69936 Federal Register / Vol. 79, No. 226 / Monday, November 24, 2014 / Notices 

71 17 CFR 240.10A–3. 

72 15 U.S.C. 78f(b)(5). 

73 Id. 

74 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 34–72834 

(August 13, 2014), 79 FR 48805 (August 18, 2014) 

(SR–CME–2014–28). 

4Securities Exchange Act Release No. 34–72959 

(September 2, 2014), 79 FR 53234 (September 8, 

2014) (SR–CME–2014–28). On August 18, 2014, 

CME filed Amendment No. 1 to the proposed rule 

change. CME withdrew Amendment No. 1 on 

August 29, 2014. 

5Securities Exchange Act Release No. 34–73283 

(October 1, 2014), 79 FR 60563 (October 7, 2014) 

(SR–CME–2014–28). 

6 17 CFR 200.30–3(a)(12). 

(5) For initial and continued listing, 

the Fund will be in compliance with 

Rule 10A–3 under the Exchange Act,71

as provided by NYSE Arca Equities Rule 

5.3. 

(6) At least 80% of the Fund’s total 

assets (exclusive of collateral held from 

securities lending, if any) will be 

invested in the component securities of 

the Index. The Fund will seek a 

correlation of 0.95 or better between its 

performance and the performance of its 

Index. A figure of 1.00 would represent 

perfect correlation. All options included 

in the Index will be listed and traded on 

a U.S. national securities exchange. 

(7) The Fund’s investments in swaps, 

futures contracts, forward contracts and 

options will be consistent with the 

Fund’s investment objective and with 

the requirements of the 1940 Act. To 

limit the potential risk associated with 

such transactions, the Fund will 

segregate or ‘‘earmark’’ assets 

determined to be liquid by the Adviser 

in accordance with procedures 

established by the Trust’s Board of 

Trustees and in accordance with the 

1940 Act (or, as permitted by applicable 

regulation, enter into certain offsetting 

positions) to cover its obligations arising 

from such transactions. These 

procedures have been adopted 

consistent with Section 18 of the 1940 

Act and related Commission guidance. 

In addition, the Fund will include 

appropriate risk disclosure in its 

offering documents, including 

leveraging risk. Leveraging risk is the 

risk that certain transactions of the 

Fund, including the Fund’s use of 

derivatives, may give rise to leverage, 

causing the Fund to be more volatile 

than if it had not been leveraged. To 

mitigate leveraging risk, the Adviser 

will segregate or ‘‘earmark’’ liquid assets 

or otherwise cover the transactions that 

may give rise to such risk. The Fund 

may not invest in leveraged or inverse 

leveraged (e.g., 2X, ¥2X, 3X, or ¥3X) 

ETFs or options on such ETFs. The 

Fund’s investments will be consistent 

with its investment objective and will 

not be used to provide multiple returns 

of a benchmark or to produce leveraged 

returns. 

(8) The Fund will transact only with 

swap dealers that have in place an ISDA 

agreement with the Fund. Where 

practicable, the Fund intends to invest 

in Cleared Swaps. The Fund will 

attempt to limit counterparty risk in 

non-cleared swap, forward, and OTC 

option contracts by entering into such 

contracts only with counterparties the 

Adviser believes are creditworthy and 

by limiting the Fund’s exposure to each 

counterparty. The Adviser will monitor 

the creditworthiness of each 

counterparty and the Fund’s exposure to 

each counterparty on an ongoing basis. 

The Fund will seek, where possible, to 

use counterparties, as applicable, whose 

financial status is such that the risk of 

default is reduced. The Adviser will 

evaluate the creditworthiness of 

counterparties on an ongoing basis. In 

addition to information provided by 

credit agencies, the Adviser will 

evaluate each approved counterparty 

using various methods of analysis, such 

as, for example, the counterparty’s 

liquidity in the event of default, the 

counterparty’s reputation, the Adviser’s 

past experience with the counterparty, 

and the counterparty’s share of market 

participation. 

(9) The Fund may hold up to an 

aggregate amount of 15% of its net 

assets in illiquid assets (calculated at 

the time of investment) deemed illiquid 

by the Adviser, consistent with 

Commission guidance. 

(10) A minimum of 100,000 Shares for 

the Fund will be outstanding at the 

commencement of trading on the 

Exchange. 

(11) The Fund will include 

appropriate risk disclosure in its 

offering documents, which will be 

available on the Commission’s Web site 

and on the Fund’s Web site, 

www.realityshares.com. 

This approval order is based on all of 

the Exchange’s representations, 

including those set forth above and in 

the Notice, and the Exchange’s 

description of the Fund. 

For the foregoing reasons, the 

Commission finds that the proposed 

rule change, as modified by 

Amendments No. 1 and No. 4 thereto, 

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

Act 72 and the rules and regulations 

thereunder applicable to a national 

securities exchange. 

V. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,73 that the 

proposed rule change (SR–NYSEArca– 

2014–41), as modified by Amendments 

No. 1 and No. 4 thereto, be, and it 

hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.74

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–27707 Filed 11–21–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73627; File No. SR–CME– 

2014–28] 

Self-Regulatory Organizations; 

Chicago Mercantile Exchange Inc.; 

Notice of Withdrawal of Proposed Rule 

Change Related to Enhancements to 

Risk Model for Credit Default Swaps 

November 18, 2014. 

On August 8, 2014, Chicago 

Mercantile Exchange Inc. (‘‘CME’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

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

Exchange Act of 1934 1 and Rule 19b– 

4 thereunder,2 a proposed rule change 

(SR–CME–2014–28) relating to CME’s 

Risk Model for Credit Default Swaps 

(‘‘CDS’’) as it applied only to broadbased index CDS products cleared by 

CME, and would not be applicable to 

security-based swaps. Notice of the 

proposed rule change was published in 

the Federal Register on August 18, 

2014.3 Notice of Amendment No. 2 to 

the proposed rule change was published 

in the Federal Register on September 8, 

2014.4 The Commission did not receive 

comments on the proposal. 

On October 1, 2014, the Commission 

extended the time period in which to 

either approve the proposed rule 

change, disapprove the proposed rule 

change, or institute proceedings to 

determine whether to disapprove the 

proposed rule change to November 16, 

2014.5 On November 14, 2014, CME 

withdrew the proposed rule change 

(SR–CME–2014–28). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.6

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–27705 Filed 11–21–14; 8:45 am] 

BILLING CODE 8011–01–P 


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