97678 Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 100877 

(Aug. 29, 2024), 89 FR 72524. The Commission has 

not received any comments. 

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

5See Securities Exchange Act Release No. 

101360, 89 FR 84406 (Oct. 22, 2024). The 

Commission designated December 4, 2024, as the 

date by which the Commission shall approve or 

disapprove, or institute proceedings to determine 

whether to disapprove, the proposed rule change. 

6The full text of Amendment No. 1 is available 

on the Commission’s website at: https://

www.sec.gov/comments/sr-nysearca-2024-70/ 

srnysearca202470.htm. 

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

8Commodity-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. 

9On May 12, 2023, the Trust filed with the 

Commission a registration statement on Form S–1, 

as amended on January 16, 2024 and April 4, 2024 

(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. 

10 15 U.S.C. 80a–1. 

11 17 U.S.C. 1. 

12The Cash Custodian is responsible for holding 

the Trust’s cash as well as receiving and dispensing 

cash on behalf of the Trust. Deposits of cash held 

by the Cash Custodian will be used in connection 

with the purchase of an applicable amount of EUAs 

for creations and redemptions of Creation Units and 

in connection with the payment of Trust expenses. 

13The 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 9, supra. 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–101806; File No. SR– 

NYSEARCA–2024–70] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of 

Amendment No. 1 and Order Instituting 

Proceedings To Determine Whether To 

Approve or Disapprove a Proposed 

Rule Change, as Modified by 

Amendment No. 1, 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) 

December 3, 2024. 

I. Introduction 

On August 19, 2024, 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 of the 

COtwo Advisors Physical European 

Carbon Allowance Trust. The proposed 

rule change was published for comment 

in the Federal Register on September 5, 

2024.3

On October 16, 2024, 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 disapprove the 

proposed rule change.5 On November 

22, 2024, the Exchange filed 

Amendment No. 1 to the proposed rule 

change, described in Item II below, 

which Item has been prepared by the 

Exchange.6

The Commission is publishing this 

notice and order to solicit comments on 

the proposed rule change, as modified 

by Amendment No. 1, from interested 

persons and to institute proceedings 

pursuant to Section 19(b)(2)(B) of the 

Act 7 to determine whether to approve 

or disapprove the proposed rule change, 

as modified by Amendment No. 1. 

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.8

The Trust was formed as a Delaware 

statutory trust on January 12, 2023.9 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,10 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.11

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’’).12

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 13

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 

cash. The Trust may purchase or sell 

EUAs in connection with the creation or 

redemption of Shares by Authorized 

Participants (as defined below). In 

addition to selling EUAs to distribute 

cash to Authorized Participants 

redeeming Shares, the Trust may sell 

EUAs to pay the Sponsor’s annual fee. 

All EUAs will be held in the Union 

Registry (defined below). 

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. 

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 


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 97679 

14There 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. 

15The 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. 

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.14 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 

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’’) 15 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, 

regardless of whether the EUAs are 

acquired through transactions on an 

exchange or in over-the-counter 

(‘‘OTC’’) transactions. 

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. 


ddrumheller on DSK120RN23PROD with NOTICES1
97680 Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 

16 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. EEX is 

also recognized by the CFTC as an authorized 

Foreign Board of Trade. See https://www.cftc.gov/ 

sites/default/files/filings/documents/2019/orgeex

registrationorder11519.pdf. 

17 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%20

for%20Consumers,energy%20

industry%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. 

18See esma70-445-38_final_report_on_emission_

allowances_and_associated_derivatives.pdf 

(europa.eu). 

19See https://ec.europa.eu/clima/ets/. 

20Carbon 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. 

21See ‘‘ESMA Market Report: EU carbon markets 

2024’’ (October 2024): available at https://

www.esma.europa.eu/sites/default/files/2024-10/

ESMA50-43599798-10379_Carbon_markets_report_

2024.pdf. 

22The EUA on-exchange secondary market in 

2023 included 7.6 billion EUAs traded through 

EUA Futures (as defined below), 1.7 billion EUAs 

traded through options of EUA Futures, and 30 

million EUAs traded through other instruments, 

including spot EUAs. Id. 

23 Id. 

(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 instruments 

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 EUAs are traded 

exclusively on the European Energy 

Exchange AG (‘‘EEX’’),16 and futures 

contracts and options on futures 

contracts are traded on EEX, ICE Endex 

Markets B.V. (‘‘ICE Endex’’) 17 and 

Nasdaq Oslo, although the latter’s 

market share is marginal. 

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 under the EU 

ETS.18 According to the European 

Union Transaction Log, there are over 

18,773 registry accounts.19 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 2021.20 In an October 2024 

publication, the European Securities 

Markets Authority (‘‘ESMA’’) estimated 

that approximately 10.75 billion EUAs 

were traded across all markets in 2023, 

amounting to approximately Ö764.1 

billion.21 Out of the total EUA market, 

approximately 523 million EUAs 

(amounting to Ö43.6 billion) were 

attributable to the EUA primary 

(auction) market, 9.3 billion EUAs (Ö648 

billion) were attributable to the EUA onexchange secondary market,22 and 900 

million EUAs (Ö72.5 billion) were 

attributable to OTC transactions. In this 

context, the ‘‘on-exchange secondary 

market’’ includes (1) the EEX spot EUA 

market, (2) the Daily EUA Futures 

market, (3) the markets for other EUA 

futures contracts (together with Daily 

EUA Futures, ‘‘EUA Futures’’), and (4) 

options contracts on EUA Futures. Data 

regarding each of the trading of each of 

these instruments is provided below. 

During 2023, approximately 99% of onexchange secondary market transactions 

in EUAs, representing 81% of total 

trading volumes, occurred through 

futures contracts.23


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 97681 

24See esma70-445-38_final_report_on_emission_

allowances_and_associated_derivatives.pdf 

(europa.eu). 

25The 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. 

26All references to the ‘‘Daily EUA Future’’ refer 

to the single day EUA futures contract traded on 

ICE Endex. NASDAQ Oslo also offers a single day 

futures contract on EUAs, but the contract is not 

traded. 

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 publiclyaccessible websites, including the 

European Commission’s primary 

website. For the year-to-date period 

ended September 30, 2024, the year 

ended December 31, 2023 and year 

ended December 31, 2022, the number 

of EUAs auctioned off on the EEX was 

453,034,000, 523,307,500 and 

491,194,000, respectively. The auctions 

cleared at an average discount to the 

current EUA on-exchange secondary 

market price of Ö0.04, Ö0.08 and Ö0.11, 

respectively, for the same time periods, 

based on the prevailing best bid and 

offer for EUA instruments with daily 

expiry (as discussed below) at the time 

the auction clears. These narrowing 

discounts as the auction volumes 

increase is indicative of a maturing 

marketplace that can provide accurate 

price discovery. 

Below is a discussion of the 

secondary markets for EUAs and 

associated derivatives. The Trust will 

only hold EUAs and possibly cash, and 

will not hold any of the EUA 

derivatives. 

Exchange-Traded Instruments With a 

Daily Expiry 

Exchange-traded instruments with 

daily expiry traded on an exchange 

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, 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.24

Secondary Spot EUA Market 

As noted above, exchange-traded spot 

EUAs are traded exclusively on the EEX. 

The current value (spot price) for an 

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 twelve-month period ended 

September 30, 2024, the average daily, 

monthly and annual trading volumes of 

spot EUAs on the EEX was 146, 2,917 

and 35,009 round lots of 1000 EUAs, 

respectively. Over the same period, spot 

EUAs traded in the secondary market on 

EEX at their highest volume of 5,010 

round lots of EUAs on December 1, 

2023, and their lowest volume of 0 

EUAs on five different occasions. The 

EEX calculates and publishes each 

trading day an index (the ‘‘EUA End of 

Day Index’’) reflecting the end of day 

price of EUAs traded in the secondary 

market on EEX.25

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.26 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 physical 

delivery of EUAs upon the expiration of 

the contract at the end of each trading 

day. Settlement of the Daily EUA Future 

does not occur through cash 

transactions. 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 settlement of the requisite number 

of EUAs versus cash occurs the first 

business day following the expiry day 

(T+1). In the twelve-month period 

ended September 30, 2024, the average 

daily, monthly and annual trading 

volumes of Daily EUA Futures was 

approximately 3,829, 78,189 and 

938,279, respectively, which represents 

trading volumes of 3,829,000, 

78,189,000 and 938,279,000 EUAs, 

respectively. Over the same period, 

Daily EUA Futures traded at their 

highest volume of 27,749 on April 17, 

2024, representing 27,749,000 EUAs, 

and their lowest volume of 174 on July 

26, 2024, representing 174,000 EUAs. 

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. The comparison below shows a 

99.8% correlation between the 

movements of the two values over the 

five years from May 23, 2019 through 

May 23, 2024. 


ddrumheller on DSK120RN23PROD with NOTICES1
97682 Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 

27For 2023, Nasdaq Oslo reported only 64 

transactions in EUA Futures, for a total volume of 

417 EUA Futures contracts. See https://

www.nasdaq.com/path-file/11506. 

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 prices of EUAs on the EEX 

and the Daily EUA Futures on ICE 

Endex, in EUR/tCO2 from January 2018 

to January 2022. No major differences 

can be observed, with an average 

absolute difference of Ö0.015 between 

the daily settlement prices for EUAs on 

the EEX and ICE Endex. 

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 quarterly futures 

contracts over a rolling six year period. 

There is only de minimis trading 

volume in EUA Futures on Nasdaq 

Oslo.27 The EUA Futures are fungible, 

meaning any EUA Futures contract 

acquired on one exchange can be sold 

on the other exchange. 

During 2023, approximately 7.6 

billion EUAs, amounting to Ö643 

billion, were traded through EUA 

Futures (including the Daily EUA 

Future). The trading volumes of the 

EUA Futures, including Daily EUA 

Futures, with expiration dates through 


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0 . Jair-18 Jan-19 Jut--19 Jan-20 Jan-2i 

(https://www. esma. europa. eu/sites/ default/files/library/ esma7 0-445-

38 _final _report_ on_ emission_ allowances_ and_ associated_ derivatives.pd/ :p3 7) 
Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 97683 

28See 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). 

29See 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 

‘‘Winklevoss Order’’). 

30See Amendment to Rule Filing Requirements 

for Self-Regulatory Organizations Regarding New 

Derivative Securities Products, Securities Exchange 

Act Release No. 40761 (Dec. 8, 1998), 63 FR 70952, 

70959 (Dec. 22, 1998). 

31 Id. See also Winklevoss Order, 83 FR 37594. 

the end of 2026 on EEX and ICE Endex 

for the period from January 1, 2024, 

through September 30, 2024, were as 

follows: 

YEAR-TO-DATE TRADING VOLUMES, JANUARY 1, 2024—SEPTEMBER 30, 2024 

EEX (in round lots 

of 1,000 EUAs) 

ICE Endex (in 

round lots of 1,000 

EUAs) 

Spot EUAs/Daily EUA Future ..................................................................................................................... 22,239 (Spot) ....... 741,416 (Daily 

EUA Futures). 

October 2024 EUA Future .......................................................................................................................... .............................. 38,816. 

November 2024 EUA Future ...................................................................................................................... .............................. 4. 

December 2024 EUA Future ...................................................................................................................... 222,168 ................ 5,482,537. 

March 2025 EUA Future ............................................................................................................................ 1,228 .................... 57,386. 

June 2025 EUA Future ............................................................................................................................... 2 ........................... 5,535. 

August 2025 EUA Future ........................................................................................................................... .............................. 17,471. 

September 2025 EUA Future ..................................................................................................................... 602 ....................... 25,726. 

December 2025 EUA Future ...................................................................................................................... 55,075 .................. 558,240. 

March 2026 EUA Future ............................................................................................................................ .............................. 14,348. 

June 2026 EUA Future.

August 2026 EUA Future ........................................................................................................................... .............................. 5,873. 

September 2026 EUA Future.

December 2026 EUA Future ...................................................................................................................... 7,027 .................... 120,807. 

Total ..................................................................................................................................................... 308,341 ................ 7,068,159. 

Options on EUA Futures Contracts 

Options on EUA futures contracts are 

also traded on EEX and ICE Endex for 

many of the available EUA Futures. In 

2023, approximately 1.7 billion EUAs, 

amounting to Ö900 million, were traded 

through options on EUA Futures. The 

options on EUA Futures, like the EUA 

Futures, are fungible and can be traded 

on any of the participating exchanges, 

regardless of the exchange on which a 

particular contract is acquired. 

Section 6(b)(5) and the Applicable 

Standards 

The Commission has approved 

numerous Commodity-Based Trust 

Shares, to be listed on U.S. national 

securities exchanges. In order for any 

proposed rule change from an exchange 

to be approved, the Commission must 

determine that, among other things, the 

proposal is consistent with the 

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

Act, specifically including: (i) the 

requirement that a national securities 

exchange’s rules are designed to prevent 

fraudulent and manipulative acts and 

practices; and (ii) the requirement that 

an exchange proposal be designed, in 

general, to protect investors and the 

public interest. The Exchange believes 

that this proposal is consistent with the 

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

Act and that this filing sufficiently 

demonstrates that ICE Endex is a 

regulated market of significant size for 

trading EUAs. 

Designed To Prevent Fraudulent and 

Manipulative Acts and Practices 

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 because (1) the 

Exchange has entered into a 

comprehensive surveillance-sharing 

agreement (‘‘CSSA’’) with ICE Endex, a 

regulated market of ‘‘significant size’’ 

and (2) there are sufficient ‘‘other means 

to prevent fraudulent and manipulative 

acts and practices.’’ 

Comprehensive Surveillance-Sharing 

Agreement 

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 CSSA with a 

regulated ‘‘market of significant size’’ 

relating to the underlying assets.28 With 

respect to the Trust, the underlying 

assets are EUAs. The relevant analysis, 

therefore, is whether the Exchange has 

a CSSA with a regulated market of 

significant size related to EUAs. 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.’ ’’ 29

The Commission has emphasized that 

it is essential for an exchange listing a 

derivative securities product to enter 

into a surveillance-sharing agreement 

with markets trading the underlying 

assets for the listing exchange to have 

the ability to obtain information 

necessary to detect, investigate, and 

deter fraud and market manipulation, as 

well as violations of exchange rules and 

applicable federal securities laws and 

rules.30 Comprehensive surveillancesharing agreements ‘‘provide a 

necessary deterrent to manipulation 

because they facilitate the availability of 

information needed to fully investigate 

a manipulation if it were to occur.’’ 31

The hallmarks of a surveillance-sharing 

agreement are that the agreement 

provides for the sharing of information 

about market trading activity, clearing 

activity, and customer identity; that the 

parties to the agreement have reasonable 


ddrumheller on DSK120RN23PROD with NOTICES1
97684 Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 

32See Winklevoss Order, 83 FR 37592–93 

(discussing Letter from Brandon Becker, Director, 

Division of Market Regulation, Commission, to 

Gerard D. O’Connell, Chairman, Intermarket 

Surveillance Group (June 3, 1994), available at 

https://www.sec.gov/divisions/marketreg/mrnoaction/isg060394.htm). 

33See supra, note 17. 

34See Winklevoss Order, 83 FR 37594. 

35 Id. 

36See esma70-445-38_final_report_on_emission_

allowances_and_associated_derivatives.pdf 

(europa.eu). 

37The 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 surveillancesharing 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 

ability to obtain access to and produce 

requested information; and that no 

existing rules, laws, or practices would 

impede one party to the agreement from 

obtaining this information from, or 

producing it to, the other party.32

The ICE Endex Futures Market is a 

Regulated Market 

As discussed more below, ICE Endex 

is subject to the EU regulatory 

framework for EUAs and EUA 

derivatives.33 The EU regulatory 

framework includes the Markets in 

Financial Instruments Directive and 

Regulation (‘‘MiFID II’’ and ‘‘MiFIR’’), 

the Market Abuse Regulation (‘‘MAR’’) 

and the European Market Infrastructure 

Regulation (‘‘EMIR’’). MiFID II and 

MiFIR together is a framework 

governing investment firms, trading 

venues, data reporting service providers 

and non-EU investment firms that 

provide investment services in the EU. 

The MAR prohibits insider dealing, 

unlawful disclosure of inside 

information and market manipulation 

and provides broad powers to the 

national competent authorities 

(‘‘NCAs’’) for detection and prosecution 

of violations. EMIR regulates OTC 

derivatives transactions, central 

counterparties and trade repositories. It 

is critical for ICE Endex to maintain fair 

and orderly markets. A fair and orderly 

market is necessary to maintain a level 

playing field for trading participants, to 

attract new participants, and to attract 

trading activity. ICE Endex has an 

extensive framework in place to 

facilitate the existence of such fair and 

orderly markets, including the 

performance of market surveillance 

activities that allow for the monitoring 

of market activity, including intra-day 

activity, and the detection of irregular 

trading behavior that could negatively 

impact the integrity of ICE Endex or 

constitute breaches of statutory law or 

regulations in the form of market abuse 

by market participants. 

The ICE Endex Futures Market is a 

Market of Significant Size 

In the Winklevoss Order, the 

Commission stated that the term 

‘‘significant market’’ or ‘‘market of 

significant size’’ includes a market (or 

group of markets) as to which (1) there 

is a reasonable likelihood that a person 

attempting to manipulate the Trust 

would also have to trade on that market 

to successfully manipulate the Trust, so 

that a surveillance-sharing agreement 

would assist in detecting and deterring 

misconduct, and (2) it is unlikely that 

trading in the Trust would be the 

predominant influence on prices in that 

market.34 The Commission explained 

that this definition is illustrative and 

not exclusive, and that there could be 

other types of ‘‘significant markets’’ and 

‘‘markets of significant size.’’ 35

Any Manipulator Would Have To Trade 

on ICE Endex 

The first prong of the analysis 

addresses whether the surveillancesharing agreement on which the fund’s 

listing exchange proposes to rely would 

assist in detecting and deterring 

fraudulent or manipulative misconduct 

related to the assets held by the fund. In 

the present proposal, the Trust’s only 

non-cash holdings will be EUAs. The 

predominant market for trading EUA 

instruments with daily expiry is the ICE 

Endex Daily EUA Futures market, with 

de minimis secondary market trading 

taking place on EEX or over-the-counter. 

The EEX’s primary role in the EUA 

ecosystem is to serve as the venue for 

the daily auctions of EUAs. 

The regulated market of significant 

size test does not require that the spot 

EUA market be subject to direct 

surveillance by the Exchange in order 

for the Commission to approve this 

proposal, and precedent makes clear 

that an underlying market for a spot 

commodity or currency being a 

surveilled market would actually be an 

exception to the norm. These largely unsurveilled currency and commodity 

markets do not provide the same 

protections as the markets that are 

subject to the Commission’s oversight, 

but the Commission has consistently 

looked to surveillance sharing 

agreements with the underlying futures 

market in order to determine whether 

such products were consistent with the 

Act. With this in mind, the ICE Endex 

EUA Futures market is an appropriate 

market to consider in determining 

whether there is a related regulated 

market of significant size. 

ICE Endex is the only market for 

trading Daily EUA Futures and, as noted 

above, for the twelve-months ended 

September 30, 2024, the average daily 

trading volume of Daily EUA Futures on 

the ICE Endex was 3,829 contracts, 

representing 3,829,000 EUAs, whereas 

the average daily trading volume on the 

EEX was 146 round lots, representing 

146,000 EUAs. Therefore, over that one 

year period, over 96% of all onexchange secondary market trading of 

EUA spot instruments with daily expiry 

(which, as described above, includes 

spot EUAs and Daily EUA Futures) 

occurred on the ICE Endex. With respect 

to EUAs and EUA based derivatives 

more broadly, the chart above shows 

that, year-to-date through September 30, 

2024, approximately 96% of all trades 

in EUAs and EUA Futures dated 

through December 2026 occurred on ICE 

Endex.36

Given the size of the ICE Endex 

futures markets, especially the Daily 

EUA Futures market, the Sponsor 

believes such markets meet the 

Commission’s definition of ‘‘significant 

market’’ because there is a reasonable 

likelihood that a person attempting to 

manipulate the Trust would also have to 

trade on that market to successfully 

manipulate the Trust, since arbitrage 

between the derivative and spot markets 

would tend to counter an attempt to 

manipulate the spot market alone. Of 

the 256 members of ICE Endex, 151 are 

also members of EEX. Each of these 

exchange members acts on behalf of 

their clients, each member in common 

between the exchanges represents 

potentially hundreds of accounts that 

can and do act on both markets to effect 

arbitrage transactions. Therefore, a 

sufficient number of arbitrageurs have 

access to both the EEX and ICE Endex 

such that any attempt to manipulate one 

market that causes a difference between 

the EUA spot price and the Daily EUA 

Futures price will quickly be exploited. 

This will serve to maintain the EUA 

price correlation between EEX and ICE 

Endex. Any attempt to manipulate the 

spot EUA market alone would be 

impossible because arbitrage would 

correct any movements in the spot 

market to bring the prices of spot EUAs 

back in line with the settlement price of 

the Daily EUA Future. Therefore, any 

person attempting to manipulate the 

Trust Shares would also have to trade in 

the Daily EUA Futures market (ICE 

Endex) to manipulate the spot and 

futures markets in tandem.37


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 97685 

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.’’) 

Similarly, it is impossible to 

manipulate the prices of EUAs by 

trading the other EUA based derivatives 

on the EEX alone. With respect to EUA 

Futures other than the Daily EUA 

Future, the size and predominance of 

ICE Endex would make it impossible to 

manipulate the price of EUAs through 

trading EUA Futures on the EEX alone. 

The fungibility of EUA Futures and the 

significant overlap in exchange 

membership would cause arbitrage 

activity to bring the settlement prices of 

EUA Futures traded on EEX in line with 

the settlement price of EUA Futures 

traded on ICE Endex. In addition, 

because the options on EUA Futures 

reference EUA Futures, the prices of 

EUA Futures would reflect any attempt 

by a would-be manipulator to 

manipulate the price of the Fund’s 

Shares through the use of options. 

Therefore, any would-be manipulator 

would have to manipulate the prices of 

EUA Futures Contracts in order to 

manipulate the price of the Fund’s 

Shares, and the size of predominance of 

the ICE Endex would require that 

would-be manipulator to trade on ICE 

Endex. 

The Trust Is Unlikely To Be the 

Predominant Influence on Price 

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 (meaning the Daily EUA 

Futures market, in effect). In 2023, the 

total EUA market size was 

approximately Ö764.1 billion with 

approximately Ö67.1 billion of that 

attributable to the Daily EUA Futures 

market and Ö3.4 billion attributable to 

spot EUAs. The daily average trading 

volume in 2023 for EUAs across the onexchange secondary market was 

approximately Ö2.6 billion, with 

approximately Ö266.3 million 

attributable to trading in the Daily EUA 

Futures market and Ö13.5 million 

attributable to trading in spot EUAs. 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 or that investors 

would be able to trade Trust Shares at 

such a volume as to influence Daily 

EUA Futures prices on ICE Endex. 

Additionally, the trading hours for the 

ICE Endex (i.e., EUA Futures market) 

are approximately 2:00 a.m. E.T. to 

approximately 12:00 p.m. E.T. The 

majority of this time period (7.5 hours) 

is outside of the Trust’s trading hours of 

9:30 a.m. E.T. to 4:00 p.m. E.T. As such, 

it is unlikely that trading in the Trust’s 

Shares would be the primary influencer 

of the EUA Futures prices traded on ICE 

Endex, because the ICE Endex is 

actively traded for 7.5 hours during 

which the Trust Shares cannot be 

traded. 

Other Means To Prevent Fraudulent and 

Manipulative Acts and Practices 

The Exchange has a CSSA With the 

Market on Which the Trust’s Sole Asset 

Trades 

In the present proposal, the Trust’s 

only non-cash holdings will be EUAs. 

Moreover, the proposed ‘‘significant’’ 

regulated market (i.e., the ICE Endex) 

with which the listing exchange has a 

surveillance-sharing agreement is the 

principal market on which these assets 

trade. 

The Daily EUA Futures market 

functions as the ‘‘spot’’ market for 

EUAs. The purchase and sale of Daily 

EUA Futures is the functional and 

economic equivalent of transactions in 

spot EUAs. The settlement, 

functionality and economic outcome for 

a spot purchase on the EEX and a Daily 

EUA Future purchase on the ICE Endex 

are identical. Because the Daily EUA 

Future is physically settled through the 

delivery of one lot of EUAs to the 

purchaser of the Daily EUA Future, 

whether the Trust acquires an EUA 

through a transaction on the EEX or 

through the acquisition of a Daily EUA 

Future on ICE Endex, the Trust will 

acquire the same EUA on a T+1 basis. 

It is not possible for an acquirer to roll 

a same day futures contract to a later 

dated future, as each day it would 

expire and the market participant would 

end up holding physical EUAs. 

Therefore, the Daily EUA Futures 

market functions as a spot market. 

The EEX’s primary role in the EUA 

ecosystem is to serve as the venue for 

the daily auctions of EUAs. The 

predominant market for trading EUA 

instruments with daily expiry is the ICE 

Endex Daily EUA Futures market, with 

de minimis secondary market trading 

taking place on EEX or in the OTC 

market. As noted above, for the twelvemonth period ended September 30, 

2024, the average daily trading volume 

of Daily EUA Futures on ICE Endex was 

approximately 3,829 contracts, 

representing 3,829,000 EUAs, whereas 

the average daily trading volume of spot 

EUAs on the EEX was 146 lots, 

representing 146,000 EUAs. Therefore, 

over that one year period, 

approximately 96% of all secondary 

market trading of EUA spot instruments 

with daily expiry occurred on the ICE 

Endex. Therefore, because a Daily EUA 

Future is functionally identical to a 

physical EUA, and the ICE Endex serves 

as the predominant market for the 

trading of ‘‘spot’’ EUAs, the Exchange’s 

CSSA with ICE Endex will serve to 

detect and deter fraudulent and 

manipulative acts and practices in the 

EUA market. 


ddrumheller on DSK120RN23PROD with NOTICES1
97686 Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 

38Carbon trading in the European Union: An 

economic assessment of market functioning in 

2021, Oxera, p. 26 (February 15, 2022); available at 

https://www.oxera.com/wp-content/uploads/2022/ 

02/Oxera-EU-carbon-trading-report-3.pdf. 

39MiFID II Overview, Practical Law Financial 

Services. 

40See esma70-445-38_final_report_on_emission_

allowances_and_associated_derivatives.pdf 

(europa.eu). 

41Carbon trading in the European Union: An 

economic assessment of market functioning in 

2021, Oxera, p. 61 (February 15, 2022); available at 

https://www.oxera.com/wp-content/uploads/2022/ 

02/Oxera-EU-carbon-trading-report-3.pdf. 

42https://www.esma.europa.eu/about-esma. 

43See esma70-445-38_final_report_on_emission_

allowances_and_associated_derivatives.pdf 

(europa.eu). 

44 Id. 

45Carbon trading in the European Union: An 

economic assessment of market functioning in 

2021, Oxera, p. 26–27 (February 15, 2022); available 

at https://www.oxera.com/wp-content/uploads/ 

2022/02/Oxera-EU-carbon-trading-report-3.pdf. 

EU’s Oversight and Monitoring of EUA 

Markets Serves To Prevent Fraudulent 

and Manipulative Acts and Practices 

In addition to Exchange’s CSSA with 

ICE Endex, there are other mechanisms 

in place to deter and detect misconduct 

across both the EUA spot and 

derivatives markets. Both EEX and ICE 

Endex are subject to the EU regulatory 

framework for EUAs and EUA 

derivatives. The EU regulatory 

framework includes the Markets in 

Financial Instruments Directive and 

Regulation (‘‘MiFID II’’ and ‘‘MiFIR’’), 

the Market Abuse Regulation (‘‘MAR’’) 

and the European Market Infrastructure 

Regulation (‘‘EMIR’’).38 MiFID II and 

MiFIR together is a framework 

governing investment firms, trading 

venues, data reporting service providers 

and non-EU investment firms that 

provide investment services in the EU.39

The MAR prohibits insider dealing, 

unlawful disclosure of inside 

information and market manipulation 

and provides broad powers to the 

national competent authorities 

(‘‘NCAs’’) for detection and prosecution 

of violations.40 EMIR regulates OTC 

derivatives transactions, central 

counterparties and trade repositories.41

ESMA is the EU’s overall financial 

markets regulator that has supervisory 

authority over the NCAs.42 Under the 

EU regulatory framework, there are 

three lines of defense against market 

abuse.43 At the firm level (first line), 

firms are required to have systems and 

procedures in place to ensure that 

abusive trading is detected and reported 

to NCAs. At the market operator, 

investment firm and trading venue level 

(second line), these entities are required 

to identify and report suspicious 

transactions and maintain policies and 

procedures to prevent market abuse. 

Additionally, exchanges such as EEX 

and ICE Endex are required to report 

information to the relevant authorities 

on a daily basis. At the NCA level (third 

line), NCAs have market surveillance 

systems in place to monitor markets and 

identify and investigate suspicious 

transactions. NCAs have broad 

enforcement power and cooperate with 

each other and ESMA to obtain the 

information needed for optimal 

surveillance and in order to prosecute 

violations.44 Exchanges (such as EEX 

and ICE Endex) and governmental 

authorities share information and 

communicate frequently regarding 

monitoring activities.45

While the Exchange is not a 

participant in the EU regulatory 

framework, the Exchange believes that 

the EU’s robust oversight and 

monitoring regime, in addition to the 

Exchange’s CSSA with ICE Endex which 

would allow for the sharing of 

information and thus provide sufficient 

means to prevent fraudulent and 

manipulative acts and practices. 

Designed To Protect Investors and the 

Public Interest 

The Exchange believes that the 

proposal is designed to protect investors 

and the public interest. The Exchange 

believes that the concerns related to the 

prevention of fraudulent and 

manipulative acts and practices have 

been sufficiently addressed for this 

proposal to be consistent with the Act. 

As such, the Exchange believes that 

approving this proposal provides the 

Commission with the opportunity to 

allow U.S. investors to access EUAs in 

a regulated and transparent exchangetraded vehicle that would act to limit 

risk and benefit U.S. investors by: (i) 

reducing premium and discount 

volatility as compared to OTC 

investment vehicles; (ii) increasing 

competitive pressure on management 

fees resulting in fee compression/ 

reductions; (iii) reducing risks and costs 

as compared to those associated with 

investing in EUAs; and (iv) providing an 

alternative to maintaining custody of 

EUAs. 

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 made in 

exchange for the delivery to the Trust or 

the distribution by the Trust of the 

amount of EUAs, or the amount of cash 

sufficient to purchase the amount of 

EUAs, represented by the Creation Units 

being created or redeemed. The amount 

of EUAs or cash 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. 

For a cash creation, an Authorized 

Participant will deliver the cash to the 

Trust’s account at the Cash Custodian, 

which the Sponsor will then use to 

purchase EUAs from a third party 

selected by the Sponsor who (1) is not 

an Authorized Participant and (2) will 

not be acting as an agent, nor at the 

discretion, of the Authorized Participant 

with respect to the delivery of EUAs to 

the Trust (such third party, a ‘‘Liquidity 

Provider’’). For a cash redemption, the 

Sponsor shall arrange for the EUAs 

represented by the Creation Units to be 

sold to a Liquidity Provider selected by 

the Sponsor and the cash proceeds 

distributed from the Trust’s account at 

the Cash Custodian to the Authorized 

Participant in exchange for its Shares. In 

the case of ‘‘in-kind’’ creation or 

redemption orders for Shares, an 

Authorized Participant may deliver or 

direct the delivery of EUAs by third 

parties, or take delivery or direct the 

taking of delivery of EUAs by third 

parties. 

For cash creations, an Authorized 

Participant who places a purchase order 

is responsible for arranging for the 

delivery to the Trust’s account with the 

Cash Custodian of the required cash 

deposit by 2:00 p.m. New York time on 

the first business day following the 


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purchase order date. The Liquidity 

Provider delivers EUAs to the Trust’s 

Union Registry account in exchange for 

the cash purchase price. Upon 

settlement of the EUA purchase from 

the Liquidity Provider into the Trust’s 

Union Registry account, the Trust 

instructs the Transfer Agent to release 

the Shares to the Authorized 

Participant, and the Transfer Agent 

directs DTC to credit the number of 

Shares ordered to the applicable DTC 

account, by close of business on the 

purchase settlement date. 

For in-kind creation orders, an 

Authorized Participant who places a 

purchase order is responsible for 

arranging for the delivery to the Trust’s 

Union Registry account the required 

EUA deposit by 2:00 p.m. New York 

time on the first 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 first business day following the 

order date. 

For cash redemptions, on the 

redemption settlement date, the 

Liquidity Provider delivers cash to the 

Trust’s account with the Cash Custodian 

in exchange for the redemption EUAs 

amount. Upon settlement of the EUA 

sale by the Trust to the Liquidity 

Provider and the receipt of the Liquidity 

Provider’s cash in the Trust’s Cash 

Custodian account, the Trust instructs 

the Transfer Agent to deliver the 

Authorized Participant’s Shares to be 

redeemed back to the Trust, in exchange 

for which the Trust instructs the Cash 

Custodian to transfer the requisite cash 

to the Authorized Participant’s 

designated bank account and the 

redemption order is settled. 

For in-kind redemptions, 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 

Union Registry account of the 

Authorized Participant or its agent. 

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 the Union Registry accounts 

of the Authorized Participants and 

Liquidity Providers, their agents or the 

Sponsor. 

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 the settlement 

price for the Daily EUA Futures 

established by ICE Endex 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 

mid-point of the bid-ask spread of the 

Daily EUA Future. 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 last reported mid-point of 

the bid-ask spread of the Daily EUA 

Future in the immediately preceding 

trading session until the day’s 

settlement price is reported, in which 

case the day’s settlement price will be 

used. 

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 Daily 

EUA Futures 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. 

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 


ddrumheller on DSK120RN23PROD with NOTICES1
97688 Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 

46The 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. 

47With 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). 

48See NYSE Arca Rule 7.12–E. 

49FINRA 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. 

50For a list of the current members of ISG, see 

www.isgportal.org. 

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 46 or the 

midpoint of the national best bid and 

the national best offer (‘‘NBBO’’) as of 

the time the NAV is calculated (‘‘BidAsk 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. 

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 

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 47 under 

the Act, as provided by NYSE Arca Rule 

5.3–E. A minimum of 50,000 Shares will 

be outstanding at the commencement of 

trading on the Exchange. 

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.48

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.49 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. 

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 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 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 50 or with which the Exchange has 

in place a comprehensive surveillance 

sharing agreement. 

Additionally, the Exchange is able to 

obtain information regarding trading in 

the Shares in connection with ETP 

Holders’ proprietary or customer trades 


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 97689 

51Article 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. 52 15 U.S.C. 78f(b)(5). 

which they effect through ETP Holders 

on any relevant market. Additionally, 

under NYSE Arca Rule 8.201–E(g), an 

ETP Holder acting as a registered Market 

Maker in the Shares is required to 

provide the Exchange with information 

relating to its accounts for trading in any 

underlying commodity, related futures 

or options on futures, or any other 

related derivatives. Commentary .04 of 

NYSE Arca Rule 11.3–E requires an ETP 

Holder acting as a registered Market 

Maker, and its affiliates, in the Shares to 

establish, maintain and enforce written 

policies and procedures reasonably 

designed to prevent the misuse of any 

material nonpublic information with 

respect to such products, any 

components of the related products, any 

physical asset or commodity underlying 

the product, applicable currencies, 

underlying indexes, related futures or 

options on futures, and any related 

derivative instruments (including the 

Shares). 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 and that subsidiary 

or affiliate is a member of another 

regulatory organization, the Exchange 

could obtain information regarding the 

activities of such subsidiary or affiliate 

through a surveillance sharing 

agreement with that regulatory 

organization. 

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 

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 fu ̈r 

Finanzdienstleistungsaufsicht (BaFIN) 

in Germany and the Autoriteit 

Financie ̈le Markten (AFM) in the 

Netherlands.51 The Information Bulletin 

will also discuss any relief, if granted, 

by the Commission or the staff from any 

rules under the Act. 

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) 52 that an 

exchange have rules that are designed to 

prevent fraudulent and manipulative 

acts and practices, to promote just and 

equitable principles of trade, to remove 

impediments to, and perfect the 

mechanism of a free and open market 

and, in general, to protect investors and 

the public interest. 

The Exchange believes that the 

proposed rule change is designed to 

prevent fraudulent and manipulative 

acts and practices in that the Shares will 

be listed and traded on the Exchange 

pursuant to the initial and continued 

listing criteria in NYSE Arca Rule 

8.201–E. Further, the Exchange has 

demonstrated that the proposed rule 

change satisfies Section 6(b)(5) of the 

Act by showing that the ICE Endex is a 

regulated market of significant size that 

shares surveillance with the Exchange. 

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. Also, pursuant to NYSE Arca 

Rule 8.201–E(g), the Exchange is able to 

obtain information regarding trading in 

the Shares and the underlying 

commodity through ETP Holders acting 

as registered Market Makers, in 

connection with such ETP Holders’ 

proprietary trades which they effect on 

any relevant market. 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 ICE 

Endex is the principal market for EUAs 

in which the Trust may invest, and that 


ddrumheller on DSK120RN23PROD with NOTICES1
97690 Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 

53See the discussion in the ‘‘Section 6(b)(5) and 

the Applicable Standards’’ section, supra. 54 15 U.S.C. 78s(b)(2)(B). 

55 Id. 

56 15 U.S.C. 78f(b)(5). 

57Section 19(b)(2) of the Act, as amended by the 

Securities Act Amendments of 1975, Pub. L. 94–29 

(June 4, 1975), grants the Commission flexibility to 

determine what type of proceeding—either oral or 

notice and opportunity for written comments—is 

appropriate for consideration of a particular 

proposal by a self-regulatory organization. See 

Securities Act Amendments of 1975, Senate Comm. 

on Banking, Housing & Urban Affairs, S. Rep. No. 

75, 94th Cong., 1st Sess. 30 (1975). 

the Exchange can monitor those EUAs 

through its CSSA with ICE Endex.53

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 will be 

disseminated by on-line subscription 

services or by one or more major market 

data vendors during the NYSE Arca 

Core Trading Session. 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 NYSE Arca is open for 

regular trading and will also 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 realtime 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 

from ICE Endex pursuant to the CSSA 

between the Exchange and ICE Endex. 

In addition, as noted above, investors 

will have ready access to information 

regarding the Trust’s NAV, IFV, and 

quotation and last sale information for 

the Shares. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

Exchange believes the proposed rule 

change will enhance competition by 

accommodating Exchange trading of an 

additional exchange-traded product, 

and the first such product relating to 

physical carbon credits, which will 

enhance competition among market 

participants, to the benefit of investors 

and the marketplace. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Proceedings To Determine Whether 

To Approve or Disapprove SR– 

NYSEARCA–2024–70, as Modified by 

Amendment No. 1, and Grounds for 

Disapproval Under Consideration 

The Commission is instituting 

proceedings pursuant to Section 

19(b)(2)(B) of the Act 54 to determine 

whether the proposed rule change, as 

modified by Amendment No. 1, should 

be approved or disapproved. Institution 

of such proceedings is appropriate at 

this time in view of the legal and policy 

issues raised by the proposed rule 

change, as modified by Amendment No. 

1, as discussed below. Institution of 

proceedings does not indicate that the 

Commission has reached any 

conclusions with respect to any of the 

issues involved. Rather, as described 

below, the Commission seeks and 

encourages interested persons to 

provide comments on the proposed rule 

change, as modified by Amendment 

No. 1. 

Pursuant to Section 19(b)(2)(B) of the 

Act,55 the Commission is providing 

notice of the grounds for disapproval 

under consideration. The Commission is 

instituting proceedings to allow for 

additional analysis of the proposal’s 

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

Act, which requires, among other 

things, that the rules of a national 

securities exchange be ‘‘designed to 

prevent fraudulent and manipulative 

acts and practices, to promote just and 

equitable principles of trade,’’ and ‘‘to 

protect investors and the public 

interest.’’ 56

IV. Procedure: Request for Written 

Comments 

The Commission requests that 

interested persons provide written 

submissions of their views, data, and 

arguments with respect to the issues 

identified above, as well as any other 

concerns they may have with the 

proposal, as modified by Amendment 

No. 1. In particular, the Commission 

invites the written views of interested 

persons concerning whether the 

proposal, as modified by Amendment 

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

or any other provision of the Act, or the 

rules and regulations thereunder. 

Although there do not appear to be any 

issues relevant to approval or 

disapproval that would be facilitated by 

an oral presentation of views, data, and 

arguments, the Commission will 

consider, pursuant to Rule 19b–4, any 

request for an opportunity to make an 

oral presentation.57

Interested persons are invited to 

submit written data, views, and 

arguments regarding whether the 

proposed rule change, as modified by 

Amendment No. 1, should be approved 

or disapproved by December 30, 2024. 

Any person who wishes to file a rebuttal 

to any other person’s submission must 

file that rebuttal by January 13, 2025. 


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 89, No. 236 / Monday, December 9, 2024 / Notices 97691 

58See supra Item II. See also supra note 6. 

59See supra Item II.A.1. 

60See id. 

61See supra note 37 and accompanying text. 

62See supra Item II.A.1. 

63 Id. 

64See supra notes 38–45 and accompanying text. 

65See supra notes 16–17 and accompanying text. 

66See supra note 64. 

67 17 CFR 200.30–3(a)(12) and 17 CFR 200.30– 

3(a)(57). 

The Commission asks that commenters 

address the sufficiency of the 

Exchange’s statements in support of the 

proposal, which are set forth in 

Amendment No. 1,58 in addition to any 

other comments they may wish to 

submit about the proposed rule change. 

In particular, the Commission seeks 

comment on the following questions 

and asks commenters to submit data 

where appropriate to support their 

views: 

1. Given the nature of the underlying 

assets held by the Trust, what are 

commenters’ views on whether the 

proposed Trust and Shares would be 

susceptible to manipulation? What are 

commenters’ views generally on 

whether the Exchange’s proposal is 

designed to prevent fraudulent and 

manipulative acts and practices? What 

are commenters’ views generally with 

respect to the liquidity and transparency 

of the EUA spot and futures markets and 

such markets’ susceptibility to 

manipulation? Are there particular 

features related to the EUA markets and 

the EUA ecosystem that raise unique 

concerns about whether the proposed 

Trust, which would hold EUAs and, 

possibly, a very limited amount of cash, 

would be susceptible to fraud or 

manipulation? 

2. Based on data and analysis 

provided by the Exchange,59 do 

commenters agree with the Exchange 

that ICE Endex, on which EUA Futures 

(including Daily EUA Futures) trade, 

represents a regulated market of 

significant size related to spot EUAs? 60

What are commenters’ views on 

whether there is a reasonable likelihood 

that a person attempting to manipulate 

the Shares would also have to trade on 

ICE Endex to manipulate the Shares? 61

Do commenters agree with the Exchange 

that trading in the Shares would not be 

the predominant influence on prices in 

the Daily EUA Futures market? 62

3. The Exchange further states that the 

‘‘Daily EUA Futures market functions as 

the ‘spot’ market for EUAs’’ and that the 

‘‘purchase and sale of Daily EUA 

Futures is the functional and economic 

equivalent of transactions in spot 

EUAs.’’ 63 What are commenters’ views 

on whether the Daily EUA Futures 

market functions as a spot EUA market? 

What are commenters’ views on the 

extent to which a surveillance sharing 

agreement with ICE Endex would assist 

in detecting and deterring fraud and 

manipulation that impacts an ETP that 

holds spot EUAs, and on whether the 

Exchange’s analysis provides evidence 

to this effect? 

4. In addition to the Exchange’s CSSA 

with ICE Endex, the Exchange asserts 

that there are other mechanisms in place 

to deter and detect misconduct across 

both the EUA spot and derivatives 

markets. Specifically, the Exchange 

states that both EEX and ICE Endex are 

subject to the EU regulatory 

framework 64 and represents that both 

EEX and ICE Endex are recognized by 

the CFTC as authorized Foreign Boards 

of Trade.65 Do commenters agree with 

the Exchange that the EU’s oversight 

and monitoring regime, combined with 

the Exchange’s CSSA with ICE Endex, 

may provide other means to prevent 

fraudulent and manipulative acts and 

practices? 66

Comments may be submitted by any 

of the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (https://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

NYSEARCA–2024–70 on the subject 

line. 

Paper Comments 

• 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–2024–70. 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–2024–70 and should be 

submitted on or before December 30, 

2024. Rebuttal comments should be 

submitted by January 13, 2025. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.67

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–28763 Filed 12–6–24; 8:45 am] 

BILLING CODE 8011–01–P 

SMALL BUSINESS ADMINISTRATION 

[Disaster Declaration #20589 and #20590; 

HAVASUPAI TRIBE Disaster Number AZ– 

20006] 

Presidential Declaration Amendment of 

a Major Disaster for the Havasupai 

Tribe 

AGENCY: U.S. Small Business 

Administration. 

ACTION: Amendment 1. 

SUMMARY: This is an amendment of the 

Presidential declaration of a major 

disaster for the Havasupai Tribe 

(FEMA–4840–DR), dated October 25, 

2024. 

Incident: Flooding. 

DATES: Issued on December 3, 2024. 

Incident Period: August 22, 2024 

through August 23, 2024. 

Physical Loan Application Deadline 

Date: January 17, 2025. 

Economic Injury (EIDL) Loan 

Application Deadline Date: July 25, 

2025. 

ADDRESSES: Visit the MySBA Loan 

Portal at https://lending.sba.gov to 

apply for a disaster assistance loan. 

FOR FURTHER INFORMATION CONTACT: 

Alan Escobar, Office of Disaster 

Recovery & Resilience, U.S. Small 

Business Administration, 409 3rd Street 

SW, Suite 6050, Washington, DC 20416, 

(202) 205–6734. 

SUPPLEMENTARY INFORMATION: The notice 

of the President’s major disaster 

declaration for the Havasupai Tribe, 

dated October 25, 2024, is hereby 


ddrumheller on DSK120RN23PROD with NOTICES1