[Federal Register Volume 85, Number 246 (Tuesday, December 22, 2020)]
[Notices]
[Pages 83657-83662]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-28150]



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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-90686; File No. SR-CboeBZX-2020-090]


Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of 
Filing and Immediate Effectiveness of a Proposed Rule To List and Trade 
Shares of the Invesco Real Assets ESG ETF and the Invesco US Large Cap 
Core ESG ETF, Each a Series of the Invesco Actively Managed Exchange-
Traded Fund Trust, Under Rule 14.11(m) (Tracking Fund Shares)

December 16, 2020.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on December 15, 2020, Cboe BZX Exchange, Inc. (the ``Exchange'' or 
``BZX'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I and II 
below, which Items have been prepared by the Exchange. The Commission 
is publishing this notice to solicit comments on the proposed rule 
change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade shares of the Invesco Real 
Assets ESG ETF and the Invesco US Large Cap Core ESG ETF pursuant to 
Rule 14.11(m), Tracking Fund Shares,\3\ which are securities issued by 
an actively managed open-end management investment company.\4\ The 
Exchange is submitting this proposal as required by Rule 
14.11(m)(2)(A), which provides that the Exchange must file separate 
proposals under Section 19(b) of the Act before listing and trading of 
a series of Tracking Fund Shares.
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    \3\ As defined in Rule 14.11(m)(3)(A), the term ``Tracking Fund 
Share'' means a security that: (i) Represents an interest in an 
investment company (``Investment Company'') registered under the 
Investment Company Act of 1940 (the ``1940 Act'') organized as an 
open-end management investment company, that invests in a portfolio 
of securities selected by the Investment Company's investment 
adviser consistent with the Investment Company's investment 
objectives and policies; (ii) is issued in a specified aggregate 
minimum number in return for a deposit of a specified Tracking 
Basket and/or a cash amount with a value equal to the next 
determined Net Asset Value (``NAV''); (iii) when aggregated in the 
same specified minimum number, may be redeemed at a holder's 
request, which holder will be paid a specified Tracking Basket and/
or a cash amount with a value equal to the next determined NAV; and 
(iv) the portfolio holdings for which are disclosed within at least 
60 days following the end of every fiscal quarter.
    \4\ Rule 14.11(m) was approved along with the listing and 
trading of three series of Tracking Fund Shares by the Commission on 
May 15, 2020. See Securities Exchange Act Release No. 88887 (May 15, 
2020), 85 FR 30990 (May 21, 2020) (the ``Tracking Fund Shares 
Approval Order'').
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    The text of the proposed rule change is also available on the 
Exchange's website (http://markets.cboe.com/us/equities/regulation/rule_filings/bzx/), at the Exchange's Office of the Secretary, and at 
the Commission's Public Reference Room.

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

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

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

1. Purpose
    The Exchange proposes to list and trade shares of the Invesco Real 
Assets ESG ETF and the Invesco US Large Cap Core ESG ETF pursuant to 
Rule 14.11(m), Tracking Fund Shares,\5\ which are securities issued by 
an actively managed open-end management investment company.\6\ The 
Exchange is submitting this proposal as required by Rule 
14.11(m)(2)(A), which provides that the Exchange must file separate 
proposals under Section 19(b) of the Act before listing and trading of 
a series of Tracking Fund Shares.
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    \5\ As defined in Rule 14.11(m)(3)(A), the term ``Tracking Fund 
Share'' means a security that: (i) Represents an interest in an 
investment company (``Investment Company'') registered under the 
Investment Company Act of 1940 (the ``1940 Act'') organized as an 
open-end management investment company, that invests in a portfolio 
of securities selected by the Investment Company's investment 
adviser consistent with the Investment Company's investment 
objectives and policies; (ii) is issued in a specified aggregate 
minimum number in return for a deposit of a specified Tracking 
Basket and/or a cash amount with a value equal to the next 
determined Net Asset Value (``NAV''); (iii) when aggregated in the 
same specified minimum number, may be redeemed at a holder's 
request, which holder will be paid a specified Tracking Basket and/
or a cash amount with a value equal to the next determined NAV; and 
(iv) the portfolio holdings for which are disclosed within at least 
60 days following the end of every fiscal quarter.
    \6\ Rule 14.11(m) was approved along with the listing and 
trading of three series of Tracking Fund Shares by the Commission on 
May 15, 2020. See Securities Exchange Act Release No. 88887 (May 15, 
2020), 85 FR 30990 (May 21, 2020) (the ``Tracking Fund Shares 
Approval Order'').
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    The Shares will be offered by the Trust, which was organized as a 
Delaware statutory trust on November 6, 2007. The Trust is registered 
with the Commission as an open-end investment company and has filed a 
registration statement on behalf of the Funds on Form N-1A with the 
Commission.\7\ Invesco Capital Management LLC (the ``Adviser'') will be 
the investment adviser to the Funds. The Adviser is not registered as a 
broker-dealer, but is affiliated with broker-dealers. The Adviser 
represents that a fire wall exists and will be maintained between the 
respective personnel at the Adviser and affiliated broker-dealers with 
respect to access to information concerning the composition and/or 
changes to each Fund's portfolio and Tracking Basket.\8\ Personnel who 
make decisions on a Fund's portfolio composition and/or Tracking Basket 
or who have access to nonpublic information regarding the Fund 
Portfolio \9\ and/or the Tracking Basket or changes thereto are subject 
to procedures designed to prevent the use and dissemination of material 
non-public information regarding such portfolio and/or Tracking Basket. 
The Funds' sub-adviser, Invesco Advisers, Inc. (the ``Sub-Adviser''), 
is not registered as a broker-dealer but is affiliated with broker-
dealers. Sub-Adviser personnel who make decisions regarding a Fund's 
Fund Portfolio and/or Tracking Basket or who have access to information 
regarding the Fund Portfolio and/or the Tracking Basket or changes 
thereto are subject to procedures designed to prevent the use and 
dissemination of material nonpublic information regarding the Fund's 
portfolio and/or Tracking Basket.

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In the event that (a) the Adviser or a Sub-Adviser becomes registered 
as a broker-dealer or newly affiliated with a broker-dealer; or (b) any 
new adviser or sub-adviser is a registered broker-dealer or becomes 
newly affiliated with a broker-dealer; it will implement and maintain a 
fire wall with respect to its relevant personnel or such broker-dealer 
affiliate, as applicable, regarding access to information concerning 
the composition and/or changes to the Fund Portfolio and/or Tracking 
Basket, and will be subject to procedures designed to prevent the use 
and dissemination of material non-public information regarding such 
portfolio and/or Tracking Basket. Any person or entity, including any 
service provider for the Funds, who has access to nonpublic information 
regarding a Fund Portfolio or Tracking Basket or changes thereto for a 
Fund or Funds will be subject to procedures designed to prevent the use 
and dissemination of material nonpublic information regarding the 
applicable Fund Portfolio or Tracking Basket or changes thereto. 
Further, any such person or entity that is registered as a broker-
dealer or affiliated with a broker-dealer, has erected and will 
maintain a ``fire wall'' between the person or entity and the broker-
dealer with respect to access to information concerning the composition 
and/or changes to such Fund Portfolio or Tracking Basket. Each Fund 
intends to qualify each year as a regulated investment company under 
Subchapter M of the Internal Revenue Code of 1986, as amended.
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    \7\ The Trust is registered under the 1940 Act. On September 25, 
2020, the Trust filed post-effective amendments to its registration 
statement on Form N-1A relating to each Fund (File No. 811-22148) 
(the ``Registration Statement''). The descriptions of the Funds 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 (the 
``Exemptive Order'') under the 1940 Act. See Investment Company Act 
of 1940 Release No. 34076 (October 27, 2020).
    \8\ As defined in Rule 14.11(m)(3)(E), the term ``Tracking 
Basket'' means the identities and quantities of the securities and 
other assets included in a basket that is designed to closely track 
the daily performance of the Fund Portfolio, as provided in the 
exemptive relief under the 1940 Act applicable to a series of 
Tracking Fund Shares.
    \9\ As defined in Rule 14.11(m)(3)(B), the term ``Fund 
Portfolio'' means the identities and quantities of the securities 
and other assets held by the Investment Company that will form the 
basis for the Investment Company's calculation of net asset value at 
the end of the business day.
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    The Shares will conform to the initial and continued listing 
criteria under Rule 14.11(m) as well as all terms in the Exemptive 
Order. The Exchange represents that, for initial and/or continued 
listing, each Fund will be in compliance with Rule 10A-3 under the 
Act.\10\ A minimum of 100,000 Shares of each Fund will be outstanding 
at the commencement of trading on the Exchange. The Exchange will 
obtain a representation from the issuer of the Shares of each Fund that 
the NAV per share of each Fund will be calculated daily and will be 
made available to all market participants at the same time. Each Fund's 
investments will be consistent with its investment objective and will 
not be used to enhance leverage.
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    \10\ See 17 CFR 240.10A-3.
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Invesco Real Assets ESG ETF
    The Fund's holdings will conform to the permissible investments as 
set forth in the Exemptive Relief and the holdings will be consistent 
with all requirements in the Exemptive Relief.\11\ Any foreign common 
stocks held by the Fund will be traded on an exchange that is a member 
of the Intermarket Surveillance Group (``ISG'') \12\ or with which the 
Exchange has in place a comprehensive surveillance sharing agreement.
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    \11\ Pursuant to the Exemptive Relief, the Fund's permissible 
investments include only the following instruments: ETFs, exchange-
traded notes, exchange-traded common stocks, common stocks listed on 
a foreign exchange that trade on such exchange contemporaneously 
with the Shares (``foreign common stocks''), exchange-traded 
preferred stocks, exchange-traded American Depositary Receipts 
(``ADRs''), exchange-traded real estate investment trusts, exchange-
traded commodity pools, exchange-traded metals trusts, exchange-
traded currency trusts, and exchange-traded futures that trade 
contemporaneously with the Shares, as well as cash and cash 
equivalents. With the exception of foreign common stocks and cash 
and cash equivalents, all holdings of the Fund will be listed on a 
U.S. national securities exchange.
    \12\ For a list of the current members of ISG, see 
www.isgportal.com. The Exchange notes that all components, except 
the cash and cash equivalent components, of the Funds 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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    The Fund seeks capital appreciation as its investment objective 
with a secondary objective of current income. The Fund seeks to achieve 
its investment objective by investing primarily in exchange-traded 
equity securities of ``real assets'' companies (as identified below) 
located in North America that meet high environmental, social and 
governance (``ESG'') standards, as determined by the Sub-Adviser. Real 
assets are characterized by having physical attributes, including real 
estate, infrastructure, natural resources and timber. The Sub-Adviser 
considers ``real assets'' companies to be those that own, operate, or 
derive a significant portion of their value from real assets or the 
production thereof. In selecting equity securities for the Fund, the 
investment team uses fundamental analysis to identify securities that 
adhere to ESG principals described herein and are viewed to have 
relatively favorable long-term prospects. Some of the factors that the 
investment team considers include, but are not limited to: Assessment 
of long term fundamental growth, sustainable dividends, attractive 
physical and locational attributes and capital structure viability. As 
a result of the analysis, the investment team generally favors 
companies with a balanced mix of the factors above. The investment team 
will consider selling a security when it no longer meets the investment 
criteria, or a more attractive alternative is identified. The Fund may 
invest in companies of any market capitalization.
Invesco US Large Cap Core ESG ETF
    The Fund's holdings will conform to the permissible investments as 
set forth in the Exemptive Relief and the holdings will be consistent 
with all requirements in the Exemptive Relief.\13\ Any foreign common 
stocks held by the Fund will be traded on an exchange that is a member 
of ISG or with which the Exchange has in place a comprehensive 
surveillance sharing agreement.\14\
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    \13\ Pursuant to the Exemptive Relief, the Fund's permissible 
investments include only the following instruments: ETFs, exchange-
traded notes, exchange-traded common stocks, foreign common stocks, 
exchange-traded preferred stocks, ADRs, exchange-traded real estate 
investment trusts, exchange-traded commodity pools, exchange-traded 
metals trusts, exchange-traded currency trusts, and exchange-traded 
futures that trade contemporaneously with the Shares, as well as 
cash and cash equivalents. With the exception of foreign common 
stocks and cash and cash equivalents, all holdings of the Fund will 
be listed on a U.S. national securities exchange.
    \14\ For a list of the current members of ISG, see 
www.isgportal.com. The Exchange notes that all components, except 
the cash and cash equivalent components, of the Funds 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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    The Fund seeks capital appreciation as its investment objective. 
The Fund seeks to achieve its investment objective by investing, under 
Normal Market Conditions,\15\ at least 80% of its net assets (plus any 
borrowings for investment purposes) in exchange-traded equity 
securities of U.S. large capitalization issuers. Additionally, the Fund 
seeks to achieve its investment objective by investing mainly in common 
stock of U.S. companies that meet high ESG standards, as determined by 
the Sub-Adviser.
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    \15\ As defined in Rule 14.11(m)(3)(D), the term ``Normal Market 
Conditions'' includes, but is not limited to, the absence of trading 
halts in the applicable financial markets generally; operational 
issues (e.g., systems failure) causing dissemination of inaccurate 
market information; 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.
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Trading Halts
    Rule 14.11(m)(4)(B)(iv) provides that (a) the Exchange may consider 
all relevant factors in exercising its discretion to halt trading in a 
series of Tracking Fund Shares. Trading may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable. These may include: (i) The extent to 
which trading is not occurring in the securities and/or the financial 
instruments composing the Tracking Basket or Fund Portfolio; or (ii) 
whether other unusual conditions or circumstances detrimental to the

[[Page 83659]]

maintenance of a fair and orderly market are present; and (b) if the 
Exchange becomes aware that one of the following is not being made 
available to all market participants at the same time: The net asset 
value, the Tracking Basket, or the Fund Portfolio with respect to a 
series of Tracking Fund Shares, then the Exchange will halt trading in 
such series until such time as the net asset value, the Tracking 
Basket, or the Fund Portfolio is available to all market participants, 
as applicable.
Trading Rules
    The Exchange deems Tracking Fund Shares to be equity securities, 
thus rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities.\16\ As provided in 
Rule 14.11(m)(2)(C), the minimum price variation for quoting and entry 
of orders in securities traded on the Exchange is $0.01. The Exchange 
has appropriate rules to facilitate trading in Tracking Fund Shares 
during all trading sessions.
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    \16\ With respect to trading in Tracking Fund Shares, all of the 
BZX Member obligations relating to product description and 
prospectus delivery requirements will continue to apply in 
accordance with Exchange rules and federal securities laws, and the 
Exchange will continue to monitor its Members for compliance with 
such requirements.
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Tracking Basket for the Proposed Funds
    For the Funds, the Tracking Basket will consist of a combination of 
the Fund's recently disclosed portfolio holdings and representative 
ETFs. The Exchange notes that the Tracking Basket methodology used by 
the Fund is substantively identical to a proposal previously approved 
by the Commission.\17\ ETFs selected for inclusion in the Tracking 
Basket will be consistent with the Fund's objective and selected based 
on certain criteria, including, but not limited to, liquidity, assets 
under management, holding limits and compliance considerations. 
Representative ETFs can provide a useful mechanism to reflect a Fund's 
holdings' exposures within the Tracking Basket without revealing a 
Fund's exact positions.\18\ Intraday pricing information for all 
constituents of the Tracking Basket that are exchange-traded, which 
includes all eligible instruments except cash and cash equivalents, 
will be available on the exchanges on which they are traded and through 
subscription services. Intraday pricing information for cash 
equivalents will be available through subscription services and/or 
pricing services. The Exchange notes that each Fund's NAV will form the 
basis for creations and redemptions for the Funds and creations and 
redemptions will work in a manner substantively identical to that of 
series of Managed Fund Shares. The Adviser expects that the Shares of 
the Funds will generally be created and redeemed in-kind, with limited 
exceptions. The names and quantities of the instruments that constitute 
the basket of securities for creations and redemptions will be the same 
as a Fund's Tracking Basket, except to the extent purchases and 
redemptions are made entirely or in part on a cash basis. In the event 
that the value of the Tracking Basket is not the same as a Fund's NAV, 
the creation and redemption baskets will consist of the securities 
included in the Tracking Basket plus or minus an amount of cash equal 
to the difference between the NAV and the value of the Tracking Basket, 
as further described below.
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    \17\ See Tracking Fund Shares Approval Order.
    \18\ The set of ETFs that are ``representative'' to be used in 
the Tracking Basket will depend on certain factors, including the 
Fund's investment objective, past holdings, and benchmark, and may 
change from time to time. For example, a U.S. diversified fund 
benchmarked to a diversified U.S. index would use liquid U.S. 
exchange-traded ETFs to capture size (large, mid or small 
capitalization), style (growth or value) and/or sector exposures in 
the Fund's portfolio. Leveraged and inverse ETFs will not be 
included in the Tracking Basket. ETFs may constitute no more than 
50% of the Tracking Basket's assets.
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    The Tracking Basket will be constructed utilizing a covariance 
matrix based on an optimization process to minimize deviations in the 
return of the Tracking Basket relative to the Fund. The proprietary 
optimization process mathematically seeks to minimize three key 
parameters that the Adviser believes are important to the effectiveness 
of the Tracking Basket as a hedge: Tracking error (standard deviation 
of return differentials between the Tracking Basket and the Fund), 
turnover cost, and basket creation cost.\19\ Typically, the Tracking 
Basket is expected to be rebalanced on schedule with the public 
disclosure of the Fund's holdings; however, a new optimized Tracking 
Basket may be generated as frequently as daily, and therefore, 
rebalancing may occur more frequently at the Adviser's discretion. In 
determining whether to rebalance a new optimized Tracking Basket, the 
Adviser will consider various factors, including liquidity of the 
securities in the Tracking Basket, tracking error, and the cost to 
create and trade the Tracking Basket.\20\ For example, if the Adviser 
determines that a new Tracking Basket would reduce the variability of 
return differentials between the Tracking Basket and the Fund when 
balanced against the cost to trade the new Tracking Basket, rebalancing 
may be appropriate. The Adviser will periodically review the Tracking 
Basket parameters and Tracking Basket performance and process.
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    \19\ Tracking error measures the deviations between the Tracking 
Basket and Fund. Turnover cost and basket creation cost are measures 
of the cost to create and maintain the Tracking Basket as a hedge.
    \20\ The Adviser uses a trading cost model to develop estimates 
of costs to trade a new Tracking Basket. There are essentially two 
elements to this cost: (1) The cost to purchase securities 
constituting the Tracking Basket, i.e., the cost to put on the hedge 
for the Authorized Participant, and (2) the cost of any adjustments 
that need to be made to the composition of the Tracking Basket, 
i.e., the cost to the Authorized Participant to change or maintain 
the hedge position. The inclusion of the trading cost model in the 
optimization process is intended to result in a Tracking Basket that 
is cost effective and liquid without compromising its tracking 
ability.
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    As noted above, each Fund will also disclose the entirety of its 
portfolio holdings, including the name, identifier, market value and 
weight of each security and instrument in the portfolio, at a minimum 
within at least 60 days following the end of every fiscal quarter. The 
Exchange notes that the concept of the Tracking Basket employed under 
this structure is designed to provide investors with the traditional 
benefits of ETFs while protecting the Funds from the potential for 
front running or free riding of portfolio transactions, which could 
adversely impact the performance of a Fund.
    The Exchange believes that the particular instruments that may be 
included in each of the Fund's respective Fund Portfolio and Tracking 
Basket do not raise any concerns related to the Tracking Baskets being 
able to closely track the NAV of the Funds because such instruments 
include only instruments that trade on an exchange contemporaneously 
with the Shares.\21\ In addition, each Fund's Tracking Basket will be 
optimized so that it reliably and consistently correlates to the 
performance of the Fund.
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    \21\ The Exchange notes that to the extent that the Fund 
Portfolio or Tracking Basket include any foreign common stocks, such 
securities will be traded on an exchange that is a member of ISG or 
with which the Exchange has in place a comprehensive surveillance 
sharing agreement.
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    The Adviser anticipates that the returns between a Fund and its 
respective Tracking Basket will have a consistent relationship and that 
the deviation in the returns between a Fund and its Tracking Basket 
will be sufficiently small such that the Tracking Basket will provide 
authorized participants, arbitrageurs, and certain other market 
participants (collectively, ``Market Makers'') with a reliable hedging 
vehicle that they can use to effectuate low-risk arbitrage trades in 
Fund Shares. The Exchange believes

[[Page 83660]]

that the disclosures provided by the Funds will allow Market Makers to 
understand the relationship between the performance of a Fund and its 
Tracking Basket. Market Makers will be able to estimate the value of 
and hedge positions in a Fund's Shares, which the Exchange believes 
will facilitate the arbitrage process and help ensure that the Fund's 
Shares normally will trade at market prices close to their NAV. The 
Exchange also believes that competitive market making, where traders 
are looking to take advantage of differences in bid-ask spread, will 
aid in keeping spreads tight.
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.
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    \22\ 15 U.S.C. 78f.
    \23\ 15 U.S.C. 78f(b)(5).
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    The Exchange notes that a significant amount of information about 
each Fund and its Fund Portfolio will be publicly available at all 
times. Each Fund will disclose the Tracking Basket, which is designed 
to closely track the daily performance of the Fund Portfolio, on a 
daily basis. Each Fund will at a minimum publicly disclose the entirety 
of its portfolio holdings, including the name, identifier, market value 
and weight of each security and instrument in the portfolio within at 
least 60 days following the end of every fiscal quarter in a manner 
consistent with normal disclosure requirements otherwise applicable to 
open-end investment companies registered under the 1940 Act. The 
website will include additional quantitative information updated on a 
daily basis, including, on a per Share basis for each Fund, the prior 
business day's NAV and the closing price or bid/ask price at the time 
of calculation of such NAV, and a calculation of the premium or 
discount of the closing price or bid/ask price against such NAV. The 
website will also disclose the percentage weight overlap between the 
holdings of the Tracking Basket compared to the Fund Holdings for the 
prior business day and any information regarding the bid/ask spread for 
each Fund as may be required for other ETFs under Rule 6c-11 under the 
1940 Act, as amended. Price information for the exchange-listed 
instruments held by the Funds, including both U.S. and non-U.S. listed 
equity securities and U.S. exchange-listed futures will be available 
through major market data vendors or securities exchanges listing and 
trading such securities.
    The Exchange represents that the Shares of the Funds will continue 
to comply with all other requirements applicable to Tracking Fund 
Shares, including the dissemination of key information such as the 
Tracking Basket, the Fund Portfolio, and NAV, suspension of trading or 
removal, trading halts, surveillance, minimum price variation for 
quoting and order entry, an information circular informing members of 
the special characteristics and risks associated with trading in the 
Shares, and firewalls as set forth in the Rules applicable to Tracking 
Fund Shares and the order approving such rules. Moreover, U.S.-listed 
equity securities held by the Funds will trade on markets that are a 
member of ISG or with which the Exchange has in place a comprehensive 
surveillance sharing agreement.\24\ 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 (as 
applicable), or the applicability of Exchange listing rules specified 
in this filing shall constitute continued listing requirements for the 
Shares. The issuer has represented to the Exchange that it will advise 
the Exchange of any failure by a Fund or Shares to comply with the 
continued listing requirements, and, pursuant to its obligations under 
Section 19(g)(1) of the Act, the Exchange will surveil for compliance 
with the continued listing requirements. FINRA conducts certain cross-
market surveillances on behalf of the Exchange pursuant to a regulatory 
services agreement. The Exchange is responsible for FINRA's performance 
under this regulatory services agreement. If a Fund is not in 
compliance with the applicable listing requirements, the Exchange will 
commence delisting procedures with respect to such Fund under Exchange 
Rule 14.12.
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    \24\ See supra note 14.
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    The Exchange believes that the proposal is designed to prevent 
fraudulent and manipulative acts and practices in that the Rules 
relating to listing and trading of Tracking Fund Shares provide 
specific initial and continued listing criteria required to be met by 
such securities.
    Rules 14.11(m)(4)(B)(iii) and (iv) provide that the Exchange will 
consider the suspension of trading in and will commence delisting 
proceedings for a Fund pursuant to Rule 14.12 under any of the 
circumstances described above and that the Exchange may consider all 
relevant factors in exercising its discretion to halt trading in a 
series of Tracking Fund Shares. Trading may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable.
    Additionally, the Exchange believes that the requirements related 
to information protection enumerated under Rule 14.11(m)(2)(F) will act 
as a strong safeguard against any misuse and improper dissemination of 
information related to a Fund Portfolio, the Tracking Basket, or 
changes thereto. The requirement that any person or entity, including a 
custodian, Reporting Authority, distributor, or administrator, who has 
access to nonpublic information regarding the Fund Portfolio or the 
Tracking Basket or changes thereto, must be subject to procedures 
designed to prevent the use and dissemination of material nonpublic 
information regarding the applicable Fund Portfolio or the Tracking 
Basket or changes thereto will act to prevent any individual or entity 
from sharing such information externally.
    The Exchange believes that its surveillance procedures are adequate 
to properly monitor the trading of the Shares on the Exchange during 
all trading sessions and to deter and detect violations of Exchange 
rules and the applicable federal securities laws. Trading of the Shares 
through the Exchange will be subject to the Exchange's surveillance 
procedures for derivative products, including Tracking Fund Shares. If 
a Fund is not in compliance with the applicable listing requirements, 
the Exchange will commence delisting procedures under Exchange Rule 
14.12. In addition, the Exchange also has a general policy prohibiting 
the distribution of material, non-public information by its employees. 
Any foreign common stocks held by the Fund will be traded on an 
exchange that is a member of ISG or with which the Exchange has in 
place a comprehensive surveillance sharing agreement. All futures 
contracts that the Funds may invest in will be traded on a U.S. futures 
exchange. The Exchange or FINRA, on behalf of the Exchange, or both, 
will communicate as needed regarding trading in the Shares,

[[Page 83661]]

underlying U.S. exchange-listed equity securities, and U.S. exchange-
listed futures with other markets and other entities that are members 
of ISG, and the Exchange or FINRA, on behalf of the Exchange, or both, 
may obtain trading information regarding trading such instruments from 
such markets and other entities. In addition, the Exchange may obtain 
information regarding trading in the Shares, underlying equity 
securities, and U.S. exchange-listed futures from markets and other 
entities that are members of ISG or with which the Exchange has in 
place a comprehensive surveillance sharing agreement.
    As provided in Rule 14.11(m)(2)(D), the Adviser will upon request 
make available to the Exchange and/or FINRA, on behalf of the Exchange, 
the daily Fund Portfolio of each Fund. The Exchange believes that the 
ability to access the information on an as needed basis will provide it 
with sufficient information to perform the necessary regulatory 
functions associated with listing and trading the Shares on the 
Exchange, including the ability to monitor compliance with the initial 
and continued listing requirements as well as the ability to surveil 
for manipulation of the Shares.
    In addition, Form N-PORT requires reporting of a fund's complete 
portfolio holdings on a position-by-position basis on a quarterly basis 
within 60 days after fiscal quarter end. Investors can obtain a fund's 
Statement of Additional Information, its Shareholder Reports, its Form 
N-CSR, filed twice a year, and its Form N-CEN, filed annually. A fund's 
SAI and Shareholder Reports are available free upon request from the 
Investment Company, and those documents and the Form N-PORT, Form N-
CSR, and Form N-CEN may be viewed on-screen or downloaded from the 
Commission's website at www.sec.gov. The Exchange also notes that the 
Exemptive Relief provides that the Funds will comply with Regulation 
Fair Disclosure, which prohibits selective disclosure of any material 
non-public information, which otherwise do not apply to issuers of 
Tracking Fund Shares.
    Information regarding market price and trading volume of the Shares 
will be continually available on a real-time basis throughout the day 
on brokers' computer screens and other electronic services. Information 
regarding the previous day's closing price and trading volume 
information for the Shares will be published daily in the financial 
section of newspapers. Quotation and last sale information for the 
Shares will be available via the CTA high-speed line. The Exchange 
deems Tracking Fund Shares to be equity securities, thus rendering 
trading in the Shares subject to the Exchange's existing rules 
governing the trading of equity securities. As provided in Rule 
14.11(m)(2)(C), the minimum price variation for quoting and entry of 
orders in securities traded on the Exchange is $0.01.
    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. Rather, the Exchange notes 
that the proposed rule change will facilitate the listing of several 
new series of actively-managed exchange-traded products, 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 \25\ and Rule 19b-
4(f)(6) thereunder.\26\
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    \25\ 15 U.S.C. 78s(b)(3)(A).
    \26\ 17 CFR 240.19b-4(f)(6). 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, along 
with a brief description and text of 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. The Exchange has asked 
the Commission to waive the 30-day operative delay. The proposed rule 
change is substantially similar to other Tracking Fund Shares the 
Commission previously approved \29\ and does not raise any novel 
regulatory issues. Accordingly, the Commission waives the 30-day 
operative delay and designates the proposal 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 Securities Exchange Act Release No. 88887 (May 15, 
2020), 85 FR 30990 (May 21, 2020) (SR-CboeBZX-2019-107) (Notice of 
Filing of Amendment No. 5 and Order Granting Accelerated Approval of 
a Proposed Rule Change, as Modified by Amendment No. 5, to Adopt 
Rule 14.11(m), Tracking Fund Shares, and to List and Trade Shares of 
the Fidelity Blue Chip Value ETF, Fidelity Blue Chip Growth ETF, and 
Fidelity New Millennium ETF). See also Securities Exchange Act 
Release No. 90530 (November 30, 2020), 85 FR 78366 (December 4, 
2020) (SR-CboeBZX-2020-085) (Notice of Filing and Immediate 
Effectiveness of a Proposed Rule Change Relating to List and Trade 
Shares of the Fidelity Growth Opportunities ETF, Fidelity Magellan 
ETF, Fidelity Real Estate Investment ETF, and Fidelity Small-Mid Cap 
Opportunities ETF).
    \30\ For purposes only of waiving the 30-day operative delay, 
the Commission has also 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. If the Commission 
takes such action, the Commission will institute proceedings to 
determine whether the proposed rule change 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 (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-CboeBZX-2020-090 on the subject line.

Paper Comments

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


[[Page 83662]]


All submissions should refer to File Number SR-CboeBZX-2020-090. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for inspection 
and copying at the principal office of the Exchange. All comments 
received will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-CboeBZX-2020-090 and should be submitted 
on or before January 12, 2021.

    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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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-28150 Filed 12-21-20; 8:45 am]
BILLING CODE 8011-01-P


