Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Listing and Trading Shares of ProShares Managed Futures Strategy; ProShares Commodity Managed Futures Strategy; and ProShares Financial Managed Futures Strategy Under NYSE Arca Equities Rule 8.200, 53223-53229 [2014-21247]
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Federal Register / Vol. 79, No. 173 / Monday, September 8, 2014 / Notices
declaring that it has ceased to be an
investment company. Applicant has
never made a public offering of its
securities and does not propose to make
a public offering or engage in business
of any kind.
Filing Dates: The application was
filed on June 5, 2014, and amended on
August 11, 2014.
Applicant’s Address: PHL Variable
Insurance Company, One American
Row, P.O. Box 5056, Hartford, CT
06102–5056.
KKR Alternative Corporate
Opportunities Fund [File No. 811–
22721]; KKR Alternative Corporate
Opportunities Fund P [File No. 811–
22722]
Summary: Each applicant, a closedend investment company, seeks an
order declaring that it has ceased to be
an investment company. On March 31,
2014, applicants made liquidating
distributions to their shareholders,
based on net asset value. KKR Asset
Management LLC, investment adviser to
both applicants, agreed to bear all
expenses incurred in connection with
the liquidations.
Filing Dates: The applications were
filed on June 27, 2014, and amended on
August 12, 2014.
Applicants’ Address: 555 California
St., 50th Floor, San Francisco, CA
94104.
Cohen & Steers Emerging Markets Real
Estate Fund, Inc. [File No. 811–21894]
Summary: Applicant seeks an order
declaring that it has ceased to be an
investment company. On April 28,
2014, applicant made a liquidating
distribution to its shareholders, based
on net asset value. Expenses of $17,316
incurred in connection with the
liquidation were paid by applicant.
Filing Date: The application was filed
on July 29, 2014.
For the Commission, by the Division of
Investment Management, pursuant to
delegated authority.
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2014–21252 Filed 9–5–14; 8:45 am]
BILLING CODE 8011–01–P
rmajette on DSK2TPTVN1PROD with NOTICES
SECURITIES AND EXCHANGE
COMMISSION
Notice is hereby given, pursuant to
the provisions of the Government in the
Sunshine Act, Public Law 94–409, that
the Securities and Exchange
Commission will hold a Closed Meeting
15:14 Sep 05, 2014
Jkt 232001
Dated: September 4, 2014.
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2014–21454 Filed 9–4–14; 4:15 pm]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–72954; File No. SR–
NYSEArca–2014–91]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change Relating to Listing and
Trading Shares of ProShares Managed
Futures Strategy; ProShares
Commodity Managed Futures Strategy;
and ProShares Financial Managed
Futures Strategy Under NYSE Arca
Equities Rule 8.200
September 2, 2014.
Sunshine Act Meeting
VerDate Mar<15>2010
on Thursday, September 11, 2014 at
2:00 p.m.
Commissioners, Counsel to the
Commissioners, the Secretary to the
Commission, and recording secretaries
will attend the Closed Meeting. Certain
staff members who have an interest in
the matters also may be present.
The General Counsel of the
Commission, or her designee, has
certified that, in her opinion, one or
more of the exemptions set forth in 5
U.S.C. 552b(c)(3), (5), (7), 9(B) and (10)
and 17 CFR 200.402(a)(3), (5), (7), 9(ii)
and (10), permit consideration of the
scheduled matter at the Closed Meeting.
Commissioner Piwowar, as duty
officer, voted to consider the items
listed for the Closed Meeting in closed
session.
The subject matter of the Closed
Meeting will be:
Settlement of injunctive actions;
Institution settlement of
administrative proceedings;
Consideration of amicus participation
other matters relating to enforcement
proceedings.
At times, changes in Commission
priorities require alterations in the
scheduling of meeting items.
For further information and to
ascertain what, if any, matters have been
added, deleted or postponed, please
contact the Office of the Secretary at
(202) 551–5400.
Pursuant to Section 19(b)(1) 1 of the
Securities Exchange Act of 1934
(‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that, on August
1 15
U.S.C.78s(b)(1).
U.S.C. 78a.
3 17 CFR 240.19b–4.
2 15
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Frm 00062
Fmt 4703
53223
18, 2014, NYSE Arca, Inc. (‘‘Exchange’’
or ‘‘NYSE Arca’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the self-regulatory 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 list and
trade shares of the following under
NYSE Arca Equities Rule 8.200 (‘‘Trust
Issued Receipts’’): ProShares Managed
Futures Strategy; ProShares Commodity
Managed Futures Strategy; and
ProShares Financial Managed Futures
Strategy. The text of the proposed rule
change is available on the Exchange’s
Web site at www.nyse.com, at the
principal office of the Exchange, and at
the Commission’s Public Reference
Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
self-regulatory organization included
statements concerning the purpose of,
and basis for, the proposed rule change
and discussed any comments it received
on the proposed rule change. The text
of those statements may be examined at
the places specified in Item IV below.
The Exchange has prepared summaries,
set forth in sections A, B, and C below,
of the most significant parts of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange proposes to list and
trade shares (‘‘Shares’’) of the following
under Commentary .02 to NYSE Arca
Equities Rule 8.200, which governs the
listing and trading of Trust Issued
Receipts that invest in ‘‘Investment
Shares’’ or ‘‘Financial Instruments’’, as
defined therein: ProShares Managed
Futures Strategy; ProShares Commodity
Managed Futures Strategy; and
ProShares Financial Managed Futures
Strategy (each a ‘‘Fund’’ and,
collectively, the ‘‘Funds’’).4
4 For a description of ProShares Managed Futures
Strategy, see the Trust’s registration statement on
Form S–1, dated June 18, 2014 (File No. 333–
196884). For a description of ProShares Commodity
Continued
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E:\FR\FM\08SEN1.SGM
08SEN1
53224
Federal Register / Vol. 79, No. 173 / Monday, September 8, 2014 / Notices
Each Fund is a series of the ProShares
Trust II (‘‘Trust’’), a Delaware statutory
trust. ProShare Capital Management
LLC (‘‘Sponsor’’) is the Trust’s Sponsor
and Wilmington Trust Company is the
Trust’s trustee. Brown Brothers
Harriman & Co. serves as the
administrator (‘‘Administrator’’),
custodian, and transfer agent of the
Funds. SEI Investments Distribution Co.
serves as distributor of the Shares
(‘‘Distributor’’).
The Commission originally approved
listing and trading of the Shares of the
Funds on NYSE Arca.5 The Commission
subsequently approved listing and
trading of Shares of the Funds on the
BATS Exchange, Inc. (‘‘BATS
Exchange’’ or ‘‘BATS).6 Shares of the
Funds have not commenced listing and
trading on any national securities
exchange. The Trust now wishes to list
and trade Shares of the Funds on NYSE
Arca.
Description of the Shares and the Funds
According to the Registration
Statement, ProShares Managed Futures
Strategy will seek to provide investment
results (before fees and expenses) that
rmajette on DSK2TPTVN1PROD with NOTICES
Managed Futures Strategy, see the Trust’s
registration statement on Form S–1/A, dated
January 16, 2013 (File No. 333–185288). For a
description of ProShares Financial Managed
Futures Strategy, see the Trust’s registration
statement on Form S–1/A, dated February 14, 2012
(File No. 333–178212). Each of the above-referenced
registration statements is referred to herein as a
‘‘Registration Statement’’ and, collectively, the
Trust’s registration statements are referred to herein
as the ‘‘Registration Statements’’. The description of
the Funds and the Shares contained herein is based,
in part, on the Registration Statements.
5 See Securities Exchange Act Release Nos. 66002
(December 19, 2011), 76 FR 80433 (December 23,
2011) (SR–NYSEArca–2011–94) (‘‘NYSE Arca
Notice’’); 66334 (February 6, 2012), 77 FR 7219
(February 10, 2012) (SR–NYSEArca–2011–94)
(order approving listing and trading on NYSE Arca
of Shares of ProShares Managed Futures Strategy;
ProShares Commodity Managed Futures Strategy;
and ProShares Financial Managed Futures Strategy)
(‘‘NYSE Arca Order’’, and, together with the NYSE
Arca Notice, the ‘‘NYSE Arca Release’’).
6 See Securities Exchange Act Release Nos. 68257
(November 19, 2012), 77 FR 70500 (November 26,
2012) (SR–BATS–2012–044) (notice of proposed
rule change to list and trade on BATS of ProShares
Managed Futures Strategy; ProShares Commodity
Managed Futures Strategy; and ProShares Financial
Managed Futures Strategy) (‘‘BATS Notice’’); 68619
(January 10, 2013), 78 FR 3489 (January 16, 2013)
(SR–BATS–2012–044) (order approving listing and
trading on BATS Exchange of ProShares Managed
Futures Strategy; ProShares Commodity Managed
Futures Strategy; and ProShares Financial Managed
Futures Strategy) (‘‘BATS Order’’, and together with
the BATS Notice, the ‘‘BATS Release’’).
VerDate Mar<15>2010
15:14 Sep 05, 2014
Jkt 232001
correspond to the performance of the
S&P Strategic Futures Index (‘‘SFI’’ or
‘‘Index’’). ProShares Commodity
Managed Futures Strategy and
ProShares Financial Managed Futures
Strategy will seek to provide investment
results (before fees and expenses) that
correspond to the performance of a subindex of the Index (‘‘Sub-Index’’).7
ProShares Commodity Managed Futures
Strategy will seek to provide investment
results (before fees and expenses) that
correspond to the performance of the
S&P Strategic Commodities Futures
Index (‘‘SCFI’’), a Sub-Index of the SFI.
ProShares Financial Managed Futures
Strategy will seek to provide investment
results (before fees and expenses) that
correspond to the performance of the
S&P Strategic Financial Futures Index
(‘‘SFFI’’), another Sub-Index of the SFI.8
The description of the Index and SubIndexes to be utilized by the Funds (i.e.,
SFI, SCFI and SFFI) has been modified
in the following respects from the DFI
and their sub-indexes as described in
the BATS Release:
The SFI, SCFI and SFFI weight each
component based on an equal risk
contribution methodology, rather than
the current methodology for the DFI and
its sub-indexes, which utilize
production levels (for weightings of the
7 Previously, as described in the BATS Release
and the NYSE Arca Release, ProShares Managed
Futures Strategy sought to provide investment
results (before fees and expenses) that corresponded
to the performance of the S&P Dynamic Futures
Index (the ‘‘DFI’’), and ProShares Commodity
Managed Futures Strategy and ProShares Financial
Managed Futures sought to provide investment
results (before fees and expenses) that corresponded
to the performance of a sub-index of the DFI. The
SFI is a new index that is based on and is
substantially similar to the DFI and each of the SubIndexes is substantially similar to its corresponding
sub-index of the DFI (i.e., the S&P Dynamic
Commodities Futures Index and the S&P Dynamic
Financial Futures Index, respectively) except as
further described below.
8 The Index (like the DFI) is composed of
unleveraged positions in U.S. exchange-traded
futures contracts on sixteen different tangible
commodities (‘‘Commodity Futures Contracts’’), as
well as U.S. exchange-traded futures contracts on
eight different financials, such as major currencies
and U.S. Treasury securities (‘‘Financial Futures
Contracts’’ and together with the Commodity
Futures Contracts, ‘‘Index Components’’). 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’’). The Index Components in which the
Funds will invest are referred to herein as ‘‘Futures
Contracts’’.
PO 00000
Frm 00063
Fmt 4703
Sfmt 4703
Commodity Futures Contracts) and
gross domestic product (‘‘GDP’’) (for
weightings of the Financial Futures
Contracts). The Index Components are
rebalanced each month based on the
historical volatility of each Index
Component, as well as the correlation of
each Index Component to the other
contracts included in the SFI. The
objective of this methodology is that no
single Index Component exposes the
SFI, SCFI and SFFI to greater risk than
any other Index Component.
Due to this change, there is no longer
an annual weighting process; weights
are determined (and the Index is
correspondingly repositioned) on a
monthly basis.
Index Component weights are
determined monthly (based on an equal
risk contribution methodology, as
referenced above). These weights are
implemented as of each monthly
rebalance.
Index Component weights are fixed
each year and rebalanced back to their
annual base weight monthly. During
this monthly rebalancing, the Index will
also ‘‘roll’’ certain of its positions from
the current contract to a contract further
from settlement.
With the exception of the changes
described above and in information
included in ‘‘The Index and the SubIndexes’’ below, all representations
made in the BATS Release, including
those pertaining to the methodology for
the Index and the Sub-Indexes, remain
as described therein. The components of
the SFI, SCFI and SFFI are identical to
the components of the DFI and the
corresponding sub-indexes of the DFI,
except that weightings of components of
the SFI and the Sub-Indexes differ from
the weightings of components of the DFI
and its corresponding sub-indexes.
The Index and the Sub-Indexes
The following charts reflect the
weighting schemes for the Index and
each Sub-Index as of May 31, 2014. The
weights will be determined each month
and implemented as of the next monthly
rebalancing. For the Index, the initial
Index weights, together with
information about the exchange and
trading hours for each Index
Component, are as follows (rounded to
the nearest one-hundredth):
E:\FR\FM\08SEN1.SGM
08SEN1
53225
Federal Register / Vol. 79, No. 173 / Monday, September 8, 2014 / Notices
INDEX WEIGHTS
Sub-index
SCFI ............
Weight
(%)
52.36
Weight
(%)
Sector
Energy .....................
Weight
(%)
Component
11.72
Exchange
Trading hours 9
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
10:05 a.m.–2:55
p.m.; Daily trading
halts: 5:00 p.m.–
6:00p.m.
10:05 a.m.–2:55
p.m.; Daily trading
halts 5:00 p.m.–
6:00 p.m.
8:00 p.m.–2:15 p.m.
next day.
8:00 p.m.–2:15 p.m.
next day.
8:00 p.m.–2:15 p.m.
next day.
4:15 a.m.–1:30 p.m.
4:45 a.m.–1:30 p.m.
3:30 a.m.–1:00 p.m.
9:00 p.m.–2:20 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:15 p.m.
next day.
6:00 p.m.–5:00 p.m.
next day.
6:00 p.m.–5:00 p.m.
next day.
Light Crude ..............
3.02
NYMEX (CME) ........
Heating Oil ...............
3.21
NYMEX (CME) ........
RBOB Gasoline .......
3.22
NYMEX (CME) ........
Natural Gas .............
2.27
NYMEX (CME) ........
Industrial Metals ......
3.207
Copper .....................
3.32
COMEX (CME) ........
Precious Metals .......
5.09
Gold .........................
1.99
COMEX (CME) ........
Silver ........................
1.37
COMEX (CME) ........
Lean Hogs ...............
4.59
CME .........................
Live Cattle ................
9.64
CME .........................
Corn .........................
2.24
CBOT (CME) ...........
Soybeans .................
2.89
CBOT (CME) ...........
Wheat ......................
2.96
CBOT (CME) ...........
ICE
ICE
ICE
ICE
Livestock ..................
14.23
Grains ......................
8.08
Softs ........................
Australian Dollar ......
4.78
Australian Dollar ......
................
CME .........................
6.35
British Pound ...........
................
CME .........................
6.67
Canadian Dollar .......
................
CME .........................
Euro .........................
5.72
Euro .........................
................
CME .........................
Japanese Yen .........
4.96
Japanese Yen .........
................
CME .........................
Swiss Franc .............
5.07
Swiss Franc .............
................
CME .........................
U.S. Treasury
Notes.10
U.S. Treasury
Bonds.11
Totals ...
1.58
3.70
3.24
3.13
Canadian Dollar .......
47.64
Coffee ......................
Cocoa ......................
Sugar .......................
Cotton ......................
British Pound ...........
SFFI .............
11.65
8.39
U.S. Treasury Notes
................
CBOT (CME) ...........
5.71
U.S. Treasury Bonds
................
CBOT (CME) ...........
100
100
...........................
...........................
...........................
...........................
100
For the SCFI, the initial Sub-Index
weightings are as follows:
SCFI WEIGHTS
Weight
(%)
rmajette on DSK2TPTVN1PROD with NOTICES
Sector
Energy ..........................................................................
22.41
Industrial Metals ...........................................................
6.34
9 All times are Eastern Time (‘‘E.T.’’, inclusive of
electronic and open outcry trading sessions, as
applicable.
VerDate Mar<15>2010
17:23 Sep 05, 2014
Jkt 232001
Component
Light Crude ...................................................................
Heating Oil ....................................................................
RBOB Gasoline ............................................................
Natural Gas ..................................................................
Copper ..........................................................................
10 ‘‘U.S. Treasury Notes’’ refers to 10 year U.S.
Treasury Note futures.
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Frm 00064
Fmt 4703
Sfmt 4703
Weight
(%)
5.78
6.16
6.15
4.32
6.34
11 ‘‘U.S. Treasury Bonds’’ refers to those futures
with underlying bonds of a remaining term to call
or maturity of 15–25 years.
E:\FR\FM\08SEN1.SGM
08SEN1
53226
Federal Register / Vol. 79, No. 173 / Monday, September 8, 2014 / Notices
SCFI WEIGHTS—Continued
Weight
(%)
Sector
Component
Precious Metals ............................................................
6.42
Livestock .......................................................................
27.72
Grains ...........................................................................
15.43
Softs ..............................................................................
22.18
Total .......................................................................
Gold ..............................................................................
Silver .............................................................................
Lean Hogs ....................................................................
Live Cattle .....................................................................
Corn ..............................................................................
Soybeans ......................................................................
Wheat ...........................................................................
Coffee ...........................................................................
Cocoa ...........................................................................
Sugar ............................................................................
Cotton ...........................................................................
Weight
(%)
3.81
2.61
8.74
18.48
4.27
5.51
5.65
3.02
7.01
6.19
5.96
100
100
Finally, for the SFFI, the initial SubIndex weightings are as follows:
SFFI WEIGHTS
Weight
(%)
Sector
Component
Australian Dollar ...........................................................
British Pound ................................................................
Canadian Dollar ............................................................
Euro ..............................................................................
Japanese Yen ...............................................................
Swiss Franc ..................................................................
U.S. Treasury Notes .....................................................
U.S. Treasury Bonds ....................................................
10.03
13.30
14.02
11.97
10.41
10.61
17.64
12.01
Total .......................................................................
100
The Exchange does not believe the
changes to the SFI methodology will
adversely impact investors. The Sponsor
represents that an equal risk
contribution methodology and monthly
rebalancing (rather than an annual
weighting process) of SFI components
may reduce volatility of the Index and
Sub-Indexes and the price of the Funds’
Shares, and may reduce the likelihood
that comparatively greater volatility in
one or more Index Components will
contribute to increased volatility in the
price of the Funds’ Shares.
Australian Dollar ...........................................................
British Pound ................................................................
Canadian Dollar ............................................................
Euro ..............................................................................
Japanese Yen ...............................................................
Swiss Franc ..................................................................
U.S. Treasury Notes .....................................................
U.S. Treasury Bonds ....................................................
rmajette on DSK2TPTVN1PROD with NOTICES
Net Asset Value
The Exchange will obtain a
representation (prior to listing of a
Fund’s Shares) from the Trust that the
net asset value (‘‘NAV’’) per Share will
be calculated daily and made available
to all market participants at the same
time.
Intraday Indicative Value
An estimated value (the ‘‘Intraday
Indicative Value’’ or ‘‘IIV’’) that reflects
a current estimated intraday value of
Futures Contracts and other applicable
holdings, cash and receivables, less
liabilities of each Fund, will be
disseminated.
For each Fund, the IIV will be widely
disseminated on a per Share basis by
12 Currently, it is the Exchange’s understanding
that several major market data vendors display and/
or make widely available IIVs taken from
Consolidated Tape Association (‘‘CTA’’) or other
data feeds.
13 The value of the IIV will be based on the
underlying Futures Contracts. Once a particular
Futures Contract settles, a static closing value for
that Futures Contract will be used to calculate the
IIV, which will continue to update based on any
other Futures Contracts that have not reached their
settlement time.
16:40 Sep 05, 2014
Jkt 232001
PO 00000
Frm 00065
Fmt 4703
10.03
13.30
14.02
11.97
10.41
10.61
17.64
12.01
........................
one or more major market data vendors
every 15 seconds during the Exchange’s
Core Trading Session (9:30 a.m. to 4:00
p.m. E.T.)12 The value of a Share may
be influenced by non-concurrent trading
hours between the Exchange and the
applicable Futures Exchanges trading
Futures Contracts when the Shares are
traded on the Exchange after normal
trading hours of such Futures
Exchanges.
The IIV will be updated during the
Core Trading Session when applicable
Futures Exchanges are trading any
Futures Contracts held by a Fund.
However, the IIV that will be
disseminated between 11:50 a.m. E.T.
and the end of the Core Trading Session
will be impacted by static values for
certain Futures Contracts.13
For the Funds, the IIV will be
calculated throughout the Core Trading
Session using the prior day’s closing
VerDate Mar<15>2010
Weight
(%)
Sfmt 4703
NAV of a Fund as a base and updating
throughout the trading day changes in
the value of a Fund’s Futures Contracts,
cash equivalents, swap agreements, if
applicable, and other applicable
holdings. The IIV should not be viewed
as an actual real-time update of the NAV
because NAV is calculated only once
each trading day at 3:00 p.m. E.T. The
IIV also should not be viewed as a
precise value of the Shares.
Dissemination of the IIV provides
additional information that is not
otherwise available to the public in such
form and may be useful to investors and
market professionals in connection with
the trading of Shares.
Availability of Information Regarding
the Shares
The Web site for the Funds
(www.ProShares.com) and/or the
Exchange, which are publicly accessible
at no charge, will contain the following
information: (a) The current NAV per
Share daily and the prior business day’s
NAV per Share; (b) calculation of the
premium or discount between the NAV
per Share and the price or mid-point of
the Bid/Ask Price of the Funds as of the
E:\FR\FM\08SEN1.SGM
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Federal Register / Vol. 79, No. 173 / Monday, September 8, 2014 / Notices
time the NAV is calculated or as of the
official market close; (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. The Exchange will
also make available on its Web site daily
trading volume of the Shares. Daily
trading volume information will also be
available in the financial section of
newspapers, their related Web sites or
other financial Web sites, through
subscription services, which can be
accessed by authorized participants and
other investors, as well as through other
electronic services, including major
public Web sites. The intra-day, closing,
and settlement prices of the Futures
Contracts are also readily available, as
applicable, from the respective Futures
Exchanges. Quotation and last-sale
information for the Shares will be
available via the CTA high-speed line.
Portfolio Disclosure
Each Fund’s total portfolio
composition will be disclosed on such
Fund’s Web site or another relevant
Web site as determined by the Trust
and/or the Exchange. The Trust will
provide Web site disclosure of portfolio
holdings daily and will include, as
applicable, the names, exposure value
(in U.S. dollars) and number of Futures
Contracts or units of swaps held by a
Fund, if any, and the amount of cash or
cash equivalents and other assets held
in the portfolio of each Fund. This
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,
each investor will have access to the
current portfolio composition of the
Funds through the Funds’ Web site,
and/or at the Exchange’s Web site.
rmajette on DSK2TPTVN1PROD with NOTICES
Availability of Information About the
Index and Sub-Indexes
The daily closing Index level and the
percentage change in the daily closing
Index level for the Index and each SubIndex will be publicly available from
one or more major market data vendors.
Data regarding the Index and each SubIndex, updated every 15 seconds, is also
available from Standard & Poor’s on a
subscription basis.
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Several independent data vendors
also package and disseminate Index and
Sub-Index data in various formats
(including vendors displaying both
Index constituents and Index levels and
vendors displaying Index levels only).
Data regarding the Index Components is
also 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. Information relating to the
weighting of Index constituents and the
rules-based Index methodology is also
available on the Web site for S&P Dow
Jones Indices at www.us.spindices.com.
Trading Rules
The Exchange deems the Shares to be
equity securities, thus rendering trading
in the Shares subject to the Exchange’s
existing rules governing the trading of
equity securities. Shares will trade on
the NYSE Arca Marketplace from 4:00
a.m. to 8:00 p.m. E.T. in accordance
with NYSE Arca Equities Rule 7.34
(Opening, Core, and Late Trading
Sessions). The Exchange has
appropriate rules to facilitate
transactions in the Shares during all
trading sessions. As provided in NYSE
Arca Equities Rule 7.6, Commentary .03,
the minimum price variation (‘‘MPV’’)
for quoting and entry of orders in equity
securities traded on the NYSE Arca
Marketplace is $0.01, with the exception
of securities that are priced less than
$1.00 for which the MPV for order entry
is $0.0001.
The Shares will conform to the initial
and continued listing criteria under
NYSE Arca Equities Rule 8.200. The
Exchange represents that, for initial
and/or continued listing, each Fund will
be in compliance with Rule 10A–3 14
under the Act, as provided by NYSE
Arca Equities Rule 5.3. A minimum of
100,000 Shares for each Fund will be
outstanding at the commencement of
trading on the Exchange.
The trading of the Shares will be
subject to NYSE Arca Equities Rule
8.200, Commentary .02(e), which sets
forth certain restrictions on Equity
Trading Permit (‘‘ETP’’) Holders acting
as registered Market Makers in TIRs to
facilitate surveillance. See
‘‘Surveillance’’ below for more
information.
With respect to trading halts, the
Exchange may consider all relevant
factors in exercising its discretion to
halt or suspend trading in the Shares.
Trading may be halted because of
market conditions or for reasons that, in
14 17
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Frm 00066
Fmt 4703
Sfmt 4703
53227
the view of the Exchange, make trading
in the Shares inadvisable. These may
include: (1) The extent to which trading
is not occurring in the underlying
Futures Contracts, or (2) whether other
unusual conditions or circumstances
detrimental to the maintenance of a fair
and orderly market are present. In
addition, trading in Shares will be
subject to trading halts caused by
extraordinary market volatility pursuant
to the Exchange’s ‘‘circuit breaker’’
rule 15 or by the halt or suspension of
trading of the underlying Index
Components.
The Exchange represents that the
Exchange may halt trading during the
day in which an interruption to the
dissemination of the IIV, the level of the
Index (or Sub-Index) or the value of the
underlying Index Components occurs. If
an interruption to the dissemination of
the IIV, the level of the Index (or SubIndex) or the value of the underlying
Index Components 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. In addition,
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.
Surveillance
The Exchange represents that trading
in the Shares will be subject to the
existing trading surveillances,
administered by the Financial Industry
Regulatory Authority (‘‘FINRA’’) on
behalf of the Exchange, which are
designed to detect violations of
Exchange rules and applicable federal
securities laws.16 The Exchange
represents that these procedures are
adequate to properly monitor Exchange
trading of the Shares in all trading
sessions and to deter and detect
violations of Exchange rules and federal
securities laws applicable to trading on
the Exchange.
The surveillances referred to above
generally focus on detecting securities
trading outside their normal patterns,
which could be indicative of
manipulative or other violative activity.
When such situations are detected,
surveillance analysis follows and
investigations are opened, where
appropriate, to review the behavior of
all relevant parties for all relevant
trading violations.
15 See
NYSE Arca Equities Rule 7.12.
surveils trading on the Exchange
pursuant to a regulatory services agreement. The
Exchange is responsible for FINRA’s performance
under this regulatory services agreement.
16 FINRA
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rmajette on DSK2TPTVN1PROD with NOTICES
FINRA, on behalf of the Exchange,
will communicate as needed regarding
trading in the Shares and underlying
futures with other markets and other
entities that are members of the
Intermarket Surveillance Group (‘‘ISG’’),
and FINRA, on behalf of the Exchange,
may obtain trading information
regarding trading in the Shares and
underlying futures from such markets
and other entities. In addition, the
Exchange may obtain information
regarding trading in the Shares and
underlying futures from markets and
other entities that are members of ISG or
with which the Exchange has in place
a comprehensive surveillance sharing
agreement.17 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 ISG.
FINRA, on behalf of the Exchange, is
able to access, as needed, trade
information for certain fixed income
securities held by the Funds reported to
FINRA’s Trade Reporting and
Compliance Engine (‘‘TRACE’’).
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.
In addition, the Exchange also has a
general policy prohibiting the
distribution of material, non-public
information by its employees.
Information Bulletin
Prior to the commencement of
trading, the Exchange will inform its
ETP Holders in an Information Bulletin
(‘‘Bulletin’’) of the special
characteristics and risks associated with
trading the Shares. Specifically, the
Bulletin will discuss the following: (1)
The procedures for purchases and
redemptions of Shares in ‘‘Creation
Unit’’ aggregations (and that Shares are
not individually redeemable); (2) 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; (3) the risks involved
in trading the Shares during the
Opening and Late Trading Sessions
when an updated IIV will not be
calculated or publicly disseminated; (4)
17 For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all
Futures Contracts may trade on markets that are
members of ISG or with which the Exchange has in
place a comprehensive surveillance sharing
agreement.
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15:14 Sep 05, 2014
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how information regarding the IIV, each
Fund’s portfolio and the Index and SubIndexes is disseminated; (5) 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 (6) trading information.
In addition, the Bulletin will
reference that the Funds are subject to
various fees and expenses described in
the Registration Statements. The
Bulletin will discuss any exemptive, noaction, and interpretive relief granted by
the Commission from any rules under
the Act. The Bulletin will also disclose
that the NAV for the Shares will be
calculated after 4:00 p.m. E.T. each
trading day.
The Information Circular will disclose
that information about the Shares of the
Funds will be publicly available on the
Funds’ Web site.
2. Statutory Basis
The basis under the Act for this
proposed rule change is the requirement
under Section 6(b)(5) 18 that an
exchange have rules that are designed to
prevent fraudulent and manipulative
acts and practices, to promote just and
equitable principles of trade, to remove
impediments to, and perfect the
mechanism of a free and open market
and, in general, to protect investors and
the public interest.
The Exchange believes that the
proposed rule change is designed to
prevent fraudulent and manipulative
acts and practices in that the Shares will
be listed and traded on the Exchange
pursuant to the initial and continued
listing criteria in NYSE Arca Equities
Rule 8.200 and Commentary .02 thereto.
The Exchange has in place surveillance
procedures that are adequate to properly
monitor trading in the Shares in all
trading sessions and to deter and detect
violations of Exchange rules and
applicable federal securities laws. The
Exchange may obtain information via
ISG from other exchanges that are
members of ISG or with which the
Exchange has entered into a
comprehensive surveillance sharing
agreement. The Index Components are
traded on the Futures Exchanges, each
of which is an ISG member, and
information regarding trading in the
Index Components is available from the
Web sites of the respective Futures
Exchanges and from major market data
vendors. 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
18 15
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Frm 00067
Fmt 4703
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. Standard & Poor’s has
implemented procedures designed to
prevent the use and dissemination of
material, non-public information
regarding the Index and Sub-Indexes.
Data regarding the commodities,
currencies and Treasury securities
underlying the Index Components is
publicly available from various financial
information service providers. The
Exchange may halt trading during the
day in which an interruption to the
dissemination of the IIV, the level of the
Index (or Sub-Index) or the value of the
underlying Index Components occurs. If
an interruption to the dissemination of
the IIV, the level of the Index (or SubIndex) or the value of the underlying
Index Components 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. Quotation
and last sale information for the Shares
will be available via CTA. Each Fund’s
total portfolio composition will be
disclosed on the Funds’ Web site.
The Exchange believes the proposed
rule change is designed to protect
investors and the public interest in that
the Commission has previously
approved listing an trading of Shares of
the Funds on the Exchange and BATS,19
and, with the exception of the changes
described in ‘‘Description of the Shares
and the Funds’’ and in information
included in ‘‘The Index and the SubIndexes’’ above, all representations
made in the BATS Release remain as
described therein. The Exchange
believes the changes described above
help perfect the mechanism of a free
and open market and, in general, to
protect investors and the public interest
in that the components of the SFI, SCFI
and SFFI are identical to the
components of the DFI and its subindexes except that individual Index
and Sub-Index components are
weighted differently. The SFI, SCFI and
SFFI weight each component based on
an equal risk contribution methodology,
rather than the current methodology for
the DFI and its sub-indexes, which
utilize production levels (for weightings
of the Commodity Futures Contracts)
and GDP (for weightings of the
Financial Futures Contracts). In
addition, the Index Components are
rebalanced each month based on the
historical volatility of each Index
Component, as well as the correlation of
19 See
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08SEN1
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each Index Component to the other
contracts included in the SFI. The
objective of this methodology is that no
single Index Component exposes the
SFI, SCFI and SFFI to greater risk than
any other Index Component. The
Exchange does not believe the changes
to the SFI methodology will adversely
impact investors in that the Sponsor
represents that a monthly equal risk
contribution methodology (rather than
an annual weighting process based on,
as applicable, production and GDP
factors) of SFI components may reduce
volatility of the Index and Sub-Indexes,
and by extension the price of the Funds’
Shares, and may reduce the likelihood
that comparatively greater volatility in
one or more Index Components will
contribute to increased volatility in the
price of the Funds’ Shares. Furthermore,
such changes may benefit performance
by granting an equal importance to
beneficial trends in each market, rather
than exaggerating the importance of one
market over another based on outside
factors such as the relative size of
market.
The proposed rule change is designed
to promote just and equitable principles
of trade and to protect investors and the
public interest in that a large amount of
information is publicly available
regarding the Funds and the Shares,
thereby promoting market transparency.
The NAV per Share will be calculated
daily and made available to all market
participants at the same time. One or
more major market data vendors will
disseminate for the Funds on a daily
basis information with respect to the
recent NAV per Share and Shares
outstanding. For each Fund, the IIV 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.
The proposed rule change is designed
to perfect the mechanism of a free and
open market and, in general, to protect
investors and the public interest in that
it will facilitate the listing and trading
of additional types of exchange-traded
products that will enhance competition
among market participants, to the
benefit of investors and the marketplace.
As noted above, the Exchange has in
place surveillance procedures relating to
trading in the Shares and may obtain
information via ISG from other
exchanges that are members of ISG or
with which the Exchange has entered
into a comprehensive surveillance
sharing agreement. In addition, as noted
above, investors will have ready access
to information regarding the Funds’
holdings, IIV, and quotation and last
sale information for the Shares.
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B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purpose of the Act. The Exchange
notes that the proposed rule change will
facilitate the listing and trading of
exchange-traded products that are based
on futures indexes and that will
enhance competition among market
participants, to the benefit of investors
and the marketplace.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
No written comments were solicited
or received with respect to the proposed
rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule
change does not: (i) Significantly affect
the protection of investors or the public
interest; (ii) impose any significant
burden on competition; and (iii) become
operative for 30 days from the date on
which it was filed, or such shorter time
as the Commission may designate, if
consistent with the protection of
investors and the public interest, the
proposed rule change has become
effective pursuant to Section 19(b)(3)(A)
of the Act 20 and Rule 19b–4(f)(6)(iii)
thereunder.21
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. If the
Commission takes such action, the
Commission will institute proceedings
to determine whether the proposed rule
change should be approved or
disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
20 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6). In addition, Rule 19b–
4(f)(6) requires a self-regulatory organization to give
the Commission written notice of its intent to file
the proposed rule change at least five business days
prior to the date of filing of the proposed rule
change, or such shorter time as designated by the
Commission. The Exchange has satisfied this
requirement.
21 17
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Fmt 4703
Sfmt 9990
53229
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rulecomments@sec.gov. Please include File
Number SR–NYSEArca–2014–91 on the
subject line.
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street NE.,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–NYSEArca–2014–91. 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 Section, 100 F Street NE.,
Washington, DC 20549 on official
business days between 10 a.m. and 3
p.m. Copies of the filing will also be
available for inspection and copying at
the NYSE’s principal office and on its
Internet Web site at www.nyse.com. 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–2014–91 and
should be submitted on or before
September 29, 2014.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.22
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2014–21247 Filed 9–5–14; 8:45 am]
BILLING CODE 8011–01–P
22 17
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[Federal Register Volume 79, Number 173 (Monday, September 8, 2014)]
[Notices]
[Pages 53223-53229]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-21247]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-72954; File No. SR-NYSEArca-2014-91]
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
and Immediate Effectiveness of Proposed Rule Change Relating to Listing
and Trading Shares of ProShares Managed Futures Strategy; ProShares
Commodity Managed Futures Strategy; and ProShares Financial Managed
Futures Strategy Under NYSE Arca Equities Rule 8.200
September 2, 2014.
Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given
that, on August 18, 2014, NYSE Arca, Inc. (``Exchange'' or ``NYSE
Arca'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I and
II below, which Items have been prepared by the self-regulatory
organization. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C.78s(b)(1).
\2\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to list and trade shares of the following
under NYSE Arca Equities Rule 8.200 (``Trust Issued Receipts''):
ProShares Managed Futures Strategy; ProShares Commodity Managed Futures
Strategy; and ProShares Financial Managed Futures Strategy. The text of
the proposed rule change is available on the Exchange's Web site at
www.nyse.com, at the principal office of the Exchange, and at the
Commission's Public Reference Room.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the self-regulatory organization
included statements concerning the purpose of, and basis for, the
proposed rule change and discussed any comments it received on the
proposed rule change. The text of those statements may be examined at
the places specified in Item IV below. The Exchange has prepared
summaries, set forth in sections A, B, and C below, of the most
significant parts of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to list and trade shares (``Shares'') of the
following under Commentary .02 to NYSE Arca Equities Rule 8.200, which
governs the listing and trading of Trust Issued Receipts that invest in
``Investment Shares'' or ``Financial Instruments'', as defined therein:
ProShares Managed Futures Strategy; ProShares Commodity Managed Futures
Strategy; and ProShares Financial Managed Futures Strategy (each a
``Fund'' and, collectively, the ``Funds'').\4\
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\4\ For a description of ProShares Managed Futures Strategy, see
the Trust's registration statement on Form S-1, dated June 18, 2014
(File No. 333-196884). For a description of ProShares Commodity
Managed Futures Strategy, see the Trust's registration statement on
Form S-1/A, dated January 16, 2013 (File No. 333-185288). For a
description of ProShares Financial Managed Futures Strategy, see the
Trust's registration statement on Form S-1/A, dated February 14,
2012 (File No. 333-178212). Each of the above-referenced
registration statements is referred to herein as a ``Registration
Statement'' and, collectively, the Trust's registration statements
are referred to herein as the ``Registration Statements''. The
description of the Funds and the Shares contained herein is based,
in part, on the Registration Statements.
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[[Page 53224]]
Each Fund is a series of the ProShares Trust II (``Trust''), a
Delaware statutory trust. ProShare Capital Management LLC (``Sponsor'')
is the Trust's Sponsor and Wilmington Trust Company is the Trust's
trustee. Brown Brothers Harriman & Co. serves as the administrator
(``Administrator''), custodian, and transfer agent of the Funds. SEI
Investments Distribution Co. serves as distributor of the Shares
(``Distributor'').
The Commission originally approved listing and trading of the
Shares of the Funds on NYSE Arca.\5\ The Commission subsequently
approved listing and trading of Shares of the Funds on the BATS
Exchange, Inc. (``BATS Exchange'' or ``BATS).\6\ Shares of the Funds
have not commenced listing and trading on any national securities
exchange. The Trust now wishes to list and trade Shares of the Funds on
NYSE Arca.
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\5\ See Securities Exchange Act Release Nos. 66002 (December 19,
2011), 76 FR 80433 (December 23, 2011) (SR-NYSEArca-2011-94) (``NYSE
Arca Notice''); 66334 (February 6, 2012), 77 FR 7219 (February 10,
2012) (SR-NYSEArca-2011-94) (order approving listing and trading on
NYSE Arca of Shares of ProShares Managed Futures Strategy; ProShares
Commodity Managed Futures Strategy; and ProShares Financial Managed
Futures Strategy) (``NYSE Arca Order'', and, together with the NYSE
Arca Notice, the ``NYSE Arca Release'').
\6\ See Securities Exchange Act Release Nos. 68257 (November 19,
2012), 77 FR 70500 (November 26, 2012) (SR-BATS-2012-044) (notice of
proposed rule change to list and trade on BATS of ProShares Managed
Futures Strategy; ProShares Commodity Managed Futures Strategy; and
ProShares Financial Managed Futures Strategy) (``BATS Notice'');
68619 (January 10, 2013), 78 FR 3489 (January 16, 2013) (SR-BATS-
2012-044) (order approving listing and trading on BATS Exchange of
ProShares Managed Futures Strategy; ProShares Commodity Managed
Futures Strategy; and ProShares Financial Managed Futures Strategy)
(``BATS Order'', and together with the BATS Notice, the ``BATS
Release'').
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Description of the Shares and the Funds
According to the Registration Statement, ProShares Managed Futures
Strategy will seek to provide investment results (before fees and
expenses) that correspond to the performance of the S&P Strategic
Futures Index (``SFI'' or ``Index''). ProShares Commodity Managed
Futures Strategy and ProShares Financial Managed Futures Strategy will
seek to provide investment results (before fees and expenses) that
correspond to the performance of a sub-index of the Index (``Sub-
Index'').\7\ ProShares Commodity Managed Futures Strategy will seek to
provide investment results (before fees and expenses) that correspond
to the performance of the S&P Strategic Commodities Futures Index
(``SCFI''), a Sub-Index of the SFI. ProShares Financial Managed Futures
Strategy will seek to provide investment results (before fees and
expenses) that correspond to the performance of the S&P Strategic
Financial Futures Index (``SFFI''), another Sub-Index of the SFI.\8\
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\7\ Previously, as described in the BATS Release and the NYSE
Arca Release, ProShares Managed Futures Strategy sought to provide
investment results (before fees and expenses) that corresponded to
the performance of the S&P Dynamic Futures Index (the ``DFI''), and
ProShares Commodity Managed Futures Strategy and ProShares Financial
Managed Futures sought to provide investment results (before fees
and expenses) that corresponded to the performance of a sub-index of
the DFI. The SFI is a new index that is based on and is
substantially similar to the DFI and each of the Sub-Indexes is
substantially similar to its corresponding sub-index of the DFI
(i.e., the S&P Dynamic Commodities Futures Index and the S&P Dynamic
Financial Futures Index, respectively) except as further described
below.
\8\ The Index (like the DFI) is composed of unleveraged
positions in U.S. exchange-traded futures contracts on sixteen
different tangible commodities (``Commodity Futures Contracts''), as
well as U.S. exchange-traded futures contracts on eight different
financials, such as major currencies and U.S. Treasury securities
(``Financial Futures Contracts'' and together with the Commodity
Futures Contracts, ``Index Components''). 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''). The Index Components in which
the Funds will invest are referred to herein as ``Futures
Contracts''.
---------------------------------------------------------------------------
The description of the Index and Sub-Indexes to be utilized by the
Funds (i.e., SFI, SCFI and SFFI) has been modified in the following
respects from the DFI and their sub-indexes as described in the BATS
Release:
The SFI, SCFI and SFFI weight each component based on an equal risk
contribution methodology, rather than the current methodology for the
DFI and its sub-indexes, which utilize production levels (for
weightings of the Commodity Futures Contracts) and gross domestic
product (``GDP'') (for weightings of the Financial Futures Contracts).
The Index Components are rebalanced each month based on the historical
volatility of each Index Component, as well as the correlation of each
Index Component to the other contracts included in the SFI. The
objective of this methodology is that no single Index Component exposes
the SFI, SCFI and SFFI to greater risk than any other Index Component.
Due to this change, there is no longer an annual weighting process;
weights are determined (and the Index is correspondingly repositioned)
on a monthly basis.
Index Component weights are determined monthly (based on an equal
risk contribution methodology, as referenced above). These weights are
implemented as of each monthly rebalance.
Index Component weights are fixed each year and rebalanced back to
their annual base weight monthly. During this monthly rebalancing, the
Index will also ``roll'' certain of its positions from the current
contract to a contract further from settlement.
With the exception of the changes described above and in
information included in ``The Index and the Sub-Indexes'' below, all
representations made in the BATS Release, including those pertaining to
the methodology for the Index and the Sub-Indexes, remain as described
therein. The components of the SFI, SCFI and SFFI are identical to the
components of the DFI and the corresponding sub-indexes of the DFI,
except that weightings of components of the SFI and the Sub-Indexes
differ from the weightings of components of the DFI and its
corresponding sub-indexes.
The Index and the Sub-Indexes
The following charts reflect the weighting schemes for the Index
and each Sub-Index as of May 31, 2014. The weights will be determined
each month and implemented as of the next monthly rebalancing. For the
Index, the initial Index weights, together with information about the
exchange and trading hours for each Index Component, are as follows
(rounded to the nearest one-hundredth):
[[Page 53225]]
Index Weights
--------------------------------------------------------------------------------------------------------------------------------------------------------
Weight Weight Weight
Sub-index (%) Sector (%) Component (%) Exchange Trading hours \9\
--------------------------------------------------------------------------------------------------------------------------------------------------------
SCFI................... 52.36 Energy................ 11.72 Light Crude........... 3.02 NYMEX (CME)........... 6:00 p.m.-5:15 p.m.
next day.
......... Heating Oil........... 3.21 NYMEX (CME)........... 6:00 p.m.-5:15 p.m.
next day.
......... RBOB Gasoline......... 3.22 NYMEX (CME)........... 6:00 p.m.-5:15 p.m.
next day.
......... Natural Gas........... 2.27 NYMEX (CME)........... 6:00 p.m.-5:15 p.m.
next day.
......... Industrial Metals..... 3.207 Copper................ 3.32 COMEX (CME)........... 6:00 p.m.-5:15 p.m.
next day.
......... Precious Metals....... 5.09 Gold.................. 1.99 COMEX (CME)........... 6:00 p.m.-5:15 p.m.
next day.
......... Silver................ 1.37 COMEX (CME)........... 6:00 p.m.-5:15 p.m.
next day.
......... Livestock............. 14.23 Lean Hogs............. 4.59 CME................... 10:05 a.m.-2:55 p.m.;
Daily trading halts:
5:00 p.m.-6:00p.m.
......... Live Cattle........... 9.64 CME................... 10:05 a.m.-2:55 p.m.;
Daily trading halts
5:00 p.m.-6:00 p.m.
......... Grains................ 8.08 Corn.................. 2.24 CBOT (CME)............ 8:00 p.m.-2:15 p.m.
next day.
......... Soybeans.............. 2.89 CBOT (CME)............ 8:00 p.m.-2:15 p.m.
next day.
......... Wheat................. 2.96 CBOT (CME)............ 8:00 p.m.-2:15 p.m.
next day.
......... Softs................. 11.65 Coffee................ 1.58 ICE................... 4:15 a.m.-1:30 p.m.
......... Cocoa................. 3.70 ICE................... 4:45 a.m.-1:30 p.m.
......... Sugar................. 3.24 ICE................... 3:30 a.m.-1:00 p.m.
......... Cotton................ 3.13 ICE................... 9:00 p.m.-2:20 p.m.
next day.
SFFI................... 47.64 Australian Dollar..... 4.78 Australian Dollar..... ......... CME................... 6:00 p.m.-5:15 p.m.
next day.
......... British Pound......... 6.35 British Pound......... ......... CME................... 6:00 p.m.-5:15 p.m.
next day.
......... Canadian Dollar....... 6.67 Canadian Dollar....... ......... CME................... 6:00 p.m.-5:15 p.m.
next day.
......... Euro.................. 5.72 Euro.................. ......... CME................... 6:00 p.m.-5:15 p.m.
next day.
......... Japanese Yen.......... 4.96 Japanese Yen.......... ......... CME................... 6:00 p.m.-5:15 p.m.
next day.
......... Swiss Franc........... 5.07 Swiss Franc........... ......... CME................... 6:00 p.m.-5:15 p.m.
next day.
......... U.S. Treasury 8.39 U.S. Treasury Notes... ......... CBOT (CME)............ 6:00 p.m.-5:00 p.m.
Notes.\10\ next day.
......... U.S. Treasury 5.71 U.S. Treasury Bonds... ......... CBOT (CME)............ 6:00 p.m.-5:00 p.m.
Bonds.\11\ next day.
----------- ----------- -----------
Totals............. 100 100 100
--------------------------------------------------------------------------------------------------------------------------------------------------------
For the SCFI, the initial Sub-Index weightings are as follows:
---------------------------------------------------------------------------
\9\ All times are Eastern Time (``E.T.'', inclusive of
electronic and open outcry trading sessions, as applicable.
\10\ ``U.S. Treasury Notes'' refers to 10 year U.S. Treasury
Note futures.
\11\ ``U.S. Treasury Bonds'' refers to those futures with
underlying bonds of a remaining term to call or maturity of 15-25
years.
SCFI Weights
----------------------------------------------------------------------------------------------------------------
Sector Weight (%) Component Weight (%)
----------------------------------------------------------------------------------------------------------------
Energy........................................ 22.41 Light Crude..................... 5.78
Heating Oil..................... 6.16
RBOB Gasoline................... 6.15
Natural Gas..................... 4.32
Industrial Metals............................. 6.34 Copper.......................... 6.34
[[Page 53226]]
Precious Metals............................... 6.42 Gold............................ 3.81
Silver.......................... 2.61
Livestock..................................... 27.72 Lean Hogs....................... 8.74
Live Cattle..................... 18.48
Grains........................................ 15.43 Corn............................ 4.27
Soybeans........................ 5.51
Wheat........................... 5.65
Softs......................................... 22.18 Coffee.......................... 3.02
Cocoa........................... 7.01
Sugar........................... 6.19
Cotton.......................... 5.96
---------------- ---------------
Total..................................... 100 100
----------------------------------------------------------------------------------------------------------------
Finally, for the SFFI, the initial Sub-Index weightings are as
follows:
SFFI Weights
----------------------------------------------------------------------------------------------------------------
Sector Weight (%) Component Weight (%)
----------------------------------------------------------------------------------------------------------------
Australian Dollar............................. 10.03 Australian Dollar............... 10.03
British Pound................................. 13.30 British Pound................... 13.30
Canadian Dollar............................... 14.02 Canadian Dollar................. 14.02
Euro.......................................... 11.97 Euro............................ 11.97
Japanese Yen.................................. 10.41 Japanese Yen.................... 10.41
Swiss Franc................................... 10.61 Swiss Franc..................... 10.61
U.S. Treasury Notes........................... 17.64 U.S. Treasury Notes............. 17.64
U.S. Treasury Bonds........................... 12.01 U.S. Treasury Bonds............. 12.01
---------------- ---------------
Total..................................... 100 ..............
----------------------------------------------------------------------------------------------------------------
The Exchange does not believe the changes to the SFI methodology
will adversely impact investors. The Sponsor represents that an equal
risk contribution methodology and monthly rebalancing (rather than an
annual weighting process) of SFI components may reduce volatility of
the Index and Sub-Indexes and the price of the Funds' Shares, and may
reduce the likelihood that comparatively greater volatility in one or
more Index Components will contribute to increased volatility in the
price of the Funds' Shares.
Net Asset Value
The Exchange will obtain a representation (prior to listing of a
Fund's Shares) from the Trust that the net asset value (``NAV'') per
Share will be calculated daily and made available to all market
participants at the same time.
Intraday Indicative Value
An estimated value (the ``Intraday Indicative Value'' or ``IIV'')
that reflects a current estimated intraday value of Futures Contracts
and other applicable holdings, cash and receivables, less liabilities
of each Fund, will be disseminated.
For each Fund, the IIV will be widely disseminated on a per Share
basis by one or more major market data vendors every 15 seconds during
the Exchange's Core Trading Session (9:30 a.m. to 4:00 p.m. E.T.)\12\
The value of a Share may be influenced by non-concurrent trading hours
between the Exchange and the applicable Futures Exchanges trading
Futures Contracts when the Shares are traded on the Exchange after
normal trading hours of such Futures Exchanges.
---------------------------------------------------------------------------
\12\ Currently, it is the Exchange's understanding that several
major market data vendors display and/or make widely available IIVs
taken from Consolidated Tape Association (``CTA'') or other data
feeds.
---------------------------------------------------------------------------
The IIV will be updated during the Core Trading Session when
applicable Futures Exchanges are trading any Futures Contracts held by
a Fund.
However, the IIV that will be disseminated between 11:50 a.m. E.T.
and the end of the Core Trading Session will be impacted by static
values for certain Futures Contracts.\13\
---------------------------------------------------------------------------
\13\ The value of the IIV will be based on the underlying
Futures Contracts. Once a particular Futures Contract settles, a
static closing value for that Futures Contract will be used to
calculate the IIV, which will continue to update based on any other
Futures Contracts that have not reached their settlement time.
---------------------------------------------------------------------------
For the Funds, the IIV will be calculated throughout the Core
Trading Session using the prior day's closing NAV of a Fund as a base
and updating throughout the trading day changes in the value of a
Fund's Futures Contracts, cash equivalents, swap agreements, if
applicable, and other applicable holdings. The IIV should not be viewed
as an actual real-time update of the NAV because NAV is calculated only
once each trading day at 3:00 p.m. E.T. The IIV also should not be
viewed as a precise value of the Shares.
Dissemination of the IIV provides additional information that is
not otherwise available to the public in such form and may be useful to
investors and market professionals in connection with the trading of
Shares.
Availability of Information Regarding the Shares
The Web site for the Funds (www.ProShares.com) and/or the Exchange,
which are publicly accessible at no charge, will contain the following
information: (a) The current NAV per Share daily and the prior business
day's NAV per Share; (b) calculation of the premium or discount between
the NAV per Share and the price or mid-point of the Bid/Ask Price of
the Funds as of the
[[Page 53227]]
time the NAV is calculated or as of the official market close; (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. The
Exchange will also make available on its Web site daily trading volume
of the Shares. Daily trading volume information will also be available
in the financial section of newspapers, their related Web sites or
other financial Web sites, through subscription services, which can be
accessed by authorized participants and other investors, as well as
through other electronic services, including major public Web sites.
The intra-day, closing, and settlement prices of the Futures Contracts
are also readily available, as applicable, from the respective Futures
Exchanges. Quotation and last-sale information for the Shares will be
available via the CTA high-speed line.
Portfolio Disclosure
Each Fund's total portfolio composition will be disclosed on such
Fund's Web site or another relevant Web site as determined by the Trust
and/or the Exchange. The Trust will provide Web site disclosure of
portfolio holdings daily and will include, as applicable, the names,
exposure value (in U.S. dollars) and number of Futures Contracts or
units of swaps held by a Fund, if any, and the amount of cash or cash
equivalents and other assets held in the portfolio of each Fund. This
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, each investor will have access to the
current portfolio composition of the Funds through the Funds' Web site,
and/or at the Exchange's Web site.
Availability of Information About the Index and Sub-Indexes
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, is
also available from Standard & Poor's on a subscription basis.
Several independent data vendors also package and disseminate Index
and Sub-Index data in various formats (including vendors displaying
both Index constituents and Index levels and vendors displaying Index
levels only). Data regarding the Index Components is also 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. Information relating to the weighting of Index
constituents and the rules-based Index methodology is also available on
the Web site for S&P Dow Jones Indices at www.us.spindices.com.
Trading Rules
The Exchange deems the Shares to be equity securities, thus
rendering trading in the Shares subject to the Exchange's existing
rules governing the trading of equity securities. Shares will trade on
the NYSE Arca Marketplace from 4:00 a.m. to 8:00 p.m. E.T. in
accordance with NYSE Arca Equities Rule 7.34 (Opening, Core, and Late
Trading Sessions). The Exchange has appropriate rules to facilitate
transactions in the Shares during all trading sessions. As provided in
NYSE Arca Equities Rule 7.6, Commentary .03, the minimum price
variation (``MPV'') for quoting and entry of orders in equity
securities traded on the NYSE Arca Marketplace is $0.01, with the
exception of securities that are priced less than $1.00 for which the
MPV for order entry is $0.0001.
The Shares will conform to the initial and continued listing
criteria under NYSE Arca Equities Rule 8.200. The Exchange represents
that, for initial and/or continued listing, each Fund will be in
compliance with Rule 10A-3 \14\ under the Act, as provided by NYSE Arca
Equities Rule 5.3. A minimum of 100,000 Shares for each Fund will be
outstanding at the commencement of trading on the Exchange.
---------------------------------------------------------------------------
\14\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------
The trading of the Shares will be subject to NYSE Arca Equities
Rule 8.200, Commentary .02(e), which sets forth certain restrictions on
Equity Trading Permit (``ETP'') Holders acting as registered Market
Makers in TIRs to facilitate surveillance. See ``Surveillance'' below
for more information.
With respect to trading halts, the Exchange may consider all
relevant factors in exercising its discretion to halt or suspend
trading in the Shares. Trading may be halted because of market
conditions or for reasons that, in the view of the Exchange, make
trading in the Shares inadvisable. These may include: (1) The extent to
which trading is not occurring in the underlying Futures Contracts, or
(2) whether other unusual conditions or circumstances detrimental to
the maintenance of a fair and orderly market are present. In addition,
trading in Shares will be subject to trading halts caused by
extraordinary market volatility pursuant to the Exchange's ``circuit
breaker'' rule \15\ or by the halt or suspension of trading of the
underlying Index Components.
---------------------------------------------------------------------------
\15\ See NYSE Arca Equities Rule 7.12.
---------------------------------------------------------------------------
The Exchange represents that the Exchange may halt trading during
the day in which an interruption to the dissemination of the IIV, the
level of the Index (or Sub-Index) or the value of the underlying Index
Components occurs. If an interruption to the dissemination of the IIV,
the level of the Index (or Sub-Index) or the value of the underlying
Index Components 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. In addition, 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.
Surveillance
The Exchange represents that trading in the Shares will be subject
to the existing trading surveillances, administered by the Financial
Industry Regulatory Authority (``FINRA'') on behalf of the Exchange,
which are designed to detect violations of Exchange rules and
applicable federal securities laws.\16\ The Exchange represents that
these procedures are adequate to properly monitor Exchange trading of
the Shares in all trading sessions and to deter and detect violations
of Exchange rules and federal securities laws applicable to trading on
the Exchange.
---------------------------------------------------------------------------
\16\ FINRA surveils trading on the Exchange pursuant to a
regulatory services agreement. The Exchange is responsible for
FINRA's performance under this regulatory services agreement.
---------------------------------------------------------------------------
The surveillances referred to above generally focus on detecting
securities trading outside their normal patterns, which could be
indicative of manipulative or other violative activity. When such
situations are detected, surveillance analysis follows and
investigations are opened, where appropriate, to review the behavior of
all relevant parties for all relevant trading violations.
[[Page 53228]]
FINRA, on behalf of the Exchange, will communicate as needed
regarding trading in the Shares and underlying futures with other
markets and other entities that are members of the Intermarket
Surveillance Group (``ISG''), and FINRA, on behalf of the Exchange, may
obtain trading information regarding trading in the Shares and
underlying futures from such markets and other entities. In addition,
the Exchange may obtain information regarding trading in the Shares and
underlying futures from markets and other entities that are members of
ISG or with which the Exchange has in place a comprehensive
surveillance sharing agreement.\17\ 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 ISG. FINRA, on behalf of the Exchange, is able
to access, as needed, trade information for certain fixed income
securities held by the Funds reported to FINRA's Trade Reporting and
Compliance Engine (``TRACE'').
---------------------------------------------------------------------------
\17\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all Futures Contracts
may trade on markets that are members of ISG or with which the
Exchange has in place a comprehensive surveillance sharing
agreement.
---------------------------------------------------------------------------
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.
In addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
Information Bulletin
Prior to the commencement of trading, the Exchange will inform its
ETP Holders in an Information Bulletin (``Bulletin'') of the special
characteristics and risks associated with trading the Shares.
Specifically, the Bulletin will discuss the following: (1) The
procedures for purchases and redemptions of Shares in ``Creation Unit''
aggregations (and that Shares are not individually redeemable); (2)
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; (3) the risks involved in trading
the Shares during the Opening and Late Trading Sessions when an updated
IIV will not be calculated or publicly disseminated; (4) how
information regarding the IIV, each Fund's portfolio and the Index and
Sub-Indexes is disseminated; (5) 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 (6)
trading information.
In addition, the Bulletin will reference that the Funds are subject
to various fees and expenses described in the Registration Statements.
The Bulletin will discuss any exemptive, no-action, and interpretive
relief granted by the Commission from any rules under the Act. The
Bulletin will also disclose that the NAV for the Shares will be
calculated after 4:00 p.m. E.T. each trading day.
The Information Circular will disclose that information about the
Shares of the Funds will be publicly available on the Funds' Web site.
2. Statutory Basis
The basis under the Act for this proposed rule change is the
requirement under Section 6(b)(5) \18\ that an exchange have rules that
are designed to prevent fraudulent and manipulative acts and practices,
to promote just and equitable principles of trade, to remove
impediments to, and perfect the mechanism of a free and open market
and, in general, to protect investors and the public interest.
---------------------------------------------------------------------------
\18\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
The Exchange believes that the proposed rule change is designed to
prevent fraudulent and manipulative acts and practices in that the
Shares will be listed and traded on the Exchange pursuant to the
initial and continued listing criteria in NYSE Arca Equities Rule 8.200
and Commentary .02 thereto. The Exchange has in place surveillance
procedures that are adequate to properly monitor trading in the Shares
in all trading sessions and to deter and detect violations of Exchange
rules and applicable federal securities laws. The Exchange may obtain
information via ISG from other exchanges that are members of ISG or
with which the Exchange has entered into a comprehensive surveillance
sharing agreement. The Index Components are traded on the Futures
Exchanges, each of which is an ISG member, and information regarding
trading in the Index Components is available from the Web sites of the
respective Futures Exchanges and from major market data vendors. 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. Standard & Poor's has implemented procedures
designed to prevent the use and dissemination of material, non-public
information regarding the Index and Sub-Indexes. Data regarding the
commodities, currencies and Treasury securities underlying the Index
Components is publicly available from various financial information
service providers. The Exchange may halt trading during the day in
which an interruption to the dissemination of the IIV, the level of the
Index (or Sub-Index) or the value of the underlying Index Components
occurs. If an interruption to the dissemination of the IIV, the level
of the Index (or Sub-Index) or the value of the underlying Index
Components 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. Quotation and last sale information for
the Shares will be available via CTA. Each Fund's total portfolio
composition will be disclosed on the Funds' Web site.
The Exchange believes the proposed rule change is designed to
protect investors and the public interest in that the Commission has
previously approved listing an trading of Shares of the Funds on the
Exchange and BATS,\19\ and, with the exception of the changes described
in ``Description of the Shares and the Funds'' and in information
included in ``The Index and the Sub-Indexes'' above, all
representations made in the BATS Release remain as described therein.
The Exchange believes the changes described above help perfect the
mechanism of a free and open market and, in general, to protect
investors and the public interest in that the components of the SFI,
SCFI and SFFI are identical to the components of the DFI and its sub-
indexes except that individual Index and Sub-Index components are
weighted differently. The SFI, SCFI and SFFI weight each component
based on an equal risk contribution methodology, rather than the
current methodology for the DFI and its sub-indexes, which utilize
production levels (for weightings of the Commodity Futures Contracts)
and GDP (for weightings of the Financial Futures Contracts). In
addition, the Index Components are rebalanced each month based on the
historical volatility of each Index Component, as well as the
correlation of
[[Page 53229]]
each Index Component to the other contracts included in the SFI. The
objective of this methodology is that no single Index Component exposes
the SFI, SCFI and SFFI to greater risk than any other Index Component.
The Exchange does not believe the changes to the SFI methodology will
adversely impact investors in that the Sponsor represents that a
monthly equal risk contribution methodology (rather than an annual
weighting process based on, as applicable, production and GDP factors)
of SFI components may reduce volatility of the Index and Sub-Indexes,
and by extension the price of the Funds' Shares, and may reduce the
likelihood that comparatively greater volatility in one or more Index
Components will contribute to increased volatility in the price of the
Funds' Shares. Furthermore, such changes may benefit performance by
granting an equal importance to beneficial trends in each market,
rather than exaggerating the importance of one market over another
based on outside factors such as the relative size of market.
---------------------------------------------------------------------------
\19\ See notes 5-6, supra.
---------------------------------------------------------------------------
The proposed rule change is designed to promote just and equitable
principles of trade and to protect investors and the public interest in
that a large amount of information is publicly available regarding the
Funds and the Shares, thereby promoting market transparency. The NAV
per Share will be calculated daily and made available to all market
participants at the same time. One or more major market data vendors
will disseminate for the Funds on a daily basis information with
respect to the recent NAV per Share and Shares outstanding. For each
Fund, the IIV 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.
The proposed rule change is designed to perfect the mechanism of a
free and open market and, in general, to protect investors and the
public interest in that it will facilitate the listing and trading of
additional types of exchange-traded products that will enhance
competition among market participants, to the benefit of investors and
the marketplace. As noted above, the Exchange has in place surveillance
procedures relating to trading in the Shares and may obtain information
via ISG from other exchanges that are members of ISG or with which the
Exchange has entered into a comprehensive surveillance sharing
agreement. In addition, as noted above, investors will have ready
access to information regarding the Funds' holdings, IIV, and quotation
and last sale information for the Shares.
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purpose of the Act. The Exchange notes that the
proposed rule change will facilitate the listing and trading of
exchange-traded products that are based on futures indexes and that
will enhance competition among market participants, to the benefit of
investors and the marketplace.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
No written comments were solicited or received with respect to the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule change does not: (i)
Significantly affect the protection of investors or the public
interest; (ii) impose any significant burden on competition; and (iii)
become operative for 30 days from the date on which it was filed, or
such shorter time as the Commission may designate, if consistent with
the protection of investors and the public interest, the proposed rule
change has become effective pursuant to Section 19(b)(3)(A) of the Act
\20\ and Rule 19b-4(f)(6)(iii) thereunder.\21\
---------------------------------------------------------------------------
\20\ 15 U.S.C. 78s(b)(3)(A).
\21\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)
requires a self-regulatory organization to give the Commission
written notice of its intent to file the proposed rule change at
least five business days prior to the date of filing of the proposed
rule change, or such shorter time as designated by the Commission.
The Exchange has satisfied this requirement.
---------------------------------------------------------------------------
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. If the Commission
takes such action, the Commission will institute proceedings to
determine whether the proposed rule change should be approved or
disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to rule-comments@sec.gov. Please include
File Number SR-NYSEArca-2014-91 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSEArca-2014-91. 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 Section, 100 F Street
NE., Washington, DC 20549 on official business days between 10 a.m. and
3 p.m. Copies of the filing will also be available for inspection and
copying at the NYSE's principal office and on its Internet Web site at
www.nyse.com. 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-2014-91 and should be submitted on or before September 29,
2014.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\22\
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\22\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-21247 Filed 9-5-14; 8:45 am]
BILLING CODE 8011-01-P
