Federal Register / Vol. 77, No. 34 / Tuesday, February 21, 2012 / Notices 10005 

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

2 17 CFR 240.19b–4. 

3Commentary .02 to NYSE Arca Equities Rule 

8.200 applies to TIRs 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 contracts; options on 

futures contracts; forward contracts; equity caps, 

collars and floors; and swap agreements. 

4Pre-Effective Amendment No. 2 to the 

Registration Statement on Form S–1 of the Trust 

(File No. 333–170314) was filed on August 26, 2011 

(‘‘Registration Statement’’) under the Securities Act 

of 1933 in order to register common units of 

beneficial interests of the Fund, which is a series 

of the Trust. Pre-Effective Amendment No. 1 to the 

Registration Statement on Form S–1 of the Trust 

was filed on July 6, 2011. The Trust was previously 

named ‘‘BNP Paribas L/S Commodities Trust’’ and 

filed the original Registration Statement on Form 

S–1 on November 3, 2010. Additionally, the Trust, 

which was originally formed as a Delaware 

statutory trust, has been converted into a Delaware 

statutory trust organized in series. The descriptions 

of the Fund and the Shares contained herein are 

based, in part, on the Registration Statement. 

5See, e.g., Securities Exchange Act Release No. 

58161 (July 15, 2008), 73 FR 42380 (July 21, 2008) 

(SR–Amex–2008–39) (order approving amendments 

to Amex Rule 1202, Commentary .07 and listing on 

Amex of 14 funds of the Commodities and Currency 

Trust). 

6See, e.g., Securities Exchange Act Release No. 

58163 (July 15, 2008), 73 FR 42391 (July 21, 2008) 

(SR–NYSEArca–2008–73) (order approving UTP 

trading on NYSE Arca of 14 funds of the 

Commodities and Currency Trust). 

7See, e.g., Securities Exchange Act Release No. 

58457 (September 3, 2008), 73 FR 52711 (September 

10, 2008) (SR–NYSEArca–2008–91) (order 

approving listing on NYSE Arca of 14 funds of the 

Commodities and Currency Trust). 

8See, e.g., Securities Exchange Act Release Nos. 

56932 (December 7, 2007), 72 FR 71178 (December 

14, 2007) (SR–NYSEArca–2007–112) (order granting 

accelerated approval to list iShares S&P GSCI 

Commodity-Indexed Trust); 59895 (May 8, 2009), 

74 FR 22993 (May 15, 2009) (SR–NYSEArca–2009– 

40) (order granting accelerated approval for NYSE 

Arca listing the ETFS Gold Trust). 

9The Managing Owner is affiliated with a brokerdealer and has implemented procedures designed to 

prevent the use and dissemination of material, nonpublic information regarding the Fund’s portfolio. 

10Standard & Poor’s is not a broker-dealer, is not 

affiliated with a broker-dealer, and has 

implemented procedures designed to prevent the 

use and dissemination of material, non-public 

information regarding the Index (as defined below). 

11Terms relating to the Fund, the Shares and the 

Index (as defined below) referred to, but not 

defined, herein are defined in the Registration 

Statement. 

12The Designated Contracts are traded on the 

Chicago Mercantile Exchange, Inc. (‘‘CME’’), 

COMEX (‘‘CMX,’’ a division of CME), Chicago 

Board of Trade (‘‘CBT,’’ a division of CME), NYMEX 

(‘‘NYM,’’ a division of CME), ICE Futures US (‘‘ICE– 

US’’), ICE Futures Europe (‘‘ICE–UK’’), Kansas City 

Board of Trade (‘‘KBT’’), and London Metal 

Exchange (‘‘LME’’) (collectively, ‘‘Futures 

Exchanges’’). 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66390; File No. SR– 

NYSEArca–2012–10] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of Proposed 

Rule Change Relating To Listing and 

Trading of Shares of the BNP Paribas 

S&P Dynamic Roll Global Commodities 

Fund Under NYSE Arca Equities Rule 

8.200 

February 14, 2012. 

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

Securities Exchange Act of 1934 (‘‘Act’’ 

or ‘‘Exchange Act’’) 1 and Rule 19b–4 

thereunder,2 notice is hereby given that, 

on January 30, 2012, NYSE Arca, Inc. 

(‘‘Exchange’’ or ‘‘NYSE Arca’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change as described in 

Items I and II below, which Items have 

been prepared by the Exchange. 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 shares of the BNP Paribas S&P 

Dynamic Roll Global Commodities Fund 

under NYSE Arca Equities Rule 8.200. 

The text of the proposed rule change is 

available at the Exchange, the 

Commission’s Public Reference Room, 

and www.nyse.com. 

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 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

NYSE Arca Equities Rule 8.200, 

Commentary .02 permits the trading of 

Trust Issued Receipts (‘‘TIRs’’) either by 

listing or pursuant to unlisted trading 

privileges (‘‘UTP’’).3 The Exchange 

proposes to list and trade the shares 

(‘‘Shares’’) of the BNP Paribas S&P 

Dynamic Roll Global Commodities Fund 

(‘‘Fund’’) under NYSE Arca Equities 

Rule 8.200. 

BNP Paribas Exchange Traded Trust 

(‘‘Trust’’) is organized in series as a 

Delaware statutory trust. As of the date 

hereof, the Trust consists of two series, 

one of which is the Fund.4

The Exchange notes that the 

Commission has previously approved 

the listing and trading of other issues of 

TIRs on the American Stock Exchange 

LLC (‘‘Amex’’),5 trading on NYSE Arca 

pursuant to UTP,6 and listing on NYSE 

Arca.7 In addition, the Commission has 

approved other exchange-traded fundlike products linked to the performance 

of underlying commodities.8

Wilmington Trust Company 

(‘‘Trustee’’), a Delaware trust company, 

is the sole trustee of the Trust. 

BNP Paribas Quantitative Strategies, 

LLC (‘‘Managing Owner’’), a Delaware 

limited liability company, serves as 

Managing Owner of the Trust and the 

Fund. The Managing Owner is a whollyowned subsidiary of Paribas North 

America, Inc., which is a wholly-owned, 

indirect subsidiary of BNP Paribas, 

which is affiliated with a broker-dealer.9

The Managing Owner is registered as a 

commodity pool operator with the 

Commodity Futures Trading 

Commission (‘‘CFTC’’) and is a member 

of the National Futures Association. 

Standard and Poor’s is the Index 

Sponsor.10

The Bank of New York Mellon is the 

administrator (‘‘Administrator’’) of the 

Fund, as well as the custodian 

(‘‘Custodian’’) and transfer agent 

(‘‘Transfer Agent’’). 

Overview of the Fund 11

According to the Registration 

Statement, the investment objective of 

the Fund is to track changes, whether 

positive or negative, in the level of the 

S&P GSCI® Dynamic Roll Excess Return 

Index (‘‘Index’’) over time. The Fund 

does not intend to outperform the Index. 

The Managing Owner will seek to cause 

changes in the net asset value (‘‘NAV’’) 

per Share of the Fund to track changes 

in the level of the Index during periods 

in which the Index is rising, flat or 

declining. 

The Fund seeks to achieve its 

investment objective by investing in 

exchange-traded futures (‘‘Designated 

Contracts’’) on the commodities (as set 

forth in Table 1 below) comprising the 

Index (‘‘Index Commodities’’), with a 

view to tracking the Index over time.12

In certain circumstances, and to a 

limited extent, the Fund may also invest 

in swap agreements based on an Index 

Commodity that are cleared through the 

relevant Futures Exchanges or their 

affiliated provider of clearing services 

(‘‘Cleared-Swaps’’) or in futures 

contracts referencing particular 

commodities other than the Index 

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10006 Federal Register / Vol. 77, No. 34 / Tuesday, February 21, 2012 / Notices 

13According to the Registration Statement, 

investing in Alternative Financial Instruments (if 

any) exposes the Fund to counterparty risk, or the 

risk that an Alternative Financial Instrument 

counterparty will default on its obligations under 

the Alternative Financial Instrument. The Managing 

Owner may select Alternative Financial Instrument 

(if any) counterparties giving due consideration to 

such factors as it deems appropriate, including, 

without limitation, creditworthiness, familiarity 

with the Index, and price. Under no circumstances 

will the Fund enter into Alternative Financial 

Instruments with any counterparty whose credit 

rating is lower than investment-grade as determined 

by a nationally recognized statistical rating 

organization (e.g., BBB- and above as determined by 

Standard & Poor’s, Baa3 and above as determined 

by Moody’s) at the time the Alternative Financial 

Instrument is entered into. The Fund anticipates 

that the counterparties to these Alternative 

Financial Instruments are likely to be banks, broker 

dealers and other financial institutions. The Fund 

expects that these Alternative Financial Instruments 

(if any) will be on terms that are standard in the 

market for such Alternative Financial Instruments. 

14The Managing Owner represents that the Fund 

will invest in exchange-traded futures, Cleared 

Swaps and Alternative Financial Instruments in a 

manner consistent with the Fund’s investment 

objective and not to achieve additional leverage. 

Commodities (i.e., futures contracts 

traded on exchanges other than the 

Futures Exchanges indicated in Table 1, 

including foreign exchanges) 

(‘‘Substitute Contracts’’), or in 

Alternative Financial Instruments 13

referencing the particular Index 

Commodity in furtherance of its 

investment objective if, in the 

commercially reasonable judgment of 

the Managing Owner, such instruments 

tend to exhibit trading prices or returns 

that generally correlate with the Index 

Commodities. Alternative Financial 

Instruments will be forward agreements, 

exchange-traded cash settled options, 

swaps other than Cleared Swaps, and 

other over-the-counter transactions that 

will serve as proxies to one or more 

Index Commodities. 

Specifically, once position limits in a 

Designated Contract are reached or a 

Futures Exchange imposes limitations 

on the Fund’s ability to maintain or 

increase its positions in a Designated 

Contract after reaching accountability 

levels or a price limit is in effect on a 

Designated Contract during the last 30 

minutes of its regular trading session, 

the Fund’s intention is to invest first in 

Cleared Swaps to the extent permitted 

under the position limits applicable to 

Cleared Swaps and appropriate in light 

of the liquidity in the Cleared Swaps 

market, and then, using its 

commercially reasonable judgment, in 

Substitute Contracts or in Alternative 

Financial Instruments (collectively, 

‘‘Other Commodity Interests’’ and 

together with Designated Contracts and 

Cleared Swaps, ‘‘Index Commodity 

Interests’’). By utilizing certain or all of 

these investments, the Managing Owner 

will endeavor to cause the Fund’s 

performance to track the performance of 

the Index. The circumstances under 

which such investments in Other 

Commodity Interests may be utilized 

(i.e., imposition of position limits) are 

discussed below. 

According to the Registration 

Statement, the Fund seeks to achieve its 

investment objective by investing in 

Index Commodity Interests such that 

daily changes in the Fund’s NAV per 

Share will be expected to track the 

changes in the level of the Index. The 

Fund’s positions in Index Commodity 

Interests will be changed or ‘‘rolled’’ on 

a regular basis in order to track the 

changing nature of the Index. For 

example, at each monthly roll 

determination date, roll algorithms 

measure the current shape of the 

forward curves of the eligible futures 

contract prices for each Index 

Commodity to search for the optimal 

contract months along the curve to roll 

into, subject to using only the most 

liquid of all available contracts of a 

given commodity. Since the futures 

contract being rolled out of will no 

longer be included in the Index, the 

Fund’s investments will have to be 

changed accordingly. 

Consistent with achieving the Fund’s 

investment objective of tracking the 

Index, the Managing Owner may, after 

reaching position limits in the 

Designated Contracts or when a Futures 

Exchange has imposed limitations on 

the Fund’s ability to maintain or 

increase its positions in a Designated 

Contract after reaching accountability 

levels or a price limit is in effect on a 

Designated Contract during the last 30 

minutes of its regular trading session, 

cause the Fund to first enter into or hold 

Cleared Swaps and then, if applicable, 

enter into or hold Other Commodity 

Interests. For example, certain Cleared 

Swaps have standardized terms similar 

to, and are priced by reference to, a 

corresponding Designated Contract. 

Additionally, Alternative Financial 

Instruments that do not have 

standardized terms and are not 

exchange-traded (‘‘over-the-counter’’ 

Alternative Financial Instruments), can 

generally be structured as the parties 

desire. Therefore, the Fund might first 

enter into multiple Cleared Swaps and 

then, if applicable, enter into over-thecounter Alternative Financial 

Instruments intended to replicate the 

performance of each of the Designated 

Contracts, or a single over-the-counter 

Alternative Financial Instrument 

designed to replicate the performance of 

the Index as a whole. According to the 

Registration Statement, assuming that 

there is no default by a counterparty to 

an over-the-counter Alternative 

Financial Instrument, the performance 

of the over-the-counter Alternative 

Financial Instrument will correlate with 

the performance of the Index or the 

applicable Designated Contract. After 

reaching position limits in the 

Designated Contracts or when a Futures 

Exchange has imposed limitations on 

the Fund’s ability to maintain or 

increase its positions in a Designated 

Contract after reaching accountability 

levels or a price limit is in effect on a 

Designated Contract during the last 30 

minutes of its regular trading session, 

and after entering into or holding 

Cleared Swaps, the Fund might also 

enter into or hold over-the-counter 

Alternative Financial Instruments to 

facilitate effective trading, consistent 

with the discussion of the Fund’s ‘‘roll’’ 

strategy in the preceding paragraph. In 

addition, after reaching position limits 

in the Designated Contracts or when a 

Futures Exchange has imposed 

limitations on the Fund’s ability to 

maintain or increase its positions in a 

Designated Contract after reaching 

accountability levels or a price limit is 

in effect on a Designated Contract 

during the last 30 minutes of its regular 

trading session, and after entering into 

or holding Cleared Swaps, the Fund 

might enter into or hold over-thecounter Alternative Financial 

Instruments that would be expected to 

alleviate overall deviation between the 

Fund’s performance and that of the 

Index that may result from certain 

market and trading inefficiencies or 

other reasons. 

The Fund will invest in Index 

Commodity Interests to the fullest 

extent possible without being leveraged 

or unable to satisfy its expected current 

or potential margin or collateral 

obligations with respect to its 

investments in Index Commodity 

Interests.14 After fulfilling such margin 

and collateral requirements, the Fund 

will invest the remainder of its proceeds 

from the sale of baskets in obligations of 

the United States government (‘‘U.S. 

Treasury Securities’’) and/or hold such 

assets in cash, generally in interestbearing accounts. Therefore, the focus of 

the Managing Owner in managing the 

Fund will be investing in Index 

Commodity Interests and in U.S. 

Treasury Securities, cash and/or cash 

equivalents. The Fund will earn interest 

income from the U.S. Treasury 

Securities and/or cash equivalents that 

it purchases and on the cash it holds 

through the Custodian. 

According to the Registration 

Statement, the Managing Owner will 

employ an investment strategy intended 

to track changes in the level of the Index 

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Federal Register / Vol. 77, No. 34 / Tuesday, February 21, 2012 / Notices 10007 

15The process of periodically replacing a futures 

contract prior to its expiration is known as ‘‘rolling’’ 

a contract or position. An index that includes an 

assumed return on a hypothetical portfolio of 3- 

month Treasury bills or any other risk free 

component is known as a ‘‘total return’’ index. An 

‘‘excess return’’ index excludes returns on a 

hypothetical portfolio of 3-month Treasury bills or 

any other risk free component. 

regardless of whether the Index is rising, 

flat or declining. The Fund’s investment 

strategy will be designed to permit 

investors generally to purchase and sell 

the Fund’s Shares for the purpose of 

investing indirectly in the global 

commodity markets in a cost-effective 

manner. The Managing Owner does not 

intend to operate the Fund in a fashion 

such that its NAV per Share will equal, 

in dollar terms, the aggregate of the spot 

prices of the Index Commodities or the 

price of any particular Designated 

Contract. 

According to the Registration 

Statement, the Index is currently 

composed of Designated Contracts on 24 

Index Commodities, each of which is 

subject to speculative position limits 

and other position limitations, as 

applicable, which are imposed by either 

the CFTC or the rules of the Futures 

Exchanges on which the Designated 

Contracts are traded. These position 

limits prohibit any person from holding 

a position of more than a specific 

number of such Designated Contracts (or 

Substitute Contracts, if applicable). The 

purposes of these limits are to diminish, 

eliminate or prevent sudden or 

unreasonable fluctuations or 

unwarranted changes in the prices of 

futures contracts. For example, 

speculative position limits in the 

physical delivery markets are set at a 

stricter level during the month when the 

futures contract matures and becomes 

deliverable, known as the ‘‘spot month,’’ 

versus the limits set for all other 

months. Position limits are fixed 

ceilings that the Fund would not be able 

to exceed without specific Futures 

Exchange authorization. Under current 

law, all Designated Contracts traded on 

a particular Futures Exchange that are 

held under the control of the Managing 

Owner, including those held by any 

future series of the Trust, are aggregated 

in determining the application of 

applicable position limits. 

In addition to position limits, the 

Futures Exchanges may establish daily 

price fluctuation limits on futures 

contracts. The daily price fluctuation 

limit establishes the maximum amount 

that the price of futures contracts may 

vary either up or down from the 

previous day’s settlement price. Once 

the daily price fluctuation limit has 

been reached in a particular futures 

contract, no trades may be made at a 

price beyond that limit. Futures 

Exchanges may also establish 

accountability levels applicable to 

futures contracts. A Futures Exchange 

may order a person who holds or 

controls aggregate positions in excess of 

specified position accountability levels 

not to further increase the positions, to 

comply with any prospective limit 

which exceeds the size of the position 

owned or controlled, or to reduce any 

open position which exceeds position 

accountability levels if the Futures 

Exchange determines that such action is 

necessary to maintain an orderly 

market. Position limits, accountability 

levels, and daily price fluctuation limits 

set by the Futures Exchanges have the 

potential to cause tracking error, which 

could cause changes in the NAV per 

Share to substantially vary from changes 

in the level of the Index and prevent an 

investor from being able to effectively 

use the Fund as a way to indirectly 

invest in the global commodity markets. 

The Fund will be subject to these 

speculative position limits and other 

limitations, as applicable, and, 

consequently, the Fund’s ability to issue 

new Baskets (as defined below) or to 

reinvest income in additional 

Designated Contracts may be limited to 

the extent these activities would cause 

the Fund to exceed its applicable limits 

unless the Fund trades Cleared Swaps, 

Substitute Contracts or other Alternative 

Financial Instruments (if any) in 

addition to and as a proxy for 

Designated Contracts. These limits and 

the use of Cleared Swaps, Substitute 

Contracts or other Alternative Financial 

Instruments (if any) in addition to or as 

a proxy for Designated Contracts may 

affect the correlation between changes 

in the NAV per Share and changes in 

the level of the Index, and the 

correlation between the market price of 

the Shares, as traded on NYSE Arca, and 

the NAV per Share. 

The Fund does not intend to limit the 

size of the offering and will attempt to 

expose substantially all of its proceeds 

to the Index Commodities utilizing 

Index Commodity Interests. If the Fund 

encounters position limits, 

accountability levels, or price 

fluctuation limits for Designated 

Contracts and/or Cleared Swaps, it may 

then, if permitted under applicable 

regulatory requirements, purchase 

Alternative Financial Instruments and/ 

or Substitute Contracts listed on other 

domestic or foreign exchanges. 

However, the commodity futures 

contracts available on such foreign 

exchanges may have different 

underlying sizes, deliveries, and prices. 

In addition, the commodity futures 

contracts available on these exchanges 

may be subject to their own position 

limits and accountability levels. In any 

case, notwithstanding the potential 

availability of these instruments in 

certain circumstances, position limits 

could force the Fund to limit the 

number of Baskets (as defined below) 

that it sells. 

Description of the Index 

The Index aims to reflect the return of 

an investment in a world productionweighted portfolio comprised of the 

principal physical commodities that are 

the subject of active, liquid futures 

markets. The Index employs a flexible 

and systematic futures contract rolling 

methodology, which seeks to maximize 

yield from rolling long futures contracts 

in certain markets (backwardated 

markets) and minimize roll loss from 

rolling long futures positions in certain 

markets (contangoed markets), as further 

described in the Registration Statement. 

The Index was developed by the 

Index Sponsor and is an index on a 

world production-weighted basket of 

principal physical commodities. The 

Index reflects the level of commodity 

prices at a given time and is designed 

to be a measure of the return over time 

of the markets for these commodities. 

The Index is an excess return 

commodity index comprised of 

Designated Contracts that are replaced 

periodically.15 The commodities 

represented in the Index, each an Index 

Commodity, are those physical 

commodities on which active and liquid 

contracts are traded on trading facilities 

in major industrialized countries. The 

Index Commodities are weighted, on a 

production basis, to reflect the relative 

significance (in the view of the Index 

Sponsor) of those Index Commodities to 

the world economy. The fluctuations in 

the level of the Index are intended 

generally to correlate with changes in 

the prices of those physical Index 

Commodities in global markets. 

The Index utilizes the S&P GSCI®

Dynamic Roll Index Methodology, a 

monthly futures contract rolling 

methodology that determines the new 

futures contract months for the 

underlying commodities, as described 

in the Registration Statement. 

The S&P GSCI® Dynamic Roll Index 

Methodology is designed to maximize 

yield from rolling long futures contracts 

in backwardated markets and minimize 

roll loss from rolling long futures 

positions in contangoed markets. A 

‘‘backwardated’’ market means a market 

in which the prices of certain 

commodity futures contracts are higher 

for contracts with shorter-term 

expirations than for contracts with 

longer-term expirations. A 

mstockstill on DSK4VPTVN1PROD with NOTICES

10008 Federal Register / Vol. 77, No. 34 / Tuesday, February 21, 2012 / Notices 

‘‘contangoed’’ market means a market in 

which the prices of certain commodity 

futures contracts are lower for contracts 

with shorter-term expirations than for 

contracts with longer-term expirations. 

The Index is comprised of Designated 

Contracts, which are futures contracts 

on the Index Commodities. The Index 

Commodities are diversified across five 

different categories: Energy, agriculture, 

industrial metals, precious metals and 

livestock. The Index reflects the return 

associated with the change in prices of 

the underlying Designated Contracts on 

the Index Commodities together with 

the ‘‘roll yield’’ (as discussed below) 

associated with these Designated 

Contracts (the price changes of the 

Designated Contracts and roll yield, 

taken together, constitute the ‘‘excess 

return’’ reflected by the Index). There is 

no limit on the number of Designated 

Contracts that may be included in the 

Index. Any contract satisfying the 

eligibility criteria will become a 

Designated Contract and will be 

included in the Index. All of the 

Designated Contracts are exchangetraded futures contracts. 

According to the Registration 

Statement, a fundamental characteristic 

of the Index is that as a result of being 

comprised of futures contracts on the 

applicable Index Commodity, the Fund 

must be managed to ensure it does not 

take physical delivery of each respective 

Index Commodity. This is achieved 

through a process referred to as 

‘‘rolling’’ under which a given futures 

contract during a month in which it 

approaches its settlement date is rolled 

forward to a new contract date (i.e., the 

futures contract is effectively ‘‘sold’’ to 

‘‘buy’’ a longer-dated futures contract). 

All Designated Contracts will be 

deemed to be rolled before their 

respective maturities into futures 

contracts in the more-distant future. 

Roll yield is generated during the roll 

process from the difference in price 

between the near-term and longer-dated 

futures contracts. The futures curve is a 

hypothetical curve created by plotting 

futures contract prices for a particular 

Index Commodity. When longer-dated 

contracts are priced lower than the 

nearer contract and spot prices, the 

market is in ‘‘backwardation’’ 

represented by a downward sloping 

futures curve, and positive roll yield is 

generated when higher-priced near-term 

futures contracts are ‘‘sold’’ to ‘‘buy’’ 

lower priced longer-dated contracts. 

When the opposite is true and longerdated contracts are priced higher, the 

market, which is in ‘‘contango,’’ is 

represented by an upward sloping 

futures curve, and negative roll yields 

result from the ‘‘sale’’ of lower priced 

near-term futures contracts to ‘‘buy’’ 

higher priced longer-dated contracts. 

While many of the Index Commodities 

may have historically exhibited 

consistent periods of backwardation, 

backwardation will most likely not exist 

at all times. Moreover, certain of the 

Index Commodities may have 

historically traded in contango markets. 

Index Methodology 

The Designated Contracts currently 

included in the Index, the Futures 

Exchanges on which they are traded, 

their market symbols and their reference 

percentage dollar weights are as follows: 

TABLE 1 

Futures exchange Index commodity Trading 

symbol 

Trading times 

(eastern time) 

2011 dollar 

weights 

(percent) 

CBT ........................................... Chicago Wheat ........................................................................... W 09:30–13:15 3.00 

KBT ........................................... Kansas City Wheat ..................................................................... KW 09:30–13:15 0.69 

CBT ........................................... Corn ............................................................................................ C 09:30–13:15 3.37 

CBT ........................................... Soybeans .................................................................................... S 09:30–13:15 2.36 

ICE–US ..................................... Coffee .......................................................................................... KC 03:30–14:00 0.76 

ICE–US ..................................... Sugar #11 ................................................................................... SB 03:30–14:00 2.25 

ICE–US ..................................... Cocoa .......................................................................................... CC 04:00–14:00 0.39 

ICE–US ..................................... Cotton #2 .................................................................................... CT 21:00–14:30 1.24 

CME .......................................... Lean Hogs ................................................................................... LH 09:05–13:00 1.59 

CME .......................................... Live Cattle ................................................................................... LC 09:05–13:00 2.59 

CME .......................................... Feeder Cattle .............................................................................. FC 09:05–13:00 0.44 

NYM/ICE–US ............................ Crude Oil ..................................................................................... CL 09:00–14:30 34.71 

NYM .......................................... Heating Oil .................................................................................. HO 09:00–14:30 4.66 

NYM .......................................... RBOB Gasoline ........................................................................... RB 09:00–14:30 4.67 

ICE–UK ..................................... Brent Crude Oil ........................................................................... LCO 19:00–17:00 15.22 

ICE–UK ..................................... Gasoil .......................................................................................... LGO 19:00–17:00 6.30 

NYM/ICE–US ............................ Natural Gas ................................................................................. NG 09:00–14:30 4.20 

LME ........................................... Aluminum .................................................................................... MAL 11:00–10:45 2.70 

LME ........................................... Copper ........................................................................................ MCU 11:00–10:45 3.66 

LME ........................................... Lead ............................................................................................ MPB 11:00–10:45 0.51 

LME ........................................... Nickel .......................................................................................... MNI 11:00–10:45 0.82 

LME ........................................... Zinc ............................................................................................. MZN 11:00–10:45 0.72 

CMX .......................................... Gold ............................................................................................. GC 08:20–13:30 2.80 

CMX .......................................... Silver ........................................................................................... SI 08:25–13:25 0.36 

The quantity of each of the Designated 

Contracts included in the Index 

(‘‘Contract Production Weight’’ or 

‘‘CPW’’) is determined on the basis of a 

five-year average, referred to as the 

‘‘world production average,’’ of the 

production quantity of the underlying 

commodity as published by a number of 

official sources as provided in the S&P 

GSCI® Dynamic Roll Index 

Methodology. However, if an Index 

Commodity is primarily a regional 

commodity, based on its production, 

use, pricing, transportation or other 

factors, the Index Sponsor, in 

consultation with the Index Committee 

(described below), may calculate the 

weight of that Index Commodity based 

on regional, rather than world, 

production data. At present, natural gas 

is the only Index Commodity the 

weights of which are calculated on the 

basis of regional production data, with 

the relevant region defined as North 

America. 

The five-year average is updated 

annually for each Index Commodity 

mstockstill on DSK4VPTVN1PROD with NOTICES

Federal Register / Vol. 77, No. 34 / Tuesday, February 21, 2012 / Notices 10009 

16The TVM with respect to any Designated 

Contract is the quotient of (i) the product of (a) the 

total annualized quantity traded of such Designated 

Contract during the relevant calculation period and 

(b) the sum of the products of (x) the Designated 

Contract production weight of each Designated 

Contract included in the S&P GSCI index and (y) 

the corresponding average month-end settlement 

price of the first nearby contract expiration of such 

Designated Contracts during the relevant period, 

and (ii) the product of (a) the targeted amount of 

investment in the S&P GSCI and related indices that 

needs to be supported by liquidity in the relevant 

Designated Contracts (currently $190 billion) and 

(b) the Designated Contract production weight of 

such Designated Contract. 

17The TVMT is the TVM level, specified by S&P, 

which triggers a recalculation of the Designated 

Contract production weights for all Designated 

Contracts on an Index Commodity if the TVM of 

any such Designated Contract falls below such 

level. 

18The ‘‘roll weight’’ of each Index Commodity 

reflects the fact that the positions in the Designated 

Contracts must be liquidated or rolled forward into 

more distant contract expirations as they near 

expiration. If actual positions in the relevant 

markets were rolled forward, the roll would likely 

need to take place over a period of days. Because 

the Index is designed to replicate the return of 

actual investments in the underlying Designated 

Contracts, the rolling process incorporated in the 

Index also takes place over a period of days at the 

beginning of each month, referred to as the ‘‘Roll 

Period.’’ On each day of the Roll Period, the ‘‘roll 

weights’’ of the first nearby contract expirations on 

a particular Index Commodity and the more distant 

contract expiration into which it is rolled are 

adjusted, so that the hypothetical position in the 

Designated Contract on the Index Commodity that 

is included in the Index is gradually shifted from 

the first nearby contract expiration to the more 

distant contract expiration pursuant to the S&P 

GSCI® Dynamic Roll Index Methodology. 

included in the Index, based on the 

most recent five-year period (ending 

approximately one and a half years prior 

to the date of calculation and moving 

backwards) for which complete data for 

all commodities is available. The 

calculation of the CPWs of each 

Designated Contract is derived from 

world or regional production averages, 

as applicable, of the relevant Index 

Commodities, and is based on the total 

quantity traded for the relevant 

Designated Contract and the world or 

regional production average, as 

applicable, of the underlying Index 

Commodity. However, if the volume of 

trading in the relevant Designated 

Contract, as a multiple of the production 

levels of the Index Commodity 

(‘‘Trading Volume Multiple’’ or 

‘‘TVM’’),16 is below a specified 

threshold (‘‘Trading Volume Multiple 

Threshold’’ or ‘‘TVMT’’),17 the CPW of 

the Designated Contract is reduced until 

the threshold is satisfied. This is 

designed to ensure that trading in each 

Designated Contract is sufficiently 

liquid relative to the production of the 

Index Commodity. 

In addition, the Index Sponsor 

performs this calculation on a monthly 

basis and, if the TVM of any Designated 

Contract is below the TVMT, the 

composition of the Index is reevaluated, 

based on the criteria and weighting 

procedure described above. This 

procedure is undertaken to allow the 

Index to shift from Designated Contracts 

that have lost substantial liquidity into 

more liquid contracts during the course 

of a given year. As a result, it is possible 

that the composition or weighting of the 

Index will change on one or more of 

these monthly evaluation dates. The 

likely circumstances under which the 

Index Sponsor would be expected to 

change the composition of the Index 

during a given year, however, are (1) a 

substantial shift of liquidity away from 

a Designated Contract included in the 

Index as described above, or (2) an 

emergency, such as a natural disaster or 

act of war or terrorism, that causes 

trading in a particular contract to cease 

permanently or for an extended period 

of time. In either event, the Index 

Sponsor will publish the nature of the 

changes, through Web sites, news media 

or other outlets, with as much prior 

notice to market participants as is 

reasonably practicable. Moreover, 

regardless of whether any changes have 

occurred during the year, the Index 

Sponsor reevaluates the composition of 

the Index at the conclusion of each year, 

based on the above criteria. Other 

commodities that satisfy that criteria, if 

any, will be added to the Index. 

Commodities included in the Index that 

no longer satisfy that criteria, if any, 

will be deleted. 

The Index Sponsor also determines 

whether modifications in the selection 

criteria or the methodology for 

determining the composition and 

weights of and for calculating the Index 

are necessary or appropriate in order to 

assure that the Index represents a 

measure of commodity market return. 

The Index Sponsor has the discretion to 

make any such modifications. 

Calculation of the Closing Value of the 

Index 

The value, or the total dollar weight, 

of the Index on each business day is 

equal to the sum of the dollar weights 

of each of the Index Commodities. The 

dollar weight of each Index Commodity 

on any given day is equal to the product 

of (i) the weight of such Index 

Commodity, (ii) the daily contract 

reference price for the appropriate 

Designated Contracts, and (iii) the 

applicable ‘‘roll weights’’ during a Roll 

Period.18

The daily contract reference price 

used in calculating the dollar weight of 

each Index Commodity on any given 

day is the most recent daily contract 

reference price for the applicable 

Designated Contract made available by 

the relevant trading facility, except that 

the daily contract reference price for the 

most recent prior day will be used if the 

Futures Exchange is closed or otherwise 

fails to publish a daily contract 

reference price on that day. If the 

trading facility fails to make a daily 

contract reference price available or if 

the Index Sponsor determines, in its 

reasonable judgment, that the published 

daily contract reference price reflects 

manifest error, the relevant calculation 

will be delayed until the price is made 

available or corrected. If the daily 

contract reference price is not made 

available or corrected by 4 p.m., Eastern 

Time (‘‘E.T.’’), the Index Sponsor may 

determine, in its reasonable judgment, 

the appropriate daily contract reference 

price for the applicable Designated 

Contract in order to calculate the Index. 

The Index Committee 

The Index Sponsor has established an 

Index Committee to oversee the daily 

management and operations of the 

Index, and is responsible for all 

analytical methods and calculation of 

the Index. The Index Committee is 

comprised of full-time professional 

members of the Index Sponsor’s staff. At 

each meeting, the Index Committee 

reviews any issues that may affect Index 

constituents, statistics comparing the 

composition of the Index to the market, 

commodities that are being considered 

as candidates for addition to the Index, 

and any significant market events. In 

addition, the Index Committee may 

revise Index policy covering rules for 

selecting commodities, or other matters. 

The Index Sponsor considers 

information about changes to the Index 

and related matters to be potentially 

market moving and material. Therefore, 

all Index Committee discussions are 

confidential. 

In addition, the Index Sponsor has 

established a ‘‘Commodity Index 

Advisory Panel’’ to assist it with the 

operation of the Index. The Commodity 

Index Advisory Panel meets on an 

annual basis and at other times at the 

request of the Index Committee. The 

principal purpose of the Commodity 

Index Advisory Panel is to advise the 

Index Committee with respect to, among 

other things, the calculation of the 

Index, the effectiveness of the Index as 

a measure of commodity futures market 

return, and the need for changes in the 

composition or the methodology of the 

Index. The Commodity Index Advisory 

Panel acts solely in an advisory and 

consultative capacity. The Index 

Committee makes all decisions with 

respect to the composition, calculation 

mstockstill on DSK4VPTVN1PROD with NOTICES

10010 Federal Register / Vol. 77, No. 34 / Tuesday, February 21, 2012 / Notices 

19 17 CFR 240.10A–3. 

20 17 CFR 240.10A–3(c)(7). 

and operation of the Index. The Index 

Advisory Panel representatives include 

employees of S&P Indices, McGraw-Hill 

Financial and clients of S&P Indices. 

Also, certain of the members of the 

Index Advisory Panel may be affiliated 

with entities which, from time to time, 

may have investments linked to the S&P 

GSCI or other S&P Commodities Indices, 

either through transactions in the 

contracts included in the S&P GSCI and 

other S&P Commodities Indices, futures 

contracts or derivative products linked 

to the S&P Commodities Indices. The 

Index Committee and the Commodity 

Index Advisory Panel are subject to 

procedures designed to prevent the use 

and dissemination of material, nonpublic information regarding the Index. 

Additional information regarding the 

composition of the Index and Index 

Methodology is included in the 

Registration Statement. 

Net Asset Value 

According to the Registration 

Statement, the NAV with respect to the 

Fund means the total assets of the Fund 

including, but not limited to, all cash 

and cash equivalents or other debt 

securities less total liabilities of the 

Fund, each determined on the basis of 

generally accepted accounting 

principles. In particular, NAV includes 

any unrealized profit or loss on open 

Designated Contracts, Cleared Swaps, 

Substitute Contracts and Alternative 

Financial Instruments (if any) and any 

other credit or debit accruing to the 

Fund but unpaid or not received by the 

Fund. All open commodity futures 

contracts traded on a U.S. or non-U.S. 

exchange will be calculated at their then 

current market value, which will be 

based upon the settlement price for that 

particular commodity futures contract 

traded on the applicable U.S. or nonU.S. exchange on the date with respect 

to which NAV is being determined; 

provided, that if a commodity futures 

contract traded on a U.S. or non-U.S. 

exchange could not be liquidated on 

such day, due to the operation of daily 

limits (if applicable) or other rules of the 

exchange upon which that position is 

traded or otherwise, the settlement price 

on the most recent day on which the 

position could have been liquidated will 

be the basis for determining the market 

value of such position for such day. 

The Managing Owner may in its 

discretion (and under extraordinary 

circumstances, including, but not 

limited to, periods during which a 

settlement price of a futures contract is 

not available due to exchange limit 

orders 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) 

value any asset of the Fund pursuant to 

such other principles as the Managing 

Owner deems fair and equitable so long 

as such principles are consistent with 

normal industry standards. 

In calculating the NAV of the Fund, 

the settlement value of an Alternative 

Financial Instrument (if any) will be 

determined by either applying the thencurrent disseminated value for the 

Designated Contracts or the terms as 

provided under the applicable 

Alternative Financial Instrument. 

However, in the event that the 

Designated Contracts are not trading due 

to the operation of daily limits or 

otherwise, the Managing Owner may in 

its sole discretion choose to value the 

Fund’s Alternative Financial Instrument 

(if any) on a fair value basis in order to 

calculate the Fund’s NAV. 

NAV per Share will be the NAV of the 

Fund divided by the number of its 

outstanding Shares. 

Creation and Redemption of Shares 

The Fund will create and redeem 

Shares from time-to-time in one or more 

‘‘Baskets’’ of 40,000 Shares each. 

Baskets may be created or redeemed 

only by Authorized Participants. 

Baskets will be created and redeemed 

continuously as of noon, E.T., on the 

business day immediately following the 

date on which a valid order to create or 

redeem a Basket is accepted by the 

Fund. Baskets will be created and 

redeemed at the NAV of 40,000 Shares 

as of the close of the NYSE Arca Core 

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

E.T.) or the last to close of the Futures 

Exchanges on which the Designated 

Contracts or Substitute Contracts are 

traded, whichever is later, on the date 

that a valid order to create or redeem a 

Basket is accepted by the Fund. For 

purposes of processing both purchase 

and redemption orders, a ‘‘business 

day’’ means any day other than a day 

when each of NYSE Arca and banks in 

both New York City and London are 

required or permitted to be closed. 

Except when aggregated in Baskets, the 

Shares are not redeemable securities. 

Purchase and redemption orders must 

be placed by 10 a.m., E.T. The day on 

which the Managing Owner receives a 

valid purchase or redemption order will 

be the purchase or redemption order 

date. Purchase and redemption orders 

will be irrevocable. 

The total cash payment required to 

create each Basket will be the NAV of 

40,000 Shares as of the closing time of 

NYSE Arca Core Trading Session or the 

last to close of the Futures Exchanges on 

which the Fund’s Designated Contracts 

or Substitute Contracts are traded, 

whichever is later, on the purchase 

order date. The redemption proceeds 

from the Fund will consist of the cash 

redemption amount. The cash 

redemption amount will be equal to the 

NAV of the number of Basket(s) 

requested in the Authorized 

Participant’s redemption order as of the 

closing time of NYSE Arca Core Trading 

Session or the last to close of the 

Futures Exchanges on which the Fund’s 

Designated Contracts or Substitute 

Contracts are traded, whichever is later, 

on the redemption order date. 

The Fund may suspend the creation 

of Baskets if the Fund has reached 

speculative position or other limits with 

respect to the Fund’s holdings of 

Designated Contracts on one or more 

Index Commodities and the Fund is 

unable to gain an exposure to the Index 

Commodities based upon Alternative 

Financial Instruments to the Designated 

Contracts on the Index Commodities. 

The Fund will meet the initial and 

continued listing requirements 

applicable to TIRs in NYSE Arca 

Equities Rule 8.200 and Commentary 

.02 thereto. With respect to application 

of Rule 10A–3 under the Act,19 the 

Fund relies on the exception contained 

in Rule 10A–3(c)(7).20 A minimum of 

100,000 Shares of the Fund will be 

outstanding as of the start of trading on 

the Exchange. 

A more detailed description of the 

Shares, the Fund, the Index and the 

Index Commodities, as well as 

investment risks, creation and 

redemption procedures and fees is set 

forth in the Registration Statement. 

Availability of Information Regarding 

the Shares 

The Managing Owner’s Web site, 

www.stream.bnpparibas.com, and/or 

the Exchange’s Web site, which are 

publicly accessible at no charge, will 

contain the following information: (a) 

The current NAV per Share daily and 

the prior business day’s NAV and the 

reported closing price; (b) the midpoint 

of the bid-ask price in relation to the 

NAV as of the time the NAV is 

calculated (‘‘Bid-Ask Price’’); (c) 

calculation of the premium or discount 

of such price against such NAV; (d) the 

bid-ask price of Shares determined 

using the highest bid and lowest offer as 

of the time of calculation of the NAV; 

(e) data in chart form displaying the 

frequency distribution of discounts and 

premiums of the Bid-Ask Price against 

the NAV, within appropriate ranges for 

each of the four previous calendar 

mstockstill on DSK4VPTVN1PROD with NOTICES

Federal Register / Vol. 77, No. 34 / Tuesday, February 21, 2012 / Notices 10011 

21Currently, it is the Exchange’s understanding 

that several major market data vendors display and/ 

or make widely available IIVs published on CTA or 

other data feeds. 22See NYSE Arca Equities Rule 7.12. 

quarters; (f) the prospectus; and (g) other 

applicable quantitative information. The 

Fund will also disseminate Fund 

holdings on a daily basis on the Fund’s 

Web site. 

The Fund will provide Web site 

disclosure of portfolio holdings daily 

and will include, as applicable, the 

names, quantity, price and market value 

of Designated Contracts, Cleared Swaps, 

Substitute Contracts and Alternative 

Financial Instruments, if any, and the 

characteristics of such instruments and 

cash equivalents, and amount of cash 

held in the portfolio of the Fund. This 

Web site disclosure of the portfolio 

composition of the Fund 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. Therefore, 

the same portfolio information will be 

provided on the public Web site as well 

as in electronic files provided to 

Authorized Participants. Accordingly, 

each investor will have access to the 

current portfolio composition of the 

Fund through the Fund’s Web site. The 

prices of the Designated Contracts, 

Cleared Swaps, Substitute Contracts and 

exchange-traded cash settled options are 

available from the applicable exchanges 

and market data vendors. The Managing 

Owner will publish the NAV of the 

Fund and the NAV per Share daily. 

The S&P GSCI® Dynamic Roll Index 

Methodology is provided by the Index 

Sponsor on its Web site. The Index 

Sponsor calculates and publishes the 

value of the Index continuously 

(‘‘Intraday Index Value’’) on each 

business day, with such values updated 

every 15 seconds. The Index Sponsor 

provides the Intraday Index Value and 

the closing levels of the Index for each 

business day to market data vendors. 

The intra-day indicative value (‘‘IIV’’) 

per Share of the Fund will be based on 

the prior day’s final NAV per Share, 

adjusted every 15 seconds during the 

Core Trading Session to reflect the 

continuous price changes of the Fund’s 

Designated Contracts and other 

holdings. The IIV per Share will be be 

[sic] widely disseminated by one or 

more major market data vendors at least 

every 15 seconds during the Core 

Trading Session 21 and on the Managing 

Owner’s Web site (on a delayed basis). 

The final NAV of the Fund and the 

final NAV per Share will be calculated 

as of the closing time of NYSE Arca 

Core Trading Session or the last to close 

of the Futures Exchanges on which the 

Designated Contracts or Substitute 

Contracts (which are listed on futures 

exchanges other than Futures 

Exchanges) are traded, whichever is 

later, and posted in the same manner. 

Although a time gap may exist between 

the close of the NYSE Arca Core Trading 

Session and the close of the Futures 

Exchanges on which the Designated 

Contracts or Substitute Contracts (which 

are listed on futures exchanges other 

than Futures Exchanges) are traded, 

there is no effect on the NAV 

calculations as a result. 

The NAV for the Fund will be 

disseminated to all market participants 

at the same time. The Exchange will 

also make available on its Web site daily 

trading volume of the Shares, closing 

prices of such Shares, and the 

corresponding NAV. The closing prices 

and settlement prices of futures on the 

Index Commodities are also readily 

available from the Web sites of the 

applicable Futures Exchanges, 

automated quotation systems, published 

or other public sources, or on-line 

information services such as Bloomberg 

or Reuters. The relevant futures 

exchanges on which the underlying 

futures contracts are listed also provide 

delayed futures information on current 

and past trading sessions and market 

news free of charge on their respective 

Web sites. The specific contract 

specifications for the futures contracts 

are also available on such Web sites, as 

well as other financial informational 

sources. Quotation and last-sale 

information regarding the Shares will be 

disseminated through the facilities of 

the CTA. 

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. The Exchange has 

appropriate rules to facilitate 

transactions in the Shares during all 

trading sessions. 

The trading of the Shares will be 

subject to NYSE Arca Equities Rule 

8.200(e), which sets forth certain 

restrictions on Equity Trading Permit 

(‘‘ETP’’) Holders acting as registered 

Market Makers in TIRs to facilitate 

surveillance. See ‘‘Surveillance’’ below 

for more information. 

With respect to trading halts, the 

Exchange may consider all relevant 

factors in exercising its discretion to 

halt or suspend trading in the Shares. 

Trading may 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 

addition, trading in Shares will be 

subject to trading halts caused by 

extraordinary market volatility pursuant 

to the Exchange’s ‘‘circuit breaker’’ 

rule 22 or by the halt or suspension of 

trading of the underlying futures 

contracts. 

The Exchange represents that the 

Exchange may halt trading during the 

day in which an interruption to the 

dissemination of the IIV, the Index or 

the value of the underlying futures 

contracts occurs. If the interruption to 

the dissemination of the IIV, the Index 

or the value of the underlying futures 

contracts persists past the trading day in 

which it occurred, the Exchange will 

halt trading no later than the beginning 

of the trading day following the 

interruption. In addition, if the 

Exchange becomes aware that the NAV 

with respect to the Shares is not 

disseminated to all market participants 

at the same time, it will halt trading in 

the Shares until such time as the NAV 

is available to all market participants. 

Surveillance 

The Exchange intends to utilize its 

existing surveillance procedures 

applicable to derivative products, 

including TIRs, to monitor trading in 

the Shares. The Exchange represents 

that these procedures are adequate to 

properly monitor Exchange trading of 

the Shares in all trading sessions and to 

deter and detect violations of Exchange 

rules and applicable federal securities 

laws. 

The Exchange’s current trading 

surveillances focus on detecting 

securities trading outside their normal 

patterns. 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 is able 

to obtain information regarding trading 

in the Shares, the physical commodities 

included in, or options, futures or 

options on futures on, Shares through 

ETP Holders, in connection with such 

ETP Holders’ proprietary or customer 

trades through ETP Holders which they 

effect on any relevant market. The 

Exchange can obtain market 

surveillance information, including 

mstockstill on DSK4VPTVN1PROD with NOTICES

10012 Federal Register / Vol. 77, No. 34 / Tuesday, February 21, 2012 / Notices 

23The Exchange notes that not all futures 

contracts or other financial instruments held by the 

Fund may trade on markets that are members of ISG 

or with which the Exchange has in place a 

comprehensive surveillance sharing agreement. 24 15 U.S.C. 78f(b)(5). 

customer identity information, with 

respect to transactions occurring on the 

Futures Exchanges that are members of 

the Intermarket Surveillance Group 

(‘‘ISG’’).23 CME Group, Inc. (which 

includes CME, CBT, NYM and CMX) 

and ICE Futures U.S. are members of 

ISG. In addition, the Exchange has 

entered into comprehensive 

surveillance sharing agreements with 

KBT, LME and ICE–U.K. that apply with 

respect to trading in Designated 

Contracts on the applicable Index 

Commodities. A list of ISG members is 

available at www.isgportal.org. 

In addition, with respect to Fund 

assets traded on exchanges, not more 

than 10% of the weight of such assets 

in the aggregate shall consist of 

components whose principal trading 

market is not a member of ISG or is a 

market with which the Exchange does 

not have a comprehensive surveillance 

sharing agreement. 

The Exchange also has a general 

policy prohibiting the distribution of 

material, non-public information by its 

employees. 

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 IIV will not be 

calculated or publicly disseminated; (2) 

the procedures for purchases and 

redemptions of Shares in Baskets (and 

that Shares are not individually 

redeemable); (3) 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; (4) 

how information regarding the IIV is 

disseminated; (5) 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 (6) 

trading information. 

In addition, the Information Bulletin 

will advise ETP Holders, prior to the 

commencement of trading, of the 

prospectus delivery requirements 

applicable to the Fund. The Exchange 

notes that investors purchasing Shares 

directly from the Fund will receive a 

prospectus. ETP Holders purchasing 

Shares from the Fund for resale to 

investors will deliver a prospectus to 

such investors. The Information Bulletin 

will also discuss any exemptive, noaction and interpretive relief granted by 

the Commission from any rules under 

the Act. 

In addition, the Information Bulletin 

will reference that the Fund is subject 

to various fees and expenses described 

in the Registration Statement. The 

Information Bulletin will also reference 

that the CFTC has regulatory 

jurisdiction over the Index Commodities 

traded on U.S. markets. 

The Information Bulletin will also 

disclose the trading hours of the Shares 

of the Fund and that the NAV for the 

Shares is calculated after 4 p.m., E.T. 

each trading day. The Bulletin will 

disclose that information about the 

Shares of the Fund is publicly available 

on the Fund’s Web site. 

2. Statutory Basis 

The basis under the Act for this 

proposed rule change is the requirement 

under Section 6(b)(5) 24 that an 

exchange have rules that are designed to 

prevent fraudulent and manipulative 

acts and practices, to promote just and 

equitable principles of trade, to remove 

impediments to, and perfect the 

mechanism of a free and open market 

and, in general, to protect investors and 

the public interest. 

The Exchange believes that the 

proposed rule change is designed to 

prevent fraudulent and manipulative 

acts and practices in that the Shares will 

be listed and traded on the Exchange 

pursuant to the initial and continued 

listing criteria in NYSE Arca Equities 

Rule 8.200 and Commentary .02 thereto. 

The Fund seeks to achieve its 

investment objective by investing in 

Designated Contracts on the Index 

Commodities, with a view to tracking 

the Index over time. In certain 

circumstances, and to a limited extent, 

the Fund may also invest in ClearedSwaps or in Substitute Contracts, or in 

Alternative Financial Instruments 

referencing the particular Index 

Commodity in furtherance of its 

investment objective if, in the 

commercially reasonable judgment of 

the Managing Owner, such instruments 

tend to exhibit trading prices or returns 

that generally correlate with the Index 

Commodities. Once position limits in a 

Designated Contract are reached or a 

Futures Exchange imposes limitations 

on the Fund’s ability to maintain or 

increase its positions in a Designated 

Contract after reaching accountability 

levels or a price limit is in effect on a 

Designated Contract during the last 30 

minutes of its regular trading session, 

the Fund’s intention is to invest first in 

Cleared Swaps to the extent permitted 

under the position limits applicable to 

Cleared Swaps and appropriate in light 

of the liquidity in the Cleared Swaps 

market, and then, using its 

commercially reasonable judgment, in 

Substitute Contracts or in Alternative 

Financial Instruments. The Exchange 

has in place surveillance procedures 

that are adequate to properly monitor 

trading in the Shares in all trading 

sessions and to deter and detect 

violations of Exchange rules and 

applicable federal securities laws. The 

Exchange may obtain information via 

ISG from other exchanges that are 

members of ISG or with which the 

Exchange has entered into a 

comprehensive surveillance sharing 

agreement. With respect to Fund assets 

traded on exchanges, not more than 

10% of the weight of such assets in the 

aggregate shall consist of components 

whose principal trading market is not a 

member of ISG or is a market with 

which the Exchange does not have a 

comprehensive surveillance sharing 

agreement. The Managing Owner is 

affiliated with a broker-dealer and has 

implemented procedures designed to 

prevent the use and dissemination of 

material, non-public information 

regarding the Index. The Index 

Committee and the Commodity Index 

Advisory Panel are subject to 

procedures designed to prevent the use 

and dissemination of material, nonpublic information regarding the Index. 

The NAV for the Fund will be 

disseminated to all market participants 

at the same time. The Fund will provide 

Web site disclosure of portfolio holdings 

daily, as described above. The Index 

value will be widely disseminated by 

one or more major market data vendors 

at least every 15 seconds during the 

Core Trading Session and on the 

Managing Owner’s Web site (on a 

delayed basis). The Exchange will also 

make available on its Web site daily 

trading volume of each of the Shares, 

closing prices of such Shares, and the 

corresponding NAV. The prices of the 

Designated Contracts, Cleared Swaps, 

Substitute Contracts and exchangetraded cash settled options are available 

from the applicable exchanges and 

market data vendors. Trading may 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 

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Federal Register / Vol. 77, No. 34 / Tuesday, February 21, 2012 / Notices 10013 

25 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

circumstances detrimental to the 

maintenance of a fair and orderly 

market are present. Trading in Shares 

will be subject to trading halts caused 

by extraordinary market volatility 

pursuant to the Exchange’s ‘‘circuit 

breaker’’ rule or by the halt or 

suspension of trading of the Designated 

Contracts. The Exchange represents that 

the Exchange may halt trading during 

the day in which the interruption to the 

dissemination of the IIV, the Index or 

the value of the underlying futures 

contracts occurs. If the interruption to 

the dissemination of the IIV, the Index 

or the value of the underlying futures 

contracts persists past the trading day in 

which it occurred, the Exchange will 

halt trading no later than the beginning 

of the trading day following an 

interruption. In addition, if the 

Exchange becomes aware that the NAV 

with respect to the Shares is not 

disseminated to all market participants 

at the same time, it will halt trading in 

the Shares until such time as the NAV 

is available to all market participants. 

The proposed rule change is designed 

to promote just and equitable principles 

of trade and to protect investors and the 

public interest in that a large amount of 

information is publicly available 

regarding the Fund and the Shares, 

thereby promoting market transparency. 

The NAV for the Fund will be 

disseminated to all market participants 

at the same time. The IIV per Share will 

be widely disseminated by one or more 

major market data vendors at least every 

15 seconds during the Core Trading 

Session and on the Managing Owner’s 

Web site. Trading in Shares of the Fund 

will be halted if the circuit breaker 

parameters in NYSE Arca Equities Rule 

7.12 have been reached or because of 

market conditions or for reasons that, in 

the view of the Exchange, make trading 

in the Shares inadvisable. Moreover, 

prior to the commencement of trading, 

the Exchange will inform its ETP 

Holders in an Information Bulletin of 

the special characteristics and risks 

associated with trading the Shares. 

The proposed rule change is designed 

to perfect the mechanism of a free and 

open market and, in general, to protect 

investors and the public interest in that 

it will facilitate the listing and trading 

of an additional type of exchange-traded 

product that will enhance competition 

among market participants, to the 

benefit of investors and the marketplace. 

As noted above, the Exchange has in 

place surveillance procedures relating to 

trading in the Shares and may obtain 

information via ISG from other 

exchanges that are members of ISG or 

with which the Exchange has entered 

into a comprehensive surveillance 

sharing agreement. In addition, as noted 

above, investors will have ready access 

to information regarding the Fund’s 

holdings, IIV, and quotation and last 

sale information for the Shares. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period (i) 

as the Commission may designate up to 

90 days of such date 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 (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rulecomments@sec.gov. Please include File 

Number SR–NYSEArca–2012–10 on the 

subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Elizabeth M. Murphy, Secretary, 

Securities and Exchange Commission, 

100 F Street NE., Washington, DC 

20549–1090. 

All submissions should refer to File 

Number SR–NYSEArca–2012–10. This 

file number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

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

available for Web site viewing and 

printing in the Commission’s Public 

Reference Section, 100 F Street NE., 

Washington, DC 20549–1090, on official 

business days between 10 a.m. and 

3 p.m. Copies of the filing will also be 

available for inspection and copying at 

the New York Stock Exchange’s 

principal office and on its Internet Web 

site at www.nyse.com. All comments 

received will be posted without change; 

the Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR– 

NYSEArca–2012–10 and should be 

submitted on or before March 13, 2012. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.25

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–3858 Filed 2–17–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66391; File No. SR–CHX– 

2012–05] 

Self-Regulatory Organizations; 

Chicago Stock Exchange, Inc.; Notice 

of Filing and Immediate Effectiveness 

of Proposed Rule Change To Amend 

the Fee Schedule To Implement a 

Clearing Submission Fee Credit for 

Institutional Brokers 

February 14, 2012. 

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, 2012, the Chicago Stock Exchange, 

Inc. (‘‘CHX’’ or ‘‘Exchange’’) filed with 

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