Self-Regulatory Organizations; NYSE Arca, Inc.; Order Instituting Proceedings to Determine Whether to Approve or Disapprove Proposed Rule Change, as Modified by Amendment Nos. 1 and 4 Thereto, Relating to Listing and Trading of Shares of the Reality Shares DIVS Index ETF under NYSE Arca Equities Rule 5.2(j)(3), 45574-45577 [2014-18388]

Agencies

• SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 79, Number 150 (Tuesday, August 5, 2014)]
[Notices]
[Pages 45574-45577]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-18388]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-72714; File No. SR-NYSEArca-2014-41]


Self-Regulatory Organizations; NYSE Arca, Inc.; Order Instituting 
Proceedings to Determine Whether to Approve or Disapprove Proposed Rule 
Change, as Modified by Amendment Nos. 1 and 4 Thereto, Relating to 
Listing and Trading of Shares of the Reality Shares DIVS Index ETF 
under NYSE Arca Equities Rule 5.2(j)(3)

July 29, 2014.
    On April 11, 2014, NYSE Arca, Inc. (``Exchange'') 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 (``Shares'') of the Reality Shares DIVS Index ETF (``Fund'') 
(formerly, Reality Shares Isolated Dividend Growth Index ETF) under 
NYSE Arca Equities Rule 5.2(j)(3). The proposed rule change was 
published for comment in the Federal Register on April 30, 2014.\3\ On 
May 6, 2014, the Exchange filed Amendment No. 1 to the proposed rule 
change, which amended and replaced the proposed rule change in its 
entirety.\4\ On June 6, 2014, the Exchange filed Amendment No. 4 to the 
proposed rule change.\5\ On June 13, 2014, pursuant to Section 19(b)(2) 
of the Act,\6\ the Commission designated a longer period within which 
to approve the proposed rule change, disapprove the proposed rule 
change, or institute proceedings to determine whether to disapprove the 
proposed rule change.\7\ The Commission received no comment letters on 
the proposed rule change. This Order institutes proceedings under 
Section 19(b)(2)(B) of the Act \8\ to determine whether to approve or 
disapprove the proposed rule change, as modified by Amendment Nos. 1 
and 4 thereto.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 72015 (Apr. 24, 
2014), 79 FR 24475 (``Notice'').
    \4\ In Amendment No. 1, the Exchange clarified the valuation of 
investments for purposes of calculating net asset value, provided 
additional details regarding the dissemination of the Disclosed 
Portfolio, and made other minor technical edits to the proposed rule 
change. Amendment No. 1 provided clarification to the proposed rule 
change, and because it does not materially affect the substance of 
the proposed rule change or raise novel or unique regulatory issues, 
Amendment No. 1 is not subject to notice and comment.
    \5\ The Exchange filed Amendment No. 2 on June 4, 2014 and 
withdrew it on June 5, 2014, and filed Amendment No. 3 on June 5, 
2014 and withdrew it on June 6, 2014. Amendment No. 4 supersedes 
both Amendment Nos. 2 and 3. In Amendment No. 4, the Exchange 
amended the proposal to reflect a name change to the Fund and the 
underlying index. Specifically, the Exchange replaced each reference 
to ``Reality Shares Isolated Dividend Growth Index ETF'' in the 
proposal with ``Reality Shares DIVS Index ETF'' and replaced each 
reference to ``Reality Shares Isolated Dividend Growth Index'' in 
the proposal with ``Reality Shares DIVS Index.'' Amendment No. 4 is 
a technical amendment and is not subject to notice and comment as it 
does not materially affect the substance of the filing.
    \6\ 15 U.S.C. 78s(b)(2).
    \7\ See Securities Exchange Act Release No. 72385, 79 FR 35205 
(Jun. 19, 2014). The Commission designated a longer period within 
which to take action on the proposed rule change and designated July 
29, 2014, as the date by which it should approve, disapprove, or 
institute proceedings to determine whether to disapprove the 
proposed rule change.
    \8\ 15 U.S.C. 78s(b)(2)(B).
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I. Description of the Proposal

A. In General

    The Exchange proposes to list and trade Shares of the Fund under 
NYSE Arca Equities Rule 5.2(j)(3), which governs the listing and 
trading of Investment Company Units on the Exchange.\9\ The Shares of 
the Fund will be offered by the Reality Shares ETF Trust (formerly, the 
ERNY Financial ETF Trust) (``Trust''). The Trust will be registered 
with the Commission as an open-end management investment company.\10\ 
Reality Shares Advisors, LLC (formerly, ERNY Financial Advisors, LLC) 
will serve as the investment adviser to the Fund (``Adviser''). ALPS 
Distributors, Inc. will be the principal underwriter and distributor of 
the Fund's Shares. The Bank of New York Mellon will serve as 
administrator, custodian and transfer agent for the Fund.
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    \9\ NYSE Arca Equities Rule 5.2(j)(3)(A) provides that an 
Investment Company Unit is a security that represents an interest in 
a registered investment company that holds securities comprising, or 
otherwise based on or representing an interest in, an index or 
portfolio of securities (or holds securities in another registered 
investment company that holds securities comprising, or otherwise 
based on or representing an interest in, an index or portfolio of 
securities).
    \10\ According to the Exchange, the Trust will be registered 
under the Investment Company Act of 1940 (``1940 Act''). On November 
12, 2013, the Trust filed a registration statement on Form N-1A 
under the Securities Act of 1933 (``1933 Act'') and under the 1940 
Act relating to the Fund, as amended by Pre-Effective Amendment 
Number 1, filed with the Commission on February 6, 2014 (File Nos. 
333-192288 and 811-22911) (the ``Registration Statement''). The 
description of the operation of the Trust and the Fund herein is 
based, in part, on the Registration Statement. In addition, the 
Commission has issued an order granting certain exemptive relief to 
the Trust under the 1940 Act. Investment Company Act Release No. 
30678 (Aug. 27, 2013) (``Exemptive Order''). The Exchange states 
that investments made by the Fund will comply with the conditions 
set forth in the Exemptive Order.
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B. The Exchange's Description of the Fund

    The Exchange has made the following representations concerning the 
Fund.
    The Fund will seek long-term capital appreciation by tracking the 
performance of the Reality Shares DIVS Index (``Index''). The Index was 
developed and is maintained by Reality Shares, Inc. (``Index 
Provider'').\11\ The Adviser is a wholly-owned subsidiary of the Index 
Provider. The Index Provider is not registered as an investment adviser 
or broker-dealer and is not affiliated with any broker-dealer. The 
Adviser is not registered as a broker-dealer and is not affiliated with 
any broker-dealer.\12\
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    \11\ The Index will be calculated by International Data 
Corporation, which is not affiliated with the Adviser or the Index 
Provider, and which is not a broker-dealer or fund advisor. 
Commentary .01(b)(1) to NYSE Arca Equities Rule 5.2(j)(3) provides 
that, if the applicable index is maintained by a fund advisor or a 
broker-dealer, the fund advisor or broker-dealer shall erect a 
``fire wall'' around the personnel who have access to information 
concerning changes and adjustments to the index, and the index shall 
be calculated by a third party who is not a broker-dealer or fund 
advisor.
    \12\ The Adviser and the Index Provider have represented that a 
fire wall exists around the respective personnel who have access to 
information concerning changes and adjustments to the Index. The 
Exchange notes that, in the event (a) the Adviser, any sub-adviser, 
or the Index Provider becomes registered as a broker-dealer or newly 
affiliated with a broker-dealer, or (b) any new adviser, sub-
adviser, or Index Provider is a registered broker-dealer or becomes 
affiliated with a broker-dealer, that entity will implement a fire 
wall with respect to their relevant personnel or broker-dealer 
affiliate, as applicable, regarding access to information concerning 
the composition of or changes to the portfolio and will be subject 
to procedures designed to prevent the use and dissemination of 
material, non-public information regarding the portfolio.
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1. Index Methodology
    The Index will be calculated using a proprietary, rules-based 
methodology designed to track market expectations for dividend growth 
conveyed in real-time using the mid-point of the bid-ask spread on S&P 
500 Index options and options on exchange-traded funds (``ETFs'') \13\ 
designed to track the S&P

[[Page 45575]]

500 Index.\14\ All options included in the Index will be listed and 
traded on a U.S. national securities exchange. The Index will consist 
of a minimum of 20 components.
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    \13\ For purposes of this proposed rule change, such ETFs 
include Investment Company Units (as described in NYSE Arca Equities 
Rule 5.2(j)(3)) and Portfolio Depositary Receipts (as described in 
NYSE Arca Equities Rule 8.100). The ETFs all will be listed and 
traded in the U.S. on registered exchanges. The Fund may not invest 
in leveraged or inverse leveraged (e.g., 2X, -2X, 3X, or -3X) ETFs 
or options on such ETFs.
    \14\ The Index will not directly measure or track actual 
dividend payments or the actual growth in dividend payments, but 
will instead track market expectations of dividend growth as implied 
by the options that make up the Index.
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    The prices of index and ETF options reflect the market trading 
prices of the securities included in the applicable underlying index or 
ETF, as well as market expectations regarding the level of dividends to 
be paid on those indexes or ETFs during the term of the option. The 
Index constituents, and, therefore, most of the Fund's portfolio 
holdings, will consist of multiple corresponding near-term and long-
term put and call option combinations on the same reference assets 
(i.e., options on the S&P 500 Index or options on S&P 500 ETFs) with 
the same strike price. Because option prices reflect both stock price 
and dividend expectations, they can be used in combination to isolate 
either price exposure or dividend expectations. The use of near-term 
and long-term put and call options combinations on the same reference 
asset with the same strike price, but with different maturities, is 
designed to gain exposure to the expected dividends reflected in 
options on the S&P 500 Index and options on ETFs tracking the S&P 500 
Index while neutralizing the impact of stock price movements. According 
to the Exchange, over time, the Index will increase or decrease in 
value as the dividend spread between the near-term and long-term option 
combinations increases or decreases as a result of changing market 
expectations for dividend growth.
2. Principal Investments of the Fund
    The Fund will seek long-term capital appreciation and will seek 
investment results that, before fees and expenses, generally correspond 
to the performance of the Index. At least 80% of the Fund's total 
assets (exclusive of collateral held from securities lending, if any) 
will be invested in the component securities of the Index. The Fund 
will seek a correlation of 0.95 or better between its performance and 
the performance of its Index. A figure of 1.00 would represent perfect 
correlation. The Fund generally will use a representative sampling 
investment strategy.
    The Fund will buy (i.e., hold a ``long'' position in) and sell 
(i.e., hold a ``short'' position in) put and call options. The strategy 
of taking both a long position in a security through its ex-dividend 
date (the last date an investor can own the security and receive 
dividends paid on the security) and a corresponding short position in 
the same security immediately thereafter is designed to allow the Fund 
to isolate its exposure to the growth of the level of dividends 
expected to be paid on a security while minimizing its exposure to 
changes in the trading price of that security.
    The Fund will buy and sell U.S. exchange-listed options on the S&P 
500 Index and U.S. exchange-listed options on ETFs designed to track 
the S&P 500 Index. A put option gives the purchaser of the option the 
right to sell, and the issuer of the option the obligation to buy, the 
underlying security or instrument on a specified date or during a 
specified period of time. A call option on a security gives the 
purchaser of the option the right to buy, and the writer of the option 
the obligation to sell, the underlying security or instrument on a 
specified date or during a specified period of time. The Fund will 
invest in a combination of put and call options designed to allow the 
Fund to isolate its exposure to the growth of the level of expected 
dividends reflected in options on the S&P 500 Index and options on ETFs 
tracking the S&P 500 Index, while minimizing the Fund's exposure to 
changes in the trading price of such securities.
3. Other Investments of the Fund
    While, as described above, at least 80% of the Fund's total assets 
(exclusive of collateral held from securities lending, if any) will be 
invested in the component securities of the Index, the Fund may invest 
up to 20% of the Fund's total assets in other securities and financial 
instruments, as described below.
    The Fund may invest in U.S. exchange-listed futures contracts based 
on the S&P 500 Index and ETFs designed to track the S&P 500 Index, and 
forward contracts based on the S&P 500 Index and ETFs designed to track 
the S&P 500 Index. The Fund's use of exchange-listed futures contracts 
and forward contracts is designed to allow the Fund to isolate its 
exposure to the growth of the level of expected dividends reflected in 
options on the S&P 500 Index and options on ETFs tracking the S&P 500 
Index, while minimizing the Fund's exposure to changes in the trading 
price of such securities. The Fund may also buy and sell OTC options on 
the S&P 500 Index and on ETFs designed to track the S&P 500 Index.
    The Fund may enter into dividend and total return swap transactions 
(including equity swap transactions) based on the S&P 500 Index and 
ETFs designed to track the S&P 500 Index.\15\ In a typical swap 
transaction, one party agrees to make periodic payments to another 
party (``counterparty'') based on the change in market value or level 
of a specified rate, index, or asset. In return, the counterparty 
agrees to make periodic payments to the first party based on the return 
of a different specified rate, index, or asset. Swap transactions are 
usually done on a net basis, with the Fund receiving or paying only the 
net amount of the two payments. In a typical dividend swap transaction, 
the Fund would pay the swap counterparty a premium and would be 
entitled to receive the value of the actual dividends paid on the 
subject index during the term of the swap contract. In a typical total 
return swap, the Fund might exchange long or short exposures to the 
return of the underlying securities or index to isolate the value of 
the dividends paid on the underlying securities or index constituents. 
The Fund also may engage in interest rate swap transactions. In a 
typical interest rate swap transaction one stream of future interest 
payments is exchanged for another. Such transactions often take the 
form of an exchange of a fixed payment for a variable payment based on 
a future interest rate. The Fund intends to use interest rate swap 
transactions to manage or hedge exposure to interest rate fluctuations.
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    \15\ The Fund will transact only with swap dealers that have in 
place an ISDA agreement with the Fund.
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    The Fund may invest up to 20% of its assets (exclusive of 
collateral held from securities lending, if any) in exchange-listed 
equity securities and derivative instruments (specifically, futures 
contracts, forward contracts, and swap transactions) \16\ relating to 
the Index and its component securities that the Adviser believes will 
help the Fund track the Index. For example, the Fund may buy and sell 
ETFs and, to a limited extent, individual large-capitalization equity 
securities listed and traded on a U.S. national securities exchange.
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    \16\ Where practicable, the Fund intends to invest in swaps 
cleared through a central clearing house (``Cleared Swaps''). 
Currently, only certain of the interest rate swaps in which the Fund 
intends to invest are Cleared Swaps, while the dividend and total 
return swaps (including equity swaps) in which the Fund may invest 
are currently not Cleared Swaps.
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    The Fund may invest in the securities of other investment companies

[[Page 45576]]

(including money market funds) to the extent permitted under the 1940 
Act.
    The Fund's short positions and its investments in swaps, futures 
contracts, forward contracts, and options based on the S&P 500 Index 
and ETFs designed to track the S&P 500 Index will be backed by 
investments in cash, high-quality short-term debt securities, and 
money-market instruments in an amount equal to the Fund's maximum 
liability under the applicable position or contract, or will otherwise 
be offset in accordance with Section 18 of the 1940 Act. Short-term 
debt securities and money market instruments include shares of fixed 
income or money market mutual funds, commercial paper, certificates of 
deposit, bankers' acceptances, U.S. Government Securities (including 
securities issued or guaranteed by the U.S. government or its 
authorities, agencies, or instrumentalities), repurchase 
agreements,\17\ and bonds that are rated BBB or higher.
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    \17\ The Fund may enter into repurchase agreements with banks 
and broker-dealers. A repurchase agreement is an agreement under 
which securities are acquired by a fund from a securities dealer or 
bank subject to resale at an agreed-upon price on a later date. The 
acquiring fund bears a risk of loss in the event that the other 
party to a repurchase agreement defaults on its obligations and the 
fund is delayed or prevented from exercising its rights to dispose 
of the collateral securities.
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    In addition to the investments described above, and in a manner 
consistent with its investment objective, the Fund may invest a limited 
portion of its net assets in high-quality, short-term debt securities 
and money market instruments for cash management purposes.\18\
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    \18\ The Fund may invest in shares of money market mutual funds 
to the extent permitted by the 1940 Act.
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    The Fund will attempt to limit counterparty risk in non-cleared 
swap, forward, and OTC option contracts by entering into such contracts 
only with counterparties the Adviser believes are creditworthy and by 
limiting the Fund's exposure to each counterparty. The Adviser will 
monitor the creditworthiness of each counterparty and the Fund's 
exposure to each counterparty on an ongoing basis.\19\
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    \19\ The Fund will seek, where possible, to use counterparties, 
as applicable, whose financial status is such that the risk of 
default is reduced; however, the risk of losses resulting from 
default is still possible. The Adviser will evaluate the 
creditworthiness of counterparties on an ongoing basis. In addition 
to information provided by credit agencies, the Adviser will 
evaluate each approved counterparty using various methods of 
analysis, such as, for example, the counterparty's liquidity in the 
event of default, the counterparty's reputation, the Adviser's past 
experience with the counterparty, and the counterparty's share of 
market participation.
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    The Exchange represents that the Fund's investments in swaps, 
futures contracts, forward contracts, and options will be consistent 
with the Fund's investment objective and with the requirements of the 
1940 Act.\20\
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    \20\ To limit the potential risk associated with such 
transactions, the Fund will segregate or ``earmark'' assets 
determined to be liquid by the Adviser in accordance with procedures 
established by the Trust's Board of Trustees and in accordance with 
the 1940 Act (or, as permitted by applicable regulation, will enter 
into certain offsetting positions) to cover its obligations arising 
from such transactions. These procedures have been adopted 
consistent with Section 18 of the 1940 Act and related Commission 
guidance. In addition, the Fund will include appropriate risk 
disclosure in its offering documents, including leveraging risk. 
Leveraging risk is the risk that certain transactions of the Fund, 
including the Fund's use of derivatives, may give rise to leverage, 
causing the Fund to be more volatile than if it had not been 
leveraged. To mitigate leveraging risk, the Adviser will segregate 
or ``earmark'' liquid assets or otherwise cover the transactions 
that may give rise to such risk.
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4. Investment Restrictions of the Fund
    To the extent the Index concentrates (i.e., holds 25% or more of 
its total assets) in the securities of a particular industry or group 
of industries, the Fund will concentrate its investments to 
approximately the same extent as the Index.
    The Fund may hold up to an aggregate amount of 15% of its net 
assets in assets (calculated at the time of investment) deemed illiquid 
by the Adviser, consistent with Commission guidance.\21\ The Fund will 
monitor its portfolio liquidity on an ongoing basis to determine 
whether, in light of current circumstances, an adequate level of 
liquidity is being maintained, and will consider taking appropriate 
steps in order to maintain adequate liquidity if, through a change in 
values, net assets, or other circumstances, more than 15% of the Fund's 
net assets are held in illiquid assets. Illiquid assets include 
securities subject to contractual or other restrictions on resale and 
other instruments that lack readily available markets as determined in 
accordance with Commission staff guidance.
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    \21\ In reaching liquidity decisions, the Adviser may consider 
the following factors: The frequency of trades and quotes for the 
security; the number of dealers wishing to purchase or sell the 
security and the number of other potential purchasers; dealer 
undertakings to make a market in the security; and the nature of the 
security and the nature of the marketplace in which it trades (e.g., 
the time needed to dispose of the security, the method of soliciting 
offers, and the mechanics of transfer).
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    The Fund may make secured loans of its portfolio securities; 
however, securities loans will not be made if, as a result, the 
aggregate amount of all outstanding securities loans by the Fund 
exceeds 33 1/3% of its total assets (including the market value of 
collateral received). To the extent the Fund engages in securities 
lending, securities loans will be made to broker-dealers that the 
Adviser believes to be of relatively high credit standing pursuant to 
agreements requiring that the loans continuously be collateralized by 
cash, liquid securities, or shares of other investment companies with a 
value at least equal to the market value of the loaned securities.
    The Fund will be classified as a ``non-diversified'' investment 
company under the 1940 Act and intends to qualify for, and to elect 
treatment as, a separate regulated investment company under Subchapter 
M of the Internal Revenue Code. The Exchange represents that the Fund's 
investments will be consistent with its investment objective and will 
not be used to provide multiple returns of a benchmark or to produce 
leveraged returns.

II. Proceedings To Determine Whether To Approve or Disapprove SR-
NYSEArca-2014-41 and Grounds for Disapproval Under Consideration

    The Commission is instituting proceedings pursuant to Section 
19(b)(2)(B) of the Act \22\ to determine whether the proposed rule 
change should be approved or disapproved. Institution of such 
proceedings is appropriate at this time in view of the legal and policy 
issues raised by the proposed rule change. Institution of proceedings 
does not indicate that the Commission has reached any conclusions with 
respect to any of the issues involved. Rather, as described below, the 
Commission seeks and encourages interested persons to provide comments 
on the proposed rule change.
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    \22\ 15 U.S.C. 78s(b)(2)(B).
---------------------------------------------------------------------------

    Pursuant to Section 19(b)(2)(B) of the Act,\23\ the Commission is 
providing notice of the grounds for disapproval under consideration. 
The Commission is instituting proceedings to allow for additional 
analysis of the proposed rule change's consistency with Section 6(b)(5) 
of the Act, which requires, among other things, that the rules of a 
national securities exchange be ``designed to prevent fraudulent and 
manipulative acts and practices, to promote just and equitable 
principles of trade,'' and ``to protect investors and the public 
interest.'' \24\
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    \23\ Id.
    \24\ 15 U.S.C. 78f(b)(5).
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III. Procedure: Request for Written Comments

    The Commission requests that interested persons provide written

[[Page 45577]]

submissions of their views, data, and arguments with respect to the 
issues identified above, as well as any other concerns they may have 
with the proposal. In particular, the Commission invites the written 
views of interested persons concerning whether the proposal is 
consistent with Section 6(b)(5) or any other provision of the Act, or 
the rules and regulations thereunder. Although there do not appear to 
be any issues relevant to approval or disapproval that would be 
facilitated by an oral presentation of views, data, and arguments, the 
Commission will consider, pursuant to Rule 19b-4, any request for an 
opportunity to make an oral presentation.\25\
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    \25\ Section 19(b)(2) of the Act, as amended by the Securities 
Act Amendments of 1975, Public Law 94-29 (June 4, 1975), grants the 
Commission flexibility to determine what type of proceeding--either 
oral or notice and opportunity for written comments--is appropriate 
for consideration of a particular proposal by a self-regulatory 
organization. See Securities Act Amendments of 1975, Senate Comm. on 
Banking, Housing & Urban Affairs, S. Rep. No. 75, 94th Cong., 1st 
Sess. 30 (1975).
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    Interested persons are invited to submit written data, views, and 
arguments regarding whether the proposal should be approved or 
disapproved by August 26, 2014. Any person who wishes to file a 
rebuttal to any other person's submission must file that rebuttal by 
September 9, 2014.
    The Commission asks that commenters address the sufficiency of the 
Exchange's statements in support of the proposal, which are set forth 
in the Notice,\26\ as modified by Amendment Nos. 1 and 4 to the 
proposed rule change, in addition to any other comments they may wish 
to submit about the proposed rule change. In particular, the Commission 
seeks comment on the following:
---------------------------------------------------------------------------

    \26\ See supra note 3.
---------------------------------------------------------------------------

    1. Because the Index is designed to reflect changes in market 
expectations of future dividend growth, rather than to track actual 
dividend growth, is the Fund's investment strategy fundamentally based 
on an assumption that the options markets systemically underprice 
dividend growth? What are commenters' views regarding whether investors 
would be able to understand the strategy, risks, potential rewards, 
assumptions, and expected performance of the Fund's strategy?
    2. With respect to the trading of the Shares on the Exchange, do 
commenters believe that the Exchange's rules governing sales practices 
are adequately designed to ensure the suitability of recommendations 
regarding the Shares? Why or why not? If not, should the Exchange's 
rules governing sales practices be enhanced? If so, in what ways?
    3. How closely do commenters think the market price of the Shares 
will track the Fund's intraday indicative value (``IIV'') or the 
intraday value of the Index? Are certain of these values likely to be 
more volatile than others? If so, how would this affect trading in the 
Shares? Are the Shares likely to trade with a significant premium or 
discount to IIV? What are commenters' views of how effectively the IIV 
of the Fund would represent the Fund's portfolio? What are commenters' 
views of how the Shares' market price, the Fund's IIV, and the intraday 
value of the Index will relate to one another during times of market 
stress?
    4. Does the liquidity of the long-dated options in which the Fund 
will invest differ materially from that of the short-dated options in 
which the Fund will invest? If so, how would that affect the ability of 
market makers to engage in arbitrage or to hedge their positions while 
making a market in the Shares? Would the liquidity characteristics of 
the Index components or of the options in the Fund's portfolio affect 
the calculation of the Index value, the calculation of the Fund's IIV, 
the calculation of the Fund's NAV, or the ability of market makers or 
other market participants to value the Shares? If so, how?
    Comments may be submitted by any of the following methods:

Electronic Comments

     Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2014-41 on the subject line.

Paper Comments

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

All submissions should refer to File Numbers SR-NYSEArca-2014-41. 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 amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549, on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of these filings also will be available 
for inspection and copying at the principal office of the Exchange. 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-NYSEArca,2014-41 and should 
be submitted on or before August 26, 2014. Rebuttal comments should be 
submitted by September 9, 2014.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\27\
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    \27\ 17 CFR 200.30-3(a)(57).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-18388 Filed 8-4-14; 8:45 am]
BILLING CODE 8011-01-P