Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change To Amend NYSE Arca Equities Rule 8.700 To Reference EURO STOXX 50 Volatility Index Futures and To List and Trade Shares of the ProShares European Volatility Futures ETF, 38973-38979 [2017-17275]

Download as PDF Federal Register / Vol. 82, No. 157 / Wednesday, August 16, 2017 / Notices change to fee code RT represents a significant departure from previous pricing offered by the Exchange or from pricing offered by the Exchange’s competitors. Additionally, Members may opt to disfavor the Exchange’s pricing if they believe that alternatives offer them better value. Accordingly, the Exchange does not believe that the proposed changes will impair the ability of Members or competing venues to maintain their competitive standing in the financial markets. The Exchange believes that its proposal would not burden intramarket competition because the proposed rates would apply uniformly to all Members. C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others The Exchange has not solicited, and does not intend to solicit, comments on this proposed rule change. The Exchange has not received any written comments from members or other interested parties. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action The foregoing rule change has become effective pursuant to Section 19(b)(3)(A) of the Act 13 and paragraph (f) of Rule 19b–4 thereunder.14 At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. asabaliauskas on DSKBBXCHB2PROD with NOTICES 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 No. SR– BatsEDGA–2017–20 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. 13 15 14 17 19:10 Aug 15, 2017 For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.15 Robert W. Errett, Deputy Secretary. [FR Doc. 2017–17274 Filed 8–15–17; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–81373; File No. SR– NYSEArca–2017–85] Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change To Amend NYSE Arca Equities Rule 8.700 To Reference EURO STOXX 50 Volatility Index Futures and To List and Trade Shares of the ProShares European Volatility Futures ETF August 10, 2017. Pursuant to Section 19(b)(1) 1 of the Securities Exchange Act of 1934 15 17 U.S.C. 78s(b)(3)(A). CFR 240.19b–4(f). VerDate Sep<11>2014 All submissions should refer to File No. SR–BatsEDGA–2017–20. 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 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 No. SR–BatsEDGA– 2017–20, and should be submitted on or before September 6, 2017. 1 15 Jkt 241001 PO 00000 CFR 200.30–3(a)(12). U.S.C.78s(b)(1). Frm 00099 Fmt 4703 Sfmt 4703 38973 (‘‘Act’’) 2 and Rule 19b–4 thereunder,3 notice is hereby given that, on July 28, 2017, NYSE Arca, Inc. (‘‘Exchange’’ or ‘‘NYSE Arca’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule change as described in Items I and II below, which Items have been prepared by the self-regulatory organization. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to amend NYSE Arca Equities Rule 8.700 to add EURO STOXX 50 Volatility Index (VSTOXX®) futures to the financial instruments that an issue of Managed Trust Securities may hold; and (2) to list and trade shares of the ProShares European Volatility Futures ETF under proposed amended NYSE Arca Equities Rule 8.700. The proposed 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 NYSE Arca Equities Rule 8.700 permits the trading of Managed Trust Securities either by listing or pursuant to unlisted trading privileges (‘‘UTP’’).3 2 15 U.S.C. 78a. CFR 240.19b–4. 3 Managed Trust Security means a security that is registered under the Securities Act of 1933 (15 U.S.C. 77a), as amended (the ‘‘Securities Act’’), is issued by a trust that (1) is a commodity pool as defined in the Commodity Exchange Act (7 U.S.C. 1) (the ‘‘CEA’’), and that is managed by a commodity pool operator registered with the Commodity Futures Trading Commission (the ‘‘CFTC’’), and (2) holds long and/or short positions in exchange-traded futures contracts and/or certain 3 17 Continued E:\FR\FM\16AUN1.SGM 16AUN1 38974 Federal Register / Vol. 82, No. 157 / Wednesday, August 16, 2017 / Notices The Exchange proposes to amend NYSE Arca Equities Rule 8.700 to add futures and swaps on the EURO STOXX 50 Volatility Index (VSTOXX) to the financial instruments in which an issue of Managed Trust Securities may hold long and/or short positions. (Futures on VSTOXX are referred to herein as ‘‘Futures Contracts.’’) In addition, the Exchange proposes to list and trade the shares (the ‘‘Shares’’) of the ProShares European Volatility Futures ETF (the ‘‘Fund’’) under proposed amended NYSE Arca Equities Rule 8.700.4 asabaliauskas on DSKBBXCHB2PROD with NOTICES Proposed Amendments to NYSE Arca Equities Rule 8.700 The Exchange proposes to amend NYSE Arca Equities Rule 8.700(c)(1) to add Futures Contracts and/or swaps on VSTOXX to the financial instruments in which an issue of Managed Trust Securities may hold long and/or short positions. The VSTOXX is based on EURO STOXX 50 Index (‘‘Index’’) real-time option prices that are listed on the Eurex Exchange (‘‘Eurex’’) and are designed to reflect the market expectations of near-term up to longterm volatility by measuring the square root of the implied variances across all options of a given time to expiration.5 The Index includes 50 stocks that are among the largest free-float market capitalization stocks from 11 Eurozone countries.6 Futures Contracts are cash settled and trade between the hours of 7:30 a.m. and 10:30 p.m. Central currency forward contracts and/or swaps selected by the trust’s advisor consistent with the trust’s investment objectives, which will only include, exchange-traded futures contracts involving commodities, commodity indices, currencies, currency indices, stock indices, fixed income indices, interest rates and sovereign, private and mortgage or asset backed debt instruments, and/or forward contracts on specified currencies, and/or swaps on stock indices, fixed income indices, commodity indices, commodities, currencies, currency indices, or interest rates, each as disclosed in the trust’s prospectus as such may be amended from time to time, and cash and cash equivalents; and (ii) is issued and redeemed continuously in specified aggregate amounts at the next applicable net asset value. See NYSE Arca Equities Rule 8.700(c)(1). 4 On May 12, 2017, the Trust filed with the Commission a registration statement on Form S–1 under the Securities Act of 1933 (15 U.S.C. 77a) (‘‘Securities Act’’) relating to the Fund (File No. 333–217962) (the ‘‘Registration Statement’’). The description of the operation of the Trust and the Fund herein is based, in part, on the Registration Statement. 5 The VSTOXX is a non-investable index that seeks to measure the volatility of the Index over a future time horizon as implied by the price of option contracts on the Index available on the Eurex. The VSTOXX does not measure the actual volatility of the Index. 6 These countries include Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. VerDate Sep<11>2014 19:10 Aug 15, 2017 Jkt 241001 European Time (‘‘CET’’) (2:30 a.m. and 5:30 p.m. Eastern Time). The Futures Contract value is 100 Euros per index point of the underlying and it is traded to two decimal places with a minimum price change of 0.05 points (equivalent to a value of 5 Euros). The daily settlement price is determined during the closing auction of the respective Futures Contract. The last trading day and final settlement day is 30 calendar days prior to the third Friday of the expiration month of the underlying options, which is usually the Wednesday prior to the second to last Friday of the respective maturity month. Information regarding the VSTOXX and the Futures Contracts can be found on the STOXX Limited (‘‘STOXX’’) Web site and the Eurex Web site, respectively.7 STOXX computes the Index on a realtime basis throughout each trading day, from 8:50 a.m. until 5:30 CET (3:50 a.m. until 12:30 p.m. Eastern Time [sic]. VSTOXX levels will be calculated by STOXX and disseminated by major market data vendors on a real-time basis throughout each trading day. The Exchange believes that the proposed amendment to add Futures Contracts and/or swaps on VSTOXX to the financial instruments in which an issue of Managed Trust Securities may hold long and/or short positions will provide investors with the ability to better diversify and hedge their portfolios using an exchange traded security without having to trade directly in the underlying Futures Contracts, and will facilitate the listing and trading on the Exchange of additional Managed Trust Securities that will enhance competition among market participants, to the benefit of investors and the marketplace.8 7 Eurex is a member of the ISG and, as such, the Exchange may obtain information regarding trading in the Futures Contracts. For a list of the current members and affiliate members of ISG, see www.isgportal.com. 8 The Exchange notes that the Commission has issued a notice of effectiveness regarding amendments to NYSE Arca Equities Rule 5.2(j)(6)(v) to add futures on VSTOXX as a ‘‘Futures Reference Asset’’ underlying an issue of ‘‘Futures-Linked Securities’’. See Securities Exchange Act Release No. 79975 (February 6, 2017), 82 FR 10418 (February 10, 2017) (SR–NYSEArca–2017–08) (notice of filing and immediate effectiveness to amend NYSE Arca Equities Rule 5.2(j)(6)(v) to add EURO STOXX 50 Volatility Futures to the definition of Futures Reference Asset in Rule 5.2(j)(6)). See also, Securities Exchange Act Release No. 79069 (October 7, 2016), 81 FR 70714 (October 13, 2016) (SR–BatsBZX–2016–26) (order approving amendments to Bats BZX Exchange, Inc. Rule 14.11(d) to add EURO STOXX 50 Volatility Futures to the definition of Futures Reference Asset). PO 00000 Frm 00100 Fmt 4703 Sfmt 4703 ProShares European Volatility Futures ETF The Exchange proposes to list and trade the Shares of the Fund under proposed amended NYSE Arca Equities Rule 8.700. The Fund will be a commodity pool that is a series of the ProShares Trust II (‘‘Trust’’). The Fund’s sponsor and commodity pool operator will be ProShare Capital Management LLC (the ‘‘Sponsor’’). Brown Brothers Harriman & Co. will be the Administrator, Custodian and Transfer Agent of the Fund and its Shares. SEI Investments Distribution Co. (‘‘SEI’’) will be the distributor for the Fund’s Shares.9 The Sponsor is registered as a commodity pool operator and is affiliated with a FINRA-registered broker-dealer through common ownership. As part of the enterprisewide compliance program, the Sponsor has implemented a ‘‘fire wall’’ regarding access to information concerning the composition and/or changes to the Fund’s portfolio. The Sponsor’s Code of Ethics and internal controls are designed to prevent and detect such exchange of information. In the event (a) the Sponsor becomes newly affiliated with a broker-dealer, or (b) any new sponsor becomes affiliated with a broker-dealer, such broker-dealer shall erect and maintain a ‘‘fire wall’’ around the personnel of the sponsor who have access to information concerning changes and adjustments to the Disclosed Portfolio (as defined in NYSE Arca Equities Rule 8.700(c)(2)). Personnel of the sponsor who make decisions regarding the composition of the Disclosed Portfolio must be subject to procedures designed to prevent the use and dissemination of material nonpublic information regarding the Disclosed Portfolio. Operation of the Trust According to the Registration Statement, the Fund’s primary investment objective will be to provide long exposure to lead month Futures Contracts. The Futures Contracts are widely regarded as a general measure of the forward implied volatility of certain 9 The Commission has previously approved the listing and trading of other issues of Managed Trust Securities on the Exchange. See Securities Exchange Act Release Nos. 60064 (June 8, 2009), 74 FR 28315 (June 15, 2009) (SR–NYSEArca–2009–30) (order approving the adoption of listing standards for Managed Trust Securities and the listing and trading of shares of the iShares® Diversified Alternatives Trust); 80254 (March 15, 2017), 82 FR 14548 (March 21, 2017) (SR–NYSEArca–2016–96) (order approving proposed rule change to amend NYSE Arca Equities Rule 8.700 and to list and trade shares of the Managed Emerging Markets Trust). E:\FR\FM\16AUN1.SGM 16AUN1 Federal Register / Vol. 82, No. 157 / Wednesday, August 16, 2017 / Notices asabaliauskas on DSKBBXCHB2PROD with NOTICES blue-chip European companies.10 The Fund will use these Futures Contracts as a performance benchmark (‘‘Benchmark’’). The Fund will be actively managed and will have a secondary investment objective to outperform its Benchmark by actively managing the ‘‘rolling’’ of these Futures Contracts.11 According to the Registration Statement, by being long Futures Contracts, the Fund will seek to benefit from increases in the price of the Futures Contracts. When the price of Futures Contracts held by the Fund declines the Fund will lose value. The performance of the Futures Contracts is related to the performance of the VSTOXX. The Fund will not seek to track or outperform either the VSTOXX or the Index and the performance of the Fund will be very different from the 10 The Futures Contracts offer traders the ability to take a view on European implied volatility changes, trade the spread between different volatility indexes or hedge the volatility exposure of portfolios. The Futures Contracts are denominated in Euros and are traded on the Eurex under the ticker symbol ‘‘FVS’’. The performance of the Futures Contracts is tied to the performance of the VSTOXX. Both the Futures Contracts and the VSTOXX are negatively correlated to the Index. Investors that believe the forward implied market volatility of the Index will increase may buy the Futures Contracts. Conversely, investors that believe that the forward implied market volatility of the Index will decline may sell the Futures Contracts. The Futures Contracts are available with respect to the eight nearest successive calendar months. The market value of the Futures Contracts is available on the Eurex. 11 According to the Registration Statement, to ‘‘roll’’ a Futures Contract means to sell a Futures Contract as it nears its expiration date and to replace it with a new contract that has a later expiration date. When rolling Futures Contracts, the Fund generally will select between Futures Contracts with the three nearest expiration dates (known as the front, second and third month contracts) based on an analysis of the cost of establishing and maintaining such positions. Futures Contracts with a longer term to expiration may be priced higher than Futures Contracts with a shorter term to expiration, a relationship called ‘‘contango’’. When rolling Futures Contracts that are in contango, the Fund may sell the expiring Futures Contract at a lower price and buy a longer-dated Futures Contract at a higher price, resulting in a negative roll yield. During contango environments, the Fund’s active investment strategy will attempt to select among the front, second, and third month Futures Contracts in a manner that mitigates negative roll yield and potentially increases returns as compared to a strategy that uses a formulaic roll, always rolling to the Futures Contract with the nearest expiration. Conversely, Futures Contracts with a longer term to expiration may be priced lower than Futures Contracts with a shorter term to expiration, a relationship called ‘‘backwardation’’. When rolling Futures Contracts that are in backwardation, the Fund may sell the expiring Futures Contract at a higher price and buy the longer-dated Futures Contract at a lower price, resulting in a positive roll yield. During backwardation environments, the Fund’s active strategy will attempt to select among the front, second, and third month Futures Contracts in a manner that maximizes positive roll yield and potentially increases returns. VerDate Sep<11>2014 18:33 Aug 15, 2017 Jkt 241001 performance of either the VSTOXX Index or the Index. According to the Registration Statement, in seeking to achieve the Fund’s investment objectives, the Sponsor will use a mathematical approach to investing. Using this approach, the Sponsor will determine the type, quantity and mix of investment positions that the Sponsor believes, in combination, should produce daily returns consistent with the Fund’s objectives. The Sponsor will rely upon a pre-determined model to generate orders that result in repositioning the Fund’s investments in accordance with its investment objective. Under normal market conditions,12 the Fund generally will seek to remain fully invested at all times in the Futures Contracts in a manner consistent with its investment objectives without regard to market conditions, trends or direction. The Fund will invest the remainder of its un-invested assets in high-quality, short-term debt instruments that have terms-to-maturity of less than 397 days, such as U.S. government securities and repurchase agreements (‘‘Money Market Instruments’’). Under limited circumstances, the Fund also may invest in swap contracts and forward contracts that reference its Benchmark (‘‘Financial Instruments’’). In the event position price or accountability limits are reached with respect to Futures Contracts, the Sponsor may, in its commercially reasonable judgment, cause the Fund to obtain exposure to the Futures Contracts through swaps referencing the Futures Contracts.13 The Fund may also invest in swaps if the market for a specific Futures Contract experiences emergencies (e.g., natural disaster, terrorist attack or an act of God) or disruptions (e.g., a trading halt or a flash crash) which, in the Sponsor’s commercially reasonable judgment, prevent, or otherwise make it impractical, for the Fund to obtain the appropriate amount of investment 12 The term ‘‘normal market conditions’’ is defined in NYSE Arca Equities Rule 8.600(c)(5). 13 The Fund intends to enter into swap agreements only with major, global financial institutions; however, there are no limitations on the percentage of its assets the Fund may invest in swap agreements with a particular counterparty. The Fund may use various techniques to minimize credit risk. The Fund will seek to mitigate risks in connection with the uncleared OTC swaps by generally requiring that the counterparties for the Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. PO 00000 Frm 00101 Fmt 4703 Sfmt 4703 38975 exposure to the affected Futures Contracts. The Fund will also hold cash or cash equivalents, such as U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements), for direct investment or as collateral for Futures Contracts and Financial Instruments and pending investment in Futures Contracts and Financial Instruments. The Fund may invest up to 100% of its assets in any of these types of cash or cash equivalent securities. Subject to the Sponsor’s rolling methodology used for the Fund, the Sponsor will not invest the assets of the Fund based on its view of the investment merit of a particular investment, other than for cash management purposes, nor does it conduct conventional volatility research or analysis, or forecast market movement or trends, in managing the assets of the Fund. The Fund will seek to remain fully invested at all times in Futures Contracts, Financial Instruments and Money Market Instruments that, in combination, provide exposure to the Futures Contracts consistent with its investment objective without regard to market conditions, trends or direction. Creation and Redemption Transactions According to the Registration Statement, an ‘‘Authorized Participant’’ may purchase (i.e., create) or redeem ‘‘Creation Units’’ in the Fund. A Creation Unit is a block of 50,000 Shares of a Fund. The size of a Creation Unit is subject to change. A creation transaction generally will take place when an Authorized Participant deposits a specified amount of cash in exchange for a specified number of Creation Units. Similarly, Shares can be redeemed only in Creation Units, generally for cash.14 Purchase orders 14 According to the Registration Statement, Creation Units of the Fund are expected to be created when there is sufficient demand for Shares of the Fund that the market price per Share is at a premium to the net asset value (‘‘NAV’’) per Share. Authorized Participants will likely sell the Shares to the public at prices that are expected to reflect, among other factors, the trading price of the Shares and the supply of and demand for the Shares at the time of sale and are expected to fall between the NAV and the trading price of the Shares at the time of sale. Similarly, it is expected that Creation Units of the Fund will be redeemed when the market price per Share of the Fund is at a discount to the NAV per Share. The Sponsor expects that the exploitation of such arbitrage opportunities by Authorized Participants and their clients and customers will tend to cause the public trading price of the Shares to track the NAV per Share of the Fund closely over time. Retail investors seeking E:\FR\FM\16AUN1.SGM Continued 16AUN1 38976 Federal Register / Vol. 82, No. 157 / Wednesday, August 16, 2017 / Notices asabaliauskas on DSKBBXCHB2PROD with NOTICES will be irrevocable. Except when aggregated in Creation Units, Shares will not be redeemable. The prices at which creations and redemptions occur will be based on the next calculation of the NAV after an order is received in proper form. Creation and redemption transactions must be placed each day with SEI by the create/redeem cut-off time (i.e., 3:00 Central Europe Time (9:00 a.m. Eastern Time most of the year)), or earlier if the Exchange or other exchange material to the valuation or operation of the Fund closes before the cut-off time, to receive that day’s NAV. The total payment required to create each Creation Unit is the NAV of 50,000 Shares on the purchase order date plus the applicable transaction fee. If permitted by the Sponsor in its sole discretion with respect to the Fund, an Authorized Participant may also agree to enter into or arrange for an exchange of a futures contract for related position (‘‘EFCRP’’) or block trade with the Fund whereby the Authorized Participant would also transfer to the Fund Futures Contracts at or near the closing settlement price for such contracts on the purchase order date. Redemption Procedures According to the Registration Statement, the procedures by which an Authorized Participant can redeem one or more Creation Units will mirror the procedures for the creation of Creation Units. On any ‘‘Business Day’’,15 an Authorized Participant may place an order with the Distributor to redeem one or more Creation Units. If a redemption order is received prior to the applicable cut-off time, or earlier if the Exchange or other exchange material to the valuation or operation of the Fund closes before the cut-off time, the day on which SEI receives a valid redemption order is the redemption order date. If the redemption order is received after the applicable cut-off time, the redemption order date will be the next day. Redemption orders will be irrevocable. Upon request of an Authorized Participant made at the time of a redemption order, the Sponsor at its sole discretion may determine, in addition to delivering redemption proceeds, to transfer Futures Contracts to the Authorized Participant pursuant to an EFCRP or to a block trade sale of to purchase or sell Shares on any day are expected to effect such transactions in the secondary market at the market price per Share, rather than in connection with the creation or redemption of Creation Units. 15 A Business Day is any day on which the NAV of the Fund is determined. VerDate Sep<11>2014 18:33 Aug 15, 2017 Jkt 241001 Futures Contracts to the Authorized Participant. The redemption proceeds from the Fund will consist of the cash redemption amount and, if permitted by the Sponsor in its sole discretion with respect to the Fund, an EFCRP or block trade with the Fund as described in ‘‘— Creation and Redemption Transactions’’ above. The cash redemption amount will be equal to the NAV of the number of Creation Unit(s) of the Fund requested in the Authorized Participant’s redemption order as of the time of the calculation of the Fund’s NAV on the redemption order date, less transaction fees and any amounts attributable to any applicable EFCRP or block trade. Net Asset Value According to the Registration Statement, the NAV in respect of the Fund means the total assets of the Fund including, but not limited to, all cash and cash equivalents or other debt securities less total liabilities of the Fund, consistently applied under the accrual method of accounting. In particular, the NAV will include any unrealized profit or loss on open Futures Contracts and Financial Instruments, and any other credit or debit accruing to the Fund but unpaid or not received by the Fund. The NAV per Share of the Fund will be computed by dividing the value of the net assets of the Fund (i.e., the value of its total assets less total liabilities) by its total number of Shares outstanding. Expenses and fees will be accrued daily and taken into account for purposes of determining the NAV. The Fund will compute its NAV at the time set forth below, or an earlier time as set forth on www.ProShares.com, if necessitated by the Exchange or other exchange material to the valuation or operation of the Fund closing early. The Fund’s NAV is calculated only once each trading day. The NAV calculation time for the Fund will typically be 5:30 Central Europe Time (11:30 a.m. Eastern Time most of the year). In calculating the NAV of the Fund, the settlement value of the Fund’s nonexchange-traded Financial Instruments will be determined by applying the then-current disseminated levels for the Futures Contracts to the terms of the Fund’s non-exchange-traded Financial Instruments. However, in the event that underlying Futures Contracts are not trading due to the operation of daily limits or otherwise, the Sponsor may, in its sole discretion, choose to fair value the Futures Contracts in order to value the Fund’s non-exchange-traded Financial Instruments for purposes of PO 00000 Frm 00102 Fmt 4703 Sfmt 4703 the NAV calculation. Such fair value prices would generally be determined based on available inputs about the current value of the Futures Contracts and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. Futures Contracts will be calculated at their then current market value, which is based upon the settlement price (for the Fund) or the last traded price before the NAV time, for that particular Futures Contract traded on the applicable exchange on the date with respect to which the NAV is being determined. If a Futures Contract could not be liquidated on such day, due to the operation of daily limits or other rules of the exchange upon which that position is traded or otherwise, the Sponsor may, in its sole discretion, choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would generally be determined based on available inputs about the current value of the Futures Contracts and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. Short-term debt instruments will be priced at amortized cost. Indicative Optimized Portfolio Value (‘‘IOPV’’) The IOPV is an indicator of the value of the Fund’s net assets at the time the IOPV is disseminated. The IOPV will be calculated and disseminated every 15 seconds throughout the trading day. The IOPV will generally be calculated using the prior day’s closing net assets of the Fund as a base and updating throughout the trading day changes in the value of the Futures Contracts and Financial Instruments held by the Fund. The IOPV should not be viewed as an actual real time update of the NAV because NAV is calculated only once at the end of each trading day. The IOPV also should not be viewed as a precise value of the Shares. The Exchange will disseminate the IOPV. In addition, the IOPV will be published on the Exchange’s Web site and is available through on-line information services such as Bloomberg Finance L.P. and/or Reuters. Availability of Information The Trust’s Web site, which will be publicly accessible at no charge, will contain the following information: (a) The daily NAV of the Trust, the daily NAV per Share, the prior Business Day’s NAV per Share, the reported daily E:\FR\FM\16AUN1.SGM 16AUN1 Federal Register / Vol. 82, No. 157 / Wednesday, August 16, 2017 / Notices asabaliauskas on DSKBBXCHB2PROD with NOTICES closing price and the reported daily trading volume; (b) the daily composition of the Disclosed Portfolio, as defined in NYSE Arca Equities Rule 8.700(c)(2);16 (c) the midpoint of the bid-ask price as of the time the NAV per Share is calculated (the ‘‘Bid-Ask Price’’); (d) the calculation of the premium or discount of such price against such NAV per Share; (e) data in chart form displaying the frequency distribution of discounts or premiums of the bid-ask price against the NAV per Share, within appropriate ranges for each of the four (4) previous calendar quarters; and (f) the current prospectus of the Trust, included in the Registration Statement. On a daily basis, the Trust will disclose on its Web site (www.Proshares.com) for the Futures Contracts and Financial Instruments in the Disclosed Portfolio the following information: Name; ticker symbol (if applicable); CUSIP or other identifier (if applicable); description of the holding; with respect to derivatives, the identity of the security, commodity, index or other underlying asset; the quantity or aggregate amount of the holding as measured by par value, notional value or amount, number of contracts or number of units (if applicable); maturity date; coupon rate (if applicable); effective date or issue date (if applicable); market value; percentage weighting in the Disclosed Portfolio; and expiration date (if applicable). The Web site information will be publicly available at no charge. In addition, price information for the Futures Contracts and Financial Instruments held by the Trust will be available through major market data vendors and/or the exchange on which they are listed and traded, as applicable. As noted above, the Trust’s NAV and the NAV per Share will be calculated and disseminated daily.17 The Exchange will disseminate for the Trust on a daily basis by means of the Consolidated Tape Association (the ‘‘CTA’’) high-speed line information with respect to the most recent NAV per Share, and the number of Shares outstanding. The Exchange also will make available on its Web site 16 NYSE Arca Equities Rule 8.700(c)(2) provides that the term ‘‘Disclosed Portfolio’’ means ‘‘the identities and quantities of the securities and other assets held by the Trust that will form the basis for the Trust’s calculation of net asset value at the end of the business day’’. 17 The Exchange will obtain a representation from the Trust that the NAV and the NAV per Share will be calculated daily and that the NAV, the NAV per Share and the composition of the Disclosed Portfolio will be made available to all market participants at the same time. VerDate Sep<11>2014 18:33 Aug 15, 2017 Jkt 241001 daily trading volume, closing prices and the NAV per Share. Pricing for Futures Contracts will be available from Eurex and pricing for Financial Instruments will be available from major market data vendors. Price information for cash equivalents and Money Market Instruments will be available from major market data vendors. The IOPV will be widely disseminated by one or more major market data vendors at least every 15 seconds during the Exchange’s Core Trading Session (as defined in NYSE Arca Equities Rule 7.34).18 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 previous day’s closing price and trading volume information for the Shares will be published daily in the financial section of newspapers. Quotation and last sale information for the Shares will be available via the CTA high-speed line. The current trading price per Share will be published continuously as trades occur throughout each trading day through CTA, or through major market data vendors. Impact on Arbitrage Mechanism The Sponsor believes there will be minimal, if any, impact to the arbitrage mechanism as a result of the use of derivatives, including swaps. Market makers and participants should be able to value derivatives, including swaps, as long as the positions are disclosed with relevant information. The Sponsor believes that the price at which Shares trade will continue to be disciplined by arbitrage opportunities created by the ability to purchase or redeem Shares at their NAV, which should help ensure that Shares will not trade at a material discount or premium in relation to their NAV. The Sponsor does not believe there will be any significant impacts to the settlement or operational aspects of the Fund’s arbitrage mechanism due to the use of derivatives, including swaps. Criteria for Initial and Continued Listing The Trust will be subject to the criteria in NYSE Arca Equities Rule 8.700 for initial and continued listing of the Shares. The minimum number of Shares to be outstanding at the start of trading will be 100,000 Shares. The Exchange 18 Currently, it is the Exchange’s understanding that several major market data vendors widely disseminate IOPVs taken from the CTA high-speed line or other data feeds. PO 00000 Frm 00103 Fmt 4703 Sfmt 4703 38977 believes that this minimum number of Shares to be outstanding at the start of trading is sufficient to provide adequate market liquidity. The Exchange represents that, for the initial and continued listing of the Shares, the Trust must be in compliance with NYSE Arca Equities Rule 5.3 and Rule 10A–3 under the Exchange Act.19 Trading Rules Under NYSE Arca Equities Rule 8.700(b), Managed Trust Securities are included within the Exchange’s definition of ‘‘securities.’’ The Exchange deems the Shares to be equity securities, thus rendering trading in the Shares subject to the Exchange’s existing rules governing the trading of equity securities. Commentary .02 to NYSE Arca Equities Rule 8.700 provides that transactions in Managed Trust Securities will occur during the trading hours specified in NYSE Arca Equities Rule 7.34. Therefore, in accordance with NYSE Arca Equities Rule 7.34, the Shares will trade on the NYSE Arca Marketplace from 4:00 a.m. to 8:00 p.m. E.T. The Exchange has appropriate rules to facilitate transactions in the Shares during all trading sessions. As provided in NYSE Arca Equities Rule 7.6, the minimum price variation (‘‘MPV’’) for quoting and entry of orders in equity securities traded on the NYSE Arca Marketplace is $0.01, with the exception of securities that are priced less than $1.00 for which the MPV for order entry is $0.0001. Trading Halts With respect to trading halts, the Exchange may consider all relevant factors in exercising its discretion to halt or suspend trading in the Shares. Trading in the Shares will be halted if the circuit breaker parameters under NYSE Arca Equities Rule 7.12 are reached. Trading may also be halted because of market conditions or for reasons that, in the view of the Exchange, make trading in the Shares inadvisable. In addition, if the Exchange becomes aware that the NAV, the NAV per Share and/or the Disclosed Portfolio with respect to a series of Managed Trust Securities is not disseminated to all market participants at the same time, it will halt trading in such series until such time as the NAV, the NAV per Share and the Disclosed Portfolio is available to all market participants. Surveillance The Exchange represents that trading in the Shares will be subject to the 19 17 E:\FR\FM\16AUN1.SGM CFR 240.10A–3. 16AUN1 38978 Federal Register / Vol. 82, No. 157 / Wednesday, August 16, 2017 / Notices asabaliauskas on DSKBBXCHB2PROD with NOTICES 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.20 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 applicable federal securities laws. 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 Futures Contracts with other markets or other entities 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 Futures Contracts from such markets or entities. In addition, the Exchange may obtain information regarding trading in the Shares and Futures Contracts from markets or other entities that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement (‘‘CSSA’’).21 FINRA, on behalf of the Exchange, is able to access, as needed, trade information for certain Money Market Instruments held by the Fund reported to FINRA’s Trade Reporting and Compliance Engine (‘‘TRACE’’). In addition, 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 of the Fund or Benchmark, (b) limitations on portfolio of the Fund or Benchmark, or 20 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. 21 For a list of the current members of ISG, see www.isgportal.org. The Exchange notes that not all components of the Disclosed Portfolio for the Fund may trade on markets that are members of ISG or with which the Exchange has in place a CSSA. VerDate Sep<11>2014 18:33 Aug 15, 2017 Jkt 241001 (c) the applicability of Exchange listing rules specified in this rule filing 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 Fund 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 a Fund is not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under NYSE Arca Equities Rule 5.5(m). Information Bulletin Prior to the commencement of trading, the Exchange will inform its ETP Holders in an Information Bulletin (‘‘Bulletin’’) of the special characteristics and risks associated with trading the Shares. Specifically, the Bulletin will discuss the following: (1) The procedures for purchases and redemptions of Shares (and that Shares are not individually redeemable); (2) NYSE Arca Equities Rule 9.2(a), which imposes a duty of due diligence on its ETP Holders to learn the essential facts relating to every customer prior to trading the Shares; (3) the requirement that ETP Holders deliver a prospectus to investors purchasing newly issued Shares prior to or concurrently with the confirmation of a transaction; (4) how information regarding the IOPV and the Disclosed Portfolio is disseminated; (5) the risks involved in trading the Shares during the opening and late trading sessions when an updated IOPV will not be calculated or publicly disseminated; and (6) trading information. In addition, the Bulletin will reference that the Trust is subject to various fees and expenses described in the Registration Statement. The Bulletin also will reference the fact that there is no regulated source of last sale information regarding certain of the asset classes that the Trust may hold and that the Commission has no jurisdiction over the trading of the Futures Contracts. The Bulletin also will discuss any exemptive, no-action and interpretive relief granted by the Commission from any rules under the Exchange Act. The Bulletin also will disclose that the NAV and NAV per Share will be calculated after 4:00 p.m. E.T. each trading day. 2. Statutory Basis The basis under the Exchange Act for this proposed rule change is the PO 00000 Frm 00104 Fmt 4703 Sfmt 4703 requirement under Section 6(b)(5) 22 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 amendment to add Futures Contracts and/or swaps on VSTOXX to the financial instruments in which an issue of Managed Trust Securities may hold long and/or short positions will provide investors with the ability to better diversify and hedge their portfolios using an exchange traded security without having to trade directly in the underlying Futures Contracts, and will facilitate the listing and trading on the Exchange of additional Managed Trust Securities that will enhance competition among market participants, to the benefit of investors and the marketplace. The Exchange believes that the proposed rule change is designed to prevent fraudulent and manipulative acts and practices because the Shares will be listed and traded on the Exchange pursuant to the initial and continued listing criteria in NYSE Arca Equities Rule 8.700. The Exchange has in place surveillance procedures that are adequate to properly monitor trading in the Shares in all trading sessions and to deter and detect violations of Exchange rules and applicable federal securities laws. The Exchange may obtain information via the ISG from other exchanges that are members of the ISG or with which the Exchange has entered into a CSSA. The NAV of the Trust, the NAV per Share and the Disclosed Portfolio will be disseminated to all market participants at the same time. The Trust will provide Web site disclosure of portfolio holdings daily. The IOPV per Share (quoted in U.S. dollars) will be widely disseminated at least every 15 seconds during the Exchange’s Core Trading Session by major market data vendors. Pricing for Futures Contracts will be available from Eurex and pricing for forward contracts and swaps will be available from major market data vendors. Quotation and last-sale information regarding the Shares will be disseminated through the CTA high-speed line. The proposed rule change is designed to promote just and equitable principles of trade and to protect investors and the public interest given that a large amount of information will be publicly available regarding the Trust and the Shares, 22 15 E:\FR\FM\16AUN1.SGM U.S.C. 78f(b)(5). 16AUN1 Federal Register / Vol. 82, No. 157 / Wednesday, August 16, 2017 / Notices asabaliauskas on DSKBBXCHB2PROD with NOTICES thereby promoting market transparency. The Exchange may halt trading during the day in which an interruption to the dissemination of the IOPV occurs, or the value of the underlying Futures Contracts occurs. If the interruption to the dissemination of the IOPV or the value of the underlying Futures Contracts persists past the trading day in which it occurred, the Exchange will halt trading no later than the beginning of the trading day following the interruption. If the Exchange becomes aware that the NAV, the NAV per Share and the Disclosed Portfolio with respect to a series of Managed Trust Securities are not disseminated to all market participants at the same time, it will halt trading in such series until such time as the NAV, the NAV per Share and the Disclosed Portfolio are available to all market participants. Trading in Shares of the Trust will be halted if the circuit breaker parameters under NYSE Arca Equities Rule 7.12 have been reached or because of market conditions or for reasons that, in the view of the Exchange, make trading in the Shares inadvisable. Moreover, prior to the commencement of trading, the Exchange will inform its ETP Holders in the Bulletin of the special characteristics and risks associated with trading the Shares. 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 given that it will facilitate the listing and trading of an additional type of exchange-traded product that will principally hold futures contracts and 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 the ISG from other exchanges that are members of the ISG or with which the Exchange has entered into a CSSA. In addition, as noted above, investors will have ready access to information regarding the IOPV 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 purposes of the Exchange Act. The Exchange notes that the proposed rule change will facilitate the listing and trading of an additional type of activelymanaged exchange-traded product that will principally hold futures contracts, VerDate Sep<11>2014 18:33 Aug 15, 2017 Jkt 241001 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 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– NYSEArca–2017–85 on the subject line. Paper Comments • Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549–1090. All submissions should refer to File Number SR–NYSEArca–2017–85. 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 PO 00000 Frm 00105 Fmt 4703 Sfmt 4703 38979 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– NYSEArca–2017–85 and should be submitted on or before September 6, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.23 Robert W. Errett, Deputy Secretary. [FR Doc. 2017–17275 Filed 8–15–17; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–81374; File No. SR–Phlx– 2017–63] Self-Regulatory Organizations; NASDAQ PHLX LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend Chapter VI, Section A of Its Pricing Schedule Relating to the Exchange’s Monthly Permit Fees for PSX Only Members August 10, 2017. 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 July 31, 2017, NASDAQ PHLX LLC (‘‘Phlx’’ or ‘‘Exchange’’) filed with the Securities and Exchange Commission (‘‘SEC’’ or ‘‘Commission’’) the proposed rule change as described in Items I, II, 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. 23 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 1 15 E:\FR\FM\16AUN1.SGM 16AUN1

Agencies

SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 82, Number 157 (Wednesday, August 16, 2017)]
[Notices]
[Pages 38973-38979]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-17275]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-81373; File No. SR-NYSEArca-2017-85]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change To Amend NYSE Arca Equities Rule 8.700 To
Reference EURO STOXX 50 Volatility Index Futures and To List and Trade
Shares of the ProShares European Volatility Futures ETF

August 10, 2017.
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 July 28, 2017, NYSE Arca, Inc. (``Exchange'' or ``NYSE Arca'')
filed with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I and II below, which Items
have been prepared by the self-regulatory organization. The Commission
is publishing this notice to solicit comments on the proposed rule
change from interested persons.
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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 Arca Equities Rule 8.700 to add
EURO STOXX 50 Volatility Index (VSTOXX[supreg]) futures to the
financial instruments that an issue of Managed Trust Securities may
hold; and (2) to list and trade shares of the ProShares European
Volatility Futures ETF under proposed amended NYSE Arca Equities Rule
8.700. The proposed 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
NYSE Arca Equities Rule 8.700 permits the trading of Managed Trust
Securities either by listing or pursuant to unlisted trading privileges
(``UTP'').\3\

[[Page 38974]]

The Exchange proposes to amend NYSE Arca Equities Rule 8.700 to add
futures and swaps on the EURO STOXX 50 Volatility Index (VSTOXX) to the
financial instruments in which an issue of Managed Trust Securities may
hold long and/or short positions. (Futures on VSTOXX are referred to
herein as ``Futures Contracts.'') In addition, the Exchange proposes to
list and trade the shares (the ``Shares'') of the ProShares European
Volatility Futures ETF (the ``Fund'') under proposed amended NYSE Arca
Equities Rule 8.700.\4\
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\3\ Managed Trust Security means a security that is registered
under the Securities Act of 1933 (15 U.S.C. 77a), as amended (the
``Securities Act''), is issued by a trust that (1) is a commodity
pool as defined in the Commodity Exchange Act (7 U.S.C. 1) (the
``CEA''), and that is managed by a commodity pool operator
registered with the Commodity Futures Trading Commission (the
``CFTC''), and (2) holds long and/or short positions in exchange-
traded futures contracts and/or certain currency forward contracts
and/or swaps selected by the trust's advisor consistent with the
trust's investment objectives, which will only include, exchange-
traded futures contracts involving commodities, commodity indices,
currencies, currency indices, stock indices, fixed income indices,
interest rates and sovereign, private and mortgage or asset backed
debt instruments, and/or forward contracts on specified currencies,
and/or swaps on stock indices, fixed income indices, commodity
indices, commodities, currencies, currency indices, or interest
rates, each as disclosed in the trust's prospectus as such may be
amended from time to time, and cash and cash equivalents; and (ii)
is issued and redeemed continuously in specified aggregate amounts
at the next applicable net asset value. See NYSE Arca Equities Rule
8.700(c)(1).
\4\ On May 12, 2017, the Trust filed with the Commission a
registration statement on Form S-1 under the Securities Act of 1933
(15 U.S.C. 77a) (``Securities Act'') relating to the Fund (File No.
333-217962) (the ``Registration Statement''). The description of the
operation of the Trust and the Fund herein is based, in part, on the
Registration Statement.
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Proposed Amendments to NYSE Arca Equities Rule 8.700
The Exchange proposes to amend NYSE Arca Equities Rule 8.700(c)(1)
to add Futures Contracts and/or swaps on VSTOXX to the financial
instruments in which an issue of Managed Trust Securities may hold long
and/or short positions.
The VSTOXX is based on EURO STOXX 50 Index (``Index'') real-time
option prices that are listed on the Eurex Exchange (``Eurex'') and are
designed to reflect the market expectations of near-term up to long-
term volatility by measuring the square root of the implied variances
across all options of a given time to expiration.\5\ The Index includes
50 stocks that are among the largest free-float market capitalization
stocks from 11 Eurozone countries.\6\ Futures Contracts are cash
settled and trade between the hours of 7:30 a.m. and 10:30 p.m. Central
European Time (``CET'') (2:30 a.m. and 5:30 p.m. Eastern Time). The
Futures Contract value is 100 Euros per index point of the underlying
and it is traded to two decimal places with a minimum price change of
0.05 points (equivalent to a value of 5 Euros). The daily settlement
price is determined during the closing auction of the respective
Futures Contract. The last trading day and final settlement day is 30
calendar days prior to the third Friday of the expiration month of the
underlying options, which is usually the Wednesday prior to the second
to last Friday of the respective maturity month. Information regarding
the VSTOXX and the Futures Contracts can be found on the STOXX Limited
(``STOXX'') Web site and the Eurex Web site, respectively.\7\
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\5\ The VSTOXX is a non-investable index that seeks to measure
the volatility of the Index over a future time horizon as implied by
the price of option contracts on the Index available on the Eurex.
The VSTOXX does not measure the actual volatility of the Index.
\6\ These countries include Austria, Belgium, Finland, France,
Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and
Spain.
\7\ Eurex is a member of the ISG and, as such, the Exchange may
obtain information regarding trading in the Futures Contracts. For a
list of the current members and affiliate members of ISG, see
www.isgportal.com.
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STOXX computes the Index on a real-time basis throughout each
trading day, from 8:50 a.m. until 5:30 CET (3:50 a.m. until 12:30 p.m.
Eastern Time [sic]. VSTOXX levels will be calculated by STOXX and
disseminated by major market data vendors on a real-time basis
throughout each trading day.
The Exchange believes that the proposed amendment to add Futures
Contracts and/or swaps on VSTOXX to the financial instruments in which
an issue of Managed Trust Securities may hold long and/or short
positions will provide investors with the ability to better diversify
and hedge their portfolios using an exchange traded security without
having to trade directly in the underlying Futures Contracts, and will
facilitate the listing and trading on the Exchange of additional
Managed Trust Securities that will enhance competition among market
participants, to the benefit of investors and the marketplace.\8\
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\8\ The Exchange notes that the Commission has issued a notice
of effectiveness regarding amendments to NYSE Arca Equities Rule
5.2(j)(6)(v) to add futures on VSTOXX as a ``Futures Reference
Asset'' underlying an issue of ``Futures-Linked Securities''. See
Securities Exchange Act Release No. 79975 (February 6, 2017), 82 FR
10418 (February 10, 2017) (SR-NYSEArca-2017-08) (notice of filing
and immediate effectiveness to amend NYSE Arca Equities Rule
5.2(j)(6)(v) to add EURO STOXX 50 Volatility Futures to the
definition of Futures Reference Asset in Rule 5.2(j)(6)). See also,
Securities Exchange Act Release No. 79069 (October 7, 2016), 81 FR
70714 (October 13, 2016) (SR-BatsBZX-2016-26) (order approving
amendments to Bats BZX Exchange, Inc. Rule 14.11(d) to add EURO
STOXX 50 Volatility Futures to the definition of Futures Reference
Asset).
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ProShares European Volatility Futures ETF
The Exchange proposes to list and trade the Shares of the Fund
under proposed amended NYSE Arca Equities Rule 8.700. The Fund will be
a commodity pool that is a series of the ProShares Trust II
(``Trust''). The Fund's sponsor and commodity pool operator will be
ProShare Capital Management LLC (the ``Sponsor''). Brown Brothers
Harriman & Co. will be the Administrator, Custodian and Transfer Agent
of the Fund and its Shares. SEI Investments Distribution Co. (``SEI'')
will be the distributor for the Fund's Shares.\9\
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\9\ The Commission has previously approved the listing and
trading of other issues of Managed Trust Securities on the Exchange.
See Securities Exchange Act Release Nos. 60064 (June 8, 2009), 74 FR
28315 (June 15, 2009) (SR-NYSEArca-2009-30) (order approving the
adoption of listing standards for Managed Trust Securities and the
listing and trading of shares of the iShares[supreg] Diversified
Alternatives Trust); 80254 (March 15, 2017), 82 FR 14548 (March 21,
2017) (SR-NYSEArca-2016-96) (order approving proposed rule change to
amend NYSE Arca Equities Rule 8.700 and to list and trade shares of
the Managed Emerging Markets Trust).
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The Sponsor is registered as a commodity pool operator and is
affiliated with a FINRA-registered broker-dealer through common
ownership. As part of the enterprise-wide compliance program, the
Sponsor has implemented a ``fire wall'' regarding access to information
concerning the composition and/or changes to the Fund's portfolio. The
Sponsor's Code of Ethics and internal controls are designed to prevent
and detect such exchange of information.
In the event (a) the Sponsor becomes newly affiliated with a
broker-dealer, or (b) any new sponsor becomes affiliated with a broker-
dealer, such broker-dealer shall erect and maintain a ``fire wall''
around the personnel of the sponsor who have access to information
concerning changes and adjustments to the Disclosed Portfolio (as
defined in NYSE Arca Equities Rule 8.700(c)(2)). Personnel of the
sponsor who make decisions regarding the composition of the Disclosed
Portfolio must be subject to procedures designed to prevent the use and
dissemination of material nonpublic information regarding the Disclosed
Portfolio.
Operation of the Trust
According to the Registration Statement, the Fund's primary
investment objective will be to provide long exposure to lead month
Futures Contracts. The Futures Contracts are widely regarded as a
general measure of the forward implied volatility of certain

[[Page 38975]]

blue-chip European companies.\10\ The Fund will use these Futures
Contracts as a performance benchmark (``Benchmark''). The Fund will be
actively managed and will have a secondary investment objective to
outperform its Benchmark by actively managing the ``rolling'' of these
Futures Contracts.\11\
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\10\ The Futures Contracts offer traders the ability to take a
view on European implied volatility changes, trade the spread
between different volatility indexes or hedge the volatility
exposure of portfolios. The Futures Contracts are denominated in
Euros and are traded on the Eurex under the ticker symbol ``FVS''.
The performance of the Futures Contracts is tied to the performance
of the VSTOXX. Both the Futures Contracts and the VSTOXX are
negatively correlated to the Index. Investors that believe the
forward implied market volatility of the Index will increase may buy
the Futures Contracts. Conversely, investors that believe that the
forward implied market volatility of the Index will decline may sell
the Futures Contracts. The Futures Contracts are available with
respect to the eight nearest successive calendar months. The market
value of the Futures Contracts is available on the Eurex.
\11\ According to the Registration Statement, to ``roll'' a
Futures Contract means to sell a Futures Contract as it nears its
expiration date and to replace it with a new contract that has a
later expiration date. When rolling Futures Contracts, the Fund
generally will select between Futures Contracts with the three
nearest expiration dates (known as the front, second and third month
contracts) based on an analysis of the cost of establishing and
maintaining such positions. Futures Contracts with a longer term to
expiration may be priced higher than Futures Contracts with a
shorter term to expiration, a relationship called ``contango''. When
rolling Futures Contracts that are in contango, the Fund may sell
the expiring Futures Contract at a lower price and buy a longer-
dated Futures Contract at a higher price, resulting in a negative
roll yield. During contango environments, the Fund's active
investment strategy will attempt to select among the front, second,
and third month Futures Contracts in a manner that mitigates
negative roll yield and potentially increases returns as compared to
a strategy that uses a formulaic roll, always rolling to the Futures
Contract with the nearest expiration. Conversely, Futures Contracts
with a longer term to expiration may be priced lower than Futures
Contracts with a shorter term to expiration, a relationship called
``backwardation''. When rolling Futures Contracts that are in
backwardation, the Fund may sell the expiring Futures Contract at a
higher price and buy the longer-dated Futures Contract at a lower
price, resulting in a positive roll yield. During backwardation
environments, the Fund's active strategy will attempt to select
among the front, second, and third month Futures Contracts in a
manner that maximizes positive roll yield and potentially increases
returns.
---------------------------------------------------------------------------

According to the Registration Statement, by being long Futures
Contracts, the Fund will seek to benefit from increases in the price of
the Futures Contracts. When the price of Futures Contracts held by the
Fund declines the Fund will lose value. The performance of the Futures
Contracts is related to the performance of the VSTOXX. The Fund will
not seek to track or outperform either the VSTOXX or the Index and the
performance of the Fund will be very different from the performance of
either the VSTOXX Index or the Index.
According to the Registration Statement, in seeking to achieve the
Fund's investment objectives, the Sponsor will use a mathematical
approach to investing. Using this approach, the Sponsor will determine
the type, quantity and mix of investment positions that the Sponsor
believes, in combination, should produce daily returns consistent with
the Fund's objectives. The Sponsor will rely upon a pre-determined
model to generate orders that result in repositioning the Fund's
investments in accordance with its investment objective.
Under normal market conditions,\12\ the Fund generally will seek to
remain fully invested at all times in the Futures Contracts in a manner
consistent with its investment objectives without regard to market
conditions, trends or direction.
---------------------------------------------------------------------------

\12\ The term ``normal market conditions'' is defined in NYSE
Arca Equities Rule 8.600(c)(5).
---------------------------------------------------------------------------

The Fund will invest the remainder of its un-invested assets in
high-quality, short-term debt instruments that have terms-to-maturity
of less than 397 days, such as U.S. government securities and
repurchase agreements (``Money Market Instruments'').
Under limited circumstances, the Fund also may invest in swap
contracts and forward contracts that reference its Benchmark
(``Financial Instruments''). In the event position price or
accountability limits are reached with respect to Futures Contracts,
the Sponsor may, in its commercially reasonable judgment, cause the
Fund to obtain exposure to the Futures Contracts through swaps
referencing the Futures Contracts.\13\ The Fund may also invest in
swaps if the market for a specific Futures Contract experiences
emergencies (e.g., natural disaster, terrorist attack or an act of God)
or disruptions (e.g., a trading halt or a flash crash) which, in the
Sponsor's commercially reasonable judgment, prevent, or otherwise make
it impractical, for the Fund to obtain the appropriate amount of
investment exposure to the affected Futures Contracts.
---------------------------------------------------------------------------

\13\ The Fund intends to enter into swap agreements only with
major, global financial institutions; however, there are no
limitations on the percentage of its assets the Fund may invest in
swap agreements with a particular counterparty. The Fund may use
various techniques to minimize credit risk. The Fund will seek to
mitigate risks in connection with the uncleared OTC swaps by
generally requiring that the counterparties for the Fund agree to
post collateral for the benefit of the Fund, marked to market daily,
subject to certain minimum thresholds.
---------------------------------------------------------------------------

The Fund will also hold cash or cash equivalents, such as U.S.
Treasury securities or other high credit quality, short-term fixed-
income or similar securities (such as shares of money market funds and
collateralized repurchase agreements), for direct investment or as
collateral for Futures Contracts and Financial Instruments and pending
investment in Futures Contracts and Financial Instruments. The Fund may
invest up to 100% of its assets in any of these types of cash or cash
equivalent securities.
Subject to the Sponsor's rolling methodology used for the Fund, the
Sponsor will not invest the assets of the Fund based on its view of the
investment merit of a particular investment, other than for cash
management purposes, nor does it conduct conventional volatility
research or analysis, or forecast market movement or trends, in
managing the assets of the Fund. The Fund will seek to remain fully
invested at all times in Futures Contracts, Financial Instruments and
Money Market Instruments that, in combination, provide exposure to the
Futures Contracts consistent with its investment objective without
regard to market conditions, trends or direction.
Creation and Redemption Transactions
According to the Registration Statement, an ``Authorized
Participant'' may purchase (i.e., create) or redeem ``Creation Units''
in the Fund. A Creation Unit is a block of 50,000 Shares of a Fund. The
size of a Creation Unit is subject to change. A creation transaction
generally will take place when an Authorized Participant deposits a
specified amount of cash in exchange for a specified number of Creation
Units. Similarly, Shares can be redeemed only in Creation Units,
generally for cash.\14\ Purchase orders

[[Page 38976]]

will be irrevocable. Except when aggregated in Creation Units, Shares
will not be redeemable. The prices at which creations and redemptions
occur will be based on the next calculation of the NAV after an order
is received in proper form.
---------------------------------------------------------------------------

\14\ According to the Registration Statement, Creation Units of
the Fund are expected to be created when there is sufficient demand
for Shares of the Fund that the market price per Share is at a
premium to the net asset value (``NAV'') per Share. Authorized
Participants will likely sell the Shares to the public at prices
that are expected to reflect, among other factors, the trading price
of the Shares and the supply of and demand for the Shares at the
time of sale and are expected to fall between the NAV and the
trading price of the Shares at the time of sale. Similarly, it is
expected that Creation Units of the Fund will be redeemed when the
market price per Share of the Fund is at a discount to the NAV per
Share. The Sponsor expects that the exploitation of such arbitrage
opportunities by Authorized Participants and their clients and
customers will tend to cause the public trading price of the Shares
to track the NAV per Share of the Fund closely over time. Retail
investors seeking to purchase or sell Shares on any day are expected
to effect such transactions in the secondary market at the market
price per Share, rather than in connection with the creation or
redemption of Creation Units.
---------------------------------------------------------------------------

Creation and redemption transactions must be placed each day with
SEI by the create/redeem cut-off time (i.e., 3:00 Central Europe Time
(9:00 a.m. Eastern Time most of the year)), or earlier if the Exchange
or other exchange material to the valuation or operation of the Fund
closes before the cut-off time, to receive that day's NAV. The total
payment required to create each Creation Unit is the NAV of 50,000
Shares on the purchase order date plus the applicable transaction fee.
If permitted by the Sponsor in its sole discretion with respect to
the Fund, an Authorized Participant may also agree to enter into or
arrange for an exchange of a futures contract for related position
(``EFCRP'') or block trade with the Fund whereby the Authorized
Participant would also transfer to the Fund Futures Contracts at or
near the closing settlement price for such contracts on the purchase
order date.
Redemption Procedures
According to the Registration Statement, the procedures by which an
Authorized Participant can redeem one or more Creation Units will
mirror the procedures for the creation of Creation Units. On any
``Business Day'',\15\ an Authorized Participant may place an order with
the Distributor to redeem one or more Creation Units. If a redemption
order is received prior to the applicable cut-off time, or earlier if
the Exchange or other exchange material to the valuation or operation
of the Fund closes before the cut-off time, the day on which SEI
receives a valid redemption order is the redemption order date. If the
redemption order is received after the applicable cut-off time, the
redemption order date will be the next day. Redemption orders will be
irrevocable.
---------------------------------------------------------------------------

\15\ A Business Day is any day on which the NAV of the Fund is
determined.
---------------------------------------------------------------------------

Upon request of an Authorized Participant made at the time of a
redemption order, the Sponsor at its sole discretion may determine, in
addition to delivering redemption proceeds, to transfer Futures
Contracts to the Authorized Participant pursuant to an EFCRP or to a
block trade sale of Futures Contracts to the Authorized Participant.
The redemption proceeds from the Fund will consist of the cash
redemption amount and, if permitted by the Sponsor in its sole
discretion with respect to the Fund, an EFCRP or block trade with the
Fund as described in ``--Creation and Redemption Transactions'' above.
The cash redemption amount will be equal to the NAV of the number of
Creation Unit(s) of the Fund requested in the Authorized Participant's
redemption order as of the time of the calculation of the Fund's NAV on
the redemption order date, less transaction fees and any amounts
attributable to any applicable EFCRP or block trade.
Net Asset Value
According to the Registration Statement, the NAV in respect of the
Fund means the total assets of the Fund including, but not limited to,
all cash and cash equivalents or other debt securities less total
liabilities of the Fund, consistently applied under the accrual method
of accounting. In particular, the NAV will include any unrealized
profit or loss on open Futures Contracts and Financial Instruments, and
any other credit or debit accruing to the Fund but unpaid or not
received by the Fund. The NAV per Share of the Fund will be computed by
dividing the value of the net assets of the Fund (i.e., the value of
its total assets less total liabilities) by its total number of Shares
outstanding. Expenses and fees will be accrued daily and taken into
account for purposes of determining the NAV. The Fund will compute its
NAV at the time set forth below, or an earlier time as set forth on
www.ProShares.com, if necessitated by the Exchange or other exchange
material to the valuation or operation of the Fund closing early. The
Fund's NAV is calculated only once each trading day. The NAV
calculation time for the Fund will typically be 5:30 Central Europe
Time (11:30 a.m. Eastern Time most of the year).
In calculating the NAV of the Fund, the settlement value of the
Fund's non-exchange-traded Financial Instruments will be determined by
applying the then-current disseminated levels for the Futures Contracts
to the terms of the Fund's non-exchange-traded Financial Instruments.
However, in the event that underlying Futures Contracts are not trading
due to the operation of daily limits or otherwise, the Sponsor may, in
its sole discretion, choose to fair value the Futures Contracts in
order to value the Fund's non-exchange-traded Financial Instruments for
purposes of the NAV calculation. Such fair value prices would generally
be determined based on available inputs about the current value of the
Futures Contracts and would be based on principles that the Sponsor
deems fair and equitable so long as such principles are consistent with
normal industry standards.
Futures Contracts will be calculated at their then current market
value, which is based upon the settlement price (for the Fund) or the
last traded price before the NAV time, for that particular Futures
Contract traded on the applicable exchange on the date with respect to
which the NAV is being determined. If a Futures Contract could not be
liquidated on such day, due to the operation of daily limits or other
rules of the exchange upon which that position is traded or otherwise,
the Sponsor may, in its sole discretion, choose to determine a fair
value price as the basis for determining the market value of such
position for such day. Such fair value prices would generally be
determined based on available inputs about the current value of the
Futures Contracts and would be based on principles that the Sponsor
deems fair and equitable so long as such principles are consistent with
normal industry standards.
Short-term debt instruments will be priced at amortized cost.
Indicative Optimized Portfolio Value (``IOPV'')
The IOPV is an indicator of the value of the Fund's net assets at
the time the IOPV is disseminated. The IOPV will be calculated and
disseminated every 15 seconds throughout the trading day. The IOPV will
generally be calculated using the prior day's closing net assets of the
Fund as a base and updating throughout the trading day changes in the
value of the Futures Contracts and Financial Instruments held by the
Fund. The IOPV should not be viewed as an actual real time update of
the NAV because NAV is calculated only once at the end of each trading
day. The IOPV also should not be viewed as a precise value of the
Shares.
The Exchange will disseminate the IOPV. In addition, the IOPV will
be published on the Exchange's Web site and is available through on-
line information services such as Bloomberg Finance L.P. and/or
Reuters.
Availability of Information
The Trust's Web site, which will be publicly accessible at no
charge, will contain the following information: (a) The daily NAV of
the Trust, the daily NAV per Share, the prior Business Day's NAV per
Share, the reported daily

[[Page 38977]]

closing price and the reported daily trading volume; (b) the daily
composition of the Disclosed Portfolio, as defined in NYSE Arca
Equities Rule 8.700(c)(2);\16\ (c) the midpoint of the bid-ask price as
of the time the NAV per Share is calculated (the ``Bid-Ask Price'');
(d) the calculation of the premium or discount of such price against
such NAV per Share; (e) data in chart form displaying the frequency
distribution of discounts or premiums of the bid-ask price against the
NAV per Share, within appropriate ranges for each of the four (4)
previous calendar quarters; and (f) the current prospectus of the
Trust, included in the Registration Statement.
---------------------------------------------------------------------------

\16\ NYSE Arca Equities Rule 8.700(c)(2) provides that the term
``Disclosed Portfolio'' means ``the identities and quantities of the
securities and other assets held by the Trust that will form the
basis for the Trust's calculation of net asset value at the end of
the business day''.
---------------------------------------------------------------------------

On a daily basis, the Trust will disclose on its Web site
(www.Proshares.com) for the Futures Contracts and Financial Instruments
in the Disclosed Portfolio the following information: Name; ticker
symbol (if applicable); CUSIP or other identifier (if applicable);
description of the holding; with respect to derivatives, the identity
of the security, commodity, index or other underlying asset; the
quantity or aggregate amount of the holding as measured by par value,
notional value or amount, number of contracts or number of units (if
applicable); maturity date; coupon rate (if applicable); effective date
or issue date (if applicable); market value; percentage weighting in
the Disclosed Portfolio; and expiration date (if applicable). The Web
site information will be publicly available at no charge. In addition,
price information for the Futures Contracts and Financial Instruments
held by the Trust will be available through major market data vendors
and/or the exchange on which they are listed and traded, as applicable.
As noted above, the Trust's NAV and the NAV per Share will be
calculated and disseminated daily.\17\ The Exchange will disseminate
for the Trust on a daily basis by means of the Consolidated Tape
Association (the ``CTA'') high-speed line information with respect to
the most recent NAV per Share, and the number of Shares outstanding.
The Exchange also will make available on its Web site daily trading
volume, closing prices and the NAV per Share.
---------------------------------------------------------------------------

\17\ The Exchange will obtain a representation from the Trust
that the NAV and the NAV per Share will be calculated daily and that
the NAV, the NAV per Share and the composition of the Disclosed
Portfolio will be made available to all market participants at the
same time.
---------------------------------------------------------------------------

Pricing for Futures Contracts will be available from Eurex and
pricing for Financial Instruments will be available from major market
data vendors. Price information for cash equivalents and Money Market
Instruments will be available from major market data vendors.
The IOPV will be widely disseminated by one or more major market
data vendors at least every 15 seconds during the Exchange's Core
Trading Session (as defined in NYSE Arca Equities Rule 7.34).\18\
---------------------------------------------------------------------------

\18\ Currently, it is the Exchange's understanding that several
major market data vendors widely disseminate IOPVs taken from the
CTA high-speed line or other data feeds.
---------------------------------------------------------------------------

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
previous day's closing price and trading volume information for the
Shares will be published daily in the financial section of newspapers.
Quotation and last sale information for the Shares will be available
via the CTA high-speed line.
The current trading price per Share will be published continuously
as trades occur throughout each trading day through CTA, or through
major market data vendors.
Impact on Arbitrage Mechanism
The Sponsor believes there will be minimal, if any, impact to the
arbitrage mechanism as a result of the use of derivatives, including
swaps. Market makers and participants should be able to value
derivatives, including swaps, as long as the positions are disclosed
with relevant information. The Sponsor believes that the price at which
Shares trade will continue to be disciplined by arbitrage opportunities
created by the ability to purchase or redeem Shares at their NAV, which
should help ensure that Shares will not trade at a material discount or
premium in relation to their NAV.
The Sponsor does not believe there will be any significant impacts
to the settlement or operational aspects of the Fund's arbitrage
mechanism due to the use of derivatives, including swaps.
Criteria for Initial and Continued Listing
The Trust will be subject to the criteria in NYSE Arca Equities
Rule 8.700 for initial and continued listing of the Shares.
The minimum number of Shares to be outstanding at the start of
trading will be 100,000 Shares. The Exchange believes that this minimum
number of Shares to be outstanding at the start of trading is
sufficient to provide adequate market liquidity. The Exchange
represents that, for the initial and continued listing of the Shares,
the Trust must be in compliance with NYSE Arca Equities Rule 5.3 and
Rule 10A-3 under the Exchange Act.\19\
---------------------------------------------------------------------------

\19\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

Trading Rules
Under NYSE Arca Equities Rule 8.700(b), Managed Trust Securities
are included within the Exchange's definition of ``securities.'' The
Exchange deems the Shares to be equity securities, thus rendering
trading in the Shares subject to the Exchange's existing rules
governing the trading of equity securities. Commentary .02 to NYSE Arca
Equities Rule 8.700 provides that transactions in Managed Trust
Securities will occur during the trading hours specified in NYSE Arca
Equities Rule 7.34. Therefore, in accordance with NYSE Arca Equities
Rule 7.34, the Shares will trade on the NYSE Arca Marketplace from 4:00
a.m. to 8:00 p.m. E.T. The Exchange has appropriate rules to facilitate
transactions in the Shares during all trading sessions. As provided in
NYSE Arca Equities Rule 7.6, the minimum price variation (``MPV'') for
quoting and entry of orders in equity securities traded on the NYSE
Arca Marketplace is $0.01, with the exception of securities that are
priced less than $1.00 for which the MPV for order entry is $0.0001.
Trading Halts
With respect to trading halts, the Exchange may consider all
relevant factors in exercising its discretion to halt or suspend
trading in the Shares. Trading in the Shares will be halted if the
circuit breaker parameters under NYSE Arca Equities Rule 7.12 are
reached. Trading may also be halted because of market conditions or for
reasons that, in the view of the Exchange, make trading in the Shares
inadvisable.
In addition, if the Exchange becomes aware that the NAV, the NAV
per Share and/or the Disclosed Portfolio with respect to a series of
Managed Trust Securities is not disseminated to all market participants
at the same time, it will halt trading in such series until such time
as the NAV, the NAV per Share and the Disclosed Portfolio is available
to all market participants.
Surveillance
The Exchange represents that trading in the Shares will be subject
to the

[[Page 38978]]

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.\20\ 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 applicable federal securities laws.
---------------------------------------------------------------------------

\20\ 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 Futures
Contracts with other markets or other entities 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 Futures
Contracts from such markets or entities. In addition, the Exchange may
obtain information regarding trading in the Shares and Futures
Contracts from markets or other entities that are members of ISG or
with which the Exchange has in place a comprehensive surveillance
sharing agreement (``CSSA'').\21\ FINRA, on behalf of the Exchange, is
able to access, as needed, trade information for certain Money Market
Instruments held by the Fund reported to FINRA's Trade Reporting and
Compliance Engine (``TRACE'').
---------------------------------------------------------------------------

\21\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of the
Disclosed Portfolio for the Fund may trade on markets that are
members of ISG or with which the Exchange has in place a CSSA.
---------------------------------------------------------------------------

In addition, 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 of the Fund or Benchmark, (b)
limitations on portfolio of the Fund or Benchmark, or (c) the
applicability of Exchange listing rules specified in this rule filing
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 Fund 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 a Fund is not in compliance with the
applicable listing requirements, the Exchange will commence delisting
procedures under NYSE Arca Equities Rule 5.5(m).
Information Bulletin
Prior to the commencement of trading, the Exchange will inform its
ETP Holders in an Information Bulletin (``Bulletin'') of the special
characteristics and risks associated with trading the Shares.
Specifically, the Bulletin will discuss the following: (1) The
procedures for purchases and redemptions of Shares (and that Shares are
not individually redeemable); (2) NYSE Arca Equities Rule 9.2(a), which
imposes a duty of due diligence on its ETP Holders to learn the
essential facts relating to every customer prior to trading the Shares;
(3) the requirement that ETP Holders deliver a prospectus to investors
purchasing newly issued Shares prior to or concurrently with the
confirmation of a transaction; (4) how information regarding the IOPV
and the Disclosed Portfolio is disseminated; (5) the risks involved in
trading the Shares during the opening and late trading sessions when an
updated IOPV will not be calculated or publicly disseminated; and (6)
trading information.
In addition, the Bulletin will reference that the Trust is subject
to various fees and expenses described in the Registration Statement.
The Bulletin also will reference the fact that there is no
regulated source of last sale information regarding certain of the
asset classes that the Trust may hold and that the Commission has no
jurisdiction over the trading of the Futures Contracts.
The Bulletin also will discuss any exemptive, no-action and
interpretive relief granted by the Commission from any rules under the
Exchange Act.
The Bulletin also will disclose that the NAV and NAV per Share will
be calculated after 4:00 p.m. E.T. each trading day.
2. Statutory Basis
The basis under the Exchange Act for this proposed rule change is
the requirement under Section 6(b)(5) \22\ 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.
---------------------------------------------------------------------------

\22\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

The Exchange believes that the proposed amendment to add Futures
Contracts and/or swaps on VSTOXX to the financial instruments in which
an issue of Managed Trust Securities may hold long and/or short
positions will provide investors with the ability to better diversify
and hedge their portfolios using an exchange traded security without
having to trade directly in the underlying Futures Contracts, and will
facilitate the listing and trading on the Exchange of additional
Managed Trust Securities that will enhance competition among market
participants, to the benefit of investors and the marketplace.
The Exchange believes that the proposed rule change is designed to
prevent fraudulent and manipulative acts and practices because the
Shares will be listed and traded on the Exchange pursuant to the
initial and continued listing criteria in NYSE Arca Equities Rule
8.700. The Exchange has in place surveillance procedures that are
adequate to properly monitor trading in the Shares in all trading
sessions and to deter and detect violations of Exchange rules and
applicable federal securities laws. The Exchange may obtain information
via the ISG from other exchanges that are members of the ISG or with
which the Exchange has entered into a CSSA. The NAV of the Trust, the
NAV per Share and the Disclosed Portfolio will be disseminated to all
market participants at the same time. The Trust will provide Web site
disclosure of portfolio holdings daily. The IOPV per Share (quoted in
U.S. dollars) will be widely disseminated at least every 15 seconds
during the Exchange's Core Trading Session by major market data
vendors. Pricing for Futures Contracts will be available from Eurex and
pricing for forward contracts and swaps will be available from major
market data vendors. Quotation and last-sale information regarding the
Shares will be disseminated through the CTA high-speed line.
The proposed rule change is designed to promote just and equitable
principles of trade and to protect investors and the public interest
given that a large amount of information will be publicly available
regarding the Trust and the Shares,

[[Page 38979]]

thereby promoting market transparency. The Exchange may halt trading
during the day in which an interruption to the dissemination of the
IOPV occurs, or the value of the underlying Futures Contracts occurs.
If the interruption to the dissemination of the IOPV or the value of
the underlying Futures Contracts persists past the trading day in which
it occurred, the Exchange will halt trading no later than the beginning
of the trading day following the interruption. If the Exchange becomes
aware that the NAV, the NAV per Share and the Disclosed Portfolio with
respect to a series of Managed Trust Securities are not disseminated to
all market participants at the same time, it will halt trading in such
series until such time as the NAV, the NAV per Share and the Disclosed
Portfolio are available to all market participants. Trading in Shares
of the Trust will be halted if the circuit breaker parameters under
NYSE Arca Equities Rule 7.12 have been reached or because of market
conditions or for reasons that, in the view of the Exchange, make
trading in the Shares inadvisable. Moreover, prior to the commencement
of trading, the Exchange will inform its ETP Holders in the Bulletin of
the special characteristics and risks associated with trading the
Shares.
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 given that it will facilitate the listing and trading
of an additional type of exchange-traded product that will principally
hold futures contracts and 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 the ISG from other
exchanges that are members of the ISG or with which the Exchange has
entered into a CSSA. In addition, as noted above, investors will have
ready access to information regarding the IOPV 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 purposes of the Exchange Act. The Exchange notes
that the proposed rule change will facilitate the listing and trading
of an additional type of actively-managed exchange-traded product that
will principally hold futures contracts, 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 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-NYSEArca-2017-85 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEArca-2017-85. 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 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-NYSEArca-2017-85 and should
be submitted on or before September 6, 2017.
---------------------------------------------------------------------------

\23\ 17 CFR 200.30-3(a)(12).

For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\23\
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2017-17275 Filed 8-15-17; 8:45 am]
BILLING CODE 8011-01-P

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