[Federal Register Volume 86, Number 192 (Thursday, October 7, 2021)]
[Notices]
[Pages 55873-55879]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-21880]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-93229; File No. SR-CboeBZX-2020-053]


Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Order 
Setting Aside Action by Delegated Authority and Approving a Proposed 
Rule Change, as Modified by Amendment Nos. 2 and 4, To List and Trade 
Shares of the 2x Long VIX Futures ETF Under BZX Rule 14.11(f)(4) (Trust 
Issued Receipts)

October 1, 2021.

I. Introduction

    On June 23, 2020, Cboe BZX Exchange, Inc. (``BZX'') filed with the 
Securities and Exchange Commission (``Commission''), pursuant to 
Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'' or 
``Exchange Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule 
change to list and trade shares (``Shares'') of the 2x Long VIX Futures 
ETF (``Fund''), a series of VS Trust (``Trust''), under BZX Rule 
14.11(f)(4).\3\
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ On June 26, 2020, the Exchange filed Amendment No. 1 to the 
proposed rule change. The proposed rule change, as modified by 
Amendment No. 1, was published for comment in the Federal Register 
on July 10, 2020. See Securities Exchange Act Release No. 89234 
(Jul. 6, 2020), 85 FR 41644. On August 13, 2020, the Commission 
extended the time period for Commission action on the proposed rule 
change. See Securities Exchange Act Release No. 89545, 85 FR 51124 
(Aug. 19, 2020). On October 7, 2020, the Commission instituted 
proceedings pursuant to Section 19(b)(2)(B) of the Act (15 U.S.C. 
78s(b)(2)(B)) to determine whether to approve or disapprove the 
proposed rule change, as modified by Amendment No. 1. See Securities 
Exchange Act Release No. 90118, 85 FR 64563 (Oct. 13, 2020) 
(``OIP''). On December 15, 2020, the Commission designated a longer 
period for Commission action on the proposed rule change. See 
Securities Exchange Act Release No. 90671, 85 FR 83136 (Dec. 21, 
2020). On February 1, 2021, the Exchange filed Amendment No. 2 to 
the proposed rule change, which replaced and superseded the proposed 
rule change as modified by Amendment No. 1. On February 16, 2021, 
the Exchange submitted Amendment No. 3 to the proposed rule change 
and, on February 19, 2021, the Exchange withdrew Amendment No. 3. On 
February 19, 2021, the Exchange filed partial Amendment No. 4 to the 
proposed rule change.
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    On March 5, 2021, the Commission, acting through authority 
delegated to the Division of Trading and Markets (``Division''),\4\ 
noticed the filing of Amendment Nos. 2 and 4 and approved the proposed 
rule change, as modified by Amendment Nos. 2 and 4, on an accelerated 
basis.\5\ On March 5, 2021, the Assistant Secretary of the Commission 
notified BZX that, pursuant to Commission Rule of Practice 431,\6\ the 
Commission would review the Division's action pursuant to delegated 
authority and that the Division's action pursuant to delegated 
authority was stayed until the Commission ordered otherwise.\7\ On 
April 7, 2021, the Commission issued a scheduling order, pursuant to 
Commission Rule of Practice 431, providing until May 7, 2021 for any 
party or other person to file a written statement in support of, or in 
opposition to, the Approval Order.\8\
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    \4\ 17 CFR 200.30-3(a)(12).
    \5\ See Securities Exchange Act Release No. 91265 (Mar. 5, 
2021), 86 FR 13922 (Mar. 11, 2021) (``Approval Order'').
    \6\ 17 CFR 201.431.
    \7\ See letter from J. Matthew DeLesDernier, Assistant 
Secretary, Commission, to Kyle Murray, Vice President and Associate 
General Counsel, Cboe Global Markets, dated March 5, 2021, available 
at: https://www.sec.gov/rules/sro/cboebzx/2018/34-91265-letter-from-assistant-secretary.pdf.
    \8\ See Securities Exchange Act Release No. 91501, 86 FR 19292 
(Apr.13, 2021). Comments on the proposed rule change, including 
statements concerning the Approval Order are available at: https://www.sec.gov/comments/sr-cboebzx-2020-053/srcboebzx2020053.htm.
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    The Commission has conducted a de novo review of BZX's proposal, 
giving careful consideration to the entire record, including all 
comments and statements submitted, to determine whether the proposal is 
consistent with the requirements of the Act and the rules and 
regulations thereunder that are applicable to a national securities 
exchange. Under Section 19(b)(2)(C) of the Act, the Commission must 
approve the proposed rule change of a self-regulatory organization 
(``SRO'') if the Commission finds that the proposed rule change is 
consistent with the requirements of the Act and the applicable rules 
and regulations thereunder; if it does not make such a finding, the 
Commission must disapprove the proposed rule change.\9\ Additionally, 
under Rule 700(b)(3) of the Commission's Rules of Practice, the 
``burden to demonstrate that a proposed rule change is consistent with 
the Act and the rules and regulations issued thereunder . . . is on the 
self-regulatory organization that proposed the rule change.'' \10\ The 
description of a proposed rule change, its purpose and operation, its 
effect, and a legal analysis of its consistency with applicable 
requirements must all be sufficiently detailed and specific to support 
an affirmative Commission finding.\11\ Any failure of a self-regulatory 
organization to provide the information required by Rule 19b-4 and 
elicited on Form 19b-4 may result in the Commission not having a 
sufficient basis to make an affirmative finding that a proposed rule 
change is consistent with the Act and the rules and regulations 
thereunder that are applicable to the self-regulatory organization.\12\
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    \9\ 15 U.S.C. 78s(b)(2)(C).
    \10\ 17 CFR 201.700(b)(3).
    \11\ See id.
    \12\ See id. See also 17 CFR 240.19b-4.
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    For the reasons discussed further herein, BZX has met its burden to 
show that the proposed rule change is consistent with the Act, and this 
order sets aside the Approval Order and approves BZX's proposed rule 
change, as modified by Amendment Nos. 2 and 4. In particular, the 
Commission concludes that the record before the Commission demonstrates 
that BZX's proposal is consistent with Section 6(b)(5) of the Act,\13\ 
which requires that the rules of a national securities exchange be 
designed, among other things, to prevent fraudulent and manipulative 
acts and practices, 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.
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    \13\ 15 U.S.C. 78f(b)(5).
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II. Summary of the Proposal

    The Exchange proposes to list and trade the Shares under BZX Rule 
14.11(f)(4), which governs the listing and trading of Trust Issued 
Receipts \14\ on the Exchange. Volatility Shares LLC (``Sponsor'') 
serves as the Sponsor of the Trust. The Fund's investment objective is 
to provide a return that is 200% of the return of its benchmark index 
for a single day. The benchmark for the Fund is the Long VIX Futures 
Index (LONGVOL) (``Index''),\15\ which

[[Page 55874]]

measures the daily performance of a theoretical portfolio of first- and 
second-month futures contracts on the Cboe Volatility Index 
(``VIX'').\16\ The Index is comprised of VIX futures contracts (``VIX 
Futures Contracts'').\17\ Specifically, the Index components represent 
the prices of the two near-term VIX Futures Contracts, replicating a 
position that rolls the nearest month VIX Futures Contract to the next 
month VIX Futures Contract on a daily basis in equal fractional 
amounts, resulting in a constant weighted average maturity of 
approximately one month.\18\ The Index seeks to reflect the returns 
that are potentially available from holding an unleveraged long 
position in first- and second- month VIX Futures Contracts by measuring 
its daily performance from the weighted average price of VIX Futures 
Contracts.\19\
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    \14\ Rule 14.11(f)(4) applies to Trust Issued Receipts that 
invest in ``Financial Instruments,'' defined in Rule 
14.11(f)(4)(A)(iv) as any combination of investments, including 
cash; securities; options on securities and indices; futures 
contracts; options on futures contracts; forward contracts; equity 
caps, collars and floors; and swap agreements.
    \15\ The Index is sponsored by Cboe Global Indexes (``Index 
sponsor''). The Index sponsor is not a registered broker-dealer, but 
is affiliated with a broker-dealer and has implemented and will 
maintain a fire wall with respect to the broker-dealer affiliate 
regarding access to information concerning the composition of and/or 
changes to the Index. In addition, the Index sponsor has implemented 
and will maintain procedures that are designed to prevent the use 
and dissemination of material, non-public information regarding the 
Index.
    \16\ The Exchange states that the VIX is an index designed to 
measure the implied volatility of the S&P 500 over 30 days in the 
future. See Amendment No. 2, supra note 3, at 4, n.4. The VIX is 
calculated based on the prices of certain put and call options on 
the S&P 500. See id. The VIX is reflective of the premium paid by 
investors for certain options linked to the level of the S&P 500. 
See id.
    \17\ The Exchange states that VIX Futures Contracts are measures 
of the market's expectation of the level of VIX at certain points in 
the future, and as such, will behave differently than current, or 
spot, VIX. See id. at 8. While the VIX represents a measure of the 
current expected volatility of the S&P 500 over the next 30 days, 
the prices of VIX Futures Contracts are based on the current 
expectation of what the expected 30-day volatility will be at a 
particular time in the future (on the expiration date). See id.
    \18\ The Exchange states that the roll period usually begins on 
the Wednesday falling 30 calendar days before the S&P 500 option 
expiration for the following month (``Cboe VIX Monthly Futures 
Settlement Date'') and runs to the Tuesday prior to the subsequent 
month's Cboe VIX Monthly Futures Settlement Date. See id. at 10.
    \19\ The Exchange states that because VIX Futures Contracts 
correlate to future volatility readings of VIX, while the VIX itself 
correlates to current volatility, the Index and the Fund should be 
expected to perform significantly differently from the VIX over all 
periods of time. See id. at 9-10. Further, unlike the Index, the 
VIX, which is not a benchmark for the Fund, is calculated based on 
the prices of certain put and call options on the S&P 500. See id. 
at 10. According to the Exchange, while the Index does not 
correspond to the VIX, the value of the Index, and by extension the 
Fund, will generally rise as the VIX rises and fall as the VIX 
falls. See id. at 9.
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    To pursue its investment objective, the Fund will primarily invest 
in VIX Futures Contracts based on components of the Index. The Fund 
will primarily acquire long exposure to the VIX through VIX Futures 
Contracts, such that the Fund has exposure intended to approximate 200% 
of the return of the Index at the time of the net asset value (``NAV'') 
calculation of the Fund. However, in the event that the Fund is unable 
to meet its investment objective solely through investment in VIX 
Futures Contracts, it may invest in over-the-counter swaps referencing 
the Index or referencing particular VIX Futures Contracts comprising 
the Index (``VIX Swap Agreements'') or in listed VIX options contracts 
(``VIX Options Contracts,'' and, together with VIX Futures Contracts 
and VIX Swap Agreements, ``VIX Derivative Products''). The Fund may 
also invest in Cash or Cash Equivalents,\20\ which may serve as 
collateral to the Fund's investments in VIX Derivative Products.
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    \20\ ``Cash and Cash Equivalents'' are short-term instruments 
with maturities of less than 3 months, including the following: (i) 
U.S. Government securities, including bills, notes, and bonds 
differing as to maturity and rates of interest, which are either 
issued or guaranteed by the U.S. Treasury or by U.S. Government 
agencies or instrumentalities; (ii) certificates of deposit issued 
against funds deposited in a bank or savings and loan association; 
(iii) bankers' acceptances, which are short-term credit instruments 
used to finance commercial transactions; (iv) repurchase agreements 
and reverse repurchase agreements; (v) bank time deposits, which are 
monies kept on deposit with banks or savings and loan associations 
for a stated period of time at a fixed rate of interest; (vi) 
commercial paper, which are short-term unsecured promissory notes; 
and (vii) money market funds.
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    The Fund will seek to remain fully invested in VIX Derivative 
Products (and Cash and Cash Equivalents as collateral) that provide 
exposure to the Index consistent with its investment objective without 
regard to market conditions, trends or direction. The Fund's investment 
objective is a daily investment objective; that is, the Fund seeks to 
track the Index on a daily basis, not over longer periods. Accordingly, 
each day, the Fund will position its portfolio so that it can seek to 
track the Index. The direction and extent of the Index's movements each 
day will dictate the direction and extent of the Fund's portfolio 
rebalancing. For example, if the level of the Index falls on a given 
day, net assets of the Fund would fall. As a result, exposure to the 
Index, through futures positions held by the Fund, would need to be 
decreased. The opposite would be the case if the level of the Index 
rises on a given day.
    The time and manner in which the Fund will rebalance its portfolio 
is defined by the Index methodology but may vary from the Index 
methodology depending upon market conditions and other circumstances 
including the potential impact of the rebalance on the price of the VIX 
Futures Contracts. The Sponsor will seek to minimize the market impact 
of rebalances across all exchange traded products based on VIX Futures 
Contracts (``VIX ETPs'') that it sponsors (``Funds'') \21\ on the price 
of VIX Futures Contracts by limiting the Funds' participation, on any 
given day, in VIX Futures Contracts to no more than 10% of the VIX 
Futures Contracts traded on Cboe Futures Exchange, Inc. (``CFE'') 
during any ``Rebalance Period,'' defined as any fifteen minute period 
of continuous market trading.\22\ To limit participation during periods 
of market illiquidity, the Sponsor, on any given day, may vary the 
manner and period over which all funds it sponsors are rebalanced, and 
as such, the manner and period over which the Fund is rebalanced. The 
Sponsor believes that the Fund will enter an Extended Rebalance Period 
most often during periods of extraordinary market conditions or 
illiquidity in VIX Futures Contracts. In the event that the Fund 
participates in an Extended Rebalance Period, the Fund represents that 
it will notify the Exchange and the Commission of such participation as 
soon as practicable, but no later than 9:00 a.m. ET on the trading day 
following the event.\23\
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    \21\ For purposes of the filing, the Exchange states that the 
Funds include the Fund and the -1x Short VIX Futures ETF (``Short 
Fund''), but may in the future include additional VIX ETPs sponsored 
by the Sponsor or its affiliates. See Securities Exchange Act 
Release No. 93230 (Oct. 1, 2021) (SR-CboeBZX-2020-070) (``Short VIX 
Approval'').
    \22\ In the event that the Funds expect to hit the 10% threshold 
during the primary Rebalance Period from 3:45 p.m. to 4:00 p.m. ET, 
the Funds will extend their respective rebalances into additional 
Rebalance Periods and the Trade at Settlement (``TAS'') market. It 
is expected that this extension will provide the Funds with the 
flexibility to: Begin rebalancing in an earlier period, end 
rebalancing in a later period, and execute contracts in TAS (each 
``an Extended Rebalance Period'' and collectively ``the Extended 
Rebalance Period'') while remaining below the 10% cap during any 15-
minute period of continuous market trading. See Amendment No. 2, 
supra note 3, at 11-12, n.10. The Funds will be allocated executions 
based on their percentage of notional transaction volume required. 
See id. at 12.
    \23\ See Amendment No. 4, supra note 3, at 5.
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III. Discussion and Commission Findings

    The Commission finds that the proposed rule change is consistent 
with the requirements of the Act and the rules and regulations 
thereunder applicable to a national securities exchange.\24\ The 
Commission therefore approves the proposed rule change, as modified by 
Amendment Nos. 2 and 4.
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    \24\ In approving this proposed rule change, the Commission has 
considered the proposed rule change's impact on efficiency, 
competition, and capital formation. See 15 U.S.C. 78c(f).
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    The Commission received a number of comments letters addressing the 
proposed rule change's consistency with the Act, specifically focusing 
on (1) the potential for systemic risks; and (2) investor protection 
concerns, in particular the potential risks posed to retail investors. 
The Commission addresses each of these issues below. In

[[Page 55875]]

addition, in approving the listing and trading of the Shares, the 
Commission also analyzes the proposal to ensure there is an appropriate 
regulatory framework to support the listing and trading of the Shares. 
Finally, the Commission addresses the procedural argument that the 
proposed rule change has been deemed approved and is currently in 
effect.
    The record demonstrates the proposal is reasonably designed to 
mitigate the market impact and investor protection concerns articulated 
in the OIP and raised by commenters, and that the Exchange has 
demonstrated that there is an appropriate regulatory framework to 
support the listing and trading of the Shares. Therefore, the 
Commission finds the proposal is consistent with the Act, in particular 
Section 6(b)(5).

A. Rebalance Design and Market Impact Considerations

    Several of the commenters opposed to the proposal discuss the 
events of February 2018 as an example of the potential harm to retail 
investors and the potential systemic risk posed by volatility-linked 
exchange-traded products.\25\ One commenter summarizes:
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    \25\ See letters from Americans for Financial Reform Education 
Fund, dated May 7, 2021 (``AFREF''); Dennis M. Kelleher, President 
and CEO; Stephen Hall, Legal Director and Securities Specialist; and 
Jason Grimes, Senior Counsel, Better Markets, Inc., dated May 7, 
2021 (``Better Markets''); Tyler Gellasch, Executive Director, 
Healthy Markets Association, dated May 7, 2021 (``Healthy 
Markets''); and Robert Rutkowski, dated May 10, 2021 
(``Rutkowski'').

    On February 5, 2018, after years of low market volatility, and 
accordingly a low VIX, the VIX doubled, a market event popularly 
known as ``Volmageddon.'' One inverted VIX exchange-traded product 
(``ETP''), known as the VelocityShares Daily Inverse VIX Short-Term 
note (``XIV''), shrunk ``from $1.9 billion in assets to $63 million 
in one session.'' \26\
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    \26\ Better Markets at 2.

The commenter further states that the nature of VIX ETPs ``contributed 
directly to the market volatility'' because these types of products 
must rebalance in order to ensure the appropriate exposure to the 
index.\27\ Two commenters describe the rebalance as a ``feedback 
loop,'' because the issuer would have to purchase additional futures 
that would result in further declines for an inverse product.\28\ 
According to one of the commenters, this feedback loop led to ``all 
sorts of additional knock-effects for other market participants,'' 
including declines in major market indexes and investor losses in 
XIV.\29\ A commenter states that each of the products proposed 
``involves the sort of rebalancing that exacerbated volatility during 
Volmageddon.'' \30\
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    \27\ See Better Markets at 2.
    \28\ See Better Markets at 3 (citing Patrick Augustin, et al., 
Volmaggedon and the Failure of Short Volatility Products (Apr. 6, 
2021, Financial Analysts Journal, Forthcoming)); and AFREF at 3.
    \29\ AFREF at 3-4.
    \30\ Better Markets at 3.
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    The Sponsor also acknowledges that ``[p]ast and existing VIX ETPs 
rebalance or roll their futures contracts according to a methodology 
linked to the VIX futures' settlement each day.'' \31\ Further, 
according to the Sponsor, daily settlement ``has resulted in funds 
competing to execute their daily rebalance at a single point in time'' 
resulting in ``concentrated activity [that] erodes returns and may have 
contributed to at least one major market disruption.'' \32\ It 
describes previous attempts to reduce this concentration by reducing 
the leverage of other existing inverse and leveraged VIX ETPs as having 
``slowed the progression of market crowding,'' but concludes that these 
deleveraged products can still require ``larger and larger rebalances 
at the same crowded settlement time'' if they attract larger 
inflows.\33\
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    \31\ Letter from Barry I. Pershkow, Partner, Chapman and Cutler 
LLP, on behalf of the Sponsor, dated May 7, 2021 (``Volatility 
Shares 1'') at 2.
    \32\ Volatility Shares 1 at 2.
    \33\ See Volatility Shares 1 at 2.
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    The Sponsor further states that commenters arguing in favor of 
disapproval because of the failure of other VIX ETPs ``miss a key 
point: lessons learned from the failures of previous products are at 
the very heart of the new methodology underlying [the proposed 
products].'' \34\ The Sponsor describes four ways the proposed products 
differ from previous and existing VIX ETPs: (1) The valuation is an 
average price over a longer time period instead of exclusively at the 
4:00 p.m. ET settlement price; (2) a wider rebalancing period should 
distribute trading volume away from 4:00 p.m. ET, resulting in a more 
stable market; (3) the rebalance period may be extended to reduce 
market impact if required; and (4) the Sponsor has committed to a 10% 
participation cap for all VIX ETPs offered by the Sponsor.\35\ The 
Sponsor states these differences should result in ``an execution method 
that minimizes market impact and meaningfully lowers the chances of 
either [proposed product] experiencing a significant disruption'' \36\ 
and ``less volatile products with minimal impacts to the underlying VIX 
futures and the broader market.'' \37\
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    \34\ See letter from Stuart Barton, Chief Investment Officer, 
Sponsor, dated May 19, 2021 (``Volatility Shares 2'') at 2.
    \35\ Volatility Shares 1 at 3.
    \36\ Volatility Shares 1 at 3.
    \37\ Volatility Shares 2 at 2.
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    In its proposal, as modified by Amendment Nos. 2 and 4, the 
Exchange states that the Sponsor's proposed methodology for the Funds 
seeks to reduce the dependence of VIX ETPs on TAS by seeking to execute 
part of the Funds' daily rebalance outside of TAS and believes that 
this approach will spread VIX futures trading activity over a longer 
period of time each day and should help to reduce market impact during 
periods of market turmoil or disruption.\38\ In addition, the Exchange 
states that the Sponsor expects that allowing the Funds to participate 
in an Extended Rebalance Period will minimize the impact of the Funds' 
rebalance on the price of VIX Futures Contracts, and particularly 
minimize any impact of large rebalances during periods of market 
illiquidity.\39\ The Exchange further states that ``the rebalancing 
mechanism to be used by the Funds is designed to reduce the Funds' 
individual and collective impact on the volatility market and the 
associated potentially negative impact on the Funds.'' \40\
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    \38\ See Amendment No. 2, supra note 3, at 12. Commenters 
writing in support of SR-CboeBZX-2020-070 also described the 
potential benefits of the rebalance design. See Short VIX Approval, 
supra note 21, at nn. 38-42 and accompanying text.
    \39\ See Amendment No. 4, supra note 3, at 4.
    \40\ Letter from Kyle Murray, Vice President, Associate General 
Counsel, Cboe Global Markets, dated May 7, 2021 (``BZX Letter'') at 
2.
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    In its assessment of the proposal, the Commission considered the 
potential for market disruption during periods with large percentage 
increases in volatility and, because of the potential for large, sudden 
moves in VIX levels, the potential for large spikes in rebalancing 
demand for VIX ETPs. As commenters note, the events of February 2018 
occurred during a period when volatility had been relatively low and 
spiked, as the spot price of VIX more than doubled, and there was a 
large spike in the trading volume in VIX futures contracts at the end 
of day. A portion of the volume was attributable to the rebalancing 
demand of volatility-linked ETPs.
    In the OIP, the Commission requested comment on the Fund's 
operation during periods with large percentage increases in volatility 
and the potential market impact of the Fund's daily rebalance.\41\ 
Following the OIP, the Exchange amended its proposal to state that the 
Sponsor will seek to minimize the market impact of rebalances across 
all Funds on the price of VIX Futures

[[Page 55876]]

Contracts by limiting the Funds' participation, on any given day, in 
VIX Futures Contracts to no more than ten percent of the VIX Futures 
Contracts traded on CFE during any Rebalance Period.\42\
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    \41\ See OIP, supra note 3, 85 FR at 64565.
    \42\ See Amendment No. 2, supra note 3, at 11. In its original 
proposal, the Exchange did not include a participation limitation.
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    The Exchange's proposal regarding the rebalancing methodology of 
the Fund serves as an appropriate limit on the Fund's participation in 
the VIX futures market, and is reasonably designed to help mitigate the 
potential market impact on the Fund's daily rebalance demand during 
periods when there are large percentage increases in volatility.\43\ In 
discussing the events of ``Volmageddon,'' commenters describe several 
factors that may have contributed to the spike in futures prices: (1) 
Growing assets under management (``AUM'') for VIX ETPs, which in turn 
required more rebalancing; (2) a large percentage increase in 
volatility; and (3) a market where multiple funds were attempting to 
rebalance simultaneously, and where the VIX futures TAS market was 
halted ``limit up.'' \44\ The design of the rebalancing methodology 
helps to mitigate the first and third factors, even if there is a large 
percentage increase in volatility. Because the Funds' must limit their 
participation in any Rebalance Period to 10%, the participation cap 
still serves as a limit on the Funds' rebalancing demand during each 
Rebalance Period, regardless of AUM. Further, the Funds' rebalance is 
spread over a longer time period and distributes trading away from a 
single point in time when other funds may be rebalancing,\45\ and 
permits the Funds' limited flexibility in order to reduce market 
impact, which may help reduce market crowding. In addition, the 
Commission observes that the VIX futures market has changed since the 
events of ``Volmageddon:'' (1) TAS has a wider permissible price range; 
\46\ and (2) VIX futures settle at 4:00 p.m. ET rather than 4:15 p.m. 
ET (i.e., after the close of U.S. equity market trading).\47\
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    \43\ A commenter states that the Commission should not view 
individual product proposals in isolation. See Better Markets at 6. 
Although the Commission's findings in this order are based on the 
specific proposed rule change filed with the Commission, including 
how the proposed rule operates under the current market conditions 
discussed in this order, the Commission recognizes that, over time, 
market conditions in VIX ETP markets, and the related VIX futures 
market, may change.
    \44\ See letter from Stuart Barton, Head of Investments, 
Sponsor, dated January 6, 2021, at n. 1. This letter was submitted 
to the comment file for SR-CboeBZX-2020-070 and is available at: 
https://www.sec.gov/comments/sr-cboebzx-2020-070/srcboebzx2020070.htm.
    \45\ For example, two existing leveraged VIX ETPs target a 4 
p.m. ET benchmark. See Securities Exchange Act Release No. 90691 
(Dec. 16, 2020), 85 FR 83643 (Dec. 22, 2020) (SR-CboeBZX-2020-093).
    \46\ See Cboe Product Update, ``Price Parameter Change for TAS 
Transactions in VX Futures,'' 2018, available at: https://cdn.cboe.com/resources/product_update/2018/VX-Trade-at-Settlement-VXT-Price-Parameter-Change.pdf.
    \47\ See Cboe Futures Exchange, LLC Rule Certification, 
Submission Number CFE-2020-028 (September 23, 2020), available at: 
https://cdn.cboe.com/resources/regulation/rule_filings/pending/2020/
20-028-Daily-Settlement-Determination-
Time.pdf#:~:text=The%20Daily%20Settlement%20Time%20for%20VX%20futures
%20is,for%20VX%20futures%20is%203%3A00%20p.m.%20Chicago%20time.
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    In sum, the Commission considered the potential that VIX ETPs might 
have a destabilizing effect on markets during times of market stress. 
Based on the record, including commenters' descriptions of the events 
of February 2018, the Commission concludes that the Exchange's proposal 
is reasonably designed to help mitigate against the market impact 
concerns articulated in the OIP and by commenters opposed to the 
proposal. The rebalance design of the Funds may help distribute 
rebalancing volume. Further, the 10% participation cap strikes an 
appropriate balance between allowing the Funds to rebalance within a 
reasonably short period of time and managing the potential market 
impact of a large rebalance. Therefore, the Commission finds that the 
proposal is consistent with Section 6(b)(5) of the Act, including the 
protection of investors and the public interest.

B. Investor Protection

    Commenters also raise concerns about the risks and complexity of 
leveraged and inverse VIX ETPs and their suitability for retail 
investors. One of the commenters asserts that: (1) Recent market events 
and the public record with the VIX raise significant questions about 
the investor-protection risks posed by VIX-related investment products; 
(2) such questions must be adequately addressed by filings to list and 
trade more VIX-related products; and (3) the Exchange has not explained 
how explain how its proposed listing and trading of the Shares would be 
consistent with the Act, including the protection of investors.\48\ 
Another commenter states that the absence of new sales practices 
protections for leveraged investment products ``leaves investors with 
extremely inadequate protections in this space.'' \49\ According to the 
commenter, shares of leveraged exchange-traded funds are unsuitable for 
retail investors because they provide markedly different returns--and 
generally significantly underperform--their underlying indices over the 
long-term.\50\ That commenter also asserts that it would be 
inconsistent with the protection of investors to facilitate gambling-
like market practices by approving additional products that enable 
leveraged bets on synthetic indexes.\51\ More specifically, the 
commenter states that the Shares would not directly support economic 
activity and, in the commenter's view, the assertion that any hedging 
achieved through the Shares would lead to a net gain in real capital 
formation is not supported.\52\ Another commenter also states that the 
product has no purpose beyond the issuer ``invit[ing] speculative 
gamblers'' so that it can profit off of management expenses.\53\ 
Commenters also state that the products are inconsistent with the Act 
because there are ``inherent dangers'' for leveraged exchange-traded 
products that make them unsuitable for retail investors.\54\ Finally, 
one commenter states that the Approval Order does not adequately 
address the risks to investors and to retail investors in 
particular.\55\
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    \48\ See Healthy Markets at 6.
    \49\ AFREF at 1-2.
    \50\ See AFREF at 2. Another commenter asserts that certain 
investors purchasing the Shares may ``be surprised to see that their 
losses would be amplified by a factor of 2 during periods of low 
volatility'' and, in the view of this commenter, both products raise 
investor protection concerns because they are ``complex and risky.'' 
See Better Markets at 4-5. A commenter provides annual returns for 
another leveraged volatility product and asserts it is ``almost 
impossible to make money long side, even for short-term.'' See 
letter from John Motson, dated July 10, 2020 (``Motson'').
    \51\ See AFREF at 2.
    \52\ See AFREF at 3.
    \53\ Motson.
    \54\ See Rutkowski, Healthy Markets at 2-3.
    \55\ See Better Markets at 4-5.
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    In response, the Sponsor states that commenters' concerns related 
to leveraged and inverse exchange-traded products, and in particular 
the concern that such products underperform their benchmarks over time, 
have been raised previously. It states that such products are not 
designed to perform over long periods of time, and that courts have 
``affirmed the adequacy of the disclosure contained in the registration 
statement of these products.'' \56\ In addition, the Exchange states 
that the proposed products would provide ``investors with new tools to 
implement investment strategies to which they might not otherwise have 
access.'' \57\ The Sponsor

[[Page 55877]]

also cites the Commission's recent amendments to Rule 6c-11 of the 
Investment Company Act of 1940, which would include certain leveraged 
and inverse exchange-traded funds within the scope of Rule 6c-11, as 
well as the Commission's approvals of leveraged and inverse exchange-
traded products that are not registered investment companies.\58\ The 
Sponsor asserts that this demonstrates that questions related to 
leveraged and inverse products have been therefore ``asked and 
answered.'' \59\
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    \56\ Volatility Shares 2 at 1-2.
    \57\ BZX Letter at 2. The Exchange states that the Funds would 
provide greater short and long exposure than ETPs currently trading 
on U.S. exchanges. See id. In addition, commenters writing in 
support of the Short Fund state that the product would fulfill a 
need in the ETP space by permitting certain investors to obtain 
short volatility exposure in a more efficient manner than is 
currently available. See Short VIX Approval, supra note 21, nn. 60-
62 and accompanying text.
    \58\ See Volatility Shares 2 at 1-2.
    \59\ Volatility Shares 2 at 1-2.
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    The Commission acknowledges commenters' concerns, but believes this 
proposed rule change is consistent with the protection of investors. 
Commenters assert that the Exchange has not met its burden to 
demonstrate the proposal is consistent with the protection of investors 
because leveraged and inverse exchange-traded products, in particular 
those linked to volatility, are complex and risky, and underperform 
their benchmarks over time. The Commission has recognized that certain 
complex products, such as inverse or leveraged exchange-traded 
products, ``which may be useful for some sophisticated trading 
strategies, are highly complex financial instruments and are typically 
designed to achieve their stated objectives on a daily basis.'' \60\ 
However, there are existing rules and standards of conduct applicable 
to other complex products that would apply to listing and trading of 
the Shares. The best interest standard of conduct for broker-dealers 
required under Regulation Best Interest and the fiduciary obligations 
of investment advisers discussed in the Fiduciary Interpretation 
thereto apply to transactions in all exchange-traded products where the 
transaction is recommended by a broker-dealer or pursuant to the advice 
of an investment adviser.\61\ In addition, the Financial Industry 
Regulatory Authority (``FINRA'') has implemented increased sales 
practice and customer margin requirements for FINRA members applicable 
to inverse, leveraged and inverse leveraged securities (which include 
the Shares), and has provided specific guidance regarding sales 
practice obligations for volatility-linked exchange-traded 
products.\62\ Exchange members that carry customer accounts will be 
required to follow the FINRA guidance set forth in these notices. The 
Exchange also has rules relating to suitability, in particular BZX Rule 
3.7.\63\ Therefore, the Commission finds that this proposal is 
consistent with the Act, in particular the protection of investors and 
the public interest.\64\
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    \60\ Regulation Best Interest Adopting Release, Exchange Act 
Rel. No. 86031 (Jun. 5, 2019), 84 FR 33318 (Jul. 12, 2019), at 
33376.
    \61\ See Investment Company Act Rel. No. 34084, (Nov. 2, 2020), 
85 FR 83217 (Dec. 21, 2020), at 83217-18 (discussing the best 
interest standard of conduct for broker-dealers and the fiduciary 
obligations of investment advisers in the context of all exchange-
traded products).
    \62\ See FINRA Regulatory Notices 09-31 (Jun. 2009), 09-53 (Aug. 
2009), 09-65 (Nov. 2009), 12-03 (Jan. 2012), and 17-32 (Oct. 2017).
    \63\ In particular, Rule 3.7 imposes suitability obligations on 
Exchange members with respect to recommending transactions in the 
Shares to customers and Interpretation and Policy .01 of BZX Rule 
3.7 imposes a duty of due diligence on Exchange members to learn the 
essential facts relating to every customer prior to trading the 
Shares, and specifically provides that ``[n]o Member shall recommend 
to a customer a transaction in any such product unless the Member 
has a reasonable basis for believing at the time of making the 
recommendation that the customer has such knowledge and experience 
in financial matters that he may reasonably be expected to be 
capable of evaluating the risks of the recommended transaction and 
is financially able to bear the risks of the recommended position.''
    \64\ Although the Commission finds the proposal is consistent 
with the Exchange Act, the Commission is not expressing a view about 
whether the Shares are appropriate or suitable for all investors.
---------------------------------------------------------------------------

C. Other Considerations

    In addition, the Commission analyzed other aspects of the 
Exchange's proposal and finds, as explained below, that the proposal is 
consistent with the Act because it is designed to prevent fraudulent 
and manipulative acts and practices and protect investors and the 
public interest. The Exchange has demonstrated there is an appropriate 
regulatory framework to support listing and trading of the Shares, 
including trading rules, surveillance, and listing standards.
    The proposal is reasonably designed to promote fair disclosure of 
information that may be necessary to price the Shares appropriately and 
to prevent trading in the Shares when a reasonable degree of certain 
pricing transparency cannot be assured. Specifically, the Exchange will 
obtain a representation from the Sponsor of the Shares that the NAV 
will be calculated daily and that the NAV and the Fund's holdings will 
be made available to all market participants at the same time. On each 
Business Day,\65\ before commencement of trading in Shares during 
Regular Trading Hours,\66\ the Fund will disclose on its website the 
holdings that will form the basis for the Fund's calculation of NAV at 
the end of the Business Day. This website disclosure of the portfolio 
composition of the Fund will occur at the same time as the disclosure 
by the Fund of the portfolio composition to authorized participants, so 
that all market participants will be provided portfolio composition 
information at the same time, and the same portfolio information will 
be provided on the public website as in electronic files provided to 
authorized participants. Quotation and last-sale information regarding 
the Shares will be disseminated through the facilities of the 
Consolidated Tape Association. As required by BZX Rule 14.11(f)(4), an 
updated Intraday Indicative Value (``IIV'') will be calculated and 
widely disseminated by one or more major market data vendors every 15 
seconds throughout Regular Trading Hours. The IIV will be published on 
the Exchange's website and will be available through on-line 
information services such as Bloomberg and Reuters. 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. The Fund's 
website will include a form of the prospectus for the Fund and 
additional data relating to NAV and other applicable quantitative 
information. In addition, the level of the Index will be published at 
least every 15 seconds in real time from 9:30 a.m. to 4:00 p.m. ET and 
at the close of trading on each Business Day by Bloomberg and Reuters.
---------------------------------------------------------------------------

    \65\ A ``Business Day'' means any day other than a day when any 
of BZX, Cboe, CFE or other exchange material to the valuation or 
operation of the Fund, or the calculation of the VIX, options 
contracts underlying the VIX, VIX Futures Contracts or the Index is 
closed for regular trading.
    \66\ As defined in BZX Rule 1.5(w), the term ``Regular Trading 
Hours'' means the time between 9:30 a.m. and 4:00 p.m. ET.
---------------------------------------------------------------------------

    Quotation and last-sale information regarding VIX Futures Contracts 
and VIX Options Contracts will be available from the exchanges on which 
such instruments are traded. Quotation and last-sale information 
relating to VIX Options Contracts will also be available via the 
Options Price Reporting Authority. Quotation and last-sale information 
for VIX Swap Agreements will be available from nationally recognized 
data services providers, such as Reuters and Bloomberg, through 
subscription agreements or from a broker-dealer who makes markets in 
such instruments. Pricing information regarding Cash Equivalents in 
which the Fund may invest is generally available through nationally 
recognized data services providers, such as Reuters and Bloomberg, 
through subscription

[[Page 55878]]

agreements. The closing prices and settlement prices of the Index 
Components (i.e., the first- and second-month VIX Futures Contracts) 
will be readily available from the websites of CFE (http://www.cfe.cboe.com), automated quotation systems, published or other 
public sources, or on-line information services such as Bloomberg or 
Reuters. The CFE also provides delayed futures information on current 
and past trading sessions and market news free of charge on its 
website. Complete real-time data for component VIX Futures Contracts 
underlying the Index, including the specific contract specifications of 
Index Components (i.e., first-month and second-month VIX Futures 
Contracts), is available by subscription from Reuters and Bloomberg.
    The Exchange's rules regarding trading halts further help to ensure 
the maintenance of fair and orderly markets for the Shares, which is 
consistent with the protection of investors and the public interest. 
Trading in the Shares may be halted because of market conditions or for 
reasons that, in the view of the Exchange, make trading in the Shares 
inadvisable. These may include: (1) The extent to which trading is not 
occurring in the securities and/or the financial instruments composing 
the daily disclosed portfolio of the Fund; or (2) whether other unusual 
conditions or circumstances detrimental to the maintenance of a fair 
and orderly market are present. In addition, the Exchange will halt 
trading in the Shares under the conditions specified in BZX Rule 11.18 
(Trading Halts Due to Extraordinary Market Volatility). BZX Rule 
14.11(f)(4)(c)(ii) enumerates additional circumstances under which the 
Exchange will consider the suspension of trading in and will commence 
delisting proceedings for the Shares.
    The Exchange's proposal is designed to safeguard material non-
public information relating to the Fund's portfolio. Specifically, as 
the Exchange states, the Sponsor is not a broker-dealer or affiliated 
with a broker-dealer. In the event that (a) the Sponsor becomes a 
broker-dealer or newly affiliated with a broker-dealer, or (b) any new 
sponsor is a broker-dealer or becomes 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 of and/or changes to 
the portfolio, and will be subject to procedures designed to prevent 
the use and dissemination of material non-public information regarding 
the portfolio. Moreover, trading of the Shares will be subject to BZX 
Rule 14.11(f)(4)(D), which sets forth certain restrictions on Exchange 
members acting as registered Market Makers \67\ in Trust Issued 
Receipts to facilitate surveillance. In addition, the Exchange has a 
general policy prohibiting the distribution of material, non-public 
information by its employees.
---------------------------------------------------------------------------

    \67\ As defined in BZX Rule 1.5(l), the term ``Market Maker'' 
means an Exchange member that acts as a Market Maker pursuant to 
Chapter XI of the BZX Rules.
---------------------------------------------------------------------------

    Furthermore, the Exchange or FINRA, on behalf of the Exchange, or 
both, will communicate and may obtain information regarding trading in 
the Shares and the underlying listed instruments, including listed 
derivatives held by the Fund, with the Intermarket Surveillance Group 
(``ISG''), other markets or entities who are members or affiliates of 
the ISG, or with which the Exchange has entered into a comprehensive 
surveillance sharing agreement. The trading of the Shares through the 
Exchange will be subject to the Exchange's surveillance procedures for 
derivative products, and these procedures are adequate to properly 
monitor Exchange trading of the Shares during all trading sessions and 
to deter and detect violations of Exchange rules and applicable federal 
securities laws. In addition, all of the VIX Futures Contracts and VIX 
Options Contracts held by the Fund will trade on markets that are a 
member of ISG or affiliated with a member of ISG or with which the 
Exchange has in place a comprehensive surveillance sharing agreement.
    Moreover, the trading of the Shares on the Exchange will be subject 
to the Exchange's and other rules listed below. Specifically:
    (1) The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities;
    (2) The Shares will conform to the initial and continued listing 
criteria under BZX Rule 14.11(f);
    (3) Pursuant to BZX Rule 14.11(a), all statements and 
representations made in the filing regarding the Index composition, 
description of the portfolio or reference assets, limitations on 
portfolio holdings or reference assets, dissemination and availability 
of the Index, reference assets, and IIV, or the applicability of 
Exchange listing rules specified in the filing shall constitute 
continued listing requirements for the Shares. The issuer will advise 
the Exchange of any failure by the Fund to comply with the continued 
listing requirements, and, pursuant to its obligations under Section 
19(g)(1) of the Act, the Exchange will surveil for compliance with the 
continued listing requirements. If the Fund or the Shares are not in 
compliance with the applicable listing requirements, the Exchange will 
commence delisting procedures under Exchange Rule 14.12.
    (4) The Exchange has the appropriate rules to facilitate 
transactions in the Shares during all trading sessions;
    (5) Prior to the commencement of trading, the Exchange will inform 
its members in an Information Circular of the special characteristics 
and risks associated with trading the Shares; \68\
---------------------------------------------------------------------------

    \68\ The Exchange states that the Information Circular will 
discuss the following: (a) The procedures for purchases and 
redemptions of Shares in Creation Units (and that Shares are not 
individually redeemable); (b) BZX Rule 3.7, which imposes 
suitability obligations on Exchange members with respect to 
recommending transactions in the Shares to customers; (c) 
Interpretation and Policy .01 of BZX Rule 3.7 which imposes a duty 
of due diligence on its members to learn the essential facts 
relating to every customer prior to trading the Shares, and 
specifically provides that ``[n]o Member shall recommend to a 
customer a transaction in any such product unless the Member has a 
reasonable basis for believing at the time of making the 
recommendation that the customer has such knowledge and experience 
in financial matters that he may reasonably be expected to be 
capable of evaluating the risks of the recommended transaction and 
is financially able to bear the risks of the recommended position;'' 
(d) how information regarding the IIV and the Fund's holdings is 
disseminated; (e) the risks involved in trading the Shares during 
the Pre-Opening and After Hours Trading Sessions (as such terms are 
defined in BZX Rules) when an updated IIV will not be calculated or 
publicly disseminated; (f) the requirement that Exchange members 
deliver a prospectus to investors purchasing newly issued Shares 
prior to or concurrently with the confirmation of a transaction; and 
(g) trading information.
---------------------------------------------------------------------------

    (6) FINRA has implemented increased sales practice and customer 
margin requirements for FINRA members applicable to inverse, leveraged 
and inverse leveraged securities (which include the Shares) and options 
on such securities, as described in FINRA Regulatory Notices 09-31 
(June 2009), 09-53 (August 2009), and 09-65 (November 2009). Exchange 
members that carry customer accounts will be required to follow the 
FINRA guidance set forth in these notices;
    (7) For initial and continued listing, the Fund and the Trust must 
be in compliance with Rule 10A-3 under the Act; \69\ and
---------------------------------------------------------------------------

    \69\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    (8) A minimum of 100,000 Shares of the Fund will be outstanding at 
the commencement of trading on the Exchange.

D. Procedural Considerations

    The Sponsor also asserts that the proposed rule change has been 
deemed

[[Page 55879]]

approved pursuant to Exchange Act Section 19(b)(2)(D)(ii).\70\ The 
Commission disagrees with the Sponsor's assertions that: (1) Because 
the Approval Order is stayed, ``the Commission did not effectively 
approve or disapprove [the Proposal] by the 240th day'' and therefore 
the proposal has been deemed approved; \71\ and (2) the Commission's 
discretionary review of the order by delegated authority conflicts with 
the purpose and language of the statute.\72\
---------------------------------------------------------------------------

    \70\ See Volatility Shares 1 at 4. Section 19(b) of the Exchange 
Act requires the Commission to ``issue an order'' approving or 
disapproving a proposed rule change within, at most, 240 days of the 
proposed rule change's filing. See 15 U.S.C. 78s(b)(2)(B)(ii). If 
the Commission fails to issue an order within that period, the 
proposed rule change is deemed to have been approved. See 15 U.S.C. 
78s(b)(2)(D).
    \71\ See Volatility Shares 1 at 4. The Sponsor cites this 
proposal as having been deemed approved since the relevant period 
had not yet elapsed for CboeBZX-2020-070 when it made its argument. 
It states that CboeBZX-2020-070 would also be deemed approved unless 
the Commission acted by May 21, 2021.
    \72\ See Volatility Shares 1 at 2.
---------------------------------------------------------------------------

    The Commission complied with the requirements of the statute. 
Section 19(b)(2)(D) requires only that the Commission ``issue an 
order'' approving or disapproving the proposed rule change within 240 
days. The Approval Order was issued within that period.
    Although orders issued by delegated authority are issued by 
Commission staff, they are issued with the full authority of the 
Commission and are signed by the Secretary's office on behalf of the 
Commission. Section 4A of the Exchange Act authorizes the Commission to 
delegate certain functions--including approval or disapproval of 
proposed rule changes under Section 19--to a ``division of the 
Commission.'' \73\ And the Commission's Rules of Practice make clear 
that ``an action made pursuant to delegated authority shall have 
immediate effect and be deemed the action of the Commission.'' \74\
---------------------------------------------------------------------------

    \73\ 15 U.S.C. 78d-1(a).
    \74\ Commission Rule of Practice 431(e), 17 CFR 201.431(e). See 
also, e.g., Rule of Practice 430(c), 17 CFR 201.430(c) (referring to 
``a final order entered pursuant to [delegated authority]''); Rule 
of Practice 431(f), 17 CFR 201.431(f) (giving an order by delegated 
authority operative effect, even when review has been sought, until 
a person receives actual notice that it was been stayed, modified, 
or reversed on review). Moreover, as the Commission has previously 
explained, Congress was aware of the Commission's ability to 
delegate authority to approve SRO rule filings when the time 
restrictions in Exchange Act Section 19(b)(2)(D) were enacted. And 
to construe Section 19(b)(2), as the Sponsor does, to require 
Commission review of an order by delegated authority to be completed 
within 240 days ``would undermine both the specific deadlines set 
forth in the statute and the Commission's ability to delegate 
functions. Nor is such a construction necessary to fulfill 
Congress's purpose in enacting the deadlines to ``streamline'' the 
rule filing process. With rare exception, rule filings are decided, 
by delegated authority or otherwise, within 240 days. See Securities 
Exchange Act Release Nos. 88493 (Mar. 27, 2020), 85 FR 18617 (Apr. 
2, 2020) (Order Affirming Action by Delegated Authority and 
Disapproving Proposed Rule Changes Related to Connectivity and Port 
Fee in the Matter BOX Exchange LLC) at 18626; and 82727 (Feb. 15, 
2018), 83 FR 7793 (Feb. 22, 2017) (Order Setting Aside Action by 
Delegated Authority and Disapproving a Proposed Rule Change, as 
Modified by Amendment Nos. 1 and 2, Regarding the Acquisition of CHX 
Holdings, Inc. by North America Casin Holdings, Inc.) at 7799.
---------------------------------------------------------------------------

IV. Conclusion

    For the foregoing reasons, the Commission finds that the proposed 
rule change is consistent with the Act and the rules and regulations 
thereunder applicable to a national securities exchange.
    It is therefore ordered, pursuant to Rule 431 of the Commission's 
Rules of Practice, that the earlier action taken by delegated 
authority, Securities Exchange Act Release No. 91265 (March 5, 2021), 
86 FR 13922 (March 11, 2021), is set aside and, pursuant to Section 
19(b)(2) of the Act, the proposed rule change (SR-CboeBZX-2020-053), as 
modified by Amendment Nos. 2 and 4, hereby is approved.

    By the Commission.
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-21880 Filed 10-6-21; 8:45 am]
BILLING CODE 8011-01-P


