4308 Federal Register / Vol. 87, No. 18 / Thursday, January 27, 2022 / Notices 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 91949 

(May 20, 2021), 86 FR 28420. 

4 15 U.S.C. 78s(b)(2). 

5See Securities Exchange Act Release No. 92320, 

86 FR 36309 (July 9, 2021). 

6Amendment No. 1 is available at: https://

www.sec.gov/comments/sr-nysearca-2021-28/ 

srnysearca202128-9090695-246773.pdf. 

7 15 U.S.C. 78s(b)(2)(B). 

8See Securities Exchange Act Release No. 92651, 

86 FR 46292 (August 18, 2021). 

9 15 U.S.C. 78s(b)(2). 

10See Securities Exchange Act Release No. 93575, 

86 FR 64978 (November 19, 2021). The Commission 

designated January 21, 2022, as the date by which 

the Commission shall either approve or disapprove 

the proposed rule change. 

11Additional information regarding the Fund, the 

Trust, and the Shares, including investment 

strategies, creation and redemption procedures, and 

portfolio holdings can be found in Amendment No. 

1, supra note 6. 

12The Fund has filed a registration statement on 

Form S–1 under the Securities Act of 1933, dated 

May 25, 2021 (‘‘Registration Statement’’). The 

Registration Statement for the Fund is not yet 

effective and the Exchange will not commence 

trading in Shares of the Fund until the Registration 

Statement becomes effective. 

13Commentary .02 to NYSE Arca Rule 8.200–E 

applies to Trust Issued Receipts that invest in 

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

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

NYSE Arca Rule 8.200–E, 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. 

14The Sponsor is not registered as a broker-dealer 

or affiliated with a broker-dealer. In the event (a) 

the Sponsor becomes registered as a broker-dealer 

or becomes newly affiliated with a broker-dealer, or 

(b) any new sponsor becomes registered as a brokerdealer or becomes newly affiliated with a brokerdealer, it will implement and maintain a fire wall 

with respect to its relevant personnel of the brokerdealer or broker-dealer affiliate, as applicable, 

regarding access to information concerning the 

composition and/or changes to the portfolio, and 

will be subject to procedures designed to prevent 

the use and dissemination of material non-public 

information regarding the portfolio. 

15The Sub-Adviser is not registered as a brokerdealer or affiliated with a broker-dealer. In the event 

(a) the Sub-Adviser becomes registered as a brokerdealer or becomes newly affiliated with a brokerdealer, or (b) any new Sub-Adviser becomes 

registered as a broker-dealer or becomes newly 

affiliated with a broker-dealer, it will implement 

and maintain a fire wall with respect to its relevant 

personnel of the broker-dealer or broker-dealer 

affiliate, as applicable, regarding access to 

information concerning the composition and/or 

changes to the portfolio, and will be subject to 

procedures designed to prevent the use and 

dissemination of material non-public information 

regarding the portfolio. 

16The Index is sponsored by Triple Three 

Partners Pty Ltd, which licenses the use of the 

Index to its affiliated company, T3i Pty Ltd (Triple 

Three Partners Pty Ltd and T3i Pty Ltd. are 

collectively referred to herein as ‘‘T3 Index’’ or 

‘‘Index Sponsor’’). The Index Sponsor is affiliated 

with the Sponsor. The Index Sponsor has 

implemented and will maintain a fire wall 

regarding access to information concerning the 

composition of and/or changes to the Index. In 

addition, the Index Sponsor has implemented and 

will maintain procedures that are designed to 

prevent the use and dissemination of material, nonpublic information regarding the Index. The Index 

Sponsor is not registered as an investment adviser 

or broker-dealer and is not affiliated with any 

broker-dealers. The Index is calculated and 

published by Solactive AG, which is not affiliated 

with T3 Index. 

17The Exchange states that the SPIKES Index is 

a non-investable index that measures the implied 

volatility of the SPDR S&P 500 ETF Trust (‘‘SPY’’) 

over 30 days in the future. SPY is a unit investment 

trust that holds a portfolio of common stocks that 

closely tracks the price performance and dividend 

yield of the S&P 500 Composite Price Index (‘‘S&P 

500’’). The SPIKES Index does not represent the 

actual or the realized volatility of SPY. The SPIKES 

Index is calculated based on the prices of a 

constantly changing portfolio of SPY put and call 

options. The SPIKES Index is reflective of the 

premium paid by investors for certain options 

linked to the level of the S&P 500. The SPIKES 

Index is a theoretical calculation and cannot be 

traded on a spot basis. T3 Index is the owner, 

creator and licensor of the SPIKES Index. The 

SPIKES Index is calculated, maintained and 

published by Miami International Securities 

Exchange, LLC via the Options Price Reporting 

Authority. 

18According to the Exchange, SPIKES futures 

contracts were launched for trading by the 

Minneapolis Grain Exchange, LLC (‘‘MGEX’’) on 

December 14, 2020. While the SPIKES Index 

represents a measure of the expected 30-day 

Dated: January 24, 2022. 

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–01639 Filed 1–26–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94024; File No. SR– 

NYSEArca–2021–28] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Order Granting Approval of 

a Proposed Rule Change, as Modified 

by Amendment No. 1, To List and 

Trade Shares of ConvexityShares Daily 

1.5x SPIKES Futures ETF Under NYSE 

Arca Rule 8.200–E (Trust Issued 

Receipts) 

January 21, 2022. 

I. Introduction 

On May 13, 2021, NYSE Arca, Inc. 

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

with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

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

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder,2 a proposed rule 

change to list and trade shares 

(‘‘Shares’’) of the ConvexityShares Daily 

1.5x SPIKES Futures ETF (‘‘Fund’’), a 

series of the ConvexityShares Trust 

(‘‘Trust’’), under NYSE Arca Rule 8.200– 

E, Commentary .02 (‘‘Trust Issued 

Receipts’’). The proposed rule change 

was published for comment in the 

Federal Register on May 26, 2021.3 On 

July 2, 2021, pursuant to Section 

19(b)(2) of the Act,4 the Commission 

designated a longer period within which 

to approve the proposed rule change, 

disapprove the proposed rule change, or 

institute proceedings to determine 

whether to approve or disapprove the 

proposed rule change.5 On July 26, 

2021, the Exchange filed Amendment 

No. 1 to the proposed rule change, 

which replaced and superseded the 

proposed rule change as originally 

filed.6 On August 12, 2021, the 

Commission published notice of 

Amendment No. 1 and instituted 

proceedings under Section 19(b)(2)(B) of 

the Act 7 to determine whether to 

approve or disapprove the proposed 

rule change.8 On November 15, 2021, 

pursuant to Section 19(b)(2) of the Act,9

the Commission designated a longer 

period within which to issue an order 

approving or disapproving the proposed 

rule change.10 The Commission has 

received no comment letters on the 

proposed rule change. The Commission 

is approving the proposed rule change, 

as modified by Amendment No. 1. 

II. Description of the Proposed Rule 

Change, as Modified by Amendment 

No. 1 11

The Exchange proposes to list and 

trade Shares of the Fund 12 under NYSE 

Arca Rule 8.200–E, Commentary .02 

which governs the listing and trading of 

Trust Issued Receipts 13 on the 

Exchange. The Fund will be managed 

and controlled by ConvexityShares, LLC 

(‘‘Sponsor’’), a commodity pool 

operator.14 Teucrium Trading, LLC, a 

commodity trading adviser registered 

with the Commodity Futures Trading 

Commission, will be the Sub-Adviser 

for the Fund (‘‘Sub-Adviser’’) and will 

manage the Fund’s commodity futures 

investment strategy.15 U.S. Bank will 

provide custody and fund accounting to 

the Trust and the Fund; U.S. Bancorp 

Fund Services will be the transfer agent 

for the Shares and administrator for the 

Fund; and Foreside will serve as the 

distributor for the Fund. 

The Fund will seek daily investment 

results, before fees and expenses, that 

correspond to one-and-a-half times 

(1.5x) the performance of its benchmark 

index for a single day. The Fund is 

benchmarked to the T3 SPIKE Front 2 

Futures Index (‘‘Index’’), an investable 

index of SPIKES futures contracts.16 The 

Index is intended to reflect the returns 

that are potentially available through an 

unleveraged investment in a theoretical 

portfolio of first- and second-month 

futures contracts on the SPIKES 

Volatility Index (‘‘SPIKES Index’’).17

The Index is comprised solely of 

SPIKES futures contracts.18 The Index 


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volatility of SPY, the prices of SPIKES futures 

contracts are based on the current expectation of the 

expected 30-day volatility of SPY on the expiration 

date of the futures contract. 

19According to the Exchange, a Trade at 

Settlement (‘‘TAS’’) transaction is a transaction at 

a price equal to the daily settlement price, or at a 

specified differential above or below the daily 

settlement price. The TAS transaction price will be 

determined following execution and based upon the 

daily settlement price of the respective SPIKES 

futures contracts month. The permissible price 

range for permitted TAS transactions is from 0.50 

index points below the daily settlement price to 

0.50 index points above the daily settlement price. 

The permissible minimum increment for a TAS 

transaction is 0.01 index points. See MGEX Rule 

83.15 at http://www.mgex.com/documents/ 

20210318-Rulebook.pdf. 

20According to the Exchange, the VIX is a 

measure of estimated near-term future volatility 

based upon the weighted average of the implied 

volatilities of near-term put and call options on the 

S&P 500. 

21The Fund will attempt to limit counterparty 

risk in uncleared swap agreements by entering into 

such agreements only with counterparties the 

Sponsor and Sub-Adviser believe are creditworthy 

and by limiting the Fund’s exposure to each 

counterparty. The Exchange represents that the 

Sponsor and Sub-Adviser will monitor the 

creditworthiness of each counterparty and the 

Fund’s exposure to each counterparty on an 

ongoing basis. 

22 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

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

23 15 U.S.C. 78f(b)(5). 

24The daily website disclosure of portfolio 

holdings will include, as applicable, (i) the 

composite value of the total portfolio, (ii) the 

quantity and type of each holding (including the 

ticker symbol, maturity date or other identifier, if 

any) and other descriptive information including, in 

the case of a swap, the type of swap, its notional 

value and the underlying instrument, index or asset 

on which the swap is based, (iii) the market value 

of each investment held by the Fund, (iv) the type 

(including maturity, ticker symbol, or other 

identifier) and value of each Treasury security and 

cash equivalent, and (v) the amount of cash held in 

the Fund’s portfolio. 

employs rules for selecting the SPIKES 

futures contracts comprising the Index 

and a formula to calculate a level for the 

Index from the prices of these SPIKES 

futures contracts. Currently, the SPIKES 

futures contracts comprising the Index 

represent the prices of two near-term 

SPIKES futures contracts, replicating a 

position that rolls the nearest month 

SPIKES futures contracts to the next 

month SPIKES futures contracts at or 

close to the daily settlement price via a 

Trade-At-Settlement 19 program towards 

the end of each business day in equal 

fractional amounts. This results in a 

constant weighted average maturity of 

one month. 

The Fund will invest primarily in 

SPIKES futures contracts to gain the 

appropriate exposure to the Index. 

Under certain circumstances (described 

below), the Fund may also invest in 

futures contracts and swap contracts 

(‘‘VIX Related Positions’’) on the Cboe 

Volatility Index (‘‘VIX’’).20 The 

Exchange states that the VIX is an index 

that tracks volatility and would be 

expected to perform in a substantially 

similar manner as the SPIKES Index. 

The Fund seeks to achieve its 

investment objective through the 

appropriate amount of exposure to the 

SPIKES futures contracts included in 

the Index. The Sponsor or Sub-Adviser 

determines the type, quantity and mix 

of investments that the Sponsor or SubAdviser believes, in combination, 

should provide daily leveraged 

exposure to the Index to seek 

investment results equal to one-and-ahalf times the performance of the Index. 

In the event accountability rules, price 

limits, position limits, margin limits or 

other exposure limits are reached with 

respect to SPIKES futures contracts, or 

if the market for a specific 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), or in situations 

where the Sponsor or Sub-Adviser 

deems it impractical or inadvisable to 

buy or sell SPIKES futures contracts 

(such as during periods of market 

volatility or illiquidity, or when trading 

in SPY is halted), the Sponsor or SubAdviser may cause the Fund to invest in 

VIX Related Positions. The Sponsor 

expects the Fund’s positions in VIX 

Related Positions to consist primarily of 

VIX futures contracts, which are traded 

on the Cboe Futures Exchange. 

However, in the event accountability 

rules, price limits, position limits, 

margin limits or other exposure limits 

are reached with respect to VIX futures 

contracts, or if the market for a specific 

VIX futures contract experiences 

emergencies or disruptions or in 

situations where the Sponsor or SubAdviser deems it impractical or 

inadvisable to buy or sell VIX futures 

contracts, the Fund would hold VIX 

swap agreements.21 The Fund will also 

hold cash or cash equivalents such as 

U.S. Treasury securities or other high 

credit quality, short-term fixed-income 

or similar securities (such as shares of 

money market funds) as collateral for 

investments and pending investments. 

III. Discussion and Commission 

Findings 

After careful review of the proposed 

rule change, as modified by Amendment 

No. 1, the Commission finds that the 

proposed rule change, as modified by 

Amendment No. 1, is consistent with 

the Act and the rules and regulations 

thereunder applicable to a national 

securities exchange.22 In particular, the 

Commission finds that the proposed 

rule change, as modified by Amendment 

No. 1, is consistent with Section 6(b)(5) 

of the Act,23 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 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 proposal is reasonably designed 

to promote fair disclosure of 

information that may be necessary to 

price the Shares appropriately and to 

prevent trading in the Shares when a 

reasonable degree of certain pricing 

transparency cannot be assured. 

Specifically, the Exchange will obtain a 

representation from the issuer of the 

Shares that the net asset value (‘‘NAV’’) 

per Share will be calculated and 

disseminated daily and will be made 

available to all market participants at 

the same time. Each day before 9:30 

a.m., E.T., the daily holdings of the 

Fund will be available on the Fund’s 

website, www.convexityshares.com, 

which will be publicly accessible at no 

charge.24 This website disclosure of the 

Fund’s daily holdings will occur at 

approximately the same time as the 

disclosure by the Trust of the daily 

holdings to authorized participants, so 

that all market participants will be 

provided daily holdings information at 

approximately the same time, and the 

same holdings information will be 

provided on the public website as in 

electronic files provided to authorized 

participants. Quotation and last-sale 

information regarding the Shares will be 

disseminated through the facilities of 

the Consolidated Tape Association. As 

required by NYSE Arca Rule 8.200–E, 

Commentary .02, an updated Intraday 

Fund Value (‘‘IFV’’) will be calculated 

and widely disseminated by one or 

more major market data vendors every 

15 seconds during the Exchange’s Core 

Trading Session (9:30 a.m., E.T., to 4:00 

p.m., E.T.). The IFV will be readily 

available from the Fund’s website, 

automated quotation systems, published 

or other public sources, or major market 

data vendors’ website or on-line 

information services. 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. The 

Fund’s website will include a form of 

the prospectus for the Fund and 

additional data relating to NAV and 


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4310 Federal Register / Vol. 87, No. 18 / Thursday, January 27, 2022 / Notices 

25As defined in NYSE Arca Rule 1.1(z) the term 

‘‘Market Maker’’ means an ETP Holder that acts as 

a Market Maker pursuant to NYSEArca Rule 7–E. 

26Certain proposals for the listing and trading of 

exchange-traded products include a representation 

that the exchange will ‘‘surveil’’ for compliance 

with the continued listing requirements. See, e.g., 

Securities Exchange Act Release No. 77499 (April 

1, 2016), 81 FR 20428, 20432 (April 7, 2016) (SR– 

BATS–2016–04). In the context of this 

representation, it is the Commission’s view that 

‘‘monitor’’ and ‘‘surveil’’ both mean ongoing 

oversight of compliance with the continued listing 

requirements. Therefore, the Commission does not 

view ‘‘monitor’’ as a more or less stringent 

obligation than ‘‘surveil’’ with respect to the 

continued listing requirements. 

other applicable quantitative 

information. The level of the Index will 

be published at least every 15 seconds, 

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

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

each business day by Bloomberg and 

Reuters. The Fund’s website will also 

provide information regarding the 

SPIKES futures contracts constituting 

the Index and the Index methodology. 

In addition, the level of the SPIKES 

Index and the VIX is available from 

Bloomberg and Reuters. 

Complete real-time data for SPIKES 

futures contracts, which trade on 

MGEX, is available by subscription 

through on-line information services. 

MGEX also provides delayed futures 

information on current and past trading 

sessions and market news free of charge 

on its website. Price information 

regarding cleared VIX swap contracts is 

available from major market data 

vendors and price information for nonexchange-traded VIX swap contracts 

may be obtained from brokers and 

dealers who make markets in such 

instruments. Price information 

regarding VIX futures is available from 

the Cboe Futures Exchange and from 

major market data vendors. Price 

information for cash equivalents is 

available from major market data 

vendors. 

The Exchange’s rules regarding 

trading halts further help to ensure the 

maintenance of fair and orderly markets 

for the Shares, which is consistent with 

the protection of investors and the 

public interest. Trading 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 trading 

is not occurring in the securities and/or 

the financial instruments composing the 

daily disclosed portfolio of the Fund; or 

(2) whether other unusual conditions or 

circumstances detrimental to the 

maintenance of a fair and orderly 

market are present. Trading in Shares of 

the Fund will be halted if the circuit 

breaker parameters in NYSE Arca Rule 

7.12–E (Trading Halts Due to 

Extraordinary Market Volatility) have 

been reached. The Exchange may halt 

trading during the day in which an 

interruption to the dissemination of the 

IFV or the value of the Index occurs. If 

the interruption to the dissemination of 

the IFV or the value of the Index persists 

past the trading day in which it 

occurred, the Exchange will halt trading 

no later than the beginning of the 

trading day following the interruption. 

In addition, if the Exchange becomes 

aware that the NAV with respect to the 

Shares or disclosure of the Fund’s daily 

holdings is not disseminated to all 

market participants at the same time, it 

will halt trading in the Shares until such 

time as the NAV and the Fund’s daily 

holdings is available to all market 

participants. NYSEArca Rule 8.200–E, 

Commentary .02, enumerates additional 

circumstances under which the 

Exchange will consider the suspension 

of trading in and will commence 

delisting proceedings for the Shares. 

The Exchange’s proposal is designed 

to safeguard material non-public 

information relating to the Fund’s 

portfolio. Specifically, as the Exchange 

states, neither the Sponsor nor the SubAdviser is registered as a broker-dealer 

or affiliated with a broker-dealer. In the 

event that (a) either the Sponsor or the 

Sub-Adviser becomes registered as a 

broker-dealer or newly affiliated with a 

broker-dealer, or (b) any new sponsor or 

sub-adviser is registered as a brokerdealer or becomes affiliated with a 

broker-dealer, it will implement and 

maintain a fire wall with respect to its 

relevant personnel or personnel of the 

broker-dealer affiliate, as applicable, 

regarding access to information 

concerning the composition of and/or 

changes to the portfolio, and will be 

subject to procedures designed to 

prevent the use and dissemination of 

material non-public information 

regarding the portfolio. Moreover, 

trading of the Shares will be subject to 

NYSE Arca Rule 8.200–E, Commentary 

.02(e), which sets forth certain 

restrictions on Equity Trading Permit 

Holders (‘‘ETP Holders’’) acting as 

registered Market Makers 25 in Trust 

Issued Receipts to facilitate 

surveillance. In addition, the Exchange 

has a general policy prohibiting the 

distribution of material, non-public 

information by its employees. 

Furthermore, the Exchange or the 

Financial Industry Regulatory Authority 

(‘‘FINRA’’), on behalf of the Exchange, 

or both, will communicate as needed, 

and may obtain information, regarding 

trading in the Shares, SPIKES futures, 

VIX futures and other underlying 

exchange-listed instruments with other 

markets and entities that are members of 

the Intermarket Surveillance Group 

(‘‘ISG’’). In addition, the Exchange may 

obtain information regarding trading in 

the Shares, SPIKES futures, VIX futures 

and other underlying exchange-listed 

instruments from markets and other 

entities with which the Exchange has in 

place a comprehensive surveillance 

sharing agreement (‘‘CSSA’’). All futures 

contracts in which the Fund invests 

shall consist of futures contracts whose 

principal market is a member of the ISG 

or is a market with which the Exchange 

has a CSSA. The Exchange states that 

trading in the Shares will be subject to 

existing trading surveillances 

administered by the Exchange, as well 

as cross-market surveillances 

administered by FINRA on behalf of the 

Exchange, and 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. 

The Exchange has demonstrated there 

is an appropriate regulatory framework 

to support listing and trading of the 

Shares, including trading rules, 

surveillance, and listing standards. 

Moreover, the trading of the Shares on 

the Exchange will be subject to the 

Exchange’s and other rules listed below. 

Specifically: 

(1) 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; 

(2) The Shares will conform to the 

initial and continued listing criteria 

under NYSE Arca Rule 8.200–E; 

(3) Pursuant to NYSEArca Rule 8.200– 

E(a), all statements and representations 

made in the filing regarding (a) the 

description of the Index, portfolio, or 

reference asset, (b) limitations on Index 

or portfolio holdings or reference assets, 

or (c) the applicability of Exchange 

listing rules specified in the filing will 

constitute continued listing 

requirements for the Shares. The issuer 

will advise the Exchange of any failure 

by the Fund to comply with the 

continued listing requirements, and, 

pursuant to its obligations under 

Section 19(g)(1) of the Act, the Exchange 

will monitor 26 for compliance with the 

continued listing requirements. If the 

Fund is not in compliance with the 

applicable listing requirements, the 

Exchange will commence delisting 

procedures under NYSE Arca Rule 5.5– 

E(m). 


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Federal Register / Vol. 87, No. 18 / Thursday, January 27, 2022 / Notices 4311 

27The Exchange states that the Information 

Bulletin will discuss the following: (1) The risks 

involved in trading the Shares during the Opening 

and Late Trading Sessions when an updated IFV 

will not be calculated or publicly disseminated; (2) 

the procedures for purchases and redemptions of 

Shares in Creation Units and Redemption Units 

(and that Shares are not individually redeemable); 

(3) 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; (4) how information regarding 

the IFV is disseminated; (5) how information 

regarding portfolio holdings is disseminated; (6) 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 (7) trading information. 

28 17 CFR 240.10A–3. 

29 15 U.S.C. 78f(b)(5). 

30 Id. 

31 17 CFR 200.30–3(a)(12). 

1Status of Investment Advisory Programs Under 

the Investment Company Act of 1940, Investment 

Company Act Rel. No. 22579 (Mar. 24, 1997) [62 FR 

15098 (Mar. 31, 1997)] (‘‘Adopting Release’’). In 

addition, there are no registration requirements 

under section 5 of the Securities Act of 1933 for 

programs that meet the requirements of rule 3a–4. 

See 17 CFR 270.3a–4, introductory note. 

2For purposes of rule 3a–4, the term ‘‘sponsor’’ 

refers to any person who receives compensation for 

sponsoring, organizing or administering the 

program, or for selecting, or providing advice to 

clients regarding the selection of, persons 

responsible for managing the client’s account in the 

program. 

3Clients specifically must be allowed to designate 

securities that should not be purchased for the 

account or that should be sold if held in the 

account. The rule does not require that a client be 

able to require particular securities be purchased for 

the account. 

4These estimates are based on an analysis of the 

number of individual clients from Form ADV Item 

5D(a)(1) and (b)(1) of advisers that report they 

provide portfolio management to wrap programs as 

Continued 

(4) The Exchange has the appropriate 

rules to facilitate transactions in the 

Shares during all trading sessions; 

(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; 27

(6) FINRA has implemented increased 

sales practice and customer margin 

requirements for FINRA members 

applicable to inverse, leveraged and 

inverse leveraged securities (which 

include the Shares) and options on such 

securities, as described in FINRA 

Regulatory Notices 09–31 (June 2009), 

09–53 (August 2009), and 09–65 

(November 2009). ETP Holders that 

carry customer accounts will be 

required to follow the FINRA guidance 

set forth in these notices; 

(7) For initial and continued listing, 

the Fund will be in compliance with 

Rule 10A–3 under the Act; 28 and 

(8) A minimum of 100,000 Shares of 

the Fund will be outstanding at the 

commencement of trading on the 

Exchange. 

Accordingly, the Commission finds 

that the proposed rule change, as 

modified by Amendment No. 1, is 

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

Act 29 and the rules and regulations 

thereunder applicable to a national 

securities exchange. 

VI. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,30 that the 

proposed rule change (SR–NYSEArca– 

2021–28), as modified by Amendment 

No. 1, be, and hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.31

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–01564 Filed 1–26–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–401, OMB Control No. 

3235–0459] 

Submission for OMB Review; 

Comment Request 

Upon Written Request, Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services, 

100 F Street NE, Washington, DC 

20549–2736 

Extension: 

Rule 3a–4 

Notice is hereby given that, pursuant 

to the Paperwork Reduction Act of 1995 

(44 U.S.C. 350l-3520), the Securities and 

Exchange Commission (the 

‘‘Commission’’) has submitted to the 

Office of Management and Budget a 

request for extension of the previously 

approved collection of information 

discussed below. 

Rule 3a–4 (17 CFR 270.3a–4) under 

the Investment Company Act of 1940 

(15 U.S.C. 80a) (‘‘Investment Company 

Act’’ or ‘‘Act’’) provides a nonexclusive 

safe harbor from the definition of 

investment company under the Act for 

certain investment advisory programs. 

These programs, which include ‘‘wrap 

fee’’ programs, generally are designed to 

provide professional portfolio 

management services on a discretionary 

basis to clients who are investing less 

than the minimum investments for 

individual accounts usually required by 

the investment adviser but more than 

the minimum account size of most 

mutual funds. Under wrap fee and 

similar programs, a client’s account is 

typically managed on a discretionary 

basis according to pre-selected 

investment objectives. Clients with 

similar investment objectives often 

receive the same investment advice and 

may hold the same or substantially 

similar securities in their accounts. 

Because of this similarity of 

management, some of these investment 

advisory programs may meet the 

definition of investment company under 

the Act. 

In 1997, the Commission adopted rule 

3a–4, which clarifies that programs 

organized and operated in accordance 

with the rule are not required to register 

under the Investment Company Act or 

comply with the Act’s requirements.1

These programs differ from investment 

companies because, among other things, 

they provide individualized investment 

advice to the client. The rule’s 

provisions have the effect of ensuring 

that clients in a program relying on the 

rule receive advice tailored to the 

client’s needs. 

For a program to be eligible for the 

rule’s safe harbor, each client’s account 

must be managed on the basis of the 

client’s financial situation and 

investment objectives and in accordance 

with any reasonable restrictions the 

client imposes on managing the 

account. When an account is opened, 

the sponsor 2 (or its designee) must 

obtain information from each client 

regarding the client’s financial situation 

and investment objectives, and must 

allow the client an opportunity to 

impose reasonable restrictions on 

managing the account.3 In addition, the 

sponsor (or its designee) must contact 

the client annually to determine 

whether the client’s financial situation 

or investment objectives have changed 

and whether the client wishes to impose 

any reasonable restrictions on the 

management of the account or 

reasonably modify existing restrictions. 

The sponsor (or its designee) must also 

notify the client quarterly, in writing, to 

contact the sponsor (or its designee) 

regarding changes to the client’s 

financial situation, investment 

objectives, or restrictions on the 

account’s management. 

Additionally, the sponsor (or its 

designee) must provide each client with 

a quarterly statement describing all 

activity in the client’s account during 

the previous quarter. The sponsor and 

personnel of the client’s account 

manager who know about the client’s 

account and its management must be 

reasonably available to consult with the 

client. Each client also must retain 

certain indicia of ownership of all 

securities and funds in the account. 

The Commission staff estimates that 

27,979,460 clients participate each year 

in investment advisory programs relying 

on rule 3a–4.4 Of that number, the staff 


lotter on DSK11XQN23PROD with NOTICES1