Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of Filing of a Proposed Rule Change To List and Trade Shares of a Series of the Cboe Vest S&P 500 Buffer Protect Strategy ETF Under the ETF Series Solutions Trust, Under Rule 14.11(c)(3), Index Fund Shares, 58243-58248 [2017-26558]
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Federal Register / Vol. 82, No. 236 / Monday, December 11, 2017 / Notices
submissions should refer to File
Number SR–NASDAQ–2017–121 and
should be submitted on or before
January 2, 2018.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.17
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017–26556 Filed 12–8–17; 8:45 am]
(A) Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–82217; File No. SR–
CboeBZX–2017–005]
Self-Regulatory Organizations; Cboe
BZX Exchange, Inc.; Notice of Filing of
a Proposed Rule Change To List and
Trade Shares of a Series of the Cboe
Vest S&P 500 Buffer Protect Strategy
ETF Under the ETF Series Solutions
Trust, Under Rule 14.11(c)(3), Index
Fund Shares
December 5, 2017.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on November
21, 2017, Cboe BZX Exchange, Inc. (the
‘‘Exchange’’ or ‘‘BZX’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the Exchange. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
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I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange filed a proposal to list
and trade shares of a series of the Cboe
Vest S&P 500® Buffer Protect Strategy
ETF under the ETF Series Solutions
Trust (the ‘‘Trust’’), under Rule
14.11(c)(3) (‘‘Index Fund Shares’’).
The text of the proposed rule change
is available at the Exchange’s Web site
at www.markets.cboe.com, at the
principal office of the Exchange, and at
the Commission’s Public Reference
Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
17 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
17:54 Dec 08, 2017
1. Purpose
The Exchange proposes to list and
trade shares (‘‘Shares’’) of each series of
the Cboe Vest S&P 500® Buffer Protect
Strategy ETF (each a ‘‘Fund’’ and,
collectively, the ‘‘Funds’’) under Rule
14.11(c)(3), which governs the listing
and trading of Index Fund Shares based
on equity securities indexes on the
Exchange. In total, the Exchange is
proposing to list and trade Shares of
twelve monthly series of the Cboe Vest
S&P 500® Buffer Protect Strategy ETF.
Each Fund will be an index-based
exchange traded fund (‘‘ETF’’). The
Funds will include the following: Cboe
Vest S&P 500® Buffer Protect Strategy
(January) ETF; Cboe Vest S&P 500®
Buffer Protect Strategy (February) ETF;
Cboe Vest S&P 500® Buffer Protect
Strategy (March) ETF; Cboe Vest S&P
500® Buffer Protect Strategy (April)
ETF; Cboe Vest S&P 500® Buffer Protect
Strategy (May) ETF; Cboe Vest S&P 500®
Buffer Protect Strategy (June) ETF; Cboe
Vest S&P 500® Buffer Protect Strategy
(July) ETF; Cboe Vest S&P 500® Buffer
Protect Strategy (August) ETF; Cboe
Vest S&P 500® Buffer Protect Strategy
(September) ETF; Cboe Vest S&P 500®
Buffer Protect Strategy (October) ETF;
Cboe Vest S&P 500® Buffer Protect
Strategy (November) ETF; and Cboe Vest
S&P 500® Buffer Protect Strategy
(December) ETF. Each Fund will be
based on the Cboe S&P 500 Buffer
Protect Index (Month) Series, where
‘‘Month’’ is the corresponding month
associated with the roll date of the
applicable Fund (each an ‘‘Index’’ and,
collectively, the ‘‘Indexes’’).
The Shares will be offered by the
Trust, which was established as a
Delaware statutory trust on February 9,
2012. The Trust is registered with the
Commission as an open-end investment
company and has filed a registration
statement on behalf of the Funds on
Form N–1A (‘‘Registration Statement’’)
with the Commission.3 The Funds’
3 See Registration Statement on Form N–1A for
the Trust, dated October 24, 2017 (File Nos. 333–
179562 and 811–22668). The descriptions of the
1 15
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concerning the purpose of and basis for
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in Sections A, B, and C below, of
the most significant parts of such
statements.
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58243
adviser, Cboe Vest Financial, LLC (the
‘‘Adviser’’), and index provider, Cboe
Exchange, Inc. (‘‘Cboe Options’’ or the
‘‘Index Provider’’), are not registered as
broker-dealers, but are affiliated with a
broker-dealer. The Index Provider has
implemented and will maintain a ‘‘fire
wall’’ with respect to such broker-dealer
and its personnel regarding access to
information concerning the composition
and/or changes to the Indexes. In
addition, Index Provider personnel who
make decisions regarding the Index
composition or methodology are subject
to procedures designed to prevent the
use and dissemination of material
nonpublic information regarding the
Index, pursuant to Rule
14.11(c)(3)(B)(iii). The Adviser has also
implemented and will maintain a ‘‘fire
wall’’ with respect to such broker-dealer
and its personnel regarding access to
information concerning the composition
and/or changes to the portfolio. In
addition, Adviser personnel who make
decisions regarding a Fund’s portfolio
are subject to procedures designed to
prevent the use and dissemination of
material nonpublic information
regarding a Fund’s portfolio. In the
event that (a) the Adviser becomes
registered as a broker-dealer or newly
affiliated with another broker-dealer; or
(b) any new adviser or sub-adviser is a
registered broker-dealer or becomes
affiliated with a broker-dealer; it will
implement a fire wall with respect to its
relevant personnel or such broker-dealer
affiliate, as applicable, regarding access
to information concerning the
composition and/or changes to the
portfolio, and will be subject to
procedures designed to prevent the use
and dissemination of material nonpublic information regarding such
portfolio.
The Exchange also notes that the
Adviser is a BZX Affiliate as defined in
Rule 14.3(e)(1)(A),4 but the Funds are
not Affiliate Securities, as defined in
Funds and the Shares contained herein are based,
in part, on information in the Registration
Statement. The Commission has not yet issued an
order granting exemptive relief to the Trust under
the Investment Company Act of 1940 (15 U.S.C.
80a–1) applicable to the activities of the Funds, but
the Funds will not be listed on the Exchange until
such an order is issued and any conditions
contained therein are satisfied [sic]
4 As defined in Rule 14.3(e)(1)(A), the term ‘‘BZX
Affiliate’’ means the Exchange and any entity that
directly or indirectly, through one or more
intermediaries, controls, is controlled by, or is
under common control with the Exchange, where
‘‘control’’ means that one entity possesses, directly
or indirectly, voting control of the other entity
either through ownership of capital stock or other
equity securities or through majority representation
on the board of directors or other management body
of such entity.
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Rule 14.11(e)(1)(B),5 and are therefore
not subject to the additional
requirements applicable to Affiliate
Securities because such definition
explicitly excludes Index Fund Shares.
The Funds intend to qualify each year
as a regulated investment company
under Subchapter M of the Internal
Revenue Code of 1986, as amended.
Each Fund’s investment objective is to
track, before fees and expenses, the
performance of its respective Index. The
value of each Index is calculated daily
by Cboe Options utilizing an option
valuation model. The Exchange is
submitting this proposed rule change
because the Indexes for the Funds do
not meet the listing requirements of
Rule 14.11(c)(3) applicable to an index
that consists of equity securities (and
with respect to this underlying index,
an index that consists of options on an
index of U.S. Component Stocks),6
which requires that each component of
an index be a U.S. Component Stock. As
further described below, the Indexes
consist of options on an index of U.S.
Component Stocks. Because the Indexes
consist of options based on an index of
U.S. Component Stocks (the S&P 500
Index) and Rule 14.11(c)(3)(A)(i) applies
only to U.S. Component Stocks (that is,
the rule provides criteria for an index
composed of equity securities and not
for an index that includes options on an
index of equity securities), it does not
meet the criteria set forth in Rule
14.11(c)(3). As such, the Exchange
submits this proposal to list the Shares
on the Exchange.
Cboe Vest S&P 500® Buffer Protect
Index
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Each Index is a rules-based options
index that consists exclusively of
FLexible EXchange Options on the S&P
500 Index (‘‘FLEX Options’’) listed on
Cboe Options.7 The Indexes are
designed to provide exposure to the
large capitalization U.S. equity market
with lower volatility and downside risks
than traditional equity indices, except
in environments of rapid appreciation
in the U.S. equity market over the
course of one year. On a specified day
5 As defined in Rule 14.3(e)(1)(B), the term
‘‘Affiliate Security’’ means any security issued by
a BZX Affiliate or any Exchange-listed option on
any such security, with the exception of Portfolio
Depository Receipts as defined in Rule 14.11(b) and
Index Fund Shares as defined in Rule 14.11(c).
6 As defined in Rule 14.11(c)(1)(D), the term ‘‘U.S.
Component Stock’’ shall mean an equity security
that is registered under Sections 12(b) or 12(g) of
the Act, or an American Depositary receipt, the
underlying equity security of which is registered
under Sections 12(b) or 12(g) of the Act.
7 More information about the Indexes and
methodology is available on the Index Provider’s
Web site at www.cboe.com.
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17:54 Dec 08, 2017
Jkt 244001
of the applicable month for each Index
(the ‘‘Roll Date’’),8 the applicable Index
implements a portfolio of put and call
FLEX Options with expirations on the
next Roll Date that, if held to such Roll
Date, seeks to ‘‘buffer protect’’ against
the first 10% decline in the value of the
S&P 500 Index, while providing
participation up to a maximum capped
gain in the value of the S&P 500 Index
(the ‘‘Capped Level’’). The Capped Level
is calculated as of each Roll Date based
on the prices of the applicable FLEX
Options, such that the value of the
portfolio of FLEX Options that
comprises each Index is equivalent to
the value of a portfolio comprised of the
S&P 500 Index constituents. As of the
2017 Roll Date, the Capped Level for the
January Index was 11%, meaning that
the January Index is designed to provide
participation up to a maximum 11%
gain in the value of the S&P 500 Index
from the 2017 Roll Date to the 2018 Roll
Date, but to not provide any
participation for gains in the S&P 500
Index in excess of 11%.
Each Index is designed to provide the
following outcomes between Roll Dates:
• If the S&P 500 declines more than
10%: The Index declines 10% less than
the S&P 500 Index (e.g., if the S&P 500
Index returns ¥35%, the Index is
designed to return ¥25%);
• If the S&P 500 declines between 0%
and 10%: The Index provides a total
return of zero (0%);
• If the S&P 500 appreciates between
0% and the Capped Level: The Index
appreciates the same amount as the S&P
500 Index; and
• If the S&P 500 appreciates more
than the Capped Level: The Index
appreciates by the amount of the
Capped Level.
Each Index includes a mix of
purchased and written (sold) put and
call FLEX Options structured to achieve
the results described above. Such results
are only applicable for each full 12month period from one Roll Date to the
next Roll Date, and the Index may not
return such results for shorter or longer
periods. The value of each Index is
calculated daily by Cboe Options
utilizing a rules-based options valuation
model.
8 As described above, each of the twelve Indexes
are designed to provide returns over a defined year
long period and, thus, there is an Index associated
with each month. As such, the Roll Date for a
specific Index is dependent on the monthly series
for which the index is associated. For example, the
Roll Date for the Cboe® S&P 500® Buffer Protect
Index January Series is in January and the Roll date
for the Cboe® S&P 500® Buffer Protect Index
February Series is in February, a pattern which
continues through the rest of the calendar year.
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Fund Holdings
Under Normal Market Conditions,9
each Fund will seek to track the total
return performance, before fees and
expenses, of its respective Index. Under
Normal Market Conditions, each Fund
will invest all, or substantially all, of its
assets in the FLEX Options that make up
each respective underlying Index,
standardized U.S. exchange-listed
options contracts based on the S&P 500
(‘‘S&P 500 Index Options’’), U.S.
exchange-listed options based on one or
more ETFs 10 that track the performance
of the S&P 500 Index and have the same
economic characteristics as the FLEX
Options that make up each Index
(‘‘Comparable ETF Options’’),11 as well
as cash and cash equivalents.12 Under
Normal Market Conditions, at least 80%
of each Fund’s total assets (exclusive of
any collateral held from securities
lending) will be invested in the FLEX
Options that make up the Index. The
Funds will hold only FLEX Options,
standardized exchange-listed options on
the S&P 500 Index, Comparable ETF
Options, and cash and cash equivalents.
The FLEX Options owned by each Fund
will have the same terms (i.e. same
strike price and expiration) for all
investors of that Fund within an
outcome period. The Capped Level is
determined with respect to the
applicable Index on the inception date
9 The term ‘‘Normal Market Conditions’’ includes,
but is not limited to, the absence of trading halts
in the applicable financial markets generally;
operational issues causing dissemination of
inaccurate market information or system failures; or
force majeure type events such as natural or manmade disaster, act of God, armed conflict, act of
terrorism, riot or labor disruption, or any similar
intervening circumstance.
10 For purposes of this proposal, the term ETF
means Portfolio Depositary Receipts and Index
Fund Shares as defined in Rule 14.11(b) and
14.11(c), respectively, and their equivalents on
other national securities exchanges.
11 The term ‘‘Comparable ETF Options’’ will at
any time include only the five ETFs based on the
S&P 500 Index with the greatest options
consolidated average daily exchange trading
volume for the previous quarter.
12 For purposes of this filing, cash equivalents are
short-term instruments with maturities of less than
three months, including: (i) U.S. Government
securities, including bills, notes, and bonds
differing as to maturity and rates of interest, which
are either issued or guaranteed by the U.S. Treasury
or by U.S. Government agencies or
instrumentalities; (ii) certificates of deposit issued
against funds deposited in a bank or savings and
loan association; (iii) bankers acceptances, which
are short-term credit instruments used to finance
commercial transactions; (iv) repurchase
agreements and reverse repurchase agreements; (v)
bank time deposits, which are monies kept on
deposit with banks or savings and loan associations
for a stated period of time at a fixed rate of interest;
(vi) commercial paper, which are short-term
unsecured promissory notes; and (vii) money
market funds.
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of the applicable Fund and at the
beginning of each outcome period.
S&P 500 Index Options
The market for S&P 500 Index
Options traded on Cboe Options,
including FLEX Options, is among the
most liquid markets in the world. FLEX
Options are a subset of S&P 500 Index
options traded on Cboe Options.13 In
2016, 1,023,623 options contracts on the
S&P 500 Index were traded per day on
Cboe Options, which is more than $200
billion in notional volume traded on a
daily basis.14 While FLEX Options are
traded differently than traditional
options contracts, the Exchange believes
that the liquidity and arbitrage
opportunities of the S&P 500 Index
bolsters the market for FLEX Options, as
described below.
Every FLEX Option order submitted
to Cboe Options is exposed to a
competitive auction process for price
discovery. The process begins with a
request for quote (‘‘RFQ’’) in which the
interested party establishes the terms of
the FLEX Options contract. The RFQ
solicits interested market participants,
including on-floor market makers,
remote market makers trading
electronically, and member firm traders,
to respond to the RFQ with bids or
offers through a competitive process.
This solicitation contains all of the
contract specifications-underlying, size,
type of option, expiration date, strike
price, exercise style and settlement
basis. During a specified amount of
time, responses to the RFQ are received
and at the end of that time period, the
initiator can decide whether to accept
the best bid or offer. The process occurs
under the rules of Cboe Options which
means that customer transactions are
effected according to the principles of a
fair and orderly market following
trading procedures and policies
developed by Cboe Options.
Additional Discussion
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The Exchange believes that sufficient
protections are in place to protect
against market manipulation of each
Fund’s Shares and S&P 500 Index
Options and Comparable ETF Options
for several reasons: (i) The diversity,
liquidity, and market cap of the
securities underlying the S&P 500
Index; 15 (ii) the competitive quoting
13 See https://www.theocc.com/webapps/flexreports. Unless otherwise noted, all statistics
provided herein are based on information from the
Options Clearing Corporation (‘‘OCC’’).
14 As of July 24, 2017, FLEX Options had open
interest of 349,596 contracts, which equates to
approximately $86 billion in notional interest.
15 The Exchange notes that the diversity,
liquidity, and market cap of the components of the
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17:54 Dec 08, 2017
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process for FLEX Options; 16 (iii) the
significant liquidity in the market for
options on the S&P 500 Index results in
a well-established price discovery
process that provides meaningful
guideposts for FLEX Option pricing; and
(iv) surveillance by the Exchange, Cboe
Options and the Financial Industry
Regulatory Authority (‘‘FINRA’’)
designed to detect violations of the
federal securities laws and selfregulatory organization (‘‘SRO’’) rules.
Trading in the Shares and the
underlying investments will be subject
to the federal securities laws and
Exchange, Cboe Options, FINRA, and,
with respect to the Comparable ETF
Options, other U.S. options exchanges’
rules and surveillance programs.17
The Exchange has in place a
surveillance program for transactions in
ETFs to ensure the availability of
information necessary to detect and
deter potential manipulations and other
trading abuses, thereby making the
Shares less readily susceptible to
manipulation. Further, the Exchange
believes that because the assets in each
Fund’s portfolio, which are comprised
primarily of FLEX Options on the S&P
500 Index, will be acquired in extremely
liquid and highly regulated markets,18
the Shares are less readily susceptible to
manipulation.
The Exchange believes that its
surveillance procedures are adequate to
properly monitor the trading of the
Shares on the Exchange during all
trading sessions and to deter and detect
violations of Exchange rules and the
applicable federal securities laws.
Trading of the Shares through the
Exchange will be subject to the
S&P 500 Index are such that the S&P 500 Index
would without question meet the generic listing
standards applicable to an index composed of U.S.
Component Stocks in Rule 14.11(c)(3)(A)(i).
16 Intraday quotations and last sale information
for FLEX Options are available directly from Cboe
Options or through the Options Price Reporting
Authority. Additionally, information about existing
outstanding interest in FLEX Options is available
on the OCC’s Web site.
17 The Exchange notes that Cboe Options is a
member of the Option Price Regulatory Surveillance
Authority, which was established in 2006, to
provide efficiencies in looking for insider trading
and serves as a central organization to facilitate
collaboration in insider trading and investigations
for the U.S. options exchanges. For more
information, see https://www.cboe.com/aboutcboe/
legal/departments/orsareg.aspx.
18 All exchange-listed securities that the Funds
may hold will trade on a market that is a member
of the Intermarket Surveillance Group (‘‘ISG’’) and
the Funds will not hold any non-exchange-listed
equities or options, however, not all of the
components of the portfolio for the Funds may
trade on exchanges that are members of the ISG or
with which the Exchange has in place a
comprehensive surveillance sharing agreement. For
a list of the current members of ISG, see
www.isgportal.org.
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58245
Exchange’s surveillance procedures for
derivative products, including Index
Fund Shares. All statements and
representations made in this filing
regarding (a) the description of the
portfolio, reference assets, and Index, (b)
limitations on portfolio holdings or
reference assets, or (c) the applicability
of Exchange rules shall constitute
continued listing requirements for
listing the Shares on the Exchange. The
issuer has represented to the Exchange
that it will advise the Exchange of any
failure by a Fund or Shares to comply
with the continued listing requirements,
and, pursuant to its obligations under
Section 19(g)(1) of the Act, the Exchange
will surveil for compliance with the
continued listing requirements. If a
Fund or Shares are not in compliance
with the applicable listing requirements,
then, with respect to such Fund or
Shares, the Exchange will commence
delisting procedures under Exchange
Rule 14.12. FINRA conducts certain
cross-market surveillances on behalf of
the Exchange pursuant to a regulatory
services agreement. The Exchange is
responsible for FINRA’s performance
under this regulatory services
agreement. If a Fund is not in
compliance with the applicable listing
requirements, the Exchange will
commence delisting procedures with
respect to such Fund under Exchange
Rule 14.12.
The Exchange or FINRA, on behalf of
the Exchange, will communicate as
needed regarding trading in the Shares
and exchange-traded options contracts
with other markets and other entities
that are members of the ISG and may
obtain trading information regarding
trading in the Shares and exchangetraded options contracts from such
markets and other entities. In addition,
the Exchange may obtain information
regarding trading in the Shares and
exchange-traded options contracts from
markets and other entities that are
members of ISG or with which the
Exchange has in place a comprehensive
surveillance sharing agreement. In
addition, the Exchange also has a
general policy prohibiting the
distribution of material, non-public
information by its employees.
As noted above, S&P 500 Index
Options are among the most liquid
options in the world and derive their
value from the actively traded S&P 500
Index components. The contracts are
cash-settled with no delivery of stocks
or ETFs, and trade in competitive
auction markets with price and quote
transparency. The Exchange believes the
highly regulated options markets and
the broad base and scope of the S&P 500
Index make securities that derive their
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value from that index less susceptible to
market manipulation in view of market
capitalization and liquidity of the S&P
500 Index components, price and quote
transparency, and arbitrage
opportunities.
The Exchange believes that the
liquidity of the markets for S&P 500
Index securities, S&P 500 Index
Options, including FLEX Options, and
other related derivatives is sufficiently
great to deter fraudulent or
manipulative acts associated with the
price of a Fund’s Shares. The Exchange
also believes that such efficiency and
liquidity are sufficient to support the
creation and redemption mechanism.
Coupled with the extensive surveillance
programs of the SROs described above,
the Exchange does not believe that
trading in a Fund’s Shares would
present manipulation concerns. Each
Fund’s investments will be consistent
with its investment objective and will
not be used to enhance leverage
(although certain derivatives and other
investments may result in leverage).19
Each Fund’s investments will not be
used to seek performance that is the
multiple or inverse multiple (i.e. 2x or
¥2x) of the Index. Each Fund’s use of
derivative instruments will be
collateralized.
The Exchange represents that, except
as described above, each Fund will meet
each of the initial and continued listing
criteria in BZX Rule 14.11(c)(3) with the
exception of meeting the requirements
of Rule 14.11(c)(3)(A)(i), applicable to
the listing of Index Fund Shares based
upon an index of ‘‘U.S. Component
Stocks.’’ The Trust is required to
comply with Rule 10A–3 under the Act
for the initial and continued listing of
the Shares of the Funds. A minimum of
100,000 Shares will be outstanding at
the commencement of trading on the
Exchange. In addition, the Exchange
represents that the Shares of each Fund
will comply with all other requirements
applicable to Index Fund Shares, which
includes requirements relating to the
dissemination of key information such
as the Index value,20 the Net Asset
19 The Funds will each include appropriate risk
disclosure in its offering documents, including
leveraging risk. Leveraging risk is the risk that
certain transactions of a fund, including a fund’s
use of derivatives, may give rise to leverage, causing
a fund to be more volatile than if it had not been
leveraged. To mitigate leveraging risk, the Adviser
will segregate or earmark liquid assets or otherwise
cover the transactions that give rise to such risk. See
15 U.S.C. 80a–18; Investment Company Act Release
No. 10666 (April 18, 1979), 44 FR 25128 (April 27,
1979); Dreyfus Strategic Investing, Commission NoAction Letter (June 22, 1987); Merrill Lynch Asset
Management, L.P., Commission No-Action Letter
(July 2, 1996).
20 Rule 14.11(c)(3)(B)(ii) requires that the index
value must be disseminated by one or more major
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17:54 Dec 08, 2017
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Value, and the Intraday Indicative
Value, rules governing the trading of
equity securities, trading hours, trading
halts, firewalls for the Index Provider
and Adviser, surveillance, and the
information circular, as set forth in
Exchange rules applicable to Index
Fund Shares and the orders approving
such rules.
Quotation and last sale information
for U.S. exchange-listed options
contracts cleared by The Options
Clearing Corporation will be available
via the Options Price Reporting
Authority. RFQ information for FLEX
Options will be available directly from
Cboe Options. The intra-day, closing
and settlement prices of exchangetraded options will be readily available
from the options exchanges, automated
quotation systems, published or other
public sources, or online information
services such as Bloomberg or Reuters.
Price information on Treasury bills and
other cash equivalents is available from
major broker-dealer firms or market data
vendors, as well as from automated
quotation systems, published or other
public sources, or online information
services. On each business day, before
commencement of trading in the Shares
on the Exchange during Regular Trading
Hours, the portfolio that will form the
basis for each Fund’s calculation of
NAV at the end of the business day will
be provided on the Advisor’s Web site
at www.cboevest.com.
2. Statutory Basis
The Exchange believes that the
proposal is consistent with Section 6(b)
of the Act 21 in general and Section
6(b)(5) of the Act 22 in particular in that
it is designed to prevent fraudulent and
manipulative acts and practices, to
promote just and equitable principles of
trade, to foster cooperation and
coordination with persons engaged in
facilitating transactions in securities, to
remove impediments to and perfect the
mechanism of a free and open market
and a national market system and, in
general, to protect investors and the
public interest.
The Exchange believes that the
proposed rule change is designed to
prevent fraudulent and manipulative
market data vendors at least once every 15 seconds
during regular market session, provided however,
that if the index value does not change during some
or all of the period when trading is occurring on
the Exchange, then the last official calculated index
value must remain available throughout the
Exchange’s trading hours. The value of the Indexes
will not change during the period when trading is
occurring on the Exchange and the last official
calculated index value will remain available
throughout the Exchange’s trading hours.
21 15 U.S.C. 78f.
22 15 U.S.C. 78f(b)(5).
PO 00000
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Fmt 4703
Sfmt 4703
acts and practices, to promote just and
equitable principles of trade, to foster
cooperation and coordination with
persons engaged in facilitating
transactions in securities, to remove
impediments to and perfect the
mechanism of a free and open market
and a national market system and, in
general, to protect investors and the
public interest in that the Shares of the
Funds will meet each of the initial and
continued listing criteria required by
BZX Rule 14.11(c)(3), which includes
the listing requirements for an index
that is composed of equity securities,
except that the Indexes consist of
options on an index of U.S. Component
Stocks and Rule 14.11(c)(3)(A)(i) applies
only to U.S. Component Stocks (that is,
the rule provides criteria for an index
composed of equity securities and not
for an index that is composed of options
on an index of equity securities), the
Indexes do not meet the criteria set forth
in Rule 14.11(c)(3).23 The Exchange
believes that the concerns that Rule
14.11(c)(3)(A)(i) are intended to address
are mitigated by: (i) The diversity,
liquidity, and market cap of the
securities underlying the S&P 500
Index; 24 (ii) the competitive quoting
process for and availability of
information related to FLEX Options; 25
(iii) the significant liquidity in the
market for options on the S&P 500 Index
results in a well-established price
discovery process that provides
meaningful guideposts for FLEX Option
pricing; and (iv) surveillance by the
Exchange, Cboe Options and FINRA
designed to detect violations of the
federal securities laws and SRO rules.
The Exchange has in place a
surveillance program for transactions in
23 Rule 14.11(c)(3)(A)(i)(e) provides that all
securities in the applicable index or portfolio shall
be U.S. Component Stocks listed on a national
securities exchange and shall be NMS Stocks as
defined in Rule 600 under Regulation NMS of the
Act. Each component stock of the S&P 500 Index
is a U.S. Component Stock that is listed on a
national securities exchange and is an NMS Stock.
Options are excluded from the definition of NMS
Stock. The Funds and the Indexes meet all of the
requirements of the listing standards for Index Fund
Shares in Rule 14.11(c)(3), except the requirements
in Rule 14.11(c)(3)(A)(i)(a)–(e), as the Index consists
of options on the S&P 500 Index. The S&P 500
Index consists of U.S. Component Stocks and
satisfies the requirements of Rule
14.11(c)(3)(A)(i)(a)–(e).
24 The Exchange notes that the diversity,
liquidity, and market cap of the components of the
S&P 500 Index are such that the S&P 500 Index
would without question meet the generic listing
standards applicable to an index composed of U.S.
Component Stocks in Rule 14.11(c)(3)(A)(i).
25 Intraday quotations and last sale information
for FLEX Options are available directly from Cboe
Options or through the Options Price Reporting
Authority. Additionally, information about existing
outstanding interest in FLEX Options is available
on the OCC’s Web site.
E:\FR\FM\11DEN1.SGM
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Federal Register / Vol. 82, No. 236 / Monday, December 11, 2017 / Notices
ETFs to ensure the availability of
information necessary to detect and
deter potential manipulations and other
trading abuses, thereby making the
Shares less readily susceptible to
manipulation. Further, the Exchange
believes that because the assets in each
Fund’s portfolio, which are comprised
primarily of FLEX Options, will be
acquired in extremely liquid and highly
regulated markets, the Shares are less
readily susceptible to manipulation.
The Exchange believes that its
surveillance procedures are adequate to
properly monitor the trading of the
Shares on the Exchange during all
trading sessions and to deter and detect
violations of Exchange rules and the
applicable federal securities laws.
Trading of the Shares through the
Exchange will be subject to the
Exchange’s surveillance procedures for
derivative products, including Index
Fund Shares. All statements and
representations made in this filing
regarding (a) the description of the
portfolio, reference assets, and Index, (b)
limitations on portfolio holdings or
reference assets, or (c) the applicability
of Exchange rules shall constitute
continued listing requirements for
listing the Shares on the Exchange. The
issuer has represented to the Exchange
that it will advise the Exchange of any
failure by a Fund or Shares to comply
with the continued listing requirements,
and, pursuant to its obligations under
Section 19(g)(1) of the Act, the Exchange
will surveil for compliance with the
continued listing requirements. If a
Fund or Shares are not in compliance
with the applicable listing requirements,
then, with respect to such Fund or
Shares, the Exchange will commence
delisting procedures under Exchange
Rule 14.12. FINRA conducts certain
cross-market surveillances on behalf of
the Exchange pursuant to a regulatory
services agreement. The Exchange is
responsible for FINRA’s performance
under this regulatory services
agreement. If a Fund is not in
compliance with the applicable listing
requirements, the Exchange will
commence delisting procedures with
respect to such Fund under Exchange
Rule 14.12.
The Exchange or FINRA, on behalf of
the Exchange, will communicate as
needed regarding trading in the Shares
and exchange-traded options contracts
with other markets and other entities
that are members of the ISG and may
obtain trading information regarding
trading in the Shares and exchangetraded options contracts from such
markets and other entities. In addition,
the Exchange may obtain information
regarding trading in the Shares and
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17:54 Dec 08, 2017
Jkt 244001
exchange-traded options contracts from
markets and other entities that are
members of ISG or with which the
Exchange has in place a comprehensive
surveillance sharing agreement. In
addition, the Exchange also has a
general policy prohibiting the
distribution of material, non-public
information by its employees.
As noted above, S&P 500 Index
Options are among the most liquid
options in the world and derive their
value from the actively traded S&P 500
Index components. The contracts are
cash-settled with no delivery of stocks
or ETFs, and trade in competitive
auction markets with price and quote
transparency. The Exchange believes the
highly regulated options markets and
the broad base and scope of the S&P 500
Index make securities that derive their
value from that index less susceptible to
market manipulation in view of market
capitalization and liquidity of the S&P
500 Index components, price and quote
transparency, and arbitrage
opportunities.
The Exchange believes that the
liquidity of the markets for S&P 500
Index securities, S&P 500 Index
Options, and other related derivatives is
sufficiently great to deter fraudulent or
manipulative acts associated with the
price of the Shares. The Exchange also
believes that such efficiency and
liquidity are sufficient to support the
creation and redemption mechanism.
Coupled with the extensive surveillance
programs of the SROs described above,
the Exchange does not believe that
trading in the Shares would present
manipulation concerns.
The Exchange represents that, except
as it relates to the options portion of the
Indexes described above, the Funds will
meet and be subject to all other
requirements of Rule 14.11(c)(3) related
to generic listing standards of the
Indexes and other applicable
requirements for such a series of Index
Fund Shares under Rule 14.11(c) on an
initial and continued listing basis,
including those requirements regarding
the dissemination of key information
such as the Index Value, Net Asset
Value, and the Intraday Indicative
Value, rules governing the trading of
equity securities, trading hours, trading
halts, surveillance, and the information
circular, as set forth in Exchange rules
applicable to Index Fund Shares and the
orders approving such rules. The Trust
is required to comply with Rule 10A–3
under the Act for the initial and
continued listing of the Shares of the
Funds. Moreover, all of the options
contracts held by the Funds will trade
on markets that are a member of ISG or
affiliated with a member of ISG or with
PO 00000
Frm 00081
Fmt 4703
Sfmt 4703
58247
which the Exchange has in place a
comprehensive surveillance sharing
agreement.
For the above reasons, the Exchange
believes that the proposed rule change
is consistent with the requirements of
Section 6(b)(5) of the Act.
(B) Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purpose of the Act. The Exchange
notes that the proposed rule change will
facilitate the listing and trading of an
additional type of Index Fund Shares
that will enhance competition among
market participants, to the benefit of
investors and the marketplace.
(C) Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants or Others
The Exchange has neither solicited
nor received written comments on the
proposed rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of
publication of this notice in the Federal
Register or within such longer period
up to 90 days (i) as the Commission may
designate if it finds such longer period
to be appropriate and publishes its
reasons for so finding or (ii) as to which
the self-regulatory organization
consents, the Commission will:
(A) By order approve or disapprove
the proposed rule change, or
(B) institute proceedings to determine
whether the proposed rule change
should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views and
arguments concerning the foregoing,
including whether the proposal 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 No. SR–
CboeBZX–2017–005 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street NE.,
Washington, DC 20549–1090.
E:\FR\FM\11DEN1.SGM
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Federal Register / Vol. 82, No. 236 / Monday, December 11, 2017 / Notices
All submissions should refer to File No.
SR–CboeBZX–2017–005. 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 such
filing will also be available for
inspection and copying at the principal
office of the Exchange. All comments
received will be posted without change.
Persons submitting comments are
cautioned that we do not redact or edit
personal identifying information from
comment submissions. You should
submit only information that you wish
to make available publicly. All
submissions should refer to File No.
SR–CboeBZX–2017–005 and should be
submitted on or before January 2, 2018.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.26
Eduardo A. Aleman,
Assistant Secretary.
health in Madagascar and, if the
outbreak spreads beyond Madagascar, in
any newly affected countries.
FOR FURTHER INFORMATION CONTACT:
Allison S. Bybee, U.S. Department of
State, 2201 C Street NW., Washington,
DC 20520, (202) 647–3058,
BybeeAS@state.gov.
SUPPLEMENTARY INFORMATION: Section
7058(c)(1) of the Department of State,
Foreign Operations, and Related
Programs Appropriations Act, 2017
(Div. J, Pub. L. 115–31) provides that:
Of the funds appropriated by this Act
under the heading ‘‘Global Health Programs’’,
$70,000,000 shall be made available for an
Emergency Reserve Fund to address
emerging health threats, and shall remain
available until expended: Provided, That
such funds shall be in addition to funds
otherwise available for such purposes, and
may be transferred to, and merged with,
funds appropriated by this Act under the
heading ‘‘International Disaster Assistance’’
for the purposes of this paragraph: Provided
further, That such funds may only be made
available if the Secretary of State determines
and reports to the Committees on
Appropriations that it is in the national
interest to respond to an emerging health
threat that poses severe threats to human
health.
Exercising this authority allows funds
made available in the Emergency
Reserve Fund to be used to respond to
the ongoing outbreak of plague in
Madagascar, and in newly affected
countries, if the outbreak spreads
beyond Madagascar.
Jonathan A. Margolis,
Senior Bureau Official, Bureau of Oceans and
International Environmental and Scientific
Affairs.
[FR Doc. 2017–26601 Filed 12–8–17; 8:45 am]
BILLING CODE 8011–01–P
OFFICE OF THE UNITED STATES
TRADE REPRESENTATIVE
DEPARTMENT OF STATE
[Public Notice: 10229]
Procurement Thresholds for
Implementation of the Trade
Agreements Act of 1979
Determination of Use of Emergency
Reserve Fund
AGENCY:
Pursuant to section 7058(c)(1)
of the Department of State, Foreign
Operations, and Related Appropriations
Act, 2015 (Div. J, Pub. L. 115–31), notice
is hereby given that, on October 30,
2017, Secretary of State Rex Tillerson
determined that it is in the national
interest to make up to $5.5 million
available from the Emergency Reserve
Fund to respond to an emerging health
threat that poses severe risks to human
daltland on DSKBBV9HB2PROD with NOTICES
26 17
CFR 200.30–3(a)(12).
VerDate Sep<11>2014
17:54 Dec 08, 2017
Jkt 244001
Office of the United States
Trade Representative.
ACTION: Notice.
The United States Trade
Representative has determined the U.S.
dollar procurement thresholds to
implement certain U.S. trade agreement
obligations, as of January 1, 2018, for
calendar years 2018 and 2019.
DATES: This notice is applicable on
January 1, 2018, for calendar years 2018
and 2019.
FOR FURTHER INFORMATION CONTACT:
Scott Pietan, Director of International
SUMMARY:
PO 00000
Frm 00082
Fmt 4703
I. World Trade Organization (WTO)
Agreement on Government
Procurement
A. Central Government Entities listed
in U.S. Annex 1:
(1) Procurement of goods and
services—$180,000; and
(2) Procurement of construction
services—$6,932,000.
B. Sub-Central Government Entities
listed in U.S. Annex 2:
(1) Procurement of goods and
services—$492,000; and
(2) Procurement of construction
services—$6,932,000.
C. Other Entities listed in U.S.
Annex 3:
(1) Procurement of goods and
services—$555,000; and
(2) Procurement of construction
services—$6,932,000.
II. Chapter 15 of the United StatesAustralia Free Trade Agreement
BILLING CODE 4710–09–P
[FR Doc. 2017–26558 Filed 12–8–17; 8:45 am]
SUMMARY:
Procurement Policy, at (202) 395–9646
or scott_pietan@ustr.eop.gov.
SUPPLEMENTARY INFORMATION: Executive
Order 12260 requires the United States
Trade Representative to set the U.S.
dollar procurement thresholds for
application of Title III of the Trade
Agreements Act of 1979, as amended
(19 U.S.C. 2511 et seq.). These
obligations apply to covered
procurements valued at or above
specified U.S. dollar thresholds.
In conformity with the provisions of
Executive Order 12260, and in order to
carry out U.S. trade agreement
obligations, United States Trade
Representative Robert E. Lighthizer has
determined the U.S. dollar procurement
thresholds, effective on January 1, 2018,
for calendar years 2018 and 2019 as
follows:
Sfmt 4703
A. Central Government Entities listed
in the U.S. Schedule to Annex 15–A,
Section 1:
(1) Procurement of goods and
services—$80,317; and
(2) Procurement of construction
services—$6,932,000.
B. Sub-Central Government Entities
listed in the U.S. Schedule to Annex 15–
A, Section 2:
(1) Procurement of goods and
services—$492,000; and
(2) Procurement of construction
services—$6,932,000.
C. Other Entities listed in the U.S.
Schedule to Annex 15–A, Section 3:
(1) Procurement of goods and services
for List A Entities—$401,584;
(2) Procurement of goods and services
for List B Entities—$555,000;
(3) Procurement of construction
services—$6,932,000.
E:\FR\FM\11DEN1.SGM
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]]>Agencies
[Federal Register Volume 82, Number 236 (Monday, December 11, 2017)]
[Notices]
[Pages 58243-58248]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-26558]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-82217; File No. SR-CboeBZX-2017-005]
Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of
Filing of a Proposed Rule Change To List and Trade Shares of a Series
of the Cboe Vest S&P 500 Buffer Protect Strategy ETF Under the ETF
Series Solutions Trust, Under Rule 14.11(c)(3), Index Fund Shares
December 5, 2017.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on November 21, 2017, Cboe BZX Exchange, Inc. (the ``Exchange'' or
``BZX'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I and
II below, which Items have been prepared by the Exchange. The
Commission is publishing this notice 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
The Exchange filed a proposal to list and trade shares of a series
of the Cboe Vest S&P 500[supreg] Buffer Protect Strategy ETF under the
ETF Series Solutions Trust (the ``Trust''), under Rule 14.11(c)(3)
(``Index Fund Shares'').
The text of the proposed rule change is available at the Exchange's
Web site at www.markets.cboe.com, at the principal office of the
Exchange, and at the Commission's Public Reference Room.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the Exchange included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
Sections A, B, and C below, of the most significant parts of such
statements.
(A) Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to list and trade shares (``Shares'') of each
series of the Cboe Vest S&P 500[supreg] Buffer Protect Strategy ETF
(each a ``Fund'' and, collectively, the ``Funds'') under Rule
14.11(c)(3), which governs the listing and trading of Index Fund Shares
based on equity securities indexes on the Exchange. In total, the
Exchange is proposing to list and trade Shares of twelve monthly series
of the Cboe Vest S&P 500[supreg] Buffer Protect Strategy ETF. Each Fund
will be an index-based exchange traded fund (``ETF''). The Funds will
include the following: Cboe Vest S&P 500[supreg] Buffer Protect
Strategy (January) ETF; Cboe Vest S&P 500[supreg] Buffer Protect
Strategy (February) ETF; Cboe Vest S&P 500[supreg] Buffer Protect
Strategy (March) ETF; Cboe Vest S&P 500[supreg] Buffer Protect Strategy
(April) ETF; Cboe Vest S&P 500[supreg] Buffer Protect Strategy (May)
ETF; Cboe Vest S&P 500[supreg] Buffer Protect Strategy (June) ETF; Cboe
Vest S&P 500[supreg] Buffer Protect Strategy (July) ETF; Cboe Vest S&P
500[supreg] Buffer Protect Strategy (August) ETF; Cboe Vest S&P
500[supreg] Buffer Protect Strategy (September) ETF; Cboe Vest S&P
500[supreg] Buffer Protect Strategy (October) ETF; Cboe Vest S&P
500[supreg] Buffer Protect Strategy (November) ETF; and Cboe Vest S&P
500[supreg] Buffer Protect Strategy (December) ETF. Each Fund will be
based on the Cboe S&P 500 Buffer Protect Index (Month) Series, where
``Month'' is the corresponding month associated with the roll date of
the applicable Fund (each an ``Index'' and, collectively, the
``Indexes'').
The Shares will be offered by the Trust, which was established as a
Delaware statutory trust on February 9, 2012. The Trust is registered
with the Commission as an open-end investment company and has filed a
registration statement on behalf of the Funds on Form N-1A
(``Registration Statement'') with the Commission.\3\ The Funds'
adviser, Cboe Vest Financial, LLC (the ``Adviser''), and index
provider, Cboe Exchange, Inc. (``Cboe Options'' or the ``Index
Provider''), are not registered as broker-dealers, but are affiliated
with a broker-dealer. The Index Provider has implemented and will
maintain a ``fire wall'' with respect to such broker-dealer and its
personnel regarding access to information concerning the composition
and/or changes to the Indexes. In addition, Index Provider personnel
who make decisions regarding the Index composition or methodology are
subject to procedures designed to prevent the use and dissemination of
material nonpublic information regarding the Index, pursuant to Rule
14.11(c)(3)(B)(iii). The Adviser has also implemented and will maintain
a ``fire wall'' with respect to such broker-dealer and its personnel
regarding access to information concerning the composition and/or
changes to the portfolio. In addition, Adviser personnel who make
decisions regarding a Fund's portfolio are subject to procedures
designed to prevent the use and dissemination of material nonpublic
information regarding a Fund's portfolio. In the event that (a) the
Adviser becomes registered as a broker-dealer or newly affiliated with
another broker-dealer; or (b) any new adviser or sub-adviser is a
registered broker-dealer or becomes affiliated with a broker-dealer; it
will implement a fire wall with respect to its relevant personnel or
such broker-dealer affiliate, as applicable, regarding access to
information concerning the composition and/or changes to the portfolio,
and will be subject to procedures designed to prevent the use and
dissemination of material non-public information regarding such
portfolio.
---------------------------------------------------------------------------
\3\ See Registration Statement on Form N-1A for the Trust, dated
October 24, 2017 (File Nos. 333-179562 and 811-22668). The
descriptions of the Funds and the Shares contained herein are based,
in part, on information in the Registration Statement. The
Commission has not yet issued an order granting exemptive relief to
the Trust under the Investment Company Act of 1940 (15 U.S.C. 80a-1)
applicable to the activities of the Funds, but the Funds will not be
listed on the Exchange until such an order is issued and any
conditions contained therein are satisfied [sic]
---------------------------------------------------------------------------
The Exchange also notes that the Adviser is a BZX Affiliate as
defined in Rule 14.3(e)(1)(A),\4\ but the Funds are not Affiliate
Securities, as defined in
[[Page 58244]]
Rule 14.11(e)(1)(B),\5\ and are therefore not subject to the additional
requirements applicable to Affiliate Securities because such definition
explicitly excludes Index Fund Shares. The Funds intend to qualify each
year as a regulated investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended.
---------------------------------------------------------------------------
\4\ As defined in Rule 14.3(e)(1)(A), the term ``BZX Affiliate''
means the Exchange and any entity that directly or indirectly,
through one or more intermediaries, controls, is controlled by, or
is under common control with the Exchange, where ``control'' means
that one entity possesses, directly or indirectly, voting control of
the other entity either through ownership of capital stock or other
equity securities or through majority representation on the board of
directors or other management body of such entity.
\5\ As defined in Rule 14.3(e)(1)(B), the term ``Affiliate
Security'' means any security issued by a BZX Affiliate or any
Exchange-listed option on any such security, with the exception of
Portfolio Depository Receipts as defined in Rule 14.11(b) and Index
Fund Shares as defined in Rule 14.11(c).
---------------------------------------------------------------------------
Each Fund's investment objective is to track, before fees and
expenses, the performance of its respective Index. The value of each
Index is calculated daily by Cboe Options utilizing an option valuation
model. The Exchange is submitting this proposed rule change because the
Indexes for the Funds do not meet the listing requirements of Rule
14.11(c)(3) applicable to an index that consists of equity securities
(and with respect to this underlying index, an index that consists of
options on an index of U.S. Component Stocks),\6\ which requires that
each component of an index be a U.S. Component Stock. As further
described below, the Indexes consist of options on an index of U.S.
Component Stocks. Because the Indexes consist of options based on an
index of U.S. Component Stocks (the S&P 500 Index) and Rule
14.11(c)(3)(A)(i) applies only to U.S. Component Stocks (that is, the
rule provides criteria for an index composed of equity securities and
not for an index that includes options on an index of equity
securities), it does not meet the criteria set forth in Rule
14.11(c)(3). As such, the Exchange submits this proposal to list the
Shares on the Exchange.
---------------------------------------------------------------------------
\6\ As defined in Rule 14.11(c)(1)(D), the term ``U.S. Component
Stock'' shall mean an equity security that is registered under
Sections 12(b) or 12(g) of the Act, or an American Depositary
receipt, the underlying equity security of which is registered under
Sections 12(b) or 12(g) of the Act.
---------------------------------------------------------------------------
Cboe Vest S&P 500[supreg] Buffer Protect Index
Each Index is a rules-based options index that consists exclusively
of FLexible EXchange Options on the S&P 500 Index (``FLEX Options'')
listed on Cboe Options.\7\ The Indexes are designed to provide exposure
to the large capitalization U.S. equity market with lower volatility
and downside risks than traditional equity indices, except in
environments of rapid appreciation in the U.S. equity market over the
course of one year. On a specified day of the applicable month for each
Index (the ``Roll Date''),\8\ the applicable Index implements a
portfolio of put and call FLEX Options with expirations on the next
Roll Date that, if held to such Roll Date, seeks to ``buffer protect''
against the first 10% decline in the value of the S&P 500 Index, while
providing participation up to a maximum capped gain in the value of the
S&P 500 Index (the ``Capped Level''). The Capped Level is calculated as
of each Roll Date based on the prices of the applicable FLEX Options,
such that the value of the portfolio of FLEX Options that comprises
each Index is equivalent to the value of a portfolio comprised of the
S&P 500 Index constituents. As of the 2017 Roll Date, the Capped Level
for the January Index was 11%, meaning that the January Index is
designed to provide participation up to a maximum 11% gain in the value
of the S&P 500 Index from the 2017 Roll Date to the 2018 Roll Date, but
to not provide any participation for gains in the S&P 500 Index in
excess of 11%.
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\7\ More information about the Indexes and methodology is
available on the Index Provider's Web site at www.cboe.com.
\8\ As described above, each of the twelve Indexes are designed
to provide returns over a defined year long period and, thus, there
is an Index associated with each month. As such, the Roll Date for a
specific Index is dependent on the monthly series for which the
index is associated. For example, the Roll Date for the Cboe[supreg]
S&P 500[supreg] Buffer Protect Index January Series is in January
and the Roll date for the Cboe[supreg] S&P 500[supreg] Buffer
Protect Index February Series is in February, a pattern which
continues through the rest of the calendar year.
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Each Index is designed to provide the following outcomes between
Roll Dates:
If the S&P 500 declines more than 10%: The Index declines
10% less than the S&P 500 Index (e.g., if the S&P 500 Index returns -
35%, the Index is designed to return -25%);
If the S&P 500 declines between 0% and 10%: The Index
provides a total return of zero (0%);
If the S&P 500 appreciates between 0% and the Capped
Level: The Index appreciates the same amount as the S&P 500 Index; and
If the S&P 500 appreciates more than the Capped Level: The
Index appreciates by the amount of the Capped Level.
Each Index includes a mix of purchased and written (sold) put and
call FLEX Options structured to achieve the results described above.
Such results are only applicable for each full 12-month period from one
Roll Date to the next Roll Date, and the Index may not return such
results for shorter or longer periods. The value of each Index is
calculated daily by Cboe Options utilizing a rules-based options
valuation model.
Fund Holdings
Under Normal Market Conditions,\9\ each Fund will seek to track the
total return performance, before fees and expenses, of its respective
Index. Under Normal Market Conditions, each Fund will invest all, or
substantially all, of its assets in the FLEX Options that make up each
respective underlying Index, standardized U.S. exchange-listed options
contracts based on the S&P 500 (``S&P 500 Index Options''), U.S.
exchange-listed options based on one or more ETFs \10\ that track the
performance of the S&P 500 Index and have the same economic
characteristics as the FLEX Options that make up each Index
(``Comparable ETF Options''),\11\ as well as cash and cash
equivalents.\12\ Under Normal Market Conditions, at least 80% of each
Fund's total assets (exclusive of any collateral held from securities
lending) will be invested in the FLEX Options that make up the Index.
The Funds will hold only FLEX Options, standardized exchange-listed
options on the S&P 500 Index, Comparable ETF Options, and cash and cash
equivalents. The FLEX Options owned by each Fund will have the same
terms (i.e. same strike price and expiration) for all investors of that
Fund within an outcome period. The Capped Level is determined with
respect to the applicable Index on the inception date
[[Page 58245]]
of the applicable Fund and at the beginning of each outcome period.
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\9\ The term ``Normal Market Conditions'' includes, but is not
limited to, the absence of trading halts in the applicable financial
markets generally; operational issues causing dissemination of
inaccurate market information or system failures; or force majeure
type events such as natural or man-made disaster, act of God, armed
conflict, act of terrorism, riot or labor disruption, or any similar
intervening circumstance.
\10\ For purposes of this proposal, the term ETF means Portfolio
Depositary Receipts and Index Fund Shares as defined in Rule
14.11(b) and 14.11(c), respectively, and their equivalents on other
national securities exchanges.
\11\ The term ``Comparable ETF Options'' will at any time
include only the five ETFs based on the S&P 500 Index with the
greatest options consolidated average daily exchange trading volume
for the previous quarter.
\12\ For purposes of this filing, cash equivalents are short-
term instruments with maturities of less than three months,
including: (i) U.S. Government securities, including bills, notes,
and bonds differing as to maturity and rates of interest, which are
either issued or guaranteed by the U.S. Treasury or by U.S.
Government agencies or instrumentalities; (ii) certificates of
deposit issued against funds deposited in a bank or savings and loan
association; (iii) bankers acceptances, which are short-term credit
instruments used to finance commercial transactions; (iv) repurchase
agreements and reverse repurchase agreements; (v) bank time
deposits, which are monies kept on deposit with banks or savings and
loan associations for a stated period of time at a fixed rate of
interest; (vi) commercial paper, which are short-term unsecured
promissory notes; and (vii) money market funds.
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S&P 500 Index Options
The market for S&P 500 Index Options traded on Cboe Options,
including FLEX Options, is among the most liquid markets in the world.
FLEX Options are a subset of S&P 500 Index options traded on Cboe
Options.\13\ In 2016, 1,023,623 options contracts on the S&P 500 Index
were traded per day on Cboe Options, which is more than $200 billion in
notional volume traded on a daily basis.\14\ While FLEX Options are
traded differently than traditional options contracts, the Exchange
believes that the liquidity and arbitrage opportunities of the S&P 500
Index bolsters the market for FLEX Options, as described below.
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\13\ See https://www.theocc.com/webapps/flex-reports. Unless
otherwise noted, all statistics provided herein are based on
information from the Options Clearing Corporation (``OCC'').
\14\ As of July 24, 2017, FLEX Options had open interest of
349,596 contracts, which equates to approximately $86 billion in
notional interest.
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Every FLEX Option order submitted to Cboe Options is exposed to a
competitive auction process for price discovery. The process begins
with a request for quote (``RFQ'') in which the interested party
establishes the terms of the FLEX Options contract. The RFQ solicits
interested market participants, including on-floor market makers,
remote market makers trading electronically, and member firm traders,
to respond to the RFQ with bids or offers through a competitive
process. This solicitation contains all of the contract specifications-
underlying, size, type of option, expiration date, strike price,
exercise style and settlement basis. During a specified amount of time,
responses to the RFQ are received and at the end of that time period,
the initiator can decide whether to accept the best bid or offer. The
process occurs under the rules of Cboe Options which means that
customer transactions are effected according to the principles of a
fair and orderly market following trading procedures and policies
developed by Cboe Options.
Additional Discussion
The Exchange believes that sufficient protections are in place to
protect against market manipulation of each Fund's Shares and S&P 500
Index Options and Comparable ETF Options for several reasons: (i) The
diversity, liquidity, and market cap of the securities underlying the
S&P 500 Index; \15\ (ii) the competitive quoting process for FLEX
Options; \16\ (iii) the significant liquidity in the market for options
on the S&P 500 Index results in a well-established price discovery
process that provides meaningful guideposts for FLEX Option pricing;
and (iv) surveillance by the Exchange, Cboe Options and the Financial
Industry Regulatory Authority (``FINRA'') designed to detect violations
of the federal securities laws and self-regulatory organization
(``SRO'') rules.
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\15\ The Exchange notes that the diversity, liquidity, and
market cap of the components of the S&P 500 Index are such that the
S&P 500 Index would without question meet the generic listing
standards applicable to an index composed of U.S. Component Stocks
in Rule 14.11(c)(3)(A)(i).
\16\ Intraday quotations and last sale information for FLEX
Options are available directly from Cboe Options or through the
Options Price Reporting Authority. Additionally, information about
existing outstanding interest in FLEX Options is available on the
OCC's Web site.
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Trading in the Shares and the underlying investments will be
subject to the federal securities laws and Exchange, Cboe Options,
FINRA, and, with respect to the Comparable ETF Options, other U.S.
options exchanges' rules and surveillance programs.\17\
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\17\ The Exchange notes that Cboe Options is a member of the
Option Price Regulatory Surveillance Authority, which was
established in 2006, to provide efficiencies in looking for insider
trading and serves as a central organization to facilitate
collaboration in insider trading and investigations for the U.S.
options exchanges. For more information, see https://www.cboe.com/aboutcboe/legal/departments/orsareg.aspx.
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The Exchange has in place a surveillance program for transactions
in ETFs to ensure the availability of information necessary to detect
and deter potential manipulations and other trading abuses, thereby
making the Shares less readily susceptible to manipulation. Further,
the Exchange believes that because the assets in each Fund's portfolio,
which are comprised primarily of FLEX Options on the S&P 500 Index,
will be acquired in extremely liquid and highly regulated markets,\18\
the Shares are less readily susceptible to manipulation.
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\18\ All exchange-listed securities that the Funds may hold will
trade on a market that is a member of the Intermarket Surveillance
Group (``ISG'') and the Funds will not hold any non-exchange-listed
equities or options, however, not all of the components of the
portfolio for the Funds may trade on exchanges that are members of
the ISG or with which the Exchange has in place a comprehensive
surveillance sharing agreement. For a list of the current members of
ISG, see www.isgportal.org.
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The Exchange believes that its surveillance procedures are adequate
to properly monitor the trading of the Shares on the Exchange during
all trading sessions and to deter and detect violations of Exchange
rules and the applicable federal securities laws. Trading of the Shares
through the Exchange will be subject to the Exchange's surveillance
procedures for derivative products, including Index Fund Shares. All
statements and representations made in this filing regarding (a) the
description of the portfolio, reference assets, and Index, (b)
limitations on portfolio holdings or reference assets, or (c) the
applicability of Exchange rules shall constitute continued listing
requirements for listing the Shares on the Exchange. The issuer has
represented to the Exchange that it will advise the Exchange of any
failure by a Fund or Shares to comply with the continued listing
requirements, and, pursuant to its obligations under Section 19(g)(1)
of the Act, the Exchange will surveil for compliance with the continued
listing requirements. If a Fund or Shares are not in compliance with
the applicable listing requirements, then, with respect to such Fund or
Shares, the Exchange will commence delisting procedures under Exchange
Rule 14.12. FINRA conducts certain cross-market surveillances on behalf
of the Exchange pursuant to a regulatory services agreement. The
Exchange is responsible for FINRA's performance under this regulatory
services agreement. If a Fund is not in compliance with the applicable
listing requirements, the Exchange will commence delisting procedures
with respect to such Fund under Exchange Rule 14.12.
The Exchange or FINRA, on behalf of the Exchange, will communicate
as needed regarding trading in the Shares and exchange-traded options
contracts with other markets and other entities that are members of the
ISG and may obtain trading information regarding trading in the Shares
and exchange-traded options contracts from such markets and other
entities. In addition, the Exchange may obtain information regarding
trading in the Shares and exchange-traded options contracts from
markets and other entities that are members of ISG or with which the
Exchange has in place a comprehensive surveillance sharing agreement.
In addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
As noted above, S&P 500 Index Options are among the most liquid
options in the world and derive their value from the actively traded
S&P 500 Index components. The contracts are cash-settled with no
delivery of stocks or ETFs, and trade in competitive auction markets
with price and quote transparency. The Exchange believes the highly
regulated options markets and the broad base and scope of the S&P 500
Index make securities that derive their
[[Page 58246]]
value from that index less susceptible to market manipulation in view
of market capitalization and liquidity of the S&P 500 Index components,
price and quote transparency, and arbitrage opportunities.
The Exchange believes that the liquidity of the markets for S&P 500
Index securities, S&P 500 Index Options, including FLEX Options, and
other related derivatives is sufficiently great to deter fraudulent or
manipulative acts associated with the price of a Fund's Shares. The
Exchange also believes that such efficiency and liquidity are
sufficient to support the creation and redemption mechanism. Coupled
with the extensive surveillance programs of the SROs described above,
the Exchange does not believe that trading in a Fund's Shares would
present manipulation concerns. Each Fund's investments will be
consistent with its investment objective and will not be used to
enhance leverage (although certain derivatives and other investments
may result in leverage).\19\ Each Fund's investments will not be used
to seek performance that is the multiple or inverse multiple (i.e. 2x
or -2x) of the Index. Each Fund's use of derivative instruments will be
collateralized.
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\19\ The Funds will each include appropriate risk disclosure in
its offering documents, including leveraging risk. Leveraging risk
is the risk that certain transactions of a fund, including a fund's
use of derivatives, may give rise to leverage, causing a fund to be
more volatile than if it had not been leveraged. To mitigate
leveraging risk, the Adviser will segregate or earmark liquid assets
or otherwise cover the transactions that give rise to such risk. See
15 U.S.C. 80a-18; Investment Company Act Release No. 10666 (April
18, 1979), 44 FR 25128 (April 27, 1979); Dreyfus Strategic
Investing, Commission No-Action Letter (June 22, 1987); Merrill
Lynch Asset Management, L.P., Commission No-Action Letter (July 2,
1996).
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The Exchange represents that, except as described above, each Fund
will meet each of the initial and continued listing criteria in BZX
Rule 14.11(c)(3) with the exception of meeting the requirements of Rule
14.11(c)(3)(A)(i), applicable to the listing of Index Fund Shares based
upon an index of ``U.S. Component Stocks.'' The Trust is required to
comply with Rule 10A-3 under the Act for the initial and continued
listing of the Shares of the Funds. A minimum of 100,000 Shares will be
outstanding at the commencement of trading on the Exchange. In
addition, the Exchange represents that the Shares of each Fund will
comply with all other requirements applicable to Index Fund Shares,
which includes requirements relating to the dissemination of key
information such as the Index value,\20\ the Net Asset Value, and the
Intraday Indicative Value, rules governing the trading of equity
securities, trading hours, trading halts, firewalls for the Index
Provider and Adviser, surveillance, and the information circular, as
set forth in Exchange rules applicable to Index Fund Shares and the
orders approving such rules.
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\20\ Rule 14.11(c)(3)(B)(ii) requires that the index value must
be disseminated by one or more major market data vendors at least
once every 15 seconds during regular market session, provided
however, that if the index value does not change during some or all
of the period when trading is occurring on the Exchange, then the
last official calculated index value must remain available
throughout the Exchange's trading hours. The value of the Indexes
will not change during the period when trading is occurring on the
Exchange and the last official calculated index value will remain
available throughout the Exchange's trading hours.
---------------------------------------------------------------------------
Quotation and last sale information for U.S. exchange-listed
options contracts cleared by The Options Clearing Corporation will be
available via the Options Price Reporting Authority. RFQ information
for FLEX Options will be available directly from Cboe Options. The
intra-day, closing and settlement prices of exchange-traded options
will be readily available from the options exchanges, automated
quotation systems, published or other public sources, or online
information services such as Bloomberg or Reuters. Price information on
Treasury bills and other cash equivalents is available from major
broker-dealer firms or market data vendors, as well as from automated
quotation systems, published or other public sources, or online
information services. On each business day, before commencement of
trading in the Shares on the Exchange during Regular Trading Hours, the
portfolio that will form the basis for each Fund's calculation of NAV
at the end of the business day will be provided on the Advisor's Web
site at www.cboevest.com.
2. Statutory Basis
The Exchange believes that the proposal is consistent with Section
6(b) of the Act \21\ in general and Section 6(b)(5) of the Act \22\ in
particular in that it is designed to prevent fraudulent and
manipulative acts and practices, to promote just and equitable
principles of trade, to foster cooperation and coordination with
persons engaged in facilitating transactions in securities, to remove
impediments to and perfect the mechanism of a free and open market and
a national market system and, in general, to protect investors and the
public interest.
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\21\ 15 U.S.C. 78f.
\22\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
The Exchange believes that the proposed rule change is designed to
prevent fraudulent and manipulative acts and practices, to promote just
and equitable principles of trade, to foster cooperation and
coordination with persons engaged in facilitating transactions in
securities, to remove impediments to and perfect the mechanism of a
free and open market and a national market system and, in general, to
protect investors and the public interest in that the Shares of the
Funds will meet each of the initial and continued listing criteria
required by BZX Rule 14.11(c)(3), which includes the listing
requirements for an index that is composed of equity securities, except
that the Indexes consist of options on an index of U.S. Component
Stocks and Rule 14.11(c)(3)(A)(i) applies only to U.S. Component Stocks
(that is, the rule provides criteria for an index composed of equity
securities and not for an index that is composed of options on an index
of equity securities), the Indexes do not meet the criteria set forth
in Rule 14.11(c)(3).\23\ The Exchange believes that the concerns that
Rule 14.11(c)(3)(A)(i) are intended to address are mitigated by: (i)
The diversity, liquidity, and market cap of the securities underlying
the S&P 500 Index; \24\ (ii) the competitive quoting process for and
availability of information related to FLEX Options; \25\ (iii) the
significant liquidity in the market for options on the S&P 500 Index
results in a well-established price discovery process that provides
meaningful guideposts for FLEX Option pricing; and (iv) surveillance by
the Exchange, Cboe Options and FINRA designed to detect violations of
the federal securities laws and SRO rules. The Exchange has in place a
surveillance program for transactions in
[[Page 58247]]
ETFs to ensure the availability of information necessary to detect and
deter potential manipulations and other trading abuses, thereby making
the Shares less readily susceptible to manipulation. Further, the
Exchange believes that because the assets in each Fund's portfolio,
which are comprised primarily of FLEX Options, will be acquired in
extremely liquid and highly regulated markets, the Shares are less
readily susceptible to manipulation.
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\23\ Rule 14.11(c)(3)(A)(i)(e) provides that all securities in
the applicable index or portfolio shall be U.S. Component Stocks
listed on a national securities exchange and shall be NMS Stocks as
defined in Rule 600 under Regulation NMS of the Act. Each component
stock of the S&P 500 Index is a U.S. Component Stock that is listed
on a national securities exchange and is an NMS Stock. Options are
excluded from the definition of NMS Stock. The Funds and the Indexes
meet all of the requirements of the listing standards for Index Fund
Shares in Rule 14.11(c)(3), except the requirements in Rule
14.11(c)(3)(A)(i)(a)-(e), as the Index consists of options on the
S&P 500 Index. The S&P 500 Index consists of U.S. Component Stocks
and satisfies the requirements of Rule 14.11(c)(3)(A)(i)(a)-(e).
\24\ The Exchange notes that the diversity, liquidity, and
market cap of the components of the S&P 500 Index are such that the
S&P 500 Index would without question meet the generic listing
standards applicable to an index composed of U.S. Component Stocks
in Rule 14.11(c)(3)(A)(i).
\25\ Intraday quotations and last sale information for FLEX
Options are available directly from Cboe Options or through the
Options Price Reporting Authority. Additionally, information about
existing outstanding interest in FLEX Options is available on the
OCC's Web site.
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The Exchange believes that its surveillance procedures are adequate
to properly monitor the trading of the Shares on the Exchange during
all trading sessions and to deter and detect violations of Exchange
rules and the applicable federal securities laws. Trading of the Shares
through the Exchange will be subject to the Exchange's surveillance
procedures for derivative products, including Index Fund Shares. All
statements and representations made in this filing regarding (a) the
description of the portfolio, reference assets, and Index, (b)
limitations on portfolio holdings or reference assets, or (c) the
applicability of Exchange rules shall constitute continued listing
requirements for listing the Shares on the Exchange. The issuer has
represented to the Exchange that it will advise the Exchange of any
failure by a Fund or Shares to comply with the continued listing
requirements, and, pursuant to its obligations under Section 19(g)(1)
of the Act, the Exchange will surveil for compliance with the continued
listing requirements. If a Fund or Shares are not in compliance with
the applicable listing requirements, then, with respect to such Fund or
Shares, the Exchange will commence delisting procedures under Exchange
Rule 14.12. FINRA conducts certain cross-market surveillances on behalf
of the Exchange pursuant to a regulatory services agreement. The
Exchange is responsible for FINRA's performance under this regulatory
services agreement. If a Fund is not in compliance with the applicable
listing requirements, the Exchange will commence delisting procedures
with respect to such Fund under Exchange Rule 14.12.
The Exchange or FINRA, on behalf of the Exchange, will communicate
as needed regarding trading in the Shares and exchange-traded options
contracts with other markets and other entities that are members of the
ISG and may obtain trading information regarding trading in the Shares
and exchange-traded options contracts from such markets and other
entities. In addition, the Exchange may obtain information regarding
trading in the Shares and exchange-traded options contracts from
markets and other entities that are members of ISG or with which the
Exchange has in place a comprehensive surveillance sharing agreement.
In addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
As noted above, S&P 500 Index Options are among the most liquid
options in the world and derive their value from the actively traded
S&P 500 Index components. The contracts are cash-settled with no
delivery of stocks or ETFs, and trade in competitive auction markets
with price and quote transparency. The Exchange believes the highly
regulated options markets and the broad base and scope of the S&P 500
Index make securities that derive their value from that index less
susceptible to market manipulation in view of market capitalization and
liquidity of the S&P 500 Index components, price and quote
transparency, and arbitrage opportunities.
The Exchange believes that the liquidity of the markets for S&P 500
Index securities, S&P 500 Index Options, and other related derivatives
is sufficiently great to deter fraudulent or manipulative acts
associated with the price of the Shares. The Exchange also believes
that such efficiency and liquidity are sufficient to support the
creation and redemption mechanism. Coupled with the extensive
surveillance programs of the SROs described above, the Exchange does
not believe that trading in the Shares would present manipulation
concerns.
The Exchange represents that, except as it relates to the options
portion of the Indexes described above, the Funds will meet and be
subject to all other requirements of Rule 14.11(c)(3) related to
generic listing standards of the Indexes and other applicable
requirements for such a series of Index Fund Shares under Rule 14.11(c)
on an initial and continued listing basis, including those requirements
regarding the dissemination of key information such as the Index Value,
Net Asset Value, and the Intraday Indicative Value, rules governing the
trading of equity securities, trading hours, trading halts,
surveillance, and the information circular, as set forth in Exchange
rules applicable to Index Fund Shares and the orders approving such
rules. The Trust is required to comply with Rule 10A-3 under the Act
for the initial and continued listing of the Shares of the Funds.
Moreover, all of the options contracts held by the Funds will trade on
markets that are a member of ISG or affiliated with a member of ISG or
with which the Exchange has in place a comprehensive surveillance
sharing agreement.
For the above reasons, the Exchange believes that the proposed rule
change is consistent with the requirements of Section 6(b)(5) of the
Act.
(B) Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purpose of the Act. The Exchange notes that the
proposed rule change will facilitate the listing and trading of an
additional type of Index Fund Shares that will enhance competition
among market participants, to the benefit of investors and the
marketplace.
(C) Self-Regulatory Organization's Statement on Comments on the
Proposed Rule Change Received From Members, Participants or Others
The Exchange has neither solicited nor received written comments on
the proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) By order approve or disapprove the proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views and
arguments concerning the foregoing, including whether the proposal 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 [email protected]. Please include
File No. SR-CboeBZX-2017-005 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.
[[Page 58248]]
All submissions should refer to File No. SR-CboeBZX-2017-005. 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 such filing will also be available
for inspection and copying at the principal office of the Exchange. All
comments received will be posted without change. Persons submitting
comments are cautioned that we do not redact or edit personal
identifying information from comment submissions. You should submit
only information that you wish to make available publicly. All
submissions should refer to File No. SR-CboeBZX-2017-005 and should be
submitted on or before January 2, 2018.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\26\
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\26\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-26558 Filed 12-8-17; 8:45 am]
BILLING CODE 8011-01-P
