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Federal Register / Vol. 86, No. 161 / Tuesday, August 24, 2021 / Notices
lotter on DSK11XQN23PROD with NOTICES1

securities in the Fund Portfolio at the time the Intra-Day NAV is struck, which may differ from the values of the securities in the Fund Portfolio at the time the End-of-Day NAV is struck. As noted in the Initial Filing, Shares of each of the Funds are offered by the Trust, which is registered with the Commission as an open-end investment company and has filed a registration statement on behalf of the Funds on Form N1A with the Commission.13
The Registration Statement provides that the Funds may calculate the NAV
per Share more than once daily e.g., at 12 p.m. ET and 4:00 p.m. ET, however, the Initial Filing did not seek to allow the Funds to calculate more than one NAV per day. Now, the Exchange is seeking approval to explicitly allow the Funds to strike and publish an intra-day NAV per Share daily in addition to the end-of-day NAV.14
As noted above, the Intra-Day NAV
for the Funds will be struck based on the Portfolio Holdings at a predetermined time between 11:00 a.m.
and 2:00 p.m. Eastern Time on each day the Exchange is open. The Intra-Day NAV will be calculated based on the valuation of Fund holdings as of the NAV strike time, with the calculation of such NAV typically occurring within two hours of the time the NAV strike time e.g., 12:00 p.m. Eastern Time, and will be disseminated to market participants shortly after calculation.
Further, the Intra-Day NAV will be disseminated to all market participants at the same time in the same manner as the End-of-Day NAV is currently disseminated.15
13 The Trust is registered under the 1940 Act. On September 25, 2020, the Trust filed post-effective amendments to its registration statement on Form N1A relating to each Fund File No. 81122148
the Registration Statement. The descriptions of the Funds and the Shares contained herein are based, in part, on information included in the Registration Statement. The Commission has issued an order granting certain exemptive relief to the Trust the Exemptive Relief under the 1940 Act.
See Investment Company Act of 1940 Release No.
34127 December 2, 2020.
14 The Exchanges proposal is similar to functionality offered for other ETPs. For example, the prospectus for the Invesco Treasury Collateral ETF provides that the Fund is calculated at 12 p.m.
and 4 p.m. ET every day the New York Stock Exchange NYSE is open and the Goldman Sachs Access Treasury 01 Year ETF has similar practices.
See http hosted.rightprospectus.com/Invesco/
Fund.aspx?cu=46138G888&dt=P&ss=ETF and https www.gsam.com/bin/gsam/servlets/Literature ViewerServlet?pdflink=%2Fcontent%2
Fdam%2Fgsam%2Fpdfs%2
Fus%2Fen%2Fprospectus-and-regulatory%2
Fprospectus%2Fetf-combined-accessprospectus.pdf&RequestURI=/content/gsam/us/en/
advisors/fund-center/etf-fund-finder&sa=n.
15 Currently, the end-of-day NAV is disseminated publicly via the Issuers website at www.invesco.com/ETFs.

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a second official NAV being available to market participants, will reduce the risk that market participants face intra-day related to the possible divergence between the Tracking Basket and the value of the Fund Portfolio, which should enable them to reduce spreads on Shares. Authorized participants will be able to lock in their creation and redemption transactions during the trading day at an Intra-Day NAV, and at the end of the trading day at the Endof-Day NAV.19 As proposed, the Funds will continue to meet all listings standards provided in Rule 14.11m.
The only change to the Funds that the Exchange is proposing is to allow the Funds to strike an Intra-Day NAV. All other material representations contained within the Initial Filing remain true and will continue to constitute continued listing requirements for the Funds.

Currently, all orders to purchase or redeem creation units must be received by the transfer agent and/or distributor no later than the order cut-off time designated in the participant agreement 16 on the relevant Business Day in order for the creation or redemption of creation units to be effected based on the NAV of Shares as determined on such date. With certain exceptions, the order cut-off time for the Funds, as set forth in the participant agreement, usually is the closing time of the regular trading sessioni.e., ordinarily 4:00 p.m. Eastern time.17 In the case of custom orders,18 the order cut-off time is 3:00 p.m. Eastern time.
Additionally, on days when the Exchange closes earlier than normal, the Trust may require the creation orders to be placed earlier in the day.
As proposed, with certain exceptions the order cut-off time for the Intra-Day NAV will be the time at which the IntraDay NAV is struck e.g.,12:00 p.m.
Eastern time. In the case of custom orders, the transfer agent must receive the creation or redemption order no later than one hour prior to the time at which the Intra-Day NAV is struck e.g., 11:00 a.m. Eastern time. The Funds will issue and redeem Shares in creation units at the NAV per Share next determined after an order in proper form is received which may be the Intra-Day NAV or the End-of-Day NAV
depending on when the order is received. Specifically, if an order to purchase or redeem Shares of either of the Funds was received by the transfer agent prior to the time at which the Intra-Day NAV is struck or, in the case of custom orders, one hour prior to the time at which the Intra-Day NAV is struck, the Fund would issue or redeem Shares in creation units at the Intra-Day NAV. Conversely, if an order to purchase or redeem Shares of either of the Funds was received by the transfer agent after the Intra-Day NAV is struck but before 4:00 Eastern timeor, in the case of custom orders, by 3:00 p.m.
Eastern time, the Fund would issue or redeem Shares in creation units at the End-of-Day NAV.
The Exchange believes that providing authorized participants with the ability to create and redeem during the trading day, coupled with the price certainty of
The Exchange believes that the proposal is consistent with Section 6b of the Act 20 in general and Section 6b5 of the Act 21 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 in that the Shares of each Fund will meet each of the continued listing criteria in BZX Rule 14.11m, as provided in the Initial Filing.
The proposal to allow the Funds to strike and publish an Intra-Day NAV
will afford authorized participants with additional flexibility in the timing of creation and redemption activity and provide the marketplace with additional, official information related to each Funds underlying holdings on an intra-day basis The Exchange believes that this additional feature will allow market participants to better assess and manage their intra-day risk in making a market in the Funds shares, and provide additional certainty around intra-day price and hedging for the Funds shares. Further, the Exchange believes that the likely resulting tighter
16 The participant agreement refers to the executed written agreement between an authorized participant and the Fund, or one of its service providers, that allows the authorized participant to place creation and redemption orders.
17 See also Exchange Rule 14.11m3B.
18 A custom order refers to creation or redemption orders using Shares that consist of securities that differ from the composition of the Tracking Basket.

19 The Exchange believes that the beneficial effect of having the ability to lock in the Intra-Day NAV
will exist even if authorized participants do not regularly make use of the first creation/redemption window. By having the flexibility to place orders with less remaining time until the official NAV is struck, authorized participants will be able to hedge risk with a shorter time horizon contemplated.
20 15 U.S.C. 78fb.
21 15 U.S.C. 78fb5.

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