52034 Federal Register / Vol. 76, No. 161 / Friday, August 19, 2011 / Notices 

11 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 64470 

(May 11, 2011), 76 FR 28493 (‘‘Notice’’). 

4The Funds have filed a registration statement on 

Form S–3 under the Securities Act of 1933. See 

Post-Effective Amendment No. 4 dated April 13, 

2011 (File No. 333–163511) to the Trust’s 

Registration Statement on Form S–3 (‘‘Registration 

Statement’’). 

5Standard & Poor’s Financial Services LLC, the 

index sponsor with respect to the Indexes, is not a 

broker-dealer and has implemented procedures 

designed to prevent the use and dissemination of 

material, non-public information regarding the 

Indexes. 

6The term ‘‘under normal conditions’’ includes, 

but is not limited to, the absence of extreme 

volatility or trading halts in the futures markets or 

the financial markets generally; operational issues 

causing dissemination of inaccurate market 

information; or force majeure type events such as 

systems failure, natural or man-made disaster, act 

of God, armed conflict, act of terrorism, riot or labor 

disruption or any similar intervening circumstance. 

7To the extent practicable, the Funds will invest 

in swaps cleared through the facilities of a 

centralized clearing house. 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for Web site viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street, NE., 

Washington, DC 20549 on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of such filing 

will also be available for inspection and 

copying at the principal office of the 

Exchange. All comments received will 

be posted without change; the 

Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File No. SR–BATS– 

2011–029 and should be submitted on 

or before September 9, 2011. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Elizabeth M. Murphy, 

Secretary. 

[FR Doc. 2011–21171 Filed 8–18–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–65134; File No. SR– 

NYSEArca–2011–23] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Order Granting Approval of 

Proposed Rule Change To List and 

Trade Shares of ProShares Short VIX 

Short-Term Futures ETF, ProShares 

Short VIX Mid-Term Futures ETF, 

ProShares Ultra VIX Short-Term 

Futures ETF, ProShares Ultra VIX MidTerm Futures ETF, ProShares 

UltraShort VIX Short-Term Futures 

ETF, and ProShares UltraShort VIX 

Mid-Term Futures ETF Under NYSE 

Arca Equities Rule 8.200, Commentary 

.02 

August 15, 2011. 

I. Introduction 

On April 28, 2011, NYSE Arca, Inc. 

(‘‘Exchange’’ or ‘‘NYSE Arca’’) 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 ProShares Short VIX 

Short-Term Futures ETF, ProShares 

Short VIX Mid-Term Futures ETF 

(‘‘Short Funds’’), ProShares Ultra VIX 

Short-Term Futures ETF, ProShares 

Ultra VIX Mid-Term Futures ETF 

(‘‘Ultra Funds’’), ProShares UltraShort 

VIX Short-Term Futures ETF, and 

ProShares UltraShort VIX Mid-Term 

Futures ETF (‘‘UltraShort Funds’’ and, 

together with the Short Funds and Ultra 

Funds, the ‘‘Funds’’) under NYSE Arca 

Equities Rule 8.200, Commentary .02. 

The proposed rule change was 

published in the Federal Register on 

May 17, 2011.3 The Commission 

received no comments on the proposal. 

On July 1, 2011, the Exchange submitted 

a request to extend the Commission’s 

action date for the proposed rule change 

to August 15, 2011. This order grants 

approval of the proposed rule change. 

II. Description of the Proposal 

The Exchange proposes to list and 

trade the Shares pursuant to NYSE Arca 

Equities Rule 8.200, Commentary .02, 

which permits the trading of Trust 

Issued Receipts. ProShare Capital 

Management LLC (‘‘Sponsor’’), a 

Maryland limited liability company, 

serves as the Sponsor of ProShares Trust 

II (‘‘Trust’’) and is a commodity pool 

operator and commodity trading 

advisor.4 Brown Brothers Harriman & 

Co. serves as the administrator 

(‘‘Administrator’’), custodian, and 

transfer agent of the Funds and their 

respective Shares. SEI Investments 

Distribution Co. serves as Distributor of 

the Shares. Wilmington Trust Company, 

a Delaware banking corporation, is the 

sole trustee of the Trust. 

The Funds seek, on a daily basis, to 

provide investment results (before fees 

and expenses) that correspond to the 

inverse of the daily performance, a 

multiple of the daily performance, or an 

inverse multiple of the daily 

performance of a benchmark that seeks 

to offer exposure to market volatility 

through publicly traded futures markets. 

The benchmark for ProShares Short VIX 

Short-Term Futures ETF, ProShares 

Ultra VIX Short-Term Futures ETF, and 

ProShares UltraShort VIX Short-Term 

Futures ETF is the S&P 500 VIX ShortTerm Futures Index, and the benchmark 

for ProShares Short VIX Mid-Term 

Futures ETF, ProShares Ultra VIX MidTerm Futures ETF, and ProShares 

UltraShort VIX Mid-Term Futures ETF 

is the S&P 500 VIX Mid-Term Futures 

Index (each, an ‘‘Index,’’ and, 

collectively, the ‘‘Indexes’’).5 The Funds 

will take long (in the case of the Ultra 

Funds) and short (in the case of the 

Short and UltraShort Funds) positions 

in futures contracts based on the 

Chicago Board Options Exchange 

(‘‘CBOE’’) Volatility Index (‘‘VIX’’) and, 

under limited circumstances, swap 

agreements (as described below), to 

pursue their respective investment 

objectives. Each Fund also may invest in 

cash or cash equivalents such as U.S. 

Treasury securities or other high credit 

quality short-term fixed-income, or 

similar securities that may serve as 

collateral for the futures contracts and 

swap agreements. 

Specifically, each Fund seeks to 

achieve its investment objective by 

investing under normal market 

conditions 6 in VIX futures contracts 

traded on the CBOE Futures Exchange 

(‘‘CFE’’) (‘‘VIX Futures Contracts’’) such 

that each Fund has exposure intended 

to approximate the inverse of the daily 

performance, a multiple of the daily 

performance, or an inverse multiple of 

the daily performance of its respective 

Index at the time of the net asset value 

(‘‘NAV’’) calculation. In the event 

position accountability rules are 

reached with respect to VIX Futures 

Contracts, the Sponsor may, in its 

commercially reasonable judgment, 

cause such Fund to obtain exposure 

through swaps referencing the relevant 

Index or particular VIX Futures 

Contracts, or invest in other futures 

contracts or swaps not based on the 

particular VIX Futures Contracts if such 

instruments tend to exhibit trading 

prices or returns that correlate with the 

Indexes or any VIX Futures Contract 

and will further the investment 

objective of such Fund.7 The Funds may 

also invest in swaps if the market for a 

specific futures contract experiences 

emergencies or disruptions that prevent 

a Fund from obtaining the appropriate 

amount of investment exposure to the 


jlentini on DSK4TPTVN1PROD with NOTICES
Federal Register / Vol. 76, No. 161 / Friday, August 19, 2011 / Notices 52035 

8The Sponsor will attempt to mitigate the Funds’ 

credit risk by transacting only with large, wellcapitalized institutions using measures designed to 

determine the creditworthiness of a counterparty. 

The Sponsor will take various steps to limit 

counterparty credit risk, as described in the 

Registration Statement. 

9 VIX is the ticker symbol for the CBOE Volatility 

Index, a popular measure of implied volatility. 

According to the Registration Statement, the goal of 

the VIX is to estimate the implied volatility of the 

S&P 500 over the next 30 days. A relatively high 

level of the VIX corresponds to a more volatile U.S. 

equity market as expressed by more costly options 

on the S&P 500 Index. The VIX represents one 

measure of the market’s expectation of the volatility 

over the next 30 day period. It is a composite value 

of options on the S&P 500 Index. The formula used 

to calculate the composite value utilizes current 

market prices for a series of out-of-the-money calls 

and puts for the front month and second month 

expirations. 

affected VIX Futures Contracts directly 

or to other futures contracts.8

If the Short Funds are successful in 

meeting their objectives, their values 

(before fees and expenses) should gain 

approximately as much on a percentage 

basis as their respective Index when it 

declines on a given day. Conversely, 

their values (before fees and expenses) 

should lose approximately as much on 

a percentage basis as their respective 

Index when it rises on a given day. If the 

Ultra Funds are successful in meeting 

their objectives, their values (before fees 

and expenses) should gain 

approximately twice as much on a 

percentage basis as their respective 

Index when it rises on a given day. 

Conversely, their values (before fees and 

expenses) should lose approximately 

twice as much on a percentage basis as 

their respective Index when it declines 

on a given day. If the UltraShort Funds 

are successful in meeting their 

objectives, their values (before fees and 

expenses) should gain approximately 

twice as much on a percentage basis as 

their respective Index when it declines 

on a given day. Conversely, their values 

(before fees and expenses) should lose 

approximately twice as much on a 

percentage basis as their respective 

Index when it rises on a given day. 

Each of the Funds uses investment 

techniques that include the use of any 

one or a combination of VIX Futures 

Contracts and may, if applicable, 

include swap agreements. The Funds’ 

investment techniques may involve a 

small investment relative to the amount 

of investment exposure assumed and 

may result in losses exceeding the 

amounts invested. Such techniques, 

particularly when used to create 

leverage, may expose the Funds to 

potentially dramatic changes (losses or 

gains) in the value of their investments 

and imperfect correlation between the 

value of the investments and the 

security or Index. 

The Funds do not seek to achieve 

their stated investment objective over a 

period of time greater than one day 

because mathematical compounding 

prevents the Funds from perfectly 

achieving such results. Accordingly, 

results over periods of time greater than 

one day typically will not be a simple 

inverse correlation (¥100%), multiple 

correlation (+200%), or multiple inverse 

correlation (¥200%) of the period 

return of the corresponding Index and 

may differ significantly. 

Each Fund is not actively 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 toward obtaining positive 

results under all market conditions. 

Rather, the Sponsor will seek to cause 

the NAV to track the inverse of the daily 

performance, a multiple of the daily 

performance, or an inverse multiple of 

the daily performance of an Index, even 

during periods in which the benchmark 

is flat or moving in a manner which 

causes the NAV of a Fund to decline. 

The Sponsor will use a mathematical 

approach to determine the type, 

quantity, and mix of investment 

positions that it believes should 

produce returns consistent with each 

Fund’s objective. The Sponsor will rely 

upon a pre-determined model to 

generate orders that result in 

repositioning the Funds’ investments in 

accordance with their respective 

investment objectives. 

VIX Futures Contracts 

The Indexes are comprised of, and the 

value of the Funds will be based on, VIX 

Futures Contracts. VIX Futures 

Contracts are measures of the market’s 

expectation of the level of the VIX at 

certain points in the future and will 

behave differently than current or spot 

VIX values.9 The Funds are not linked 

to the VIX, and in many cases the 

Indexes, and by extension the Funds, 

could significantly underperform or 

outperform the VIX. While the VIX 

represents a measure of the current 

expected volatility of the S&P 500 over 

the next 30 days, the prices of VIX 

Futures Contracts are based on the 

current expectation of what the 

expected 30-day volatility will be at a 

particular time in the future (on the 

expiration date). The VIX Futures 

Contracts trade from 8:20 a.m. Eastern 

Time (‘‘E.T.’’) to 4:15 p.m. E.T. 

The Indexes 

The Indexes act as a measure of 

volatility as reflected by the price of 

certain VIX Futures Contracts (‘‘Index 

Components’’), with the price of each 

VIX Futures Contract reflecting the 

market’s expectation of future volatility. 

Each Index seeks to reflect the returns 

that are potentially available from 

holding an unleveraged long position in 

certain VIX Futures Contracts. Unlike 

the Indexes, the VIX, which is not a 

benchmark for any Fund, is calculated 

based on the prices of put and call 

options on the S&P 500, which are 

traded on the CBOE. 

The S&P 500 VIX Short-Term Futures 

Index employs rules for selecting the 

Index Components and a formula to 

calculate a level for the Index from the 

prices of these components. 

Specifically, the Index Components 

represent the prices of the two near-term 

VIX futures months, replicating a 

position that rolls the nearest month 

VIX Futures Contract to the next month 

VIX Futures Contract on a daily basis in 

equal fractional amounts. This results in 

a constant weighted average maturity of 

one month. The roll period begins on 

the Tuesday prior to the monthly VIX 

Futures Contracts settlement date and 

runs through the Tuesday prior to the 

subsequent month’s VIX Futures 

Contract settlement date. 

The S&P 500 VIX Mid-Term Futures 

Index also employs rules for selecting 

the Index Components and a formula to 

calculate the level of the Index from the 

prices of these components. 

Specifically, the Index Components 

represent the prices for four contract 

months of VIX Futures Contracts, 

representing a market-based estimation 

of constant maturity, five month 

forward implied VIX values. The S&P 

500 VIX Mid-Term Futures Index 

measures the return from a rolling long 

position in the fourth, fifth, sixth and 

seventh month VIX Futures Contracts 

and rolls continuously throughout each 

month while maintaining positions in 

the fifth and sixth month contracts. This 

results in a constant weighted average 

maturity of five months. 

Because the Indexes incorporate the 

process of rolling futures positions on a 

daily basis, and the Funds, in general, 

also roll their positions on a daily basis, 

the daily roll is not anticipated to be a 

significant source of tracking error 

between a Fund and its respective 

Index. The Indexes are based on VIX 

Futures Contracts and not the VIX, and 

as such neither the Funds nor the 

Indexes are expected to track the VIX. 

The level of each Index is calculated in 

accordance with the method described 


jlentini on DSK4TPTVN1PROD with NOTICES
52036 Federal Register / Vol. 76, No. 161 / Friday, August 19, 2011 / Notices 

10A ‘‘Business Day’’ means any day other than a 

day when any of the NYSE, NYSE Arca, CBOE, or 

CFE or other exchange material to the valuation or 

operation of the Funds, or the calculation of the 

VIX, options contracts underlying the VIX, VIX 

Futures Contracts, or the Indexes is closed for 

trading. 

11See Notice and Registration Statement, supra 

notes 3 and 4, respectively. 

12 15 U.S.C. 78f. 

13 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). 

14 15 U.S.C. 78f(b)(5). 

15 15 U.S.C. 78k–1(a)(1)(C)(iii). 

16Trading 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 futures contracts; 

or (2) whether other unusual conditions or 

circumstances detrimental to the maintenance of a 

fair and orderly market are present. 

in the Registration Statement and will 

be published at least every 15 seconds 

both in real time from 9:30 a.m. to 4:15 

p.m. E.T. and at the close of trading on 

each Business Day by Bloomberg L.P. 

and Reuters.10

Additional information regarding the 

Funds and the Shares, investment 

strategies, risks, creation and 

redemption procedures, Indexes, VIX 

Futures Contracts, calculation and 

dissemination of NAV, fees, portfolio 

holdings, disclosure policies, 

distributions and taxes, availability of 

information, trading rules and halts, and 

surveillance procedures, among other 

things, can be found in the Notice and 

Registration Statement, as applicable.11

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 Act 12

and the rules and regulations 

thereunder applicable to a national 

securities exchange.13 In particular, the 

Commission finds that the proposal is 

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

Act,14 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,15 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 level of each Index 

will be published at least every 15 

seconds both in real time from 9:30 a.m. 

to 4:15 p.m. E.T. and at the close of 

trading on each Business Day by 

Bloomberg L.P. and Reuters. In addition, 

an updated Indicative Optimized 

Portfolio Value (‘‘IOPV’’), which is an 

indicator of the value of the VIX Futures 

Contracts and cash and/or cash 

equivalents less liabilities of a Fund, 

will be calculated. NYSE Arca will 

calculate and disseminate every 15 

seconds throughout the NYSE Arca Core 

Trading Session (9:30 a.m. to 4 p.m. 

E.T.) an updated IOPV. The IOPV will 

be published on the NYSE Arca’s Web 

site and be available through on-line 

information services such as Bloomberg 

and Reuters. Further, the Funds will 

provide Web site disclosure of portfolio 

holdings daily and will include, as 

applicable, the notional value (in U.S. 

dollars) of VIX Futures Contracts, other 

financial instruments, if any, cash 

equivalents, and amount of cash held in 

the portfolio of the Funds. The intraday, closing, and settlement prices of 

the Index Components are also readily 

available from the Web sites of the CFE 

(http://www.cfe.cboe.com), automated 

quotation systems, published or other 

public sources, or on-line information 

services such as Bloomberg or Reuters. 

The specific contract specifications for 

component futures underlying the 

Indexes are also available on such 

websites, as well as other financial 

informational sources. The CFE also 

provides delayed futures information on 

current and past trading sessions and 

market news free of charge on its Web 

site. The NAV for each Fund will be 

calculated by the Administrator once a 

day at 4:15 p.m. E.T. The Exchange will 

make available on its Web site daily 

trading volume of each of the Shares, 

closing prices of such Shares, and 

number of Shares outstanding. The 

Funds’ Web site, http:// 

www.proshares.com, will display the 

end of day closing Index levels and 

NAV. 

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 Web site 

disclosure of the portfolio composition 

of the Funds will occur at the same time 

as the disclosure by the Funds 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 of the 

IOPV, the value of an Index, the VIX, or 

the value of the underlying VIX Futures 

Contracts occurs. If an interruption to 

the dissemination of the IOPV, the value 

of an Index, the VIX, or the value of the 

underlying VIX Futures Contracts 

persists past the trading day in which it 

occurred, the Exchange will halt trading 

no later than the beginning of the 

trading day following the interruption.16

Trading in the Shares will be subject to 

NYSE Arca Equities Rule 8.200, 

Commentary .02(e), which sets forth 

certain restrictions on Equity Trading 

Permit (‘‘ETP’’) Holders acting as 

registered Market Makers in Trust 

Issued Receipts to facilitate 

surveillance. The Exchange represents 

that Standard & Poor’s Financial 

Services LLC, the index sponsor with 

respect to the Indexes, is not a brokerdealer and has implemented procedures 

designed to prevent the use and 

dissemination of material, non-public 

information regarding the Indexes. 

The Exchange further represents 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 

additional 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 


jlentini on DSK4TPTVN1PROD with NOTICES
Federal Register / Vol. 76, No. 161 / Friday, August 19, 2011 / Notices 52037 

17See FINRA Regulatory Notices 09–31 (June 

2009), 09–53 (August 2009) and 09–65 (November 

2009) (‘‘FINRA Regulatory Notices’’). 

18As noted above, the 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 discussed in the FINRA Regulatory Notices. See 

supra, note 17. 

19 17 CFR 240.10A–3. 

20The 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 

Commodity Futures Trading Commission (‘‘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. 

21 15 U.S.C. 78f(b)(5). 

22 15 U.S.C. 78s(b)(2). 

23 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 64464 

(May 11, 2011), 76 FR 28483 (‘‘Notice’’). 

4See Post-Effective Amendment No. 1 dated May 

28, 2010 (File No. 333–163511) and Post-Effective 

Amendment No. 4 dated April 13, 2011 (File No. 

333–163511) to the Funds’ Registration Statement 

on Form S–3 (‘‘Registration Statements’’). 

5Commentary .02 to NYSE Arca Equities Rule 

8.200 applies to Trust Issued Receipts that invest 

in ‘‘Financial Instruments.’’ The term ‘‘Financial 

Instruments,’’ as defined in Commentary .02(b)(4) to 

NYSE Arca Equities Rule 8.200, means any 

combination of investments, including cash; 

securities; options on securities and indices; futures 

Continued 

addition, with respect to any Fund’s 

holdings of futures contracts traded on 

exchanges, not more than 10% of the 

weight of such futures contracts in the 

aggregate shall 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 of the suitability 

requirements of NYSE Arca Equities 

Rule 9.2(a) in an Information Bulletin. 

Specifically, ETP Holders will be 

reminded in the Information Bulletin 

that, in recommending transactions in 

the Shares, they must have a reasonable 

basis to believe that (a) the 

recommendation is suitable for a 

customer given reasonable inquiry 

concerning the customer’s investment 

objectives, financial situation, needs, 

and any other information known by 

such member, and (b) the customer can 

evaluate the special characteristics, and 

is able to bear the financial risks, of an 

investment in the Shares. In connection 

with the suitability obligation, the 

Information Bulletin will also provide 

that members must make reasonable 

efforts to obtain the following 

information: (i) The customer’s financial 

status; (ii) the customer’s tax status; (iii) 

the customer’s investment objectives; 

and (iv) such other information used or 

considered to be reasonable by such 

member or registered representative in 

making recommendations to the 

customer. In addition, the Information 

Bulletin will reference the FINRA 

Regulatory Notices regarding sales 

practice and customer margin 

requirements implemented by FINRA, 

applicable to FINRA members, with 

respect to leveraged ETFs (which 

include the Shares) and options on 

leveraged ETFs.17 ETP Holders that 

carry customer accounts will be 

required to follow the FINRA guidance 

set forth in these notices. 

(5) Prior to the commencement of 

trading, the Exchange also 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 

IOPV 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) 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 (e) 

trading information.18

(6) The Funds must be in compliance 

with NYSE Arca Equities Rule 5.3 and 

Rule 10A–3 under the Act.19

(7) 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.20

For the foregoing reasons, the 

Commission finds that the proposed 

rule change is consistent with Section 

6(b)(5) of the Act 21 and the rules and 

regulations thereunder applicable to a 

national securities exchange. 

IV. Conclusion 

It is therfore ordered, pursuant to 

Section 19(b)(2) of the Act,22 that the 

proposed rule change (SR–NYSEArca– 

2011–23) be, and it hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.23

Elizabeth M. Murphy, 

Secretary. 

[FR Doc. 2011–21173 Filed 8–18–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–65136; File No. SR– 

NYSEArca–2011–24] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Order Approving a 

Proposed Rule Change To List and 

Trade Shares of the Following Under 

NYSE Arca Equities Rule 8.200: 

ProShares Short DJ–UBS Natural Gas, 

ProShares Ultra DJ–UBS Natural Gas 

and ProShares UltraShort DJ–UBS 

Natural Gas 

August 15, 2011. 

I. Introduction 

On April 28, 2011, NYSE Arca, Inc. 

(‘‘Exchange’’ or ‘‘NYSE Arca’’) 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 of the 

ProShares Short DJ–UBS Natural Gas, 

ProShares Ultra DJ–UBS Natural Gas, 

and ProShares UltraShort DJ–UBS 

Natural Gas under NYSE Arca Equities 

Rule 8.200. The proposed rule change 

was published for comment in the 

Federal Register on May 17, 2011.3 The 

Commission received no comments on 

the proposal. On July 1, 2011, the 

Exchange submitted a request to extend 

the Commission’s action date for the 

proposed rule change to August 15, 

2011. This order grants approval of the 

proposed rule change. 

II. Description of the Proposed Rule 

Change 

The Exchange proposes to list and 

trade shares (‘‘Shares’’) of the ProShares 

Short DJ–UBS Natural Gas, ProShares 

Ultra DJ–UBS Natural Gas, and 

ProShares UltraShort DJ–UBS Natural 

Gas (each a ‘‘Fund’’ and, collectively, 

‘‘Funds’’) 4 pursuant to NYSE Arca 

Equities Rule 8.200, Commentary .02, 

which permits the trading of Trust 

Issued Receipts either by listing or 

pursuant to unlisted trading privileges.5


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