Federal Register / Vol. 82, No. 159 / Friday, August 18, 2017 / Notices 39477 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4Commentary .02 to NYSE Arca Equities Rule 

8.200 applies to TIRs that invest in ‘‘Financial 

Instruments.’’ The term ‘‘Financial Instruments,’’ as 

defined in Commentary .02(b)(4) to NYSE Arca 

Equities Rule 8.200, means any combination of 

investments, including cash; securities; options on 

securities and indices; futures contracts; options on 

futures contracts; forward contracts; equity caps, 

collars and floors; and swap agreements. 

5The Trust is registered under the Securities Act 

of 1933. On May 8, 2017, the Trust filed with the 

Commission a registration statement on Form S–1 

under the Securities Act of 1933 (15 U.S.C. 77a) 

(‘‘Securities Act’’) relating to the Funds (File No. 

333–217767) (the ‘‘Registration Statement’’). The 

description of the operation of the Trust and the 

Funds herein is based, in part, on the Registration 

Statement. 

6The Large Cap Benchmark is the price on the 

Chicago Mercantile Exchange (‘‘CME’’) of lead 

month (i.e., near-month or next-to-expire) E-Mini 

S&P 500 Stock Price Index Futures Contracts. 

Specifically, the Benchmark is the last traded price 

of such contracts on the CME prior to the 

calculation of the Fund’s net asset value (‘‘NAV’’), 

which is typically calculated as of 4:00 p.m. each 

day NYSE Arca is open for trading. The S&P 500 

Index is a float-adjusted, market capitalizationweighted index of 500 U.S. operating companies 

and real estate investment trusts selected through 

a process that factors in criteria such as liquidity, 

price, market capitalization and financial viability. 

The CME Group is a member of the Intermarket 

Surveillance Group (‘‘ISG’’). See note 20 [sic], infra. 

7The term ‘‘normal market conditions’’ includes, 

but is not limited to, the absence of trading halts 

in the applicable financial markets generally; 

operational issues (e.g., systems failure) causing 

dissemination of inaccurate market information; or 

force majeure type events such as natural or 

manmade disaster, act of God, armed conflict, act 

of terrorism, riot or labor disruption or any similar 

intervening circumstance. 

8According to the Registration Statement, an ‘‘emini futures contract’’ is an electronically traded 

futures contract that provides similar exposure, but 

with a lower dollar value, than a standard futures 

contract. In addition, because of their lower dollar 

value, e-mini futures contracts may permit the 

Funds to maintain exposure more precisely in line 

with their current asset levels. The dollar volume 

traded of e-mini futures contracts on the S&P 500 

Index far exceeds the dollar volume traded of 

standard futures contracts on the S&P 500 Index. 

For example, during the first quarter of 2017, the 

average daily volume—weighted average price 

(‘‘VWAP’’) of e-mini futures contracts on the S&P 

500 Index was $167.5 billion while the average 

daily VWAP for standard contracts during the same 

period was $306 million. 

investment company involved; and (c) 

the proposed transaction is consistent 

with the general purposes of the Act. 

Section 6(c) of the Act permits the 

Commission to exempt any persons or 

transactions from any provision of the 

Act if such exemption is necessary or 

appropriate in the public interest and 

consistent with the protection of 

investors and the purposes fairly 

intended by the policy and provisions of 

the Act. 

For the Commission, by the Division of 

Investment Management, pursuant to 

delegated authority. 

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–17504 Filed 8–17–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81388; File No. SR– 

NYSEArca–2017–69] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of Proposed 

Rule Change To List and Trade Shares 

of ProShares QuadPro Funds Under 

NYSE Arca Equities Rule 8.200 

August 14, 2017. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that, on July 31, 

2017, NYSE Arca, Inc. (the ‘‘Exchange’’ 

or ‘‘NYSE Arca’’) filed with the 

Securities and Exchange Commission 

(the ‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the self-regulatory organization. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to list and 

trade shares of the following under 

Commentary .02 to NYSE Arca Equities 

Rule 8.200 (‘‘Trust Issued Receipts’’): 

ProShares QuadPro U.S. Large Cap 

Futures Long Fund; ProShares QuadPro 

U.S. Large Cap Futures Short Fund; 

ProShares QuadPro U.S. Small Cap 

Futures Long Fund; and ProShares 

QuadPro U.S. Small Cap Futures Short 

Fund. The proposed rule change is 

available on the Exchange’s Web site at 

www.nyse.com, at the principal office of 

the Exchange, and at the Commission’s 

Public Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to list and 

trade shares (‘‘Shares’’) of the following 

under Commentary .02 to NYSE Arca 

Equities Rule 8.200, which governs the 

listing and trading of Trust Issued 

Receipts (‘‘TIRs’’) 4: ProShares QuadPro 

U.S. Large Cap Futures Long Fund; 

ProShares QuadPro U.S. Large Cap 

Futures Short Fund; ProShares QuadPro 

U.S. Small Cap Futures Long Fund; and 

ProShares QuadPro U.S. Small Cap 

Futures Short Fund (each a ‘‘Fund’’ and, 

collectively, the ‘‘Funds’’).5

Each of the Funds is a commodity 

pool that is a series of the ProShares 

Trust II (‘‘Trust’’). The Funds’ sponsor 

and commodity pool operator is 

ProShare Capital Management LLC (the 

‘‘Sponsor’’). Brown Brothers Harriman & 

Co. is the Administrator, the Custodian 

and the Transfer Agent of each Fund 

and its Shares. SEI Investments 

Distribution Co. (‘‘SEI’’ or ‘‘Distributor’’) 

is the distributor for the Funds’ Shares. 

Principal Investment Strategies of the 

Funds 

ProShares QuadPro U.S. Large Cap 

Futures Long Fund and ProShares 

QuadPro U.S. Large Cap Futures Short 

Fund (‘‘Large Cap Futures Funds’’) 

According to the Registration 

Statement, the Large Cap Futures Funds 

will seek results that correspond (before 

fees and expenses) to four times (i.e., 4×) 

or four times the inverse (i.e., ¥4×), 

respectively, of the return of Lead 

Month E-Mini S&P 500 Stock Price 

Index Futures (‘‘Large Cap Benchmark’’ 

or ‘‘Benchmark’’) for a single day.6 A 

‘‘single day’’ is measured from the time 

a Fund calculates its net asset value 

(‘‘NAV’’) to the time of a Fund’s next 

NAV calculation. 

Under normal market conditions,7

each Large Cap Futures Fund will 

attempt to gain leveraged or inverse 

leveraged exposure, as applicable, to the 

Large Cap Benchmark primarily through 

investments in Lead Month E-Mini S&P 

500 Stock Price Index Futures.8 Each 

Large Cap Futures Fund also may take 

positions in standard futures contracts 

on the S&P 500 Index (together with 

Lead Month E-Mini S&P 500 Stock Price 

Index Futures, ‘‘Large Cap Futures 

Contracts’’). The ProShares QuadPro 

U.S. Large Cap Futures Long Fund will 

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39478 Federal Register / Vol. 82, No. 159 / Friday, August 18, 2017 / Notices 

9 In general terms, to be ‘‘long’’ means to hold or 

have long exposure to an asset in order to benefit 

from increases in the value of such asset; to be 

‘‘short’’ means to sell or have short exposure to an 

asset in order to benefit from decreases in the value 

of such asset. 

10Each Fund may use various techniques to 

minimize credit risk. The Sponsor regularly reviews 

the performance of its counterparties for, among 

other things, creditworthiness and execution 

quality. In addition, the Sponsor periodically 

considers the addition of new counterparties. The 

Funds will seek to mitigate these risks in 

connection with the uncleared over-the-counter 

(‘‘OTC’’) swaps and uncleared OTC forwards by 

generally requiring that the counterparties for each 

Fund agree to post collateral for the benefit of the 

Fund, marked to market daily, subject to certain 

minimum thresholds; however, there are no 

limitations on the percentage of its assets each Fund 

may invest in swap agreements or forwards with a 

particular counterparty. 

11A Fund’s investments in Large Cap Futures 

Contracts, together with its investments in Large 

Cap Financial Interests, if any, may be referred to 

herein as the Fund’s ‘‘S&P 500 Interests.’’ The 

ProShares QuadPro U.S. Large Cap Futures Long 

Fund will hold listed put options with respect to 

all or substantially all of its S&P 500 Interests with 

strike prices at approximately 75 percent of the 

value of the applicable underlying S&P 500 

Interests as of the end of the preceding business 

day. The ProShares QuadPro U.S. Large Cap 

Futures Short Fund will hold listed call options 

with respect to all or substantially all of its S & P 

500 Interests with strike prices at approximately 

125 percent of the value of the Fund’s S&P Interests 

as of the end of the preceding business day. 

12The Small Cap Benchmark is the price on the 

CME of lead month (i.e., near-month or next-toexpire) Russell 2000 Index Mini Futures Contracts. 

Specifically, the Benchmark is the last traded price 

of such contracts on the CME prior to the 

calculation of the Fund’s NAV, which is typically 

calculated as of 4:00 p.m. each day NYSE Arca is 

open for trading. The Russell 2000 Index is a floatadjusted, market capitalization-weighted index 

containing approximately 2000 of the smallest 

companies in the Russell 3000 Index, or 

approximately 8% of the total market capitalization 

of the Russell 3000 Index, which in turn represents 

approximately 98% of the investable U.S. equity 

market. 

seek to achieve substantially all of this 

exposure by taking ‘‘long’’ positions in 

Large Cap Futures Contracts. 

Conversely, the ProShares QuadPro U.S. 

Large Cap Futures Short Fund will seek 

to achieve substantially all of this 

exposure by taking ‘‘short’’ positions in 

Large Cap Futures Contracts.9

According to the Registration 

Statement, each Large Cap Futures Fund 

will seek to engage in daily rebalancing 

to position its portfolio so that its 

leveraged or inverse exposure to the 

Large Cap Benchmark is consistent with 

such Fund’s daily investment objective. 

The impact of the Large Cap 

Benchmark’s movements during the day 

will affect whether a particular Fund’s 

portfolio needs to be repositioned. For 

example, if the Large Cap Benchmark 

underlying the ProShares QuadPro U.S. 

Large Cap Futures Short Fund has risen 

on a given day, net assets of such Fund 

should fall. As a result, such Fund’s 

inverse exposure will need to be 

decreased. Conversely, if the Large Cap 

Benchmark underlying such Fund has 

fallen on a given day, net assets of such 

Fund should rise. As a result, the 

Fund’s inverse exposure will need to be 

increased. For the ProShares QuadPro 

U.S. Large Cap Futures Long Fund, such 

Fund’s long exposure will need to be 

increased on days when the Large Cap 

Benchmark rises and decreased on days 

when the Large Cap Benchmark falls. 

Daily rebalancing and the compounding 

of each day’s return over time means 

that the return of each Fund for a period 

longer than a single day will be the 

result of each day’s returns 

compounded over the period, which 

will very likely differ from four times 

(4×) or four times the inverse (¥4×), as 

applicable, of the return of a Fund’s 

Benchmark for the same period. 

According to the Registration 

Statement, in the event position, price 

or accountability limits are reached with 

respect to Futures Contracts, the 

Sponsor, in its commercially reasonable 

judgment, may cause each Fund to 

obtain exposure to the Large Cap 

Benchmark through investment in swap 

transactions and forward contracts 

referencing such Benchmark (‘‘Large 

Cap Financial Instruments’’).10 The 

Funds may also invest in Large Cap 

Financial Instruments if the market for 

a specific Futures Contract experiences 

emergencies (e.g., natural disaster, 

terrorist attack or an act of God) or 

disruptions (e.g., a trading halt or a flash 

crash) that prevent or make it 

impractical for a Fund from obtaining 

the appropriate amount of investment 

exposure using Futures Contracts (i.e., 

conditions other than normal market 

conditions). The Funds do not intend to 

invest more than 25% of their respective 

net assets in Large Cap Financial 

Instruments. 

According to the Registration 

Statement, because each Fund will seek 

results that correspond to four times the 

performance or four times the inverse, 

as applicable, of the Large Cap 

Benchmark for a single day, an adverse 

Large Cap Benchmark move of 25 

percent or more could cause the NAV of 

a Fund to decline to zero and investors 

in a Fund to lose the full value of their 

investment. Therefore, each Fund will 

invest a limited portion of its assets 

(typically less than 5% of its net assets 

at the time of purchase) in listed option 

contracts designed to prevent a Fund’s 

NAV from going to zero and allow a 

Fund to recoup a small portion of the 

substantial losses that may result from 

significant movements in the Large Cap 

Benchmark. Specifically, the ProShares 

QuadPro U.S. Large Cap Futures Long 

Fund will hold CME-listed ‘‘put’’ 

options on e-mini or standard S&P 500 

Index futures contracts (which give the 

Fund the right to sell such contracts) 

and ProShares QuadPro U.S. Large Cap 

Futures Short Fund will hold CMElisted ‘‘call’’ options on e-mini or 

standard S&P 500 Index futures 

contracts (which give the Fund the right 

to buy futures contracts). Such put and 

call options may be referred to herein as 

‘‘Large Cap Stop Options.’’ If CME-listed 

options are not readily available, a Fund 

may invest in OTC options on Large Cap 

Future Contracts. This strategy will not 

prevent a Fund from losing money, but 

is designed to permit a Fund to recover 

a small percentage of its losses in the 

event of significant adverse movement 

in a Fund’s Benchmark.11

Each Fund will invest the remainder 

of its un-invested assets in cash and 

high-quality, short-term debt 

instruments that have terms-to-maturity 

of less than 397 days, such as U.S. 

government securities and repurchase 

agreements (‘‘Money Market 

Instruments’’). 

In seeking to achieve each Fund’s 

investment objective, the Sponsor will 

use a mathematical approach to 

investing. Using this approach, the 

Sponsor will determine the type, 

quantity and mix of investment 

positions that the Sponsor believes, in 

combination, should produce daily 

returns consistent with each Fund’s 

objective. The Sponsor will rely upon a 

pre-determined model to generate 

orders that result in repositioning each 

Fund’s investments in accordance with 

its respective investment objective. 

Each Fund generally will seek to 

remain fully invested at all times in 

Futures Contracts, Large Cap Stop 

Options (as applicable), and Money 

Market Instruments that, in 

combination, provide exposure to the 

Large Cap Benchmark consistent with 

its investment objective without regard 

to market conditions, trends or 

direction. 

ProShares QuadPro U.S. Small Cap 

Futures Long Fund and ProShares 

QuadPro U.S. Small Cap Futures Short 

Fund (‘‘Small Cap Futures Funds’’) 

According to the Registration 

Statement, the Small Cap Futures Funds 

will seek results that correspond (before 

fees and expenses) to four times (i.e., 

4X) or four times the inverse (i.e., -4X), 

respectively, of the return of Lead 

Month Russell 2000 Index Mini Futures 

(‘‘Small Cap Benchmark’’ or 

‘‘Benchmark’’) for a single day.12 A 

‘‘single day’’ is measured from the time 

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Federal Register / Vol. 82, No. 159 / Friday, August 18, 2017 / Notices 39479 

13See note 7, supra. 

14As noted herein, an ‘‘e-mini futures contract’’ 

is an electronically traded futures contract that 

provides similar exposure, but with a lower dollar 

value, than a standard futures contract. In addition, 

because of their lower dollar value, e-mini futures 

contracts may permit the Funds to maintain 

exposure more precisely in line with their current 

asset levels. During the first quarter of 2017, the 

average daily VWAP of e-mini futures contracts on 

the Russell 2000 Index was $9.5 billion. Standard 

futures contracts on the Russell 2000 Index were 

not available during this period. 

15A Fund’s investments in Small Cap Futures 

Contracts, together with its investments in Small 

Cap Financial Interests, if any, may be referred to 

herein as the Fund’s ‘‘Russell 2000 Interests.’’ The 

ProShares QuadPro U.S. Small Cap Futures Long 

Fund will hold put options with respect to all or 

substantially all of its Russell 2000 Interests with 

strike prices at approximately 75 percent of the 

value of the applicable underlying Russell 2000 

Interests as of the end of the preceding business 

day. The ProShares QuadPro U.S. Small Cap 

Futures Short Fund will hold call options with 

respect to all or substantially all of its Russell 2000 

Interests with strike prices at approximately 125 

percent of the value of the Fund’s Russell 2000 

Interests as of the end of the preceding business 

day. 

a Fund calculates its NAV to the time 

of a Fund’s next NAV calculation. 

Under normal market conditions,13

each Small Cap Futures Fund will 

attempt to gain leveraged or inverse 

exposure, as applicable, to the Small 

Cap Benchmark primarily through 

investments in Lead Month E-Mini 

Russell 2000 Index Futures 14 (‘‘Small 

Cap Futures Contracts’’) (Large Cap 

Futures Contracts and Small Cap 

Futures Contracts, collectively, are 

referred to herein as ‘‘Futures 

Contracts’’). The ProShares QuadPro 

U.S. Small Cap Futures Long Fund will 

seek to achieve substantially all of this 

exposure by taking ‘‘long’’ positions in 

Small Cap Futures Contracts. 

Conversely, the ProShares QuadPro U.S. 

Small Cap Futures Short Fund will seek 

to achieve substantially all of this 

exposure by taking ‘‘short’’ positions in 

Small Cap Futures Contracts. 

According to the Registration 

Statement, each Small Cap Futures 

Fund will seek to engage in daily 

rebalancing to position its portfolio so 

that its leveraged or inverse exposure to 

the Small Cap Benchmark is consistent 

with such Fund’s daily investment 

objective. The impact of the Small Cap 

Benchmark’s movements during the day 

will affect whether a particular Fund’s 

portfolio needs to be repositioned. For 

example, if the Small Cap Benchmark 

underlying the ProShares QuadPro U.S. 

Small Cap Futures Short Fund has risen 

on a given day, net assets of such Fund 

should fall. As a result, such Fund’s 

inverse exposure will need to be 

decreased. Conversely, if the Small Cap 

Benchmark underlying such Fund has 

fallen on a given day, net assets of such 

Fund should rise. As a result, the 

Fund’s inverse exposure will need to be 

increased. For the ProShares QuadPro 

U.S. Small Cap Futures Long Fund, 

such Fund’s long exposure will need to 

be increased on days when the Small 

Cap Benchmark rises and decreased on 

days when the Small Cap Benchmark 

falls. Daily rebalancing and the 

compounding of each day’s return over 

time means that the return of each Fund 

for a period longer than a single day will 

be the result of each day’s returns 

compounded over the period, which 

will very likely differ from four times 

(4x) or four times the inverse (¥4x), as 

applicable, of the return of the Small 

Cap Benchmark for the same period. 

According to the Registration 

Statement, in the event position, price 

or accountability limits are reached with 

respect to Small Cap Futures Contracts, 

the Sponsor, in its commercially 

reasonable judgment, may cause each 

Fund to obtain exposure to the Small 

Cap Benchmark through investment in 

swap transactions and forward contracts 

referencing such Benchmark (‘‘Small 

Cap Financial Instruments’’, together 

with Large Cap Financial Instruments, 

‘‘Financial Instruments’’). The Funds 

may also invest in Small Cap Financial 

Instruments if the market for a specific 

Small Cap Futures Contract experiences 

emergencies (e.g., natural disaster, 

terrorist attack or an act of God) or 

disruptions (e.g., a trading halt or a flash 

crash) that prevent or make it 

impractical for a Fund from obtaining 

the appropriate amount of investment 

exposure using Small Cap Futures 

Contracts (i.e., conditions other than 

normal market conditions). The Funds 

do not intend to invest more than 25% 

of their respective net assets in Small 

Cap Financial Instruments. 

According to the Registration 

Statement, because each Fund will seek 

results that correspond to four times the 

performance or four times the inverse of 

the Small Cap Benchmark for a single 

day, an adverse Small Cap Benchmark 

move of 25 percent or more could cause 

the NAV of a Fund to decline to zero 

and investors in a Fund to lose the full 

value of their investment. Therefore, 

each Fund will invest a limited portion 

of its assets (typically less than 5% of 

its net assets at the time of purchase) in 

listed option contracts designed to 

prevent a Fund’s NAV from going to 

zero and allow a Fund to recoup a small 

portion of the substantial losses that 

may result from significant movements 

in its Benchmark. Specifically, the 

ProShares QuadPro U.S. Small Cap 

Futures Long Fund will hold CMElisted ‘‘put’’ options on mini Russell 

2000 Index futures contracts (which 

give the Fund the right to sell such 

contracts) and ProShares QuadPro U.S. 

Small Cap Futures Short Fund will hold 

CME-listed ‘‘call’’ options on mini 

Russell 2000 Index futures contracts 

(which give the Fund the right to buy 

such contracts). Such put and call 

options are referred to herein as ‘‘Small 

Cap Stop Options.’’ (Large Cap Stop 

Options and Small Cap Stop Options, 

collectively, are referred to herein as 

‘‘Stop Options.’’) If CME-listed options 

are not readily available, a Fund may 

invest in OTC options on Small Cap 

Futures Contracts. This strategy will not 

prevent a Fund from losing money, but 

is designed to permit a Fund to recover 

a small percentage of its losses in the 

event of significant adverse movement 

in a Fund’s Benchmark.15

Each Fund will invest the remainder 

of its un-invested assets in Money 

Market Instruments. 

In seeking to achieve a Fund’s 

investment objective, the Sponsor will 

use a mathematical approach to 

investing. Using this approach, the 

Sponsor will determine the type, 

quantity and mix of investment 

positions that the Sponsor believes, in 

combination, should produce daily 

returns consistent with each Fund’s 

objective. The Sponsor will rely upon a 

pre-determined model to generate 

orders that result in repositioning each 

Fund’s investments in accordance with 

its respective investment objective. 

Each Fund generally will seek to 

remain fully invested at all times in 

Small Cap Futures Contracts, Small Cap 

Stop Options (as applicable), and 

Money Market Instruments that, in 

combination, provide exposure to the 

Small Cap Benchmark consistent with 

its investment objective without regard 

to market conditions, trends or 

direction. 

Characteristics of Futures Contracts 

According to the Registration 

Statement, a key feature of Futures 

Contracts is that they specify a delivery 

date for the underlying reference asset 

or the payment of its cash equivalent. 

As a result, the composition of each 

Fund’s Benchmark will change from 

time to time as the delivery date for its 

component Futures Contracts is 

reached. Under the current rules 

applicable to each Benchmark, Futures 

Contracts that have reached their 

delivery date will be dropped from the 

Benchmark and replaced with the laterexpiring contracts (sometimes referred 

to as the ‘‘deferred month’’ contracts). 

This process typically takes place over 

a number of days, during which period 

the Benchmark may consist of both the 

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39480 Federal Register / Vol. 82, No. 159 / Friday, August 18, 2017 / Notices 

16Several major market data vendors display and/ 

or make widely available IOPVs taken from the 

Consolidated Tape Association (‘‘CTA’’) or other 

data feeds. In addition, circumstances may arise in 

which the NYSE Arca Core Trading Session is in 

progress, but trading in Futures Contracts is not 

occurring. Such circumstances may result from 

reasons including, but not limited to, a futures 

exchange having a separate holiday schedule than 

the NYSE Arca, a futures exchange closing prior to 

the close of the NYSE Arca, price fluctuation limits 

being reached in a Futures Contract, or a futures 

exchange, imposing any other suspension or 

limitation on trading in a Futures Contract. In such 

instances, for IOPV calculation purposes, the price 

of the applicable Futures Contracts, as well as Stop 

Options or Financial Instruments whose price is 

derived from the Futures Contracts, would be static 

or priced by the Fund at the applicable early cutoff time of the exchange trading the applicable 

Futures Contract. 

17 ‘‘Authorized Participants’’ will be the only 

persons that may place orders to create and redeem 

Creation Units. An Authorized Participant is an 

entity that has entered into an Authorized 

Participant Agreement with the Trust and Sponsor. 

‘‘lead month’’ contracts exiting the 

Benchmark and the ‘‘deferred month’’ 

contracts being added to the Benchmark 

(which then become the new ‘‘lead 

month’’ contracts). In such instances, 

each Fund’s portfolio investments will 

be changed accordingly. The Funds will 

not take delivery of the reference assets 

underlying their respective Benchmarks. 

Instead, each Fund intends to ‘‘roll’’ its 

Futures Contracts as they approach their 

delivery dates. To ‘‘roll’’ a Futures 

Contract means to sell a Futures 

Contract as it nears its delivery date and 

replace it with a new Futures Contract 

that has a later delivery date. Each Fund 

will ‘‘roll’’ its Futures Contracts in a 

manner designed to reflect the changes 

in its Benchmark while minimizing 

transaction costs and market impact. 

The anticipated ‘‘roll’’ date for each 

Fund’s Benchmark will be posted on the 

Funds’ Web site at www.proshares.com. 

Net Asset Value 

According to the Registration 

Statement, the NAV in respect of a Fund 

means the total assets of that Fund less 

the total liabilities of such Fund, 

consistently applied under the accrual 

method of accounting. The NAV of each 

Fund will include any unrealized profit 

or loss on a Fund’s investments 

(including Money Market Instruments) 

and any other credit or debit accruing to 

a Fund but unpaid or not received by a 

Fund. The NAV per Share of a Fund 

will be computed by dividing the value 

of the net assets of such Fund (i.e., the 

value of its total assets less total 

liabilities) by its total number of Shares 

outstanding. Expenses and fees will be 

accrued daily and taken into account for 

purposes of determining the NAV. Each 

Fund’s NAV will be calculated on each 

day other than a day when the Exchange 

is closed for regular trading. The Funds 

will compute their NAV as of 4:00 p.m. 

(E.T.) (the ‘‘NAV Calculation Time’’) or 

an earlier time as set forth on 

www.proshares.com, if necessitated by 

the New York Stock Exchange 

(‘‘NYSE’’), the Exchange or other 

exchange material to the valuation or 

operation of such Fund closing early. 

Each Fund’s NAV will be calculated 

only once each trading day. 

Futures Contracts and Stop Options 

will be valued at their then-current 

market value, which typically is the last 

traded price prior to the NAV 

Calculation Time on the date for which 

the NAV is being determined. If a 

Futures Contract or Stop Option could 

not be liquidated on such day, due to 

the operation of daily limits or other 

rules of the exchange upon which that 

position is traded or otherwise, the 

Sponsor may, in its sole discretion, 

choose to determine a fair value price as 

the basis for determining the market 

value of such position for such day. 

Such fair value prices would generally 

be determined based on available inputs 

about the current value of the 

underlying reference assets and would 

be based on principles that the Sponsor 

deems fair and equitable so long as such 

principles are consistent with normal 

industry standards. 

In calculating the NAV of a Fund, the 

value of a Fund’s non-exchange traded 

Financial Instruments, if any, will be 

determined by the applicable contract 

governing such Financial Instrument(s). 

Typically, this is determined by 

applying the Fund’s Benchmark closing 

value to the terms of such non-exchange 

traded Financial Instrument. However, 

in the event that the Futures Contracts 

underlying a Benchmark are not trading 

due to the operation of daily limits or 

otherwise, the Sponsor may, in its sole 

discretion, choose to fair value a Fund’s 

non-exchange traded Financial 

Instruments for purposes of the NAV 

calculation. Such fair value prices 

would generally be determined based on 

available inputs about the current value 

of the Futures Contracts underlying a 

Benchmark and would be based on 

principles that the Sponsor deems fair 

and equitable so long as such principles 

are consistent with normal industry 

standards. 

Money Market Instruments generally 

will be valued using market prices 

provided by third party market data 

provider(s) or at amortized cost. 

Indicative Optimized Portfolio Value 

(‘‘IOPV’’) 

The IOPV will be an indicator of the 

value of a Fund’s net assets at the time 

the IOPV is disseminated. The IOPV 

will be calculated and disseminated 

every 15 seconds during the Exchange’s 

Core Trading Session (normally, 9:30 

a.m. to 4:00 p.m., Eastern Time (‘‘E.T.’’). 

The IOPV of a Fund will generally be 

calculated using the NAV of the prior 

day’s closing portfolio as a base and 

updating this amount throughout the 

trading day to reflect changes in the 

value of the Futures Contracts, Money 

Market Instruments and other 

investments, if any, held by a Fund. 

For IOPV calculation purposes, 

Futures Contracts will be valued using 

their most recent quoted price during 

the trading day, for as long as the main 

pricing mechanism of the CME is open. 

• Futures Contracts may be valued 

intraday using the main pricing 

mechanism of the CME or through 

another proxy as determined to be 

appropriate by the third party market 

data provider. 

• Swaps and forward contracts may 

be valued intraday using the intra-day 

value of the Large Cap Benchmark, or 

Small Cap Benchmark, as applicable, or 

another proxy as determined to be 

appropriate by the third party market 

data provider. 

• Exchange-listed options may be 

valued intraday using the relevant 

exchange data, or another proxy as 

determined to be appropriate by the 

third party market data provider. 

• Over-the-counter options may be 

valued intraday through option 

valuation models (e.g., Black-Scholes) or 

using exchange-traded options as a 

proxy, or another proxy as determined 

to be appropriate by the third party 

market data provider. 

The IOPV will be disseminated on a 

per Share basis every 15 seconds during 

the Exchange’s Core Trading Session.16

The Exchange will disseminate the 

IOPV through the facilities of the CTA 

high speed line. In addition, IOPV will 

be published on the Exchange’s Web 

site and will be available through online information services such as 

Bloomberg and Reuters. 

Creation and Redemption of Shares 

According to the Registration 

Statement, each Fund will create and 

redeem Shares from time to time in one 

or more ‘‘Creation Units.’’ A Creation 

Unit is a block of 50,000 Shares of a 

Fund. The size of a Creation Unit is 

subject to change. 

On any ‘‘Business Day’’, an 

‘‘Authorized Participant’’ may place an 

order with the Distributor to create one 

or more Creation Units.17 For purposes 

of processing both purchase and 

redemption orders, a ‘‘Business Day’’ for 

each Fund means any day on which the 

NAV of such Fund is determined. 

mstockstill on DSK30JT082PROD with NOTICES

Federal Register / Vol. 82, No. 159 / Friday, August 18, 2017 / Notices 39481 

18See NYSE Arca Equities Rule 7.12. 19 17 CFR 240.10A–3. 

By placing a purchase order, an 

Authorized Participant agrees to deposit 

cash with the Custodian of the Funds. 

The cash deposited will be equal to the 

NAV of the number of Creation Unit(s) 

purchased. A standard creation 

transaction fee is imposed to offset the 

transfer and other transaction costs 

associated with the issuance of Creation 

Units. Purchase orders, once accepted, 

are not revocable by an Authorized 

Participant. 

Redemption Procedures 

According to the Registration 

Statement, the procedures by which an 

Authorized Participant can redeem one 

or more Creation Units will mirror the 

procedures for the creation of Creation 

Units. On any Business Day, an 

Authorized Participant may place an 

order with the Distributor to redeem one 

or more Creation Units. If a redemption 

order is received prior to the applicable 

cut-off time, or earlier if the Exchange 

or other exchange material to the 

valuation or operation of such Fund 

closes before the cut-off time, the day on 

which SEI receives a valid redemption 

order is the redemption order date. If 

the redemption order is received after 

the applicable cut-off time, the 

redemption order date will be the next 

day. Redemption orders, once accepted, 

are not revocable by an Authorized 

Participant. The redemption procedures 

allow Authorized Participants to redeem 

Creation Units. Individual shareholders 

may not redeem directly from a Fund. 

By placing a redemption order, an 

Authorized Participant agrees to deliver 

the Creation Units to be redeemed 

through the Depository Trust 

Company’s (‘‘DTC’’) book-entry system 

to the applicable Fund not later than 

noon (E.T.), on the first Business Day 

immediately following the redemption 

order date (T+1). The Sponsor reserves 

the right to extend the deadline for a 

Fund to receive the Creation Units 

required for settlement up to the third 

Business Day following the redemption 

order date (T+3). 

The redemption proceeds from a 

Fund will consist of the cash 

redemption amount. The cash 

redemption amount is equal to the NAV 

of the number of Creation Unit(s) 

redeemed. A standard redemption 

transaction fee is imposed to offset the 

transfer and other transaction costs 

associated with the redemption of 

Creation Units. 

Creation and redemption transactions 

must be placed each day with SEI by 

3:30 p.m., E.T., or earlier if the 

Exchange or other exchange material to 

the valuation or operation of such Fund 

closes before such cut-off time, to 

receive that day’s NAV. The NAV 

calculation time for each Fund typically 

will be 4:00 p.m. E.T. 

The redemption proceeds due from a 

Fund will be delivered to the 

Authorized Participant at noon (E.T.), 

on the third Business Day immediately 

following the redemption order date if, 

by such time on such Business Day 

immediately following the redemption 

order date, a Fund’s DTC account has 

been credited with the Creation Units to 

be redeemed. 

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 of 

a Fund.18 Trading in Shares of a Fund 

will be halted if the circuit breaker 

parameters in NYSE Arca Equities Rule 

7.12 have been reached. Trading also 

may be halted because of market 

conditions or for reasons that, in the 

view of the Exchange, make trading in 

the Shares inadvisable. 

The Exchange may halt trading during 

the day in which an interruption to the 

dissemination of the IOPV or the value 

of a Benchmark occurs. If the 

interruption to the dissemination of the 

IOPV or the value of a Benchmark 

persists past the trading day in which it 

occurred, the Exchange will halt trading 

no later than the beginning of the 

trading day following the interruption. 

In addition, if the Exchange becomes 

aware that the NAV with respect to the 

Shares 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. 

Trading Rules 

The Exchange deems the Shares of the 

Funds to be equity securities, thus 

rendering trading in the Shares subject 

to the Exchange’s existing rules 

governing the trading of equity 

securities. Shares will trade on the 

NYSE Arca Marketplace from 4 a.m. to 

8 p.m. E.T. in accordance with NYSE 

Arca Equities Rule 7.34 (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 Equities Rule 7.6, 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 Equities Rule 8.200 and 

Commentary .02 thereto. The trading of 

the Shares will be subject to NYSE Arca 

Equities Rule 8.200, Commentary .02(e), 

which sets forth certain restrictions on 

Equity Trading Permit (‘‘ETP’’) Holders 

acting as registered Market Makers in 

Trust Issued Receipts to facilitate 

surveillance. The Exchange represents 

that, for initial and continued listing, 

each Fund will be in compliance with 

Rule 10A–3 19 under the Act, as 

provided by NYSE Arca Equities Rule 

5.3. A minimum of 100,000 Shares of 

each Fund will be outstanding at the 

commencement of trading on the 

Exchange. 

Availability of Information 

The NAV for the Funds’ Shares will 

be disseminated daily to all market 

participants at the same time. The 

intraday, closing prices, and settlement 

prices of the Futures Contracts and Stop 

Options will be readily available from 

the applicable futures exchange Web 

sites, automated quotation systems, 

published or other public sources, or 

major market data vendors. 

Complete real-time data for the 

Futures Contracts and Stop Options is 

available by subscription through online information services. The CME also 

provides delayed futures and options on 

futures information on current and past 

trading sessions and market news free of 

charge on their respective Web sites. 

The specific contract specifications for 

Futures Contracts are also available on 

such Web sites, as well as other 

financial informational sources. 

Quotation and last-sale information 

regarding the Shares will be 

disseminated through the facilities of 

the CTA. Quotation information for 

Money Market Instruments, swaps and 

forward contracts may be obtained from 

brokers and dealers who make markets 

in such instruments. The IOPV will be 

available through on-line information 

services. 

In addition, the Funds’ Web site, 

www.proshares.com, will display the 

applicable end of day closing NAV. The 

daily holdings of each Fund will be 

available on the Funds’ Web site before 

9:30 a.m. E.T. Each Fund’s total 

portfolio composition will be disclosed 

each Business Day that the NYSE Arca 

is open for trading, on the Funds’ Web 

site. The Funds’ Web site, which will be 

publicly available at the time of the 

public offering of Shares, will also 

include a form of the prospectus for the 

Funds that may be downloaded. 

mstockstill on DSK30JT082PROD with NOTICES

39482 Federal Register / Vol. 82, No. 159 / Friday, August 18, 2017 / Notices 

20FINRA 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. 

21For a list of the current members of ISG, see 

www.isgportal.org. The Exchange notes that not all 

components of a Fund may trade on markets that 

are members of ISG or with which the Exchange has 

in place a CSSA. 

The Web site disclosure of portfolio 

holdings will be made daily to all 

market participants at the same time, 

and will include, as applicable, (i) the 

composite value of the total portfolio; 

(ii) the name, percentage weighting, and 

value of the Futures Contracts and 

Financial Interests; (iii) the Shares’ 

ticker and CUSIP information; (iv) 

additional quantitative information 

updated on a daily basis, including, for 

each Fund: (1) Daily trading volume, the 

prior Business Day’s reported NAV and 

closing price, and a calculation of the 

premium and discount of the closing 

price or mid-point of the bid/ask spread 

at the time of NAV calculation (the 

‘‘Bid/Ask Price’’) against the NAV; and 

(2) data in chart format displaying the 

frequency distribution of discounts and 

premiums of the daily closing price or 

Bid/Ask Price against the NAV, within 

appropriate ranges, for at least each of 

the four previous calendar quarters; and 

(v) as applicable, (1) the name, quantity, 

value, expiration and strike price of 

Futures Contracts and Stop Options, (2) 

the counterparty to and value of swap 

agreements and forward contracts, (3) 

quantity held regarding each portfolio 

holding (as measured by, for example, 

par value, notional value or number of 

shares, contracts or units); (4) maturity 

date, if any; and (5) the aggregate net 

value of Money Market Instruments and 

cash held in each Fund’s portfolio. In 

addition, the IOPV will be published on 

the Exchange’s Web site and will be 

available through on-line information 

services such as Bloomberg and Reuters. 

The Fund’s Web site will be publicly 

accessible at no charge. 

Impact on Arbitrage Mechanism 

The Sponsor believes there will be 

minimal, if any, impact to the arbitrage 

mechanism as a result of the use of 

derivatives. Each Fund intends to 

achieve substantially all of its leveraged 

or inverse leveraged exposure to its 

Benchmark through positions in Futures 

Contracts. The intraday, closing prices, 

and settlement prices of the Futures 

Contracts will be readily available from 

the applicable futures exchange Web 

sites, automated quotation systems, 

published or other public sources, or 

major market data vendors. Market 

makers and participants should be able 

to value derivatives as long as the 

positions are disclosed with relevant 

information. The Sponsor believes that 

the price at which Shares of the Funds 

trade will continue to be disciplined by 

arbitrage opportunities created by the 

ability to purchase or redeem Shares of 

the Funds at their NAV, which should 

ensure that Shares of the Funds will not 

trade at a material discount or premium 

in relation to its NAV. 

The Sponsor does not believe there 

will be any significant impacts to the 

settlement or operational aspects of the 

Funds’ arbitrage mechanism due to the 

use of derivatives. 

Surveillance 

The Exchange represents that trading 

in the Shares of each Fund 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 

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

which are designed to detect violations 

of Exchange rules and applicable federal 

securities laws.20 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 or FINRA, on behalf of 

the Exchange, or both, will 

communicate as needed regarding 

trading in the Shares, Futures Contracts 

and certain Stop Options with other 

markets and other entities that are 

members of the ISG, and the Exchange 

or FINRA, on behalf of the Exchange, or 

both, may obtain trading information 

regarding trading in the Shares, Futures 

Contracts and certain Stop Options from 

such markets and other entities. In 

addition, the Exchange may obtain 

information regarding trading in the 

Shares, Futures Contracts and certain 

Stop Options from markets and other 

entities that are members of ISG or with 

which the Exchange has in place a 

comprehensive surveillance sharing 

agreement (‘‘CSSA’’).21 The Exchange is 

also able to obtain information regarding 

trading in the Shares, Futures Contracts 

and certain Stop Options through ETP 

Holders, in connection with such ETP 

Holders’ proprietary or customer trades 

which they effect through ETP Holders 

on any relevant market. The Exchange 

can obtain market surveillance 

information, including customer 

identity information, with respect to 

transactions (including transactions in 

Futures Contracts and certain Stop 

Options) occurring on U.S. futures and 

securities exchanges that are members 

of the ISG. 

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 portfolios of the 

Funds or Benchmarks, (b) limitations on 

the portfolios of the Funds or 

Benchmarks, 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 issuer has represented to the 

Exchange that it will advise the 

Exchange of any failure by the Funds 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 a Fund is not in 

compliance with the applicable listing 

requirements, the Exchange will 

commence delisting procedures under 

NYSE Arca Equities Rule 5.5(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 risks 

involved in trading the Shares during 

the Early and Late Trading Sessions 

when an updated IOPV will not be 

calculated or publicly disseminated; (2) 

the procedures for purchases and 

redemptions of Shares in Creation Units 

(and that Shares are not individually 

redeemable); (3) NYSE Arca Equities 

Rule 9.2(a), which imposes a duty of 

due diligence on its ETP Holders to 

learn the essential facts relating to every 

customer prior to trading the Shares; (4) 

how information regarding the IOPV is 

disseminated; (5) how information 

regarding portfolio holdings is 

disseminated; (6) the requirement that 

ETP Holders deliver a prospectus to 

investors purchasing newly issued 

Shares prior to or concurrently with the 

mstockstill on DSK30JT082PROD with NOTICES

Federal Register / Vol. 82, No. 159 / Friday, August 18, 2017 / Notices 39483 

22 15 U.S.C. 78f(b)(5). 

confirmation of a transaction; and (7) 

trading information. 

Prior to the commencement of 

trading, the Exchange will inform its 

ETP Holders of the suitability 

requirements of NYSE Arca Equities 

Rule 9.2(a) in an Information Bulletin. 

Specifically, ETP Holders will be 

reminded in the Information Bulletin 

that, in recommending transactions in 

the Shares, they must have a reasonable 

basis to believe that (1) the 

recommendation is suitable for a 

customer given reasonable inquiry 

concerning the customer’s investment 

objectives, financial situation, needs, 

and any other information known by 

such ETP Holder, and (2) the customer 

can evaluate the special characteristics, 

and is able to bear the financial risks, of 

an investment in the Shares. In 

connection with the suitability 

obligation, the Information Bulletin will 

also provide that ETP Holders must 

make reasonable efforts to obtain the 

following information: (1) The 

customer’s financial status; (2) the 

customer’s tax status; (3) the customer’s 

investment objectives; and (4) such 

other information used or considered to 

be reasonable by such ETP Holder or 

registered representative in making 

recommendations to the customer. 

Further, the Exchange states that 

FINRA has implemented increased sales 

practice and customer margin 

requirements for FINRA members 

applicable to inverse, leveraged and 

inverse leveraged securities (which 

include the Shares) and options on such 

securities, as described in FINRA 

Regulatory Notices 09–31 (June 2009), 

09–53 (August 2009), and 09–65 

(November 2009) (collectively, ‘‘FINRA 

Regulatory Notices’’). ETP Holders that 

carry customer accounts will be 

required to follow the FINRA guidance 

set forth in these notices. As noted 

above, each Fund will seek, on a daily 

basis, investment results that 

correspond (before fees and expenses) to 

4x, or ¥4x, respectively, the 

performance of a Benchmark. Over a 

period of time in excess of one day, the 

cumulative percentage increase or 

decrease in the NAV of the Shares of a 

Fund may diverge significantly from a 

multiple or inverse multiple of the 

cumulative percentage decrease or 

increase in the relevant Benchmark due 

to a compounding effect. 

In addition, the Information Bulletin 

will advise ETP Holders, prior to the 

commencement of trading, of the 

prospectus delivery requirements 

applicable to a Fund. The Information 

Bulletin will also discuss any 

exemptive, no-action, and interpretive 

relief granted by the Commission from 

any rules under the Act. In addition, the 

Information Bulletin will reference that 

a Fund is subject to various fees and 

expenses described in the Registration 

Statement. The Information Bulletin 

will also reference that the CFTC has 

regulatory jurisdiction over the trading 

of Futures Contracts traded on U.S. 

markets. 

The Information Bulletin will also 

disclose the trading hours of the Shares 

and that the NAV for the Shares will be 

calculated as of 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 

Funds’ Web site. 

2. Statutory Basis 

The basis under the Act for this 

proposed rule change is the requirement 

under Section 6(b)(5) 22 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 Equities 

Rule 8.200 and Commentary .02 thereto. 

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. 

Futures Contract closing price and 

settlement prices of are readily available 

from the CME. In addition, such prices 

are available from automated quotation 

systems, published or other public 

sources, or on-line information services. 

Each Benchmark will be disseminated 

by one or more major market data 

vendors every 15 seconds during the 

NYSE Arca Core Trading Session of 9:30 

a.m. to 4:00 p.m. E.T. Quotation and 

last-sale information regarding the 

Shares will be disseminated through the 

facilities of the CTA. The IOPV will be 

disseminated on a per Share basis by 

one or more major market data vendors 

every 15 seconds during the NYSE Arca 

Core Trading Session. The Exchange 

may halt trading during the day in 

which an interruption to the 

dissemination of the IOPV or the value 

of the underlying Benchmark Futures 

Contracts occurs. If the interruption to 

the dissemination of the IOPV or the 

value of the underlying Benchmark 

Futures Contracts persists past the 

trading day in which it occurred, the 

Exchange will halt trading no later than 

the beginning of the trading day 

following the interruption. In addition, 

if the Exchange becomes aware that the 

NAV with respect to the Shares 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. 

The proposed rule change is designed 

to promote just and equitable principles 

of trade and to protect investors and the 

public interest in that a large amount of 

information will be publicly available 

regarding the Funds and the Shares, 

thereby promoting market transparency. 

Quotation and last sale information for 

the Futures Contracts are widely 

disseminated through a variety of major 

market data vendors worldwide. 

Complete real-time data for such 

contracts is available by subscription 

from Reuters and Bloomberg. The CME 

also provides delayed futures 

information on current and past trading 

sessions and market news free of charge 

on their Web sites. Each Benchmark will 

be disseminated by one or more major 

market data vendors every 15 seconds 

during the NYSE Arca Core Trading 

Session of 9:30 a.m. to 4:00 p.m. E.T. 

The NAV per Share will be calculated 

daily and made available to all market 

participants at the same time. NYSE 

Arca will calculate and disseminate 

every 15 seconds throughout the NYSE 

Arca Core Trading Session an updated 

IOPV. 

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 additional types of exchange-traded 

products that are principally exposed to 

futures contracts and 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 via 

ISG from other exchanges that are 

members of ISG or with which the 

Exchange has in place a CSSA. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purpose of the Act. The Exchange 

notes that the proposed rule change will 

facilitate the listing and trading of 

mstockstill on DSK30JT082PROD with NOTICES

39484 Federal Register / Vol. 82, No. 159 / Friday, August 18, 2017 / Notices 

23 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. 34–81037 

(June 28, 2017), 82 FR 31121 (July 5, 2017) (SR– 

ICC–2017–010) (‘‘Notice’’). 

additional types of exchange-traded 

products that are principally exposed to 

futures contracts and that 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. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or (ii) as to which 

the self-regulatory organization 

consents, the Commission will: 

(A) By order approve or disapprove 

the proposed rule change, or 

(B) institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

NYSEArca–2017–69 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–2017–69. 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 Web site (http://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 Web site 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 

10:00 a.m. and 3:00 p.m. Copies of the 

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change; 

the Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR– 

NYSEArca–2017–69, and should be 

submitted on or before September 8, 

2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.23

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–17433 Filed 8–17–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81386; File No. SR–ICC– 

2017–010] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Approving 

Proposed Rule Change To Revise the 

ICC Clearing Rules and the ICC 

Treasury Operations Policies and 

Procedures 

August 14, 2017. 

I. Introduction 

On June 16, 2017, ICE Clear Credit 

LLC (‘‘ICC’’) 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 

(SR–ICC–2017–010) to make changes to 

the ICC Clearing Rules (the ‘‘ICC Rules’’) 

and ICC Treasury Operations Policies 

and Procedures (‘‘Treasury Policy’’) to 

remove eligibility of Japanese yen 

(‘‘JPY’’), Great British pounds (‘‘GBP’’), 

and Canadian dollars (‘‘CAD’’) to meet 

Initial Margin (‘‘IM’’) and Guaranty 

Fund (‘‘GF’’) requirements. The 

proposed rule change was published for 

comment in the Federal Register on July 

5, 2017.3 The Commission received no 

comment letters regarding the proposed 

change. For the reasons discussed 

below, the Commission is approving the 

proposed rule change. 

II. Description of the Proposed Rule 

Change 

ICC has proposed changes to 

Schedule 401 of the ICC Rules and to its 

Treasury Policy. The proposed changes 

would remove JPY, GBP, and CAD from 

eligibility to meet IM and GF 

requirements. Currently, a Clearing 

Participant may meet the final 35% of 

their IM and GF requirements with JPY, 

GBP, or CAD, in aggregate. Under the 

proposed revisions, Clearing 

Participants would continue to be able 

to meet their IM and GF requirements 

using Euro cash, U.S. cash, and/or U.S. 

Treasuries, in accordance with the 

applicable collateral thresholds. 

Specifically, with respect to Schedule 

401 of the ICC Rules, ICC proposed 

removing references to G7 cash (which 

includes U.S. cash, Euro cash, JPY, GBP, 

and CAD) and defining ‘‘All Eligible 

Collateral’’ for both Non-Client IM and 

GF Liquidity Requirements and ClientRelated IM Liquidity Requirements to be 

US cash, Euro cash, and/or U.S. 

Treasuries. Under the proposed 

changes, U.S. cash, Euro cash, and/or 

U.S. Treasuries would be eligible for 

meeting the final 35% of IM and GF 

requirements for all Non-Client IM and 

GF Liquidity Requirements and ClientRelated U.S. dollar (‘‘USD’’) 

denominated IM Requirements; and 

U.S. cash, Euro cash, and/or U.S. 

Treasuries would be eligible for meeting 

a maximum of 100% of IM requirements 

for Client-Related Euro-Denominated 

Product Requirements. 

In addition, ICC proposed to update 

its Treasury Policy to remove references 

to JPY, GBP, and CAD as eligible 

collateral. Under the proposed changes, 

ICC would remove references to JPY, 

GBP, and CAD in the ‘‘Collateral 

Liquidation Assumptions’’ tables (for 

both Euro and USD denominated 

requirements). ICC would also update 

the ‘‘Eligible Client Collateral’’ section 

of the Treasury Policy to note that its 

eligible collateral for client IM includes 

U.S. cash, Euro cash, and U.S. 

government securities in line with 

current eligible collateral for House 

exposures (i.e., U.S. Treasuries). ICC 

also would revise the ‘‘Client-Related 

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