Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting Approval of a Proposed Rule Change To List and Trade Shares of the ProShares Managed Futures Strategy Fund, ProShares Commodity Managed Futures Strategy Fund, and ProShares Financial Managed Futures Strategy Fund Under NYSE Arca Equities Rule 8.200, 7219-7225 [2012-3152]
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Federal Register / Vol. 77, No. 28 / Friday, February 10, 2012 / Notices
19(b)(3)(A) of the Act 8 and Rule 19b–
4(f)(6) thereunder.9
FINRA has requested that the
Commission waive the 30-day operative
delay. The Commission believes that
waiver of the operative delay is
consistent with the protection of
investors and the public interest
because the proposal is designed to
provide greater clarity to FINRA
members and the public regarding
FINRA’s rules. In addition, waiver of the
delay will allow the proposal to be
implemented on a date on which
previously approved rule changes will
also be implemented. Therefore, the
Commission designates the proposal
operative upon filing.10
At any time within 60 days of the
filing of the proposed rule change, the
Commission summarily may
temporarily suspend such rule change if
it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act.
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:
srobinson on DSK4SPTVN1PROD with NOTICES
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rulecomments@sec.gov. Please include File
Number SR–FINRA–2012–007 on the
subject line.
Paper Comments
• Send paper comments in triplicate
to Elizabeth M. Murphy, Secretary,
Securities and Exchange Commission,
100 F Street NE, Washington, DC
20549–1090.
All submissions should refer to File
Number SR–FINRA–2012–007. This file
number should be included on the
subject line if email is used.
To help the Commission process and
review your comments more efficiently,
please use only one method. The
Commission will post all comments on
the Commission’s Internet Web site
(https://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent
8 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6).
10 For purposes only of waiving the 30-day
operative delay, the Commission has considered the
proposed rule’s impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
9 17
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21:29 Feb 09, 2012
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amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE,
Washington, DC 20549, on official
business days between the hours of 10
a.m. and 3 p.m. Copies of such filing
also will be available for inspection and
copying at the principal office of
FINRA. All comments received will be
posted without change; the Commission
does not edit personal identifying
information from submissions. You
should submit only information that
you wish to make available publicly. All
submissions should refer to File
Number SR–FINRA–2012–007 and
should be submitted on or before March
2, 2012.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.11
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2012–3126 Filed 2–9–12; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–66334; File No. SR–
NYSEArca–2011–94]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Order Granting Approval of
a Proposed Rule Change To List and
Trade Shares of the ProShares
Managed Futures Strategy Fund,
ProShares Commodity Managed
Futures Strategy Fund, and ProShares
Financial Managed Futures Strategy
Fund Under NYSE Arca Equities Rule
8.200
February 6, 2012.
I. Introduction
On December 5, 2011, NYSE Arca,
Inc. (‘‘Exchange’’ or ‘‘NYSE Arca’’) filed
with the Securities and Exchange
Commission (‘‘Commission’’), pursuant
to Section 19(b)(1) of the Securities
Exchange Act of 1934 (‘‘Act’’) 1 and Rule
19b–4 thereunder,2 a proposed rule
change to list and trade shares of the
ProShares Managed Futures Strategy
11 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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7219
Fund, ProShares Commodity Managed
Futures Strategy Fund, and ProShares
Financial Managed Futures Strategy
Fund (each a ‘‘Fund,’’ and collectively,
‘‘Funds’’) under NYSE Arca Equities
Rule 8.200. The proposed rule change
was published for comment in the
Federal Register on December 23,
2011.3 The Commission received no
comments on the proposal. This order
grants approval of the proposed rule
change.
II. Description of the Proposed Rule
Change
The Exchange proposes to list and
trade shares (‘‘Shares’’) of each of the
Funds pursuant to NYSE Arca Equities
Rule 8.200, Commentary .02, which
permits the trading of Trust Issued
Receipts either by listing or pursuant to
unlisted trading privileges.4 Each Fund
is a series of the ProShares Trust II
(‘‘Trust’’), a Delaware statutory trust.5
ProShare Capital Management LLC is
the Trust’s Sponsor (‘‘Sponsor’’), and
Wilmington Trust Company is the
Trust’s trustee. Brown Brothers
Harriman & Co. serves as the
administrator, custodian, and transfer
agent of the Funds (‘‘Administrator’’).
SEI Investments Distribution Co. serves
as distributor of the Shares.
The Funds and Principal Investment
Strategies
The Funds seek to provide investment
results (before fees and expenses) that
correspond to the performance of the
S&P Dynamic Futures Index (‘‘DFI’’ or
‘‘Index’’) or to a sub-index of the Index
(‘‘Sub-Index’’). The ProShares Managed
Futures Strategy seeks to provide
investment results (before fees and
expenses) that correspond to the
performance of the DFI. The ProShares
Commodity Managed Futures Strategy
seeks to provide investment results
(before fees and expenses) that
correspond to the performance of the
S&P Dynamic Commodities Futures
Index (‘‘DCFI’’), a Sub-Index of the DFI.
The ProShares Financial Managed
Futures Strategy seeks to provide
investment results (before fees and
3 See Securities Exchange Act Release No. 66002
(December 19, 2011), 76 FR 80433 (‘‘Notice’’).
4 Commentary .02 to NYSE Arca Equities Rule
8.200 applies to Trust Issued Receipts that invest
in ‘‘Financial Instruments.’’ The term ‘‘Financial
Instruments,’’ as defined in Commentary .02(b)(4) to
NYSE Arca Equities Rule 8.200, means any
combination of investments, including cash;
securities; options on securities and indices; futures
contracts; options on futures contracts; forward
contracts; equity caps, collars and floors; and swap
agreements.
5 See the Trust’s Registration Statement on Form
S–1, dated November 29, 2011 (File No. 333–
178212) relating to the Funds (‘‘Registration
Statement’’).
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Federal Register / Vol. 77, No. 28 / Friday, February 10, 2012 / Notices
expenses) that correspond to the
performance of the S&P Dynamic
Financial Futures Index (‘‘DFFI’’),
another Sub-Index of the DFI.
The Index and each Sub-Index were
developed by Standard & Poor’s and are
long/short rules-based investable
indexes designed to attempt to capture
the economic benefit derived from both
rising and declining trends in futures
prices.6 The Index is composed of
unleveraged positions in U.S. exchangetraded futures contracts on sixteen
different tangible commodities
(‘‘Commodities Futures Contracts’’), as
well as U.S. exchange-traded futures
contracts on eight different financials,
such as major currencies and U.S.
Treasury securities (‘‘Financials Futures
Contracts,’’ and together with the
Commodities Futures Contracts,
collectively, ‘‘Index Components’’).7
Commodities Futures Contracts and
Financials Futures Contracts each
comprise a Sub-Index of the Index: the
DCFI and the DFFI, respectively
(collectively, ‘‘Sub-Indexes’’).
In order to achieve the investment
objective of the Funds, the Sponsor will
invest in: (1) Exchange-traded futures
contracts of the type comprising the
Index or Sub-Indexes, as applicable
(‘‘Futures Contracts’’); and/or (2) under
limited circumstances (as further
described herein), swap agreements
whose value is derived from the level of
the Index, a Sub-Index, one or more
Futures Contracts, or, in the case of
currency-based Financials Futures
Contracts, the exchange rates underlying
such Financials Futures Contracts. Each
Fund may also invest in cash or cash
equivalents, such as U.S. Treasury
securities or other high credit quality,
short-term fixed-income or similar
securities (including shares of money
market funds, bank deposits, bank
money market accounts, certain variable
rate-demand notes, and repurchase
agreements collateralized by
government securities) that may serve as
collateral for the Futures Contracts or
swap agreements. The Sponsor does not
expect the Funds to invest directly in
any commodity or currency.
Each Fund seeks to achieve its
investment objective by investing, under
normal market conditions, in exchangetraded Futures Contracts. In the event
position accountability rules or position
limits with respect to a Futures Contract
is reached with respect to a Fund, the
Sponsor may, in its commercially
reasonable judgment, cause such Fund
to obtain exposure through swaps
whose value is derived from the level of
the Index, a Sub-Index, one or more
Futures Contracts, or, in the case of
currency-based Financials Futures
Contracts, the exchange rates underlying
such Financials Futures Contracts, or
invest in swaps if such instruments tend
to exhibit trading prices or returns that
correlate with the Index, the SubIndexes, or any Futures Contract and
will further the investment objective of
the Funds.8 The Funds may also invest
in swaps if the market for a specific
Futures Contract experiences
emergencies (e.g., natural disaster,
terrorist attack, or an act of God) or
disruptions (e.g., a trading halt or a flash
crash) that would prevent the Funds
from obtaining the appropriate amount
of investment exposure to the affected
Futures Contracts directly.9
The Index and Sub-Indexes
The Index is composed of the Index
Components, representing unleveraged
long or short positions in U.S. exchange-
traded futures contracts in the
commodity and financial markets.10 The
Index Components are formed into
‘‘sectors’’ of one or more contracts with
similar characteristics. Index
Components within each sector are
chosen based on fundamental
characteristics and liquidity. The
Commodities Futures Contracts
comprise the DCFI as described below,
and weightings of the Commodities
Futures Contracts are based on generally
known world production levels, as
adjusted to limit the impact of the
energy sector. The Financials Futures
Contracts comprise the DFFI, as
described below, and weightings of the
Financials Futures Contracts are based
on, but not directly proportional to,
gross domestic product.
The positions the Index (and
accordingly, each Sub-Index) takes in
the Index Components are not longonly, but are set by sector, long, short
or, in the case of Energy, flat based on
the relation of the current aggregate
price input of the Index Components in
a particular sector with a seven-month
weighted moving average of the
aggregate price inputs of the same Index
Components. For the Index and the
DCFI, the sector weights will vary based
on whether Energy is positioned long or
flat. If Energy is flat, its weight is
redistributed pro-rata among the other
sectors. Since the DFFI has no
commodity exposure, the weights of the
sectors and the Index Components that
comprise it are not impacted by the long
or flat positioning of the Energy sector.
For the Index, if Energy is positioned
‘‘long,’’ the initial Index weights,
together with information about the
exchange and trading hours for each
Futures Contract, are as follows:
Index weights with energy ‘‘long’’
Sub-Index
50
Weight
(%)
Sector
Energy .......................
Trading hours 11
6 p.m.–5:15 p.m. next
day.
6 p.m.–5:15 p.m. next
day.
6 p.m.–5:15 p.m. next
day.
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21:29 Feb 09, 2012
Jkt 226001
Light Crude ...............
10.20
NYMEX (CME) ..........
1.54
NYMEX (CME) ..........
RBOB Gasoline ........
6 Standard & Poor’s is not a broker-dealer, is not
affiliated with a broker-dealer, and has
implemented procedures designed to prevent the
use and dissemination of material, non-public
information regarding the Index and Sub-Indexes.
7 The Index Components are traded on the
Chicago Mercantile Exchange, Inc. (‘‘CME’’),
COMEX (a division of CME), Chicago Board of
Trade (‘‘CBOT,’’ a division of CME), NYMEX (a
division of CME), and ICE Futures US (‘‘ICE’’)
(collectively, ‘‘Futures Exchanges’’).
14.12
Exchange
Weight
(%)
Component
Heating Oil ................
srobinson on DSK4SPTVN1PROD with NOTICES
DCFI .............
Weight
(%)
1.40
NYMEX (CME) ..........
8 To the extent practicable, the Funds will invest
in swaps cleared through the facilities of a
centralized clearing house.
9 The Sponsor will attempt to mitigate the Funds’
credit risk by transacting only with large, wellcapitalized institutions using measures designed to
determine the creditworthiness of a counterparty
and will take various steps to limit counterparty
credit risk.
10 As set forth in the Index weighting scheme
example below, the commodities portion of the
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Fmt 4703
Sfmt 4703
Index consists of multiple commodity sectors (e.g.,
Energy, Industrial Metals) and each sector is
assigned a percentage sector weight. Each sector, in
turn, consists of one or more components, each
with an assigned component weight. Similarly, the
financial markets portion of the Index consists of
multiple foreign currency and U.S. Treasury sectors
(e.g., Australian Dollar and U.S. Treasury Notes),
each with an assigned sector weight. Each such
sector has one component, with an assigned
component weight.
E:\FR\FM\10FEN1.SGM
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Federal Register / Vol. 77, No. 28 / Friday, February 10, 2012 / Notices
Index weights with energy ‘‘long’’
Sub-Index
Weight
(%)
Weight
(%)
Sector
Exchange
Weight
(%)
Component
Trading hours 11
6 p.m.–5:15 p.m. next
day.
6 p.m.–5:15 p.m. next
day.
6 p.m.–5:15 p.m. next
day.
6 p.m.–5:15 p,m, next
day
** 12
** 13
7pm–8:15 a.m.; 10:30
a.m.–2:15 p.m.
7 p.m.–8:15 a.m.;
10:30 a.m.–2:15
p.m.
7 p.m.–8:15 a.m.;
10:30 a.m.–2:15
p.m.
3:30 a.m.–2 p.m.
4 a.m.–2 p.m.
3:30 a.m.–2 p.m.
9 p.m.–2:30 p.m. next
day.
6 p.m.–5:15 p.m. next
day.
6 p.m.–5:15 p.m. next
day.
6 p.m.–5:15 p.m. next
day.
6 p.m.–5:15 p.m. next
day.
6 p.m.–5:15 p.m. next
day.
6 p.m.–5:15 p.m. next
day.
6:30 p.m.–5 p.m.
Next day.
6:30 p.m.–5 p.m.
Next day.
Natural Gas ...............
0.98
NYMEX (CME) ..........
Industrial Metals ........
5.02
Copper ......................
5.02
COMEX (CME) .........
Precious Metals ........
3.79
Gold ..........................
3.22
COMEX (CME) .........
Silver .........................
0.57
COMEX (CME) .........
Lean Hogs ................
Live Cattle .................
Corn ..........................
2.04
3.23
5.75
CME ..........................
CME ..........................
CBOT (CME) ............
Soybeans ..................
3.37
CBOT (CME) ............
Wheat ........................
4.73
CBOT (CME) ............
ICE
ICE
ICE
ICE
Livestock ...................
5.27
Grains .......................
13.85
Softs ..........................
Australian Dollar .......
1.67
Australian Dollar .......
..............
CME ..........................
3.08
British Pound ............
..............
CME ..........................
2.10
Canadian Dollar ........
..............
CME ..........................
15.67
Euro ..........................
..............
CME ..........................
Japanese Yen ...........
7.31
Japanese Yen ...........
..............
CME ..........................
Swiss Franc ..............
0.70
Swiss Franc ..............
..............
CME ..........................
U.S. Treasury
Notes 14.
U.S. Treasury
Bonds 15.
100
1.26
0.42
3.58
2.69
Euro ..........................
Totals ....
.......................
........................
........................
.......................
Canadian Dollar ........
50
Coffee
Cocoa
Sugar
Cotton
British Pound ............
DFFI .............
7.95
............................
............................
............................
............................
9.74
U.S. Treasury Notes
..............
CBOT (CME) ............
9.74
U.S. Treasury Bonds
..............
CBOT (CME) ............
...................................
100
...................................
100
...................................
For the DCFI, if Energy is positioned
‘‘flat,’’ the initial Index weights will be
as follows:
Index weights with energy ‘‘flat’’
Sub-Index
41.78
Sector
Weight (%)
21:29 Feb 09, 2012
Jkt 226001
5.84
4.41
6.13
Grains ...................................
VerDate Mar<15>2010
0.00
Livestock ...............................
11 All times are Eastern time (‘‘E.T.’’), inclusive of
electronic and open outcry trading sessions, as
applicable.
12 Lean Hogs trade from 10:05 a.m. Monday to
2:55 p.m. Friday, with daily trading halts from 5
p.m. to 6 p.m.
Energy ..................................
Industrial Metals ...................
Precious Metals ....................
srobinson on DSK4SPTVN1PROD with NOTICES
DCFI ......................................
Weight (%)
16.13
13 Live Cattle trade from 10:05 a.m. Monday to
2:55 p.m. Friday, with daily trading halts from 5
p.m. to 6 p.m.
14 ‘‘U.S. Treasury Notes’’ refer to 10 year U.S.
Treasury Note futures.
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Component
Light Crude ...........................
Heating Oil ............................
RBOB Gasoline ....................
Natural Gas ..........................
Copper ..................................
Gold ......................................
Silver .....................................
Lean Hogs ............................
Live Cattle .............................
Corn ......................................
Weight (%)
0.00
0.00
0.00
0.00
5.84
3.75
0.66
2.38
3.76
6.70
15 ‘‘U.S. Treasury Bonds’’ refer to those futures
with underlying bonds of a remaining term to call
or maturity of 15–25 years.
E:\FR\FM\10FEN1.SGM
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7222
Federal Register / Vol. 77, No. 28 / Friday, February 10, 2012 / Notices
Index weights with energy ‘‘flat’’
Sub-Index
Weight (%)
Sector
Weight (%)
Component
DFFI .......................................
58.22
Australian Dollar ...................
British Pound ........................
Canadian Dollar ....................
Euro ......................................
Japanese Yen .......................
Swiss Franc ..........................
U.S. Treasury Notes .............
U.S. Treasury Bonds ............
1.94
3.59
2.44
18.24
8.51
0.81
11.34
11.34
Soybeans ..............................
Wheat ...................................
Coffee ...................................
Cocoa ...................................
Sugar ....................................
Cotton ...................................
Australian Dollar ...................
British Pound ........................
Canadian Dollar ....................
Euro ......................................
Japanese Yen .......................
Swiss Franc ..........................
U.S. Treasury Notes .............
U.S. Treasury Bonds ............
Totals ..............................
100
...............................................
100
Weight (%)
...............................................
Softs ......................................
9.26
3.92
5.51
1.47
0.48
4.17
3.13
1.94
3.59
2.44
18.24
8.51
0.81
11.34
11.34
100
For the DCFI, if Energy is positioned
‘‘long,’’ the initial Sub-Index weightings
would be as follows:
DCFI weights with energy ‘‘long’’
Weight
(%)
Sector
Component
Energy ..........................................................................
28.24
Industrial Metals ...........................................................
Precious Metals ............................................................
10.04
7.58
Livestock .......................................................................
10.54
Grains ...........................................................................
27.70
Softs ..............................................................................
15.90
Total .......................................................................
100
Weight
(%)
Light Crude ...................................................................
Heating Oil ....................................................................
RBOB Gasoline ............................................................
Natural Gas ..................................................................
Copper ..........................................................................
Gold ..............................................................................
Silver .............................................................................
Lean Hogs ....................................................................
Live Cattle .....................................................................
Corn ..............................................................................
Soybeans ......................................................................
Wheat ...........................................................................
Coffee ...........................................................................
Cocoa ...........................................................................
Sugar ............................................................................
Cotton ...........................................................................
20.40
3.08
2.80
1.96
10.04
6.44
1.14
4.08
6.46
11.50
6.74
9.46
2.52
0.84
7.16
5.38
.......................................................................................
100
For the DCFI, if Energy is initially
positioned ‘‘flat,’’ the weights would be
as follows:
DCFI weights with energy ‘‘flat’’
Weight
(%)
Sector
srobinson on DSK4SPTVN1PROD with NOTICES
Energy ..........................................................................
0.00
Industrial Metals ...........................................................
Precious Metals ............................................................
13.98
10.56
Livestock .......................................................................
14.69
Grains ...........................................................................
38.61
Softs ..............................................................................
22.16
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Frm 00108
Fmt 4703
Component
Light Crude ...................................................................
Heating Oil ....................................................................
RBOB Gasoline ............................................................
Natural Gas ..................................................................
Copper ..........................................................................
Gold ..............................................................................
Silver .............................................................................
Lean Hogs ....................................................................
Live Cattle .....................................................................
Corn ..............................................................................
Soybeans ......................................................................
Wheat ...........................................................................
Coffee ...........................................................................
Cocoa ...........................................................................
Sfmt 4703
E:\FR\FM\10FEN1.SGM
10FEN1
Weight
(%)
0.00
0.00
0.00
0.00
13.98
8.99
1.58
5.69
8.99
16.04
9.39
13.18
3.53
1.16
Federal Register / Vol. 77, No. 28 / Friday, February 10, 2012 / Notices
7223
DCFI weights with energy ‘‘flat’’
Weight
(%)
Sector
Component
Weight
(%)
Sugar ............................................................................
Cotton ...........................................................................
Total .......................................................................
100
9.98
7.50
.......................................................................................
100
Finally, for the DFFI, the initial
weights would be as follows:
DFFI weights
Weight
(%)
Sector
Component
Weight
(%)
Australian Dollar ...........................................................
British Pound ................................................................
Canadian Dollar ............................................................
Euro ..............................................................................
Japanese Yen ...............................................................
Swiss Franc ..................................................................
U.S. Treasury Notes .....................................................
U.S. Treasury Bonds ....................................................
3.34
6.16
4.20
31.34
14.62
1.40
19.48
19.48
Australian Dollar ...........................................................
British Pound ................................................................
Canadian Dollar ............................................................
Euro ..............................................................................
Japanese Yen ...............................................................
Swiss Franc ..................................................................
U.S. Treasury Notes .....................................................
U.S. Treasury Bonds ....................................................
3.34
6.16
4.20
31.34
14.62
1.40
19.48
19.48
Total .......................................................................
100
.......................................................................................
100
Sectors will be rebalanced monthly to
the applicable weights, and the
weighting of each individual Index
Component within a particular sector
will be rebalanced annually.
Energy’s Short Exemption
srobinson on DSK4SPTVN1PROD with NOTICES
If Energy receives a negative price
signal (as determined by the weighted
moving average, as discussed below), it
is positioned flat (zero-weight) rather
than short. This is due to the ‘‘risk of
ruin’’ inherent in the Energy sector
because of the concentration of supply
in a relatively small number of
production locales. If supply from these
locales were to be disrupted (whether by
war, terrorism, or other events), the
price of the Energy sector within the
Index and the DCFI is exposed to large
scale price increases regardless of the
current trend and position setting. This
would expose the Index and the DCFI to
significant, if not total, losses in such a
circumstance. As such, the Energy
sector is positioned flat in a negative
price environment and the weight it
would otherwise receive is redistributed
pro rata among the other sectors of the
Index and the DCFI, as applicable.
Determining the Long/Short Positioning
of the Sectors
The rule for the Index and each SubIndex regarding long or short positions
is summarized as follows:
• Long positions are tracked when a
sector’s current aggregate 1-month price
change is greater than or equal to the
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21:29 Feb 09, 2012
Jkt 226001
exponential average of the past seven
monthly price inputs; and
• Short positions (or flat, in the case
of Energy) are tracked when a sector’s
current 1-month price change is less
than the exponential average of the past
seven monthly price inputs.
Monthly positions are determined on
the second to last DFI business day of
the month (defined as the position
determination date, or ‘‘PDD’’) when the
monthly percentage change of an Index
Component’s price is compared to past
monthly price changes, exponentially
weighted to give greatest weight to the
most recent return and least weight to
the return seven months prior. The
weighted sum of the percentage changes
of all the Index Component prices
equals the daily movement of the Index.
To create an exponential average for
comparison, price inputs (percentage
change from current and previous PDDs)
are weighted per the schedule below.
Due to this weighting methodology,
current price movements are more
important than those of the more distant
past.
Number of months
7
6
5
4
3
2
1
Weight
......................................................
......................................................
......................................................
......................................................
......................................................
......................................................
......................................................
2.32
3.71
5.94
9.51
15.22
24.34
38.95
SUM .........................................
100.00
PO 00000
Frm 00109
Fmt 4703
Sfmt 4703
Because this valuation is done on a
sector basis, all the Index Components
within a particular sector will be set
long, short (or flat, in the case of Energy)
upon each monthly rebalancing.
Sector Rebalancing
While sector weights are fixed and
rebalanced back to their base weight
monthly, Index Components that are
part of a multi-component sector
(energy, livestock, grains, and precious
metals) are only reset back to their base
weight within their sector during the
first five business days of February. For
example (assuming Energy is long), the
Japanese Yen (a single component
sector) and Grains (a multi-component
sector) will rebalance to 6.85% and
11.16% of the Index respectively on the
roll date, as described below. However,
the individual components within the
grains sector will only rebalance to their
base weight at the beginning of the year.
During the year, they ‘‘float’’ within the
11.16% Index Grains weighting. During
this monthly rebalancing, the Index will
also ‘‘roll’’ certain of its positions from
the current contract to a contract further
from settlement.16
16 The Index is composed of Index Components,
which are futures contracts. In order to maintain
consistent exposure to the Index Components, each
Index Component contract must be sold prior to its
expiration date and replaced by a contract maturing
at a specified date in the future. This process is
known as rolling. Index Component contracts are
rolled periodically. The rolls are implemented
pursuant to a roll schedule over a five-day period
from the first through the fifth Index business days
E:\FR\FM\10FEN1.SGM
Continued
10FEN1
7224
Federal Register / Vol. 77, No. 28 / Friday, February 10, 2012 / Notices
Additional details regarding the Trust,
Funds, Shares, trading policies and
investment strategies of the Funds,
creations and redemption procedures,
fees, investment risks, Index and SubIndexes, net asset value (‘‘NAV’’)
calculation, the dissemination and
availability of information about the
underlying assets, trading halts,
applicable trading rules, surveillance,
and the Information Bulletin, among
other things, can be found in the Notice
and/or the Registration Statement, as
applicable.17
srobinson on DSK4SPTVN1PROD with NOTICES
III. Discussion and Commission’s
Findings
After careful review, the Commission
finds that the proposed rule change to
list and trade the Shares of the Funds is
consistent with the requirements of
Section 6 of the Act and the rules and
regulations thereunder applicable to a
national securities exchange.18 In
particular, the Commission finds that
the proposed rule change is consistent
with the requirements of Section 6(b)(5)
of the Act,19 which requires, among
other things, that the Exchange’s rules
be 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. The Commission notes
that the Funds and the Shares must
comply with the requirements of NYSE
Arca Equities Rule 8.200 and
Commentary .02 thereto to be listed and
traded on the Exchange.
The Commission finds that the
proposal to list and trade the Shares on
the Exchange is consistent with Section
11A(a)(1)(C)(iii) of the Act,20 which sets
forth Congress’s finding that it is in the
public interest and appropriate for the
protection of investors and the
maintenance of fair and orderly markets
to assure the availability to brokers,
dealers, and investors of information
with respect to quotations for, and
of the month. An Index business day is any day on
which the majority of the Index Components are
open for official trading and official settlement
prices are provided, excluding holidays and
weekends. The roll schedule is set forth in the
Registration Statement.
17 See Notice and Registration Statement, supra
notes 3 and 5, respectively.
18 In approving this proposed rule change, the
Commission notes that it has considered the
proposed rule’s impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
19 15 U.S.C. 78f(b)(5).
20 15 U.S.C. 78k–1(a)(1)(C)(iii).
VerDate Mar<15>2010
21:29 Feb 09, 2012
Jkt 226001
transactions in, securities. Quotation
and last-sale information for the Shares
will be available via the Consolidated
Tape Association (‘‘CTA’’) high-speed
line. The daily closing Index level and
the percentage change in the daily
closing Index level for the Index and
each Sub-Index will be publicly
available from one or more major market
data vendors. Data regarding the Index
and each Sub-Index, updated every 15
seconds during the NYSE Arca Core
Trading Session, is also available from
Standard & Poor’s on a subscription
basis.21 In addition, for each Fund, the
Indicative Optimized Portfolio Value
(‘‘IOPV’’) will be widely disseminated
on a per Share basis by one or more
major market data vendors every 15
seconds during the NYSE Arca Core
Trading Session.22 The IOPV will be
updated during the NYSE Arca Core
Trading Session when applicable
Futures Exchanges are trading any
Futures Contracts held by the Funds.
However, the IOPV that will be
disseminated between 2 p.m. E.T. and
the close of the NYSE Arca Core Trading
Session will be impacted by static
values for certain Futures Contracts.23
The NAV for the Funds linked to the
DFI and DFFI will be calculated and
disseminated daily by the Administrator
at 3 p.m. E.T., and the NAV for the Fund
linked to the DCFI will be calculated
and disseminated daily at 2:30 p.m. E.T.
The Trust will provide Web site
disclosure of portfolio holdings daily
and will include, as applicable, the
names, notional value (in U.S. dollars)
and number of Futures Contracts or
units of swaps held by a Fund, if any,
cash equivalents and the amount of cash
held in the portfolio of each Fund.
Moreover, the Web site for the Funds
and/or the Exchange will contain the
following information: (a) The current
NAV per Share and the prior business
day’s NAV per Share; (b) calculation of
the premium or discount of the closing
market price against the NAV per Share;
21 In addition, several independent data vendors
package and disseminate Index and Sub-Index data
in various value-added formats. Data regarding the
Index Components is available from the Web sites
of the Futures Exchanges. Data regarding the
commodities, currencies and Treasury securities
underlying the Index Components is publicly
available from various financial information service
providers.
22 According to the Exchange, several major
market data vendors display and/or make widely
available IOPVs published on CTA or other data
feeds. For each Fund, the IOPV will be calculated
by using the prior day’s closing NAV of such Fund
as a base and updating throughout the trading day
changes in the value of each Fund’s holdings.
23 The value of the IOPV will be based on the
underlying Futures Contracts. Once a particular
Futures Contract closes for trading, a static value for
that Futures Contract will be used to calculate the
IOPV.
PO 00000
Frm 00110
Fmt 4703
Sfmt 4703
(c) the prospectus; and (d) other
applicable quantitative information. The
Exchange also will disseminate on a
daily basis via the CTA information
with respect to the recent NAV and
Shares outstanding and make available
on its Web site daily trading volume of
the Shares, closing prices of the Shares,
and the NAV per Share. The intra-day,
closing, and settlement prices of the
Futures Contracts will also be readily
available, as applicable, from the
respective Futures Exchanges.24
The Commission further believes that
the proposal to list and trade the Shares
is reasonably designed to promote fair
disclosure of information that may be
necessary to price the Shares
appropriately and to prevent trading
when a reasonable degree of
transparency cannot be assured. If the
Exchange becomes aware that the NAV
with respect to the Shares is not
disseminated to all market participants
at the same time, it will halt trading in
the Shares until such time as the NAV
is available to all market participants.
Further, the Exchange represents that it
may halt trading during the day in
which an interruption to the
dissemination of the IOPV, the level of
the Index (or Sub-Index), or the value of
the underlying Futures Contracts
occurs. If the interruption to the
dissemination of the IOPV, the level of
the Index (or Sub-Index), or the value of
the underlying Futures Contracts
persists past the trading day in which it
occurred, the Exchange will halt trading
no later than the beginning of the
trading day following the interruption.
The Exchange also may halt trading in
the Shares if unusual conditions or
circumstances detrimental to the
maintenance of a fair and orderly
market are present.25 Public Web site
disclosure of the portfolio composition
of the Funds will occur at the same time
as the disclosure by the Sponsor of the
portfolio composition to Authorized
Participants, so that all market
participants are provided portfolio
composition information at the same
time. Therefore, the same portfolio
information will be provided on the
public Web site as well as in electronic
files provided to Authorized
Participants. Accordingly, the Exchange
represents that each investor will have
24 See
supra note 7.
respect to trading halts, the Exchange may
consider all relevant factors in exercising its
discretion to halt or suspend trading in the Shares
of the Funds. Trading in the Shares of the Funds
will be subject to halts caused by extraordinary
market volatility pursuant to the Exchange’s circuit
breaker rules in NYSE Arca Equities Rule 7.12.
Trading also may be halted because of market
conditions or for reasons that, in the view of the
Exchange, make trading in the Shares inadvisable.
25 With
E:\FR\FM\10FEN1.SGM
10FEN1
srobinson on DSK4SPTVN1PROD with NOTICES
Federal Register / Vol. 77, No. 28 / Friday, February 10, 2012 / Notices
access to the current portfolio
composition of the Funds through the
Funds’ Web site and/or at the
Exchange’s Web site. In addition, the
Commission notes that Standard &
Poor’s is not a broker-dealer, is not
affiliated with a broker-dealer, and has
implemented procedures designed to
prevent the use and dissemination of
material, non-public information
regarding the Index and Sub-Indexes.
Lastly, the Exchange states that it has a
general policy prohibiting the
distribution of material, non-public
information by its employees, and
trading of the Shares will be subject to
NYSE Arca Equities Rule 8.200,
Commentary .02(e), which sets forth
certain restrictions on ETP Holders 26
acting as registered Market Makers 27 in
Trust Issued Receipts to facilitate
surveillance.
The Exchange has represented that
the Shares are deemed to be equity
securities, thus rendering trading in the
Shares subject to the Exchange’s
existing rules governing the trading of
equity securities. In support of this
proposal, the Exchange has made
representations, including:
(1) The Funds will be subject to the
criteria in NYSE Arca Equities Rule
8.200 and Commentary .02 thereto for
initial and continued listing of the
Shares.
(2) The Exchange has appropriate
rules to facilitate transactions in the
Shares during all trading sessions.
(3) The Exchange’s surveillance
procedures applicable to derivative
products, including Trust Issued
Receipts, are adequate to properly
monitor Exchange trading of the Shares
in all trading sessions and to deter and
detect violations of Exchange rules and
applicable federal securities laws.
(4) The Exchange can obtain market
surveillance information, including
customer identity information, with
respect to transactions occurring on the
Futures Exchanges, all of which are
members of the Intermarket
Surveillance Group (‘‘ISG’’). For
components traded on exchanges, not
more than 10% of the weight of a
Fund’s portfolio in the aggregate shall
consist of components whose principal
trading market is not a member of ISG
or is a market with which the Exchange
does not have a comprehensive
surveillance sharing agreement.
(5) Prior to the commencement of
trading, the Exchange will inform its
ETP Holders in an Information Bulletin
26 See NYSE Arca Equities Rule 1.1(n) (defining
ETP Holder).
27 See NYSE Arca Equities Rule 1.1(u) (defining
Market Maker).
VerDate Mar<15>2010
21:29 Feb 09, 2012
Jkt 226001
of the special characteristics and risks
associated with trading the Shares.
Specifically, the Information Bulletin
will discuss the following: (a) The risks
involved in trading the Shares during
the Opening and Late Trading Sessions
when an updated IOPV will not be
calculated or publicly disseminated, as
well as during the Core Trading Session
when the IOPV may be based in part on
static underlying values; (b) the
procedures for purchases and
redemptions of Shares in Creation
Baskets and Redemption Baskets (and
that Shares are not individually
redeemable); (c) NYSE Arca Equities
Rule 9.2(a), which imposes a duty of
due diligence on its ETP Holders to
learn the essential facts relating to every
customer prior to trading the Shares; (d)
how information regarding the IOPV is
disseminated; (e) the requirement that
ETP Holders deliver a prospectus to
investors purchasing newly issued
Shares prior to or concurrently with the
confirmation of a transaction; and (f)
trading information.
(6) The anticipated minimum number
of Shares for each Fund to be
outstanding at the start of trading will
be 100,000 Shares.
(7) For the initial and continued
listing of the Shares, the Funds must be
in compliance with NYSE Arca Equities
Rule 5.3 and Rule 10A–3 under the
Act.28
(8) The Exchange will obtain a
representation (prior to listing the
Shares of each Fund) from the Trust that
the NAV per Share will be calculated
daily and made available to all market
participants at the same time.
This approval order is based on the
Exchange’s representations.29
For the foregoing reasons, the
Commission finds that the proposed
rule change is consistent with Section
6(b)(5) of the Act 30 and the rules and
regulations thereunder applicable to a
national securities exchange.
IV. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,31 that the
28 17
CFR 240.10A–3.
Commission notes that it does not regulate
the market for futures in which the Fund plans to
take positions, which is the responsibility of the
Commodity Futures Trading Commission (‘‘CFTC’’).
The CFTC has the authority to set limits on the
positions that any person may take in futures. These
limits may be directly set by the CFTC or by the
markets on which the futures are traded. The
Commission has no role in establishing position
limits on futures, even though such limits could
impact an exchange-traded product that is under
the jurisdiction of the Commission.
30 15 U.S.C. 78f(b)(5).
31 15 U.S.C. 78s(b)(2).
29 The
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Fmt 4703
Sfmt 4703
7225
proposed rule change (SR–NYSEArca–
2011–94) be, and it hereby is, approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.32
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2012–3152 Filed 2–9–12; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–66335; File No. SR–EDGA–
2012–03]
Self-Regulatory Organizations; EDGA
Exchange, Inc.; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change Relating to Amendments
to the EDGA Exchange, Inc. Fee
Schedule
February 6, 2012.
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 January
31, 2012, the EDGA Exchange, Inc. (the
‘‘Exchange’’ or the ‘‘EDGA’’) filed with
the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which items
have been prepared by the selfregulatory organization. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend its
fees and rebates applicable to Members 3
of the Exchange pursuant to EDGA Rule
15.1(a) and (c). All of the changes
described herein are applicable to EDGA
Members. The text of the proposed rule
change is available on the Exchange’s
Internet Web site at https://
www.directedge.com, at the Exchange’s
principal office, and at the Public
Reference Room of the Commission.
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
self-regulatory organization included
statements concerning the purpose of,
32 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 A Member is any registered broker or dealer, or
any person associated with a registered broker or
dealer, that has been admitted to membership in the
Exchange.
1 15
E:\FR\FM\10FEN1.SGM
10FEN1
]]>Agencies
[Federal Register Volume 77, Number 28 (Friday, February 10, 2012)]
[Notices]
[Pages 7219-7225]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-3152]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-66334; File No. SR-NYSEArca-2011-94]
Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting
Approval of a Proposed Rule Change To List and Trade Shares of the
ProShares Managed Futures Strategy Fund, ProShares Commodity Managed
Futures Strategy Fund, and ProShares Financial Managed Futures Strategy
Fund Under NYSE Arca Equities Rule 8.200
February 6, 2012.
I. Introduction
On December 5, 2011, NYSE Arca, Inc. (``Exchange'' or ``NYSE
Arca'') filed with the Securities and Exchange Commission
(``Commission''), pursuant to Section 19(b)(1) of the Securities
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a
proposed rule change to list and trade shares of the ProShares Managed
Futures Strategy Fund, ProShares Commodity Managed Futures Strategy
Fund, and ProShares Financial Managed Futures Strategy Fund (each a
``Fund,'' and collectively, ``Funds'') under NYSE Arca Equities Rule
8.200. The proposed rule change was published for comment in the
Federal Register on December 23, 2011.\3\ The Commission received no
comments on the proposal. This order grants approval of the proposed
rule change.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 66002 (December 19,
2011), 76 FR 80433 (``Notice'').
---------------------------------------------------------------------------
II. Description of the Proposed Rule Change
The Exchange proposes to list and trade shares (``Shares'') of each
of the Funds pursuant to NYSE Arca Equities Rule 8.200, Commentary .02,
which permits the trading of Trust Issued Receipts either by listing or
pursuant to unlisted trading privileges.\4\ Each Fund is a series of
the ProShares Trust II (``Trust''), a Delaware statutory trust.\5\
ProShare Capital Management LLC is the Trust's Sponsor (``Sponsor''),
and Wilmington Trust Company is the Trust's trustee. Brown Brothers
Harriman & Co. serves as the administrator, custodian, and transfer
agent of the Funds (``Administrator''). SEI Investments Distribution
Co. serves as distributor of the Shares.
---------------------------------------------------------------------------
\4\ Commentary .02 to NYSE Arca Equities Rule 8.200 applies to
Trust Issued Receipts that invest in ``Financial Instruments.'' The
term ``Financial Instruments,'' as defined in Commentary .02(b)(4)
to NYSE Arca Equities Rule 8.200, means any combination of
investments, including cash; securities; options on securities and
indices; futures contracts; options on futures contracts; forward
contracts; equity caps, collars and floors; and swap agreements.
\5\ See the Trust's Registration Statement on Form S-1, dated
November 29, 2011 (File No. 333-178212) relating to the Funds
(``Registration Statement'').
---------------------------------------------------------------------------
The Funds and Principal Investment Strategies
The Funds seek to provide investment results (before fees and
expenses) that correspond to the performance of the S&P Dynamic Futures
Index (``DFI'' or ``Index'') or to a sub-index of the Index (``Sub-
Index''). The ProShares Managed Futures Strategy seeks to provide
investment results (before fees and expenses) that correspond to the
performance of the DFI. The ProShares Commodity Managed Futures
Strategy seeks to provide investment results (before fees and expenses)
that correspond to the performance of the S&P Dynamic Commodities
Futures Index (``DCFI''), a Sub-Index of the DFI. The ProShares
Financial Managed Futures Strategy seeks to provide investment results
(before fees and
[[Page 7220]]
expenses) that correspond to the performance of the S&P Dynamic
Financial Futures Index (``DFFI''), another Sub-Index of the DFI.
The Index and each Sub-Index were developed by Standard & Poor's
and are long/short rules-based investable indexes designed to attempt
to capture the economic benefit derived from both rising and declining
trends in futures prices.\6\ The Index is composed of unleveraged
positions in U.S. exchange-traded futures contracts on sixteen
different tangible commodities (``Commodities Futures Contracts''), as
well as U.S. exchange-traded futures contracts on eight different
financials, such as major currencies and U.S. Treasury securities
(``Financials Futures Contracts,'' and together with the Commodities
Futures Contracts, collectively, ``Index Components'').\7\ Commodities
Futures Contracts and Financials Futures Contracts each comprise a Sub-
Index of the Index: the DCFI and the DFFI, respectively (collectively,
``Sub-Indexes'').
---------------------------------------------------------------------------
\6\ Standard & Poor's is not a broker-dealer, is not affiliated
with a broker-dealer, and has implemented procedures designed to
prevent the use and dissemination of material, non-public
information regarding the Index and Sub-Indexes.
\7\ The Index Components are traded on the Chicago Mercantile
Exchange, Inc. (``CME''), COMEX (a division of CME), Chicago Board
of Trade (``CBOT,'' a division of CME), NYMEX (a division of CME),
and ICE Futures US (``ICE'') (collectively, ``Futures Exchanges'').
---------------------------------------------------------------------------
In order to achieve the investment objective of the Funds, the
Sponsor will invest in: (1) Exchange-traded futures contracts of the
type comprising the Index or Sub-Indexes, as applicable (``Futures
Contracts''); and/or (2) under limited circumstances (as further
described herein), swap agreements whose value is derived from the
level of the Index, a Sub-Index, one or more Futures Contracts, or, in
the case of currency-based Financials Futures Contracts, the exchange
rates underlying such Financials Futures Contracts. Each Fund may also
invest in cash or cash equivalents, such as U.S. Treasury securities or
other high credit quality, short-term fixed-income or similar
securities (including shares of money market funds, bank deposits, bank
money market accounts, certain variable rate-demand notes, and
repurchase agreements collateralized by government securities) that may
serve as collateral for the Futures Contracts or swap agreements. The
Sponsor does not expect the Funds to invest directly in any commodity
or currency.
Each Fund seeks to achieve its investment objective by investing,
under normal market conditions, in exchange-traded Futures Contracts.
In the event position accountability rules or position limits with
respect to a Futures Contract is reached with respect to a Fund, the
Sponsor may, in its commercially reasonable judgment, cause such Fund
to obtain exposure through swaps whose value is derived from the level
of the Index, a Sub-Index, one or more Futures Contracts, or, in the
case of currency-based Financials Futures Contracts, the exchange rates
underlying such Financials Futures Contracts, or invest in swaps if
such instruments tend to exhibit trading prices or returns that
correlate with the Index, the Sub-Indexes, or any Futures Contract and
will further the investment objective of the Funds.\8\ The Funds may
also invest in swaps if the market for a specific Futures Contract
experiences emergencies (e.g., natural disaster, terrorist attack, or
an act of God) or disruptions (e.g., a trading halt or a flash crash)
that would prevent the Funds from obtaining the appropriate amount of
investment exposure to the affected Futures Contracts directly.\9\
---------------------------------------------------------------------------
\8\ To the extent practicable, the Funds will invest in swaps
cleared through the facilities of a centralized clearing house.
\9\ The Sponsor will attempt to mitigate the Funds' credit risk
by transacting only with large, well-capitalized institutions using
measures designed to determine the creditworthiness of a
counterparty and will take various steps to limit counterparty
credit risk.
---------------------------------------------------------------------------
The Index and Sub-Indexes
The Index is composed of the Index Components, representing
unleveraged long or short positions in U.S. exchange-traded futures
contracts in the commodity and financial markets.\10\ The Index
Components are formed into ``sectors'' of one or more contracts with
similar characteristics. Index Components within each sector are chosen
based on fundamental characteristics and liquidity. The Commodities
Futures Contracts comprise the DCFI as described below, and weightings
of the Commodities Futures Contracts are based on generally known world
production levels, as adjusted to limit the impact of the energy
sector. The Financials Futures Contracts comprise the DFFI, as
described below, and weightings of the Financials Futures Contracts are
based on, but not directly proportional to, gross domestic product.
---------------------------------------------------------------------------
\10\ As set forth in the Index weighting scheme example below,
the commodities portion of the Index consists of multiple commodity
sectors (e.g., Energy, Industrial Metals) and each sector is
assigned a percentage sector weight. Each sector, in turn, consists
of one or more components, each with an assigned component weight.
Similarly, the financial markets portion of the Index consists of
multiple foreign currency and U.S. Treasury sectors (e.g.,
Australian Dollar and U.S. Treasury Notes), each with an assigned
sector weight. Each such sector has one component, with an assigned
component weight.
---------------------------------------------------------------------------
The positions the Index (and accordingly, each Sub-Index) takes in
the Index Components are not long-only, but are set by sector, long,
short or, in the case of Energy, flat based on the relation of the
current aggregate price input of the Index Components in a particular
sector with a seven-month weighted moving average of the aggregate
price inputs of the same Index Components. For the Index and the DCFI,
the sector weights will vary based on whether Energy is positioned long
or flat. If Energy is flat, its weight is redistributed pro-rata among
the other sectors. Since the DFFI has no commodity exposure, the
weights of the sectors and the Index Components that comprise it are
not impacted by the long or flat positioning of the Energy sector.
For the Index, if Energy is positioned ``long,'' the initial Index
weights, together with information about the exchange and trading hours
for each Futures Contract, are as follows:
--------------------------------------------------------------------------------------------------------------------------------------------------------
Index weights with energy ``long''
---------------------------------------------------------------------------------------------------------
Weight Weight Weight Exchange Trading hours \11\
Sub-Index (%) Sector (%) Component (%)
--------------------------------------------------------------------------------------------------------------------------------------------------------
DCFI.................... 50 Energy................. 14.12 Light Crude............ 10.20 NYMEX (CME)........... 6 p.m.-5:15 p.m. next
day.
........ ........ Heating Oil............ 1.54 NYMEX (CME)........... 6 p.m.-5:15 p.m. next
day.
........ ........ RBOB Gasoline.......... 1.40 NYMEX (CME)........... 6 p.m.-5:15 p.m. next
day.
[[Page 7221]]
........ ........ Natural Gas............ 0.98 NYMEX (CME)........... 6 p.m.-5:15 p.m. next
day.
........ Industrial Metals...... 5.02 Copper................. 5.02 COMEX (CME)........... 6 p.m.-5:15 p.m. next
day.
........ Precious Metals........ 3.79 Gold................... 3.22 COMEX (CME)........... 6 p.m.-5:15 p.m. next
day.
........ ........ Silver................. 0.57 COMEX (CME)........... 6 p.m.-5:15 p,m, next
day
........ Livestock.............. 5.27 Lean Hogs.............. 2.04 CME................... ** \12\
........ ........ Live Cattle............ 3.23 CME................... ** \13\
........ Grains................. 13.85 Corn................... 5.75 CBOT (CME)............ 7pm-8:15 a.m.; 10:30
a.m.-2:15 p.m.
........ ........ Soybeans............... 3.37 CBOT (CME)............ 7 p.m.-8:15 a.m.;
10:30 a.m.-2:15 p.m.
........ ........ Wheat.................. 4.73 CBOT (CME)............ 7 p.m.-8:15 a.m.;
10:30 a.m.-2:15 p.m.
........ Softs.................. 7.95 Coffee................. 1.26 ICE................... 3:30 a.m.-2 p.m.
........ ........ Cocoa.................. 0.42 ICE................... 4 a.m.-2 p.m.
........ ........ Sugar.................. 3.58 ICE................... 3:30 a.m.-2 p.m.
........ ........ Cotton................. 2.69 ICE................... 9 p.m.-2:30 p.m. next
day.
DFFI.................... 50 Australian Dollar...... 1.67 Australian Dollar...... ........ CME................... 6 p.m.-5:15 p.m. next
day.
........ British Pound.......... 3.08 British Pound.......... ........ CME................... 6 p.m.-5:15 p.m. next
day.
........ Canadian Dollar........ 2.10 Canadian Dollar........ ........ CME................... 6 p.m.-5:15 p.m. next
day.
........ Euro................... 15.67 Euro................... ........ CME................... 6 p.m.-5:15 p.m. next
day.
........ Japanese Yen........... 7.31 Japanese Yen........... ........ CME................... 6 p.m.-5:15 p.m. next
day.
........ Swiss Franc............ 0.70 Swiss Franc............ ........ CME................... 6 p.m.-5:15 p.m. next
day.
........ U.S. Treasury Notes 9.74 U.S. Treasury Notes.... ........ CBOT (CME)............ 6:30 p.m.-5 p.m. Next
\14\. day.
........ U.S. Treasury Bonds 9.74 U.S. Treasury Bonds.... ........ CBOT (CME)............ 6:30 p.m.-5 p.m. Next
\15\. day.
---------- ---------- ----------
Totals.............. 100 ....................... 100 ....................... 100 ...................... ......................
--------------------------------------------------------------------------------------------------------------------------------------------------------
For the DCFI, if Energy is positioned ``flat,'' the initial Index
weights will be as follows:
---------------------------------------------------------------------------
\11\ All times are Eastern time (``E.T.''), inclusive of
electronic and open outcry trading sessions, as applicable.
\12\ Lean Hogs trade from 10:05 a.m. Monday to 2:55 p.m. Friday,
with daily trading halts from 5 p.m. to 6 p.m.
\13\ Live Cattle trade from 10:05 a.m. Monday to 2:55 p.m.
Friday, with daily trading halts from 5 p.m. to 6 p.m.
\14\ ``U.S. Treasury Notes'' refer to 10 year U.S. Treasury Note
futures.
\15\ ``U.S. Treasury Bonds'' refer to those futures with
underlying bonds of a remaining term to call or maturity of 15-25
years.
----------------------------------------------------------------------------------------------------------------
Index weights with energy ``flat''
-----------------------------------------------------------------------------------------------------------------
Sub-Index Weight (%) Sector Weight (%) Component Weight (%)
----------------------------------------------------------------------------------------------------------------
DCFI......................... 41.78 Energy.......... 0.00 Light Crude.... 0.00
.............. .............. Heating Oil.... 0.00
.............. .............. RBOB Gasoline.. 0.00
.............. .............. Natural Gas.... 0.00
.............. Industrial 5.84 Copper......... 5.84
Metals.
.............. Precious Metals. 4.41 Gold........... 3.75
Silver......... 0.66
.............. Livestock....... 6.13 Lean Hogs...... 2.38
Live Cattle.... 3.76
.............. Grains.......... 16.13 Corn........... 6.70
[[Page 7222]]
.............. .............. Soybeans....... 3.92
.............. .............. Wheat.......... 5.51
.............. Softs........... 9.26 Coffee......... 1.47
Cocoa.......... 0.48
.............. .............. Sugar.......... 4.17
.............. .............. Cotton......... 3.13
DFFI......................... 58.22 Australian 1.94 Australian 1.94
Dollar. Dollar.
.............. British Pound... 3.59 British Pound.. 3.59
.............. Canadian Dollar. 2.44 Canadian Dollar 2.44
.............. Euro............ 18.24 Euro........... 18.24
.............. Japanese Yen.... 8.51 Japanese Yen... 8.51
.............. Swiss Franc..... 0.81 Swiss Franc.... 0.81
.............. U.S. Treasury 11.34 U.S. Treasury 11.34
Notes. Notes.
.............. U.S. Treasury 11.34 U.S. Treasury 11.34
Bonds. Bonds.
������������������������������
Totals................... 100 ................ 100 ............... 100
----------------------------------------------------------------------------------------------------------------
For the DCFI, if Energy is positioned ``long,'' the initial Sub-
Index weightings would be as follows:
----------------------------------------------------------------------------------------------------------------
DCFI weights with energy ``long''
-----------------------------------------------------------------------------------------------------------------
Sector Weight (%) Component Weight (%)
----------------------------------------------------------------------------------------------------------------
Energy........................................ 28.24 Light Crude..................... 20.40
.............. Heating Oil..................... 3.08
.............. RBOB Gasoline................... 2.80
.............. Natural Gas..................... 1.96
Industrial Metals............................. 10.04 Copper.......................... 10.04
Precious Metals............................... 7.58 Gold............................ 6.44
.............. Silver.......................... 1.14
Livestock..................................... 10.54 Lean Hogs....................... 4.08
.............. Live Cattle..................... 6.46
Grains........................................ 27.70 Corn............................ 11.50
.............. Soybeans........................ 6.74
.............. Wheat........................... 9.46
Softs......................................... 15.90 Coffee.......................... 2.52
.............. Cocoa........................... 0.84
.............. Sugar........................... 7.16
.............. Cotton.......................... 5.38
�����������������������������������������������
Total..................................... 100 ................................ 100
----------------------------------------------------------------------------------------------------------------
For the DCFI, if Energy is initially positioned ``flat,'' the
weights would be as follows:
----------------------------------------------------------------------------------------------------------------
DCFI weights with energy ``flat''
-----------------------------------------------------------------------------------------------------------------
Sector Weight (%) Component Weight (%)
----------------------------------------------------------------------------------------------------------------
Energy........................................ 0.00 Light Crude..................... 0.00
.............. Heating Oil..................... 0.00
.............. RBOB Gasoline................... 0.00
.............. Natural Gas..................... 0.00
Industrial Metals............................. 13.98 Copper.......................... 13.98
Precious Metals............................... 10.56 Gold............................ 8.99
Silver.......................... 1.58
Livestock..................................... 14.69 Lean Hogs....................... 5.69
Live Cattle..................... 8.99
Grains........................................ 38.61 Corn............................ 16.04
.............. Soybeans........................ 9.39
.............. Wheat........................... 13.18
Softs......................................... 22.16 Coffee.......................... 3.53
.............. Cocoa........................... 1.16
[[Page 7223]]
.............. Sugar........................... 9.98
.............. Cotton.......................... 7.50
�����������������������������������������������
Total..................................... 100 ................................ 100
----------------------------------------------------------------------------------------------------------------
Finally, for the DFFI, the initial weights would be as follows:
----------------------------------------------------------------------------------------------------------------
DFFI weights
-----------------------------------------------------------------------------------------------------------------
Sector Weight (%) Component Weight (%)
----------------------------------------------------------------------------------------------------------------
Australian Dollar............................. 3.34 Australian Dollar............... 3.34
British Pound................................. 6.16 British Pound................... 6.16
Canadian Dollar............................... 4.20 Canadian Dollar................. 4.20
Euro.......................................... 31.34 Euro............................ 31.34
Japanese Yen.................................. 14.62 Japanese Yen.................... 14.62
Swiss Franc................................... 1.40 Swiss Franc..................... 1.40
U.S. Treasury Notes........................... 19.48 U.S. Treasury Notes............. 19.48
U.S. Treasury Bonds........................... 19.48 U.S. Treasury Bonds............. 19.48
�����������������������������������������������
Total..................................... 100 ................................ 100
----------------------------------------------------------------------------------------------------------------
Sectors will be rebalanced monthly to the applicable weights, and the
weighting of each individual Index Component within a particular sector
will be rebalanced annually.
Energy's Short Exemption
If Energy receives a negative price signal (as determined by the
weighted moving average, as discussed below), it is positioned flat
(zero-weight) rather than short. This is due to the ``risk of ruin''
inherent in the Energy sector because of the concentration of supply in
a relatively small number of production locales. If supply from these
locales were to be disrupted (whether by war, terrorism, or other
events), the price of the Energy sector within the Index and the DCFI
is exposed to large scale price increases regardless of the current
trend and position setting. This would expose the Index and the DCFI to
significant, if not total, losses in such a circumstance. As such, the
Energy sector is positioned flat in a negative price environment and
the weight it would otherwise receive is redistributed pro rata among
the other sectors of the Index and the DCFI, as applicable.
Determining the Long/Short Positioning of the Sectors
The rule for the Index and each Sub-Index regarding long or short
positions is summarized as follows:
Long positions are tracked when a sector's current
aggregate 1-month price change is greater than or equal to the
exponential average of the past seven monthly price inputs; and
Short positions (or flat, in the case of Energy) are
tracked when a sector's current 1-month price change is less than the
exponential average of the past seven monthly price inputs.
Monthly positions are determined on the second to last DFI business
day of the month (defined as the position determination date, or
``PDD'') when the monthly percentage change of an Index Component's
price is compared to past monthly price changes, exponentially weighted
to give greatest weight to the most recent return and least weight to
the return seven months prior. The weighted sum of the percentage
changes of all the Index Component prices equals the daily movement of
the Index.
To create an exponential average for comparison, price inputs
(percentage change from current and previous PDDs) are weighted per the
schedule below. Due to this weighting methodology, current price
movements are more important than those of the more distant past.
------------------------------------------------------------------------
Number of months Weight
------------------------------------------------------------------------
7............................................................. 2.32
6............................................................. 3.71
5............................................................. 5.94
4............................................................. 9.51
3............................................................. 15.22
2............................................................. 24.34
1............................................................. 38.95
------------------------------------------------------------------------
SUM....................................................... 100.00
------------------------------------------------------------------------
Because this valuation is done on a sector basis, all the Index
Components within a particular sector will be set long, short (or flat,
in the case of Energy) upon each monthly rebalancing.
Sector Rebalancing
While sector weights are fixed and rebalanced back to their base
weight monthly, Index Components that are part of a multi-component
sector (energy, livestock, grains, and precious metals) are only reset
back to their base weight within their sector during the first five
business days of February. For example (assuming Energy is long), the
Japanese Yen (a single component sector) and Grains (a multi-component
sector) will rebalance to 6.85% and 11.16% of the Index respectively on
the roll date, as described below. However, the individual components
within the grains sector will only rebalance to their base weight at
the beginning of the year. During the year, they ``float'' within the
11.16% Index Grains weighting. During this monthly rebalancing, the
Index will also ``roll'' certain of its positions from the current
contract to a contract further from settlement.\16\
---------------------------------------------------------------------------
\16\ The Index is composed of Index Components, which are
futures contracts. In order to maintain consistent exposure to the
Index Components, each Index Component contract must be sold prior
to its expiration date and replaced by a contract maturing at a
specified date in the future. This process is known as rolling.
Index Component contracts are rolled periodically. The rolls are
implemented pursuant to a roll schedule over a five-day period from
the first through the fifth Index business days of the month. An
Index business day is any day on which the majority of the Index
Components are open for official trading and official settlement
prices are provided, excluding holidays and weekends. The roll
schedule is set forth in the Registration Statement.
---------------------------------------------------------------------------
[[Page 7224]]
Additional details regarding the Trust, Funds, Shares, trading
policies and investment strategies of the Funds, creations and
redemption procedures, fees, investment risks, Index and Sub-Indexes,
net asset value (``NAV'') calculation, the dissemination and
availability of information about the underlying assets, trading halts,
applicable trading rules, surveillance, and the Information Bulletin,
among other things, can be found in the Notice and/or the Registration
Statement, as applicable.\17\
---------------------------------------------------------------------------
\17\ See Notice and Registration Statement, supra notes 3 and 5,
respectively.
---------------------------------------------------------------------------
III. Discussion and Commission's Findings
After careful review, the Commission finds that the proposed rule
change to list and trade the Shares of the Funds is consistent with the
requirements of Section 6 of the Act and the rules and regulations
thereunder applicable to a national securities exchange.\18\ In
particular, the Commission finds that the proposed rule change is
consistent with the requirements of Section 6(b)(5) of the Act,\19\
which requires, among other things, that the Exchange's rules be
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. The Commission notes that
the Funds and the Shares must comply with the requirements of NYSE Arca
Equities Rule 8.200 and Commentary .02 thereto to be listed and traded
on the Exchange.
---------------------------------------------------------------------------
\18\ In approving this proposed rule change, the Commission
notes that it has considered the proposed rule's impact on
efficiency, competition, and capital formation. See 15 U.S.C.
78c(f).
\19\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
The Commission finds that the proposal to list and trade the Shares
on the Exchange is consistent with Section 11A(a)(1)(C)(iii) of the
Act,\20\ which sets forth Congress's finding that it is in the public
interest and appropriate for the protection of investors and the
maintenance of fair and orderly markets to assure the availability to
brokers, dealers, and investors of information with respect to
quotations for, and transactions in, securities. Quotation and last-
sale information for the Shares will be available via the Consolidated
Tape Association (``CTA'') high-speed line. The daily closing Index
level and the percentage change in the daily closing Index level for
the Index and each Sub-Index will be publicly available from one or
more major market data vendors. Data regarding the Index and each Sub-
Index, updated every 15 seconds during the NYSE Arca Core Trading
Session, is also available from Standard & Poor's on a subscription
basis.\21\ In addition, for each Fund, the Indicative Optimized
Portfolio Value (``IOPV'') will be widely disseminated on a per Share
basis by one or more major market data vendors every 15 seconds during
the NYSE Arca Core Trading Session.\22\ The IOPV will be updated during
the NYSE Arca Core Trading Session when applicable Futures Exchanges
are trading any Futures Contracts held by the Funds. However, the IOPV
that will be disseminated between 2 p.m. E.T. and the close of the NYSE
Arca Core Trading Session will be impacted by static values for certain
Futures Contracts.\23\ The NAV for the Funds linked to the DFI and DFFI
will be calculated and disseminated daily by the Administrator at 3
p.m. E.T., and the NAV for the Fund linked to the DCFI will be
calculated and disseminated daily at 2:30 p.m. E.T. The Trust will
provide Web site disclosure of portfolio holdings daily and will
include, as applicable, the names, notional value (in U.S. dollars) and
number of Futures Contracts or units of swaps held by a Fund, if any,
cash equivalents and the amount of cash held in the portfolio of each
Fund. Moreover, the Web site for the Funds and/or the Exchange will
contain the following information: (a) The current NAV per Share and
the prior business day's NAV per Share; (b) calculation of the premium
or discount of the closing market price against the NAV per Share; (c)
the prospectus; and (d) other applicable quantitative information. The
Exchange also will disseminate on a daily basis via the CTA information
with respect to the recent NAV and Shares outstanding and make
available on its Web site daily trading volume of the Shares, closing
prices of the Shares, and the NAV per Share. The intra-day, closing,
and settlement prices of the Futures Contracts will also be readily
available, as applicable, from the respective Futures Exchanges.\24\
---------------------------------------------------------------------------
\20\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
\21\ In addition, several independent data vendors package and
disseminate Index and Sub-Index data in various value-added formats.
Data regarding the Index Components is available from the Web sites
of the Futures Exchanges. Data regarding the commodities, currencies
and Treasury securities underlying the Index Components is publicly
available from various financial information service providers.
\22\ According to the Exchange, several major market data
vendors display and/or make widely available IOPVs published on CTA
or other data feeds. For each Fund, the IOPV will be calculated by
using the prior day's closing NAV of such Fund as a base and
updating throughout the trading day changes in the value of each
Fund's holdings.
\23\ The value of the IOPV will be based on the underlying
Futures Contracts. Once a particular Futures Contract closes for
trading, a static value for that Futures Contract will be used to
calculate the IOPV.
\24\ See supra note 7.
---------------------------------------------------------------------------
The Commission further believes that the proposal to list and trade
the Shares is reasonably designed to promote fair disclosure of
information that may be necessary to price the Shares appropriately and
to prevent trading when a reasonable degree of transparency cannot be
assured. If the Exchange becomes aware that the NAV with respect to the
Shares is not disseminated to all market participants at the same time,
it will halt trading in the Shares until such time as the NAV is
available to all market participants. Further, the Exchange represents
that it may halt trading during the day in which an interruption to the
dissemination of the IOPV, the level of the Index (or Sub-Index), or
the value of the underlying Futures Contracts occurs. If the
interruption to the dissemination of the IOPV, the level of the Index
(or Sub-Index), or the value of the underlying Futures Contracts
persists past the trading day in which it occurred, the Exchange will
halt trading no later than the beginning of the trading day following
the interruption. The Exchange also may halt trading in the Shares if
unusual conditions or circumstances detrimental to the maintenance of a
fair and orderly market are present.\25\ Public Web site disclosure of
the portfolio composition of the Funds will occur at the same time as
the disclosure by the Sponsor of the portfolio composition to
Authorized Participants, so that all market participants are provided
portfolio composition information at the same time. Therefore, the same
portfolio information will be provided on the public Web site as well
as in electronic files provided to Authorized Participants.
Accordingly, the Exchange represents that each investor will have
[[Page 7225]]
access to the current portfolio composition of the Funds through the
Funds' Web site and/or at the Exchange's Web site. In addition, the
Commission notes that Standard & Poor's is not a broker-dealer, is not
affiliated with a broker-dealer, and has implemented procedures
designed to prevent the use and dissemination of material, non-public
information regarding the Index and Sub-Indexes. Lastly, the Exchange
states that it has a general policy prohibiting the distribution of
material, non-public information by its employees, and trading of the
Shares will be subject to NYSE Arca Equities Rule 8.200, Commentary
.02(e), which sets forth certain restrictions on ETP Holders \26\
acting as registered Market Makers \27\ in Trust Issued Receipts to
facilitate surveillance.
---------------------------------------------------------------------------
\25\ With respect to trading halts, the Exchange may consider
all relevant factors in exercising its discretion to halt or suspend
trading in the Shares of the Funds. Trading in the Shares of the
Funds will be subject to halts caused by extraordinary market
volatility pursuant to the Exchange's circuit breaker rules in NYSE
Arca Equities Rule 7.12. Trading also may be halted because of
market conditions or for reasons that, in the view of the Exchange,
make trading in the Shares inadvisable.
\26\ See NYSE Arca Equities Rule 1.1(n) (defining ETP Holder).
\27\ See NYSE Arca Equities Rule 1.1(u) (defining Market Maker).
---------------------------------------------------------------------------
The Exchange has represented that the Shares are deemed to be
equity securities, thus rendering trading in the Shares subject to the
Exchange's existing rules governing the trading of equity securities.
In support of this proposal, the Exchange has made representations,
including:
(1) The Funds will be subject to the criteria in NYSE Arca Equities
Rule 8.200 and Commentary .02 thereto for initial and continued listing
of the Shares.
(2) The Exchange has appropriate rules to facilitate transactions
in the Shares during all trading sessions.
(3) The Exchange's surveillance procedures applicable to derivative
products, including Trust Issued Receipts, are adequate to properly
monitor Exchange trading of the Shares in all trading sessions and to
deter and detect violations of Exchange rules and applicable federal
securities laws.
(4) The Exchange can obtain market surveillance information,
including customer identity information, with respect to transactions
occurring on the Futures Exchanges, all of which are members of the
Intermarket Surveillance Group (``ISG''). For components traded on
exchanges, not more than 10% of the weight of a Fund's portfolio in the
aggregate shall consist of components whose principal trading market is
not a member of ISG or is a market with which the Exchange does not
have a comprehensive surveillance sharing agreement.
(5) Prior to the commencement of trading, the Exchange will inform
its ETP Holders in an Information Bulletin of the special
characteristics and risks associated with trading the Shares.
Specifically, the Information Bulletin will discuss the following: (a)
The risks involved in trading the Shares during the Opening and Late
Trading Sessions when an updated IOPV will not be calculated or
publicly disseminated, as well as during the Core Trading Session when
the IOPV may be based in part on static underlying values; (b) the
procedures for purchases and redemptions of Shares in Creation Baskets
and Redemption Baskets (and that Shares are not individually
redeemable); (c) NYSE Arca Equities Rule 9.2(a), which imposes a duty
of due diligence on its ETP Holders to learn the essential facts
relating to every customer prior to trading the Shares; (d) how
information regarding the IOPV is disseminated; (e) the requirement
that ETP Holders deliver a prospectus to investors purchasing newly
issued Shares prior to or concurrently with the confirmation of a
transaction; and (f) trading information.
(6) The anticipated minimum number of Shares for each Fund to be
outstanding at the start of trading will be 100,000 Shares.
(7) For the initial and continued listing of the Shares, the Funds
must be in compliance with NYSE Arca Equities Rule 5.3 and Rule 10A-3
under the Act.\28\
---------------------------------------------------------------------------
\28\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------
(8) The Exchange will obtain a representation (prior to listing the
Shares of each Fund) from the Trust that the NAV per Share will be
calculated daily and made available to all market participants at the
same time.
This approval order is based on the Exchange's representations.\29\
---------------------------------------------------------------------------
\29\ The Commission notes that it does not regulate the market
for futures in which the Fund plans to take positions, which is the
responsibility of the Commodity Futures Trading Commission
(``CFTC''). The CFTC has the authority to set limits on the
positions that any person may take in futures. These limits may be
directly set by the CFTC or by the markets on which the futures are
traded. The Commission has no role in establishing position limits
on futures, even though such limits could impact an exchange-traded
product that is under the jurisdiction of the Commission.
---------------------------------------------------------------------------
For the foregoing reasons, the Commission finds that the proposed
rule change is consistent with Section 6(b)(5) of the Act \30\ and the
rules and regulations thereunder applicable to a national securities
exchange.
---------------------------------------------------------------------------
\30\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
IV. Conclusion
It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\31\ that the proposed rule change (SR-NYSEArca-2011-94) be, and it
hereby is, approved.
---------------------------------------------------------------------------
\31\ 15 U.S.C. 78s(b)(2).
\32\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\32\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-3152 Filed 2-9-12; 8:45 am]
BILLING CODE 8011-01-P
