[Federal Register Volume 87, Number 105 (Wednesday, June 1, 2022)]
[Notices]
[Pages 33250-33282]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-11676]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-94982; File No. SR-CboeBZX-2022-031]


Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of 
Filing of a Proposed Rule Change To List and Trade Shares of the ARK 
21Shares Bitcoin ETF Under BZX Rule 14.11(e)(4), Commodity-Based Trust 
Shares

May 25, 2022.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on May 13, 2022, Cboe BZX Exchange, Inc. (the ``Exchange'' or 
``BZX'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I, II, 
and III below, which Items have been prepared by the Exchange. The 
Commission is publishing this notice to solicit comments on the 
proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Cboe BZX Exchange, Inc. (the ``Exchange'' or ``BZX'') is filing 
with the Securities and Exchange Commission (``Commission'') a proposed 
rule change to list and trade shares of the ARK 21Shares Bitcoin ETF 
(the ``Trust''),\3\ under BZX Rule 14.11(e)(4), Commodity-Based Trust 
Shares.
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    \3\ The Trust was formed as a Delaware statutory trust on June 
22, 2021 and is operated as a grantor trust for U.S. federal tax 
purposes. The Trust has no fixed termination date.
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    The text of the proposed rule change is also available on the 
Exchange's website (http://markets.cboe.com/us/equities/regulation/rule_filings/bzx/), at the Exchange's Office of the Secretary, and at 
the Commission's Public Reference Room.

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

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

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

1. Purpose
    The Exchange proposes to list and trade the Shares under BZX Rule 
14.11(e)(4),\4\ which governs the listing and trading of Commodity-
Based Trust Shares on the Exchange.\5\ \6\ 21Shares US LLC is the 
sponsor of the Trust (the ``Sponsor''). The Shares will be registered 
with the Commission by means of the Trust's registration statement on 
Form S-1 (the ``Registration Statement'').\7\ As further discussed 
below, the Commission has historically approved or disapproved exchange 
filings to list and trade series of Trust Issued Receipts, including 
spot-based Commodity-Based Trust Shares, on the basis of whether the 
listing exchange has in place a comprehensive surveillance sharing 
agreement with a regulated market of significant size related to the 
underlying commodity to be held.\8\ Prior orders from the Commission 
have pointed out that in every prior approval order for Commodity-Based 
Trust Shares, there has been a derivatives market that represents the 
regulated market of significant size, generally a Commodity Futures 
Trading Commission (the ``CFTC'') regulated futures market.\9\

[[Page 33251]]

Further to this point, the Commission's prior orders have noted that 
the spot commodities and currency markets for which it has previously 
approved spot ETPs are generally unregulated and that the Commission 
relied on the underlying futures market as the regulated market of 
significant size that formed the basis for approving the series of 
Currency and Commodity-Based Trust Shares, including gold, silver, 
platinum, palladium, copper, and other commodities and currencies. The 
Commission specifically noted in the Winklevoss Order that the First 
Gold Approval Order ``was based on an assumption that the currency 
market and the spot gold market were largely unregulated.'' \10\
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    \4\ The Commission approved BZX Rule 14.11(e)(4) in Securities 
Exchange Act Release No. 65225 (August 30, 2011), 76 FR 55148 
(September 6, 2011) (SR-BATS-2011-018).
    \5\ All statements and representations made in this filing 
regarding (a) the description of the portfolio, (b) limitations on 
portfolio holdings or reference assets, or (c) the applicability of 
Exchange rules and surveillance procedures shall constitute 
continued listing requirements for listing the Shares on the 
Exchange.
    \6\ The Exchange notes that a different proposal to list and 
trade shares of the Trust was disapproved by the Commission on March 
31, 2022. See Exchange Act Release No. 94571 (March 31, 2022), 87 FR 
20014 (April 6, 2022).
    \7\ See draft Registration Statement on Form S-1, dated June 28, 
2021 submitted to the Commission by the Sponsor on behalf of the 
Trust. The descriptions of the Trust, the Shares, and the Index (as 
defined below) contained herein are based, in part, on information 
in the Registration Statement. The Registration Statement is not yet 
effective and the Shares will not trade on the Exchange until such 
time that the Registration Statement is effective.
    \8\ See Securities Exchange Act Release No. 83723 (July 26, 
2018), 83 FR 37579 (August 1, 2018). This proposal was subsequently 
disapproved by the Commission. See Securities Exchange Act Release 
No. 83723 (July 26, 2018), 83 FR 37579 (August 1, 2018) (the 
``Winklevoss Order'').
    \9\ See streetTRACKS Gold Shares, Exchange Act Release No. 50603 
(Oct. 28, 2004), 69 FR 64614, 64618-19 (Nov. 5, 2004) (SR-NYSE-2004-
22) (the ``First Gold Approval Order''); iShares COMEX Gold Trust, 
Exchange Act Release No. 51058 (Jan. 19, 2005), 70 FR 3749, 3751, 
3754-55 (Jan. 26, 2005) (SR-Amex-2004-38); iShares Silver Trust, 
Exchange Act Release No. 53521 (Mar. 20, 2006), 71 FR 14967, 14968, 
14973-74 (Mar. 24, 2006) (SR-Amex-2005-072); ETFS Gold Trust, 
Exchange Act Release No. 59895 (May 8, 2009), 74 FR 22993, 22994-95, 
22998, 23000 (May 15, 2009) (SR-NYSEArca-2009-40); ETFS Silver 
Trust, Exchange Act Release No. 59781 (Apr. 17, 2009), 74 FR 18771, 
18772, 18775-77 (Apr. 24, 2009) (SR-NYSEArca-2009-28); ETFS 
Palladium Trust, Exchange Act Release No. 61220 (Dec. 22, 2009), 74 
FR 68895, 68896 (Dec. 29, 2009) (SR-NYSEArca-2009-94) (notice of 
proposed rule change included NYSE Arca's representation that 
``[t]he most significant palladium futures exchanges are the NYMEX 
and the Tokyo Commodity Exchange,'' that ``NYMEX is the largest 
exchange in the world for trading precious metals futures and 
options,'' and that NYSE Arca ``may obtain trading information via 
the Intermarket Surveillance Group,'' of which NYMEX is a member, 
Exchange Act Release No. 60971 (Nov. 9, 2009), 74 FR 59283, 59285-
86, 59291 (Nov. 17, 2009)); ETFS Platinum Trust, Exchange Act 
Release No. 61219 (Dec. 22, 2009), 74 FR 68886, 68887-88 (Dec. 29, 
2009) (SR-NYSEArca-2009-95) (notice of proposed rule change included 
NYSE Arca's representation that ``[t]he most significant platinum 
futures exchanges are the NYMEX and the Tokyo Commodity Exchange,'' 
that ``NYMEX is the largest exchange in the world for trading 
precious metals futures and options,'' and that NYSE Arca ``may 
obtain trading information via the Intermarket Surveillance Group,'' 
of which NYMEX is a member, Exchange Act Release No. 60970 (Nov. 9, 
2009), 74 FR 59319, 59321, 59327 (Nov. 17, 2009)); Sprott Physical 
Gold Trust, Exchange Act Release No. 61496 (Feb. 4, 2010), 75 FR 
6758, 6760 (Feb. 10, 2010) (SR-NYSEArca-2009-113) (notice of 
proposed rule change included NYSE Arca's representation that the 
COMEX is one of the ``major world gold markets,'' that NYSE Arca 
``may obtain trading information via the Intermarket Surveillance 
Group,'' and that NYMEX, of which COMEX is a division, is a member 
of the Intermarket Surveillance Group, Exchange Act Release No. 
61236 (Dec. 23, 2009), 75 FR 170, 171, 174 (Jan. 4, 2010)); Sprott 
Physical Silver Trust, Exchange Act Release No. 63043 (Oct. 5, 
2010), 75 FR 62615, 62616, 62619, 62621 (Oct. 12, 2010) (SR-
NYSEArca-2010-84); ETFS Precious Metals Basket Trust, Exchange Act 
Release No. 62692 (Aug. 11, 2010), 75 FR 50789, 50790 (Aug. 17, 
2010) (SR-NYSEArca-2010-56) (notice of proposed rule change included 
NYSE Arca's representation that ``the most significant gold, silver, 
platinum and palladium futures exchanges are the COMEX and the 
TOCOM'' and that NYSE Arca ``may obtain trading information via the 
Intermarket Surveillance Group,'' of which COMEX is a member, 
Exchange Act Release No. 62402 (Jun. 29, 2010), 75 FR 39292, 39295, 
39298 (July 8, 2010)); ETFS White Metals Basket Trust, Exchange Act 
Release No. 62875 (Sept. 9, 2010), 75 FR 56156, 56158 (Sept. 15, 
2010) (SR-NYSEArca-2010-71) (notice of proposed rule change included 
NYSE Arca's representation that ``the most significant silver, 
platinum and palladium futures exchanges are the COMEX and the 
TOCOM'' and that NYSE Arca ``may obtain trading information via the 
Intermarket Surveillance Group,'' of which COMEX is a member, 
Exchange Act Release No. 62620 (July 30, 2010), 75 FR 47655, 47657, 
47660 (Aug. 6, 2010)); ETFS Asian Gold Trust, Exchange Act Release 
No. 63464 (Dec. 8, 2010), 75 FR 77926, 77928 (Dec. 14, 2010) (SR-
NYSEArca-2010-95) (notice of proposed rule change included NYSE 
Arca's representation that ``the most significant gold futures 
exchanges are the COMEX and the Tokyo Commodity Exchange,'' that 
``COMEX is the largest exchange in the world for trading precious 
metals futures and options,'' and that NYSE Arca ``may obtain 
trading information via the Intermarket Surveillance Group,'' of 
which COMEX is a member, Exchange Act Release No. 63267 (Nov. 8, 
2010), 75 FR 69494, 69496, 69500-01 (Nov. 12, 2010)); Sprott 
Physical Platinum and Palladium Trust, Exchange Act Release No. 
68430 (Dec. 13, 2012), 77 FR 75239, 75240-41 (Dec. 19, 2012) (SR-
NYSEArca-2012–111) (notice of proposed rule change included 
NYSE Arca's representation that ``[f]utures on platinum and 
palladium are traded on two major exchanges: The New York Mercantile 
Exchange . . . and Tokyo Commodities Exchange'' and that NYSE Arca 
``may obtain trading information via the Intermarket Surveillance 
Group,'' of which COMEX is a member, Exchange Act Release No. 68101 
(Oct. 24, 2012), 77 FR 65732, 65733, 65739 (Oct. 30, 2012)); APMEX 
Physical--1 oz. Gold Redeemable Trust, Exchange Act Release No. 
66930 (May 7, 2012), 77 FR 27817, 27818 (May 11, 2012) (SR-NYSEArca- 
2012-18) (notice of proposed rule change included NYSE Arca's 
representation that NYSE Arca ``may obtain trading information via 
the Intermarket Surveillance Group,'' of which COMEX is a member, 
and that gold futures are traded on COMEX and the Tokyo Commodity 
Exchange, with a cross-reference to the proposed rule change to list 
and trade shares of the ETFS Gold Trust, in which NYSE Arca 
represented that COMEX is one of the ``major world gold markets,'' 
Exchange Act Release No. 66627 (Mar. 20, 2012), 77 FR 17539, 17542-
43, 17547 (Mar. 26, 2012)); JPM XF Physical Copper Trust, Exchange 
Act Release No. 68440 (Dec. 14, 2012), 77 FR 75468, 75469-70, 75472, 
75485-86 (Dec. 20, 2012) (SR-NYSEArca-2012-28); iShares Copper 
Trust, Exchange Act Release No. 68973 (Feb. 22, 2013), 78 FR 13726, 
13727, 13729-30, 13739-40 (Feb. 28, 2013) (SR-NYSEArca-2012-66); 
First Trust Gold Trust, Exchange Act Release No. 70195 (Aug. 14, 
2013), 78 FR 51239, 51240 (Aug. 20, 2013) (SR-NYSEArca-2013-61) 
(notice of proposed rule change included NYSE Arca's representation 
that FINRA, on behalf of the exchange, may obtain trading 
information regarding gold futures and options on gold futures from 
members of the Intermarket Surveillance Group, including COMEX, or 
from markets ``with which [NYSE Arca] has in place a comprehensive 
surveillance sharing agreement,'' and that gold futures are traded 
on COMEX and the Tokyo Commodity Exchange, with a cross-reference to 
the proposed rule change to list and trade shares of the ETFS Gold 
Trust, in which NYSE Arca represented that COMEX is one of the 
``major world gold markets,'' Exchange Act Release No. 69847 (June 
25, 2013), 78 FR 39399, 39400, 39405 (July 1, 2013)); Merk Gold 
Trust, Exchange Act Release No. 71378 (Jan. 23, 2014), 79 FR 4786, 
4786-87 (Jan. 29, 2014) (SR-NYSEArca-2013-137) (notice of proposed 
rule change included NYSE Arca's representation that ``COMEX is the 
largest gold futures and options exchange'' and that NYSE Arca ``may 
obtain trading information via the Intermarket Surveillance Group,'' 
including with respect to transactions occurring on COMEX pursuant 
to CME and NYMEX's membership, or from exchanges ``with which [NYSE 
Arca] has in place a comprehensive surveillance sharing agreement,'' 
Exchange Act Release No. 71038 (Dec. 11, 2013), 78 FR 76367, 76369, 
76374 (Dec. 17, 2013)); Long Dollar Gold Trust, Exchange Act Release 
No. 79518 (Dec. 9, 2016), 81 FR 90876, 90881, 90886, 90888 (Dec. 15, 
2016) (SR-NYSEArca-2016-84).
    \10\ See Winklevoss Order at 37592.
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    As such, the regulated market of significant size test does not 
require that the spot bitcoin market be regulated in order for the 
Commission to approve this proposal, and precedent makes clear that an 
underlying market for a spot commodity or currency being a regulated 
market would actually be an exception to the norm. These largely 
unregulated currency and commodity markets do not provide the same 
protections as the markets that are subject to the Commission's 
oversight, but the Commission has consistently looked to surveillance 
sharing agreements with the underlying futures market in order to 
determine whether such products were consistent with the Act. With this 
in mind, the CME Bitcoin Futures market is the proper market to 
consider in determining whether there is a related regulated market of 
significant size.
    Further to this point, the Exchange notes that the Commission has 
recently approved proposals related to the listing and trading of funds 
that would primarily hold CME Bitcoin Futures that are registered under 
the Securities Act of 1933 instead of the Investment Company Act of 
1940, as amended (the ``1940 Act'').\11\ In the Teucrium Approval, the 
Commission found the CME Bitcoin Futures market to be a regulated 
market of significant size as it relates to CME Bitcoin Futures, an odd 
tautological truth that is also inconsistent with prior disapproval 
orders for ETPs that would hold actual bitcoin instead of derivatives 
contracts (``Spot Bitcoin ETPs'') that use the exact same pricing 
methodology as the CME Bitcoin Futures. As further discussed below, 
both the Exchange and the Sponsor believe that this proposal and the 
included analysis are sufficient to establish that the CME Bitcoin 
Futures market represents a regulated market of significant size as it 
relates both to the CME Bitcoin Futures market and to the spot bitcoin 
market and that this proposal should be approved.
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    \11\ See Exchange Act Release No. 94620 (April 6, 2022), 87 FR 
21676 (April 12, 2022) (the ``Teucrium Approval'') and 94853 (May 5, 
2022) (collectively, with the Teucrium Approval, the ``Bitcoin 
Futures Approvals'').
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Background
    Bitcoin is a digital asset based on the decentralized, open source 
protocol of the peer-to-peer computer network launched in 2009 that 
governs the creation, movement, and ownership of bitcoin and hosts the 
public ledger, or ``blockchain,'' on which all bitcoin

[[Page 33252]]

transactions are recorded (the ``Bitcoin Network'' or ``Bitcoin''). The 
decentralized nature of the Bitcoin Network allows parties to transact 
directly with one another based on cryptographic proof instead of 
relying on a trusted third party. The protocol also lays out the rate 
of issuance of new bitcoin within the Bitcoin Network, a rate that is 
reduced by half approximately every four years with an eventual hard 
cap of 21 million. It's generally understood that the combination of 
these two features--a systemic hard cap of 21 million bitcoin and the 
ability to transact trustlessly with anyone connected to the Bitcoin 
Network--gives bitcoin its value.\12\ The first rule filing proposing 
to list an exchange-traded product to provide exposure to bitcoin in 
the U.S. was submitted by the Exchange on June 30, 2016.\13\ At that 
time, blockchain technology, and digital assets that utilized it, were 
relatively new to the broader public. The market cap of all bitcoin in 
existence at that time was approximately $10 billion. No registered 
offering of digital asset securities or shares in an investment vehicle 
with exposure to bitcoin or any other cryptocurrency had yet been 
conducted, and the regulated infrastructure for conducting a digital 
asset securities offering had not begun to develop.\14\ Similarly, 
regulated U.S. bitcoin futures contracts did not exist. The CFTC had 
determined that bitcoin is a commodity,\15\ but had not engaged in 
significant enforcement actions in the space. The New York Department 
of Financial Services (``NYDFS'') adopted its final BitLicense 
regulatory framework in 2015, but had only approved four entities to 
engage in activities relating to virtual currencies (whether through 
granting a BitLicense or a limited-purpose trust charter) as of June 
30, 2016.\16\ While the first over-the-counter bitcoin fund launched in 
2013, public trading was limited and the fund had only $60 million in 
assets.\17\ There were very few, if any, traditional financial 
institutions engaged in the space, whether through investment or 
providing services to digital asset companies. In January 2018, the 
Staff of the Commission noted in a letter to the Investment Company 
Institute and SIFMA that it was not aware, at that time, of a single 
custodian providing fund custodial services for digital assets.\18\ 
Fast forward to today and the digital assets financial ecosystem, 
including bitcoin, has progressed significantly. The development of a 
regulated market for digital asset securities has significantly 
evolved, with market participants having conducted registered public 
offerings of both digital asset securities \19\ and shares in 
investment vehicles holding bitcoin futures.\20\ Additionally, licensed 
and regulated service providers have emerged to provide fund custodial 
services for digital assets, among other services. For example, in May 
2021, the Staff of the Commission released a statement permitting open-
end mutual funds to invest in cash-settled bitcoin futures; in December 
2020, the Commission adopted a conditional no-action position 
permitting certain special purpose broker-dealers to custody digital 
asset securities under Rule 15c3-3 under the Exchange Act (the 
``Custody Statement''); \21\ in September 2020, the Staff of the 
Commission released a no-action letter permitting certain broker-
dealers to operate a non-custodial Alternative Trading System (``ATS'') 
for digital asset securities, subject to specified conditions; \22\ in 
October 2019, the Staff of the Commission granted temporary relief from 
the clearing agency registration requirement to an entity seeking to 
establish a securities clearance and settlement system based on 
distributed ledger technology,\23\ and multiple transfer agents who 
provide services for digital asset securities registered with the 
Commission.\24\
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    \12\ For additional information about bitcoin and the Bitcoin 
Network, see https://bitcoin.org/en/getting-started; https://www.fidelitydigitalassets.com/articles/addressing-bitcoin-criticisms; and https://www.vaneck.com/education/investment-ideas/investing-in-bitcoin-and-digital-assets/.
    \13\ See Winklevoss Order.
    \14\ Digital assets that are securities under U.S. law are 
referred to throughout this proposal as ``digital asset 
securities.'' All other digital assets, including bitcoin, are 
referred to interchangeably as ``cryptocurrencies'' or ``virtual 
currencies.'' The term ``digital assets'' refers to all digital 
assets, including both digital asset securities and 
cryptocurrencies, together.
    \15\ See ``In the Matter of Coinflip, Inc.'' (``Coinflip'') 
(CFTC Docket 15-29 (September 17, 2015)) (order instituting 
proceedings pursuant to Sections 6(c) and 6(d) of the CEA, making 
findings and imposing remedial sanctions), in which the CFTC stated: 
``Section 1a(9) of the CEA defines `commodity' to include, among 
other things, `all services, rights, and interests in which 
contracts for future delivery are presently or in the future dealt 
in.' 7 U.S.C. 1a(9). The definition of a `commodity' is broad. See, 
e.g., Board of Trade of City of Chicago v. SEC, 677 F. 2d 1137, 1142 
(7th Cir. 1982). Bitcoin and other virtual currencies are 
encompassed in the definition and properly defined as commodities.''
    \16\ A list of virtual currency businesses that are entities 
regulated by the NYDFS is available on the NYDFS website. See 
https://www.dfs.ny.gov/apps_and_licensing/virtual_currency_businesses/regulated_entities.
    \17\ Data as of March 31, 2016 according to publicly available 
filings. See Bitcoin Investment Trust Form S-1, dated May 27, 2016, 
available: https://www.sec.gov/Archives/edgar/data/1588489/000095012316017801/filename1.htm.
    \18\ See letter from Dalia Blass, Director, Division of 
Investment Management, U.S. Securities and Exchange Commission to 
Paul Schott Stevens, President & CEO, Investment Company Institute 
and Timothy W. Cameron, Asset Management Group--Head, Securities 
Industry and Financial Markets Association (January 18, 2018), 
available at https://www.sec.gov/divisions/investment/noaction/2018/cryptocurrency-011818.htm.
    \19\ See Prospectus supplement filed pursuant to Rule 424(b)(1) 
for INX Tokens (Registration No. 333-233363), available at: https://www.sec.gov/Archives/edgar/data/1725882/000121390020023202/ea125858-424b1_inxlimited.htm.
    \20\ See Prospectus filed by Stone Ridge Trust VI on behalf of 
NYDIG Bitcoin Strategy Fund Registration, available at: https://www.sec.gov/Archives/edgar/data/1764894/000119312519309942/d693146d497.htm.
    \21\ See Securities Exchange Act Release No. 90788, 86 FR 11627 
(February 26, 2021) (File Number S7-25-20) (Custody of Digital Asset 
Securities by Special Purpose Broker-Dealers).
    \22\ See letter from Elizabeth Baird, Deputy Director, Division 
of Trading and Markets, U.S. Securities and Exchange Commission to 
Kris Dailey, Vice President, Risk Oversight & Operational 
Regulation, Financial Industry Regulatory Authority (September 25, 
2020), available at: https://www.sec.gov/divisions/marketreg/mr-noaction/2020/finra-ats-role-in-settlement-of-digital-asset-security-trades-09252020.pdf.
    \23\ See letter from Jeffrey S. Mooney, Associate Director, 
Division of Trading and Markets, U.S. Securities and Exchange 
Commission to Charles G. Cascarilla & Daniel M. Burstein, Paxos 
Trust Company, LLC (October 28, 2019), available at: https://www.sec.gov/divisions/marketreg/mr-noaction/2019/paxos-trust-company-102819-17a.pdf.
    \24\ See, e.g., Form TA-1/A filed by Tokensoft Transfer Agent 
LLC (CIK: 0001794142) on January 8, 2021, available at: https://www.sec.gov/Archives/edgar/data/1794142/000179414219000001/xslFTA1X01/primary_doc.xml.
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    Outside the Commission's purview, the regulatory landscape has 
changed significantly since 2016, and cryptocurrency markets have grown 
and evolved as well. The market for bitcoin is approximately 100 times 
larger, having at one point reached a market cap of over $1 
trillion.\25\ According to the CME Bitcoin Futures Report, from March 
28, 2022 through April 22, 2022, CFTC regulated bitcoin futures 
represented approximately $1.3 billion in notional trading volume on 
Chicago Mercantile Exchange (``CME'') (``Bitcoin Futures'') on a daily 
basis and notional volume was never below $670 million.\26\ Open 
interest was over $2 billion for the entirety of the period and at one 
point was over $3 billion. The CFTC has exercised its regulatory 
jurisdiction in bringing a number of enforcement actions related to 
bitcoin and against trading platforms that offer

[[Page 33253]]

cryptocurrency trading.\27\ The U.S. Office of the Comptroller of the 
Currency (the ``OCC'') has made clear that federally-chartered banks 
are able to provide custody services for cryptocurrencies and other 
digital assets.\28\ The OCC recently granted conditional approval of 
two charter conversions by state-chartered trust companies to national 
banks, both of which provide cryptocurrency custody services.\29\ NYDFS 
has granted no fewer than twenty-five BitLicenses, including to 
established public payment companies like PayPal Holdings, Inc. and 
Square, Inc., and limited purpose trust charters to entities providing 
cryptocurrency custody services, including the Trust's Custodian. The 
U.S. Treasury Financial Crimes Enforcement Network (``FinCEN'') has 
released extensive guidance regarding the applicability of the Bank 
Secrecy Act (``BSA'') and implementing regulations to virtual currency 
businesses,\30\ and has proposed rules imposing requirements on 
entities subject to the BSA that are specific to the technological 
context of virtual currencies.\31\ In addition, the Treasury's Office 
of Foreign Assets Control (``OFAC'') has brought enforcement actions 
over apparent violations of the sanctions laws in connection with the 
provision of wallet management services for digital assets.\32\
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    \25\ As of December 1, 2021, the total market cap of all bitcoin 
in circulation was approximately $1.08 trillion.
    \26\ Data sourced from the CME Bitcoin Futures Report: 19 Nov, 
2021, available at: https://www.cmegroup.com/ftp/bitcoinfutures/Bitcoin_Futures_Liquidity_Report.pdf.
    \27\ The CFTC's annual report for Fiscal Year 2020 (which ended 
on September 30, 2020) noted that the CFTC ``continued to 
aggressively prosecute misconduct involving digital assets that fit 
within the CEA's definition of commodity'' and ``brought a record 
setting seven cases involving digital assets.'' See CFTC FY2020 
Division of Enforcement Annual Report, available at: https://www.cftc.gov/media/5321/DOE_FY2020_AnnualReport_120120/download. 
Additionally, the CFTC filed on October 1, 2020, a civil enforcement 
action against the owner/operators of the BitMEX trading platform, 
which was one of the largest bitcoin derivative exchanges. See CFTC 
Release No. 8270-20 (October 1, 2020) available at: https://www.cftc.gov/PressRoom/PressReleases/8270-20.
    \28\ See OCC News Release 2021-2 (January 4, 2021) available at: 
https://www.occ.gov/news-issuances/news-releases/2021/nr-occ-2021-2.html.
    \29\ See OCC News Release 2021-6 (January 13, 2021) available 
at: https://www.occ.gov/news-issuances/news-releases/2021/nr-occ-2021-6.html and OCC News Release 2021-19 (February 5, 2021) 
available at: https://www.occ.gov/news-issuances/news-releases/2021/nr-occ-2021-19.html.
    \30\ See FinCEN Guidance FIN-2019-G001 (May 9, 2019) 
(Application of FinCEN's Regulations to Certain Business Models 
Involving Convertible Virtual Currencies) available at: https://www.fincen.gov/sites/default/files/2019-05/FinCEN%20Guidance%20CVC%20FINAL%20508.pdf.
    \31\ See U.S. Department of the Treasury Press Release: ``The 
Financial Crimes Enforcement Network Proposes Rule Aimed at Closing 
Anti-Money Laundering Regulatory Gaps for Certain Convertible 
Virtual Currency and Digital Asset Transactions'' (December 18, 
2020), available at: https://home.treasury.gov/news/press-releases/sm1216.
    \32\ See U.S. Department of the Treasury Enforcement Release: 
``OFAC Enters Into $98,830 Settlement with BitGo, Inc. for Apparent 
Violations of Multiple Sanctions Programs Related to Digital 
Currency Transactions'' (December 30, 2020) available at: https://home.treasury.gov/system/files/126/20201230_bitgo.pdf.
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    In addition to the regulatory developments laid out above, more 
traditional financial market participants have embraced and continue to 
embrace cryptocurrency: Large insurance companies,\33\ asset 
managers,\34\ university endowments,\35\ pension funds,\36\ and even 
historically bitcoin skeptical fund managers \37\ are allocating to 
bitcoin. The largest over-the-counter bitcoin fund previously filed a 
Form 10 registration statement, which the Staff of the Commission 
reviewed and which took effect automatically, and is now a reporting 
company.\38\ Established companies like Tesla, Inc.,\39\ MicroStrategy 
Incorporated,\40\ and Square, Inc.,\41\ among others, have recently 
announced substantial investments in bitcoin in amounts as large as 
$1.5 billion (Tesla) and $425 million (MicroStrategy). The foregoing 
examples demonstrate that bitcoin has gained mainstream usage and 
recognition.
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    \33\ On December 10, 2020, Massachusetts Mutual Life Insurance 
Company (MassMutual) announced that it had purchased $100 million in 
bitcoin for its general investment account. See MassMutual Press 
Release ``Institutional Bitcoin provider NYDIG announces minority 
stake purchase by MassMutual'' (December 10, 2020) available at: 
https://www.massmutual.com/about-us/news-and-press-releases/press-releases/2020/12/institutional-bitcoin-provider-nydig-announces-minority-stake-purchase-by-massmutual.
    \34\ See e.g., ``BlackRock's Rick Rieder says the world's 
largest asset manager has `started to dabble' in bitcoin'' (February 
17, 2021) available at: https://www.cnbc.com/2021/02/17/blackrock-has-started-to-dabble-in-bitcoin-says-rick-rieder.html and 
``Guggenheim's Scott Minerd Says Bitcoin Should Be Worth $400,000'' 
(December 16, 2020) available at: https://www.bloomberg.com/news/articles/2020-12-16/guggenheim-s-scott-minerd-says-bitcoin-should-be-worth-400-000.
    \35\ See e.g., ``Harvard and Yale Endowments Among Those 
Reportedly Buying Crypto'' (January 25, 2021) available at: https://www.bloomberg.com/news/articles/2021-01-26/harvard-and-yale-endowments-among-those-reportedly-buying-crypto.
    \36\ See e.g., ``Virginia Police Department Reveals Why its 
Pension Fund is Betting on Bitcoin'' (February 14, 2019) available 
at: https://finance.yahoo.com/news/virginia-police-department-reveals-why-194558505.html.
    \37\ See e.g., ``Bridgewater: Our Thoughts on Bitcoin'' (January 
28, 2021) available at: https://www.bridgewater.com/research-and-insights/our-thoughts-on-bitcoin and ``Paul Tudor Jones says he 
likes bitcoin even more now, rally still in the `first inning' '' 
(October 22, 2020) available at: https://www.cnbc.com/2020/10/22/-paul-tudor-jones-says-he-likes-bitcoin-even-more-now-rally-still-in-the-first-inning.html.
    \38\ See Letter from Division of Corporation Finance, Office of 
Real Estate & Construction to Barry E. Silbert, Chief Executive 
Officer, Grayscale Bitcoin Trust (January 31, 2020) https://www.sec.gov/Archives/edgar/data/1588489/000000000020000953/filename1.pdf.
    \39\ See Form 10-K submitted by Tesla, Inc. for the fiscal year 
ended December 31, 2020 at 23: https://www.sec.gov/ix?doc=/Archives/edgar/data/1318605/000156459021004599/tsla-10k_20201231.htm.
    \40\ See Form 10-Q submitted by MicroStrategy Incorporated for 
the quarterly period ended September 30, 2020 at 8: https://www.sec.gov/ix?doc=/Archives/edgar/data/1050446/000156459020047995/mstr-10q_20200930.htm.
    \41\ See Form 10-Q submitted by Square, Inc. for the quarterly 
period ended September 30, 2020 at 51: https://www.sec.gov/ix?doc=/Archives/edgar/data/1512673/000151267320000012/sq-20200930.htm.
---------------------------------------------------------------------------

    Despite these developments, access for U.S. retail investors to 
gain exposure to bitcoin via a transparent and U.S. regulated, U.S. 
exchange-traded vehicle remains limited. Instead current options 
include: (i) Over-the-counter bitcoin funds (``OTC Bitcoin Funds'') 
with high management fees and potentially volatile premiums and 
discounts; \42\ (ii) facing the technical risk, complexity and 
generally high fees associated with buying spot bitcoin; (iii) 
purchasing shares of operating companies that they believe will provide 
proxy exposure to bitcoin with limited disclosure about the associated 
risks; \43\ or (iv) purchasing

[[Page 33254]]

Bitcoin Futures ETFs, as defined below, which represent a sub-optimal 
structure for long-term investors that will cost them significant 
amounts of money every year compared to Spot Bitcoin ETPs, as further 
discussed below. Meanwhile, investors in many other countries, 
including Canada and Brazil, are able to use more traditional exchange 
listed and traded products (including exchange-traded funds holding 
physical bitcoin) to gain exposure to bitcoin, disadvantaging U.S. 
investors and leaving them with more risky means of getting bitcoin 
exposure.\44\ Additionally, investors in other countries, specifically 
Canada, generally pay lower fees than U.S. retail investors that invest 
in OTC Bitcoin Funds due to the fee pressure that results from 
increased competition among available bitcoin investment options. 
Without an approved and regulated Spot Bitcoin ETP in the U.S. as a 
viable alternative, U.S. investors could seek to purchase shares of 
non-U.S. bitcoin vehicles in order to get access to bitcoin exposure. 
Given the separate regulatory regime and the potential difficulties 
associated with any international litigation, such an arrangement would 
create more risk exposure for U.S. investors than they would otherwise 
have with a U.S. exchange listed ETP. Further to this point, the lack 
of a U.S.-listed Spot Bitcoin ETP is not preventing U.S. funds from 
gaining exposure to bitcoin--several U.S. exchange-traded funds are 
using Canadian bitcoin ETPs to gain exposure to spot bitcoin. In 
addition to the benefits to U.S. investors articulated throughout this 
proposal, approving this proposal (and others like it) would provide 
U.S. exchange-traded funds and mutual funds with a U.S.-listed and 
regulated product to provide such access rather than relying on either 
flawed products or products listed and primarily regulated in other 
countries.
---------------------------------------------------------------------------

    \42\ The largest OTC Bitcoin Fund has an AUM of $23 billion. The 
premium and discount for OTC Bitcoin Funds is known to move rapidly. 
For example, over the period of 12/21/20 to 1/21/20, the premium for 
the largest OTC Bitcoin Fund went from 40.18% to 2.79%. While the 
price of bitcoin appreciated significantly during this period and 
NAV per share increased by 41.25%, the price per share increased by 
only 3.58%. This means that investors are buying shares of a fund 
that experiences significant volatility in its premium and discount 
outside of the fluctuations in price of the underlying asset. Even 
operating within the normal premium and discount range, it's 
possible for an investor to buy shares of an OTC Bitcoin Fund only 
to have those shares quickly lose 10% or more in dollar value 
excluding any movement of the price of bitcoin. That is to say--the 
price of bitcoin could have stayed exactly the same from market 
close on one day to market open the next, yet the value of the 
shares held by the investor decreased only because of the 
fluctuation of the premium. As more investment vehicles, including 
mutual funds and ETFs, seek to gain exposure to bitcoin, the easiest 
option for a buy and hold strategy for such vehicles is often an OTC 
Bitcoin Fund, meaning that even investors that do not directly buy 
OTC Bitcoin Funds can be disadvantaged by extreme premiums (or 
discounts) and premium volatility.
    \43\ Recently a number of operating companies engaged in 
unrelated businesses--such as Tesla (a car manufacturer) and 
MicroStrategy (an enterprise software company)--have announced 
investments as large as $5.3 billion in bitcoin. Without access to 
bitcoin exchange-traded products, retail investors seeking 
investment exposure to bitcoin may end up purchasing shares in these 
companies in order to gain the exposure to bitcoin that they seek. 
In fact, mainstream financial news networks have written a number of 
articles providing investors with guidance for obtaining bitcoin 
exposure through publicly traded companies (such as MicroStrategy, 
Tesla, and bitcoin mining companies, among others) instead of 
dealing with the complications associated with buying spot bitcoin 
in the absence of a bitcoin ETP. See e.g., ``7 public companies with 
exposure to bitcoin'' (February 8, 2021) available at: https://finance.yahoo.com/news/7-public-companies-with-exposure-to-bitcoin-154201525.html; and ``Want to get in the crypto trade without 
holding bitcoin yourself? Here are some investing ideas'' (February 
19, 2021) available at: https://www.cnbc.com/2021/02/19/ways-to-invest-in-bitcoin-without-holding-the-cryptocurrency-yourself-.html. 
Such operating companies, however, are imperfect bitcoin proxies and 
provide investors with partial bitcoin exposure paired with a host 
of additional risks associated with whichever operating company they 
decide to purchase. Additionally, the disclosures provided by such 
operating companies with respect to risks relating to their bitcoin 
holdings are generally substantially smaller than the registration 
statement of a bitcoin ETP, including the Registration Statement, 
typically amounting to a few sentences of narrative description and 
a handful of risk factors. In other words, investors seeking bitcoin 
exposure through publicly traded companies are gaining only partial 
exposure to bitcoin and are not fully benefitting from the risk 
disclosures and associated investor protections that come from the 
securities registration process.
    \44\ The Exchange notes that securities regulators in a number 
of other countries have either approved or otherwise allowed the 
listing and trading of bitcoin ETPs.
---------------------------------------------------------------------------

Bitcoin Futures ETFs
    The Exchange and Sponsor applaud the Commission for allowing the 
launch of ETFs registered under the 1940 Act and the recent Bitcoin 
Futures Approvals that provide exposure to bitcoin primarily through 
CME Bitcoin Futures (``Bitcoin Futures ETFs''). Allowing such products 
to list and trade is a productive first step in providing U.S. 
investors and traders with transparent, exchange-listed tools for 
expressing a view on bitcoin. The Bitcoin Futures Approvals, however, 
have created a logical inconsistency in the application of the standard 
the Commission applies when considering bitcoin ETP proposals.
    As discussed further below, the standard applicable to bitcoin ETPs 
is whether the listing exchange has in place a comprehensive 
surveillance sharing agreement with a regulated market of significant 
size in the underlying asset. Previous disapproval orders have made 
clear that a market that constitutes a regulated market of significant 
size is generally a futures and/or options market based on the 
underlying reference asset rather than the spot commodity markets, 
which are often unregulated.\45\ Leaving aside the analysis of that 
standard until later in this proposal,\46\ the Exchange believes that 
the following rationale the Commission applied to a Bitcoin Futures ETF 
should result in the Commission approving this and other Spot Bitcoin 
ETP proposals:
---------------------------------------------------------------------------

    \45\ See Winklevoss Order at 37593, specifically footnote 202, 
which includes the language from numerous approval orders for which 
the underlying futures markets formed the basis for approving series 
of ETPs that hold physical metals, including gold, silver, 
palladium, platinum, and precious metals more broadly; and 37600, 
specifically where the Commission provides that ``when the spot 
market is unregulated--the requirement of preventing fraudulent and 
manipulative acts may possibly be satisfied by showing that the ETP 
listing market has entered into a surveillance-sharing agreement 
with a regulated market of significant size in derivatives related 
to the underlying asset.'' As noted above, the Exchange believes 
that these citations are particularly helpful in making clear that 
the spot market for a spot commodity ETP need not be ``regulated'' 
in order for a spot commodity ETP to be approved by the Commission, 
and in fact that it's been the common historical practice of the 
Commission to rely on such derivatives markets as the regulated 
market of significant size because such spot commodities markets are 
largely unregulated.
    \46\ As further outlined below, both the Exchange and the 
Sponsor believe that the CME Bitcoin Futures market represents a 
regulated market of significant size and that this proposal and 
others like it should be approved on this basis.

    The CME ``comprehensively surveils futures market conditions and 
price movements on a real-time and ongoing basis in order to detect 
and prevent price distortions, including price distortions caused by 
manipulative efforts.'' Thus the CME's surveillance can reasonably 
be relied upon to capture the effects on the CME bitcoin futures 
market caused by a person attempting to manipulate the proposed 
futures ETP by manipulating the price of CME bitcoin futures 
contracts, whether that attempt is made by directly trading on the 
CME bitcoin futures market or indirectly by trading outside of the 
CME bitcoin futures market. As such, when the CME shares its 
surveillance information with Arca, the information would assist in 
detecting and deterring fraudulent or manipulative misconduct 
related to the non-cash assets held by the proposed ETP.\47\
---------------------------------------------------------------------------

    \47\ See Teucrium Approval at 21679.

    CME Bitcoin Futures pricing is based on pricing from spot bitcoin 
markets. The statement from the Teucrium Approval that ``CME's 
surveillance can reasonably be relied upon to capture the effects on 
the CME bitcoin futures market caused by a person attempting to 
manipulate the proposed futures ETP by manipulating the price of CME 
bitcoin futures contracts . . . indirectly by trading outside of the 
CME bitcoin futures market,'' makes clear that the Commission believes 
that CME's surveillance can capture the effects of trading on the 
relevant spot markets on the pricing of CME Bitcoin Futures. The 
Exchange agrees with the Commission on this point and notes that the 
pricing mechanism applicable to the Shares is similar to that of the 
CME Bitcoin Futures. As further discussed below, this view is also 
consistent with the Advisor's research.
    Further to this point, a Bitcoin Futures ETF is potentially more 
susceptible to potential manipulation than a Spot Bitcoin ETP that 
offers only in-kind creation and redemption because settlement of CME 
Bitcoin Futures (and thus the value of the underlying holdings of a 
Bitcoin Futures ETF) occurs at a single price derived from spot bitcoin 
pricing, while shares of a Spot Bitcoin ETP would represent interest in 
bitcoin directly and authorized participants for a Spot Bitcoin ETP (as 
proposed herein) would be able to source bitcoin from any exchange and 
create or redeem with the applicable trust regardless of the price of 
the underlying index. It is not logically possible to conclude that the 
CME Bitcoin Futures market represents

[[Page 33255]]

a significant market for a futures-based product, but also conclude 
that the CME Bitcoin Futures market does not represent a significant 
market for a spot-based product.
    In addition to potentially being more susceptible to manipulation 
than a Spot Bitcoin ETP, the structure of Bitcoin Futures ETFs provides 
negative outcomes for buy and hold investors as compared to a Spot 
Bitcoin ETP.\48\ Specifically, the cost of rolling CME Bitcoin Futures 
contracts (which has reached as high as 17% annually \49\ excluding a 
fund's management fees and borrowing costs, if any) will cause the 
Bitcoin Futures ETFs to lag the performance of bitcoin itself and, at 
over a billion dollars in assets under management, would cost U.S. 
investors significant amounts of money on an annual basis compared to 
Spot Bitcoin ETPs. Such rolling costs would not be required for Spot 
Bitcoin ETPs that hold bitcoin. Further, Bitcoin Futures ETFs could 
potentially hit CME position limits, which would force a Bitcoin 
Futures ETF to invest in non-futures assets for bitcoin exposure and 
cause potential investor confusion and lack of certainty about what 
such Bitcoin Futures ETFs are actually holding to try to get exposure 
to bitcoin, not to mention completely changing the risk profile 
associated with such an ETF. While Bitcoin Futures ETFs represent a 
useful trading tool, they are clearly a sub-optimal structure for U.S. 
investors that are looking for long-term exposure to bitcoin that will, 
based on the calculations above, unnecessarily cost U.S. investors 
significant amounts of money every year compared to Spot Bitcoin ETPs 
and the Exchange believes that any proposal to list and trade a Spot 
Bitcoin ETP should be reviewed by the Commission with this important 
investor protection context in mind.
---------------------------------------------------------------------------

    \48\ See e.g., ``Bitcoin ETF's Success Could Come at 
Fundholders' Expense,'' Wall Street Journal (October 24, 2021), 
available at: https://www.wsj.com/articles/bitcoin-etfs-success-could-come-at-fundholders-expense-11635080580; ``Physical Bitcoin 
ETF Prospects Accelerate,'' ETF.com (October 25, 2021), available 
at: https://www.etf.com/sections/blog/physical-bitcoin-etf-prospects-shine?nopaging=1&__cf_chl_jschl_tk__=pmd_JsK.fjXz9eAQW9zol0qpzhXDrrlpIVdoCloLXbLjl44-1635476946-0-gqNtZGzNApCjcnBszQql.
    \49\ Id.
---------------------------------------------------------------------------

    To the extent the Commission may view differential treatment of 
Bitcoin Futures ETFs and Spot Bitcoin ETPs as warranted based on the 
Commission's concerns about the custody of physical Bitcoin that a Spot 
Bitcoin ETP would hold (compared to cash-settled futures 
contracts),\50\ the Sponsor believes this concern is mitigated to a 
significant degree by the custodial arrangements that the Trust has 
contracted with Coinbase Trust Company, LLC (the ``Custodian'') to 
provide. In the Custody Statement, the Commission stated that the 
fourth step that a broker-dealer could take to shield traditional 
securities customers and others from the risks and consequences of 
digital asset security fraud, theft, or loss is to establish, maintain, 
and enforce reasonably designed written policies, procedures, and 
controls for safekeeping and demonstrating the broker-dealer has 
exclusive possession or control over digital asset securities that are 
consistent with industry best practices to protect against the theft, 
loss, and unauthorized and accidental use of the private keys necessary 
to access and transfer the digital asset securities the broker-dealer 
holds in custody. While bitcoin is not a security and the Custodian is 
not a broker-dealer, the Sponsor believes that similar considerations 
apply to the Custodian's holding of the Trust's bitcoin. After diligent 
investigation, the Sponsor believes that the Custodian's policies, 
procedures, and controls for safekeeping, exclusively possessing, and 
controlling the Trust's bitcoin holdings are consistent with industry 
best practices to protect against the theft, loss, and unauthorized and 
accidental use of the private keys. As a trust company chartered by the 
New York Department of Financial Services, the Sponsor notes that the 
Custodian is subject to extensive regulation and has among longest 
track records in the industry of providing custodial services for 
digital asset private keys. The Custodian has represented to the Trust 
that it has never suffered a loss of bitcoin belonging to customers. 
Under the circumstances, therefore, to the extent the Commission 
believes that its concerns about the risks of spot bitcoin custody 
justifies differential treatment of a Bitcoin Futures ETF versus a Spot 
Bitcoin ETP, the Sponsor believes that the fact that the Custodian 
employs the same types of policies, procedures, and safeguards in 
handling spot bitcoin that the Commission has stated that broker-
dealers should implement with respect to digital asset securities would 
appear to weaken the justification for treating a Bitcoin Futures ETF 
compared to a Spot Bitcoin ETP differently due to spot bitcoin custody 
concerns.
---------------------------------------------------------------------------

    \50\ See, e.g., Division of Investment Management Staff, Staff 
Statement on Funds Registered Under the Investment Company Act 
Investing in the Bitcoin Futures Market, May 11, 2021 (``The Bitcoin 
futures market also has not presented the custody challenges 
associated with some cryptocurrency-based investing because the 
futures are cash-settled'').
---------------------------------------------------------------------------

    Based on the foregoing, the Exchange and Sponsor believe that any 
objective review of the proposals to list Spot Bitcoin ETPs compared to 
the Bitcoin Futures ETFs and the Bitcoin Futures Approvals would lead 
to the conclusion that Spot Bitcoin ETPs should be available to U.S. 
investors and, as such, this proposal and other comparable proposals to 
list and trade Spot Bitcoin ETPs should be approved by the Commission. 
Stated simply, U.S. investors will continue to lose significant amounts 
of money from holding Bitcoin Futures ETFs as compared to Spot Bitcoin 
ETPs, losses which could be prevented by the Commission approving Spot 
Bitcoin ETPs. Additionally, any concerns related to preventing 
fraudulent and manipulative acts and practices related to Spot Bitcoin 
ETPs would apply equally to the spot markets underlying the futures 
contracts held by a Bitcoin Futures ETF. While the 1940 Act does offer 
certain investor protections, those protections do not relate to 
mitigating potential manipulation of the holdings of an ETF in a way 
that warrants distinction between Bitcoin Futures ETFs and Spot Bitcoin 
ETPs. To be clear, both the Exchange and Sponsor believe that the CME 
Bitcoin Futures market is a regulated market of significant size and 
that such manipulation concerns are mitigated, as described extensively 
below. After allowing the listing and trading of Bitcoin Futures ETFs 
that hold primarily CME Bitcoin Futures, however, the only consistent 
outcome would be approving Spot Bitcoin ETPs on the basis that the CME 
Bitcoin Futures market is a regulated market of significant size. 
Including in the analysis the significant and preventable losses to 
U.S. investors that comes with Bitcoin Futures ETFs, disapproving Spot 
Bitcoin ETPs seems even more arbitrary and capricious. Given the 
current landscape, approving this proposal (and others like it) and 
allowing Spot Bitcoin ETPs to be listed and traded alongside Bitcoin 
Futures ETFs would establish a consistent regulatory approach, provide 
U.S. investors with choice in product structures for bitcoin exposure, 
and offer flexibility in the means of gaining exposure to bitcoin 
through transparent, regulated, U.S. exchange-listed vehicles.

[[Page 33256]]

Bitcoin Futures \51\
---------------------------------------------------------------------------

    \51\ Unless otherwise noted, all data and analysis presented in 
this section and referenced elsewhere in the filing has been 
provided by the Sponsor.
---------------------------------------------------------------------------

    CME began offering trading in Bitcoin Futures in 2017. Each 
contract represents five bitcoin and is based on the CME CF Bitcoin 
Reference Rate.\52\ The contracts trade and settle like other cash-
settled commodity futures contracts. Nearly every measurable metric 
related to Bitcoin Futures has trended consistently up since launch.
---------------------------------------------------------------------------

    \52\ According to CME, the CME CF Bitcoin Reference Rate 
aggregates the trade flow of major bitcoin spot exchanges during a 
specific calculation window into a once-a-day reference rate of the 
U.S. dollar price of bitcoin. Calculation rules are geared toward 
maximum transparency and real-time replicability in underlying spot 
markets, including Bitstamp, Coinbase, Gemini, itBit, and Kraken. 
For additional information, refer to https://www.cmegroup.com/trading/cryptocurrency-indices/cf-bitcoin-reference-rate.html?redirect=/trading/cf-bitcoin-reference-rate.html.
---------------------------------------------------------------------------

    According to the Sponsor, the increase in the volume on CME is 
reflected in a higher proportion of the bitcoin market share. This is 
illustrated by plotting the proportion of monthly volume traded in 
bitcoin on the CME \53\ (categorized as regulated in the chart and used 
as the numerator) in relation to the total bitcoin market, which 
comprises of the sum of the volume of bitcoin futures on the CME and 
the spot volume on cryptocurrency exchanges \54\ (categorized as 
unregulated and used as the denominator) from January 1, 2018 to 
October 1, 2021 illustrates this point.
---------------------------------------------------------------------------

    \53\ Data on Bitcoin futures is obtained from https://www.cmegroup.com/markets/cryptocurrencies/bitcoin/bitcoin.volume.html.
    \54\ Data on Bitcoin volume traded on cryptocurrency exchanges 
is obtained from https://www.cryptocompare.com.
[GRAPHIC] [TIFF OMITTED] TN01JN22.015

    The proportion of volume traded on CME has increased from less than 
5% at inception, to more than 20% over three and a half years. 
Furthermore, the CME market, as well as other crypto-linked markets, 
and the spot market are highly correlated. In markets that are globally 
and efficiently integrated, one would expect that changes in prices of 
an asset across all markets to be highly correlated. The rationale 
behind this is that quick and efficient arbitrageurs would capture 
potentially profitable opportunities, consequently converging prices to 
the average intrinsic value very rapidly.
    Bitcoin markets exhibit a high degree of correlation. Using daily 
Bitcoin prices from centralized exchanges, ETP providers, and the CME 
from January 20, 2021 to October 1, 2021,\55\ the Sponsor calculates 
the Pearson correlation of returns \56\ across these markets and find a 
high degree of correlation.
---------------------------------------------------------------------------

    \55\ The calculation of correlations used the period January 20, 
2021 to October 1, 2021 as this is the common period across all the 
exchanges and data sources being analyzed.
    \56\ The Pearson correlation is a measure of linear association 
between two variables, and indicates the magnitude as well as 
direction of this relationship. The value can range between -1 
(suggesting a strong negative association) and 1 (suggesting a 
strong positive association).
---------------------------------------------------------------------------

    Correlations are between 57% and 99%, with the latter found mainly 
across centralized exchanges due to their higher level of 
interconnectedness. The lower correlations pertain mainly to the ETPs, 
which are relatively newer products and are mainly offered by a few 
competing market makers who are required to trade in large blocks, thus 
making it economically infeasible to capture small mispricings. As 
additional investors and arbitrageurs enter the market and capture the 
mispricing opportunities between these markets, it is likely that there 
will be much higher levels of correlations across all markets.

[[Page 33257]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.016

    Pair-wise correlations of Bitcoin returns are also calculated on 
hourly and minute-by-minute sampling frequencies in order to estimate 
the intra-day associations across the different Bitcoin markets. The 
results remain largely the same as shown in the charts below, with 
correlations ranging between 70% and 97% among centralized exchanges, 
and between 55% and 72% between ETPs and centralized exchanges. This 
suggests that Bitcoin prices across all considered markets move very 
similarly and in a very efficient manner to quickly reflect changes in 
market conditions, not only on a daily basis, but also at much higher 
intra-day frequencies.
BILLING CODE 8011-01-P

[[Page 33258]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.017


[[Page 33259]]


[GRAPHIC] [TIFF OMITTED] TN01JN22.018

BILLING CODE 8011-01-C
    According to the Sponsor's research, this relationship holds true 
during periods of extreme price volatility. This implies that no single 
Bitcoin market can deviate significantly from the consensus, such that 
the market is sufficiently large and has an inherent unique resistance 
to manipulation. Hence, the Sponsor introduces a statistical comoment 
called cokurtosis, which measures to what extent two random variables 
change together.\57\ If two returns series exhibit a high degree of 
cokurtosis, this means that they tend to undergo extreme positive and 
negative changes simultaneously. A cokurtosis value larger than +3 or 
less than -3 is considered statistically significant. The following 
table shows that the level of cokurtosis is positive and very high 
between all market combinations of hourly returns,\58\ which suggests 
that Bitcoin markets tend to move very similarly especially for extreme 
price deviations.
---------------------------------------------------------------------------

    \57\ Coskewness and Cokurtosis are higher order cross-moments 
used in finance to examine how assets move together. Coskewness 
measures the extent to which two variables undergo extreme 
deviations at the same time, whereby a positive (negative) value 
means that both values exhibit positive (negative) values 
simultaneously. While this measure is useful for estimating 
comovements in one direction or the other, it does not allow us to 
test whether two variables comove similarly in either direction. For 
that, we apply the cokurtosis, which measures the extent to which 
two variables undergo both extreme positive and negative deviations 
at the same time.

---------------------------------------------------------------------------

[[Page 33260]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.019

    As a robustness check, the cokurtosis metric is also calculated 
using minute-by-minute returns, and the conclusion remains the same, 
suggesting that all Bitcoin markets move in tandem especially during 
extreme market movements.

[[Page 33261]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.020

    These results present evidence of a robust global Bitcoin market 
that quickly reacts in a unanimous manner to extreme price movements 
across both the spot markets, futures and ETP markets.
    The Sponsor further believes that academic research corroborates 
the overall trend outlined above and supports the thesis that the 
Bitcoin Futures pricing leads the spot market and, thus, a person 
attempting to manipulate the Shares would also have to trade on that 
market to manipulate the ETP. Specifically, the Sponsor believes that 
such research indicates that bitcoin futures lead the bitcoin spot 
market in price formation.\59\
---------------------------------------------------------------------------

    \59\ See Hu, Y., Hou, Y. and Oxley, L. (2019). ``What role do 
futures markets play in Bitcoin pricing? Causality, cointegration 
and price discovery from a time-varying perspective'' (available at: 
https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7481826/). This 
academic research paper concludes that ``There exist no episodes 
where the Bitcoin spot markets dominates the price discovery 
processes with regard to Bitcoin futures. This points to a 
conclusion that the price formation originates solely in the Bitcoin 
futures market. We can, therefore, conclude that the Bitcoin futures 
markets dominate the dynamic price discovery process based upon 
time-varying information share measures. Overall, price discovery 
seems to occur in the Bitcoin futures markets rather than the 
underlying spot market based upon a time-varying perspective.''
---------------------------------------------------------------------------

Section 6(b)(5) and the Applicable Standards
    The Commission has approved numerous series of Trust Issued 
Receipts,\60\ including Commodity-Based Trust Shares,\61\ to be listed 
on U.S. national securities exchanges. In order for any proposed rule 
change from an exchange to be approved, the Commission must determine 
that, among other things, the proposal is consistent with the 
requirements of Section 6(b)(5) of the Act, specifically including: (i) 
The requirement that a national securities exchange's rules are 
designed to prevent fraudulent and manipulative acts and practices; 
\62\ and

[[Page 33262]]

(ii) the requirement that an exchange proposal be designed, in general, 
to protect investors and the public interest. The Exchange believes 
that this proposal is consistent with the requirements of Section 
6(b)(5) of the Act and that this filing sufficiently demonstrates that 
the CME Bitcoin Futures market represents a regulated market of 
significant size and that, on the whole, the manipulation concerns 
previously articulated by the Commission are sufficiently mitigated to 
the point that they are outweighed by quantifiable investor protection 
issues that would be resolved by approving this proposal.
---------------------------------------------------------------------------

    \60\ See Exchange Rule 14.11(f).
    \61\ Commodity-Based Trust Shares, as described in Exchange Rule 
14.11(e)(4), are a type of Trust Issued Receipt.
    \62\ As the Exchange has stated in a number of other public 
documents, it continues to believe that bitcoin is resistant to 
price manipulation and that ``other means to prevent fraudulent and 
manipulative acts and practices'' exist to justify dispensing with 
the requisite surveillance sharing agreement. The geographically 
diverse and continuous nature of bitcoin trading render it difficult 
and prohibitively costly to manipulate the price of bitcoin. The 
fragmentation across bitcoin platforms, the relatively slow speed of 
transactions, and the capital necessary to maintain a significant 
presence on each trading platform make manipulation of bitcoin 
prices through continuous trading activity challenging. To the 
extent that there are bitcoin exchanges engaged in or allowing wash 
trading or other activity intended to manipulate the price of 
bitcoin on other markets, such pricing does not normally impact 
prices on other exchange because participants will generally ignore 
markets with quotes that they deem non-executable. Moreover, the 
linkage between the bitcoin markets and the presence of arbitrageurs 
in those markets means that the manipulation of the price of bitcoin 
price on any single venue would require manipulation of the global 
bitcoin price in order to be effective. Arbitrageurs must have funds 
distributed across multiple trading platforms in order to take 
advantage of temporary price dislocations, thereby making it 
unlikely that there will be strong concentration of funds on any 
particular bitcoin exchange or OTC platform. As a result, the 
potential for manipulation on a trading platform would require 
overcoming the liquidity supply of such arbitrageurs who are 
effectively eliminating any cross-market pricing differences.
---------------------------------------------------------------------------

(i) Designed To Prevent Fraudulent and Manipulative Acts and Practices
    In order to meet this standard in a proposal to list and trade a 
series of Commodity-Based Trust Shares, the Commission requires that an 
exchange demonstrate that there is a comprehensive surveillance-sharing 
agreement in place \63\ with a regulated market of significant size. 
Both the Exchange and CME are members of ISG.\64\ The only remaining 
issue to be addressed is whether the Bitcoin Futures market constitutes 
a market of significant size, which both the Exchange and the Sponsor 
believe that it does. The terms ``significant market'' and ``market of 
significant size'' include a market (or group of markets) as to which: 
(a) There is a reasonable likelihood that a person attempting to 
manipulate the ETP would also have to trade on that market to 
manipulate the ETP, so that a surveillance-sharing agreement would 
assist the listing exchange in detecting and deterring misconduct; and 
(b) it is unlikely that trading in the ETP would be the predominant 
influence on prices in that market.\65\
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    \63\ As previously articulated by the Commission, ``The standard 
requires such surveillance-sharing agreements since ``they provide a 
necessary deterrent to manipulation because they facilitate the 
availability of information needed to fully investigate a 
manipulation if it were to occur.'' The Commission has emphasized 
that it is essential for an exchange listing a derivative securities 
product to enter into a surveillance-sharing agreement with markets 
trading underlying securities for the listing exchange to have the 
ability to obtain information necessary to detect, investigate, and 
deter fraud and market manipulation, as well as violations of 
exchange rules and applicable federal securities laws and rules. The 
hallmarks of a surveillance-sharing agreement are that the agreement 
provides for the sharing of information about market trading 
activity, clearing activity, and customer identity; that the parties 
to the agreement have reasonable ability to obtain access to and 
produce requested information; and that no existing rules, laws, or 
practices would impede one party to the agreement from obtaining 
this information from, or producing it to, the other party.'' The 
Commission has historically held that joint membership in the 
Intermarket Surveillance Group (``ISG'') constitutes such a 
surveillance sharing agreement. See Wilshire Phoenix Disapproval.
    \64\ For a list of the current members and affiliate members of 
ISG, see www.isgportal.com.
    \65\ See Wilshire Phoenix Disapproval.
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    The Commission has also recognized that the ``regulated market of 
significant size'' standard is not the only means for satisfying 
Section 6(b)(5) of the act, specifically providing that a listing 
exchange could demonstrate that ``other means to prevent fraudulent and 
manipulative acts and practices'' are sufficient to justify dispensing 
with the requisite surveillance-sharing agreement.\66\
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    \66\ See Winklevoss Order at 37580. The Commission has also 
specifically noted that it ``is not applying a `cannot be 
manipulated' standard; instead, the Commission is examining whether 
the proposal meets the requirements of the Exchange Act and, 
pursuant to its Rules of Practice, places the burden on the listing 
exchange to demonstrate the validity of its contentions and to 
establish that the requirements of the Exchange Act have been met.'' 
Id. at 37582.
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(a) Manipulation of the ETP
    According to the Sponsor's research presented above, the Bitcoin 
Futures market is the leading market for bitcoin price formation. Where 
Bitcoin Futures lead the price in the spot market such that a potential 
manipulator of the bitcoin spot market (beyond just the constituents of 
the Index \67\) would have to participate in the Bitcoin Futures 
market, it follows that a potential manipulator of the Shares would 
similarly have to transact in the Bitcoin Futures market because the 
Index is based on spot prices. Further, the Trust only allows for in-
kind creation and redemption, which, as further described below, 
reduces the potential for manipulation of the Shares through 
manipulation of the Index or any of its individual constituents, again 
emphasizing that a potential manipulator of the Shares would have to 
manipulate the entirety of the bitcoin spot market, which is led by the 
Bitcoin Futures market. As such, the Exchange believes that part (a) of 
the significant market test outlined above is satisfied and that common 
membership in ISG between the Exchange and CME would assist the listing 
exchange in detecting and deterring misconduct in the Shares.
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    \67\ As further described below, the ``Index'' for the Fund is 
the S&P Bitcoin Index. The current exchange composition of the Index 
is Binance, Bit[filig]nex, Bit[fllig]yer, Bittrex, Bitstamp, 
Coinbase Pro, Gemini, HitBTC, Huobi, Kraken, KuCoin, and Poloniex.
---------------------------------------------------------------------------

(b) Predominant Influence on Prices in Spot and Bitcoin Futures
    The Exchange and Sponsor also believe that trading in the Shares 
would not be the predominant force on prices in the Bitcoin Futures 
market or spot market for a number of reasons, including the 
significant volume in the Bitcoin Futures market, the size of bitcoin's 
market cap, and the significant liquidity available in the spot market. 
In addition to the Bitcoin Futures market data points cited above, the 
spot market for bitcoin is also very liquid. According to data from 
CoinRoutes from February 2021, the cost to buy or sell $5 million worth 
of bitcoin averages roughly 10 basis points with a market impact of 30 
basis points.\68\ For a $10 million market order, the cost to buy or 
sell is roughly 20 basis points with a market impact of 50 basis 
points. Stated another way, a market participant could enter a market 
buy or sell order for $10 million of bitcoin and only move the market 
0.5%. More strategic purchases or sales (such as using limit orders and 
executing through OTC bitcoin trade desks) would likely have less 
obvious impact on the market--which is consistent with MicroStrategy, 
Tesla, and Square being able to collectively purchase billions of 
dollars in bitcoin. As such, the combination of Bitcoin Futures leading 
price discovery, the overall size of the bitcoin market, and the 
ability for market participants, including authorized participants 
creating and redeeming in-kind with the Trust, to buy or sell large 
amounts of bitcoin without significant market impact will help prevent 
the Shares from becoming the predominant force on pricing in either the 
bitcoin spot or Bitcoin Futures markets, satisfying part (b) of the 
test outlined above.
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    \68\ These statistics are based on samples of bitcoin liquidity 
in USD (excluding stablecoins or Euro liquidity) based on executable 
quotes on Coinbase Pro, Gemini, Bitstamp, Kraken, LMAX Exchange, 
BinanceUS, and OKCoin during February 2021.
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(c) Other Means To Prevent Fraudulent and Manipulative Acts and 
Practices
    As noted above, the Commission also permits a listing exchange to 
demonstrate that ``other means to prevent fraudulent and manipulative 
acts and practices'' are sufficient to justify dispensing with the 
requisite surveillance-sharing agreement. The Exchange and Sponsor 
believe that such conditions are present. According to the Sponsor, a 
significant portion of the considerations around crypto pricing have 
historically stemmed from a lack of consistent pricing across markets. 
However, according to the Sponsor's

[[Page 33263]]

research, cross-exchange spreads in Bitcoin have been declining 
consistently over the past several years. Based on the daily Bitcoin 
price series from several popular centralized exchanges \69\ the 
Sponsor has calculated the largest cross-exchange percentage spread 
(labelled as %C-Spread) by deducting the highest or maximum price (P) 
at time t from the lowest or minimum, and dividing by the lowest across 
all exchanges (i). Formally, this is expressed as:
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    \69\ The exchanges include Binance, Bitfinex, Bithumb, Bitstamp, 
Cexio, Coinbase, Coinone, Gateio, Gemini, HuobiPro, itBit, Kraken, 
Kucoin, and OKEX.
[GRAPHIC] [TIFF OMITTED] TN01JN22.021

    The results show a clear and sharp decline in the %C-Spread, 
indicating that the Bitcoin market has become more efficient as cross-
exchange prices have converged over time.
[GRAPHIC] [TIFF OMITTED] TN01JN22.022

    In addition, the magnitude of outlier % C-spreads has also declined 
over time. This boxplot shows that, not only did the median value of 
the %C-Spread decline over time, but also the extreme outlier values. 
For instance, the maximum %C-Spread for 2017, 2018, 2019, 2020, and 
2021 are 29.14%, 14.45%, 8.54%, 6.04%, and 7.1%, respectively. The 
market has experienced a 38% year-on-year decline in the annual median 
%C-Spread indicating a greater degree of Bitcoin price convergence 
across exchanges and a more efficient market.

[[Page 33264]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.023

    The dispersion ([sigma]) of Bitcoin Prices has also declined over 
the same period. This chart shows the 7-day rolling standard deviation 
of the %C-Spread from January 1, 2017 to October 1, 2021. The Sponsor's 
research finds that the dispersion in Bitcoin prices across all 
exchanges has decreased over time, indicating that prices on all the 
considered exchanges converge towards the intrinsic average much more 
efficiently. This suggests that the market has become better at quickly 
reaching a consensus price for Bitcoin.
    As the pricing of the crypto market becomes increasingly efficient, 
pricing methodologies become more accurate and less susceptible to 
manipulation. The clustering of prices across a variety of sources 
within the primary market points towards robust price discovery 
mechanisms and efficient arbitrage.

[[Page 33265]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.024

    One factor that has contributed to the overall efficiency of, and 
improved price discovery within the Bitcoin market is the increase in 
the number of participants, and subsequently, the total dollar amount 
allocated to this market. This can be illustrated by the following 
chart, which shows the number of wallet addresses holding Bitcoin from 
January 2016 to June 2021.
[GRAPHIC] [TIFF OMITTED] TN01JN22.025

    The increase in the number of participants has manifested itself in 
higher liquidity in the market. This is exhibited in the following 
chart, which shows the daily aggregated dollar notional of the bid and 
ask order books within the first 100 price levels across several of the 
largest centralized crypto exchanges from October 2020 to April 2021. 
Specifically, the dollar notional that is allocated closest to the mid 
price has increased from around $230 million to $860 million over that 
period, representing a 270% increase in half a year.

[[Page 33266]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.026

    An increased notional order book suggests that there is a higher 
degree of consensus among investors regarding the price of Bitcoin. 
Moreover, this market characteristic hampers any attempt of price 
manipulation by any single large entity.
    As a robustness check, the Sponsor investigates whether the dollar 
notional in the order book changes significantly prior to, and post an 
extreme price event. Specifically, for events constituting large 
increases in the price of Bitcoin, if the ask (or sell) side of the 
order book experiences a significant shrinkage in the dollar notional 
right before the event, then this may be an indication of market 
manipulation whereby the ask-side of the order book becomes 
sufficiently thin for a large order to move the price upward. 
Similarly, for events constituting large decreases in the price of 
Bitcoin, if the bid (or buy) side of the order book experiences a 
significant shrinkage in the dollar notional prior to such events, then 
this may be an indication of market manipulation whereby the thinner 
bid-side of the order book may potentially lead to significant downward 
price movements.
    Using the top and bottom 0.1% of hourly price changes from October 
2020 to April 2021 as events of extreme upward and downward market 
movements, respectively, the Sponsor plotted the bid (left charts) and 
ask (right charts) dollar notional of the Bitcoin order book within a 
six-hour window around these events in the chart below, which shows the 
results for extreme upward price movements. The extreme price events 
(indicated by the dashed green lines) perfectly coincide with the 
decrease in dollar notional of the ask-side of the order book. This is 
indicative of an efficient market, whereby large market movements are 
quickly and dynamically absorbed by a thick orderbook. Moreover, the 
dollar notional on the ask side after the event is replenished back to 
its pre-event level, which implies that market participants' reactions 
are quick to restore the market back to its equilibrium level.

[[Page 33267]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.027

    The same results and conclusions are found for extreme downward 
price movements. The charts below show that such price events perfectly 
coincide with shrinkages on the bid side of the order book (left 
charts), indicating an efficient and dynamic Bitcoin market. Moreover, 
the bid-side of the order book after the event is also restored back to 
its pre-event level, which suggests that the market is symmetrically 
efficient in moving back to equilibrium.

[[Page 33268]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.028

    Finally, offering only in-kind creation and redemption will provide 
unique protections against potential attempts to manipulate the Shares. 
While the Sponsor believes that the Index which it uses to value the 
Trust's bitcoin is itself resistant to manipulation based on the 
methodology further described below, the fact that creations and 
redemptions are only available in-kind makes the manipulability of the 
Index significantly less important. Specifically, because the Trust 
will not accept cash to buy bitcoin in order to create new shares or, 
barring a forced redemption of the Trust or under other extraordinary 
circumstances, be forced to sell bitcoin to pay cash for redeemed 
shares, the price that the Sponsor uses to value the Trust's bitcoin is 
not particularly important.\70\ When authorized participants are 
creating with the Trust, they need to deliver a certain number of 
bitcoin per share (regardless of the valuation used) and when they're 
redeeming, they can similarly expect to receive a certain number of 
bitcoin per share. As such, even if the price used to value the Trust's 
bitcoin is manipulated (which the Sponsor believes that its methodology 
is resistant to), the ratio of bitcoin per Share does not change and 
the Trust will either accept (for creations) or distribute (for 
redemptions) the same number of bitcoin regardless of the value. This 
not only mitigates the risk associated with potential manipulation, but 
also discourages and disincentivizes manipulation of the Index because 
there is little financial incentive to do so.
---------------------------------------------------------------------------

    \70\ While the Index will not be particularly important for the 
creation and redemption process, it will be used for calculating 
fees.
---------------------------------------------------------------------------

(ii) Designed To Protect Investors and the Public Interest
    The Exchange believes that the proposal is designed to protect 
investors and the public interest. Over the past several years, U.S. 
investor exposure to bitcoin through OTC Bitcoin Funds has grown into 
the tens of billions of dollars and more than a billion dollars of 
exposure through Bitcoin Futures ETFs. With that growth, so too has 
grown the quantifiable investor protection issues to U.S. investors 
through roll costs for Bitcoin Futures ETFs and premium/discount 
volatility and management fees for OTC Bitcoin Funds. The Exchange 
believes that the concerns related to the prevention of fraudulent and 
manipulative acts and practices have been sufficiently addressed to be 
consistent with the Act and, to the extent that the Commission 
disagrees with that assertion, such concerns are now outweighed by 
investor protection concerns. As such, the Exchange believes that 
approving this proposal (and comparable proposals) provides the 
Commission with the opportunity to allow U.S. investors with access to 
bitcoin in a regulated and transparent exchange-traded vehicle that 
would act to limit risk to U.S. investors by: (i) Reducing premium and 
discount volatility; (ii) reducing management fees through meaningful 
competition; (iii) reducing risks and costs associated with investing 
in Bitcoin Futures ETFs and operating companies that are imperfect 
proxies for bitcoin exposure; and (iv) providing an alternative to 
custodying spot bitcoin.
ARK 21Shares Bitcoin ETF
    Delaware Trust Company is the trustee (``Trustee''). The Bank of 
New York Mellon will be the administrator (``Administrator'') and 
transfer agent (``Transfer Agent''). Foreside Global Services, LLC will 
be the marketing agent (``Marketing Agent'') in connection with the 
creation and redemption of ``Baskets'' of Shares. ARK Investment 
Management LLC (``ARK'') will provide assistance in the marketing of 
the Shares. Coinbase Custody Trust Company, LLC, a third-party 
regulated custodian (the ``Custodian''), will be responsible for 
custody of the Trust's bitcoin.
    According to the Registration Statement, each Share will represent 
a

[[Page 33269]]

fractional undivided beneficial interest in the bitcoin held by the 
Trust. The Trust's assets will consist of bitcoin held by the Custodian 
on behalf of the Trust. The Trust generally does not intend to hold 
cash or cash equivalents. However, there may be situations where the 
Trust will unexpectedly hold cash on a temporary basis.
    According to the Registration Statement, the Trust is neither an 
investment company registered under the Investment Company Act of 1940, 
as amended,\71\ nor a commodity pool for purposes of the Commodity 
Exchange Act (``CEA''), and neither the Trust nor the Sponsor is 
subject to regulation as a commodity pool operator or a commodity 
trading adviser in connection with the Shares.
---------------------------------------------------------------------------

    \71\ 15 U.S.C. 80a-1.
---------------------------------------------------------------------------

    When the Trust sells or redeems its Shares, it will do so in ``in-
kind'' transactions in blocks of 5,000 Shares (a ``Creation Basket'') 
at the Trust's NAV. Authorized participants will deliver, or facilitate 
the delivery of, bitcoin to the Trust's account with the Custodian in 
exchange for Shares when they purchase Shares, and the Trust, through 
the Custodian, will deliver bitcoin to such authorized participants 
when they redeem Shares with the Trust. Authorized participants may 
then offer Shares to the public at prices that depend on various 
factors, including the supply and demand for Shares, the value of the 
Trust's assets, and market conditions at the time of a transaction. 
Shareholders who buy or sell Shares during the day from their broker 
may do so at a premium or discount relative to the NAV of the Shares of 
the Trust.
Investment Objective
    According to the Registration Statement and as further described 
below, the investment objective of the Trust is to seek to track the 
performance of bitcoin, as measured by the performance of the S&P 
Bitcoin Index (the ``Index''), adjusted for the Trust's expenses and 
other liabilities. In seeking to achieve its investment objective, the 
Trust will hold bitcoin and will value the Shares daily based on the 
Index. The Trust will process all creations and redemptions in-kind in 
transactions with authorized participants. The Trust is not actively 
managed.
The Index
    As described in the Registration Statement, the Fund will use the 
Index to calculate the Trust's NAV. The Index is a U.S. dollar-
denominated composite reference rate for the price of bitcoin. There is 
no component other than bitcoin in the Index. The underlying exchanges 
are sourced by Lukka Inc. (the ``Data Provider'') \72\ based on a 
combination of qualitative and quantitative metrics to analyze a 
comprehensive data set and evaluate factors including legal/regulation, 
KYC/transaction risk, data provision, security, team/exchange, asset 
quality/diversity, market quality and negative events. The Index price 
is currently sourced from the following set of exchanges: Binance, 
Bitfinex, Bitflyer, Bittrex, Bitstamp, Coinbase Pro, Gemini, HitBTC, 
Huobi, Kraken, KuCoin, and Poloniex. As the digital ecosystem continues 
to evolve, the Data Provider can add additional or remove exchanges 
based on the processes established by Lukka's Pricing Integrity 
Oversight Board.\73\
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    \72\ Lukka is an independent third-party digital asset data 
company engaged by the Sponsor to provide fair market value (FMV) 
bitcoin prices. This price, commercially available from Lukka, will 
form the basis for determining the value of the Trust's Bitcoin 
Holdings. Lukka is not affiliated with the Trust or the Sponsor 
other than through a commercial relationship. All of Lukka's 
products are also SOC 1 and 2 Type 2 certified.
    \73\ The purpose of Lukka's Pricing Integrity Oversight Board is 
to ensure (i) the integrity and validity of the Lukka pricing and 
valuation products and (ii) the Lukka pricing and valuation products 
remain fit for purpose in the rapidly evolving market and 
corresponding regulatory environments.
---------------------------------------------------------------------------

    The Index methodology is intended to determine the fair market 
value (``FMV'') for bitcoin by determining the principal market for 
bitcoin as of 4pm ET daily. The Index methodology uses a ranking 
approach that considers several exchange characteristics including 
oversight and intra-day trading volume. Specifically, to rank the 
credibility and quality of each exchange, the Data Provider dynamically 
assigns a Base Exchange Score (``BES'') score to the key 
characteristics for each exchange.
    The BES reflects the fundamentals of an exchange and determines 
which exchange should be designated as the principal market at a given 
point of time. This score is determined by computing a weighted average 
of the values assigned to four different exchange characteristics. The 
exchange characteristics are as follows: (i) Oversight; (ii) 
microstructure efficiency; (iii) data transparency and (iv) data 
integrity.
Oversight
    This score reflects the rules in place to protect and to give 
access to the investor. The score assigned for exchange oversight will 
depend on parameters such as jurisdiction, regulation, ``Know Your 
Customer and Anti-Money Laundering Compliance'' (KYC/AML), among other 
proprietary factors.
Microstructure Efficiency
    The effective bid ask spread is used as a proxy for efficiency. For 
example, for each exchange and currency pair, the Data Provider takes 
an estimate of the ``effective spread'' relative to the price.
Data Transparency
    Transparency is the term used for a quality score that is 
determined by the level of detail of the data offered by an exchange. 
The most transparent exchanges offer order-level data, followed by 
order book, trade-level, and then candles.
Data Integrity
    Data integrity reconstructs orders to ensure the transaction 
amounts that make up an order equal the overall order amount matching 
on both a minute and daily basis. This data would help expose nefarious 
actions such as wash trading or other potential manipulation of data.
    The methodology then applies a five-step weighting process for 
identifying a principal exchange and the last price on that exchange. 
Following this weighting process, an executed exchange price is 
assigned for bitcoin as of 4pm ET. The Index price is determined 
according to the following procedure:
     Step 1: Assign each exchange a Base Exchange Score 
(``BES'') reflecting static exchange characteristics such as oversight, 
microstructure and technology, as discussed below.
     Step 2: Adjust the BES based on the relative monthly 
volume each exchange services. This new score is the Volume Adjusted 
Score (``VAS'').
     Step 3: Decay the VAS based on the time passed since the 
last trade on the exchange. Here, the Data Provider is assessing the 
level of activity in the market by considering the frequency (volume) 
of trades. The decay factor reflects the time since the last trade on 
the exchange. This is the final Decayed Volume Adjusted Score 
(``DVAS''), which tracks the freshness of the data by tracking most 
recent trades.
     Step 4: Rank the exchanges by the DVAS score and designate 
the highest-ranking exchange as the principal market for that point in 
time. The principal market is the exchange with the highest DVAS.
     Step 5: After selecting a primary exchange, an executed 
exchange price is used for bitcoin representing FMV at 4p.m. ET. The 
Data Provider takes the last traded prices at that moment in time on 
that trading venue for the relevant

[[Page 33270]]

pair (Bitcoin/USD) when determining the Index price.
    As discussed in the Registration Statement, the fact that there are 
multiple bitcoin spot markets that may contribute prices to the Index 
price makes manipulation more difficult in a well-arbitraged and 
fractured market, as a malicious actor would need to manipulate 
multiple spot markets simultaneously to impact the Index price, or 
dramatically skew the historical distribution of volume between the 
various exchanges.
    The Data Provider has designed a series of automated algorithms 
designed to supplement the core Lukka Prime Methodology in enhancing 
the ability to detect potentially anomalous price activity which could 
be detrimental to the goal of obtaining a Fair Market Value price that 
is representative of the market at a point in time.\74\
---------------------------------------------------------------------------

    \74\ Upon request, Lukka can provide additional information and 
detail to the Commission regarding the algorithms and data quality 
checks that are put in place, with confidential treatment requested.
---------------------------------------------------------------------------

    In addition to the automated algorithms, the Data Provider has 
dedicated resources and has established committees to ensure all prices 
are representative of the market. Any price challenges will result in 
an independent analysis of the price. This includes assessing whether 
the price from the selected exchange is biased according to analyses 
designed to recognize patterns consistent with manipulative activity, 
such as a quick reversion to previous traded levels following a sharp 
price change or any significant deviations from the volume weighted 
average price on a particular exchange or pricing on any other exchange 
included in the Lukka Prime eligibility universe. Policies and 
procedures for any adjustments to prices or changes to core parameters 
(e.g., exchange selection) are described in the Lukka Price Integrity 
Manual.\75\
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    \75\ Upon request, Lukka can provide the Commission the Lukka 
Pricing Integrity Manual, with confidential treatment requested.
---------------------------------------------------------------------------

    Upon detection or external referral of suspect manipulative 
activities, the case is raised to the Price Integrity Oversight Board. 
These checks occur on an on-going, intraday basis and any 
investigations are typically resolved promptly, in clear cases within 
minutes and in more complex cases same business day. The evidence 
uncovered shall be turned over to the Data Provider's Price Integrity 
Oversight Board for final decision and action. The Price Integrity 
Oversight Board may choose to pick an alternative primary market and 
may exclude such market from future inclusion in the Index methodology 
or choose to stand by the original published price upon fully 
evaluating all available evidence. It may also initiate an 
investigation of prior prices from such markets and shall evaluate 
evidence presented on a case-by-case basis.
    After the Lukka Prime price is generated, the S&P DJI (``The Index 
Provider'') performs independent quality checks as a second layer of 
validation to those employed by the Data Provider, including checks 
against assets with large price movements, assets with missing prices, 
assets with zero prices, assets with unchanged prices, assets that have 
ceased pricing and assets where the price does not match the Lukka 
Prime primary exchange. The Index Provider may submit a price challenge 
to Lukka if any of the checks listed above are found to be material. 
Lukka will perform an independent review of the price challenge to 
ensure the price is representative of the fair value of a particular 
cryptocurrency. If there is a change, the process will follow that 
described in the Recalculation Policy found on The Index Provider 
Digital Assets Indices Policies & Practices and Index Mathematics 
Methodology.
    In addition, The Index Provider currently provides the below 
additional quality assurance mechanisms with respect to crypto price 
validation. These checks are based on current market conditions, 
internal system processes and other assessments. The Index Provider 
reserves the right within its sole discretion to supplement, modify 
and/or remove individual checks and/or the parameters used within the 
checks, at any time without notice.
Crypto Price and Exchange Validation
     Check for any assets with no price received from Lukka;
     Check for any assets with a zero price received from 
Lukka;
     Check for any assets with a large change from the previous 
day. (Outliers +/- 40%);
     Check for any assets with a stale price, aggregating the 
number of days the price remains stale;
     Confirm the Lukka price matches the Lukka Prime primary 
exchange price;
     Confirm the Lukka price is consistent with other Lukka 
Prime exchange prices;
     Check the volume of the Lukka Prime exchanges and 
challenge the Lukka primary exchange if the exchange is not within the 
top percentile of the trading volume for that asset;
     Aggregation of Lukka Prime primary exchange changes.
Availability of Information
    In addition to the price transparency of the Index, the Trust will 
provide information regarding the Trust's bitcoin holdings as well as 
additional data regarding the Trust. The Trust will provide an Intraday 
Indicative Value (``IIV'') per Share updated every 15 seconds, as 
calculated by the Exchange or a third-party financial data provider 
during the Exchange's Regular Trading Hours (9:30 a.m. to 4:00 p.m. 
E.T.). The IIV will be calculated by using the prior day's closing NAV 
per Share as a base and updating that value during Regular Trading 
Hours to reflect changes in the value of the Trust's bitcoin holdings 
during the trading day.
    The IIV disseminated during Regular Trading Hours should not be 
viewed as an actual real-time update of the NAV, which will be 
calculated only once at the end of each trading day. The IIV will be 
widely disseminated on a per Share basis every 15 seconds during the 
Exchange's Regular Trading Hours by one or more major market data 
vendors. In addition, the IIV will be available through on-line 
information services.
    The website for the Trust, which will be publicly accessible at no 
charge, will contain the following information: (a) The current NAV per 
Share daily and the prior business day's NAV and the reported closing 
price; (b) the BZX Official Closing Price \76\ in relation to the NAV 
as of the time the NAV is calculated and a calculation of the premium 
or discount of such price against such NAV; (c) data in chart form 
displaying the frequency distribution of discounts and premiums of the 
Official Closing Price against the NAV, within appropriate ranges for 
each of the four previous calendar quarters (or for the life of the 
Trust, if shorter); (d) the prospectus; and (e) other applicable 
quantitative information. The Trust will also disseminate the Trust's 
holdings on a daily basis on the Trust's website. The price of bitcoin 
will be made available by one or more major market data vendors, 
updated at least every 15 seconds during Regular Trading Hours. 
Information about the Index, including key elements of how the Index is 
calculated, will be publicly available at https://www.spglobal.com/spdji/en/indices/digital-assets/sp-bitcoin-index//.
---------------------------------------------------------------------------

    \76\ As defined in Rule 11.23(a)(3), the term ``BZX Official 
Closing Price'' shall mean the price disseminated to the 
consolidated tape as the market center closing trade.
---------------------------------------------------------------------------

    The NAV for the Trust will be calculated by the Administrator once 
a day and will be disseminated daily to all market participants at the 
same time. Quotation and last-sale information

[[Page 33271]]

regarding the Shares will be disseminated through the facilities of the 
Consolidated Tape Association (``CTA'').
    Quotation and last sale information for bitcoin is widely 
disseminated through a variety of major market data vendors, including 
Bloomberg and Reuters, as well as the Index. Information relating to 
trading, including price and volume information, in bitcoin is 
available from major market data vendors and from the exchanges on 
which bitcoin are traded. Depth of book information is also available 
from bitcoin exchanges. The normal trading hours for bitcoin exchanges 
are 24 hours per day, 365 days per year.
Net Asset Value
    NAV means the total assets of the Trust including, but not limited 
to, all bitcoin and cash less total liabilities of the Trust, each 
determined on the basis of generally accepted accounting principles. 
The Administrator determines the NAV of the Trust on each day that the 
Exchange is open for regular trading, as promptly as practical after 
4:00 p.m. EST. The NAV of the Trust is the aggregate value of the 
Trust's assets less its estimated accrued but unpaid liabilities (which 
include accrued expenses). In determining the Trust's NAV, the 
Administrator values the bitcoin held by the Trust based on the price 
set by the Index as of 4:00 p.m. EST. The Administrator also determines 
the NAV per Share.
Creation and Redemption of Shares
    According to the Registration Statement, on any business day, an 
authorized participant may place an order to create one or more 
baskets. Purchase orders must be placed by 4:00 p.m. Eastern Time, or 
the close of regular trading on the Exchange, whichever is earlier. The 
day on which an order is received is considered the purchase order 
date. The total deposit of bitcoin required is an amount of bitcoin 
that is in the same proportion to the total assets of the Trust, net of 
accrued expenses and other liabilities, on the date the order to 
purchase is properly received, as the number of Shares to be created 
under the purchase order is in proportion to the total number of Shares 
outstanding on the date the order is received. Each night, the Sponsor 
will publish the amount of bitcoin that will be required in exchange 
for each creation order. The Administrator determines the required 
deposit for a given day by dividing the number of bitcoin held by the 
Trust as of the opening of business on that business day, adjusted for 
the amount of bitcoin constituting estimated accrued but unpaid fees 
and expenses of the Trust as of the opening of business on that 
business day, by the quotient of the number of Shares outstanding at 
the opening of business divided by 5,000. The procedures by which an 
authorized participant can redeem one or more Creation Baskets mirror 
the procedures for the creation of Creation Baskets.
Rule 14.11(e)(4)--Commodity-Based Trust Shares
    The Shares will be subject to BZX Rule 14.11(e)(4), which sets 
forth the initial and continued listing criteria applicable to 
Commodity-Based Trust Shares. The Exchange will obtain a representation 
that the Trust's NAV will be calculated daily and that these values and 
information about the assets of the Trust will be made available to all 
market participants at the same time. The Exchange notes that, as 
defined in Rule 14.11(e)(4)(C)(i), the Shares will be: (a) Issued by a 
trust that holds a specified commodity \77\ deposited with the trust; 
(b) issued by such trust in a specified aggregate minimum number in 
return for a deposit of a quantity of the underlying commodity; and (c) 
when aggregated in the same specified minimum number, may be redeemed 
at a holder's request by such trust which will deliver to the redeeming 
holder the quantity of the underlying commodity.
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    \77\ For purposes of Rule 14.11(e)(4), the term commodity takes 
on the definition of the term as provided in the Commodity Exchange 
Act. As noted above, the CFTC has opined that Bitcoin is a commodity 
as defined in Section 1a(9) of the Commodity Exchange Act. See 
Coinflip.
---------------------------------------------------------------------------

    Upon termination of the Trust, the Shares will be removed from 
listing. The Trustee, Delaware Trust Company, is a trust company having 
substantial capital and surplus and the experience and facilities for 
handling corporate trust business, as required under Rule 
14.11(e)(4)(E)(iv)(a) and that no change will be made to the trustee 
without prior notice to and approval of the Exchange. The Exchange also 
notes that, pursuant to Rule 14.11(e)(4)(F), neither the Exchange nor 
any agent of the Exchange shall have any liability for damages, claims, 
losses or expenses caused by any errors, omissions or delays in 
calculating or disseminating any underlying commodity value, the 
current value of the underlying commodity required to be deposited to 
the Trust in connection with issuance of Commodity-Based Trust Shares; 
resulting from any negligent act or omission by the Exchange, or any 
agent of the Exchange, or any act, condition or cause beyond the 
reasonable control of the Exchange, its agent, including, but not 
limited to, an act of God; fire; flood; extraordinary weather 
conditions; war; insurrection; riot; strike; accident; action of 
government; communications or power failure; equipment or software 
malfunction; or any error, omission or delay in the reports of 
transactions in an underlying commodity. Finally, as required in Rule 
14.11(e)(4)(G), the Exchange notes that any registered market maker 
(``Market Maker'') in the Shares must file with the Exchange in a 
manner prescribed by the Exchange and keep current a list identifying 
all accounts for trading in an underlying commodity, related commodity 
futures or options on commodity futures, or any other related commodity 
derivatives, which the registered Market Maker may have or over which 
it may exercise investment discretion. No registered Market Maker shall 
trade in an underlying commodity, related commodity futures or options 
on commodity futures, or any other related commodity derivatives, in an 
account in which a registered Market Maker, directly or indirectly, 
controls trading activities, or has a direct interest in the profits or 
losses thereof, which has not been reported to the Exchange as required 
by this Rule. In addition to the existing obligations under Exchange 
rules regarding the production of books and records (see, e.g., Rule 
4.2), the registered Market Maker in Commodity-Based Trust Shares shall 
make available to the Exchange such books, records or other information 
pertaining to transactions by such entity or registered or non-
registered employee affiliated with such entity for its or their own 
accounts for trading the underlying physical commodity, related 
commodity futures or options on commodity futures, or any other related 
commodity derivatives, as may be requested by the Exchange.
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. The Exchange will halt trading in the Shares 
under the conditions specified in BZX Rule 11.18. 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 bitcoin 
underlying the Shares; 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

[[Page 33272]]

14.11(e)(4)(E)(ii), which sets forth circumstances under which trading 
in the Shares may be halted.
Trading Rules
    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. BZX will allow 
trading in the Shares during all trading sessions on the Exchange. The 
Exchange has appropriate rules to facilitate transactions in the Shares 
during all trading sessions. As provided in BZX Rule 11.11(a), the 
minimum price variation for quoting and entry of orders in securities 
traded on the Exchange is $0.01 where the price is greater than $1.00 
per share or $0.0001 where the price is less than $1.00 per share.
Surveillance
    The Exchange believes that its surveillance procedures are adequate 
to properly monitor the trading of the Shares on the Exchange during 
all trading sessions and to deter and detect violations of Exchange 
rules and the applicable federal securities laws. Trading of the Shares 
through the Exchange will be subject to the Exchange's surveillance 
procedures for derivative products, including Commodity-Based Trust 
Shares. The issuer has represented to the Exchange that it will advise 
the Exchange of any failure by the Trust or the Shares to comply with 
the continued listing requirements, and, pursuant to its obligations 
under Section 19(g)(1) of the Exchange Act, the Exchange will surveil 
for compliance with the continued listing requirements. If the Trust or 
the Shares are not in compliance with the applicable listing 
requirements, the Exchange will commence delisting procedures under 
Exchange Rule 14.12. The Exchange may obtain information regarding 
trading in the Shares and Bitcoin Futures via ISG, from other exchanges 
who are members or affiliates of the ISG, or with which the Exchange 
has entered into a comprehensive surveillance sharing agreement.\78\
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    \78\ For a list of the current members and affiliate members of 
ISG, see www.isgportal.com.
---------------------------------------------------------------------------

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: (i) The procedures for the 
creation and redemption of Baskets (and that the Shares are not 
individually redeemable); (ii) BZX Rule 3.7, which imposes suitability 
obligations on Exchange members with respect to recommending 
transactions in the Shares to customers; (iii) how information 
regarding the IIV and the Trust's NAV are disseminated; (iv) the risks 
involved in trading the Shares outside of Regular Trading Hours \79\ 
when an updated IIV will not be calculated or publicly disseminated; 
(v) the requirement that members deliver a prospectus to investors 
purchasing newly issued Shares prior to or concurrently with the 
confirmation of a transaction; and (vi) trading information.
---------------------------------------------------------------------------

    \79\ Regular Trading Hours is the time between 9:30 a.m. and 
4:00 p.m. Eastern Time.
---------------------------------------------------------------------------

    In addition, the Information Circular will advise members, prior to 
the commencement of trading, of the prospectus delivery requirements 
applicable to the Shares. Members purchasing the Shares for resale to 
investors will deliver a prospectus to such investors. The Information 
Circular will also discuss any exemptive, no-action and interpretive 
relief granted by the Commission from any rules under the Act.
2. Statutory Basis
    The Exchange believes that the proposal is consistent with Section 
6(b) of the Act \80\ in general and Section 6(b)(5) of the Act \81\ in 
particular in that it is designed to prevent fraudulent and 
manipulative acts and practices, to promote just and equitable 
principles of trade, to foster cooperation and coordination with 
persons engaged in facilitating transactions in securities, to remove 
impediments to and perfect the mechanism of a free and open market and 
a national market system and, in general, to protect investors and the 
public interest.
---------------------------------------------------------------------------

    \80\ 15 U.S.C. 78f.
    \81\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Commission has approved numerous series of Trust Issued 
Receipts,\82\ including Commodity-Based Trust Shares,\83\ to be listed 
on U.S. national securities exchanges. In order for any proposed rule 
change from an exchange to be approved, the Commission must determine 
that, among other things, the proposal is consistent with the 
requirements of Section 6(b)(5) of the Act, specifically including: (i) 
The requirement that a national securities exchange's rules are 
designed to prevent fraudulent and manipulative acts and practices; 
\84\ and (ii) the requirement that an exchange proposal be designed, in 
general, to protect investors and the public interest. The Exchange 
believes that this proposal is consistent with the requirements of 
Section 6(b)(5) of the Act and that this filing sufficiently 
demonstrates that the CME Bitcoin Futures market represents a regulated 
market of significant size and that, on the whole, the manipulation 
concerns previously articulated by the Commission are sufficiently 
mitigated to the point that they are outweighed by quantifiable 
investor protection issues that would be resolved by approving this 
proposal.
---------------------------------------------------------------------------

    \82\ See Exchange Rule 14.11(f).
    \83\ Commodity-Based Trust Shares, as described in Exchange Rule 
14.11(e)(4), are a type of Trust Issued Receipt.
    \84\ As the Exchange has stated in a number of other public 
documents, it continues to believe that bitcoin is resistant to 
price manipulation and that ``other means to prevent fraudulent and 
manipulative acts and practices'' exist to justify dispensing with 
the requisite surveillance sharing agreement. The geographically 
diverse and continuous nature of bitcoin trading render it difficult 
and prohibitively costly to manipulate the price of bitcoin. The 
fragmentation across bitcoin platforms, the relatively slow speed of 
transactions, and the capital necessary to maintain a significant 
presence on each trading platform make manipulation of bitcoin 
prices through continuous trading activity challenging. To the 
extent that there are bitcoin exchanges engaged in or allowing wash 
trading or other activity intended to manipulate the price of 
bitcoin on other markets, such activity does not normally impact 
prices on other exchange because participants will generally ignore 
markets with quotes that they deem non-executable. The reason is 
that wash trading aims to manipulate the volume rather than the 
price of an asset to give the impression of heightened market 
activity in hopes of attracting investors to that asset. Moreover, 
wash trades are executed within an exchange rather than cross 
exchange since the entity executing the wash trades would aim to 
trade against itself, and as such, this can only happen within an 
exchange. Should the wash trades of that entity result in a 
deviation of the price on that exchange relative to others, 
arbitrageurs would then be able to capitalize on this mispricing, 
and bring the manipulated price back to equilibrium, resulting in a 
loss to the entity executing the wash trades. Moreover, the linkage 
between the bitcoin markets and the presence of arbitrageurs in 
those markets means that the manipulation of the price of bitcoin 
price on any single venue would require manipulation of the global 
bitcoin price in order to be effective. Arbitrageurs must have funds 
distributed across multiple trading platforms in order to take 
advantage of temporary price dislocations, thereby making it 
unlikely that there will be strong concentration of funds on any 
particular bitcoin exchange or OTC platform. As a result, the 
potential for manipulation on a trading platform would require 
overcoming the liquidity supply of such arbitrageurs who are 
effectively eliminating any cross-market pricing differences.
---------------------------------------------------------------------------

(i) Designed To Prevent Fraudulent and Manipulative Acts and Practices
    In order to meet this standard in a proposal to list and trade a 
series of Commodity-Based Trust Shares, the Commission requires that an 
exchange demonstrate that there is a comprehensive surveillance-sharing

[[Page 33273]]

agreement in place \85\ with a regulated market of significant size. 
Both the Exchange and CME are members of ISG.\86\ The only remaining 
issue to be addressed is whether the Bitcoin Futures market constitutes 
a market of significant size, which both the Exchange and the Sponsor 
believe that it does. The terms ``significant market'' and ``market of 
significant size'' include a market (or group of markets) as to which: 
(a) There is a reasonable likelihood that a person attempting to 
manipulate the ETP would also have to trade on that market to 
manipulate the ETP, so that a surveillance-sharing agreement would 
assist the listing exchange in detecting and deterring misconduct; and 
(b) it is unlikely that trading in the ETP would be the predominant 
influence on prices in that market.\87\
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    \85\ As previously articulated by the Commission, ``The standard 
requires such surveillance-sharing agreements since ``they provide a 
necessary deterrent to manipulation because they facilitate the 
availability of information needed to fully investigate a 
manipulation if it were to occur.'' The Commission has emphasized 
that it is essential for an exchange listing a derivative securities 
product to enter into a surveillance-sharing agreement with markets 
trading underlying securities for the listing exchange to have the 
ability to obtain information necessary to detect, investigate, and 
deter fraud and market manipulation, as well as violations of 
exchange rules and applicable federal securities laws and rules. The 
hallmarks of a surveillance-sharing agreement are that the agreement 
provides for the sharing of information about market trading 
activity, clearing activity, and customer identity; that the parties 
to the agreement have reasonable ability to obtain access to and 
produce requested information; and that no existing rules, laws, or 
practices would impede one party to the agreement from obtaining 
this information from, or producing it to, the other party.'' The 
Commission has historically held that joint membership in ISG 
constitutes such a surveillance sharing agreement. See Wilshire 
Phoenix Disapproval.
    \86\ For a list of the current members and affiliate members of 
ISG, see www.isgportal.com.
    \87\ See Wilshire Phoenix Disapproval.
---------------------------------------------------------------------------

    The Commission has also recognized that the ``regulated market of 
significant size'' standard is not the only means for satisfying 
Section 6(b)(5) of the act, specifically providing that a listing 
exchange could demonstrate that ``other means to prevent fraudulent and 
manipulative acts and practices'' are sufficient to justify dispensing 
with the requisite surveillance-sharing agreement.\88\
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    \88\ See Winklevoss Order at 37580. The Commission has also 
specifically noted that it ``is not applying a `cannot be 
manipulated' standard; instead, the Commission is examining whether 
the proposal meets the requirements of the Exchange Act and, 
pursuant to its Rules of Practice, places the burden on the listing 
exchange to demonstrate the validity of its contentions and to 
establish that the requirements of the Exchange Act have been met.'' 
Id. at 37582.
---------------------------------------------------------------------------

(a) Manipulation of the ETP
    According to the Sponsor's research presented above, the Bitcoin 
Futures market is the leading market for bitcoin price formation. Where 
Bitcoin Futures lead the price in the spot market such that a potential 
manipulator of the bitcoin spot market (beyond just the constituents of 
the Index \89\) would have to participate in the Bitcoin Futures 
market, it follows that a potential manipulator of the Shares would 
similarly have to transact in the Bitcoin Futures market because the 
Index is based on spot prices. Further, the Trust only allows for in-
kind creation and redemption, which, as further described below, 
reduces the potential for manipulation of the Shares through 
manipulation of the Index or any of its individual constituents, again 
emphasizing that a potential manipulator of the Shares would have to 
manipulate the entirety of the bitcoin spot market, which is led by the 
Bitcoin Futures market. As such, the Exchange believes that part (a) of 
the significant market test outlined above is satisfied and that common 
membership in ISG between the Exchange and CME would assist the listing 
exchange in detecting and deterring misconduct in the Shares.
---------------------------------------------------------------------------

    \89\ As further described below, the ``Index'' for the Fund is 
the S&P Bitcoin Index. The current exchange composition of the Index 
is Binance, Bitfinex, Bitflyer, Bittrex, Bitstamp, Coinbase Pro, 
Gemini, HitBTC, Huobi, Kraken, KuCoin, and Poloniex.
---------------------------------------------------------------------------

(b) Predominant Influence on Prices in Spot and Bitcoin Futures
    The Exchange and Sponsor also believe that trading in the Shares 
would not be the predominant force on prices in the Bitcoin Futures 
market or spot market for a number of reasons, including the 
significant volume in the Bitcoin Futures market, the size of bitcoin's 
market cap, and the significant liquidity available in the spot market. 
In addition to the Bitcoin Futures market data points cited above, the 
spot market for bitcoin is also very liquid. According to data from 
CoinRoutes from February 2021, the cost to buy or sell $5 million worth 
of bitcoin averages roughly 10 basis points with a market impact of 30 
basis points.\90\ For a $10 million market order, the cost to buy or 
sell is roughly 20 basis points with a market impact of 50 basis 
points. Stated another way, a market participant could enter a market 
buy or sell order for $10 million of bitcoin and only move the market 
0.5%. More strategic purchases or sales (such as using limit orders and 
executing through OTC bitcoin trade desks) would likely have less 
obvious impact on the market--which is consistent with MicroStrategy, 
Tesla, and Square being able to collectively purchase billions of 
dollars in bitcoin. As such, the combination of Bitcoin Futures leading 
price discovery, the overall size of the bitcoin market, and the 
ability for market participants, including authorized participants 
creating and redeeming in-kind with the Trust, to buy or sell large 
amounts of bitcoin without significant market impact will help prevent 
the Shares from becoming the predominant force on pricing in either the 
bitcoin spot or Bitcoin Futures markets, satisfying part (b) of the 
test outlined above.
---------------------------------------------------------------------------

    \90\ These statistics are based on samples of bitcoin liquidity 
in USD (excluding stablecoins or Euro liquidity) based on executable 
quotes on Coinbase Pro, Gemini, Bitstamp, Kraken, LMAX Exchange, 
BinanceUS, and OKCoin during February 2021.
---------------------------------------------------------------------------

(c) Other Means To Prevent Fraudulent and Manipulative Acts and 
Practices
    As noted above, the Commission also permits a listing exchange to 
demonstrate that ``other means to prevent fraudulent and manipulative 
acts and practices'' are sufficient to justify dispensing with the 
requisite surveillance-sharing agreement. The Exchange and Sponsor 
believe that such conditions are present. According to the Sponsor, a 
significant portion of the considerations around crypto pricing have 
historically stemmed from a lack of consistent pricing across markets. 
However, according to the Sponsor's research, cross-exchange spreads in 
Bitcoin have been declining consistently over the past several years. 
Based on the daily Bitcoin price series from several popular 
centralized exchanges \91\ the Sponsor has calculated the largest 
cross-exchange percentage spread (labelled as %C-Spread) by deducting 
the highest or maximum price (P) at time t from the lowest or minimum, 
and dividing by the lowest across all exchanges (i). Formally, this is 
expressed as:
---------------------------------------------------------------------------

    \91\ The exchanges include Binance, Bitfinex, Bithumb, Bitstamp, 
Cexio, Coinbase, Coinone, Gateio, Gemini, HuobiPro, itBit, Kraken, 
Kucoin, and OKEX.
---------------------------------------------------------------------------

BILLING CODE 8011-01-P

[[Page 33274]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.029

    The results show a clear and sharp decline in the %C-Spread, 
indicating that the Bitcoin market has become more efficient as cross-
exchange prices have converged over time.
[GRAPHIC] [TIFF OMITTED] TN01JN22.030

    In addition, the magnitude of outlier % C-spreads has also declined 
over time. This boxplot shows that, not only did the median value of 
the %C-Spread decline over time, but also the extreme outlier values. 
For instance, the maximum %C-Spread for 2017, 2018, 2019, 2020, and 
2021 are 29.14%, 14.45%, 8.54%, 6.04%, and 7.1%, respectively. The 
market has experienced a 38% year-on-year decline in the annual median 
%C-Spread indicating a greater degree of Bitcoin price convergence 
across exchanges and a more efficient market.

[[Page 33275]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.031

    The dispersion ([sigma]) of Bitcoin Prices has also declined over 
the same period. This chart shows the 7-day rolling standard deviation 
of the %C-Spread from January 1, 2017 to October 1, 2021. The Sponsor's 
research finds that the dispersion in Bitcoin prices across all 
exchanges has decreased over time, indicating that prices on all the 
considered exchanges converge towards the intrinsic average much more 
efficiently. This suggests that the market has become better at quickly 
reaching a consensus price for Bitcoin.
    As the pricing of the crypto market becomes increasingly efficient, 
pricing methodologies become more accurate and less susceptible to 
manipulation. The clustering of prices across a variety of sources 
within the primary market points towards robust price discovery 
mechanisms and efficient arbitrage.

[[Page 33276]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.032

    It is very important to note that the cross-exchange spreads, and 
therefore the process of price discovery in the Bitcoin market has 
improved significantly over time despite the market experiencing rather 
uniform albeit sinusoidal volatility. This can be shown in the graphs 
below where we can clearly observe a slightly decreasing yet consistent 
level of volatility in the Bitcoin market based on daily and hourly 
returns across the considered exchanges. Again, this further supports 
the argument that the Bitcoin market has exhibited significant 
improvements in terms of price discovery over time, irrespective and 
despite of the volatility of the asset itself, which can be attributed 
to efficient arbitrage operations.
[GRAPHIC] [TIFF OMITTED] TN01JN22.033


[[Page 33277]]


[GRAPHIC] [TIFF OMITTED] TN01JN22.034

    One factor that has contributed to the overall efficiency of, and 
improved price discovery within the Bitcoin market is the increase in 
the number of participants, and subsequently, the total dollar amount 
allocated to this market. This can be illustrated by the following 
chart, which shows the number of wallet addresses holding Bitcoin from 
January 2016 to June 2021.
[GRAPHIC] [TIFF OMITTED] TN01JN22.035

    The increase in the number of participants has manifested itself in 
higher liquidity in the market. This is exhibited in the following 
chart, which shows the daily aggregated dollar notional of the bid and 
ask order books within the first 100 price levels across several of the 
largest centralized crypto exchanges from October 2020 to April 2021. 
Specifically, the dollar notional that is allocated closest to the mid 
price has increased from around $230 million to $860 million over that 
period, representing a 270% increase in half a year.

[[Page 33278]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.036

    An increased notional order book suggests that there is a higher 
degree of consensus among investors regarding the price of Bitcoin. 
Moreover, this market characteristic hampers any attempt of price 
manipulation by any single large entity.
    As a robustness check, the Sponsor investigates whether the dollar 
notional in the order book changes significantly prior to, and post an 
extreme price event. Specifically, for events constituting large 
increases in the price of Bitcoin, if the ask (or sell) side of the 
order book experiences a significant shrinkage in the dollar notional 
right before the event, then this may be an indication of market 
manipulation whereby the ask-side of the order book becomes 
sufficiently thin for a large order to move the price upward. 
Similarly, for events constituting large decreases in the price of 
Bitcoin, if the bid (or buy) side of the order book experiences a 
significant shrinkage in the dollar notional prior to such events, then 
this may be an indication of market manipulation whereby the thinner 
bid-side of the order book may potentially lead to significant downward 
price movements.
    Using the top and bottom 0.1% of hourly price changes from October 
2020 to April 2021 as events of extreme upward and downward market 
movements, respectively, the Sponsor plotted the bid (left charts) and 
ask (right charts) dollar notional of the Bitcoin order book within a 
six-hour window around these events in the chart below, which shows the 
results for extreme upward price movements. The extreme price events 
(indicated by the dashed green lines) perfectly coincide with the 
decrease in dollar notional of the ask-side of the order book. This is 
indicative of an efficient market, whereby large market movements are 
quickly and dynamically absorbed by a thick orderbook. Moreover, the 
dollar notional on the ask side after the event is replenished back to 
its pre-event level, which implies that market participants' reactions 
are quick to restore the market back to its equilibrium level.

[[Page 33279]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.037

    The same results and conclusions are found for extreme downward 
price movements. The charts below show that such price events perfectly 
coincide with shrinkages on the bid side of the order book (left 
charts), indicating an efficient and dynamic Bitcoin market. Moreover, 
the bid-side of the order book after the event is also restored back to 
its pre-event level, which suggests that the market is symmetrically 
efficient in moving back to equilibrium.

[[Page 33280]]

[GRAPHIC] [TIFF OMITTED] TN01JN22.038

BILLING CODE 8011-01-C
    Finally, offering only in-kind creation and redemption will provide 
unique protections against potential attempts to manipulate the Shares. 
While the Sponsor believes that the Index which it uses to value the 
Trust's bitcoin is itself resistant to manipulation based on the 
methodology further described below, the fact that creations and 
redemptions are only available in-kind makes the manipulability of the 
Index significantly less important. Specifically, because the Trust 
will not accept cash to buy bitcoin in order to create new shares or, 
barring a forced redemption of the Trust or under other extraordinary 
circumstances, be forced to sell bitcoin to pay cash for redeemed 
shares, the price that the Sponsor uses to value the Trust's bitcoin is 
not particularly important.\92\ When authorized participants are 
creating with the Trust, they need to deliver a certain number of 
bitcoin per share (regardless of the valuation used) and when they're 
redeeming, they can similarly expect to receive a certain number of 
bitcoin per share. As such, even if the price used to value the Trust's 
bitcoin is manipulated (which the Sponsor believes that its methodology 
is resistant to), the ratio of bitcoin per Share does not change and 
the Trust will either accept (for creations) or distribute (for 
redemptions) the same number of bitcoin regardless of the value. This 
not only mitigates the risk associated with potential manipulation, but 
also discourages and disincentivizes manipulation of the Index because 
there is little financial incentive to do so.
---------------------------------------------------------------------------

    \92\ While the Index will not be particularly important for the 
creation and redemption process, it will be used for calculating 
fees.
---------------------------------------------------------------------------

(ii) Designed To Protect Investors and the Public Interest
    The Exchange believes that the proposal is designed to protect 
investors and the public interest. Over the past several years, U.S. 
investor exposure to bitcoin through OTC Bitcoin Funds has grown into 
the tens of billions of dollars and more than a billion dollars of 
exposure through Bitcoin Futures ETFs. With that growth, so too has 
grown the quantifiable investor protection issues to U.S. investors 
through roll costs for Bitcoin Futures ETFs and premium/discount 
volatility and management fees for OTC Bitcoin Funds. The Exchange 
believes that the concerns related to the prevention of fraudulent and 
manipulative acts and practices have been sufficiently addressed to be 
consistent with the Act and, to the extent that the Commission 
disagrees with that assertion, also believes that such concerns are now 
outweighed by these investor protection concerns. As such, the Exchange 
believes that approving this proposal (and comparable proposals) 
provides the Commission with the opportunity to allow U.S. investors 
with access to bitcoin in a regulated and transparent exchange-traded 
vehicle that would act to limit risk to U.S. investors by: (i) Reducing 
premium and discount volatility; (ii) reducing management fees through 
meaningful competition; (iii) reducing risks and costs associated with 
investing in Bitcoin Futures ETFs and operating companies that are 
imperfect proxies for bitcoin exposure; and (iv) providing an 
alternative to custodying spot bitcoin.
Commodity-Based Trust Shares
    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 on the Exchange pursuant to the initial and 
continued listing criteria in Exchange Rule 14.11(e)(4). The Exchange 
believes that its surveillance procedures are adequate to properly 
monitor the trading of the Shares on the Exchange during all trading 
sessions and to deter and detect violations of Exchange rules and the 
applicable federal securities laws. Trading of the Shares through the 
Exchange will be subject to the Exchange's surveillance

[[Page 33281]]

procedures for derivative products, including Commodity-Based Trust 
Shares. The issuer has represented to the Exchange that it will advise 
the Exchange of any failure by the Trust or the Shares to comply with 
the continued listing requirements, and, pursuant to its obligations 
under Section 19(g)(1) of the Exchange Act, the Exchange will surveil 
for compliance with the continued listing requirements. If the Trust or 
the Shares are not in compliance with the applicable listing 
requirements, the Exchange will commence delisting procedures under 
Exchange Rule 14.12. The Exchange may obtain information regarding 
trading in the Shares and listed bitcoin derivatives via the ISG, from 
other exchanges who are members or affiliates of the ISG, or with which 
the Exchange has entered into a comprehensive surveillance sharing 
agreement.
Availability of Information
    The Exchange also believes that the proposal promotes market 
transparency in that a large amount of information is currently 
available about bitcoin and will be available regarding the Trust and 
the Shares. In addition to the price transparency of the Index, the 
Trust will provide information regarding the Trust's bitcoin holdings 
as well as additional data regarding the Trust. The Trust will provide 
an IIV per Share updated every 15 seconds, as calculated by the 
Exchange or a third-party financial data provider during the Exchange's 
Regular Trading Hours (9:30 a.m. to 4:00 p.m. E.T.). The IIV will be 
calculated by using the prior day's closing NAV per Share as a base and 
updating that value during Regular Trading Hours to reflect changes in 
the value of the Trust's bitcoin holdings during the trading day.
    The IIV disseminated during Regular Trading Hours should not be 
viewed as an actual real-time update of the NAV, which will be 
calculated only once at the end of each trading day. The IIV will be 
widely disseminated on a per Share basis every 15 seconds during the 
Exchange's Regular Trading Hours by one or more major market data 
vendors. In addition, the IIV will be available through on-line 
information services.
    The website for the Trust, which will be publicly accessible at no 
charge, will contain the following information: (a) The current NAV per 
Share daily and the prior business day's NAV and the reported closing 
price; (b) the BZX Official Closing Price in relation to the NAV as of 
the time the NAV is calculated and a calculation of the premium or 
discount of such price against such NAV; (c) data in chart form 
displaying the frequency distribution of discounts and premiums of the 
Official Closing Price against the NAV, within appropriate ranges for 
each of the four previous calendar quarters (or for the life of the 
Trust, if shorter); (d) the prospectus; and (e) other applicable 
quantitative information. The Trust will also disseminate the Trust's 
holdings on a daily basis on the Trust's website. The price of bitcoin 
will be made available by one or more major market data vendors, 
updated at least every 15 seconds during Regular Trading Hours. 
Information about the Index, including key elements of how the Index is 
calculated, will be publicly available at https://www.spglobal.com/spdji/en/indices/digital-assets/sp-bitcoin-index/.
    The NAV for the Trust will be calculated by the Administrator once 
a day and will be disseminated daily to all market participants at the 
same time. Quotation and last-sale information regarding the Shares 
will be disseminated through the facilities of the CTA.
    Quotation and last sale information for bitcoin is widely 
disseminated through a variety of major market data vendors, including 
Bloomberg and Reuters, as well as the Index. Information relating to 
trading, including price and volume information, in bitcoin is 
available from major market data vendors and from the exchanges on 
which bitcoin are traded. Depth of book information is also available 
from bitcoin exchanges. The normal trading hours for bitcoin exchanges 
are 24 hours per day, 365 days per year
    For the above reasons, the Exchange believes that the proposed rule 
change is consistent with the requirements of Section 6(b)(5) of the 
Act.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purpose of the Act. The Exchange notes that the 
proposed rule change, rather will facilitate the listing and trading of 
an additional exchange-traded product that will enhance competition 
among both market participants and listing venues, to the benefit of 
investors and the marketplace.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    The Exchange has neither solicited nor received written comments on 
the proposed rule change.

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

    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 Exchange 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-CboeBZX-2022-031 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-CboeBZX-2022-031. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for

[[Page 33282]]

inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change. Persons submitting 
comments are cautioned that we do not redact or edit personal 
identifying information from comment submissions. You should submit 
only information that you wish to make available publicly. All 
submissions should refer to File Number SR-CboeBZX-2022-031 and should 
be submitted on or before June 22, 2022
---------------------------------------------------------------------------

    \93\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\93\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-11676 Filed 5-31-22; 8:45 am]
BILLING CODE 8011-01-P