[Federal Register Volume 89, Number 18 (Friday, January 26, 2024)]
[Notices]
[Pages 5273-5283]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-01511]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-99409; File No. SR-NYSEARCA-2024-05]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change To List and Trade Shares of the COtwo Advisors 
Physical European Carbon Allowance Trust Under NYSE Arca Rule 8.201-E 
(Commodity-Based Trust Shares)

January 22, 2024.
    Pursuant to section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given 
that, on January 10, 2024, NYSE Arca, Inc. (``NYSE Arca'' or 
``Exchange'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I, II, 
and

[[Page 5274]]

III below, which Items have been prepared by the self-regulatory 
organization. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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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 COtwo 
Advisors Physical European Carbon Allowance Trust under NYSE Arca Rule 
8.201-E (Commodity-Based Trust Shares). The proposed rule change is 
available on the Exchange's website at www.nyse.com, at the principal 
office of the Exchange, and at the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the self-regulatory organization 
included statements concerning the purpose of, and basis for, the 
proposed rule change and discussed any comments it received on the 
proposed rule change. The text of those statements may be examined at 
the places specified in Item IV below. The Exchange has prepared 
summaries, set forth in sections A, B, and C below, of the most 
significant parts of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to list and trade shares (``Shares'') of the 
COtwo Advisors Physical European Carbon Allowance Trust (the 
``Trust''), under NYSE Arca Rule 8.201-E, which governs the listing and 
trading of Commodity-Based Trust Shares.\4\
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    \4\ Commodity-Based Trust Shares are securities issued by a 
trust that represent investors' discrete identifiable and undivided 
beneficial ownership interest in the commodities deposited into the 
trust.
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    The Trust was formed as a Delaware statutory trust on January 12, 
2023.\5\ The Trust has no fixed termination date. The Trust will not be 
registered as an investment company under the Investment Company Act of 
1940, as amended,\6\ and is not required to register under such act. 
The Trust is not a commodity pool for purposes of the Commodity 
Exchange Act, as amended.\7\
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    \5\ On May 12, 2023, the Trust filed with the Commission a 
registration statement on Form S-1 (File No. 333-271910) (the 
``Registration Statement'') under the Securities Act of 1933 (15 
U.S.C. 77a) (the ``Securities Act''). The description of the 
operation of the Trust herein is based, in part, on the Registration 
Statement. The Registration Statement in not yet effective and the 
Shares will not trade on the Exchange until such time that the 
Registration Statement is effective.
    \6\ 15 U.S.C. 80a-1.
    \7\ 17 U.S.C. 1.
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    The sponsor of the Trust is COtwo Advisors LLC, a Delaware limited 
liability company (``Sponsor''). State Street Bank and Trust Company 
serves as the Trust's administrator (the ``Administrator'') to perform 
various administrative, accounting and recordkeeping functions on 
behalf of the Trust. Wilmington Trust serves as trustee of the Trust 
(the ``Trustee''). State Street Bank and Trust Company serves as the 
Trust's transfer agent (the ``Transfer Agent'') and as custodian of the 
Trust's cash, if any (``Cash Custodian'').\8\
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    \8\ The Cash Custodian is responsible for holding the Trust's 
cash as well as receiving and dispensing cash on behalf of the Trust 
in connection with the payment of Trust expenses.
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    The Exchange represents that the Shares will satisfy the 
requirements of NYSE Arca Rule 8.201-E and thereby will qualify for 
listing on the Exchange.
Operation of the Trust \9\
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    \9\ The description of the operation of the Trust, the Shares, 
and the carbon credit industry contained herein are based, in part, 
on the Registration Statement. See note 5, supra.
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    The investment objective of the Trust will be for the Shares to 
reflect the performance of the price of EU Carbon Emission Allowances 
for stationary installations (``EUAs''), less the Trust's expenses. The 
Trust intends to achieve its objective by investing all of its assets 
in EUAs on a non-discretionary basis (i.e., without regard to whether 
the value of EUAs is rising or falling over any particular period). 
Shares of the Trust will represent units of fractional undivided 
beneficial interest in and ownership of the Trust. The Trust's only 
ordinary recurring expense will be the Sponsor's annual fee. The Trust 
will not hold any assets other than EUAs and, possibly, a very limited 
amount of cash to pay Trust expenses. The Trust may also cause the 
Sponsor to receive EUAs from the Trust in such a quantity as may be 
necessary to pay the Sponsor's annual fee.
    The Trust will not invest in futures, options, options on futures, 
or swap contracts. The Trust will not hold or trade in commodity 
futures contracts, ``commodity interests,'' or any other instruments 
regulated by the Commodity Exchange Act. As stated above, the Trust's 
Cash Custodian may hold cash proceeds from EUA sales to pay Trust 
expenses. All EUAs will be held in the Union Registry (defined below).
    The Trust is not a proxy for investing in EUAs. Rather, the Shares 
are intended to provide a cost-effective means of obtaining investment 
exposure through the securities markets that is similar to an 
investment in EUAs. Specifically, the Shares are intended to constitute 
a simple and cost-efficient means of gaining investment benefits 
similar to those of holding EUAs directly, by providing investors an 
opportunity to participate in the EUA market through an investment in 
the Shares, instead of the traditional means of purchasing and storing 
EUAs. Trust shareholders will be exposed to the risks of investing in 
EUAs, as well as to additional risks that are unrelated to EUAs. For 
example, the public trading price at which an investor buys or sells 
Shares during the day from their broker may be different from the value 
of the Trust's holdings. Price differences may relate primarily to 
supply and demand forces at work in the secondary trading market for 
the Trust's Shares that are closely related to, but not identical to, 
the same forces influencing the prices of EUAs, cash and cash 
equivalents that constitute the Trust's assets. In addition, EUAs will 
have to be sold to pay Trust expenses that would not be associated with 
an investment in EUAs. Additional risks related to the Trust's 
structure, the Sponsor's management of the Trust, and the tax treatment 
of an investment in Shares are further in the Registration Statement.
EUAs and the EUA Industry
Description of EU Emissions Trading Scheme
    According to the Registration Statement, the European Union 
Emissions Trading System (``EU ETS'') is a ``cap and trade'' system 
that caps the total volume of greenhouse gas (``GHG'') emissions from 
installations and aircraft operators responsible for around 40% of 
European Union (``EU'') GHG emissions.\10\ The EU ETS is the largest 
cap and trade system in the world and covers more than 11,000 power 
stations and industrial plants in 31 countries, and flights between 
airports of participating countries. The EU ETS is administered by the 
EU Commission, which issues a predefined amount of EUAs through 
auctions or
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    \10\ There are two types of EU emissions allowance: (i) general 
allowances for stationary installations, or EUA; and (ii) allowances 
for the aviation sector (``EUAA''). The Trust will hold EUAs only.

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[[Page 5275]]

free allocation. An EUA represents the right to emit one metric ton of 
carbon dioxide equivalent into the atmosphere by operators of 
stationary installations (``Covered Entities''). By the end of April 
each year, all Covered Entities are required to surrender EUAs equal to 
the total volume of actual emissions from their installation for the 
last calendar year. EU ETS operators can buy or sell EUAs to achieve EU 
ETS compliance.
    In 2012, EU ETS operations were centralized into a single EU 
registry operated by the EU Commission (the ``Union Registry''), which 
covers all countries participating in the EU ETS. According to the 
Registration Statement, the Union Registry is an online database that 
holds accounts for all entities covered by the EU ETS as well as for 
participants (such as the Trust) not covered under the EU ETS. The 
Union Registry can be accessed online in a similar manner to online 
banking systems. An account must be opened in the Union Registry by a 
legal or natural person before being able to participate in the EU ETS 
and transact in EUAs. The European Union Transaction Log (``EUTL'') 
\11\ checks, records and authorizes all transactions that take place 
between accounts in the Union Registry to ensure that transfers are in 
accordance with the EU ETS rules. The Union Registry is at all times 
responsible for holding the EUAs. All EUAs are held in the Union 
Registry.
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    \11\ The EUTL is a central transaction log that checks and 
records all transactions taking place within the EU ETS. It is run 
by the European Commission and provides an easy access to emission 
trading data contained in the EUTL. See https://www.eea.europa.eu/data-and-maps/dashboards/emissions-trading-viewer-1.
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Major Holders and Allowance Use Cases
    According to the Registration Statement, while there is limited 
publicly available data on individuals or individual organizations' 
holdings in physical carbon allowances, carbon allowances are primarily 
held for three different use cases:
    (a) Complying with the EU ETS: Companies that need to surrender 
allowances under the EU ETS hold allowances to surrender them annually. 
These positions are typically built over time and ultimately 
surrendered at time of compliance. Therefore, the largest emitters in 
the EU ETS hold a significant amount of allowances, which include 
entities such as large utilities with a substantial share of fossil 
fuel fired power plants, cement companies, steel producers, chemical 
producers, oil and gas majors and airlines.
    (b) Providing financial services for hedging purposes or 
speculation, such as clearing houses for the European Energy Exchange 
or the Intercontinental Exchange, or banks holding allowances for their 
clients.
    (c) Trading on and speculating around price moves, using physical 
emission allowances. This can take many forms, including ``yield 
trades'', which includes holding a physical allowance and selling an 
EUA future at a premium to gain the yield in the forward curve; or 
outright positions for short term or long term speculation.
    In addition to holding physical allowances, there is a liquid 
secondary futures and options market that is primarily used for hedging 
future emissions or speculating.
Trading Location
    According to the Registration Statement, the EU ETS is linked to 
small emissions trading systems in Europe (Norway, Switzerland, Iceland 
and Liechtenstein), but not to any other major cap and trade markets. 
Therefore, allowances handed out in the EU ETS are not transferable to 
any registry outside of the EU ETS and cannot be used for compliance in 
any other cap and trade market.
    There are a number of other trading systems globally, and like the 
EU ETS, no allowances of any of these systems can be used in any other 
system:
    (a) Western Climate Initiative (WCI): The State of California and 
the Canadian province Quebec created a linked cap and trade market, 
that covers >80% of emissions.
    (b) Regional Greenhouse Gas Initiative (RGGI): a group of US east 
coast states created a linked market that covers power generators only.
    (c) The China National ETS: Technically not a cap and trade scheme 
(as the amount of allowances is not fixed but calculated according to 
historic production of units).
    (d) South Korea ETS: A comprehensive market covering the majority 
of Korean emissions.
Pricing of Allowances and Trading Volume
    According to the Registration Statement, there are currently two 
primary avenues for trading EUAs: a primary market and a secondary 
market. The primary market involves participation in a regularly 
scheduled auction. The secondary market involves transactions between 
buyers and sellers on regulated markets. The contracts offered for 
trading are the following (1) instruments with a daily expiry, 
including spot EUAs and the Daily EUA Future (as defined below), (2) 
futures contracts with various maturities; and (3) options on futures 
contracts. There are also over-the-counter transactions, but they 
comprise a negligible percentage of transactions.
    The spot and futures markets for EUAs have existed since 2005 after 
the formal launch of the EU ETS on January 1, 2005. Spot EUA contracts 
are traded exclusively on the European Energy Exchange AG 
(``EEX''),\12\ and futures contracts are traded on EEX, and ICE Endex 
Markets B.V. (``ICE Endex'') \13\ and Nasdaq Oslo, although the 
latter's market share is marginal. Additionally, options on EUA futures 
contracts are traded on EEX and ICE Endex, but not on Nasdaq Oslo.
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    \12\ EEX is an exchange under the German Exchange Act and a 
Regulated Market (``RM''), as defined in the Markets in Financial 
Instruments Directive (Directive 2014/65/EC) (``MIFID II''). As a RM 
for spot and derivatives transactions, EEX is supervised by the 
Saxon State Ministry for Economic Affairs, Labour and Transport (the 
``Exchange Supervisory Authority''). The Exchange Supervisory 
Authority is in charge of the legal supervision of EEX and of market 
supervision of the trading participants according to the German 
Exchange Act. The members of EEX are supervised by the Federal 
Financial Supervisory Authority (BaFin). All trading participants 
are required to comply with the market abuse regulations within the 
German Securities Trading Act. Beside this supervision, the market 
behavior at the spot and derivatives markets of all exchange 
participants is supervised on a daily basis by the Market 
Surveillance Office, an independent body of the exchange according 
to Section 7 of the German Exchange Act. See https://www.esma.europa.eu/sites/default/files/EEX_1.pdf. See also Rules and 
Regulations at https://www.eex.com/en/markets/trading-ressources/rules-and-regulations.
    \13\ ICE Endex is regulated in the Netherlands by the Dutch 
Authority for the Financial Markets (``AFM'') as a RM, as defined in 
MIFID II, which is implemented in Dutch Act on Financial Supervision 
(``DFSA''). The license as a RM is obtained under Section 5:26(1) of 
the DFSA, resulting in an authorization by the Minister of Dutch 
Ministry of Finance to operate a RM and supervised by the AFM. In 
the UK, ICE Endex is a Recognized Overseas Investment Exchange by 
the Financial Conduct Authority. See https://www.ice.com/endex/
regulation#:~:text=The%20Dutch%20Authority%20for%20Consumers,energy%2
0industry%20and%20wholesale%20trading. ICE Endex is also recognized 
by the CFTC as an authorized Foreign Board of Trade. See https://www.cftc.gov/sites/default/files/idc/groups/public/@otherif/documents/ifdocs/orgiceeregorder170110.pdf.
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    According to the Registration Statement, the EUA markets are 
generally liquid. The classifications for market participants include 
five basic categories--(1) investment firms or credit institutions, (2) 
investment funds, (3) other financial institutions, (4) operators with 
compliance obligations and, (5) commercial undertakings which are non-
financial firms without compliance obligations.\14\ According to

[[Page 5276]]

the European Union Transaction Log, there are over 18,773 registry 
accounts.\15\ The number of participants in the market have a direct 
bearing on the quality of trading. An Oxera report indicates that as 
the number of participants trading EUA futures has increased 
consistently since January 2017, relative spreads, calculated as the 
average quoted spread divided by the closing price, have decreased 
significantly--from just under 0.4% in January 2017 to roughly 0.06% in 
October 2021.\16\ In a February 2023 publication, Refinitiv estimated 
the total EUA market size to be [euro]751.5 billion, up 10% versus 
2021.\17\ As of January 2023, the secondary market had average daily 
trading volume of [euro]2 billion, with the majority of the liquidity 
in the futures market. EUA auctions are held on a near-daily basis 
throughout the year, other than between mid-December to mid-January, 
when auctions are paused. Twenty-eight countries (25 EU member states 
plus Liechtenstein, Norway, and Iceland) have agreed to use EEX to 
conduct their regularly scheduled auctions. Germany and Poland have 
opted out of the common auction but also utilize the EEX for auctions. 
Hence, EUA auctions take place exclusively on EEX. These auctions take 
place on a regularly scheduled basis; the number of allowances being 
auctioned is disclosed on a schedule prior to auction. Prices achieved 
in these auctions are published on various publicly-accessible 
websites, including the European Commission's primary website.
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    \14\ See esma70-445-
38_final_report_on_emission_allowances_and_associated_derivatives.pdf
(europa.eu).
    \15\ See https://ec.europa.eu/clima/ets/.
    \16\ Carbon trading in the European Union: An economic 
assessment of market functioning in 2021, Oxera, p. 42 (February 15, 
2022); available at https://www.oxera.com/wp-content/uploads/2022/02/Oxera-EU-carbon-trading-report-3.pdf.
    \17\ See ``Review of Carbon Markets in 2022'' (February 2023): 
available at https://www.refinitiv.com/content/dam/marketing/en_us/documents/gated/reports/carbon-market-year-in-review-2022.pdf. The 
report presents Refinitiv's assessment of the world's major carbon 
markets in 2022 and the total EUA market size includes spot, 
auctions and futures.
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    Below is a discussion of the secondary markets for EUAs and 
associated derivatives. The Trust will only hold EUAs, and will not 
hold any of the related derivatives.
Instruments With a Daily Expiry
    Instruments with daily expiry include spot EUAs traded on the EEX 
and the Daily EUA Future traded on ICE Endex. The Exchange notes that 
the settlement and economic outcome for a spot purchase on the EEX and 
a same day futures purchase on the ICE Endex are identical (as further 
detailed below). In fact, the European Securities Markets Authority 
(``ESMA''), in its ``Final Report: Emission Allowances and Associated 
Derivatives,'' uses the term ``spot'' EUAs to include both spot EUAs 
traded on EEX and the Daily EUA Future traded on ICE Endex.\18\
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    \18\ See esma70-445-
38_final_report_on_emission_allowances_and_associated_derivatives.pdf
 (europa.eu).
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Spot EUA Market
    As noted above, spot EUA contracts are traded exclusively on the 
EEX. The current value (spot price) for a EUA is greatly influenced by 
a number of factors, including regulatory changes, world events and 
general levels of economic activity. The trading hours for spot EUAs on 
EEX are 8:00 a.m. to 6:00 p.m. Central European Time (``C.E.T.''), and 
trade registrations are possible until 6:45 p.m. C.E.T. Trades 
concluded before 4:00 p.m. C.E.T. are settled on the next business day, 
or T+1, while trades after 4:00 p.m. C.E.T. are settled on the day 
after the first business day, or T+2. In the year-to-date period ended 
December 6, 2023, the average daily, monthly and annual trading volumes 
of spot EUAs on the EEX was 165,000, 3,332,000 and 39,983,000 EUAs, 
respectively. Over the same period, spot EUA contracts traded at their 
highest volume of 5,010,000 EUAs on December 1, 2023, and their lowest 
volume of 1000 EUAs on January 9, 2023.
    The EEX calculates and publishes an EEX end of day index on the 
price of EEX EUA spot contracts (the ``EUA End of Day Index''). The 
value of the EUA End of Day Index is calculated based on an algorithm 
using data regarding the prices of qualifying trades and the average 
bids and asks of orders that meet certain order quantity requirements. 
In order for data regarding trades and orders to be used for 
calculating the value of the EUA End of Day Index, the trades or orders 
must satisfy certain requirements regarding (i) quantity of traded 
contracts, (ii) quantity of contracts per order, (iii) minimum duration 
of the cumulated valid best bid and best ask, and (iv) maximum spread 
per contract. The EUA End of Day Index calculation methodology depends 
on the number of valid trades and orders which fulfil the product-
specific parameters.\19\ The data used for calculating the EUA End of 
Day Index can also come from fair values collected in a price committee 
or from other price sources. The EUA End of Day Index price calculated 
is then validated against actual market prices.
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    \19\ The EUA End of Day Index methodology is available at 
https://www.eex.com/fileadmin/EEX/Downloads/Trading/Specifications/Indeces/DE/20211005_Index_Description_v010.pdf.
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Daily EUA Futures
    Most liquidity in the secondary market is achieved by trading 
futures contracts. These contracts have expiration going out as far as 
2030. A single day futures contract on EUAs is exclusively traded on 
the ICE Endex (the ``Daily EUA Future''), which settles each day at the 
close of trading.\20\ The Daily EUA Future is a deliverable contract 
where each person with a position open at cessation of trading is 
obliged to make or take delivery of EUAs upon the expiration of the 
contract at the end of each trading day. Each Daily EUA Future 
represents one lot of 1,000 EUAs, with each EUA providing an 
entitlement to emit one ton of carbon dioxide equivalent gas. 
Generally, Daily EUA Futures trade on ICE Endex from approximately 2:00 
a.m. Eastern Time (``E.T.'') to approximately 12:00 p.m. E.T. The 
settlement price is fixed each business day and is published by the 
exchange at approximately 12:15 E.T. Final cash settlement occurs the 
first business day following the expiry day. In the year-to-date period 
ended December 6, 2023, the average daily, monthly and annual trading 
volumes of Daily EUA Futures was 3,144, 68,758 and 761,046, 
respectively, which represents trading volumes of 3,144,000, 68,758,000 
and 761,046,000 EUAs, respectively. Over the same period, Daily EUA 
Futures traded at their highest volume of 20,473 on July 12, 2023, 
representing 20,473,000 EUAs, and their lowest volume of 218 on May 8, 
2023, representing 218,000 EUAs.
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    \20\ NASDAQ Oslo also offers a single day futures contract on 
EUAs, but the contract is not traded. All references to the ``Daily 
EUA Future'' refer to the single day EUA futures contract traded on 
ICE Endex.
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Comparison of Spot EUA Market and Daily EUA Futures Market
    The daily EUA End of Day Index value can be expected to be 
substantially identical to the daily settlement price of the Daily EUA 
Future. Below is a comparison of the daily EUA End of Day Index value 
and the Daily EUA Future settlement price over a recent 45 calendar day 
period.

[[Page 5277]]



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                                                                 EEX End of Day     ICE final    Difference--EEX
                              Date                                    Index        settlement         v. ICE
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12/8/23........................................................     [euro]68.56     [euro]68.56       [euro]0.00
12/7/23........................................................           69.58           69.58             0.00
12/6/23........................................................           68.73           68.73             0.00
12/5/23........................................................           68.54           68.54             0.00
12/4/23........................................................           70.26           70.26             0.00
12/1/23........................................................           72.38           72.38             0.00
11/30/23.......................................................           70.69           70.69             0.00
11/29/23.......................................................           70.87           70.87             0.00
11/28/23.......................................................           72.78           72.78             0.00
11/27/23.......................................................           73.45           73.45             0.00
11/24/23.......................................................           76.37           76.37             0.00
11/23/23.......................................................           76.35           76.35             0.00
11/22/23.......................................................           74.96           74.96             0.00
11/21/23.......................................................           75.12           75.12             0.00
11/20/23.......................................................           76.35           76.35             0.00
11/17/23.......................................................           76.28           76.28             0.00
11/16/23.......................................................           76.73           76.73             0.00
11/15/23.......................................................           79.42           79.42             0.00
11/14/23.......................................................           78.29           78.29             0.00
11/13/23.......................................................           77.14           77.14             0.00
11/10/23.......................................................           78.33           78.33             0.00
11/9/23........................................................           77.03           77.02             0.01
11/8/23........................................................           75.33           75.33             0.00
11/7/23........................................................           74.88           74.88             0.00
11/6/23........................................................           75.46           75.46             0.00
11/3/23........................................................           77.24           77.24             0.00
11/2/23........................................................           78.20           78.20             0.00
11/1/23........................................................           78.10           78.10             0.00
10/31/23.......................................................           78.59           78.59             0.00
10/30/23.......................................................           78.25           78.25             0.00
10/27/23.......................................................           78.84           78.84             0.00
10/26/23.......................................................           79.14           79.14             0.00
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    Additionally, the chart below illustrates how closely the Daily EUA 
Future, in fact, reflects the EUA spot price during the trading day. 
This chart shows the spot prices in continuous trading on the EEX and 
the intra-day prices of Daily EUA Futures on ICE Endex, in EUR/tCO2 
from January 2018 to January 2022. This shows an average absolute 
difference of [euro]0.015 between the daily prices for EUAs on the EEX 
and ICE Endex.

[[Page 5278]]

[GRAPHIC] [TIFF OMITTED] TN26JA24.005

    (https://www.esma.europa.eu/sites/default/files/library/esma70-445-38_final_report_on_emission_allowances_and_associated_derivatives.pdf 
:p37).
Other EUA Futures Contracts
    EEX offers monthly EUA futures contracts for the current and next 
two months unless a quarterly or December future expires at that 
month's maturity date; quarterly futures for the current and next 11 
quarters unless a December future expires at that quarter's maturity 
date; and yearly, or December, futures for the next 8 years which 
mature in December of each respective year. ICE Endex offers up to 
seven December futures contracts, nine quarterly futures contracts, 
three August futures contracts and two monthly futures contracts. 
Nasdaq Oslo offers a quarterly futures contracts over a rolling six 
year period.
Options on EUA Futures Contracts
    Options on EUA futures contracts are also traded on EEX and ICE 
Endex for the December futures contracts.
Creation and Redemption of Shares
    According to the Registration Statement, the Trust will create and 
redeem Shares on a continuous basis in one or more Creation Units. A 
Creation Unit equals a block of 50,000 Shares, which amount may be 
revised from time-to-time. The Trust will issue Shares in Creation 
Units to certain authorized participants (``Authorized Participants'') 
on an ongoing basis. Each Authorized Participant must be a registered 
broker-dealer or other securities market participant such as a bank or 
other financial institution which is not required to register as a 
broker-dealer to engage in securities transactions, a participant in 
The Depository Trust Company (``DTC'') and have entered into an 
agreement with the Sponsor and the Transfer Agent (the ``Participant 
Agreement'').
    Creation Units may be created or redeemed only by Authorized 
Participants. The creation and redemption of Creation Units is only 
made in exchange for the delivery to the Trust or the distribution by 
the Trust of the amount of EUAs represented by the Creation Units being 
created or redeemed. The amount of EUAs required to be delivered to the 
Trust in connection with any creation, or paid out upon redemption, is 
based on the combined net asset value of the number of Shares included 
in the Creation Units being created or redeemed as determined on the 
day the order to create or redeem Creation Units is properly received 
and accepted. Orders must be placed by 11:00 a.m. New York time. The 
day on which the Administrator receives a valid purchase or redemption 
order is the order date. Creation Units may only be issued or redeemed 
on a day that the Exchange is open for regular trading.
    An Authorized Participant who places a purchase order is 
responsible for crediting the Trust's Union Registry account with the 
required EUA deposit by 2:00 p.m. New York time on the second business 
day following the order date. Upon receipt of the EUA deposit amount in 
the Trust's Union Registry account, the Union Registry will notify the 
Sponsor that the EUAs have been deposited. Upon receipt of confirmation 
from the Union Registry that the EUA deposit amount has been received, 
the Administrator will direct DTC to credit the number of Shares 
created to the Authorized Participant's DTC account.
    According to the Registration Statement, the redemption 
distribution due from the Trust will be delivered once the 
Administrator notifies the Sponsor that the Authorized Participant has 
delivered the Shares to be redeemed to the Trust's DTC account. The 
redemption distribution will be delivered to the Authorized Participant 
on the second business day following the order date. Once the 
Administrator notifies the Sponsor that the Shares have been received 
in the Trust's DTC account, the Sponsor instructs the Union Registry to 
transfer the redemption EUA amount from the Trust's Union Registry 
account to the Authorized Participant's Union Registry account.

[[Page 5279]]

    The Sponsor is the only entity that may initiate a withdrawal of 
EUAs from the Trust's Union Registry account, and the only accounts 
that may receive EUAs from the Trust's Union Registry account are 
Authorized Participants' or the Sponsor's Union Registry accounts.
Net Asset Value (``NAV'')
    The Trust's NAV is calculated by taking the current market value of 
its total assets, less any liabilities of the Trust, and dividing that 
total by the total number of outstanding Shares.
    The Administrator will calculate the NAV of the Trust once each 
Exchange trading day. The NAV for a normal trading day will be released 
after the end of the Core Trading Session, which is typically 4 p.m. 
New York time. The NAV for the Trust's Shares will be disseminated 
daily to all market participants at the same time. The Administrator 
will use that day's EUA End of Day Index value, as published by EEX, to 
calculate the NAV. The Administrator also converts the value of Euro 
denominated assets into US Dollar equivalent using published foreign 
currency exchange prices by an independent pricing vendor. Third 
parties supplying quotations or market data may include, without 
limitation, dealers in the relevant markets, end-users of the relevant 
product, information vendors, brokers and other sources of market 
information.
Indicative Fund Value (``IFV'')
    In order to provide updated information relating to the Trust for 
use by investors and market professionals, an updated IFV will be made 
available through on-line information services throughout the Exchange 
Core Trading Session (normally 9:30 a.m. to 4:00 p.m. E.T.) on each 
trading day. The IFV will be calculated by using the prior day's 
closing NAV per Share of the Trust as a base and updating that value 
throughout the trading day to reflect changes in the most recently 
reported bid-ask spread of the spot EUA market on EEX. The IFV 
disseminated during NYSE Arca Core Trading Session hours should not be 
viewed as an actual real time update of the NAV, because the NAV will 
be calculated only once at the end of each trading day based upon the 
relevant end of day values of the Trust's investments. Although the IFV 
will be disseminated throughout the Core Trading Session, the customary 
trading hours for EUAs are 2 a.m. to 12 p.m. Eastern Time. During the 
gap in time at the end of each trading day during which the Shares are 
traded on the Exchange, but real-time trading prices for EUAs are not 
available, the IFV will be calculated based on the end of day price of 
EUAs immediately preceding the trading session.
    The IFV will be disseminated on a per Share basis every 15 seconds 
during regular NYSE Arca Core Trading Session.
Availability of Information
    The NAV for the Trust's Shares will be disseminated daily to all 
market participants at the same time. The intraday, closing prices, and 
settlement prices for EUAs will be readily available from the 
applicable futures exchange websites, automated quotation systems, 
published or other public sources, or major market data vendors. The 
IFV per Share for the Shares will be disseminated by one or more major 
market data vendors on at least a 15 second delayed basis as required 
by NYSE Arca Rule 8.201-E(e)(2)(v).
    Complete real-time data for EUAs and Daily EUA Futures is available 
by subscription through on-line information services. Quotation and 
last-sale information regarding the Shares will be disseminated through 
the facilities of the Consolidated Tape Association. The IFV will be 
available through on-line information services. The trading prices for 
EUAs and the daily EUA End of Day Index value and historical EUA End of 
Day Index values will be disseminated by on-line subscription services 
or by one or more major market data vendors during the NYSE Arca Core 
Trading Session of 9:30 a.m. to 4:00 p.m. E.T. The EUA End of Day Index 
value is also published daily on the EEX website.
    EEX also provides on its website, on a daily basis, transaction 
volumes and transaction prices for the EUA spot market. ICE Endex 
provides on its website, on a daily basis, transaction volumes, 
transaction prices, daily settlement prices and historical settlement 
prices for Daily EUA Futures that were traded outside of block trades 
by EUA futures brokers. In addition, transaction volumes, transaction 
prices, daily settlement prices and historical settlement prices for 
Daily EUA Futures traded in block trades by futures brokers are 
available on a daily basis through a subscription service to ICE Endex. 
However, ICE Endex provides the daily settlement price change of the 
Daily EUA Future on its website.
    In addition, the Trust's website (www.cotwoadvisors.com) will 
contain the following information, on a per Share basis, for the Trust: 
(a) the prior business day's end of day closing NAV; (b) the Official 
Closing Price \21\ or the midpoint of the national best bid and the 
national best offer (``NBBO'') as of the time the NAV is calculated 
(``Bid-Ask Price''); (c) calculation of the premium or discount of the 
Official Closing Price against the NAV expressed as a percentage of 
such NAV; (d) the prospectus; and (e) other applicable quantitative 
information. The Trust will also provide website disclosure of its EUA 
holdings before 9:30 a.m. E.T. on each trading day.
---------------------------------------------------------------------------

    \21\ The term ``Official Closing Price'' is defined in NYSE Arca 
Rule 1.1(ll) as the reference price to determine the closing price 
in a security for purposes of Rule 7- E Equities Trading, and the 
procedures for determining the Official Closing Price are set forth 
in that rule.
---------------------------------------------------------------------------

    The Trust's website will be publicly available prior to the public 
offering of Shares and accessible at no charge. The website disclosure 
of the Trust's daily holdings will occur at the same time as the 
disclosure by the Trust of the daily holdings to Authorized 
Participants so that all market participants are provided daily 
holdings information at the same time. Therefore, the same holdings 
information will be provided on the public website as well as in 
electronic files provided to Authorized Participants. Accordingly, each 
investor will have access to the current daily holdings of the Trust 
through the Trust's website. In addition, information regarding market 
price and trading volume of the Shares will be continually available on 
a real-time basis throughout the day on brokers' computer screens and 
other electronic services. Information regarding the previous day's 
closing price and trading volume information for the Shares will be 
published daily in the financial section of newspapers.
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. Trading in the Shares 
on the Exchange will occur in accordance with NYSE Arca Rule 7.34-E 
(Early, Core, and Late Trading Sessions). The Exchange has appropriate 
rules to facilitate transactions in the Shares during all trading 
sessions. As provided in NYSE Arca Rule 7.6-E, the minimum price 
variation (``MPV'') for quoting and entry of orders in equity 
securities traded on the NYSE Arca Marketplace is $0.01, with the 
exception of securities that are priced less than $1.00, for which the 
MPV for order entry is $0.0001.
    The Shares will conform to the initial and continued listing 
criteria under

[[Page 5280]]

NYSE Arca Rule 8.201-E. The trading of the Shares will be subject to 
NYSE Arca Rule 8.201-E(g), which sets forth certain restrictions on 
Equity Trading Permit (``ETP'') Holders acting as registered Market 
Makers in Commodity-Based Trust Shares to facilitate surveillance. The 
Exchange represents that, for initial and continued listing, the Trust 
will be in compliance with Rule 10A-3 \22\ under the Act, as provided 
by NYSE Arca Rule 5.3-E. A minimum of 10,000 Shares will be outstanding 
at the commencement of trading on the Exchange.
---------------------------------------------------------------------------

    \22\ With respect to the application of Rule 10A-3 (17 CFR 
240.10A-3) under the Act, the Trust relies on the exemption 
contained in Rule 10A-3(c)(7).
---------------------------------------------------------------------------

    As a general matter, the Exchange has regulatory jurisdiction over 
its ETP Holders and their associated persons, which include any person 
or entity controlling an ETP Holder. To the extent the Exchange may be 
found to lack jurisdiction over a subsidiary or affiliate of an ETP 
Holder that does business only in commodities or futures contracts, the 
Exchange could obtain information regarding the activities of such 
subsidiary or affiliate through surveillance sharing agreements with 
regulatory organizations of which such subsidiary or affiliate is a 
member.
Trading Halts
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares. Trading on the Exchange in the Shares 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 conditions in the underlying carbon 
credit market have caused disruptions and/or lack of trading, 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.\23\
---------------------------------------------------------------------------

    \23\ See NYSE Arca Rule 7.12-E.
---------------------------------------------------------------------------

    The Exchange may halt trading during the day in which an 
interruption occurs to the dissemination of the IFV, as described 
above. If the interruption to the dissemination of the IFV persists 
past the trading day in which it occurs, 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 represents that trading in the Shares will be subject 
to the existing trading surveillances administered by the Exchange, as 
well as cross-market surveillances administered by the Financial 
Industry Regulatory Authority Inc. (``FINRA''), on behalf of the 
Exchange, which are designed to detect violations of Exchange rules and 
applicable federal securities laws.\24\ 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 federal securities laws applicable to trading on 
the Exchange.
---------------------------------------------------------------------------

    \24\ FINRA conducts cross-market surveillances on behalf of the 
Exchange pursuant to a regulatory services agreement. The Exchange 
is responsible for FINRA's performance under this regulatory 
services agreement.
---------------------------------------------------------------------------

    The surveillances referred to above generally focus on detecting 
securities trading outside their normal patterns, which could be 
indicative of manipulative or other violative activity. When such 
situations are detected, surveillance analysis follows and 
investigations are opened, where appropriate, to review the behavior of 
all relevant parties for all relevant trading violations.
    The Exchange believes that the proposal is designed to prevent 
fraudulent and manipulative acts and practices and to protect investors 
and the public interest, consistent with section 6(b)(5) of the Act. 
The Commission has explained that a proposal could satisfy the 
requirements of the Act in the first instance by demonstrating that the 
listing exchange has entered into a comprehensive surveillance-sharing 
agreement (``CSSA'') with a regulated ``market of significant size'' 
relating to the underlying assets.\25\ The Commission has further 
stated that ``[c]onsistent with the discussion of `significant market' 
. . . , the Commission has not previously, and does not now, require 
that [a] listing exchange be able to enter into a surveillance-sharing 
agreement with each regulated spot or derivatives market relating to an 
underlying asset, provided that the market or markets with which there 
is such an agreement constitute a `significant market.' '' \26\
---------------------------------------------------------------------------

    \25\ See Securities Exchange Act Release No. 88284 (February 26, 
2020), 85 FR 12595 (March 3, 2020) (SR-NYSEArca-2019-39) (Order 
Disapproving a Proposed Rule Change, as Modified by Amendment No. 1, 
to Amend NYSE Arca Rule 8.201-E (Commodity-Based Trust Shares) and 
to List and Trade Shares of the United States Bitcoin and Treasury 
Investment Trust Under NYSE Arca Rule 8.201-E).
    \26\ See Securities Exchange Act Release No. 83723 (July 26, 
2018), 83 FR 37579 (August 1, 2018) (Order Setting Aside Action by 
Delegated Authority and Disapproving a Proposed Rule Change, as 
Modified by Amendments No. 1 and 2, to List and Trade Shares of the 
Winklevoss Bitcoin Trust).
---------------------------------------------------------------------------

    The Exchange has entered into a CSSA with ICE Endex. Pursuant to 
the CSSA, the Exchange will communicate as needed regarding trading in 
the Shares and Daily EUA Futures with ICE Endex, and the Exchange may 
obtain trading information regarding trading in the Shares and Daily 
EUA Futures from ICE Endex.
    The Exchange believes that ICE Endex is a regulated \27\ market of 
significant size related to EUAs and that it is reasonably likely that 
any bad actor trying to manipulate the price of the Trust would have to 
trade the Daily EUA Futures traded on ICE Endex. Therefore, ICE Endex 
is an appropriate market to surveil in order to detect and deter fraud 
and manipulation of EUAs. The term ``market of significant size'' 
includes a market as to which (a) there is a reasonable likelihood that 
a person attempting to manipulate the Trust Shares would also have to 
trade on that market to successfully manipulate the Trust Shares, and 
(b) it is unlikely that trading in the Trust Shares would be the 
predominant influence on prices in that market.
---------------------------------------------------------------------------

    \27\ See note 13, supra.
---------------------------------------------------------------------------

    ICE Endex is the only market for trading Daily EUA Futures and it 
accounts for 95% of the trading volume for EUAs with ``daily expiry'' 
(which, as described above, includes spot EUAs and Daily EUA Futures). 
While the Trust will hold EUAs traded on EEX, this is economically 
equivalent to holding EUAs received after settling Daily EUA Futures 
that trade on ICE Endex. As described above, the correlation between 
the EUA End of Day Index value that reflects the value of the spot EUAs 
traded on EEX and the Daily EUA Future settlement price is nearly 
perfect. Thus, on any given day, the value of an EUA purchased on EEX 
or an EUA received after settling a Daily EUA Future traded on ICE 
Endex is the same.
    Given the significant size of ICE Endex, there is a reasonable 
likelihood that a market participant attempting to manipulate the Trust 
Shares would also have to trade on ICE Endex to successfully manipulate 
the Trust Shares. While it is possible that a potential manipulator 
could chose to trade only in the spot EUA market

[[Page 5281]]

(EEX), the near-perfect correlation between the EUA End of Day Index 
value and the Daily EUA Future settlement price means that a price 
distortion in the spot EUA market would be reflected in the Daily EUA 
Futures market and vice versa.\28\
---------------------------------------------------------------------------

    \28\ The Commission has granted several prior proposals to list 
and trade shares of physical commodity-based exchange-traded 
products, noting in every case that there was at least one regulated 
market of significant size for trading futures in the underlying 
commodity--whether gold, silver, platinum, palladium or copper--and 
the product's listing exchange has entered into surveillance-sharing 
agreements with, or held Intermarket Surveillance Group (``ISG'') 
membership in common with, that market. See Securities Exchange Act 
Release Nos. 61220 (December 22, 2009), 74 FR 68895, 68896 (December 
29, 2009) (SR-NYSEArca-2009-94) (notice of proposed rule change 
included NYSE Arca's representation that ``[t]he most significant 
palladium futures exchanges are the NYMEX and the Tokyo Commodity 
Exchange,'' that ``NYMEX is the largest exchange in the world for 
trading precious metals futures and options,'' and that NYSE Arca 
``may obtain trading information via the Intermarket Surveillance 
Group,'' of which NYMEX is a member; 61219 (December 22, 2009), 74 
FR 68886, 68887-88 (December 29, 2009) (SR-NYSEArca-2009-95) (notice 
of proposed rule change included NYSE Arca's representation that 
``[t]he most significant platinum futures exchanges are the NYMEX 
and the Tokyo Commodity Exchange,'' that ``NYMEX is the largest 
exchange in the world for trading precious metals futures and 
options,'' and that NYSE Arca ``may obtain trading information via 
the Intermarket Surveillance Group,'' of which NYMEX is a member; 
62692 (August 11, 2010), 75 FR 50789, 50790 (August 17, 2010) (SR-
NYSEArca-2010-56) (notice of proposed rule change included NYSE 
Arca's representation that ``the most significant gold, silver, 
platinum and palladium futures exchanges are the COMEX and the 
TOCOM'' and that NYSE Arca ``may obtain trading information via the 
Intermarket Surveillance Group,'' of which COMEX is a member; 62875 
(September 9, 2010), 75 FR 56156, 56158 (September 15, 2010) (SR-
NYSEArca-2010-71) (notice of proposed rule change included NYSE 
Arca's representation that ``the most significant silver, platinum 
and palladium futures exchanges are the COMEX and the TOCOM'' and 
that NYSE Arca ``may obtain trading information via the Intermarket 
Surveillance Group,'' of which COMEX is a member; 63464 (December 8, 
2010), 75 FR 77926, 77928 (December 14, 2010) (SR-NYSEArca-2010-95) 
(notice of proposed rule change included NYSE Arca's representation 
that ``the most significant gold futures exchanges are the COMEX and 
the Tokyo Commodity Exchange,'' that ``COMEX is the largest exchange 
in the world for trading precious metals futures and options,'' and 
that NYSE Arca ``may obtain trading information via the Intermarket 
Surveillance Group,'' of which COMEX is a member; 68430 (December 
13, 2012), 77 FR 75239, 75240-41 (December 19, 2012) (SR-NYSEArca-
2012-111) (notice of proposed rule change included NYSE Arca's 
representation that ``[f]utures on platinum and palladium are traded 
on two major exchanges: The New York Mercantile Exchange . . . and 
Tokyo Commodities Exchange'' and that NYSE Arca ``may obtain trading 
information via the Intermarket Surveillance Group,'' of which COMEX 
is a member; 71378 (January 23, 2014), 79 FR 4786, 4786-87 (January 
29, 2014) (SR-NYSEArca-2013-137) (notice of proposed rule change 
included NYSE Arca's representation that ``COMEX is the largest gold 
futures and options exchange'' and that NYSE Arca ``may obtain 
trading information via the Intermarket Surveillance Group,'' 
including with respect to transactions occurring on COMEX pursuant 
to CME and NYMEX's membership, or from exchanges ``with which [NYSE 
Arca] has in place a comprehensive surveillance sharing 
agreement.'').
---------------------------------------------------------------------------

    It is unlikely that trading in the Trust Shares would be the 
predominant influence on Daily EUA Futures prices traded on ICE Endex 
for a number of reasons, including the significant volume in and size 
of the EUA daily expiry market. The total EUA market size is 
approximately [euro]695.8 billion with approximately [euro]64.1 billion 
of that attributable to the Daily EUA Futures market. The daily average 
trading volume for EUAs across the secondary market is approximately 
[euro]2 billion, with approximately [euro]264.8 million attributable to 
trading in the Daily EUA Futures market. The Trust has not yet launched 
and cannot predict its future inflows; however, given the size of the 
Daily EUA Futures market and the EUA market, as a whole, the Sponsor 
does not anticipate that the Trust will have available capital to buy 
and sell EUAs in an amount that would move the EUA market.
    Based on the foregoing, the Exchange believes that prices on the 
Daily EUA Futures market (ICE Endex) can reasonably be relied upon to 
reflect the effects on the Daily EUA Futures market caused by a market 
participant attempting to manipulate the Trust Shares whether that 
attempt is made by directly trading on ICE Endex or indirectly by 
trading on the EUA spot market (EEX). In other words, to the extent 
that the price of Daily EUA Futures might be affected by trading in 
either the futures and spot markets, the price impact of potential 
fraud in either market would be reflected by a corresponding change to 
the price of the Daily EUA Futures Market (with which the Exchange has 
a CSSA).
    The Exchange represents that all EUAs held by the Trust will be 
held and maintained in the Union Registry and that the Trust will not 
invest in futures, options, options on futures, or swap contracts. It 
is possible that EUAs and Daily EUA Futures may become listed on other 
exchanges that are members of ISG \29\ or with which the Exchange has 
in place a comprehensive surveillance sharing agreement. The Exchange 
further represents that EEX is the principal market for all EUAs in 
which the Trust may invest, that the Exchange has a CSSA in place with 
ICE Endex, and that, because of the near-perfect correlation between 
the EUA End of Day Index value and the Daily EUA Future settlement 
price, the price impact of potential fraud in the spot market on EEX 
will be reflected in a corresponding change to the price of futures 
traded on ICE Endex.
---------------------------------------------------------------------------

    \29\ For a list of the current members of ISG, see 
www.isgportal.org.
---------------------------------------------------------------------------

    Also, pursuant to NYSE Arca Rule 8.201-E(g), the Exchange is able 
to obtain information regarding accounts for trading in the Shares in 
connection with ETP Holders' proprietary or customer trades which they 
effect through ETP Holders on any relevant market.
    In addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
    All statements and representations made in this filing regarding 
(a) the description of the portfolio or reference assets, (b) 
limitations on portfolio holdings or reference assets, or (c) the 
applicability of Exchange listing rules specified in this rule filing 
shall constitute continued listing requirements for listing the Shares 
on the Exchange.
    The Trust has represented to the Exchange that it will advise the 
Exchange of any failure by the Trust to comply with the continued 
listing requirements, and, pursuant to its obligations under section 
19(g)(1) of the Act, the Exchange will monitor for compliance with the 
continued listing requirements. If the Trust is not in compliance with 
the applicable listing requirements, the Exchange will commence 
delisting procedures under NYSE Arca Rule 5.5-E(m).
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders in an Information Bulletin of the special characteristics 
and risks associated with trading the Shares. Specifically, the 
Information Bulletin will discuss the following: (1) the procedures for 
purchases and redemptions of Shares in Creation Units (including noting 
that Shares are not individually redeemable); (2) NYSE Arca Rule 9.2-
E(a), which imposes a duty of due diligence on its ETP Holders to learn 
the essential facts relating to every customer prior to trading the 
Shares; (3) how information regarding the IFV is disseminated; (4) the 
requirement that ETP Holders deliver a prospectus to investors 
purchasing newly issued Shares prior to or concurrently with the 
confirmation of a transaction; (5) the possibility that trading spreads 
and the premium or discount on the Shares may widen as a result of 
reduced liquidity of EUAs during the Core and Late Trading Sessions; 
and (6) trading information. For example, the Information Bulletin will 
advise ETP Holders, prior to the

[[Page 5282]]

commencement of trading, of the prospectus delivery requirements 
applicable to the Trust. The Exchange notes that investors purchasing 
Shares directly from the Trust will receive a prospectus. ETP Holders 
purchasing Shares from the Trust for resale to investors will deliver a 
prospectus to such investors.
    In addition, the Information Bulletin will reference that the Trust 
is subject to various fees and expenses as will be described in the 
Registration Statement. The Information Bulletin will also reference 
the fact that last sale information regarding EUAs is subject to 
regulation by EEX and ICE Endex, that the Commission and the CFTC do 
not have jurisdiction over the trading of EUAs as a commodity, and that 
jurisdiction over the trading of EUAs is held by the relevant competent 
authority of the individual EU member states in which the trading takes 
place, namely the Bundesanstalt f[uuml]r Finanzdienstleistungsaufsicht 
(BaFIN) in Germany and the Autoriteit Financi[euml]le Markten (AFM) in 
the Netherlands.\30\ The Information Bulletin will also discuss any 
relief, if granted, by the Commission or the staff from any rules under 
the Act.
---------------------------------------------------------------------------

    \30\ Article 22 of Regulation (EU) No. 596/2014 on market abuse 
(market abuse regulation) (``MAR'') requires each EU member state to 
designate a single administrative competent authority to ensure that 
the provisions of MAR are applied on its territory. Commission 
Regulation 596/2014, 2014 O.J. (L 173) 42. For a list of the 
competent authorities for each EU Member State. See https://www.esma.europa.eu/sites/default/files/mar.pdf.
---------------------------------------------------------------------------

    The Information Bulletin will also disclose the trading hours of 
the Shares and that the NAV for the Shares will be calculated after 
4:00 p.m. E.T. each trading day. The Information Bulletin will disclose 
that information about the Shares will be publicly available on the 
Trust's website.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under section 6(b)(5) \31\ 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.
---------------------------------------------------------------------------

    \31\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NYSE Arca Rule 8.201-E. 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 regarding trading 
in the Shares and Daily EUA Futures from ICE Endex with which the 
Exchange has entered into a CSSA. The Exchange represents that all EUAs 
held by the Trust will be held and maintained in the Union Registry and 
that the Trust will not invest in futures, options, options on futures, 
or swap contracts. The Exchange further represents that EEX is the 
principal market for all EUAs in which the Trust may invest, and that 
the Exchange can monitor those EUAs through its CSSA with ICE 
Endex.\32\
---------------------------------------------------------------------------

    \32\ See the discussion in the ``Surveillance'' section, supra.
---------------------------------------------------------------------------

    The proposed rule change is designed to promote just and equitable 
principles of trade and to protect investors and the public interest in 
that there is a considerable amount of information on EUAs and Daily 
EUA Futures available on public websites and through professional and 
subscription services. The trading prices for EUAs and the daily EUA 
End of Day Index value and historical EUA End of Day Index values will 
be disseminated by on-line subscription services or by one or more 
major market data vendors during the NYSE Arca Core Trading Session. 
The daily EUA End of Day Index value is also published on the EEX 
website. EEX also provides on its website, on a daily basis, 
transaction volumes and transaction prices for the EUA spot market. 
Additionally, ICE Endex provides on its website, on a daily basis, 
transaction volumes, transaction prices, daily settlement prices and 
historical settlement prices for Daily EUA Futures that were traded 
outside of block trades by EUA futures brokers. In addition, 
transaction volumes, transaction prices, daily settlement prices and 
historical settlement prices for Daily EUA Futures traded in block 
trades by futures brokers are available on a daily basis through a 
subscription service to ICE Endex. ICE Endex also provides the daily 
settlement price change of the Daily EUA Future on its website.
    In addition, the Trust's website (www.cotwoadvisors.com) will 
provide pricing information for EUAs and the Shares. Market prices for 
the Shares will be available from a variety of sources including 
brokerage firms, information websites and other information service 
providers. Quotation and last-sale information regarding the Shares 
will be disseminated through the facilities of the Consolidated Tape 
Association. The NAV of the Trust will be published on each day that 
the NYSE Arca is open for regular trading and will be posted on the 
Trust's website. The IFV relating to the Shares will be widely 
disseminated by one or more major market data vendors at least once 
every 15 seconds as required by NYSE Arca Rule 8.201-E(e)(2)(v). The 
Trust's website will also provide its prospectus and other relevant 
quantitative information regarding the Shares. The Trust will also 
provide website disclosure of its EUA holdings before 9:30 a.m. E.T. on 
each trading day. In addition, information regarding market price and 
trading volume of the Shares will be continually available on a real-
time basis throughout the day on brokers' computer screens and other 
electronic services. Information regarding the previous day's closing 
price and trading volume information for the Shares will be published 
daily in the financial section of newspapers.
    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 
regarding trading in the Shares, EUAs and Daily EUA Futures via ISG 
from other exchanges that are members of ISG or with which the Exchange 
has entered into a CSSA.

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. The Exchange believes the 
proposed rule change will enhance competition by accommodating Exchange 
trading of an additional exchange-traded product relating to physical 
carbon credits.

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.

[[Page 5283]]

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 up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) by order approve or disapprove the proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

    <bullet> Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
    <bullet> Send an email to <a href="/cdn-cgi/l/email-protection#4e3c3b222b632d2123232b203a3d0e3d2b2d60292138"><span class="__cf_email__" data-cfemail="b5c7c0d9d098d6dad8d8d0dbc1c6f5c6d0d69bd2dac3">[email protected]</span></a>. Please include 
file number SR-NYSEARCA-2024-05 on the subject line.

Paper Comments

    <bullet> Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.

All submissions should refer to file number SR-NYSEARCA-2024-05. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (https://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for website viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE, 
Washington, DC 20549, on official business days between the hours of 10 
a.m. and 3 p.m. Copies of the filing also will be available for 
inspection and copying at the principal office of the Exchange. Do not 
include personal identifiable information in submissions; you should 
submit only information that you wish to make available publicly. We 
may redact in part or withhold entirely from publication submitted 
material that is obscene or subject to copyright protection. All 
submissions should refer to file number SR-NYSEARCA-2024-05 and should 
be submitted on or before February 16, 2024.
    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\33\
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    \33\ 17 CFR 200.30-3(a)(12).

Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2024-01511 Filed 1-25-24; 8:45 am]
BILLING CODE 8011-01-P


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