[Federal Register Volume 80, Number 160 (Wednesday, August 19, 2015)]
[Notices]
[Pages 50358-50365]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-20417]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-75694; File No. SR-NASDAQ-2015-089]


Self-Regulatory Organizations; The NASDAQ Stock Market LLC; 
Notice of Filing of Proposed Rule Change Relating to the Listing and 
Trading of the 1-3 Month Enhanced Short Duration ETF, a Series of Plus 
Trust

August 13, 2015.
    Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on July 29, 2015, The NASDAQ Stock Market LLC (``NASDAQ'' or the 
``Exchange'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in in Items I 
and II below, which Items have been prepared by NASDAQ. 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

    NASDAQ proposes to list and trade the shares of the 1-3 Month 
Enhanced Short Duration ETF \3\ (the ``Fund''), a series of Plus Trust 
(the ``Trust''), under NASDAQ Rule 5735, entitled Managed Fund Shares 
(``Managed Fund Shares'').\4\ The shares of the Fund are collectively 
referred to herein as the ``Shares.''
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    \3\ ``ETF'' is exchange-traded fund.
    \4\ The Commission approved NASDAQ Rule 5735 in Securities 
Exchange Act Release No. 57962 (June 13, 2008) 73 FR 35175 (June 20, 
2008) (SR-NASDAQ-2008-039). The Commission has already considered 
and approved the listing of several actively-managed funds on the 
Exchange pursuant to Rule 5735. See, e.g., Securities Exchange Act 
Release Nos. 66489 (February 29, 2012), 77 FR 13379 (March 6, 2012) 
(SR-NASDAQ-2012-004) (order approving listing and trading of 
WisdomTree Emerging Markets Corporate Bond Fund); 70829 (November 7, 
2013), 78 FR 68482 (November 14, 2013) (SR-NASDAQ-2013-122) (order 
approving listing and trading of the First Trust High Income Fund of 
First Trust Exchange-Traded Fund VI); and 74448 (March 5, 2015), 80 
FR 12832 (March 11, 2015) (SR-NASDAQ-2015-012) (order approving 
listing and trading of WisdomTree Western Unconstrained Bond Fund). 
Additionally, the Commission has previously approved the listing of 
actively-managed funds on NYSE Arca, Inc. (``Arca'') pursuant to 
Rule 8.600 of that exchange. See, e.g., Securities Exchange Act 
Release Nos. 64643 (June 10, 2011), 76 FR 35062 (June 15, 2011) (SR-
NYSEArca-2011-21) (order approving listing and trading of WisdomTree 
Global Real Return Fund); and 67559 (August 1, 2012), 77 FR 47482 
(August 8, 2012) (SR-NYSEArca-2012-57) (order approving listing and 
trading of QAM Equity Hedge ETF). The Exchange believes the proposed 
rule change raises no significant issues not previously addressed by 
the Commission.
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    The text of the proposed rule change is available at http://nasdaq.cchwallstreet.com/, at NASDAQ's principal office, 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, NASDAQ included statements 
concerning the purpose of, and basis for, the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. NASDAQ has prepared summaries, set forth in sections A, 
B, and C below, of the most significant aspects of such statements.

[[Page 50359]]

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 the Shares of the Fund 
under NASDAQ Rule 5735, which governs the listing and trading of 
Managed Fund Shares \5\ on the Exchange. The Fund will be an actively 
managed ETF. The Shares will be offered by the Trust, which was 
established as a Delaware statutory trust on December 10, 2014.\6\ The 
Trust is registered with the Commission as an investment company and 
has filed a registration statement on Form N-1A (``Registration 
Statement'') with the Commission.\7\ The Fund is a series of the Trust.
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    \5\ A Managed Fund Share is a security that represents an 
interest in an investment company registered under the Investment 
Company Act of 1940 (15 U.S.C. 80a-1) (the ``1940 Act'') organized 
as an open-end investment company or similar entity that invests in 
a portfolio of securities selected by its investment adviser 
consistent with its investment objectives and policies. In contrast, 
an open-end investment company that issues Index Fund Shares, listed 
and traded on the Exchange under NASDAQ Rule 5705, seeks to provide 
investment results that correspond generally to the price and yield 
performance of a specific foreign or domestic stock index, fixed 
income securities index or combination thereof.
    \6\ The Commission has issued an order granting certain 
exemptive relief to the Trust under the 1940 Act (the ``Exemptive 
Order''). See Investment Company Act Release No. 31709 (July 8, 
2015). The Trust's application for exemptive relief under the 1940 
Act states that the Fund will comply with the federal securities 
laws in accepting securities for deposits and satisfying redemptions 
with redemption securities, including that the securities accepted 
for deposits and the securities used to satisfy redemption requests 
are sold in transactions that would be exempt from registration 
under the Securities Act of 1933 (15 U.S.C. 77a).
    \7\ See Registration Statement on Form N-1A for the Trust filed 
on January 23, 2015 (File Nos. 333-201658 and 811-23019). The 
descriptions of the Fund and the Shares contained herein are based, 
in part, on information in the Registration Statement.
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    New York Alaska ETF Management, LLC will be the investment adviser 
(``Adviser'') to the Fund. Foreside Fund Services, LLC (the 
``Distributor'') will be the principal underwriter and distributor of 
the Fund's Shares. The Bank of New York Mellon (``BNY Mellon'') will 
act as the administrator, accounting agent, custodian, and transfer 
agent to the Fund.
    Paragraph (g) of Rule 5735 provides that if the investment adviser 
to the investment company issuing Managed Fund Shares is affiliated 
with a broker-dealer, such investment adviser shall erect a ``fire 
wall'' between the investment adviser and the broker-dealer with 
respect to access to information concerning the composition and/or 
changes to such investment company portfolio.\8\ In addition, paragraph 
(g) further requires that personnel who make decisions on the open-end 
fund's portfolio composition must be subject to procedures designed to 
prevent the use and dissemination of material, non-public information 
regarding the open-end fund's portfolio. Rule 5735(g) is similar to 
NASDAQ Rule 5705(b)(5)(A)(i); however, paragraph (g) in connection with 
the establishment of a ``fire wall'' between the investment adviser and 
the broker-dealer reflects the applicable open-end fund's portfolio, 
not an underlying benchmark index, as is the case with index-based 
funds. The Adviser is not registered as a broker-dealer and is not 
affiliated with a broker-dealer. In the event (a) the Adviser becomes 
newly affiliated with a broker-dealer or registers as a broker-dealer, 
or (b) any new adviser or sub-adviser is a registered broker-dealer or 
becomes affiliated with a broker-dealer, it will implement a fire wall 
with respect to its relevant personnel and/or such broker-dealer 
affiliate, if applicable, regarding access to information concerning 
the composition 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 such portfolio.
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    \8\ An investment adviser to an open-end fund is required to be 
registered under the Investment Advisers Act of 1940 (the ``Advisers 
Act''). As a result, the Adviser and its related personnel are 
subject to the provisions of Rule 204A-1 under the Advisers Act 
relating to codes of ethics. This Rule requires investment advisers 
to adopt a code of ethics that reflects the fiduciary nature of the 
relationship to clients as well as compliance with other applicable 
securities laws. Accordingly, procedures designed to prevent the 
communication and misuse of non-public information by an investment 
adviser must be consistent with Rule 204A-1 under the Advisers Act. 
In addition, Rule 206(4)-7 under the Advisers Act makes it unlawful 
for an investment adviser to provide investment advice to clients 
unless such investment adviser has (i) adopted and implemented 
written policies and procedures reasonably designed to prevent 
violation, by the investment adviser and its supervised persons, of 
the Advisers Act and the Commission rules adopted thereunder; (ii) 
implemented, at a minimum, an annual review regarding the adequacy 
of the policies and procedures established pursuant to subparagraph 
(i) above and the effectiveness of their implementation; and (iii) 
designated an individual (who is a supervised person) responsible 
for administering the policies and procedures adopted under 
subparagraph (i) above.
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Description of 1-3 Month Enhanced Short Duration ETF Principal 
Investments
    The Fund's investment objective is to seek current income 
consistent with preservation of capital and daily liquidity. Under 
normal market conditions,\9\ the Fund would invest substantially all of 
its net assets (exclusive of collateral with respect to securities 
lending, repurchase, and reverse repurchase agreement transactions) in 
U.S. Treasury securities, which include bills, notes, and bonds issued 
by the U.S. Treasury, that have remaining maturities of greater than or 
equal to one month and less than three months. U.S. Treasury bills, 
notes and bonds are direct obligations of the U.S. Treasury. U.S. 
Treasury bills have initial maturities of one year or less, U.S. 
Treasury notes from two to 10 years, and U.S. Treasury bonds more than 
10 years. While U.S. Treasury securities are supported by the full 
faith and credit of the U.S. government, such securities are 
nonetheless subject to credit risk, albeit minimal (i.e., the risk that 
the U.S. government may be, or may be perceived to be, unable to make 
interest and principal payments).
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    \9\ The term ``under normal market conditions'' includes, but is 
not limited to, the absence of extreme volatility or trading halts 
in the fixed income markets or the financial markets generally; 
operational issues causing dissemination of inaccurate market 
information; or force majeure type events such as systems failure, 
natural or man-made disaster, act of God, armed conflict, act of 
terrorism, riot or labor disruption or any similar intervening 
circumstance. In response to adverse market, economic, political, or 
other conditions the Fund reserves the right to invest in cash, 
without limitation, as determined by the Adviser or Sub-Adviser 
[sic]. In the event the Fund engages in these temporary defensive 
strategies that are inconsistent with its investment strategies, the 
Fund's ability to achieve its investment objectives may be limited. 
The U.S. Treasury securities in which the Fund may invest will 
include variable rate U.S. Treasury securities, whose rates are 
adjusted daily (or at such other increment as may later be 
determined by the Department of the U.S. Treasury) to correspond 
with the rate paid on one-month or three-month U.S. Treasury 
securities, as applicable.
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    All of the Fund's assets will be invested in U.S. dollar-
denominated securities.
    In order to enhance income, the Fund intends to enter into 
securities lending, repurchase agreement, and/or reverse repurchase 
agreement \10\ transactions in an amount equal to not more than 33% of 
the Fund's total assets, consistent with the requirements of the 1940 
Act.\11\

[[Page 50360]]

The Fund may lend its portfolio of securities to broker/dealers, 
institutional investors, banks, and insurance and/or reinsurance 
companies located in the member countries of The Organization for 
Economic Co-operation and Development (``OECD'').\12\ Securities 
lending allows the Fund to retain ownership of the securities loaned 
and, at the same time, to earn additional income. Loans will be made 
only to parties who have been reviewed and deemed satisfactory by the 
Adviser, pursuant to guidelines adopted by the Trust's Board of 
Trustees (``Board of Trustees''), and which provide collateral under 
master agreements issued by SIFMA (The Securities Industry and 
Financial Markets Association) or ISLA (International Securities 
Lending Association), which is either (i) 102% cash or (ii) 102%-115% 
U.S. Treasury securities of the market value of the loaned securities. 
The collateral is marked to market daily. When the Fund lends portfolio 
securities, its investment performance will continue to reflect changes 
in the value of the securities loaned, and the Fund will also receive a 
fee or interest on the collateral.
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    \10\ A ``repurchase agreement'' (also known as a repo) is the 
purchase of securities with the agreement to sell the securities 
back at a higher price at a specific future date. A ``reverse 
repurchase agreement'' (also known as a reverse repo) is the sale of 
securities with the agreement to buy them back at a higher price at 
a specific future date. For the party that is selling the security 
and agreeing to repurchase it in the future, it is a reverse repo; 
for the party on the other end of the transaction that is buying the 
security and agreeing to sell in the future, it is a repurchase 
agreement.
    \11\ Securities lending by funds may implicate certain sections 
of the 1940 Act. For example, the transfer of a fund's portfolio 
securities to a borrower implicates section 17(f) of the 1940 Act 
(15 U.S.C. 80a-17(f)), which generally requires that a fund's 
portfolio securities be held by an eligible custodian. And a fund's 
obligation to return collateral at the termination of a loan 
implicates section 18 of the 1940 Act (15 U.S.C. 80a-18), which 
governs the extent to which a fund may incur indebtedness. See also 
http://www.sec.gov/divisions/investment/securities-lending-open-closed-end-investment-companies.htm.
    \12\ A list of OECD members is available at http://www.oecd.org/about/membersandpartners/list-oecd-member-countries.htm.
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    The Fund may enter into repurchase and reverse repurchase 
agreements with broker/dealers, institutional investors, banks, and 
insurance and/or reinsurance companies located in the member countries 
of the OECD. Repurchase transactions involve the purchase of securities 
with an agreement to resell the securities at an agreed-upon price, 
date and interest payment. Reverse repurchase transactions involve the 
sale of securities with an agreement to repurchase the securities at an 
agreed-upon price, date and interest payment and have the 
characteristics of borrowing. With respect to repurchase agreements and 
reverse repurchase agreements, proceeds (collateral) received under 
master agreements issued by SIFMA or ICMA (International Capital 
Markets Association) must be equal to or greater than the market value 
of the sold securities and either (i) cash, (ii) U.S Treasury 
securities, or (iii) debt securities secured by U.S. Treasury 
Securities (such debt securities typically will be issued pursuant to 
Rule 144A and will be secured by a pledge to the note holder of U.S. 
Treasury Securities with a market value equal to or greater than the 
face value of the debt security). All collateral will have a maturity 
of three months or less. The collateral is marked to market daily and 
valued in accordance with the Fund's valuation procedures. The price 
paid to repurchase the security reflects interest accrued during the 
term of the agreement.
Other Investments
    In order to seek its investment objective, the Fund will not employ 
other strategies outside of the above-described ``Principal 
Investments.'' \13\
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    \13\ As such, the Fund will not use derivative instruments, 
including options, swaps, forwards and futures contracts, both 
listed and over-the-counter. The Fund will not invest in leveraged, 
inverse, or leveraged inverse exchange-traded products and will not 
be operated as a ``leveraged ETF'' designed to seek a multiple of 
the performance of an underlying reference asset. In addition, the 
Fund has represented that its securities lending and reverse 
repurchase agreement transactions will be made in accordance with 
the 1940 Act and consistent with the Fund's investment objectives 
and policies, and will not be used to multiply the risks and returns 
of income producing assets. The Fund will comply with the regulatory 
requirements of the Commission to maintain assets as ``cover,'' and 
maintain segregated accounts as needed. With respect to the reverse 
repurchase agreements entered into by the Fund that involve 
obligations to make future payments to third parties, the Fund, in 
accordance with applicable federal securities laws, rules, and 
interpretations thereof, will ``set aside'' liquid assets, or engage 
in other measures to ``cover'' open positions with respect to such 
transactions. These procedures will be adopted consistent with 
section 18 of the 1940 Act and related Commission guidance. In 
addition, the Fund will include appropriate risk disclosure in its 
offering documents, including leveraging risk. Leveraging risk is 
the risk that certain transactions of the Fund, including the Fund's 
use of reverse repurchase agreements, may give rise to leverage, 
causing the Fund's Shares to be more volatile than if they had not 
been leveraged. The Fund will not be operated as a ``leveraged ETF'' 
designed to seek a multiple of the performance of an underlying 
reference asset.
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Investment Restrictions
    Under normal market conditions, the Fund will invest substantially 
all, but not less than, 80% of its net assets (exclusive of collateral 
with respect to securities lending, repurchase, and reverse repurchase 
agreement transactions), plus any borrowings for investment purposes, 
in U.S. Treasury securities, which include bills, notes, and bonds 
issued by the U.S. Treasury, that have remaining maturities of greater 
than or equal to one month and less than three months.
    The Fund may hold up to an aggregate amount of 15% of its net 
assets in illiquid securities, including repurchase and reverse 
repurchase agreements maturing in more than seven days, and other 
illiquid assets (calculated at the time of investment). The Fund will 
monitor its portfolio liquidity on an ongoing basis to determine 
whether, in light of current circumstances, an adequate level of 
liquidity is being maintained, and will consider taking appropriate 
steps in order to maintain adequate liquidity if, through a change in 
values, net assets, or other circumstances, more than 15% of the Fund's 
net assets are held in illiquid securities or other illiquid assets. 
Illiquid securities and other illiquid assets include securities 
subject to contractual or other restrictions on resale and other 
instruments that lack readily available markets as determined in 
accordance with Commission staff guidance.\14\
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    \14\ The Commission has stated that long-standing Commission 
guidelines have required open-end funds to hold no more than 15% of 
their net assets in illiquid securities and other illiquid assets. 
See Investment Company Act Release No. 28193 (March 11, 2008), 73 FR 
14618 (March 18, 2008), FN 34. See also Investment Company Act 
Release No. 5847 (October 21, 1969), 35 FR 19989 (December 31, 1970) 
(Statement Regarding ``Restricted Securities''); Investment Company 
Act Release No. 18612 (March 12, 1992), 57 FR 9828 (March 20, 1992) 
(Revisions of Guidelines to Form N-1A). A fund's portfolio security 
is illiquid if it cannot be disposed of in the ordinary course of 
business within seven days at approximately the value ascribed to it 
by the fund. See Investment Company Act Release No. 14983 (March 12, 
1986), 51 FR 9773 (March 21, 1986) (adopting amendments to Rule 2a-7 
under the 1940 Act); Investment Company Act Release No. 17452 (April 
23, 1990), 55 FR 17933 (April 30, 1990) (adopting Rule 144A under 
the Securities Act of 1933).
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    The Fund intends to qualify for and to elect to be treated as a 
separate regulated investment company under Subchapter M of the 
Internal Revenue Code of 1986.\15\
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    \15\ 26 U.S.C. 851.
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Net Asset Value
    The net asset value (``NAV'') per Share for the Fund is computed by 
dividing the value of the net assets of the Fund (i.e., the value of 
its total assets less total liabilities) by the total number of Shares 
outstanding). Expenses and fees, including the management fee, are 
accrued daily and taken into account for purposes of determining NAV. 
The NAV will be determined on each business day as of the close of 
trading (ordinarily 4:00 p.m. Eastern Time (``E.T.'')) on the New York 
Stock Exchange (``NYSE''), now under the umbrella of the 
Intercontinental Exchange (``ICE'').
    For purposes of calculating NAV, portfolio securities and other 
assets for which market quotes are readily available are valued at 
market value. Market value is generally determined on the basis of last 
reported sales prices, or if no sales are reported, based on quotes

[[Page 50361]]

obtained from a quotation reporting system, established market makers, 
or pricing services. With respect to U.S. Treasury securities, which 
include bills, notes, and bonds issued by the U.S. Treasury, the Fund 
will value such securities at the price listed at the following 
sources: Bloomberg, TradeWeb, E-Speed, Tullett Prebon, the U.S. 
Treasury Department, and/or Interactive Brokers, with the hierarchy of 
such sources generally in the order listed. If a market price is not 
readily available from these sources, the Fund will instead employ the 
fair value techniques discussed below.
    Securities and other assets for which market quotes are not readily 
available are valued at fair value as determined in good faith by the 
Board of Trustees or persons acting at their direction. The Board of 
Trustees has adopted methods for fair valuation, and has delegated to 
the Adviser the responsibility for applying the valuation methods.\16\ 
In the event that market quotes are not readily available, and the 
security or asset cannot be valued pursuant to one of the valuation 
methods, the value of the security or asset will be determined in good 
faith by the Board of Trustees, generally based upon recommendations 
provided by the Adviser.
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    \16\ For example, domestic fixed income securities are normally 
valued on the basis of quotes obtained from brokers and dealers or 
pricing services using data reflecting the closing of the principal 
markets for those securities (e.g., closing price). Prices obtained 
from independent pricing services use information provided by market 
makers or estimates of market values obtained from yield data 
relating to investments or securities with similar characteristics. 
Certain fixed income securities purchased on a delayed-delivery 
basis are marked to market daily until settlement at the forward 
settlement date. Short-term investments having a maturity of 60 days 
or less are generally valued at amortized cost.
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    Market quotes are considered not readily available in circumstances 
where there is an absence of current or reliable market-based data 
(e.g., trade information, bid/ask information, broker quotes), 
including where events occur after the close of the relevant market, 
but prior to the NYSE market close, that materially affect the values 
of the Fund's securities or assets. In addition, market quotes are 
considered not readily available when, due to extraordinary 
circumstances, the exchanges or markets on which the securities trade 
do not open for trading for the entire day and no other market prices 
are available. The Board of Trustees has delegated to the Adviser the 
responsibility for monitoring significant events that may materially 
affect the values of the Fund's securities or assets and for 
determining whether the value of the applicable securities or assets 
should be re-evaluated in light of such significant events.
    When the Fund uses fair value pricing to determine its NAV, 
securities will not be priced on the basis of quotes from the primary 
market in which they are traded, but rather may be priced by another 
method that the Board of Trustees or persons acting at their direction 
believe reflects fair value. Fair value pricing may require subjective 
determinations about the value of a security. While the Trust's policy 
is intended to result in a calculation of the Fund's NAV that fairly 
reflects security values as of the time of pricing, the Trust cannot 
ensure that fair values determined by the Board of Trustees or persons 
acting at their direction would accurately reflect the price that the 
Fund could obtain for a security if it were to dispose of that security 
as of the time of pricing (for instance, in a forced or distressed 
sale). The prices used by the Fund may differ from the value that would 
be realized if the securities were sold.
    Securities lending transactions, repurchase agreements and reverse 
repurchase agreements transactions will be valued at the combined value 
of (i) the value of the underlying Fund asset utilized in the 
transaction and (ii) the relative realized profit value, added daily.
Creation and Redemption of Shares
    The Trust will issue and sell Shares of the Fund only in Creation 
Unit aggregations, and only in aggregations of 25,000 Shares, on a 
continuous basis through the Distributor, without an initial sales 
load, at the NAV next determined after receipt, on any business day, of 
an order in proper form.
    The consideration for purchase of Creation Units may consist of: 
(i) The in-kind deposit of a designated portfolio of securities closely 
approximating the holdings of the Fund (the ``Deposit Securities''), 
and (ii) an amount of cash denominated in U.S. Dollars (the ``Cash 
Component'') computed as described-below. Together, the Deposit 
Securities and the Cash Component-constitute the ``Fund Deposit,'' 
which represents the minimum initial and subsequent investment amount 
for a Creation Unit of the Fund. The Trust expects that Creation Units 
will be in kind, but may be in cash at the discretion of the Fund as 
and to the extent permitted by the Fund's Exemptive Order.
    The Fund may permit or require the consideration for Creation Units 
to consist solely of cash. The Fund may permit or require the 
substitution of an amount of cash denominated in U.S. Dollars (i.e., a 
``cash in lieu'' amount) to be added to the Cash Component to replace 
any Deposit Security. For example, the Trust reserves the right to 
permit or require a ``cash in lieu'' amount where the delivery of the 
Deposit Security by the Authorized Participant (as described below) 
would be restricted under the securities laws or where the delivery of 
the Deposit Security to the Authorized Participant would result in the 
disposition of the Deposit Security by the Authorized Participant 
becoming restricted under the securities laws, or in certain other 
situations.
    The Cash Component is sometimes also referred to as the ``Balancing 
Amount.'' The Cash Component serves the function of compensating for 
any differences between the NAV per Creation Unit value of the Deposit 
Securities. If the Cash Component is a positive number (i.e., the NAV 
per Creation Unit exceeds the value of the Deposit Securities), the 
Authorized Participant (defined below) will deliver the Cash Component 
to the Fund; and if the Cash Component is a negative number (i.e., the 
NAV per Creation Unit is less than the value of the Deposit 
Securities), the Authorized Participant will receive the Cash Component 
from the Fund. Computation of the Cash Component excludes any stamp 
duty tax or other similar fees and expenses payable upon transfer of 
beneficial ownership of the Deposit Securities, which shall be the sole 
responsibility of the Authorized Participant.
    BNY Mellon, through the National Securities Clearing Corporation 
(``NSCC''), will make available on each business day, prior to the 
opening of business (subject to amendments) on the Exchange (currently 
9:30 a.m. E.T.), the identity and the required number of each Deposit 
Security and the amount of the Cash Component (or Cash Deposit) to be 
included in the current Fund Deposit (based on information at the end 
of the previous business day). Such Fund Deposit will be applicable in 
order to effect creations of Creation Unit aggregations of the Fund 
until such time as the next-announced composition of the Deposit 
Securities is made available. BNY Mellon, through the NSCC, will also 
make available on each business day, prior to the opening of business 
of the Exchange (currently 9:30 a.m. E.T.), the list of the names and 
the quantity of each security to be included (based on information at 
the end of the previous business day) (``Fund Securities'') in order to 
affect redemptions of Creation Unit aggregations of the Fund until such 
time as the next-announced composition of the Fund Securities is

[[Page 50362]]

made available. Fund Securities received on redemption may not be 
identical to Deposit Securities that are applicable to creations of 
Creation Units.
    To be eligible to place orders with the Distributor and to create a 
Creation Unit of the Fund, an entity must be a Depository Trust Company 
(``DTC'') participant, such as a broker-dealer, bank, trust company, 
clearing corporation or certain other organization, some of whom (and/
or their representatives) own DTC (each a ``DTC Participant''). DTC 
acts as a securities depositary for the Shares. The DTC Participant 
must have executed an agreement with the Distributor with respect to 
creations and redemptions of Creation Units (``Participant 
Agreement''). A DTC Participant that has executed a Participant 
Agreement is referred to as an ``Authorized Participant.'' Investors 
should contact the Distributor for the names of Authorized Participants 
that have signed a Participant Agreement. All Shares of the Fund, 
however created, will be entered on the records of DTC in the name of 
DTC or its nominee and deposited with, or on behalf of, DTC.
    All orders to create Shares must be placed for one or more Creation 
Units. Orders must be transmitted by an Authorized Participant pursuant 
to procedures set forth in the Participant Agreement. The date on which 
an order to create Creation Units (or an order to redeem Creation 
Units, as discussed below) is placed is referred to as the 
``Transmittal Date.'' Orders must be transmitted by an Authorized 
Participant by telephone or other transmission method acceptable to the 
Distributor pursuant to procedures set forth in the Participant 
Agreement. Economic or market disruptions or changes, or telephone or 
other communication failure, may impede the ability to reach the 
Distributor or an Authorized Participant.
    The process to redeem Creation Units works much like the process to 
purchase Creation Units, but in reverse. Orders to redeem Creation 
Units of the Fund must be delivered through an Authorized Participant. 
Investors other than Authorized Participants are responsible for making 
arrangements for a redemption request to be made through an Authorized 
Participant. Orders must be accompanied or followed by the requisite 
number of Shares of the Fund specified in such order, which delivery 
must be made to the Distributor no later than 10:00 a.m. E.T. on the 
next business day following the Transmittal Date.
Availability of Information
    The Fund's Web site (www.tbil.co), which will be publicly available 
prior to the public offering of Shares, will include a form of the 
prospectus for the Fund that may be downloaded. The Web site will 
include additional quantitative information updated on a daily basis, 
including, for the Fund, on a per Share basis: (1) The prior business 
day's reported NAV, mid-point of the bid/ask spread at the time of 
calculation of such NAV (the ``Bid/Ask Price''),\17\ a calculation of 
the premium and discount of the Bid/Ask Price against the NAV, and 
daily trading volume; and (2) data in chart format displaying the 
frequency distribution of discounts and premiums of the daily Bid/Ask 
Price against the NAV, within appropriate ranges, for each of the four 
previous calendar quarters. On each business day, before commencement 
of trading in Shares in the Regular Market Session \18\ on the 
Exchange, the Fund will disclose on its Web site (www.tbil.co) the 
identities and quantities of the portfolio of securities and other 
assets (the ``Disclosed Portfolio'' as defined in Nasdaq Rule 
5735(c)(2)) \19\ held by the Fund that will form the basis for the 
Fund's calculation of NAV at the end of the business day.\20\ On a 
daily basis the Disclosed Portfolio will include, as applicable, each 
portfolio security and other financial instruments of the Fund with the 
following information on the Fund's Web site: Ticker symbol, CUSIP 
number or other identifier, if any; a description of the holding 
(including the type of holding); the identity of the security or other 
asset or instrument underlying the holding, if any; quantity held (as 
measured by, for example, par value; maturity date, if any; coupon 
rate, if any; effective date, if any; market value of the holding; and 
the percentage weighting of the holdings in the Fund's portfolio). The 
Web site information will be publicly available at no charge. The 
Fund's disclosure of securities lending transactions and repurchase and 
reverse repurchase agreements will include information regarding the 
income being accrued on such instruments/transactions expressed in a 
percentage relative to the NAV published by the Fund.
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    \17\ The Bid/Ask Price of the Fund will be determined using the 
midpoint of the highest bid and the lowest offer on the Exchange as 
of the time of calculation of such Fund's NAV. The records relating 
to Bid/Ask Prices will be retained by the Fund and its service 
providers.
    \18\ See Nasdaq Rule 4120(b)(4) (describing the three trading 
sessions on the Exchange: (1) Pre-Market Session from 4 a.m. to 9:30 
a.m. E.T.; (2) Regular Market Session from 9:30 a.m. to 4 p.m. or 
4:15 p.m. E.T.; and (3) Post-Market Session from 4 p.m. or 4:15 p.m. 
to 8 p.m. E.T.).
    \19\ Nasdaq Rule 5735(c)(2) states that the term ``Disclosed 
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.
    \20\ Under accounting procedures to be followed by the Fund, 
trades made on the prior business day (``T'') will be booked and 
reflected in NAV on the current business day (``T+1''). 
Notwithstanding the foregoing, portfolio trades that are executed 
prior to the opening of the Exchange on any business day may be 
booked and reflected in NAV on such business day. Accordingly, the 
Fund will be able to disclose at the beginning of the business day 
the portfolio that will form the basis for the NAV calculation at 
the end of the business day.
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    A basket composition file, which will include the security names 
and quantities of securities and other assets required to be delivered 
in exchange for Fund Shares, if applicable, together with estimates and 
actual cash components, will be publicly disseminated prior to the 
opening of the Exchange via the NSCC. The basket will represent one 
Creation Unit of the Fund. The NAV of the Fund will normally be 
determined as of the close of the regular trading session on the 
Exchange (ordinarily 4:00 p.m. E.T.) on each business day.\21\ 
Authorized Participants may refer to the basket composition file for 
information regarding debt instruments and any other instrument that 
may comprise the Fund's basket on a given day.
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    \21\ This is the Regular Market Session. See NASDAQ Rule 
4120(b)(4).
---------------------------------------------------------------------------

    In addition, an estimated value, defined in Rule 5735 as the 
``Intraday Indicative Value'' (as defined in Nasdaq Rule 5753(c)(3)), 
that reflects an estimated intraday value of the Fund's portfolio, will 
be disseminated. Moreover, the Intraday Indicative Value, available on 
the NASDAQ OMX Information LLC proprietary index data service,\22\ will 
be based upon the current value for the components of the Disclosed 
Portfolio and will be updated and widely disseminated by one or more 
major market data vendors at least every 15 seconds during the Regular 
Market Session.
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    \22\ Currently, the NASDAQ OMX Global Index Data Service 
(``GIDS'') is the NASDAQ OMX global index data feed service, 
offering real-time updates, daily summary messages, and access to 
widely followed indexes and ETFs. GIDS provides investment 
professionals with the daily and historical information needed to 
track or trade NASDAQ OMX indexes, listed ETFs or third-party 
partner indexes and ETFs.
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    The dissemination of the Intraday Indicative Value, together with 
the Disclosed Portfolio, will allow investors to determine the value of 
the underlying portfolio of the Fund on a daily basis and to provide a 
close estimate of that value throughout the trading day.
    Investors can also obtain the Trust's Statement of Additional 
Information

[[Page 50363]]

(``SAI''), the Fund's Shareholder Reports, and its Form N-CSR and Form 
N-SAR, filed twice a year. The Trust's SAI and Shareholder Reports will 
be available free upon request from the Trust, and those documents and 
the Form N-CSR may be viewed on screen or downloaded from the 
Commission's Web site at www.sec.gov.
    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 
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 NASDAQ proprietary quote and trade services, as well in accordance 
with the Unlisted Trading Privileges and the Consolidated Tape 
Association plans, as applicable.
    Securities lending transactions, repurchase agreements and reverse 
repurchase agreements transactions will be priced at the combined value 
of (i) the value of the underlying Fund asset utilized in the 
transaction and (ii) the relative realized profit value, added daily.
    Intra-day, executable price quotations on U.S. Treasury Securities 
are available through subscription services such as Bloomberg, 
TradeWeb, E-Speed, Tullett Prebon, the U.S. Treasury Department, and/or 
Interactive Brokers, which can be accessed by Authorized Participants 
and other investors.
    Additional information regarding the Fund and the Shares, including 
investment strategies, risks, creation and redemption procedures, fees, 
Fund holdings disclosure policies, distribution and taxes will be 
included in the Registration Statement.
Initial and Continued Listing
    The Shares will be subject to Rule 5735, which sets forth the 
initial and continued listing criteria applicable to Managed Fund 
Shares. The Exchange represents that, for initial and/or continued 
listing, the Fund must be in compliance with Rule 10A-3 under the 
Act.\23\ A minimum of 50,000 Shares will be outstanding at the 
commencement of trading on the Exchange. The Exchange will obtain a 
representation from the issuer of the Shares that the NAV per Share 
will be calculated daily and that the NAV and the Disclosed Portfolio 
will be made available to all market participants at the same time.
---------------------------------------------------------------------------

    \23\ See 17 CFR 240.10A-3.
---------------------------------------------------------------------------

Trading Halts
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares of the Fund. NASDAQ will halt trading in the 
Shares under the conditions specified in NASDAQ Rules 4120 and 4121, 
including the trading pauses under NASDAQ Rules 4120(a)(11) and (12). 
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: (1) The extent to which trading is not occurring in 
the securities and other assets constituting the 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. Trading in the Shares also will be subject to Rule 
5735(d)(2)(D), which sets forth circumstances under which Shares of the 
Fund may be halted.
Trading Rules
    NASDAQ deems the Shares to be equity securities, thus rendering 
trading in the Shares subject to NASDAQ's existing rules governing the 
trading of equity securities. NASDAQ will allow trading in the Shares 
from 4:00 a.m. until 8:00 p.m. E.T. The Exchange has appropriate rules 
to facilitate transactions in the Shares during all trading sessions. 
As provided in NASDAQ Rule 5735(b)(3), the minimum price variation for 
quoting and entry of orders in Managed Fund Shares traded on the 
Exchange is $0.01.
Surveillance
    The Exchange represents that trading in the Shares will be subject 
to the existing trading surveillances, administered by both NASDAQ and 
also the Financial Industry Regulatory Authority (``FINRA'') on behalf 
of the Exchange, which are designed to detect violations of Exchange 
rules and applicable federal securities laws.\24\ The Exchange 
represents that these procedures are adequate to properly monitor 
Exchange trading of the Shares in all trading sessions and to deter and 
detect violations of Exchange rules and applicable federal securities 
laws.
---------------------------------------------------------------------------

    \24\ FINRA surveils trading on the Exchange pursuant to a 
regulatory services agreement. The Exchange is responsible for 
FINRA's performance under this regulatory services agreement.
---------------------------------------------------------------------------

    The surveillances referred to above generally focus on detecting 
securities trading outside their normal patterns, which could be 
indicative of manipulative or other violative activity. When such 
situations are detected, surveillance analysis follows and 
investigations are opened, where appropriate, to review the behavior of 
all relevant parties for all relevant trading violations.
    FINRA may, if applicable, obtain information via the Intermarket 
Surveillance Group (``ISG'') \25\ from other exchanges that are members 
of ISG. FINRA, on behalf of the Exchange, will communicate as needed 
regarding trading in the Shares and FINRA may obtain trading 
information regarding trading in the Shares from such markets and other 
entities. In addition, the Exchange, if applicable, may obtain 
information regarding trading in the Shares from markets and other 
entities that are members of ISG, or with which the Exchange has in 
place a comprehensive surveillance sharing agreement.
---------------------------------------------------------------------------

    \25\ For a list of the current members of ISG, see https://www.isgportal.org/home.html.
---------------------------------------------------------------------------

    In addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
Information Circular
    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. Specifically, the Information 
Circular will discuss the following: (1) The procedures for purchases 
and redemptions of Shares in Creation Units (and that Shares are not 
individually redeemable); (2) NASDAQ Rule 2111A, which imposes 
suitability obligations on NASDAQ members with respect to recommending 
transactions in the Shares to customers; (3) how information regarding 
the Intraday Indicative Value and the Disclosed Portfolio is 
disseminated; (4) the risks involved in trading the Shares during the 
Pre-Market and Post-Market Sessions when an updated Intraday Indicative 
Value will not be calculated or publicly disseminated; (5) the 
requirement that members deliver a prospectus to investors purchasing 
newly issued Shares prior to or concurrently with the confirmation of a 
transaction; and (6) trading information.
    In addition, the Information Circular will advise members, prior to 
the commencement of trading, of the prospectus delivery requirements 
applicable to the Fund. Members purchasing Shares from the Fund for 
resale to investors will deliver a prospectus to such investors. The 
Information Circular will also discuss

[[Page 50364]]

any exemptive, no-action and interpretive relief granted by the 
Commission from any rules under the Act.
    Additionally, the Information Circular will disclose the trading 
hours of the Shares of the Fund and the applicable NAV calculation time 
for the Shares. The Information Circular will also disclose that 
information about the Shares of the Fund will be publicly available on 
the Fund's Web site.\26\
---------------------------------------------------------------------------

    \26\ Additionally, the Information Circular will also reference 
that the Fund is subject to various fees and expenses described in 
the Registration Statement.
---------------------------------------------------------------------------

2. Statutory Basis
    NASDAQ believes that the proposal is consistent with section 6(b) 
of the Act in general and section 6(b)(5) of the Act 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, and to remove impediments to and perfect 
the mechanism of a free and open market and in general, to protect 
investors and the public interest.
    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NASDAQ Rule 5735. The 
Exchange represents that trading in the Shares will be subject to the 
existing trading surveillances, administered by both NASDAQ and FINRA 
on behalf of the Exchange, which are designed to detect violations of 
Exchange rules and applicable federal securities laws. In addition, 
paragraph (g) of NASDAQ Rule 5735 further requires that personnel who 
make decisions on the open-end fund's portfolio composition must be 
subject to procedures designed to prevent the use and dissemination of 
material, non-public information regarding the open-end fund's 
portfolio. The Fund's investments will be consistent with the Fund's 
investment objective. FINRA may, if applicable, obtain information via 
the ISG from other exchanges that are members of ISG. In addition, the 
Exchange may, if applicable, obtain information regarding trading in 
the Shares from markets and other entities that are members of ISG-or 
with which the Exchange has in place a comprehensive surveillance 
sharing agreement. The Fund may hold up to an aggregate amount of 15% 
of its net assets in illiquid securities, including repurchase and 
reverse repurchase agreements maturing in more than seven days, and 
other illiquid assets (calculated at the time of investment). The Fund 
will monitor its portfolio liquidity on an ongoing basis to determine 
whether, in light of current circumstances, an adequate level of 
liquidity is being maintained, and will consider taking appropriate 
steps in order to maintain adequate liquidity if, through a change in 
values, net assets, or other circumstances, more than 15% of the Fund's 
net assets are held in illiquid securities or other illiquid assets.
    The proposed rule change is designed to promote just and equitable 
principles of trade and to protect investors and the public interest in 
that the Exchange will obtain a representation from the issuer of the 
Shares that the NAV per Share will be calculated daily and that the NAV 
and the Disclosed Portfolio will be made available to all market 
participants at the same time. In addition, a large amount of 
information will be publicly available regarding the Fund and the 
Shares, thereby promoting market transparency. Moreover, the Intraday 
Indicative Value, available on the NASDAQ OMX Information LLC 
proprietary index data service, will be widely disseminated by one or 
more major market data vendors at least every 15 seconds during the 
Regular Market Session. On each business day, before commencement of 
trading in Shares in the Regular Market Session on the Exchange, the 
Fund will disclose on its Web site the Disclosed Portfolio of the Fund 
that will form the basis for the Fund's calculation of NAV at the end 
of the business day. 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, and quotation and last sale information for the Shares will 
be available via NASDAQ proprietary quote and trade services. Intra-day 
price information will be available through subscription services, such 
as Bloomberg, Markit and Thomson Reuters, which can be accessed by 
Authorized Participants and other investors.
    The Fund's Web site will include a form of the prospectus for the 
Fund and additional data relating to NAV and other applicable 
quantitative information. Trading in Shares of the Fund will be halted 
under the conditions specified in NASDAQ Rules 4120 and 4121 or because 
of market conditions or for reasons that, in the view of the Exchange, 
make trading in the Shares inadvisable, and trading in the Shares will 
be subject to NASDAQ Rule 5735(d)(2)(D), which sets forth circumstances 
under which Shares of the Fund may be halted. In addition, as noted 
above, investors will have ready access to information regarding the 
Fund's holdings, the Intraday Indicative Value, the Disclosed 
Portfolio, and quotation and last sale information for the Shares.
    The proposed rule change is designed to perfect the mechanism of a 
free and open market and, in general, to protect investors and the 
public interest in that it will facilitate the listing and trading of 
an additional type of actively-managed exchange-traded product that 
will enhance competition among market participants, to the benefit of 
investors and the marketplace. As noted above, FINRA, on behalf of the 
Exchange, if applicable will communicate as needed regarding trading in 
the Shares with other markets and, other entities that are members of 
ISG-and FINRA may obtain trading information regarding trading in the 
Shares from such markets and other entities. In addition, the Exchange 
may obtain information regarding trading in the Shares from markets and 
other entities that are members of ISG or with which the Exchange has 
in place a comprehensive surveillance sharing agreement. Furthermore, 
as noted above, investors will have ready access to information 
regarding the Fund's holdings, the Intraday Indicative Value, the 
Disclosed Portfolio, and quotation and last sale information for the 
Shares.
    For the above reasons, NASDAQ believes 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 purposes of the Act. The Exchange believes that 
the proposed rule change will facilitate the listing and trading of an 
additional type of actively-managed exchange-traded fund that will 
enhance competition among market participants, 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

    Written comments were neither solicited nor received.

[[Page 50365]]

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will: 
(a) By order approve or disapprove such proposed rule change; or (b) 
institute proceedings to determine whether the proposed rule change 
should be 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 [email protected]. Please include 
File Number SR-NASDAQ-2015-089 on the subject line.

Paper Comments

     Send paper comments in triplicate to Brent J. Fields, 
Secretary, Securities and Exchange Commission, Station Place, 100 F 
Street NE., Washington, DC 20549.

All submissions should refer to File Number SR-NASDAQ-2015-089. 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 Web site 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 Web site 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 NASDAQ. All comments received 
will be posted without change; the Commission does not edit personal 
identifying information from submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-NASDAQ-2015-089 and should be submitted 
on or before September 9, 2015.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\27\
---------------------------------------------------------------------------

    \27\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Brent J. Fields,
Secretary.
[FR Doc. 2015-20417 Filed 8-18-15; 8:45 am]
 BILLING CODE 8011-01-P