Federal Register / Vol. 87, No. 18 / Thursday, January 27, 2022 / Notices 4307 

29Applicants are not requesting and the 

Commission is not providing any relief for 

transaction fees received in connection with any 

Co-Investment Transaction. 

continued participation in new and 

existing Co-Investment Transactions is 

in the Regulated Fund’s best interests. 

11. Record Keeping. Each Regulated 

Fund will maintain the records required 

by section 57(f)(3) of the Act as if each 

of the Regulated Funds were a BDC and 

each of the investments permitted under 

these Conditions were approved by the 

Required Majority under section 57(f). 

12. Director Independence. No 

Independent Director of a Regulated 

Fund will also be a director, general 

partner, managing member or principal, 

or otherwise be an ‘‘affiliated person’’ 

(as defined in the Act) of any Affiliated 

Fund. 

13. Expenses. The expenses, if any, 

associated with acquiring, holding or 

disposing of any securities acquired in 

a Co-Investment Transaction (including, 

without limitation, the expenses of the 

distribution of any such securities 

registered for sale under the Securities 

Act) will, to the extent not payable by 

the Advisers under their respective 

advisory agreements with the Regulated 

Funds and the Affiliated Funds, be 

shared by the Regulated Funds and the 

participating Affiliated Funds in 

proportion to the relative amounts of the 

securities held or being acquired or 

disposed of, as the case may be. 

14. Transaction Fees.29 Any 

transaction fee (including break-up, 

structuring, monitoring or commitment 

fees but excluding brokerage or 

underwriting compensation permitted 

by section 17(e) or 57(k)) received in 

connection with any Co-Investment 

Transaction will be distributed to the 

participants on a pro rata basis based on 

the amounts they invested or 

committed, as the case may be, in such 

Co-Investment Transaction. If any 

transaction fee is to be held by an 

Adviser pending consummation of the 

transaction, the fee will be deposited 

into an account maintained by an 

Adviser at a bank or banks having the 

qualifications prescribed in section 

26(a)(1), and the account will earn a 

competitive rate of interest that will also 

be divided pro rata among the 

participants. None of the Adviser, the 

Affiliated Funds, the other Regulated 

Funds or any affiliated person of the 

Affiliated Funds or the Regulated Funds 

will receive any additional 

compensation or remuneration of any 

kind as a result of or in connection with 

a Co-Investment Transaction other than 

(i) in the case of the Regulated Funds 

and the Affiliated Funds, the pro rata 

transaction fees described above and 

fees or other compensation described in 

Condition 2(c)(iii)(B)(z), (ii) brokerage or 

underwriting compensation permitted 

by section 17(e) or 57(k) or (iii) in the 

case of the Adviser, investment advisory 

compensation paid in accordance with 

investment advisory agreements 

between the applicable Regulated 

Fund(s) or Affiliated Fund(s) and its 

Adviser. 

15. Independence. If the Holders own 

in the aggregate more than 25 percent of 

the Shares of a Regulated Fund, then the 

Holders will vote such Shares in the 

same percentages as the Regulated 

Fund’s other shareholders (not 

including the Holders) when voting on 

(1) the election of directors; (2) the 

removal of one or more directors; or (3) 

any other matter under either the Act or 

applicable State law affecting the 

Board’s composition, size or manner of 

election. 

For the Commission, by the Division of 

Investment Management, under delegated 

authority. 

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–01545 Filed 1–26–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–015, OMB Control No. 

3235–0021] 

Proposed Collection; 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 6a–3 

Notice is hereby given that pursuant 

to the Paperwork Reduction Act of 1995 

(‘‘PRA’’) (44 U.S.C. 3501 et seq.), the 

Securities and Exchange Commission 

(‘‘Commission’’) is soliciting comments 

on the existing collection of information 

provided for in Rule 6a–3 (17 CFR 

240.6a–3) under the Securities Exchange 

Act of 1934 (15 U.S.C. 78a et seq.) 

(‘‘Act’’). The Commission plans to 

submit this existing collection of 

information to the Office of 

Management and Budget (‘‘OMB’’) for 

extension and approval. 

Section 6 of the Act sets out a 

framework for the registration and 

regulation of national securities 

exchanges. Under Rule 6a–3, one of the 

rules that implements Section 6, a 

national securities exchange (or an 

exchange exempted from registration as 

a national securities exchange based on 

limited trading volume) must provide 

certain supplemental information to the 

Commission, including any material 

(including notices, circulars, bulletins, 

lists, and periodicals) issued or made 

generally available to members of, or 

participants or subscribers to, the 

exchange. Rule 6a–3 also requires the 

exchanges to file monthly reports that 

set forth the volume and aggregate 

dollar amount of certain securities sold 

on the exchange each month. 

The information required to be filed 

with the Commission pursuant to Rule 

6a–3 is designed to enable the 

Commission to carry out its statutorily 

mandated oversight functions and to 

ensure that registered and exempt 

exchanges continue to be in compliance 

with the Act. 

The Commission estimates that each 

respondent makes approximately 12 

such filings on an annual basis. Each 

response takes approximately 0.5 hours. 

In addition, respondents incur shipping 

costs of approximately $20 per 

submission. Currently, 24 respondents 

(24 national securities exchanges) are 

subject to the collection of information 

requirements of Rule 6a–3. The 

Commission estimates that the total 

burden for all respondents is 144 hours 

and $5,760 per year. 

Written comments are invited on: (a) 

Whether the proposed collection of 

information is necessary for the proper 

performance of the functions of the 

Commission, including whether the 

information shall have practical utility; 

(b) the accuracy of the Commission’s 

estimates of the burden of the proposed 

collection of information; (c) ways to 

enhance the quality, utility, and clarity 

of the information collected; and (d) 

ways to minimize the burden of the 

collection of information on 

respondents, including through the use 

of automated collection techniques or 

other forms of information technology. 

Consideration will be given to 

comments and suggestions submitted in 

writing within 60 days of this 

publication. 

An agency may not conduct or 

sponsor, and a person is not required to 

respond to, a collection of information 

under the PRA unless it displays a 

currently valid OMB control number. 

Please direct your written comments 

to: David Bottom, Director/Chief 

Information Officer, Securities and 

Exchange Commission, c/o John 

Pezzullo, 100 F Street NE, Washington, 

DC 20549, or send an email to: PRA_

Mailbox@sec.gov. 


lotter on DSK11XQN23PROD with NOTICES1
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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