Document ID: SEC-2010-0866-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: NYSE Arca, Inc.
Posted Date: 2010-06-15T04:00Z

[Federal Register: June 15, 2010 (Volume 75, Number 114)]
[Notices]               
[Page 33861-33866]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr15jn10-123]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-62237; File No. SR-NYSEArca-2010-44]

 
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change Relating to the United States Commodity Index 
Fund

June 7, 2010.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that, on May 25, 2010, NYSE Arca, Inc. (``Exchange'' or ``NYSE Arca'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed rule change as described in Items I, II, and III below, which 
Items have been prepared by the Exchange. The Commission is publishing 
this notice to solicit comments on the proposed rule change from 
interested persons.
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    \1\ 15 U.S.C.78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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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 United States 
Commodity Index Fund under NYSE Arca Equities Rule 8.200, Commentary 
.02. The text of the proposed rule change is available at the Exchange, 
the Commission's Public Reference Room, and http://www.nyse.com.

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
    NYSE Arca Equities Rule 8.200, Commentary .02 permits the trading 
of Trust Issued Receipts (``TIRs'') either by listing or pursuant to 
unlisted trading privileges (``UTP'').\3\ The Exchange proposes to list 
and trade shares (``Units'') of the United States Commodity Index Fund 
(``USCI'' or ``Fund'') pursuant to NYSE Arca Equities Rule 8.200.\4\ 
The Fund is a commodity pool that is a series of United States 
Commodity Index Funds Trust (``Trust''), a Delaware statutory trust.\5\
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    \3\ Commentary .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.
    \4\ The Commission previously has approved listing on the 
Exchange under Commentary .02 to NYSE Arca Equities Rule 8.200 of 
certain securities issuers holding commodities-related instruments. 
See, e.g., Securities Exchange Act Release No. 58457 (September 3, 
2008), 73 FR 52711 (September 10, 2008) (SR-NYSEArca-2008-91) (order 
granting accelerated approval to list on NYSE Arca of 14 ProShares 
funds). The Commission also has approved issues of Partnership Units 
based on commodities, which are listed on the Exchange pursuant to 
NYSE Arca Equities Rule 8.300 and which have certain characteristics 
similar to the Units. See, e.g., Securities Exchange Act Release 
Nos. 59173 (December 29, 2008), 74 FR 490 (January 6, 2009) (SR-
NYSEArca-2008-125) (order approving listing and trading of United 
States Short Oil Fund, LP); and 61881 (April 9, 2010), 75 FR 20028 
(April 16, 2010) (SR-NYSEArca-2010-14) (order approving listing on 
the Exchange of United States Brent Oil Fund).
    \5\ The Fund has filed Amendment No. 3 to Form S-1, dated May 
25, 2010 (File No. 333-164024) (``Registration Statement''). The 
description of the Fund and the Units contained herein are based on 
the Registration Statement. See E-mail from Michael Cavalier, Chief 
Counsel, NYSE Euronext, to Edward Cho, Special Counsel, Division of 
Trading and Markets, Commission, dated June 2, 2010 (``Exchange 
Confirmation'').
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Overview of USCI
    According to the Registration Statement, the investment objective 
of USCI is to have the daily changes in percentage terms of the Units' 
net asset value (``NAV'') reflect the daily changes in percentage terms 
of the SummerHaven Dynamic Commodity Index (``SDCI'') Total Return (the 
``Index''), less USCI's expenses. The Index is designed to reflect the 
performance of a diversified group of commodities. The Index is owned 
and maintained by SummerHaven Index Management, LLC (``SummerHaven 
Indexing''), and calculated and published by Bloomberg, L.P. 
(``Bloomberg''). The Index was developed based upon academic research 
by Yale University professors Gary B. Gorton and K. Geert Rouwenhorst, 
and Hitotsubashi University professor Fumio Hayashi.
    USCI's sponsor is United States Commodity Funds LLC (``USCF'' or 
the ``Sponsor''), a Delaware limited liability company that is 
registered as a commodity pool operator with the Commodity Futures 
Trading Commission (``CFTC'') and a member of the National Futures 
Association (``NFA''). The Sponsor controls the operations of USCI. 
USCI's trading advisor is SummerHaven Investment Management, LLC 
(``SummerHaven''), a Delaware limited liability company that is 
registered as a commodity trading advisor and a commodity pool operator 
with the CFTC and is a member of the NFA. SummerHaven provides advisory 
services to the Sponsor with respect to the Index and the investment 
decisions of USCI. The Sponsor, SummerHaven Indexing, SummerHaven, and 
Bloomberg are not affiliated with a broker-dealer and are subject to 
procedures designed to prevent the use and dissemination of material

[[Page 33862]]

nonpublic information regarding the Index or the Fund's portfolio.\6\
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    \6\ In the event the Sponsor, SummerHaven Indexing, SummerHaven, 
or Bloomberg become affiliated with a broker-dealer, they will be 
required to implement a fire wall with respect to such broker-dealer 
regarding access to information concerning the composition and/or 
changes to a portfolio.
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    According to the Registration Statement, it is anticipated that the 
net assets of USCI will consist primarily of investments in futures 
contracts for commodities that are traded on the New York Mercantile 
Exchange (``NYMEX''), ICE Futures (``ICE''), Chicago Board of Trade 
(``CBOT''), Chicago Mercantile Exchange (``CME''), London Metal 
Exchange (``LME''), Commodity Exchange, Inc. (``COMEX'') or on other 
foreign exchanges (such exchanges, collectively, the ``Futures 
Exchanges'') (such futures contracts, collectively, ``Futures 
Contracts'') and, to a lesser extent, in order to comply with 
regulatory requirements or in view of market conditions, other 
commodity-based contracts and instruments such as cash-settled options 
on Futures Contracts, forward contracts relating to commodities, 
cleared swap contracts and other over-the-counter transactions that are 
based on the price of commodities and Futures Contracts (collectively, 
``Other Commodity-Related Investments''). Market conditions that the 
Sponsor currently anticipates could cause USCI to invest in Other 
Commodity-Related Investments would be those allowing USCI to obtain 
greater liquidity or to execute transactions with more favorable 
pricing. Futures Contracts and Other Commodity-Related Investments 
collectively are referred to herein as ``Commodity Interests.'' The 
Sponsor expects to manage USCI's investments directly, using the 
trading advisory services of SummerHaven for guidance with respect to 
the Index and USCF's selection of investments on behalf of USCI.
    USCI seeks to achieve its investment objective by investing in 
Futures Contracts and Other Commodity-Related Investments such that 
daily changes in USCI's NAV will closely track the changes in the 
Index.\7\ The Index is comprised of 14 Futures Contracts that will be 
selected on a monthly basis from a list of 27 possible Futures 
Contracts. The Futures Contracts that at any given time make up the 
Index are referred to herein as ``Benchmark Component Futures 
Contracts.'' USCI anticipates that to meet its investment objective it 
will invest first, in the current Benchmark Component Futures Contracts 
and other Futures Contracts intended to replicate the return on the 
current Benchmark Component Futures Contracts and, thereafter, to 
comply with regulatory requirements or in view of market conditions, in 
Other Commodity-Related Investments intended to replicate the return on 
the Benchmark Component Futures Contracts, including cleared swap 
contracts and other over-the-counter transactions, and in other Futures 
Contracts.
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    \7\ Futures Contracts may have various expiration dates.
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    USCI's positions in Commodity Interests will be rebalanced on a 
monthly basis in order to track the changing nature of the Index. If 
Futures Contracts relating to a particular commodity remains in the 
Index from one month to the next, such Futures Contracts will be 
rebalanced to the 7.14% target weight, as described below. 
Specifically, on a specified day near the end of each month called the 
Selection Date (as defined below),\8\ it will be determined if a 
current Benchmark Component Futures Contract will be replaced by a new 
Futures Contract in either the same or different underlying commodity 
to be used as a Benchmark Component Futures Contract for the following 
month, in which case USCI's investments would have to be changed 
accordingly. In order that USCI's trading does not unduly cause 
extraordinary market movements, and to make it more difficult for third 
parties to profit by trading based on market movements that could be 
expected from changes in the Benchmark Component Futures Contracts, 
USCI's investments typically will not be rebalanced entirely on a 
single day, but rather will typically be rebalanced over a period of 
four days. After fulfilling the margin and collateral requirements with 
respect to its Commodity Interests, USCI will invest the remainder of 
its proceeds from the sale of baskets in short-term obligations of the 
United States government (``Treasury Securities'') or cash equivalents, 
and/or hold such assets in cash (generally in interest-bearing 
accounts).
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    \8\ See Exchange Confirmation, supra note 5.
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    According to the Registration Statement, the Sponsor endeavors to 
place USCI's trades in Commodity Interests and otherwise manage USCI's 
investments so that A will be within plus/minus 10 percent of B, where:
     A is the average daily change in USCI's NAV for any period 
of 30 successive valuation days, i.e., any NYSE Arca trading day as of 
which USCI calculates its NAV, and
     B is the average daily change in the Index over the same 
period.
    The Sponsor believes that market arbitrage opportunities will cause 
USCI's Unit price on NYSE Arca to closely track USCI's NAV per Unit. 
The Sponsor believes that the net effect of this expected relationship 
and the expected relationship described above between USCI's NAV and 
the Index will be that the changes in the price of USCI's Units on the 
NYSE Arca will closely track, in percentage terms, changes in the 
Index, less USCI's expenses.
    The Sponsor will employ a ``neutral'' investment strategy intended 
to track the changes in the Index regardless of whether the Index goes 
up or goes down. The Sponsor does not intend to operate USCI in a 
fashion such that its per Unit NAV will equal, in dollar terms, the 
spot prices of the commodities comprising the Index or the prices of 
any particular group of Futures Contracts.
    USCI creates and redeems Units only in blocks called Creation 
Baskets and Redemption Baskets, respectively. Only Authorized 
Purchasers may purchase or redeem Creation Baskets or Redemption 
Baskets. The creation and redemption of baskets are only made in 
exchange for delivery to USCI or the distribution by USCI of the amount 
of Treasury Securities and/or cash equal to the combined NAV of the 
number of Units included in the baskets being created or redeemed, 
determined as of 4 p.m. Eastern time (``E.T.'') on the day the order to 
create or redeem baskets is properly received.
    All proceeds from the sale of Creation Baskets will be invested as 
quickly as practicable in the investments described in the Registration 
Statement. Investments and related margin or collateral are held 
through USCI's custodian, Brown Brothers Harriman & Co. 
(``Custodian''), in accounts with USCI's commodity futures brokers or, 
in some instances when agreed to by USCI, in collateral accounts held 
by third parties with respect to its non-exchange traded or cleared 
over-the-counter Commodity Interests.
    The principal types of Commodity Interests in which USCI may invest 
are set forth in the Registration Statement and include futures 
contracts, forward contracts, swaps or options on futures contracts,\9\ 
forward contracts or commodities on the spot market.
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    \9\ See Exchange Confirmation, supra note 5.
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    USCI will invest in Commodity Interests to the fullest extent 
possible without being leveraged or unable to satisfy its current or 
potential margin or

[[Page 33863]]

collateral obligations with respect to its investments in Commodity 
Interests. The primary focus of the Sponsor is the investment in 
Commodity Interests and the management of USCI's investments in 
Treasury Securities, cash and/or cash equivalents.
    USCI seeks to achieve its investment objective by investing in a 
mix of Commodity Interests such that the changes in its NAV will 
closely track the changes in the Index. USCI's positions in Commodity 
Interests will be rebalanced on a monthly basis in order to track the 
changing nature of the Index. The portfolio rebalancing takes place 
during the last four business days of the month (``Rebalancing 
Period''). At the end of each of the days in the Rebalancing Period, 
one fourth of the prior month portfolio positions are replaced by 
equally-weighted positions reflecting the particular Benchmark 
Component Futures Contracts determined on the selection date, which is 
the fifth business day before the end of the month (``Selection 
Date''). At the end of the Rebalancing Period, the Index will have an 
equal-weight position of approximately 7.14% in each of the selected 
Benchmark Component Futures Contracts which will be reflected in the 
rebalanced portfolio. After fulfilling the collateral requirements with 
respect to its Commodity Interests, USCI will invest the remainder of 
its proceeds from the sale of baskets in short-term Treasury Securities 
or cash equivalents, and/or hold such assets in cash (generally in 
interest-bearing accounts).
    According to the Registration Statement, the specific Commodity 
Interests purchased will depend on various factors, including a 
judgment by the Sponsor as to the appropriate diversification of USCI's 
investments. While the Sponsor anticipates significant investments in 
Futures Contracts on the Futures Exchanges, for various reasons, 
including the ability to enter into the precise amount of exposure to 
the commodities market and position limits on Futures Contracts, it may 
also invest in Other Commodity-Related Investments, such as swaps, in 
the over-the-counter market. If USCI is required by law or regulation, 
or by one of its regulators, including a Futures Exchange, to reduce 
its position in one or more Futures Contracts to the applicable 
position limit or to a specified accountability level, a substantial 
portion of USCI's assets could be invested in Other Commodity-Related 
Investments that are intended to replicate the return on the Index or 
particular Benchmark Component Futures Contracts. As USCI's assets 
reach higher levels, USCI is more likely to exceed position limits, 
accountability levels or other regulatory limits and, as a result, it 
is more likely that it will invest in Other Commodity-Related 
Investments at such higher levels.\10\
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    \10\ See note 15, infra.
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    The Sponsor may not be able to fully invest USCI's assets in 
Futures Contracts having an aggregate notional amount exactly equal to 
USCI's NAV. For example, as standardized contracts, the Benchmark 
Component Futures Contracts included in the Index are for a specified 
amount of a particular commodity, and USCI's NAV and the proceeds from 
the sale of a Creation Basket is unlikely to be an exact multiple of 
the amounts of those contracts. As a result, in such circumstances, 
USCI may be better able to achieve the exact amount of exposure to 
changes in price of the Benchmark Component Futures Contracts through 
the use of Other Commodity-Related Investments, such as over-the-
counter contracts that have better correlation with changes in price of 
the Benchmark Component Futures Contracts.\11\
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    \11\ See Exchange Confirmation, supra note 5.
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    USCI anticipates that, to the extent it invests in Futures 
Contracts other than the Benchmark Component Futures Contracts and 
Other Commodity-Related Investments, it will enter into various non-
exchange-traded derivative contracts to hedge the short-term price 
movements of such Futures Contracts and Other Commodity-Related 
Investments against the current Benchmark Component Futures Contracts.
Index Methodology
    According to the Registration Statement, the Index is designed to 
reflect the performance of a fully margined or collateralized portfolio 
of 14 commodity futures contracts with equal weights, selected each 
month from a universe of 27 eligible commodity futures contracts. The 
Index is rules-based and rebalanced monthly based on observable price 
signals. The overall return on the Index is generated by two 
components: (i) Uncollateralized returns from the commodity Benchmark 
Component Futures Contracts \12\ comprising the Index; and (ii) a daily 
fixed income return reflecting the interest earned on a hypothetical 3-
month U.S. Treasury Bill collateral portfolio, calculated using the 
weekly auction rate for the 3-month U.S. Treasury Bills published by 
the U.S. Department of the Treasury. SummerHaven Indexing is the owner 
of the Index.
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    \12\ See id.
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    The Index is composed of physical non-financial commodity futures 
contracts with active and liquid markets traded upon futures exchanges 
in major industrialized countries. The Benchmark Component Futures 
Contracts \13\ are denominated in U.S. dollars and weighted equally by 
notional amount. The commodity sectors for the Index include grains 
(e.g., wheat, corn, soybeans, etc.), precious metals (e.g., gold, 
silver, platinum), industrial metals (e.g., zinc, nickel, aluminum, 
copper, etc.), livestock (e.g., live cattle, lean hogs, feeder cattle), 
softs (e.g., sugar, cotton, coffee, cocoa) and energy (e.g., crude oil, 
natural gas, heating oil, etc.).
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    \13\ See id.
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    The eligible commodities and relevant Futures Exchange on which the 
Futures Contract is listed are as follows: \14\
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    \14\ See id.

--------------------------------------------------------------------------------------------------------------------------------------------------------
                                      Designated                                                Position limits     Position limits      Trading hours
            Commodity                  contract            Exchange              Units         single month \15\      all months            (E.T.)
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Crude Oil (Brent)...............  Crude Oil.........  ICE-UK............  1,000 barrels.....  none..............  none..............  8 p.m.-6 p.m.
                                                                                                                                       (next day).
Crude Oil (WTI).................  Light, Sweet Crude  NYMEX.............  1,000 barrels.....  none..............  none..............  10 a.m.-2:30 p.m.
                                   Oil.
Gas Oil.........................  Gas Oil...........  ICE-UK............  100 metric tons...  none..............  none..............  8 p.m.-6 p.m.
                                                                                                                                       (next day).
Heating Oil.....................  Heating Oil.......  NYMEX.............  42,000 gallons....  none..............  none..............  9 a.m.-2:30 p.m.
Natural Gas.....................  Henry Hub Natural   NYMEX.............  10,000 mmbtu......  none..............  none..............  9 a.m.-2:30 p.m.
                                   Gas.

[[Page 33864]]

Unleaded Gasoline...............  Reformulated        NYMEX.............  42,000 gallons....  none..............  none..............  9 a.m.-2:30 p.m.
                                   Blendstock for
                                   Oxygen Blending
                                   ``RBOB''.
Feeder Cattle...................  Feeder Cattle.....  CME...............  50,000 lbs........  1,600.............  1,600.............  10:05 a.m.-2 p.m.
Lean Hogs.......................  Lean Hogs.........  CME...............  40,000 lbs........  4,100.............  4,100.............  9:10 a.m.-1 p.m.
Live Cattle.....................  Live Cattle.......  CME...............  40,000 lbs........  5,400.............  5,400.............  10:05 a.m.-2 p.m.
Bean Oil........................  Bean Oil..........  CBOT..............  60,000 lbs........  5,000.............  6,500.............  10:30 a.m.-2:15
                                                                                                                                       p.m.
Corn............................  Corn..............  CBOT..............  5,000 bushels.....  13,500............  22,000............  10:30 a.m.-2:15
                                                                                                                                       p.m.
Soybeans........................  Soybeans..........  CBOT..............  5,000 bushels.....  6,500.............  10,000............  10:30 a.m.-2:15
                                                                                                                                       p.m.
Soybean Meal....................  Soybean Meal......  CBOT..............  100 tons..........  5,000.............  6,500.............  10:30 a.m.-2:15
                                                                                                                                       p.m.
Wheat...........................  Wheat.............  CBOT..............  5,000 bushels.....  5,000.............  6,500.............  10:30 a.m.-2:15
                                                                                                                                       p.m.
Aluminum........................  High Grade Primary  LME...............  25 metric tons....  none..............  none..............  6:55 a.m.-12 p.m.
                                   Aluminum.
Copper..........................  Copper............  COMEX.............  25,000 lbs........  none..............  none..............  8:10 a.m.-1 p.m.
Lead............................  Lead..............  LME...............  25 metric tons....  none..............  none..............  3 p.m.-2:45 p.m.
                                                                                                                                       (next day).
Nickel..........................  Primary Nickel....  LME...............  6 metric tons.....  none..............  none..............  3 p.m.-2:45 p.m.
                                                                                                                                       (next day).
Tin.............................  Tin...............  LME...............  5 metric tons.....  none..............  none..............  3 p.m.-2:45 p.m.
                                                                                                                                       (next day).
Zinc............................  Special High Grade  LME...............  25 metric tons....  none..............  none..............  3 p.m.-2:45 p.m.
                                   Zinc.                                                                                               (next day).
Gold............................  Gold..............  COMEX.............  100 troy oz.......  none..............  none..............  8:20 a.m.-1:30
                                                                                                                                       p.m.
Platinum........................  Platinum..........  NYMEX.............  50 troy oz........  none..............  none..............  8:20 a.m.-1:05
                                                                                                                                       p.m.
Silver..........................  Silver............  COMEX.............  5,000 troy oz.....  none..............  none..............  8:25 a.m.-1:25
                                                                                                                                       p.m.
Cocoa...........................  Cocoa.............  ICE-US............  10 metric tons....  none..............  none..............  4 a.m.-2 p.m.
Coffee..........................  Coffee ``C''......  ICE-US............  37,500 lbs........  none..............  none..............  3:30 a.m.-2 p.m.
Cotton..........................  Cotton............  ICE-US............  50,000 lbs........  3,500.............  5,000.............  9 p.m.-2:30 p.m.
Sugar...........................  World Sugar No. 11  ICE-US............  112,000 lbs.......  none..............  none..............  3:30 a.m.-2 p.m.
--------------------------------------------------------------------------------------------------------------------------------------------------------
\15\ The Sponsor has represented that the positions limits in the chart above reflect fixed limits on the maximum number of futures contracts that any
  person may hold in a single month or all months combined for a given contract as of date of the date of this filing. These limits are subject to
  change and may be altered if a proposed rule by the CFTC to impose new position limits on energy futures contracts is implemented (see 75 FR 1209
  (January 26, 2010)), if federal financial regulatory reform is passed by Congress, or in a variety of other ways. In addition to the specific position
  limits noted above, many of the futures contracts listed in the chart above are also subject to position limits in the spot or expiration month of
  such contract, in addition to various accountability levels and/or other limits that allow the Futures Exchanges to exercise greater scrutiny and
  control over an investor's positions. A more complete description of the limits placed upon these futures contracts is available in the Registration
  Statement.

    Values of the Index are computed by Bloomberg and disseminated 
approximately every fifteen seconds from 8 a.m. to 5 p.m., E.T., which 
also publishes a daily Index value at approximately 5:30 p.m., E.T. 
Additional information regarding calculation of the Index and the 
selection of eligible commodities is included in the Registration 
Statement. In addition, the Registration Statement contains detailed 
information regarding the Index methodology.
    The Fund will meet the initial and continued listing requirements 
applicable to Trust Issued Receipts in NYSE Arca Equities Rule 8.200 
and Commentary .02 thereto. With respect to application of Rule 10A-3 
under the Act,\16\ the Trust relies on the exception contained in Rule 
10A-3(c)(7).\17\ A minimum of 100,000 Units will be outstanding as of 
the start of trading on the Exchange.
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    \16\ 17 CFR 240.10A-3.
    \17\ 17 CFR 240.10A-3(c)(7).
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    A more detailed description of the Units, the Fund, the Index and 
Commodity Interests as well as investment risks, are set forth in the 
Registration Statement. All terms relating to the Fund that are 
referred to, but not defined in, this proposed rule change are defined 
in the Registration Statement.
Availability of Information Regarding the Units
    The NAV for the Fund will be calculated by the Administrator, 
(Brown Brothers Harriman & Co., Inc.), once a day and will be 
disseminated daily to all market participants at the same time. The 
Exchange will make available on its Web site daily trading volume of 
each of the Units, closing prices of such Units, and number of Units 
outstanding.
    The closing prices and settlement prices of the Futures Contracts 
are also readily available from the Web sites of the applicable futures 
exchanges, automated quotation systems, published or other public 
sources, or online information services such as Bloomberg or Reuters. 
Complete real-time data for the Futures Contracts is available by 
subscription from Reuters and Bloomberg. The relevant futures exchanges 
also provide delayed futures information on current and past trading 
sessions and market news free of charge

[[Page 33865]]

on their respective Web sites. The specific contract specifications for 
the Futures Contracts are also available on such Web sites, as well as 
other financial informational sources. Quotation and last-sale 
information regarding the Units will be disseminated through the 
facilities of the CTA. In addition, the Fund's Web site at http://
www.unitedstatescommodityindexfund.com will display the end of day 
closing index levels, and NAV.
    The Fund will provide Web site disclosure of portfolio holdings 
daily and will include, as applicable, the names and value (in U.S. 
dollars) of Financial Instruments and characteristics of such 
instruments and cash equivalents, and amount of cash held in the 
portfolio of the Fund. This Web site disclosure of the portfolio 
composition of the Fund will occur at the same time as the disclosure 
by the Sponsor of the portfolio composition to Authorized Purchasers so 
that all market participants are provided portfolio composition 
information at the same time. Therefore, the same portfolio information 
will be provided on the public Web site as well as in electronic files 
provided to Authorized Purchasers. Accordingly, each investor will have 
access to the current portfolio composition of the Fund through the 
Fund's Web site.
Dissemination of Indicative Trust Value
    In addition, in order to provide updated information relating to 
the Fund for use by investors and market professionals, an updated 
Indicative Trust Value (``ITV'') will be calculated. The ITV is 
calculated by using the prior day's closing NAV per Unit of the Fund as 
a base and updating that value throughout the NYSE Arca Core Trading 
Session of 9:30 a.m. to 4 p.m. E.T. each trading day to reflect current 
changes in the value of the Futures Contracts. The ITV disseminated 
during the Trading Session should not be viewed as an actual real time 
update of the NAV, which is calculated only once a day.
    The ITV will be disseminated on a per Unit basis by one or more 
major market data vendors every 15 seconds during the Core Trading 
Session. The value of a Unit may be influenced by non-concurrent 
trading hours between NYSE Arca and the applicable Futures Exchanges 
when the Units are traded on NYSE Arca after normal trading hours of 
such Futures Exchanges. The ITV will be updated during the NYSE Arca 
Core Trading Session when Futures Exchanges are trading any Futures 
Contracts held by the Fund. However, a static ITV will be disseminated 
between the close of trading of all applicable Futures Contracts on 
Futures Exchanges and the close of the NYSE Arca Core Trading Session.
    The Exchange believes that dissemination of the ITV provides 
additional information regarding the Fund that is not otherwise 
available to the public and is useful to professionals and investors in 
connection with the related Units trading on the Exchange or the 
creation or redemption of such Units.
Trading Rules
    The Exchange deems the Units to be equity securities, thus 
rendering trading in the Units subject to the Exchange's existing rules 
governing the trading of equity securities. Units will trade on the 
NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. The Exchange has 
appropriate rules to facilitate transactions in the Units during all 
trading sessions.
    The trading of the Units will be subject to NYSE Arca Equities Rule 
8.200, Commentary .02(e), which sets forth certain restrictions on ETP 
Holders acting as registered Market Makers in Trust Issued Receipts to 
facilitate surveillance. See ``Surveillance'' below for more 
information.
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Units. Trading may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Units inadvisable. These may include: (1) The extent to 
which trading is not occurring in the underlying Futures Contracts,\18\ 
or (2) whether other unusual conditions or circumstances detrimental to 
the maintenance of a fair and orderly market are present. In addition, 
trading in Units will be subject to trading halts caused by 
extraordinary market volatility pursuant to the Exchange's ``circuit 
breaker'' rule \19\ or by the halt or suspension of trading of the 
underlying Futures Contracts.\20\
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    \18\ See Exchange Confirmation, supra note 5.
    \19\ See NYSE Arca Equities Rule 7.12.
    \20\ See Exchange Confirmation, supra note 5.
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    The Exchange represents that the Exchange may halt trading during 
the day in which the interruption to the dissemination of the Index 
value, ITV or the value of the underlying Futures Contracts occurs. If 
the interruption to the dissemination of the Index value, ITV or the 
value of the underlying 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 Units is 
not disseminated to all market participants at the same time, it will 
halt trading in the Units until such time as the NAV is available to 
all market participants.
Surveillance
    The Exchange intends to utilize its existing surveillance 
procedures applicable to derivative products, including Trust Issued 
Receipts, to monitor trading in the Units. The Exchange represents that 
these procedures are adequate to properly monitor Exchange trading of 
the Units in all trading sessions and to deter and detect violations of 
Exchange rules and applicable federal securities laws.
    The Exchange's current trading surveillances focus on detecting 
securities trading outside their normal patterns. 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 is able to 
obtain information regarding trading in the Units, the physical 
commodities included in, or options, futures or options on futures on, 
Units through ETP Holders, in connection with such ETP Holders' 
proprietary or customer trades which they effect on any relevant 
market. The Exchange currently has in place an Information Sharing 
Agreement with the ICE and LME for the purpose of providing information 
in connection with trading in or related to Futures Contracts traded on 
their respective exchanges. The Exchange can obtain market surveillance 
information, including customer identity information, with respect to 
transactions occurring on the exchanges that are members of the 
Intermarket Surveillance Group (``ISG''), including CME, CBOT, COMEX 
and NYMEX. A list of ISG members is available at http://
www.isgportal.org.\21\
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    \21\ The Exchange notes that not all Commodity Interests may 
trade on markets that are members of ISG or with which the Exchange 
has in place a comprehensive surveillance sharing agreement.
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    In addition, with respect to Fund assets traded on exchanges, not 
more than 10% of the weight of such assets in the aggregate shall 
consist of components whose principal trading market is not a member of 
ISG or is a market with which the Exchange does not have a 
comprehensive surveillance sharing agreement.
    The Exchange also has a general policy prohibiting the distribution 
of material, non-public information by its employees.

[[Page 33866]]

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 Units. Specifically, the 
Information Bulletin will discuss the following: (1) The risks involved 
in trading the Units during the Opening and Late Trading Sessions when 
an updated ITV will not be calculated or publicly disseminated; (2) the 
procedures for purchases and redemptions of Units in Creation Baskets 
and Redemption Baskets (and that Units 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 Units; (4) how 
information regarding the ITV is disseminated; (5) the requirement that 
ETP Holders deliver a prospectus to investors purchasing newly issued 
Units prior to or concurrently with the confirmation of a transaction; 
and (6) trading information.
    In addition, the Information Bulletin will advise ETP Holders, 
prior to the commencement of trading, of the prospectus delivery 
requirements applicable to the Fund. The Exchange notes that investors 
purchasing Units directly from the Fund will receive a prospectus. ETP 
Holders purchasing Units from the Fund for resale to investors will 
deliver a prospectus to such investors. 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 the 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 Futures Contracts traded on U.S. 
markets.
    The Information Bulletin will also disclose the trading hours of 
the Units of the Fund and that the NAV for the Units is calculated 
after 4 p.m. E.T. each trading day. The Bulletin will disclose that 
information about the Units of the Fund is publicly available on the 
Fund's Web site.
2. Statutory Basis
    The proposed rule change is consistent with Section 6(b) of the 
Act,\22\ in general, and furthers the objectives of Section 
6(b)(5),\23\ in particular, in that it is designed to prevent 
fraudulent and manipulative acts and practices, to promote just and 
equitable principles of trade, to foster cooperation and coordination 
with persons engaged in facilitating transactions in securities, and to 
remove impediments to and perfect the mechanism of a free and open 
market and a national market system. The Exchange believes that the 
proposed rule change will permit the listing of an additional issuance 
of Trust Issued Receipts on the Exchange that will enhance competition 
among market participants, to the benefit of investors and the 
marketplace. In addition, the listing and trading criteria set forth in 
Rule 8.200 are intended to protect investors and the public interest.
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    \22\ 15 U.S.C. 78f(b).
    \23\ 15 U.S.C. 78f(b)(5).
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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.

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 35 days of the date of publication of this notice in the 
Federal Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date 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 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 e-mail to rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2010-44 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-NYSEArca-2010-44. This 
file number should be included on the subject line if e-mail 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 a.m. and 3 p.m. Copies of such 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 
publicly available. All submissions should refer to File Number SR-
NYSEArca-2010-44 and should be submitted on or before July 6, 2010.
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    \24\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\24\
Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-14365 Filed 6-14-10; 8:45 am]
BILLING CODE 8011-01-P