Federal Register / Vol. 76, No. 35 / Tuesday, February 22, 2011 / Notices 9843 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 63636 

(January 3, 2011), 76 FR 1477 (‘‘Notice’’). 

4See Pre-Effective Amendment No. 3 to Form S– 

1, dated November 3, 2010, for each Fund 

(individually, a ‘‘Registration Statement,’’ and, 

collectively, ‘‘Registration Statements’’) (File Nos. 

333–164754, 333–164758, 333–164757, 333–164756 

and 333–164755, respectively). All Funds, other 

than the FactorShares 2X: TBond Bull/S&P500 Bear, 

are also referred to herein as ‘‘Leveraged Funds,’’ 

and FactorShares 2X: TBond Bull/S&P500 Bear is 

referred to herein as the ‘‘Leveraged Inverse Fund.’’ 

5The term ‘‘long front’’ refers to a long position 

in the near month contract. 6The term ‘‘short front’’ refers to a short position 

in the near month contract. 7The Exchange represents that the Index Sponsor 

is not affiliated with a broker-dealer. 

8The term ‘‘Substitute Futures’’ refers to futures 

contracts other than the specific Index Futures 

Contracts that underlie the applicable Index that the 

Managing Owner expects will tend to exhibit 

trading prices or returns that generally correlate 

with an Index Futures Contract. The term 

‘‘Financial Instruments’’ refers to forward 

agreements and swaps that the Managing Owner 

expects will tend to exhibit trading prices or returns 

that generally correlate with an Index Futures 

Contract. 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63915; File No. SR– 

NYSEArca–2010–121] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Order Granting Approval of 

Proposed Rule Change Relating to the 

Listing and Trading of FactorShares 

Funds 

February 15, 2011. 

I. Introduction 

On December 22, 2010, NYSE Arca, 

Inc. (‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’), pursuant to Section 

19(b)(1) of the Securities Exchange Act 

of 1934 (‘‘Act’’) 1 and Rule 19b–4 

thereunder,2 a proposed rule change to 

list and trade shares (‘‘Shares’’) of 

FactorShares 2X: S&P500 Bull/TBond 

Bear, FactorShares 2X: TBond Bull/ 

S&P500 Bear, FactorShares 2X: S&P500 

Bull/USD Bear, FactorShares 2X: Oil 

Bull/S&P500 Bear, and FactorShares 2X: 

Gold Bull/S&P500 Bear (each a ‘‘Fund’’ 

and, collectively, ‘‘Funds’’) under NYSE 

Arca Equities Rule 8.200, Commentary 

.02. The proposed rule change was 

published for comment in the Federal 

Register on January 10, 2011.3 The 

Commission received no comments on 

the proposal. This order grants approval 

of the proposed rule change. 

II. Description of the Proposal 

The Exchange proposes to list and 

trade the Shares of the Funds under 

NYSE Arca Equities Rule 8.200, 

Commentary .02. Each of the Funds was 

formed on January 26, 2010 as a 

separate Delaware statutory trust, and 

each Fund will issue and offer common 

units of beneficial interest, which 

represent units of fractional beneficial 

undivided interest in and ownership of 

such Fund.4

Factor Capital Management, LLC 

(‘‘Managing Owner’’), a Delaware limited 

liability company, will serve as the 

Managing Owner of each Fund. 

Interactive Brokers LLC, a Connecticut 

limited liability company, will serve as 

each Fund’s clearing broker 

(‘‘Commodity Broker’’). The Commodity 

Broker is registered with the Commodity 

Futures Trading Commission (‘‘CFTC’’) 

as a futures commission merchant and 

is a member of the National Futures 

Association in such capacity. Each Fund 

has appointed State Street Bank and 

Trust Company (‘‘Administrator’’) as the 

Administrator, the Transfer Agent, and 

the Custodian of each Fund. In addition, 

each Fund has appointed Foreside Fund 

Services, LLC (‘‘Distributor’’) as the 

Distributor to assist the Managing 

Owner and the Funds with certain 

functions and duties relating to 

distribution, compliance of sales and 

marketing materials, and certain 

regulatory compliance matters. The 

Distributor will not open or maintain 

customer accounts or handle orders for 

any of the Funds. 

Underlying Indexes and Sub-Indexes 

The Standard & Poor’s Factor Index 

Series (‘‘Indexes’’) are intended to reflect 

the daily spreads, or the differences, in 

the relative return, positive or negative, 

between the corresponding sub-indexes 

constructed from futures contracts 

(‘‘Index Futures Contracts’’) of each 

Index. Each Index is comprised of a long 

sub-index (‘‘Long Sub-Index’’) and a 

short sub-index (‘‘Short Sub-Index’’) 

(individually, a ‘‘Sub-Index’’ and, 

collectively, ‘‘Sub-Indexes’’). The Long 

Sub-Index is composed of the long front 

Index Futures Contract (‘‘Long Index 

Futures Contract’’).5 The Short SubIndex is composed of the short front 

Index Futures Contract (‘‘Short Index 

Futures Contract’’).6 Each Index is 

calculated to reflect the corresponding 

relative return, or spread, which is the 

difference in the daily changes, positive 

or negative, between the value of the 

Long Sub-Index and the value of the 

Short Sub-Index, plus the return on a 

risk free component. 

The objective of each Index is to track 

the daily price spreads, or difference 

between the Sub-Indexes, and in turn, 

the underlying Index Futures Contracts, 

to reflect the difference in the daily 

return between two market segments. 

Although each Index is calculated to 

reflect both an excess return and a total 

return, each Fund tracks an Index that 

is calculated to reflect a total return. 

Standard & Poor’s Financial Services 

LLC (‘‘Index Sponsor’’) is the Index 

Sponsor for the Indexes and is the 

calculation agent for the Indexes and 

Sub-Indexes.7 The Long Sub-Index 

tracks the changes in the Long Index 

Futures Contract, and the Short SubIndex tracks the changes in the Short 

Index Futures Contract. 

Each Index is rebalanced daily as of 

the Index Calculation Time (as defined 

below) in order to continue to reflect the 

spread, or the difference in the daily 

return between two specific market 

segments. By rebalancing each Index on 

a daily basis as of the Index Calculation 

Time, each Index will then be 

comprised of equal notional amounts 

(i.e., +100% and ¥100%, respectively) 

of both of its Long Index Futures 

Contracts and Short Index Futures 

Contracts in accordance with its daily 

objectives. Daily rebalancing of each 

Index will lead to different results than 

would otherwise occur if an Index, and 

in turn, its corresponding Fund, were to 

be rebalanced less frequently or more 

frequently than daily. 

Funds 

The objective of each Fund will be to 

reflect the spread, or the difference, in 

daily return, on a leveraged basis, 

between two predetermined market 

segments. Each Fund will represent a 

relative value or ‘‘spread’’ strategy 

seeking to track the differences in daily 

returns between two futures-based 

Index components. By simultaneously 

buying and selling two benchmark 

Index Futures Contracts (or, as 

necessary, substantively equivalent 

combinations of Substitute Futures and 

Financial Instruments),8 each Leveraged 

Fund and Leveraged Inverse Fund will 

target a daily return equivalent to 

approximately +200% and ¥200%, 

respectively, of the spread, or the 

difference, in daily return between a 

long futures contract and a short futures 

contract (before fees, expenses, and 

interest income). Thus, each Leveraged 

Fund will allow investors to potentially 

profit from the daily return of a Long 

Index Futures Contract in excess of the 

daily return of a Short Index Futures 

Contract. The Leveraged Inverse Fund 

will allow investors to potentially profit 

from the daily return of a Short Index 

Futures Contract in excess of the daily 

return of a Long Index Futures Contract. 

Each Fund will hold a portfolio of 

Index Futures Contracts, each of which 

are traded on various futures markets in 

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9844 Federal Register / Vol. 76, No. 35 / Tuesday, February 22, 2011 / Notices 

9The Exchange represents that, to the extent 

practicable, a Fund will invest in swaps cleared 

through the facilities of a centralized clearing 

house. 

10The Managing Owner will attempt to mitigate 

each Fund’s credit risk by transacting only with 

large, well-capitalized institutions using measures 

designed to determine the creditworthiness of a 

counterparty. The Managing Owner will take 

various steps to limit counterparty credit risk, as 

described in the Registration Statements. 

the United States. In the event a Fund 

reaches position limits imposed by the 

CFTC or a futures exchange with respect 

to an Index Futures Contract, the 

Managing Owner may, in its 

commercially reasonable judgment, 

cause the Fund to invest in Substitute 

Futures or Financial Instruments 

referencing the particular Index Futures 

Contract, or Financial Instruments not 

referencing the particular Index Futures 

Contract if such instruments tend to 

exhibit trading prices or returns that 

correlate with the corresponding Index 

or any Index Futures Contract and will 

further the investment objective of the 

Fund.9 A Fund may also invest in 

Substitute Futures or Financial 

Instruments if the market for a specific 

Index Futures Contract experiences 

emergencies (such as a natural disaster, 

terrorist attack, or an act of God) or 

disruptions (such as a trading halt or 

flash crash) that would prevent the 

Fund from obtaining the appropriate 

amount of investment exposure to the 

affected Index Futures Contract.10

Each Fund also will hold cash and 

United States Treasury securities and 

other high credit quality, short-term 

fixed-income securities (‘‘Fixed Income 

Instruments’’) for deposit with its 

Commodity Broker as margin. No Fund 

will be ‘‘managed’’ by traditional 

methods, which typically involve 

effecting changes in the composition of 

a portfolio on the basis of judgments 

relating to economic, financial, and 

market considerations with a view to 

obtaining positive results under 

changing market conditions. 

A Fund’s underlying Index consists of 

two Sub-Indexes. A Long Sub-Index 

reflects a passive exposure to a certain 

near-month long Index Futures 

Contract. A Short Sub-Index reflects a 

passive exposure to a certain nearmonth short Index Futures Contract. 

Each Index is designed to reflect +100% 

of the spread, or the difference, in daily 

return, positive or negative, between the 

Long Sub-Index and the Short SubIndex, plus the return on a risk free 

component. 

Because each Fund will seek to 

achieve its daily investment objective by 

tracking its corresponding Index on a 

daily and leveraged basis, each Fund 

will seek to rebalance daily both its long 

and short positions around the net asset 

value (‘‘NAV’’) calculation time. The 

purpose of daily rebalancing is to 

reposition each Fund’s investments in 

accordance with its daily investment 

objective. 

Each Fund will have a leverage ratio 

of approximately 4:1 upon daily 

rebalancing, which increases the 

potential for trading profits and losses. 

The use of leverage increases the 

potential for both trading profits and 

losses, depending on the changes in 

market value of the Long Index Futures 

Contracts positions, the Short Index 

Futures Contracts positions (and/or 

Substitute Futures and Financial 

Instruments, as applicable), of each 

Fund. Holding futures positions with a 

notional amount in excess of each 

Fund’s NAV constitutes a form of 

leverage. Because the notional value of 

each Fund’s Index Futures Contracts 

(and/or Substitute Futures and 

Financial Instruments, as applicable) 

will rise or fall throughout each trading 

day and prior to rebalancing, the 

leverage ratio could be higher or lower 

than an approximately 4:1 leverage ratio 

between the notional value of a Fund’s 

portfolio and a Fund’s Equity (estimated 

NAV) immediately after rebalancing. As 

the ratio increases, an investor’s losses 

may increase correspondingly. 

Each Sub-Index, which is comprised 

of a certain Index Futures Contract, 

includes provisions for the replacement 

(also referred to as ‘‘rolling’’) of its Index 

Futures Contract as it approaches its 

expiration date. ‘‘Rolling’’ is a procedure 

which involves closing out the Index 

Futures Contract that will soon expire 

and establishing a position in a new 

Index Futures Contract with a later 

expiration date pursuant to the rules of 

each Sub-Index. In turn, each Fund will 

seek to roll its Index Futures Contracts 

in a manner consistent with its SubIndex’s provisions for the replacement 

of an Index Futures Contract that is 

approaching maturity. 

Leveraged Funds 

For a Leveraged Fund, a long position 

is established in the Long Index Futures 

Contract seeking to provide a leveraged 

exposure to the Long Sub-Index. A 

Leveraged Fund will purchase a 

sufficient number of Long Index Futures 

Contracts targeting a long notional 

exposure equivalent to approximately 

+200% of a Fund’s estimated NAV, or 

Fund Equity. Additionally, a Leveraged 

Fund will establish a short position in 

the Short Index Futures Contracts 

seeking to provide a leveraged exposure 

to the Short Sub-Index. Accordingly, a 

Leveraged Fund will sell a sufficient 

number of Short Index Futures 

Contracts targeting a short notional 

exposure equivalent to approximately 

¥200% of Fund Equity. Therefore, 

immediately after establishing each of 

these positions, the target gross notional 

exposure of a Leveraged Fund’s 

aggregate Long Index Futures Contracts 

and Short Index Futures Contracts will 

equal approximately +400% (i.e., 

+200% long and +200% short) of Fund 

Equity. 

Leveraged Inverse Fund 

For the Leveraged Inverse Fund, a 

long position is established in the Short 

Index Futures Contract seeking to 

provide a leveraged exposure to the 

Short Sub-Index. The Leveraged Inverse 

Fund will purchase a sufficient number 

of Short Index Futures Contracts 

targeting a long notional exposure 

equivalent to approximately +200% of 

Fund Equity. Additionally, the 

Leveraged Inverse Fund will establish a 

short position in the Long Index Futures 

Contracts seeking to provide a leveraged 

exposure to the Long Sub-Index. 

Accordingly, the Leveraged Inverse 

Fund will sell a sufficient number of 

Long Index Futures Contracts targeting 

a short notional exposure equivalent to 

approximately ¥200% of Fund Equity. 

Therefore, immediately after 

establishing each of these positions, the 

target gross notional exposure of the 

Leveraged Inverse Fund’s aggregate 

Long Index Futures Contracts and Short 

Index Futures Contracts will equal 

approximately +400% (i.e., +200% long 

and +200% short) of Fund Equity. 

FactorShares 2X: S&P500 Bull/TBond 

Bear 

The FactorShares 2X: S&P500 Bull/ 

TBond Bear is designed for investors 

who believe the large-cap U.S. equity 

market segment will increase in value 

relative to the long-dated U.S. Treasury 

market segment. The objective of the 

FactorShares 2X: S&P500 Bull/TBond 

Bear will be to seek to track 

approximately +200% of the daily 

return of the S&P U.S. Equity Risk 

Premium Total Return Index. The Fund 

will seek to track the spread, or the 

difference in daily returns, between the 

U.S. equity and interest rate market 

segments by primarily establishing a 

leveraged long position in the E-mini 

Standard and Poor’s 500 Stock Price 

IndexTM Futures (‘‘Equity Index Futures 

Contract’’) and a leveraged short 

position in the 30–Year U.S. Treasury 

Bond Futures (‘‘Treasury Index Futures 

Contract’’). 

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Federal Register / Vol. 76, No. 35 / Tuesday, February 22, 2011 / Notices 9845 

11The Oil Index Futures Contract provides an 

exposure to the oil market segment with respect to 

light sweet crude oil. The Oil Index Futures 

Contract is a futures contract that provides and 

permits investors to invest in a substitute 

instrument in place of the underlying, speculate or 

hedge, as applicable, in the direction of the value 

of light sweet crude oil. The Oil Index Futures 

Contract serves as a proxy for light sweet crude oil 

because the performance of the Oil Index Futures 

Contract is dependent upon and reflects the 

changes in the price of light sweet crude oil. 

12The Gold Index Futures Contract provides an 

exposure to the precious metals market segment 

with respect to gold. The Gold Index Futures 

Contract is a futures contract that provides and 

permits investors to invest in a substitute 

instrument in place of the underlying, speculate or 

hedge, as applicable, in the direction of the value 

of gold. The Gold Index Futures Contract serves as 

a proxy for gold because the performance of the 

Gold Index Futures Contract is dependent upon and 

reflects the changes in the price of gold. 

13See Notice and Registration Statements, supra 

notes 3 and 4. 

14 15 U.S.C. 78f. 

15 In approving this proposed rule change, the 

Commission notes that it has considered the 

proposed rule’s impact on efficiency, competition, 

and capital formation. See 15 U.S.C. 78c(f). 

16 15 U.S.C. 78f(b)(5). 17 15 U.S.C. 78k–1(a)(1)(C)(iii). 

FactorShares 2X: TBond Bull/S&P500 

Bear 

The FactorShares 2X: TBond Bull/ 

S&P500 Bear is designed for investors 

who believe the long-dated U.S. 

Treasury market segment will increase 

in value relative to the large-cap U.S. 

equity market segment. The objective of 

the FactorShares 2X: TBond Bull/ 

S&P500 Bear will be to seek to track 

approximately ¥200% of the daily 

return of the S&P U.S. Equity Risk 

Premium Total Return Index. The Fund 

will seek to track the spread, or the 

difference in daily returns, between the 

interest rate and U.S. equity market 

segments by primarily establishing a 

leveraged long position in the Treasury 

Index Futures Contract and a leveraged 

short position in the Equity Index 

Futures Contract. 

FactorShares 2X: S&P500 Bull/USD 

Bear 

The FactorShares 2X: S&P500 Bull/ 

USD Bear is designed for investors who 

believe the large-cap U.S. equity market 

segment will increase in value relative 

to the general indication of the 

international value of the U.S. dollar. 

The objective of the FactorShares 2X: 

S&P500 Bull/USD Bear will be to seek 

to track approximately +200% of the 

daily return of the S&P 500 Non-U.S. 

Dollar Index. The Fund will seek to 

track the spread, or the difference in 

daily returns, between the U.S. equity 

and currency market segments by 

primarily establishing a leveraged long 

position in the Equity Index Futures 

Contract and a leveraged short position 

in the U.S. Dollar Index® Futures. 

FactorShares 2X: Oil Bull/S&P500 Bear 

The FactorShares 2X: Oil Bull/ 

S&P500 Bear is designed for investors 

who believe that crude oil will increase 

in value relative to the large-cap U.S. 

equity market segment. The objective of 

the FactorShares 2X: Oil Bull/S&P500 

Bear will be to seek to track 

approximately +200% of the daily 

return of the S&P Crude Oil-Equity 

Spread Total Return Index. The Fund 

will seek to track the spread, or the 

difference in daily returns, between the 

oil and U.S. equity market segments by 

primarily establishing a leveraged long 

position in the Oil Index Futures 

Contract11 and a leveraged short 

position in the Equity Index Futures 

Contract. 

FactorShares 2X: Gold Bull/S&P500 

Bear 

The FactorShares 2X: Gold Bull/ 

S&P500 Bear is designed for investors 

who believe that gold will increase in 

value relative to the large-cap U.S. 

equity market segment. The objective of 

the FactorShares 2X: Gold Bull/S&P500 

Bear will be to seek to track 

approximately +200% of the daily 

return of the S&P Gold-Equity Spread 

Total Return Index. The Fund will seek 

to track the spread, or the difference in 

daily returns, between the gold and U.S. 

equity market segments by primarily 

establishing a leveraged long position in 

the Gold Index Futures Contract12 and 

a leveraged short position in the Equity 

Index Futures Contract. 

Additional information regarding the 

Funds and the Shares, the Indexes and 

Sub-Indexes, the Index Futures 

Contracts, investment strategies, risks, 

creation and redemption procedures, 

calculation and dissemination of NAV 

and NAV calculation times, fees, 

portfolio holdings and disclosure 

policies, distributions and taxes, 

availability of information, trading rules 

and halts, and surveillance procedures, 

among other things, can be found in the 

Registration Statements and in the 

Notice, as applicable.13

III. Discussion and Commission’s 

Findings 

The Commission has carefully 

reviewed the proposed rule change and 

finds that it is consistent with the 

requirements of Section 6 of the Act14

and the rules and regulations 

thereunder applicable to a national 

securities exchange.15 In particular, the 

Commission finds that the proposal is 

consistent with Section 6(b)(5) of the 

Act,16 which requires, among other 

things, that the Exchange’s rules be 

designed to promote just and equitable 

principles of trade, to remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system, and, in 

general, to protect investors and the 

public interest. The Commission notes 

that the Shares must comply with the 

requirements of NYSE Arca Equities 

Rule 8.200 and Commentary .02 thereto 

to be listed and traded on the Exchange. 

The Commission finds that the 

proposal to list and trade the Shares on 

the Exchange is consistent with Section 

11A(a)(1)(C)(iii) of the Act,17 which sets 

forth Congress’ finding that it is in the 

public interest and appropriate for the 

protection of investors and the 

maintenance of fair and orderly markets 

to assure the availability to brokers, 

dealers, and investors of information 

with respect to quotations for and 

transactions in securities. Quotation and 

last-sale information regarding the 

Shares will be disseminated through the 

facilities of the Consolidated Tape 

Association. The Index Sponsor will 

publish the intra-day level of each Index 

and Sub-Index once every 15 seconds 

during the NYSE Arca Core Trading 

Session on the consolidated tape, 

Reuters, and/or Bloomberg, and the 

closing level of each Index and SubIndexes daily on its Web site. In 

addition, the Indicative Index Value 

(‘‘IIV’’) per Share of each Fund will be 

calculated by applying the percentage 

price change of each Fund’s holdings in 

futures contracts (and/or Substitute 

Futures and Financial Instruments, as 

applicable) to the last published NAV of 

each Fund and will be disseminated (in 

U.S. dollars) by one or more market data 

vendors every 15 seconds during the 

NYSE Arca Core Trading Session. 

Further, the Funds will provide Web 

site disclosure of portfolio holdings 

daily and will include, as applicable, 

the names and value (in U.S. dollars) of 

Index Futures Contracts, Substitute 

Futures and Financial Instruments, 

characteristics of these Index Futures 

Contracts, Substitute Futures, and 

Financial Instruments, as applicable, 

and Fixed Income Instruments, and the 

amount of cash held in the portfolio of 

the Funds. The closing prices and 

settlement prices of Index Futures 

Contracts are available from the New 

York Mercantile Exchange (‘‘NYMEX’’), 

the Chicago Mercantile Exchange, Inc. 

(‘‘CME’’), the COMEX division of 

NYMEX (‘‘COMEX’’), and the 

Intercontinental Exchange Inc. (‘‘ICE’’), 

automated quotation systems, published 

or other public sources, and on-line 

information services such as Bloomberg 

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9846 Federal Register / Vol. 76, No. 35 / Tuesday, February 22, 2011 / Notices 

18Trading may also be halted because of market 

conditions or for reasons that, in the view of the 

Exchange, make trading in the Shares inadvisable. 

These may include: (1) The extent to which trading 

is not occurring in the underlying Index Futures 

Contracts; or (2) whether other unusual conditions 

or circumstances detrimental to the maintenance of 

a fair and orderly market are present. 

19The Information Bulletin will further advise 

ETP Holders that FINRA has implemented 

increased customer margin requirements applicable 

to leveraged ETFs (which include the Shares) and 

options on leveraged ETFs, as described in FINRA 

Regulatory Notices 09–53 (August 2009) and 09–65 

(November 2009). 

20 17 CFR 240.10A–3. 

21The Commission notes that it does not regulate 

the market for futures in which the Fund plans to 

take positions, which is the responsibility of the 

CFTC. The CFTC has the authority to set limits on 

the positions that any person may take in futures. 

These limits may be directly set by the CFTC or by 

the markets on which the futures are traded. The 

Commission has no role in establishing position 

limits on futures, even though such limits could 

impact an exchange-traded product that is under 

the jurisdiction of the Commission. 

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

23 15 U.S.C. 78s(b)(2). 

24 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

or Reuters. The specific contract 

specifications for the Index Futures 

Contracts are also available on those 

Web sites, as well as on other financial 

informational sources. NYMEX, CME, 

COMEX, and ICE also provide delayed 

futures information on current and past 

trading sessions and market news free of 

charge on their Web sites. The NAV for 

each Fund will be calculated by the 

Administrator once a day as of the first 

to settle of the corresponding Index 

Futures Contracts, but in no event after 

4 p.m. E.T. The Exchange will 

disseminate on a daily basis via the 

Consolidated Tape Association 

information with respect to recent NAV, 

Shares outstanding, and the daily 

trading volume of the Shares. The Web 

site for the Funds and/or the Exchange 

will contain: (a) The current NAV per 

Share daily and the prior business day’s 

NAV; (b) the reported closing price; (c) 

the Prospectus; and (d) other 

quantitative information. 

The Commission further believes that 

the proposal to list and trade the Shares 

is reasonably designed to promote fair 

disclosure of information that may be 

necessary to price the Shares 

appropriately and to prevent trading 

when a reasonable degree of 

transparency cannot be assured. The 

Commission notes that the Web site 

disclosure of the portfolio composition 

of the Funds will occur at the same time 

as the disclosure by the Managing 

Owner of the portfolio composition to 

Authorized Participants so that all 

market participants are provided 

portfolio composition information at the 

same time. In addition, if the Exchange 

becomes aware that the NAV with 

respect to the Shares is not 

disseminated to all market participants 

at the same time, the Exchange will halt 

trading in the Shares until such time as 

the NAV is available to all market 

participants. Further, the Exchange may 

halt trading during the day in which an 

interruption to the dissemination to the 

IIV, the Indexes, the Sub-Indexes, or the 

value of the underlying futures contracts 

occurs. If such interruption 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.18 Trading in 

the Shares will be subject to NYSE Arca 

Equities Rule 8.200, Commentary .02(e), 

which sets forth certain restrictions on 

ETP Holders acting as registered Market 

Makers in Trust Issued Receipts to 

facilitate surveillance. The Exchange 

represents that the Index Sponsor has 

implemented procedures designed to 

prevent the use and dissemination of 

material, non-public information 

regarding the Indexes. 

The Exchange has represented that 

the Shares are deemed to be equity 

securities subject to the Exchange’s 

existing rules governing the trading of 

equity securities. In support of this 

proposal, the Exchange has made 

representations, including: 

(1) The Funds will meet the initial 

and continued listing requirements 

applicable to Trust Issued Receipts in 

NYSE Arca Equities Rule 8.200 and 

Commentary .02 thereto. 

(2) The Exchange has appropriate 

rules to facilitate transactions in the 

Shares during all trading sessions. 

(3) The Exchange’s surveillance 

procedures are adequate to properly 

monitor Exchange trading of the Shares 

in all trading sessions and to deter and 

detect violations of Exchange rules and 

applicable federal securities laws. In 

addition, with respect to components 

traded on exchanges, not more than 

10% of the weight of a Fund’s portfolio 

in the aggregate will consist of 

components whose principal trading 

market is not a member of the 

Intermarket Surveillance Group or is a 

market with which the Exchange does 

not have a comprehensive surveillance 

sharing agreement. 

(4) 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: (a) The risks 

involved in trading the Shares during 

the Opening and Late Trading Sessions 

when an updated IIV will not be 

calculated or publicly disseminated; (b) 

the procedures for purchases and 

redemptions of Shares in Creation 

Baskets and Redemption Baskets (and 

that Shares are not individually 

redeemable); (c) NYSE Arca Equities 

Rule 9.2(a), which imposes a duty of 

due diligence on its ETP Holders to 

learn the essential facts relating to every 

customer prior to trading the Shares; (d) 

how information regarding the IIV is 

disseminated; (e) 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 (f) 

trading information.19

(5) For the initial and continued 

listing of the Shares, the Shares must be 

in compliance with NYSE Arca Equities 

Rule 5.3 and Rule 10A–3 under the 

Act.20

(6) A minimum of 100,000 Shares for 

each Fund will be outstanding as of the 

start of trading on the Exchange. This 

approval order is based on the 

Exchange’s representations.21

For the foregoing reasons, the 

Commission finds that the proposed 

rule change is consistent with Section 

6(b)(5) of the Act22 and the rules and 

regulations thereunder applicable to a 

national securities exchange. 

IV. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,23 that the 

proposed rule change (SR–NYSEArca– 

2010–121), be, and it hereby is, 

approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.24

Cathy H. Ahn, 

Deputy Secretary. 

[FR Doc. 2011–3824 Filed 2–18–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63914; File No. SR–Phlx– 

2011–15] 

Self-Regulatory Organizations; Notice 

of Filing of Proposed Rule Change by 

NASDAQ OMX PHLX LLC to Expand 

the $2.50 Strike Price Program 

February 15, 2011. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’) 1 and Rule 19b–4 thereunder,2

notice is hereby given that, on February 

2, 2011, NASDAQ OMX PHLX LLC 

(‘‘Phlx’’ or ‘‘Exchange’’) filed with the 

mstockstill on DSKH9S0YB1PROD with NOTICES