Document ID: SEC-2012-0896-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: NYSE Arca, Inc.
Posted Date: 2012-06-08T04:00Z

[Federal Register Volume 77, Number 111 (Friday, June 8, 2012)]
[Notices]
[Pages 34117-34121]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-13892]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-67100; File No. SR-NYSEArca-2012-49]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
and Immediate Effectiveness of Proposed Rule Change To Allow the Use of 
Swap Agreements Under Limited Circumstances by the ProShares VIX Short-
Term Futures ETF and the ProShares VIX Mid-Term Futures ETF, Which Are 
Listed and Traded on the Exchange Under NYSE Arca Equities Rule 8.200, 
Commentary .02

June 4, 2012.
    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 22, 2012, NYSE Arca, Inc. (``Exchange'' or ``NYSE Arca'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed rule change as described in Items I and II 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 accommodate the use of swap agreements 
under limited circumstances by the ProShares VIX Short-Term Futures ETF 
and the ProShares VIX Mid-Term Futures ETF, which are listed and traded 
on the Exchange under NYSE Arca Equities Rule 8.200, Commentary .02. 
The text of 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

[[Page 34118]]

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 
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 Commission has approved 
listing and trading on the Exchange of shares (``Shares'') of the 
ProShares VIX Short-Term Futures ETF and the ProShares VIX Mid-Term 
Futures ETF (``Funds'') under NYSE Arca Equities Rule 8.200, Commentary 
.02,\4\ and the Shares have commenced listing and trading on the 
Exchange.
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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\ See Securities Exchange Act Release No. 63610 (December 27, 
2010), 76 FR 199 (January 3, 2011) (SR-NYSEArca-2010-101) (``Prior 
Order''). The notice with respect to the Prior Order was published 
in Securities Exchange Act Release No. 63317 (November 16, 2010), 75 
FR 71158 (November 22, 2010) (``Prior Notice'' and, together with 
the Prior Order, ``Prior Release'').
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    The Funds seek to provide investment results (before fees and 
expenses) that match the performance of a benchmark that seeks to offer 
exposure to market volatility through publicly traded futures markets. 
The benchmark for ProShares VIX Short-Term Futures ETF is the S&P 500 
VIX Short-Term Futures Index, and the benchmark for ProShares VIX Mid-
Term Futures ETF is the S&P 500 VIX Mid-Term Futures Index (each, an 
``Index,'' and collectively, ``Indexes'').\5\ To pursue their 
respective investment objectives, the Funds invest in futures contracts 
that comprise their respective Index and that are based on the Chicago 
Board Options Exchange (``CBOE'') Volatility Index or ``VIX'' (``VIX 
Futures Contracts''). VIX Futures Contracts are traded on the CBOE 
Futures Exchange (``CFE''). Each Fund also may invest in cash or cash 
equivalents such as U.S. Treasury securities or other high credit 
quality, short-term fixed-income or similar securities (including 
shares of money market funds, bank deposits, bank money market 
accounts, certain variable rate-demand notes, and repurchase agreements 
collateralized by government securities) that may serve as collateral 
for the futures contracts.
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    \5\ Standard & Poor's Financial Services LLC, the index sponsor 
with respect to the Indexes, is not a broker-dealer or affiliated 
with a broker-dealer, and has implemented procedures designed to 
prevent the use and dissemination of material, non-public 
information regarding the Indexes.
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    ProShare Capital Management LLC (``Sponsor''), a Maryland limited 
liability company, serves as the Sponsor of ProShares Trust II 
(``Trust'').\6\ The Sponsor is a commodity pool operator and commodity 
trading advisor. Brown Brothers Harriman & Co. serves as the 
administrator (``Administrator''), custodian, and transfer agent of the 
Funds and their respective Shares. SEI Investments Distribution Co. 
(``Distributor'') serves as Distributor of the Shares. Wilmington Trust 
Company, a Delaware banking corporation, is the sole trustee of the 
Trust.
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    \6\ The Trust has filed a registration statement on Form S-3 
under the Securities Act of 1933 (15 U.S.C. 77a), dated November 5, 
2010, relating to the Funds (File No. 333-163511) (``Registration 
Statement''). The description of the Funds and the Shares contained 
in the Prior Release were based, in part, on the Registration 
Statement. The changes described herein will become effective upon 
filing with the Commission of an amendment to the Trust's 
Registration Statement. The Sponsor represents that the Sponsor has 
managed and will continue to manage the Funds in the manner 
described in the Prior Release, and will not implement the changes 
described herein until the instant proposed rule change becomes 
operative and an amendment to the Registration Statement has become 
effective.
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    According to the Registration Statement, if a Fund is successful in 
meeting its objective, its value (before fees and expenses) should gain 
approximately as much on a percentage basis as the level of its 
corresponding Index when it rises. Conversely, its value (before fees 
and expenses) should lose approximately as much on a percentage basis 
as the level of its corresponding Index when it declines. Each Fund 
acquires exposure through VIX Futures Contracts such that each Fund has 
exposure intended to approximate the benchmark at the time of the net 
asset value (``NAV'') calculation.\7\
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    \7\ Terms relating to the Funds, the Shares, and the Indexes 
referred to, but not defined, herein are defined in the Registration 
Statement.
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    Under the current proposal, the Funds seek to utilize swap 
agreements and futures contracts other than VIX Futures Contracts (as 
further described herein) to pursue their respective investment 
objectives.\8\
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    \8\ The Commission previously has approved listing and trading 
on the Exchange of issues of TIRs under NYSE Arca Equities Rule 
8.200, Commentary .02 that may hold swaps under limited 
circumstances. See, e.g., Securities Exchange Act Release Nos. 62527 
(July 19, 2010), 75 FR 43606 (July 26, 2010) (SR-NYSEArca-2010-44) 
(order approving Exchange listing and trading of United States 
Commodity Index Fund); 63869 (February 8, 2011), 76 FR 8799 
(February 15, 2011) (SR-NYSEArca-2010-119) (order approving Exchange 
listing and trading of Teucrium WTI Crude Oil Fund); and 65134 
(August 15, 2011), 76 FR 52034 (August 19, 2011) (SR-NYSEArca-2011-
23) (order approving Exchange listing and trading of ProShares Short 
VIX Short-Term Futures ETF, ProShares Short VIX Mid-Term Futures 
ETF, ProShares Ultra VIX Short-Term Futures ETF, ProShares Ultra VIX 
Mid-Term Futures ETF, ProShares UltraShort VIX Short-Term Futures 
ETF, and ProShares UltraShort VIX Mid-Term Futures ETF).
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    Going forward, in the event position accountability rules are 
reached with respect to VIX Futures Contracts, the Sponsor, may, in its 
commercially reasonable judgment, cause the Funds to obtain exposure 
through swaps referencing the relevant Index or particular VIX Futures 
Contracts, or invest in other futures contracts or swaps not based on 
the particular VIX Futures Contracts if such instruments tend to 
exhibit trading prices or returns that correlate with the Indexes or 
any VIX Futures Contract and will further the investment objective of 
the Funds.\9\ The Funds may also invest in swaps 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 the Funds from obtaining 
the appropriate amount of investment exposure to the affected VIX 
Futures Contracts directly or other futures contract.\10\
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    \9\ To the extent practicable, the Funds will invest in swaps 
cleared through the facilities of a centralized clearing house. Each 
Fund also may invest in cash or cash equivalents, such as U.S. 
Treasury securities or other high credit quality, short-term fixed-
income or similar securities (including shares of money market 
funds, bank deposits, bank money market accounts, certain variable 
rate-demand notes, and repurchase agreements collateralized by 
government securities) that may serve as collateral for the futures 
contracts and swap agreements.
    \10\ The Sponsor will also attempt to mitigate the Funds' credit 
risk by transacting only with large, well-capitalized institutions 
using measures designed to determine the creditworthiness of a 
counterparty. The Sponsor will take various steps to limit 
counterparty credit risk, which will be described in the 
Registration Statement. The Funds will enter into swap agreements 
only with financial institutions that meet certain credit quality 
standards and monitoring policies. The Funds may use various 
techniques to minimize credit risk including early termination or 
reset and payment, using different counterparties, and limiting the 
net amount due from any individual counterparty. The Funds generally 
will collateralize swap agreements with cash and/or certain 
securities. Such collateral will generally be held for the benefit 
of the counterparty in a segregated tri-party account at the 
custodian to protect the counterparty against non-payment by the 
Funds. In the event of a default by the counterparty, and the Funds 
are owed money in the swap transaction, the Funds will seek 
withdrawal of this collateral from the segregated account and may 
incur certain costs exercising its right with respect to the 
collateral.

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[[Page 34119]]

    The above representations regarding the Funds' prospective use of 
swaps and other futures contracts are substantially the same as those 
made with respect to other funds of the Trust that utilize VIX Futures 
Contracts and that have been approved by the Commission for listing and 
trading on the Exchange.\11\ The Sponsor believes it is necessary and 
appropriate to have additional flexibility to utilize swaps and futures 
contracts other than VIX Futures Contracts in a manner that will 
further the investment objective of the Funds, in the event position 
accountability rules are reached with respect to VIX Futures Contracts. 
Such procedures would be the same as those applicable to other funds of 
the Trust based on VIX Futures Contracts that are currently listed on 
the Exchange. The Sponsor believes application by the Sponsor of 
consistent investment procedures among funds of the Trust that hold VIX 
Futures Contracts, including the Funds, with respect to utilization of 
swaps and futures contracts other than VIX Futures Contracts, will 
promote efficient operation of the Funds in furtherance of each Fund's 
investment objective.
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    \11\ See note 9, supra, regarding Commission approval of SR-
NYSEArca-2011-23.
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    In addition, with respect to any Fund's holdings of 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 the Intermarket 
Surveillance Group (``ISG'') or is a market with which the Exchange 
does not have a comprehensive surveillance sharing agreement.
    The intra-day futures prices, closing price, and settlement prices 
of the VIX Futures Contracts or other futures contracts, as applicable, 
held by the Funds will be available from the CFE, other futures 
exchanges, automated quotation systems, published or other public 
sources, or on-line information services. Information relating to 
cleared swaps will be available from major market data vendors. The 
value of swaps and futures contracts other than VIX Futures Contracts, 
as applicable, will be included in: (1) The calculation of the NAV for 
the Shares, which is disseminated daily; and (2) the Indicative 
Optimized Portfolio Value (``IOPV'') for the Shares, which is widely 
disseminated at least every 15 seconds during the Core Trading Session 
by one or more major market data vendors.\12\ The portfolio disclosure 
for the Funds, which is disseminated daily, will include swaps and 
futures contracts other than VIX Futures Contracts, if any, in addition 
to VIX Futures Contracts.
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    \12\ Currently, it is the Exchange's understanding that several 
major market data vendors display and/or make widely available IOPVs 
taken from the Consolidated Tape Association or other data feeds.
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    All other representations in the Prior Release remain as stated 
therein and no other changes are being made.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \13\ 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.
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    \13\ 15 U.S.C. 78f(b)(5).
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    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. The Exchange may obtain 
information via the ISG from other exchanges that are members of ISG or 
with which the Exchange has entered into a comprehensive surveillance 
sharing agreement. Under normal market conditions, the Funds invest in 
VIX Futures Contracts, which are traded on CFE, an ISG member. Going 
forward, in the event position accountability rules are reached with 
respect to VIX Futures Contracts, the Sponsor, may, in its commercially 
reasonable judgment, cause the Funds to obtain exposure through swaps 
or other futures contracts, as described above. To the extent 
practicable, the Funds will invest in swaps cleared through the 
facilities of a centralized clearing house. The Sponsor will attempt to 
mitigate the Funds' credit risk by transacting only with large, well-
capitalized institutions using measures designed to determine the 
creditworthiness of a counterparty. The intra-day futures prices, 
closing price, and settlement prices of the VIX Futures Contracts or 
other futures contracts, as applicable, held by the Funds will also be 
available from the CFE, other futures exchanges, automated quotation 
systems, published or other public sources, or on-line information 
services. Information relating to cleared swaps and futures contracts 
other than VIX Futures Contracts, as applicable, held by the Funds will 
be available from major market data vendors. The value of swaps and 
futures contracts other than VIX Futures Contracts, as applicable, will 
be included in: (1) The calculation of NAV for the Shares, which is 
disseminated daily, and (2) the IOPV for the Shares. The portfolio 
disclosure for the Funds, which is disseminated daily, will include 
swaps and futures contracts other than VIX Futures Contracts, if any, 
in addition to VIX Futures Contracts. Quotation and last-sale 
information for the Shares will be available via the Consolidated Tape 
Association. Each Fund's total portfolio composition will be disclosed 
on the Funds' Web site or another relevant Web site. The Exchange 
represents that the Exchange may halt trading during the day in which 
the interruption to the dissemination of the IOPV, the value of the 
Indexes, the VIX, or the value of the underlying VIX Futures Contracts 
occurs. If the interruption to the dissemination of the IOPV, the value 
of the Indexes, the VIX, or the value of the underlying VIX 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. With respect to any Fund's holdings of 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 the ISG or is a market with which the 
Exchange does not have a comprehensive surveillance sharing agreement.
    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 is publicly available regarding the 
Funds and the Shares, thereby promoting market transparency. One or 
more major market data vendors will disseminate the level of each Index 
at least every 15 seconds both in real time from 9:30 a.m. to 4:15 p.m. 
Eastern time and at the close of trading on each

[[Page 34120]]

business day. The NAV per Share is calculated daily and made available 
to all market participants at the same time. One or more major market 
data vendors will disseminate for the Funds on a daily basis 
information with respect to the recent NAV per Share and Shares 
outstanding. The IOPV will be widely disseminated by one or more major 
market data vendors at least every 15 seconds during the Core Trading 
Session. Trading in Shares of the Funds will be halted if the circuit 
breaker parameters in NYSE Arca Equities Rule 7.12 have been reached or 
because of market conditions or for reasons that, in the view of the 
Exchange, make trading in the Shares inadvisable.
    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 actively-managed exchange-traded products 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 entered into a comprehensive 
surveillance sharing agreement. In addition, as noted above, investors 
will have ready access to information regarding the Funds' holdings, 
IOPV, and quotation and last-sale information for the Shares.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act.

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

    The Exchange has filed the proposed rule change pursuant to Section 
19(b)(3)(A) of the Act \14\ and Rule 19b-4(f)(6) thereunder.\15\ 
Because the proposed rule change does not: (i) Significantly affect the 
protection of investors or the public interest; (ii) impose any 
significant burden on competition; and (iii) become operative prior to 
30 days from the date on which it was filed, or such shorter time as 
the Commission may designate, if consistent with the protection of 
investors and the public interest, the proposed rule change has become 
effective pursuant to Section 19(b)(3)(A) of the Act and Rule 19b-
4(f)(6) thereunder.
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    \14\ 15 U.S.C. 78s(b)(3)(A).
    \15\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6) 
requires a self-regulatory organization to give the Commission 
written notice of its intent to file the proposed rule change at 
least five business days prior to the date of filing of the proposed 
rule change, or such shorter time as designated by the Commission. 
The Exchange has satisfied this requirement.
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    A proposed rule change filed under Rule 19b-4(f)(6) normally does 
not become operative prior to 30 days after the date of the filing. 
However, pursuant to Rule 19b-4(f)(6)(iii),\16\ the Commission may 
designate a shorter time if such action is consistent with the 
protection of investors and the public interest. NYSE Arca has asked 
the Commission to waive the 30-day operative delay so that the proposal 
may become operative immediately upon filing. The Commission notes that 
waiver of the operative delay would permit the Funds to utilize, under 
certain limited circumstances, swap agreements and futures contracts 
other than VIX Futures Contracts to pursue their respective investment 
objectives.
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    \16\ 17 CFR 240.19b-4(f)(6)(iii).
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    The Funds may invest in swaps and futures contracts other than VIX 
Futures Contracts in the event position accountability rules are 
reached with respect to VIX Futures Contracts, and may also invest in 
swaps if the market for a specific futures contract experiences certain 
emergencies or disruptions. NYSE Arca represents that any investments 
in swaps or futures contracts other than VIX Futures Contracts would be 
consistent with the Funds' respective investment objectives. To the 
extent practicable, the Funds will invest in swaps cleared through the 
facilities of a centralized clearinghouse. In addition, the Sponsor 
will attempt to mitigate swap counterparty credit risk by transacting 
only with large, well-capitalized institutions. The value of swaps and 
futures contracts other than VIX Futures Contracts will be included in 
the calculation of the NAV and IOPV for the Shares. Each Fund's total 
portfolio composition, including any swaps and futures contracts other 
than VIX Futures Contracts held by the Funds, will be disclosed on the 
Funds' Web site or another relevant Web site. In addition, not more 
than 10% of the weight of futures contracts traded on exchanges held by 
each Fund in the aggregate shall consist of components whose principal 
trading market is not a member of the ISG or is a market with which 
NYSE Arca does not have a comprehensive surveillance sharing agreement. 
Further, NYSE Arca represents that the Funds' respective investment 
objectives are not changing, all other representations made in the 
Prior Release remain unchanged, and the Funds will continue to comply 
with initial and continued listing requirements under NYSE Arca 
Equities Rule 8.200 and Commentary .02 thereto. For the foregoing 
reasons, the Commission believes that the proposed change does not 
raise novel or unique regulatory issues that should delay the 
implementation of the Funds' proposed investments in swaps and futures 
contracts other than VIX Futures Contracts. Accordingly, the Commission 
waives the 30-day operative delay requirement because the proposed rule 
change is consistent with the protection of investors and the public 
interest.\17\
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    \17\ For purposes only of waiving the 30-day operative delay, 
the Commission has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act. If the Commission 
takes such action, the Commission shall institute proceedings to 
determine whether the proposed rule should be approved or 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-2012-49 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission,

[[Page 34121]]

100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-NYSEArca-2012-49. 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 
a.m. and 3 p.m. Copies of the filing also will be available for 
inspection and copying at the principal office of the Exchange. 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-2012-49 and should 
be submitted on or before June 29, 2012.
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    \18\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\18\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-13892 Filed 6-7-12; 8:45 am]
BILLING CODE 8011-01-P