Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change To List and Trade the Shares of ConvexityShares Daily 1.5x SPIKES Futures ETF Under NYSE Arca Rule 8.200-E (Trust Issued Receipts), 28420-28425 [2021-11079]
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Federal Register / Vol. 86, No. 100 / Wednesday, May 26, 2021 / Notices
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
internet website (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for website 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.
Persons submitting comments are
cautioned that we do not redact or edit
personal identifying information from
comment submissions. You should
submit only information that you wish
to make available publicly. All
submissions should refer to File
Number SR–Phlx–2021–31 and should
be submitted on or before June 16, 2021.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.11
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021–11076 Filed 5–25–21; 8:45 am]
BILLING CODE 8011–01–P
(‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the self-regulatory organization. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to list and
trade the shares of the following under
NYSE Arca Rule 8.200–E, Commentary
.02 (‘‘Trust Issued Receipts’’):
ConvexityShares Daily 1.5x SPIKES
Futures ETF. The proposed change is
available on the Exchange’s website 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
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–91949; File No. SR–
NYSEArca–2021–28]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing of Proposed
Rule Change To List and Trade the
Shares of ConvexityShares Daily 1.5x
SPIKES Futures ETF Under NYSE Arca
Rule 8.200–E (Trust Issued Receipts)
May 20, 2021.
19(b)(1) 1
Pursuant to Section
of the
Securities Exchange Act of 1934
(‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that on May 13,
2021, NYSE Arca, Inc. (‘‘NYSE Arca’’ or
the ‘‘Exchange’’) filed with the
Securities and Exchange Commission
11 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 15 U.S.C. 78a.
3 17 CFR 240.19b–4.
1 15
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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: ConvexityShares Daily 1.5x
SPIKES Futures ETF (the ‘‘Fund’’).4
The Fund is a series of the
ConvexityShares Trust (the ‘‘Trust’’), a
Delaware statutory trust.5 The Fund is
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 December 15, 2020, ConvexityShares Trust
submitted to the Commission its draft registration
statement, with respect to the Trust, on Form S–1
(‘‘Registration Statement’’) under the Securities Act
of 1933 (‘‘1933 Act’’). The Jumpstart Our Business
Startups Act, enacted on April 5, 2012, added
Section 6(e) to the 1933 Act. Section 6(e) of the
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managed and controlled by its sponsor
and investment manager,
ConvexityShares, LLC (the ‘‘Sponsor’’).
The Fund is a commodity pool and the
Sponsor is a commodity pool operator
subject to regulation by the Commodity
Futures Trading Commission (‘‘CFTC’’)
and the National Futures Association
under the Commodity Exchange Act, as
amended. U.S. Bank, a national banking
association, will provide custody and
fund accounting to the Trust and the
Fund. Its affiliate, U.S. Bancorp Fund
Services, will be the transfer agent
(‘‘Transfer Agent’’) for Fund Shares and
administrator for the Fund. Foreside
will serve as the distributor for the Fund
(‘‘Distributor’’).
According to the Registration
Statement, the Fund is benchmarked to
the T3 SPIKE Front 2 Futures Index (the
‘‘Index’’), an investable index of SPIKES
futures contracts. The Fund will seek to
offer exposure to forward equity market
volatility by obtaining exposure to the
components of the Index. The Index, as
described further below, is intended to
reflect the returns that are potentially
available through an unleveraged
investment in the SPIKES futures
contracts comprising the Index.6 The
Index consists of short-term SPIKES
1933 Act provides that an ‘‘emerging growth
company’’ may confidentially submit to the
Commission a draft registration statement for
confidential, non-public review by the Commission
staff prior to public filing, provided that the initial
confidential submission and all amendments
thereto shall be publicly filed not later than 21 days
before the date on which the issuer conducts a road
show, as such term is defined in 1933 Act Rule
433(h)(4). An emerging growth company is defined
in Section 2(a)(19) of the 1933 Act as an issuer with
less than $1,000,000,000 total annual gross
revenues during its most recently completed fiscal
year. The Trust meets the definition of an emerging
growth company and consequently has submitted
its Registration Statement on a confidential basis
with the Commission. The Exchange will not
commence trading in Shares of the Fund until the
Registration Statement becomes effective.
6 The Index is sponsored by Triple Three Partners
Pty Ltd, which licenses the use of the Index to its
affiliated company, T3i Pty Ltd (Triple Three
Partners Pty Ltd and T3i Pty Ltd. are collectively
referred to herein as ‘‘T3 Index’’ or the ‘‘Index
Sponsor’’). T3 Index maintains a website at https://
t3index.com/. The Index Sponsor is affiliated with
the Sponsor. The Index Sponsor has implemented
and will maintain a fire wall regarding access to
information concerning the composition and/or
changes to the Index. In addition, the Index
Sponsor has implemented and will maintain
procedures that are designed to prevent the use and
dissemination of material, non-public information
regarding the Index. The Index Sponsor is not
registered as an investment adviser or broker-dealer
and is not affiliated with any broker-dealers. The
Sponsor is not registered as a broker-dealer or
affiliated with a broker-dealer. In the event the
Sponsor becomes registered as a broker-dealer or
becomes affiliated with a broker-dealer, it will
implement and maintain a fire wall with respect to
its relevant personnel or its broker-dealer affiliate
regarding access to and dissemination of material
non-public information regarding the Index.
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futures contracts and measures the daily
performance of a theoretical portfolio of
first- and second-month futures
contracts on the SPIKES Volatility Index
(‘‘SPIKES Index’’).7 The SPIKES Index is
a non-investable index that measures
the implied volatility of the SPDR S&P
500 ETF 8 Trust (‘‘SPY’’).9 The Fund is
not benchmarked to the SPIKES Index.
The Index is owned and maintained
by T3 Index and is calculated and
published by Solactive AG
(‘‘Solactive’’). Solactive is not affiliated
with T3 Index. The Index value
calculated at the end of each business
day will be available at
www.convexityshares.com. The Fund’s
website will also provide information
regarding the SPIKES futures contracts
constituting the Index and the Index
methodology. Futures contracts on the
SPIKES Index, which futures comprise
the Index, are traded on the
Minneapolis Grain Exchange, LLC
(‘‘MGEX’’) via the CME Globex®
platform.
According to the Registration
Statement, the Fund will seek daily
investment results, before fees and
expenses, that correspond to one-and-ahalf times (1.5x) the performance of the
Index for a single day. A ‘‘single day’’
is measured from the time the Fund
calculates its net asset value (‘‘NAV’’) to
the time of the Fund’s next NAV
calculation. The NAV calculation time
for the Fund is typically is 4:00 p.m.
(Eastern Time (‘‘E.T.’’)). The NAV will
be calculated by taking the current
market value of the Fund’s total assets
(after the close of the NYSE Arca Core
Trading Session (normally, 4:00 p.m.,
E.T.)), subtracting any liabilities, and
dividing that total by the total number
of outstanding Shares.
Description of the Index
According to the Registration
Statement, the Index employs rules for
selecting the SPIKES futures contracts
7 T3 Index is the owner, creator and licensor of
the SPIKES Index. The SPIKES Index is calculated,
maintained and published by Miami International
Securities Exchange, LLC (‘‘MIAX’’) via the Options
Price Reporting Authority.
8 SPDR S&P 500 ETF Trust is a unit investment
trust that holds a portfolio of common stocks that
closely tracks the price performance and dividend
yield of the S&P 500 Composite Price Index (‘‘S&P
500’’). Shares of the SPDR S&P 500 ETF Trust trade
on the Exchange under the symbol ‘‘SPY.’’
9 According to the Registration Statement, the
market’s current expectation of the possible rate
and magnitude of movements in an index is
commonly referred to as the ‘‘implied volatility’’ of
the index. For these purposes, ‘‘implied volatility’’
is a measure of the expected volatility of SPY over
the next 30 days. The SPIKES Index does not
represent the actual or the realized volatility of
SPY. The SPIKES Index is calculated based on the
prices of a constantly changing portfolio of SPY put
and call options.
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comprising the Index and a formula to
calculate a level for the Index from the
prices of these SPIKES futures contracts.
Currently, the SPIKES futures contracts
comprising the Index represent the
prices of two near-term SPIKES futures
contracts, replicating a position that
rolls the nearest month SPIKES futures
contracts to the next month SPIKES
futures contracts at or close to the daily
settlement price via a Trade-AtSettlement 10 program towards the end
of each business day in equal fractional
amounts. This results in a constant
weighted average maturity of one
month. The rules applicable to the
Index are subject to change by T3 Index.
The level of the Index is published by
one or more major market data vendors
in real time at least once every 15
seconds and at the close of trading in
the Exchange’s Core Trading Session
(normally 4:00 p.m., E.T.) on each
business day.
The Index is comprised solely of
SPIKES futures contracts. SPIKES
futures contracts were launched for
trading by MGEX, via the CME Globex®
platform, on December 14, 2020.
According to the Registration Statement,
SPIKES futures contracts allow
investors to invest based on their view
of the forward implied market volatility
of SPY. Investors that believe the
forward implied market volatility of
SPY will increase may buy SPIKES
futures contracts. Conversely, investors
that believe that the forward implied
market volatility of SPY will decline
may sell SPIKES futures contracts.
While the SPIKES Index represents a
measure of the expected 30-day
volatility of SPY, the prices of SPIKES
futures contracts are based on the
current expectation of the expected 30day volatility of SPY on the expiration
date of the futures contract.
10 A Trade at Settlement (‘‘TAS’’) is a transaction
at a price equal to the daily settlement price, or at
a specified differential above or below the daily
settlement price. The TAS transaction price will be
determined following execution and based upon the
daily settlement price of the respective SPIKES
futures contract month. TAS transactions are
permitted in the SPIKES futures contract as outright
or spread transactions. TAS transactions are
available for trading only during the regular Hours
of Trading of 8:30 a.m.–2:58 p.m. Central Time.
However, TAS transactions in an expiring SPIKES
futures contract are not permitted during the
Business Day of its final settlement date. The
permissible price range for permitted TAS
transactions is from 0.50 index points below the
daily settlement price to 0.50 index points above
the daily settlement price. The permissible
minimum increment for a TAS transaction is 0.01
index points. See MGEX Rule 83.15 at https://
www.mgex.com/documents/20210318Rulebook.pdf. The term ‘‘Business Day’’ means a
day when MGEX is open for business, and the term
‘‘Hours of Trading’’ means the hours, on business
days, established by MGEX Rules for trading. See
MGEX Rules, Chapter 1.
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28421
SPIKES Index
According to the Registration
Statement, the SPIKES Index is an index
designed to measure the implied
volatility of SPY over 30 days in the
future. The SPIKES Index is calculated
based on the prices of certain put and
call options on SPY. The SPIKES Index
is reflective of the premium paid by
investors for certain options linked to
the level of the S&P 500. The SPIKES
Index is a theoretical calculation and
cannot be traded on a spot basis. The
SPIKES Index is reported by Bloomberg
Finance L.P. and Reuters under the
ticker symbol ‘‘SPIKE.’’ The SPIKES
Index is calculated and disseminated
every 100 milliseconds.
Investment Objectives and Strategies
According to the Registration
Statement, the Fund will seek daily
investment results, before fees and
expenses, that correspond to one-and-ahalf times (1.5x) the performance of the
Index for a single day. The Fund is
benchmarked to the Index, which is
comprised of SPIKES futures contracts,
and will seek to offer exposure to
market volatility through publicly
traded futures markets.
Under normal market conditions,11
the Fund will invest primarily in
SPIKES futures contracts to gain the
appropriate exposure to the Index.
Under certain circumstances, the Fund
may also invest in futures contracts and
swap contracts (‘‘VIX Related
Positions’’) on the Cboe Volatility Index
(‘‘VIX’’),12 an index that tracks volatility
and would be expected to perform in a
substantially similar manner as the
SPIKES Index.
In seeking to achieve the Fund’s
investment objective, the Sponsor will
use a mathematical approach to
investing. Using this approach, the
Sponsor determines the type, quantity
and mix of investments that the Sponsor
believes, in combination, should
produce daily returns consistent with
the Fund’s objective.
The Fund seeks to achieve its
investment objective through the
appropriate amount of exposure to the
SPIKES futures contracts included in
the Index. The Fund will not directly
11 The term ‘‘normal market conditions’’ includes,
but is not limited to, the absence of trading halts
in the applicable financial markets generally;
operational issues (e.g., systems failure) causing
dissemination of inaccurate market information; or
force majeure type events such as natural or
manmade disaster, act of God, armed conflict, act
of terrorism, riot or labor disruption or any similar
intervening circumstance.
12 The VIX Index is a measure of estimated nearterm future volatility based upon the weighted
average of the implied volatilities of near-term put
and call options on the S&P 500.
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invest in the SPIKES Index. In addition,
under specified circumstances
described below, the Fund may invest
in VIX Related Positions.
In the event accountability rules,
price limits, position limits, margin
limits or other exposure limits are
reached with respect to SPIKES futures
contracts, the Sponsor may cause the
Fund to invest in VIX Related Positions.
According to the Registration Statement,
the Sponsor expects the Fund’s
positions in VIX Related Positions to
consist primarily of VIX futures
contracts.13 In the event accountability
rules, price limits, position limits,
margin limits or other exposure limits
are reached with respect to VIX futures
contracts, or if the market for a specific
VIX futures contract experiences
emergencies or disruptions or in
situations where the Sponsor deems it
impractical or inadvisable to buy or sell
VIX futures contracts, the Fund would
hold VIX swap agreements.
The Fund will also hold cash or cash
equivalents such as U.S. Treasury
securities or other high credit quality,
short-term fixed-income or similar
securities (such as shares of money
market funds) as collateral for
investments and pending investments.
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 Units’’ or
‘‘Redemption Units’’ (together, ‘‘Units’’).
A Unit consists of 25,000 Shares. The
size of a Unit is subject to change. The
creation and redemption of Units are
made in exchange for delivery to the
Fund or the distribution by the Fund of
the amount of cash represented by the
Units being created or redeemed, the
amount of which is based on the
combined NAV of the number of Shares
included in the Units being created or
redeemed determined as of 4:00 p.m.
E.T. on the day the order to create or
redeem Units is properly received. If
permitted by the Sponsor in its sole
discretion with respect to the Fund, an
‘‘Authorized Participant’’ may also agree
to enter into or arrange for an exchange
of a futures contract for related position
(‘‘EFCRP’’) or block trade with the Fund
whereby the Authorized Participant
would also transfer to the Fund a
number and type of exchange-traded
futures contracts at or near the closing
settlement price for such contracts on
the purchase order date. Similarly, the
Sponsor in its sole discretion may agree
with an Authorized Participant to use
13 Futures on the VIX are traded on the Cboe
Futures Exchange.
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Jkt 253001
an EFCRP to effect an order to redeem
Units.14 All APs would be able to use
an EFCRP to effect orders to create or
redeem Units.
Authorized Participants are the only
persons that may place orders to create
and redeem Units. 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, and (2)
Depository Trust Company participants.
Creation Procedures
According to the Registration
Statement, on any business day, an
Authorized Participant may place an
order to create one or more Units.15
Purchase orders must be placed by 2:00
p.m. E.T. or the close of the Core
Trading Session on the NYSE Arca,
whichever is earlier. Purchase orders are
irrevocable.
The total payment required to create
each Creation Unit is the NAV of 25,000
Shares on the purchase order date.
Redemption Procedures
According to the Registration
Statement, the procedures by which an
Authorized Participant can redeem one
or more Units mirror the procedures for
the creation of Units. 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 Units. Redemption
orders must be placed by 2:00 p.m. E.T.
or the close of the Core Trading Session
on the NYSE Arca, whichever is earlier.
Redemption orders are irrevocable.
Upon request of an Authorized
Participant made at the time of a
redemption order, the Sponsor at its
sole discretion may determine, in
addition to delivering redemption
proceeds, to transfer futures contracts to
the Authorized Participant pursuant to
an EFCRP or to a block trade sale of
futures contracts to the Authorized
Participant.
14 According to the Registration Statement, an
EFCRP is a technique permitted by the rules of
certain futures exchanges that, as utilized by the
Fund in the Sponsor’s discretion, would allow the
Fund to take a position in a futures contract from
an Authorized Participant, or give futures contracts
to an Authorized Participant, in the case of a
redemption, rather than to enter the futures
exchange markets to obtain such a position.
15 For purposes of processing purchase and
redemption orders for the Fund, a ‘‘business day’’
means any day other than a day when any of NYSE
Arca, the New York Stock Exchange, MGEX or other
exchange material to the valuation or operation of
the Fund, or the calculation of the SPIKES Index,
options contracts underlying the SPIKES Index,
SPIKES futures contracts or the Index is closed for
regular trading.
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Determination of Redemption Proceeds
The redemption proceeds from the
Fund consist of the cash redemption
amount and, if permitted by the Sponsor
in its sole discretion with respect to the
Fund, an EFCRP or block trade with the
Fund as described above. The
redemption proceeds from the Fund
consist of a cash redemption amount
equal to the NAV of the number of Units
requested in the Authorized
Participant’s redemption order on the
redemption order date, less transaction
fees and any amounts attributable to any
applicable EFCRP or block trade.
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 calculated. The IFV will
be calculated by using the prior day’s
closing NAV per Share of the Fund as
a base and will be updating throughout
the Core Trading Session of 9:30 a.m.
E.T. to 4:00 p.m. E.T. to reflect changes
in the approximate aggregate per Share
value of the investments held by the
Fund based on the most recently
available prices for the Fund’s
investments. The IFV will be
disseminated on a per Share basis every
15 seconds during the Exchange’s Core
Trading Session and be widely
disseminated by one or more major
market data vendors during the NYSE
Arca Core Trading Session. The IFV will
be readily available from the Fund’s
website, automated quotation systems,
published or other public sources, or
major market data vendors’ website or
on-line information services.
Availability of Information
The NAV for the Fund’s Shares will
be disseminated daily to all market
participants at the same time, after 4
p.m. each day. In addition, the Fund’s
website, www.convexityshares.com, will
display the end of day closing NAV. The
daily holdings of the Fund will be
available on the Fund’s website before
9:30 a.m. E.T. each day. The website
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 a
swap, the type of swap, its notional
value and the underlying instrument,
index or asset on which the swap is
based, (iii) the market value of each
investment held by the Fund, (iv) the
type (including maturity, ticker symbol,
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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 website
will be publicly accessible at no charge.
The Fund’s website will include a
form of the prospectus that may be
downloaded. The Fund’s website will
include additional quantitative
information updated on a daily basis,
including, trading volume, the prior
business day’s NAV, market closing
price or mid-point of the bid/ask spread
at the time of calculation of such NAV
(the ‘‘Bid/Ask Price’’),16 and a
calculation of the premium and
discount of the market closing price or
Bid/Ask Price against the NAV. The
website and information will be
publicly available at no charge.
This website disclosure of 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 website 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 website.
Complete real-time data for SPIKES
futures contracts is available by
subscription through on-line
information services. MGEX also
provides delayed futures information on
current and past trading sessions and
market news free of charge on its
website. The level of the Index will be
published at least every 15 seconds both
in real time from 9:30 a.m. to 4 p.m. E.T.
and at the close of trading on each
business day by Bloomberg and Reuters.
The level of the SPIKES Index and the
VIX is available from Bloomberg and
Reuters. Price information regarding
cleared VIX swap contracts is available
from major market data vendors. Price
information regarding VIX futures is
available from the Cboe Futures
Exchange and from major market data
vendors. Price information for cash
equivalents is available from major
market data vendors. Price information
for non-exchange-traded VIX swap
contracts may be obtained from brokers
and dealers who make markets in such
instruments. Information regarding the
previous day’s closing price and trading
16 The Bid/Ask Price of the Fund’s Shares is
determined using the mid-point between the
current national best bid and offer at the time of
calculation of such Fund’s NAV. The records
relating to Bid/Ask Prices will be retained by the
Fund or its service providers.
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20:00 May 25, 2021
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volume information for the Shares will
be published daily in the financial
section of newspapers. Quotation and
last-sale information regarding the
Shares will be disseminated through the
facilities of the Consolidated Tape
Association (‘‘CTA’’).
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.17 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
inadvisable. The Exchange may halt
trading during the day in which an
interruption to the dissemination of the
IFV or the value of the Index occurs. If
the interruption to the dissemination of
the IFV or the value of the Index persists
past the trading day in which it
occurred, the Exchange will halt trading
no later than the beginning of the
trading day following the interruption.
In addition, if the Exchange becomes
aware that the NAV with respect to the
Shares or disclosure of the Fund’s daily
holdings is not disseminated to all
market participants at the same time, it
will halt trading in the Shares until such
time as the NAV and the Fund’s daily
holdings 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
17 See
PO 00000
NYSE Arca Rule 7.12–E.
Frm 00095
Fmt 4703
Sfmt 4703
28423
acting as registered Market Makers in
Trust Issued Receipts to facilitate
surveillance. A minimum of 100,000
Shares of each Fund will be outstanding
at the commencement of trading on the
Exchange. With respect to the
application of Rule 10A–3 18 under the
Act, the Fund will rely on the exception
contained in Rule 10A–3(c)(7).19 The
Exchange will obtain a representation
from the issuer of the Shares of the
Fund that the NAV per Share of the
Fund will be calculated daily and will
be made available to all market
participants at the same time.
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.20 The Exchange
represents that these procedures are
adequate to properly monitor Exchange
trading of the Shares of the Fund in all
trading sessions and to deter and detect
violations of Exchange rules and federal
securities laws applicable to trading on
the Exchange.
The surveillances referred to above
generally focus on detecting securities
trading outside their normal patterns,
which could be indicative of
manipulative or other violative activity.
When such situations are detected,
surveillance analysis follows and
investigations are opened, where
appropriate, to review the behavior of
all relevant parties for all relevant
trading violations.
The Exchange or FINRA, on behalf of
the Exchange, or both, will
communicate as needed regarding
trading in the Shares, SPIKES futures,
VIX futures and other underlying
exchange-listed instruments 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
18 17
CFR 240.10A–3.
Rule 10A–3(c)(7), 17 CFR 240.10A–3(c)(7)
(stating that a listed issuer is not subject to the
requirements of Rule 10A–3 if the issuer is
organized as an unincorporated association that
does not have a board of directors and the activities
of the issuer are limited to passively owning or
holding securities or other assets on behalf of or for
the benefit of the holders of the listed securities).
20 FINRA conducts cross-market surveillances on
behalf of the Exchange pursuant to a regulatory
services agreement. The Exchange is responsible for
FINRA’s performance under this regulatory services
agreement.
19 See
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Federal Register / Vol. 86, No. 100 / Wednesday, May 26, 2021 / Notices
regarding trading in the Shares, SPIKES
futures, VIX futures and other
underlying exchange-listed instruments
from such markets and other entities. In
addition, the Exchange may obtain
information regarding trading in the
Shares, SPIKES futures, VIX futures and
other underlying exchange-listed
instruments from markets and other
entities that are members of ISG or with
which the Exchange has in place a
comprehensive surveillance sharing
agreement (‘‘CSSA’’).21 The Exchange
has in place a CSSA with MGEX
regarding trading in all futures contracts
on MGEX.
All of the net assets of the Fund
invested in futures contracts shall
consist of futures contracts whose
principal market is a member of the ISG
or is a market with which the Exchange
has 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 Index, portfolio
holdings and reference assets, (b)
limitations on Index or 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 Opening 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 Units
21 For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all
components of the Fund may trade on markets that
are members of ISG or with which the Exchange has
in place a CSSA.
VerDate Sep<11>2014
20:00 May 25, 2021
Jkt 253001
and Redemption Units (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
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 website.
Further, the Exchange states that
FINRA has implemented increased sales
practice and customer margin
requirements for FINRA members
applicable to inverse, leveraged and
inverse leveraged securities (which
include the ConvexityShares Daily 1.5x
SPIKES Futures ETF) and options on
such securities, as described in FINRA
Regulatory Notices 09–31 (June 2009),
09–53 (August 2009), and 09–65
(November 2009). The Fund does not
seek to achieve its primary investment
objective over a period of time greater
than a single day. ETP Holders that
carry customer accounts will be
required to follow the FINRA guidance
set forth in these notices.
2. Statutory Basis
The basis under the Act for this
proposed rule change is the requirement
under Section 6(b)(5) 22 that an
exchange have rules that are designed to
prevent fraudulent and manipulative
acts and practices, to promote just and
22 15
PO 00000
U.S.C. 78f(b)(5).
Frm 00096
Fmt 4703
Sfmt 4703
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.23 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, SPIKES futures,
VIX futures and other underlying
exchange-listed instruments 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, SPIKES
futures, VIX futures and other
underlying exchange-listed instruments
from such markets and other entities. In
addition, the Exchange may obtain
information regarding trading in the
Shares, SPIKES futures, VIX futures and
other underlying exchange-listed
instruments from markets and other
entities that are members of ISG or with
which the Exchange has in place a
CSSA. The Exchange has in place a
CSSA with MGEX regarding trading in
all futures contracts on MGEX.
All of the net assets of the Fund
invested in futures contracts shall
consist of futures contracts whose
principal market is a member of the ISG
or is a market with which the Exchange
has a CSSA.
The NAV for the Fund’s Shares will
be disseminated daily to all market
participants at the same time, after 4
p.m. E.T. each day. Complete real-time
data for SPIKES futures contracts is
available by subscription through online information services. MGEX also
provides delayed futures information on
current and past trading sessions and
market news free of charge on its
website. The level of the Index will be
published at least every 15 seconds both
in real time from 9:30 a.m. to 4 p.m. E.T.
and at the close of trading on each
business day by Bloomberg and Reuters.
23 The Exchange represents that, for initial and/
or continued listing, the Fund will be in
compliance with Rule 10A–3 (17 CFR 240.10A–3)
under the Act, as provided by NYSE Arca Rule
5.3–E.
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Federal Register / Vol. 86, No. 100 / Wednesday, May 26, 2021 / Notices
The level of the SPIKES Index and the
VIX is available from Bloomberg and
Reuters. Price information regarding
cleared VIX swap contracts is available
from major market data vendors. Price
information regarding VIX futures is
available from the Cboe Futures
Exchange and from major market data
vendors. Price information for cash
equivalents is available from major
market data vendors. Price information
for non-exchange-traded VIX swap
contracts may be obtained from brokers
and dealers who make markets in such
instruments. Information regarding the
previous day’s closing price and trading
volume information for the Shares will
be published daily in the financial
section of newspapers. Quotation and
last-sale information regarding the
Shares will be disseminated through the
facilities of the CTA. The IFV will be
available through on-line information
services.
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 an additional type of Trust Issued
Receipts based on prices related to
market volatility 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 an
additional type of Trust Issued Receipts
based on prices related to market
volatility and that will enhance
competition among market participants,
to the benefit of investors and the
marketplace.
VerDate Sep<11>2014
20:00 May 25, 2021
Jkt 253001
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 such longer period up to 90
days (i) as the Commission may
designate if it finds such longer period
to be appropriate and publishes its
reasons for so finding or (ii) as to which
the self-regulatory organization
consents, the Commission will:
(A) By order approve or disapprove
the proposed rule change, or
(B) institute proceedings to determine
whether the proposed rule change
should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
28425
provisions of 5 U.S.C. 552, will be
available for website 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.
Persons submitting comments are
cautioned that we do not redact or edit
personal identifying information from
comment submissions. You should
submit only information that you wish
to make available publicly. All
submissions should refer to File
Number SR–NYSEArca–2021–28 and
should be submitted on or before June
16, 2021.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.24
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021–11079 Filed 5–25–21; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–91951; File No. SR–ICC–
2021–009]
Electronic Comments
• Use the Commission’s internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
NYSEArca–2021–28 on the subject line.
Self-Regulatory Organizations; ICE
Clear Credit LLC; Order Approving
Proposed Rule Change Relating to the
ICC Risk Parameter Setting and
Review Policy
Paper Comments
I. Introduction
• 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–2021–28. 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 website (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
On April 2, 2021, ICE Clear Credit
LLC (‘‘ICC’’) filed with the Securities
and Exchange Commission
(‘‘Commission’’), pursuant to Section
19(b)(1) of the Securities Exchange Act
of 1934 (the Act’’) 1 and Rule 19b–4
thereunder,2 a proposed rule change to
make changes to ICC’s Risk Parameter
Setting and Review Policy (‘‘RPSRP’’).
The proposed rule change was
published for comment in the Federal
Register on April 14, 2021.3 The
Commission did not receive comments
regarding the proposed rule change. For
the reasons discussed below, the
Commission is approving the proposed
rule change.
PO 00000
Frm 00097
Fmt 4703
Sfmt 4703
May 20, 2021.
24 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 ICC Risk Parameter Setting and Review Policy,
Exchange Act Release No. 91517 (April 8, 2021), 86
FR 19667 (April 14, 2021) (SR–ICC–2021–009)
(‘‘Notice’’).
1 15
E:\FR\FM\26MYN1.SGM
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]]>Agencies
[Federal Register Volume 86, Number 100 (Wednesday, May 26, 2021)]
[Notices]
[Pages 28420-28425]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-11079]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-91949; File No. SR-NYSEArca-2021-28]
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change To List and Trade the Shares of ConvexityShares
Daily 1.5x SPIKES Futures ETF Under NYSE Arca Rule 8.200-E (Trust
Issued Receipts)
May 20, 2021.
Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given
that on May 13, 2021, NYSE Arca, Inc. (``NYSE Arca'' or the
``Exchange'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I and
II below, which Items have been prepared by the self-regulatory
organization. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to list and trade the shares of the following
under NYSE Arca Rule 8.200-E, Commentary .02 (``Trust Issued
Receipts''): ConvexityShares Daily 1.5x SPIKES Futures ETF. The
proposed change is available on the Exchange's website 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: ConvexityShares Daily
1.5x SPIKES Futures ETF (the ``Fund'').\4\
---------------------------------------------------------------------------
\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.
---------------------------------------------------------------------------
The Fund is a series of the ConvexityShares Trust (the ``Trust''),
a Delaware statutory trust.\5\ The Fund is managed and controlled by
its sponsor and investment manager, ConvexityShares, LLC (the
``Sponsor''). The Fund is a commodity pool and the Sponsor is a
commodity pool operator subject to regulation by the Commodity Futures
Trading Commission (``CFTC'') and the National Futures Association
under the Commodity Exchange Act, as amended. U.S. Bank, a national
banking association, will provide custody and fund accounting to the
Trust and the Fund. Its affiliate, U.S. Bancorp Fund Services, will be
the transfer agent (``Transfer Agent'') for Fund Shares and
administrator for the Fund. Foreside will serve as the distributor for
the Fund (``Distributor'').
---------------------------------------------------------------------------
\5\ On December 15, 2020, ConvexityShares Trust submitted to the
Commission its draft registration statement, with respect to the
Trust, on Form S-1 (``Registration Statement'') under the Securities
Act of 1933 (``1933 Act''). The Jumpstart Our Business Startups Act,
enacted on April 5, 2012, added Section 6(e) to the 1933 Act.
Section 6(e) of the 1933 Act provides that an ``emerging growth
company'' may confidentially submit to the Commission a draft
registration statement for confidential, non-public review by the
Commission staff prior to public filing, provided that the initial
confidential submission and all amendments thereto shall be publicly
filed not later than 21 days before the date on which the issuer
conducts a road show, as such term is defined in 1933 Act Rule
433(h)(4). An emerging growth company is defined in Section 2(a)(19)
of the 1933 Act as an issuer with less than $1,000,000,000 total
annual gross revenues during its most recently completed fiscal
year. The Trust meets the definition of an emerging growth company
and consequently has submitted its Registration Statement on a
confidential basis with the Commission. The Exchange will not
commence trading in Shares of the Fund until the Registration
Statement becomes effective.
---------------------------------------------------------------------------
According to the Registration Statement, the Fund is benchmarked to
the T3 SPIKE Front 2 Futures Index (the ``Index''), an investable index
of SPIKES futures contracts. The Fund will seek to offer exposure to
forward equity market volatility by obtaining exposure to the
components of the Index. The Index, as described further below, is
intended to reflect the returns that are potentially available through
an unleveraged investment in the SPIKES futures contracts comprising
the Index.\6\ The Index consists of short-term SPIKES
[[Page 28421]]
futures contracts and measures the daily performance of a theoretical
portfolio of first- and second-month futures contracts on the SPIKES
Volatility Index (``SPIKES Index'').\7\ The SPIKES Index is a non-
investable index that measures the implied volatility of the SPDR S&P
500 ETF \8\ Trust (``SPY'').\9\ The Fund is not benchmarked to the
SPIKES Index.
---------------------------------------------------------------------------
\6\ The Index is sponsored by Triple Three Partners Pty Ltd,
which licenses the use of the Index to its affiliated company, T3i
Pty Ltd (Triple Three Partners Pty Ltd and T3i Pty Ltd. are
collectively referred to herein as ``T3 Index'' or the ``Index
Sponsor''). T3 Index maintains a website at https://t3index.com/.
The Index Sponsor is affiliated with the Sponsor. The Index Sponsor
has implemented and will maintain a fire wall regarding access to
information concerning the composition and/or changes to the Index.
In addition, the Index Sponsor has implemented and will maintain
procedures that are designed to prevent the use and dissemination of
material, non-public information regarding the Index. The Index
Sponsor is not registered as an investment adviser or broker-dealer
and is not affiliated with any broker-dealers. The Sponsor is not
registered as a broker-dealer or affiliated with a broker-dealer. In
the event the Sponsor becomes registered as a broker-dealer or
becomes affiliated with a broker-dealer, it will implement and
maintain a fire wall with respect to its relevant personnel or its
broker-dealer affiliate regarding access to and dissemination of
material non-public information regarding the Index.
\7\ T3 Index is the owner, creator and licensor of the SPIKES
Index. The SPIKES Index is calculated, maintained and published by
Miami International Securities Exchange, LLC (``MIAX'') via the
Options Price Reporting Authority.
\8\ SPDR S&P 500 ETF Trust is a unit investment trust that holds
a portfolio of common stocks that closely tracks the price
performance and dividend yield of the S&P 500 Composite Price Index
(``S&P 500''). Shares of the SPDR S&P 500 ETF Trust trade on the
Exchange under the symbol ``SPY.''
\9\ According to the Registration Statement, the market's
current expectation of the possible rate and magnitude of movements
in an index is commonly referred to as the ``implied volatility'' of
the index. For these purposes, ``implied volatility'' is a measure
of the expected volatility of SPY over the next 30 days. The SPIKES
Index does not represent the actual or the realized volatility of
SPY. The SPIKES Index is calculated based on the prices of a
constantly changing portfolio of SPY put and call options.
---------------------------------------------------------------------------
The Index is owned and maintained by T3 Index and is calculated and
published by Solactive AG (``Solactive''). Solactive is not affiliated
with T3 Index. The Index value calculated at the end of each business
day will be available at www.convexityshares.com. The Fund's website
will also provide information regarding the SPIKES futures contracts
constituting the Index and the Index methodology. Futures contracts on
the SPIKES Index, which futures comprise the Index, are traded on the
Minneapolis Grain Exchange, LLC (``MGEX'') via the CME Globex[supreg]
platform.
According to the Registration Statement, the Fund will seek daily
investment results, before fees and expenses, that correspond to one-
and-a-half times (1.5x) the performance of the Index for a single day.
A ``single day'' is measured from the time the Fund calculates its net
asset value (``NAV'') to the time of the Fund's next NAV calculation.
The NAV calculation time for the Fund is typically is 4:00 p.m.
(Eastern Time (``E.T.'')). The NAV will be calculated by taking the
current market value of the Fund's total assets (after the close of the
NYSE Arca Core Trading Session (normally, 4:00 p.m., E.T.)),
subtracting any liabilities, and dividing that total by the total
number of outstanding Shares.
Description of the Index
According to the Registration Statement, the Index employs rules
for selecting the SPIKES futures contracts comprising the Index and a
formula to calculate a level for the Index from the prices of these
SPIKES futures contracts. Currently, the SPIKES futures contracts
comprising the Index represent the prices of two near-term SPIKES
futures contracts, replicating a position that rolls the nearest month
SPIKES futures contracts to the next month SPIKES futures contracts at
or close to the daily settlement price via a Trade-At-Settlement \10\
program towards the end of each business day in equal fractional
amounts. This results in a constant weighted average maturity of one
month. The rules applicable to the Index are subject to change by T3
Index.
---------------------------------------------------------------------------
\10\ A Trade at Settlement (``TAS'') is a transaction at a price
equal to the daily settlement price, or at a specified differential
above or below the daily settlement price. The TAS transaction price
will be determined following execution and based upon the daily
settlement price of the respective SPIKES futures contract month.
TAS transactions are permitted in the SPIKES futures contract as
outright or spread transactions. TAS transactions are available for
trading only during the regular Hours of Trading of 8:30 a.m.-2:58
p.m. Central Time. However, TAS transactions in an expiring SPIKES
futures contract are not permitted during the Business Day of its
final settlement date. The permissible price range for permitted TAS
transactions is from 0.50 index points below the daily settlement
price to 0.50 index points above the daily settlement price. The
permissible minimum increment for a TAS transaction is 0.01 index
points. See MGEX Rule 83.15 at https://www.mgex.com/documents/20210318-Rulebook.pdf. The term ``Business Day'' means a day when
MGEX is open for business, and the term ``Hours of Trading'' means
the hours, on business days, established by MGEX Rules for trading.
See MGEX Rules, Chapter 1.
---------------------------------------------------------------------------
The level of the Index is published by one or more major market
data vendors in real time at least once every 15 seconds and at the
close of trading in the Exchange's Core Trading Session (normally 4:00
p.m., E.T.) on each business day.
The Index is comprised solely of SPIKES futures contracts. SPIKES
futures contracts were launched for trading by MGEX, via the CME
Globex[supreg] platform, on December 14, 2020. According to the
Registration Statement, SPIKES futures contracts allow investors to
invest based on their view of the forward implied market volatility of
SPY. Investors that believe the forward implied market volatility of
SPY will increase may buy SPIKES futures contracts. Conversely,
investors that believe that the forward implied market volatility of
SPY will decline may sell SPIKES futures contracts. While the SPIKES
Index represents a measure of the expected 30-day volatility of SPY,
the prices of SPIKES futures contracts are based on the current
expectation of the expected 30-day volatility of SPY on the expiration
date of the futures contract.
SPIKES Index
According to the Registration Statement, the SPIKES Index is an
index designed to measure the implied volatility of SPY over 30 days in
the future. The SPIKES Index is calculated based on the prices of
certain put and call options on SPY. The SPIKES Index is reflective of
the premium paid by investors for certain options linked to the level
of the S&P 500. The SPIKES Index is a theoretical calculation and
cannot be traded on a spot basis. The SPIKES Index is reported by
Bloomberg Finance L.P. and Reuters under the ticker symbol ``SPIKE.''
The SPIKES Index is calculated and disseminated every 100 milliseconds.
Investment Objectives and Strategies
According to the Registration Statement, the Fund will seek daily
investment results, before fees and expenses, that correspond to one-
and-a-half times (1.5x) the performance of the Index for a single day.
The Fund is benchmarked to the Index, which is comprised of SPIKES
futures contracts, and will seek to offer exposure to market volatility
through publicly traded futures markets.
Under normal market conditions,\11\ the Fund will invest primarily
in SPIKES futures contracts to gain the appropriate exposure to the
Index. Under certain circumstances, the Fund may also invest in futures
contracts and swap contracts (``VIX Related Positions'') on the Cboe
Volatility Index (``VIX''),\12\ an index that tracks volatility and
would be expected to perform in a substantially similar manner as the
SPIKES Index.
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\11\ The term ``normal market conditions'' includes, but is not
limited to, the absence of trading halts in the applicable financial
markets generally; operational issues (e.g., systems failure)
causing dissemination of inaccurate market information; or force
majeure type events such as natural or manmade disaster, act of God,
armed conflict, act of terrorism, riot or labor disruption or any
similar intervening circumstance.
\12\ The VIX Index is a measure of estimated near-term future
volatility based upon the weighted average of the implied
volatilities of near-term put and call options on the S&P 500.
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In seeking to achieve the Fund's investment objective, the Sponsor
will use a mathematical approach to investing. Using this approach, the
Sponsor determines the type, quantity and mix of investments that the
Sponsor believes, in combination, should produce daily returns
consistent with the Fund's objective.
The Fund seeks to achieve its investment objective through the
appropriate amount of exposure to the SPIKES futures contracts included
in the Index. The Fund will not directly
[[Page 28422]]
invest in the SPIKES Index. In addition, under specified circumstances
described below, the Fund may invest in VIX Related Positions.
In the event accountability rules, price limits, position limits,
margin limits or other exposure limits are reached with respect to
SPIKES futures contracts, the Sponsor may cause the Fund to invest in
VIX Related Positions. According to the Registration Statement, the
Sponsor expects the Fund's positions in VIX Related Positions to
consist primarily of VIX futures contracts.\13\ In the event
accountability rules, price limits, position limits, margin limits or
other exposure limits are reached with respect to VIX futures
contracts, or if the market for a specific VIX futures contract
experiences emergencies or disruptions or in situations where the
Sponsor deems it impractical or inadvisable to buy or sell VIX futures
contracts, the Fund would hold VIX swap agreements.
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\13\ Futures on the VIX are traded on the Cboe Futures Exchange.
---------------------------------------------------------------------------
The Fund will also hold cash or cash equivalents such as U.S.
Treasury securities or other high credit quality, short-term fixed-
income or similar securities (such as shares of money market funds) as
collateral for investments and pending investments.
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 Units'' or
``Redemption Units'' (together, ``Units''). A Unit consists of 25,000
Shares. The size of a Unit is subject to change. The creation and
redemption of Units are made in exchange for delivery to the Fund or
the distribution by the Fund of the amount of cash represented by the
Units being created or redeemed, the amount of which is based on the
combined NAV of the number of Shares included in the Units being
created or redeemed determined as of 4:00 p.m. E.T. on the day the
order to create or redeem Units is properly received. If permitted by
the Sponsor in its sole discretion with respect to the Fund, an
``Authorized Participant'' may also agree to enter into or arrange for
an exchange of a futures contract for related position (``EFCRP'') or
block trade with the Fund whereby the Authorized Participant would also
transfer to the Fund a number and type of exchange-traded futures
contracts at or near the closing settlement price for such contracts on
the purchase order date. Similarly, the Sponsor in its sole discretion
may agree with an Authorized Participant to use an EFCRP to effect an
order to redeem Units.\14\ All APs would be able to use an EFCRP to
effect orders to create or redeem Units.
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\14\ According to the Registration Statement, an EFCRP is a
technique permitted by the rules of certain futures exchanges that,
as utilized by the Fund in the Sponsor's discretion, would allow the
Fund to take a position in a futures contract from an Authorized
Participant, or give futures contracts to an Authorized Participant,
in the case of a redemption, rather than to enter the futures
exchange markets to obtain such a position.
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Authorized Participants are the only persons that may place orders
to create and redeem Units. 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, and
(2) Depository Trust Company participants.
Creation Procedures
According to the Registration Statement, on any business day, an
Authorized Participant may place an order to create one or more
Units.\15\ Purchase orders must be placed by 2:00 p.m. E.T. or the
close of the Core Trading Session on the NYSE Arca, whichever is
earlier. Purchase orders are irrevocable.
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\15\ For purposes of processing purchase and redemption orders
for the Fund, a ``business day'' means any day other than a day when
any of NYSE Arca, the New York Stock Exchange, MGEX or other
exchange material to the valuation or operation of the Fund, or the
calculation of the SPIKES Index, options contracts underlying the
SPIKES Index, SPIKES futures contracts or the Index is closed for
regular trading.
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The total payment required to create each Creation Unit is the NAV
of 25,000 Shares on the purchase order date.
Redemption Procedures
According to the Registration Statement, the procedures by which an
Authorized Participant can redeem one or more Units mirror the
procedures for the creation of Units. 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 Units. Redemption
orders must be placed by 2:00 p.m. E.T. or the close of the Core
Trading Session on the NYSE Arca, whichever is earlier. Redemption
orders are irrevocable.
Upon request of an Authorized Participant made at the time of a
redemption order, the Sponsor at its sole discretion may determine, in
addition to delivering redemption proceeds, to transfer futures
contracts to the Authorized Participant pursuant to an EFCRP or to a
block trade sale of futures contracts to the Authorized Participant.
Determination of Redemption Proceeds
The redemption proceeds from the Fund consist of the cash
redemption amount and, if permitted by the Sponsor in its sole
discretion with respect to the Fund, an EFCRP or block trade with the
Fund as described above. The redemption proceeds from the Fund consist
of a cash redemption amount equal to the NAV of the number of Units
requested in the Authorized Participant's redemption order on the
redemption order date, less transaction fees and any amounts
attributable to any applicable EFCRP or block trade.
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 calculated. The IFV will be calculated by
using the prior day's closing NAV per Share of the Fund as a base and
will be updating throughout the Core Trading Session of 9:30 a.m. E.T.
to 4:00 p.m. E.T. to reflect changes in the approximate aggregate per
Share value of the investments held by the Fund based on the most
recently available prices for the Fund's investments. The IFV will be
disseminated on a per Share basis every 15 seconds during the
Exchange's Core Trading Session and be widely disseminated by one or
more major market data vendors during the NYSE Arca Core Trading
Session. The IFV will be readily available from the Fund's website,
automated quotation systems, published or other public sources, or
major market data vendors' website or on-line information services.
Availability of Information
The NAV for the Fund's Shares will be disseminated daily to all
market participants at the same time, after 4 p.m. each day. In
addition, the Fund's website, www.convexityshares.com, will display the
end of day closing NAV. The daily holdings of the Fund will be
available on the Fund's website before 9:30 a.m. E.T. each day. The
website 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 a swap, the type of
swap, its notional value and the underlying instrument, index or asset
on which the swap is based, (iii) the market value of each investment
held by the Fund, (iv) the type (including maturity, ticker symbol,
[[Page 28423]]
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 website will be publicly accessible at no charge.
The Fund's website will include a form of the prospectus that may
be downloaded. The Fund's website will include additional quantitative
information updated on a daily basis, including, trading volume, the
prior business day's NAV, market closing price or mid-point of the bid/
ask spread at the time of calculation of such NAV (the ``Bid/Ask
Price''),\16\ and a calculation of the premium and discount of the
market closing price or Bid/Ask Price against the NAV. The website and
information will be publicly available at no charge.
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\16\ The Bid/Ask Price of the Fund's Shares is determined using
the mid-point between the current national best bid and offer at the
time of calculation of such Fund's NAV. The records relating to Bid/
Ask Prices will be retained by the Fund or its service providers.
---------------------------------------------------------------------------
This website disclosure of 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
website 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 website.
Complete real-time data for SPIKES futures contracts is available
by subscription through on-line information services. MGEX also
provides delayed futures information on current and past trading
sessions and market news free of charge on its website. The level of
the Index will be published at least every 15 seconds both in real time
from 9:30 a.m. to 4 p.m. E.T. and at the close of trading on each
business day by Bloomberg and Reuters. The level of the SPIKES Index
and the VIX is available from Bloomberg and Reuters. Price information
regarding cleared VIX swap contracts is available from major market
data vendors. Price information regarding VIX futures is available from
the Cboe Futures Exchange and from major market data vendors. Price
information for cash equivalents is available from major market data
vendors. Price information for non-exchange-traded VIX swap contracts
may be obtained from brokers and dealers who make markets in such
instruments. Information regarding the previous day's closing price and
trading volume information for the Shares will be published daily in
the financial section of newspapers. Quotation and last-sale
information regarding the Shares will be disseminated through the
facilities of the Consolidated Tape Association (``CTA'').
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.\17\ 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 inadvisable. The Exchange may halt trading during
the day in which an interruption to the dissemination of the IFV or the
value of the Index occurs. If the interruption to the dissemination of
the IFV or the value of the Index persists past the trading day in
which it occurred, the Exchange will halt trading no later than the
beginning of the trading day following the interruption. In addition,
if the Exchange becomes aware that the NAV with respect to the Shares
or disclosure of the Fund's daily holdings is not disseminated to all
market participants at the same time, it will halt trading in the
Shares until such time as the NAV and the Fund's daily holdings is
available to all market participants.
---------------------------------------------------------------------------
\17\ See NYSE Arca Rule 7.12-E.
---------------------------------------------------------------------------
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. A minimum of 100,000 Shares of each Fund will
be outstanding at the commencement of trading on the Exchange. With
respect to the application of Rule 10A-3 \18\ under the Act, the Fund
will rely on the exception contained in Rule 10A-3(c)(7).\19\ The
Exchange will obtain a representation from the issuer of the Shares of
the Fund that the NAV per Share of the Fund will be calculated daily
and will be made available to all market participants at the same time.
---------------------------------------------------------------------------
\18\ 17 CFR 240.10A-3.
\19\ See Rule 10A-3(c)(7), 17 CFR 240.10A-3(c)(7) (stating that
a listed issuer is not subject to the requirements of Rule 10A-3 if
the issuer is organized as an unincorporated association that does
not have a board of directors and the activities of the issuer are
limited to passively owning or holding securities or other assets on
behalf of or for the benefit of the holders of the listed
securities).
---------------------------------------------------------------------------
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.\20\ The Exchange represents that
these procedures are adequate to properly monitor Exchange trading of
the Shares of the Fund in all trading sessions and to deter and detect
violations of Exchange rules and federal securities laws applicable to
trading on the Exchange.
---------------------------------------------------------------------------
\20\ FINRA conducts cross-market surveillances on behalf of the
Exchange pursuant to a regulatory services agreement. The Exchange
is responsible for FINRA's performance under this regulatory
services agreement.
---------------------------------------------------------------------------
The surveillances referred to above generally focus on detecting
securities trading outside their normal patterns, which could be
indicative of manipulative or other violative activity. When such
situations are detected, surveillance analysis follows and
investigations are opened, where appropriate, to review the behavior of
all relevant parties for all relevant trading violations.
The Exchange or FINRA, on behalf of the Exchange, or both, will
communicate as needed regarding trading in the Shares, SPIKES futures,
VIX futures and other underlying exchange-listed instruments 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
[[Page 28424]]
regarding trading in the Shares, SPIKES futures, VIX futures and other
underlying exchange-listed instruments from such markets and other
entities. In addition, the Exchange may obtain information regarding
trading in the Shares, SPIKES futures, VIX futures and other underlying
exchange-listed instruments from markets and other entities that are
members of ISG or with which the Exchange has in place a comprehensive
surveillance sharing agreement (``CSSA'').\21\ The Exchange has in
place a CSSA with MGEX regarding trading in all futures contracts on
MGEX.
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\21\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of the
Fund may trade on markets that are members of ISG or with which the
Exchange has in place a CSSA.
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All of the net assets of the Fund invested in futures contracts
shall consist of futures contracts whose principal market is a member
of the ISG or is a market with which the Exchange has 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 Index, portfolio holdings and reference
assets, (b) limitations on Index or 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 Opening 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 Units
and Redemption Units (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 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 website.
Further, the Exchange states that FINRA has implemented increased
sales practice and customer margin requirements for FINRA members
applicable to inverse, leveraged and inverse leveraged securities
(which include the ConvexityShares Daily 1.5x SPIKES Futures ETF) and
options on such securities, as described in FINRA Regulatory Notices
09-31 (June 2009), 09-53 (August 2009), and 09-65 (November 2009). The
Fund does not seek to achieve its primary investment objective over a
period of time greater than a single day. ETP Holders that carry
customer accounts will be required to follow the FINRA guidance set
forth in these notices.
2. Statutory Basis
The basis under the Act for this proposed rule change is the
requirement under Section 6(b)(5) \22\ that an exchange have rules that
are designed to prevent fraudulent and manipulative acts and practices,
to promote just and equitable principles of trade, to remove
impediments to, and perfect the mechanism of a free and open market
and, in general, to protect investors and the public interest.
---------------------------------------------------------------------------
\22\ 15 U.S.C. 78f(b)(5).
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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.\23\
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.
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\23\ The Exchange represents that, for initial and/or continued
listing, the Fund will be in compliance with Rule 10A-3 (17 CFR
240.10A-3) under the Act, as provided by NYSE Arca Rule 5.3-E.
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The Exchange or FINRA, on behalf of the Exchange, or both, will
communicate as needed regarding trading in the Shares, SPIKES futures,
VIX futures and other underlying exchange-listed instruments 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, SPIKES futures,
VIX futures and other underlying exchange-listed instruments from such
markets and other entities. In addition, the Exchange may obtain
information regarding trading in the Shares, SPIKES futures, VIX
futures and other underlying exchange-listed instruments from markets
and other entities that are members of ISG or with which the Exchange
has in place a CSSA. The Exchange has in place a CSSA with MGEX
regarding trading in all futures contracts on MGEX.
All of the net assets of the Fund invested in futures contracts
shall consist of futures contracts whose principal market is a member
of the ISG or is a market with which the Exchange has a CSSA.
The NAV for the Fund's Shares will be disseminated daily to all
market participants at the same time, after 4 p.m. E.T. each day.
Complete real-time data for SPIKES futures contracts is available by
subscription through on-line information services. MGEX also provides
delayed futures information on current and past trading sessions and
market news free of charge on its website. The level of the Index will
be published at least every 15 seconds both in real time from 9:30 a.m.
to 4 p.m. E.T. and at the close of trading on each business day by
Bloomberg and Reuters.
[[Page 28425]]
The level of the SPIKES Index and the VIX is available from Bloomberg
and Reuters. Price information regarding cleared VIX swap contracts is
available from major market data vendors. Price information regarding
VIX futures is available from the Cboe Futures Exchange and from major
market data vendors. Price information for cash equivalents is
available from major market data vendors. Price information for non-
exchange-traded VIX swap contracts may be obtained from brokers and
dealers who make markets in such instruments. Information regarding the
previous day's closing price and trading volume information for the
Shares will be published daily in the financial section of newspapers.
Quotation and last-sale information regarding the Shares will be
disseminated through the facilities of the CTA. The IFV will be
available through on-line information services.
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
an additional type of Trust Issued Receipts based on prices related to
market volatility 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 an
additional type of Trust Issued Receipts based on prices related to
market volatility 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 such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) By order approve or disapprove the proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to [email protected]. Please include
File Number SR-NYSEArca-2021-28 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-2021-28. 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 website (https://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for website 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. Persons submitting comments are
cautioned that we do not redact or edit personal identifying
information from comment submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File Number SR-NYSEArca-2021-28 and should be submitted
on or before June 16, 2021.
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\24\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\24\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-11079 Filed 5-25-21; 8:45 am]
BILLING CODE 8011-01-P
