Correspondence 0001683863-23-007648 from PGIM Rock ETF Trust (CIK 0001992104)
PGIM Rock ETF Trust (CIK 0001992104)
Date: Nov. 14, 2023 · CIK: 0001992104 · Accession: 0001683863-23-007648
AI Filing Summary & Sentiment
File numbers found in text: 333-274664, 811-23901
Letter
VIA EDGAR SUBMISSION Securities and Exchange Commission Attn: Mr. Tim Worthington Re: PGIM Rock ETF Trust - Responses to Comments on Initial Registration Statement Filing on Form N-1A Securities Act Registration No. 333-274664 Investment Company Act No. 811-23901
Dear Mr. Worthington:
We filed through EDGAR on September 22, 2023, on behalf of the funds listed in Schedule A hereto (each, a "Fund"; collectively, the "Funds"), each a new series of PGIM Rock ETF Trust (the "Trust" or the "Registrant"), the Trust's initial Registration Statement on Form N-1A under the Securities Act of 1933, as amended (the "1933 Act"), and under the Investment Company Act of 1940, as amended (the "1940 Act") (the "Registration Statement").
This letter is intended to respond to the comments on the Registration Statement that the staff of the Division of Investment Management (the "Staff") of the Securities and Exchange Commission (the "Commission" or "SEC") conveyed by letter to Debra Rubano on October 23, 2023. For your convenience, a summary of the Staff's comments is included herein, and each Fund's responses are keyed accordingly, as set forth below. Capitalized terms not otherwise defined herein have the meanings given them in the Registration Statement. Page numbers referenced herein are to those set forth in the Registration Statement.
Any changes made in response to the Staff's comments, along with any other non-material changes, will be reflected in the next amendment to the Trust's Registration Statement.
General
1.Comment: We note that portions of the Registration Statement are incomplete. Please ensure that the fee table, hypothetical expense examples, references to the auditor, auditor's consent, and seed
financial statements are provided in an amendment as a full financial review must be performed prior to declaring the Registration Statement effective. We may have additional comments on such portions when you complete them in a pre-effective amendment, on disclosures made in response to this letter, on information supplied supplementally, or on exhibits added in any amendment.
Response: The Registrant has further updated its disclosure, including seed financial statements. We acknowledge the Staff may have additional comments.
2.Comment: Please apply staff comments made with regard to the PGIM US-Large Cap Buffer 12 ETF to all ETFs (as applicable).
Response: The Registrant has applied all applicable comments with regard to the PGIM US- Large Cap Buffer 12 ETF to all ETFs (as applicable).
3.Comment: Please include cover page disclosure that details the unique risks associated with defined outcome funds that can result from an investor not holding a Fund investment for the entire Target Outcome Period. In this regard, please include bulleted risk disclosure regarding:
•The outcomes (e.g., Cap, Buffer, Underlying ETF, and Target Outcome Period).
•That the specified outcomes may not be achieved, and investors may lose some or all of their money.
•That each of the Funds only provides the specified outcome if an investor buys on the first day of the Target Outcome Period and holds the Fund until the end of the Target Outcome Period.
•If investors buy or sell on a date other than the start or end date of the Target Outcome Period, their returns will be different and they may incur losses that are greater than the buffer. Please explain how an investor may obtain the current return profile for the Fund through the end of the Target Outcome Period.
•That the Cap will likely change each year on the reset date.
Response: The Registrant has updated its disclosure accordingly.
4.Comment: Please supplementally confirm there are no material differences between the ETFs other than the Target Outcome Periods and the buffer and cap levels.
Response: The Registrant confirms that there are no material differences between the ETFs other than the Target Outcome Periods and the buffer and cap levels.
5.Comment: Please consider including graphical representations demonstrating various hypothetical target outcomes for investors who hold Shares for the entirety of the Target Outcome Period.
Response: The Registrant has updated its disclosure accordingly.
- 2 -
6.Comment: Throughout the Registration Statement, in various locations, the Fund describes its buffered strategy. Please revise such discussions to clarify that the strategy provides only limited downside protection.
Response: The Registrant has updated its disclosure accordingly.
7.Comment: Please supplementally confirm the Fund's broad-based index.
Response: Each ETF intends to compare its performance to the S&P 500 Price Return Index as its primary broad-based securities index.
Prospectus for PGIM US-Large Cap Buffer 12 ETF – Principal Investment Strategies, Pages 7-9
8.Comment: Within the first paragraph, the Fund discloses that "The term 'investable assets' refers to the Fund's net assets plus any borrowings for investment purposes. The Fund's investable assets will be less than its total assets to the extent that it has borrowed money for non-investment purposes, such as to meet anticipated redemptions." As this is a technical explanation, please move the discussion to the statutory prospectus.
Response: The Registrant has deleted the referenced disclosure.
9.Comment: Within the second paragraph, the Fund discloses that, "The Underlying ETF is an exchange-traded unit investment trust that invests in as many of the stocks in the S&P500® Index as is practicable [emphasis added]"" Please explain in your response the scope of the limitation and whether there are any current issuers within the S&P500 index which the Underlying ETF could not practicably invest in.
Response: The referenced disclosure describes the strategy of the Underlying ETF. This disclosure appears in the prospectus of the Underlying ETF, with which the Registrant is not affiliated. The Registrant cannot make any representations regarding the scope of the limitations of the Underlying ETF's investment program.
10.Comment: Within the second paragraph, the Fund discloses that PDR will serve as the Fund's Underlying ETF's sponsor. If PDR is an affiliate of the Fund, please add disclosure to this effect as well as appropriate conflicts of interest disclosures.
Response: The Registrant has added disclosure stating that PDR Services, LLC is not an affiliate of the Fund(s).
11.Comment: Within the fourth paragraph, the Fund writes that "The Fund seeks to produce a range of potential returns ("target outcome") based upon the performance of the Underlying ETF." Please include the word "targeted" in between the phrase "to produce a." and the word "range." As written, the sentence could be interpreted that the fund is seeking to produce a multitude of outcomes.
- 3 -
Response: The Registrant has updated its disclosure accordingly.
12.Comment: Within the fourth paragraph, the Fund writes that "The Fund seeks to produce a range of potential returns (a 'target outcome') based upon the performance [emphasis added] of the Underlying ETF." Please clarify if this performance is based on the underlying ETF's NAV or it's market price.
Response: The disclosure has been revised to clarify that the Fund seeks returns based upon the Underlying ETF's market price.
13.Comment: Throughout the Registration Statement, but especially within the fourth paragraph, the Fund makes various references to the performance of the underlying ETF. In some instances, the Fund refers to the "price performance" of the underlying ETF, while in other instances it refers to the "price return." For the purposes of clarity, please use consistent terminology throughout the document to refer to the performance of the underlying ETF.
Response: The Registrant has updated its disclosure accordingly.
14.Comment: Within the fifth paragraph, the Fund discloses that "The returns sought by the Fund " are based on the price performance of the Underlying ETF over an approximate [emphasis added] one-year period." Please supplementally explain the use of the qualifier "approximate," when describing the one-year Target Outcome Periods.
Response: While the fund seeks to achieve the target outcome over a one-year Target Outcome Period, holidays, market closures or market events may lead to some differences to the exact rebalance date to the extent these days fall on the beginning or end date of a Target Outcome Period. Such delays or differences in the exact rebalance date will be noted on a Fund's website and in a supplement to a Fund's prospectus, to the extent applicable.
15.Comment: The Fund begins the fifth paragraph by disclosing that "To achieve the target outcomes sought by the Fund for a Target Outcome Period, an investor must hold Fund shares for that entire Target Outcome Period." Please also disclose in the same paragraph that:
•Since the FLEX Options are exercisable only on the final day of the Target Outcome Period, a shareholder that sells Shares prior to the end of the Target Outcome Period may also experience investment outcomes very different from those sought by the Fund.
•To achieve the outcomes sought by the Fund for the Target Outcome Period, an investor must be holding shares at the time that the Fund enters into the FLEX Options and on the day those FLEX Options expire.
Response: The Registrant has updated its disclosure accordingly.
16.Comment: Within the seventh paragraph, the Fund discusses anticipated caps for Subsequent Target Outcome Periods. Please supplementally confirm that the Fund will notify investors of the cap for any Subsequent Target Outcome Period, both on a gross and net of fees basis.
- 4 -
Response: The Registrant confirms that the Fund(s) will notify investors of the cap for any Subsequent Target Outcome Period, both on a gross and net of fees basis.
Buffer and Cap, Pages 9-10
17.Comment: Throughout the section, the Fund refers to a 12% buffer. For each reference to a percent buffer, please also clarify that it is before fees and expenses.
Response: The Registrant has updated its disclosure accordingly.
18.Comment: Within the second paragraph, the Fund discloses that the "investor's potential gain will be larger than the Fund's cap for the Target Outcome Period because the investor may experience the full gain if the Fund recovers the value it has lost from the first day of the Target Outcome Period through the date the investor purchased its Fund shares plus any additional gains between the Initial Fund Value and the cap." Please qualify the statement to clarify that there is no guarantee such gains will in fact be realized by the Fund. Please also revise the statement that potential gains "will" be larger to "could be larger."
Response: The Registrant has updated its disclosure accordingly.
19.Comment: Within the second paragraph, the Fund discusses various returns of the fund based on outcomes of the underlying ETF. Please consider including numerical examples.
Response: The Registrant has updated its disclosure to include hypothetical examples of returns the Fund would experience based on example returns of the Underlying ETF and the indicated cap.
20.Comment: Within the second paragraph, the Fund discloses that "While the Fund seeks to limit losses to the extent of the buffer for shareholders who hold Fund shares for an entire Target Outcome Period, there is no guarantee it will successfully do so." Please disclose this sentence in bold font.
Response: The Registrant has updated its disclosure accordingly.
21.Comment: Within the third paragraph, the Fund discloses that "In the event the Underlying ETF experiences gains over a Target Outcome Period, the Fund seeks to provide investment returns that match the percentage increase of the Underlying ETF before fees and expenses, but any percentage gains over the amount of the cap will not be experienced by the Fund." For purposes of clarity, please consider rephrasing this statement and the two subsequent statements to clearly and succinctly disclose that "if the Underlying ETF's share price experiences returns for the Target Outcome Period in excess of the Cap, Fund shareholders will not participate in such excess returns." Furthermore, please use bold font for this disclosure.
Response: The Registrant has updated its disclosure accordingly.
- 5 -
22.Comment: Within the third paragraph, the Fund discloses that "The defined cap applicable to a Target Outcome Period will vary based on prevailing market conditions at the time that the cap asset, including interest rate levels, Underlying ETF volatility, and the relationship of puts and calls on the underlying [emphasis added] FLEX Options." Please delete the word "underlying" as the Flex Options are direct investments by the Fund.
Response: The Registrant has updated its disclosure accordingly.
23.Comment: Within the fourth paragraph, the Fund discloses that "In periods of extreme market volatility, the Fund's return may be subject to an upside limit significantly below the cap and downside protection significantly lower than the buffer." Either within this section, or where applicable in the risk disclosure section, please explain how extreme market volatility will result in an upside limit below the cap and downside protection that is lower than the buffer and/or clarify the statement as needed. We may have additional comments.
Response: The Registrant has revised the disclosure to clarify that in periods of extreme market volatility, the inability to trade or exercise the FLEX Options may result in the Fund's buffer and cap not functioning as intended.
24.Comment: Within the fifth paragraph, the Fund discusses the ETF's website. Please confirm that the Fund will disclose the following information:
•The Target Outcome Period start date, end date, as well as the cap and buffer.
•A presentation of the Fund's performance during the current Target Outcome Period compared to the Buffer and Cap.
•Information for investors purchasing shares of the Fund after the Target Outcome Period that discloses the expected outcome from the purchase date until the end of the Target Outcome Period.
Response: Registrant confirms that the website will disclose such information.
25.Comment: Within the fifth paragraph, the Fund discloses "In periods of extreme market volatility, the Fund's return may be subject to an upside limit significantly below the cap and downside protection significantly lower than the buffer." Please clarify the meaning of this sentence. Does this mean that during periods of extreme volatility the buffer and cap may be lower than disclosed elsewhere in the Registration Statement? The staff may have additional comments depending on the response.
Response: The Registrant has revised the disclosure to clarify that in periods of extreme market volatility, the inability to trade or exercise the FLEX Options may result in the Fund's buffer and cap not functioning as intended.
Flex Options, Page 11
26.Comment: Please move this section to be place before the "Buffer and Cap" section, which presently begins on page 9.
-6 -
Response: The Registrant has updated its disclosure accordingly.
27.Comment: The last paragraph discloses that "the Fund enters into derivatives transactions, including FLEX Options, pursuant to Rule 18f-4 under the 1940 Act. Rule 18f-4 requires the Fund to implement certain policies and procedures designed to manage its derivatives risks, dependent upon the Fund's level of exposure to derivative instruments." Given the technical nature of the disclosure, please move this disclosure to the statutory prospectus.
Response: The Registrant respectfully declines to make this change given that there would not be an appropriate place to put this information i
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CORRESP
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filename1.htm
SEC Comment Response Letter
PGIM Rock ETF Trust
655 Broad Street
Newark, New Jersey 07102
November 14, 2023
VIA EDGAR SUBMISSION
Securities and Exchange Commission
100 F Street, NE
Washington, D.C. 20549
Attn: Mr. Tim Worthington
Re: PGIM Rock ETF Trust - Responses to Comments on Initial Registration Statement Filing on Form N-1A
Securities Act Registration No. 333-274664
Investment Company Act No. 811-23901
Dear Mr. Worthington:
We filed through EDGAR on September 22, 2023, on behalf of the funds listed in Schedule A hereto (each, a "Fund"; collectively, the "Funds"), each a new series of PGIM Rock ETF Trust (the "Trust" or the "Registrant"), the Trust's initial Registration Statement on Form N-1A under the Securities Act of 1933, as amended (the "1933 Act"), and under the Investment Company Act of 1940, as amended (the "1940 Act") (the "Registration Statement").
This letter is intended to respond to the comments on the Registration Statement that the staff of the Division of Investment Management (the "Staff") of the Securities and Exchange Commission (the "Commission" or "SEC") conveyed by letter to Debra Rubano on October 23, 2023. For your convenience, a summary of the Staff's comments is included herein, and each Fund's responses are keyed accordingly, as set forth below. Capitalized terms not otherwise defined herein have the meanings given them in the Registration Statement. Page numbers referenced herein are to those set forth in the Registration Statement.
Any changes made in response to the Staff's comments, along with any other non-material changes, will be reflected in the next amendment to the Trust's Registration Statement.
General
1.Comment: We note that portions of the Registration Statement are incomplete. Please ensure that the fee table, hypothetical expense examples, references to the auditor, auditor's consent, and seed
financial statements are provided in an amendment as a full financial review must be performed prior to declaring the Registration Statement effective. We may have additional comments on such portions when you complete them in a pre-effective amendment, on disclosures made in response to this letter, on information supplied supplementally, or on exhibits added in any amendment.
Response: The Registrant has further updated its disclosure, including seed financial statements. We acknowledge the Staff may have additional comments.
2.Comment: Please apply staff comments made with regard to the PGIM US-Large Cap Buffer 12 ETF to all ETFs (as applicable).
Response: The Registrant has applied all applicable comments with regard to the PGIM US- Large Cap Buffer 12 ETF to all ETFs (as applicable).
3.Comment: Please include cover page disclosure that details the unique risks associated with defined outcome funds that can result from an investor not holding a Fund investment for the entire Target Outcome Period. In this regard, please include bulleted risk disclosure regarding:
•The outcomes (e.g., Cap, Buffer, Underlying ETF, and Target Outcome Period).
•That the specified outcomes may not be achieved, and investors may lose some or all of their money.
•That each of the Funds only provides the specified outcome if an investor buys on the first day of the Target Outcome Period and holds the Fund until the end of the Target Outcome Period.
•If investors buy or sell on a date other than the start or end date of the Target Outcome Period, their returns will be different and they may incur losses that are greater than the buffer. Please explain how an investor may obtain the current return profile for the Fund through the end of the Target Outcome Period.
•That the Cap will likely change each year on the reset date.
Response: The Registrant has updated its disclosure accordingly.
4.Comment: Please supplementally confirm there are no material differences between the ETFs other than the Target Outcome Periods and the buffer and cap levels.
Response: The Registrant confirms that there are no material differences between the ETFs other than the Target Outcome Periods and the buffer and cap levels.
5.Comment: Please consider including graphical representations demonstrating various hypothetical target outcomes for investors who hold Shares for the entirety of the Target Outcome Period.
Response: The Registrant has updated its disclosure accordingly.
- 2 -
6.Comment: Throughout the Registration Statement, in various locations, the Fund describes its buffered strategy. Please revise such discussions to clarify that the strategy provides only limited downside protection.
Response: The Registrant has updated its disclosure accordingly.
7.Comment: Please supplementally confirm the Fund's broad-based index.
Response: Each ETF intends to compare its performance to the S&P 500 Price Return Index as its primary broad-based securities index.
Prospectus for PGIM US-Large Cap Buffer 12 ETF – Principal Investment Strategies, Pages 7-9
8.Comment: Within the first paragraph, the Fund discloses that "The term 'investable assets' refers to the Fund's net assets plus any borrowings for investment purposes. The Fund's investable assets will be less than its total assets to the extent that it has borrowed money for non-investment purposes, such as to meet anticipated redemptions." As this is a technical explanation, please move the discussion to the statutory prospectus.
Response: The Registrant has deleted the referenced disclosure.
9.Comment: Within the second paragraph, the Fund discloses that, "The Underlying ETF is an exchange-traded unit investment trust that invests in as many of the stocks in the S&P500® Index as is practicable [emphasis added]"" Please explain in your response the scope of the limitation and whether there are any current issuers within the S&P500 index which the Underlying ETF could not practicably invest in.
Response: The referenced disclosure describes the strategy of the Underlying ETF. This disclosure appears in the prospectus of the Underlying ETF, with which the Registrant is not affiliated. The Registrant cannot make any representations regarding the scope of the limitations of the Underlying ETF's investment program.
10.Comment: Within the second paragraph, the Fund discloses that PDR will serve as the Fund's Underlying ETF's sponsor. If PDR is an affiliate of the Fund, please add disclosure to this effect as well as appropriate conflicts of interest disclosures.
Response: The Registrant has added disclosure stating that PDR Services, LLC is not an affiliate of the Fund(s).
11.Comment: Within the fourth paragraph, the Fund writes that "The Fund seeks to produce a range of potential returns ("target outcome") based upon the performance of the Underlying ETF." Please include the word "targeted" in between the phrase "to produce a." and the word "range." As written, the sentence could be interpreted that the fund is seeking to produce a multitude of outcomes.
- 3 -
Response: The Registrant has updated its disclosure accordingly.
12.Comment: Within the fourth paragraph, the Fund writes that "The Fund seeks to produce a range of potential returns (a 'target outcome') based upon the performance [emphasis added] of the Underlying ETF." Please clarify if this performance is based on the underlying ETF's NAV or it's market price.
Response: The disclosure has been revised to clarify that the Fund seeks returns based upon the Underlying ETF's market price.
13.Comment: Throughout the Registration Statement, but especially within the fourth paragraph, the Fund makes various references to the performance of the underlying ETF. In some instances, the Fund refers to the "price performance" of the underlying ETF, while in other instances it refers to the "price return." For the purposes of clarity, please use consistent terminology throughout the document to refer to the performance of the underlying ETF.
Response: The Registrant has updated its disclosure accordingly.
14.Comment: Within the fifth paragraph, the Fund discloses that "The returns sought by the Fund " are based on the price performance of the Underlying ETF over an approximate [emphasis added] one-year period." Please supplementally explain the use of the qualifier "approximate," when describing the one-year Target Outcome Periods.
Response: While the fund seeks to achieve the target outcome over a one-year Target Outcome Period, holidays, market closures or market events may lead to some differences to the exact rebalance date to the extent these days fall on the beginning or end date of a Target Outcome Period. Such delays or differences in the exact rebalance date will be noted on a Fund's website and in a supplement to a Fund's prospectus, to the extent applicable.
15.Comment: The Fund begins the fifth paragraph by disclosing that "To achieve the target outcomes sought by the Fund for a Target Outcome Period, an investor must hold Fund shares for that entire Target Outcome Period." Please also disclose in the same paragraph that:
•Since the FLEX Options are exercisable only on the final day of the Target Outcome Period, a shareholder that sells Shares prior to the end of the Target Outcome Period may also experience investment outcomes very different from those sought by the Fund.
•To achieve the outcomes sought by the Fund for the Target Outcome Period, an investor must be holding shares at the time that the Fund enters into the FLEX Options and on the day those FLEX Options expire.
Response: The Registrant has updated its disclosure accordingly.
16.Comment: Within the seventh paragraph, the Fund discusses anticipated caps for Subsequent Target Outcome Periods. Please supplementally confirm that the Fund will notify investors of the cap for any Subsequent Target Outcome Period, both on a gross and net of fees basis.
- 4 -
Response: The Registrant confirms that the Fund(s) will notify investors of the cap for any Subsequent Target Outcome Period, both on a gross and net of fees basis.
Buffer and Cap, Pages 9-10
17.Comment: Throughout the section, the Fund refers to a 12% buffer. For each reference to a percent buffer, please also clarify that it is before fees and expenses.
Response: The Registrant has updated its disclosure accordingly.
18.Comment: Within the second paragraph, the Fund discloses that the "investor's potential gain will be larger than the Fund's cap for the Target Outcome Period because the investor may experience the full gain if the Fund recovers the value it has lost from the first day of the Target Outcome Period through the date the investor purchased its Fund shares plus any additional gains between the Initial Fund Value and the cap." Please qualify the statement to clarify that there is no guarantee such gains will in fact be realized by the Fund. Please also revise the statement that potential gains "will" be larger to "could be larger."
Response: The Registrant has updated its disclosure accordingly.
19.Comment: Within the second paragraph, the Fund discusses various returns of the fund based on outcomes of the underlying ETF. Please consider including numerical examples.
Response: The Registrant has updated its disclosure to include hypothetical examples of returns the Fund would experience based on example returns of the Underlying ETF and the indicated cap.
20.Comment: Within the second paragraph, the Fund discloses that "While the Fund seeks to limit losses to the extent of the buffer for shareholders who hold Fund shares for an entire Target Outcome Period, there is no guarantee it will successfully do so." Please disclose this sentence in bold font.
Response: The Registrant has updated its disclosure accordingly.
21.Comment: Within the third paragraph, the Fund discloses that "In the event the Underlying ETF experiences gains over a Target Outcome Period, the Fund seeks to provide investment returns that match the percentage increase of the Underlying ETF before fees and expenses, but any percentage gains over the amount of the cap will not be experienced by the Fund." For purposes of clarity, please consider rephrasing this statement and the two subsequent statements to clearly and succinctly disclose that "if the Underlying ETF's share price experiences returns for the Target Outcome Period in excess of the Cap, Fund shareholders will not participate in such excess returns." Furthermore, please use bold font for this disclosure.
Response: The Registrant has updated its disclosure accordingly.
- 5 -
22.Comment: Within the third paragraph, the Fund discloses that "The defined cap applicable to a Target Outcome Period will vary based on prevailing market conditions at the time that the cap asset, including interest rate levels, Underlying ETF volatility, and the relationship of puts and calls on the underlying [emphasis added] FLEX Options." Please delete the word "underlying" as the Flex Options are direct investments by the Fund.
Response: The Registrant has updated its disclosure accordingly.
23.Comment: Within the fourth paragraph, the Fund discloses that "In periods of extreme market volatility, the Fund's return may be subject to an upside limit significantly below the cap and downside protection significantly lower than the buffer." Either within this section, or where applicable in the risk disclosure section, please explain how extreme market volatility will result in an upside limit below the cap and downside protection that is lower than the buffer and/or clarify the statement as needed. We may have additional comments.
Response: The Registrant has revised the disclosure to clarify that in periods of extreme market volatility, the inability to trade or exercise the FLEX Options may result in the Fund's buffer and cap not functioning as intended.
24.Comment: Within the fifth paragraph, the Fund discusses the ETF's website. Please confirm that the Fund will disclose the following information:
•The Target Outcome Period start date, end date, as well as the cap and buffer.
•A presentation of the Fund's performance during the current Target Outcome Period compared to the Buffer and Cap.
•Information for investors purchasing shares of the Fund after the Target Outcome Period that discloses the expected outcome from the purchase date until the end of the Target Outcome Period.
Response: Registrant confirms that the website will disclose such information.
25.Comment: Within the fifth paragraph, the Fund discloses "In periods of extreme market volatility, the Fund's return may be subject to an upside limit significantly below the cap and downside protection significantly lower than the buffer." Please clarify the meaning of this sentence. Does this mean that during periods of extreme volatility the buffer and cap may be lower than disclosed elsewhere in the Registration Statement? The staff may have additional comments depending on the response.
Response: The Registrant has revised the disclosure to clarify that in periods of extreme market volatility, the inability to trade or exercise the FLEX Options may result in the Fund's buffer and cap not functioning as intended.
Flex Options, Page 11
26.Comment: Please move this section to be place before the "Buffer and Cap" section, which presently begins on page 9.
-6 -
Response: The Registrant has updated its disclosure accordingly.
27.Comment: The last paragraph discloses that "the Fund enters into derivatives transactions, including FLEX Options, pursuant to Rule 18f-4 under the 1940 Act. Rule 18f-4 requires the Fund to implement certain policies and procedures designed to manage its derivatives risks, dependent upon the Fund's level of exposure to derivative instruments." Given the technical nature of the disclosure, please move this disclosure to the statutory prospectus.
Response: The Registrant respectfully declines to make this change given that there would not be an appropriate place to put this information i