30 Day Notice

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Schedule TO

Notice is hereby given that, pursuant
to the Paperwork Reduction Act of 1995
(44 U.S.C. 3501 et seq.), the Securities
and Exchange Commission
(‘‘Commission’’) has submitted to the
Office of Management and Budget the
request for extension of the previously
approved collection of information
discussed below.
Schedule TO (17 CFR 240.14d-100)
must be filed by a reporting company
that makes a tender offer for its own
securities. Also, persons other than the
reporting company making a tender
offer for equity securities registered
under Section 12 of the Exchange Act
(15 U.S.C. 78l) (which offer, if
consummated, would cause that person
to own over 5% of that class of the
securities) must file a Schedule TO. The
purpose of Schedule TO is to improve
communications between public
companies and investors before
companies file registration statements
involving tender offer statements. This
information is made available to the
public. The information provided on
Schedule TO is mandatory. Schedule
TO takes approximately 43.5 hours per
response and is filed by approximately
1,378 issuers annually. We estimate that
50% of the 43.5 hours per response
(21.75 hours) is prepared by the issuer
for an annual reporting burden of 29,972
hours (21.75 hours per response × 1,378
responses).
An agency may not conduct or
sponsor, and a person is not required to
respond to, a collection of information
unless it displays a currently valid
control number.
The public may view background
documentation for this information
collection at the following website:
www.reginfo.gov. Find this particular
information collection by selecting
‘‘Currently under 30-day Review—Open
for Public Comments’’ or by using the
search function. Written comments and
recommendations for the proposed
information collection should be sent
within 30 days of publication of this
notice to (i) www.reginfo.gov/public/do/
PRAMain and (ii) David Bottom,
Director/Chief Information Officer,
Securities and Exchange Commission,
c/o Cynthia Roscoe, 100 F Street NE,
Washington, DC 20549, or by sending an
email to: PRA_Mailbox@sec.gov.
Dated: June 3, 2020.
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020–12399 Filed 6–8–20; 8:45 am]
BILLING CODE 8011–01–P

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SECURITIES AND EXCHANGE
COMMISSION
[SEC File No. 270–323, OMB Control No.
3235–0362]

Dated: June 3, 2020.
J. Matthew DeLesDernier,
Assistant Secretary.

Submission for OMB Review;
Comment Request
Upon Written Request Copies Available
From: Securities and Exchange
Commission, Office of FOIA Services,
100 F Street NE, Washington, DC
20549–2736
Extension:
Form 5

Notice is hereby given that, pursuant
to the Paperwork Reduction Act of 1995
(44 U.S.C. 3501 et seq.), the Securities
and Exchange Commission
(‘‘Commission’’) has submitted to the
Office of Management and Budget this
request for extension of the previously
approved collection of information
discussed below.
Under Section 16(a) of the Securities
Exchange Act of 1934 (‘‘Exchange Act’’)
(15 U.S.C. 78a et seq.) every person who
is directly or indirectly the beneficial
owner of more than 10 percent of any
class of any equity security (other than
an exempted security) which registered
pursuant to Section 12 of the Exchange
Act, or who is a director or an officer of
the issuer of such security (collectively
‘‘reporting persons’’), must file
statements setting forth their security
holdings in the issuer with the
Commission. Form 5 (17 CFR 249.105)
is an annual statement of beneficial
ownership of securities. The
information disclosure provided on
Form 5 is mandatory. All information is
provided to the public for review. We
estimate that approximately 5,939
reporting persons file Form 5 annually
and we estimate that it takes
approximately one hour to prepare the
form for a total of 5,939 annual burden
hours.
An agency may not conduct or
sponsor, and a person is not required to
respond to, a collection of information
unless it displays a currently valid
control number.
The public may view background
documentation for this information
collection at the following website:
www.reginfo.gov. Find this particular
information collection by selecting
‘‘Currently under 30-day Review—Open
for Public Comments’’ or by using the
search function. Written comments and
recommendations for the proposed
information collection should be sent
within 30 days of publication of this
notice to (i) www.reginfo.gov/public/do/
PRAMain and (ii) David Bottom,
Director/Chief Information Officer,

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Securities and Exchange Commission, c/
o Cynthia Roscoe, 100 F Street NE,
Washington, DC 20549, or by sending an
email to: PRA_Mailbox@sec.gov.

[FR Doc. 2020–12391 Filed 6–8–20; 8:45 am]
BILLING CODE P

SECURITIES AND EXCHANGE
COMMISSION
[SEC File No. 270–619, OMB Control No.
3235–0681]

Submission for OMB Review;
Comment Request
Upon Written Request, Copies Available
From: Securities and Exchange
Commission, Office of FOIA Services, 100
F Street NE, Washington, DC 20549–2736.
Extension:
Rules 15Ba1–1 through 15Ba1–8

Notice is hereby given that pursuant
to the Paperwork Reduction Act of 1995
(44 U.S.C. 3501 et seq.), the Securities
and Exchange Commission
(‘‘Commission’’) is soliciting comments
on the collection of information
provided for in Rules 15Ba1–1 to
15Ba1–8 (17 CFR 240.15Ba1–1 to 17
CFR 240.15Ba1–8)—Registration of
Municipal Advisors, under the
Securities Exchange Act of 1934 (15
U.S.C. 78a et seq.) (the ‘‘Act’’). The
Commission plans to submit this
existing collection of information to the
Office of Management and Budget for
extension and approval.
On September 20, 2013 (see 78 FR
67468, November 12, 2013), the
Commission adopted Rules 15Ba1–1
through 15Ba1–8 and Rule 15Bc4–1
under the Act to establish the rules by
which a municipal advisor must obtain,
maintain, and terminate its registration
with the Commission. In addition, the
rules interpret the definition of the term
‘‘municipal advisor,’’ interpret the
statutory exclusions from that
definition, and provide certain
additional regulatory exemptions. The
rules became effective on January 13,
2014; however, on January 13, 2014, the
Commission temporarily stayed such
rules until July 1, 2014 (see 79 FR 2777,
January 16, 2014). Amendments to Form
MA and Form MA–I designed to
eliminate aspects of the forms that
request filers to provide certain forms of
personally identifiable information
(‘‘PII’’), including Social Security

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Federal Register / Vol. 85, No. 111 / Tuesday, June 9, 2020 / Notices
numbers, dates of birth, or Foreign ID
numbers became effective on May 14,
2018 (see 83 FR 22190, May 14, 2018).
Section 15B(a)(1) of the Act makes it
unlawful for a municipal advisor to
provide advice to or on behalf of a
municipal entity or obligated person
with respect to municipal financial
products or the issuance of municipal
securities, or to undertake certain
solicitations of a municipal entity or
obligated person, unless the municipal
advisor is registered with the
Commission. The rules, among other
things (i) require municipal advisors to
file certain forms (i.e., Form MA, Form
MA–A, Form MA/A, Form MA–I, Form
MA–I/A, Form MA–NR, and Form MA–
W) with the Commission to obtain,
maintain, or terminate their registration
with the Commission and maintain
certain books and records in accordance
with the Act, and (ii) set forth how
certain entities may meet the
requirements of the statutory exclusions
or regulatory exemptions from the
definition of ‘‘municipal advisor.’’

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Form MA
The Commission estimates that
approximately 35 respondents will
submit new Form MA applications
annually in each of the next three
years.1 The Commission further
estimates that each submission will take
approximately 3.5 hours. Thus, the total
annual burden borne by respondents for
submitting an initial Form MA
application will be approximately 123
hours.2 The Commission estimates that
respondents submitting new Form MA
applications would, on average, consult
with outside counsel for one hour, at a
rate of $400/hour. Thus, the
Commission estimates that the average
total annual cost that may be incurred
by all respondents filing new Form MA
applications will be $14,000.3 In
addition to filing initial Form MA
applications, the rules require
municipal advisors to amend Form MA
once annually (Form MA–A) and after
the occurrence of any enumerated
material event (Form MA/A). The
requirement to amend Form MA applies
to all registered municipal advisors.
There are currently approximately 535
municipal advisors registered with the
Commission and, as noted above, the
Commission anticipates receiving 105
new Form MA submissions over the
1 The estimate is derived by averaging the number
of Form MA filings over the last three years and
rounding up. There were 39 Form MA submissions
in 2017, 34 Form MA submissions in 2018, and 30
Form MA submissions in 2019.
2 35 respondents × 3.5 hours = 122.5 hours.
3 35 respondents × ($400/hour × 1 hour) =
$14,000.

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next three years. Therefore, the
Commission expects that the rules’
requirement to amend Form MA will
apply to approximately 570 municipal
advisors in year one, approximately 605
municipal advisors in year two, and
approximately 640 municipal advisors
in year three. The Commission estimates
that completing an annual amendment
would take a municipal advisor
approximately 1.5 hours and completing
a material event amendment would take
0.5 hours. The Commission further
estimates that each municipal advisor
will submit two amendments per year
(one Form MA–A and one Form MA/A).
Thus, the Commission estimates that the
average annual burden borne by
respondents for amending Form MA
during the three-year period will be
approximately 1,210 hours.4
Form MA–I
The Commission estimates that it will
receive approximately 570 new Form
MA–I submissions annually.5 The
Commission further estimates that each
Form MA–I submission will take
approximately three hours to complete.
Thus, the total annual burden borne by
respondents submitting Form MA–I will
be approximately 1,710 hours.6 The
Commission also estimates that a Form
MA–I respondent will submit 2.95
updating amendments per year (Form
MA–I/A), and that each such
amendment will take approximately 0.5
hours to complete.7 There are currently
approximately 3,385 Form MA-Is on file
with the Commission for natural
persons currently associated with a
municipal advisor and, as noted above,
the Commission expects to receive 1,710
Form MA–I submissions over the next
three years.8 Therefore, the Commission
expects the rules’ requirement to amend
4 ((570 respondents × 2 hours) + (605 respondents
× 2 hours) + (640 respondents × 2 hours))/3 = 1,210
hours.
5 The estimate is derived by averaging the number
of Form MA–I submissions over the last three years.
There were 619 Form MA–I submissions in 2017,
466 Form MA–I submissions in 2018, and 624 Form
MA–I submissions in 2019.
6 570 submissions × 3 hours = 1,710 hours.
7 The estimate is derived by averaging the number
of updating amendments submitted by respondents
over the last three years. In 2017, the average
number is 2,078 Form MA–I/A/574 municipal
advisors = 3.62. In 2018 the average number is
1,398 Form MA–I/A/555 municipal advisors = 2.52.
In 2019, the average number is 1,442 Form MA–I/
A/535 municipal advisors = 2.70. Averaging the
average number of updating amendments for the
last three years: 3.62 (2017) + 2.52 (2018) + 2.70
(2019)/3 = 2.95 updating amendments per year.
8 The estimated number of active Form MA–I
filings is derived by taking the total number of Form
MA–I submissions with the Commission as of
December 31, 2019 and subtracting the number of
Form MA–I/A withdrawals as of the same date.
7,564 (Form MA–I submissions)—4,179 (Form MA–
I/A withdrawals) = 3,385 Form MA-Is on file.

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35349

Form MA–I to apply to approximately
3,955 Form MA-Is in year one,
approximately 4,525 Form MA-Is in
year two, and approximately 5,095 Form
MA-Is in year three. Thus, the
Commission estimates that the average
annual burden borne by respondents
submitting Form MA–I amendments
during the three-year period will be
approximately 6,674 hours.9
Form MA–W
The Commission estimates that it will
receive 46 new Form MA–W
submissions annually.10 The
Commission further estimates that each
Form MA–W submission will take
approximately 0.5 hours to complete.
Thus, the total annual burden borne by
respondents submitting Form MA–W
will be approximately 23 hours.11
Form MA–NR
The Commission estimates that three
municipal advisors will have a nonresident general partner, non-resident
managing agent, or non-resident
associated person and such advisors
will submit a total of approximately five
Form MA–NRs annually.12 The
Commission further estimates that each
Form MA–NR submission will take
approximately 1.5 hours to complete.
Thus, the total annual burden borne by
respondents submitting Form MA–NR
will be approximately 7.5 hours.13 In
addition, each respondent that submits
a Form MA–NR must also provide an
opinion of counsel. The Commission
estimates that such an opinion of
counsel would take three hours to
complete, at a rate of $400/hour. Thus,
the Commission estimates that the total
annual burden borne by respondents
providing an opinion of counsel will be
approximately nine hours.14 The
9 (((3,955 Form MA–I/As × (2.95 amendments ×
0.5 hours)) + ((4,525 Form MA–I/As × (2.95
amendments × 0.5 hours)) + ((5,095 Form MA–I/As
× (2.95 amendments × 0.5 hours)))/3 = 6,674.375
hours.
10 The estimate of 46 Form MA–W submissions is
derived by averaging the number of Form MA–W
submissions over the last two years. There were 46
Form MA–W submissions in 2018 and 2019
respectively. The filing number from 2017 was
omitted because an abnormally large number of
Form MA–W submissions were submitted (116
submissions in 2017), likely due to the advent of
the Municipal Securities Rulemaking Board’s Series
50 exam requirement which became effective on
September 12, 2017.
11 46 respondents × 0.5 hours = 23 hours.
12 The estimate is derived by averaging the
number of Form MA–NR submissions over the last
three years. There were seven Form MA–NR
submissions in 2017, four Form MA–NR
submissions in 2018, and five Form MA–NR
submissions in 2019.
13 3 respondents × (1.67 Form MA–NR
submissions × 1.5 hours) = 7.5 hours.
14 3 respondents × 3 hours = 9 hours.

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estimated average total cost that may be
incurred by all respondents providing
an opinion of counsel will be $3,600.15
Consent to Service of Process
The Commission estimates that 35
new municipal advisors will have to
develop a template document to use in
obtaining written consents to service of
process from their associated persons
annually. The Commission further
estimates that each template document
will take approximately one hour to
draft. Thus, the Commission estimates
that the total annual burden borne by
respondents developing a template
document will be approximately 35
hours.16 In addition, the Commission
estimates that municipal advisors will
need to obtain 570 new consents to
service of process from associated
persons annually. The Commission
further estimates that, after the written
consents are drafted, it will take
municipal advisors approximately 0.10
hours to obtain each consent. Thus, the
Commission estimates that the total
annual burden borne by respondents
obtaining consents to service of process
will be 92 hours.17
Books and Records To Be Maintained
by Municipal Advisors
The Commission estimates 570, 605,
and 640 municipal advisors will be
subject to the books and records rules
during each of the next three years,
respectively. The Commission further
estimates that the average annual
burden for a municipal advisor to
comply with the books and records
requirement is approximately 182
hours. Thus, the Commission estimates
that the average annual burden borne by
respondents to comply with the books
and records requirements during the
three-year period will be approximately
110,110 hours.18

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Independent Registered Municipal
Advisor Exemption
The Commission estimates that
approximately 231 persons will seek to
rely on the independent registered
municipal advisor exemption
annually.19 The Commission further
estimates that the one-time burden of
developing a written template
15 3 respondents × (3.0 hours × $400/hour) =
$3,600.
16 35 respondents × 1 hour = 35 hours.
17 35 hours + (570 × 0.1 hours) = 92 hours.
18 ((570 respondents × 182 hours) + (605
respondents × 182 hours) + (640 respondents × 182
hours))/3 = 110,110 hours.
19 Estimate based on information obtained from
Mergent Municipal Bond Securities Database. The
estimate represents the average number of
underwriters that participated in negotiated
transactions from 2017 to 2019.

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disclosure document will be
approximately one hour. Thus, the
Commission estimates that the total onetime burden borne by respondents
developing a template disclosure
document will be approximately 231
hours.20 The Commission also
recognizes that respondents will be
subject to a recurring burden each time
they seek to rely on the exemption. The
Commission estimates that respondents
may seek the exemption on
approximately 8,211 transactions
annually.21 The Commission further
estimates that the burden of obtaining
the written representations needed from
the municipal entity or obligated person
client will be approximately 0.25 hours.
Thus, the Commission estimates that the
total annual burden borne by
respondents seeking to rely on the
independent registered municipal
advisor exemption will be
approximately 2,053 hours.22
Municipal Escrow Investments
The Commission estimates that
approximately 694 respondents will
seek to rely on the municipal escrow
investments exemption.23 The
Commission further estimates that the
one-time burden of creating a template
document to use in obtaining the
written representations necessary to rely
on the exemption will be approximately
one hour. Thus, the Commission
estimates that the total one-time burden
borne by respondents developing a
template document will be
approximately 694 hours.24 The
Commission also recognizes that
respondents will be subject to a
recurring burden each time they seek to
rely on the exemption. The Commission
estimates the respondents will seek to
rely on the exemption with
approximately 2,321 municipal entity
clients.25 The Commission further
estimates that the burden of obtaining
the required written representations
from the respondent’s client will be
approximately 0.25 hours. Thus, the
Commission estimates that the total
annual burden borne by respondents
respondents × 1 hour = 231 hours.
based on information obtained from
Mergent Municipal Bond Securities Database. The
estimate represents the average number of
negotiated deals using an underwriter each year.
22 8,211 transactions × 0.25 hours = 2,052.75
hours.
23 The Commission estimates in this section are
based on information reported directly by stateregistered investment advisers in Item 5.D.(i)(1)
within Form ADV.
24 694 respondents × 1 hour = 694 hours.
25 The Commission estimates in this section are
based on information reported directly by stateregistered investment advisers in Item 5.D.(i)(1)
within Form ADV.
20 231

21 Estimate

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seeking to rely on the municipal escrow
investments exemption will be
approximately 580 hours.26
Proceeds of Municipal Securities
The Commission estimates that
approximately 720 respondents will
seek to rely on the proceeds of
municipal securities exemption.27 The
Commission further estimates that the
one-time burden of creating a template
document to use in obtaining the
written representations necessary to rely
on the exemption will be approximately
one hour. Thus, the Commission
estimates that the total one-time burden
borne by respondents developing a
template document will be
approximately 720 hours.28 The
Commission also recognizes that
respondents will be subject to a
recurring burden each time they seek to
rely on the exemption. The Commission
estimates that respondents will seek to
rely on the exemption in connection
with services provided to approximately
4,056 clients.29 The Commission further
estimates that the burden of obtaining
the required written consents from the
respondent’s client will be
approximately 0.25 hours. Thus, the
Commission estimates that the total
annual burden borne by respondents
seeking to rely on proceeds of municipal
securities exemption will be
approximately 1,014 hours.30
Written comments are invited on: (a)
Whether the proposed collection of
information is necessary for the proper
performance of the functions of the
Commission, including whether the
information shall have practical utility;
(b) the accuracy of the Commission’s
estimates of the burden of the proposed
clients × 0.25 hours = 580.25 hours.
Commission estimates in this section are
based on information reported directly by stateregistered investment advisers in Item 5.D.(f)(1)
within Form ADV. The number of state-registered
investment advisers which have pooled investment
vehicle clients (other than investment company and
business development company clients) within
Form ADV, Item 5.D.(f)(1) = 637. The percentage of
state-registered investment advisers which have
municipal government entity clients (other than
investment company and business development
company clients) within Form ADV, Item 5.D.(f)(1)
= 4%. (637 × .04) = 26. The number of stateregistered investment advisers relying on the
exception to the definition of ‘‘municipal escrow
investment’’ = 694. (26 + 694) = 720 respondents.
28 720 respondents × 1 hour = 720 hours.
29 The number of municipal entity clients of stateregistered investment advisers relying on the
exception to the definition of ‘‘municipal escrow
investment’’ in Item 5.D.(i)(1) within Form ADV =
2,321 clients. The number of pooled investment
vehicle clients (other than investment company and
business development company clients) of stateregistered investment advisers in Item 5.D.(f)(1)
within Form ADV = 1,735 clients. (2,321 + 1,735)
= 4,056 clients.
30 4,056 clients × 0.25 hours = 1,014 hours.
26 2,321
27 The

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Federal Register / Vol. 85, No. 111 / Tuesday, June 9, 2020 / Notices
collection of information; (c) ways to
enhance the quality, utility, and clarity
of the information to be collected; and
(d) ways to minimize the burden of the
collection of information on
respondents, including through the use
of automated collection techniques or
other forms of information technology.
Consideration will be given to
comments and suggestions submitted in
writing within 30 days of this
publication.
An agency may not conduct or
sponsor, and a person is not required to
respond to, a collection of information
under the PRA unless it displays a
currently valid OMB control number.
The public may view background
documentation for this information
collection at the following website:
www.reginfo.gov. Find this particular
information collection by selecting
‘‘Currently under 30-day Review—Open
for Public Comments’’ or by using the
search function. Written comments and
recommendations for the proposed
information collection should be sent
within 30 days of publication of this
notice to (i) www.reginfo.gov/public/do/
PRAMain and (ii) David Bottom,
Director/Chief Information Officer,
Securities and Exchange Commission, c/
o Cynthia Roscoe, 100 F Street NE,
Washington, DC 20549, or by sending an
email to: PRA_Mailbox@sec.gov.
Dated: June 3, 2020.
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020–12394 Filed 6–8–20; 8:45 am]
BILLING CODE 8011–01–P

SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–88997; File No. SR–CBOE–
2020–014]

Self-Regulatory Organizations; Cboe
Exchange, Inc.; Notice of Filing of
Amendment No. 1 and Order Instituting
Proceedings To Determine Whether To
Approve or Disapprove a Proposed
Rule Change, as Modified by
Amendment No. 1, To Adopt a DeltaAdjusted at Close Order Instruction
June 3, 2020.

thereunder,2 a proposed rule change to
introduce a Delta-Adjusted at Close
(‘‘DAC’’) Order Instruction on Cboe
Options. The proposed rule change was
published for comment in the Federal
Register on March 9, 2020.3 On April
13, 2020, the Commission designated a
longer period within which to approve
the proposed rule change, disapprove
the proposed rule change, or institute
proceedings to determine whether the
proposed rule change should be
disapproved.4 On May 12, 2020, the
Exchange submitted Amendment No. 1
to the proposed rule change.5 The
Commission has received no comments
on the proposed rule change.
The Commission is publishing this
notice and order to solicit comments on
the proposed rule change, as modified
by Amendment No. 1, from interested
persons and to institute proceedings
pursuant to Section 19(b)(2)(B) of the
Exchange Act 6 to determine whether to
approve or disapprove the proposed
rule change, as modified by Amendment
No. 1.
II. -Exchange’s Description of the
Proposal, as Modified by Amendment
No. 1
As amended, the Exchange proposes
to adopt a Delta-Adjusted at Close or
DAC order instruction that a User 7 may
apply to an order for an option on an
ETP or index when entering it into the
System for execution in a FLEX
electronic or open outcry auction. In
particular, if a DAC order executes
during the trading day, upon receipt of
the official closing price or value for the
underlying from the primary listing
exchange or index provider,
respectively, the System will adjust the
original execution price of a DAC order
based on a delta value applied to the
change in the underlying reference price
between the time of execution and the
market close. As proposed, DAC orders
will allow Users the opportunity to
incorporate into the pricing of their
FLEX Options the closing price or value
of the underlying on the transaction
date based on how much the price or
value changed during the trading day.
Near the market close, the Exchange
has observed that significant numbers of
market participants interact in the

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I. Introduction
On February 18, 2020, Cboe
Exchange, Inc. (‘‘Exchange’’ or ‘‘Cboe
Options’’) filed with the Securities and
Exchange Commission (‘‘Commission’’),
pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Exchange Act’’) 1 and Rule 19b–4
1 15

U.S.C. 78s(b)(1).

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2 17

CFR 240.19b–4.
Securities Exchange Act Release No. 88312
(March 3, 2020), 85 FR 13686 (‘‘Notice’’).
4 See Securities Exchange Act Release No. 88622,
85 FR 21490 (April 17, 2020).
5 See https://www.sec.gov/comments/sr-cboe2020-014/srcboe2020014-7180918-216787.pdf
6 15 U.S.C. 78s(b)(2)(B).
7 The term ‘‘User’’ means any TPH or Sponsored
User who is authorized to obtain access to the
System pursuant to Rule 5.5. See Rule 1.1.

35351

equity markets, which may substantially
impact the price or value, as applicable,
of the underlying at the market close.
For example, shares of exchange-traded
funds (‘‘ETFs’’) that track indexes,
which are increasingly popular, often
trade at or near the market close in order
to better align with the indexes they
track and attempt to align the market
price of shares of the ETF as close to the
net asset value (‘‘NAV’’) 8 per share as
possible. Further, the Exchange
understands that market makers and
other liquidity providers seek to balance
their books before the market close and
contribute to increased price discovery
surrounding the market close. The
Exchange also believes it is common for
other market participants to seek to
offset intraday positions and mitigate
exposure risks based on their
predictions of the closing underlying
prices or underlying indexes (which
represent the settlement prices of
options on those underlyings). The
Exchange understands this substantial
activity near the market close may
create wider spreads and increased
price volatility, which may attract
further trading activity from those
participants seeking arbitrage
opportunities and further drive prices.
In light of the significant liquidity and
price/value movements in equity shares
that can occur near the market close,
option closing and settlement prices
may deviate significantly from option
execution prices earlier that trading day.
The proposed DAC order instruction
is designed to allow investors to
incorporate any upside market moves
that may occur following execution of
the order up to the market close while
limiting downside risk. Additionally,
the Exchange has noted that there have
been a number of managed funds that
recognize the benefits to their investors
in employing certain strategies that
allow for their investors to mitigate risk
at the market close while also
participating in beneficial market moves
at the close. The proposed DAC order
would provide such funds with an
additional method to attempt to meet
their objectives through FLEX options
strategies, thereby benefitting their
investors. The Exchange understands
that, for example, defined-outcome ETF
issuers 9 often times use multi-leg
strategy orders when seeding their

3 See

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8 The NAV is an ETF’s total assets minus its total
liabilities. ETFs generally must calculate their NAV
at least once every business day, and typically do
so after market close. See 17 CFR 270.2a–4.
9 The Exchange notes that defined outcome ETF
issuers do not buy stocks directly, but instead, use
options contracts to deliver the price gain or loss
of an index (such as the S&P 500) over the course
of a year, up to a preset cap.

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