Self-Regulatory Organizations; NYSE MKT LLC; Notice of Filing of Proposed Rule Change Relating to Amendments to NYSE MKT Rules 1600 et seq. and to Changes to the Names and Operation of the Nuveen Diversified Commodity Fund and the Nuveen Long/Short Commodity Total Return Fund, 38232-38246 [2016-13821]

Download as PDF 38232 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission’s Public Reference Room, 100 F Street NE., Washington, DC 20549, on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of the filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR–Phlx– 2016–61 and should be submitted on or before July 5, 2016. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.11 Robert W. Errett, Deputy Secretary. [FR Doc. 2016–13824 Filed 6–10–16; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–78000; File No. SR– NYSEMKT–2016–58] Self-Regulatory Organizations; NYSE MKT LLC; Notice of Filing of Proposed Rule Change Relating to Amendments to NYSE MKT Rules 1600 et seq. and to Changes to the Names and Operation of the Nuveen Diversified Commodity Fund and the Nuveen Long/Short Commodity Total Return Fund srobinson on DSK5SPTVN1PROD with NOTICES June 7, 2016. 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 May 24, 2016, NYSE MKT LLC (‘‘Exchange’’ or ‘‘NYSE MKT’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule change as described in Items I and II 11 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 15 U.S.C. 78a. 3 17 CFR 240.19b–4. 1 15 VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 below, which Items have been prepared by the Exchange. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to amend NYSE MKT Rules 1600 et seq. (Trading of Trust Units), pursuant to which the Exchange currently lists and trades shares of the Nuveen Diversified Commodity Fund (the ‘‘Diversified Fund’’) and the Nuveen Long/Short Commodity Total Return Fund (the ‘‘Long/Short Fund,’’ with the Diversified Fund and the Long/Short Fund each being referred to herein as a ‘‘Fund,’’ and collectively, as the ‘‘Funds’’), and to reflect changes to the names and operation of the Funds, as described herein. 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 amend NYSE MKT Rules 1600 et seq. (Trading of Trust Units), pursuant to which the Exchange currently lists and trades shares (‘‘Shares’’) of the Funds.4 In 4 The Commission approved listing and trading of Shares of the Funds on the Exchange in Securities Exchange Act Release Nos. 61807 (March 31, 2010), 75 FR 17818 (April 7, 2010) (SR–NYSEAmex–2010– 09) (order approving amendments to NYSE Amex LLC Rule 1600 and listing and trading of shares of the Nuveen Diversified Commodity Fund) (‘‘Prior Diversified Order’’); and 67223 (June 20, 2012) (SR– NYSEAmex–2012–24) (order approving listing and trading on NYSE Amex LLC of shares of the Nuveen Long/Short Commodity Total Return Fund under NYSE Amex LLC Rule 1600) (‘‘Prior Long/Short Order’’). See also Securities Exchange Act Release PO 00000 Frm 00106 Fmt 4703 Sfmt 4703 addition, the Exchange proposes to (1) reflect changes to the operation of the Funds, as described herein, and (2) permit the continued listing and trading of Shares of the Funds on the Exchange pursuant to NYSE MKT Rules 1600 et seq., as proposed to be amended, following changes to the operation of the Funds, as described below.5 The Funds are currently structured as actively managed closed-end commodity pools. On December 19, 2014, Nuveen Investments, parent company of Nuveen Commodities Asset Management, LLC (the ‘‘Manager’’), announced (the ‘‘Conversion Plan Announcement’’) that the Manager had approved a plan to convert the Funds into exchange-traded products (‘‘ETPs’’) that utilize a creation/redemption mechanism, subject to approval by shareholders of each Fund (such plan, with respect to each Fund, is referred to herein as the ‘‘Conversion,’’ and collectively, the ‘‘Conversions’’). Subsequently, at meetings of shareholders in 2015, shareholders of each Fund likewise approved the Conversions. The purpose of the Conversions, which would implement a process for continual creation and redemption of Shares at net asset value (‘‘NAV’’) after receipt of an order in proper form on any business day (as described below), is to promote the trading of the Funds’ Shares at prices equal to or near their NAV. Indeed, since the Conversion Plan Announcement, each Fund has traded at a substantially reduced discount to NAV,6 which suggests that the No. 61571 (February 23, 2010), 75 FR 9265 (March 1, 2010) (SR–NYSE Amex–2010–09) (notice of filing of proposed rule change amending NYSE Amex LLC Trust Unit rules and proposing the listing of the Nuveen Diversified Commodity Fund) (the ‘‘Prior Diversified Notice’’ and, together with the Prior Diversified Order, the ‘‘Prior Diversified Release’’); and Securities Exchange Act Release No. 66887 (May 1, 2012), 77 FR 26798 (May 7, 2012) (SR–NYSEAmex–2012–24) (notice of filing of proposed rule change relating to listing Nuveen Long/Short Commodity Total Return Fund under NYSE Amex LLC Rule 1600) (the ‘‘Prior Long/Short Notice’’ and, together with the Prior Long/Short Order, the ‘‘Prior Long/Short Release,’’ with the Prior Diversified Release and the Prior Long/Short Release each being referred to herein as a ‘‘Prior Release,’’ and collectively, as the ‘‘Prior Releases’’). 5 See, for the Diversified Fund, Pre-Effective Amendment No. 1 to the registration statement on Form S–3 (File No. 333–205590), filed on November 30, 2015; see also, for the Long/Short Fund, PreEffective Amendment No. 1 to the registration statement on Form S–3 (File No. 333–205587), filed on November 30, 2015 (collectively referred to herein as the ‘‘Registration Statement’’). 6 From December 18, 2014, to March 9, 2016, the discount to NAV has been reduced for the Diversified Fund from 18.02% to 5.11% and for the Long/Short Fund from 19.80% to 3.75%. E:\FR\FM\13JNN1.SGM 13JNN1 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices Conversion will achieve its intended purpose, to the benefit of shareholders. Accordingly, the Exchange proposes to amend NYSE MKT Rules 1600 et seq. to accommodate the implementation of continual creation and redemption of shares of Trust Units listed or traded pursuant to Rules 1600 et seq. in the manner set forth above. The proposed amendments to Rules 1600 et seq. will provide that Trust Units, which include Shares of the Funds, will be issued and redeemed on a continuous basis in specified aggregate amounts at NAV next determined. srobinson on DSK5SPTVN1PROD with NOTICES Amendments to NYSE MKT Rules 1600 et seq. To achieve the foregoing changes, the Exchange proposes to amend NYSE MKT Rules 1600 et seq. as described below. NYSE MKT Rule 1600 defines a Trust Unit as a security that is issued by a trust (‘‘Trust’’) or other similar entity that is constituted as a commodity pool that holds investments comprising or otherwise based on any combination of futures contracts, options on futures contracts, forward contracts, swap contracts, and/or commodities. The Exchange proposes to amend Rule 1600 in several respects. First, the Exchange proposes amending Rule 1600(b)(i) to delete reference to Section 1(a)(4) of the Commodity Exchange Act (‘‘CEA’’) and to state that the term ‘‘commodity’’ is defined in Section 1(a)(9) of the CEA. Section 1(a)(4) of the CEA was renumbered as Section 1(a)(9) under amendments adopted under the DoddFrank Wall Street Reform and Consumer Protection Act.7 Next, the Exchange proposes amending Rule 1600(b)(ii) to: (1) Add the phrase ‘‘and/or securities’’ to the enumerated financial instruments in which Trust Units may invest (proposed Rule 1600(b)(i));8 and (2) provide that Trust Units are issued and redeemed continuously in specified aggregate amounts at the NAV next determined (proposed Rule 1600(b)(ii)). The Exchange also proposes adding new rules. Proposed NYSE MKT Rule 1600(b)(iii) would define ‘‘Disclosed Portfolio’’ as the identities and quantities of the assets held by a Trust that will form the basis for that Trust’s calculation of the NAV at the end of the business day. Proposed Rule 1600(b)(iv) would define ‘‘Intraday Indicative Value’’ as the estimated indicative value of a Trust Unit based on current U.S.C. 5301 et seq. proposed provision is identical to the definition of Trust Units in NYSE Arca Equities Rule 8.500(b)(2). information regarding the value of the assets in the Disclosed Portfolio. Proposed Rule 1600(b)(v) would define ‘‘Reporting Authority’’ as, in respect of a particular series of Trust Units, the Exchange, an institution, or a reporting or information service designated by the Trust or the Exchange or by the exchange that lists a particular series of Trust Units (if the Exchange is trading such series pursuant to unlisted trading privileges) as the official source for calculating and reporting information relating to such series, including, but not limited to, (i) the Intraday Indicative Value, (ii) the Disclosed Portfolio, (iii) the amount of any cash distribution to holders of Trust Units, (iv) NAV, and (v) other information relating to the issuance, redemption, or trading of Trust Units. A series of Trust Units may have more than one Reporting Authority, each having different functions.9 Proposed Commentary .04 to Rule 1600 would provide that, if a Trust’s advisor is affiliated with a broker-dealer, the broker-dealer shall erect a ‘‘fire wall’’ around the personnel who have access to information concerning changes and adjustments to the Disclosed Portfolio. Personnel who make decisions on the Trust’s portfolio composition must be subject to procedures designed to prevent the use and dissemination of material nonpublic information regarding the applicable portfolio. The Exchange proposes to amend Rule 1602(a)(ii) to provide that the Exchange will obtain a representation from the issuer of each series of Trust Units that the NAV and the Disclosed Portfolio will be made available to all market participants at the same time. Additionally, the Exchange proposes amendments to Rule 1602(b)(ii) to replace the term ‘‘portfolio holdings’’ with ‘‘Disclosed Portfolio’’ and to provide that, if the Exchange becomes aware that the Disclosed Portfolio or NAV per share with respect to a series of Trust Units is not disseminated to all market participants at the same time, it will halt trading in such series until such time as the Disclosed Portfolio or NAV per share is available to all market participants. Proposed Rule 1602(b)(iii) would provide that each series of Trust Units will be listed and/or traded subject to application of the following criteria: (1) The Intraday Indicative Value for shares will be widely disseminated by one or more major market data vendors at least every 15 7 12 8 This VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 9 Proposed Rules 1600(b)(iii)–(v) are substantively similar to the current NYSE Arca Equities Rules 8.600(c)(2)–(4). PO 00000 Frm 00107 Fmt 4703 Sfmt 4703 38233 seconds during the time when the Trust Units trade on the Exchange; (2) the Disclosed Portfolio will be disseminated at least once daily and will be made available to all market participants at the same time; and (3) the Reporting Authority that provides the Disclosed Portfolio must implement and maintain, or be subject to, procedures designed to prevent the use and dissemination of material, non-public information regarding the actual components of the portfolio.10 The Exchange also proposes to delete the text of current NYSE MKT Rule 1603, which is obsolete,11 and to amend NYSE MKT Rule 1605 to provide that none of the Exchange, the Reporting Authority or any agent of the Exchange shall have any liability for damages, claims, losses or expenses caused by any errors, omissions, or delays in calculating or disseminating the Disclosed Portfolio; any value of underlying futures contracts, options on futures contracts, forward contracts, swap contracts, commodities and/or securities; the current value of positions or interests if required to be deposited to the Trust in connection with issuance of Trust Units; NAV; or other information relating to the purchase, redemption or trading of Trust Units, resulting from any negligent act or omission by the Exchange, the Reporting Authority, or any agent of the Exchange, or any act, condition or cause beyond the reasonable control of the Exchange or any agent of the Exchange, or the Reporting Authority, including, but not limited to, an act of God; fire; flood; extraordinary weather conditions; war; insurrection; riot; strike; accident; action of government; communications 10 These proposed amendments and rule additions are substantively similar to the current NYSE Arca Equities Rule 8.600(d). 11 NYSE MKT Rule 1603 would be reserved. Current Rule 1603 provides that if a Designated Market Maker (‘‘DMM’’) is operating under Rule 98 (Former)—Equities, Rule 105(b) (Former)—Equities and section (m) of the Guidelines thereunder shall be deemed to prohibit a DMM, his or her member organization, other member, or approved person of such member organization or employee or officer thereof from acting as a market maker or functioning in any capacity involving marketmarking responsibilities in an underlying asset or commodity, related futures or options on futures, or any related derivative. The Exchange has deleted NYSE MKT Rule 98 (former). See Securities Exchange Act Release No. 72535 (July 3, 2014), 79 FR 39024 (July 9, 2014) (SR–NYSEMKT–2014–22), in which the Exchange stated that ‘‘[a]ll DMMs are now approved to operate under Rule 98 and are no longer subject to ‘Rule 98 (former).’’’ The Exchange deleted NYSE MKT Rule 105 in SR–NYSEMKT– 2012–68. See Securities Exchange Act Release No. 68306 (November 28, 2012), 77 FR 71846 (December 4, 2012) (notice of filing and immediate effectiveness of proposed rule change amending Exchange rules to delete obsolete and outdated rules). E:\FR\FM\13JNN1.SGM 13JNN1 38234 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices srobinson on DSK5SPTVN1PROD with NOTICES or power failure; equipment or software malfunction; or any error, omission or delay in the reports of transactions in the Trust Units, futures contracts, options on futures contracts, forward contracts, swap contracts, commodities and/or securities.12 Description of the Funds As set forth in each Fund’s respective Prior Release, each Fund is a commodity pool managed by the Manager. The Manager is a Delaware limited liability company that is registered as a commodity pool operator (the ‘‘CPO’’) with the Commodity Futures Trading Commission (‘‘CFTC’’). The Manager is a wholly-owned subsidiary of Nuveen Investments, Inc. (‘‘Nuveen Investments’’), which is an indirect wholly-owned subsidiary of TIAA, a national financial services organization. The Manager is responsible for determining the Funds’ overall investment strategies and overseeing their implementation. The Manager also manages the Funds’ business affairs and provides certain legal, accounting and other administrative services to the Funds. Also as described in the Prior Releases, Gresham Investment Management LLC (the ‘‘Commodity Subadviser’’), an affiliate of the Manager, manages each Fund’s commodity futures investment strategy (which is described more fully below). The Commodity Subadviser is a Delaware limited liability company and is registered with the CFTC as a commodity trading advisor and as a CPO, and is a member of the National Futures Association (‘‘NFA’’). The Commodity Subadviser also is registered with the Commission as an investment adviser under the Investment Advisers Act of 1940, as amended (the ‘‘Advisers Act’’). As set forth in the Prior Releases, Nuveen Asset Management, LLC (the ‘‘Collateral Subadviser’’ and, together with the Commodity Subadviser, the ‘‘Subadvisers’’), an affiliate of the Manager, manages each Fund’s investments in U.S. government securities, other short-term, high grade fixed income securities and cash equivalents (‘‘collateral’’). The Collateral Subadviser is registered with the Commission as an investment adviser under the Advisers Act. As the Commodity Subadviser and the Collateral Subadviser are each registered as investment advisers under the Advisers Act, the Subadvisers and 12 Proposed NYSE MKT Rule 1605, as amended, is substantively similar to current NYSE Arca Equities Rule 8.600(e). VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 their respective related personnel are (and any future subadviser to the Funds will be) subject to the provisions of Rule 204A–1 under the Advisers Act relating to codes of ethics. This Rule requires investment advisers to adopt a code of ethics that reflects the fiduciary nature of their relationship to clients, as well as their compliance with other applicable securities laws. Accordingly, procedures designed to prevent the communication and misuse of nonpublic information by an investment adviser must be consistent with Rule 204A–1 under the Advisers Act. In addition, Rule 206(4)–7 under the Advisers Act makes it unlawful for an investment adviser to provide investment advice to clients unless such investment adviser has: (i) Adopted and implemented written policies and procedures reasonably designed to detect and prevent violation, by the investment adviser and its supervised persons, of the Advisers Act and the Commission rules adopted thereunder; (ii) implemented, at a minimum, an annual review of the adequacy of the policies and procedures described in clause (i) above and the effectiveness of their implementation; and (iii) designated an individual (who is a supervised person) responsible for administering such policies and procedures. State Street Bank and Trust Company (‘‘State Street’’ or the ‘‘Transfer Agent’’) serves as transfer agent, registrar for the Shares, and custodian and administrator of the assets of each Fund, pursuant to which it performs NAV calculations, accounting and other fund administrative services, and, after the Conversions, it also will receive and process orders from Authorized Participants to create and redeem an aggregate of Shares of each Fund (‘‘Baskets’’). Current Operation of the Funds Prior to Conversion Diversified Fund. As described in the Prior Diversified Release, the Fund’s current investment objective is to generate attractive risk-adjusted total returns as compared to investments in commodity indexes. Currently, the Fund pursues its investment objective by utilizing: (a) An actively managed rules-based commodity investment strategy, whereby the Fund invests in a diversified basket of commodity futures and forward contracts with an aggregate notional value substantially equal to the net assets of the Fund; and (b) an options strategy designed to moderate the overall risk and return characteristics of the Fund’s commodity PO 00000 Frm 00108 Fmt 4703 Sfmt 4703 investments, pursuant to which the Fund writes (sells) ‘‘out-of-the-money’’ commodity call options to obtain option premium cash flow, on individual futures and forward contracts, on baskets of commodities or on broad based commodity indices. Currently, as described in the Prior Diversified Release, the Fund typically: (i) Invests in commodity futures and forward contracts 13 that are traded either on U.S. or non-U.S. commodity futures exchanges; and (ii) sells call options on commodity futures and forward contracts that are traded either on U.S. or non-U.S. exchanges. The Fund may also purchase put options on commodity futures and forward contracts that are traded either on U.S. or non-U.S. exchanges or may purchase OTC commodity put options through dealers pursuant to negotiated, bi-lateral arrangements. The Fund invests in commodity futures and forward contracts, options on commodity futures and forward contracts and over-thecounter commodity options in the following commodity groups: Energy, industrial metals, precious metals, livestock, agriculturals, and tropical foods and fibers. The Fund also may invest in other commodity contracts that are presently, or may hereafter become, the subject of commodity futures trading. Except for certain limitations described below, there are no restrictions or limitations on the specific commodity investments in which the Fund may invest. As stated in the Prior Diversified Release, to support its commodity investments, the Fund maintains collateral that is invested in short-term debt instruments with maturities of up to two years that, at the time of investment, are investment grade quality, including obligations issued or guaranteed by the U.S. government or its agencies and instrumentalities, as well as corporate obligations and assetbacked securities. Currently, to achieve the Fund’s investment objective, the Fund invests on a notional basis substantially all of its assets in commodity futures and forward contracts pursuant to the Commodity Subadviser’s Tangible Asset Program (‘‘TAP’’), an actively managed, rules-based 14 commodity investment 13 While forward contracts generally are traded over the counter (‘‘OTC’’), ‘‘forward contracts’’ in this context refer to contracts that are traded on the London Metal Exchange and operate substantially as futures contracts. As such, all of the contracts in which the Diversified Fund invests are exchangetraded. 14 Pursuant to TAP® the Fund invests in commodity futures and forward contracts, for commodities in each of the following groups: E:\FR\FM\13JNN1.SGM 13JNN1 srobinson on DSK5SPTVN1PROD with NOTICES Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices strategy. TAP is fundamental in nature and is designed to maintain consistent, fully collateralized exposure to commodities as an asset class. TAP does not require the existence of price trends in order to be successful. Pursuant to the Fund’s risk management program, the Fund writes (or sells) commodity call options that may be up to 20% ‘‘out-of-the-money’’ on a continual basis on up to approximately 50% of the notional value of each of its commodity futures and forward contract positions that have sufficient option trading volume and liquidity. The Commodity Subadviser writes call options on individual futures and forward contracts held by the Fund, on baskets of commodities or on broad based commodity indices. According to the Prior Diversified Release, in order to seek protection against significant asset value declines, the Fund may from time to time purchase ‘‘out-of-the-money’’ put options on broad-based commodity indices such as the DJ–UBS Commodity Index® (subsequently renamed the Bloomberg Commodity Index), the S&P GSCI Commodity Index, or on certain custom indices, whose prices are expected to closely correspond to a substantial portion of the long commodity futures and forward contracts held by the Fund. The Fund also may purchase put options on baskets of commodities and on individual futures and forward contracts held by it. According to the Prior Diversified Release, the Fund intends to make monthly distributions to its shareholders (stated in terms of a fixed cents per share distribution rate) based on past and projected performance of the Fund. The Fund seeks to establish a distribution rate that roughly corresponds to the Manager’s projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time, although the distribution rate will not be solely dependent on the amount of income earned or capital gains realized by the Fund. The Fund’s ability to make regular monthly distributions depends on a number of factors, including, most importantly, the longterm total returns generated by the Fund’s portfolio investments and the risk management program. Long/Short Fund. As described in the Prior Long/Short Release, the Fund’s current investment objective is to generate attractive total returns. The Energy, industrial metals, precious metals, livestock, agriculturals, and tropical foods and fibers. VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 Fund is actively managed and seeks to outperform its benchmark, the Morningstar Long/Short Commodity Index. The Fund’s investment strategy utilizes the Commodity Subadviser’s long/short commodity investment program, which has three principal elements: • an actively managed long/short portfolio of exchange-traded commodity futures contracts; • a portfolio of exchange-traded commodity option contracts; and • a collateral portfolio of cash equivalents and short-term, high-grade debt securities. In pursuing its investment objective, the Fund currently invests directly in a diverse portfolio of exchange-traded commodity futures contracts that represent the main commodity sectors and are among the most actively traded futures contracts in the global commodity markets. Generally, individual commodity futures positions may be either long or short (or flat in the case of energy futures contracts) depending upon market conditions. According to the Prior Long/Short Release, this long/short commodity investment program is an actively managed, fully collateralized, rulesbased commodity investment strategy that seeks to capitalize on opportunities in both up and down commodity markets. The Fund invests in a diverse portfolio of exchange-traded commodity futures contracts with an aggregate notional value substantially equal to the net assets of the Fund. The Fund makes investments in the most actively traded commodity futures contracts in the four main commodity sectors in the global commodities markets: Energy; agriculture; metals; and livestock. During temporary defensive periods or during adverse market circumstances,15 the Fund may deviate from its investment objective and policies. The Subadvisers may invest 100% of the total assets of the Fund in short-term, high-quality debt securities and money market instruments to respond to adverse market circumstances. The Fund may invest in such instruments for extended periods, depending on the Commodity Subadviser’s assessment of market conditions. These debt securities and money market instruments may include shares of mutual funds, commercial paper, certificates of deposit, bankers’ acceptances, U.S. Government 15 Adverse market circumstances would include large downturns in the broad market value of two or more times current average volatility, where the Commodity Subadviser views such downturns as likely to continue for an extended period of time. PO 00000 Frm 00109 Fmt 4703 Sfmt 4703 38235 securities, repurchase agreements, and bonds that are rated AAA. Generally, the program rules are used to determine the specific commodity futures contracts in which the Fund invests, the relative weighting for each commodity, and whether a position is either long or short (or flat in the case of energy futures contracts). The Fund invests in those commodity futures contracts and option contracts that are listed on an exchange with the greatest dollar volume traded in those contracts. The Fund also currently employs a commodity option writing strategy that seeks to produce option premiums for the purpose of enhancing the Fund’s risk-adjusted total return over time. Pursuant to the options strategy, the Fund may sell commodity call or put options, which are all exchange-traded, on a continual basis on up to approximately 25% of the notional value of each of its corresponding commodity futures contracts that, in the Commodity Subadviser’s determination, have sufficient option trading volume and liquidity. According to the Prior Long/Short Release, if the Commodity Subadviser buys the commodity futures contract, it will sell a call option on the same underlying commodity futures contract. If the Commodity Subadviser shorts the commodity futures contract, it will sell a put option on the same underlying commodity futures contract (except in the case of energy futures contracts). When initiating new trades, the Fund expects to sell covered in-the-money options. Because the Fund holds options until expiration, the Fund may have uncovered out-of-the-money options in its portfolio depending on price movements of the underlying futures contracts. Generally, the Fund expects to sell short-term commodity options with terms of one to three months. Subject to the foregoing limitations, the implementation of the options strategy is within the Commodity Subadviser’s discretion. Over extended periods of time, the ‘‘moneyness’’ of the commodity options may vary significantly. Upon sale, the commodity options may be ‘‘in-the-money,’’ ‘‘at-themoney,’’ or ‘‘out-of-the-money.’’ The Commodity Subadviser will employ a proprietary methodology in assessing commodity market movements and in determining the Fund’s long/short commodity futures positions. Generally, the Commodity Subadviser will employ momentumbased modeling (quantitative formulas that evaluate trend relationships between the changes in prices of futures contracts and trading volumes for a E:\FR\FM\13JNN1.SGM 13JNN1 38236 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices specific commodity) to estimate forward-looking prices and to evaluate the return impact of futures contract rolls. To determine the direction of the commodity futures position, either long or short (or flat in the case of energy futures contracts), the Commodity Subadviser will calculate a roll-adjusted price that accounts for the current spot price and the impact of roll yield. The Commodity Subadviser may exercise discretion in its long/short decisions and the timing and implementation of the Fund’s commodity investments to seek to benefit from trading on commodity price momentum. According to the Prior Long/Short Release, the Fund’s commodity investments will, at all times, be fully collateralized (i.e., the ‘‘notional value’’—the value of the underlying commodity at the contract’s spot price— of the Fund’s commodity exposure will not exceed the market value of the Fund’s net assets). The Fund’s commodity investments generally do not require significant outlays of principal. Approximately 25% of the Fund’s net assets are used to secure the futures contracts.16 These assets are placed in one or more commodity futures accounts and will be held in cash or invested in U.S. Treasury bills and other direct or guaranteed debt obligations of the U.S. government maturing within less than one year at the time of investment. The remaining collateral (approximately 75% of the Fund’s net assets) are held in a separate collateral investment account managed by the Collateral Subadviser. Such assets are invested in cash equivalents or shortterm debt securities with final terms not exceeding one year at the time of investment. These collateral investments shall be rated at all times at the applicable highest short-term or long-term debt or deposit rating or money market fund rating as determined by at least one nationally recognized statistical rating organization. These collateral investments consist primarily of direct and guaranteed obligations of the U.S. government and senior obligations of srobinson on DSK5SPTVN1PROD with NOTICES 16 Such assets will be committed as ‘‘initial’’ or ‘‘variation’’ margin. Initially, when a Fund invests in a commodity futures contract, it will be required to deposit an amount of cash equal to a specified percentage of the contract amount. This amount is known as ‘‘initial margin.’’ The margin deposit is intended to ensure completion of the contract if it is not terminated prior to the specified delivery date. Minimum initial margin requirements are established by the futures exchanges and may be revised. Subsequent payments, called ‘‘variation margin,’’ will be made on a daily basis as the price of the underlying commodity fluctuates, making the futures contract more or less valuable, a process known as marking the contract to market. VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 U.S. government agencies and may also include, among others, money market funds and bank money market accounts invested in U.S. government securities, as well as repurchase agreements collateralized with U.S. government securities. According to the Prior Long/Short Release, the potential Fund investments in futures contracts and options on such futures contracts are traded on U.S. and non-U.S. exchanges, including the Chicago Board of Trade (‘‘CBOT’’), the Chicago Mercantile Exchange (‘‘CME’’), the ICE Futures Europe, the ICE Futures U.S., the New York Mercantile Exchange (‘‘NYMEX’’) and the New York Commodities Exchange (‘‘COMEX’’), and the Kansas City Board of Trade (‘‘KBOT’’). Also according to the Prior Long/ Short Release, the Fund (like the Diversified Fund) intends to make monthly distributions to its shareholders (stated in terms of a fixed cents per share distribution rate) based on past and projected performance of the Fund. The Fund seeks to establish a distribution rate that roughly corresponds to the Manager’s projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time, although the distribution rate will not be solely dependent on the amount of income earned or capital gains realized by the Fund. The Fund’s ability to make regular monthly distributions depends on a number of factors, including, most importantly, the longterm total returns generated by the Fund’s portfolio investments and the risk management program. Operation of the Funds Following Conversion Generally Following the Conversions, each Fund, through use of a rules-based investment methodology, will seek to obtain returns that, over time, generally match (before fees and expenses) the returns of a commodity-linked index. The Diversified Fund will take long positions in the components of the Gresham Adaptive Commodity Index (the ‘‘Adaptive Index’’), while the Long/ Short Fund will take positions either long or short in the components of the Gresham Long/Short Commodity Index (the ‘‘Long/Short Index’’). Each of the Adaptive Index and the Long/Short Index also is referred to herein as an ‘‘Index’’ and, collectively, as the ‘‘Indexes.’’ In contrast to certain representations made in the Prior Releases and described above, after the Conversions PO 00000 Frm 00110 Fmt 4703 Sfmt 4703 each Fund: (i) Will no longer invest in forwards (and instead will invest solely in futures contracts), (ii) will no longer hold options or utilize options strategies, and (iii) will no longer make monthly distributions to its shareholders. Names; Investment Objectives After the Conversion, the name of the Diversified Fund will change to the ‘‘NuShares Gresham Adaptive Commodity ETF’’ and the name of the Long/Short Fund will change to the ‘‘NuShares Gresham Long/Short Commodity ETF.’’ Each Fund’s investment objective will be to generate attractive total returns by generally tracking its respective Index. Each Fund will continue to seek to achieve its investment objective by investing in a diverse portfolio of exchange-traded commodity futures contracts that provide exposure to the global commodity markets (such futures contracts are referred to herein as ‘‘Commodity Futures’’). Generally, each Fund will invest in Commodity Futures that are included in a Fund’s respective Index; however, each Fund also may invest in other commodity futures contracts that are not included in the Indexes (at times when the Commodity Subadviser believes such investments will improve a Fund’s profitability and/ or reduce the potential for losses, as described more fully below). The Funds’ Investments After the Conversions, each Fund’s principal investments are not expected to change. Under normal market conditions,17 each Fund will continue to invest in (i) Commodity Futures traded on U.S. and non-U.S. futures exchanges 18 having various expiration dates, and (ii) collateral consisting of U.S. government securities and cash equivalents, some of which are maintained on deposit with a Fund’s commodity broker as margin, to collateralize a Fund’s positions in the Commodity Futures. As stated above, 17 With respect to each Fund, the term ‘‘under normal market conditions’’ includes, but is not limited to, the absence of extreme volatility or trading halts in the financial markets generally; operational issues causing dissemination of inaccurate market information; or force majeure type events such as a systems failure, natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance. 18 Not more than 10% of the net assets of a Fund, in the aggregate, shall consist of futures contracts whose principal market is not a member of the Intermarket Surveillance Group (‘‘ISG’’) or with which the Exchange has in place a comprehensive surveillance sharing agreement. E:\FR\FM\13JNN1.SGM 13JNN1 srobinson on DSK5SPTVN1PROD with NOTICES Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices the Funds will not invest in forwards or options following the Conversions. Futures contracts on commodities reflect the expected future value of an underlying commodity on which the contract is based. Pursuant to such futures contracts, one party agrees to buy, and the other to sell, a set amount of the reference asset (or a cash equivalent) at a pre-determined price (the ‘‘spot price’’) on a pre-determined future date (the ‘‘expiration date’’). As the expiration date for any given Commodity Futures contract draws closer, the Commodity Subadviser will roll that Commodity Futures contract, prior to its expiration, on an ongoing basis, so as to ensure that each Fund maintains a position in such Commodity Futures contract. For each Fund, the Commodity Subadviser employs a proprietary methodology in assessing commodity market movements. Generally, the Commodity Subadviser employs momentum-based modeling to estimate forward-looking prices and to evaluate the return impact of futures contract rolls. The Commodity Subadviser will calculate a roll-adjusted price that accounts for the current spot price and the impact of roll yield. The Commodity Subadviser may exercise discretion in its decisions and the timing and implementation of the Fund’s commodity investments to seek to benefit from trading on commodity price momentum. Specifically, following the Conversion, the Diversified Fund weightings will be determined on a monthly basis—if the price of a commodity contract is higher than its six-month simple moving average, the commodity contract will be held at its target weight; conversely, if the price is below the six-month simple moving average, the commodity weight will be reduced by half. Following the Conversion, for the Long/Short Fund, the momentum-based model will employ shorter-term moving averages (such as 6-months) to determine whether a commodity futures position in the Index is held long or short (or flat, for petroleum-related commodities). Each Fund’s Commodity Futures investments will, at all times, be fully collateralized (i.e., the ‘‘notional value’’—the value of the underlying commodity at the contract’s spot price— of the Fund’s commodity exposure will not exceed the market value of the Fund’s net assets). However, whereas the Prior Releases represented that 25% of that Fund’s Collateral will be committed as ‘‘initial’’ and ‘‘variation’’ margin, the Funds now represent that, following the Conversions, approximately 10–25% of each Fund’s VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 Collateral will be committed as initial and variation margin and be segregated pursuant to the Commodity Exchange Act, and the regulations thereunder, to secure the futures contract positions. Those assets will be held in a commodity futures account maintained by SG Americas Securities, LLC (‘‘SG’’), the Funds’ clearing broker, which serves as a futures commission merchant and broker-dealer registered with the CFTC and the Commission. The remaining 75–90% of a Fund’s Collateral (as opposed to a set 75%, as noted in the Prior Releases) will continue be held in a separate collateral investment account managed by the Collateral Subadviser. However, the eligible Collateral investments will change following the Conversion. The Funds will no longer invest in money market funds or repurchase agreements; instead, they will invest in short-term U.S. government securities and cash equivalents. The Funds’ Investment Strategies Following the Conversions, each Fund will employ a rules-based commodity investment strategy in seeking to achieve its investment objective: The Diversified Fund will use a long-biased strategy, and the Long/ Short Fund will use a long/short strategy. In doing so, each Fund, as they currently do prior to the Conversion, will invest in a diverse portfolio of exchange-traded Commodity Futures that have an aggregate notional value less than or substantially equal to the net assets of such Fund. Generally, those Commodity Futures will be components of each Fund’s respective Index; however, each Fund also may invest in other commodity futures contracts that are not included in the Indexes in seeking to improve profitability and/or reduce the potential for loss. Each Fund will make investments in Commodity Futures in the six principal groups within the global commodities markets: Agriculture; energy; foods and fibers; industrial metals; livestock; and precious metals. To provide diversification, each Fund will take positions in Commodity Futures related to approximately 30 commodities; its rules-based strategy will limit the weight of any individual Commodity Futures and also will limit the allocations to the largest two commodity groups to allow for higher allocations to the smaller commodity groups. Each Fund will continue to allocate its investments to Commodity Futures pursuant to the Commodity Subadviser’s proprietary strategy. PO 00000 Frm 00111 Fmt 4703 Sfmt 4703 38237 Typically, each Fund expects to follow certain rules pertaining to eligible commodities, weights, diversification, rebalancing, and annual reconstitution that are the same as those for its respective Index, so as to minimize the divergence between the price behavior of a Fund’s Commodity Futures portfolio and the price behavior of its Index (such divergence is referred to as ‘‘tracking error’’). As such, each Fund’s investment results, before the deduction of fees and other expenses, are expected generally to correspond to the changes, positive or negative, in the levels of its respective Index over time. Although each Fund generally will seek to track the performance of its Index (before fees and expenses), the Funds will remain actively managed and therefore will not be obligated to always invest in the components of the Indexes. From time to time, a Fund may invest in commodity futures contracts not included in its Index and/or that have differing expiration dates and terms. Such variations from an Index are market-driven and opportunistic, and are designed to improve a Fund’s profitability and reduce the potential for losses. Additionally, each Fund will continue to deviate temporarily from its investment objective and policies during adverse market circumstances. Description of the Indexes According to the Registration Statement, each Index is a proprietary index developed by the Commodity Subadviser’s senior management team. The methodology for commodity selection and target weight calculation for each Index is based on the Commodity Subadviser’s TAP strategy. Annual rebalancing for the TAP strategy follows a systematic, disciplined approach for establishing new target weights for commodities in the portfolio and encompasses a diverse mix of tangible Commodity Futures. TAP currently allocates to Commodity Futures relating to approximately 30 different commodities. TAP scales its position according to rankings of individual commodities based on three factors: (i) Historical global production; (ii) historical global trade; and (iii) historical contract liquidity. The TAP strategy employs portfolio construction constraints that seek liquidity, a robust and fair regulatory framework, avoidance of foreign exchange risk, and transparency, as it trades only in markets where exchange settlements are publicly disseminated. In order to ensure a high level of commodity diversification at each annual rebalance, the TAP strategy maintains certain E:\FR\FM\13JNN1.SGM 13JNN1 38238 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices limits on amounts allocated to commodity groups. Each Index is rebalanced annually. Between rebalance dates, Index weights vary based on the performance of the commodity contract positions in each Index. On a monthly basis, each Index utilizes historical price trends to determine its positions and rolls its contracts to implement the new positions. Adaptive Index. According to the Registration Statement, by maintaining a long-bias, the Adaptive Index seeks to benefit from rising commodity markets while still affording flexibility to reduce its target investment exposure by half of the target weighting to certain individual commodities when appropriate. On a monthly basis, each commodity’s weight in the Adaptive Index will be maintained or reduced after comparing the price of each commodity with its six-month simple moving average. If the price of a commodity is higher than its six-month simple moving average, the commodity is held at its target weight; conversely, if the price is below the six-month simple moving average, the commodity’s weight is reduced by half. Long/Short Index. The Long/Short Index seeks to take advantage of the persistent trends in commodities prices, often referred to as ‘‘momentum.’’ The central principle of a persistence or momentum investment process is that if the price of an asset is rising (or falling), it is expected to continue to do so. The Long/Short Index employs a momentum rule to determine if exposure to a particular constituent Commodity Futures contract should be held long or short (or ‘‘flat,’’ in the case of petroleum-related commodities contracts, as described below). Whether a Long/Short Index position will be long or short (or flat) is currently determined on a monthly basis by comparing the price of each Commodity Futures contract to its six-month simple moving average. If the price of a commodity is higher than its six-month simple moving average, the commodity is assigned a long position; conversely, if the price is below the six-month simple moving average, it is assigned a short position. A long position will increase in market value if the price of the Commodity Futures is rising during the period when the position is open, whereas a short position will increase in market value if the price of the Commodity Futures is falling during the period when the position is open. The Long/Short Index is currently constructed such that, when the price of a petroleum-related Commodity Futures contract (e.g., WTI Crude, Brent Crude, Heating Oil, RBOB Gasoline or Gas Oil) is below its six-month simple moving average, the weight of that commodity is moved to the collateral portfolio (i.e., the position is ‘‘flat’’). The price of petroleum-related commodities historically have been extremely sensitive to geopolitical events and less driven by supply and demand imbalances; as such, holding flat positions in petroleum-related commodities could serve to protect the Long/Short Fund from losses arising from such geopolitical risks. A flat position in a petroleum-related Commodity Futures contract will not provide futures market exposure to that contract. During transitions from long to short positions or vice versa, the Fund may temporarily hold both long and short positions on the same Commodity Futures contract. In accordance with the Long/Short Fund’s ‘‘long/short’’ commodity investment strategy, each Commodity Futures contract will be assigned a target weight and may be held in the portfolio as a long position or a short position (or flat position). Composition of the Indexes Eligible Contracts. Listed below are the main categories of Commodity Futures contracts that are eligible to become components of each Index as of February 1, 2016. Each commodity may have several different types of individual Commodity Futures contracts (e.g., hard winter wheat and soft red wheat). The Commodity Subadviser has discretion over Commodity Futures contract selection and may choose from the available contract types. As noted above, each Fund will invest in Commodity Futures that are traded on both U.S. and nonU.S. exchanges. If the Commodity Futures in which a Fund will invest are listed on multiple exchanges, a Fund may invest in those contracts that are listed on the exchange with the greatest dollar volume traded in those contracts. Group Commodity Primary exchange Energy ..................................................................... WTI Crude Oil ........................................ New York Mercantile Exchange. ICE Futures Europe ............... ICE Futures Europe ............... New York Mercantile Exchange. New York Mercantile Exchange. New York Mercantile Exchange. ICE Futures US ...................... ICE Futures US ...................... ICE Futures Europe ............... ICE Futures US ...................... ICE Futures US ...................... ICE Futures Europe ............... Chicago Board of Trade ......... Chicago Board of Trade ......... Chicago Board of Trade ......... Chicago Board of Trade ......... Chicago Board of Trade ......... Minneapolis Grain Exchange Chicago Board of Trade ......... London Metal Exchange ........ London Metal Exchange ........ Commodity Exchange, Inc. .... London Metal Exchange ........ Brent Crude Oil ...................................... Gas Oil ................................................... Gasoline ................................................. Heating Oil .............................................. Natural Gas ............................................ Foods and Fibers .................................................... srobinson on DSK5SPTVN1PROD with NOTICES Agriculture ............................................................... Base Metals ............................................................ VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 PO 00000 Cotton #2 ................................................ Sugar #11 ............................................... White Sugar ............................................ Coffee ..................................................... Cocoa ..................................................... Robusta Coffee ...................................... Corn ........................................................ Soybean Meal ........................................ Soybean Oil ............................................ Soybeans ................................................ Kansas City Wheat ................................. Minneapolis Wheat ................................. Wheat ..................................................... Aluminum ................................................ Copper (LME) ......................................... Copper (COMEX) ................................... Nickel ...................................................... Frm 00112 Fmt 4703 Sfmt 4703 E:\FR\FM\13JNN1.SGM 13JNN1 Trading hours (eastern time) 09:00–14:30 20:00–18:00 20:00–18:00 09:00–14:30 09:00–14:30 09:00–14:30 21:00–14:20 03:30–13:00 03:45–12:55 04:15–13:30 04:45–13:30 04:00–12:30 09:30–14:15 09:30–14:15 09:30–14:15 09:30–14:15 09:30–14:15 20:00–14:30 09:30–14:15 15:00–14:45 15:00–14:45 08:01–13:00 15:00–14:45 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices Group Commodity Precious Metals ...................................................... Primary exchange Zinc ......................................................... Lead ........................................................ Gold ........................................................ Palladium ................................................ London Metal Exchange ........ London Metal Exchange ........ COMEX .................................. New York Mercantile Exchange. New York Mercantile Exchange. COMEX .................................. Chicago Mercantile Exchange Chicago Mercantile Exchange Chicago Mercantile Exchange Platinum .................................................. Livestock ................................................................. Index Composition. Listed below are the target weights for each commodity Silver ....................................................... Feeder Cattle .......................................... Lean Hogs .............................................. Live Cattle .............................................. 38239 Trading hours (eastern time) 15:00–14:45 15:00–14:45 08:20–13:30 08:30–13:00 08:20–13:05 08:30–13:00 09:30–14:00 09:30–14:00 09:30–14:00 as of February 1, 2016. These target weights are the same for each Index. Composition (%) Commodity group Commodity Energy ......................................................................................... WTI Crude Oil ............................................................................ Brent Crude Oil .......................................................................... Natural Gas ................................................................................ Gas Oil ....................................................................................... Heating Oil ................................................................................. Gasoline ..................................................................................... 9.3 9.4 7.0 3.2 2.5 3.6 .................................................................................................... Corn ........................................................................................... Kansas City Wheat .................................................................... Minneapolis Wheat .................................................................... Wheat ......................................................................................... Soybean Meal ............................................................................ Soybean Oil ............................................................................... Soybeans ................................................................................... 35.0 3.8 0.7 0.2 2.8 2.4 1.1 5.0 .................................................................................................... Live Cattle .................................................................................. Feeder Cattle ............................................................................. Lean Hogs .................................................................................. 16.0 7.0 2.0 2.3 .................................................................................................... Sugar #11 .................................................................................. Cocoa ......................................................................................... White Sugar ............................................................................... Robusta Coffee .......................................................................... Coffee ......................................................................................... Cotton #2 ................................................................................... 11.3 2.2 1.0 0.2 0.3 1.8 1.5 .................................................................................................... Copper (LME) ............................................................................ Copper (COMEX) ....................................................................... Aluminum ................................................................................... Nickel ......................................................................................... Zinc ............................................................................................ Lead ........................................................................................... 7.0 7.1 1.4 5.3 1.7 1.8 0.9 .................................................................................................... Gold ............................................................................................ Silver .......................................................................................... Platinum ..................................................................................... Palladium ................................................................................... 18.2 8.8 2.5 0.7 0.5 .................................................................................................... 12.5 .................................................................................................... 100.0 Agriculture ................................................................................... Livestock ..................................................................................... Foods and Fibers ........................................................................ Base Metals ................................................................................ srobinson on DSK5SPTVN1PROD with NOTICES Precious Metals .......................................................................... Total ............................................................................................ Summary of Other Aspects Regarding the Conversion of the Funds As set forth in its respective Prior Release, each Fund is currently VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 structured as a closed-end commodity pool. As part of the Conversion, each Fund plans to convert to an ETP structure, which requires an amendment PO 00000 Frm 00113 Fmt 4703 Sfmt 4703 to each Fund’s Agreement and Declaration of Trust (with respect to each Fund, the ‘‘Amendment,’’ and collectively, the ‘‘Amendments’’). Each E:\FR\FM\13JNN1.SGM 13JNN1 38240 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices Fund’s shareholders approved the respective Amendment at annual shareholder meetings in 2015. When executed, the Amendments will add to the Funds’ legal structure the creation and redemption basket features described below, which the current versions of the Funds’ governing documents do not include. After the Conversion: (i) Each Fund will remain a commodity pool, (ii) investors will own the same Shares as they did before the Conversion, and (iii) investors will continue to be able to buy and sell Shares on an exchange throughout each business day at thenprevailing market prices. The Funds currently disclose portfolio holdings daily, and will continue to do so following the Conversions. However, following the Conversion, each Fund will issue and redeem Shares on a continuous basis through the creation/ redemption process used by ETPs (as described below), which is intended to facilitate the trading of Shares at prices equal to or near their NAV. The Shares will be assigned new CUSIP numbers at the time of the Conversion. Moreover, as stated above, following the Conversions, the name of the Diversified Fund will change to the NuShares Gresham Adaptive Commodity ETF, and the name of the Long/Short Fund will change to the NuShares Gresham Long/Short Commodity ETF. The Funds are not currently, and after the Conversions will not be, mutual funds or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended. In connection with the Conversions, the Manager intends to implement additional changes to both Funds that the Manager believes will better align the Funds’ features with their newlyadopted ETP structure. The charts below summarize those changes. Changes to Diversified Fund Before conversion Fund name ........................... Ticker ................................... Distribution Policy ................ Share Repurchases ............. Investment Strategy ............. After conversion Nuveen Diversified Commodity Fund ............................. CFD ................................................................................. Pays regular monthly distributions .................................. Active share repurchase program ................................... Long-only commodity strategy ........................................ NuShares Gresham Adaptive Commodity ETF. GAC. Discontinue regular monthly distributions. Discontinue share repurchase Program. Long-biased commodity strategy-weightings determined on a monthly basis; if the price of a commodity contract is higher than its six-month simple moving average, the commodity contract will be held at its target weight; conversely, if the price is below the six-month simple moving average, the commodity weight will be reduced by half. Discontinue option writing program. Collateral invested in U.S. government securities, with terms not exceeding one year, and cash equivalents. Option writing program .................................................... Collateral invested in cash equivalents, U.S. government securities and other short-term high-grade debt securities, including corporate debt, with terms not exceeding one year. Changes to Long/Short Fund Before conversion srobinson on DSK5SPTVN1PROD with NOTICES Fund name ........................... Ticker ................................... Distribution Policy ................ Share Repurchases ............. Investment Strategy ............. After conversion Nuveen Long/Short Commodity Total Return Fund ....... CTF ................................................................................. Pays regular monthly distributions .................................. Active share repurchase Program .................................. Long/short commodity futures strategy based on the Morningstar Long/Short Commodity Index. Uses momentum-based model to calculate 12-month moving price averages that are used to determine whether a commodity futures position is held long or short. NuShares Gresham Long/Short Commodity ETF. GLS. Discontinue regular monthly distributions. Discontinue share repurchase Program. Long/short commodity futures strategy based on the Gresham Long/Short Commodity Index. Long/short commodity strategy— Momentum-based model will employ shorter-term moving averages (such as 6-months) to determine whether a commodity futures position in the Index is held long or short (or flat, for petroleum-related commodities). Weightings are determined on a monthly basis; if the price of a commodity contract is higher than its sixmonth simple moving average, the commodity is assigned a long position; conversely, if the price is below the six-month simple moving average, it is assigned a short position. Will not short petroleum-based futures-if model signals to short petroleum-based futures, positions will instead be held ‘‘flat’’ (i.e., in cash). Discontinue option writing program. Collateral invested in short-term U.S. government securities and cash equivalents. Will not short energy futures-if model signals to short energy futures, positions will instead be held ‘‘flat’’ (i.e., in cash). Option writing program .................................................... Collateral invested in cash equivalents, U.S. government securities and other short-term high-grade debt securities, including corporate debt, with terms not exceeding one year. The Manager will announce in advance the expected effective date of VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 the Conversions via press releases and Form 8–K filings. Those press releases PO 00000 Frm 00114 Fmt 4703 Sfmt 4703 also will include a summary of changes to the Funds that will occur in E:\FR\FM\13JNN1.SGM 13JNN1 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices srobinson on DSK5SPTVN1PROD with NOTICES connection with the Conversions. The Exchange will also issue a notice to members approximately 10 days prior to the date of effectiveness of the Conversion, and another notice to members on the business day prior to the date Shares of the Funds will trade under the new CUSIP. The Manager expects that the Conversions will have the effect of further narrowing the discount in each Fund’s Share price as compared to its NAV. Creation and Redemption of Shares Following the Conversion, the Funds will issue and redeem Shares in ‘‘Baskets’’ of 50,000 Shares each on a continuous basis to ‘‘Authorized Participants’’ in exchange for cash equal to the total value of the futures contracts, cash and collateral assets (i.e., cash equivalents) that comprise one Basket (‘‘Basket Amount’’). Similarly, an Authorized Participant is entitled to receive the corresponding Basket Amount in exchange for each Basket surrendered for redemption. The Basket represents one Creation Unit of a Fund. Except when aggregated in Baskets, the Shares are not redeemable securities of a Fund. The size of a Basket will be subject to change. Only Authorized Participants may place orders to create and redeem Baskets. An ‘‘Authorized Participant’’ must (1) be a registered broker-dealer or other securities market participant, such as a bank or other financial institution exempt from registration as a brokerdealer to engage in securities transactions, (2) be a participant in The Depository Trust Company (‘‘DTC’’), and (3) have entered into a Participant Agreement. The Participant Agreement sets forth the procedures for the creation and redemption of Baskets and for the delivery of the Basket Amount required for such creations or redemptions. The Manager will have engaged at least two market participants to act as Authorized Participants with respect to the Funds prior to completing the Conversions. Authorized Participants may sell the individual Shares included in the Baskets and purchased from each Fund to other investors on the Exchange. Otherwise, Shares will not be individually redeemable. To redeem, an investor must accumulate enough Shares to constitute a Creation Unit. Redemption orders must be placed by or through an Authorized Participant. The Manager expects that purchasers of Creation Units will include institutional investors and arbitrageurs and that secondary market purchasers of Shares will include both institutional investors and retail investors. The VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 Manager also expects that the price at which Shares of each Fund trade will be disciplined by arbitrage opportunities created by the option to continually purchase or redeem Creation Units at their NAV. The Manager believes that a conversion from the current closed-end structure to one that utilizes a creation/ redemption process will serve to reduce the Shares’ discount to NAV, to the benefit of current shareholders. On any business day that NYSE MKT is open for regular trading, an Authorized Participant may place an order with the Transfer Agent to create one or more Baskets. Creation orders must be placed by 10:00 a.m., Eastern time. The creation order date is the day on which the Transfer Agent receives an order in proper form to purchase the Shares in one or more Baskets. The day on which a creation order is settled is the creation order settlement date. The creation order settlement date may occur up to 3 business days after the creation order date. The total cash payment required to create each Basket is equal to the NAV of 50,000 Shares of a Fund as of the closing time of the NYSE MKT on the creation order date. Because orders to purchase Baskets must be placed by 10:00 a.m., Eastern time, but the total payment required to create a Basket will not be determined until 4:00 p.m., Eastern time, on the date the creation order is received, Authorized Participants will not know the total amount of the payment required to create a Basket at the time they submit the creation order for the Basket.19 The procedures by which an Authorized Participant can redeem one or more Baskets mirror the procedures for the creation of Baskets. The redemption proceeds from each Fund consist of the cash redemption amount. The cash redemption amount is equal to the NAV of the number of Basket(s) of a Fund requested in the Authorized Participant’s redemption order as of the closing time of the NYSE 19 ETPs that invest in commodity contracts traded on the LME commonly adopt an order cut-off time prior to the close of regular trading on the LME (5 p.m., London time, or 12 p.m. Eastern time) in order to permit sufficient time to conduct necessary trading on the LME in response to creation and redemption activity. See, e.g., PowerShares DB Commodity Index Tracking Fund (DBC) (order cutoff time of 10:00 a.m., Eastern time) and United State Commodity Index Fund (USCI) (order cut-off time of the earlier of 10:30 a.m., Eastern time, or the close of regular trading on the NYSE Arca). Although Authorized Participants who place creation or redemption orders are exposed to market movements until the ETPs’ NAV is struck (typically, 4 p.m., Eastern time), they are able to hedge their exposure such that they are willing and able to engage in creation and redemption activity for the purpose of capturing arbitrage opportunities. PO 00000 Frm 00115 Fmt 4703 Sfmt 4703 38241 MKT or the last to close of the exchanges on which its futures contracts are traded, whichever is later, on the redemption order date. The Manager will distribute the cash redemption amount at the redemption order settlement date as of 2:45 p.m., Eastern time, on the redemption order settlement date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system. The redemption proceeds due from each Fund are delivered to the Authorized Participant at 2:45 p.m., Eastern time, on the redemption order settlement date if, by such time, a Fund’s DTC account has been credited with the Baskets to be redeemed. If a Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. For either Fund, the Manager may, in its discretion, suspend the right of redemption, or postpone the redemption order settlement date, for (1) any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, or (2) such other period as the Manager determines to be necessary for the protection of the shareholders. Shareholders who are not Authorized Participants will have no right to purchase or redeem their Shares directly from or to the Funds. Instead, such shareholders will continue to have the ability to purchase or sell their Shares on an exchange. Net Asset Value According to the Registration Statement, a Fund’s NAV is calculated as of the close of the exchange on which it trades, on each day that such exchange is open. NAV per Share is computed by dividing the value of all assets of a Fund (including any accrued interest and dividends), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of Shares outstanding. Each Fund publishes its NAV on its Web site on a daily basis, rounded to the nearest cent. For purposes of determining the NAV of a Fund, portfolio instruments will be valued using prices provided primarily by independent pricing services approved by the Manager. A Fund’s Commodity Futures generally will be valued at their final settlement price, if available, as determined by the principal exchange on which they are traded. Non-exchange traded instruments pledged as collateral will generally be valued using prices provided by independent pricing E:\FR\FM\13JNN1.SGM 13JNN1 38242 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices the NAV; (c) data in chart format displaying the frequency of the discounts and premiums of the daily closing price or Bid/Ask Price against the NAV, within appropriate ranges, for each of the four previous calendar quarters; (d) the prospectus; and (e) other applicable quantitative information. After the Conversion, on each business day before commencement of trading in Shares on the Exchange, each Fund will disclose on its Web site the Disclosed Portfolio that will form the basis for a Fund’s calculation of NAV at the end of the business day.21 Each Fund’s portfolio holdings (as of the previous day’s close) will also be disclosed and updated on the Funds’ Web site on each business day that the Exchange is open for trading. Such disclosure of the Funds’ portfolio holdings will include, as applicable to the type of holding: Ticker symbol, name or other identifier, if any; a description of the holding (including the type of holding, such as the type of futures contract); the identity of the security, commodity or other asset or instrument underlying the holding, if any; quantity held (as measured by, for example, par value, notional value or number of shares, contracts or units); maturity date, if any; effective date, if any; market value of the holding; and the percentage weighting of the holding in a Fund’s portfolio. The values of each Fund’s portfolio holdings will, in each case, be determined in accordance with the Funds’ valuation policies. The daily settlement prices for the Commodity Futures contracts are publicly available on the Web sites of the futures exchanges trading the particular contracts. Various data vendors and news publications publish futures prices and data. The Exchange represents that futures quotes and last Availability of Information Regarding sale information for the commodity the Shares contracts are widely disseminated The Web site for the Funds, https:// through a variety of market data vendors www.nuveen.com/ worldwide, including Bloomberg and CommodityInvestments, will be publicly Reuters. In addition, the Exchange accessible at no charge and, following further represents that complete realthe Conversion, will contain the time data for such futures is available by following information for each Fund, subscription from Reuters and updated daily: (a) The prior business Bloomberg. The relevant futures day’s NAV and the reported closing exchanges also provide delayed futures price or mid-point of the bid/ask spread contract information on current and past at the time of calculation of such NAV trading sessions and market news free of (the ‘‘Bid/Ask Price’’) 20; (b) calculation charge on their respective Web sites. of the premium or discount of the The contract specifications for the closing price or Bid/Ask Price against srobinson on DSK5SPTVN1PROD with NOTICES services, or prices may be obtained from other sources, such as broker-dealer quotations. Independent pricing services typically value non-exchange traded instruments using a range of market-based inputs and assumptions. For example, when available, pricing services may utilize inputs such as benchmark yields, reported trades, broker-dealer quotes, spreads, and transactions for comparable instruments. In pricing certain instruments, the pricing services may consider information about an instrument’s issuer or market activity provided by the Manager. Independent pricing service valuations of nonexchange traded instruments represent the service’s good faith opinion as to what the holder of an instrument would receive in an orderly transaction for an institutional round lot position under current market conditions. It is possible that these valuations could be materially different from the value that a Fund realizes upon the sale of an instrument. If the pricing services are unable to price an instrument, if the Manager deems the pricing services valuation to be unreliable, or if a significant event occurs such that the valuation provided is deemed unreliable, a Fund may value portfolio instruments(s) at their fair value, which is generally the amount that a Fund might reasonably expect to receive upon the current sale or closing of a position. The fair value of an instrument is based on the Manager’s good faith judgment and may differ from subsequent quoted or published prices. For example, events may occur after the close of the relevant market but prior to the time as of which a Fund’s NAV is calculated, which materially impact the instrument’s value, and the fair value on a given day would take such events into account. 20 The Bid/Ask Price of the Funds’ Shares will be determined using the midpoint of the highest bid and the lowest offer on the Exchange as of the time of calculation of a Fund’s NAV. The records relating to Bid/Ask Prices will be retained by the Funds and their service providers. VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 21 Under accounting procedures followed by the Funds, trades made on the prior business day (‘‘T’’) will be booked and reflected in NAV on the current business day (‘‘T+1’’). Accordingly, the Funds will be able to disclose at the beginning of the business day the portfolio that will form the basis for the NAV calculation at the end of the business day. PO 00000 Frm 00116 Fmt 4703 Sfmt 4703 futures contracts are also available from the futures exchanges on their Web sites as well as other financial informational sources. Information regarding market price and trading volume of the Shares will be continually available on a real-time basis throughout the day on brokers’ computer screens and other electronic services. Quotation and last sale information for the Shares will be available via the Consolidated Tape Association (‘‘CTA’’) high-speed line. Price information for Collateral will be available from major market data vendors. In addition, the Intraday Indicative Value (‘‘IIV’’) 22 will be widely disseminated at least every 15 seconds during trading on the Exchange by one or more major market data vendors.23 The dissemination of the IIV, together with the Disclosed Portfolio, will allow investors to determine the value of the underlying portfolio of a Fund and provide a close estimate of that value throughout the trading day. In addition, a Basket composition file, which includes the names and weights of the instruments required to be delivered in exchange for a Fund’s Basket, together with estimates and actual cash components, will be publicly disseminated daily prior to the opening of the Exchange. As described above, the NAV for each Fund will be calculated and disseminated daily. The Manager has represented to the Exchange that the NAV and all portfolio holdings will be disseminated to all market participants at the same time. The Exchange will also make available on its Web site daily trading volume, closing prices, and the NAV. The closing price and settlement prices of the futures contracts held by the Funds are also readily available from the relevant futures exchanges, automated quotation systems, published or other public sources, or on-line information services such as Bloomberg or Reuters. In addition, the Exchange 22 The IIV is an approximate per Share value of a Fund’s portfolio holdings, which is disseminated every fifteen seconds throughout the trading day by one or more market data vendors. The IIV will be based on the current market value of a Fund’s Disclosed Portfolio. The IIV does not necessarily reflect the precise composition of the current portfolio holdings of a Fund at a particular point in time. The IIV should not be viewed as a ‘‘realtime’’ update of the NAV of a Fund because the approximate value may not be calculated in the same manner as the NAV. The quotations for certain investments may not be updated during U.S. trading hours if such holdings do not trade in the U.S., except such quotations may be updated to reflect currency fluctuations. 23 It is the Exchange’s current understanding that several major market data vendors display and/or make widely available IIVs taken from CTA or other data feeds. E:\FR\FM\13JNN1.SGM 13JNN1 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices will provide a hyperlink on its Web site to the Funds’ Web site. As noted above, the NAV of each Fund will be calculated once each trading day shortly after 4:00 p.m. ET. The NAV will be disclosed on the Funds’ Web site and the Exchange’s Web site. srobinson on DSK5SPTVN1PROD with NOTICES Criteria for Continued Listing The Funds will be subject to the criteria in Rule 1602 for continued listing of the Shares. A minimum of 100,000 Shares of a Fund will be required to be outstanding at the start of trading upon such Fund’s Conversion. The Exchange believes that the anticipated minimum number of shares outstanding at the start of trading upon the Conversions is sufficient to provide adequate market liquidity and to further each Fund’s objectives. Each Fund has represented to the Exchange in its Prior Release, and continues to represent here, that, for continued listing of the Shares, it will be in compliance with Section 803 of the NYSE MKT Company Guide (Independent Directors and Audit Committee) and Rule 10A–3 under the Act.24 Trading Rules The Exchange deems the Shares to be equity securities, thus rendering trading in the Shares subject to NYSE MKT Rules governing the trading of equity securities, including, among others, rules governing priority, parity and precedence of orders, DMM responsibilities and account opening and customer suitability (NYSE MKT Rule 405). Shares of each Fund will trade on the Exchange until 4 p.m. ET each business day and will trade in the minimum price variants established under NYSE MKT Rule 62. Trading rules pertaining to odd-lot trading in NYSE MKT equities (NYSE MKT Rule 124) will also apply. The Exchange states that NYSE MKT Rule 15A complies with Rule 611 of Regulation NMS, which requires, among other things, that the Exchange adopt and enforce written policies and procedures that are reasonably designed to prevent trade-throughs of protected quotations. The trading of the Shares will be subject to certain conflict of interest provisions set forth in NYSE MKT Equities Rule 1604. According to NYSE MKT Rule 1602, trading in Shares of a Fund will be halted if the circuit breaker parameters of NYSE MKT Rule 80B have been reached. In addition, trading may be halted because of market conditions or 24 17 CFR 240.10A–3. VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 for reasons that, in the view of the Exchange, make trading in the Shares inadvisable. These may include: (a) The extent to which trading is not occurring in the underlying futures contracts; or (b) 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 or by the halt or suspension of the trading of the underlying futures contracts. In exercising its discretion to halt or suspend trading in the Shares, the Exchange may consider all factors, such as those set forth in NYSE MKT Rule 953NY(a), in addition to other factors that also may be relevant. In particular, if the portfolio holdings and NAV per Share are not being disseminated as required, the Exchange may halt trading during the day in which the interruption to the dissemination of the portfolio holdings or NAV per Share occurs. Information Circular The Exchange will distribute an Information Circular (‘‘Circular’’) to its members in connection with the trading of the Shares. The Circular will discuss the special characteristics and risks associated with trading this type of security. Specifically, the Circular, among other things, will discuss: (i) What the Shares are; (ii) NYSE MKT Rule 405, which imposes a duty on member organizations to have a reasonable basis to believe that a customer is suitable for the particular investment prior to recommending to customers transactions in the Shares; (iii) the procedures for purchases and redemptions of Shares in Baskets (and that Shares are not individually redeemable); (iv) how information regarding the IIV and the Disclosed Portfolio is disseminated; (v) the requirement that members and member firms deliver a prospectus to investors purchasing newly issued Shares prior to or concurrently with the confirmation of a transaction; (vi) applicable NYSE MKT rules; and (vii) trading information. The Circular will also explain that each Fund is subject to various fees and expenses described in its Registration Statement. The Circular will also reference the fact that there is no regulated source of last sale information regarding physical commodities and the respective jurisdictions of the Commission and CFTC over the trading of physical commodities. The Circular will also discuss any exemptive, no-action and interpretive PO 00000 Frm 00117 Fmt 4703 Sfmt 4703 38243 relief granted by the Commission or the staff from any rules under the Act. The Circular will disclose that the NAV for Shares will be calculated shortly after 4:00 p.m. ET each trading day. Surveillance The Exchange represents that, upon conversion of the Funds, trading in the Shares will be subject to the existing trading surveillances administered by the Exchange, as well as cross-market 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.25 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. The Exchange or FINRA, on behalf of the Exchange, or both, will communicate as needed regarding trading in the Shares and Commodity Futures with other markets that are members of the ISG, and the Exchange or FINRA on behalf of the Exchange, or both, may obtain trading information regarding trading in the Shares and Commodity Futures from such markets. In addition, the Exchange may obtain information regarding trading in the Shares and Commodity Futures from markets that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement.26 Not more than 10% of the net assets of a Fund, in the aggregate, shall consist of futures contracts whose principal market is not a member of the ISG or a market with which the Exchange has in 25 FINRA conducts cross-market surveillances on behalf of the Exchange pursuant to a regulatory services agreement. The Exchange is responsible for FINRA’s performance under this regulatory services agreement. 26 For a list of the current members of ISG, see www.isgportal.org. The Exchange notes that not all components of the Disclosed Portfolio may trade on markets that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement. E:\FR\FM\13JNN1.SGM 13JNN1 38244 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices srobinson on DSK5SPTVN1PROD with NOTICES place a comprehensive surveillance sharing agreement. The Exchange also has a general policy prohibiting the distribution of material, non-public information by its employees. All statements and representations made in this filing regarding (a) the description of the portfolio, (b) limitations on portfolio holdings or reference assets, or (c) the applicability of Exchange rules and surveillance procedures shall constitute continued listing requirements for listing the Shares on the Exchange. The issuer has represented to the Exchange that it will advise the Exchange of any failure by the Funds to comply with the continued listing requirements, and, pursuant to its obligations under Section 19(g)(1) of the Act, the Exchange will monitor for compliance with the continued listing requirements. If the Funds are not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under Sections 1001 through 1010 of the NYSE MKT Company Guide. Except for the changes noted above, all other facts presented and representations made in the Prior Releases are unchanged. 2. Statutory Basis The basis under the Act for this proposed rule change is the requirement under Section 6(b)(5) 27 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 amendments to NYSE MKT Rules 1600 et seq. 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 Conversions will be made in a fair an orderly manner, as each Fund largely will be structured following its Conversion in the same way as it was before its Conversion: It will remain a commodity pool; shareholders will continue to own the same Shares of a Fund as they owned prior to the Conversion (i.e., there is no forced redemption of currently outstanding Shares, which will continue to be listed and traded on 27 15 U.S.C. 78f(b)(5). VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 the Exchange); and shareholders will continue to be able to buy and sell Shares of each Fund on the Exchange throughout each business day at then prevailing market prices. The Exchange believes that the Conversion is consistent with the Act in that the only significant change in the operation of the Funds from that described in the Prior Releases is that each Fund will issue and redeem Shares using a creation/redemption process. The shareholders of each Fund have approved each Fund’s Conversion. Prior to the date of the Conversions, the Manager expects to engage multiple Authorized Participants with respect to the Funds, which the Manager believes will increase the trading volume of the Shares, and reduce the Shares’ discount to NAV. The Manager represents that it believes that, by converting each Fund into an ETP structure that utilizes a creation/redemption process, Shares of each Fund are likely to trade at prices equal to or near NAV. The Manager also expects that the price at which Shares trade will be disciplined by arbitrage opportunities created by the option to continually purchase or redeem Creation Units at their NAV. The Manager believes that there will be a positive impact to this arbitrage mechanism as a result of the conversion from a closed-end structure to one that implements a creation and redemption process, and that investors in the Funds’ Shares will benefit from the increased likelihood of a closer alignment between the Funds’ Share prices and their NAV. Moreover, the proposed amendments to the definition of Trust Units in NYSE MKT Rule 1600(b) to provide for continuous issuance and redemption, the addition of requirements relating to the Disclosed Portfolio in NYSE MKT Rule 1600(b)(iii) and the IIV in NYSE MKT Rule 1600(b)(iv), would provide an additional level of transparency and enhanced pricing information for Trust Units comparable to requirements applicable to certain other ETPs, such as Managed Fund Shares. Proposed Commentary .04 to Rule 1600 would provide that, if an issuer’s adviser is affiliated with a brokerdealer, the broker-dealer shall erect a ‘‘fire wall’’ around the personnel who have access to information concerning changes and adjustments to the Disclosed Portfolio. The proposed amendments to Rule 1602(a)(ii) will provide that the Exchange will obtain a representation from the issuer of each series of Trust Units that the Disclosed Portfolio as well as the NAV will be made available to all market participants at the same time. Rule 1602(b)(ii) will provide for trading halt PO 00000 Frm 00118 Fmt 4703 Sfmt 4703 procedures comparable to those applied to certain other ETPs, including if the circuit breaker parameters have been reached or if the Disclosed Portfolio, the NAV per Share, or the IIV are not being disseminated as required. Proposed new Rule 1602(b)(iii) would provide that each series of Trust Units will be listed and/or traded subject to application of specified continued listing criteria, including that the IIV for shares will be widely disseminated by one or more major market data vendors at least every 15 seconds during the time when the Trust Units trade on the Exchange, that the Disclosed Portfolio will be disseminated at least once daily and will be made available to all market participants at the same time; and that the Reporting Authority that provides the Disclosed Portfolio must implement and maintain, or be subject to, procedures designed to prevent the use and dissemination of material, nonpublic information regarding the actual components of the portfolio. The text of NYSE MKT Rule 1603 would be deleted because it is obsolete, as described above. The proposed amendments to Rule 1605 would make clearer the financial instruments that would be covered by the rule’s limitation of liability provisions. With respect to the Shares, the proposed rule changes are designed to promote just and equitable principles of trade and to protect investors and the public interest. The Shares will be listed and traded on the Exchange pursuant to the initial and continued listing criteria in Rules 1600 et seq. All of the commodity futures contracts in which the Funds will invest will be traded on regulated exchanges. The Funds will not invest in options on commodity futures contracts, swaps, or over-the-counter derivatives. The Exchange has in place surveillance procedures that are adequate to properly monitor trading in the Shares and to deter and detect violations of Exchange rules and applicable federal securities laws. The Exchange may obtain information regarding trading in the Shares and Commodity Futures from markets that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement. Not more than 10% of the net assets of a Fund, in the aggregate, shall consist of futures contracts whose principal market is not a member of the ISG or a market with which the Exchange has in place a comprehensive surveillance sharing agreement. The daily settlement prices of the futures contracts held by the Funds are readily available from the Web sites of the relevant futures exchanges, E:\FR\FM\13JNN1.SGM 13JNN1 srobinson on DSK5SPTVN1PROD with NOTICES Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices automated quotation systems, published or other public sources, or on-line information services such as Bloomberg or Reuters. The relevant futures exchanges also provide delayed futures information on current and past trading sessions and market news free of charge on their respective Web sites. Quotation and last-sale information for the Shares will be available via CTA. In addition, the Funds’ Web site will display each Fund’s daily NAV. An up-to-date value for each Fund’s respective Index will be available through Bloomberg and other market data vendors every 15 seconds. The Funds’ portfolio holdings will be disclosed on the Funds’ Web site daily after the close of trading on the Exchange and prior to the opening of trading on the Exchange the following day. Each of the Manager, SG, the Commodity Subadviser, and the Collateral Subadviser has erected and maintains firewalls within its respective institution to prevent the flow and/or use of non-public information regarding the portfolio of underlying instruments from the personnel involved in the development and implementation of the investment strategy to others such as sales and trading personnel. In addition, the Commodity Subadviser, the Collateral Subadviser, any subadviser of either, and the respective related personnel of both are subject to the provisions of Rule 204A–1 under the Advisers Act relating to codes of ethics. Each issuer of Shares has represented that the NAV per Share will be calculated daily and that the NAV and the Disclosed Portfolio will be made available to all market participants at the same time. In addition, a large amount of information is (and after the Conversion, will continue to be) publicly available regarding the Funds and the Shares, thereby promoting market transparency. Moreover, the IIV applicable to each Fund will be widely disseminated by one or more major market data vendors at least every 15 seconds during the time when the Funds trade on the Exchange. On each business day, before commencement of trading in Shares on the Exchange, each Fund will disclose on its Web site the Disclosed Portfolio that will form the basis for that Fund’s calculation of NAV at the end of the business day. Information regarding market price and trading volume of the Shares will be continually available on a real-time basis throughout the day on brokers’ computer screens and other electronic services. The Web site for the Funds will include the prospectus for each Fund and additional data relating to NAV and other applicable quantitative VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 information. Moreover, as discussed previously, the Exchange will inform its member organizations in an Information Circular of the special characteristics and risks associated with trading the Shares prior to the commencement of trading. 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 continued listing and trading of additional types of actively managed ETPs 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 in place a comprehensive surveillance sharing agreement. In addition, as noted above, investors will have ready access to information regarding each Fund’s holdings, the IIV, the Disclosed Portfolio, 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 continued listing and trading of an additional type of ETP 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 Within 45 days of the date of publication of this notice in the Federal Register or within such longer period up to 90 days (i) as the Commission may designate if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the self-regulatory organization consents, the Commission will: (A) by order approve or disapprove the proposed rule change, or (B) institute proceedings to determine whether the proposed rule change should be disapproved. PO 00000 Frm 00119 Fmt 4703 Sfmt 4703 38245 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– NYSEMKT–2016–58 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–NYSEMKT–2016–58. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission’s Internet Web site (https://www.sec.gov/ rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission’s Public Reference Room, 100 F Street NE., Washington, DC 20549, on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of such filing will also be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR– NYSEMKT–2016–58 and should be submitted on or before July 5, 2016. E:\FR\FM\13JNN1.SGM 13JNN1 38246 Federal Register / Vol. 81, No. 113 / Monday, June 13, 2016 / Notices For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.28 Robert W. Errett, Deputy Secretary. [FR Doc. 2016–13821 Filed 6–10–16; 8:45 am] BILLING CODE 8011–01–P A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change SECURITIES AND EXCHANGE COMMISSION [Release No. 34–78001; File No. SRndash;Phlxndash;2016–63] Self-Regulatory Organizations; NASDAQ PHLX LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change to a Proposal To Relocate and Update the Existing Provisions of Rule 1080.07 to New Rule 1098 June 7, 2016. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’),1 and Rule 19b–4 thereunder,2 notice is hereby given that on May 27, 2016, NASDAQ PHLX LLC (‘‘Exchange’’) filed with the Securities and Exchange Commission (‘‘SEC’’ or ‘‘Commission’’) the proposed rule change as described in Items I, II, a proposal to relocate and update the existing provisions of Rule 1080.07 to new Rule 1098.and III, below, which Items have been prepared by the Exchange. 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 the Substance of the Proposed Rule Change The Exchange proposes to a proposal to relocate and update the existing provisions of Rule 1080.07 to new Rule 1098. The text of the proposed rule change is available on the Exchange’s Web site at https:// nasdaqomxphlx.cchwallstreet.com/, at the principal office of the Exchange, and at the Commission’s Public Reference Room. srobinson on DSK5SPTVN1PROD with NOTICES 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 Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the 28 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 1 15 VerDate Sep<11>2014 20:48 Jun 10, 2016 Jkt 238001 proposed rule change. The text of these 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 aspects of such statements. 1. Purpose The purpose of the proposal is to move the existing provisions regarding complex orders from Rule 1080.07 to new Rule 1098, Complex Orders. The Exchange intends to update and reorganize its rule book in a number of ways. The Exchange believes that the complex orders provisions are easier to read and follow if organized into a separate rule. Various references to Rule 1080.07 within Rule 1080 and in Rules 1047 and 1066 will be changed to refer to Rule 1098.3 In addition, the Exchange proposes to make a few minor changes. First, the Exchange proposes to replace incorrect references in subparagraph (a)(i) of Rule 1080.07 to Nasdaq Options Services LLC and its abbreviation NOS with Nasdaq Execution Services, LLC and NES. The Exchange now uses NES for this purpose.4 This will be reflected in new Rule 1098(a)(i). Second, the Exchange proposes to amend subparagraph (c)(ii)(E) to replace the reference to the risk monitor mechanism with ‘‘automatic removal of quotes’’ and to delete the reference to Rule 1093, which was previously deleted and replaced with Rule 1095.5 Third, the Exchange proposes to refer to the ‘‘System’’ in new Rule 1098 rather than Phlx XL or Phlx XL II to parallel the rules of its affiliated options exchanges 6 and move away from that specific system name in the rules.7 As 3 Previously, Rule 1080.07 was Rule 1080.08. Securities Exchange Act Release No. 75436 (July 13, 2015), 80 FR 42566 (July 17, 2015) (SR–Phlx–2015– 55). Two incorrect references to Rule 1080.08 remain in Rule 1080.07(e)(i)(B)(1) and (e)(vi)(B), which is now being changed to refer to Rule 1098. 4 The Exchange replaced references to NOS with NES throughout its rule book but this particular reference was inadvertently omitted. Securities Exchange Act Release No. 71417 (January 28, 2014), 79 FR 6253 (February 3, 2014) (SR–Phlx–2014–04). 5 Rule 1095 now covers various risk tools, including the risk monitor mechanism (which is now known as the Percentage-Based Threshold), the Volume-Based Threshold and the Multi-Trigger Threshold. Securities Exchange Act Release No. 76295 (October 29, 2015), 80 FR 68338 (November 4, 2015) (SR–Phlx–2015–83). 6 See e.g., NOM Chapter VI, Section 1(a) defining ‘‘System’’ in general terms. 7 Separately, the Exchange intends to make this change throughout the rules. PO 00000 Frm 00120 Fmt 4703 Sfmt 4703 a result, the terms ‘‘Phlx XL participant’’ will now be referred to as ‘‘participant’’ and ‘‘Phlx XL market maker’’ will now be referred to as a ‘‘Phlx electronic market maker.’’ 2. Statutory Basis The Exchange believes that its proposal is consistent with Section 6(b) of the Act 8 in general, and furthers the objectives of Section 6(b)(5) of the Act 9 in particular, in that it is designed to promote just and equitable principles of trade and to protect investors and the public interest, by rendering the complex orders provision easier to read. The proposed relocation and other changes are minor and administrative. 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 not necessary or appropriate in furtherance of the purposes of the Act. The proposal merely makes minor organizational corrections and changes. C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others No written comments were either solicited or received. 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, it has become effective pursuant to Section 19(b)(3)(A)(iii) of the Act 10 and subparagraph (f)(6) of Rule 19b–4 thereunder.11 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: (i) Necessary or appropriate in the public interest; (ii) for the protection of investors; or (iii) otherwise in 8 15 U.S.C. 78f(b). U.S.C. 78f(b)(5). 10 15 U.S.C. 78s(b)(3)(a)(iii). 11 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. 9 15 E:\FR\FM\13JNN1.SGM 13JNN1

Agencies

SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 81, Number 113 (Monday, June 13, 2016)]
[Notices]
[Pages 38232-38246]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-13821]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-78000; File No. SR-NYSEMKT-2016-58]

Self-Regulatory Organizations; NYSE MKT LLC; Notice of Filing of
Proposed Rule Change Relating to Amendments to NYSE MKT Rules 1600 et
seq. and to Changes to the Names and Operation of the Nuveen
Diversified Commodity Fund and the Nuveen Long/Short Commodity Total
Return Fund

June 7, 2016.
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 May 24, 2016, NYSE MKT LLC (``Exchange'' or ``NYSE MKT'')
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 Exchange. The Commission is publishing this
notice to solicit comments on the proposed rule change from interested
persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

The Exchange proposes to amend NYSE MKT Rules 1600 et seq. (Trading
of Trust Units), pursuant to which the Exchange currently lists and
trades shares of the Nuveen Diversified Commodity Fund (the
``Diversified Fund'') and the Nuveen Long/Short Commodity Total Return
Fund (the ``Long/Short Fund,'' with the Diversified Fund and the Long/
Short Fund each being referred to herein as a ``Fund,'' and
collectively, as the ``Funds''), and to reflect changes to the names
and operation of the Funds, as described herein. 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 amend NYSE MKT Rules 1600 et seq. (Trading
of Trust Units), pursuant to which the Exchange currently lists and
trades shares (``Shares'') of the Funds.\4\ In addition, the Exchange
proposes to (1) reflect changes to the operation of the Funds, as
described herein, and (2) permit the continued listing and trading of
Shares of the Funds on the Exchange pursuant to NYSE MKT Rules 1600 et
seq., as proposed to be amended, following changes to the operation of
the Funds, as described below.\5\
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\4\ The Commission approved listing and trading of Shares of the
Funds on the Exchange in Securities Exchange Act Release Nos. 61807
(March 31, 2010), 75 FR 17818 (April 7, 2010) (SR-NYSEAmex-2010-09)
(order approving amendments to NYSE Amex LLC Rule 1600 and listing
and trading of shares of the Nuveen Diversified Commodity Fund)
(``Prior Diversified Order''); and 67223 (June 20, 2012) (SR-
NYSEAmex-2012-24) (order approving listing and trading on NYSE Amex
LLC of shares of the Nuveen Long/Short Commodity Total Return Fund
under NYSE Amex LLC Rule 1600) (``Prior Long/Short Order''). See
also Securities Exchange Act Release No. 61571 (February 23, 2010),
75 FR 9265 (March 1, 2010) (SR-NYSE Amex-2010-09) (notice of filing
of proposed rule change amending NYSE Amex LLC Trust Unit rules and
proposing the listing of the Nuveen Diversified Commodity Fund) (the
``Prior Diversified Notice'' and, together with the Prior
Diversified Order, the ``Prior Diversified Release''); and
Securities Exchange Act Release No. 66887 (May 1, 2012), 77 FR 26798
(May 7, 2012) (SR-NYSEAmex-2012-24) (notice of filing of proposed
rule change relating to listing Nuveen Long/Short Commodity Total
Return Fund under NYSE Amex LLC Rule 1600) (the ``Prior Long/Short
Notice'' and, together with the Prior Long/Short Order, the ``Prior
Long/Short Release,'' with the Prior Diversified Release and the
Prior Long/Short Release each being referred to herein as a ``Prior
Release,'' and collectively, as the ``Prior Releases'').
\5\ See, for the Diversified Fund, Pre-Effective Amendment No. 1
to the registration statement on Form S-3 (File No. 333-205590),
filed on November 30, 2015; see also, for the Long/Short Fund, Pre-
Effective Amendment No. 1 to the registration statement on Form S-3
(File No. 333-205587), filed on November 30, 2015 (collectively
referred to herein as the ``Registration Statement'').
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The Funds are currently structured as actively managed closed-end
commodity pools. On December 19, 2014, Nuveen Investments, parent
company of Nuveen Commodities Asset Management, LLC (the ``Manager''),
announced (the ``Conversion Plan Announcement'') that the Manager had
approved a plan to convert the Funds into exchange-traded products
(``ETPs'') that utilize a creation/redemption mechanism, subject to
approval by shareholders of each Fund (such plan, with respect to each
Fund, is referred to herein as the ``Conversion,'' and collectively,
the ``Conversions''). Subsequently, at meetings of shareholders in
2015, shareholders of each Fund likewise approved the Conversions. The
purpose of the Conversions, which would implement a process for
continual creation and redemption of Shares at net asset value
(``NAV'') after receipt of an order in proper form on any business day
(as described below), is to promote the trading of the Funds' Shares at
prices equal to or near their NAV. Indeed, since the Conversion Plan
Announcement, each Fund has traded at a substantially reduced discount
to NAV,\6\ which suggests that the

[[Page 38233]]

Conversion will achieve its intended purpose, to the benefit of
shareholders.
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\6\ From December 18, 2014, to March 9, 2016, the discount to
NAV has been reduced for the Diversified Fund from 18.02% to 5.11%
and for the Long/Short Fund from 19.80% to 3.75%.
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Accordingly, the Exchange proposes to amend NYSE MKT Rules 1600 et
seq. to accommodate the implementation of continual creation and
redemption of shares of Trust Units listed or traded pursuant to Rules
1600 et seq. in the manner set forth above. The proposed amendments to
Rules 1600 et seq. will provide that Trust Units, which include Shares
of the Funds, will be issued and redeemed on a continuous basis in
specified aggregate amounts at NAV next determined.
Amendments to NYSE MKT Rules 1600 et seq.
To achieve the foregoing changes, the Exchange proposes to amend
NYSE MKT Rules 1600 et seq. as described below. NYSE MKT Rule 1600
defines a Trust Unit as a security that is issued by a trust
(``Trust'') or other similar entity that is constituted as a commodity
pool that holds investments comprising or otherwise based on any
combination of futures contracts, options on futures contracts, forward
contracts, swap contracts, and/or commodities. The Exchange proposes to
amend Rule 1600 in several respects.
First, the Exchange proposes amending Rule 1600(b)(i) to delete
reference to Section 1(a)(4) of the Commodity Exchange Act (``CEA'')
and to state that the term ``commodity'' is defined in Section 1(a)(9)
of the CEA. Section 1(a)(4) of the CEA was renumbered as Section
1(a)(9) under amendments adopted under the Dodd-Frank Wall Street
Reform and Consumer Protection Act.\7\ Next, the Exchange proposes
amending Rule 1600(b)(ii) to: (1) Add the phrase ``and/or securities''
to the enumerated financial instruments in which Trust Units may invest
(proposed Rule 1600(b)(i));\8\ and (2) provide that Trust Units are
issued and redeemed continuously in specified aggregate amounts at the
NAV next determined (proposed Rule 1600(b)(ii)).
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\7\ 12 U.S.C. 5301 et seq.
\8\ This proposed provision is identical to the definition of
Trust Units in NYSE Arca Equities Rule 8.500(b)(2).
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The Exchange also proposes adding new rules. Proposed NYSE MKT Rule
1600(b)(iii) would define ``Disclosed Portfolio'' as the identities and
quantities of the assets held by a Trust that will form the basis for
that Trust's calculation of the NAV at the end of the business day.
Proposed Rule 1600(b)(iv) would define ``Intraday Indicative Value'' as
the estimated indicative value of a Trust Unit based on current
information regarding the value of the assets in the Disclosed
Portfolio.
Proposed Rule 1600(b)(v) would define ``Reporting Authority'' as,
in respect of a particular series of Trust Units, the Exchange, an
institution, or a reporting or information service designated by the
Trust or the Exchange or by the exchange that lists a particular series
of Trust Units (if the Exchange is trading such series pursuant to
unlisted trading privileges) as the official source for calculating and
reporting information relating to such series, including, but not
limited to, (i) the Intraday Indicative Value, (ii) the Disclosed
Portfolio, (iii) the amount of any cash distribution to holders of
Trust Units, (iv) NAV, and (v) other information relating to the
issuance, redemption, or trading of Trust Units. A series of Trust
Units may have more than one Reporting Authority, each having different
functions.\9\
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\9\ Proposed Rules 1600(b)(iii)-(v) are substantively similar to
the current NYSE Arca Equities Rules 8.600(c)(2)-(4).
---------------------------------------------------------------------------

Proposed Commentary .04 to Rule 1600 would provide that, if a
Trust's advisor is affiliated with a broker-dealer, the broker-dealer
shall erect a ``fire wall'' around the personnel who have access to
information concerning changes and adjustments to the Disclosed
Portfolio. Personnel who make decisions on the Trust's portfolio
composition must be subject to procedures designed to prevent the use
and dissemination of material non-public information regarding the
applicable portfolio.
The Exchange proposes to amend Rule 1602(a)(ii) to provide that the
Exchange will obtain a representation from the issuer of each series of
Trust Units that the NAV and the Disclosed Portfolio will be made
available to all market participants at the same time. Additionally,
the Exchange proposes amendments to Rule 1602(b)(ii) to replace the
term ``portfolio holdings'' with ``Disclosed Portfolio'' and to provide
that, if the Exchange becomes aware that the Disclosed Portfolio or NAV
per share with respect to a series of Trust Units is not disseminated
to all market participants at the same time, it will halt trading in
such series until such time as the Disclosed Portfolio or NAV per share
is available to all market participants. Proposed Rule 1602(b)(iii)
would provide that each series of Trust Units will be listed and/or
traded subject to application of the following criteria: (1) The
Intraday Indicative Value for shares will be widely disseminated by one
or more major market data vendors at least every 15 seconds during the
time when the Trust Units trade on the Exchange; (2) the Disclosed
Portfolio will be disseminated at least once daily and will be made
available to all market participants at the same time; and (3) the
Reporting Authority that provides the Disclosed Portfolio must
implement and maintain, or be subject to, procedures designed to
prevent the use and dissemination of material, non-public information
regarding the actual components of the portfolio.\10\
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\10\ These proposed amendments and rule additions are
substantively similar to the current NYSE Arca Equities Rule
8.600(d).
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The Exchange also proposes to delete the text of current NYSE MKT
Rule 1603, which is obsolete,\11\ and to amend NYSE MKT Rule 1605 to
provide that none of the Exchange, the Reporting Authority or any agent
of the Exchange shall have any liability for damages, claims, losses or
expenses caused by any errors, omissions, or delays in calculating or
disseminating the Disclosed Portfolio; any value of underlying futures
contracts, options on futures contracts, forward contracts, swap
contracts, commodities and/or securities; the current value of
positions or interests if required to be deposited to the Trust in
connection with issuance of Trust Units; NAV; or other information
relating to the purchase, redemption or trading of Trust Units,
resulting from any negligent act or omission by the Exchange, the
Reporting Authority, or any agent of the Exchange, or any act,
condition or cause beyond the reasonable control of the Exchange or any
agent of the Exchange, or the Reporting Authority, including, but not
limited to, an act of God; fire; flood; extraordinary weather
conditions; war; insurrection; riot; strike; accident; action of
government; communications

[[Page 38234]]

or power failure; equipment or software malfunction; or any error,
omission or delay in the reports of transactions in the Trust Units,
futures contracts, options on futures contracts, forward contracts,
swap contracts, commodities and/or securities.\12\
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\11\ NYSE MKT Rule 1603 would be reserved. Current Rule 1603
provides that if a Designated Market Maker (``DMM'') is operating
under Rule 98 (Former)--Equities, Rule 105(b) (Former)--Equities and
section (m) of the Guidelines thereunder shall be deemed to prohibit
a DMM, his or her member organization, other member, or approved
person of such member organization or employee or officer thereof
from acting as a market maker or functioning in any capacity
involving market-marking responsibilities in an underlying asset or
commodity, related futures or options on futures, or any related
derivative. The Exchange has deleted NYSE MKT Rule 98 (former). See
Securities Exchange Act Release No. 72535 (July 3, 2014), 79 FR
39024 (July 9, 2014) (SR-NYSEMKT-2014-22), in which the Exchange
stated that ``[a]ll DMMs are now approved to operate under Rule 98
and are no longer subject to `Rule 98 (former).''' The Exchange
deleted NYSE MKT Rule 105 in SR-NYSEMKT-2012-68. See Securities
Exchange Act Release No. 68306 (November 28, 2012), 77 FR 71846
(December 4, 2012) (notice of filing and immediate effectiveness of
proposed rule change amending Exchange rules to delete obsolete and
outdated rules).
\12\ Proposed NYSE MKT Rule 1605, as amended, is substantively
similar to current NYSE Arca Equities Rule 8.600(e).
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Description of the Funds
As set forth in each Fund's respective Prior Release, each Fund is
a commodity pool managed by the Manager. The Manager is a Delaware
limited liability company that is registered as a commodity pool
operator (the ``CPO'') with the Commodity Futures Trading Commission
(``CFTC''). The Manager is a wholly-owned subsidiary of Nuveen
Investments, Inc. (``Nuveen Investments''), which is an indirect
wholly-owned subsidiary of TIAA, a national financial services
organization. The Manager is responsible for determining the Funds'
overall investment strategies and overseeing their implementation. The
Manager also manages the Funds' business affairs and provides certain
legal, accounting and other administrative services to the Funds.
Also as described in the Prior Releases, Gresham Investment
Management LLC (the ``Commodity Subadviser''), an affiliate of the
Manager, manages each Fund's commodity futures investment strategy
(which is described more fully below). The Commodity Subadviser is a
Delaware limited liability company and is registered with the CFTC as a
commodity trading advisor and as a CPO, and is a member of the National
Futures Association (``NFA''). The Commodity Subadviser also is
registered with the Commission as an investment adviser under the
Investment Advisers Act of 1940, as amended (the ``Advisers Act'').
As set forth in the Prior Releases, Nuveen Asset Management, LLC
(the ``Collateral Subadviser'' and, together with the Commodity
Subadviser, the ``Subadvisers''), an affiliate of the Manager, manages
each Fund's investments in U.S. government securities, other short-
term, high grade fixed income securities and cash equivalents
(``collateral''). The Collateral Subadviser is registered with the
Commission as an investment adviser under the Advisers Act.
As the Commodity Subadviser and the Collateral Subadviser are each
registered as investment advisers under the Advisers Act, the
Subadvisers and their respective related personnel are (and any future
subadviser to the Funds will be) subject to the provisions of Rule
204A-1 under the Advisers Act relating to codes of ethics. This Rule
requires investment advisers to adopt a code of ethics that reflects
the fiduciary nature of their relationship to clients, as well as their
compliance with other applicable securities laws. Accordingly,
procedures designed to prevent the communication and misuse of non-
public information by an investment adviser must be consistent with
Rule 204A-1 under the Advisers Act. In addition, Rule 206(4)-7 under
the Advisers Act makes it unlawful for an investment adviser to provide
investment advice to clients unless such investment adviser has: (i)
Adopted and implemented written policies and procedures reasonably
designed to detect and prevent violation, by the investment adviser and
its supervised persons, of the Advisers Act and the Commission rules
adopted thereunder; (ii) implemented, at a minimum, an annual review of
the adequacy of the policies and procedures described in clause (i)
above and the effectiveness of their implementation; and (iii)
designated an individual (who is a supervised person) responsible for
administering such policies and procedures.
State Street Bank and Trust Company (``State Street'' or the
``Transfer Agent'') serves as transfer agent, registrar for the Shares,
and custodian and administrator of the assets of each Fund, pursuant to
which it performs NAV calculations, accounting and other fund
administrative services, and, after the Conversions, it also will
receive and process orders from Authorized Participants to create and
redeem an aggregate of Shares of each Fund (``Baskets'').
Current Operation of the Funds Prior to Conversion
Diversified Fund. As described in the Prior Diversified Release,
the Fund's current investment objective is to generate attractive risk-
adjusted total returns as compared to investments in commodity indexes.
Currently, the Fund pursues its investment objective by utilizing:
(a) An actively managed rules-based commodity investment strategy,
whereby the Fund invests in a diversified basket of commodity futures
and forward contracts with an aggregate notional value substantially
equal to the net assets of the Fund; and (b) an options strategy
designed to moderate the overall risk and return characteristics of the
Fund's commodity investments, pursuant to which the Fund writes (sells)
``out-of-the-money'' commodity call options to obtain option premium
cash flow, on individual futures and forward contracts, on baskets of
commodities or on broad based commodity indices.
Currently, as described in the Prior Diversified Release, the Fund
typically: (i) Invests in commodity futures and forward contracts \13\
that are traded either on U.S. or non-U.S. commodity futures exchanges;
and (ii) sells call options on commodity futures and forward contracts
that are traded either on U.S. or non-U.S. exchanges. The Fund may also
purchase put options on commodity futures and forward contracts that
are traded either on U.S. or non-U.S. exchanges or may purchase OTC
commodity put options through dealers pursuant to negotiated, bi-
lateral arrangements. The Fund invests in commodity futures and forward
contracts, options on commodity futures and forward contracts and over-
the-counter commodity options in the following commodity groups:
Energy, industrial metals, precious metals, livestock, agriculturals,
and tropical foods and fibers. The Fund also may invest in other
commodity contracts that are presently, or may hereafter become, the
subject of commodity futures trading. Except for certain limitations
described below, there are no restrictions or limitations on the
specific commodity investments in which the Fund may invest.
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\13\ While forward contracts generally are traded over the
counter (``OTC''), ``forward contracts'' in this context refer to
contracts that are traded on the London Metal Exchange and operate
substantially as futures contracts. As such, all of the contracts in
which the Diversified Fund invests are exchange-traded.
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As stated in the Prior Diversified Release, to support its
commodity investments, the Fund maintains collateral that is invested
in short-term debt instruments with maturities of up to two years that,
at the time of investment, are investment grade quality, including
obligations issued or guaranteed by the U.S. government or its agencies
and instrumentalities, as well as corporate obligations and asset-
backed securities.
Currently, to achieve the Fund's investment objective, the Fund
invests on a notional basis substantially all of its assets in
commodity futures and forward contracts pursuant to the Commodity
Subadviser's Tangible Asset Program (``TAP''), an actively managed,
rules-based \14\ commodity investment

[[Page 38235]]

strategy. TAP is fundamental in nature and is designed to maintain
consistent, fully collateralized exposure to commodities as an asset
class. TAP does not require the existence of price trends in order to
be successful.
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\14\ Pursuant to TAP[supreg] the Fund invests in commodity
futures and forward contracts, for commodities in each of the
following groups: Energy, industrial metals, precious metals,
livestock, agriculturals, and tropical foods and fibers.
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Pursuant to the Fund's risk management program, the Fund writes (or
sells) commodity call options that may be up to 20% ``out-of-the-
money'' on a continual basis on up to approximately 50% of the notional
value of each of its commodity futures and forward contract positions
that have sufficient option trading volume and liquidity. The Commodity
Subadviser writes call options on individual futures and forward
contracts held by the Fund, on baskets of commodities or on broad based
commodity indices.
According to the Prior Diversified Release, in order to seek
protection against significant asset value declines, the Fund may from
time to time purchase ``out-of-the-money'' put options on broad-based
commodity indices such as the DJ-UBS Commodity Index[supreg]
(subsequently renamed the Bloomberg Commodity Index), the S&P GSCI
Commodity Index, or on certain custom indices, whose prices are
expected to closely correspond to a substantial portion of the long
commodity futures and forward contracts held by the Fund. The Fund also
may purchase put options on baskets of commodities and on individual
futures and forward contracts held by it.
According to the Prior Diversified Release, the Fund intends to
make monthly distributions to its shareholders (stated in terms of a
fixed cents per share distribution rate) based on past and projected
performance of the Fund. The Fund seeks to establish a distribution
rate that roughly corresponds to the Manager's projections of the total
return that could reasonably be expected to be generated by the Fund
over an extended period of time, although the distribution rate will
not be solely dependent on the amount of income earned or capital gains
realized by the Fund. The Fund's ability to make regular monthly
distributions depends on a number of factors, including, most
importantly, the long-term total returns generated by the Fund's
portfolio investments and the risk management program.
Long/Short Fund. As described in the Prior Long/Short Release, the
Fund's current investment objective is to generate attractive total
returns. The Fund is actively managed and seeks to outperform its
benchmark, the Morningstar Long/Short Commodity Index.
The Fund's investment strategy utilizes the Commodity Subadviser's
long/short commodity investment program, which has three principal
elements:
an actively managed long/short portfolio of exchange-
traded commodity futures contracts;
a portfolio of exchange-traded commodity option contracts;
and
a collateral portfolio of cash equivalents and short-term,
high-grade debt securities.
In pursuing its investment objective, the Fund currently invests
directly in a diverse portfolio of exchange-traded commodity futures
contracts that represent the main commodity sectors and are among the
most actively traded futures contracts in the global commodity markets.
Generally, individual commodity futures positions may be either long or
short (or flat in the case of energy futures contracts) depending upon
market conditions.
According to the Prior Long/Short Release, this long/short
commodity investment program is an actively managed, fully
collateralized, rules-based commodity investment strategy that seeks to
capitalize on opportunities in both up and down commodity markets. The
Fund invests in a diverse portfolio of exchange-traded commodity
futures contracts with an aggregate notional value substantially equal
to the net assets of the Fund. The Fund makes investments in the most
actively traded commodity futures contracts in the four main commodity
sectors in the global commodities markets: Energy; agriculture; metals;
and livestock.
During temporary defensive periods or during adverse market
circumstances,\15\ the Fund may deviate from its investment objective
and policies. The Subadvisers may invest 100% of the total assets of
the Fund in short-term, high-quality debt securities and money market
instruments to respond to adverse market circumstances. The Fund may
invest in such instruments for extended periods, depending on the
Commodity Subadviser's assessment of market conditions. These debt
securities and money market instruments may include shares of mutual
funds, commercial paper, certificates of deposit, bankers' acceptances,
U.S. Government securities, repurchase agreements, and bonds that are
rated AAA. Generally, the program rules are used to determine the
specific commodity futures contracts in which the Fund invests, the
relative weighting for each commodity, and whether a position is either
long or short (or flat in the case of energy futures contracts). The
Fund invests in those commodity futures contracts and option contracts
that are listed on an exchange with the greatest dollar volume traded
in those contracts.
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\15\ Adverse market circumstances would include large downturns
in the broad market value of two or more times current average
volatility, where the Commodity Subadviser views such downturns as
likely to continue for an extended period of time.
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The Fund also currently employs a commodity option writing strategy
that seeks to produce option premiums for the purpose of enhancing the
Fund's risk-adjusted total return over time. Pursuant to the options
strategy, the Fund may sell commodity call or put options, which are
all exchange-traded, on a continual basis on up to approximately 25% of
the notional value of each of its corresponding commodity futures
contracts that, in the Commodity Subadviser's determination, have
sufficient option trading volume and liquidity. According to the Prior
Long/Short Release, if the Commodity Subadviser buys the commodity
futures contract, it will sell a call option on the same underlying
commodity futures contract. If the Commodity Subadviser shorts the
commodity futures contract, it will sell a put option on the same
underlying commodity futures contract (except in the case of energy
futures contracts).
When initiating new trades, the Fund expects to sell covered in-
the-money options. Because the Fund holds options until expiration, the
Fund may have uncovered out-of-the-money options in its portfolio
depending on price movements of the underlying futures contracts.
Generally, the Fund expects to sell short-term commodity options
with terms of one to three months. Subject to the foregoing
limitations, the implementation of the options strategy is within the
Commodity Subadviser's discretion. Over extended periods of time, the
``moneyness'' of the commodity options may vary significantly. Upon
sale, the commodity options may be ``in-the-money,'' ``at-the-money,''
or ``out-of-the-money.''
The Commodity Subadviser will employ a proprietary methodology in
assessing commodity market movements and in determining the Fund's
long/short commodity futures positions. Generally, the Commodity
Subadviser will employ momentum-based modeling (quantitative formulas
that evaluate trend relationships between the changes in prices of
futures contracts and trading volumes for a

[[Page 38236]]

specific commodity) to estimate forward-looking prices and to evaluate
the return impact of futures contract rolls. To determine the direction
of the commodity futures position, either long or short (or flat in the
case of energy futures contracts), the Commodity Subadviser will
calculate a roll-adjusted price that accounts for the current spot
price and the impact of roll yield. The Commodity Subadviser may
exercise discretion in its long/short decisions and the timing and
implementation of the Fund's commodity investments to seek to benefit
from trading on commodity price momentum.
According to the Prior Long/Short Release, the Fund's commodity
investments will, at all times, be fully collateralized (i.e., the
``notional value''--the value of the underlying commodity at the
contract's spot price--of the Fund's commodity exposure will not exceed
the market value of the Fund's net assets). The Fund's commodity
investments generally do not require significant outlays of principal.
Approximately 25% of the Fund's net assets are used to secure the
futures contracts.\16\ These assets are placed in one or more commodity
futures accounts and will be held in cash or invested in U.S. Treasury
bills and other direct or guaranteed debt obligations of the U.S.
government maturing within less than one year at the time of
investment.
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\16\ Such assets will be committed as ``initial'' or
``variation'' margin. Initially, when a Fund invests in a commodity
futures contract, it will be required to deposit an amount of cash
equal to a specified percentage of the contract amount. This amount
is known as ``initial margin.'' The margin deposit is intended to
ensure completion of the contract if it is not terminated prior to
the specified delivery date. Minimum initial margin requirements are
established by the futures exchanges and may be revised. Subsequent
payments, called ``variation margin,'' will be made on a daily basis
as the price of the underlying commodity fluctuates, making the
futures contract more or less valuable, a process known as marking
the contract to market.
---------------------------------------------------------------------------

The remaining collateral (approximately 75% of the Fund's net
assets) are held in a separate collateral investment account managed by
the Collateral Subadviser. Such assets are invested in cash equivalents
or short-term debt securities with final terms not exceeding one year
at the time of investment. These collateral investments shall be rated
at all times at the applicable highest short-term or long-term debt or
deposit rating or money market fund rating as determined by at least
one nationally recognized statistical rating organization. These
collateral investments consist primarily of direct and guaranteed
obligations of the U.S. government and senior obligations of U.S.
government agencies and may also include, among others, money market
funds and bank money market accounts invested in U.S. government
securities, as well as repurchase agreements collateralized with U.S.
government securities.
According to the Prior Long/Short Release, the potential Fund
investments in futures contracts and options on such futures contracts
are traded on U.S. and non-U.S. exchanges, including the Chicago Board
of Trade (``CBOT''), the Chicago Mercantile Exchange (``CME''), the ICE
Futures Europe, the ICE Futures U.S., the New York Mercantile Exchange
(``NYMEX'') and the New York Commodities Exchange (``COMEX''), and the
Kansas City Board of Trade (``KBOT'').
Also according to the Prior Long/Short Release, the Fund (like the
Diversified Fund) intends to make monthly distributions to its
shareholders (stated in terms of a fixed cents per share distribution
rate) based on past and projected performance of the Fund. The Fund
seeks to establish a distribution rate that roughly corresponds to the
Manager's projections of the total return that could reasonably be
expected to be generated by the Fund over an extended period of time,
although the distribution rate will not be solely dependent on the
amount of income earned or capital gains realized by the Fund. The
Fund's ability to make regular monthly distributions depends on a
number of factors, including, most importantly, the long-term total
returns generated by the Fund's portfolio investments and the risk
management program.
Operation of the Funds Following Conversion
Generally
Following the Conversions, each Fund, through use of a rules-based
investment methodology, will seek to obtain returns that, over time,
generally match (before fees and expenses) the returns of a commodity-
linked index. The Diversified Fund will take long positions in the
components of the Gresham Adaptive Commodity Index (the ``Adaptive
Index''), while the Long/Short Fund will take positions either long or
short in the components of the Gresham Long/Short Commodity Index (the
``Long/Short Index''). Each of the Adaptive Index and the Long/Short
Index also is referred to herein as an ``Index'' and, collectively, as
the ``Indexes.''
In contrast to certain representations made in the Prior Releases
and described above, after the Conversions each Fund: (i) Will no
longer invest in forwards (and instead will invest solely in futures
contracts), (ii) will no longer hold options or utilize options
strategies, and (iii) will no longer make monthly distributions to its
shareholders.
Names; Investment Objectives
After the Conversion, the name of the Diversified Fund will change
to the ``NuShares Gresham Adaptive Commodity ETF'' and the name of the
Long/Short Fund will change to the ``NuShares Gresham Long/Short
Commodity ETF.'' Each Fund's investment objective will be to generate
attractive total returns by generally tracking its respective Index.
Each Fund will continue to seek to achieve its investment objective by
investing in a diverse portfolio of exchange-traded commodity futures
contracts that provide exposure to the global commodity markets (such
futures contracts are referred to herein as ``Commodity Futures'').
Generally, each Fund will invest in Commodity Futures that are included
in a Fund's respective Index; however, each Fund also may invest in
other commodity futures contracts that are not included in the Indexes
(at times when the Commodity Subadviser believes such investments will
improve a Fund's profitability and/or reduce the potential for losses,
as described more fully below).
The Funds' Investments
After the Conversions, each Fund's principal investments are not
expected to change. Under normal market conditions,\17\ each Fund will
continue to invest in (i) Commodity Futures traded on U.S. and non-U.S.
futures exchanges \18\ having various expiration dates, and (ii)
collateral consisting of U.S. government securities and cash
equivalents, some of which are maintained on deposit with a Fund's
commodity broker as margin, to collateralize a Fund's positions in the
Commodity Futures. As stated above,

[[Page 38237]]

the Funds will not invest in forwards or options following the
Conversions.
---------------------------------------------------------------------------

\17\ With respect to each Fund, the term ``under normal market
conditions'' includes, but is not limited to, the absence of extreme
volatility or trading halts in the financial markets generally;
operational issues causing dissemination of inaccurate market
information; or force majeure type events such as a systems failure,
natural or man-made disaster, act of God, armed conflict, act of
terrorism, riot or labor disruption or any similar intervening
circumstance.
\18\ Not more than 10% of the net assets of a Fund, in the
aggregate, shall consist of futures contracts whose principal market
is not a member of the Intermarket Surveillance Group (``ISG'') or
with which the Exchange has in place a comprehensive surveillance
sharing agreement.
---------------------------------------------------------------------------

Futures contracts on commodities reflect the expected future value
of an underlying commodity on which the contract is based. Pursuant to
such futures contracts, one party agrees to buy, and the other to sell,
a set amount of the reference asset (or a cash equivalent) at a pre-
determined price (the ``spot price'') on a pre-determined future date
(the ``expiration date''). As the expiration date for any given
Commodity Futures contract draws closer, the Commodity Subadviser will
roll that Commodity Futures contract, prior to its expiration, on an
ongoing basis, so as to ensure that each Fund maintains a position in
such Commodity Futures contract.
For each Fund, the Commodity Subadviser employs a proprietary
methodology in assessing commodity market movements. Generally, the
Commodity Subadviser employs momentum-based modeling to estimate
forward-looking prices and to evaluate the return impact of futures
contract rolls. The Commodity Subadviser will calculate a roll-adjusted
price that accounts for the current spot price and the impact of roll
yield. The Commodity Subadviser may exercise discretion in its
decisions and the timing and implementation of the Fund's commodity
investments to seek to benefit from trading on commodity price
momentum. Specifically, following the Conversion, the Diversified Fund
weightings will be determined on a monthly basis--if the price of a
commodity contract is higher than its six-month simple moving average,
the commodity contract will be held at its target weight; conversely,
if the price is below the six-month simple moving average, the
commodity weight will be reduced by half. Following the Conversion, for
the Long/Short Fund, the momentum-based model will employ shorter-term
moving averages (such as 6-months) to determine whether a commodity
futures position in the Index is held long or short (or flat, for
petroleum-related commodities).
Each Fund's Commodity Futures investments will, at all times, be
fully collateralized (i.e., the ``notional value''--the value of the
underlying commodity at the contract's spot price--of the Fund's
commodity exposure will not exceed the market value of the Fund's net
assets). However, whereas the Prior Releases represented that 25% of
that Fund's Collateral will be committed as ``initial'' and
``variation'' margin, the Funds now represent that, following the
Conversions, approximately 10-25% of each Fund's Collateral will be
committed as initial and variation margin and be segregated pursuant to
the Commodity Exchange Act, and the regulations thereunder, to secure
the futures contract positions. Those assets will be held in a
commodity futures account maintained by SG Americas Securities, LLC
(``SG''), the Funds' clearing broker, which serves as a futures
commission merchant and broker-dealer registered with the CFTC and the
Commission.
The remaining 75-90% of a Fund's Collateral (as opposed to a set
75%, as noted in the Prior Releases) will continue be held in a
separate collateral investment account managed by the Collateral
Subadviser. However, the eligible Collateral investments will change
following the Conversion. The Funds will no longer invest in money
market funds or repurchase agreements; instead, they will invest in
short-term U.S. government securities and cash equivalents.
The Funds' Investment Strategies
Following the Conversions, each Fund will employ a rules-based
commodity investment strategy in seeking to achieve its investment
objective: The Diversified Fund will use a long-biased strategy, and
the Long/Short Fund will use a long/short strategy. In doing so, each
Fund, as they currently do prior to the Conversion, will invest in a
diverse portfolio of exchange-traded Commodity Futures that have an
aggregate notional value less than or substantially equal to the net
assets of such Fund. Generally, those Commodity Futures will be
components of each Fund's respective Index; however, each Fund also may
invest in other commodity futures contracts that are not included in
the Indexes in seeking to improve profitability and/or reduce the
potential for loss.
Each Fund will make investments in Commodity Futures in the six
principal groups within the global commodities markets: Agriculture;
energy; foods and fibers; industrial metals; livestock; and precious
metals. To provide diversification, each Fund will take positions in
Commodity Futures related to approximately 30 commodities; its rules-
based strategy will limit the weight of any individual Commodity
Futures and also will limit the allocations to the largest two
commodity groups to allow for higher allocations to the smaller
commodity groups. Each Fund will continue to allocate its investments
to Commodity Futures pursuant to the Commodity Subadviser's proprietary
strategy.
Typically, each Fund expects to follow certain rules pertaining to
eligible commodities, weights, diversification, rebalancing, and annual
reconstitution that are the same as those for its respective Index, so
as to minimize the divergence between the price behavior of a Fund's
Commodity Futures portfolio and the price behavior of its Index (such
divergence is referred to as ``tracking error''). As such, each Fund's
investment results, before the deduction of fees and other expenses,
are expected generally to correspond to the changes, positive or
negative, in the levels of its respective Index over time.
Although each Fund generally will seek to track the performance of
its Index (before fees and expenses), the Funds will remain actively
managed and therefore will not be obligated to always invest in the
components of the Indexes. From time to time, a Fund may invest in
commodity futures contracts not included in its Index and/or that have
differing expiration dates and terms. Such variations from an Index are
market-driven and opportunistic, and are designed to improve a Fund's
profitability and reduce the potential for losses. Additionally, each
Fund will continue to deviate temporarily from its investment objective
and policies during adverse market circumstances.
Description of the Indexes
According to the Registration Statement, each Index is a
proprietary index developed by the Commodity Subadviser's senior
management team. The methodology for commodity selection and target
weight calculation for each Index is based on the Commodity
Subadviser's TAP strategy. Annual rebalancing for the TAP strategy
follows a systematic, disciplined approach for establishing new target
weights for commodities in the portfolio and encompasses a diverse mix
of tangible Commodity Futures. TAP currently allocates to Commodity
Futures relating to approximately 30 different commodities. TAP scales
its position according to rankings of individual commodities based on
three factors: (i) Historical global production; (ii) historical global
trade; and (iii) historical contract liquidity. The TAP strategy
employs portfolio construction constraints that seek liquidity, a
robust and fair regulatory framework, avoidance of foreign exchange
risk, and transparency, as it trades only in markets where exchange
settlements are publicly disseminated. In order to ensure a high level
of commodity diversification at each annual rebalance, the TAP strategy
maintains certain

[[Page 38238]]

limits on amounts allocated to commodity groups.
Each Index is rebalanced annually. Between rebalance dates, Index
weights vary based on the performance of the commodity contract
positions in each Index. On a monthly basis, each Index utilizes
historical price trends to determine its positions and rolls its
contracts to implement the new positions.
Adaptive Index. According to the Registration Statement, by
maintaining a long-bias, the Adaptive Index seeks to benefit from
rising commodity markets while still affording flexibility to reduce
its target investment exposure by half of the target weighting to
certain individual commodities when appropriate. On a monthly basis,
each commodity's weight in the Adaptive Index will be maintained or
reduced after comparing the price of each commodity with its six-month
simple moving average. If the price of a commodity is higher than its
six-month simple moving average, the commodity is held at its target
weight; conversely, if the price is below the six-month simple moving
average, the commodity's weight is reduced by half.
Long/Short Index. The Long/Short Index seeks to take advantage of
the persistent trends in commodities prices, often referred to as
``momentum.'' The central principle of a persistence or momentum
investment process is that if the price of an asset is rising (or
falling), it is expected to continue to do so. The Long/Short Index
employs a momentum rule to determine if exposure to a particular
constituent Commodity Futures contract should be held long or short (or
``flat,'' in the case of petroleum-related commodities contracts, as
described below).
Whether a Long/Short Index position will be long or short (or flat)
is currently determined on a monthly basis by comparing the price of
each Commodity Futures contract to its six-month simple moving average.
If the price of a commodity is higher than its six-month simple moving
average, the commodity is assigned a long position; conversely, if the
price is below the six-month simple moving average, it is assigned a
short position. A long position will increase in market value if the
price of the Commodity Futures is rising during the period when the
position is open, whereas a short position will increase in market
value if the price of the Commodity Futures is falling during the
period when the position is open.
The Long/Short Index is currently constructed such that, when the
price of a petroleum-related Commodity Futures contract (e.g., WTI
Crude, Brent Crude, Heating Oil, RBOB Gasoline or Gas Oil) is below its
six-month simple moving average, the weight of that commodity is moved
to the collateral portfolio (i.e., the position is ``flat''). The price
of petroleum-related commodities historically have been extremely
sensitive to geopolitical events and less driven by supply and demand
imbalances; as such, holding flat positions in petroleum-related
commodities could serve to protect the Long/Short Fund from losses
arising from such geopolitical risks. A flat position in a petroleum-
related Commodity Futures contract will not provide futures market
exposure to that contract.
During transitions from long to short positions or vice versa, the
Fund may temporarily hold both long and short positions on the same
Commodity Futures contract. In accordance with the Long/Short Fund's
``long/short'' commodity investment strategy, each Commodity Futures
contract will be assigned a target weight and may be held in the
portfolio as a long position or a short position (or flat position).
Composition of the Indexes
Eligible Contracts. Listed below are the main categories of
Commodity Futures contracts that are eligible to become components of
each Index as of February 1, 2016. Each commodity may have several
different types of individual Commodity Futures contracts (e.g., hard
winter wheat and soft red wheat). The Commodity Subadviser has
discretion over Commodity Futures contract selection and may choose
from the available contract types. As noted above, each Fund will
invest in Commodity Futures that are traded on both U.S. and non-U.S.
exchanges. If the Commodity Futures in which a Fund will invest are
listed on multiple exchanges, a Fund may invest in those contracts that
are listed on the exchange with the greatest dollar volume traded in
those contracts.

----------------------------------------------------------------------------------------------------------------
Trading hours (eastern
Group Commodity Primary exchange time)
----------------------------------------------------------------------------------------------------------------
Energy............................. WTI Crude Oil......... New York Mercantile 09:00-14:30
Exchange.
Brent Crude Oil....... ICE Futures Europe.... 20:00-18:00
Gas Oil............... ICE Futures Europe.... 20:00-18:00
Gasoline.............. New York Mercantile 09:00-14:30
Exchange.
Heating Oil........... New York Mercantile 09:00-14:30
Exchange.
Natural Gas........... New York Mercantile 09:00-14:30
Exchange.
Foods and Fibers................... Cotton #2............. ICE Futures US........ 21:00-14:20
Sugar #11............. ICE Futures US........ 03:30-13:00
White Sugar........... ICE Futures Europe.... 03:45-12:55
Coffee................ ICE Futures US........ 04:15-13:30
Cocoa................. ICE Futures US........ 04:45-13:30
Agriculture........................ Robusta Coffee........ ICE Futures Europe.... 04:00-12:30
Corn.................. Chicago Board of Trade 09:30-14:15
Soybean Meal.......... Chicago Board of Trade 09:30-14:15
Soybean Oil........... Chicago Board of Trade 09:30-14:15
Soybeans.............. Chicago Board of Trade 09:30-14:15
Kansas City Wheat..... Chicago Board of Trade 09:30-14:15
Minneapolis Wheat.... Minneapolis Grain 20:00-14:30
Exchange.
Wheat................. Chicago Board of Trade 09:30-14:15
Base Metals........................ Aluminum.............. London Metal Exchange. 15:00-14:45
Copper (LME).......... London Metal Exchange. 15:00-14:45
Copper (COMEX)........ Commodity Exchange, 08:01-13:00
Inc..
Nickel................ London Metal Exchange. 15:00-14:45

[[Page 38239]]

Zinc.................. London Metal Exchange. 15:00-14:45
Lead.................. London Metal Exchange. 15:00-14:45
Precious Metals.................... Gold.................. COMEX................. 08:20-13:30
Palladium............. New York Mercantile 08:30-13:00
Exchange.
Platinum.............. New York Mercantile 08:20-13:05
Exchange.
Silver................ COMEX................. 08:30-13:00
Livestock.......................... Feeder Cattle......... Chicago Mercantile 09:30-14:00
Exchange.
Lean Hogs............. Chicago Mercantile 09:30-14:00
Exchange.
Live Cattle........... Chicago Mercantile 09:30-14:00
Exchange.
----------------------------------------------------------------------------------------------------------------

Index Composition. Listed below are the target weights for each
commodity as of February 1, 2016. These target weights are the same for
each Index.

------------------------------------------------------------------------
Composition
Commodity group Commodity (%)
------------------------------------------------------------------------
Energy......................... WTI Crude Oil.......... 9.3
Brent Crude Oil........ 9.4
Natural Gas............ 7.0
Gas Oil................ 3.2
Heating Oil............ 2.5
Gasoline............... 3.6
---------------
....................... 35.0
Agriculture.................... Corn................... 3.8
Kansas City Wheat...... 0.7
Minneapolis Wheat...... 0.2
Wheat.................. 2.8
Soybean Meal........... 2.4
Soybean Oil............ 1.1
Soybeans............... 5.0
---------------
....................... 16.0
Livestock...................... Live Cattle............ 7.0
Feeder Cattle.......... 2.0
Lean Hogs.............. 2.3
---------------
....................... 11.3
Foods and Fibers............... Sugar #11.............. 2.2
Cocoa.................. 1.0
White Sugar............ 0.2
Robusta Coffee......... 0.3
Coffee................. 1.8
Cotton #2.............. 1.5
---------------
....................... 7.0
Base Metals.................... Copper (LME)........... 7.1
Copper (COMEX)......... 1.4
Aluminum............... 5.3
Nickel................. 1.7
Zinc................... 1.8
Lead................... 0.9
---------------
....................... 18.2
Precious Metals................ Gold................... 8.8
Silver................. 2.5
Platinum............... 0.7
Palladium.............. 0.5
---------------
....................... 12.5
===============
Total.......................... ....................... 100.0
------------------------------------------------------------------------

Summary of Other Aspects Regarding the Conversion of the Funds
As set forth in its respective Prior Release, each Fund is
currently structured as a closed-end commodity pool. As part of the
Conversion, each Fund plans to convert to an ETP structure, which
requires an amendment to each Fund's Agreement and Declaration of Trust
(with respect to each Fund, the ``Amendment,'' and collectively, the
``Amendments''). Each

[[Page 38240]]

Fund's shareholders approved the respective Amendment at annual
shareholder meetings in 2015. When executed, the Amendments will add to
the Funds' legal structure the creation and redemption basket features
described below, which the current versions of the Funds' governing
documents do not include.
After the Conversion: (i) Each Fund will remain a commodity pool,
(ii) investors will own the same Shares as they did before the
Conversion, and (iii) investors will continue to be able to buy and
sell Shares on an exchange throughout each business day at then-
prevailing market prices. The Funds currently disclose portfolio
holdings daily, and will continue to do so following the Conversions.
However, following the Conversion, each Fund will issue and redeem
Shares on a continuous basis through the creation/redemption process
used by ETPs (as described below), which is intended to facilitate the
trading of Shares at prices equal to or near their NAV.
The Shares will be assigned new CUSIP numbers at the time of the
Conversion. Moreover, as stated above, following the Conversions, the
name of the Diversified Fund will change to the NuShares Gresham
Adaptive Commodity ETF, and the name of the Long/Short Fund will change
to the NuShares Gresham Long/Short Commodity ETF. The Funds are not
currently, and after the Conversions will not be, mutual funds or any
other type of investment company within the meaning of the Investment
Company Act of 1940, as amended.
In connection with the Conversions, the Manager intends to
implement additional changes to both Funds that the Manager believes
will better align the Funds' features with their newly-adopted ETP
structure. The charts below summarize those changes.
Changes to Diversified Fund

Changes to Long/Short Fund

------------------------------------------------------------------------
Before conversion After conversion
------------------------------------------------------------------------
Fund name................... Nuveen Long/Short NuShares Gresham
Commodity Total Long/Short
Return Fund. Commodity ETF.
Ticker...................... CTF................. GLS.
Distribution Policy......... Pays regular monthly Discontinue regular
distributions. monthly
distributions.
Share Repurchases........... Active share Discontinue share
repurchase Program. repurchase Program.
Investment Strategy......... Long/short commodity Long/short commodity
futures strategy futures strategy
based on the based on the
Morningstar Long/ Gresham Long/Short
Short Commodity Commodity Index.
Index.
Uses momentum-based Long/short commodity
model to calculate strategy--
12-month moving Momentum-based model
price averages that will employ shorter-
are used to term moving
determine whether a averages (such as 6-
commodity futures months) to
position is held determine whether a
long or short. commodity futures
position in the
Index is held long
or short (or flat,
for petroleum-
related
commodities).
Weightings are
determined on a
monthly basis; if
the price of a
commodity contract
is higher than its
six-month simple
moving average, the
commodity is
assigned a long
position;
conversely, if the
price is below the
six-month simple
moving average, it
is assigned a short
position.
Will not short Will not short
energy futures-if petroleum-based
model signals to futures-if model
short energy signals to short
futures, positions petroleum-based
will instead be futures, positions
held ``flat'' will instead be
(i.e., in cash). held ``flat''
(i.e., in cash).
Option writing Discontinue option
program. writing program.
Collateral invested Collateral invested
in cash in short-term U.S.
equivalents, U.S. government
government securities and cash
securities and equivalents.
other short-term
high-grade debt
securities,
including corporate
debt, with terms
not exceeding one
year.
------------------------------------------------------------------------

The Manager will announce in advance the expected effective date of
the Conversions via press releases and Form 8-K filings. Those press
releases also will include a summary of changes to the Funds that will
occur in

[[Page 38241]]

connection with the Conversions. The Exchange will also issue a notice
to members approximately 10 days prior to the date of effectiveness of
the Conversion, and another notice to members on the business day prior
to the date Shares of the Funds will trade under the new CUSIP.
The Manager expects that the Conversions will have the effect of
further narrowing the discount in each Fund's Share price as compared
to its NAV.
Creation and Redemption of Shares
Following the Conversion, the Funds will issue and redeem Shares in
``Baskets'' of 50,000 Shares each on a continuous basis to ``Authorized
Participants'' in exchange for cash equal to the total value of the
futures contracts, cash and collateral assets (i.e., cash equivalents)
that comprise one Basket (``Basket Amount''). Similarly, an Authorized
Participant is entitled to receive the corresponding Basket Amount in
exchange for each Basket surrendered for redemption. The Basket
represents one Creation Unit of a Fund. Except when aggregated in
Baskets, the Shares are not redeemable securities of a Fund. The size
of a Basket will be subject to change.
Only Authorized Participants may place orders to create and redeem
Baskets. An ``Authorized Participant'' must (1) be a registered broker-
dealer or other securities market participant, such as a bank or other
financial institution exempt from registration as a broker-dealer to
engage in securities transactions, (2) be a participant in The
Depository Trust Company (``DTC''), and (3) have entered into a
Participant Agreement. The Participant Agreement sets forth the
procedures for the creation and redemption of Baskets and for the
delivery of the Basket Amount required for such creations or
redemptions. The Manager will have engaged at least two market
participants to act as Authorized Participants with respect to the
Funds prior to completing the Conversions.
Authorized Participants may sell the individual Shares included in
the Baskets and purchased from each Fund to other investors on the
Exchange. Otherwise, Shares will not be individually redeemable. To
redeem, an investor must accumulate enough Shares to constitute a
Creation Unit. Redemption orders must be placed by or through an
Authorized Participant.
The Manager expects that purchasers of Creation Units will include
institutional investors and arbitrageurs and that secondary market
purchasers of Shares will include both institutional investors and
retail investors. The Manager also expects that the price at which
Shares of each Fund trade will be disciplined by arbitrage
opportunities created by the option to continually purchase or redeem
Creation Units at their NAV. The Manager believes that a conversion
from the current closed-end structure to one that utilizes a creation/
redemption process will serve to reduce the Shares' discount to NAV, to
the benefit of current shareholders.
On any business day that NYSE MKT is open for regular trading, an
Authorized Participant may place an order with the Transfer Agent to
create one or more Baskets. Creation orders must be placed by 10:00
a.m., Eastern time. The creation order date is the day on which the
Transfer Agent receives an order in proper form to purchase the Shares
in one or more Baskets. The day on which a creation order is settled is
the creation order settlement date. The creation order settlement date
may occur up to 3 business days after the creation order date.
The total cash payment required to create each Basket is equal to
the NAV of 50,000 Shares of a Fund as of the closing time of the NYSE
MKT on the creation order date. Because orders to purchase Baskets must
be placed by 10:00 a.m., Eastern time, but the total payment required
to create a Basket will not be determined until 4:00 p.m., Eastern
time, on the date the creation order is received, Authorized
Participants will not know the total amount of the payment required to
create a Basket at the time they submit the creation order for the
Basket.\19\
---------------------------------------------------------------------------

\19\ ETPs that invest in commodity contracts traded on the LME
commonly adopt an order cut-off time prior to the close of regular
trading on the LME (5 p.m., London time, or 12 p.m. Eastern time) in
order to permit sufficient time to conduct necessary trading on the
LME in response to creation and redemption activity. See, e.g.,
PowerShares DB Commodity Index Tracking Fund (DBC) (order cut-off
time of 10:00 a.m., Eastern time) and United State Commodity Index
Fund (USCI) (order cut-off time of the earlier of 10:30 a.m.,
Eastern time, or the close of regular trading on the NYSE Arca).
Although Authorized Participants who place creation or redemption
orders are exposed to market movements until the ETPs' NAV is struck
(typically, 4 p.m., Eastern time), they are able to hedge their
exposure such that they are willing and able to engage in creation
and redemption activity for the purpose of capturing arbitrage
opportunities.
---------------------------------------------------------------------------

The procedures by which an Authorized Participant can redeem one or
more Baskets mirror the procedures for the creation of Baskets.
The redemption proceeds from each Fund consist of the cash
redemption amount. The cash redemption amount is equal to the NAV of
the number of Basket(s) of a Fund requested in the Authorized
Participant's redemption order as of the closing time of the NYSE MKT
or the last to close of the exchanges on which its futures contracts
are traded, whichever is later, on the redemption order date. The
Manager will distribute the cash redemption amount at the redemption
order settlement date as of 2:45 p.m., Eastern time, on the redemption
order settlement date through DTC to the account of the Authorized
Participant as recorded on DTC's book-entry system.
The redemption proceeds due from each Fund are delivered to the
Authorized Participant at 2:45 p.m., Eastern time, on the redemption
order settlement date if, by such time, a Fund's DTC account has been
credited with the Baskets to be redeemed. If a Fund's DTC account has
not been credited with all of the Baskets to be redeemed by such time,
the redemption distribution is delivered to the extent of whole Baskets
received.
For either Fund, the Manager may, in its discretion, suspend the
right of redemption, or postpone the redemption order settlement date,
for (1) any period during which an emergency exists as a result of
which the redemption distribution is not reasonably practicable, or (2)
such other period as the Manager determines to be necessary for the
protection of the shareholders.
Shareholders who are not Authorized Participants will have no right
to purchase or redeem their Shares directly from or to the Funds.
Instead, such shareholders will continue to have the ability to
purchase or sell their Shares on an exchange.
Net Asset Value
According to the Registration Statement, a Fund's NAV is calculated
as of the close of the exchange on which it trades, on each day that
such exchange is open. NAV per Share is computed by dividing the value
of all assets of a Fund (including any accrued interest and dividends),
less all liabilities (including accrued expenses and distributions
declared but unpaid), by the total number of Shares outstanding. Each
Fund publishes its NAV on its Web site on a daily basis, rounded to the
nearest cent.
For purposes of determining the NAV of a Fund, portfolio
instruments will be valued using prices provided primarily by
independent pricing services approved by the Manager. A Fund's
Commodity Futures generally will be valued at their final settlement
price, if available, as determined by the principal exchange on which
they are traded. Non-exchange traded instruments pledged as collateral
will generally be valued using prices provided by independent pricing

[[Page 38242]]

services, or prices may be obtained from other sources, such as broker-
dealer quotations. Independent pricing services typically value non-
exchange traded instruments using a range of market-based inputs and
assumptions. For example, when available, pricing services may utilize
inputs such as benchmark yields, reported trades, broker-dealer quotes,
spreads, and transactions for comparable instruments. In pricing
certain instruments, the pricing services may consider information
about an instrument's issuer or market activity provided by the
Manager. Independent pricing service valuations of non-exchange traded
instruments represent the service's good faith opinion as to what the
holder of an instrument would receive in an orderly transaction for an
institutional round lot position under current market conditions. It is
possible that these valuations could be materially different from the
value that a Fund realizes upon the sale of an instrument.
If the pricing services are unable to price an instrument, if the
Manager deems the pricing services valuation to be unreliable, or if a
significant event occurs such that the valuation provided is deemed
unreliable, a Fund may value portfolio instruments(s) at their fair
value, which is generally the amount that a Fund might reasonably
expect to receive upon the current sale or closing of a position. The
fair value of an instrument is based on the Manager's good faith
judgment and may differ from subsequent quoted or published prices. For
example, events may occur after the close of the relevant market but
prior to the time as of which a Fund's NAV is calculated, which
materially impact the instrument's value, and the fair value on a given
day would take such events into account.
Availability of Information Regarding the Shares
The Web site for the Funds, https://www.nuveen.com/CommodityInvestments, will be publicly accessible at no charge and,
following the Conversion, will contain the following information for
each Fund, updated daily: (a) The prior business day's NAV and the
reported closing price or mid-point of the bid/ask spread at the time
of calculation of such NAV (the ``Bid/Ask Price'') \20\; (b)
calculation of the premium or discount of the closing price or Bid/Ask
Price against the NAV; (c) data in chart format displaying the
frequency of the discounts and premiums of the daily closing price or
Bid/Ask Price against the NAV, within appropriate ranges, for each of
the four previous calendar quarters; (d) the prospectus; and (e) other
applicable quantitative information.
---------------------------------------------------------------------------

\20\ The Bid/Ask Price of the Funds' Shares will be determined
using the midpoint of the highest bid and the lowest offer on the
Exchange as of the time of calculation of a Fund's NAV. The records
relating to Bid/Ask Prices will be retained by the Funds and their
service providers.
---------------------------------------------------------------------------

After the Conversion, on each business day before commencement of
trading in Shares on the Exchange, each Fund will disclose on its Web
site the Disclosed Portfolio that will form the basis for a Fund's
calculation of NAV at the end of the business day.\21\
---------------------------------------------------------------------------

\21\ Under accounting procedures followed by the Funds, trades
made on the prior business day (``T'') will be booked and reflected
in NAV on the current business day (``T+1''). Accordingly, the Funds
will be able to disclose at the beginning of the business day the
portfolio that will form the basis for the NAV calculation at the
end of the business day.
---------------------------------------------------------------------------

Each Fund's portfolio holdings (as of the previous day's close)
will also be disclosed and updated on the Funds' Web site on each
business day that the Exchange is open for trading. Such disclosure of
the Funds' portfolio holdings will include, as applicable to the type
of holding: Ticker symbol, name or other identifier, if any; a
description of the holding (including the type of holding, such as the
type of futures contract); the identity of the security, commodity or
other asset or instrument underlying the holding, if any; quantity held
(as measured by, for example, par value, notional value or number of
shares, contracts or units); maturity date, if any; effective date, if
any; market value of the holding; and the percentage weighting of the
holding in a Fund's portfolio. The values of each Fund's portfolio
holdings will, in each case, be determined in accordance with the
Funds' valuation policies.
The daily settlement prices for the Commodity Futures contracts are
publicly available on the Web sites of the futures exchanges trading
the particular contracts. Various data vendors and news publications
publish futures prices and data. The Exchange represents that futures
quotes and last sale information for the commodity contracts are widely
disseminated through a variety of market data vendors worldwide,
including Bloomberg and Reuters. In addition, the Exchange further
represents that complete real-time data for such futures is available
by subscription from Reuters and Bloomberg. The relevant futures
exchanges also provide delayed futures contract information on current
and past trading sessions and market news free of charge on their
respective Web sites. The contract specifications for the futures
contracts are also available from the futures exchanges on their Web
sites as well as other financial informational sources.
Information regarding market price and trading volume of the Shares
will be continually available on a real-time basis throughout the day
on brokers' computer screens and other electronic services. Quotation
and last sale information for the Shares will be available via the
Consolidated Tape Association (``CTA'') high-speed line. Price
information for Collateral will be available from major market data
vendors. In addition, the Intraday Indicative Value (``IIV'') \22\ will
be widely disseminated at least every 15 seconds during trading on the
Exchange by one or more major market data vendors.\23\ The
dissemination of the IIV, together with the Disclosed Portfolio, will
allow investors to determine the value of the underlying portfolio of a
Fund and provide a close estimate of that value throughout the trading
day. In addition, a Basket composition file, which includes the names
and weights of the instruments required to be delivered in exchange for
a Fund's Basket, together with estimates and actual cash components,
will be publicly disseminated daily prior to the opening of the
Exchange.
---------------------------------------------------------------------------

\22\ The IIV is an approximate per Share value of a Fund's
portfolio holdings, which is disseminated every fifteen seconds
throughout the trading day by one or more market data vendors. The
IIV will be based on the current market value of a Fund's Disclosed
Portfolio. The IIV does not necessarily reflect the precise
composition of the current portfolio holdings of a Fund at a
particular point in time. The IIV should not be viewed as a ``real-
time'' update of the NAV of a Fund because the approximate value may
not be calculated in the same manner as the NAV. The quotations for
certain investments may not be updated during U.S. trading hours if
such holdings do not trade in the U.S., except such quotations may
be updated to reflect currency fluctuations.
\23\ It is the Exchange's current understanding that several
major market data vendors display and/or make widely available IIVs
taken from CTA or other data feeds.
---------------------------------------------------------------------------

As described above, the NAV for each Fund will be calculated and
disseminated daily. The Manager has represented to the Exchange that
the NAV and all portfolio holdings will be disseminated to all market
participants at the same time. The Exchange will also make available on
its Web site daily trading volume, closing prices, and the NAV. The
closing price and settlement prices of the futures contracts held by
the Funds are also readily available from the relevant futures
exchanges, automated quotation systems, published or other public
sources, or on-line information services such as Bloomberg or Reuters.
In addition, the Exchange

[[Page 38243]]

will provide a hyperlink on its Web site to the Funds' Web site.
As noted above, the NAV of each Fund will be calculated once each
trading day shortly after 4:00 p.m. ET. The NAV will be disclosed on
the Funds' Web site and the Exchange's Web site.
Criteria for Continued Listing
The Funds will be subject to the criteria in Rule 1602 for
continued listing of the Shares. A minimum of 100,000 Shares of a Fund
will be required to be outstanding at the start of trading upon such
Fund's Conversion. The Exchange believes that the anticipated minimum
number of shares outstanding at the start of trading upon the
Conversions is sufficient to provide adequate market liquidity and to
further each Fund's objectives. Each Fund has represented to the
Exchange in its Prior Release, and continues to represent here, that,
for continued listing of the Shares, it will be in compliance with
Section 803 of the NYSE MKT Company Guide (Independent Directors and
Audit Committee) and Rule 10A-3 under the Act.\24\
---------------------------------------------------------------------------

\24\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

Trading Rules
The Exchange deems the Shares to be equity securities, thus
rendering trading in the Shares subject to NYSE MKT Rules governing the
trading of equity securities, including, among others, rules governing
priority, parity and precedence of orders, DMM responsibilities and
account opening and customer suitability (NYSE MKT Rule 405).
Shares of each Fund will trade on the Exchange until 4 p.m. ET each
business day and will trade in the minimum price variants established
under NYSE MKT Rule 62. Trading rules pertaining to odd-lot trading in
NYSE MKT equities (NYSE MKT Rule 124) will also apply.
The Exchange states that NYSE MKT Rule 15A complies with Rule 611
of Regulation NMS, which requires, among other things, that the
Exchange adopt and enforce written policies and procedures that are
reasonably designed to prevent trade-throughs of protected quotations.
The trading of the Shares will be subject to certain conflict of
interest provisions set forth in NYSE MKT Equities Rule 1604.
According to NYSE MKT Rule 1602, trading in Shares of a Fund will
be halted if the circuit breaker parameters of NYSE MKT Rule 80B have
been reached. In addition, 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: (a) The extent to
which trading is not occurring in the underlying futures contracts; or
(b) 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 or by the halt or suspension of the trading of the
underlying futures contracts.
In exercising its discretion to halt or suspend trading in the
Shares, the Exchange may consider all factors, such as those set forth
in NYSE MKT Rule 953NY(a), in addition to other factors that also may
be relevant. In particular, if the portfolio holdings and NAV per Share
are not being disseminated as required, the Exchange may halt trading
during the day in which the interruption to the dissemination of the
portfolio holdings or NAV per Share occurs.
Information Circular
The Exchange will distribute an Information Circular (``Circular'')
to its members in connection with the trading of the Shares. The
Circular will discuss the special characteristics and risks associated
with trading this type of security. Specifically, the Circular, among
other things, will discuss: (i) What the Shares are; (ii) NYSE MKT Rule
405, which imposes a duty on member organizations to have a reasonable
basis to believe that a customer is suitable for the particular
investment prior to recommending to customers transactions in the
Shares; (iii) the procedures for purchases and redemptions of Shares in
Baskets (and that Shares are not individually redeemable); (iv) how
information regarding the IIV and the Disclosed Portfolio is
disseminated; (v) the requirement that members and member firms deliver
a prospectus to investors purchasing newly issued Shares prior to or
concurrently with the confirmation of a transaction; (vi) applicable
NYSE MKT rules; and (vii) trading information.
The Circular will also explain that each Fund is subject to various
fees and expenses described in its Registration Statement. The Circular
will also reference the fact that there is no regulated source of last
sale information regarding physical commodities and the respective
jurisdictions of the Commission and CFTC over the trading of physical
commodities.
The Circular will also discuss any exemptive, no-action and
interpretive relief granted by the Commission or the staff from any
rules under the Act. The Circular will disclose that the NAV for Shares
will be calculated shortly after 4:00 p.m. ET each trading day.
Surveillance
The Exchange represents that, upon conversion of the Funds, trading
in the Shares will be subject to the existing trading surveillances
administered by the Exchange, as well as cross-market 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.\25\ 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.
---------------------------------------------------------------------------

\25\ FINRA conducts cross-market surveillances on behalf of 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.
The Exchange or FINRA, on behalf of the Exchange, or both, will
communicate as needed regarding trading in the Shares and Commodity
Futures with other markets that are members of the ISG, and the
Exchange or FINRA on behalf of the Exchange, or both, may obtain
trading information regarding trading in the Shares and Commodity
Futures from such markets. In addition, the Exchange may obtain
information regarding trading in the Shares and Commodity Futures from
markets that are members of ISG or with which the Exchange has in place
a comprehensive surveillance sharing agreement.\26\
---------------------------------------------------------------------------

\26\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of the
Disclosed Portfolio may trade on markets that are members of ISG or
with which the Exchange has in place a comprehensive surveillance
sharing agreement.
---------------------------------------------------------------------------

Not more than 10% of the net assets of a Fund, in the aggregate,
shall consist of futures contracts whose principal market is not a
member of the ISG or a market with which the Exchange has in

[[Page 38244]]

place a comprehensive surveillance sharing agreement.
The Exchange also has a general policy prohibiting the distribution
of material, non-public information by its employees.
All statements and representations made in this filing regarding
(a) the description of the portfolio, (b) limitations on portfolio
holdings or reference assets, or (c) the applicability of Exchange
rules and surveillance procedures shall constitute continued listing
requirements for listing the Shares on the Exchange.
The issuer has represented to the Exchange that it will advise the
Exchange of any failure by the Funds to comply with the continued
listing requirements, and, pursuant to its obligations under Section
19(g)(1) of the Act, the Exchange will monitor for compliance with the
continued listing requirements. If the Funds are not in compliance with
the applicable listing requirements, the Exchange will commence
delisting procedures under Sections 1001 through 1010 of the NYSE MKT
Company Guide.
Except for the changes noted above, all other facts presented and
representations made in the Prior Releases are unchanged.
2. Statutory Basis
The basis under the Act for this proposed rule change is the
requirement under Section 6(b)(5) \27\ 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.
---------------------------------------------------------------------------

\27\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

The Exchange believes that the proposed rule amendments to NYSE MKT
Rules 1600 et seq. 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 Conversions will be made in a fair an orderly manner, as each Fund
largely will be structured following its Conversion in the same way as
it was before its Conversion: It will remain a commodity pool;
shareholders will continue to own the same Shares of a Fund as they
owned prior to the Conversion (i.e., there is no forced redemption of
currently outstanding Shares, which will continue to be listed and
traded on the Exchange); and shareholders will continue to be able to
buy and sell Shares of each Fund on the Exchange throughout each
business day at then prevailing market prices.
The Exchange believes that the Conversion is consistent with the
Act in that the only significant change in the operation of the Funds
from that described in the Prior Releases is that each Fund will issue
and redeem Shares using a creation/redemption process. The shareholders
of each Fund have approved each Fund's Conversion. Prior to the date of
the Conversions, the Manager expects to engage multiple Authorized
Participants with respect to the Funds, which the Manager believes will
increase the trading volume of the Shares, and reduce the Shares'
discount to NAV. The Manager represents that it believes that, by
converting each Fund into an ETP structure that utilizes a creation/
redemption process, Shares of each Fund are likely to trade at prices
equal to or near NAV. The Manager also expects that the price at which
Shares trade will be disciplined by arbitrage opportunities created by
the option to continually purchase or redeem Creation Units at their
NAV. The Manager believes that there will be a positive impact to this
arbitrage mechanism as a result of the conversion from a closed-end
structure to one that implements a creation and redemption process, and
that investors in the Funds' Shares will benefit from the increased
likelihood of a closer alignment between the Funds' Share prices and
their NAV. Moreover, the proposed amendments to the definition of Trust
Units in NYSE MKT Rule 1600(b) to provide for continuous issuance and
redemption, the addition of requirements relating to the Disclosed
Portfolio in NYSE MKT Rule 1600(b)(iii) and the IIV in NYSE MKT Rule
1600(b)(iv), would provide an additional level of transparency and
enhanced pricing information for Trust Units comparable to requirements
applicable to certain other ETPs, such as Managed Fund Shares.
Proposed Commentary .04 to Rule 1600 would provide that, if an
issuer's adviser is affiliated with a broker- dealer, the broker-dealer
shall erect a ``fire wall'' around the personnel who have access to
information concerning changes and adjustments to the Disclosed
Portfolio. The proposed amendments to Rule 1602(a)(ii) will provide
that the Exchange will obtain a representation from the issuer of each
series of Trust Units that the Disclosed Portfolio as well as the NAV
will be made available to all market participants at the same time.
Rule 1602(b)(ii) will provide for trading halt procedures comparable to
those applied to certain other ETPs, including if the circuit breaker
parameters have been reached or if the Disclosed Portfolio, the NAV per
Share, or the IIV are not being disseminated as required. Proposed new
Rule 1602(b)(iii) would provide that each series of Trust Units will be
listed and/or traded subject to application of specified continued
listing criteria, including that the IIV for shares will be widely
disseminated by one or more major market data vendors at least every 15
seconds during the time when the Trust Units trade on the Exchange,
that the Disclosed Portfolio will be disseminated at least once daily
and will be made available to all market participants at the same time;
and that the Reporting Authority that provides the Disclosed Portfolio
must implement and maintain, or be subject to, procedures designed to
prevent the use and dissemination of material, non-public information
regarding the actual components of the portfolio. The text of NYSE MKT
Rule 1603 would be deleted because it is obsolete, as described above.
The proposed amendments to Rule 1605 would make clearer the financial
instruments that would be covered by the rule's limitation of liability
provisions.
With respect to the Shares, the proposed rule changes are designed
to promote just and equitable principles of trade and to protect
investors and the public interest. The Shares will be listed and traded
on the Exchange pursuant to the initial and continued listing criteria
in Rules 1600 et seq. All of the commodity futures contracts in which
the Funds will invest will be traded on regulated exchanges. The Funds
will not invest in options on commodity futures contracts, swaps, or
over-the-counter derivatives. The Exchange has in place surveillance
procedures that are adequate to properly monitor trading in the Shares
and to deter and detect violations of Exchange rules and applicable
federal securities laws. The Exchange may obtain information regarding
trading in the Shares and Commodity Futures from markets that are
members of ISG or with which the Exchange has in place a comprehensive
surveillance sharing agreement. Not more than 10% of the net assets of
a Fund, in the aggregate, shall consist of futures contracts whose
principal market is not a member of the ISG or a market with which the
Exchange has in place a comprehensive surveillance sharing agreement.
The daily settlement prices of the futures contracts held by the
Funds are readily available from the Web sites of the relevant futures
exchanges,

[[Page 38245]]

automated quotation systems, published or other public sources, or on-
line information services such as Bloomberg or Reuters. The relevant
futures exchanges also provide delayed futures information on current
and past trading sessions and market news free of charge on their
respective Web sites. Quotation and last-sale information for the
Shares will be available via CTA. In addition, the Funds' Web site will
display each Fund's daily NAV. An up-to-date value for each Fund's
respective Index will be available through Bloomberg and other market
data vendors every 15 seconds. The Funds' portfolio holdings will be
disclosed on the Funds' Web site daily after the close of trading on
the Exchange and prior to the opening of trading on the Exchange the
following day. Each of the Manager, SG, the Commodity Subadviser, and
the Collateral Subadviser has erected and maintains firewalls within
its respective institution to prevent the flow and/or use of non-public
information regarding the portfolio of underlying instruments from the
personnel involved in the development and implementation of the
investment strategy to others such as sales and trading personnel. In
addition, the Commodity Subadviser, the Collateral Subadviser, any
subadviser of either, and the respective related personnel of both are
subject to the provisions of Rule 204A-1 under the Advisers Act
relating to codes of ethics.
Each issuer of Shares has represented that the NAV per Share will
be calculated daily and that the NAV and the Disclosed Portfolio will
be made available to all market participants at the same time. In
addition, a large amount of information is (and after the Conversion,
will continue to be) publicly available regarding the Funds and the
Shares, thereby promoting market transparency. Moreover, the IIV
applicable to each Fund will be widely disseminated by one or more
major market data vendors at least every 15 seconds during the time
when the Funds trade on the Exchange. On each business day, before
commencement of trading in Shares on the Exchange, each Fund will
disclose on its Web site the Disclosed Portfolio that will form the
basis for that Fund's calculation of NAV at the end of the business
day. Information regarding market price and trading volume of the
Shares will be continually available on a real-time basis throughout
the day on brokers' computer screens and other electronic services. The
Web site for the Funds will include the prospectus for each Fund and
additional data relating to NAV and other applicable quantitative
information. Moreover, as discussed previously, the Exchange will
inform its member organizations in an Information Circular of the
special characteristics and risks associated with trading the Shares
prior to the commencement of trading.
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 continued listing and
trading of additional types of actively managed ETPs 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 in place a comprehensive surveillance sharing agreement.
In addition, as noted above, investors will have ready access to
information regarding each Fund's holdings, the IIV, the Disclosed
Portfolio, 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 continued listing and trading
of an additional type of ETP 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

Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) by order approve or disapprove the proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be 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-NYSEMKT-2016-58 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-NYSEMKT-2016-58. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (https://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street NE.,
Washington, DC 20549, on official business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of such filing will also be available
for inspection and copying at the principal office of the Exchange. All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-NYSEMKT-2016-58 and should
be submitted on or before July 5, 2016.

[[Page 38246]]

For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\28\
---------------------------------------------------------------------------

\28\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-13821 Filed 6-10-16; 8:45 am]
BILLING CODE 8011-01-P

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