Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change, as Modified by Amendment No. 1, To Allow the Cambria Tail Risk ETF, a Series of the Cambria ETF Trust, To Hold Listed Options Contracts in a Manner That Does Not Comply With Rule 14.11(i), Managed Fund Shares, 28875-28878 [2019-13069]

Download as PDF Federal Register / Vol. 84, No. 119 / Thursday, June 20, 2019 / Notices SECURITIES AND EXCHANGE COMMISSION [Release No. 34–86106; File No. SR– CboeBZX–2019–055] Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change, as Modified by Amendment No. 1, To Allow the Cambria Tail Risk ETF, a Series of the Cambria ETF Trust, To Hold Listed Options Contracts in a Manner That Does Not Comply With Rule 14.11(i), Managed Fund Shares June 14, 2019. 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 June 4, 2019, Cboe BZX Exchange, Inc. (‘‘Exchange’’ or ‘‘BZX’’) filed with the Securities and Exchange Commission (‘‘Commission’’) a proposed rule change as described in Items I and II below, which Items have been prepared by the Exchange. On June 7, 2019, the Exchange filed Amendment No. 1 to the proposed rule change.3 The Commission is publishing this notice to solicit comments on the proposed rule, as modified by Amendment No. 1, from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes a rule change to allow the Cambria Tail Risk ETF (the ‘‘Fund’’), a series of the Cambria ETF Trust (the ‘‘Trust’’), to hold listed options contracts in a manner that does not comply with Rule 14.11(i) (‘‘Managed Fund Shares’’). The shares of the Fund are referred to herein as the ‘‘Shares.’’ The text of the proposed rule change is also available on the Exchange’s website (https://markets.cboe.com/us/ equities/regulation/rule_filings/bzx/), at the Exchange’s Office of the Secretary, and at the Commission’s Public Reference Room. jbell on DSK3GLQ082PROD with NOTICES 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 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 In Amendment No. 1, the Exchange amended Item 2(a) of the proposed rule change to state that ‘‘The Exchange’s President (or designee) pursuant to delegated authority approved the proposed rule change on June 3, 2019.’’ 2 17 VerDate Sep<11>2014 17:47 Jun 19, 2019 Jkt 247001 the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The Fund began listing and trading on the Exchange pursuant to the generic listing standards under Rule 14.11(i) governing Managed Fund Shares on April 6, 2017 and remains currently listed on the Exchange pursuant to such rule.4 The Exchange proposes to continue listing and trading the Shares. The Shares would continue to comply with all of the generic listing standards with the exception of the requirement of Rule 14.11(i)(4)(C)(iv)(b) 5 that prevents the aggregate gross notional value of listed derivatives based on any single underlying reference asset from exceeding 30% of the weight of the portfolio (including gross notional exposures) and the aggregate gross notional value of listed derivatives based on any five or fewer underlying reference assets from exceeding 65% of the weight of the portfolio (including gross notional exposures) (the ‘‘Concentration Restriction’’).6 4 The Commission originally approved BZX Rule 14.11(i) in Securities Exchange Act Release No. 65225 (August 30, 2011), 76 FR 55148 (September 6, 2011) (SR–BATS–2011–018) and subsequently approved generic listing standards for Managed Fund Shares under Rule 14.11(i) in Securities Exchange Act Release No. 78396 (July 22, 2016), 81 FR 49698 (July 28, 2016) (SR–BATS–2015–100). 5 Rule 14.11(i)(4)(C)(iv)(b) provides that ‘‘the aggregate gross notional value of listed derivatives based on any five or fewer underlying reference assets shall not exceed 65% of the weight of the portfolio (including gross notional exposures), and the aggregate gross notional value of listed derivatives based on any single underlying reference asset shall not exceed 30% of the weight of the portfolio (including gross notional exposures).’’ The Exchange is proposing that the Fund be exempt from both the 30% and 65% requirements of Rule 14.11(i)(4)(C)(iv)(b). 6 The Exchange notes that this proposal is very similar to several previously submitted proposals to list and trade a series of Index Fund Shares (which are referred to as Investment Company Units under the rules of NYSE Arca, Inc.) and Managed Fund Shares with exposures to a single underlying reference asset that were either approved by the Commission or effective upon filing. See Securities Exchange Act Release Nos. 83146 (May 1, 2018), 83 FR 20103 (May 7, 2018) (SR–CboeBZX–2018–029); 83679 (July 20, 2018), 83 FR 35505 (July 26, 2018); 77045 (February 3, 2016), 81 FR 6916 (February 9, 2016) (SR–NYSEArca–2015–113) (the ‘‘Amendment’’); and 74675 (April 8, 2015), 80 FR 20038 (April 14, 2015) (SR–NYSEArca–2015–05) PO 00000 Frm 00088 Fmt 4703 Sfmt 4703 28875 The Shares are offered by the Trust, a Delaware statutory trust which is registered with the Commission as an open-end management investment company.7 The Fund’s adviser, Cambria Investment Management, L.P. (the ‘‘Adviser’’), is not registered as a brokerdealer, and is not affiliated with a broker-dealer. Personnel who make decisions on the Fund’s portfolio composition are currently and shall continue to be subject to procedures designed to prevent the use and dissemination of material non-public information regarding such portfolio. In the event that (a) the Adviser becomes registered as a broker-dealer or newly affiliated with a broker-dealer; or (b) any new adviser or sub-adviser is a registered broker-dealer or becomes affiliated with a broker-dealer, the Adviser or such new adviser or subadviser will implement and maintain a fire wall with respect to its relevant personnel or such broker-dealer affiliate, as applicable, regarding access to information concerning the composition and/or changes to the Fund’s 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 under Subchapter M of the Internal Revenue Code of 1986, as amended. Cambria Tail Risk ETF The Fund seeks to provide income and capital appreciation from investments in the U.S. market while protecting against significant downside risk. In order to achieve its investment objective, under Normal Market Conditions,8 the Fund invests in cash and U.S. Treasury Bonds, and utilizes a put option strategy to manage the risk of (collectively, with the Amendment, the ‘‘Arca Filing’’). 7 The Trust is registered under the 1940 Act. The Trust filed a supplement to the Fund’s prospectus included in its Registration Statement on May 9, 2019 (as supplemented, the ‘‘Registration Statement’’). See Registration Statement on Form N–1A for the Trust (File Nos. 333–180879 and 811– 22704). The descriptions of the Fund and the Shares contained herein are based, in part, on information included in the Registration Statement. The Commission has issued an order granting certain exemptive relief to the Trust and affiliated persons under the Investment Company Act of 1940 (15 U.S.C. 80a–1). See Investment Company Act Release No. 30340 (January 4, 2013) (File No. 812– 13959). 8 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. E:\FR\FM\20JNN1.SGM 20JNN1 28876 Federal Register / Vol. 84, No. 119 / Thursday, June 20, 2019 / Notices jbell on DSK3GLQ082PROD with NOTICES a significant negative movement in the value of domestic equities (commonly referred to as tail risk) over rolling onemonth periods. Specifically, in order to hedge against sharp declines in the U.S. stock market, each month, the Fund purchases U.S. exchange-listed protective ‘‘out of the money’’ put options on the S&P 500 Index (‘‘S&P 500 Options’’). The Fund’s holdings currently meet and will continue to meet the generic listing standards for fixed income securities under Rule 14.11(i)(4)(C)(ii) and cash and Cash Equivalents in Rule 14.11(i)(4)(C)(iii).9 The Fund has the ability to buy S&P 500 Options. The options strategy is actively managed by the Adviser and will adapt to changing market environments and is currently not in compliance with the requirement under Rule 14.11(i)(4)(C)(iv)(b) that prevents the aggregate gross notional exposure of listed derivatives based on any single underlying reference asset from exceeding 30% of the weight of the portfolio (including gross notional exposures) and the aggregate gross notional value of listed derivatives based on any five or fewer underlying reference assets from exceeding 65% of the weight of the portfolio (including gross notional exposures).10 As noted above, Rule 14.11(i)(4)(C)(iv)(b) prevents the Fund from holding listed derivatives based on any single underlying reference asset in excess of 30% of the weight of its portfolio (including gross notional exposures) and the aggregate gross notional value of listed derivatives based on any five or fewer underlying reference assets from exceeding 65% of the weight of the portfolio (including 9 The Exchange notes that certain of the Fund’s holdings in U.S. Treasury Bonds may qualify as Cash Equivalents by virtue of their maturity, but the Adviser does not intend to invest in any Cash Equivalents that are not U.S. Treasury Bonds. As defined in Exchange Rule 14.11(i)(4)(C)(iii)(b), Cash Equivalents are short-term instruments with maturities of less than three months, which includes only the following: (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. 10 Because the Fund is not in compliance with Rule 14.11(i)(4)(C)(iv)(b), the Exchange has commenced delisting proceedings pursuant to Rule 14.12, including issuing a deficiency notification. VerDate Sep<11>2014 17:47 Jun 19, 2019 Jkt 247001 gross notional exposures). As proposed, the Fund could hold up to 90% of the weight of its portfolio (including gross notional exposures) in S&P 500 Options in a manner that may not comply with Rule 14.11(i)(4)(C)(iv)(b). The put option strategy is designed to attempt to provide protection from significant market declines on a month-by-month basis. This protection comes in the form of S&P 500 Options. The Adviser generally intends to re-initiate new S&P 500 Options positions that make up the put option position each month and reinvest any gains from these activities into U.S. Treasury Bonds. The Adviser also may, at its discretion, liquidate and establish new S&P 500 Options positions intra-month, or liquidate option positions without establishing new positions. The put option strategy only includes S&P 500 Options. The ability to hold S&P 500 Options with exposure to a single reference asset up to 90% of the weight of the portfolio (including gross notional exposures) would allow the Fund the flexibility to fully implement its investment strategy while remaining in compliance with the continued listing standards. As noted above, the Fund invests only in cash, U.S. Treasury Bonds, and S&P 500 Options. The Exchange represents that, except for the Concentration Restriction in Rule 14.11(i)(4)(C)(iv)(b) with respect to S&P 500 Options, the Fund’s investments will continue to satisfy all of the generic listing standards under BZX Rule 14.11(i)(4)(C) and all other applicable requirements for Managed Fund Shares under Rule 14.11(i). The Trust is required to comply with Rule 10A–3 11 under the Act for the initial and continued listing of the Shares of the Fund. In addition, the Exchange represents that the Shares of the Fund will continue to comply with all other requirements applicable to Managed Fund Shares, which include the dissemination of key information such as the Disclosed Portfolio,12 Net Asset Value,13 and the Intraday Indicative Value,14 suspension of trading or removal,15 trading halts,16 surveillance,17 minimum price variation for quoting and order entry,18 the information circular,19 and firewalls 20 as set forth in Exchange rules applicable 11 17 CFR 240.10A–3. Rule 14.11(i)(4)(A)(ii) and 14.11(i)(4)(B)(ii). 13 See Rule 14.11(i)(4)(A)(ii). 14 See Rule 14.11(i)(4)(B)(i). 15 See Rule 14.11(i)(4)(B)(iii). 16 See Rule 14.11(i)(4)(B)(iv). 17 See Rule 14.11(i)(2)(C). 18 See Rule 14.11(i)(2)(B). 19 See Rule 14.11(i)(6). 20 See Rule 14.11(i)(7). 12 See PO 00000 Frm 00089 Fmt 4703 Sfmt 4703 to Managed Fund Shares and the orders approving such rules. Moreover, the S&P 500 Options held by the Fund will trade on markets that are a member of Intermarket Surveillance Group (‘‘ISG’’) or affiliated with a member of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement.21 All statements and representations made in this filing regarding the description of the portfolio or reference assets, limitations on portfolio holdings or reference assets, dissemination and availability of reference asset and intraday indicative values (as applicable), or the applicability of Exchange listing rules specified in this filing shall constitute continued listing requirements for the Shares. The Fund has represented to the Exchange that it will advise the Exchange of any failure by the 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. 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 the Fund is not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures with respect to the Fund under Exchange Rule 14.12. Availability of Information As noted above, the Fund will comply with the requirements under the Rule 14.11(i) related to Disclosed Portfolio, NAV, and the Intraday Indicative Value. Additionally, the intra-day, closing and settlement prices of S&P 500 Options will be readily available from Cboe Exchange, Inc. or online information services such as Bloomberg or Reuters. Quotation and last sale information for S&P 500 Options will be available via the Options Price Reporting Authority. Price information for U.S. Treasury Bonds will be available from major market data vendors. The Disclosed Portfolio will be available on the Fund’s website (www.cambriafunds.com) free of charge. The Fund’s website will include a form of the prospectus for the Fund and additional information related to NAV and other applicable quantitative information. Information 21 For a list of the current members of ISG, see www.isgportal.com. The Exchange notes that not all components of the Disclosed Portfolio for the Fund may trade on markets that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement. E:\FR\FM\20JNN1.SGM 20JNN1 Federal Register / Vol. 84, No. 119 / Thursday, June 20, 2019 / Notices regarding market price and trading volume of the Shares will be continuously available throughout the day on brokers’ computer screens and other electronic services. Information regarding the previous day’s closing price and trading volume for the Shares will be published daily in the financial section of newspapers. Trading in the Shares may be halted for market conditions or for reasons that, in the view of the Exchange, make trading inadvisable. The Exchange deems the Shares to be equity securities, thus rendering trading in the Shares subject to the Exchange’s existing rules governing the trading of equity securities. The Exchange has appropriate rules to facilitate trading in the Shares during all trading sessions. The Exchange prohibits the distribution of material non-public information by its employees. Quotation and last sale information for the Shares will be available via the CTA high-speed line. 2. Statutory Basis The Exchange believes that the proposal is consistent with Section 6(b) of the Act 22 in general and Section 6(b)(5) of the Act 23 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 in that the Shares will meet each of the continued listing criteria in BZX Rule 14.11(i) with the exception of the Concentration Restriction in Rule 14.11(i)(4)(C)(iv)(b), which requires that the aggregate gross notional value of listed derivatives based on any five or fewer underlying reference assets shall not exceed 65% of the weight of the portfolio (including gross notional exposures), and the aggregate gross notional value of listed derivatives based on any single underlying reference asset shall not exceed 30% of the weight of the portfolio (including gross notional exposures).24 The Exchange believes 22 15 U.S.C. 78f(b). U.S.C. 78f(b)(5). 24 As noted above, the Exchange is proposing that the Fund be exempt from the Concentration Restriction of Rule 14.11(i)(4)(C)(iv)(b) that prevents the aggregate gross notional value of listed derivatives based on any five or fewer underlying reference assets from exceeding 65% of the weight of the portfolio (including gross notional exposures), and the aggregate gross notional value of listed derivatives based on any single underlying reference asset from exceeding 30% of the weight jbell on DSK3GLQ082PROD with NOTICES 23 15 VerDate Sep<11>2014 17:47 Jun 19, 2019 Jkt 247001 that the diversity, liquidity, and market cap of the securities underlying the S&P 500 Index are sufficient to protect against market manipulation of both the Fund’s holdings and the Shares as it relates to the S&P 500 Options holdings. The Exchange also believes that the liquidity in the S&P 500 Options market 25 mitigates the concerns that Rule 14.11(i)(4)(C)(iv)(b) is intended to address and that such liquidity would also act to prevent other S&P 500 Options from being susceptible to manipulation, and thus, make the Shares less susceptible to manipulation. Further, allowing the Fund to hold a greater portion of its portfolio in S&P 500 Options would mean that the Fund would not be required to use over-thecounter (‘‘OTC’’) derivatives if the Adviser deemed it necessary to get exposure in excess of the Concentration Restriction in Rule 14.11(i)(4)(C)(iv)(b), which would reduce the Fund’s operational burden by allowing the Fund to use listed options contracts to achieve its investment objective and would eliminate the counter-party risk associated with holding OTC derivative instruments. 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. The S&P 500 Options held by the Fund 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. The Exchange may obtain information regarding trading in the Shares and the S&P 500 Options held by the Fund via the ISG from other exchanges who are a member of ISG or affiliated with a member of ISG or with which the Exchange has entered into a comprehensive surveillance sharing agreement. The Exchange further notes that the Fund will meet and be subject to all other requirements of the generic listing rules and other applicable continued listing requirements for Managed Fund Shares under Rule 14.11(i), including those requirements regarding the dissemination of key information such as the Disclosed Portfolio, Net Asset Value, and the Intraday Indicative Value, suspension of of the portfolio (including gross notional exposures).’’ The Exchange is proposing that the Fund be exempt from both the 30% and 65% requirements of Rule 14.11(i)(4)(C)(iv)(b). 25 In 2018, more than 1.48 million S&P 500 Options contracts were traded per day on Cboe Options, which is more than $350 billion in notional volume traded on a daily basis. PO 00000 Frm 00090 Fmt 4703 Sfmt 4703 28877 trading or removal, trading halts, surveillance, minimum price variation for quoting and order entry, the information circular, and firewalls as set forth in Exchange rules applicable to Managed Fund Shares. 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, rather, will facilitate the options strategy of an actively-managed exchange-traded product that will allow the Fund to better compete in the marketplace, thus enhancing competition among both market participants and listing venues, 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 Because the foregoing proposed rule change does not: (i) Significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative for 30 days from the date on which it was filed, or such shorter time as the Commission may designate, it has become effective pursuant to Section 19(b)(3)(A) of the Act and Rule 19b– 4(f)(6) thereunder.26 A proposed rule change filed under Rule 19b–4(f)(6) 27 normally does not become operative for 30 days after the date of the filing. However, pursuant to Rule 19b–4(f)(6)(iii),28 the Commission may designate a shorter time if such action is consistent with the protection of investors and the public interest. In its filing with the Commission, the Exchange asked the Commission to 26 In addition, Rule 19b–4(f)(6)(iii) requires a selfregulatory organization to give the Commission written notice of its intent to file the proposed rule change at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission. The Exchange has satisfied this requirement. 27 17 CFR 240.19b–4(f)(6). 28 17 CFR 240.19b–4(f)(6)(iii). E:\FR\FM\20JNN1.SGM 20JNN1 28878 Federal Register / Vol. 84, No. 119 / Thursday, June 20, 2019 / Notices waive the 30-day operative delay to permit the Fund to immediately employ an investment strategy that would allow the Fund to hold listed derivatives based on a single underlying reference asset (i.e., S&P 500 Options) in a manner that may not comply with the generic listing standards under Rule 14.11(i)(4)(C)(iv)(b). The Commission notes that the proposed rule change in this regard is similar to previously submitted proposals to list and trade series of Index Fund Shares and Managed Fund Shares with exposure to a single underlying reference asset (i.e., the S&P 500 Index) that were either approved by the Commission or effective upon filing.29 Thus, the Commission believes that waiver of the 30-day operative delay is consistent with the protection of investors and the public interest and hereby waives the 30-day operative delay and designates the proposed rule change operative upon filing.30 At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods: Electronic Comments jbell on DSK3GLQ082PROD with NOTICES • Use the Commission’s internet comment form (https://www.sec.gov/ rules/sro.shtml); or 29 See supra note 6. In the approval order for proposed rule change SR–CboeBZX–2018–029, the Commission noted that the proposing exchange stated that ‘‘SPX options are among the most liquid index options in the U.S. and derive their value from the actively traded S&P 500 components. SPX options are cash-settled with no delivery of stocks or ETFs, and trade in competitive auction markets with price and quote transparency. The Exchange believes that the highly regulated S&P 500 options markets, and the broad base and scope of the S&P 500 Index, make securities that derive their value from that index, including S&P 500 options, less susceptible to potential market manipulation in view of market capitalization and liquidity of the S&P 500 Index components, price and quote transparency, and arbitrage opportunities.’’ See Securities Exchange Act Release No. 77045, supra note 6, 81 FR at 6917 n.15. 30 For purposes only of waiving the operative delay, the Commission has considered the proposed rule’s impact on efficiency, competition, and capital formation. See 15 U.S.C. 78c(f). VerDate Sep<11>2014 17:47 Jun 19, 2019 Jkt 247001 • Send an email to rule-comments@ sec.gov. Please include File Number SR– CboeBZX–2019–055 on the subject line. Paper Comments • Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549–1090. All submissions should refer to File Number SR–CboeBZX–2019–055.This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission’s internet website (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 website viewing and printing in the Commission’s Public Reference Room, 100 F Street NE, Washington, DC 20549 on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of such filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change. Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR–CboeBZX–2019–055 and should be submitted on or before July 11, 2019. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.31 Vanessa A. Countryman, Acting Secretary. [FR Doc. 2019–13069 Filed 6–19–19; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION Proposed Collection; Comment Request Upon Written Request, Copies Available From: Securities and Exchange 31 17 PO 00000 CFR 200.30–3(a)(12). Frm 00091 Fmt 4703 Sfmt 4703 Commission, Office of FOIA Services, 100 F Street NE, Washington, DC 20549–2736. Extension: Rule 302, SEC File No. 270–453, OMB Control No. 3235–0510 Notice is hereby given that, pursuant to the Paperwork Reduction Act of 1995 (‘‘PRA’’) (44 U.S.C. 3501 et seq.), the Securities and Exchange Commission (‘‘Commission’’) is soliciting comments on the existing collection of information provided for in Rule 302 (17 CFR 242.302) of Regulation ATS (17 CFR 242.300 et seq.) under the Securities and Exchange Act of 1934 (‘‘Act’’) (15 U.S.C. 78a et seq.). The Commission plans to submit this existing collection of information to the Office of Management and Budget (‘‘OMB’’) for extension and approval. Regulation ATS sets forth a regulatory regime for ‘‘alternative trading systems’’ (‘‘ATSs’’). An entity that meets the definition of an exchange must register, pursuant to Section 5 of the Exchange Act, as a national securities exchange under Section 6 of the Exchange Act 1 or operate pursuant to an appropriate exemption.2 One of the available exemptions is for ATSs.3 Exchange Act Rule 3a1–1(a)(2) exempts from the definition of ‘‘exchange’’ under Section 3(a)(1) an organization, association, or group of persons that complies with Regulation ATS.4 Regulation ATS requires an ATS to, among other things, register as a broker-dealer with the Securities and Exchange Commission (‘‘SEC’’), file a Form ATS with the Commission to notice its operations, and establish written safeguards and procedures to protect subscribers’ confidential trading information. An ATS that complies with Regulation ATS and operates pursuant to the Rule 3a1– 1(a)(2) exemption would not be required by Section 5 to register as a national securities exchange. Rule 302 of Regulation ATS (17 CFR 242.302) describes the recordkeeping requirements for ATSs. Under Rule 302, 1 See 15 U.S.C. 78e and 78f. A ‘‘national securities exchange’’ is an exchange registered as such under Section 6 of the Exchange Act. 2 15 U.S.C. 78a et seq. 3 Rule 300(a) of Regulation ATS provides that an ATS is ‘‘any organization, association, person, group of persons, or system: (1) [t]hat constitutes, maintains, or provides a market place or facilities for bringing together purchasers and sellers of securities or for otherwise performing with respect to securities the functions commonly performed by a stock exchange within the meaning of [Exchange Act Rule 3b-16]; and (2) [t]hat does not: (i) [s]et rules governing the conduct of subscribers other than the conduct of subscribers’ trading on such [ATS]; or (ii) [d]iscipline subscribers other than by exclusion from trading.’’ 4 See 17 CFR 240.3a1–1(a)(2). E:\FR\FM\20JNN1.SGM 20JNN1

Agencies

[Federal Register Volume 84, Number 119 (Thursday, June 20, 2019)]
[Notices]
[Pages 28875-28878]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-13069]



[[Page 28875]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-86106; File No. SR-CboeBZX-2019-055]


Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of 
Filing and Immediate Effectiveness of a Proposed Rule Change, as 
Modified by Amendment No. 1, To Allow the Cambria Tail Risk ETF, a 
Series of the Cambria ETF Trust, To Hold Listed Options Contracts in a 
Manner That Does Not Comply With Rule 14.11(i), Managed Fund Shares

June 14, 2019.
    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 June 4, 2019, Cboe BZX Exchange, Inc. (``Exchange'' or ``BZX'') 
filed with the Securities and Exchange Commission (``Commission'') a 
proposed rule change as described in Items I and II below, which Items 
have been prepared by the Exchange. On June 7, 2019, the Exchange filed 
Amendment No. 1 to the proposed rule change.\3\ The Commission is 
publishing this notice to solicit comments on the proposed rule, as 
modified by Amendment No. 1, from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ In Amendment No. 1, the Exchange amended Item 2(a) of the 
proposed rule change to state that ``The Exchange's President (or 
designee) pursuant to delegated authority approved the proposed rule 
change on June 3, 2019.''
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes a rule change to allow the Cambria Tail Risk 
ETF (the ``Fund''), a series of the Cambria ETF Trust (the ``Trust''), 
to hold listed options contracts in a manner that does not comply with 
Rule 14.11(i) (``Managed Fund Shares''). The shares of the Fund are 
referred to herein as the ``Shares.''
    The text of the proposed rule change is also available on the 
Exchange's website (https://markets.cboe.com/us/equities/regulation/rule_filings/bzx/), at the Exchange's Office of the Secretary, and at 
the Commission's Public Reference Room.

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

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

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

1. Purpose
    The Fund began listing and trading on the Exchange pursuant to the 
generic listing standards under Rule 14.11(i) governing Managed Fund 
Shares on April 6, 2017 and remains currently listed on the Exchange 
pursuant to such rule.\4\ The Exchange proposes to continue listing and 
trading the Shares. The Shares would continue to comply with all of the 
generic listing standards with the exception of the requirement of Rule 
14.11(i)(4)(C)(iv)(b) \5\ that prevents the aggregate gross notional 
value of listed derivatives based on any single underlying reference 
asset from exceeding 30% of the weight of the portfolio (including 
gross notional exposures) and the aggregate gross notional value of 
listed derivatives based on any five or fewer underlying reference 
assets from exceeding 65% of the weight of the portfolio (including 
gross notional exposures) (the ``Concentration Restriction'').\6\
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    \4\ The Commission originally approved BZX Rule 14.11(i) in 
Securities Exchange Act Release No. 65225 (August 30, 2011), 76 FR 
55148 (September 6, 2011) (SR-BATS-2011-018) and subsequently 
approved generic listing standards for Managed Fund Shares under 
Rule 14.11(i) in Securities Exchange Act Release No. 78396 (July 22, 
2016), 81 FR 49698 (July 28, 2016) (SR-BATS-2015-100).
    \5\ Rule 14.11(i)(4)(C)(iv)(b) provides that ``the aggregate 
gross notional value of listed derivatives based on any five or 
fewer underlying reference assets shall not exceed 65% of the weight 
of the portfolio (including gross notional exposures), and the 
aggregate gross notional value of listed derivatives based on any 
single underlying reference asset shall not exceed 30% of the weight 
of the portfolio (including gross notional exposures).'' The 
Exchange is proposing that the Fund be exempt from both the 30% and 
65% requirements of Rule 14.11(i)(4)(C)(iv)(b).
    \6\ The Exchange notes that this proposal is very similar to 
several previously submitted proposals to list and trade a series of 
Index Fund Shares (which are referred to as Investment Company Units 
under the rules of NYSE Arca, Inc.) and Managed Fund Shares with 
exposures to a single underlying reference asset that were either 
approved by the Commission or effective upon filing. See Securities 
Exchange Act Release Nos. 83146 (May 1, 2018), 83 FR 20103 (May 7, 
2018) (SR-CboeBZX-2018-029); 83679 (July 20, 2018), 83 FR 35505 
(July 26, 2018); 77045 (February 3, 2016), 81 FR 6916 (February 9, 
2016) (SR-NYSEArca-2015-113) (the ``Amendment''); and 74675 (April 
8, 2015), 80 FR 20038 (April 14, 2015) (SR-NYSEArca-2015-05) 
(collectively, with the Amendment, the ``Arca Filing'').
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    The Shares are offered by the Trust, a Delaware statutory trust 
which is registered with the Commission as an open-end management 
investment company.\7\ The Fund's adviser, Cambria Investment 
Management, L.P. (the ``Adviser''), is not registered as a broker-
dealer, and is not affiliated with a broker-dealer. Personnel who make 
decisions on the Fund's portfolio composition are currently and shall 
continue to be subject to procedures designed to prevent the use and 
dissemination of material non-public information regarding such 
portfolio. In the event that (a) the Adviser becomes registered as a 
broker-dealer or newly affiliated with a broker-dealer; or (b) any new 
adviser or sub-adviser is a registered broker-dealer or becomes 
affiliated with a broker-dealer, the Adviser or such new adviser or 
sub-adviser will implement and maintain a fire wall with respect to its 
relevant personnel or such broker-dealer affiliate, as applicable, 
regarding access to information concerning the composition and/or 
changes to the Fund's portfolio, and will be subject to procedures 
designed to prevent the use and dissemination of material non-public 
information regarding such portfolio.
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    \7\ The Trust is registered under the 1940 Act. The Trust filed 
a supplement to the Fund's prospectus included in its Registration 
Statement on May 9, 2019 (as supplemented, the ``Registration 
Statement''). See Registration Statement on Form N-1A for the Trust 
(File Nos. 333-180879 and 811-22704). The descriptions of the Fund 
and the Shares contained herein are based, in part, on information 
included in the Registration Statement. The Commission has issued an 
order granting certain exemptive relief to the Trust and affiliated 
persons under the Investment Company Act of 1940 (15 U.S.C. 80a-1). 
See Investment Company Act Release No. 30340 (January 4, 2013) (File 
No. 812-13959).
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    The Fund intends to qualify each year as a regulated investment 
company under Subchapter M of the Internal Revenue Code of 1986, as 
amended.
Cambria Tail Risk ETF
    The Fund seeks to provide income and capital appreciation from 
investments in the U.S. market while protecting against significant 
downside risk. In order to achieve its investment objective, under 
Normal Market Conditions,\8\ the Fund invests in cash and U.S. Treasury 
Bonds, and utilizes a put option strategy to manage the risk of

[[Page 28876]]

a significant negative movement in the value of domestic equities 
(commonly referred to as tail risk) over rolling one-month periods. 
Specifically, in order to hedge against sharp declines in the U.S. 
stock market, each month, the Fund purchases U.S. exchange-listed 
protective ``out of the money'' put options on the S&P 500 Index (``S&P 
500 Options'').
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    \8\ The term ``Normal Market Conditions'' includes, but is not 
limited to, the absence of trading halts in the applicable financial 
markets generally; operational issues causing dissemination of 
inaccurate market information or system failures; or force majeure 
type events such as natural or man-made disaster, act of God, armed 
conflict, act of terrorism, riot or labor disruption, or any similar 
intervening circumstance.
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    The Fund's holdings currently meet and will continue to meet the 
generic listing standards for fixed income securities under Rule 
14.11(i)(4)(C)(ii) and cash and Cash Equivalents in Rule 
14.11(i)(4)(C)(iii).\9\ The Fund has the ability to buy S&P 500 
Options. The options strategy is actively managed by the Adviser and 
will adapt to changing market environments and is currently not in 
compliance with the requirement under Rule 14.11(i)(4)(C)(iv)(b) that 
prevents the aggregate gross notional exposure of listed derivatives 
based on any single underlying reference asset from exceeding 30% of 
the weight of the portfolio (including gross notional exposures) and 
the aggregate gross notional value of listed derivatives based on any 
five or fewer underlying reference assets from exceeding 65% of the 
weight of the portfolio (including gross notional exposures).\10\
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    \9\ The Exchange notes that certain of the Fund's holdings in 
U.S. Treasury Bonds may qualify as Cash Equivalents by virtue of 
their maturity, but the Adviser does not intend to invest in any 
Cash Equivalents that are not U.S. Treasury Bonds. As defined in 
Exchange Rule 14.11(i)(4)(C)(iii)(b), Cash Equivalents are short-
term instruments with maturities of less than three months, which 
includes only the following: (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.
    \10\ Because the Fund is not in compliance with Rule 
14.11(i)(4)(C)(iv)(b), the Exchange has commenced delisting 
proceedings pursuant to Rule 14.12, including issuing a deficiency 
notification.
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    As noted above, Rule 14.11(i)(4)(C)(iv)(b) prevents the Fund from 
holding listed derivatives based on any single underlying reference 
asset in excess of 30% of the weight of its portfolio (including gross 
notional exposures) and the aggregate gross notional value of listed 
derivatives based on any five or fewer underlying reference assets from 
exceeding 65% of the weight of the portfolio (including gross notional 
exposures). As proposed, the Fund could hold up to 90% of the weight of 
its portfolio (including gross notional exposures) in S&P 500 Options 
in a manner that may not comply with Rule 14.11(i)(4)(C)(iv)(b). The 
put option strategy is designed to attempt to provide protection from 
significant market declines on a month-by-month basis. This protection 
comes in the form of S&P 500 Options. The Adviser generally intends to 
re-initiate new S&P 500 Options positions that make up the put option 
position each month and reinvest any gains from these activities into 
U.S. Treasury Bonds. The Adviser also may, at its discretion, liquidate 
and establish new S&P 500 Options positions intra-month, or liquidate 
option positions without establishing new positions. The put option 
strategy only includes S&P 500 Options. The ability to hold S&P 500 
Options with exposure to a single reference asset up to 90% of the 
weight of the portfolio (including gross notional exposures) would 
allow the Fund the flexibility to fully implement its investment 
strategy while remaining in compliance with the continued listing 
standards.
    As noted above, the Fund invests only in cash, U.S. Treasury Bonds, 
and S&P 500 Options. The Exchange represents that, except for the 
Concentration Restriction in Rule 14.11(i)(4)(C)(iv)(b) with respect to 
S&P 500 Options, the Fund's investments will continue to satisfy all of 
the generic listing standards under BZX Rule 14.11(i)(4)(C) and all 
other applicable requirements for Managed Fund Shares under Rule 
14.11(i).
    The Trust is required to comply with Rule 10A-3 \11\ under the Act 
for the initial and continued listing of the Shares of the Fund. In 
addition, the Exchange represents that the Shares of the Fund will 
continue to comply with all other requirements applicable to Managed 
Fund Shares, which include the dissemination of key information such as 
the Disclosed Portfolio,\12\ Net Asset Value,\13\ and the Intraday 
Indicative Value,\14\ suspension of trading or removal,\15\ trading 
halts,\16\ surveillance,\17\ minimum price variation for quoting and 
order entry,\18\ the information circular,\19\ and firewalls \20\ as 
set forth in Exchange rules applicable to Managed Fund Shares and the 
orders approving such rules. Moreover, the S&P 500 Options held by the 
Fund will trade on markets that are a member of Intermarket 
Surveillance Group (``ISG'') or affiliated with a member of ISG or with 
which the Exchange has in place a comprehensive surveillance sharing 
agreement.\21\ All statements and representations made in this filing 
regarding the description of the portfolio or reference assets, 
limitations on portfolio holdings or reference assets, dissemination 
and availability of reference asset and intraday indicative values (as 
applicable), or the applicability of Exchange listing rules specified 
in this filing shall constitute continued listing requirements for the 
Shares. The Fund has represented to the Exchange that it will advise 
the Exchange of any failure by the 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. 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 the Fund is not in 
compliance with the applicable listing requirements, the Exchange will 
commence delisting procedures with respect to the Fund under Exchange 
Rule 14.12.
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    \11\ 17 CFR 240.10A-3.
    \12\ See Rule 14.11(i)(4)(A)(ii) and 14.11(i)(4)(B)(ii).
    \13\ See Rule 14.11(i)(4)(A)(ii).
    \14\ See Rule 14.11(i)(4)(B)(i).
    \15\ See Rule 14.11(i)(4)(B)(iii).
    \16\ See Rule 14.11(i)(4)(B)(iv).
    \17\ See Rule 14.11(i)(2)(C).
    \18\ See Rule 14.11(i)(2)(B).
    \19\ See Rule 14.11(i)(6).
    \20\ See Rule 14.11(i)(7).
    \21\ For a list of the current members of ISG, see 
www.isgportal.com. The Exchange notes that not all components of the 
Disclosed Portfolio for the Fund 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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Availability of Information
    As noted above, the Fund will comply with the requirements under 
the Rule 14.11(i) related to Disclosed Portfolio, NAV, and the Intraday 
Indicative Value. Additionally, the intra-day, closing and settlement 
prices of S&P 500 Options will be readily available from Cboe Exchange, 
Inc. or online information services such as Bloomberg or Reuters. 
Quotation and last sale information for S&P 500 Options will be 
available via the Options Price Reporting Authority. Price information 
for U.S. Treasury Bonds will be available from major market data 
vendors. The Disclosed Portfolio will be available on the Fund's 
website (www.cambriafunds.com) free of charge. The Fund's website will 
include a form of the prospectus for the Fund and additional 
information related to NAV and other applicable quantitative 
information. Information

[[Page 28877]]

regarding market price and trading volume of the Shares will be 
continuously available throughout the day on brokers' computer screens 
and other electronic services. Information regarding the previous day's 
closing price and trading volume for the Shares will be published daily 
in the financial section of newspapers. Trading in the Shares may be 
halted for market conditions or for reasons that, in the view of the 
Exchange, make trading inadvisable. The Exchange deems the Shares to be 
equity securities, thus rendering trading in the Shares subject to the 
Exchange's existing rules governing the trading of equity securities. 
The Exchange has appropriate rules to facilitate trading in the Shares 
during all trading sessions. The Exchange prohibits the distribution of 
material non-public information by its employees. Quotation and last 
sale information for the Shares will be available via the CTA high-
speed line.
2. Statutory Basis
    The Exchange believes that the proposal is consistent with Section 
6(b) of the Act \22\ in general and Section 6(b)(5) of the Act \23\ 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 in that the Shares will meet each of the continued 
listing criteria in BZX Rule 14.11(i) with the exception of the 
Concentration Restriction in Rule 14.11(i)(4)(C)(iv)(b), which requires 
that the aggregate gross notional value of listed derivatives based on 
any five or fewer underlying reference assets shall not exceed 65% of 
the weight of the portfolio (including gross notional exposures), and 
the aggregate gross notional value of listed derivatives based on any 
single underlying reference asset shall not exceed 30% of the weight of 
the portfolio (including gross notional exposures).\24\ The Exchange 
believes that the diversity, liquidity, and market cap of the 
securities underlying the S&P 500 Index are sufficient to protect 
against market manipulation of both the Fund's holdings and the Shares 
as it relates to the S&P 500 Options holdings. The Exchange also 
believes that the liquidity in the S&P 500 Options market \25\ 
mitigates the concerns that Rule 14.11(i)(4)(C)(iv)(b) is intended to 
address and that such liquidity would also act to prevent other S&P 500 
Options from being susceptible to manipulation, and thus, make the 
Shares less susceptible to manipulation. Further, allowing the Fund to 
hold a greater portion of its portfolio in S&P 500 Options would mean 
that the Fund would not be required to use over-the-counter (``OTC'') 
derivatives if the Adviser deemed it necessary to get exposure in 
excess of the Concentration Restriction in Rule 14.11(i)(4)(C)(iv)(b), 
which would reduce the Fund's operational burden by allowing the Fund 
to use listed options contracts to achieve its investment objective and 
would eliminate the counter-party risk associated with holding OTC 
derivative instruments.
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    \22\ 15 U.S.C. 78f(b).
    \23\ 15 U.S.C. 78f(b)(5).
    \24\ As noted above, the Exchange is proposing that the Fund be 
exempt from the Concentration Restriction of Rule 
14.11(i)(4)(C)(iv)(b) that prevents the aggregate gross notional 
value of listed derivatives based on any five or fewer underlying 
reference assets from exceeding 65% of the weight of the portfolio 
(including gross notional exposures), and the aggregate gross 
notional value of listed derivatives based on any single underlying 
reference asset from exceeding 30% of the weight of the portfolio 
(including gross notional exposures).'' The Exchange is proposing 
that the Fund be exempt from both the 30% and 65% requirements of 
Rule 14.11(i)(4)(C)(iv)(b).
    \25\ In 2018, more than 1.48 million S&P 500 Options contracts 
were traded per day on Cboe Options, which is more than $350 billion 
in notional volume traded on a daily basis.
---------------------------------------------------------------------------

    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. The S&P 500 Options 
held by the Fund 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. The Exchange may obtain 
information regarding trading in the Shares and the S&P 500 Options 
held by the Fund via the ISG from other exchanges who are a member of 
ISG or affiliated with a member of ISG or with which the Exchange has 
entered into a comprehensive surveillance sharing agreement. The 
Exchange further notes that the Fund will meet and be subject to all 
other requirements of the generic listing rules and other applicable 
continued listing requirements for Managed Fund Shares under Rule 
14.11(i), including those requirements regarding the dissemination of 
key information such as the Disclosed Portfolio, Net Asset Value, and 
the Intraday Indicative Value, suspension of trading or removal, 
trading halts, surveillance, minimum price variation for quoting and 
order entry, the information circular, and firewalls as set forth in 
Exchange rules applicable to Managed Fund Shares.
    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, rather, will facilitate the options strategy of 
an actively-managed exchange-traded product that will allow the Fund to 
better compete in the marketplace, thus enhancing competition among 
both market participants and listing venues, 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

    Because the foregoing proposed rule change does not: (i) 
Significantly affect the protection of investors or the public 
interest; (ii) impose any significant burden on competition; and (iii) 
become operative for 30 days from the date on which it was filed, or 
such shorter time as the Commission may designate, it has become 
effective pursuant to Section 19(b)(3)(A) of the Act and Rule 19b-
4(f)(6) thereunder.\26\
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    \26\ In addition, Rule 19b-4(f)(6)(iii) requires a self-
regulatory organization to give the Commission written notice of its 
intent to file the proposed rule change at least five business days 
prior to the date of filing of the proposed rule change, or such 
shorter time as designated by the Commission. The Exchange has 
satisfied this requirement.
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    A proposed rule change filed under Rule 19b-4(f)(6) \27\ normally 
does not become operative for 30 days after the date of the filing. 
However, pursuant to Rule 19b-4(f)(6)(iii),\28\ the Commission may 
designate a shorter time if such action is consistent with the 
protection of investors and the public interest. In its filing with the 
Commission, the Exchange asked the Commission to

[[Page 28878]]

waive the 30-day operative delay to permit the Fund to immediately 
employ an investment strategy that would allow the Fund to hold listed 
derivatives based on a single underlying reference asset (i.e., S&P 500 
Options) in a manner that may not comply with the generic listing 
standards under Rule 14.11(i)(4)(C)(iv)(b). The Commission notes that 
the proposed rule change in this regard is similar to previously 
submitted proposals to list and trade series of Index Fund Shares and 
Managed Fund Shares with exposure to a single underlying reference 
asset (i.e., the S&P 500 Index) that were either approved by the 
Commission or effective upon filing.\29\ Thus, the Commission believes 
that waiver of the 30-day operative delay is consistent with the 
protection of investors and the public interest and hereby waives the 
30-day operative delay and designates the proposed rule change 
operative upon filing.\30\
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    \27\ 17 CFR 240.19b-4(f)(6).
    \28\ 17 CFR 240.19b-4(f)(6)(iii).
    \29\ See supra note 6. In the approval order for proposed rule 
change SR-CboeBZX-2018-029, the Commission noted that the proposing 
exchange stated that ``SPX options are among the most liquid index 
options in the U.S. and derive their value from the actively traded 
S&P 500 components. SPX options are cash-settled with no delivery of 
stocks or ETFs, and trade in competitive auction markets with price 
and quote transparency. The Exchange believes that the highly 
regulated S&P 500 options markets, and the broad base and scope of 
the S&P 500 Index, make securities that derive their value from that 
index, including S&P 500 options, less susceptible to potential 
market manipulation in view of market capitalization and liquidity 
of the S&P 500 Index components, price and quote transparency, and 
arbitrage opportunities.'' See Securities Exchange Act Release No. 
77045, supra note 6, 81 FR at 6917 n.15.
    \30\ For purposes only of waiving the operative delay, the 
Commission has considered the proposed rule's impact on efficiency, 
competition, and capital formation. See 15 U.S.C. 78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-CboeBZX-2019-055 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-CboeBZX-2019-055.This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (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 website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of such filing also will be available for inspection 
and copying at the principal office of the Exchange. All comments 
received will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-CboeBZX-2019-055 and should be submitted 
on or before July 11, 2019.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\31\
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    \31\ 17 CFR 200.30-3(a)(12).
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Vanessa A. Countryman,
Acting Secretary.
[FR Doc. 2019-13069 Filed 6-19-19; 8:45 am]
 BILLING CODE 8011-01-P
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