Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Order Granting Approval of a Proposed Rule Change, as Modified by Amendment Nos. 2 and 3, to List and Trade Shares of the Innovator-100 Buffer ETF Series, Innovator Russell 2000 Buffer ETF Series, Innovator-100 Power Buffer ETF Series, Innovator Russell 2000 Power Buffer ETF Series, Innovator-100 Ultra Buffer ETF Series, and Innovator Russell 2000 Ultra Buffer ETF Series Under Rule 14.11(i), 52152-52155 [2019-21246]

Download as PDF 52152 Federal Register / Vol. 84, No. 190 / Tuesday, October 1, 2019 / Notices III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action The foregoing rule change has become effective pursuant to Section 19(b)(3)(A)(ii) of the Act.14 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: (i) Necessary or appropriate in the public interest; (ii) for the protection of investors; or (iii) otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule should be approved or disapproved. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission’s internet comment form (https://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SR– Phlx–2019–36 on the subject line. jbell on DSK3GLQ082PROD with NOTICES 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–Phlx–2019–36. 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 the filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change. Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR–Phlx–2019–36 and should be submitted on or before October 22, 2019. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.15 Jill M. Peterson, Assistant Secretary. [FR Doc. 2019–21242 Filed 9–30–19; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–87108; File No. SR– CboeBZX–2019–067] Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Order Granting Approval of a Proposed Rule Change, as Modified by Amendment Nos. 2 and 3, to List and Trade Shares of the Innovator-100 Buffer ETF Series, Innovator Russell 2000 Buffer ETF Series, Innovator-100 Power Buffer ETF Series, Innovator Russell 2000 Power Buffer ETF Series, Innovator100 Ultra Buffer ETF Series, and Innovator Russell 2000 Ultra Buffer ETF Series Under Rule 14.11(i) September 25, 2019. I. Introduction On July 18, 2019, Cboe BZX Exchange, Inc. (‘‘Exchange’’ or ‘‘BZX’’) filed with the Securities and Exchange Commission (‘‘Commission’’), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 19b–4 thereunder,2 a proposed rule change to list and trade the shares (‘‘Shares’’) of the Innovator-100 Buffer ETF Series and Innovator Russell 2000 Buffer ETF Series (collectively, the ‘‘Buffer Funds’’), Innovator-100 Power Buffer ETF Series and Innovator Russell 2000 Power Buffer ETF Series (collectively, the ‘‘Power Buffer Funds’’), and Innovator-100 Ultra Buffer ETF Series and Innovator Russell 2000 15 17 CFR 200.30–3(a)(12). U.S.C.78s(b)(1). 2 17 CFR 240.19b–4. 1 15 14 15 U.S.C. 78s(b)(3)(A)(ii). VerDate Sep<11>2014 18:10 Sep 30, 2019 Jkt 250001 PO 00000 Frm 00093 Fmt 4703 Sfmt 4703 Ultra Buffer ETF Series (collectively, the ‘‘Ultra Buffer Funds,’’ and together with the Buffer Funds and Power Buffer Funds, the ‘‘Funds’’) under BZX Rule 14.11(i). The proposed rule change was published for comment in the Federal Register on August 5, 2019.3 On August 29, 2019, the Exchange filed Amendment No. 1 to the proposed rule change. On September 17, 2019, the Commission extended the time period within which to approve the proposed rule change, disapprove the proposed rule change, or institute proceedings to determine whether to approve or disapprove the proposed rule change.4 On September 19, 2019, the Exchange filed Amendment No. 2 to the proposed rule change, which amended and superseded the proposed rule change as modified by Amendment No. 1.5 On September 24, 2019, the Exchange filed partial Amendment No. 3 to the proposed rule change.6 The Commission has received no comments on the proposed rule change. This order approves the proposed rule change, as modified by Amendment Nos. 2 and 3. II. Description of the Proposed Rule Change, as Modified by Amendment Nos. 2 and 3 The Exchange proposes to list and trade the Shares under BZX Rule 14.11(i), which governs the listing and trading of Managed Fund Shares on the Exchange. In total, the Exchange is proposing to list and trade Shares of up to twelve monthly series of each of the Funds. The Shares will be offered by Innovator ETFs Trust (‘‘Trust’’), a Delaware statutory trust.7 The 3 See Securities Exchange Act Release No. 86511 (July 30, 2019), 84 FR 38078. 4 See Securities Exchange Act Release No. 86996, 84 FR 49779 (September 23, 2019) (extending the time period to November 3, 2019). 5 In Amendment No. 2, the Exchange: (1) Deleted its representation about the index provider implementing and maintaining a firewall; (2) modified the downside protection in the Buffer Funds from 10% to 9%; (3) clarified descriptions about the investment methodology of the Funds; (4) modified descriptive terms on the liquidity and competitive market for options on the reference indexes; (5) identified options exchanges trading standardized and FLexible EXchange Options (‘‘FLEX Options’’) on the reference indexes (6) updated volume information on standardized options in the reference indexes; and (7) made other technical, non-substantive changes. 6 The amendments to the proposed rule change are available at: https://www.sec.gov/comments/srcboebzx-2019-067/srcboebzx2019067.htm. In partial Amendment No. 3, the Exchange clarified a description related to the Buffer Funds. Because Amendment Nos. 2 and 3 do not materially alter the substance of the proposed rule change or raise unique or novel regulatory issues, Amendment Nos. 2 and 3 are not subject to notice and comment. 7 The Trust is registered with the Commission as an investment company and has filed a registration statement for each Fund with the Commission on E:\FR\FM\01OCN1.SGM 01OCN1 Federal Register / Vol. 84, No. 190 / Tuesday, October 1, 2019 / Notices investment adviser to the Funds is Innovator Capital Management, LLC (‘‘Adviser’’), and the sub-adviser to the Funds is Milliman Financial Risk Management LLC (‘‘Sub-Adviser’’). The investment objective of the Funds is to provide investors with returns that match those of the Nasdaq-100 Index (the ‘‘Nasdaq-100 Price Index’’) or the Russell 2000 Price Index (the ‘‘Russell 2000 Price Index’’) (collectively, the ‘‘Reference Indexes’’) over a period of approximately one year, while providing a level of protection from losses in the applicable Reference Index. A. Buffer Funds jbell on DSK3GLQ082PROD with NOTICES The Buffer Funds are actively managed funds that seek to provide investment returns that match the gains of the applicable Reference Index, up to a maximized annual return (the ‘‘Buffer Cap Level’’),8 while guarding against a decline in the Reference Index for the first 9%. Specifically, the Buffer Fund is designed to provide the following results during the outcome period: • If the Reference Index appreciates over the outcome period: The Buffer Fund is designed to provide a total return that matches the total return of the applicable Reference Index, up to the applicable Buffer Cap Level; • If the Reference Index decreases over the outcome period by 9% or less: The Buffer Fund is designed to provide a total return of zero; and • If the Reference Index depreciates over the outcome period by greater than 9%: The Buffer Fund is designed to provide a total return loss that is 9% less than the percentage loss on the Reference Index with a maximum loss of approximately 91%.9 The Buffer Fund is designed to produce these outcomes by including theoretically ‘‘purchased’’ and ‘‘written’’ FLEX Options that, when layered upon each other, are designed to buffer against losses of the applicable Reference Index and cap the level of possible gains. Form N–1A (File Nos. 333–146827 and 811–22135) (‘‘Registration Statement’’) under the Securities Act of 1933 (15 U.S.C. 77a), dated February 6, 2019. According to the Exchange, the description of the operation of the Funds and the Shares herein is based, in part, on the Registration Statement. 8 The Exchange states that the Buffer Cap Level will be determined with respect to each Buffer Fund on the inception date of the Buffer Fund and at the beginning of each outcome period. See Amendment No. 2, supra note 5, at 10–11. 9 The Exchange states that the Buffer Funds do not offer any protection against declines in the Reference Index exceeding 9% on an annualized basis. See id. at 10. Shareholders will bear all Reference Index losses exceeding 9% on a one-toone basis. See id. VerDate Sep<11>2014 18:10 Sep 30, 2019 Jkt 250001 Under Normal Market Conditions,10 each Buffer Fund will attempt to achieve its investment objective by taking positions that provide performance exposure that match the gains of the applicable Reference Index. Each Buffer Fund will invest primarily in exchange-traded options contracts that reference either the Reference Index or exchange traded funds (‘‘ETFs’’) that track the Reference Index.11 Any FLEX Options written by a Buffer Fund that create an obligation to sell or buy an asset will be offset with a position in FLEX Options purchased by the Buffer Fund to create the right to buy or sell the same asset such that the Buffer Fund will always be in a net long position. As the FLEX Options mature at the end of each outcome period, they are replaced. B. Power Buffer Funds The Power Buffer Funds are actively managed funds that seek to provide investment returns that match the gains of the applicable Reference Index, up to a maximized annual return (the ‘‘Power Buffer Cap Level’’),12 while guarding against a decline in the Reference Index for the first 15%. Specifically, the Power Buffer Fund is designed to provide the following results during the outcome period: • If the Reference Index appreciates over the outcome period: The Power Buffer Fund is designed to provide a total return that matches the total return of the applicable Reference Index, up to the applicable Power Buffer Cap Level; • If the Reference Index decreases over the outcome period by 15% or less: The Power Buffer Fund is designed to provide a total return of zero; and • If the Reference Index depreciates over the outcome period by greater than 15%: The Power Buffer Fund is designed to provide a total return loss that is 15% less than the percentage loss 10 As defined in BZX Rule 14.11(i)(3)(E), the term ‘‘Normal Market Conditions’’ includes, but is not limited to, the absence of trading halts in the applicable financial markets generally; operational issues causing dissemination of inaccurate market information or system failures; or force majeure type events such as natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption, or any similar intervening circumstance. 11 The FLEX Options owned by each of the Buffer Funds will have the same terms (i.e., same strike price and expiration) for all investors of a Buffer Fund within an outcome period. See Amendment No. 2, supra note 5, at 10. 12 The Exchange states that the Power Buffer Cap Level will be determined with respect to each Power Buffer Fund on the inception date of the Power Buffer Fund and at the beginning of each outcome period. See Amendment No. 2, supra note 5, at 12–13. PO 00000 Frm 00094 Fmt 4703 Sfmt 4703 52153 on the Reference Index with a maximum loss of approximately 85%.13 The Power Buffer Fund is designed to produce these outcomes by including theoretically ‘‘purchased’’ and ‘‘written’’ FLEX Options that, when layered upon each other, are designed to buffer against losses of the applicable Reference Index and cap the level of possible gains. Under Normal Market Conditions, each Power Buffer Fund will attempt to achieve its investment objective by taking positions that provide performance exposure that match the gains of the applicable Reference Index. Each Power Buffer Fund will invest primarily in exchange-traded options contracts that reference either the Reference Index or ETFs that track the Reference Index.14 Any FLEX Options written by a Power Buffer Fund that create an obligation to sell or buy an asset will be offset with a position in FLEX Options purchased by the Power Buffer Fund to create the right to buy or sell the same asset such that the Power Buffer Fund will always be in a net long position. As the FLEX Options mature at the end of each outcome period, they are replaced. C. Ultra Buffer Funds The Ultra Buffer Funds are actively managed funds that seek to provide investment returns that match the gains of the applicable Reference Index, up to a maximized annual return (the ‘‘Ultra Buffer Cap Level’’),15 while guarding against a decline in the Reference Index of between 5% and 35%. Specifically, the Ultra Buffer Fund is designed to provide the following results during the outcome period: • If the Reference Index appreciates over the outcome period: The Ultra Buffer Fund is designed to provide a total return that matches the total return of the applicable Reference Index, up to the applicable Ultra Buffer Cap Level; • If the Reference Index decreases over the outcome period by 5% or less: The Ultra Buffer Fund is designed to provide a total return loss that is equal 13 The Exchange states that the Power Buffer Funds do not offer any protection against declines in the Reference Index exceeding 15% on an annualized basis. See id. at 12. Shareholders will bear all Reference Index losses exceeding 15% on a one-to-one basis. See id. 14 The FLEX Options owned by each of the Power Buffer Funds will have the same terms (i.e., same strike price and expiration) for all investors of a Power Buffer Fund within an outcome period. See id. 15 The Exchange states that the Ultra Buffer Cap Level will be determined with respect to each Ultra Buffer Fund on the inception date of the Ultra Buffer Fund and at the beginning of each outcome period. See Amendment No. 2, supra note 5, at 12– 13. E:\FR\FM\01OCN1.SGM 01OCN1 52154 Federal Register / Vol. 84, No. 190 / Tuesday, October 1, 2019 / Notices to the percentage loss on the Reference Index; • If the Reference Index depreciates over the outcome period by 5%–35%: The Ultra Buffer Fund is designed to provide a total return loss of 5%; and • If the Reference Index depreciates over the outcome period by more than 35%: The Ultra Buffer Fund is designed to provide a total return loss that is 30% less than the percentage loss on the Reference Index with a maximum loss of approximately 70%.16 The Ultra Buffer Fund is designed to produce these outcomes by including theoretically ‘‘purchased’’ and ‘‘written’’ FLEX Options that, when layered upon each other, are designed to buffer against losses of the applicable Reference Index and cap the level of possible gains. Under Normal Market Conditions, each Ultra Buffer Fund will attempt to achieve its investment objective by taking positions that provide performance exposure that match the gains of the applicable Reference Index. Each Ultra Buffer Fund will invest primarily in exchange-traded options contracts that reference either the Reference Index or ETFs that track the Reference Index.17 Any FLEX Options written by a Ultra Buffer Fund that create an obligation to sell or buy an asset will be offset with a position in FLEX Options purchased by the Ultra Buffer Fund to create the right to buy or sell the same asset such that the Ultra Buffer Fund will always be in a net long position. As the FLEX Options mature at the end of each outcome period, they are replaced. D. Investment Methodology for the Funds jbell on DSK3GLQ082PROD with NOTICES As mentioned above, under Normal Market Conditions, each Fund would seek to achieve its respective investment objective by investing primarily in exchange-traded options contracts that reference either the Reference Index or ETFs that track the Reference Index. Each of the Funds might invest its net assets (in the aggregate) in other investments which the Adviser or SubAdviser believes would help each Fund meet its investment objective and that 16 The Exchange states that the Ultra Buffer Funds do not offer any protection against declines in the Reference Index exceeding 35% on an annualized basis. See id. at 14. Shareholders will bear all Reference Index losses exceeding 35% on a one-toone basis. See id. 17 The FLEX Options owned by each of the Ultra Buffer Funds will have the same terms (i.e., same strike price and expiration) for all investors of an Ultra Buffer Fund within an outcome period. See id. at 15. VerDate Sep<11>2014 18:10 Sep 30, 2019 Jkt 250001 would be disclosed at the end of each trading day (‘‘Other Assets’’).18 be available directly from the applicable options exchange. The intra-day, closing and settlement prices of exchangeIII. Discussion and Commission traded options will be readily available Findings from the options exchanges, automated After careful review, the Commission quotation systems, published or other finds that the Exchange’s proposal to list public sources, or online information and trade the Shares is consistent with services.23 In addition, price the Act and the rules and regulations information about cash equivalents will thereunder applicable to a national be available from major broker-dealer securities exchange.19 In particular, the firms or market data vendors, as well as Commission finds that the proposed from automated quotation systems, rule change, as modified by Amendment published or other public sources, or Nos. 2 and 3, is consistent with Section online information services.24 6(b)(5) of the Act,20 which requires, The Commission also believes that the among other things, that the Exchange’s proposal to list and trade the Shares is rules be designed to promote just and reasonably designed to promote fair equitable principles of trade, to remove disclosure of information that may be impediments to and perfect the necessary to price the Shares mechanism of a free and open market appropriately and to prevent trading and a national market system, and, in when a reasonable degree of general, to protect investors and the transparency cannot be assured. Under public interest. The Commission also BZX Rule 14.11(i)(4)(B)(iv), if the finds that the proposal to list and trade Exchange becomes aware that the Net the Shares on the Exchange is consistent Asset Value (‘‘NAV’’) or the Disclosed with Section 11A(a)(1)(C)(iii) of the Portfolio is not disseminated to all Act,21 which sets forth Congress’ finding market participants at the same time, that it is in the public interest and the Exchange is required to halt trading appropriate for the protection of in such series of Managed Fund Shares. investors and the maintenance of fair In addition, the Exchange represents and orderly markets to assure the that if the Funds or the Shares are not availability to brokers, dealers and in compliance with the applicable investors of information with respect to listing requirements for Managed Funds quotations for and transactions in Shares under BZX Rule 14.11(i), the securities. Exchange will commence delisting According to the Exchange, quotation procedures under BZX Rule 14.12 and last-sale information for U.S. (Failure to Meet Listing Standards).25 exchange-listed options contracts The Exchange also states that it has a cleared by The Options Clearing general policy prohibiting the Corporation will be available via the distribution of material, non-public 22 Options Price Reporting Authority. information by its employees.26 Further, RFQ information for FLEX Options will the Trust has represented that it will provide and maintain a publicly 18 Other Assets include only cash or cash available tool on its website that will equivalents, as defined in BZX Rule provide existing and prospective Fund 14.11(i)(4)(C)(iii), and standardized options contracts listed on a U.S. securities exchange that shareholders with certain information reference either the Reference Index or that for each of the Funds including, among reference ETFs that track the Reference Index other things, current NAV, start and end (‘‘Reference ETFs’’). As defined in BZX Rule dates of the current outcome period, and 14.11(i)(4)(C)(iii), cash equivalents include shortterm instruments with maturities of less than three the remaining buffer available for a months, including: (i) U.S. Government securities, shareholder purchasing Shares at the including bills, notes, and bonds differing as to current NAV or the amount of losses maturity and rates of interest, which are either issued or guaranteed by the U.S. Treasury or by U.S. that a shareholder purchasing Shares at Government agencies or instrumentalities; (ii) the current NAV would incur before certificates of deposit issued against funds benefitting from the protection of the deposited in a bank or savings and loan association; buffer.27 (iii) bankers acceptances, which are short-term The Shares do not qualify for generic credit instruments used to finance commercial transactions; (iv) repurchase agreements and reverse listing because the Funds will not repurchase agreements; (v) bank time deposits, satisfy the requirement of BZX Rule which are monies kept on deposit with banks or 14.11(i)(4)(C)(iv)(b) that the aggregate savings and loan associations for a stated period of gross notional value of listed derivatives time at a fixed rate of interest; (vi) commercial paper, which are short-term unsecured promissory based on any five or fewer underlying notes; and (vii) money market funds. reference assets shall not exceed 65% of 19 In approving this proposed rule change, the Commission has considered the proposed rule’s impact on efficiency, competition, and capital formation. See 15 U.S.C. 78c(f). 20 15 U.S.C. 78f(b)(5). 21 15 U.S.C. 78k–1(a)(1)(C)(iii). 22 See Amendment No. 2, supra note 5, at 21. PO 00000 Frm 00095 Fmt 4703 Sfmt 4703 23 See id. id. 25 See id. at 25. 26 See id. 27 See id. at 22. 24 See E:\FR\FM\01OCN1.SGM 01OCN1 Federal Register / Vol. 84, No. 190 / Tuesday, October 1, 2019 / Notices jbell on DSK3GLQ082PROD with NOTICES the weight of the portfolio and the aggregate gross notional value of listed derivatives based on any single underlying reference asset not exceed 30% of the weight of the portfolio (including gross notional exposures). Instead, the Funds will hold listed derivatives primarily on a single reference asset, the Nasdaq-100 Index or the Russell 2000 Price Index.28 Despite the exposure of the listed derivatives to a single reference asset, the Commission nevertheless believes that certain representations by the Exchange help to mitigate concerns about the prices of the Shares being susceptible to manipulation. Specifically, the Exchange represents that the market for options contracts for each Reference Index are liquid and derive their value from actively traded Reference Index components. Additionally, all of the options held by the Funds will trade on markets that are a member of ISG or affiliated with a member of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement.29 Additionally, in support of this proposal, the Exchange represents that: (1) The Funds and the Shares will satisfy all of the requirements applicable to Managed Fund Shares under BZX Rule 14.11(i), as well as the Generic Listing Standards other than BZX Rule 14.11(i)(4)(C)(iv)(b). (2) Trading in the Shares will be subject to the existing trading surveillances administered by the Exchange, as well as cross-market surveillances administered by FINRA, on behalf of the Exchange, which are designed to detect violations of Exchange rules and applicable federal securities laws. (3) For initial and continued listing, the Funds will be in compliance with Rule 10A–3 under the Act.30 (4) A minimum of 100,000 Shares will be outstanding at the commencement of trading on the Exchange.31 This approval order is based on all of the Exchange’s statements and representations, including those set forth above and in Amendment Nos. 2 and 3. 28 The Funds also may invest in options overlying Reference ETFs. See id. at 15. The Exchange states that each of the applicable Reference Indexes meet the generic listing standards applicable to indexes underlying series of Index Fund Shares listed on the Exchange, which include diversity, liquidity, and market cap requirements that are designed to ensure that an underlying index is not susceptible to manipulation. See id. at 17, n.14. 29 For a list of the current members of ISG, see www.isgportal.org. 30 17 CFR 240.10A–3. 31 See Amendment No. 2, supra note 5, at 20. VerDate Sep<11>2014 18:10 Sep 30, 2019 Jkt 250001 For the foregoing reasons, the Commission finds that the proposed rule change, as modified by Amendment Nos. 2 and 3 thereto, is consistent with Section 6(b)(5) of the Act 32 and the rules and regulations thereunder applicable to a national securities exchange. IV. Conclusion It is therefore ordered, pursuant to Section 19(b)(2) of the Act,33 that the proposed rule change (SR–CboeBZX– 2019–067), as modified by Amendment Nos. 2 and 3, be, and it hereby is, approved. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.34 Jill M. Peterson, Assistant Secretary. [FR Doc. 2019–21246 Filed 9–30–19; 8:45 am] BILLING CODE 8011–01–P SMALL BUSINESS ADMINISTRATION [Disaster Declaration # 16137 and # 16138; Michigan Disaster Number MI–00072] Administrative Declaration of a Disaster for the State of Michigan U.S. Small Business Administration. ACTION: Notice. AGENCY: This is a notice of an Administrative declaration of a disaster for the State of Michigan dated 09/25/ 2019. Incident: Severe Storms and Flooding. Incident Period: 04/30/2019 through 05/01/2019. DATES: Issued on 09/25/2019. Physical Loan Application Deadline Date: 11/25/2019. Economic Injury (EIDL) Loan Application Deadline Date: 06/25/2020. ADDRESSES: Submit completed loan applications to: U.S. Small Business Administration, Processing and Disbursement Center, 14925 Kingsport Road, Fort Worth, TX 76155. FOR FURTHER INFORMATION CONTACT: A. Escobar, Office of Disaster Assistance, U.S. Small Business Administration, 409 3rd Street SW, Suite 6050, Washington, DC 20416, (202) 205–6734. SUPPLEMENTARY INFORMATION: Notice is hereby given that as a result of the Administrator’s disaster declaration, applications for disaster loans may be filed at the address listed above or other locally announced locations. SUMMARY: 32 15 U.S.C. 78f(b)(5). 33 Id. 34 17 PO 00000 CFR 200.30–3(a)(12). Frm 00096 Fmt 4703 Sfmt 4703 52155 The following areas have been determined to be adversely affected by the disaster: Primary Counties: Wayne. Contiguous Counties: Michigan: Macomb, Monroe, Oakland, Washtenaw. The Interest Rates are: Percent For Physical Damage: Homeowners with Credit Available Elsewhere ...................... Homeowners without Credit Available Elsewhere .............. Businesses with Credit Available Elsewhere ...................... Businesses without Credit Available Elsewhere .............. Non-Profit Organizations with Credit Available Elsewhere ... Non-Profit Organizations without Credit Available Elsewhere ..................................... For Economic Injury: Businesses & Small Agricultural Cooperatives without Credit Available Elsewhere .............. Non-Profit Organizations without Credit Available Elsewhere ..................................... ................ 3.875 1.938 8.000 4.000 2.750 2.750 ................ 4.000 2.750 The number assigned to this disaster for physical damage is 16137 6 and for economic injury is 16138 0. The State which received an EIDL Declaration # is Michigan. (Catalog of Federal Domestic Assistance Number 59008) Christopher Pilkerton, Acting Administrator. [FR Doc. 2019–21212 Filed 9–30–19; 8:45 am] BILLING CODE 8026–03–P DEPARTMENT OF STATE [Public Notice: 10912] Notice of Determinations; Culturally Significant Objects Imported for Exhibition—Determinations: ‘‘Julie Mehretu’’ Exhibition SUMMARY: Notice is hereby given of the following determinations: I hereby determine that certain objects to be included in the exhibition ‘‘Julie Mehretu,’’ imported from abroad for temporary exhibition within the United States, are of cultural significance. The objects are imported pursuant to loan agreements with the foreign owners or custodians. I also determine that the exhibition or display of the exhibit objects at the Los Angeles County Museum of Art, Los Angeles, California, from on or about November 3, 2019, until on or about May 17, 2020; at the Whitney Museum of American Art, New E:\FR\FM\01OCN1.SGM 01OCN1

Agencies

[Federal Register Volume 84, Number 190 (Tuesday, October 1, 2019)]
[Notices]
[Pages 52152-52155]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-21246]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-87108; File No. SR-CboeBZX-2019-067]


Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Order 
Granting Approval of a Proposed Rule Change, as Modified by Amendment 
Nos. 2 and 3, to List and Trade Shares of the Innovator-100 Buffer ETF 
Series, Innovator Russell 2000 Buffer ETF Series, Innovator-100 Power 
Buffer ETF Series, Innovator Russell 2000 Power Buffer ETF Series, 
Innovator-100 Ultra Buffer ETF Series, and Innovator Russell 2000 Ultra 
Buffer ETF Series Under Rule 14.11(i)

September 25, 2019.

I. Introduction

    On July 18, 2019, Cboe BZX Exchange, Inc. (``Exchange'' or ``BZX'') 
filed with the Securities and Exchange Commission (``Commission''), 
pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to 
list and trade the shares (``Shares'') of the Innovator-100 Buffer ETF 
Series and Innovator Russell 2000 Buffer ETF Series (collectively, the 
``Buffer Funds''), Innovator-100 Power Buffer ETF Series and Innovator 
Russell 2000 Power Buffer ETF Series (collectively, the ``Power Buffer 
Funds''), and Innovator-100 Ultra Buffer ETF Series and Innovator 
Russell 2000 Ultra Buffer ETF Series (collectively, the ``Ultra Buffer 
Funds,'' and together with the Buffer Funds and Power Buffer Funds, the 
``Funds'') under BZX Rule 14.11(i). The proposed rule change was 
published for comment in the Federal Register on August 5, 2019.\3\ On 
August 29, 2019, the Exchange filed Amendment No. 1 to the proposed 
rule change. On September 17, 2019, the Commission extended the time 
period within which to approve the proposed rule change, disapprove the 
proposed rule change, or institute proceedings to determine whether to 
approve or disapprove the proposed rule change.\4\ On September 19, 
2019, the Exchange filed Amendment No. 2 to the proposed rule change, 
which amended and superseded the proposed rule change as modified by 
Amendment No. 1.\5\ On September 24, 2019, the Exchange filed partial 
Amendment No. 3 to the proposed rule change.\6\ The Commission has 
received no comments on the proposed rule change. This order approves 
the proposed rule change, as modified by Amendment Nos. 2 and 3.
---------------------------------------------------------------------------

    \1\ 15 U.S.C.78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 86511 (July 30, 
2019), 84 FR 38078.
    \4\ See Securities Exchange Act Release No. 86996, 84 FR 49779 
(September 23, 2019) (extending the time period to November 3, 
2019).
    \5\ In Amendment No. 2, the Exchange: (1) Deleted its 
representation about the index provider implementing and maintaining 
a firewall; (2) modified the downside protection in the Buffer Funds 
from 10% to 9%; (3) clarified descriptions about the investment 
methodology of the Funds; (4) modified descriptive terms on the 
liquidity and competitive market for options on the reference 
indexes; (5) identified options exchanges trading standardized and 
FLexible EXchange Options (``FLEX Options'') on the reference 
indexes (6) updated volume information on standardized options in 
the reference indexes; and (7) made other technical, non-substantive 
changes.
    \6\ The amendments to the proposed rule change are available at: 
https://www.sec.gov/comments/sr-cboebzx-2019-067/srcboebzx2019067.htm. In partial Amendment No. 3, the Exchange 
clarified a description related to the Buffer Funds. Because 
Amendment Nos. 2 and 3 do not materially alter the substance of the 
proposed rule change or raise unique or novel regulatory issues, 
Amendment Nos. 2 and 3 are not subject to notice and comment.
---------------------------------------------------------------------------

II. Description of the Proposed Rule Change, as Modified by Amendment 
Nos. 2 and 3

    The Exchange proposes to list and trade the Shares under BZX Rule 
14.11(i), which governs the listing and trading of Managed Fund Shares 
on the Exchange. In total, the Exchange is proposing to list and trade 
Shares of up to twelve monthly series of each of the Funds. The Shares 
will be offered by Innovator ETFs Trust (``Trust''), a Delaware 
statutory trust.\7\ The

[[Page 52153]]

investment adviser to the Funds is Innovator Capital Management, LLC 
(``Adviser''), and the sub-adviser to the Funds is Milliman Financial 
Risk Management LLC (``Sub-Adviser'').
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    \7\ The Trust is registered with the Commission as an investment 
company and has filed a registration statement for each Fund with 
the Commission on Form N-1A (File Nos. 333-146827 and 811-22135) 
(``Registration Statement'') under the Securities Act of 1933 (15 
U.S.C. 77a), dated February 6, 2019. According to the Exchange, the 
description of the operation of the Funds and the Shares herein is 
based, in part, on the Registration Statement.
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    The investment objective of the Funds is to provide investors with 
returns that match those of the Nasdaq-100 Index (the ``Nasdaq-100 
Price Index'') or the Russell 2000 Price Index (the ``Russell 2000 
Price Index'') (collectively, the ``Reference Indexes'') over a period 
of approximately one year, while providing a level of protection from 
losses in the applicable Reference Index.

A. Buffer Funds

    The Buffer Funds are actively managed funds that seek to provide 
investment returns that match the gains of the applicable Reference 
Index, up to a maximized annual return (the ``Buffer Cap Level''),\8\ 
while guarding against a decline in the Reference Index for the first 
9%. Specifically, the Buffer Fund is designed to provide the following 
results during the outcome period:
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    \8\ The Exchange states that the Buffer Cap Level will be 
determined with respect to each Buffer Fund on the inception date of 
the Buffer Fund and at the beginning of each outcome period. See 
Amendment No. 2, supra note 5, at 10-11.
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     If the Reference Index appreciates over the outcome 
period: The Buffer Fund is designed to provide a total return that 
matches the total return of the applicable Reference Index, up to the 
applicable Buffer Cap Level;
     If the Reference Index decreases over the outcome period 
by 9% or less: The Buffer Fund is designed to provide a total return of 
zero; and
     If the Reference Index depreciates over the outcome period 
by greater than 9%: The Buffer Fund is designed to provide a total 
return loss that is 9% less than the percentage loss on the Reference 
Index with a maximum loss of approximately 91%.\9\
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    \9\ The Exchange states that the Buffer Funds do not offer any 
protection against declines in the Reference Index exceeding 9% on 
an annualized basis. See id. at 10. Shareholders will bear all 
Reference Index losses exceeding 9% on a one-to-one basis. See id.
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    The Buffer Fund is designed to produce these outcomes by including 
theoretically ``purchased'' and ``written'' FLEX Options that, when 
layered upon each other, are designed to buffer against losses of the 
applicable Reference Index and cap the level of possible gains.
    Under Normal Market Conditions,\10\ each Buffer Fund will attempt 
to achieve its investment objective by taking positions that provide 
performance exposure that match the gains of the applicable Reference 
Index. Each Buffer Fund will invest primarily in exchange-traded 
options contracts that reference either the Reference Index or exchange 
traded funds (``ETFs'') that track the Reference Index.\11\ Any FLEX 
Options written by a Buffer Fund that create an obligation to sell or 
buy an asset will be offset with a position in FLEX Options purchased 
by the Buffer Fund to create the right to buy or sell the same asset 
such that the Buffer Fund will always be in a net long position. As the 
FLEX Options mature at the end of each outcome period, they are 
replaced.
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    \10\ As defined in BZX Rule 14.11(i)(3)(E), the term ``Normal 
Market Conditions'' includes, but is not limited to, the absence of 
trading halts in the applicable financial markets generally; 
operational issues causing dissemination of inaccurate market 
information or system failures; or force majeure type events such as 
natural or man-made disaster, act of God, armed conflict, act of 
terrorism, riot or labor disruption, or any similar intervening 
circumstance.
    \11\ The FLEX Options owned by each of the Buffer Funds will 
have the same terms (i.e., same strike price and expiration) for all 
investors of a Buffer Fund within an outcome period. See Amendment 
No. 2, supra note 5, at 10.
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B. Power Buffer Funds

    The Power Buffer Funds are actively managed funds that seek to 
provide investment returns that match the gains of the applicable 
Reference Index, up to a maximized annual return (the ``Power Buffer 
Cap Level''),\12\ while guarding against a decline in the Reference 
Index for the first 15%. Specifically, the Power Buffer Fund is 
designed to provide the following results during the outcome period:
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    \12\ The Exchange states that the Power Buffer Cap Level will be 
determined with respect to each Power Buffer Fund on the inception 
date of the Power Buffer Fund and at the beginning of each outcome 
period. See Amendment No. 2, supra note 5, at 12-13.
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     If the Reference Index appreciates over the outcome 
period: The Power Buffer Fund is designed to provide a total return 
that matches the total return of the applicable Reference Index, up to 
the applicable Power Buffer Cap Level;
     If the Reference Index decreases over the outcome period 
by 15% or less: The Power Buffer Fund is designed to provide a total 
return of zero; and
     If the Reference Index depreciates over the outcome period 
by greater than 15%: The Power Buffer Fund is designed to provide a 
total return loss that is 15% less than the percentage loss on the 
Reference Index with a maximum loss of approximately 85%.\13\
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    \13\ The Exchange states that the Power Buffer Funds do not 
offer any protection against declines in the Reference Index 
exceeding 15% on an annualized basis. See id. at 12. Shareholders 
will bear all Reference Index losses exceeding 15% on a one-to-one 
basis. See id.
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    The Power Buffer Fund is designed to produce these outcomes by 
including theoretically ``purchased'' and ``written'' FLEX Options 
that, when layered upon each other, are designed to buffer against 
losses of the applicable Reference Index and cap the level of possible 
gains.
    Under Normal Market Conditions, each Power Buffer Fund will attempt 
to achieve its investment objective by taking positions that provide 
performance exposure that match the gains of the applicable Reference 
Index. Each Power Buffer Fund will invest primarily in exchange-traded 
options contracts that reference either the Reference Index or ETFs 
that track the Reference Index.\14\ Any FLEX Options written by a Power 
Buffer Fund that create an obligation to sell or buy an asset will be 
offset with a position in FLEX Options purchased by the Power Buffer 
Fund to create the right to buy or sell the same asset such that the 
Power Buffer Fund will always be in a net long position. As the FLEX 
Options mature at the end of each outcome period, they are replaced.
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    \14\ The FLEX Options owned by each of the Power Buffer Funds 
will have the same terms (i.e., same strike price and expiration) 
for all investors of a Power Buffer Fund within an outcome period. 
See id.
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C. Ultra Buffer Funds

    The Ultra Buffer Funds are actively managed funds that seek to 
provide investment returns that match the gains of the applicable 
Reference Index, up to a maximized annual return (the ``Ultra Buffer 
Cap Level''),\15\ while guarding against a decline in the Reference 
Index of between 5% and 35%. Specifically, the Ultra Buffer Fund is 
designed to provide the following results during the outcome period:
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    \15\ The Exchange states that the Ultra Buffer Cap Level will be 
determined with respect to each Ultra Buffer Fund on the inception 
date of the Ultra Buffer Fund and at the beginning of each outcome 
period. See Amendment No. 2, supra note 5, at 12-13.
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     If the Reference Index appreciates over the outcome 
period: The Ultra Buffer Fund is designed to provide a total return 
that matches the total return of the applicable Reference Index, up to 
the applicable Ultra Buffer Cap Level;
     If the Reference Index decreases over the outcome period 
by 5% or less: The Ultra Buffer Fund is designed to provide a total 
return loss that is equal

[[Page 52154]]

to the percentage loss on the Reference Index;
     If the Reference Index depreciates over the outcome period 
by 5%-35%: The Ultra Buffer Fund is designed to provide a total return 
loss of 5%; and
     If the Reference Index depreciates over the outcome period 
by more than 35%: The Ultra Buffer Fund is designed to provide a total 
return loss that is 30% less than the percentage loss on the Reference 
Index with a maximum loss of approximately 70%.\16\
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    \16\ The Exchange states that the Ultra Buffer Funds do not 
offer any protection against declines in the Reference Index 
exceeding 35% on an annualized basis. See id. at 14. Shareholders 
will bear all Reference Index losses exceeding 35% on a one-to-one 
basis. See id.
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    The Ultra Buffer Fund is designed to produce these outcomes by 
including theoretically ``purchased'' and ``written'' FLEX Options 
that, when layered upon each other, are designed to buffer against 
losses of the applicable Reference Index and cap the level of possible 
gains.
    Under Normal Market Conditions, each Ultra Buffer Fund will attempt 
to achieve its investment objective by taking positions that provide 
performance exposure that match the gains of the applicable Reference 
Index. Each Ultra Buffer Fund will invest primarily in exchange-traded 
options contracts that reference either the Reference Index or ETFs 
that track the Reference Index.\17\ Any FLEX Options written by a Ultra 
Buffer Fund that create an obligation to sell or buy an asset will be 
offset with a position in FLEX Options purchased by the Ultra Buffer 
Fund to create the right to buy or sell the same asset such that the 
Ultra Buffer Fund will always be in a net long position. As the FLEX 
Options mature at the end of each outcome period, they are replaced.
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    \17\ The FLEX Options owned by each of the Ultra Buffer Funds 
will have the same terms (i.e., same strike price and expiration) 
for all investors of an Ultra Buffer Fund within an outcome period. 
See id. at 15.
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D. Investment Methodology for the Funds

    As mentioned above, under Normal Market Conditions, each Fund would 
seek to achieve its respective investment objective by investing 
primarily in exchange-traded options contracts that reference either 
the Reference Index or ETFs that track the Reference Index. Each of the 
Funds might invest its net assets (in the aggregate) in other 
investments which the Adviser or Sub-Adviser believes would help each 
Fund meet its investment objective and that would be disclosed at the 
end of each trading day (``Other Assets'').\18\
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    \18\ Other Assets include only cash or cash equivalents, as 
defined in BZX Rule 14.11(i)(4)(C)(iii), and standardized options 
contracts listed on a U.S. securities exchange that reference either 
the Reference Index or that reference ETFs that track the Reference 
Index (``Reference ETFs''). As defined in BZX Rule 
14.11(i)(4)(C)(iii), cash equivalents include short-term instruments 
with maturities of less than three months, including: (i) U.S. 
Government securities, including bills, notes, and bonds differing 
as to maturity and rates of interest, which are either issued or 
guaranteed by the U.S. Treasury or by U.S. Government agencies or 
instrumentalities; (ii) certificates of deposit issued against funds 
deposited in a bank or savings and loan association; (iii) bankers 
acceptances, which are short-term credit instruments used to finance 
commercial transactions; (iv) repurchase agreements and reverse 
repurchase agreements; (v) bank time deposits, which are monies kept 
on deposit with banks or savings and loan associations for a stated 
period of time at a fixed rate of interest; (vi) commercial paper, 
which are short-term unsecured promissory notes; and (vii) money 
market funds.
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III. Discussion and Commission Findings

    After careful review, the Commission finds that the Exchange's 
proposal to list and trade the Shares is consistent with the Act and 
the rules and regulations thereunder applicable to a national 
securities exchange.\19\ In particular, the Commission finds that the 
proposed rule change, as modified by Amendment Nos. 2 and 3, is 
consistent with Section 6(b)(5) of the Act,\20\ which requires, among 
other things, that the Exchange's rules be designed to promote just and 
equitable principles of trade, to remove impediments to and perfect the 
mechanism of a free and open market and a national market system, and, 
in general, to protect investors and the public interest. The 
Commission also finds that the proposal to list and trade the Shares on 
the Exchange is consistent with Section 11A(a)(1)(C)(iii) of the 
Act,\21\ which sets forth Congress' finding that it is in the public 
interest and appropriate for the protection of investors and the 
maintenance of fair and orderly markets to assure the availability to 
brokers, dealers and investors of information with respect to 
quotations for and transactions in securities.
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    \19\ In approving this proposed rule change, the Commission has 
considered the proposed rule's impact on efficiency, competition, 
and capital formation. See 15 U.S.C. 78c(f).
    \20\ 15 U.S.C. 78f(b)(5).
    \21\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
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    According to the Exchange, quotation and last-sale information for 
U.S. exchange-listed options contracts cleared by The Options Clearing 
Corporation will be available via the Options Price Reporting 
Authority.\22\ RFQ information for FLEX Options will be available 
directly from the applicable options exchange. The intra-day, closing 
and settlement prices of exchange-traded options will be readily 
available from the options exchanges, automated quotation systems, 
published or other public sources, or online information services.\23\ 
In addition, price information about cash equivalents will be available 
from major broker-dealer firms or market data vendors, as well as from 
automated quotation systems, published or other public sources, or 
online information services.\24\
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    \22\ See Amendment No. 2, supra note 5, at 21.
    \23\ See id.
    \24\ See id.
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    The Commission also believes that the proposal to list and trade 
the Shares is reasonably designed to promote fair disclosure of 
information that may be necessary to price the Shares appropriately and 
to prevent trading when a reasonable degree of transparency cannot be 
assured. Under BZX Rule 14.11(i)(4)(B)(iv), if the Exchange becomes 
aware that the Net Asset Value (``NAV'') or the Disclosed Portfolio is 
not disseminated to all market participants at the same time, the 
Exchange is required to halt trading in such series of Managed Fund 
Shares. In addition, the Exchange represents that if the Funds or the 
Shares are not in compliance with the applicable listing requirements 
for Managed Funds Shares under BZX Rule 14.11(i), the Exchange will 
commence delisting procedures under BZX Rule 14.12 (Failure to Meet 
Listing Standards).\25\ The Exchange also states that it has a general 
policy prohibiting the distribution of material, non-public information 
by its employees.\26\ Further, the Trust has represented that it will 
provide and maintain a publicly available tool on its website that will 
provide existing and prospective Fund shareholders with certain 
information for each of the Funds including, among other things, 
current NAV, start and end dates of the current outcome period, and the 
remaining buffer available for a shareholder purchasing Shares at the 
current NAV or the amount of losses that a shareholder purchasing 
Shares at the current NAV would incur before benefitting from the 
protection of the buffer.\27\
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    \25\ See id. at 25.
    \26\ See id.
    \27\ See id. at 22.
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    The Shares do not qualify for generic listing because the Funds 
will not satisfy the requirement of BZX Rule 14.11(i)(4)(C)(iv)(b) that 
the aggregate gross notional value of listed derivatives based on any 
five or fewer underlying reference assets shall not exceed 65% of

[[Page 52155]]

the weight of the portfolio and the aggregate gross notional value of 
listed derivatives based on any single underlying reference asset not 
exceed 30% of the weight of the portfolio (including gross notional 
exposures). Instead, the Funds will hold listed derivatives primarily 
on a single reference asset, the Nasdaq-100 Index or the Russell 2000 
Price Index.\28\ Despite the exposure of the listed derivatives to a 
single reference asset, the Commission nevertheless believes that 
certain representations by the Exchange help to mitigate concerns about 
the prices of the Shares being susceptible to manipulation. 
Specifically, the Exchange represents that the market for options 
contracts for each Reference Index are liquid and derive their value 
from actively traded Reference Index components. Additionally, all of 
the options held by the Funds will trade on markets that are a member 
of ISG or affiliated with a member of ISG or with which the Exchange 
has in place a comprehensive surveillance sharing agreement.\29\
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    \28\ The Funds also may invest in options overlying Reference 
ETFs. See id. at 15. The Exchange states that each of the applicable 
Reference Indexes meet the generic listing standards applicable to 
indexes underlying series of Index Fund Shares listed on the 
Exchange, which include diversity, liquidity, and market cap 
requirements that are designed to ensure that an underlying index is 
not susceptible to manipulation. See id. at 17, n.14.
    \29\ For a list of the current members of ISG, see 
www.isgportal.org.
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    Additionally, in support of this proposal, the Exchange represents 
that:
    (1) The Funds and the Shares will satisfy all of the requirements 
applicable to Managed Fund Shares under BZX Rule 14.11(i), as well as 
the Generic Listing Standards other than BZX Rule 
14.11(i)(4)(C)(iv)(b).
    (2) Trading in the Shares will be subject to the existing trading 
surveillances administered by the Exchange, as well as cross-market 
surveillances administered by FINRA, on behalf of the Exchange, which 
are designed to detect violations of Exchange rules and applicable 
federal securities laws.
    (3) For initial and continued listing, the Funds will be in 
compliance with Rule 10A-3 under the Act.\30\
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    \30\ 17 CFR 240.10A-3.
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    (4) A minimum of 100,000 Shares will be outstanding at the 
commencement of trading on the Exchange.\31\
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    \31\ See Amendment No. 2, supra note 5, at 20.
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    This approval order is based on all of the Exchange's statements 
and representations, including those set forth above and in Amendment 
Nos. 2 and 3.
    For the foregoing reasons, the Commission finds that the proposed 
rule change, as modified by Amendment Nos. 2 and 3 thereto, is 
consistent with Section 6(b)(5) of the Act \32\ and the rules and 
regulations thereunder applicable to a national securities exchange.
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    \32\ 15 U.S.C. 78f(b)(5).
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IV. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\33\ that the proposed rule change (SR-CboeBZX-2019-067), as 
modified by Amendment Nos. 2 and 3, be, and it hereby is, approved.
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    \33\ Id.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\34\
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    \34\ 17 CFR 200.30-3(a)(12).
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Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2019-21246 Filed 9-30-19; 8:45 am]
BILLING CODE 8011-01-P
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