Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change Relating to Listing and Trading of Shares of Breakwave Dry Bulk Shipping ETF Under NYSE Arca Rule 8.200-E, Commentary .02, 45342-45349 [2017-20751]

Download as PDF 45342 Federal Register / Vol. 82, No. 187 / Thursday, September 28, 2017 / Notices For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.29 Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017–20750 Filed 9–27–17; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–81681; File No. SR– NYSEArca–2017–107] Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change Relating to Listing and Trading of Shares of Breakwave Dry Bulk Shipping ETF Under NYSE Arca Rule 8.200–E, Commentary .02 September 22, 2017. Pursuant to Section 19(b)(1) 1 of the Securities Exchange Act of 1934 (the ‘‘Act’’) 2 and Rule 19b–4 thereunder,3 notice is hereby given that, on September 8, 2017, NYSE Arca, Inc. (the ‘‘Exchange’’ or ‘‘NYSE Arca’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I and II below, which Items have been substantially prepared by the selfregulatory organization. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to list and trade the shares of Breakwave Dry Bulk Shipping ETF under NYSE Arca Rule 8.200–E, Commentary .02 (‘‘Trust Issued Receipts’’). 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, 29 17 CFR 200.30–3(a)(12). U.S.C.78s(b)(1). 2 15 U.S.C. 78a. 3 17 CFR 240.19b–4. 1 15 VerDate Sep<11>2014 18:44 Sep 27, 2017 Jkt 241001 set forth in sections A, B, and C below, of the most significant parts of such statements. by the London-based Baltic Exchange Ltd 6 and measures the charter rate for shipping dry bulk freight in a specific size category of cargo ship—Capesize, A. Self-Regulatory Organization’s Panamax or Supramax. The three Statement of the Purpose of, and the Reference Indexes are as follows: Statutory Basis for, the Proposed Rule Capesize: the Capesize 5TC Index; Change Panamax: the Panamax 4TC Index; and 1. Purpose Supramax: the Supramax 6TC Index.7 The Fund will seek to achieve its The Exchange proposes to list and investment objective by investing trade shares (‘‘Shares’’) of the following substantially all of its assets in the under NYSE Arca Rule 8.200–E, Freight Futures currently constituting Commentary .02, which governs the the Benchmark Portfolio. The listing and trading of Trust Issued Receipts: Breakwave Dry Bulk Shipping Benchmark Portfolio will include all existing positions to maturity and settle ETF (the ‘‘Fund’’).4 them in cash. During any given calendar The Fund will be a series of ETF Managers Group Commodity Trust I (the quarter, the Benchmark Portfolio will ‘‘Trust).5 The Fund and the Trust will be progressively increase its position to the next calendar quarter three-month strip, managed and controlled by their thus maintaining constant exposure to sponsor and investment manager, ETF the Freight Futures market as positions Managers Capital LLC (the ‘‘Sponsor’’). mature. The Sponsor is registered with the The Benchmark Portfolio will Commodity Futures Trading maintain long-only positions in Freight Commission (‘‘CFTC’’) as a commodity Futures. The Benchmark Portfolio will pool operator (‘‘CPO’’) and is a member hold a combination of Capesize, of the National Futures Association Panamax and Supramax Freight (‘‘NFA’’). Breakwave Advisors LLC Futures. More specifically, the (‘‘Breakwave’’) is registered as a Benchmark Portfolio will hold 50% commodity trading advisor with the exposure in Capesize Freight Futures CFTC and will serve as the Fund’s contracts, 40% exposure in Panamax commodity trading advisor. ETFMG Freight Futures contracts and 10% Financial LLC will be the Fund’s distributor (‘‘Distributor’’ or ‘‘Marketing exposure in Supramax Freight Futures Agent’’). US Bancorp Fund Services LLC contracts. The Benchmark Portfolio will will be the Fund’s ‘‘Administrator’’ and not include and the Fund will not invest in swaps, non-cleared dry bulk freight ‘‘Transfer Agent’’. forwards or other over-the-counter The Fund’s Investment Objective and 6 The Baltic Exchange, which is a wholly owned Strategy subsidiary of the Singapore Exchange Ltd (‘‘SGX’’), According to the Registration is a membership and an independent source of Statement, the Fund’s investment maritime market information for the trading and settlement of physical and derivative shipping objective will be to provide investors with exposure to the daily change in the contracts. According to the Baltic Exchange, this information is used by shipbrokers, owners and price of dry bulk freight futures, before operators, traders, financiers and charterers as a expenses and liabilities of the Fund, by reliable and independent view of the dry and tanker markets. tracking the performance of a portfolio 7 The Reference Indexes are published by the (the ‘‘Benchmark Portfolio’’) consisting Baltic Exchange’s subsidiary company, Baltic of a three-month strip of the nearest Exchange Information Services Ltd (‘‘Baltic’’), calendar quarter of futures contracts on which publishes a wide range of market reports, specified indexes (each a ‘‘Reference fixture lists and market rate indicators on a daily and (in some cases) weekly basis. The Baltic Index’’) that measure rates for shipping indices, which include the Reference Indexes, are dry bulk freight (‘‘Freight Futures’’). an assessment of the price of moving the major raw Each Reference Index is published daily materials by sea. The indices are based on 4 Commentary .02 to NYSE Arca Rule 8.200–E applies to Trust Issued Receipts that invest in ‘‘Financial Instruments.’’ The term ‘‘Financial Instruments,’’ as defined in Commentary .02(b)(4) to NYSE Arca Rule 8.200–E, means any combination of investments, including cash; securities; options on securities and indices; futures contracts; options on futures contracts; forward contracts; equity caps, collars, and floors; and swap agreements. 5 On June 2, 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. 333–218453) (the ‘‘Registration Statement’’). The description of the operation of the Trust and the Fund herein is based, in part, on the Registration Statement. PO 00000 Frm 00087 Fmt 4703 Sfmt 4703 assessments of the cost of transporting various bulk cargoes, both wet (e.g., crude oil and oil products) and dry (e.g., coal and iron ore), made by leading shipbroking houses located around the world on a per tonne and daily hire basis. The information is collated and published by the Baltic Exchange. Procedures relating to administration of the Baltic indices are set forth in ‘‘The Baltic Exchange, Guide to Market Benchmarks’’ November 2016 (the ‘‘Guide’’), including production methods, calculation, confidentiality and transparency, duties of panelists, code of conduct, audits and quality control. According to the Guide, these procedures are in compliance with the ‘‘Principles for Financial Benchmarks’’ issued by the International Organization of Securities Commissioners (‘‘IOSCO’’). The Guide is available at www.balticexchange.com. E:\FR\FM\28SEN1.SGM 28SEN1 Federal Register / Vol. 82, No. 187 / Thursday, September 28, 2017 / Notices derivative instruments that are not cleared through exchanges or clearing houses. The Fund may hold exchangetraded options on Freight Futures. The Benchmark Portfolio is maintained by Breakwave and will be rebalanced annually. When establishing positions in Freight Futures, the Fund will be required to deposit initial margin with a value of approximately 10% to 40% of the notional value of each Freight Futures position at the time it is established. These margin requirements are established and subject to change from time to time by the relevant exchanges, clearing houses or the Fund’s futures commission merchant (‘‘FCM’’). On a daily basis, the Fund will be obligated to pay, or entitled to receive, variation margin in an amount equal to the change in the daily settlement level of its Freight Futures positions. Any assets not required to be posted as margin with the FCM will be held at the Fund’s custodian in cash or cash equivalents.8 The Fund will seek to achieve its objective by purchasing Freight Futures that are cleared through major exchanges (see description of Freight Futures below). The Fund will place purchase orders for Freight Futures with an execution broker. The broker will identify a selling counterparty and, simultaneously with the completion of the transaction, will submit the block traded Freight Futures to the relevant exchange or clearing house for clearing, thereby completing and creating a cleared futures transaction. If the exchange or clearing house does not accept the transaction for any reason, the transaction will be considered null and void and of no legal effect. The Fund’s investments in Freight Futures will be cleared by Nasdaq OMXStockholm AB, Chicago Mercantile Exchange (‘‘CME’’), ICE Futures U.S., SGX and/or the European Energy Exchange (‘‘EEX’’).9 The Benchmark Portfolio will initially consist of positions in the three-month strip of the nearest calendar quarter of Freight Futures and roll them constantly to the next calendar quarter. The fourcalendar quarters are January, February, and March (Q1), April, May, and June (Q2), July, August, and September (Q3), 8 The Fund will hold cash or cash equivalents, such as U.S. Treasuries or other high credit quality, short-term fixed-income or similar securities for direct investment or as collateral for the U.S. Treasuries and for other liquidity purposes, and to meet redemptions that may be necessary on an ongoing basis. 9 Nasdaq OMX-Stockholm AB, SGX, CME and ICE Futures U.S. are members of the Intermarket Surveillance Group (‘‘ISG’’). See note 16, infra. VerDate Sep<11>2014 18:44 Sep 27, 2017 Jkt 241001 and October, November and December (Q4). The Benchmark Portfolio will initially consist of an equal number of Freight Futures in each of the three months comprising the nearby calendar quarter at the beginning of such quarter. Throughout the quarter, the Fund will attempt to roll positions in the nearby calendar quarter, on a pro rata basis. For example, if the Fund was currently holding the Q1 calendar quarter comprising the January, February and March monthly contracts, each week in the month of February, the Fund will attempt to purchase Q2 contracts in an amount equal to approximately one quarter of the expiring February positions. As a result, by the end of February, the Fund would have rolled the February position to Q2 contracts, leaving the Fund with March and Q2 contracts. At the end of March, the Fund will have completed the roll and will then hold only Q2 exposure comprising April, May and June monthly contracts. Since Freight Futures contracts are cash settled, the Fund need not sell out of existing contracts. Rather, it will hold such contracts to expiration and apply the above methodology in order acquire the nearby calendar contract. The Benchmark Portfolio will be rebalanced annually. The Benchmark Portfolio’s initial allocation will be approximately 50% Capesize Freight Futures contracts, 40% Panamax Freight Futures contracts and 10% Supramax Freight Futures contracts. The above allocation will be based on contract value, not number of lots. Given each asset’s individual price movements during the year, such percentages might deviate from the targeted allocation. During the month of December of each year, the Fund will rebalance its portfolio in order to bring the allocation of assets back to the desirable levels. During this period, the Fund would purchase or sell Freight Futures to achieve its targeted allocation. The Sponsor anticipates that the Fund’s Freight Futures positions will be held to expiration and settle in cash against the respective Reference Index as published by the Baltic Exchange. However, positions may be closed out to meet orders for redemption of baskets, in which case the proceeds from the closed positions will not be reinvested. The Fund’s portfolio will be traded with a view to reflecting the performance of Freight Futures, whether Freight Futures are rising, falling or flat over any particular period. To maintain the correlation between the Fund and the change in the Benchmark Portfolio, the Sponsor may adjust the Fund’s portfolio of investments on a daily basis PO 00000 Frm 00088 Fmt 4703 Sfmt 4703 45343 in response to creation and redemption orders or otherwise as required. Overview of the Dry Bulk Freight Industry As stated in the Registration Statement, the following is a brief introduction of the global dry bulk freight industry. The data presented below is derived from information released from various third-party sources. The third-party sources from which certain of the information presented below include the United Nations Conference on Trade and Development, the Baltic and International Maritime Council, Bloomberg and others. Dry bulk shipping is a 150-plus year-old industry focusing on the transportation of dry bulk commodities using oceangoing vessels named dry bulk carriers. Dry bulk carriers are ships that have cargo loaded directly into the ship’s storage holds. The cargos transported are dry commodities that do not need to be carried in packaged form. Dry commodity cargos (mainly iron ore, coal and grains) are homogenous and are loaded with bucket cranes, conveyors or pumps. Crude oil and refined products, while shipped in bulk, are wet cargos and are transported on tanker vessels, rather than dry bulk carriers. Dry bulk carriers have an average useful life of approximately 25 years and are measured on size or capacity in dead weight tons (‘‘DWT’’). Dry Bulk Carriers Come in Various Sizes Capesizes (100,000+ DWT) are the largest of the dry bulk asset classes. Capesizes primarily transport iron ore and coal. Traditional Capesize routes are from Australia to Asia, and from Brazil to Europe and Asia. There are about 1,650 Capesizes worldwide. The Capesize fleet is about 40% of the dry bulk fleet by DWT capacity. Panamaxes (65,000–100,000 DWT) primarily transport coal, grain and iron ore. The Panamax is the largest vessel class that can transit the (old) Panama Canal. There are about 2,500 Panamaxes worldwide representing 24% of the global fleet by capacity. Handymaxes (40,000–65,000 DWT) are the work horse of the industry, carrying the whole spectrum of dry bulk commodities: Grain, coal, iron ore, and minor bulks. A sub-category of Handymaxes are vessels with capacities of 50,000–65,000 that are called Supramaxes. There are 3,400 Handymaxes worldwide representing about 25% of the global fleet by DWT capacity. Handysizes (10,000–40,000 DWT) bulkers typically transport grain, coal, E:\FR\FM\28SEN1.SGM 28SEN1 45344 Federal Register / Vol. 82, No. 187 / Thursday, September 28, 2017 / Notices and minor bulks. Handysize bulkers tend to trade regionally. There are about 3,300 Handysize bulkers in the fleet, or about 11% of the global fleet by DWT capacity. Dry Bulk Vessel Supply According to the Registration Statement, there are approximately 10,500 dry bulk vessels worldwide with a carrying capacity of roughly 790 million DWT and an average age of approximately 8 years. Supply of dry bulk ships is dynamic. Factors impacting dry bulk supply include new orders, the scrapping of older vessels, new shipbuilding technologies, vessel congestion in ports, closures of major waterways, including canals, and wars and other geopolitical conflicts that can restrict access to vessels available for shipping dry bulk freight. Demand for Dry Bulk Freight According to the Registration Statement, dry bulk demand has seen steady growth over the past two decades, as the Asian economies have exhibited robust demand for raw materials on the back of strong economic growth. Iron ore, the main component of steel production, has been the main driver of dry bulk freight demand growth. The higher demand for such raw materials has led to increasing demand for dry bulk shipping, as the regions that produce and consume raw materials are located far apart. Demand for dry bulk freight is generally measured in ton-miles, which corresponds to one ton of freight carried one mile. Such measure takes into consideration both the quantity of cargo transport but also the distance between loading and offloading ports. Over the last 10 years, dry bulk freight demand growth for major commodities has averaged approximately 6% per year. In 2015, dry bulk freight demand growth for major commodities declined for the first time in at least 15 years, while in 2016, it is estimated to have increased by approximately 2%. Weaker iron ore and coal imports to China were the main reasons for the below trend growth. Factors impacting demand for shipping dry bulk freight include global economic growth, demand for iron ore, demand for metallurgical and thermal coal, demand for grains, government regulations, taxes and tariffs, fuel prices, vessel speeds and new trade routes. Dry Bulk Freight Charter Rates According to the Registration Statement, dry bulk freight ‘‘charter rates’’ reflect the price paid for the use VerDate Sep<11>2014 18:44 Sep 27, 2017 Jkt 241001 of the ship to transport a bulk commodity. The most commonly used freight rate is the timecharter rate, which is measured in U.S. Dollars per day. Dry bulk timecharter rates have exhibited significant volatility in the last 15 years. From 2003 to 2008, faster growth rates in demand for dry bulk ships was not matched by growth in supply of ships and thus, charter rates increased considerably, reaching their highest point in 2008. Following the global financial crisis, growth in supply of ships exceeded demand, leading to a considerable drop in charter rates. Over the last five years, rates have generally been weak compared to historical levels, as higher supply and relatively weak demand growth led to lower utilization rates in the industry. A common industry measure of dry bulk rates is the Baltic Dry Index (‘‘BDI’’). The BDI is an economic indicator issued daily by the Baltic Exchange. The BDI provides an assessment of the price of moving the major raw materials by sea throughout the world. Taking in 21 shipping routes measured on a timecharter basis, the index covers Handysize, Supramax, Panamax, and Capesize dry bulk carriers carrying a range of commodities including coal, iron ore and grain. Each individual asset class also has its own index (i.e., a Reference Index), which is also published daily by the Baltic Exchange and reflects a weighted average assessment of different standardized routes around the world. The BDI has reflected the volatility of charter rates over the last 15 years, reaching its highest point on record in 2008 at 11,793. In 2016, it reached its lowest point on record at 290. The average price of the BDI in the 15 years from 2001 to 2016, has been 2,567, and the median price has been 1,747. As of March 31, 2017, the BDI stood at 1,200. Freight Futures According to the Registration Statement, freight futures are financial futures contracts that allow ship owners, charterers and speculators to hedge against the volatility of freight rates. The Freight Futures are built on indices composed of baskets of routes for dry bulk freight, such as the Capesize 5TC Index, Panamax 4TC Index and Supramax 6TC Index. Freight Futures are financial instruments that trade off-exchange but then are cleared through an exchange. Market participants communicate their buy or sell orders through a network of execution brokers mainly through phone or instant messaging platforms with specific trading instructions related to price, size, and type of order. PO 00000 Frm 00089 Fmt 4703 Sfmt 4703 The execution broker receives such order and then attempts to match it with a counterpart. Once there is a match and both parties confirm the transaction, the execution broker submits the transaction details including trade specifics, counterparty details and accounts to the relevant exchange for clearing, thus completing a cleared block futures transaction. The exchange will then require the relevant member or FCM to submit the necessary margin to support the position similar to other futures clearing and margin requirements. Freight Futures are listed and cleared on the following exchanges: Nasdaq OMX-Stockholm AB, CME, ICE Futures U.S., SGX, and EEX. Freight Futures settle monthly over the arithmetic average of spot index assessments in the contract month for the relevant underlying product, rounded to one decimal place. The daily index publication, against which Freight Futures settle, is published by the Baltic Exchange. Generally, Freight Futures trade from approximately 12:00 a.m. Eastern Time (‘‘E.T.’’) to approximately 12:00 p.m. E.T. The great majority of trading volume occurs during London business hours, from approximately 3:00 a.m. E.T. time to approximately 12:00 p.m. E.T. Some limited trading takes place during Asian business hours as well (12:00 a.m.–3:00 a.m. E.T.). Exchanges have a cutoff time of 1:00 p.m. E.T. for clearing the respective day’s trades (SGX clears Freight Futures from 7:00 p.m. E.T. to 3:00 a.m. E.T.). The final closing prices for settlement are published daily around 1:30 p.m. E.T. Final cash settlement occurs the first business day following the expiry day. Freight Futures are quoted in U.S. Dollars per day, with a minimum lot size of one. One lot represents one day of freight costs, as freight rates are measured in U.S. Dollars per day. The nominal value of a contract is simply the product of lots and Freight Futures prices. There are Futures Contracts of up to 72 consecutive months, starting with the current month, available for trading for each vessel class. Similar to other futures, Freight Futures are subject to margin requirements by the relevant exchanges. The Sponsor anticipates that approximately 10% to 40% of the Fund’s assets will be used as payment for or collateral for Freight Futures contracts. In order to collateralize its Freight Futures positions, the Fund will hold such assets, from which it will post margin to its FCM in an amount equal to the margin required by the relevant E:\FR\FM\28SEN1.SGM 28SEN1 Federal Register / Vol. 82, No. 187 / Thursday, September 28, 2017 / Notices exchanges, and transfer to its FCM any additional amounts that may be separately required by the FCM. According to the Registration Statement, most of the daily trading takes place over phones and instant messaging platforms.10 Trading screens also exist and some trading also happens through such screens. Brokers are required to report to the relevant exchanges each trade that takes place. Freight Futures liquidity has remained relatively constant, in lot terms, over the last five years with approximately 1.1 million lots trading annually. Open interest currently stands at approximately 290,000 lots across all asset classes representing an estimated value of more than $3 billion. Of such open interest, Capesize contracts account for approximately 50%, Panamax for approximately 40% and Handymax for approximately 10%. Major market participants in Freight Futures market include: Commodity producers, commodity users, commodity trading houses, ship operators, major banks, investment funds and independent ship owners. Calculating Net Asset Value (‘‘NAV’’) The Fund’s NAV will be calculated by taking the current market value of its total assets, subtracting any liabilities; and dividing that total by the total number of outstanding Shares. The Administrator will calculate the NAV of the Fund once each NYSE Arca trading day. The NAV for a particular trading day will be released after 4:00 p.m. E.T. The Administrator will use the Baltic Exchange closing price for the Freight Futures, but will calculate or determine the value of all other Fund investments using market quotations, if available, or other information customarily used to determine the fair value of such investments as of the earlier of the close of the NYSE Arca Core Trading Session (normally 4:00 p.m. E.T.). The information may include costs of funding, to the extent costs of funding are not and would not be a component of the other information being utilized. Third parties supplying quotations or market data may include, without limitation, dealers in the relevant markets, end-users of the relevant product, information vendors, brokers and other sources of market information. 10 Freight Futures are primarily traded through broker members of the Forward Freight Agreement Brokers Association (‘‘FFABA’’), such as Clarkson’s Securities, Simpson Spence Young, Freight Investor Services, GFI Group, BRS Group and ICAP. VerDate Sep<11>2014 18:44 Sep 27, 2017 Jkt 241001 Indicative Fund Value In order to provide updated information relating to the Fund for use by investors and market professionals, an updated indicative fund value (‘‘IFV’’) will be made available through on-line information services throughout the Exchange Core Trading Session (normally 9:30 a.m. to 4:00 p.m., E.T.) on each trading day. The IFV will be calculated by using the prior day’s closing NAV per Share of the Fund as a base and updating that value throughout the trading day to reflect changes in the most recently reported trade price for the futures and/or options held by the Fund. The IFV disseminated during NYSE Arca Core Trading Session hours should not be viewed as an actual real time update of the NAV, because the NAV will be calculated only once at the end of each trading day based upon the relevant end of day values of the Fund’s investments. The IFV will be disseminated on a per Share basis every 15 seconds during regular NYSE Arca Core Trading Session hours of 9:30 a.m. E.T. to 4:00 p.m. E.T. The customary trading hours of the Freight Futures trading are 3:00 a.m. E.T. to 12:00 p.m. E.T. This means that there is a gap in time at the end of each day during which the Fund’s Shares will be traded on the NYSE Arca, but real-time trading prices for contracts are not available. During such gaps in time the IFV will be calculated based on the end of day price of such contracts from the Baltic Exchange’s immediately preceding trading session. In addition, other investments and U.S. Treasuries held by the Fund will be valued by the Administrator using rates and points received from client-approved third party vendors (such as Reuters and WM Company) and broker-dealer quotes. These investments will not be included in the IFV. Dissemination of the IFV provides additional information that is not otherwise available to the public and is useful to investors and market professionals in connection with the trading of the Fund’s Shares on the NYSE Arca. Investors and market professionals are able throughout the trading day to compare the market price of Fund Shares and the IFV. If the market price of the Fund Shares diverges significantly from the IFV, market professionals will have an incentive to execute arbitrage trades. For example, if the Fund’s Shares appears to be trading at a discount compared to the IFV, a market professional could buy the Fund’s Shares on the NYSE Arca and take the opposite position in Freight Futures. Such arbitrage trades can PO 00000 Frm 00090 Fmt 4703 Sfmt 4703 45345 tighten the tracking between the market price of the Fund’s Shares and the IFV and thus can be beneficial to all market participants. Creation and Redemption of Shares According to the Registration Statement, the Fund will create and redeem Shares from time to time in one or more ‘‘Creation Baskets’’ or ‘‘Redemption Baskets’’ (collectively, the ‘‘Baskets’’). A Basket consists of 50,000 Shares. The creation and redemption of Baskets will only be made in exchange for delivery to the Fund or the distribution by the Fund of the amount of Treasuries and any cash represented by the Baskets being created or redeemed, the amount of which is based on the combined NAV of the number of Shares included in the Baskets being created or redeemed determined as of 4:00 p.m. E.T. on the day the order to create or redeem Baskets is properly received. ‘‘Authorized Participants’’ are the only persons that may place orders to create and redeem Baskets. Authorized Participants must be (1) registered broker-dealers or other securities market participants, such as banks and other financial institutions, that are not required to register as broker-dealers to engage in securities transactions described below, and (2) Depository Trust Company (‘‘DTC’’) participants. Creation Procedures On any business day, an Authorized Participant may place an order with the Transfer Agent to create one or more Baskets. For purposes of processing purchase and redemption orders, a ‘‘business day’’ means any day other than a day when any of the NYSE Arca, the Baltic Exchange or the New York Stock Exchange is closed for regular trading. Purchase orders must be placed by 1:00 p.m. E.T. or the close of the Core Trading Session on NYSE Arca, whichever is earlier. The day on which a valid purchase order is received in accordance with the terms of the ‘‘Authorized Participant Agreement’’ is referred to as the purchase order date. Purchase orders are irrevocable. Determination of Required Payment The total payment required to create each Creation Basket is the NAV of 50,000 Shares on the purchase order date, but only if the required payment is timely received. To calculate the NAV, the Administrator will use the Baltic Exchange settlement price (typically determined after 2:00 p.m. E.T.) for the Freight Futures. Because orders to purchase Baskets must be placed no later than 1:00 p.m., E.T., but E:\FR\FM\28SEN1.SGM 28SEN1 45346 Federal Register / Vol. 82, No. 187 / Thursday, September 28, 2017 / Notices the total payment required to create a Basket typically will not be determined until after 2:00 p.m., E.T., on the date the purchase order is received, Authorized Participants will not know the total amount of the payment required to create a Basket at the time they submit an irrevocable purchase order. Delivery of Required Payment An Authorized Participant who places a purchase order shall transfer to the Administrator the required amount of Freight Futures, U.S. Treasuries and/or cash, or a combination of them, by the end of the next business day following the purchase order date. Upon receipt of the deposit amount, the Administrator will direct DTC to credit the number of Baskets ordered to the Authorized Participant’s DTC account on the next business day following the purchase order date. Redemption Procedures According to the Registration Statement, the procedures by which an Authorized Participant can redeem one or more Baskets will mirror the procedures for the creation of Baskets. On any business day, an Authorized Participant may place an order with the Transfer Agent, and accepted by the Distributor, to redeem one or more Baskets. Redemption orders must be placed by 1:00 p.m. E.T. or the close of the Core Trading Session on the NYSE Arca, whichever is earlier. A redemption order so received will be effective on the date it is received in satisfactory form in accordance with the terms of the Authorized Participant Agreement. The day on which the Marketing Agent receives a valid redemption order is the redemption order date. Redemption orders are irrevocable. By placing a redemption order, an Authorized Participant agrees to deliver the baskets to be redeemed through DTC’s book-entry system to the Fund not later than 1:00 p.m., E.T., on the next business day immediately following the redemption order date. Determination of Redemption Proceeds The redemption proceeds from the Fund will consist of a cash redemption amount equal to the NAV of the number of Baskets requested in the Authorized Participant’s redemption order on the redemption order date. Because orders to redeem Baskets must be placed no later than 1:00 p.m., E.T., but the total amount of redemption proceeds typically will not be determined until after 2:00 p.m., E.T., on the date the redemption order is received, Authorized Participants will VerDate Sep<11>2014 18:44 Sep 27, 2017 Jkt 241001 not know the total amount of the redemption proceeds at the time they submit an irrevocable redemption order. The redemption proceeds due from the Fund will be delivered to the Authorized Participant at 1:00 p.m., E.T., on the next business day immediately following the redemption order date if, by such time, the Fund’s DTC account has been credited with the Baskets to be redeemed. Availability of Information The NAV for the Fund’s Shares will be disseminated daily to all market participants at the same time. The intraday, closing prices, and settlement prices of the Freight Futures will be readily available from the applicable futures exchange Web sites, automated quotation systems, published or other public sources, or major market data vendors. Complete real-time data for Freight Futures is available by subscription through on-line information services. Quotation and last-sale information regarding the Shares will be disseminated through the facilities of the Consolidated Tape Association (‘‘CTA’’). The IFV will be available through on-line information services. The Freight Futures trading prices will be disseminated by one or more major market data vendors during the NYSE Arca Core Trading Session of 9:30 a.m. to 4:00 p.m. E.T. Nasdaq OMXStockholm AB, SGX, CME, ICE Futures US and EEX provide on a daily basis, transaction volumes, transaction prices, trade time, and open interest on their respective Web sites. In addition, historical data also exists for volumes and open interest. Daily settlement prices and historical settlement prices are available through a subscription service to the Baltic Exchange, which maintains the licensing rights of relevant freight data. However, the exchanges provide the daily settlement price change of Freight Futures on their respective Web sites. Certain Freight Futures brokers provide real time pricing information to the general public either through their Web sites or through data vendors such as Bloomberg or Reuters. Most Freight Futures brokers provide, upon request, individual electronic screens that market participants can use to transact, place orders or only monitor Freight Futures market price levels. In addition, the Fund’s Web site, www.drybulketf.com, will display the applicable end of day closing NAV. The Freight Futures currently constituting the Benchmark Portfolio, as well as the daily holdings of the Fund will be available on the Fund’s Web site. The PO 00000 Frm 00091 Fmt 4703 Sfmt 4703 daily holdings of the Benchmark Portfolio and the Fund will be available on the Fund’s Web site before 9:30 a.m. E.T. each day. The Web site disclosure of portfolio holdings will be made daily and will include, as applicable, (i) the composite value of the total portfolio, (ii) the quantity and type of each holding (including the ticker symbol, maturity date or other identifier, if any) and other descriptive information including, in the case of an option, its strike price, (iii) the value of each Freight Futures (in U.S. dollars), (iv) the type (including maturity, ticker symbol, or other identifier) and value of each Treasury security and cash equivalent, and (v) the amount of cash held in the Fund’s portfolio. The Fund’s Web site will be publicly accessible at no charge. The daily closing Benchmark Portfolio level and the percentage change in the daily closing level for the Benchmark Portfolio will be publicly available from one or more major market data vendors. The intraday value of the Benchmark Portfolio, updated every 15 seconds, will also be available through major market data vendors. This Web site disclosure of the Benchmark Portfolio’s and the Fund’s daily holdings will occur at approximately the same time as the disclosure by the Trust of the daily holdings to Authorized Participants so that all market participants are provided daily holdings information at approximately the same time. Therefore, the same holdings information will be provided on the public Web site as well as in electronic files provided to Authorized Participants. Accordingly, each investor will have access to the current daily holdings of the Fund through the Fund’s Web site. 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 of the Fund.11 Trading in Shares of the Fund will be halted if the circuit breaker parameters in NYSE Arca Rule 7.12–E have been reached. Trading also may be halted because of market conditions or for reasons that, in the view of the Exchange, make trading in the Shares of the Fund inadvisable. The Exchange may halt trading during the day in which an interruption to the dissemination of the IFV or the value of the Benchmark Portfolio occurs. If the interruption to the dissemination of the IFV, or the value of the Benchmark Portfolio persists past the trading day in which it occurred, the Exchange will 11 See E:\FR\FM\28SEN1.SGM NYSE Arca Rule 7.12–E. 28SEN1 Federal Register / Vol. 82, No. 187 / Thursday, September 28, 2017 / Notices halt trading no later than the beginning of the trading day following the interruption. In addition, if the Exchange becomes aware that the NAV with respect to the Shares is not disseminated to all market participants at the same time, it will halt trading in the Shares until such time as the NAV is available to all market participants. Trading Rules The Exchange deems the Shares to be equity securities, thus rendering trading in the Shares subject to the Exchange’s existing rules governing the trading of equity securities. Shares will trade on the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. in accordance with NYSE Arca Rule 7.34–E (Early, Core, and Late Trading Sessions). The Exchange has appropriate rules to facilitate transactions in the Shares during all trading sessions. As provided in NYSE Arca Rule 7.6–E, the minimum price variation (‘‘MPV’’) for quoting and entry of orders in equity securities traded on the NYSE Arca Marketplace is $0.01, with the exception of securities that are priced less than $1.00 for which the MPV for order entry is $0.0001. The Shares will conform to the initial and continued listing criteria under NYSE Arca Rule 8.200–E. The trading of the Shares will be subject to NYSE Arca Rule 8.200–E, Commentary .02(e), which sets forth certain restrictions on Equity Trading Permit (‘‘ETP’’) Holders acting as registered Market Makers in Trust Issued Receipts to facilitate surveillance. The Exchange represents that, for initial and/or continued listing, the Funds will be in compliance with Rule 10A–312 under the Act, as provided by NYSE Arca Rule 5.3–E. A minimum of 100,000 Shares will be outstanding at the commencement of trading on the Exchange. Surveillance The Exchange represents that trading in the Shares will be subject to the existing trading surveillances administered by the Exchange, as well as cross-market surveillances administered by the Financial Industry Regulatory Authority (‘‘FINRA’’) on behalf of the Exchange, which are designed to detect violations of Exchange rules and applicable federal securities laws.13 The Exchange represents that these procedures are adequate to properly monitor Exchange trading of the Shares of the Funds in all CFR 240.10A–3. 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. trading sessions and to deter and detect violations of Exchange rules and federal securities laws applicable to trading on the Exchange. The surveillances referred to above generally focus on detecting securities trading outside their normal patterns, which could be indicative of manipulative or other violative activity. When such situations are detected, surveillance analysis follows and investigations are opened, where appropriate, to review the behavior of all relevant parties for all relevant trading violations. The Exchange or FINRA, on behalf of the Exchange, or both, will communicate as needed regarding trading in the Shares and Freight Futures with other markets and 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 Freight Futures from such markets and other entities. In addition, the Exchange may obtain information regarding trading in the Shares and Freight Futures from markets and other entities that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement (‘‘CSSA’’).14 Not more than 10% of the net assets of the Fund in the aggregate invested in Freight Futures shall consist of Freight Futures whose principal market is not a member of the ISG or is a market with which the Exchange does not have 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 portfolios, (b) limitations on portfolio holdings or reference assets, or (c) applicability of Exchange listing rules specified in this 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 the Fund is not in compliance with the applicable listing requirements, the Exchange will 12 17 13 FINRA VerDate Sep<11>2014 18:44 Sep 27, 2017 Jkt 241001 14 For a list of the current members of ISG, see www.isgportal.org. The Exchange notes that not all components of the Funds may trade on markets that are members of ISG or with which the Exchange has in place a CSSA. PO 00000 Frm 00092 Fmt 4703 Sfmt 4703 45347 commence delisting procedures under NYSE Arca Rule 5.5–E(m). Information Bulletin Prior to the commencement of trading, the Exchange will inform its ETP Holders in an Information Bulletin of the special characteristics and risks associated with trading the Shares. Specifically, the Information Bulletin will discuss the following: (1) The risks involved in trading the Shares during the Early and Late Trading Sessions when an updated IFV will not be calculated or publicly disseminated; (2) the procedures for purchases and redemptions of Shares in Creation Baskets and Redemption Baskets (and that Shares are not individually redeemable); (3) NYSE Arca Rule 9.2– E(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; (4) how information regarding the IFV is disseminated; (5) how information regarding portfolio holdings is disseminated; (6) the requirement that ETP Holders deliver a prospectus to investors purchasing newly issued Shares prior to or concurrently with the confirmation of a transaction; and (7) trading information. In addition, the Information Bulletin will advise ETP Holders, prior to the commencement of trading, of the prospectus delivery requirements applicable to the Fund. The Exchange notes that investors purchasing Shares directly from the Fund will receive a prospectus. ETP Holders purchasing Shares from the Fund for resale to investors will deliver a prospectus to such investors. The Information Bulletin will also discuss any exemptive, noaction, and interpretive relief granted by the Commission from any rules under the Act. In addition, the Information Bulletin will reference that the Fund is subject to various fees and expenses described in the Registration Statement. The Information Bulletin will also reference that the CFTC has regulatory jurisdiction over the trading of Freight Futures traded on U.S. markets. The Information Bulletin will also disclose the trading hours of the Shares and that the NAV for the Shares will be calculated after 4:00 p.m. E.T. each trading day. The Information Bulletin will disclose that information about the Shares will be publicly available on the Fund’s Web site. Prior to the commencement of trading, the Exchange will inform its ETP Holders of the suitability requirements of NYSE Arca Rule 9.2– E(a) in an Information Bulletin. Specifically, ETP Holders will be E:\FR\FM\28SEN1.SGM 28SEN1 45348 Federal Register / Vol. 82, No. 187 / Thursday, September 28, 2017 / Notices reminded in the Information Bulletin that, in recommending transactions in the Shares, they must have a reasonable basis to believe that (1) the recommendation is suitable for a customer given reasonable inquiry concerning the customer’s investment objectives, financial situation, needs, and any other information known by such ETP Holder, and (2) the customer can evaluate the special characteristics, and is able to bear the financial risks, of an investment in the Shares. In connection with the suitability obligation, the Information Bulletin will also provide that ETP Holders must make reasonable efforts to obtain the following information: (1) The customer’s financial status; (2) the customer’s tax status; (3) the customer’s investment objectives; and (4) such other information used or considered to be reasonable by such ETP Holder or registered representative in making recommendations to the customer. 2. Statutory Basis The basis under the Act for this proposed rule change is the requirement under Section 6(b)(5) 15 that an exchange have rules that are designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to remove impediments to, and perfect the mechanism of a free and open market and, in general, to protect investors and the public interest. The Exchange believes that the proposed rule change is designed to prevent fraudulent and manipulative acts and practices in that the Shares will be listed and traded on the Exchange pursuant to the initial and continued listing criteria in NYSE Arca Rule 8.200–E. The Exchange has in place surveillance procedures that are adequate to properly monitor trading in the Shares of the Fund in all trading sessions and to deter and detect violations of Exchange rules and applicable federal securities laws. The Exchange or FINRA, on behalf of the Exchange, or both, will communicate as needed regarding trading in the Shares and Freight Futures with other markets and 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 Freight Futures from such markets and other entities. In addition, the Exchange may obtain information regarding trading in the Shares and Freight Futures from markets and other entities that are members of ISG or with which the 15 15 U.S.C. 78f(b)(5). VerDate Sep<11>2014 18:44 Sep 27, 2017 Jkt 241001 Exchange has in place a CSSA.16 Not more than 10% of the net assets of the Fund in the aggregate invested in Freight Futures shall consist of Freight Futures whose principal market is not a member of the ISG or is a market with which the Exchange does not have a CSSA. The Exchange will make available on its Web site daily trading volume of each of the Shares, closing prices of such Shares, and number of Shares outstanding. The intraday, closing prices, and settlement prices of Freight Futures will be readily available from the Baltic Exchange Web site, automated quotation systems, published or other public sources, or on-line information services. Complete real-time data for the Freight Futures is available by subscription from on-line information services. Quotation and last-sale information regarding the Shares will be disseminated through the facilities of the CTA. The IFV will be available through on-line information services. The Freight Futures trading prices will be disseminated by one or more major market data vendors every 15 seconds during the NYSE Arca Core Trading Session of 9:30 a.m. to 4:00 p.m. E.T. Nasdaq OMX-Stockholm AB, SGX, CME, ICE Futures US and EEX provide on a daily basis, transaction volumes, transaction prices, trade time, and open interest on their respective Web sites. In addition, the Fund’s Web site, will display the applicable end of day closing NAV. The daily holdings of the Fund will be disclosed on the Fund’s Web site before 9:30 a.m. E.T. each day. The daily holdings of the Fund will be available on the Fund’s Web site before 9:30 a.m. E.T. each day. The Fund’s Web site disclosure of portfolio holdings will be made daily and will include, as applicable, (i) the composite value of the total portfolio, (ii) the quantity and type of each holding (including the ticker symbol, maturity date or other identifier, if any) and other descriptive information including, in the case of an option, its strike price, (iii) the value of each Freight Futures (in U.S. dollars), (iv) the type (including maturity, ticker symbol, or other identifier) and value of each Treasury security and cash equivalent, and (v) the amount of cash held in the Fund’s portfolio. Moreover, prior to the commencement of trading, the Exchange will inform its Equity Trading Permit Holders in an Information Bulletin of the special characteristics and risks associated with 16 For a list of the current members of ISG, see www.isgportal.org. The Exchange notes that not all components of the funds may trade on markets that are members of ISG or with which the Exchange has in place a CSSA PO 00000 Frm 00093 Fmt 4703 Sfmt 4703 trading the Shares. Trading in Shares of the Fund will be halted if the circuit breaker parameters in NYSE Arca Rule 7.12–E have been reached or because of market conditions or for reasons that, in the view of the Exchange, make trading in the Shares inadvisable. The proposed rule change is designed to perfect the mechanism of a free and open market and, in general, to protect investors and the public interest in that it will facilitate the listing and trading of Trust Issued Receipts based on Freight Futures 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 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. B. Self-Regulatory Organization’s Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purpose of the Act. The Exchange notes that the proposed rule change will facilitate the listing and trading of a new type of Trust Issued Receipts based on Freight Futures and that will enhance competition among market participants, to the benefit of investors and the marketplace. C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others No written comments were solicited or received with respect to the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 45 days of the date of publication of this notice in the Federal Register or within such longer period up to 90 days (i) as the Commission may designate if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the self-regulatory organization consents, the Commission will: (A) By order approve or disapprove the proposed rule change, or (B) institute proceedings to determine whether the proposed rule change should be disapproved. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, E:\FR\FM\28SEN1.SGM 28SEN1 Federal Register / Vol. 82, No. 187 / Thursday, September 28, 2017 / Notices including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods: SMALL BUSINESS ADMINISTRATION Electronic Comments • Use the Commission’s Internet comment form (http://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SR– NYSEArca–2017–107 on the subject line. Presidential Declaration Amendment of a Major Disaster for Public Assistance Only for the State of Texas 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–2017–107. 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 (http://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–2017–107, and should be submitted on or before October 19, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.17 Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017–20751 Filed 9–27–17; 8:45 am] BILLING CODE 8011–01–P 17 17 CFR 200.30–3(a)(12). VerDate Sep<11>2014 18:44 Sep 27, 2017 Jkt 241001 [Disaster Declaration #15291 and #15292; TEXAS Disaster Number TX–00488] U.S. Small Business Administration. ACTION: Amendment 3. AGENCY: This is a Notice of the Presidential declaration of a major disaster for the Commonwealth of Puerto Rico (FEMA–4339–DR), dated 09/20/2017. Incident: Hurricane Maria. Incident Period: 09/17/2017 and continuing. SUMMARY: Issued on 09/20/2017. Physical Loan Application Deadline Date: 11/20/2017. Economic Injury (EIDL) Loan Application Deadline Date: 06/20/2018. ADDRESSES: Submit completed loan applications to: U.S. Small Business Administration, Processing and Disbursement Center, 14925 Kingsport Road, Fort Worth, TX 76155. FOR FURTHER INFORMATION CONTACT: A. Escobar, Office of Disaster Assistance, U.S. Small Business Administration, 409 3rd Street SW., Suite 6050, Washington, DC 20416, (202) 205–6734. SUPPLEMENTARY INFORMATION: Notice is hereby given that as a result of the President’s major disaster declaration on 09/20/2017, applications for disaster loans may be filed at the address listed above or other locally announced locations. The following areas have been determined to be adversely affected by the disaster: Primary Municipalities (Physical Damage and Economic Injury Loans): Aguas Buenas, Aibonito, Arecibo, Arroyo, Barceloneta, Barranquitas, Bayamon, Caguas, Canovanas, Carolina, Catano, Cayey, Ceiba, Ciales, Cidra, Coamo, Comerio, Corozal, Culebra, Dorado, Fajardo, Florida, Guayama, Guaynabo, Gurabo, Humacao, Jayuya, Juana Diaz, Juncos, Las Piedras, Loiza, Luquillo, Manati, Maunabo, Morovis, Naguabo, Naranjito, Orocovis, Patillas, Ponce, Rio Grande, Salinas, San Juan, San Lorenzo, Santa Isabel, Toa Alta, Toa Baja, Trujillo Alto, Utuado, Vega Alta, Vega Baja, Vieques, Villalba, Yabucoa Contiguous Municipalities (Economic Injury Loans Only): Adjuntas, Hatillo, Lares, Penuelas The Interest Rates are: DATES: This is an amendment of the Presidential declaration of a major disaster for Public Assistance Only for the State of Texas (FEMA–4332–DR), dated 09/04/2017. Incident: Hurricane Harvey. Incident Period: 08/23/2017 through 09/15/2017. DATES: Issued on 09/19/2017. Physical Loan Application Deadline Date: 11/03/2017. Economic Injury (EIDL) Loan Application Deadline Date: 06/04/2018. ADDRESSES: Submit completed loan applications to: U.S. Small Business Administration, Processing and Disbursement Center, 14925 Kingsport Road, Fort Worth, TX 76155. FOR FURTHER INFORMATION CONTACT: A. Escobar, Office of Disaster Assistance, U.S. Small Business Administration, 409 3rd Street SW., Suite 6050, Washington, DC 20416, (202) 205–6734. SUPPLEMENTARY INFORMATION: The notice of the President’s major disaster declaration for Private Non-Profit organizations in the State of Texas, dated 09/04/2017, is hereby amended to include the following areas as adversely affected by the disaster. Primary Counties: Austin, Bastrop, Burleson, Grimes, Lee, Madison, Washington All other information in the original declaration remains unchanged. SUMMARY: (Catalog of Federal Domestic Assistance Number 59008) James E. Rivera, Associate Administrator for Disaster Assistance. [FR Doc. 2017–20742 Filed 9–27–17; 8:45 am] BILLING CODE 8025–01–P SMALL BUSINESS ADMINISTRATION Percent [Disaster Declaration #15322 and #15323; PUERTO RICO Disaster Number PR–00031] Presidential Declaration of a Major Disaster for the Commonwealth of Puerto Rico U.S. Small Business Administration. ACTION: Notice. AGENCY: PO 00000 Frm 00094 Fmt 4703 Sfmt 4703 45349 For Physical Damage: Homeowners with Credit Available Elsewhere ...................... Homeowners without Credit Available Elsewhere .............. Businesses with Credit Available Elsewhere ...................... Businesses without Credit Available Elsewhere .............. E:\FR\FM\28SEN1.SGM 28SEN1 3.500 1.750 6.610 3.305

Agencies

[Federal Register Volume 82, Number 187 (Thursday, September 28, 2017)]
[Notices]
[Pages 45342-45349]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-20751]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-81681; File No. SR-NYSEArca-2017-107]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change Relating to Listing and Trading of Shares of 
Breakwave Dry Bulk Shipping ETF Under NYSE Arca Rule 8.200-E, 
Commentary .02

September 22, 2017.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 
given that, on September 8, 2017, NYSE Arca, Inc. (the ``Exchange'' or 
``NYSE Arca'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I and II 
below, which Items have been substantially 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 list and trade the shares of Breakwave Dry 
Bulk Shipping ETF under NYSE Arca Rule 8.200-E, Commentary .02 (``Trust 
Issued Receipts''). 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
    The Exchange proposes to list and trade shares (``Shares'') of the 
following under NYSE Arca Rule 8.200-E, Commentary .02, which governs 
the listing and trading of Trust Issued Receipts: Breakwave Dry Bulk 
Shipping ETF (the ``Fund'').\4\
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    \4\ Commentary .02 to NYSE Arca Rule 8.200-E applies to Trust 
Issued Receipts that invest in ``Financial Instruments.'' The term 
``Financial Instruments,'' as defined in Commentary .02(b)(4) to 
NYSE Arca Rule 8.200-E, means any combination of investments, 
including cash; securities; options on securities and indices; 
futures contracts; options on futures contracts; forward contracts; 
equity caps, collars, and floors; and swap agreements.
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    The Fund will be a series of ETF Managers Group Commodity Trust I 
(the ``Trust).\5\ The Fund and the Trust will be managed and controlled 
by their sponsor and investment manager, ETF Managers Capital LLC (the 
``Sponsor''). The Sponsor is registered with the Commodity Futures 
Trading Commission (``CFTC'') as a commodity pool operator (``CPO'') 
and is a member of the National Futures Association (``NFA''). 
Breakwave Advisors LLC (``Breakwave'') is registered as a commodity 
trading advisor with the CFTC and will serve as the Fund's commodity 
trading advisor. ETFMG Financial LLC will be the Fund's distributor 
(``Distributor'' or ``Marketing Agent''). US Bancorp Fund Services LLC 
will be the Fund's ``Administrator'' and ``Transfer Agent''.
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    \5\ On June 2, 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. 
333-218453) (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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The Fund's Investment Objective and Strategy
    According to the Registration Statement, the Fund's investment 
objective will be to provide investors with exposure to the daily 
change in the price of dry bulk freight futures, before expenses and 
liabilities of the Fund, by tracking the performance of a portfolio 
(the ``Benchmark Portfolio'') consisting of a three-month strip of the 
nearest calendar quarter of futures contracts on specified indexes 
(each a ``Reference Index'') that measure rates for shipping dry bulk 
freight (``Freight Futures''). Each Reference Index is published daily 
by the London-based Baltic Exchange Ltd \6\ and measures the charter 
rate for shipping dry bulk freight in a specific size category of cargo 
ship--Capesize, Panamax or Supramax. The three Reference Indexes are as 
follows: Capesize: the Capesize 5TC Index; Panamax: the Panamax 4TC 
Index; and Supramax: the Supramax 6TC Index.\7\
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    \6\ The Baltic Exchange, which is a wholly owned subsidiary of 
the Singapore Exchange Ltd (``SGX''), is a membership and an 
independent source of maritime market information for the trading 
and settlement of physical and derivative shipping contracts. 
According to the Baltic Exchange, this information is used by 
shipbrokers, owners and operators, traders, financiers and 
charterers as a reliable and independent view of the dry and tanker 
markets.
    \7\ The Reference Indexes are published by the Baltic Exchange's 
subsidiary company, Baltic Exchange Information Services Ltd 
(``Baltic''), which publishes a wide range of market reports, 
fixture lists and market rate indicators on a daily and (in some 
cases) weekly basis. The Baltic indices, which include the Reference 
Indexes, are an assessment of the price of moving the major raw 
materials by sea. The indices are based on assessments of the cost 
of transporting various bulk cargoes, both wet (e.g., crude oil and 
oil products) and dry (e.g., coal and iron ore), made by leading 
shipbroking houses located around the world on a per tonne and daily 
hire basis. The information is collated and published by the Baltic 
Exchange. Procedures relating to administration of the Baltic 
indices are set forth in ``The Baltic Exchange, Guide to Market 
Benchmarks'' November 2016 (the ``Guide''), including production 
methods, calculation, confidentiality and transparency, duties of 
panelists, code of conduct, audits and quality control. According to 
the Guide, these procedures are in compliance with the ``Principles 
for Financial Benchmarks'' issued by the International Organization 
of Securities Commissioners (``IOSCO''). The Guide is available at 
www.balticexchange.com.
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    The Fund will seek to achieve its investment objective by investing 
substantially all of its assets in the Freight Futures currently 
constituting the Benchmark Portfolio. The Benchmark Portfolio will 
include all existing positions to maturity and settle them in cash. 
During any given calendar quarter, the Benchmark Portfolio will 
progressively increase its position to the next calendar quarter three-
month strip, thus maintaining constant exposure to the Freight Futures 
market as positions mature.
    The Benchmark Portfolio will maintain long-only positions in 
Freight Futures. The Benchmark Portfolio will hold a combination of 
Capesize, Panamax and Supramax Freight Futures. More specifically, the 
Benchmark Portfolio will hold 50% exposure in Capesize Freight Futures 
contracts, 40% exposure in Panamax Freight Futures contracts and 10% 
exposure in Supramax Freight Futures contracts. The Benchmark Portfolio 
will not include and the Fund will not invest in swaps, non-cleared dry 
bulk freight forwards or other over-the-counter

[[Page 45343]]

derivative instruments that are not cleared through exchanges or 
clearing houses. The Fund may hold exchange-traded options on Freight 
Futures. The Benchmark Portfolio is maintained by Breakwave and will be 
rebalanced annually.
    When establishing positions in Freight Futures, the Fund will be 
required to deposit initial margin with a value of approximately 10% to 
40% of the notional value of each Freight Futures position at the time 
it is established. These margin requirements are established and 
subject to change from time to time by the relevant exchanges, clearing 
houses or the Fund's futures commission merchant (``FCM''). On a daily 
basis, the Fund will be obligated to pay, or entitled to receive, 
variation margin in an amount equal to the change in the daily 
settlement level of its Freight Futures positions. Any assets not 
required to be posted as margin with the FCM will be held at the Fund's 
custodian in cash or cash equivalents.\8\
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    \8\ The Fund will hold cash or cash equivalents, such as U.S. 
Treasuries or other high credit quality, short-term fixed-income or 
similar securities for direct investment or as collateral for the 
U.S. Treasuries and for other liquidity purposes, and to meet 
redemptions that may be necessary on an ongoing basis.
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    The Fund will seek to achieve its objective by purchasing Freight 
Futures that are cleared through major exchanges (see description of 
Freight Futures below). The Fund will place purchase orders for Freight 
Futures with an execution broker. The broker will identify a selling 
counterparty and, simultaneously with the completion of the 
transaction, will submit the block traded Freight Futures to the 
relevant exchange or clearing house for clearing, thereby completing 
and creating a cleared futures transaction. If the exchange or clearing 
house does not accept the transaction for any reason, the transaction 
will be considered null and void and of no legal effect. The Fund's 
investments in Freight Futures will be cleared by Nasdaq OMX-Stockholm 
AB, Chicago Mercantile Exchange (``CME''), ICE Futures U.S., SGX and/or 
the European Energy Exchange (``EEX'').\9\
---------------------------------------------------------------------------

    \9\ Nasdaq OMX-Stockholm AB, SGX, CME and ICE Futures U.S. are 
members of the Intermarket Surveillance Group (``ISG''). See note 
16, infra.
---------------------------------------------------------------------------

    The Benchmark Portfolio will initially consist of positions in the 
three-month strip of the nearest calendar quarter of Freight Futures 
and roll them constantly to the next calendar quarter. The four-
calendar quarters are January, February, and March (Q1), April, May, 
and June (Q2), July, August, and September (Q3), and October, November 
and December (Q4). The Benchmark Portfolio will initially consist of an 
equal number of Freight Futures in each of the three months comprising 
the nearby calendar quarter at the beginning of such quarter.
    Throughout the quarter, the Fund will attempt to roll positions in 
the nearby calendar quarter, on a pro rata basis. For example, if the 
Fund was currently holding the Q1 calendar quarter comprising the 
January, February and March monthly contracts, each week in the month 
of February, the Fund will attempt to purchase Q2 contracts in an 
amount equal to approximately one quarter of the expiring February 
positions. As a result, by the end of February, the Fund would have 
rolled the February position to Q2 contracts, leaving the Fund with 
March and Q2 contracts. At the end of March, the Fund will have 
completed the roll and will then hold only Q2 exposure comprising 
April, May and June monthly contracts. Since Freight Futures contracts 
are cash settled, the Fund need not sell out of existing contracts. 
Rather, it will hold such contracts to expiration and apply the above 
methodology in order acquire the nearby calendar contract.
    The Benchmark Portfolio will be rebalanced annually. The Benchmark 
Portfolio's initial allocation will be approximately 50% Capesize 
Freight Futures contracts, 40% Panamax Freight Futures contracts and 
10% Supramax Freight Futures contracts. The above allocation will be 
based on contract value, not number of lots. Given each asset's 
individual price movements during the year, such percentages might 
deviate from the targeted allocation.
    During the month of December of each year, the Fund will rebalance 
its portfolio in order to bring the allocation of assets back to the 
desirable levels. During this period, the Fund would purchase or sell 
Freight Futures to achieve its targeted allocation.
    The Sponsor anticipates that the Fund's Freight Futures positions 
will be held to expiration and settle in cash against the respective 
Reference Index as published by the Baltic Exchange. However, positions 
may be closed out to meet orders for redemption of baskets, in which 
case the proceeds from the closed positions will not be reinvested.
    The Fund's portfolio will be traded with a view to reflecting the 
performance of Freight Futures, whether Freight Futures are rising, 
falling or flat over any particular period. To maintain the correlation 
between the Fund and the change in the Benchmark Portfolio, the Sponsor 
may adjust the Fund's portfolio of investments on a daily basis in 
response to creation and redemption orders or otherwise as required.
Overview of the Dry Bulk Freight Industry
    As stated in the Registration Statement, the following is a brief 
introduction of the global dry bulk freight industry. The data 
presented below is derived from information released from various 
third-party sources. The third-party sources from which certain of the 
information presented below include the United Nations Conference on 
Trade and Development, the Baltic and International Maritime Council, 
Bloomberg and others. Dry bulk shipping is a 150-plus year-old industry 
focusing on the transportation of dry bulk commodities using oceangoing 
vessels named dry bulk carriers. Dry bulk carriers are ships that have 
cargo loaded directly into the ship's storage holds. The cargos 
transported are dry commodities that do not need to be carried in 
packaged form. Dry commodity cargos (mainly iron ore, coal and grains) 
are homogenous and are loaded with bucket cranes, conveyors or pumps. 
Crude oil and refined products, while shipped in bulk, are wet cargos 
and are transported on tanker vessels, rather than dry bulk carriers. 
Dry bulk carriers have an average useful life of approximately 25 years 
and are measured on size or capacity in dead weight tons (``DWT'').
Dry Bulk Carriers Come in Various Sizes
    Capesizes (100,000+ DWT) are the largest of the dry bulk asset 
classes. Capesizes primarily transport iron ore and coal. Traditional 
Capesize routes are from Australia to Asia, and from Brazil to Europe 
and Asia. There are about 1,650 Capesizes worldwide. The Capesize fleet 
is about 40% of the dry bulk fleet by DWT capacity.
    Panamaxes (65,000-100,000 DWT) primarily transport coal, grain and 
iron ore. The Panamax is the largest vessel class that can transit the 
(old) Panama Canal. There are about 2,500 Panamaxes worldwide 
representing 24% of the global fleet by capacity.
    Handymaxes (40,000-65,000 DWT) are the work horse of the industry, 
carrying the whole spectrum of dry bulk commodities: Grain, coal, iron 
ore, and minor bulks. A sub-category of Handymaxes are vessels with 
capacities of 50,000-65,000 that are called Supramaxes. There are 3,400 
Handymaxes worldwide representing about 25% of the global fleet by DWT 
capacity.
    Handysizes (10,000-40,000 DWT) bulkers typically transport grain, 
coal,

[[Page 45344]]

and minor bulks. Handysize bulkers tend to trade regionally. There are 
about 3,300 Handysize bulkers in the fleet, or about 11% of the global 
fleet by DWT capacity.
Dry Bulk Vessel Supply
    According to the Registration Statement, there are approximately 
10,500 dry bulk vessels worldwide with a carrying capacity of roughly 
790 million DWT and an average age of approximately 8 years. Supply of 
dry bulk ships is dynamic.
    Factors impacting dry bulk supply include new orders, the scrapping 
of older vessels, new shipbuilding technologies, vessel congestion in 
ports, closures of major waterways, including canals, and wars and 
other geopolitical conflicts that can restrict access to vessels 
available for shipping dry bulk freight.
Demand for Dry Bulk Freight
    According to the Registration Statement, dry bulk demand has seen 
steady growth over the past two decades, as the Asian economies have 
exhibited robust demand for raw materials on the back of strong 
economic growth. Iron ore, the main component of steel production, has 
been the main driver of dry bulk freight demand growth. The higher 
demand for such raw materials has led to increasing demand for dry bulk 
shipping, as the regions that produce and consume raw materials are 
located far apart.
    Demand for dry bulk freight is generally measured in ton-miles, 
which corresponds to one ton of freight carried one mile. Such measure 
takes into consideration both the quantity of cargo transport but also 
the distance between loading and offloading ports. Over the last 10 
years, dry bulk freight demand growth for major commodities has 
averaged approximately 6% per year. In 2015, dry bulk freight demand 
growth for major commodities declined for the first time in at least 15 
years, while in 2016, it is estimated to have increased by 
approximately 2%. Weaker iron ore and coal imports to China were the 
main reasons for the below trend growth.
    Factors impacting demand for shipping dry bulk freight include 
global economic growth, demand for iron ore, demand for metallurgical 
and thermal coal, demand for grains, government regulations, taxes and 
tariffs, fuel prices, vessel speeds and new trade routes.
Dry Bulk Freight Charter Rates
    According to the Registration Statement, dry bulk freight ``charter 
rates'' reflect the price paid for the use of the ship to transport a 
bulk commodity. The most commonly used freight rate is the timecharter 
rate, which is measured in U.S. Dollars per day. Dry bulk timecharter 
rates have exhibited significant volatility in the last 15 years. From 
2003 to 2008, faster growth rates in demand for dry bulk ships was not 
matched by growth in supply of ships and thus, charter rates increased 
considerably, reaching their highest point in 2008. Following the 
global financial crisis, growth in supply of ships exceeded demand, 
leading to a considerable drop in charter rates. Over the last five 
years, rates have generally been weak compared to historical levels, as 
higher supply and relatively weak demand growth led to lower 
utilization rates in the industry.
    A common industry measure of dry bulk rates is the Baltic Dry Index 
(``BDI''). The BDI is an economic indicator issued daily by the Baltic 
Exchange. The BDI provides an assessment of the price of moving the 
major raw materials by sea throughout the world. Taking in 21 shipping 
routes measured on a timecharter basis, the index covers Handysize, 
Supramax, Panamax, and Capesize dry bulk carriers carrying a range of 
commodities including coal, iron ore and grain. Each individual asset 
class also has its own index (i.e., a Reference Index), which is also 
published daily by the Baltic Exchange and reflects a weighted average 
assessment of different standardized routes around the world.
    The BDI has reflected the volatility of charter rates over the last 
15 years, reaching its highest point on record in 2008 at 11,793. In 
2016, it reached its lowest point on record at 290. The average price 
of the BDI in the 15 years from 2001 to 2016, has been 2,567, and the 
median price has been 1,747. As of March 31, 2017, the BDI stood at 
1,200.
Freight Futures
    According to the Registration Statement, freight futures are 
financial futures contracts that allow ship owners, charterers and 
speculators to hedge against the volatility of freight rates. The 
Freight Futures are built on indices composed of baskets of routes for 
dry bulk freight, such as the Capesize 5TC Index, Panamax 4TC Index and 
Supramax 6TC Index. Freight Futures are financial instruments that 
trade off-exchange but then are cleared through an exchange. Market 
participants communicate their buy or sell orders through a network of 
execution brokers mainly through phone or instant messaging platforms 
with specific trading instructions related to price, size, and type of 
order. The execution broker receives such order and then attempts to 
match it with a counterpart. Once there is a match and both parties 
confirm the transaction, the execution broker submits the transaction 
details including trade specifics, counterparty details and accounts to 
the relevant exchange for clearing, thus completing a cleared block 
futures transaction. The exchange will then require the relevant member 
or FCM to submit the necessary margin to support the position similar 
to other futures clearing and margin requirements.
    Freight Futures are listed and cleared on the following exchanges: 
Nasdaq OMX-Stockholm AB, CME, ICE Futures U.S., SGX, and EEX.
    Freight Futures settle monthly over the arithmetic average of spot 
index assessments in the contract month for the relevant underlying 
product, rounded to one decimal place. The daily index publication, 
against which Freight Futures settle, is published by the Baltic 
Exchange.
    Generally, Freight Futures trade from approximately 12:00 a.m. 
Eastern Time (``E.T.'') to approximately 12:00 p.m. E.T. The great 
majority of trading volume occurs during London business hours, from 
approximately 3:00 a.m. E.T. time to approximately 12:00 p.m. E.T. Some 
limited trading takes place during Asian business hours as well (12:00 
a.m.-3:00 a.m. E.T.).
    Exchanges have a cutoff time of 1:00 p.m. E.T. for clearing the 
respective day's trades (SGX clears Freight Futures from 7:00 p.m. E.T. 
to 3:00 a.m. E.T.). The final closing prices for settlement are 
published daily around 1:30 p.m. E.T. Final cash settlement occurs the 
first business day following the expiry day.
    Freight Futures are quoted in U.S. Dollars per day, with a minimum 
lot size of one. One lot represents one day of freight costs, as 
freight rates are measured in U.S. Dollars per day. The nominal value 
of a contract is simply the product of lots and Freight Futures prices. 
There are Futures Contracts of up to 72 consecutive months, starting 
with the current month, available for trading for each vessel class.
    Similar to other futures, Freight Futures are subject to margin 
requirements by the relevant exchanges. The Sponsor anticipates that 
approximately 10% to 40% of the Fund's assets will be used as payment 
for or collateral for Freight Futures contracts. In order to 
collateralize its Freight Futures positions, the Fund will hold such 
assets, from which it will post margin to its FCM in an amount equal to 
the margin required by the relevant

[[Page 45345]]

exchanges, and transfer to its FCM any additional amounts that may be 
separately required by the FCM.
    According to the Registration Statement, most of the daily trading 
takes place over phones and instant messaging platforms.\10\ Trading 
screens also exist and some trading also happens through such screens. 
Brokers are required to report to the relevant exchanges each trade 
that takes place. Freight Futures liquidity has remained relatively 
constant, in lot terms, over the last five years with approximately 1.1 
million lots trading annually. Open interest currently stands at 
approximately 290,000 lots across all asset classes representing an 
estimated value of more than $3 billion. Of such open interest, 
Capesize contracts account for approximately 50%, Panamax for 
approximately 40% and Handymax for approximately 10%. Major market 
participants in Freight Futures market include: Commodity producers, 
commodity users, commodity trading houses, ship operators, major banks, 
investment funds and independent ship owners.
---------------------------------------------------------------------------

    \10\ Freight Futures are primarily traded through broker members 
of the Forward Freight Agreement Brokers Association (``FFABA''), 
such as Clarkson's Securities, Simpson Spence Young, Freight 
Investor Services, GFI Group, BRS Group and ICAP.
---------------------------------------------------------------------------

Calculating Net Asset Value (``NAV'')
    The Fund's NAV will be calculated by taking the current market 
value of its total assets, subtracting any liabilities; and dividing 
that total by the total number of outstanding Shares.
    The Administrator will calculate the NAV of the Fund once each NYSE 
Arca trading day. The NAV for a particular trading day will be released 
after 4:00 p.m. E.T. The Administrator will use the Baltic Exchange 
closing price for the Freight Futures, but will calculate or determine 
the value of all other Fund investments using market quotations, if 
available, or other information customarily used to determine the fair 
value of such investments as of the earlier of the close of the NYSE 
Arca Core Trading Session (normally 4:00 p.m. E.T.). The information 
may include costs of funding, to the extent costs of funding are not 
and would not be a component of the other information being utilized. 
Third parties supplying quotations or market data may include, without 
limitation, dealers in the relevant markets, end-users of the relevant 
product, information vendors, brokers and other sources of market 
information.
Indicative Fund Value
    In order to provide updated information relating to the Fund for 
use by investors and market professionals, an updated indicative fund 
value (``IFV'') will be made available through on-line information 
services throughout the Exchange Core Trading Session (normally 9:30 
a.m. to 4:00 p.m., E.T.) on each trading day. The IFV will be 
calculated by using the prior day's closing NAV per Share of the Fund 
as a base and updating that value throughout the trading day to reflect 
changes in the most recently reported trade price for the futures and/
or options held by the Fund. The IFV disseminated during NYSE Arca Core 
Trading Session hours should not be viewed as an actual real time 
update of the NAV, because the NAV will be calculated only once at the 
end of each trading day based upon the relevant end of day values of 
the Fund's investments.
    The IFV will be disseminated on a per Share basis every 15 seconds 
during regular NYSE Arca Core Trading Session hours of 9:30 a.m. E.T. 
to 4:00 p.m. E.T. The customary trading hours of the Freight Futures 
trading are 3:00 a.m. E.T. to 12:00 p.m. E.T. This means that there is 
a gap in time at the end of each day during which the Fund's Shares 
will be traded on the NYSE Arca, but real-time trading prices for 
contracts are not available. During such gaps in time the IFV will be 
calculated based on the end of day price of such contracts from the 
Baltic Exchange's immediately preceding trading session. In addition, 
other investments and U.S. Treasuries held by the Fund will be valued 
by the Administrator using rates and points received from client-
approved third party vendors (such as Reuters and WM Company) and 
broker-dealer quotes. These investments will not be included in the 
IFV.
    Dissemination of the IFV provides additional information that is 
not otherwise available to the public and is useful to investors and 
market professionals in connection with the trading of the Fund's 
Shares on the NYSE Arca. Investors and market professionals are able 
throughout the trading day to compare the market price of Fund Shares 
and the IFV. If the market price of the Fund Shares diverges 
significantly from the IFV, market professionals will have an incentive 
to execute arbitrage trades. For example, if the Fund's Shares appears 
to be trading at a discount compared to the IFV, a market professional 
could buy the Fund's Shares on the NYSE Arca and take the opposite 
position in Freight Futures. Such arbitrage trades can tighten the 
tracking between the market price of the Fund's Shares and the IFV and 
thus can be beneficial to all market participants.
Creation and Redemption of Shares
    According to the Registration Statement, the Fund will create and 
redeem Shares from time to time in one or more ``Creation Baskets'' or 
``Redemption Baskets'' (collectively, the ``Baskets''). A Basket 
consists of 50,000 Shares. The creation and redemption of Baskets will 
only be made in exchange for delivery to the Fund or the distribution 
by the Fund of the amount of Treasuries and any cash represented by the 
Baskets being created or redeemed, the amount of which is based on the 
combined NAV of the number of Shares included in the Baskets being 
created or redeemed determined as of 4:00 p.m. E.T. on the day the 
order to create or redeem Baskets is properly received.
    ``Authorized Participants'' are the only persons that may place 
orders to create and redeem Baskets. Authorized Participants must be 
(1) registered broker-dealers or other securities market participants, 
such as banks and other financial institutions, that are not required 
to register as broker-dealers to engage in securities transactions 
described below, and (2) Depository Trust Company (``DTC'') 
participants.
Creation Procedures
    On any business day, an Authorized Participant may place an order 
with the Transfer Agent to create one or more Baskets. For purposes of 
processing purchase and redemption orders, a ``business day'' means any 
day other than a day when any of the NYSE Arca, the Baltic Exchange or 
the New York Stock Exchange is closed for regular trading. Purchase 
orders must be placed by 1:00 p.m. E.T. or the close of the Core 
Trading Session on NYSE Arca, whichever is earlier. The day on which a 
valid purchase order is received in accordance with the terms of the 
``Authorized Participant Agreement'' is referred to as the purchase 
order date. Purchase orders are irrevocable.
Determination of Required Payment
    The total payment required to create each Creation Basket is the 
NAV of 50,000 Shares on the purchase order date, but only if the 
required payment is timely received. To calculate the NAV, the 
Administrator will use the Baltic Exchange settlement price (typically 
determined after 2:00 p.m. E.T.) for the Freight Futures. Because 
orders to purchase Baskets must be placed no later than 1:00 p.m., 
E.T., but

[[Page 45346]]

the total payment required to create a Basket typically will not be 
determined until after 2:00 p.m., E.T., on the date the purchase order 
is received, Authorized Participants will not know the total amount of 
the payment required to create a Basket at the time they submit an 
irrevocable purchase order.
Delivery of Required Payment
    An Authorized Participant who places a purchase order shall 
transfer to the Administrator the required amount of Freight Futures, 
U.S. Treasuries and/or cash, or a combination of them, by the end of 
the next business day following the purchase order date. Upon receipt 
of the deposit amount, the Administrator will direct DTC to credit the 
number of Baskets ordered to the Authorized Participant's DTC account 
on the next business day following the purchase order date.
Redemption Procedures
    According to the Registration Statement, the procedures by which an 
Authorized Participant can redeem one or more Baskets will mirror the 
procedures for the creation of Baskets. On any business day, an 
Authorized Participant may place an order with the Transfer Agent, and 
accepted by the Distributor, to redeem one or more Baskets. Redemption 
orders must be placed by 1:00 p.m. E.T. or the close of the Core 
Trading Session on the NYSE Arca, whichever is earlier. A redemption 
order so received will be effective on the date it is received in 
satisfactory form in accordance with the terms of the Authorized 
Participant Agreement. The day on which the Marketing Agent receives a 
valid redemption order is the redemption order date. Redemption orders 
are irrevocable. By placing a redemption order, an Authorized 
Participant agrees to deliver the baskets to be redeemed through DTC's 
book-entry system to the Fund not later than 1:00 p.m., E.T., on the 
next business day immediately following the redemption order date.
Determination of Redemption Proceeds
    The redemption proceeds from the Fund will consist of a cash 
redemption amount equal to the NAV of the number of Baskets requested 
in the Authorized Participant's redemption order on the redemption 
order date.
    Because orders to redeem Baskets must be placed no later than 1:00 
p.m., E.T., but the total amount of redemption proceeds typically will 
not be determined until after 2:00 p.m., E.T., on the date the 
redemption order is received, Authorized Participants will not know the 
total amount of the redemption proceeds at the time they submit an 
irrevocable redemption order.
    The redemption proceeds due from the Fund will be delivered to the 
Authorized Participant at 1:00 p.m., E.T., on the next business day 
immediately following the redemption order date if, by such time, the 
Fund's DTC account has been credited with the Baskets to be redeemed.
Availability of Information
    The NAV for the Fund's Shares will be disseminated daily to all 
market participants at the same time. The intraday, closing prices, and 
settlement prices of the Freight Futures will be readily available from 
the applicable futures exchange Web sites, automated quotation systems, 
published or other public sources, or major market data vendors.
    Complete real-time data for Freight Futures is available by 
subscription through on-line information services. Quotation and last-
sale information regarding the Shares will be disseminated through the 
facilities of the Consolidated Tape Association (``CTA''). The IFV will 
be available through on-line information services. The Freight Futures 
trading prices will be disseminated by one or more major market data 
vendors during the NYSE Arca Core Trading Session of 9:30 a.m. to 4:00 
p.m. E.T. Nasdaq OMX-Stockholm AB, SGX, CME, ICE Futures US and EEX 
provide on a daily basis, transaction volumes, transaction prices, 
trade time, and open interest on their respective Web sites. In 
addition, historical data also exists for volumes and open interest. 
Daily settlement prices and historical settlement prices are available 
through a subscription service to the Baltic Exchange, which maintains 
the licensing rights of relevant freight data. However, the exchanges 
provide the daily settlement price change of Freight Futures on their 
respective Web sites. Certain Freight Futures brokers provide real time 
pricing information to the general public either through their Web 
sites or through data vendors such as Bloomberg or Reuters. Most 
Freight Futures brokers provide, upon request, individual electronic 
screens that market participants can use to transact, place orders or 
only monitor Freight Futures market price levels.
    In addition, the Fund's Web site, www.drybulketf.com, will display 
the applicable end of day closing NAV. The Freight Futures currently 
constituting the Benchmark Portfolio, as well as the daily holdings of 
the Fund will be available on the Fund's Web site. The daily holdings 
of the Benchmark Portfolio and the Fund will be available on the Fund's 
Web site before 9:30 a.m. E.T. each day. The Web site disclosure of 
portfolio holdings will be made daily and will include, as applicable, 
(i) the composite value of the total portfolio, (ii) the quantity and 
type of each holding (including the ticker symbol, maturity date or 
other identifier, if any) and other descriptive information including, 
in the case of an option, its strike price, (iii) the value of each 
Freight Futures (in U.S. dollars), (iv) the type (including maturity, 
ticker symbol, or other identifier) and value of each Treasury security 
and cash equivalent, and (v) the amount of cash held in the Fund's 
portfolio. The Fund's Web site will be publicly accessible at no 
charge.
    The daily closing Benchmark Portfolio level and the percentage 
change in the daily closing level for the Benchmark Portfolio will be 
publicly available from one or more major market data vendors. The 
intraday value of the Benchmark Portfolio, updated every 15 seconds, 
will also be available through major market data vendors.
    This Web site disclosure of the Benchmark Portfolio's and the 
Fund's daily holdings will occur at approximately the same time as the 
disclosure by the Trust of the daily holdings to Authorized 
Participants so that all market participants are provided daily 
holdings information at approximately the same time. Therefore, the 
same holdings information will be provided on the public Web site as 
well as in electronic files provided to Authorized Participants. 
Accordingly, each investor will have access to the current daily 
holdings of the Fund through the Fund's Web site.
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 of the Fund.\11\ Trading in Shares of the Fund 
will be halted if the circuit breaker parameters in NYSE Arca Rule 
7.12-E have been reached. Trading also may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares of the Fund inadvisable.
---------------------------------------------------------------------------

    \11\ See NYSE Arca Rule 7.12-E.
---------------------------------------------------------------------------

    The Exchange may halt trading during the day in which an 
interruption to the dissemination of the IFV or the value of the 
Benchmark Portfolio occurs. If the interruption to the dissemination of 
the IFV, or the value of the Benchmark Portfolio persists past the 
trading day in which it occurred, the Exchange will

[[Page 45347]]

halt trading no later than the beginning of the trading day following 
the interruption. In addition, if the Exchange becomes aware that the 
NAV with respect to the Shares is not disseminated to all market 
participants at the same time, it will halt trading in the Shares until 
such time as the NAV is available to all market participants.
Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities. Shares will trade on 
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. in accordance with 
NYSE Arca Rule 7.34-E (Early, Core, and Late Trading Sessions). The 
Exchange has appropriate rules to facilitate transactions in the Shares 
during all trading sessions. As provided in NYSE Arca Rule 7.6-E, the 
minimum price variation (``MPV'') for quoting and entry of orders in 
equity securities traded on the NYSE Arca Marketplace is $0.01, with 
the exception of securities that are priced less than $1.00 for which 
the MPV for order entry is $0.0001.
    The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Rule 8.200-E. The trading of the Shares will 
be subject to NYSE Arca Rule 8.200-E, Commentary .02(e), which sets 
forth certain restrictions on Equity Trading Permit (``ETP'') Holders 
acting as registered Market Makers in Trust Issued Receipts to 
facilitate surveillance. The Exchange represents that, for initial and/
or continued listing, the Funds will be in compliance with Rule 10A-
3\12\ under the Act, as provided by NYSE Arca Rule 5.3-E. A minimum of 
100,000 Shares will be outstanding at the commencement of trading on 
the Exchange.
---------------------------------------------------------------------------

    \12\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

Surveillance
    The Exchange represents that trading in the Shares will be subject 
to the existing trading surveillances administered by the Exchange, as 
well as cross-market surveillances administered by the Financial 
Industry Regulatory Authority (``FINRA'') on behalf of the Exchange, 
which are designed to detect violations of Exchange rules and 
applicable federal securities laws.\13\ The Exchange represents that 
these procedures are adequate to properly monitor Exchange trading of 
the Shares of the Funds in all trading sessions and to deter and detect 
violations of Exchange rules and federal securities laws applicable to 
trading on the Exchange.
---------------------------------------------------------------------------

    \13\ 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 Freight 
Futures with other markets and 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 Freight 
Futures from such markets and other entities. In addition, the Exchange 
may obtain information regarding trading in the Shares and Freight 
Futures from markets and other entities that are members of ISG or with 
which the Exchange has in place a comprehensive surveillance sharing 
agreement (``CSSA'').\14\
---------------------------------------------------------------------------

    \14\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Funds may trade on markets that are members of ISG or with which the 
Exchange has in place a CSSA.
---------------------------------------------------------------------------

    Not more than 10% of the net assets of the Fund in the aggregate 
invested in Freight Futures shall consist of Freight Futures whose 
principal market is not a member of the ISG or is a market with which 
the Exchange does not have 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 portfolios, (b) limitations on portfolio 
holdings or reference assets, or (c) applicability of Exchange listing 
rules specified in this 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 the Fund is not in compliance with 
the applicable listing requirements, the Exchange will commence 
delisting procedures under NYSE Arca Rule 5.5-E(m).
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders in an Information Bulletin of the special characteristics 
and risks associated with trading the Shares. Specifically, the 
Information Bulletin will discuss the following: (1) The risks involved 
in trading the Shares during the Early and Late Trading Sessions when 
an updated IFV will not be calculated or publicly disseminated; (2) the 
procedures for purchases and redemptions of Shares in Creation Baskets 
and Redemption Baskets (and that Shares are not individually 
redeemable); (3) NYSE Arca Rule 9.2-E(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; (4) how information 
regarding the IFV is disseminated; (5) how information regarding 
portfolio holdings is disseminated; (6) the requirement that ETP 
Holders deliver a prospectus to investors purchasing newly issued 
Shares prior to or concurrently with the confirmation of a transaction; 
and (7) trading information.
    In addition, the Information Bulletin will advise ETP Holders, 
prior to the commencement of trading, of the prospectus delivery 
requirements applicable to the Fund. The Exchange notes that investors 
purchasing Shares directly from the Fund will receive a prospectus. ETP 
Holders purchasing Shares from the Fund for resale to investors will 
deliver a prospectus to such investors. The Information Bulletin will 
also discuss any exemptive, no-action, and interpretive relief granted 
by the Commission from any rules under the Act. In addition, the 
Information Bulletin will reference that the Fund is subject to various 
fees and expenses described in the Registration Statement. The 
Information Bulletin will also reference that the CFTC has regulatory 
jurisdiction over the trading of Freight Futures traded on U.S. 
markets.
    The Information Bulletin will also disclose the trading hours of 
the Shares and that the NAV for the Shares will be calculated after 
4:00 p.m. E.T. each trading day. The Information Bulletin will disclose 
that information about the Shares will be publicly available on the 
Fund's Web site.
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders of the suitability requirements of NYSE Arca Rule 9.2-E(a) 
in an Information Bulletin. Specifically, ETP Holders will be

[[Page 45348]]

reminded in the Information Bulletin that, in recommending transactions 
in the Shares, they must have a reasonable basis to believe that (1) 
the recommendation is suitable for a customer given reasonable inquiry 
concerning the customer's investment objectives, financial situation, 
needs, and any other information known by such ETP Holder, and (2) the 
customer can evaluate the special characteristics, and is able to bear 
the financial risks, of an investment in the Shares. In connection with 
the suitability obligation, the Information Bulletin will also provide 
that ETP Holders must make reasonable efforts to obtain the following 
information: (1) The customer's financial status; (2) the customer's 
tax status; (3) the customer's investment objectives; and (4) such 
other information used or considered to be reasonable by such ETP 
Holder or registered representative in making recommendations to the 
customer.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \15\ 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.
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    \15\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NYSE Arca Rule 8.200-E. The 
Exchange has in place surveillance procedures that are adequate to 
properly monitor trading in the Shares of the Fund in all trading 
sessions and to deter and detect violations of Exchange rules and 
applicable federal securities laws. The Exchange or FINRA, on behalf of 
the Exchange, or both, will communicate as needed regarding trading in 
the Shares and Freight Futures with other markets and 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 Freight Futures from such markets and other entities. 
In addition, the Exchange may obtain information regarding trading in 
the Shares and Freight Futures from markets and other entities that are 
members of ISG or with which the Exchange has in place a CSSA.\16\ Not 
more than 10% of the net assets of the Fund in the aggregate invested 
in Freight Futures shall consist of Freight Futures whose principal 
market is not a member of the ISG or is a market with which the 
Exchange does not have a CSSA. The Exchange will make available on its 
Web site daily trading volume of each of the Shares, closing prices of 
such Shares, and number of Shares outstanding. The intraday, closing 
prices, and settlement prices of Freight Futures will be readily 
available from the Baltic Exchange Web site, automated quotation 
systems, published or other public sources, or on-line information 
services.
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    \16\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
funds may trade on markets that are members of ISG or with which the 
Exchange has in place a CSSA
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    Complete real-time data for the Freight Futures is available by 
subscription from on-line information services. Quotation and last-sale 
information regarding the Shares will be disseminated through the 
facilities of the CTA. The IFV will be available through on-line 
information services. The Freight Futures trading prices will be 
disseminated by one or more major market data vendors every 15 seconds 
during the NYSE Arca Core Trading Session of 9:30 a.m. to 4:00 p.m. 
E.T. Nasdaq OMX-Stockholm AB, SGX, CME, ICE Futures US and EEX provide 
on a daily basis, transaction volumes, transaction prices, trade time, 
and open interest on their respective Web sites. In addition, the 
Fund's Web site, will display the applicable end of day closing NAV. 
The daily holdings of the Fund will be disclosed on the Fund's Web site 
before 9:30 a.m. E.T. each day. The daily holdings of the Fund will be 
available on the Fund's Web site before 9:30 a.m. E.T. each day. The 
Fund's Web site disclosure of portfolio holdings will be made daily and 
will include, as applicable, (i) the composite value of the total 
portfolio, (ii) the quantity and type of each holding (including the 
ticker symbol, maturity date or other identifier, if any) and other 
descriptive information including, in the case of an option, its strike 
price, (iii) the value of each Freight Futures (in U.S. dollars), (iv) 
the type (including maturity, ticker symbol, or other identifier) and 
value of each Treasury security and cash equivalent, and (v) the amount 
of cash held in the Fund's portfolio.
    Moreover, prior to the commencement of trading, the Exchange will 
inform its Equity Trading Permit Holders in an Information Bulletin of 
the special characteristics and risks associated with trading the 
Shares. Trading in Shares of the Fund will be halted if the circuit 
breaker parameters in NYSE Arca Rule 7.12-E have been reached or 
because of market conditions or for reasons that, in the view of the 
Exchange, make trading in the Shares inadvisable.
    The proposed rule change is designed to perfect the mechanism of a 
free and open market and, in general, to protect investors and the 
public interest in that it will facilitate the listing and trading of 
Trust Issued Receipts based on Freight Futures 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 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.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purpose of the Act. The Exchange notes that the 
proposed rule change will facilitate the listing and trading of a new 
type of Trust Issued Receipts based on Freight Futures and that will 
enhance competition among market participants, to the benefit of 
investors and the marketplace.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    No written comments were solicited or received with respect to the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove the proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing,

[[Page 45349]]

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 (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2017-107 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-2017-107. 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 (http://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-2017-107, and 
should be submitted on or before October 19, 2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\17\
Eduardo A. Aleman,
Assistant Secretary.
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    \17\ 17 CFR 200.30-3(a)(12).
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[FR Doc. 2017-20751 Filed 9-27-17; 8:45 am]
 BILLING CODE 8011-01-P