price and quote transparency, and arbitrage opportunities.
Surveillance
    The Exchange believes that its surveillance procedures are adequate
to properly monitor the trading of the Shares on the Exchange during
all trading sessions and to deter and detect violations of Exchange
rules and the applicable federal securities laws. Trading of the Shares
through the Exchange will be subject to the Exchange's surveillance
procedures for derivative products, including 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.
    The Exchange believes that the liquidity of the markets for
constituent securities of the applicable Reference Indexes, options on
the Reference Indexes, and other derivatives related to the Reference
Indexes 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,\15\ Net Asset Value,\16\
and the Intraday Indicative Value,\17\ suspension of trading or
removal,\18\ trading halts,\19\ surveillance,\20\ minimum price
variation for quoting and order entry,\21\ and the information
circular,\22\ 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 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 the applicable options exchange. 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.
---------------------------------------------------------------------------

    \15\ See Rule 14.11(i)(4)(A)(ii) and 14.11(i)(4)(B)(ii).
    \16\ See Rule 14.11(i)(4)(A)(ii).
    \17\ See Rule 14.11(i)(4)(B)(i).
    \18\ See Rule 14.11(i)(4)(B)(iii).
    \19\ See Rule 14.11(i)(4)(B)(iv).
    \20\ See Rule 14.11(i)(2)(C).
    \21\ See Rule 14.11(i)(2)(B).
    \22\ See Rule 14.11(i)(6).
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    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 \23\ in general and Section 6(b)(5) of the Act \24\ 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.
---------------------------------------------------------------------------

    \23\ 15 U.S.C. 78f.
    \24\ 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).\25\ 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.
---------------------------------------------------------------------------

    \25\ 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 Reference Index for several reasons: (i) The diversity,
liquidity, and market cap of the securities underlying each

Reference Index; \26\ (ii) the competitive quoting process for FLEX
Options; (iii) the significant liquidity in the market for options on
each of the applicable Reference Indexes, as described above, results
in a well-established price discovery process that provides meaningful
guideposts for FLEX Option pricing; and (iv) surveillance by the
Exchange, other national securities exchanges on which the options
contracts on the Reference Indexes are listed, 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 applicable Reference Index,
will be acquired in extremely liquid and highly regulated markets, the
Shares are less readily susceptible to manipulation.
---------------------------------------------------------------------------

    \26\ Each of the applicable Reference Indexes meet the generic
listing standards applicable to indexes underlying series of Index
Fund Shares listed on the Exchange, which include diversity,
liquidity, and market cap requirements that are designed to ensure
that an underlying index is not susceptible to manipulation. See
Exchange Rule 14.11(c)(3)(A)(i) and (ii).
---------------------------------------------------------------------------

    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 Reference Index are extremely liquid and
derive their value from the actively traded Reference 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 each Reference Index make securities that
derive their value from that index less susceptible to market
manipulation in view of market capitalization and liquidity of the
applicable Reference Index components, price and quote transparency,
and arbitrage opportunities.
    The Exchange believes that the liquidity of the markets for
constituent securities of the applicable Reference Indexes, options on
the Reference Indexes, and other derivatives related to the Reference
Indexes 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,\27\ Intraday Indicative
Value,\28\ suspension of trading or removal,\29\ trading halts,\30\
disclosure,\31\ and firewalls.\32\ 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.
---------------------------------------------------------------------------

    \27\ See Rule 14.11(i)(4)(B)(ii).
    \28\ See Rule 14.11(i)(4)(B)(i).
    \29\ See Rule 14.11(i)(4)(B)(iii).
    \30\ See Rule 14.11(i)(4)(B)(iv).
    \31\ See Rule 14.11(i)(6).
    \32\ 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. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action

    Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove the proposed rule change, or

    (B) institute proceedings to determine whether the proposed rule
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the 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<EMAIL_ADDRESS>Please include
File Number SR-CboeBZX-2019-067 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-CboeBZX-2019-067. 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-CboeBZX-2019-067, and should be
submitted on or before August 26, 2019.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\33\
---------------------------------------------------------------------------

    \33\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2019-16612 Filed 8-2-19; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register: October 14, 2009 (Volume 74, Number 197)]
[Notices]
[Page 52831]
[DOCID:fr14oc09-97]

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SECURITIES AND EXCHANGE COMMISSION

Submission for OMB Review; Comment Request

Upon Written Request; Copies Available From: Securities and Exchange
Commission, Office of Investor Education and Advocacy, Washington, DC
20549-0213.

Extension:
    Form T-1; OMB Control No. 3235-0110; SEC File No. 270-121.

    Notice is hereby given that, pursuant to the Paperwork Reduction
Act of 1995 (44 U.S.C. 3501 et seq.), the Securities and Exchange
Commission (``Commission'') has submitted to the Office of Management
and Budget this request for extension of the previously approved
collection of information discussed below.
    Form T-1 (17 CFR 269.1) is a statement of eligibility and
qualification under the Trust Indenture Act of 1939 (15 U.S.C. 77aaa et
seq.) of a corporation designated to act as a trustee. The information
is used to determine whether the trustee is qualified to serve under
the indenture. Form T-1 is filed on occasion. The information required
by Form T-1 is mandatory. This information is publicly available on
EDGAR. Form T-1 takes approximately 15 hours per response to prepare
and is filed by approximately 13 respondents. We estimate that 25% of
the 15 hours (4 hours) is prepared by the company for a total annual
reporting burden of 52 hours (4 hours per response x 13 responses).
    An agency may not conduct or sponsor, and a person is not required
to respond to, a collection of information unless it displays a
currently valid control number.
    Written comments regarding the above information should be directed
to the following persons: (i) Desk Officer for the Securities and
Exchange Commission, Office of Information and Regulatory Affairs,
Office of Management and Budget, Room 10102, New Executive Office
Building, Washington, DC 20503 or send an e-mail to Shagufta_
<EMAIL_ADDRESS>and (ii) Charles Boucher, Director/CIO, Securities
and Exchange Commission, C/O Shirley Martinson, 6432 General Green Way,
Alexandria, Virginia 22312; or send an e-mail to<EMAIL_ADDRESS>
Comments must be submitted to OMB within 30 days of this notice.

    Dated: October 7, 2009.
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-24630 Filed 10-13-09; 8:45 am]

BILLING CODE 8011-01-P


[Federal Register: August 2, 2010 (Volume 75, Number 147)]
[Notices]
[Page 45108]
[DOCID:fr02au10-47]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Docket No. PR09-27-003]

UGI Central Penn Gas, Inc.; Notice of Compliance Filing

July 23, 2010.
    Take notice that on July 14, 2010, UGI Central Penn Gas, Inc.
(Central Penn) filed its Statement Operating Conditions in compliance
with the June 14, 2010 Letter Order approving a Stipulation and
Agreement of Settlement and pursuant to section 284.123(e) of the
Commission's regulations.
    Any person desiring to protest this filing must file in accordance
with Rule 211 of the Commission's Rules of Practice and Procedure (18
CFR 385.211). Protests to this filing will be considered by the
Commission in determining the appropriate action to be taken, but will
not serve to make protestants parties to the proceeding. Such protests
must be filed on or before 5 p.m. Eastern time on the specified comment
date. Anyone filing a protest must serve a copy of that document on all
the parties to the proceeding.
    The Commission encourages electronic submission of protests in lieu
of paper using the ``eFiling'' link at http://www.ferc.gov. Persons
unable to file electronically should submit an original and 14 copies
of the protest to the Federal Energy Regulatory Commission, 888 First
Street, NE., Washington, DC 20426.
    This filing is accessible on-line at http://www.ferc.gov, using the
``eLibrary'' link and is available for review in the Commission's
Public Reference Room in Washington, DC. There is an ``eSubscription''
link on the Web site that enables subscribers to receive e-mail
notification when a document is added to a subscribed docket(s). For
assistance with any FERC Online service, please e-mail
<EMAIL_ADDRESS>or call<PHONE_NUMBER> (toll free). For
TTY, call<PHONE_NUMBER>.
    Comment Date: 5 p.m. Eastern time on Friday, July 30, 2010.

Kimberly D. Bose,
Secretary.
[FR Doc. 2010-18842 Filed 7-30-10; 8:45 am]
BILLING CODE 6717-01-P