Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule Change, as Modified by Amendment No. 1 Thereto, Relating to the Listing and Trading of the Shares of the Amplify Dow Theory Forecasts Buy List ETF of Amplify ETF Trust, 34419-34426 [2016-12667]
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Federal Register / Vol. 81, No. 104 / Tuesday, May 31, 2016 / Notices
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
BX–2016–027 on the subject line.
SECURITIES AND EXCHANGE
COMMISSION
Paper Comments
[Release No. 34–77890; File No. SR–
NASDAQ–2016–072])
• 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–BX–2016–027. This file
number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE.,
Washington, DC 20549, on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the
filing also will be available for
inspection and copying at the principal
office of the Exchange. All comments
received will be posted without change;
the Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–BX–
2016–027 and should be submitted on
or before June 21, 2016.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.32
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016–12669 Filed 5–27–16; 8:45 am]
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Self-Regulatory Organizations; The
NASDAQ Stock Market LLC; Notice of
Filing of Proposed Rule Change, as
Modified by Amendment No. 1 Thereto,
Relating to the Listing and Trading of
the Shares of the Amplify Dow Theory
Forecasts Buy List ETF of Amplify ETF
Trust
May 24, 2016.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b-4 thereunder,2
notice is hereby given that on May 10,
2016, The NASDAQ Stock Market LLC
(‘‘Nasdaq’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘SEC’’ or ‘‘Commission’’) the proposed
rule change as described in in Items I
and II below, which Items have been
prepared by Nasdaq. On May 20, 2016,
the Exchange filed Amendment No. 1 to
the proposed rule change. The
Commission is publishing this notice, as
modified by Amendment No. 1 thereto,
to solicit comments on the proposed
rule change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
Nasdaq proposes to list and trade the
shares of the Amplify Dow Theory
Forecasts Buy List ETF (the ‘‘Fund’’) of
Amplify ETF Trust (the ‘‘Trust’’) under
Nasdaq Rule 5735 (‘‘Managed Fund
Shares’’).3 The shares of the Fund are
collectively referred to herein as the
‘‘Shares.’’
The text of the proposed rule change
is available at https://
nasdaq.cchwallstreet.com/, at Nasdaq’s
principal office, and at the
Commission’s Public Reference Room.
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 The Commission approved Nasdaq Rule 5735 in
Securities Exchange Act Release No. 57962 (June
13, 2008), 73 FR 35175 (June 20, 2008) (SR–
NASDAQ–2008–039). There are already multiple
actively-managed funds listed on the Exchange; see,
e.g., Securities Exchange Act Release Nos. 72506
(July 1, 2014), 79 FR 38631 (July 8, 2014) (SR–
NASDAQ–2014–050) (order approving listing and
trading of First Trust Strategic Income ETF); 69464
(April 26, 2013), 78 FR 25774 (May 2, 2013) (SR–
NASDAQ–2013–036) (order approving listing and
trading of First Trust Senior Loan Fund); 66489
(February 29, 2012), 77 FR 13379 (March 6, 2012)
(SR–NASDAQ–2012–004) (order approving listing
and trading of WisdomTree Emerging Markets
Corporate Bond Fund). The Exchange believes the
proposed rule change raises no significant issues
not previously addressed in those prior
Commission orders.
2 17
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34419
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission,
Nasdaq 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. Nasdaq 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 the Shares of the Fund under
Nasdaq Rule 5735, which governs the
listing and trading of Managed Fund
Shares 4 on the Exchange. The Fund will
be an actively-managed exchange-traded
fund (‘‘ETF’’). The Shares will be
offered by the Trust, which was
established as a Massachusetts business
trust on January 6, 2015.5 The Trust is
registered with the Commission as an
investment company and has filed a
registration statement on Form N–1A
(‘‘Registration Statement’’) with the
Commission.6 The Fund will be a series
of the Trust.
Amplify Investments LLC will be the
investment adviser (‘‘Adviser’’) to the
Fund. The following will serve as
investment sub-advisers (each, a ‘‘SubAdviser’’) to the Fund: Horizon
Investment Services, LLC (‘‘Horizon’’)
and Penserra Capital Management LLC
(‘‘Penserra’’). Quasar Distributors LLC
4 A Managed Fund Share is a security that
represents an interest in an investment company
registered under the Investment Company Act of
1940 (15 U.S.C. 80a-1) (the ‘‘1940 Act’’) organized
as an open-end investment company or similar
entity that invests in a portfolio of securities
selected by its investment adviser consistent with
its investment objectives and policies. In contrast,
an open-end investment company that issues Index
Fund Shares, listed and traded on the Exchange
under Nasdaq Rule 5705, seeks to provide
investment results that correspond generally to the
price and yield performance of a specific foreign or
domestic stock index, fixed income securities index
or combination thereof.
5 The Commission has issued an order, upon
which the Trust may rely, granting certain
exemptive relief under the 1940 Act. See
Investment Company Act Release No. 31582 (April
28, 2015) (File No. 812–14423) (the ‘‘Exemptive
Relief’’).
6 See Post-Effective Amendment No. 2 to
Registration Statement on Form N 1A for the Trust,
dated May 5, 2016 (File Nos. 333 207937 and 811
23108). The descriptions of the Fund and the
Shares contained herein are based, in part, on
information in the Registration Statement.
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(the ‘‘Distributor’’) will be the principal
underwriter and distributor of the
Fund’s Shares. U.S. Bancorp Fund
Services LLC will act as the
administrator, accounting agent,
custodian and transfer agent to the
Fund.
Paragraph (g) of Rule 5735 provides
that if the investment adviser to the
investment company issuing Managed
Fund Shares is affiliated with a brokerdealer, such investment adviser shall
erect a ‘‘fire wall’’ between the
investment adviser and the brokerdealer with respect to access to
information concerning the composition
and/or changes to such investment
company portfolio.7 In addition,
paragraph (g) further requires that
personnel who make decisions on the
open-end fund’s portfolio composition
must be subject to procedures designed
to prevent the use and dissemination of
material, non-public information
regarding the open-end fund’s portfolio.
Rule 5735(g) is similar to Nasdaq Rule
5705(b)(5)(A)(i); however, paragraph (g)
in connection with the establishment of
a ‘‘fire wall’’ between the investment
adviser and the broker-dealer reflects
the applicable open-end fund’s
portfolio, not an underlying benchmark
index, as is the case with index-based
funds. Neither the Adviser nor any SubAdviser is a broker-dealer, although
Penserra is affiliated with a brokerdealer.8 Penserra has implemented and
will maintain a fire wall with respect to
their respective broker-dealer affiliate
regarding access to information
7 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, each Sub-Adviser and their
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.
8 The Adviser and Horizon are not currently
affiliated with a broker-dealer.
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concerning the composition and/or
changes to the portfolio.
In addition, personnel who make
decisions on the Fund’s portfolio
composition will be subject to
procedures designed to prevent the use
and dissemination of material nonpublic information regarding the Fund’s
portfolio. In the event (a) the Adviser or
a Sub-Adviser registers as a brokerdealer, or becomes affiliated with a
broker-dealer, or (b) any new adviser or
sub-adviser is a registered broker-dealer
or becomes affiliated with another
broker-dealer, it will implement and
will maintain a fire wall with respect to
its relevant personnel and/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.
The Fund intends to qualify each year
as a regulated investment company
(‘‘RIC’’) under Subchapter M of the
Internal Revenue Code of 1986, as
amended.
Amplify Dow Theory Forecasts Buy List
ETF
Principal Investments
The investment objective of the Fund
will be to seek long-term capital
appreciation. Under normal market
conditions,9 the Fund will seek to
achieve its investment objective by
investing at least 90% of its net assets
(including investment borrowings) in
companies included in the buy list
(updated on a semi-weekly basis) (the
‘‘Buy List’’) of the Dow Theory
Forecasts, an investment newsletter of
Horizon Publishing Company, LLC, an
affiliate of Horizon.
9 The term ‘‘under normal market conditions’’ as
used herein includes, but is not limited to, the
absence of adverse market, economic, political or
other conditions, including extreme volatility or
trading halts in the securities markets or the
financial markets generally; operational issues
causing dissemination of inaccurate market
information; or force majeure type events such as
systems failure, natural or man-made disaster, act
of God, armed conflict, act of terrorism, riot or labor
disruption or any similar intervening circumstance.
On a temporary basis, including for defensive
purposes, during the initial invest-up period and
during periods of high cash inflows or outflows, the
Fund may depart from its principal investment
strategies; for example, it may hold a higher than
normal proportion of its assets in cash. During such
periods, the Fund may not be able to achieve its
investment objective. The Fund may adopt a
defensive strategy when the Adviser or a SubAdviser believes securities in which the Fund
normally invests have elevated risks due to political
or economic factors and in other extraordinary
circumstances.
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In general, the Buy List includes 25 to
40 U.S. exchange-traded stocks. All of
such stocks are large-cap or mid-cap and
are selected based on a proprietary
quantitative ranking system known as
Quadrix®. Quadrix® ranks
approximately 5,000 stocks and scores
target stocks based on their operating
momentum; valuation; long-term term
track record and financial strength;
earnings-estimate trends; and shareprice performance.
The Fund will seek diversification
among the ten economic sectors of the
U.S. stock market, and it is not
anticipated that more than 45% of the
portfolio will be invested in a single
sector. Horizon will select the Fund’s
portfolio securities from the Buy List.
Penserra will be responsible for
implementing the Fund’s investment
program by, among other things, trading
portfolio securities and performing
related services, rebalancing the Fund’s
portfolio, and providing cash
management services in accordance
with the investment advice formulated
by, and model portfolios delivered by,
the Adviser and Horizon.
Other Investments
The Fund may invest the remaining
10% of its net assets in short-term debt
securities and other short-term debt
instruments (described below), as well
as cash equivalents, or it may hold cash.
The percentage of the Fund invested in
such holdings or held in cash will vary
and will depend on several factors,
including market conditions. The Fund
may invest in the following short-term
debt instruments: 10 (1) Fixed rate and
floating rate 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; (2) certificates of
deposit issued against funds deposited
in a bank or savings and loan
association; (3) bankers’ acceptances,
which are short-term credit instruments
used to finance commercial
transactions; (4) repurchase
agreements,11 which involve purchases
10 Short-term debt instruments are issued by
issuers having a long-term debt rating of at least A
by Standard & Poor’s Ratings Services, a Division
of The McGraw-Hill Companies, Inc. (‘‘S&P
Ratings’’), Moody’s Investors Service, Inc.
(‘‘Moody’s’’) or Fitch Ratings (‘‘Fitch’’) and have a
maturity of one year or less.
11 The Fund intends to enter into repurchase
agreements only with financial institutions and
dealers believed by the Adviser to present minimal
credit risks in accordance with criteria approved by
the Board of Trustees of the Trust (‘‘Trust Board’’).
The Adviser will review and monitor the
creditworthiness of such institutions. The Adviser
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of debt securities; (5) 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; and (6)
commercial paper, which is short-term
unsecured promissory notes.12
The Fund may invest in the securities
of other ETFs and non-exchange listed
open-end investment companies
(referred to as ‘‘mutual funds’’),
including money market funds,13 that,
in each case, will be investment
companies registered under the 1940
Act.
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Investment Restrictions
The Fund may hold up to an aggregate
amount of 15% of its net assets in
illiquid assets (calculated at the time of
investment), including securities
deemed illiquid by the Adviser or a
Sub-Adviser.14 The Fund will monitor
its portfolio liquidity on an ongoing
basis to determine whether, in light of
current circumstances, an adequate
level of liquidity is being maintained,
and will consider taking appropriate
steps in order to maintain adequate
liquidity if, through a change in values,
net assets, or other circumstances, more
than 15% of the Fund’s net assets are
will monitor the value of the collateral at the time
the transaction is entered into and at all times
during the term of the repurchase agreement.
12 The Fund may only invest in commercial paper
rated A–1 or higher by S&P Ratings, Prime-1 or
higher by Moody’s or F1 or higher by Fitch.
13 It is expected that any such mutual fund or ETF
will invest primarily in short-term fixed income
securities. An ETF is an investment company
registered under the 1940 Act that holds a portfolio
of securities. Many ETFs are designed to track the
performance of a securities index, including
industry, sector, country and region indexes. ETFs
included in the Fund will be listed and traded in
the U.S. on registered exchanges. The Fund may
invest in the securities of ETFs in excess of the
limits imposed under the 1940 Act pursuant to
exemptive orders obtained by other ETFs and their
sponsors from the Commission. In addition, the
Fund may invest in the securities of certain other
investment companies in excess of the limits
imposed under the 1940 Act pursuant to an
exemptive order that the Trust has obtained from
the Commission. See Investment Company Act
Release No. 30377 (February 5, 2013) (File No. 812–
13895). The ETFs in which the Fund may invest
include Index Fund Shares (as described in Nasdaq
Rule 5705), Portfolio Depository Receipts (as
described in Nasdaq Rule 5705), and Managed Fund
Shares (as described in Nasdaq Rule 5735). While
the Fund may invest in inverse ETFs, the Fund will
not invest in leveraged or inverse leveraged (e.g., 2X
or -3X) ETFs.
14 In reaching liquidity decisions, the Adviser and
a Sub-Adviser may consider the following factors:
the frequency of trades and quotes for the security;
the number of dealers wishing to purchase or sell
the security and the number of other potential
purchasers; dealer undertakings to make a market
in the security; and the nature of the security and
the nature of the marketplace in which it trades
(e.g., the time needed to dispose of the security, the
method of soliciting offers and the mechanics of
transfer).
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held in illiquid assets. Illiquid assets
include securities subject to contractual
or other restrictions on resale and other
instruments that lack readily available
markets as determined in accordance
with Commission staff guidance.15
The Fund may not invest 25% or
more of the value of its total assets in
securities of issuers in any one industry
or group of industries (other than
securities issued or guaranteed by the
U.S. government, its agencies or
instrumentalities, or securities of other
investment companies), except that the
Fund may invest 25% or more of the
value of its total assets in securities of
issuers in a group of industries to
approximately the same extent that the
Buy List includes the securities of a
particular group of industries.16
All of the Fund’s net assets that are
invested in exchange-traded equity
securities (including common stocks
and ETFs) will be invested in securities
that are listed on a U.S. exchange.17
The Fund will not invest in derivative
instruments. The Fund’s investments
will be consistent with its investment
objective and will not be used to
enhance leverage.
Creation and Redemption of Shares
The Fund will issue and redeem
Shares on a continuous basis at net asset
value (‘‘NAV’’) only in large blocks of
Shares (‘‘Creation Units’’) in
transactions with authorized
participants, generally including brokerdealers and large institutional investors
(‘‘Authorized Participants’’). Creation
Units generally will consist of 50,000
Shares, although this may change from
15 The Commission has stated that long-standing
Commission guidelines have required open-end
funds to hold no more than 15% of their net assets
in illiquid securities and other illiquid assets. See
Investment Company Act Release No. 28193 (March
11, 2008), 73 FR 14618 (March 18, 2008), footnote
34. See also Investment Company Act Release No.
5847 (October 21, 1969), 35 FR 19989 (December
31, 1970) (Statement Regarding ‘‘Restricted
Securities’’); Investment Company Act Release No.
18612 (March 12, 1992), 57 FR 9828 (March 20,
1992) (Revisions of Guidelines to Form N–1A). A
fund’s portfolio security is illiquid if it cannot be
disposed of in the ordinary course of business
within seven days at approximately the value
ascribed to it by the fund. See Investment Company
Act Release No. 14983 (March 12, 1986), 51 FR
9773 (March 21, 1986) (adopting amendments to
Rule 2a-7 under the 1940 Act); Investment
Company Act Release No. 17452 (April 23, 1990),
55 FR 17933 (April 30, 1990) (adopting Rule 144A
under the Securities Act of 1933).
16 See Form N–1A, Item 9. The Commission has
taken the position that a fund is concentrated if it
invests more than 25% of the value of its total
assets in any one industry. See, e.g., Investment
Company Act Release No. 9011 (October 30, 1975),
40 FR 54241 (November 21, 1975). As indicated
above, it is not anticipated that more than 45% of
the portfolio will be invested in a single sector.
17 The Fund will not invest in OTC secondary
market securities.
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34421
time to time. Creation Units, however,
are not expected to consist of less than
50,000 Shares.
As described in the Registration
Statement and consistent with the
Exemptive Relief, the Fund will issue
and redeem Creation Units in exchange
for an in-kind portfolio of instruments
and/or cash in lieu of such instruments
(the ‘‘Creation Basket’’). In addition, if
there is a difference between the NAV
attributable to a Creation Unit and the
market value of the Creation Basket
exchanged for the Creation Unit, the
party conveying instruments with the
lower value will pay to the other an
amount in cash equal to the difference
(referred to as the ‘‘Balancing Amount’’).
Creations and redemptions must be
made by or through an Authorized
Participant that has executed an
agreement with the Distributor with
respect to creations and redemptions of
Creation Units. All standard orders to
create Creation Units must be received
by the Distributor no later than the close
of the regular trading session on the
New York Stock Exchange (‘‘NYSE’’)
(ordinarily 4:00 p.m., Eastern Time) (the
‘‘Closing Time’’), in each case on the
date such order is placed, in order for
the creation of Creation Units to be
effected based on the NAV of Shares as
next determined on such date after
receipt of the order in proper form.
Shares may be redeemed only in
Creation Units at their NAV next
determined after receipt not later than
the Closing Time of a redemption
request in proper form by the Fund and
only on a business day.
Each business day, before the open of
trading on the Exchange, the Fund will
cause to be published through the
National Securities Clearing Corporation
the names and quantities of the
instruments comprising the Creation
Basket, as well as the estimated
Balancing Amount (if any), for that day.
The published Creation Basket will
apply until a new Creation Basket is
announced on the following business
day.
Net Asset Value
The Fund’s NAV will be determined
as of the close of regular trading on the
NYSE on each day the NYSE is open for
trading. If the NYSE closes early on a
valuation day, the NAV will be
determined as of that time. NAV per
Share will be calculated for the Fund by
taking the value of the Fund’s total
assets, including interest or dividends
accrued but not yet collected, less all
liabilities, including accrued expenses
and dividends declared but unpaid, and
dividing such amount by the total
number of Shares outstanding. The
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result, rounded to the nearest cent, will
be the NAV per Share. All valuations
will be subject to review by the Trust
Board or its delegate.
The Fund’s investments will be
valued daily. As described more
specifically below, investments traded
on an exchange (i.e., a regulated
market), will generally be valued at
market value prices that represent last
sale or official closing prices. In
addition, as described more specifically
below, non-exchange traded
investments will generally be valued
using prices obtained from third-party
pricing services (each, a ‘‘Pricing
Service’’).18 If, however, valuations for
any of the Fund’s investments cannot be
readily obtained as provided in the
preceding manner, or the Pricing
Committee of the Adviser (the ‘‘Pricing
Committee’’) 19 questions the accuracy
or reliability of valuations that are so
obtained, such investments will be
valued at fair value, as determined by
the Pricing Committee, in accordance
with valuation procedures (which may
be revised from time to time) adopted by
the Trust Board (the ‘‘Valuation
Procedures’’), and in accordance with
provisions of the 1940 Act. The Pricing
Committee’s fair value determinations
may require subjective judgments about
the value of an investment. The fair
valuations attempt to estimate the value
at which an investment could be sold at
the time of pricing, although actual sales
could result in price differences, which
could be material.
Certain securities in which the Fund
may invest will not be listed on any
securities exchange or board of trade.
Such securities will typically be bought
and sold by institutional investors in
individually negotiated private
transactions that function in many
respects like an over-the-counter
(‘‘OTC’’) secondary market, although
typically no formal market makers will
exist. Certain securities, particularly
debt securities, will have few or no
trades, or trade infrequently, and
information regarding a specific security
may not be widely available or may be
incomplete. Accordingly,
determinations of the value of debt
securities may be based on infrequent
and dated information. Because there is
less reliable, objective data available,
elements of judgment may play a greater
role in valuation of debt securities than
for other types of securities.
18 The Adviser may use various Pricing Services
or discontinue the use of any Pricing Services, as
approved by the Trust Board from time to time.
19 The Pricing Committee will be subject to
procedures designed to prevent the use and
dissemination of material non-public information
regarding the Fund’s portfolio.
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The information summarized below is
based on the Valuation Procedures as
currently in effect; however, as noted
above, the Valuation Procedures are
amended from time to time and,
therefore, such information is subject to
change.
Equity securities (including other
ETFs) listed on a securities exchange,
market or automated quotation system
for which quotations are readily
available (except for securities traded on
NASDAQ) will be valued at the last
reported sale price on the primary
exchange or market on which they are
traded on the valuation date (or at
approximately 4:00 p.m., E.T. if a
security’s primary exchange is normally
open at that time). For a security that
trades on multiple exchanges, the
primary exchange will generally be
considered to be the exchange on which
the security generally has the highest
volume of trading activity. If it is not
possible to determine the last reported
sale price on the relevant exchange or
market on the valuation date, the value
of the security will be taken to be the
most recent mean between the bid and
asked prices on such exchange or
market on the valuation date. Absent
both bid and asked prices on such
exchange, the bid price may be used.
For securities traded on NASDAQ, the
official closing price will be used. If
such prices are not available, the
security will be valued based on values
supplied by independent brokers or by
fair value pricing, as described below.
Open-end investment companies
other than ETFs will be valued at NAV.
Except as provided below, short-term
U.S. government securities, commercial
paper, and bankers’ acceptances, all as
set forth under ‘‘Other Investments’’
(collectively, ‘‘Short-Term Debt
Instruments’’) will typically be valued
using information provided by a Pricing
Service. Pricing Services typically value
non-exchange-traded instruments
utilizing a range of market-based inputs
and assumptions, including readily
available market quotations obtained
from broker-dealers making markets in
such instruments, cash flows, and
transactions for comparable
instruments. In pricing certain
instruments, the Pricing Services may
consider information about an
instrument’s issuer or market activity
provided by the Adviser.
Short-Term Debt Instruments having a
remaining maturity of 60 days or less
when purchased will typically be
valued at cost adjusted for amortization
of premiums and accretion of discounts,
provided the Pricing Committee has
determined that the use of amortized
cost is an appropriate reflection of value
PO 00000
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Fmt 4703
Sfmt 4703
given market and issuer-specific
conditions existing at the time of the
determination.
Certificates of deposit and bank time
deposits will typically be valued at cost.
Repurchase agreements will typically
be valued as follows: Overnight
repurchase agreements will be valued at
amortized cost when it represents the
best estimate of value. Term repurchase
agreements (i.e., those whose maturity
exceeds seven days) will be valued at
the average of the bid quotations
obtained daily from at least two
recognized dealers.
Availability of Information
The Fund’s Web site,
www.amplifyetfs.com, which will be
publicly available prior to the public
offering of Shares, will include a form
of the prospectus for the Fund that may
be downloaded. The Web site will
include the Shares’ ticker, CUSIP and
exchange information along with
additional quantitative information
updated on a daily basis, including, for
the Fund: (1) Daily trading volume, the
prior business day’s reported NAV and
closing price, mid-point of the bid/ask
spread at the time of calculation of such
NAV (the ‘‘Bid/Ask Price’’),20 and a
calculation of the premium and
discount of the Bid/Ask Price against
the NAV; and (2) data in chart format
displaying the frequency distribution of
discounts and premiums of the daily
Bid/Ask Price against the NAV, within
appropriate ranges, for each of the four
previous calendar quarters. On each
business day, before commencement of
trading in Shares in the Regular Market
Session 21 on the Exchange, the Fund
will disclose on its Web site the
identities and quantities of the portfolio
of securities and other assets (the
‘‘Disclosed Portfolio’’ as defined in
Nasdaq Rule 5735(c)(2)) held by the
Fund that will form the basis for the
Fund’s calculation of NAV at the end of
the business day.22
20 The Bid/Ask Price of the Fund will be
determined using the mid-point of the highest bid
and the lowest offer on the Exchange as of the time
of calculation of the Fund’s NAV. The records
relating to Bid/Ask Prices will be retained by the
Fund and its service providers.
21 See Nasdaq Rule 4120(b)(4) (describing the
three trading sessions on the Exchange: (1) PreMarket Session from 4 a.m. to 9:30 a.m., Eastern
Time; (2) Regular Market Session from 9:30 a.m. to
4 p.m. or 4:15 p.m., Eastern Time; and (3) PostMarket Session from 4 p.m. or 4:15 p.m. to 8 p.m.,
Eastern Time).
22 Under accounting procedures to be followed by
the Fund, trades made on the prior business day
(‘‘T’’) will be booked and reflected in NAV on the
current business day (‘‘T+1’’). Accordingly, the
Fund will be able to disclose at the beginning of the
business day the portfolio that will form the basis
for the NAV calculation at the end of the business
day.
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On a daily basis, the Fund will
disclose on the Fund’s Web site the
following information regarding each
portfolio holding, as applicable to the
type of holding: ticker symbol, CUSIP
number or other identifier, if any; a
description of the holding (including
the type of holding); the identity of the
security or other asset or instrument
underlying the holding, if any; quantity
held (as measured by, for example, par
value, notional value or number of
shares, contracts or units); maturity
date, if any; coupon rate, if any;
effective date, if any; market value of the
holding; and percentage weighting of
the holding in the Fund’s portfolio. The
Web site information will be publicly
available at no charge.
In addition, for the Fund, an
estimated value, defined in Rule
5735(c)(3) as the ‘‘Intraday Indicative
Value,’’ that reflects an estimated
intraday value of the Fund’s Disclosed
Portfolio, will be disseminated.
Moreover, the Intraday Indicative Value,
available on the NASDAQ OMX
Information LLC proprietary index data
service,23 will be based upon the current
value for the components of the
Disclosed Portfolio and will be updated
and widely disseminated by one or
more major market data vendors and
broadly displayed at least every 15
seconds during the Regular Market
Session. The Intraday Indicative Value
will be based on quotes and closing
prices from the securities’ local market
and may not reflect events that occur
subsequent to the local market’s close.
Premiums and discounts between the
Intraday Indicative Value and the
market price may occur. This should not
be viewed as a ‘‘real time’’ update of the
NAV per Share of the Fund, which is
calculated only once a day.
The dissemination of the Intraday
Indicative Value, together with the
Disclosed Portfolio, will allow investors
to determine the value of the underlying
portfolio of the Fund on a daily basis
and will provide a close estimate of that
value throughout the trading day.
Investors will also be able to obtain
the Fund’s Statement of Additional
Information (‘‘SAI’’), the Fund’s annual
and semi-annual reports (together,
‘‘Shareholder Reports’’), and its Form
N–CSR and Form N–SAR, filed twice a
year. The Fund’s SAI and Shareholder
23 Currently, the NASDAQ OMX Global Index
Data Service (‘‘GIDS’’) is the NASDAQ OMX global
index data feed service, offering real-time updates,
daily summary messages, and access to widely
followed indexes and Intraday Indicative Values for
ETFs. GIDS provides investment professionals with
the daily information needed to track or trade
NASDAQ OMX indexes, listed ETFs, or third-party
partner indexes and ETFs.
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Reports will be available free upon
request from the Fund, and those
documents and the Form N–CSR and
Form N–SAR may be viewed on-screen
or downloaded from the Commission’s
Web site at www.sec.gov.
Information regarding market price
and trading volume of the Shares will be
continually available on a real-time
basis throughout the day on brokers’
computer screens and other electronic
services. Information regarding the
previous day’s closing price and trading
volume information for the Shares will
be published daily in the financial
section of newspapers. Quotation and
last sale information for the Shares will
be available via Nasdaq proprietary
quote and trade services, as well as in
accordance with the Unlisted Trading
Privileges and the Consolidated Tape
Association (‘‘CTA’’) plans for the
Shares. Quotation and last sale
information for U.S. exchange-traded
equity securities (including common
stocks and ETFs) will be available from
the exchanges on which they are traded
as well as in accordance with any
applicable CTA plans.
Open-end investment companies
(other than ETFs) are typically priced
once each business day and their prices
will be available through the applicable
fund’s Web site or from major market
data vendors.
Pricing information for Short-Term
Debt Instruments, repurchase
agreements, certificates of deposit and
bank time deposits will be available
from major broker-dealer firms and/or
major market data vendors and/or
Pricing Services.
Additional information regarding the
Fund and the Shares, including
investment strategies, risks, creation and
redemption procedures, fees, Fund
holdings disclosure policies,
distributions and taxes will be included
in the Registration Statement.
Initial and Continued Listing
The Shares will be subject to Rule
5735, which sets forth the initial and
continued listing criteria applicable to
Managed Fund Shares. The Exchange
represents that, for initial and continued
listing, the Fund must be in compliance
with Rule 10A–3 24 under the Act. A
minimum of 100,000 Shares will be
outstanding at the commencement of
trading on the Exchange. The Exchange
will obtain a representation from the
issuer of the Shares that the NAV per
Share will be calculated daily and that
the NAV and the Disclosed Portfolio
24 See
PO 00000
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Frm 00115
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34423
will be made available to all market
participants at the same time.
Trading Halts
With respect to trading halts, the
Exchange may consider all relevant
factors in exercising its discretion to
halt or suspend trading in the Shares of
the Fund. Nasdaq will halt trading in
the Shares under the conditions
specified in Nasdaq Rules 4120 and
4121, including the trading pauses
under Nasdaq Rules 4120(a)(11) and
(12). Trading may be halted because of
market conditions or for reasons that, in
the view of the Exchange, make trading
in the Shares inadvisable. These may
include: (1) The extent to which trading
is not occurring in the securities and/or
the other assets constituting the
Disclosed Portfolio of the Fund; or (2)
whether other unusual conditions or
circumstances detrimental to the
maintenance of a fair and orderly
market are present. Trading in the
Shares also will be subject to Rule
5735(d)(2)(D), which sets forth
circumstances under which Shares of
the Fund may be halted.
Trading Rules
Nasdaq deems the Shares to be equity
securities, thus rendering trading in the
Shares subject to Nasdaq’s existing rules
governing the trading of equity
securities. Nasdaq will allow trading in
the Shares from 4:00 a.m. until 8:00
p.m., Eastern Time. The Exchange has
appropriate rules to facilitate
transactions in the Shares during all
trading sessions. As provided in Nasdaq
Rule 5735(b)(3), the minimum price
variation for quoting and entry of orders
in Managed Fund Shares traded on the
Exchange is $0.01.
Surveillance
The Exchange represents that trading
in the Shares will be subject to the
existing trading surveillances,
administered by both Nasdaq and also
the Financial Industry Regulatory
Authority (‘‘FINRA’’) on behalf of the
Exchange, which are designed to detect
violations of Exchange rules and
applicable federal securities laws.25 The
Exchange represents that these
procedures are adequate to properly
monitor Exchange trading of the Shares
in all trading sessions and to deter and
detect violations of Exchange rules and
applicable federal securities laws.
The surveillances referred to above
generally focus on detecting securities
trading outside their normal patterns,
25 FINRA surveils trading on the Exchange
pursuant to a regulatory services agreement. The
Exchange is responsible for FINRA’s performance
under this regulatory services agreement.
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which could be indicative of
manipulative or other violative activity.
When such situations are detected,
surveillance analysis follows and
investigations are opened, where
appropriate, to review the behavior of
all relevant parties for all relevant
trading violations.
FINRA, on behalf of the Exchange,
will communicate as needed regarding
trading in the Shares and the exchangetraded securities and instruments held
by the Fund (including common stocks
and ETFs) with other markets and other
entities that are members of the
Intermarket Surveillance Group
(‘‘ISG’’),26 and FINRA may obtain
trading information regarding trading in
the Shares and such exchange-traded
securities and instruments held by the
Fund from such markets and other
entities. In addition, the Exchange may
obtain information regarding trading in
the Shares and the exchange-traded
securities and instruments held by the
Fund from markets and other entities
that are members of ISG, which includes
securities exchanges, or with which the
Exchange has in place a comprehensive
surveillance sharing agreement.
All of the Fund’s net assets that are
invested in exchange-traded equity
securities (including common stocks
and ETFs) will be invested in securities
that trade in markets that are members
of ISG or are parties to a comprehensive
surveillance sharing agreement with the
Exchange.
In addition, the Exchange also has a
general policy prohibiting the
distribution of material, non-public
information by its employees.
Information Circular
Prior to the commencement of
trading, the Exchange will inform its
members in an Information Circular of
the special characteristics and risks
associated with trading the Shares.
Specifically, the Information Circular
will discuss the following: (1) The
procedures for purchases and
redemptions of Shares in Creation Units
(and that Shares are not individually
redeemable); (2) Nasdaq Rule 2111A,
which imposes suitability obligations on
Nasdaq members with respect to
recommending transactions in the
Shares to customers; (3) how
information regarding the Intraday
Indicative Value and the Disclosed
Portfolio is disseminated; (4) the risks
involved in trading the Shares during
26 For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all
components of the Disclosed Portfolio may trade on
markets that are members of ISG or with which the
Exchange has in place a comprehensive
surveillance sharing agreement.
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20:07 May 27, 2016
Jkt 238001
the Pre-Market and Post-Market
Sessions when an updated Intraday
Indicative Value will not be calculated
or publicly disseminated; (5) the
requirement that members deliver a
prospectus to investors purchasing
newly issued Shares prior to or
concurrently with the confirmation of a
transaction; and (6) trading information.
The Information Circular will also
discuss any exemptive, no-action and
interpretive relief granted by the
Commission from any rules under the
Act.
Additionally, the Information Circular
will reference that the Fund is subject
to various fees and expenses described
in the Registration Statement. The
Information Circular will also disclose
the trading hours of the Shares of the
Fund and the applicable NAV
calculation time for the Shares. The
Information Circular will disclose that
information about the Shares of the
Fund will be publicly available on the
Fund’s Web site.
Continued Listing Representations
All statements and representations
made in this filing regarding (a) the
description of the portfolio, (b)
limitations on portfolio holdings or
reference assets, or (c) the applicability
of Exchange rules and surveillance
procedures shall constitute continued
listing requirements for listing the
Shares on the Exchange. In addition, the
issuer has represented to the Exchange
that it will advise the Exchange of any
failure by the Fund to comply with the
continued listing requirements, and,
pursuant to its obligations under
Section 19(g)(1) of the Act, the Exchange
will monitor for compliance with the
continued listing requirements. If the
Fund is not in compliance with the
applicable listing requirements, the
Exchange will commence delisting
procedures under the Nasdaq 5800
Series.
2. Statutory Basis
Nasdaq believes that the proposal is
consistent with Section 6(b) of the Act
in general and Section 6(b)(5) of the Act
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, and to remove
impediments to and perfect the
mechanism of a free and open market
and, in general, to protect investors and
the public interest.
The Exchange believes that the
proposed rule change is designed to
prevent fraudulent and manipulative
PO 00000
Frm 00116
Fmt 4703
Sfmt 4703
acts and practices in that the Shares will
be listed and traded on the Exchange
pursuant to the initial and continued
listing criteria in Nasdaq Rule 5735. The
Exchange represents that trading in the
Shares will be subject to the existing
trading surveillances, administered by
both Nasdaq and also FINRA on behalf
of the Exchange, which are designed to
detect violations of Exchange rules and
applicable federal securities laws.
Neither the Adviser nor any SubAdviser is a broker-dealer, although
Penserra is affiliated with a brokerdealer and is required to implement a
‘‘fire wall’’ with respect to such brokerdealer affiliate regarding access to
information concerning the composition
and/or changes to the Fund’s portfolio.
The Adviser and Horizon are not
currently affiliated with a broker-dealer.
In addition, paragraph (g) of Nasdaq
Rule 5735 further requires that
personnel who make decisions on the
open-end fund’s portfolio composition
must be subject to procedures designed
to prevent the use and dissemination of
material non-public information
regarding the open-end fund’s portfolio.
FINRA, on behalf of the Exchange,
will communicate as needed regarding
trading in the Shares and the exchangetraded securities and instruments held
by the Fund (including common stocks
and ETFs) with other markets and other
entities that are members of ISG, and
FINRA may obtain trading information
regarding trading in the Shares and such
exchange-traded securities held by the
Fund from such markets and other
entities. In addition, the Exchange may
obtain information regarding trading in
the Shares and the exchange-traded
securities and instruments held by the
Fund from markets and other entities
that are members of ISG, which includes
securities exchanges, or with which the
Exchange has in place a comprehensive
surveillance sharing agreement.
Moreover, FINRA, on behalf of the
Exchange, will be able to access, as
needed, trade information for certain
fixed income securities held by the
Fund reported to FINRA’s TRACE.
All of the Fund’s net assets that are
invested in exchange-traded equity
securities (including common stocks
and ETFs) will be invested in securities
that trade in markets that are members
of ISG or are parties to a comprehensive
surveillance sharing agreement with the
Exchange.
The investment objective of the Fund
will be to seek long-term capital
appreciation. Under normal market
conditions, the Fund will seek to
achieve its investment objective by
investing at least 90% of its net assets
(including investment borrowings) in
E:\FR\FM\31MYN1.SGM
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Federal Register / Vol. 81, No. 104 / Tuesday, May 31, 2016 / Notices
companies included in the Buy List of
the Dow Theory Forecasts, an
investment newsletter of an affiliate of
the Horizon. The Fund will not invest
in derivative instruments. The Fund
may hold up to an aggregate amount of
15% of its net assets in illiquid assets
(calculated at the time of investment),
including securities deemed illiquid by
the Adviser or a Sub-Adviser.
The Fund will monitor its portfolio
liquidity on an ongoing basis to
determine whether, in light of current
circumstances, an adequate level of
liquidity is being maintained, and will
consider taking appropriate steps in
order to maintain adequate liquidity if,
through a change in values, net assets,
or other circumstances, more than 15%
of the Fund’s net assets are held in
illiquid assets. Illiquid assets include
securities subject to contractual or other
restrictions on resale and other
instruments that lack readily available
markets as determined in accordance
with Commission staff guidance.
The proposed rule change is designed
to promote just and equitable principles
of trade and to protect investors and the
public interest in that the Exchange will
obtain a representation from the issuer
of the Shares that the NAV per Share
will be calculated daily and that the
NAV and the Disclosed Portfolio will be
made available to all market
participants at the same time.
In addition, a large amount of
information will be publicly available
regarding the Fund and the Shares,
thereby promoting market transparency.
Moreover, the Intraday Indicative Value,
available on the NASDAQ OMX
Information LLC proprietary index data
service, will be widely disseminated by
one or more major market data vendors
and broadly displayed at least every 15
seconds during the Regular Market
Session. On each business day, before
commencement of trading in Shares in
the Regular Market Session on the
Exchange, the Fund will disclose on its
Web site the Disclosed Portfolio that
will form the basis for the Fund’s
calculation of NAV at the end of the
business day.
Information regarding market price
and trading volume of the Shares will be
continually available on a real-time
basis throughout the day on brokers’
computer screens and other electronic
services, and quotation and last sale
information for the Shares will be
available via Nasdaq proprietary quote
and trade services, as well as in
accordance with the Unlisted Trading
Privileges and the CTA plans for the
Shares. Pricing information for
exchange-traded common stocks and
ETFs will be available from the
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20:07 May 27, 2016
Jkt 238001
applicable listing exchange and from
major market data vendors.
Pricing information for Short-Term
Debt Instruments, repurchase
agreements, certificates of deposit and
bank time deposits will be available
from major broker-dealer firms and/or
major market data vendors and/or
Pricing Services. Open-end investment
companies (other than ETFs) are
typically priced once each business day
and their prices will be available
through the applicable fund’s Web site
or from major market data vendors.
The Fund’s Web site will include a
form of the prospectus for the Fund and
additional data relating to NAV and
other applicable quantitative
information. Trading in Shares of the
Fund will be halted under the
conditions specified in Nasdaq Rules
4120 and 4121 or because of market
conditions or for reasons that, in the
view of the Exchange, make trading in
the Shares inadvisable, and trading in
the Shares will be subject to Nasdaq
Rule 5735(d)(2)(D), which sets forth
circumstances under which Shares of
the Fund may be halted. In addition, as
noted above, investors will have ready
access to information regarding the
Fund’s holdings, the Intraday Indicative
Value, the Disclosed Portfolio, and
quotation and last sale information for
the Shares.
In calculating its NAV, the Fund
generally will value its investment
portfolio at market price. If market
prices are not readily available or the
Fund reasonably believes they are
unreliable, such as in the case of a
security value that has been materially
affected by events occurring after the
relevant market closes, the Fund will
price those securities at fair value as
determined using methods approved by
the Trust Board.
The proposed rule change is designed
to perfect the mechanism of a free and
open market and, in general, to protect
investors and the public interest in that
it will facilitate the listing and trading
of an additional type of activelymanaged exchange-traded product that
will enhance competition among market
participants, to the benefit of investors
and the marketplace.
As noted above, FINRA, on behalf of
the Exchange, will communicate as
needed regarding trading in the Shares
and exchange-traded securities and
instruments held by the Fund
(including common stocks and ETFs)
with other markets and other entities
that are members of ISG, and FINRA
may obtain trading information
regarding trading in the Shares and such
exchange-traded securities held by the
PO 00000
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Fmt 4703
Sfmt 4703
34425
Fund from such markets and other
entities.
In addition, the Exchange may obtain
information regarding trading in the
Shares and the exchange-traded
securities and instruments held by the
Fund from markets and other entities
that are members of ISG, which includes
securities exchanges, or with which the
Exchange has in place a comprehensive
surveillance sharing agreement.
Moreover, FINRA, on behalf of the
Exchange, will be able to access, as
needed, trade information for certain
fixed income securities held by the
Fund reported to FINRA’s TRACE.
Furthermore, as noted above, investors
will have ready access to information
regarding the Fund’s holdings, the
Intraday Indicative Value, the Disclosed
Portfolio, and quotation and last sale
information for the Shares.
For the above reasons, Nasdaq
believes 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 purposes of the Act. The
Exchange believes that the proposed
rule change will facilitate the listing and
trading of an additional type of activelymanaged exchange-traded fund 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
Written comments were neither
solicited nor received.
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 such
proposed rule change; or (b) institute
proceedings to determine whether the
proposed rule change should be
disapproved.
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Federal Register / Vol. 81, No. 104 / Tuesday, May 31, 2016 / Notices
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change, as modified by Amendment No.
1 thereto, is consistent with the Act.
Comments may be submitted by any of
the following methods:
Electronic Comments
SMALL BUSINESS ADMINISTRATION
Small Business Administration.
Notice; extension of comment
AGENCY:
ACTION:
period.
On April 7, 2016, the U.S.
Small Business Administration (SBA)
published a notice in the Federal
Register to solicit public comments on
a proposed SBIR/STTR Policy Directive,
which among other things seeks to
clarify the data rights and Phase III
preference afforded to SBIR and STTR
small business awardees, add
definitions relating to data rights, and
clarify the benchmarks for progress
towards commercialization. This notice
announces the extension of the current
comment period for an additional 30
days until July 6, 2016.
DATES: The comment period for the
proposed SBIR/STTR Policy Directive is
hereby extended from June 6, 2016 until
July 6, 2016. You must submit your
comments on or before July 6, 2016.
ADDRESSES: You may submit comments,
identified by RIN: 3245–AG64, by any of
the following methods:
• Federal eRulemaking Portal: https://
www.regulations.gov. Follow the
instructions for submitting comments.
• Mail, Hand Delivery/Courier: Edsel
Brown, Assistant Director, Office of
Innovation, U.S. Small Business
Administration, 409 Third Street SW.,
Washington, DC 20416.
SBA will post all comments to this
proposed rule on www.regulations.gov.
If you wish to submit confidential
business information (CBI) as defined in
the User Notice at www.regulations.gov,
you must submit such information to
Edsel Brown, or send an email to
technology@sba.gov. Highlight the
information that you consider to be CBI
and explain why you believe SBA
should hold this information as
confidential. SBA will review your
information and determine whether it
will make the information public.
SUMMARY:
• Send paper comments in triplicate
to Brent J. Fields, Secretary, Securities
and Exchange Commission, Station
Place, 100 F Street NE., Washington, DC
20549–9303.
sradovich on DSK3TPTVN1PROD with NOTICES
BILLING CODE 8011–01–P
Small Business Innovation Research
Program and Small Business
Technology Transfer Program Policy
Directive
Paper Comments
All submissions should refer to File
Number SR–NASDAQ–2016–072. This
file number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site https://www.sec.gov/
rules/sro.shtml. Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE.,
Washington, DC 20549, on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the
filing also will be available for
inspection and copying at the principal
office of Nasdaq. All comments received
will be posted without change; the
Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–
NASDAQ–2016–072 and should be
submitted on or before June 21, 2016.
20:07 May 27, 2016
[FR Doc. 2016–12667 Filed 5–27–16; 8:45 am]
RIN 3245–AG64
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number
SR–NASDAQ–2016–072 on the
subject line.
VerDate Sep<11>2014
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.27
Robert W. Errett,
Deputy Secretary.
Jkt 238001
27 17
PO 00000
CFR 200.30–3(a)(12).
Frm 00118
Fmt 4703
Sfmt 4703
FOR FURTHER INFORMATION CONTACT:
Edsel Brown, Assistant Director, Office
of Innovation, at (202) 401–6365 or
technnology@sba.gov.
SUPPLEMENTARY INFORMATION: On April
7, 2016, SBA published a notice and
request for comments on the referenced
proposed SBIR/STTR Policy Directive at
81 FR 20483. SBA received a formal
request to extend the comment period
by 60 days. After considering the
request, SBA decided to extend the
comment period an additional 30 days,
until July 6. 2016. SBA believes this
additional time, coupled with the initial
60-day comment period, will give
commenters ample time to consider the
proposed changes and submit
comments.
John R. Williams,
Director of Innovation, Office of Investment
and Innovation.
[FR Doc. 2016–12566 Filed 5–27–16; 8:45 am]
BILLING CODE 8025–01–P
SOCIAL SECURITY ADMINISTRATION
[Docket No: SSA–2016–0021]
Agency Information Collection
Activities: Proposed Request and
Comment Request
The Social Security Administration
(SSA) publishes a list of information
collection packages requiring clearance
by the Office of Management and
Budget (OMB) in compliance with
Public Law 104–13, the Paperwork
Reduction Act of 1995, effective October
1, 1995. This notice includes revisions
and one extension of OMB-approved
information collections.
SSA is soliciting comments on the
accuracy of the agency’s burden
estimate; the need for the information;
its practical utility; ways to enhance its
quality, utility, and clarity; and ways to
minimize burden on respondents,
including the use of automated
collection techniques or other forms of
information technology. Mail, email, or
fax your comments and
recommendations on the information
collection(s) to the OMB Desk Officer
and SSA Reports Clearance Officer at
the following addresses or fax numbers.
(OMB)
Office of Management and Budget, Attn:
Desk Officer for SSA, Fax: 202–395–
6974, Email address: OIRA_
Submission@omb.eop.gov.
(SSA)
Social Security Administration, OLCA,
Attn: Reports Clearance Director, 3100
West High Rise, 6401 Security Blvd.,
Baltimore, MD 21235, Fax: 410–966–
E:\FR\FM\31MYN1.SGM
31MYN1
]]>Agencies
[Federal Register Volume 81, Number 104 (Tuesday, May 31, 2016)]
[Notices]
[Pages 34419-34426]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-12667]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-77890; File No. SR-NASDAQ-2016-072])
Self-Regulatory Organizations; The NASDAQ Stock Market LLC;
Notice of Filing of Proposed Rule Change, as Modified by Amendment No.
1 Thereto, Relating to the Listing and Trading of the Shares of the
Amplify Dow Theory Forecasts Buy List ETF of Amplify ETF Trust
May 24, 2016.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on May 10, 2016, The NASDAQ Stock Market LLC (``Nasdaq'' or
``Exchange'') filed with the Securities and Exchange Commission
(``SEC'' or ``Commission'') the proposed rule change as described in in
Items I and II below, which Items have been prepared by Nasdaq. On May
20, 2016, the Exchange filed Amendment No. 1 to the proposed rule
change. The Commission is publishing this notice, as modified by
Amendment No. 1 thereto, to solicit comments on the proposed rule
change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
Nasdaq proposes to list and trade the shares of the Amplify Dow
Theory Forecasts Buy List ETF (the ``Fund'') of Amplify ETF Trust (the
``Trust'') under Nasdaq Rule 5735 (``Managed Fund Shares'').\3\ The
shares of the Fund are collectively referred to herein as the
``Shares.''
---------------------------------------------------------------------------
\3\ The Commission approved Nasdaq Rule 5735 in Securities
Exchange Act Release No. 57962 (June 13, 2008), 73 FR 35175 (June
20, 2008) (SR-NASDAQ-2008-039). There are already multiple actively-
managed funds listed on the Exchange; see, e.g., Securities Exchange
Act Release Nos. 72506 (July 1, 2014), 79 FR 38631 (July 8, 2014)
(SR-NASDAQ-2014-050) (order approving listing and trading of First
Trust Strategic Income ETF); 69464 (April 26, 2013), 78 FR 25774
(May 2, 2013) (SR-NASDAQ-2013-036) (order approving listing and
trading of First Trust Senior Loan Fund); 66489 (February 29, 2012),
77 FR 13379 (March 6, 2012) (SR-NASDAQ-2012-004) (order approving
listing and trading of WisdomTree Emerging Markets Corporate Bond
Fund). The Exchange believes the proposed rule change raises no
significant issues not previously addressed in those prior
Commission orders.
---------------------------------------------------------------------------
The text of the proposed rule change is available at https://nasdaq.cchwallstreet.com/, at Nasdaq's principal office, 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, Nasdaq 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. Nasdaq 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 the Shares of the Fund
under Nasdaq Rule 5735, which governs the listing and trading of
Managed Fund Shares \4\ on the Exchange. The Fund will be an actively-
managed exchange-traded fund (``ETF''). The Shares will be offered by
the Trust, which was established as a Massachusetts business trust on
January 6, 2015.\5\ The Trust is registered with the Commission as an
investment company and has filed a registration statement on Form N-1A
(``Registration Statement'') with the Commission.\6\ The Fund will be a
series of the Trust.
---------------------------------------------------------------------------
\4\ A Managed Fund Share is a security that represents an
interest in an investment company registered under the Investment
Company Act of 1940 (15 U.S.C. 80a-1) (the ``1940 Act'') organized
as an open-end investment company or similar entity that invests in
a portfolio of securities selected by its investment adviser
consistent with its investment objectives and policies. In contrast,
an open-end investment company that issues Index Fund Shares, listed
and traded on the Exchange under Nasdaq Rule 5705, seeks to provide
investment results that correspond generally to the price and yield
performance of a specific foreign or domestic stock index, fixed
income securities index or combination thereof.
\5\ The Commission has issued an order, upon which the Trust may
rely, granting certain exemptive relief under the 1940 Act. See
Investment Company Act Release No. 31582 (April 28, 2015) (File No.
812-14423) (the ``Exemptive Relief'').
\6\ See Post-Effective Amendment No. 2 to Registration Statement
on Form N 1A for the Trust, dated May 5, 2016 (File Nos. 333 207937
and 811 23108). The descriptions of the Fund and the Shares
contained herein are based, in part, on information in the
Registration Statement.
---------------------------------------------------------------------------
Amplify Investments LLC will be the investment adviser
(``Adviser'') to the Fund. The following will serve as investment sub-
advisers (each, a ``Sub-Adviser'') to the Fund: Horizon Investment
Services, LLC (``Horizon'') and Penserra Capital Management LLC
(``Penserra''). Quasar Distributors LLC
[[Page 34420]]
(the ``Distributor'') will be the principal underwriter and distributor
of the Fund's Shares. U.S. Bancorp Fund Services LLC will act as the
administrator, accounting agent, custodian and transfer agent to the
Fund.
Paragraph (g) of Rule 5735 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.\7\ In addition, paragraph
(g) further requires that personnel who make decisions on the open-end
fund's portfolio composition must be subject to procedures designed to
prevent the use and dissemination of material, non-public information
regarding the open-end fund's portfolio.
---------------------------------------------------------------------------
\7\ 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, each Sub-Adviser and their 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.
---------------------------------------------------------------------------
Rule 5735(g) is similar to Nasdaq Rule 5705(b)(5)(A)(i); however,
paragraph (g) in connection with the establishment of a ``fire wall''
between the investment adviser and the broker-dealer reflects the
applicable open-end fund's portfolio, not an underlying benchmark
index, as is the case with index-based funds. Neither the Adviser nor
any Sub-Adviser is a broker-dealer, although Penserra is affiliated
with a broker-dealer.\8\ Penserra has implemented and will maintain a
fire wall with respect to their respective broker-dealer affiliate
regarding access to information concerning the composition and/or
changes to the portfolio.
---------------------------------------------------------------------------
\8\ The Adviser and Horizon are not currently affiliated with a
broker-dealer.
---------------------------------------------------------------------------
In addition, personnel who make decisions on the Fund's portfolio
composition will be subject to procedures designed to prevent the use
and dissemination of material non-public information regarding the
Fund's portfolio. In the event (a) the Adviser or a Sub-Adviser
registers as a broker-dealer, or becomes affiliated with a broker-
dealer, or (b) any new adviser or sub-adviser is a registered broker-
dealer or becomes affiliated with another broker-dealer, it will
implement and will maintain a fire wall with respect to its relevant
personnel and/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.
The Fund intends to qualify each year as a regulated investment
company (``RIC'') under Subchapter M of the Internal Revenue Code of
1986, as amended.
Amplify Dow Theory Forecasts Buy List ETF
Principal Investments
The investment objective of the Fund will be to seek long-term
capital appreciation. Under normal market conditions,\9\ the Fund will
seek to achieve its investment objective by investing at least 90% of
its net assets (including investment borrowings) in companies included
in the buy list (updated on a semi-weekly basis) (the ``Buy List'') of
the Dow Theory Forecasts, an investment newsletter of Horizon
Publishing Company, LLC, an affiliate of Horizon.
---------------------------------------------------------------------------
\9\ The term ``under normal market conditions'' as used herein
includes, but is not limited to, the absence of adverse market,
economic, political or other conditions, including extreme
volatility or trading halts in the securities markets or the
financial markets generally; operational issues causing
dissemination of inaccurate market information; or force majeure
type events such as systems failure, natural or man-made disaster,
act of God, armed conflict, act of terrorism, riot or labor
disruption or any similar intervening circumstance. On a temporary
basis, including for defensive purposes, during the initial invest-
up period and during periods of high cash inflows or outflows, the
Fund may depart from its principal investment strategies; for
example, it may hold a higher than normal proportion of its assets
in cash. During such periods, the Fund may not be able to achieve
its investment objective. The Fund may adopt a defensive strategy
when the Adviser or a Sub-Adviser believes securities in which the
Fund normally invests have elevated risks due to political or
economic factors and in other extraordinary circumstances.
---------------------------------------------------------------------------
In general, the Buy List includes 25 to 40 U.S. exchange-traded
stocks. All of such stocks are large-cap or mid-cap and are selected
based on a proprietary quantitative ranking system known as
Quadrix[supreg]. Quadrix[supreg] ranks approximately 5,000 stocks and
scores target stocks based on their operating momentum; valuation;
long-term term track record and financial strength; earnings-estimate
trends; and share-price performance.
The Fund will seek diversification among the ten economic sectors
of the U.S. stock market, and it is not anticipated that more than 45%
of the portfolio will be invested in a single sector. Horizon will
select the Fund's portfolio securities from the Buy List. Penserra will
be responsible for implementing the Fund's investment program by, among
other things, trading portfolio securities and performing related
services, rebalancing the Fund's portfolio, and providing cash
management services in accordance with the investment advice formulated
by, and model portfolios delivered by, the Adviser and Horizon.
Other Investments
The Fund may invest the remaining 10% of its net assets in short-
term debt securities and other short-term debt instruments (described
below), as well as cash equivalents, or it may hold cash. The
percentage of the Fund invested in such holdings or held in cash will
vary and will depend on several factors, including market conditions.
The Fund may invest in the following short-term debt instruments: \10\
(1) Fixed rate and floating rate 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; (2) certificates of deposit
issued against funds deposited in a bank or savings and loan
association; (3) bankers' acceptances, which are short-term credit
instruments used to finance commercial transactions; (4) repurchase
agreements,\11\ which involve purchases
[[Page 34421]]
of debt securities; (5) 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; and (6) commercial paper, which is
short-term unsecured promissory notes.\12\
---------------------------------------------------------------------------
\10\ Short-term debt instruments are issued by issuers having a
long-term debt rating of at least A by Standard & Poor's Ratings
Services, a Division of The McGraw-Hill Companies, Inc. (``S&P
Ratings''), Moody's Investors Service, Inc. (``Moody's'') or Fitch
Ratings (``Fitch'') and have a maturity of one year or less.
\11\ The Fund intends to enter into repurchase agreements only
with financial institutions and dealers believed by the Adviser to
present minimal credit risks in accordance with criteria approved by
the Board of Trustees of the Trust (``Trust Board''). The Adviser
will review and monitor the creditworthiness of such institutions.
The Adviser will monitor the value of the collateral at the time the
transaction is entered into and at all times during the term of the
repurchase agreement.
\12\ The Fund may only invest in commercial paper rated A-1 or
higher by S&P Ratings, Prime-1 or higher by Moody's or F1 or higher
by Fitch.
---------------------------------------------------------------------------
The Fund may invest in the securities of other ETFs and non-
exchange listed open-end investment companies (referred to as ``mutual
funds''), including money market funds,\13\ that, in each case, will be
investment companies registered under the 1940 Act.
---------------------------------------------------------------------------
\13\ It is expected that any such mutual fund or ETF will invest
primarily in short-term fixed income securities. An ETF is an
investment company registered under the 1940 Act that holds a
portfolio of securities. Many ETFs are designed to track the
performance of a securities index, including industry, sector,
country and region indexes. ETFs included in the Fund will be listed
and traded in the U.S. on registered exchanges. The Fund may invest
in the securities of ETFs in excess of the limits imposed under the
1940 Act pursuant to exemptive orders obtained by other ETFs and
their sponsors from the Commission. In addition, the Fund may invest
in the securities of certain other investment companies in excess of
the limits imposed under the 1940 Act pursuant to an exemptive order
that the Trust has obtained from the Commission. See Investment
Company Act Release No. 30377 (February 5, 2013) (File No. 812-
13895). The ETFs in which the Fund may invest include Index Fund
Shares (as described in Nasdaq Rule 5705), Portfolio Depository
Receipts (as described in Nasdaq Rule 5705), and Managed Fund Shares
(as described in Nasdaq Rule 5735). While the Fund may invest in
inverse ETFs, the Fund will not invest in leveraged or inverse
leveraged (e.g., 2X or -3X) ETFs.
---------------------------------------------------------------------------
Investment Restrictions
The Fund may hold up to an aggregate amount of 15% of its net
assets in illiquid assets (calculated at the time of investment),
including securities deemed illiquid by the Adviser or a Sub-
Adviser.\14\ The Fund will monitor its portfolio liquidity on an
ongoing basis to determine whether, in light of current circumstances,
an adequate level of liquidity is being maintained, and will consider
taking appropriate steps in order to maintain adequate liquidity if,
through a change in values, net assets, or other circumstances, more
than 15% of the Fund's net assets are held in illiquid assets. Illiquid
assets include securities subject to contractual or other restrictions
on resale and other instruments that lack readily available markets as
determined in accordance with Commission staff guidance.\15\
---------------------------------------------------------------------------
\14\ In reaching liquidity decisions, the Adviser and a Sub-
Adviser may consider the following factors: the frequency of trades
and quotes for the security; the number of dealers wishing to
purchase or sell the security and the number of other potential
purchasers; dealer undertakings to make a market in the security;
and the nature of the security and the nature of the marketplace in
which it trades (e.g., the time needed to dispose of the security,
the method of soliciting offers and the mechanics of transfer).
\15\ The Commission has stated that long-standing Commission
guidelines have required open-end funds to hold no more than 15% of
their net assets in illiquid securities and other illiquid assets.
See Investment Company Act Release No. 28193 (March 11, 2008), 73 FR
14618 (March 18, 2008), footnote 34. See also Investment Company Act
Release No. 5847 (October 21, 1969), 35 FR 19989 (December 31, 1970)
(Statement Regarding ``Restricted Securities''); Investment Company
Act Release No. 18612 (March 12, 1992), 57 FR 9828 (March 20, 1992)
(Revisions of Guidelines to Form N-1A). A fund's portfolio security
is illiquid if it cannot be disposed of in the ordinary course of
business within seven days at approximately the value ascribed to it
by the fund. See Investment Company Act Release No. 14983 (March 12,
1986), 51 FR 9773 (March 21, 1986) (adopting amendments to Rule 2a-7
under the 1940 Act); Investment Company Act Release No. 17452 (April
23, 1990), 55 FR 17933 (April 30, 1990) (adopting Rule 144A under
the Securities Act of 1933).
---------------------------------------------------------------------------
The Fund may not invest 25% or more of the value of its total
assets in securities of issuers in any one industry or group of
industries (other than securities issued or guaranteed by the U.S.
government, its agencies or instrumentalities, or securities of other
investment companies), except that the Fund may invest 25% or more of
the value of its total assets in securities of issuers in a group of
industries to approximately the same extent that the Buy List includes
the securities of a particular group of industries.\16\
---------------------------------------------------------------------------
\16\ See Form N-1A, Item 9. The Commission has taken the
position that a fund is concentrated if it invests more than 25% of
the value of its total assets in any one industry. See, e.g.,
Investment Company Act Release No. 9011 (October 30, 1975), 40 FR
54241 (November 21, 1975). As indicated above, it is not anticipated
that more than 45% of the portfolio will be invested in a single
sector.
---------------------------------------------------------------------------
All of the Fund's net assets that are invested in exchange-traded
equity securities (including common stocks and ETFs) will be invested
in securities that are listed on a U.S. exchange.\17\
---------------------------------------------------------------------------
\17\ The Fund will not invest in OTC secondary market
securities.
---------------------------------------------------------------------------
The Fund will not invest in derivative instruments. The Fund's
investments will be consistent with its investment objective and will
not be used to enhance leverage.
Creation and Redemption of Shares
The Fund will issue and redeem Shares on a continuous basis at net
asset value (``NAV'') only in large blocks of Shares (``Creation
Units'') in transactions with authorized participants, generally
including broker-dealers and large institutional investors
(``Authorized Participants''). Creation Units generally will consist of
50,000 Shares, although this may change from time to time. Creation
Units, however, are not expected to consist of less than 50,000 Shares.
As described in the Registration Statement and consistent with the
Exemptive Relief, the Fund will issue and redeem Creation Units in
exchange for an in-kind portfolio of instruments and/or cash in lieu of
such instruments (the ``Creation Basket''). In addition, if there is a
difference between the NAV attributable to a Creation Unit and the
market value of the Creation Basket exchanged for the Creation Unit,
the party conveying instruments with the lower value will pay to the
other an amount in cash equal to the difference (referred to as the
``Balancing Amount'').
Creations and redemptions must be made by or through an Authorized
Participant that has executed an agreement with the Distributor with
respect to creations and redemptions of Creation Units. All standard
orders to create Creation Units must be received by the Distributor no
later than the close of the regular trading session on the New York
Stock Exchange (``NYSE'') (ordinarily 4:00 p.m., Eastern Time) (the
``Closing Time''), in each case on the date such order is placed, in
order for the creation of Creation Units to be effected based on the
NAV of Shares as next determined on such date after receipt of the
order in proper form. Shares may be redeemed only in Creation Units at
their NAV next determined after receipt not later than the Closing Time
of a redemption request in proper form by the Fund and only on a
business day.
Each business day, before the open of trading on the Exchange, the
Fund will cause to be published through the National Securities
Clearing Corporation the names and quantities of the instruments
comprising the Creation Basket, as well as the estimated Balancing
Amount (if any), for that day. The published Creation Basket will apply
until a new Creation Basket is announced on the following business day.
Net Asset Value
The Fund's NAV will be determined as of the close of regular
trading on the NYSE on each day the NYSE is open for trading. If the
NYSE closes early on a valuation day, the NAV will be determined as of
that time. NAV per Share will be calculated for the Fund by taking the
value of the Fund's total assets, including interest or dividends
accrued but not yet collected, less all liabilities, including accrued
expenses and dividends declared but unpaid, and dividing such amount by
the total number of Shares outstanding. The
[[Page 34422]]
result, rounded to the nearest cent, will be the NAV per Share. All
valuations will be subject to review by the Trust Board or its
delegate.
The Fund's investments will be valued daily. As described more
specifically below, investments traded on an exchange (i.e., a
regulated market), will generally be valued at market value prices that
represent last sale or official closing prices. In addition, as
described more specifically below, non-exchange traded investments will
generally be valued using prices obtained from third-party pricing
services (each, a ``Pricing Service'').\18\ If, however, valuations for
any of the Fund's investments cannot be readily obtained as provided in
the preceding manner, or the Pricing Committee of the Adviser (the
``Pricing Committee'') \19\ questions the accuracy or reliability of
valuations that are so obtained, such investments will be valued at
fair value, as determined by the Pricing Committee, in accordance with
valuation procedures (which may be revised from time to time) adopted
by the Trust Board (the ``Valuation Procedures''), and in accordance
with provisions of the 1940 Act. The Pricing Committee's fair value
determinations may require subjective judgments about the value of an
investment. The fair valuations attempt to estimate the value at which
an investment could be sold at the time of pricing, although actual
sales could result in price differences, which could be material.
---------------------------------------------------------------------------
\18\ The Adviser may use various Pricing Services or discontinue
the use of any Pricing Services, as approved by the Trust Board from
time to time.
\19\ The Pricing Committee will be subject to procedures
designed to prevent the use and dissemination of material non-public
information regarding the Fund's portfolio.
---------------------------------------------------------------------------
Certain securities in which the Fund may invest will not be listed
on any securities exchange or board of trade. Such securities will
typically be bought and sold by institutional investors in individually
negotiated private transactions that function in many respects like an
over-the-counter (``OTC'') secondary market, although typically no
formal market makers will exist. Certain securities, particularly debt
securities, will have few or no trades, or trade infrequently, and
information regarding a specific security may not be widely available
or may be incomplete. Accordingly, determinations of the value of debt
securities may be based on infrequent and dated information. Because
there is less reliable, objective data available, elements of judgment
may play a greater role in valuation of debt securities than for other
types of securities.
The information summarized below is based on the Valuation
Procedures as currently in effect; however, as noted above, the
Valuation Procedures are amended from time to time and, therefore, such
information is subject to change.
Equity securities (including other ETFs) listed on a securities
exchange, market or automated quotation system for which quotations are
readily available (except for securities traded on NASDAQ) will be
valued at the last reported sale price on the primary exchange or
market on which they are traded on the valuation date (or at
approximately 4:00 p.m., E.T. if a security's primary exchange is
normally open at that time). For a security that trades on multiple
exchanges, the primary exchange will generally be considered to be the
exchange on which the security generally has the highest volume of
trading activity. If it is not possible to determine the last reported
sale price on the relevant exchange or market on the valuation date,
the value of the security will be taken to be the most recent mean
between the bid and asked prices on such exchange or market on the
valuation date. Absent both bid and asked prices on such exchange, the
bid price may be used. For securities traded on NASDAQ, the official
closing price will be used. If such prices are not available, the
security will be valued based on values supplied by independent brokers
or by fair value pricing, as described below.
Open-end investment companies other than ETFs will be valued at
NAV.
Except as provided below, short-term U.S. government securities,
commercial paper, and bankers' acceptances, all as set forth under
``Other Investments'' (collectively, ``Short-Term Debt Instruments'')
will typically be valued using information provided by a Pricing
Service. Pricing Services typically value non-exchange-traded
instruments utilizing a range of market-based inputs and assumptions,
including readily available market quotations obtained from broker-
dealers making markets in such instruments, cash flows, and
transactions for comparable instruments. In pricing certain
instruments, the Pricing Services may consider information about an
instrument's issuer or market activity provided by the Adviser.
Short-Term Debt Instruments having a remaining maturity of 60 days
or less when purchased will typically be valued at cost adjusted for
amortization of premiums and accretion of discounts, provided the
Pricing Committee has determined that the use of amortized cost is an
appropriate reflection of value given market and issuer-specific
conditions existing at the time of the determination.
Certificates of deposit and bank time deposits will typically be
valued at cost.
Repurchase agreements will typically be valued as follows:
Overnight repurchase agreements will be valued at amortized cost when
it represents the best estimate of value. Term repurchase agreements
(i.e., those whose maturity exceeds seven days) will be valued at the
average of the bid quotations obtained daily from at least two
recognized dealers.
Availability of Information
The Fund's Web site, www.amplifyetfs.com, which will be publicly
available prior to the public offering of Shares, will include a form
of the prospectus for the Fund that may be downloaded. The Web site
will include the Shares' ticker, CUSIP and exchange information along
with additional quantitative information updated on a daily basis,
including, for the Fund: (1) Daily trading volume, the prior business
day's reported NAV and closing price, mid-point of the bid/ask spread
at the time of calculation of such NAV (the ``Bid/Ask Price''),\20\ and
a calculation of the premium and discount of the Bid/Ask Price against
the NAV; and (2) data in chart format displaying the frequency
distribution of discounts and premiums of the daily Bid/Ask Price
against the NAV, within appropriate ranges, for each of the four
previous calendar quarters. On each business day, before commencement
of trading in Shares in the Regular Market Session \21\ on the
Exchange, the Fund will disclose on its Web site the identities and
quantities of the portfolio of securities and other assets (the
``Disclosed Portfolio'' as defined in Nasdaq Rule 5735(c)(2)) held by
the Fund that will form the basis for the Fund's calculation of NAV at
the end of the business day.\22\
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\20\ The Bid/Ask Price of the Fund will be determined using the
mid-point of the highest bid and the lowest offer on the Exchange as
of the time of calculation of the Fund's NAV. The records relating
to Bid/Ask Prices will be retained by the Fund and its service
providers.
\21\ See Nasdaq Rule 4120(b)(4) (describing the three trading
sessions on the Exchange: (1) Pre-Market Session from 4 a.m. to 9:30
a.m., Eastern Time; (2) Regular Market Session from 9:30 a.m. to 4
p.m. or 4:15 p.m., Eastern Time; and (3) Post-Market Session from 4
p.m. or 4:15 p.m. to 8 p.m., Eastern Time).
\22\ Under accounting procedures to be followed by the Fund,
trades made on the prior business day (``T'') will be booked and
reflected in NAV on the current business day (``T+1''). Accordingly,
the Fund will be able to disclose at the beginning of the business
day the portfolio that will form the basis for the NAV calculation
at the end of the business day.
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[[Page 34423]]
On a daily basis, the Fund will disclose on the Fund's Web site the
following information regarding each portfolio holding, as applicable
to the type of holding: ticker symbol, CUSIP number or other
identifier, if any; a description of the holding (including the type of
holding); the identity of the security or other asset or instrument
underlying the holding, if any; quantity held (as measured by, for
example, par value, notional value or number of shares, contracts or
units); maturity date, if any; coupon rate, if any; effective date, if
any; market value of the holding; and percentage weighting of the
holding in the Fund's portfolio. The Web site information will be
publicly available at no charge.
In addition, for the Fund, an estimated value, defined in Rule
5735(c)(3) as the ``Intraday Indicative Value,'' that reflects an
estimated intraday value of the Fund's Disclosed Portfolio, will be
disseminated. Moreover, the Intraday Indicative Value, available on the
NASDAQ OMX Information LLC proprietary index data service,\23\ will be
based upon the current value for the components of the Disclosed
Portfolio and will be updated and widely disseminated by one or more
major market data vendors and broadly displayed at least every 15
seconds during the Regular Market Session. The Intraday Indicative
Value will be based on quotes and closing prices from the securities'
local market and may not reflect events that occur subsequent to the
local market's close. Premiums and discounts between the Intraday
Indicative Value and the market price may occur. This should not be
viewed as a ``real time'' update of the NAV per Share of the Fund,
which is calculated only once a day.
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\23\ Currently, the NASDAQ OMX Global Index Data Service
(``GIDS'') is the NASDAQ OMX global index data feed service,
offering real-time updates, daily summary messages, and access to
widely followed indexes and Intraday Indicative Values for ETFs.
GIDS provides investment professionals with the daily information
needed to track or trade NASDAQ OMX indexes, listed ETFs, or third-
party partner indexes and ETFs.
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The dissemination of the Intraday Indicative Value, together with
the Disclosed Portfolio, will allow investors to determine the value of
the underlying portfolio of the Fund on a daily basis and will provide
a close estimate of that value throughout the trading day.
Investors will also be able to obtain the Fund's Statement of
Additional Information (``SAI''), the Fund's annual and semi-annual
reports (together, ``Shareholder Reports''), and its Form N-CSR and
Form N-SAR, filed twice a year. The Fund's SAI and Shareholder Reports
will be available free upon request from the Fund, and those documents
and the Form N-CSR and Form N-SAR may be viewed on-screen or downloaded
from the Commission's Web site at www.sec.gov.
Information regarding market price and trading volume of the Shares
will be continually available on a real-time basis throughout the day
on brokers' computer screens and other electronic services. Information
regarding the previous day's closing price and trading volume
information for the Shares will be published daily in the financial
section of newspapers. Quotation and last sale information for the
Shares will be available via Nasdaq proprietary quote and trade
services, as well as in accordance with the Unlisted Trading Privileges
and the Consolidated Tape Association (``CTA'') plans for the Shares.
Quotation and last sale information for U.S. exchange-traded equity
securities (including common stocks and ETFs) will be available from
the exchanges on which they are traded as well as in accordance with
any applicable CTA plans.
Open-end investment companies (other than ETFs) are typically
priced once each business day and their prices will be available
through the applicable fund's Web site or from major market data
vendors.
Pricing information for Short-Term Debt Instruments, repurchase
agreements, certificates of deposit and bank time deposits will be
available from major broker-dealer firms and/or major market data
vendors and/or Pricing Services.
Additional information regarding the Fund and the Shares, including
investment strategies, risks, creation and redemption procedures, fees,
Fund holdings disclosure policies, distributions and taxes will be
included in the Registration Statement.
Initial and Continued Listing
The Shares will be subject to Rule 5735, which sets forth the
initial and continued listing criteria applicable to Managed Fund
Shares. The Exchange represents that, for initial and continued
listing, the Fund must be in compliance with Rule 10A-3 \24\ under the
Act. A minimum of 100,000 Shares will be outstanding at the
commencement of trading on the Exchange. The Exchange will obtain a
representation from the issuer of the Shares that the NAV per Share
will be calculated daily and that the NAV and the Disclosed Portfolio
will be made available to all market participants at the same time.
---------------------------------------------------------------------------
\24\ See 17 CFR 240.10A-3.
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Trading Halts
With respect to trading halts, the Exchange may consider all
relevant factors in exercising its discretion to halt or suspend
trading in the Shares of the Fund. Nasdaq will halt trading in the
Shares under the conditions specified in Nasdaq Rules 4120 and 4121,
including the trading pauses under Nasdaq Rules 4120(a)(11) and (12).
Trading may be halted because of market conditions or for reasons that,
in the view of the Exchange, make trading in the Shares inadvisable.
These may include: (1) The extent to which trading is not occurring in
the securities and/or the other assets constituting the Disclosed
Portfolio of the Fund; or (2) whether other unusual conditions or
circumstances detrimental to the maintenance of a fair and orderly
market are present. Trading in the Shares also will be subject to Rule
5735(d)(2)(D), which sets forth circumstances under which Shares of the
Fund may be halted.
Trading Rules
Nasdaq deems the Shares to be equity securities, thus rendering
trading in the Shares subject to Nasdaq's existing rules governing the
trading of equity securities. Nasdaq will allow trading in the Shares
from 4:00 a.m. until 8:00 p.m., Eastern Time. The Exchange has
appropriate rules to facilitate transactions in the Shares during all
trading sessions. As provided in Nasdaq Rule 5735(b)(3), the minimum
price variation for quoting and entry of orders in Managed Fund Shares
traded on the Exchange is $0.01.
Surveillance
The Exchange represents that trading in the Shares will be subject
to the existing trading surveillances, administered by both Nasdaq and
also the Financial Industry Regulatory Authority (``FINRA'') on behalf
of the Exchange, which are designed to detect violations of Exchange
rules and applicable federal securities laws.\25\ The Exchange
represents that these procedures are adequate to properly monitor
Exchange trading of the Shares in all trading sessions and to deter and
detect violations of Exchange rules and applicable federal securities
laws.
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\25\ FINRA surveils trading on the Exchange pursuant to a
regulatory services agreement. The Exchange is responsible for
FINRA's performance under this regulatory services agreement.
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The surveillances referred to above generally focus on detecting
securities trading outside their normal patterns,
[[Page 34424]]
which could be indicative of manipulative or other violative activity.
When such situations are detected, surveillance analysis follows and
investigations are opened, where appropriate, to review the behavior of
all relevant parties for all relevant trading violations.
FINRA, on behalf of the Exchange, will communicate as needed
regarding trading in the Shares and the exchange-traded securities and
instruments held by the Fund (including common stocks and ETFs) with
other markets and other entities that are members of the Intermarket
Surveillance Group (``ISG''),\26\ and FINRA may obtain trading
information regarding trading in the Shares and such exchange-traded
securities and instruments held by the Fund from such markets and other
entities. In addition, the Exchange may obtain information regarding
trading in the Shares and the exchange-traded securities and
instruments held by the Fund from markets and other entities that are
members of ISG, which includes securities exchanges, or with which the
Exchange has in place a comprehensive surveillance sharing agreement.
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\26\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of the
Disclosed Portfolio may trade on markets that are members of ISG or
with which the Exchange has in place a comprehensive surveillance
sharing agreement.
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All of the Fund's net assets that are invested in exchange-traded
equity securities (including common stocks and ETFs) will be invested
in securities that trade in markets that are members of ISG or are
parties to a comprehensive surveillance sharing agreement with the
Exchange.
In addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
Information Circular
Prior to the commencement of trading, the Exchange will inform its
members in an Information Circular of the special characteristics and
risks associated with trading the Shares. Specifically, the Information
Circular will discuss the following: (1) The procedures for purchases
and redemptions of Shares in Creation Units (and that Shares are not
individually redeemable); (2) Nasdaq Rule 2111A, which imposes
suitability obligations on Nasdaq members with respect to recommending
transactions in the Shares to customers; (3) how information regarding
the Intraday Indicative Value and the Disclosed Portfolio is
disseminated; (4) the risks involved in trading the Shares during the
Pre-Market and Post-Market Sessions when an updated Intraday Indicative
Value will not be calculated or publicly disseminated; (5) the
requirement that members deliver a prospectus to investors purchasing
newly issued Shares prior to or concurrently with the confirmation of a
transaction; and (6) trading information. The Information Circular will
also discuss any exemptive, no-action and interpretive relief granted
by the Commission from any rules under the Act.
Additionally, the Information Circular will reference that the Fund
is subject to various fees and expenses described in the Registration
Statement. The Information Circular will also disclose the trading
hours of the Shares of the Fund and the applicable NAV calculation time
for the Shares. The Information Circular will disclose that information
about the Shares of the Fund will be publicly available on the Fund's
Web site.
Continued Listing Representations
All statements and representations made in this filing regarding
(a) the description of the portfolio, (b) limitations on portfolio
holdings or reference assets, or (c) the applicability of Exchange
rules and surveillance procedures shall constitute continued listing
requirements for listing the Shares on the Exchange. In addition, the
issuer has represented to the Exchange that it will advise the Exchange
of any failure by the Fund to comply with the continued listing
requirements, and, pursuant to its obligations under Section 19(g)(1)
of the Act, the Exchange will monitor for compliance with the continued
listing requirements. If the Fund is not in compliance with the
applicable listing requirements, the Exchange will commence delisting
procedures under the Nasdaq 5800 Series.
2. Statutory Basis
Nasdaq believes that the proposal is consistent with Section 6(b)
of the Act in general and Section 6(b)(5) of the Act 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, and to remove impediments to and perfect
the mechanism of a free and open market and, in general, to protect
investors and the public interest.
The Exchange believes that the proposed rule change is designed to
prevent fraudulent and manipulative acts and practices in that the
Shares will be listed and traded on the Exchange pursuant to the
initial and continued listing criteria in Nasdaq Rule 5735. The
Exchange represents that trading in the Shares will be subject to the
existing trading surveillances, administered by both Nasdaq and also
FINRA on behalf of the Exchange, which are designed to detect
violations of Exchange rules and applicable federal securities laws.
Neither the Adviser nor any Sub-Adviser is a broker-dealer,
although Penserra is affiliated with a broker-dealer and is required to
implement a ``fire wall'' with respect to such broker-dealer affiliate
regarding access to information concerning the composition and/or
changes to the Fund's portfolio. The Adviser and Horizon are not
currently affiliated with a broker-dealer. In addition, paragraph (g)
of Nasdaq Rule 5735 further requires that personnel who make decisions
on the open-end fund's portfolio composition must be subject to
procedures designed to prevent the use and dissemination of material
non-public information regarding the open-end fund's portfolio.
FINRA, on behalf of the Exchange, will communicate as needed
regarding trading in the Shares and the exchange-traded securities and
instruments held by the Fund (including common stocks and ETFs) with
other markets and other entities that are members of ISG, and FINRA may
obtain trading information regarding trading in the Shares and such
exchange-traded securities held by the Fund from such markets and other
entities. In addition, the Exchange may obtain information regarding
trading in the Shares and the exchange-traded securities and
instruments held by the Fund from markets and other entities that are
members of ISG, which includes securities exchanges, or with which the
Exchange has in place a comprehensive surveillance sharing agreement.
Moreover, FINRA, on behalf of the Exchange, will be able to access, as
needed, trade information for certain fixed income securities held by
the Fund reported to FINRA's TRACE.
All of the Fund's net assets that are invested in exchange-traded
equity securities (including common stocks and ETFs) will be invested
in securities that trade in markets that are members of ISG or are
parties to a comprehensive surveillance sharing agreement with the
Exchange.
The investment objective of the Fund will be to seek long-term
capital appreciation. Under normal market conditions, the Fund will
seek to achieve its investment objective by investing at least 90% of
its net assets (including investment borrowings) in
[[Page 34425]]
companies included in the Buy List of the Dow Theory Forecasts, an
investment newsletter of an affiliate of the Horizon. The Fund will not
invest in derivative instruments. The Fund may hold up to an aggregate
amount of 15% of its net assets in illiquid assets (calculated at the
time of investment), including securities deemed illiquid by the
Adviser or a Sub-Adviser.
The Fund will monitor its portfolio liquidity on an ongoing basis
to determine whether, in light of current circumstances, an adequate
level of liquidity is being maintained, and will consider taking
appropriate steps in order to maintain adequate liquidity if, through a
change in values, net assets, or other circumstances, more than 15% of
the Fund's net assets are held in illiquid assets. Illiquid assets
include securities subject to contractual or other restrictions on
resale and other instruments that lack readily available markets as
determined in accordance with Commission staff guidance.
The proposed rule change is designed to promote just and equitable
principles of trade and to protect investors and the public interest in
that the Exchange will obtain a representation from the issuer of the
Shares that the NAV per Share will be calculated daily and that the NAV
and the Disclosed Portfolio will be made available to all market
participants at the same time.
In addition, a large amount of information will be publicly
available regarding the Fund and the Shares, thereby promoting market
transparency. Moreover, the Intraday Indicative Value, available on the
NASDAQ OMX Information LLC proprietary index data service, will be
widely disseminated by one or more major market data vendors and
broadly displayed at least every 15 seconds during the Regular Market
Session. On each business day, before commencement of trading in Shares
in the Regular Market Session on the Exchange, the Fund will disclose
on its Web site the Disclosed Portfolio that will form the basis for
the Fund's calculation of NAV at the end of the business day.
Information regarding market price and trading volume of the Shares
will be continually available on a real-time basis throughout the day
on brokers' computer screens and other electronic services, and
quotation and last sale information for the Shares will be available
via Nasdaq proprietary quote and trade services, as well as in
accordance with the Unlisted Trading Privileges and the CTA plans for
the Shares. Pricing information for exchange-traded common stocks and
ETFs will be available from the applicable listing exchange and from
major market data vendors.
Pricing information for Short-Term Debt Instruments, repurchase
agreements, certificates of deposit and bank time deposits will be
available from major broker-dealer firms and/or major market data
vendors and/or Pricing Services. Open-end investment companies (other
than ETFs) are typically priced once each business day and their prices
will be available through the applicable fund's Web site or from major
market data vendors.
The Fund's Web site will include a form of the prospectus for the
Fund and additional data relating to NAV and other applicable
quantitative information. Trading in Shares of the Fund will be halted
under the conditions specified in Nasdaq Rules 4120 and 4121 or because
of market conditions or for reasons that, in the view of the Exchange,
make trading in the Shares inadvisable, and trading in the Shares will
be subject to Nasdaq Rule 5735(d)(2)(D), which sets forth circumstances
under which Shares of the Fund may be halted. In addition, as noted
above, investors will have ready access to information regarding the
Fund's holdings, the Intraday Indicative Value, the Disclosed
Portfolio, and quotation and last sale information for the Shares.
In calculating its NAV, the Fund generally will value its
investment portfolio at market price. If market prices are not readily
available or the Fund reasonably believes they are unreliable, such as
in the case of a security value that has been materially affected by
events occurring after the relevant market closes, the Fund will price
those securities at fair value as determined using methods approved by
the Trust Board.
The proposed rule change is designed to perfect the mechanism of a
free and open market and, in general, to protect investors and the
public interest in that it will facilitate the listing and trading of
an additional type of actively-managed exchange-traded product that
will enhance competition among market participants, to the benefit of
investors and the marketplace.
As noted above, FINRA, on behalf of the Exchange, will communicate
as needed regarding trading in the Shares and exchange-traded
securities and instruments held by the Fund (including common stocks
and ETFs) with other markets and other entities that are members of
ISG, and FINRA may obtain trading information regarding trading in the
Shares and such exchange-traded securities held by the Fund from such
markets and other entities.
In addition, the Exchange may obtain information regarding trading
in the Shares and the exchange-traded securities and instruments held
by the Fund from markets and other entities that are members of ISG,
which includes securities exchanges, or with which the Exchange has in
place a comprehensive surveillance sharing agreement. Moreover, FINRA,
on behalf of the Exchange, will be able to access, as needed, trade
information for certain fixed income securities held by the Fund
reported to FINRA's TRACE. Furthermore, as noted above, investors will
have ready access to information regarding the Fund's holdings, the
Intraday Indicative Value, the Disclosed Portfolio, and quotation and
last sale information for the Shares.
For the above reasons, Nasdaq believes 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 purposes of the Act. The Exchange believes that
the proposed rule change will facilitate the listing and trading of an
additional type of actively-managed exchange-traded fund 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
Written comments were neither solicited nor received.
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 such proposed rule change; or (b)
institute proceedings to determine whether the proposed rule change
should be disapproved.
[[Page 34426]]
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change, as modified by Amendment No. 1 thereto, is consistent with the
Act. Comments may be submitted by any of the following methods:
Electronic Comments
Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to rule-comments@sec.gov. Please include
File Number
SR-NASDAQ-2016-072 on the subject line.
Paper Comments
Send paper comments in triplicate to Brent J. Fields,
Secretary, Securities and Exchange Commission, Station Place, 100 F
Street NE., Washington, DC 20549-9303.
All submissions should refer to File Number SR-NASDAQ-2016-072. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site https://www.sec.gov/rules/sro.shtml.
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for Web site viewing and printing in
the Commission's Public Reference Room, 100 F Street NE., Washington,
DC 20549, on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of the filing also will be available for inspection
and copying at the principal office of Nasdaq. All comments received
will be posted without change; the Commission does not edit personal
identifying information from submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File Number SR-NASDAQ-2016-072 and should be submitted
on or before June 21, 2016.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\27\
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\27\ 17 CFR 200.30-3(a)(12).
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Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-12667 Filed 5-27-16; 8:45 am]
BILLING CODE 8011-01-P
