Document ID: SEC-2012-0293-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: NYSE Arca, Inc.
Posted Date: 2012-02-21T05:00Z

[Federal Register Volume 77, Number 34 (Tuesday, February 21, 2012)]
[Notices]
[Pages 10005-10013]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-3858]

[[Page 10005]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-66390; File No. SR-NYSEArca-2012-10]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change Relating To Listing and Trading of Shares of 
the BNP Paribas S&P Dynamic Roll Global Commodities Fund Under NYSE 
Arca Equities Rule 8.200

February 14, 2012.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'' or ``Exchange Act'') \1\ and Rule 19b-4 thereunder,\2\ notice 
is hereby given that, on January 30, 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 list and trade shares of the BNP Paribas 
S&P Dynamic Roll Global Commodities 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 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 
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 the shares (``Shares'') of the BNP Paribas S&P Dynamic Roll 
Global Commodities Fund (``Fund'') under NYSE Arca Equities Rule 8.200.
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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.
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    BNP Paribas Exchange Traded Trust (``Trust'') is organized in 
series as a Delaware statutory trust. As of the date hereof, the Trust 
consists of two series, one of which is the Fund.\4\
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    \4\ Pre-Effective Amendment No. 2 to the Registration Statement 
on Form S-1 of the Trust (File No. 333-170314) was filed on August 
26, 2011 (``Registration Statement'') under the Securities Act of 
1933 in order to register common units of beneficial interests of 
the Fund, which is a series of the Trust. Pre-Effective Amendment 
No. 1 to the Registration Statement on Form S-1 of the Trust was 
filed on July 6, 2011. The Trust was previously named ``BNP Paribas 
L/S Commodities Trust'' and filed the original Registration 
Statement on Form S-1 on November 3, 2010. Additionally, the Trust, 
which was originally formed as a Delaware statutory trust, has been 
converted into a Delaware statutory trust organized in series. The 
descriptions of the Fund and the Shares contained herein are based, 
in part, on the Registration Statement.
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    The Exchange notes that the Commission has previously approved the 
listing and trading of other issues of TIRs on the American Stock 
Exchange LLC (``Amex''),\5\ trading on NYSE Arca pursuant to UTP,\6\ 
and listing on NYSE Arca.\7\ In addition, the Commission has approved 
other exchange-traded fund-like products linked to the performance of 
underlying commodities.\8\
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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) (order 
approving amendments to Amex Rule 1202, Commentary .07 and listing 
on Amex of 14 funds of the Commodities and Currency Trust).
    \6\ See, e.g., Securities Exchange Act Release No. 58163 (July 
15, 2008), 73 FR 42391 (July 21, 2008) (SR-NYSEArca-2008-73) (order 
approving UTP trading on NYSE Arca of 14 funds of the Commodities 
and Currency Trust).
    \7\ See, e.g., Securities Exchange Act Release No. 58457 
(September 3, 2008), 73 FR 52711 (September 10, 2008) (SR-NYSEArca-
2008-91) (order approving listing on NYSE Arca of 14 funds of the 
Commodities and Currency Trust).
    \8\ See, e.g., Securities Exchange Act Release Nos. 56932 
(December 7, 2007), 72 FR 71178 (December 14, 2007) (SR-NYSEArca-
2007-112) (order granting accelerated approval to list iShares S&P 
GSCI Commodity-Indexed 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).
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    Wilmington Trust Company (``Trustee''), a Delaware trust company, 
is the sole trustee of the Trust.
    BNP Paribas Quantitative Strategies, LLC (``Managing Owner''), a 
Delaware limited liability company, serves as Managing Owner of the 
Trust and the Fund. The Managing Owner is a wholly-owned subsidiary of 
Paribas North America, Inc., which is a wholly-owned, indirect 
subsidiary of BNP Paribas, which is affiliated with a broker-dealer.\9\ 
The Managing Owner is registered as a commodity pool operator with the 
Commodity Futures Trading Commission (``CFTC'') and is a member of the 
National Futures Association.
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    \9\ The Managing Owner is affiliated with a broker-dealer and 
has implemented procedures designed to prevent the use and 
dissemination of material, non-public information regarding the 
Fund's portfolio.
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    Standard and Poor's is the Index Sponsor.\10\
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    \10\ Standard & Poor's is not a broker-dealer, is not affiliated 
with a broker-dealer, and has implemented procedures designed to 
prevent the use and dissemination of material, non-public 
information regarding the Index (as defined below).
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    The Bank of New York Mellon is the administrator 
(``Administrator'') of the Fund, as well as the custodian 
(``Custodian'') and transfer agent (``Transfer Agent'').
Overview of the Fund \11\
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    \11\ Terms relating to the Fund, the Shares and the Index (as 
defined below) referred to, but not defined, herein are defined in 
the Registration Statement.
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    According to the Registration Statement, the investment objective 
of the Fund is to track changes, whether positive or negative, in the 
level of the S&P GSCI[supreg] Dynamic Roll Excess Return Index 
(``Index'') over time. The Fund does not intend to outperform the 
Index. The Managing Owner will seek to cause changes in the net asset 
value (``NAV'') per Share of the Fund to track changes in the level of 
the Index during periods in which the Index is rising, flat or 
declining.
    The Fund seeks to achieve its investment objective by investing in 
exchange-traded futures (``Designated Contracts'') on the commodities 
(as set forth in Table 1 below) comprising the Index (``Index 
Commodities''), with a view to tracking the Index over time.\12\ In 
certain circumstances, and to a limited extent, the Fund may also 
invest in swap agreements based on an Index Commodity that are cleared 
through the relevant Futures Exchanges or their affiliated provider of 
clearing services (``Cleared-Swaps'') or in futures contracts 
referencing particular commodities other than the Index

[[Page 10006]]

Commodities (i.e., futures contracts traded on exchanges other than the 
Futures Exchanges indicated in Table 1, including foreign exchanges) 
(``Substitute Contracts''), or in Alternative Financial Instruments 
\13\ referencing the particular Index Commodity in furtherance of its 
investment objective if, in the commercially reasonable judgment of the 
Managing Owner, such instruments tend to exhibit trading prices or 
returns that generally correlate with the Index Commodities. 
Alternative Financial Instruments will be forward agreements, exchange-
traded cash settled options, swaps other than Cleared Swaps, and other 
over-the-counter transactions that will serve as proxies to one or more 
Index Commodities.
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    \12\ The Designated Contracts are traded on the Chicago 
Mercantile Exchange, Inc. (``CME''), COMEX (``CMX,'' a division of 
CME), Chicago Board of Trade (``CBT,'' a division of CME), NYMEX 
(``NYM,'' a division of CME), ICE Futures US (``ICE-US''), ICE 
Futures Europe (``ICE-UK''), Kansas City Board of Trade (``KBT''), 
and London Metal Exchange (``LME'') (collectively, ``Futures 
Exchanges'').
    \13\ According to the Registration Statement, investing in 
Alternative Financial Instruments (if any) exposes the Fund to 
counterparty risk, or the risk that an Alternative Financial 
Instrument counterparty will default on its obligations under the 
Alternative Financial Instrument. The Managing Owner may select 
Alternative Financial Instrument (if any) counterparties giving due 
consideration to such factors as it deems appropriate, including, 
without limitation, creditworthiness, familiarity with the Index, 
and price. Under no circumstances will the Fund enter into 
Alternative Financial Instruments with any counterparty whose credit 
rating is lower than investment-grade as determined by a nationally 
recognized statistical rating organization (e.g., BBB- and above as 
determined by Standard & Poor's, Baa3 and above as determined by 
Moody's) at the time the Alternative Financial Instrument is entered 
into. The Fund anticipates that the counterparties to these 
Alternative Financial Instruments are likely to be banks, broker 
dealers and other financial institutions. The Fund expects that 
these Alternative Financial Instruments (if any) will be on terms 
that are standard in the market for such Alternative Financial 
Instruments.
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    Specifically, once position limits in a Designated Contract are 
reached or a Futures Exchange imposes limitations on the Fund's ability 
to maintain or increase its positions in a Designated Contract after 
reaching accountability levels or a price limit is in effect on a 
Designated Contract during the last 30 minutes of its regular trading 
session, the Fund's intention is to invest first in Cleared Swaps to 
the extent permitted under the position limits applicable to Cleared 
Swaps and appropriate in light of the liquidity in the Cleared Swaps 
market, and then, using its commercially reasonable judgment, in 
Substitute Contracts or in Alternative Financial Instruments 
(collectively, ``Other Commodity Interests'' and together with 
Designated Contracts and Cleared Swaps, ``Index Commodity Interests''). 
By utilizing certain or all of these investments, the Managing Owner 
will endeavor to cause the Fund's performance to track the performance 
of the Index. The circumstances under which such investments in Other 
Commodity Interests may be utilized (i.e., imposition of position 
limits) are discussed below.
    According to the Registration Statement, the Fund seeks to achieve 
its investment objective by investing in Index Commodity Interests such 
that daily changes in the Fund's NAV per Share will be expected to 
track the changes in the level of the Index. The Fund's positions in 
Index Commodity Interests will be changed or ``rolled'' on a regular 
basis in order to track the changing nature of the Index. For example, 
at each monthly roll determination date, roll algorithms measure the 
current shape of the forward curves of the eligible futures contract 
prices for each Index Commodity to search for the optimal contract 
months along the curve to roll into, subject to using only the most 
liquid of all available contracts of a given commodity. Since the 
futures contract being rolled out of will no longer be included in the 
Index, the Fund's investments will have to be changed accordingly.
    Consistent with achieving the Fund's investment objective of 
tracking the Index, the Managing Owner may, after reaching position 
limits in the Designated Contracts or when a Futures Exchange has 
imposed limitations on the Fund's ability to maintain or increase its 
positions in a Designated Contract after reaching accountability levels 
or a price limit is in effect on a Designated Contract during the last 
30 minutes of its regular trading session, cause the Fund to first 
enter into or hold Cleared Swaps and then, if applicable, enter into or 
hold Other Commodity Interests. For example, certain Cleared Swaps have 
standardized terms similar to, and are priced by reference to, a 
corresponding Designated Contract. Additionally, Alternative Financial 
Instruments that do not have standardized terms and are not exchange-
traded (``over-the-counter'' Alternative Financial Instruments), can 
generally be structured as the parties desire. Therefore, the Fund 
might first enter into multiple Cleared Swaps and then, if applicable, 
enter into over-the-counter Alternative Financial Instruments intended 
to replicate the performance of each of the Designated Contracts, or a 
single over-the-counter Alternative Financial Instrument designed to 
replicate the performance of the Index as a whole. According to the 
Registration Statement, assuming that there is no default by a 
counterparty to an over-the-counter Alternative Financial Instrument, 
the performance of the over-the-counter Alternative Financial 
Instrument will correlate with the performance of the Index or the 
applicable Designated Contract. After reaching position limits in the 
Designated Contracts or when a Futures Exchange has imposed limitations 
on the Fund's ability to maintain or increase its positions in a 
Designated Contract after reaching accountability levels or a price 
limit is in effect on a Designated Contract during the last 30 minutes 
of its regular trading session, and after entering into or holding 
Cleared Swaps, the Fund might also enter into or hold over-the-counter 
Alternative Financial Instruments to facilitate effective trading, 
consistent with the discussion of the Fund's ``roll'' strategy in the 
preceding paragraph. In addition, after reaching position limits in the 
Designated Contracts or when a Futures Exchange has imposed limitations 
on the Fund's ability to maintain or increase its positions in a 
Designated Contract after reaching accountability levels or a price 
limit is in effect on a Designated Contract during the last 30 minutes 
of its regular trading session, and after entering into or holding 
Cleared Swaps, the Fund might enter into or hold over-the-counter 
Alternative Financial Instruments that would be expected to alleviate 
overall deviation between the Fund's performance and that of the Index 
that may result from certain market and trading inefficiencies or other 
reasons.
    The Fund will invest in Index Commodity 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 Index Commodity Interests.\14\ After 
fulfilling such margin and collateral requirements, the Fund will 
invest the remainder of its proceeds from the sale of baskets in 
obligations of the United States government (``U.S. Treasury 
Securities'') and/or hold such assets in cash, generally in interest-
bearing accounts. Therefore, the focus of the Managing Owner in 
managing the Fund will be investing in Index Commodity Interests and in 
U.S. Treasury Securities, cash and/or cash equivalents. The Fund will 
earn interest income from the U.S. Treasury Securities and/or cash 
equivalents that it purchases and on the cash it holds through the 
Custodian.
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    \14\ The Managing Owner represents that the Fund will invest in 
exchange-traded futures, Cleared Swaps and Alternative Financial 
Instruments in a manner consistent with the Fund's investment 
objective and not to achieve additional leverage.
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    According to the Registration Statement, the Managing Owner will 
employ an investment strategy intended to track changes in the level of 
the Index

[[Page 10007]]

regardless of whether the Index is rising, flat or declining. The 
Fund's investment strategy will be designed to permit investors 
generally to purchase and sell the Fund's Shares for the purpose of 
investing indirectly in the global commodity markets in a cost-
effective manner. The Managing Owner does not intend to operate the 
Fund in a fashion such that its NAV per Share will equal, in dollar 
terms, the aggregate of the spot prices of the Index Commodities or the 
price of any particular Designated Contract.
    According to the Registration Statement, the Index is currently 
composed of Designated Contracts on 24 Index Commodities, each of which 
is subject to speculative position limits and other position 
limitations, as applicable, which are imposed by either the CFTC or the 
rules of the Futures Exchanges on which the Designated Contracts are 
traded. These position limits prohibit any person from holding a 
position of more than a specific number of such Designated Contracts 
(or Substitute Contracts, if applicable). The purposes of these limits 
are to diminish, eliminate or prevent sudden or unreasonable 
fluctuations or unwarranted changes in the prices of futures contracts. 
For example, speculative position limits in the physical delivery 
markets are set at a stricter level during the month when the futures 
contract matures and becomes deliverable, known as the ``spot month,'' 
versus the limits set for all other months. Position limits are fixed 
ceilings that the Fund would not be able to exceed without specific 
Futures Exchange authorization. Under current law, all Designated 
Contracts traded on a particular Futures Exchange that are held under 
the control of the Managing Owner, including those held by any future 
series of the Trust, are aggregated in determining the application of 
applicable position limits.
    In addition to position limits, the Futures Exchanges may establish 
daily price fluctuation limits on futures contracts. The daily 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. Once the daily price fluctuation limit has been 
reached in a particular futures contract, no trades may be made at a 
price beyond that limit. Futures Exchanges may also establish 
accountability levels applicable to futures contracts. A Futures 
Exchange may order a person who holds or controls aggregate positions 
in excess of specified position accountability levels not to further 
increase the positions, to comply with any prospective limit which 
exceeds the size of the position owned or controlled, or to reduce any 
open position which exceeds position accountability levels if the 
Futures Exchange determines that such action is necessary to maintain 
an orderly market. Position limits, accountability levels, and daily 
price fluctuation limits set by the Futures Exchanges have the 
potential to cause tracking error, which could cause changes in the NAV 
per Share to substantially vary from changes in the level of the Index 
and prevent an investor from being able to effectively use the Fund as 
a way to indirectly invest in the global commodity markets.
    The Fund will be subject to these speculative position limits and 
other limitations, as applicable, and, consequently, the Fund's ability 
to issue new Baskets (as defined below) or to reinvest income in 
additional Designated Contracts may be limited to the extent these 
activities would cause the Fund to exceed its applicable limits unless 
the Fund trades Cleared Swaps, Substitute Contracts or other 
Alternative Financial Instruments (if any) in addition to and as a 
proxy for Designated Contracts. These limits and the use of Cleared 
Swaps, Substitute Contracts or other Alternative Financial Instruments 
(if any) in addition to or as a proxy for Designated Contracts may 
affect the correlation between changes in the NAV per Share and changes 
in the level of the Index, and the correlation between the market price 
of the Shares, as traded on NYSE Arca, and the NAV per Share.
    The Fund does not intend to limit the size of the offering and will 
attempt to expose substantially all of its proceeds to the Index 
Commodities utilizing Index Commodity Interests. If the Fund encounters 
position limits, accountability levels, or price fluctuation limits for 
Designated Contracts and/or Cleared Swaps, it may then, if permitted 
under applicable regulatory requirements, purchase Alternative 
Financial Instruments and/or Substitute Contracts listed on other 
domestic or foreign exchanges. However, the commodity futures contracts 
available on such foreign exchanges may have different underlying 
sizes, deliveries, and prices. In addition, the commodity futures 
contracts available on these 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 number 
of Baskets (as defined below) that it sells.
Description of the Index
    The Index aims to reflect the return of an investment in a world 
production-weighted portfolio comprised of the principal physical 
commodities that are the subject of active, liquid futures markets. The 
Index employs a flexible and systematic futures contract rolling 
methodology, which seeks to maximize yield from rolling long futures 
contracts in certain markets (backwardated markets) and minimize roll 
loss from rolling long futures positions in certain markets (contangoed 
markets), as further described in the Registration Statement.
    The Index was developed by the Index Sponsor and is an index on a 
world production-weighted basket of principal physical commodities. The 
Index reflects the level of commodity prices at a given time and is 
designed to be a measure of the return over time of the markets for 
these commodities. The Index is an excess return commodity index 
comprised of Designated Contracts that are replaced periodically.\15\ 
The commodities represented in the Index, each an Index Commodity, are 
those physical commodities on which active and liquid contracts are 
traded on trading facilities in major industrialized countries. The 
Index Commodities are weighted, on a production basis, to reflect the 
relative significance (in the view of the Index Sponsor) of those Index 
Commodities to the world economy. The fluctuations in the level of the 
Index are intended generally to correlate with changes in the prices of 
those physical Index Commodities in global markets.
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    \15\ The process of periodically replacing a futures contract 
prior to its expiration is known as ``rolling'' a contract or 
position. An index that includes an assumed return on a hypothetical 
portfolio of 3-month Treasury bills or any other risk free component 
is known as a ``total return'' index. An ``excess return'' index 
excludes returns on a hypothetical portfolio of 3-month Treasury 
bills or any other risk free component.
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    The Index utilizes the S&P GSCI[supreg] Dynamic Roll Index 
Methodology, a monthly futures contract rolling methodology that 
determines the new futures contract months for the underlying 
commodities, as described in the Registration Statement.
    The S&P GSCI[supreg] Dynamic Roll Index Methodology is designed to 
maximize yield from rolling long futures contracts in backwardated 
markets and minimize roll loss from rolling long futures positions in 
contangoed markets. A ``backwardated'' market means a market in which 
the prices of certain commodity futures contracts are higher for 
contracts with shorter-term expirations than for contracts with longer-
term expirations. A

[[Page 10008]]

``contangoed'' market means a market in which the prices of certain 
commodity futures contracts are lower for contracts with shorter-term 
expirations than for contracts with longer-term expirations.
    The Index is comprised of Designated Contracts, which are futures 
contracts on the Index Commodities. The Index Commodities are 
diversified across five different categories: Energy, agriculture, 
industrial metals, precious metals and livestock. The Index reflects 
the return associated with the change in prices of the underlying 
Designated Contracts on the Index Commodities together with the ``roll 
yield'' (as discussed below) associated with these Designated Contracts 
(the price changes of the Designated Contracts and roll yield, taken 
together, constitute the ``excess return'' reflected by the Index). 
There is no limit on the number of Designated Contracts that may be 
included in the Index. Any contract satisfying the eligibility criteria 
will become a Designated Contract and will be included in the Index. 
All of the Designated Contracts are exchange-traded futures contracts.
    According to the Registration Statement, a fundamental 
characteristic of the Index is that as a result of being comprised of 
futures contracts on the applicable Index Commodity, the Fund must be 
managed to ensure it does not take physical delivery of each respective 
Index Commodity. This is achieved through a process referred to as 
``rolling'' under which a given futures contract during a month in 
which it approaches its settlement date is rolled forward to a new 
contract date (i.e., the futures contract is effectively ``sold'' to 
``buy'' a longer-dated futures contract). All Designated Contracts will 
be deemed to be rolled before their respective maturities into futures 
contracts in the more-distant future.
    Roll yield is generated during the roll process from the difference 
in price between the near-term and longer-dated futures contracts. The 
futures curve is a hypothetical curve created by plotting futures 
contract prices for a particular Index Commodity. When longer-dated 
contracts are priced lower than the nearer contract and spot prices, 
the market is in ``backwardation'' represented by a downward sloping 
futures curve, and positive roll yield is generated when higher-priced 
near-term futures contracts are ``sold'' to ``buy'' lower priced 
longer-dated contracts. When the opposite is true and longer-dated 
contracts are priced higher, the market, which is in ``contango,'' is 
represented by an upward sloping futures curve, and negative roll 
yields result from the ``sale'' of lower priced near-term futures 
contracts to ``buy'' higher priced longer-dated contracts. While many 
of the Index Commodities may have historically exhibited consistent 
periods of backwardation, backwardation will most likely not exist at 
all times. Moreover, certain of the Index Commodities may have 
historically traded in contango markets.
Index Methodology
    The Designated Contracts currently included in the Index, the 
Futures Exchanges on which they are traded, their market symbols and 
their reference percentage dollar weights are as follows:

                                                     Table 1
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                                                                                                     2011 dollar
         Futures exchange            Index commodity      Trading symbol    Trading times (eastern     weights
                                                                                     time)            (percent)
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CBT..............................  Chicago Wheat......  W                  09:30-13:15                      3.00
KBT..............................  Kansas City Wheat..  KW                 09:30-13:15                      0.69
CBT..............................  Corn...............  C                  09:30-13:15                      3.37
CBT..............................  Soybeans...........  S                  09:30-13:15                      2.36
ICE-US...........................  Coffee.............  KC                 03:30-14:00                      0.76
ICE-US...........................  Sugar 11..  SB                 03:30-14:00                      2.25
ICE-US...........................  Cocoa..............  CC                 04:00-14:00                      0.39
ICE-US...........................  Cotton 2..  CT                 21:00-14:30                      1.24
CME..............................  Lean Hogs..........  LH                 09:05-13:00                      1.59
CME..............................  Live Cattle........  LC                 09:05-13:00                      2.59
CME..............................  Feeder Cattle......  FC                 09:05-13:00                      0.44
NYM/ICE-US.......................  Crude Oil..........  CL                 09:00-14:30                     34.71
NYM..............................  Heating Oil........  HO                 09:00-14:30                      4.66
NYM..............................  RBOB Gasoline......  RB                 09:00-14:30                      4.67
ICE-UK...........................  Brent Crude Oil....  LCO                19:00-17:00                     15.22
ICE-UK...........................  Gasoil.............  LGO                19:00-17:00                      6.30
NYM/ICE-US.......................  Natural Gas........  NG                 09:00-14:30                      4.20
LME..............................  Aluminum...........  MAL                11:00-10:45                      2.70
LME..............................  Copper.............  MCU                11:00-10:45                      3.66
LME..............................  Lead...............  MPB                11:00-10:45                      0.51
LME..............................  Nickel.............  MNI                11:00-10:45                      0.82
LME..............................  Zinc...............  MZN                11:00-10:45                      0.72
CMX..............................  Gold...............  GC                 08:20-13:30                      2.80
CMX..............................  Silver.............  SI                 08:25-13:25                      0.36
----------------------------------------------------------------------------------------------------------------

    The quantity of each of the Designated Contracts included in the 
Index (``Contract Production Weight'' or ``CPW'') is determined on the 
basis of a five-year average, referred to as the ``world production 
average,'' of the production quantity of the underlying commodity as 
published by a number of official sources as provided in the S&P 
GSCI[supreg] Dynamic Roll Index Methodology. However, if an Index 
Commodity is primarily a regional commodity, based on its production, 
use, pricing, transportation or other factors, the Index Sponsor, in 
consultation with the Index Committee (described below), may calculate 
the weight of that Index Commodity based on regional, rather than 
world, production data. At present, natural gas is the only Index 
Commodity the weights of which are calculated on the basis of regional 
production data, with the relevant region defined as North America.
    The five-year average is updated annually for each Index Commodity

[[Page 10009]]

included in the Index, based on the most recent five-year period 
(ending approximately one and a half years prior to the date of 
calculation and moving backwards) for which complete data for all 
commodities is available. The calculation of the CPWs of each 
Designated Contract is derived from world or regional production 
averages, as applicable, of the relevant Index Commodities, and is 
based on the total quantity traded for the relevant Designated Contract 
and the world or regional production average, as applicable, of the 
underlying Index Commodity. However, if the volume of trading in the 
relevant Designated Contract, as a multiple of the production levels of 
the Index Commodity (``Trading Volume Multiple'' or ``TVM''),\16\ is 
below a specified threshold (``Trading Volume Multiple Threshold'' or 
``TVMT''),\17\ the CPW of the Designated Contract is reduced until the 
threshold is satisfied. This is designed to ensure that trading in each 
Designated Contract is sufficiently liquid relative to the production 
of the Index Commodity.
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    \16\ The TVM with respect to any Designated Contract is the 
quotient of (i) the product of (a) the total annualized quantity 
traded of such Designated Contract during the relevant calculation 
period and (b) the sum of the products of (x) the Designated 
Contract production weight of each Designated Contract included in 
the S&P GSCI index and (y) the corresponding average month-end 
settlement price of the first nearby contract expiration of such 
Designated Contracts during the relevant period, and (ii) the 
product of (a) the targeted amount of investment in the S&P GSCI and 
related indices that needs to be supported by liquidity in the 
relevant Designated Contracts (currently $190 billion) and (b) the 
Designated Contract production weight of such Designated Contract.
    \17\ The TVMT is the TVM level, specified by S&P, which triggers 
a recalculation of the Designated Contract production weights for 
all Designated Contracts on an Index Commodity if the TVM of any 
such Designated Contract falls below such level.
---------------------------------------------------------------------------

    In addition, the Index Sponsor performs this calculation on a 
monthly basis and, if the TVM of any Designated Contract is below the 
TVMT, the composition of the Index is reevaluated, based on the 
criteria and weighting procedure described above. This procedure is 
undertaken to allow the Index to shift from Designated Contracts that 
have lost substantial liquidity into more liquid contracts during the 
course of a given year. As a result, it is possible that the 
composition or weighting of the Index will change on one or more of 
these monthly evaluation dates. The likely circumstances under which 
the Index Sponsor would be expected to change the composition of the 
Index during a given year, however, are (1) a substantial shift of 
liquidity away from a Designated Contract included in the Index as 
described above, or (2) an emergency, such as a natural disaster or act 
of war or terrorism, that causes trading in a particular contract to 
cease permanently or for an extended period of time. In either event, 
the Index Sponsor will publish the nature of the changes, through Web 
sites, news media or other outlets, with as much prior notice to market 
participants as is reasonably practicable. Moreover, regardless of 
whether any changes have occurred during the year, the Index Sponsor 
reevaluates the composition of the Index at the conclusion of each 
year, based on the above criteria. Other commodities that satisfy that 
criteria, if any, will be added to the Index. Commodities included in 
the Index that no longer satisfy that criteria, if any, will be 
deleted.
    The Index Sponsor also determines whether modifications in the 
selection criteria or the methodology for determining the composition 
and weights of and for calculating the Index are necessary or 
appropriate in order to assure that the Index represents a measure of 
commodity market return. The Index Sponsor has the discretion to make 
any such modifications.
Calculation of the Closing Value of the Index
    The value, or the total dollar weight, of the Index on each 
business day is equal to the sum of the dollar weights of each of the 
Index Commodities. The dollar weight of each Index Commodity on any 
given day is equal to the product of (i) the weight of such Index 
Commodity, (ii) the daily contract reference price for the appropriate 
Designated Contracts, and (iii) the applicable ``roll weights'' during 
a Roll Period.\18\
---------------------------------------------------------------------------

    \18\ The ``roll weight'' of each Index Commodity reflects the 
fact that the positions in the Designated Contracts must be 
liquidated or rolled forward into more distant contract expirations 
as they near expiration. If actual positions in the relevant markets 
were rolled forward, the roll would likely need to take place over a 
period of days. Because the Index is designed to replicate the 
return of actual investments in the underlying Designated Contracts, 
the rolling process incorporated in the Index also takes place over 
a period of days at the beginning of each month, referred to as the 
``Roll Period.'' On each day of the Roll Period, the ``roll 
weights'' of the first nearby contract expirations on a particular 
Index Commodity and the more distant contract expiration into which 
it is rolled are adjusted, so that the hypothetical position in the 
Designated Contract on the Index Commodity that is included in the 
Index is gradually shifted from the first nearby contract expiration 
to the more distant contract expiration pursuant to the S&P 
GSCI[supreg] Dynamic Roll Index Methodology.
---------------------------------------------------------------------------

    The daily contract reference price used in calculating the dollar 
weight of each Index Commodity on any given day is the most recent 
daily contract reference price for the applicable Designated Contract 
made available by the relevant trading facility, except that the daily 
contract reference price for the most recent prior day will be used if 
the Futures Exchange is closed or otherwise fails to publish a daily 
contract reference price on that day. If the trading facility fails to 
make a daily contract reference price available or if the Index Sponsor 
determines, in its reasonable judgment, that the published daily 
contract reference price reflects manifest error, the relevant 
calculation will be delayed until the price is made available or 
corrected. If the daily contract reference price is not made available 
or corrected by 4 p.m., Eastern Time (``E.T.''), the Index Sponsor may 
determine, in its reasonable judgment, the appropriate daily contract 
reference price for the applicable Designated Contract in order to 
calculate the Index.
The Index Committee
    The Index Sponsor has established an Index Committee to oversee the 
daily management and operations of the Index, and is responsible for 
all analytical methods and calculation of the Index. The Index 
Committee is comprised of full-time professional members of the Index 
Sponsor's staff. At each meeting, the Index Committee reviews any 
issues that may affect Index constituents, statistics comparing the 
composition of the Index to the market, commodities that are being 
considered as candidates for addition to the Index, and any significant 
market events. In addition, the Index Committee may revise Index policy 
covering rules for selecting commodities, or other matters.
    The Index Sponsor considers information about changes to the Index 
and related matters to be potentially market moving and material. 
Therefore, all Index Committee discussions are confidential.
    In addition, the Index Sponsor has established a ``Commodity Index 
Advisory Panel'' to assist it with the operation of the Index. The 
Commodity Index Advisory Panel meets on an annual basis and at other 
times at the request of the Index Committee. The principal purpose of 
the Commodity Index Advisory Panel is to advise the Index Committee 
with respect to, among other things, the calculation of the Index, the 
effectiveness of the Index as a measure of commodity futures market 
return, and the need for changes in the composition or the methodology 
of the Index. The Commodity Index Advisory Panel acts solely in an 
advisory and consultative capacity. The Index Committee makes all 
decisions with respect to the composition, calculation

[[Page 10010]]

and operation of the Index. The Index Advisory Panel representatives 
include employees of S&P Indices, McGraw-Hill Financial and clients of 
S&P Indices. Also, certain of the members of the Index Advisory Panel 
may be affiliated with entities which, from time to time, may have 
investments linked to the S&P GSCI or other S&P Commodities Indices, 
either through transactions in the contracts included in the S&P GSCI 
and other S&P Commodities Indices, futures contracts or derivative 
products linked to the S&P Commodities Indices. The Index Committee and 
the Commodity Index Advisory Panel are subject to procedures designed 
to prevent the use and dissemination of material, non-public 
information regarding the Index.
    Additional information regarding the composition of the Index and 
Index Methodology is included in the Registration Statement.
Net Asset Value
    According to the Registration Statement, the NAV with respect to 
the Fund means the total assets of the Fund including, but not limited 
to, all cash and cash equivalents or other debt securities less total 
liabilities of the Fund, each determined on the basis of generally 
accepted accounting principles. In particular, NAV includes any 
unrealized profit or loss on open Designated Contracts, Cleared Swaps, 
Substitute Contracts and Alternative Financial Instruments (if any) and 
any other credit or debit accruing to the Fund but unpaid or not 
received by the Fund. All open commodity futures contracts traded on a 
U.S. or non-U.S. exchange will be calculated at their then current 
market value, which will be based upon the settlement price for that 
particular commodity futures contract traded on the applicable U.S. or 
non-U.S. exchange on the date with respect to which NAV is being 
determined; provided, that if a commodity futures contract traded on a 
U.S. or non-U.S. exchange could not be liquidated on such day, due to 
the operation of daily limits (if applicable) or other rules of the 
exchange upon which that position is traded or otherwise, the 
settlement price on the most recent day on which the position could 
have been liquidated will be the basis for determining the market value 
of such position for such day.
    The Managing Owner may in its discretion (and under extraordinary 
circumstances, including, but not limited to, periods during which a 
settlement price of a futures contract is not available due to exchange 
limit orders or force majeure type events such as systems failure, 
natural or man-made disaster, act of God, armed conflict, act of 
terrorism, riot or labor disruption or any similar intervening 
circumstance) value any asset of the Fund pursuant to such other 
principles as the Managing Owner deems fair and equitable so long as 
such principles are consistent with normal industry standards.
    In calculating the NAV of the Fund, the settlement value of an 
Alternative Financial Instrument (if any) will be determined by either 
applying the then-current disseminated value for the Designated 
Contracts or the terms as provided under the applicable Alternative 
Financial Instrument. However, in the event that the Designated 
Contracts are not trading due to the operation of daily limits or 
otherwise, the Managing Owner may in its sole discretion choose to 
value the Fund's Alternative Financial Instrument (if any) on a fair 
value basis in order to calculate the Fund's NAV.
    NAV per Share will be the NAV of the Fund divided by the number of 
its outstanding Shares.
Creation and Redemption of Shares
    The Fund will create and redeem Shares from time-to-time in one or 
more ``Baskets'' of 40,000 Shares each. Baskets may be created or 
redeemed only by Authorized Participants. Baskets will be created and 
redeemed continuously as of noon, E.T., on the business day immediately 
following the date on which a valid order to create or redeem a Basket 
is accepted by the Fund. Baskets will be created and redeemed at the 
NAV of 40,000 Shares as of the close of the NYSE Arca Core Trading 
Session (9:30 a.m. to 4 p.m., E.T.) or the last to close of the Futures 
Exchanges on which the Designated Contracts or Substitute Contracts are 
traded, whichever is later, on the date that a valid order to create or 
redeem a Basket is accepted by the Fund. For purposes of processing 
both purchase and redemption orders, a ``business day'' means any day 
other than a day when each of NYSE Arca and banks in both New York City 
and London are required or permitted to be closed. Except when 
aggregated in Baskets, the Shares are not redeemable securities.
    Purchase and redemption orders must be placed by 10 a.m., E.T. The 
day on which the Managing Owner receives a valid purchase or redemption 
order will be the purchase or redemption order date. Purchase and 
redemption orders will be irrevocable.
    The total cash payment required to create each Basket will be the 
NAV of 40,000 Shares as of the closing time of NYSE Arca Core Trading 
Session or the last to close of the Futures Exchanges on which the 
Fund's Designated Contracts or Substitute Contracts are traded, 
whichever is later, on the purchase order date. The redemption proceeds 
from the Fund will consist of the cash redemption amount. The cash 
redemption amount will be equal to the NAV of the number of Basket(s) 
requested in the Authorized Participant's redemption order as of the 
closing time of NYSE Arca Core Trading Session or the last to close of 
the Futures Exchanges on which the Fund's Designated Contracts or 
Substitute Contracts are traded, whichever is later, on the redemption 
order date.
    The Fund may suspend the creation of Baskets if the Fund has 
reached speculative position or other limits with respect to the Fund's 
holdings of Designated Contracts on one or more Index Commodities and 
the Fund is unable to gain an exposure to the Index Commodities based 
upon Alternative Financial Instruments to the Designated Contracts on 
the Index Commodities.
    The Fund will meet the initial and continued listing requirements 
applicable to TIRs in NYSE Arca Equities Rule 8.200 and Commentary .02 
thereto. With respect to application of Rule 10A-3 under the Act,\19\ 
the Fund relies on the exception contained in Rule 10A-3(c)(7).\20\ A 
minimum of 100,000 Shares of the Fund will be outstanding as of the 
start of trading on the Exchange.
---------------------------------------------------------------------------

    \19\ 17 CFR 240.10A-3.
    \20\ 17 CFR 240.10A-3(c)(7).
---------------------------------------------------------------------------

    A more detailed description of the Shares, the Fund, the Index and 
the Index Commodities, as well as investment risks, creation and 
redemption procedures and fees is set forth in the Registration 
Statement.
Availability of Information Regarding the Shares
    The Managing Owner's Web site, www.stream.bnpparibas.com, and/or 
the Exchange's Web site, 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 (``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 
previous calendar

[[Page 10011]]

quarters; (f) the prospectus; and (g) other applicable quantitative 
information. The Fund will also disseminate Fund holdings on a daily 
basis on the Fund's Web site.
    The Fund will provide Web site disclosure of portfolio holdings 
daily and will include, as applicable, the names, quantity, price and 
market value of Designated Contracts, Cleared Swaps, Substitute 
Contracts and Alternative Financial Instruments, if any, 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 Managing Owner of the portfolio composition to 
Authorized Participants 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 Participants. 
Accordingly, each investor will have access to the current portfolio 
composition of the Fund through the Fund's Web site. The prices of the 
Designated Contracts, Cleared Swaps, Substitute Contracts and exchange-
traded cash settled options are available from the applicable exchanges 
and market data vendors. The Managing Owner will publish the NAV of the 
Fund and the NAV per Share daily.
    The S&P GSCI[supreg] Dynamic Roll Index Methodology is provided by 
the Index Sponsor on its Web site. The Index Sponsor calculates and 
publishes the value of the Index continuously (``Intraday Index 
Value'') on each business day, with such values updated every 15 
seconds. The Index Sponsor provides the Intraday Index Value and the 
closing levels of the Index for each business day to market data 
vendors.
    The intra-day indicative value (``IIV'') per Share of the Fund will 
be based on the prior day's final NAV per Share, adjusted every 15 
seconds during the Core Trading Session to reflect the continuous price 
changes of the Fund's Designated Contracts and other holdings. The IIV 
per Share will be be [sic] widely disseminated by one or more major 
market data vendors at least every 15 seconds during the Core Trading 
Session \21\ and on the Managing Owner's Web site (on a delayed basis).
---------------------------------------------------------------------------

    \21\ Currently, it is the Exchange's understanding that several 
major market data vendors display and/or make widely available IIVs 
published on CTA or other data feeds.
---------------------------------------------------------------------------

    The final NAV of the Fund and the final NAV per Share will be 
calculated as of the closing time of NYSE Arca Core Trading Session or 
the last to close of the Futures Exchanges on which the Designated 
Contracts or Substitute Contracts (which are listed on futures 
exchanges other than Futures Exchanges) are traded, whichever is later, 
and posted in the same manner. Although a time gap may exist between 
the close of the NYSE Arca Core Trading Session and the close of the 
Futures Exchanges on which the Designated Contracts or Substitute 
Contracts (which are listed on futures exchanges other than Futures 
Exchanges) are traded, there is no effect on the NAV calculations as a 
result.
    The NAV for the Fund will be disseminated to all market 
participants at the same time. 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. The closing prices and settlement 
prices of futures on the Index Commodities are also readily available 
from the Web sites of the applicable Futures Exchanges, automated 
quotation systems, published or other public sources, or on-line 
information services such as Bloomberg or Reuters. The relevant futures 
exchanges on which the underlying futures contracts are listed also 
provide delayed futures information on current and past trading 
sessions and market news free of charge 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 Shares will 
be disseminated through the facilities of the CTA.
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.
    The trading of the Shares will be subject to NYSE Arca Equities 
Rule 8.200(e), which sets forth certain restrictions on Equity Trading 
Permit (``ETP'') Holders acting as registered Market Makers in TIRs 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 \22\ or by the halt or suspension of trading of the 
underlying futures contracts.
---------------------------------------------------------------------------

    \22\ See NYSE Arca Equities Rule 7.12.
---------------------------------------------------------------------------

    The Exchange represents that the Exchange may halt trading during 
the day in which an interruption to the dissemination of the IIV, the 
Index or the value of the underlying futures contracts occurs. If the 
interruption to the dissemination of the IIV, the Index 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 TIRs, 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

[[Page 10012]]

customer identity information, with respect to transactions occurring 
on the Futures Exchanges that are members of the Intermarket 
Surveillance Group (``ISG'').\23\ CME Group, Inc. (which includes CME, 
CBT, NYM and CMX) and ICE Futures U.S. are members of ISG. In addition, 
the Exchange has entered into comprehensive surveillance sharing 
agreements with KBT, LME and ICE-U.K. that apply with respect to 
trading in Designated Contracts on the applicable Index Commodities. A 
list of ISG members is available at www.isgportal.org.
---------------------------------------------------------------------------

    \23\ The Exchange notes that not all futures contracts or other 
financial instruments held by the Fund may trade on markets that are 
members of ISG or with which the Exchange has in place a 
comprehensive surveillance sharing agreement.
---------------------------------------------------------------------------

    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.
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 IIV will not be calculated or publicly disseminated; (2) the 
procedures for purchases and redemptions of Shares in 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 IIV 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 Index Commodities 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 basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \24\ 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.
---------------------------------------------------------------------------

    \24\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    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 Fund seeks to achieve its investment 
objective by investing in Designated Contracts on the Index 
Commodities, with a view to tracking the Index over time. In certain 
circumstances, and to a limited extent, the Fund may also invest in 
Cleared-Swaps or in Substitute Contracts, or in Alternative Financial 
Instruments referencing the particular Index Commodity in furtherance 
of its investment objective if, in the commercially reasonable judgment 
of the Managing Owner, such instruments tend to exhibit trading prices 
or returns that generally correlate with the Index Commodities. Once 
position limits in a Designated Contract are reached or a Futures 
Exchange imposes limitations on the Fund's ability to maintain or 
increase its positions in a Designated Contract after reaching 
accountability levels or a price limit is in effect on a Designated 
Contract during the last 30 minutes of its regular trading session, the 
Fund's intention is to invest first in Cleared Swaps to the extent 
permitted under the position limits applicable to Cleared Swaps and 
appropriate in light of the liquidity in the Cleared Swaps market, and 
then, using its commercially reasonable judgment, in Substitute 
Contracts or in Alternative Financial Instruments. 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 ISG from other exchanges that 
are members of ISG or with which the Exchange has entered into a 
comprehensive surveillance sharing agreement. 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 Managing Owner is affiliated with a broker-dealer and has 
implemented procedures designed to prevent the use and dissemination of 
material, non-public information regarding the Index. The Index 
Committee and the Commodity Index Advisory Panel are subject to 
procedures designed to prevent the use and dissemination of material, 
non-public information regarding the Index. The NAV for the Fund will 
be disseminated to all market participants at the same time. The Fund 
will provide Web site disclosure of portfolio holdings daily, as 
described above. The Index value will be widely disseminated by one or 
more major market data vendors at least every 15 seconds during the 
Core Trading Session and on the Managing Owner's Web site (on a delayed 
basis). The Exchange will also make available on its Web site daily 
trading volume of each of the Shares, closing prices of such Shares, 
and the corresponding NAV. The prices of the Designated Contracts, 
Cleared Swaps, Substitute Contracts and exchange-traded cash settled 
options are available from the applicable exchanges and market data 
vendors. 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

[[Page 10013]]

circumstances detrimental to the maintenance of a fair and orderly 
market are present. Trading in Shares will be subject to trading halts 
caused by extraordinary market volatility pursuant to the Exchange's 
``circuit breaker'' rule or by the halt or suspension of trading of the 
Designated Contracts. The Exchange represents that the Exchange may 
halt trading during the day in which the interruption to the 
dissemination of the IIV, the Index or the value of the underlying 
futures contracts occurs. If the interruption to the dissemination of 
the IIV, the Index 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 
an interruption. In addition, if the Exchange becomes aware that the 
NAV with respect to the Shares is not disseminated to all market 
participants at the same time, it will halt trading in the Shares until 
such time as the NAV is available to all market participants.
    The proposed rule change is designed to promote just and equitable 
principles of trade and to protect investors and the public interest in 
that a large amount of information is publicly available regarding the 
Fund and the Shares, thereby promoting market transparency. The NAV for 
the Fund will be disseminated to all market participants at the same 
time. The IIV per Share will be widely disseminated by one or more 
major market data vendors at least every 15 seconds during the Core 
Trading Session and on the Managing Owner's Web site. Trading in Shares 
of the Fund 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. Moreover, 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.
    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 
an additional type of exchange-traded product 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 Fund's holdings, IIV, 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

    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 email to rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2012-10 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-2012-10. 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 Section, 100 F Street 
NE., Washington, DC 20549-1090, on official business days between 10 
a.m. and 3 p.m. Copies of the filing will also be available for 
inspection and copying at the New York Stock Exchange's principal 
office and on its Internet Web site at www.nyse.com. 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-2012-10 and should 
be submitted on or before March 13, 2012.
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    \25\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\25\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-3858 Filed 2-17-12; 8:45 am]
BILLING CODE 8011-01-P