Document ID: SEC-2010-1910-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: NYSE Arca, Inc.
Posted Date: 2010-12-15T05:00Z

[Federal Register Volume 75, Number 240 (Wednesday, December 15, 2010)]
[Notices]
[Pages 78290-78295]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2010-31455]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-63493; File No. SR-NYSEArca-2010-110]

Self-Regulatory Organizations; NYSE Arca Inc.; Notice of Filing 
of Proposed Rule Change To List and Trade Shares of the Teucrium 
Natural Gas Fund Under NYSE Arca Equities Rule 8.200

December 9, 2010.
    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 December 3, 2010, 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.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 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 Teucrium 
Natural Gas Fund under NYSE Arca Equities Rule 8.200. 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'').\4\ The Exchange proposes to list 
and trade shares (``Shares'') of the Teucrium Natural Gas Fund 
(``Fund'') pursuant to NYSE Arca Equities Rule 8.200.
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    \4\ 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.
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    The Exchange notes that the Commission has previously approved the 
listing and trading of other issues of Trust Issued Receipts on the 
American Stock Exchange LLC,\5\ trading on NYSE Arca pursuant to 
unlisted trading privileges (``UTP''),\6\ and listing on NYSE Arca.\7\ 
Among these is the Teucrium Corn Fund, a series of the Teucrium 
Commodity Trust (``Trust'').\8\ In addition, the Commission has 
approved other exchange-traded fund-like products linked to the 
performance of underlying commodities.\9\
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    \5\ See, e.g., Securities Exchange Act Release No. 58161 (July 
15, 2008), 73 FR 42380 (July 21, 2008) (SR-Amex-2008-39).
    \6\ See, e.g., Securities Exchange Act Release No. 58163 (July 
15, 2008), 73 FR 42391 (July 21, 2008) (SR-NYSEArca-2008-73).
    \7\ See, e.g., Securities Exchange Act Release No. 58457 
(September 3, 2008), 73 FR 52711 (September 10, 2008) (SR-NYSEArca-
2008-91).
    \8\ See Securities Exchange Act Release No. 62213 (June 3, 
2010), 75 FR 32828 (June 9, 2010) (SR-NYSEArca-2010-22) (order 
approving listing on the Exchange of Teucrium Corn Fund).
    \9\ See, e.g., Securities Exchange Act Release Nos. 57456 (March 
7, 2008), 73 FR 13599 (March 13, 2008) (SR-NYSEArca-2007-91) (order 
granting accelerated approval for NYSE Arca listing the iShares GS 
Commodity Trusts); 59781 (April 17, 2009), 74 FR 18771 (April 24, 
2009) (SR-NYSEArca-2009-28) (order granting accelerated approval for 
NYSE Arca listing the ETFS Silver Trust); 59895 (May 8, 2009), 74 FR 
22993 (May 15, 2009) (SR-NYSEArca-2009-40) (order granting 
accelerated approval for NYSE Arca listing the ETFS Gold Trust); 
61219 (December 22, 2009), 74 FR 68886 (December 29, 2009) (order 
approving listing on NYSE Arca of the ETFS Platinum Trust).

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[[Page 78291]]

    The Shares represent beneficial ownership interests in the Fund, as 
described in the Registration Statement.\10\ The Fund is a commodity 
pool that is a series of the Trust, a Delaware statutory trust. The 
Fund is managed and controlled by Teucrium Trading, LLC (``Sponsor''). 
The Sponsor is a Delaware limited liability company that is registered 
as a commodity pool operator (``CPO'') with the Commodity Futures 
Trading Commission (``CFTC'') and is a member of the National Futures 
Association.
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    \10\ See Amendment No. 1 to registration statement on Form S-1 
for Teucrium Commodity Trust, dated September 7, 2010 (File No. 333-
167593) relating to the Teucrium Natural Gas Fund (``Registration 
Statement''). The discussion herein relating to the Trust and the 
Shares is based on the Registration Statement.
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Teucrium Natural Gas Fund
    According to the Fund's Registration Statement, the investment 
objective of the Fund is to have the daily changes in percentage terms 
of the Shares' net asset value (``NAV'') reflect the daily changes in 
percentage terms of a weighted average of the following: the nearest to 
spot month March, April, October and November Henry Hub Natural Gas 
Futures Contracts (``Natural Gas Futures Contracts'') traded on the 
NYMEX, weighted 25% equally in each contract month, less the Fund's 
expenses. (This weighted average of the four referenced Natural Gas 
Futures Contracts is referred to herein as the ``Gas Benchmark,'' and 
the four Natural Gas Futures Contracts that at any given time make up 
the Gas Benchmark are referred to herein as the ``Gas Benchmark 
Component Futures Contracts.'').\11\
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    \11\ Natural gas futures volume on NYMEX for 2009 and 2010 
(through October 29, 2010) was 47,864,639 contracts and 52,490,180 
contracts, respectively. As of October 29, 2010, NYMEX open interest 
for natural gas futures was 794,741 contracts, and open interest for 
near month futures was 47,313 contracts. The contract price was 
$40,380 ($4.038 per MMBtu and 10,000 MMBtu per contract). The 
approximate value of all outstanding contracts was $32.1 billion. 
The position limits for all months is 12,000 contracts and the total 
value of contracts if position limits were reached would be 
approximately $484.56 million (based on the $40,380 contract price). 
As of October 29, 2010, open interest in natural gas swaps cleared 
on the NYMEX was approximately 2,618,092 contracts, with an 
approximate value of $26.4 billion ($4.038 per MMBtu and 2,500 MMBtu 
per contract). Natural gas futures are also traded on ICE and the 
European Energy Exchange.
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    The Fund seeks to achieve its investment objective by investing 
under normal market conditions in Gas Benchmark Component Futures 
Contracts or, in certain circumstances, in other Natural Gas Futures 
Contracts traded on the New York Mercantile Exchange (``NYMEX''), 
Intercontinental Exchange (``ICE''), and other foreign exchanges. In 
addition, and to a limited extent, the Fund will invest in natural gas-
based swap agreements that are cleared through the ICE or its 
affiliated provider of clearing services (``Cleared Natural Gas 
Swaps'') to the extent permitted and appropriate in light of the 
liquidity in the Cleared Natural Gas Swap market. Once position limits 
in Natural Gas Futures Contracts are applicable, the Fund may also 
invest first in Cleared Natural Gas Swaps to the extent permitted by 
the position limits applicable to Cleared Natural Gas Swaps and 
appropriate in light of the liquidity in the Cleared Natural Gas Swaps 
market, and then in contracts and instruments such as cash-settled 
options on Natural Gas Futures Contracts and forward contracts, swaps 
other than Cleared Natural Gas Swaps, and other over-the-counter 
transactions that are based on the price of natural gas and Natural Gas 
Futures Contracts (collectively, ``Other Natural Gas Interests'' and 
together with Natural Gas Futures Contracts and Cleared Natural Gas 
Swaps, ``Natural Gas Interests''). The circumstances under which such 
investments in Other Natural Gas Interests may be utilized (e.g., 
imposition of position limits or accountability limits) are discussed 
below.
    Natural Gas Futures Contracts traded on the NYMEX are listed for 
the current year and the next five years. However, the nature of the 
Gas Benchmark is such that the Fund will not hold futures contracts 
beyond approximately the first 14 months of listed Natural Gas Futures 
Contracts.
    It is the intent of the Sponsor to never hold a Gas Benchmark 
Component Futures Contract to spot. For example, in terms of the Gas 
Benchmark, in January of a given year, the Gas Benchmark Component 
Futures Contracts will be the contracts expiring in March (the first-
to-expire Gas Benchmark Component Futures Contract), April (the second-
to-expire Gas Benchmark Component Futures Contract), October (the 
third-to-expire Gas Benchmark Component Futures Contract), and November 
(the fourth-to-expire Gas Benchmark Component Futures Contract). 
Because the next-to-expire Gas Benchmark Component Futures Contract 
(the March contract) will become spot on the third-to-last trading day 
in January, the Sponsor will ``roll'' or change that contract prior to 
the third-to-last trading day in January for a position in the same 
month (March) of the following year, never holding any futures contract 
to spot.
    According to the Registration Statement, the Fund seeks to achieve 
its investment objective primarily by investing in Natural Gas 
Interests such that daily changes in the Fund's NAV will be expected to 
closely track the changes in the Gas Benchmark. The Fund's positions in 
Natural Gas Interests will be changed or ``rolled'' on a regular basis 
in order to track the changing nature of the Gas Benchmark. For 
example, four times a year in the month in which a Gas Benchmark 
Component Futures Contract is set to become the first-to-expire-natural 
[sic] Natural Gas Futures Contract traded on NYMEX (commonly called the 
``spot'' contract), the first-to-expire Gas Benchmark Component 
Contract will become the next-to-expire (spot) Natural Gas Futures 
Contract and will no longer be a Gas Benchmark Component Futures 
Contract, and the Fund's investments will have to be changed 
accordingly. In order that the Fund's trading does not cause unwanted 
market movements and to make it more difficult for third parties to 
profit by trading based on such expected market movements, the Fund's 
investments typically will not be rolled entirely on that day, but will 
typically be rolled over a period of several days.
    Consistent with achieving the Fund's investment objective of 
closely tracking the Gas Benchmark, the Sponsor may for certain reasons 
cause the Fund to enter into or hold Natural Gas Futures Contracts 
other than the Gas Benchmark Component Futures Contracts, Cleared 
Natural Gas Swaps and/or Other Natural Gas Interests. For example, 
certain Cleared Natural Gas Swaps have standardized terms similar to, 
and are priced by reference to, a corresponding Gas Benchmark Component 
Futures Contract. Additionally, Other Natural Gas Interests that do not 
have standardized terms and are not exchange-traded can generally be 
structured as the parties to the Natural Gas Interest contract desire. 
Therefore, the Fund might enter into multiple Other Natural Gas 
Interests, including Cleared Natural Gas Swaps, intended to exactly 
replicate the performance of each of the Gas Benchmark Component 
Futures Contracts, or a single Other Natural Gas Interest designed to 
replicate the performance of the Gas Benchmark as a whole. According to 
the Registration Statement, assuming that there is no default by a 
counterparty to

[[Page 78292]]

an Other Natural Gas Interest, the performance of the Other Natural Gas 
Interest will necessarily correlate exactly with the performance of the 
Gas Benchmark or the applicable Gas Benchmark Component Futures 
Contract. The Fund might also enter into or hold Natural Gas Interests 
other than Gas Benchmark Component Futures Contracts to facilitate 
effective trading, consistent with the discussion of the Fund's 
``roll'' strategy in the preceding paragraph. In addition, the Fund 
might enter into or hold Natural Gas Interests that would be expected 
to alleviate overall deviation between the Fund's performance and that 
of the Gas Benchmark that may result from certain market and trading 
inefficiencies or other reasons.
    The Fund invests in Natural Gas Interests to the fullest extent 
possible without being leveraged or unable to satisfy its expected 
current or potential margin or collateral obligations with respect to 
its investments in Natural Gas Interests.\12\ After fulfilling such 
margin and collateral requirements, the Fund will invest the remainder 
of its proceeds from the sale of baskets in Treasury Securities or cash 
equivalents, and/or hold such assets in cash (generally in interest-
bearing accounts). Therefore, the focus of the Sponsor in managing the 
Fund is investing in Natural Gas Interests and in Treasury Securities, 
cash and/or cash equivalents. The Fund will earn interest income from 
the Treasury Securities and/or cash equivalents that it purchases and 
on the cash it holds through the Fund's Custodian.
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    \12\ The Sponsor represents that the Fund will invest in Natural 
Gas Interests in a manner consistent with the Fund's investment 
objective and not to achieve additional leverage.
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    The Sponsor endeavors to place the Fund's trades in Natural Gas 
Interests and otherwise manage the Fund's investments so that the 
Fund's average daily tracking error against the Gas Benchmark will be 
less than 10 percent over any period of 30 trading days. More 
specifically, the Sponsor will endeavor to manage the Fund so that A 
will be within plus/minus 10 percent of B, where A is the average daily 
change in the Fund's NAV for any period of 30 successive valuation 
days, i.e., any trading day as of which the Fund calculates its NAV, 
and B is the average daily change in the Gas Benchmark over the same 
period.
    The Sponsor employs a ``neutral'' investment strategy intended to 
track the changes in the Gas Benchmark regardless of whether the Gas 
Benchmark goes up or down. The Fund's ``neutral'' investment strategy 
is designed to permit investors generally to purchase and sell the 
Fund's Shares for the purpose of investing indirectly in the natural 
gas market in a cost-effective manner. Such investors may include 
participants in the natural gas market and other industries seeking to 
hedge the risk of losses in their natural gas-related transactions, as 
well as investors seeking exposure to the natural gas market. The 
Sponsor does not intend to operate the Fund in a fashion such that its 
per share NAV will equal, in dollar terms, the spot price of British 
Thermal Units (``MMBtu'') of natural gas or the price of any particular 
Natural Gas Futures Contract.
    According to the Registration Statement, the current accountability 
level for investments at any one time in Natural Gas Futures Contracts 
is 12,000 in any one month. While this is not a fixed ceiling, it is a 
threshold above which the NYMEX may exercise scrutiny and control over 
an investor, including limiting an investor to holding no more than 
12,000 Natural Gas Futures Contracts.
    Cleared Natural Gas Swaps are subject to accountability levels that 
are substantially identical to, but measured separately from, the 
accountability levels on Natural Gas Futures Contracts. Accountability 
levels are imposed by ICE of 48,000 contracts for all months (12,000 
NYMEX NG contract equivalents); and 24,000 (6,000 NYMEX NG contract 
equivalents) for any one month. Exemptions may be obtained from these 
accountability levels for bona fide hedging, risk management and spread 
positions.
    In addition to accountability levels, the NYMEX and ICE may impose 
position limits on contracts held in the last few days of trading in 
the near month contract to expire. It is unlikely that the Fund will be 
subject to such position limits because of the Fund's investment 
strategy to ``roll'' from the near month contract to expire to the same 
month of the following year during the period beginning two weeks from 
the expiration of the contract. The Fund, however, does not believe the 
current position limits imposed by the NYMEX and ICE will have any 
impact on the Fund.\13\
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    \13\ As stated in the Fund's Registration Statement, on July 21, 
2010, ``The Dodd-Frank Wall Street Reform and Consumer Protection 
Act'' (``Dodd-Frank Act'') was signed into law. This new law 
contains broad changes to the financial services industry including 
provisions changing the regulation of commodity interests. Such 
changes include the requirement that position limits on energy-based 
commodity futures contracts be established; new registration, 
recordkeeping, capital and margin requirements for ``swap dealers'' 
and ``major swap participants''; the forced use of clearinghouse 
mechanisms for most over-the-counter transactions; and the 
aggregation, for purposes of position limits, of all positions in 
energy futures held by a single entity and its affiliates, whether 
such positions exist on U.S. futures exchanges, non-U.S. futures 
exchanges, or in over-the-counter contracts. The CFTC has announced 
that in accord with the significant amendments introduced to the 
Commodity Exchange Act of 1936 (``CEA'') (7 U.S.C. 1) by the Dodd-
Frank Act, the CFTC plans to issue a notice of rulemaking proposing 
position limits for regulated exempt commodity contracts, including 
energy commodity contracts, as directed by the CEA. See Federal 
Speculative Position Limits for Referenced Energy Contracts and 
Associated Regulations, 75 FR 50950 (August 18, 2010).
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    The exchanges may also set price fluctuation limits on futures 
contracts. The Natural Gas Futures Contracts price fluctuation limit 
establishes the maximum amount that the price of futures contracts may 
vary either up or down from the previous day's settlement price or for 
the price at which the limit was last imposed. When a price fluctuation 
limit is in effect for a particular futures contract, no trades may be 
made at a price beyond that limit.\14\
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    \14\ For example, the NYMEX imposes a $3.00 per MMBtu ($30,000 
per contract) price fluctuation limit for Natural Gas Futures 
Contracts. This limit is initially based off of the previous NYMEX 
trading day's settlement price. If any Natural Gas Futures Contract 
is traded, bid or offered at the limit for five minutes, trading is 
halted for five minutes. When trading resumes it begins at the point 
where the limit was imposed and the limit is reset to be $3.00 per 
MMBtu in either direction of that point. If another halt were 
triggered, the market would continue to be expanded by $3.00 per 
MMBtu in either direction after each successive five-minute trading 
halt. There is not a maximum price fluctuation limit during any one 
trading session.
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    The Fund does not intend to limit the size of the offering and will 
attempt to expose substantially all of its proceeds to the natural gas 
market utilizing Natural Gas Interests. If the Fund encounters position 
limits, accountability levels, or price fluctuation limits for Natural 
Gas Futures Contracts on the NYMEX or Cleared Natural Gas Swaps on the 
ICE, it may then, if permitted under applicable regulatory 
requirements, purchase Natural Gas Interests, including Natural Gas 
Futures Contracts listed on foreign exchanges. However, the Natural Gas 
Futures Contracts available on such foreign exchanges may have 
different underlying sizes, deliveries, and prices. The Natural Gas 
Futures Contracts available on such foreign exchanges may be subject to 
their own position limits and accountability levels. In any case, 
notwithstanding the potential availability of these instruments in 
certain circumstances, position limits could force the Fund to limit 
the

[[Page 78293]]

number of Creation Baskets (as defined below) that it sells.
Creation and Redemption of Shares
    The Fund creates and redeems Shares only in blocks called Creation 
Baskets and Redemption Baskets, respectively, each consisting of 50,000 
Shares for the Fund. Only Authorized Purchasers may purchase or redeem 
Creation Baskets or Redemption Baskets. An Authorized Purchaser is 
under no obligation to create or redeem baskets, and an Authorized 
Purchaser is under no obligation to offer to the public Shares of any 
baskets it does create. Baskets are generally created when there is a 
demand for Shares, including, but not limited to, when the market price 
per share is at (or perceived to be at) a premium to the NAV per share. 
Similarly, baskets are generally redeemed when the market price per 
share is at (or perceived to be at) a discount to the NAV per share. 
Retail investors seeking to purchase or sell Shares on any day are 
expected to effect such transactions in the secondary market, on the 
NYSE Arca, at the market price per share, rather than in connection 
with the creation or redemption of baskets.
    The total deposit required to create each basket (``Creation Basket 
Deposit'') is the amount of Treasury Securities and/or cash that is in 
the same proportion to the total assets of each Fund (net of estimated 
accrued but unpaid fees, expenses and other liabilities) on the 
purchase order date as the number of Shares to be created under the 
purchase order is in proportion to the total number of Shares 
outstanding on the purchase order date. The redemption distribution 
from the Fund will consist of a transfer to the redeeming Authorized 
Purchaser of an amount of Treasury Securities and/or cash that is in 
the same proportion to the total assets of the Fund (net of estimated 
accrued but unpaid fees, expenses and other liabilities) on the date 
the order to redeem is properly received as the number of Shares to be 
redeemed under the redemption order is in proportion to the total 
number of Shares outstanding on the date the order is received.
    Purchase or redemption orders for Creation and Redemption Baskets 
must be placed by 12 p.m. E.T. or the close of regular trading on the 
New York Stock Exchange, whichever is earlier.
    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 
\15\ under the Act, the Trust relies on the exception contained in Rule 
10A-3(c)(7).\16\ A minimum of 100,000 Shares for the Fund will be 
outstanding as of the start of trading on the Exchange.
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    \15\ 17 CFR 240.10A-3.
    \16\ 17 CFR 240.10A-3(c)(7).
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    A more detailed description of Natural Gas Interests as well as 
investment risks, are set forth in the Registration Statement for the 
Fund. All terms relating to the Fund that are referred to, but not 
defined in, this proposed rule change are defined in the Registration 
Statement.
Net Asset Value
    The NAV for the Fund will be calculated by the Administrator once a 
day and will be disseminated daily to all market participants at the 
same time.\17\ In determining the value of Natural Gas Futures 
Contracts, the Administrator will use the NYMEX closing price (usually 
determined as of 2:30 p.m. E.T.). The value of Cleared Natural Gas 
Swaps and over-the-counter Natural Gas Interests will be determined 
based on the value of the commodity or futures contract underlying such 
Natural Gas Interest, except that a fair value may be determined if the 
Sponsor believes that the Fund is subject to significant credit risk 
relating to the counterparty to such Natural Gas Interest.
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    \17\ The NAV will be calculated by taking the current market 
value of the Fund's total assets and subtracting any liabilities. 
Under the Funds' current operational procedures, the Administrator, 
will calculate the NAV of the Fund's Shares as of the earlier of 4 
p.m. Eastern Time (``E.T.'') or the close of the New York Stock 
Exchange (ordinarily, 4 p.m. E.T.) each day. NYSE Arca will 
calculate an approximate net asset value every 15 seconds throughout 
each day that the Fund's Shares are traded on the NYSE Arca for as 
long as NYMEX's main pricing mechanism is open.
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    Treasury Securities held by the Fund will be valued by the 
Administrator using values received from recognized third-party vendors 
and dealer quotes. NAV will include any unrealized profit or loss on 
open Natural Gas Interests and any other credit or debit accruing to 
the Fund but unpaid or not received by the Fund.
    The Exchange also will disseminate on a daily basis via the 
Consolidated Tape Association (``CTA'') information with respect to 
recent NAV, and shares outstanding. The Exchange will also make 
available on its Web site daily trading volume of the Shares, closing 
prices of such Shares, and the corresponding NAV.
Availability of Information Regarding the Shares
    The Web site for the Fund (http://www.teucriumnaturalgasfund.com) 
and/or the Exchange, which are publicly accessible at no charge, will 
contain the following information: (a) The current NAV per share daily 
and the prior business day's NAV and the reported closing price; (b) 
the midpoint of the bid-ask price in relation to the NAV as of the time 
the NAV is calculated (the ``Bid-Ask Price''); (c) calculation of the 
premium or discount of such price against such NAV; (d) the bid-ask 
price of Shares determined using the highest bid and lowest offer as of 
the time of calculation of the NAV; (e) data in chart form displaying 
the frequency distribution of discounts and premiums of the Bid-Ask 
Price against the NAV, within appropriate ranges for each of the four 
(4) previous calendar quarters; (f) the prospectus; and (g) other 
applicable quantitative information. The Fund will also disseminate its 
holdings on a daily basis on the Fund's Web site.
    The Gas 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 p.m. E.T. Quotation and last-sale information 
regarding the Shares will be disseminated through the facilities of the 
CTA. In addition, the Exchange will provide a hyperlink on its Web site 
at http://www.nyse.com to the Fund's Web site, which will display all 
intraday and closing Gas Benchmark levels, the intraday Indicative 
Trust Value (see below), and NAV.
    The daily settlement prices for the Natural Gas Futures Contracts 
held by the Fund are publicly available on the Web site of the NYMEX. 
In addition, various data vendors and news publications publish futures 
prices and data. The Exchange represents that quotation and last sale 
information for the Natural Gas Futures Contracts are widely 
disseminated through a variety of major market data vendors worldwide, 
including Bloomberg and Reuters. In addition, the Exchange further 
represents that complete real-time data for the Natural Gas Futures 
Contracts is available by subscription from Reuters and Bloomberg. The 
NYMEX and ICE also provide delayed futures information on current and 
past trading sessions and market news free of charge on their Web 
sites. The specific contract specifications for the futures contracts 
are also available at the NYMEX and ICE Web sites, as well as other 
financial informational sources. The spot price of natural gas also is

[[Page 78294]]

available on a 24-hour basis from major market data vendors. Price and 
volume information for cleared swaps is available from major market 
data vendors and on the NYMEX Web site.
    The Fund will provide Web site disclosure of portfolio holdings 
daily and will include, as applicable, the names, quantities, prices 
and market values of Financial Instruments held by the Fund and the 
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 Share of the Fund 
as a base and updating that value throughout the trading day to reflect 
changes in the value of the Gas Benchmark Component Futures Contracts. 
As stated in the Registration Statement, changes in the value of over-
the-counter Natural Gas Interests, Treasury Securities and cash 
equivalents will not be included in the calculation of the ITV. The ITV 
disseminated during NYSE Arca trading hours 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 Share basis by one or more 
major market data vendors every 15 seconds during the NYSE Arca Core 
Trading Session. The normal trading hours for Natural Gas Futures 
Contracts on NYMEX are 9:00 a.m. to 2:30 p.m. E.T. The ITV will not be 
updated, and, therefore, a static ITV will be disseminated, between the 
close of trading on NYMEX of Natural Gas Futures Contracts and the 
close of the NYSE Arca Core Trading Session. The value of a Share may 
be influenced by non-concurrent trading hours between NYSE Arca and the 
NYMEX and ICE when the Shares are traded on NYSE Arca after normal 
trading hours of Natural Gas Futures Contracts on NYMEX.
    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 Shares trading on the Exchange or the 
creation or redemption of such Shares.
Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities. Shares 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 Shares during all 
trading sessions. As provided in NYSE Arca Equities Rule 7.6, 
Commentary .03, 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 trading of the Shares 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 Shares. Trading may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable. These may include: (1) The extent to 
which trading is not occurring in the underlying futures contracts, or 
(2) whether other unusual conditions or circumstances detrimental to 
the maintenance of a fair and orderly market are present. In addition, 
trading in Shares will be subject to trading halts caused by 
extraordinary market volatility pursuant to the Exchange's ``circuit 
breaker'' rule \18\ or by the halt or suspension of trading of the 
underlying futures contracts.
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    \18\ See NYSE Arca Equities Rule 7.12.
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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 ITV or 
the value of the underlying futures contracts occurs. If the 
interruption to the dissemination of the 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 Shares is not 
disseminated to all market participants at the same time, it will halt 
trading in the Shares until such time as the NAV is available to all 
market participants.
Surveillance
    The Exchange intends to utilize its existing surveillance 
procedures applicable to derivative products, including Trust Issued 
Receipts, to monitor trading in the Shares. 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 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 Shares, the physical 
commodities included in, or options, futures or options on futures on, 
Shares through ETP Holders, in connection with such ETP Holders' 
proprietary or customer trades through ETP Holders which they effect on 
any relevant market. The Exchange can obtain market surveillance 
information, including customer identity information, with respect to 
transactions occurring on the NYMEX or ICE, which are members of the 
Intermarket Surveillance Group (``ISG''). A list of ISG members is 
available at http://www.isgportal.org. \19\
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    \19\ The Exchange notes that not all Natural Gas 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 the Fund's futures contracts traded on 
exchanges, not more than 10% of the weight of such futures contracts 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 78295]]

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 Opening and Late Trading Sessions when 
an updated ITV will not be calculated or publicly disseminated; (2) the 
procedures for purchases and redemptions of Shares in Creation Baskets 
and Redemption Baskets (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 ITV is disseminated; (5) the requirement that 
ETP Holders deliver a prospectus to investors purchasing newly issued 
Shares 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 Shares directly from the Fund will receive a prospectus. ETP 
Holders purchasing Shares 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 trading of Natural Gas Futures 
Contracts traded on U.S. markets.
    The Information Bulletin will also disclose the trading hours of 
the Shares of the Fund and that the NAV for the Shares is calculated 
after 4 p.m. E.T. each trading day. The Bulletin will disclose that 
information about the Shares 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,\20\ in general, and furthers the objectives of Section 
6(b)(5),\21\ 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 facilitate the listing and trading of an 
additional type of exchange-traded product that will enhance 
competition among market participants, to the benefit of investors and 
the marketplace. In addition, the listing and trading criteria set 
forth in NYSE Equities Rule 8.200 are intended to protect investors and 
the public interest.
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    \20\ 15 U.S.C. 78f(b).
    \21\ 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 45 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 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 e-mail to rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2010-110 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-2010-110. 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 
available publicly. All submissions should refer to File Number SR-
NYSEArca-2010-110 and should be submitted on or before January 5, 2011.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\22\
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    \22\ 17 CFR 200.30-3(a)(12).

Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-31455 Filed 12-14-10; 8:45 am]
BILLING CODE 8011-01-P