Document ID: SEC-2011-1352-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: NYSE Arca, Inc.
Posted Date: 2011-09-09T04:00Z

[Federal Register Volume 76, Number 175 (Friday, September 9, 2011)]
[Notices]
[Pages 55956-55969]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2011-23035]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-65249; File No. SR-NYSEArca-2011-63]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change To List and Trade Shares of the United States 
Metals Index Fund, the United States Agriculture Index Fund and the 
United States Copper Index Fund Under NYSE Arca Equities Rule 8.200

September 2, 2011.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that, on August 19, 2011, NYSE Arca, Inc. (the ``Exchange'' or ``NYSE 
Arca'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I, II, 
and III below, which Items have been prepared by the Exchange. The 
Commission is publishing this notice to solicit comments on the 
proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade shares of the United States 
Metals Index Fund (``USMI''), the United States Agriculture Index Fund 
(``USAI'') and the United States Copper Index Fund (``USCUI'') 
(together, the ``Funds'') under NYSE Arca Equities Rule 8.200. The text 
of the proposed rule change is available at the Exchange, the 
Commission's Public Reference Room, and http://www.nyse.com.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the self-regulatory organization 
included statements concerning the purpose of, and basis for, the 
proposed rule change and discussed any comments it received on the 
proposed rule change. The text of those statements may be examined at 
the places specified in Item IV below. The Exchange has prepared 
summaries, set forth in sections A, B, and C below, of the most 
significant parts of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    NYSE Arca Equities Rule 8.200, Commentary .02 permits the trading 
of Trust Issued Receipts either by listing or pursuant to unlisted 
trading privileges (``UTP'').\3\ The Exchange proposes to list and 
trade shares (``Units'') of the Funds pursuant to NYSE Arca Equities 
Rule 8.200.
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    \3\ Commentary .02 to NYSE Arca Equities Rule 8.200 applies to 
Trust Issued Receipts that invest in ``Financial Instruments.'' The 
term ``Financial Instruments,'' as defined in Commentary .02(b)(4) 
to NYSE Arca Equities Rule 8.200, means any combination of 
investments, including cash; securities; options on securities and 
indices; futures contracts; options on futures contracts; forward 
contracts; equity caps, collars and floors; and swap agreements.
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    The Exchange notes that the Commission has previously approved the 
listing and trading of other issues of Trust Issued Receipts on the 
American Stock Exchange LLC,\4\ trading on NYSE Arca pursuant to 
unlisted trading privileges (``UTP''),\5\ and listing on NYSE Arca.\6\ 
Among these is the United States Commodity Index Fund, which, like the 
Funds, is a series of the United States Commodity Index Funds Trust 
(``Trust'').\7\ In addition, the Commission has approved the listing 
and trading of other exchange-traded fund-like products linked to the 
performance of underlying commodities.\8\
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    \4\ See, e.g., Securities Exchange Act Release No. 58161 (July 
15, 2008), 73 FR 42380 (July 21, 2008) (SR-Amex-2008-39).
    \5\ See, e.g., Securities Exchange Act Release No. 58163 (July 
15, 2008), 73 FR 42391 (July 21, 2008) (SR-NYSEArca-2008-73).
    \6\ See, e.g., Securities Exchange Act Release No. 58457 
(September 3, 2008), 73 FR 52711 (September 10, 2008) (SR-NYSEArca-
2008-91).
    \7\ See Securities Exchange Act Release No. 62527 (July 19, 
2010), 75 FR 43606 (July 26, 2010) (SR-NYSEArca-2010-44) (order 
approving listing on the Exchange of United States Commodity Index 
Fund).
    \8\ See, e.g., Securities Exchange Act Release Nos. 57456 (March 
7, 2008), 73 FR 13599 (March 13, 2008) (SR-NYSEArca-2007-91) (order 
granting accelerated approval for NYSE Arca listing the iShares GS 
Commodity Trusts); 59781 (April 17, 2009), 74 FR 18771 (April 24, 
2009) (SR-NYSEArca-2009-28) (order granting accelerated approval for 
NYSE Arca listing the ETFS Silver Trust); 59895 (May 8, 2009), 74 FR 
22993 (May 15, 2009) (SR-NYSEArca-2009-40) (order granting 
accelerated approval for NYSE Arca listing the ETFS Gold Trust); 
61219 (December 22, 2009), 74 FR 68886 (December 29, 2009) (order 
approving listing on NYSE Arca of the ETFS Platinum Trust).
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    The Units represent beneficial ownership interests in the Funds, as 
described in the Registration Statement.\9\ The Funds are commodity

[[Page 55957]]

pools that are series of the Trust, a Delaware statutory trust. The 
Funds are managed and controlled by United States Commodity Funds LLC 
(``Sponsor''). The Sponsor is a Delaware limited liability company that 
is registered as a commodity pool operator (``CPO'') with the Commodity 
Futures Trading Commission (``CFTC'') and is a member of the National 
Futures Association (``NFA'').
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    \9\ See the Funds' registration statement on Form S-1 for the 
United States Commodity Index Funds Trust, dated November 24, 2010 
(File No. 333-170844) relating to the Funds (``Registration 
Statement''). The discussion herein relating to the Trust and the 
Units is based, in part, on the Registration Statement.
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United States Metals Index Fund (``USMI'')
    According to the Registration Statement, the investment objective 
of USMI is for the daily changes in percentage terms of its Units' net 
asset value (``NAV'') to reflect the daily changes in percentage terms 
of the SummerHaven Dynamic Metals Index Total Return (the ``Metals 
Index''), less USMI's expenses. The Metals Index is designed to reflect 
the performance of a diversified group of metals. The Metals Index is 
owned and maintained by SummerHaven Index Management, LLC 
(``SummerHaven Indexing'') and calculated and published by the 
Exchange.
    The Metals Index is a metal sector index designed to broadly 
represent industrial and precious metals while overweighting the 
components that are assessed to be in a low inventory state and 
underweighting the components assessed to be in a high inventory state. 
The Metals Index consists of six (6) base metals and four (4) precious 
metals. The base metals are aluminum, copper, zinc, nickel, tin, and 
lead. The precious metals are gold, silver, platinum, and palladium. 
Each metal is assigned a base weight based on an assessment of market 
liquidity and the metal's overall economic importance.
    Academic research by Professors Gorton, Rouwenhorst and Hayashi has 
shown that commodities in relatively low inventory states tend to have 
higher returns than commodities in relatively high inventory 
states.\10\ Furthermore, relative inventory comparisons can be 
estimated by the price-based signals of momentum and basis. Momentum is 
the percentage price change in a commodity over the previous year. 
Basis is the annualized percentage difference between the nearest-to-
maturity contract and the second nearest-to-maturity contract. Using 
these price-based signals, metals determined to be in low inventory 
state will be weighted more heavily, and metals in high inventory state 
will be weighted less heavily during any given month.
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    \10\ See ``The Fundamentals of Commodity Futures Returns,'' 
Gorton, Rouwenhorst and Hayashi (September 2008), Yale International 
Center for Finance Working Paper No. 07-08.
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    The Metals Index is rules-based and is rebalanced monthly based on 
observable price signals described above. In this context, the term 
``rules-based'' is meant to indicate that the composition of the Metals 
Index in any given month will be determined by quantitative formulas 
relating to the prices of the futures contracts that relate to the 
commodities that are included in the Metals Index. Such formulas are 
not subject to adjustment based on other factors.
    Futures contracts for metals in the Metals Index that are traded on 
New York Mercantile Exchange (``NYMEX''), London Metal Exchange 
(``LME''), and Commodity Exchange, Inc. (``COMEX'') are collectively 
referred to herein as ``Eligible Metals Futures Contracts.'' The 10 
Eligible Metals Futures Contracts that at any given time have been 
designated as a component of the Metals Index are referred to as the 
``Benchmark Component Metals Futures Contracts.'' The relative 
weighting of the Benchmark Component Metals Futures Contracts will 
change on a monthly basis, based on quantitative formulas developed by 
SummerHaven Indexing relating to the prices of the Benchmark Component 
Metals Futures Contracts.
    The overall return on the Metals Index is generated by two 
components: (i) Uncollateralized returns from the Benchmark Component 
Metals Futures Contracts comprising the Metals Index, and (ii) a daily 
fixed income return reflecting the interest earned on a hypothetical 3-
month U.S. Treasury Bill collateral portfolio, calculated using the 
weekly auction rate for the 3-Month U.S. Treasury Bill published by the 
U.S. Department of the Treasury. Information regarding the Metals Index 
methodology may also be accessed by the public from SummerHaven 
Indexing's Web site at http://www.summerhavenindex.com.
    Because the Metals Index is comprised of actively traded contracts 
with scheduled expirations, it can be calculated only by reference to 
the prices of contracts for specified expiration, delivery or 
settlement periods, referred to as contract expirations. The contract 
expirations included in the Metals Index for each commodity during a 
given year are designated by SummerHaven Indexing, provided that each 
contract must be an active contract. An active contract for this 
purpose is a liquid, actively-traded contract expiration, as defined or 
identified by the relevant trading facility or, if no such definition 
or identification is provided by the relevant trading facility, as 
defined by standard custom and practice in the industry.
    If a Futures Exchange \11\ ceases trading in all contract 
expirations relating to a particular Benchmark Component Metals Futures 
Contract, SummerHaven Indexing may designate a replacement contract on 
the particular metal. The replacement contract must satisfy the 
eligibility criteria for inclusion in the Metals Index. To the extent 
practicable, the replacement will be effected during the next monthly 
review of the composition of the Metals Index. If that timing is not 
practicable, SummerHaven Indexing will determine the date of the 
replacement based on a number of factors, including the differences 
between the existing Benchmark Component Metals Futures Contract and 
the replacement contract with respect to contractual specifications and 
contract expirations.
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    \11\ COMEX, NYMEX, LME, Kansas City Board of Trade (``KCBT''), 
ICE Futures (``ICE Futures''), Chicago Board of Trade (``CBOT'') and 
Chicago Mercantile Exchange (``CME'') are referred to, collectively, 
as the ``Futures Exchanges.''
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    If a Benchmark Component Metals Futures Contract is eliminated and 
there is no replacement contract, the underlying metal will necessarily 
drop out of the Metals Index.
    USMI will seek to achieve its investment objective by investing to 
the fullest extent possible in Benchmark Component Metals Futures 
Contracts. Then, if constrained by regulatory requirements (as 
described below) or in view of market conditions (as described below), 
USMI will invest next in other Eligible Metals Futures Contracts based 
on the same metal as the futures contracts subject to such regulatory 
constraints or market conditions, and finally, to a lesser extent, in 
other exchange-traded futures contracts that are economically identical 
or substantially similar to the Benchmark Component Metals Futures 
Contracts if one or more other Eligible Metals Futures Contracts is not 
available. When USMI has invested to the fullest extent possible in 
exchange-traded futures contracts, USMI may then invest in other 
contracts and instruments based on the Benchmark Component Metals 
Futures Contracts or the metals included in the Metals Index, such as 
cash-settled options, forward contracts, cleared swap contracts and 
swap contracts other than cleared swap contracts. Other exchange-traded 
futures contracts that are economically identical or substantially 
similar to the Benchmark Component Metals Futures Contracts and other 
contracts and instruments based on the Benchmark Component Metals 
Futures Contracts, as

[[Page 55958]]

well as metals included in the Metals Index, are collectively referred 
to as ``Other Metals-Related Investments,'' and together with Benchmark 
Component Metals Futures Contracts and other Eligible Metals Futures 
Contracts, ``Metals Interests.''
    Regulatory Requirements. As noted above, USMI may at times invest 
in other Eligible Metal Futures Contracts based on the same metal as 
the futures contracts subject to regulatory constraints (as described 
below), and then, to a lesser extent, in Other Metals-Related 
Investments in order to comply with regulatory requirements. An example 
of such regulatory requirements would be if USMI is required by law or 
regulation, or by one of its regulators, including a Futures Exchange, 
to reduce its position in one or more Benchmark Component Metals 
Futures Contracts to the applicable position limit or to a specified 
accountability level for such contracts, USMI's assets could be 
invested in one or more other Eligible Metal Futures Contracts. If one 
or more such Eligible Metal Futures Contracts were unavailable or 
economically impracticable, USMI could invest in Other Metals-Related 
Investments that are intended to replicate the return on the Metals 
Index or particular Benchmark Component Metals Futures Contracts. 
Another example would be if, because USMI's assets were reaching higher 
levels, it exceeded position limits, accountability levels or other 
regulatory limits and, to avoid triggering such limits or levels, it 
invested in one or more other Eligible Metal Futures Contracts to the 
extent practicable and then in Other Metals-Related Investments. \12\
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    \12\ Pursuant to the Dodd-Frank Wall Street Reform and Consumer 
Protection Act, the CFTC has been tasked with implementing rules and 
regulations that are expected to impact position limits and 
visibility levels and other regulatory requirements that will be 
applicable to the Funds and their respective holdings.
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    When investing in Other Metals-Related Investments, USMI will first 
invest in other exchange traded futures contracts that are economically 
identical or substantially similar to the Benchmark Component Metals 
Futures Contracts and then in cash-settled options, forward contracts, 
cleared swap contracts and swap contracts other than cleared swap 
contracts.
    Market Conditions. As also noted above, there may be market 
conditions that could cause USMI to invest in other Eligible Metal 
Futures Contracts that are based on the same metal as the futures 
contracts subject to such market conditions (as described below). One 
such type of market condition would be where demand for Benchmark 
Component Metals Futures Contracts exceeded supply and as a result USMI 
was able to obtain more favorable terms under other Eligible Metal 
Futures Contracts. An example of more favorable terms would be where 
the aggregate costs to USMI from investing in other Eligible Metal 
Futures Contracts (including actual or expected direct costs such as 
the costs to buy, hold, or sell such investments, as well as indirect 
costs such as opportunity costs) were less than the costs of investing 
in Benchmark Component Metal Futures Contracts. Only after USMI becomes 
subject to position limits in any Eligible Metal Futures Contracts will 
USMI invest in Other Metals-Related Investments to replicate exposure 
to the Eligible Metal Futures Contract that is position-limited. 
Generally, USMI will only invest in this manner in other Eligible Metal 
Futures Contracts or Other Metals-Related Investments if it results in 
materially more favorable terms, and if such investments result in a 
specific benefit for USMI or its shareholders, such as being able to 
more closely track its benchmark.
    USMI's trading advisor is SummerHaven Investment Management, LLC 
(``SummerHaven''). The Sponsor expects to manage USMI's investments 
directly, using the trading advisory services of SummerHaven for 
guidance with respect to the Metals Index and the Sponsor's selection 
of investments on behalf of USMI. The Sponsor is also authorized to 
select futures commission merchants to execute USMI's transactions in 
Benchmark Component Metals Futures Contracts, other Eligible Metal 
Futures Contracts and Other Metals-Related Investments. The Sponsor, 
SummerHaven Indexing and SummerHaven are not affiliated with a broker-
dealer and are subject to procedures designed to prevent the use and 
dissemination of material nonpublic information regarding the Metals 
Index or USMI's portfolio.\13\
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    \13\ The Sponsor represents that, in the event the Sponsor, 
SummerHaven Indexing, or SummerHaven becomes affiliated with a 
broker-dealer, it will implement a fire wall with respect to such 
broker-dealer regarding access to information concerning the 
composition and/or changes to a portfolio.
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    According to the Registration Statement, it is anticipated that 
USMI will invest such that daily changes in USMI's NAV will closely 
track the daily changes in the Metals Index.\14\ USMI's positions in 
Metals Interests will be rebalanced on a monthly basis in order to 
track the changing nature of the Metals Index. In order that USMI's 
trading does not unduly cause extraordinary market movements, and to 
make it more difficult for third parties to profit by trading based on 
market movements that could be expected from changes in the Benchmark 
Component Metals Futures Contracts, USMI's investments typically will 
not be rebalanced entirely on a single day, but rather will typically 
be rebalanced over a period of four days. After fulfilling the margin 
and collateral requirements with respect to USMI's Metals Interests, 
the Sponsor will invest the remainder of USMI's proceeds from the sale 
of baskets in short-term obligations of the United States government 
(``Treasury Securities'' or ``Treasuries'') or cash equivalents, and/or 
hold such assets in cash (generally in interest-bearing accounts).
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    \14\ As of January 31, 2011, the Metals Index reflects 
commodities in two commodity sectors: precious metals (representing 
approximately 38% of the Metals Index) and industrial metals 
(representing approximately 62% of the Metals Index).
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    According to the Registration Statement, the Sponsor endeavors to 
place USMI's trades in Metals Interests and otherwise manage USMI's 
investments so that A will be within plus/minus 10 percent of B, where:
     A is the average daily percentage change in USMI's NAV for 
any period of 30 successive NYSE Arca trading days as of which USMI 
calculates its NAV, and
     B is the average daily percentage change in the Metals 
Index over the same period.
    The table immediately below lists the eligible metals, the relevant 
Futures Exchange on which each Eligible Metals Futures Contract is 
listed and quotation details including imposed price and position 
limits:

[[Page 55959]]

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                                                                                                                                                   Position limits--
                                   Designated                                          Accountability         Accountability     Position limits-- single month and
           Commodity                contract         Exchange          Units        levels--single month    levels--all months      spot month        all months         Trading hours (E.T.)
 
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Aluminum......................  High Grade        LME..........  25 metric tons..  None.................  None.................  None............  None............  06:55 AM: 12:00 PM
                                 Primary
                                 Aluminum.
Copper........................  Copper..........  COMEX........  25,000 lbs......  5000.................  5000.................  1200............  None............  08:10 AM-1:00 PM
Lead..........................  Lead............  LME..........  25 metric tons..  None.................  None.................  None............  None............  07:15 AM: 11:45 AM
Nickel........................  Primary Nickel..  LME..........  6 metric tons...  None.................  None.................  None............  None............  07:10 AM: 11:50 AM
Tin...........................  Tin.............  LME..........  5 metric tons...  None.................  None.................  None............  None............  07:05 AM: 11:40 AM
Zinc..........................  Special High      LME..........  25 metric tons..  None.................  None.................  None............  None............  06:50 AM: 11:35 AM
                                 Grade Zinc.
Gold..........................  Gold............  COMEX........  100 troy oz.      6000.................  6000.................  3000............  None............  08:20 AM-1:05 PM
Silver........................  Silver..........  COMEX........  5,000 troy oz.    6000.................  6000.................  1500............  None............  08:25 AM-1:25 PM
Platinum......................  Platinum........  NYMEX........  50 troy oz.       1500.................  1500.................  None............  None............  08:30 AM-1:00 PM
Palladium.....................  Palladium.......  NYMEX........  100 troy oz.      1000.................  1000.................  650.............  None............  08:20 AM-1:30 PM
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    The Sponsor believes that market arbitrage opportunities will cause 
USMI's Unit price on NYSE Arca to closely track USMI's NAV per Unit. 
The Sponsor believes that the net effect of this expected relationship 
and the expected relationship described above between USMI's NAV and 
the Metals Index will be that the changes in the price of USMI's Units 
on NYSE Arca will closely track, in percentage terms, changes in the 
Metals Index, less USMI's expenses.
    According to the Registration Statement, the Benchmark Component 
Metals Futures Contracts for each metal will remain in the Metals Index 
from month to month. Weights for each of the Benchmark Component Metals 
Futures Contracts are determined for the next month. The methodology 
used to calculate the Metals Index weighting is based solely on 
quantitative data using observable futures prices and is not subject to 
human bias. The monthly weighting selection is a three-step process 
based upon examination of the relevant futures prices for each metal. 
For each metal in the Metals Index, the index selects a specific 
Benchmark Component Metals Futures Contract with a tenor (i.e., 
contract month) among the Eligible Metals Futures Contracts based upon 
the relative prices of the Benchmark Component Metals Futures Contract 
within the eligible range of contract months. The previous 
notwithstanding, the contract expiration is not changed for that month 
if a Benchmark Component Metals Futures Contract remains in the Metals 
Index, as long as the contract does not expire or enter its notice 
period in the subsequent month.
    In the event of a commodity futures market where near month 
contracts to expire trade at a higher price than next month contracts 
to expire, a situation referred to as ``backwardation,'' then absent 
the impact of the overall movement in commodity prices, the value of 
the Metals Index would tend to rise as it approaches expiration. As a 
result USMI may benefit because it would be selling more expensive 
contracts and buying less expensive ones on an ongoing basis. 
Conversely, in the event of a commodity futures market where near month 
contracts trade at a lower price than next month contracts, a situation 
referred to as ``contango,'' then absent the impact of the overall 
movement in commodity prices, the value of the Metals Index would tend 
to decline as it approaches expiration. As a result USMI's total return 
may be lower than might otherwise be the case because it would be 
selling less expensive contracts and buying more expensive ones. The 
impact of backwardation and contango may cause the total return of USMI 
to vary significantly from the total return of other price references, 
such as the spot price of the commodities comprising the Metals Index. 
In the event of a prolonged period of contango, and absent the impact 
of rising or falling commodity prices, this could have a significant 
negative impact on USMI's NAV and total return.
    USMI will invest in Metals 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 Metals Interests. The primary focus of the Sponsor is 
the investment in Metals Interests and the management of USMI's 
investments in Treasury Securities, cash and/or cash equivalents.
    The Sponsor will employ a ``neutral'' investment strategy for USMI 
intended to track the changes in the Metals Index regardless of whether 
the Metals Index goes up or goes down. USMI's ``neutral'' investment 
strategy is designed to permit investors generally to purchase and sell 
USMI's Units for the purpose of investing indirectly in the commodities 
market in a cost-effective manner, and/or to permit participants in the 
commodities or other industries to hedge the risk of losses in their 
commodity-related transactions. Accordingly, depending on the 
investment objective of an individual investor, the risks generally 
associated with investing in the commodities market and/or the risks 
involved in hedging may exist. In addition, an investment in USMI 
involves the risks that the changes in the price of the USMI's Units 
will not accurately track the changes in the Metals Index, and that 
changes in the Metals Index will not closely correlate with changes in 
the spot prices of the commodities underlying the Benchmark Component 
Metals Futures Contracts. Furthermore, USMI also invests in short-term 
Treasury Securities or holds cash to meet its current or potential 
margin or collateral requirements with respect to its investments in 
Metals Interests and invests cash not required to be used as margin or 
collateral. There is not expected to be any meaningful

[[Page 55960]]

correlation between the performance of USMI's investments in Treasury 
Securities, cash or cash equivalents and the changes in the price of 
the Metals Index. While the level of interest earned on or the market 
price of these investments may in some respect correlate to changes in 
the price of the Metals Index, this correlation is not anticipated as 
part of the USMI's efforts to meet its objectives. This and certain 
risk factors discussed in the Registration Statement may cause a lack 
of correlation between changes in USMI's NAV and changes in the price 
of the Metals Index. The Sponsor does not intend to operate USMI in a 
fashion such that its per Unit NAV will equal, in dollar terms, the 
spot prices of the commodities underlying the Benchmark Component 
Metals Futures Contracts that comprise the Metals Index or the prices 
of any particular group of Benchmark Component Metals Futures 
Contracts.
United States Agriculture Index Fund (``USAI'')
    According to the Registration Statement, the investment objective 
of USAI is for the daily changes in percentage terms of its Units' NAV 
to reflect the daily changes in percentage terms of the SummerHaven 
Dynamic Agriculture Index Total Return (the ``Agriculture Index''), 
less USAI's expenses. The Agriculture Index is designed to reflect the 
performance of a diversified group of agricultural commodities. The 
Agriculture Index is owned and maintained by SummerHaven Indexing and 
calculated and published by the Exchange.
    The Agriculture Index is an agricultural sector index designed to 
broadly represent major agricultural commodities while overweighting 
the components that are assessed to be in a low inventory state and 
underweighting the components assessed to be in a high inventory state.
    The Agriculture Index consists of fourteen agricultural markets: 
soybeans, corn, soft red winter wheat, hard red winter wheat, soybean 
oil, soybean meal, canola, sugar, cocoa, coffee, cotton, live cattle, 
feeder cattle and lean hogs. Each agricultural commodity is assigned a 
base weight based on an assessment of market liquidity and the 
commodity's overall economic importance. Each commodity is U.S. Dollar 
based, with the exception of canola, which is quoted in Canadian 
Dollars and converted to U.S. Dollars for the purpose of the 
Agriculture Index calculation.
    Academic research by Professors Gorton, Rouwenhorst and Hayashi has 
shown that commodities in relatively low inventory states tend to have 
higher returns that [sic] commodities in relatively high inventory 
states.\15\ Furthermore, relative inventory comparisons can be 
estimated by the price-based signals of momentum and basis. Momentum is 
the percentage price change in a commodity over the previous year. 
Basis is the annualized percentage difference between the nearest-to-
maturity contract and the second nearest-to-maturity contract. Using 
these price-based signals, agricultural commodities determined to be in 
low inventory state will be weighted more heavily, and agricultural 
commodities in high inventory state will be weighted less heavily 
during any given month.
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    \15\ See note 10, supra.
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    The Agriculture Index is rules-based and rebalanced monthly based 
on observable price signals described above. In this context, the term 
``rules-based'' is meant to indicate that the composition of the 
Agriculture Index in any given month will be determined by quantitative 
formulas relating to the prices of the futures contracts that relate to 
the commodities that are included in the Agriculture Index. Such 
formulas are not subject to adjustment based on other factors.
    Futures contracts for agricultural commodities in the Agriculture 
Index that are currently traded on the ICE Futures, CBOT, CME, KCBT and 
ICE Canada are collectively referred to herein as ``Eligible 
Agriculture Futures Contracts.'' The 14 Eligible Agriculture Futures 
Contracts that at any given time have been designated as a component of 
the Agriculture Index are referred to as the ``Benchmark Component 
Agriculture Futures Contracts.'' The relative weighting of the 
Benchmark Component Agriculture Futures Contracts will change on a 
monthly basis, based on quantitative formulas developed by SummerHaven 
Indexing relating to the prices of the Benchmark Component Agriculture 
Futures Contracts.
    The overall return on the Agriculture Index is generated by two 
components: (i) uncollateralized returns from the Benchmark Component 
Agriculture Futures Contracts comprising the Agriculture Index, and 
(ii) a daily fixed income return reflecting the interest earned on a 
hypothetical 3-month U.S. Treasury Bill collateral portfolio, 
calculated using the weekly auction rate for the 3-Month U.S. Treasury 
Bill published by the U.S. Department of the Treasury. Because the 
Agriculture Index is comprised of actively traded contracts with 
scheduled expirations, it can be calculated only by reference to the 
prices of contracts for specified expiration, delivery or settlement 
periods, referred to as contract expirations. The contract expirations 
included in the Agriculture Index for each commodity during a given 
year are designated by SummerHaven Indexing, provided that each 
contract must be an active contract. An active contract for this 
purpose is a liquid, actively-traded contract expiration, as defined or 
identified by the relevant trading facility or, if no such definition 
or identification is provided by the relevant trading facility, as 
defined by standard custom and practice in the industry. Information 
regarding the Agriculture Index methodology may also be accessed by the 
public from SummerHaven Indexing's Web site at http://www.summerhavenindex.com.
    If a Futures Exchange ceases trading in all contract expirations 
relating to a particular Benchmark Component Agriculture Futures 
Contract, SummerHaven Indexing may designate a replacement contract on 
the particular agricultural commodity. The replacement contract must 
satisfy the eligibility criteria for inclusion in the Agriculture 
Index. To the extent practicable, the replacement will be effected 
during the next monthly review of the composition of the Agriculture 
Index. If that timing is not practicable, SummerHaven Indexing will 
determine the date of the replacement based on a number of factors, 
including the differences between the existing Benchmark Component 
Agriculture Futures Contract and the replacement contract with respect 
to contractual specifications and contract expirations.
    If a Benchmark Component Agriculture Futures Contract is eliminated 
and there is no replacement contract, the underlying agricultural 
commodity will necessarily drop out of the Agriculture Index.
    USAI will seek to achieve its investment objective by investing to 
the fullest extent possible in Benchmark Component Agriculture Futures 
Contracts. Then, if constrained by regulatory requirements (described 
below) or in view of market conditions (described below), USAI will 
invest next in other Eligible Agriculture Futures Contracts based on 
the same agricultural commodity as the futures contracts subject to 
such regulatory constraints or market conditions, and finally, to a 
lesser extent, in other exchange traded futures contracts that are 
economically identical or substantially similar to the Benchmark 
Component Agriculture Futures Contracts, if one or more Eligible 
Agriculture Futures Contracts is

[[Page 55961]]

not available. When USAI has invested to the fullest extent possible in 
exchange-traded futures contracts, USAI may then invest in other 
contracts and instruments based on the Benchmark Component Agriculture 
Futures Contracts or the agricultural commodities included in the 
Agriculture Index, such as cash-settled options, forward contracts, 
cleared swap contracts and swap contracts other than cleared swap 
contracts. Other exchange-traded futures contracts that are 
economically identical or substantially similar to the Benchmark 
Component Agriculture Futures Contracts and other contracts and 
instruments based on the Benchmark Component Agriculture Futures 
Contracts, as well as metals included in the Agriculture Index, are 
collectively referred to as ``Other Agriculture-Related Interests,'' 
and together with Benchmark Component Agriculture Futures Contracts and 
other Eligible Agriculture Futures Contracts, ``Agriculture 
Interests.''
    Regulatory Requirements. As noted above, USAI may at times invest 
in Eligible Agriculture Futures Contracts based on the same 
agricultural commodity as the futures contracts subject to regulatory 
constraints (as described below), and then to a lesser extent in Other 
Agriculture-Related Investments in order to comply with regulatory 
requirements. An example of such regulatory requirements would be if 
USAI is required by law or regulation, or by one of its regulators, 
including a Futures Exchange, to reduce its position in one or more 
Benchmark Component Agriculture Futures Contracts to the applicable 
position limit or to a specified accountability level for such 
contracts, USAI's assets could be invested in one or more other 
Eligible Agriculture Futures Contracts. If one or more such Eligible 
Agriculture Futures Contracts was unavailable or economically 
impracticable, USAI could invest in Other Agriculture-Related 
Investments that are intended to replicate the return on the 
Agriculture Index or particular Benchmark Component Agriculture Futures 
Contracts. Another example would be if because USAI's assets were 
reaching higher levels, it exceeded position limits, accountability 
levels or other regulatory limits and, to avoid triggering such limits 
or levels, it invested in one or more other Eligible Agriculture 
Futures Contracts to the extent practicable and then in Other 
Agriculture-Related Investments.
    When investing in Other Agriculture-Related Investments, USAI will 
first invest in other exchange traded futures contracts that are 
economically identical or substantially similar to the Benchmark 
Component Agriculture Futures Contracts and then in cash settled 
options, forward contracts, cleared swap contracts and swap contracts 
other than cleared swap contracts.
    Market Conditions. As also noted above, there may be market 
conditions that could cause USAI to invest in other Eligible 
Agriculture Futures Contracts that are based on the same agricultural 
commodity as the futures contracts subject to such market conditions 
(as described below). One such type of market condition would be where 
demand for Benchmark Component Agriculture Futures Contracts exceeded 
supply and as a result USAI was able to obtain more favorable terms 
under other Eligible Agriculture Futures Contracts. An example of more 
favorable terms would be where the aggregate costs to USAI from 
investing in other Eligible Agriculture Futures Contracts or Other 
Agriculture-Related Investments (including actual or expected direct 
costs such as the costs to buy, hold, or sell such investments, as well 
as indirect costs such as opportunity costs) were less than the costs 
of investing in Benchmark Component Agriculture Futures Contracts. Only 
after USAI becomes subject to position limits in any Eligible 
Agriculture Futures Contract will USAI invest in Other Agriculture-
Related Investments to replicate exposure to the Eligible Agriculture 
Futures Contract that is position-limited. Generally, USAI will only 
invest in this manner in other Eligible Agriculture Futures Contracts 
or Other Agriculture-Related Investments if it results in materially 
more favorable terms, and if such investments result in a specific 
benefit for USAI or its shareholders, such as being able to more 
closely track its benchmark.
    USAI's trading advisor is SummerHaven. The Sponsor expects to 
manage USAI's investments directly, using the trading advisory services 
of SummerHaven for guidance with respect to the Agriculture Index and 
the Sponsor's selection of investments on behalf of USAI. The Sponsor 
is also authorized to select futures commission merchants to execute 
USAI's transactions in Benchmark Component Agriculture Futures 
Contracts, other Eligible Agriculture Futures Contracts and Other 
Agriculture-Related Investments. The Sponsor, SummerHaven Indexing and 
SummerHaven are not affiliated with a broker-dealer and are subject to 
procedures designed to prevent the use and dissemination of material 
nonpublic information regarding the Agriculture Index or USAI's 
portfolio.\16\
---------------------------------------------------------------------------

    \16\ See note 13, supra.
---------------------------------------------------------------------------

    According to the Registration Statement, it is anticipated that 
USAI will invest such that daily changes in USAI's NAV will closely 
track the daily changes in the Agriculture Index.\17\ USAI's positions 
in Agriculture Interests will be rebalanced on a monthly basis in order 
to track the changing nature of the Agriculture Index. In order that 
USAI's trading does not unduly cause extraordinary market movements, 
and to make it more difficult for third parties to profit by trading 
based on market movements that could be expected from changes in the 
Benchmark Component Agriculture Futures Contracts, USAI's investments 
typically will not be rebalanced entirely on a single day, but rather 
will typically be rebalanced over a period of four days. After 
fulfilling the margin and collateral requirements with respect to 
USAI's Agriculture Interests, the Sponsor will invest the remainder of 
USAI's proceeds from the sale of baskets in Treasury Securities or cash 
equivalents, and/or hold such assets in cash (generally in interest-
bearing accounts).
---------------------------------------------------------------------------

    \17\ As of January 31, 2011, the Agriculture Index reflects 
commodities in three commodity sectors: grains (representing 
approximately 47% of the Agriculture Index), soft commodities (e.g., 
sugar, cotton, coffee, cocoa) (representing approximately 36% of the 
Agriculture Index), and livestock (representing approximately 17% of 
the Agriculture Index).
---------------------------------------------------------------------------

    According to the Registration Statement, the Sponsor endeavors to 
place USAI's trades in Agriculture Interests and otherwise manage 
USAI's investments so that A will be within plus/minus 10 percent of B, 
where:
     A is the average daily percentage change in USAI's NAV for 
any period of 30 successive NYSE Arca trading days as of which USAI 
calculates its NAV, and
     B is the average daily percentage change in the 
Agriculture Index over the same period.
    The table immediately below lists the eligible agricultural 
commodities, the relevant Futures Exchange on which each Eligible 
Agriculture Futures Contract is listed and quotation details.

[[Page 55962]]

------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                                                                             Position       Position       Position
          Commodity              Designated       Exchange         Units          Accountability        Accountability     limits--spot  limits--single  limits--all     Trading hours  (E.T.)
                                  contract                                     levels--single month    levels all months       month          month         months
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Soybeans....................  Soybeans.......  CBOT.........  5,000 bushels..  None................  None................          600   6500..........  10000......  10:30 AM-2:15 PM
Corn........................  Corn...........  CBOT.........  5,000 bushels..  None................  None................          600   13500.........  22000......  10:30 AM-2:15 PM
Soft Red Winter Wheat.......  Soft Red Winter  CBOT.........  5,000 bushels..  None................  None................          600   5000..........  6500.......  10:30 AM-2:15 PM
                               Wheat.
Hard Red Winter Wheat.......  Hard Red Winter  KCBT.........  5,000 bushels..  None................  None................          600   5000..........  6500.......  09:30 AM-1:15PM
                               Wheat.
Soybean Oil.................  Soybean Oil....  CBOT.........  60,000 lbs.....  None................  None................          540   5000..........  6500.......  10:30 AM-2:15 PM
Soybean Meal................  Soybean Meal...  CBOT.........  100 tons.......  None................  None................          720   5000..........  6500.......  09:30 AM-1:15 PM
Coffee......................  Coffee ``C''...  ICE-US.......  37,500 lbs.....  5000................  5000................          500   5000..........  5000.......  03:30 AM-2:00 PM
Cocoa.......................  Cocoa..........  ICE-US.......  10 metric tons.  6000................  6000................         1000   None..........  None.......  04:00 AM-2:00 PM
Sugar.......................  World Sugar No.  ICE-US.......  112,000 lbs....  10000...............  15000...............         5000   None..........  None.......  03:30 AM-2:00 PM
                               11.
Canola......................  Canola.........  ICE-CANADA...  20 tonnes......  None................  None................         1000   None..........  None.......  08:00 PM-2:15 PM
Cotton......................  Cotton.........  ICE-US.......  50,000 lbs.....  None................  None................          300   3500..........  5000.......  9:00 PM-2:30 PM
Feeder Cattle...............  Feeder Cattle..  CME..........  50,000 lbs.....  None................  None................          300   1950..........  None.......  09:05 AM-1:00 PM
Live Cattle.................  Live Cattle....  CME..........  40,000 lbs.....  None................  None................          450   6300..........  None.......  10:05 AM-2:00 PM
Lean Hogs...................  Lean Hogs......  CME..........  40,000 lbs.....  None................  None................          950   4150..........  None.......  09:05 AM-1:00 PM
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

    The Sponsor believes that market arbitrage opportunities will cause 
USAI's Unit price on NYSE Arca to closely track USAI's NAV per Unit. 
The Sponsor believes that the net effect of this expected relationship 
and the expected relationship described above between USAI's NAV and 
the Agriculture Index will be that the changes in the price of USAI's 
Units on NYSE Arca will closely track, in percentage terms, changes in 
the Agriculture Index, less USAI's expenses.
    According to the Registration Statement, the Benchmark Component 
Agriculture Futures Contracts for each agricultural commodity will 
remain in the Agriculture Index from month to month. Weights for each 
of the Benchmark Component Agriculture Futures Contracts in the 
Agriculture Index are determined for the next month. The methodology 
used to calculate the Agriculture Index weighting is based solely on 
quantitative data using observable futures prices and is not subject to 
human bias. The monthly weighting selection is a three-step process 
based upon examination of the relevant futures prices for each 
agricultural commodity. For each agricultural commodity in the 
Agriculture Index, the index selects a specific Benchmark Component 
Agriculture Futures Contract with a tenor (i.e., contract month) among 
the Eligible Agriculture Futures Contracts based upon the relative 
prices of the Benchmark Component Agriculture Futures Contracts within 
the eligible range of contract months. The previous notwithstanding, 
the contract expiration is not changed for that month if a Benchmark 
Component Agriculture Futures Contract remains in the Agriculture 
Index, as long as the contract does not enter expire or enter its 
notice period in the subsequent month.
    In the event of a commodity futures market where near month 
contracts to expire trade at a higher price than next month contracts 
to expire, a situation referred to as ``backwardation,'' then absent 
the impact of the overall movement in commodity prices, the value of 
the Agriculture Index would tend to rise as it approaches expiration. 
As a result USAI may benefit because it would be selling more expensive 
contracts and buying less expensive ones on an ongoing basis. 
Conversely, in the event of a commodity futures market where near month 
contracts trade at a lower price than next month contracts, a situation 
referred to as ``contango,'' then absent the impact of the overall 
movement in commodity prices, the value of the Agriculture Index would 
tend to decline as it approaches expiration. As a result USAI's total 
return may be lower than might otherwise be the case because it would 
be selling less expensive contracts and buying more expensive ones. The 
impact of backwardation and contango may cause the total return of USAI 
to vary significantly from the total return of other price references, 
such as the spot price of the commodities comprising the Agriculture 
Index. In the event of a prolonged period of contango, and absent the 
impact of rising or falling commodity prices, this could have a 
significant negative impact on USAI's NAV and total return.
    USAI will invest in Agriculture 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 Agriculture

[[Page 55963]]

Interests. The primary focus of the Sponsor is the investment in 
Agriculture Interests and the management of USAI's investments in 
Treasury Securities, cash and/or cash equivalents.
    The Sponsor will employ a ``neutral'' investment strategy for USAI 
intended to track the changes in the Agriculture Index regardless of 
whether the Agriculture Index goes up or goes down. USAI's ``neutral'' 
investment strategy is designed to permit investors generally to 
purchase and sell USAI's Units for the purpose of investing indirectly 
in the commodities market in a cost-effective manner, and/or to permit 
participants in the commodities or other industries to hedge the risk 
of losses in their commodity-related transactions. Accordingly, 
depending on the investment objective of an individual investor, the 
risks generally associated with investing in the commodities market 
and/or the risks involved in hedging may exist. In addition, an 
investment in USAI involves the risks that the changes in the price of 
the USAI's Units will not accurately track the changes in the 
Agriculture Index, and that changes in the Agriculture Index will not 
closely correlate with changes in the spot prices of the commodities 
underlying the Benchmark Component Agriculture Futures Contracts. 
Furthermore, USAI also invests in short-term Treasury Securities or 
holds cash to meet its current or potential margin or collateral 
requirements with respect to its investments in Agriculture Interests 
and invests cash not required to be used as margin or collateral. There 
is not expected to be any meaningful correlation between the 
performance of USAI's investments in Treasury Securities, cash or cash 
equivalents and the changes in the price of the Agriculture Index. 
While the level of interest earned on or the market price of these 
investments may in some respect correlate to changes in the price of 
the Agriculture Index, this correlation is not anticipated as part of 
USAI's efforts to meet its objectives. This and certain risk factors 
discussed in the Registration Statement may cause a lack of correlation 
between changes in USAI's NAV and changes in the price of the 
Agriculture Index. The Sponsor does not intend to operate USAI in a 
fashion such that its per Unit NAV will equal, in dollar terms, the 
spot prices of the commodities underlying the Benchmark Component 
Agriculture Futures Contracts that comprise the Agriculture Index or 
the prices of any particular group of Benchmark Component Agriculture 
Futures Contracts.
United States Copper Index Fund (``USCUI'')
    According to the Registration Statement, the investment objective 
of USCUI is for the daily changes in percentage terms of its Units' NAV 
to reflect the daily changes in percentage terms of the SummerHaven 
Copper Index Total Return (the ``Copper Index''), less USCUI's 
expenses. The Copper Index is designed to reflect the performance of 
the investment returns from a portfolio of futures contracts for copper 
that are traded on the COMEX (such futures contracts, collectively, 
``Eligible Copper Futures Contracts''). The Copper Index is owned and 
maintained by SummerHaven Indexing and calculated and published by the 
Exchange.
    For reasons discussed below, the Copper Index is comprised of 
either two or three Eligible Copper Futures Contracts that are selected 
on a monthly basis based on quantitative formulas relating to the 
prices of the Eligible Copper Futures Contracts developed by 
SummerHaven Indexing. The Eligible Copper Futures Contracts that at any 
given time make up the Copper Index are referred to herein as 
``Benchmark Component Copper Futures Contracts.''
    The Copper Index is a single-commodity index designed to be an 
investment benchmark for copper as an asset class. The Copper Index is 
composed of copper futures contracts on the COMEX exchange. The Copper 
Index attempts to maximize backwardation and minimize contango while 
utilizing contracts in liquid portions of the futures curve.
    The Copper Index is rules-based and is rebalanced monthly based on 
observable price signals. In the case of the Copper Index, the price 
signal is based on ``basis.'' Basis is the annualized percentage 
difference between the nearest-to-maturity contract's price and the 
second nearest-to-maturity contract's price. The basis calculation can 
produce a positive number, such that the nearest-to-maturity contract 
is higher than the second nearest-to-maturity contract's price (a 
condition also referred to as ``backwardation''), or it can produce a 
negative number, such that the nearest-to-maturity contract's price is 
lower than the second nearest-to-maturity contract's price (a condition 
also referred to as ``contango'').
    At the end of each month, (1) the copper futures curve is assessed 
to be in either backwardation or contango as discussed above, and (2) 
the annualized percentage price difference between the closest-to-
expiration Eligible Copper Futures Contract and each of the next four 
Eligible Copper Futures Contracts is calculated. If the copper futures 
curve is in backwardation at the end of a month, the Copper Index takes 
positions in the two Eligible Copper Futures Contracts with the highest 
annualized percentage price difference, each weighted at 50%. If the 
copper futures curve is in contango, then the Copper Index takes 
positions in three Eligible Copper Futures Contracts, as follows: 
first, the Copper Index takes positions in the two Eligible Copper 
Futures Contracts with the highest annualized percentage price 
difference, each weighted at 25%; then the Copper Index also takes a 
position in the nearest-to-maturity December Eligible Copper Futures 
Contract that has expiration more distant than the fourth nearest 
Eligible Copper Futures Contract, which position is weighted at 50%.
    In this context, the term ``rules-based'' is meant to indicate that 
the composition of the Copper Index in any given month will be 
determined by quantitative formulas relating to the prices of the 
futures contracts that are included in the Copper Index. Such formulas 
are not subject to adjustment based on other factors.
    The overall return on the Copper Index is generated by two 
components: (i) Uncollateralized returns from the Benchmark Component 
Copper Futures Contracts comprising the Copper Index, and (ii) a daily 
fixed income return reflecting the interest earned on a hypothetical 3-
month U.S. Treasury Bill collateral portfolio, calculated using the 
weekly auction rate for the 3-Month U.S. Treasury Bills published by 
the U.S. Department of the Treasury. Because the Copper Index is 
comprised of actively traded contracts with scheduled expirations, it 
can be calculated only by reference to the prices of contracts for 
specified expiration, delivery or settlement periods, referred to as 
contract expirations. The contract expirations included in the Copper 
Index for each commodity during a given year are designated by 
SummerHaven Indexing, provided that each contract must be an active 
contract. An active contract for this purpose is a liquid, actively-
traded contract expiration, as defined or identified by the relevant 
trading facility or, if no such definition or identification is 
provided by the relevant trading facility, as defined by standard 
custom and practice in the industry. Information regarding the Copper 
Index methodology may also be accessed by the public from SummerHaven

[[Page 55964]]

Indexing's Web site at http://www.summerhavenindex.com.
    If a Futures Exchange ceases trading in all contract expirations 
relating to a Benchmark Component Copper Futures Contract, SummerHaven 
Indexing may designate a replacement contract. The replacement contract 
must satisfy the eligibility criteria for inclusion in the Copper 
Index. To the extent practicable, the replacement will be effected 
during the next monthly review of the composition of the Copper Index. 
If that timing is not practicable, SummerHaven Indexing will determine 
the date of the replacement based on a number of factors, including the 
differences between the existing Benchmark Component Copper Futures 
Contract and the replacement contract with respect to contractual 
specifications and contract expirations.
    USCUI will seek to achieve its investment objective by investing to 
the fullest extent possible in the Benchmark Component Copper Futures 
Contracts. Then if constrained by regulatory requirements (described 
below) or in view of market conditions (described below), USCUI will 
invest next in other Eligible Copper Futures Contracts, and finally to 
a lesser extent, in other exchange-traded futures contracts that are 
economically identical or substantially similar to the Benchmark 
Component Copper Futures Contracts if one or more other Eligible Copper 
Futures Contracts is not available. When USCUI has invested to the 
fullest extent possible in exchange-traded futures contracts, USCUI may 
then invest in other contracts and instruments based on the Benchmark 
Component Copper Futures Contracts, other Eligible Copper Futures 
Contracts or copper, such as cash-settled options, forward contracts, 
cleared swap contracts and swap contracts other than cleared swap 
contracts. Other exchange-traded futures contracts that are 
economically identical or substantially similar to the Benchmark 
Component Copper Futures Contracts and other contracts and instruments 
based on the Benchmark Component Copper Futures Contracts, are 
collectively referred to as ``Other Copper-Related Investments,'' and 
together with Benchmark Component Copper Futures Contracts and other 
Eligible Copper Futures Contracts, ``Copper Interests.''
    Regulatory Requirements. As noted above, USCUI may at times invest 
in other Eligible Copper Futures Contracts based on the same metal as 
the futures contracts subject to regulatory constraints (as described 
below), and finally to a lesser extent, in other exchange traded 
futures contracts that are economically identical or substantially 
similar to the Benchmark Component Copper Futures Contracts if one or 
more other Eligible Copper Futures Contracts is not available in order 
to comply with regulatory requirements. An example of such regulatory 
requirements would be if USCUI is required by law or regulation, or by 
one of its regulators, including a Futures Exchange, to reduce its 
position in one or more Benchmark Component Copper Futures Contracts to 
the applicable position limit or to a specified accountability level 
for such contracts, USCUI's assets could be invested in one or more 
other Eligible Copper Futures Contracts. If one or more such Eligible 
Copper Futures Contracts were unavailable or economically 
impracticable, USCUI could invest in Other Copper-Related Investments 
that are intended to replicate the return on the Copper Index or 
particular Benchmark Component Copper Futures Contracts. Another 
example would be if, because USCUI's assets were reaching higher 
levels, it exceeded position limits, accountability levels or other 
regulatory limits and, to avoid triggering such limits or levels, it 
invested in one or more other Eligible Copper Futures Contracts to the 
extent practicable and then in Other Copper-Related Investments.
    When investing in Other Copper-Related Investments, USCUI will 
first invest in other exchange traded futures contracts that are 
economically identical or substantially similar to the Benchmark 
Component Copper Futures Contracts, other Eligible Copper Futures 
Contracts, and then in cash-settled options, forward contracts, cleared 
swap contracts and swap contracts other than cleared swap contracts.
    Market Conditions. As also noted above, there may be market 
conditions that could cause USCUI to invest in other Eligible Copper 
Futures Contracts that are based on the same metal as the futures 
contracts subject to such market conditions (as described below). One 
such type of market condition would be where demand for Benchmark 
Component Copper Futures Contracts exceeded supply and as a result 
USCUI was able to obtain more favorable terms under other Eligible 
Copper Futures Contracts. An example of more favorable terms would be 
where the aggregate costs to USCUI from investing in other Eligible 
Copper Futures Contracts (including actual or expected direct costs 
such as the costs to buy, hold, or sell such investments, as well as 
indirect costs such as opportunity costs) were less than the costs of 
investing in Benchmark Component Copper Futures Contracts. Only after 
USCUI becomes subject to position limits in any Eligible Copper Futures 
Contract will USCUI invest in Other Copper-Related Investments to 
replicate exposure to the Eligible Copper Futures Contract that is 
position-limited. Generally, USCUI will only invest in this manner in 
other Eligible Copper Futures Contracts or Other Copper-Related 
Investments if it results in materially more favorable terms, and if 
such investments result in a specific benefit for USCUI or its 
shareholders, such as being able to more closely track its benchmark.
    USCUI's trading advisor is SummerHaven. The Sponsor expects to 
manage USCUI's investments directly, using the trading advisory 
services of SummerHaven for guidance with respect to the Copper Index 
and the Sponsor's selection of investments on behalf of USCUI. The 
Sponsor is also authorized to select futures commission merchants to 
execute USCUI's transactions in Benchmark Component Copper Futures 
Contracts and Other Copper-Related Investments. The Sponsor, 
SummerHaven Indexing and SummerHaven are not affiliated with a broker-
dealer and are subject to procedures designed to prevent the use and 
dissemination of material nonpublic information regarding the Copper 
Index or USCUI's portfolio.\18\
---------------------------------------------------------------------------

    \18\ See note 13, supra.
---------------------------------------------------------------------------

    According to the Registration Statement, it is anticipated that 
USCUI will invest in Benchmark Component Copper Futures Contracts, 
other Eligible Copper Futures Contracts and Other Copper-Related 
Investments such that daily changes in USCUI's NAV will closely track 
the daily changes in the Copper Index. USCUI's positions in Copper 
Interests will be rebalanced on a monthly basis in order to track the 
changing nature of the Copper Index. In order that USCUI's trading does 
not unduly cause extraordinary market movements, and to make it more 
difficult for third parties to profit by trading based on market 
movements that could be expected from changes in the Benchmark 
Component Copper Futures Contracts, USCUI's investments typically will 
not be rebalanced entirely on a single day, but rather will typically 
be rebalanced over a period of four days. After fulfilling the margin 
and collateral requirements with respect to USCUI's Copper Interests, 
the Sponsor will invest the remainder of USCUI's proceeds from the sale 
of baskets in Treasury Securities or cash equivalents, and/or hold such 
assets in cash (generally in interest-bearing accounts).

[[Page 55965]]

    According to the Registration Statement, the Sponsor endeavors to 
place USCUI's trades in Copper Interests and otherwise manage USCUI's 
investments so that A will be within plus/minus 10 percent of B, where:
     A is the average daily percentage change in USCUI's NAV 
for any period of 30 successive NYSE Arca trading days as of which 
USCUI calculates its NAV, and
     B is the average daily percentage change in the Copper 
Index over the same period.
    The table immediately below lists the Futures Exchange on which the 
Eligible Copper Futures Contracts are listed and quotation details.

------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                                                                                                   Position limits--
                                   Designated                                          Accountability         Accountability     Position limits-- single month and
           Commodity                contract         Exchange          Units        levels--single month    levels--all months      spot month        all months         Trading hours (E.T.)
 
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Copper........................  Copper..........  COMEX........  25,000 lbs......  5000.................  5000.................  1200............  None............  08:10 AM-1:00 PM
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

    The Sponsor believes that market arbitrage opportunities will cause 
USCUI's Unit price on NYSE Arca to closely track USCUI's NAV per Unit. 
The Sponsor believes that the net effect of this expected relationship 
and the expected relationship described above between USCUI's NAV and 
the Copper Index will be that the changes in the price of USCUI's Units 
on NYSE Arca will closely track, in percentage terms, changes in the 
Copper Index, less USCUI's expenses.
    In the event of a commodity futures market where near month 
contracts to expire trade at a higher price than next month contracts 
to expire, a situation referred to as ``backwardation,'' then absent 
the impact of the overall movement in commodity prices, the value of 
the Copper Index would tend to rise as it approaches expiration. As a 
result USCUI may benefit because it would be selling more expensive 
contracts and buying less expensive ones on an ongoing basis. 
Conversely, in the event of a commodity futures market where near month 
contracts trade at a lower price than next month contracts, a situation 
referred to as ``contango,'' then absent the impact of the overall 
movement in commodity prices, the value of the Copper Index would tend 
to decline as it approaches expiration. As a result USCUI's total 
return may be lower than might otherwise be the case because it would 
be selling less expensive contracts and buying more expensive ones. The 
impact of backwardation and contango may cause the total return of 
USCUI to vary significantly from the total return of other price 
references, such as the spot price of the commodities comprising the 
Copper Index. In the event of a prolonged period of contango, and 
absent the impact of rising or falling commodity prices, this could 
have a significant negative impact on USCUI's NAV and total return.
    USCUI will invest in Copper 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 Copper Interests. The primary focus of the Sponsor 
is the investment in Copper Interests and the management of USCUI's 
investments in Treasury Securities, cash and/or cash equivalents.
    The Sponsor will employ a ``neutral'' investment strategy for USCUI 
intended to track the changes in the Copper Index regardless of whether 
the Copper Index goes up or goes down. USCUI's ``neutral'' investment 
strategy is designed to permit investors generally to purchase and sell 
USCUI's Units for the purpose of investing indirectly in the 
commodities market in a cost-effective manner, and/or to permit 
participants in the commodities or other industries to hedge the risk 
of losses in their commodity-related transactions. Accordingly, 
depending on the investment objective of an individual investor, the 
risks generally associated with investing in the commodities market 
and/or the risks involved in hedging may exist. In addition, an 
investment in USCUI involves the risks that the changes in the price of 
the USCUI's Units will not accurately track the changes in the Copper 
Index, and that changes in the Copper Index will not closely correlate 
with changes in the spot prices of the commodities underlying the 
Benchmark Component Copper Futures Contracts. Furthermore, USCUI also 
invests in short-term Treasury Securities or holds cash to meet its 
current or potential margin or collateral requirements with respect to 
its investments in Copper Interests and invests cash not required to be 
used as margin or collateral. There is not expected to be any 
meaningful correlation between the performance of a USCUI's investments 
in Treasury Securities, cash or cash equivalents and the changes in the 
price of the Copper Index. While the level of interest earned on or the 
market price of these investments may in some respect correlate to 
changes in the price of the Copper Index, this correlation is not 
anticipated as part of the USCUI's efforts to meet its objectives. This 
and certain risk factors discussed in the Registration Statement may 
cause a lack of correlation between changes in USCUI's NAV and changes 
in the price of the Copper Index. The Sponsor does not intend to 
operate USCUI in a fashion such that its per Unit NAV will equal, in 
dollar terms, the spot prices of the commodities underlying the 
Benchmark Component Copper Futures Contracts that comprise the Copper 
Index or the prices of any particular group of Benchmark Component 
Copper Futures Contracts.
Creation and Redemption of Units
    Each Fund will create Units only in blocks of 100,000 Units called 
Creation Baskets and redeem Units only in blocks of 100,000 Units 
called Redemption Baskets. Only authorized purchasers may purchase or 
redeem Creation Baskets or Redemption Baskets, respectively. An 
authorized purchaser is under no obligation to create or redeem 
baskets, and an authorized purchaser is under no obligation to offer to 
the public Units of any baskets it does create. Baskets are generally 
created when there is a demand for Units, including, but not limited 
to, when the market price per Unit is at a premium to the NAV per Unit. 
Authorized purchasers will then sell such Units, which will be listed 
on NYSE Arca, to the public at per Unit offering prices that are 
expected to reflect, among other factors, the trading price of the 
Units on NYSE Arca, the NAV of the applicable Fund at the time the 
authorized purchaser purchased the Creation Baskets and the NAV at the 
time of the offer of the Units to the public, the

[[Page 55966]]

supply of and demand for Units at the time of sale, and the liquidity 
of the applicable Fund's Benchmark Component Futures Contracts and 
Other Related Investments.\19\ Baskets are generally redeemed when the 
market price per Unit is at a discount to the NAV per Unit. Retail 
investors seeking to purchase or sell Units on any day will effect such 
transactions in the secondary market, on NYSE Arca, at the market price 
per Unit, rather than in connection with the creation or redemption of 
baskets.
---------------------------------------------------------------------------

    \19\ Other Related Metal Investments, Other Related Agriculture 
Investments and Other Related Copper Investments are collectively 
referred to as ``Other Related Investments.''
---------------------------------------------------------------------------

    Purchase and redemption orders must be placed by 10:30 a.m. Eastern 
Time (``E.T.'') or the close of regular trading on the NYSE Arca, 
whichever is earlier.
    The creation and redemption of baskets are only made in exchange 
for delivery to the applicable Fund or the distribution by the 
applicable Fund of the amount of Treasury Securities and/or cash equal 
to the combined NAV of the number of Units included in the baskets 
being created or redeemed, determined as of 4 p.m. E.T. on the day the 
order to create or redeem baskets is properly received.
    All proceeds from the sale of Creation Baskets will be invested as 
quickly as practicable in the investments described in the Registration 
Statement. Investments and related margin or collateral are held 
through the custodian for the Funds, Brown Brothers Harriman & Co., in 
accounts with the applicable Fund's commodity futures broker, Newedge 
USA, LLC, or, in some instances when agreed to by the applicable Fund, 
in collateral accounts held by third parties with respect to its non-
exchange traded or cleared over-the-counter applicable interests.
    The Funds will meet the initial and continued listing requirements 
applicable to Trust Issued Receipts in NYSE Arca Equities Rule 8.200 
and Commentary .02 thereto. With respect to application of Rule 10A-3 
\20\ under the Act, the Trust relies on the exception contained in Rule 
10A-3(c)(7).\21\ A minimum of 100,000 Units for each Fund will be 
outstanding as of the start of trading on the Exchange.
---------------------------------------------------------------------------

    \20\ 17 CFR 240.10A-3.
    \21\ 17 CFR 240.10A-3(c)(7).
---------------------------------------------------------------------------

    A more detailed description of the Funds' investments as well as 
investment risks, are set forth in the Registration Statement. All 
terms relating to the Funds that are referred to, but not defined in, 
this proposed rule change are defined in the Registration Statement.
Net Asset Value
    A Fund's NAV is calculated by:
     Taking the current market value of its total assets, and
     Subtracting any liabilities.
    Brown Brothers Harriman & Co., Inc, (the ``Administrator''), will 
calculate the NAV of each Fund once each NYSE Arca trading day. The NAV 
for a particular trading day will be released after 4 p.m. E.T. Trading 
during the Core Trading Session on NYSE Arca typically closes at 4 p.m. 
E.T. The Administrator will use the closing prices on the relevant 
Futures Exchanges of the Applicable Benchmark Component Futures 
Contracts (determined at the earlier of the close of such exchange or 
2:30 p.m. E.T.) for the contracts traded on the Futures Exchanges, but 
will calculate or determine the value of all other investments of a 
Fund using market quotations, if available, or other information 
customarily used to determine the fair value of such investments as of 
the earlier of the close of NYSE Arca or 4 p.m. E.T. in accordance with 
the current Administrative Agency Agreement among Brown Brothers 
Harriman & Co., Inc., each Fund and the Sponsor.
    ``Other information'' customarily used in determining fair value 
includes information consisting of market data in the relevant market 
supplied by one or more third parties including, without limitation, 
relevant rates, prices, yields, yield curves, volatilities, spreads, 
correlations or other market data in the relevant market; or 
information of the types described above from internal sources if that 
information is of the same type used by the Funds in the regular course 
of their business for the valuation of similar transactions. The 
information may include costs of funding, to the extent costs of 
funding are not and would not be a component of the other information 
being utilized. Third parties supplying quotations or market data may 
include, without limitation, dealers in the relevant markets, end-users 
of the relevant product, information vendors, brokers and other sources 
of market information.
    In addition, other Applicable Benchmark Component Futures 
Contracts, Other Related Investments and Treasuries held by a Fund will 
be valued by the Administrator, using rates and points received from 
client-approved third party vendors (such as Reuters and WM Company) 
and advisor quotes.
Availability of Information Regarding the Units
    The NAV for the Funds will be disseminated daily to all market 
participants at the same time. The Exchange will make available on its 
Web site daily trading volume of each of the Units, closing prices of 
such Units, and number of Units outstanding.
    The closing prices and settlement prices of the futures contracts 
are also readily available from the websites of the relevant Futures 
Exchanges, automated quotation systems, published or other public 
sources, or on-line information services such as Bloomberg or Reuters. 
Complete real-time data for the futures contracts is available by 
subscription from Reuters and Bloomberg. The relevant Futures Exchanges 
also provide delayed futures information on current and past trading 
sessions and market news free of charge on their respective websites. 
The specific contract specifications for the futures contracts are also 
available on such websites, as well as other financial informational 
sources. Information regarding exchange-traded cash-settled options and 
cleared swap contracts will be available from the applicable exchanges 
and major market data vendors. Quotation and last-sale information 
regarding the Units will be disseminated through the facilities of the 
CTA. In addition, the Funds' websites will display the applicable end 
of day closing index levels and NAV. The Web site for USMI is http://www.unitedstatesmetalsindexfund.com; the Web site for USAI is http://www.unitedstatesagricultureindexfund.com; and the Web site for USCUI is 
http://www.unitedstatescopperindexfund.com.
    The Funds will provide Web site disclosure of portfolio holdings 
daily and will include, as applicable, the names and value (in U.S. 
dollars) of financial instruments and characteristics of such 
instruments and cash equivalents, and amount of cash held in the 
portfolios of the Funds. This Web site disclosure of the portfolio 
composition of the Funds will occur at the same time as the disclosure 
by the Sponsor of the portfolio composition to authorized purchasers so 
that all market participants are provided portfolio composition 
information at the same time. Therefore, the same portfolio information 
will be provided on the public Web site as well as in electronic files 
provided to authorized purchasers. Accordingly, each investor will have 
access to the current portfolio composition of the Funds through each 
Fund's Web site.

[[Page 55967]]

    The Metals Index, Agriculture Index and Copper Index are calculated 
and disseminated by NYSE Arca to market data vendors during NYSE Arca 
Core Trading Hours, from 9:30 a.m. E.T. to 4 p.m. E.T., daily on 15 
second intervals based on the most recent reported prices of the 
underlying commodities in the Indexes. A static Index value will be 
disseminated between the close of trading of all applicable Futures 
Contracts on Futures Exchanges and the close of the NYSE Arca Core 
Trading Session.
Dissemination of Indicative Fund Value
    In addition, in order to provide updated information relating to 
each Fund for use by investors and market professionals, NYSE Arca will 
calculate and disseminate throughout the Core Trading Session on each 
trading day an updated Indicative Fund Value (``IFV''). The IFV will be 
calculated by using the prior day's closing NAV per Unit of the Fund as 
a base and updating that value throughout the trading day to reflect 
changes in the most recently reported price level of the Applicable 
Index as reported by Bloomberg or another reporting service.
    The IFV Unit basis disseminated during NYSE Arca Core Trading 
Session hours should not be viewed as an actual real time update of the 
NAV, because NAV is calculated only once at the end of each trading day 
based upon the relevant end of day values of the applicable Fund's 
investments.
    The IFV will be disseminated on a per Unit basis every 15 seconds 
during the regular NYSE Arca Core Trading Session. The normal trading 
hours of the Futures Exchanges vary, with some ending their trading 
hours before the close of the Core Trading Session on NYSE Arca (for 
example, the normal trading hours of the NYMEX are 10 a.m. E.T. to 2:30 
p.m. E.T. When a Fund holds applicable Benchmark Component Futures 
Contracts from Futures Exchanges with different trading hours than NYSE 
Arca there will be a gap in time at the beginning and/or the end of 
each day during which Units will be traded on NYSE Arca, but real-time 
Futures Exchange trading prices for Applicable Benchmark Component 
Futures Contracts traded on such Futures Exchanges will not be 
available. As a result, during those gaps there will be no update to 
the IFV. A static IFV will be disseminated between the close of trading 
of all applicable Futures Contracts on Futures Exchanges and the close 
of the NYSE Arca Core Trading Session.
    In addition, other applicable Benchmark Component Futures 
Contracts, Other Related Investments and Treasuries held by a Fund will 
not be included in the IFV. The IFV is based on the prior day's NAV and 
moves up and down solely according to changes in the Applicable Index 
value as reported on Bloomberg or another reporting service.
    The Exchange believes that dissemination of the IFV provides 
additional information that is not otherwise available to the public 
and is useful to investors and market professionals in connection with 
the trading of the Units of each Fund on NYSE Arca.
Trading Rules
    The Exchange deems the Units to be equity securities, thus 
rendering trading in the Units subject to the Exchange's existing rules 
governing the trading of equity securities. Units will trade on the 
NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. The Exchange has 
appropriate rules to facilitate transactions in the Units during all 
trading sessions. As provided in NYSE Arca Equities Rule 7.6, 
Commentary .03, the minimum price variation (``MPV'') for quoting and 
entry of orders in equity securities traded on the NYSE Arca 
Marketplace is $0.01, with the exception of securities that are priced 
less than $1.00 for which the MPV for order entry is $0.0001.
    The trading of the Units will be subject to NYSE Arca Equities Rule 
8.200, Commentary .02(e), which sets forth certain restrictions on 
Equity Trading Permit (``ETP'') Holders acting as registered Market 
Makers in Trust Issued Receipts to facilitate surveillance. See 
``Surveillance'' below for more information.
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Units. Trading may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Units inadvisable. These may include: (1) The extent to 
which trading is not occurring in the underlying futures contracts, or 
(2) whether other unusual conditions or circumstances detrimental to 
the maintenance of a fair and orderly market are present. In addition, 
trading in Units will be subject to trading halts caused by 
extraordinary market volatility pursuant to the Exchange's ``circuit 
breaker'' rule \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 the interruption to the dissemination of the IFV or 
the value of the underlying futures contracts occurs. If the 
interruption to the dissemination of the IFV or the value of the 
underlying futures contracts persists past the trading day in which it 
occurred, the Exchange will halt trading no later than the beginning of 
the trading day following the interruption. In addition, if the 
Exchange becomes aware that the NAV with respect to the Units is not 
disseminated to all market participants at the same time, it will halt 
trading in the Units until such time as the NAV is available to all 
market participants.
Surveillance
    The Exchange intends to utilize its existing surveillance 
procedures applicable to derivative products, including Trust Issued 
Receipts, to monitor trading in the Units. The Exchange represents that 
these procedures are adequate to properly monitor Exchange trading of 
the Units in all trading sessions and to deter and detect violations of 
Exchange rules and applicable Federal securities laws.
    The Exchange's current trading surveillances focus on detecting 
securities trading outside their normal patterns. When such situations 
are detected, surveillance analysis follows and investigations are 
opened, where appropriate, to review the behavior of all relevant 
parties for all relevant trading violations. The Exchange is able to 
obtain information regarding trading in the Units, the physical 
commodities included in, or options, futures or options on futures on, 
Units through ETP Holders, in connection with such ETP Holders' 
proprietary or customer trades through ETP Holders which they effect on 
any relevant market. The Exchange can obtain market surveillance 
information, including customer identity information, with respect to 
transactions occurring on exchanges that are members of the Intermarket 
Surveillance Group (``ISG''), including CME, CBOT, COMEX, NYMEX (all of 
which are part of CME Group, Inc.) and ICE Futures. In addition, the 
Exchange currently has in place a comprehensive surveillance sharing 
agreement with the LME and KCBT for the purpose of providing 
information in connection with trading in or related to futures 
contracts traded on LME and KCBT, respectively. A list of ISG members 
is available at http://www.isgportal.org.\23\
---------------------------------------------------------------------------

    \23\ The Exchange notes that not all Other Related Investments 
may trade on markets that are members of ISG or with which the 
Exchange has in place a comprehensive surveillance sharing 
agreement.

---------------------------------------------------------------------------

[[Page 55968]]

    In addition, with respect to each Fund's futures contracts traded 
on exchanges, not more than 10% of the weight of such futures contracts 
in the aggregate shall consist of components whose principal trading 
market is not a member of ISG or is a market with which the Exchange 
does not have a comprehensive surveillance sharing agreement.
    The Exchange also has a general policy prohibiting the distribution 
of material, non-public information by its employees.
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders in an Information Bulletin of the special characteristics 
and risks associated with trading the Units. Specifically, the 
Information Bulletin will discuss the following: (1) The risks involved 
in trading the Units during the Opening and Late Trading Sessions when 
an updated IFV will not be calculated or publicly disseminated; (2) the 
procedures for purchases and redemptions of Units in Creation Baskets 
and Redemption Baskets (and that Units are not individually 
redeemable); (3) NYSE Arca Equities Rule 9.2(a), which imposes a duty 
of due diligence on its ETP Holders to learn the essential facts 
relating to every customer prior to trading the Units; (4) how 
information regarding the IFV is disseminated; (5) the requirement that 
ETP Holders deliver a prospectus to investors purchasing newly issued 
Units prior to or concurrently with the confirmation of a transaction; 
and (6) trading information.
    In addition, the Information Bulletin will advise ETP Holders, 
prior to the commencement of trading, of the prospectus delivery 
requirements applicable to a Fund. The Exchange notes that investors 
purchasing Units directly from a Fund will receive a prospectus. ETP 
Holders purchasing Units from a 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 a Fund is 
subject to various fees and expenses described in the Registration 
Statement. The Information Bulletin will also reference that the CFTC 
has regulatory jurisdiction over the trading of futures contracts 
traded on U.S. markets.
    The Information Bulletin will also disclose the trading hours of 
the Units of a Fund and that the NAV for the Units is calculated after 
4 p.m. E.T. each trading day. The Bulletin will disclose that 
information about the Units of a 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 
Units 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 Units 
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. The closing prices and settlement prices of the 
futures contracts held by the Funds are readily available from the 
websites of the relevant Futures Exchanges, automated quotation 
systems, published or other public sources, or on-line information 
services such as Bloomberg or Reuters. The relevant Futures Exchanges 
also provide delayed futures information on current and past trading 
sessions and market news free of charge on their respective Web sites. 
Quotation and last sale information for the Units will be available via 
CTA. In addition, the Funds' Web sites will display the applicable end 
of day closing index levels and NAV. The Funds' total portfolio 
composition will be disclosed on the Funds' Web sites.
    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 Units, thereby promoting market transparency. NYSE Arca 
will calculate and disseminate throughout the Core Trading Session on 
each trading day an updated IFV. Trading in Units 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 Units 
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 Units.
    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 Units 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, 
IFV, and quotation and last sale information for the Units.

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

[[Page 55969]]

    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an e-mail to rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2011-63 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-2011-63. 
This file number should be included on the subject line if e-mail is 
used. To help the Commission process and review your comments more 
efficiently, please use only one method. The Commission will post all 
comments on the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, 
all written statements with respect to the proposed rule change that 
are filed with the Commission, and all written communications relating 
to the proposed rule change between the Commission and any person, 
other than those that may be withheld from the public in accordance 
with the provisions of 5 U.S.C. 552, will be available for Web site 
viewing and printing in the Commission's Public Reference Room, 100 F 
Street, NE., Washington, DC 20549, on official business days between 
the hours of 10 a.m. and 3 p.m. Copies of such filing also will be 
available for inspection and copying at the principal office of the 
Exchange. All comments received will be posted without change; the 
Commission does not edit personal identifying information from 
submissions. You should submit only information that you wish to make 
available publicly. All submissions should refer to File Number SR-
NYSEArca-2011-63 and should be submitted on or before September 30, 
2011.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\25\
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    \25\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011-23035 Filed 9-8-11; 8:45 am]
BILLING CODE 8011-01-P