15440 Federal Register / Vol. 77, No. 51 / Thursday, March 15, 2012 / Notices 

of the Boston Options Exchange Group, LLC 

(‘‘BOX’’) and the International Securities Exchange, 

LLC (‘‘ISE’’) relating to the Price Improvement 

Period (‘‘PIP’’) and Price Improvement Mechanism 

(‘‘PIM’’), respectively. See Securities Exchange Act 

Release Nos. 62644 (August 4, 2010), 75 FR 48395 

(August 10, 2010) (SR–ISE–2010–61) (notice of 

filing and immediate effectiveness of rule change to 

add auto-match functionality in the PIM) and 61805 

(March 31, 2010), 75 FR 17454 (April 6, 2010) (SR– 

BX–2010–022) (notice of filing and immediate 

effectiveness of rule change to add auto-match 

functionality in the PIP). 

19 15 U.S.C. 78s(b)(2). 

20 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. 66180 

(January 18, 2012), 77 FR 3532 (‘‘Notice’’). 

4Commentary .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 

contracts; options on futures contracts; forward 

contracts; equity caps, collars and floors; and swap 

agreements. 

5See registration statement on Form S–1, dated 

December 22, 2011 (File No. 333–178707) 

(‘‘Registration Statement’’). 

6The term ‘‘under normal market 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 manmade disaster, act of God, armed conflict, act of 

terrorism, riot or labor disruption or any similar 

intervening circumstance. 

addition, the Exchange will provide the 

Commission with data showing the 

average amount of price improvement 

provided to AIM Agency Orders when 

the Initiating Participant submitted an 

auto-match instruction versus the 

average amount of price improvement 

provided when there is no auto-match 

instruction. This additional data will 

allow the Commission to evaluate this 

change. 

Thus, for the reasons set forth above, 

the Commission believes that the 

proposal is consistent with the 

requirements of the Act. 

IV. Conclusion 

It is therefore ordered, pursuant to 

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

proposed rule change (SR–C2–2011– 

043), as modified by Amendment No. 1 

thereto, be, and it hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.20

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–6230 Filed 3–14–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66553; File No. SR– 

NYSEArca-2012–04] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Order Granting Approval of 

Proposed Rule Change Relating to 

Listing and Trading of Shares of 

Twenty-Six Series of ProShares Trust 

II under NYSE Arca Equities Rule 8.200 

March 9, 2012. 

I. Introduction 

On January 6, 2012, 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 

twenty-six series of the ProShares Trust 

II under Commentary .02 to NYSE Arca 

Equities Rule 8.200. The proposed rule 

change was published for comment in 

the Federal Register on January 24, 

2012.3 The Commission received no 

comments on the proposal. 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 following 

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

‘‘Funds’’) pursuant to NYSE Arca 

Equities Rule 8.200, Commentary .02: 

ProShares UltraPro Australian Dollar, 

ProShares UltraPro Canadian Dollar, 

ProShares UltraPro Swiss Franc, 

ProShares UltraPro Euro, ProShares 

UltraPro U.S. Dollar, and ProShares 

UltraPro Yen (collectively, ‘‘UltraPro 

Funds’’); ProShares UltraPro Short 

Australian Dollar, ProShares UltraPro 

Short Canadian Dollar, ProShares 

UltraPro Short Swiss Franc, ProShares 

UltraPro Short Euro, ProShares UltraPro 

Short U.S. Dollar, and ProShares 

UltraPro Short Yen (collectively, 

‘‘UltraPro Short Funds’’); ProShares 

Ultra Australian Dollar, ProShares Ultra 

Canadian Dollar, ProShares Ultra Swiss 

Franc and ProShares Ultra U.S. Dollar 

(collectively, ‘‘Ultra Funds’’); ProShares 

UltraShort Australian Dollar, ProShares 

UltraShort Canadian Dollar, ProShares 

UltraShort Swiss Franc and ProShares 

UltraShort U.S. Dollar (collectively, 

‘‘UltraShort Funds’’); and ProShares 

Short Australian Dollar, ProShares Short 

Canadian Dollar, ProShares Short Swiss 

Franc, ProShares Short Euro, ProShares 

Short U.S. Dollar, and ProShares Short 

Yen (collectively, ‘‘Short Funds’’). 

NYSE Arca Equities Rule 8.200, 

Commentary .02 permits the trading of 

Trust Issued Receipts either by listing or 

pursuant to unlisted trading privileges.4

Each Fund is a series of the ProShares 

Trust II (‘‘Trust’’), a Delaware statutory 

trust.5 ProShare Capital Management 

LLC (‘‘Sponsor’’) is the Trust’s sponsor, 

and Wilmington Trust Company is the 

Trust’s trustee. Brown Brothers 

Harriman & Co. (‘‘Administrator’’) 

serves as the administrator, custodian, 

and transfer agent of the Funds. SEI 

Investments Distribution Co. 

(‘‘Distributor’’) serves as distributor of 

the Shares. 

The UltraPro Funds seek daily 

investment results (before fees and 

expenses) that correspond to three times 

(+300%) the daily performance, whether 

positive or negative, of their 

corresponding benchmark, and the 

UltraPro Short Funds seek daily 

investment results (before fees and 

expenses) that correspond to three times 

the inverse (¥300%) of the daily 

performance, whether positive or 

negative, of their corresponding 

benchmark. The Ultra Funds seek daily 

investment results (before fees and 

expenses) that correspond to twice 

(+200%) the daily performance, whether 

positive or negative, of their 

corresponding benchmarks, and the 

UltraShort Funds seek daily investment 

results (before fees and expenses) that 

correspond to twice the inverse 

(¥200%) of the daily performance, 

whether positive or negative, of their 

corresponding benchmarks. The Short 

Funds seek daily investment results 

(before fees and expenses) that 

correspond to the inverse (¥100%) of 

the daily performance, whether positive 

or negative, of their corresponding 

benchmarks (each corresponding 

benchmark is referred to as a 

‘‘Benchmark’’ and, collectively, 

‘‘Benchmarks’’). 

Each of the Funds will hold futures 

contracts on the applicable Benchmark 

or, in the case of a Benchmark index, 

futures contracts on such Benchmark 

index or the Benchmark index 

components, that are traded on a United 

States exchange (‘‘Benchmark Futures 

Contracts’’) and, to a limited extent, 

forward contracts, as described below, 

to produce the economically ‘‘inverse,’’ 

‘‘leveraged,’’ or ‘‘inverse leveraged’’ 

investment results, as set forth by each 

Fund’s investment objective. 

Each Fund seeks to achieve its 

investment objective by investing, under 

normal market conditions,6 in 

Benchmark Futures Contracts. In the 

event position accountability rules or 

position limits are reached with respect 

to a particular Benchmark Futures 

Contract, the Sponsor may, in its 


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Federal Register / Vol. 77, No. 51 / Thursday, March 15, 2012 / Notices 15441 

7To the extent practicable, the Funds will invest 

in forward contracts cleared through the facilities 

of a centralized clearing house. 

8The Sponsor will also attempt to mitigate the 

Funds’ credit risk by transacting only with large, 

well-capitalized institutions using measures 

designed to determine the creditworthiness of a 

counterparty. The Exchange represents that the 

Sponsor will take various steps to limit 

counterparty credit risk. 

commercially reasonable judgment, 

cause the relevant Fund to obtain 

exposure through over-the-counter 

forward contracts referencing the 

particular exchange rate, index, or index 

components, or invest in other forward 

contracts not based on the particular 

exchange rate, index, or index 

components, if such instruments tend to 

exhibit trading prices or returns that 

correlate with the Benchmarks or any 

Benchmark Futures Contract and will 

further the investment objective of a 

Fund.7 A Fund may also invest in 

forward contracts if the market for a 

specific Benchmark Futures Contract 

experiences emergencies (e.g., natural 

disaster, terrorist attack, or an act of 

God) or disruptions (e.g., a trading halt 

or a flash crash) to prevent a Fund from 

obtaining the appropriate amount of 

investment exposure to the affected 

Benchmark Futures Contracts directly.8

Each Fund will also invest in cash 

equivalents (such as shares of money 

market funds, bank deposits, bank 

money market accounts, certain variable 

rate-demand notes, and repurchase 

agreements collateralized by 

government securities, whether 

denominated in U.S. dollars or the 

applicable foreign currency) that serve 

or will serve as collateral for the 

investments in futures and forward 

contracts. The Funds do not currently 

intend to invest directly in any 

currency, but may invest directly in U.S. 

Treasury securities. 

The Funds’ investments in 

Benchmark Futures Contracts and 

forward contracts may involve a small 

investment relative to the amount of 

investment exposure assumed and may 

result in losses exceeding the amounts 

invested. Such instruments, particularly 

when used to create leverage, may 

expose the Funds to potentially 

dramatic changes (losses or gains) in the 

value of the instruments and imperfect 

correlation between the value of the 

instruments and the applicable 

Benchmark. 

The Funds will 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 

multiple (e.g., 2x, 3x, or ¥1x, ¥2x, 

¥3x) of the period return of the 

corresponding Benchmark and may 

differ significantly. 

If an UltraPro Fund (or UltraPro Short 

Fund) is successful in meeting its 

objective, its value on a given day 

(before fees and expenses) should gain 

(or lose in the case of an UltraPro Short 

Fund) approximately three times as 

much on a percentage basis as its 

corresponding Benchmark when the 

Benchmark rises on a given day. 

Conversely, its value on a given day 

(before fees and expenses) should lose 

(or gain in the case of an UltraPro Short 

Fund) approximately three times as 

much on a percentage basis as the 

corresponding Benchmark when the 

Benchmark declines on a given day. 

If an Ultra Fund (or UltraShort Fund) 

is successful in meeting its objective, its 

value on a given day (before fees and 

expenses) should gain (or lose in the 

case of an UltraShort Fund) 

approximately twice as much on a 

percentage basis as its corresponding 

Benchmark when the Benchmark rises 

on a given day. Conversely, its value on 

a given day (before fees and expenses) 

should lose (or gain in the case of an 

UltraShort Fund) approximately twice 

as much on a percentage basis as the 

corresponding Benchmark when the 

Benchmark declines on a given day. 

If a Short Fund is successful in 

meeting its objective, its value on a 

given day (before fees and expenses) 

should gain approximately as much on 

a percentage basis as the corresponding 

Benchmark when the Benchmark 

declines on a given day. Conversely, its 

value on a given day (before fees and 

expenses) should lose approximately as 

much on a percentage basis as the 

corresponding Benchmark when the 

Benchmark rises on a given day. 

In seeking to achieve each Fund’s 

daily investment objective, the Sponsor 

will use a mathematical approach to 

investing. Using this approach, the 

Sponsor will determine the type, 

quantity, and mix of investment 

positions that the Sponsor believes in 

combination should produce daily 

returns consistent with a Fund’s 

objective. The Sponsor will rely upon a 

pre-determined model to generate 

orders that result in repositioning each 

Fund’s investments in accordance with 

its daily investment objectives. 

A number of factors may affect a 

Fund’s ability to achieve a high degree 

of correlation with its Benchmark, and 

there can be no guarantee that a Fund 

will achieve a high degree of 

correlation. While the Funds do not 

expect that their daily returns will 

deviate adversely from their respective 

daily investment objectives, several 

factors may affect their ability to achieve 

this correlation. Among these factors are 

a Fund’s expenses, including fees, 

transaction costs and the cost of the 

investment techniques employed by that 

Fund, bid-ask spreads, a Fund’s Share 

prices being rounded to the nearest cent, 

changes to a Benchmark that are not 

disseminated in advance, and the need 

to conform a Fund’s portfolio holdings 

to comply with investment restrictions 

or policies or regulatory or tax law 

requirements. 

ProShares UltraPro Australian Dollar, 

ProShares UltraPro Short Australian 

Dollar, ProShares Ultra Australian 

Dollar, ProShares UltraShort Australian 

Dollar, and ProShares Short Australian 

Dollar (‘‘Australian Dollar Funds’’) 

The Australian Dollar Funds will be 

designed to track a multiple, the 

inverse, or an inverse multiple of the 

daily performance of the Australian 

dollar spot price versus the U.S. dollar 

(‘‘AUD/USD’’). The Benchmark for each 

of the Australian Dollar Funds will be 

the U.S. dollar price of the Australian 

dollar. The Australian Dollar Funds will 

use the 4 p.m., Eastern Time (‘‘E.T.’’) 

Australian dollar exchange rate as 

provided by Bloomberg, expressed in 

terms of U.S. dollars per unit of foreign 

currency, as the basis for the underlying 

Benchmark. The Australian dollar is the 

national currency of Australia and the 

currency of the accounts of the Reserve 

Bank of Australia, the Australian central 

bank. The official currency code for the 

Australian dollar is ‘‘AUD.’’ The 

Australian dollar is referred to in 

Australia as ‘‘dollar.’’ As with U.S. 

currency, 100 Australian cents are equal 

to one Australian dollar. In Australia, 

unlike most other countries, cash 

transactions are rounded to the nearest 

five cents. The most commonly used 

symbol used to represent the Australian 

dollar is ‘‘A$.’’ 

As of December 30, 2011, open 

interest in AUD/USD futures contracts 

traded on the Chicago Mercantile 

Exchange (‘‘CME’’) was approximately 

$11.56 billion. AUD/USD futures 

contracts had an average daily trading 

volume in 2011 of approximately 

123,006 contracts. 

ProShares UltraPro Canadian Dollar, 

ProShares UltraPro Short Canadian 

Dollar, ProShares Ultra Canadian 

Dollar, ProShares UltraShort Canadian 

Dollar, and ProShares Short Canadian 

Dollar (‘‘Canadian Dollar Funds’’) 

The Canadian Dollar Funds will be 

designed to track a multiple, the 

inverse, or an inverse multiple of the 


srobinson on DSK4SPTVN1PROD with NOTICES
15442 Federal Register / Vol. 77, No. 51 / Thursday, March 15, 2012 / Notices 

9The U.S. Dollar Index was created by the U.S. 

Federal Reserve in 1973. Following the ending of 

the 1944 Bretton Woods Agreement, which had 

established a system of fixed exchange rates, the 

U.S. Federal Reserve Bank began the calculation of 

the U.S. Dollar Index to provide an external 

bilateral trade-weighted average of the U.S. dollar 

as it freely floated against global currencies. Futures 

contracts based on the U.S. Dollar Index (‘‘USDX’’ 

or ‘‘U.S. Dollar Index futures contracts’’) were listed 

on November 20, 1985, and are now available only 

on the IntercontinentalExchange (‘‘ICE’’) electronic 

trading platform. Options on the futures contracts 

began trading on September 3, 1986, and are 

available both on the ICE electronic trading 

platform and on the ICE options trading floor. 

daily performance of the Canadian 

dollar spot price versus the U.S. dollar 

(CAD/USD). The Benchmark for each of 

the Canadian Dollar Funds will be the 

U.S. dollar price of the Canadian dollar. 

The Canadian Dollar Funds will use the 

4 p.m., E.T. Canadian dollar exchange 

rate as provided by Bloomberg, 

expressed in terms of U.S. dollars per 

unit of foreign currency, as the basis for 

the underlying Benchmark. The 

Canadian dollar is the national currency 

of Canada and the currency of the 

accounts of the Bank of Canada, the 

Canadian central bank. The official 

currency code for the Canadian dollar is 

‘‘CAD.’’ As with U.S. currency, 100 

Canadian cents are equal to one 

Canadian dollar. 

As of December 30, 2011, open 

interest in CAD/USD futures contracts 

traded on CME was approximately 

$11.66 billion. CAD/USD futures 

contracts had an average daily trading 

volume in 2011 of approximately 89,667 

contracts. 

ProShares UltraPro Swiss Franc, 

ProShares UltraPro Short Swiss Franc, 

ProShares Ultra Swiss Franc, ProShares 

UltraShort Swiss Franc, and ProShares 

Short Swiss Franc (‘‘Swiss Franc 

Funds’’) 

The Swiss Franc Funds will be 

designed to track a multiple, the 

inverse, or an inverse multiple of the 

daily performance of the Swiss franc 

spot price versus the U.S. dollar (‘‘CHF/ 

USD’’). The Benchmark for each of the 

Swiss Franc Funds will be the U.S. 

dollar price of the Swiss franc. The 

Swiss Franc Funds will use the 4 p.m., 

E.T. Swiss franc exchange rate as 

provided by Bloomberg, expressed in 

terms of U.S. dollars per unit of foreign 

currency, as the basis for the underlying 

Benchmark. The Swiss franc is the 

national currency of Switzerland and 

Liechtenstein and the currency of the 

accounts of the Swiss National Bank, 

the central bank of Switzerland. The 

official currency code for the Swiss 

franc is ‘‘CHF.’’ Each Swiss franc is 

equal to 100 Swiss centimes. 

As of December 30, 2011, open 

interest in CHF/USD futures contracts 

traded on CME was approximately $4.99 

billion. CHF/USD futures contracts had 

an average daily trading volume in 2011 

of approximately 40,955 contracts. 

ProShares UltraPro Euro, ProShares 

UltraPro Short Euro, and ProShares 

Short Euro (‘‘Euro Funds’’) 

The Euro Funds will be designed to 

track a multiple, the inverse, or an 

inverse multiple of the daily change in 

the spot price of the euro versus the U.S. 

dollar (‘‘EUR/USD’’). The Benchmark 

for each of the Euro Funds will be the 

U.S. dollar price of the euro. The Euro 

Funds will use the 4 p.m., E.T. euro 

exchange rate as provided by 

Bloomberg, expressed in terms of U.S. 

dollars per unit of foreign currency, as 

the basis for the underlying Benchmark. 

The euro is the official currency of the 

Eurozone, which currently consists of 

17 European states including: Austria, 

Belgium, Cyprus, Estonia, Finland, 

France, Germany, Greece, Ireland, Italy, 

Luxembourg, Malta, the Netherlands, 

Portugal, Slovakia, Slovenia, and Spain. 

The euro is managed and administered 

by the European Central Bank and the 

European System of Central Banks. 

As of December 30, 2011, open 

interest in EUR/USD futures contracts 

traded on CME was approximately 

$46.12 billion. EUR/USD futures 

contracts had an average daily trading 

volume in 2011 of approximately 

336,947 contracts. 

ProShares UltraPro U.S. Dollar, 

ProShares UltraPro Short U.S. Dollar, 

ProShares Ultra U.S. Dollar, ProShares 

UltraShort U.S. Dollar, and ProShares 

Short U.S. Dollar (‘‘U.S. Dollar Funds’’) 

The U.S. Dollar Funds will be 

designed to track a multiple, the inverse 

or an inverse multiple of the daily 

performance of their Benchmark, the 

U.S. Dollar Index (‘‘U.S. Dollar Index’’ 

or ‘‘Index’’).9 The U.S. Dollar Index is a 

geometrically-averaged calculation of 

six currencies weighted against the U.S. 

dollar. The six component currencies 

are the euro, Japanese yen, British 

pound, Canadian dollar, Swedish krona, 

and Swiss franc. The component 

currencies do not have the same weight. 

The euro has a weighting of 57.6%, the 

Japanese yen a weighting of 13.6%, the 

British pound a weighting of 11.9%, the 

Canadian dollar a weighting of 9.1%, 

the Swedish krona a weighting of 4.2%, 

and the Swiss franc a weighting of 

3.6%. The U.S. Dollar Index is 

calculated by Bloomberg in real time 

approximately every 15 seconds using 

the spot prices of the Index’s component 

currencies. The price used for the 

calculation of the Index is the mid-point 

between the Bloomberg top of the book 

bid/offer in the component currencies. 

In addition to the data on EUR/USD, 

CAD/USD, CHF/USD, and JPY/USD 

futures contracts stated herein, as of 

December 30, 2011, open interest in 

U.S. Dollar Index futures contracts 

traded on ICE was approximately $5.44 

billion. U.S. Dollar Index futures 

contracts had an average daily trading 

volume in 2011 of approximately 30,341 

contracts. Open interest in British 

pound (‘‘GBP/USD’’) futures contracts 

traded on the CME was approximately 

$19.59 billion, and GBP/USD futures 

contracts had an average daily trading 

volume in 2011 of approximately 

116,115 contracts. Open interest in 

Swedish krona (‘‘SEK/USD’’) futures 

contracts traded on the CME was 

approximately $16.79 million, and SEK/ 

USD futures contracts had an average 

daily trading volume of approximately 8 

contracts. 

ProShares UltraPro Yen, ProShares 

UltraPro Short Yen, and ProShares 

Short Yen (‘‘Yen Funds’’) 

The Yen Funds will be designed to 

track a multiple, the inverse, or an 

inverse multiple of the daily 

performance of the Japanese yen spot 

price versus the U.S. dollar (‘‘JPY/ 

USD’’). The Benchmark for each of the 

Yen Funds will be the U.S. dollar price 

of the Japanese yen. The Yen Funds will 

use the 4 p.m., E.T. Japanese yen 

exchange rate as provided by 

Bloomberg, expressed in terms of U.S. 

dollars per unit of foreign currency, as 

the basis for the underlying Benchmark. 

The Japanese yen has been the official 

currency of Japan since 1871. The Bank 

of Japan has been operating as the 

central bank of Japan since 1882. The 

official currency code for the Japanese 

yen is ‘‘YEN.’’ 

As of December 30, 2011, open 

interest in JPY/USD futures contracts 

traded on the CME was approximately 

$25.75 billion. JPY/USD futures 

contracts had an average daily trading 

volume in 2011 of approximately 

113,476 contracts. 

Benchmark Futures Contracts Held by 

the Funds 

All open Benchmark Futures 

Contracts held by the Funds will be 

traded on a United States exchange and 

will be calculated at their then current 

market value, based upon the last traded 

price before the net asset value (‘‘NAV’’) 

calculation time, for that particular 

futures contract traded on the applicable 

United States exchange on the date with 

respect to which NAV is being 

determined; provided, that if a futures 

contract traded on a United States 


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11See Notice and Registration Statement, supra 

notes 3 and 5, respectively. 

12 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). 

13 15 U.S.C. 78f(b)(5). 

14 15 U.S.C. 78k–1(a)(1)(C)(iii). 

15 ICE Futures U.S., Inc. compiles, maintains, 

determines, and weights the components of the U.S. 

Dollar Index. ICE Futures U.S., Inc. is not engaged 

in the business of trading in commodities or 

securities, but operates a derivatives exchange. ICE 

Futures U.S., Inc. maintains a code of conduct 

applicable to all personnel that prohibits disclosure 

of any confidential information obtained during the 

course of one’s employment and the use or 

disclosure of any material non-public information 

relating to changes to the composition of the U.S. 

Dollar Index or changes to the U.S. Dollar Index 

methodology in violation of applicable laws, rules, 

or regulations. 

16According to the Exchange, several major 

market data vendors currently display and/or make 

widely available IOPVs published on CTA or other 

data feeds. 

17The NAV per Share of each Fund will be 

computed by dividing the value of the net assets of 

such Fund (i.e., the value of its total assets less total 

liabilities) by its total number of Shares 

outstanding. The NAV calculation time for each 

Fund will be 4 p.m., E.T. 

exchange could not be liquidated on 

such day, due to the operation of daily 

limits or other rules of the exchange 

upon which that position is traded or 

otherwise, the Sponsor may in its sole 

discretion choose to determine a fair 

value price as the basis for determining 

the market value of such position for 

such day. 

The Benchmark Futures Contracts 

trade on the following exchanges: 

Fund benchmarks Benchmark futures 

contracts Exchange 10

Australian dollar/U.S. dollar exchange rate ................................................................................................... AUD/USD CME 

Canadian dollar/U.S. dollar exchange rate .................................................................................................... CAD/USD CME 

European euro/U.S. dollar exchange rate ..................................................................................................... EUR/USD CME 

Japanese yen/U.S. dollar exchange rate ....................................................................................................... JPY/USD CME 

Swiss franc/U.S. dollar exchange rate ........................................................................................................... CHF/USD CME 

U.S. Dollar Index ............................................................................................................................................ USDX ICE 

CAD/USD CME 

CHF/USD CME 

EUR/USD CME 

GBP/USD CME 

JPY/USD CME 

SEK/USD CME 

10Each Benchmark Futures Contract trades electronically for 21 or more hours each trading session, beginning every Sunday evening and 

closing for the week on the following Friday evening. 

Additional details regarding the Trust, 

Funds, Shares, trading policies of the 

Funds, creations and redemptions of the 

Shares, investment risks, fees, NAV 

calculation, the dissemination and 

availability of information about the 

underlying assets of the Funds, trading 

halts, applicable trading rules, 

surveillance, and the Information 

Bulletin, among other things, can be 

found in the Notice and/or the 

Registration Statement, as applicable.11

III. Discussion and Commission’s 

Findings 

After careful review, the Commission 

finds that the proposed rule change to 

list and trade the Shares of the Funds is 

consistent with the requirements of 

Section 6 of the Act and the rules and 

regulations thereunder applicable to a 

national securities exchange.12 In 

particular, the Commission finds that 

the proposed rule change is consistent 

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

of the Act,13 which requires, among 

other things, that the Exchange’s rules 

be designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to foster cooperation and 

coordination with persons engaged in 

facilitating transactions in securities, 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 Funds and 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,14 which sets 

forth Congress’s 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 available via the 

Consolidated Tape Association (‘‘CTA’’) 

high-speed line. The value of the 

Benchmarks will be disseminated by 

one or more major market data vendors 

and will be updated at least every 15 

seconds during the NYSE Arca Core 

Trading. Data regarding the U.S. Dollar 

Index is also available from the Index 

provider to subscribers.15 In addition, 

an Indicative Optimized Portfolio Value 

(‘‘IOPV’’) for each Fund, which will be 

calculated using the prior day’s closing 

net assets of each Fund as a base and 

updating that value throughout the 

NYSE Arca Core Trading Session to 

reflect changes in the value of 

Benchmark Futures Contracts and 

forward contracts, if any, held by the 

Fund, will be widely disseminated by 

one or more major market data vendors 

at least every 15 seconds during the 

NYSE Arca Core Trading Session.16 The 

NAV for each Fund will be calculated 

by the Administrator each trading day 

and will be disseminated daily.17 The 

Trust will provide Web site disclosure 

of the portfolio holdings of each Fund 

daily and will include, as applicable, 

the description and notional value (in 

U.S. dollars) of each Fund’s investments 

in Benchmark Futures Contracts and 

forward contracts, if any, and cash 

equivalents and the amount of cash held 

by each Fund. The intraday pricing and 

settlement values of the Benchmark 

Futures Contracts held by the Funds are 

readily available from CME, ICE, and 

other public sources or on-line 

information services. Real-time 

dissemination of spot pricing for the 

Australian dollar, Canadian dollar, 

Swiss franc, euro, and Japanese yen, and 

data for the U.S. Dollar Index are also 

available from major market data 

vendors. In addition, the Web site for 

the Funds and/or the Exchange will 

contain the prospectus and additional 

data relating to NAV and other 

applicable quantitative information. 

The Commission further believes that 

the proposal to list and trade the Shares 

is reasonably designed to promote fair 


srobinson on DSK4SPTVN1PROD with NOTICES
15444 Federal Register / Vol. 77, No. 51 / Thursday, March 15, 2012 / Notices 

18With respect to trading halts, the Exchange may 

consider all relevant factors in exercising its 

discretion to halt or suspend trading in the Shares. 

Trading in the Shares will be subject to halts caused 

by extraordinary market volatility pursuant to the 

Exchange’s ‘‘circuit breaker’’ rule in NYSE Arca 

Equities Rule 7.12 or by the halt or suspension of 

trading of the underlying Benchmark Futures 

Contracts. Trading also may be halted because of 

market conditions or for reasons that, in the view 

of the Exchange, make trading in the Shares 

inadvisable. 

19See NYSE Arca Equities Rule 1.1(n) (defining 

ETP Holder). 

20See NYSE Arca Equities Rule 1.1(u) (defining 

Market Maker). 

21See FINRA Regulatory Notices 09–31 (June 

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

2009). 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 that, in recommending 

transactions in these securities, they must have a 

reasonable basis to believe that (1) the 

recommendation is suitable for a customer given 

reasonable inquiry concerning the customer’s 

investment objectives, financial situation, needs, 

and any other information known by such member, 

and (2) the customer can evaluate the special 

characteristics, and is able to bear the financial 

risks, of an investment in the Shares. In connection 

with the suitability obligation, the Information 

Bulletin will also provide that members must make 

reasonable efforts to obtain the following 

information: (1) The customer’s financial status; (2) 

the customer’s tax status; (3) the customer’s 

investment objectives; and (4) such other 

information used or considered to be reasonable by 

such member or registered representative in making 

recommendations to the customer. 

22See 17 CFR 240.10A–3. 

23The Commission notes that it does not regulate 

the market for futures in which the Funds plan 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. 

24 15 U.S.C. 78f(b)(5). 

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. 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. 

Further, the Exchange represents that it 

may halt trading during the day in 

which an interruption to the 

dissemination of the IOPV, the 

Benchmark value, or the value of the 

underlying Benchmark Futures 

Contracts occurs. If the interruption to 

the dissemination of the IOPV, the 

Benchmark value, or the value of the 

underlying Benchmark 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. The Exchange may halt 

trading in the Shares if trading is not 

occurring in the underlying Benchmark 

Futures Contracts, or if other unusual 

conditions or circumstances detrimental 

to the maintenance of a fair and orderly 

market are present.18 In addition, the 

Web site disclosure of the portfolio 

composition of each Fund will occur at 

the same time as the disclosure by the 

Sponsor 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 each Fund through the 

Funds’ Web site. The Exchange states 

that it has a general policy prohibiting 

the distribution of material, non-public 

information by its employees. Lastly, 

the trading of the Shares will be subject 

to NYSE Arca Equities Rule 8.200, 

Commentary .02(e), which sets forth 

certain restrictions on ETP Holders 19

acting as registered Market Makers 20 in 

Trust Issued Receipts to facilitate 

surveillance. 

The Exchange has represented that 

the Shares are deemed to be equity 

securities, thus rendering trading in the 

Shares subject to the Exchange’s 

existing rules governing the trading of 

equity securities. In support of this 

proposal, the Exchange has made 

representations, including: 

(1) The Funds will be subject to the 

criteria in NYSE Arca Equities Rule 

8.200 and Commentary .02 thereto for 

initial and continued listing of the 

Shares. 

(2) The Exchange has appropriate 

rules to facilitate transactions in the 

Shares during all trading sessions. 

(3) The Exchange’s surveillance 

procedures applicable to derivative 

products, including Trust Issued 

Receipts, 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. 

(4) The Exchange can obtain market 

surveillance information, including 

customer identity information, from ICE 

and CME, which are members of the 

Intermarket Surveillance Group. 

(5) Prior to the commencement of 

trading, the Exchange will inform its 

ETP Holders in an Information Bulletin 

of the special characteristics and risks 

associated with trading the Shares. 

Specifically, the Information Bulletin 

will discuss the following: (a) The risks 

involved in trading the Shares during 

the Opening and Late Trading Sessions 

when an updated IOPV will not be 

calculated or publicly disseminated; (b) 

the procedures for purchases and 

redemptions of Shares in ‘‘Creation 

Unit’’ size (and that Shares are not 

individually redeemable); (c) NYSE 

Arca Equities Rule 9.2(a), which 

imposes a duty of due diligence on its 

ETP Holders to learn the essential facts 

relating to every customer prior to 

trading the Shares; (d) how information 

regarding the IOPV is disseminated; (e) 

the requirement that ETP Holders 

deliver a prospectus to investors 

purchasing newly issued Shares prior to 

or concurrently with the confirmation of 

a transaction; and (f) trading 

information. The Information Bulletin 

will also reference, among other things, 

the FINRA Regulatory Notices regarding 

sales practice and customer margin 

requirements for FINRA members 

applicable to leveraged exchange-traded 

funds (which include the Shares) and 

options thereon.21 ETP Holders that 

carry customer accounts will be 

required to follow the FINRA guidance 

set forth in the FINRA Regulatory 

Notices. 

(6) The minimum number of Shares 

for each Fund to be outstanding at the 

start of trading will be 100,000 Shares. 

(7) For the initial and continued 

listing of the Shares, the Funds must be 

in compliance with NYSE Arca Equities 

Rule 5.3 and Rule 10A–3 under the 

Act.22

(8) To the extent practicable, the 

Funds will invest in forward contracts 

cleared through the facilities of a 

centralized clearing house. In addition, 

with respect to investments in forward 

contracts, the 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. 

This approval order is based on all of 

the Exchange’s representations.23

For the foregoing reasons, the 

Commission finds that the proposed 

rule change is consistent with Section 

6(b)(5) of the Act 24 and the rules and 

regulations thereunder applicable to a 

national securities exchange. 


srobinson on DSK4SPTVN1PROD with NOTICES
Federal Register / Vol. 77, No. 51 / Thursday, March 15, 2012 / Notices 15445 

25 15 U.S.C. 78s(b)(2). 

26 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 17 CFR 240.19b–4(f)(6). 

4See Securities Exchange Act Release No. 53564 

(March 29, 2006), 71 FR 16847 (April 4, 2006) (SR– 

NASD–2006–038) (Order Approving File No. SR– 

NASD–2006–038); NASD Notice to Members 06–16 

(April 2006) (NASD Amends Rule 1013 to Adopt a 

Standardized Application Form (Form NMA) to be 

Used by All New Member Applicants); see also 

Securities Exchange Act Release No. 55412 (March 

7, 2007), 72 FR 11414 (March 13, 2007) (Order 

Approving File No. SR–NASD–2007–015); NASD 

Notice to Members 07–20 (May 2007) (NASD 

Amends Rules 1012 and 1013 to Require Applicants 

for Membership to Submit Applications Using 

Online Form NMA). 

5While NASD Rule 1014 sets forth 14 standards 

for membership, Form NMA does not elicit specific 

information from the applicant regarding standards 

13 (FINRA does not possess information indicating 

that the applicant may circumvent the federal 

securities laws or FINRA rules) or 14 (the 

application is consistent with the federal securities 

laws and FINRA rules). See NASD Rule 1014(a)(13) 

and (14). 

IV. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,25 that the 

proposed rule change (SR–NYSEArca2012–04) be, and it hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.26

Kevin M. O’Neill, 

Secretary. 

[FR Doc. 2012–6231 Filed 3–14–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66555; File No. SR–FINRA– 

2012–017] 

Self-Regulatory Organizations; 

Financial Industry Regulatory 

Authority, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend Online Form 

NMA, the Standardized Membership 

Application Form Applicants Must File 

Pursuant to NASD Rule 1013 (New 

Member Application and Interview) 

March 9, 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 March 5, 

2012, Financial Industry Regulatory 

Authority, Inc. (‘‘FINRA’’) (f/k/a 

National Association of Securities 

Dealers, Inc. (‘‘NASD’’)) filed with the 

Securities and Exchange Commission 

(‘‘SEC’’ or ‘‘Commission’’) the proposed 

rule change as described in Items I and 

II below, which Items have been 

prepared by FINRA. FINRA has 

designated the proposed rule change as 

constituting a ‘‘non-controversial’’ rule 

change under paragraph (f)(6) of Rule 

19b-4 under the Act,3 which renders the 

proposal effective upon receipt of this 

filing by the Commission. 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 the Substance 

of the Proposed Rule Change 

FINRA is proposing to amend online 

Form NMA, the standardized 

membership application form 

applicants must file pursuant to NASD 

Rule 1013 (New Member Application 

and Interview) as part of their new 

membership application. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, 

FINRA 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 these statements 

may be examined at the places specified 

in Item IV below. FINRA has prepared 

summaries, set forth in sections A, B, 

and C below, of the most significant 

aspects of such statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

Pursuant to NASD Rule 1012 (General 

Provisions) and NASD Rule 1013 (New 

Member Application and Interview), 

each applicant for FINRA membership 

must complete and electronically file 

the standardized online Form NMA as 

part of its new member application. The 

standardized online Form NMA was 

implemented several years ago to 

streamline the new member application 

process and to assist applicants in 

compiling a complete application 

package by identifying and organizing 

the information and supporting 

documentation required by NASD Rule 

1013 into eight major sections: (1) 

Section I (General Information); (2) 

Section II (Business Lines); (3) Section 

III (Personnel); (4) Section IV (Net 

Capital and Sources of Funding); (5) 

Section V (Contractual and Business 

Arrangements); (6) Section VI (Policies 

and Procedures); (7) Section VII 

(Facilities); and (8) Section VIII 

(Recordkeeping). 

Prior to FINRA’s adoption of Form 

NMA, applicants would submit 

inadequate or incomplete new member 

applications that were subject to 

rejection pursuant to NASD Rule 

1013(a)(3) as not substantially 

complete.4

FINRA is now proposing to revise 

Form NMA to further streamline the 

new member application process and to 

organize Form NMA according to the 12 

standards for membership enumerated 

in NASD Rule 1014 (Department 

Decision) and further detailed below.5

The revisions also seek to group 

information requests on specific topics 

that currently are located throughout 

existing Form NMA, as well as reduce 

current duplicative information requests 

in Form NMA. Additionally, revised 

Form NMA provides the following new 

user-friendly features intended to 

reduce the administrative burden placed 

on applicants: 

• Information fields, included in 

standards 1, 2, 8, and 12, that are prepopulated with information previously 

provided by applicants to FINRA in 

other submissions (e.g., Central 

Registration Depository (‘‘CRD’’®) 

entitlement forms and Form BD) or 

otherwise available to FINRA from CRD 

records (e.g., continuing education 

status), thereby minimizing the time 

necessary for applicants to complete the 

new form; 

• Information fields, included in 

standards 2, 3, 5, 6, 8, and 12, 

requesting information that applicants 

are currently required to provide during 

FINRA’s review of the new member 

application that were not included in 

current Form NMA but rather obtained 

during application review through 

requests from FINRA for additional 

information. These information fields, 

which were added based on industry 

and staff feedback on existing Form 

NMA and the new member application 

process should reduce the need for 

extensive follow-up during the review 

process which currently results in 

processing delays; and 

• Information fields, included in all 

standards except standard 9, allowing 

applicants to provide additional 

information, if applicable to their 

proposed business activities, structures, 

or circumstances. 

Below is a synopsis of the content of 

revised Form NMA, by standard, and its 

nexus to existing Form NMA: 

• Standard 1 (Overview of the 

Applicant): 

This standard seeks certain applicant 

overview information currently 

contained primarily in Sections I 

(General Information) and VII 

(Facilities) of existing Form NMA (e.g., 

formation information, identification of 


srobinson on DSK4SPTVN1PROD with NOTICES