Document ID: SEC-2012-0704-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: NYSE Amex LLC
Posted Date: 2012-05-07T04:00Z

[Federal Register Volume 77, Number 88 (Monday, May 7, 2012)]
[Notices]
[Pages 26798-26808]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-10876]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-66887; File No. SR-NYSEAmex-2012-24]

Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing of 
Proposed Rule Change to List Shares of the Nuveen Long/Short Commodity 
Total Return Fund Under NYSE Amex Rule 1600 et seq.

May 1, 2012.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'' or ``Exchange Act'') \1\ and Rule 19b-4 thereunder,\2\ notice 
is hereby given that, on April 18, 2012, NYSE Amex LLC (``Exchange'' or 
``NYSE Amex'') filed with the Securities and Exchange Commission 
(``Commission'' or ``SEC'') the proposed rule change as described in 
Items I, II, and III below, which Items have been substantially 
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 shares of the Nuveen Long/Short 
Commodity Total Return Fund under NYSE Amex Rule 1600 et seq. The text 
of the proposed rule change is available at the Exchange, www.nyse.com, 
and the Commission's Public Reference Room.

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

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

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

1. Purpose
    NYSE Amex Rule 1600 et seq. permits the listing of Trust Units, 
which are defined as securities that are issued by a trust or other 
similar entity that is constituted as a commodity pool that holds 
investments comprising or otherwise based on any combination of futures 
contracts, options on futures contracts, forward contracts, swap 
contracts, and/or commodities. Commentary .01 to Rule 1602 provides 
that the Exchange will file separate proposals under Section 19(b) \3\ 
of the Securities Exchange Act of 1934 (``Act'') \4\ before listing and 
trading separate and distinct Trust Units designated on different 
underlying investments, commodities, assets, and/or portfolios. 
Consequently, the Exchange is submitting this rule filing in connection 
with the proposed listing under Rule 1600 as Trust Units of shares 
(``Shares'') of the Nuveen Long/Short Commodity Total Return Fund 
(``Fund'').\5\
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    \3\ 15 U.S.C. 78s(b).
    \4\ 15 U.S.C. 78a.
    \5\ For a complete description of the Fund and its proposed 
offering, see Pre-Effective Amendment No. 3 to the Fund's Form S-1 
as filed with the Commission on December 20, 2011 (Registration No. 
333-174764) (``Registration Statement'').
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Nuveen Long/Short Commodity Total Return Fund

    The Fund was organized as a statutory trust under Delaware law on 
May 25, 2011, and will be operated pursuant to a Trust Agreement.\6\ 
The Fund's investment objective will be to generate attractive total 
returns. The Fund will be actively managed and will seek to outperform 
its benchmark, the Morningstar[supreg] Long/Short Commodity\SM\ Index 
(``Index'').\7\
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    \6\ The Fund, as a commodity pool, will not be subject to 
registration and regulation under the Investment Company Act of 1940 
(``1940 Act'').
    \7\ Morningstar, Inc., the Index sponsor, owns a dually-
registered investment advisor and broker-dealer subsidiary, 
Morningstar Investment Services, Inc., which maintains a broker-
dealer registration for the limited purpose of receiving 12b-1 fees 
directly from the underlying funds that make up the portfolios 
managed by it. The Manager (as defined below) has advised the 
Exchange that it has been informed by Morningstar, Inc., that it has 
erected and maintains information firewalls between the group which 
is responsible for the Index and employees of the broker-dealer to 
prevent the flow and/or use of material non-public information 
regarding the Index from the personnel responsible for the Index to 
employees of the broker-dealer.
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    In pursuing its investment objective, the Fund will invest directly 
in a diverse portfolio of exchange-traded commodity futures contracts 
that represent the main commodity sectors and are among the most 
actively traded futures contracts in the global commodity markets. 
Generally, individual commodity futures positions may be either long or 
short (or flat in the case of energy futures contracts) depending upon 
market conditions. The Fund's Commodity Sub-Advisor (as

[[Page 26799]]

defined below) will use various rules to determine the commodity 
futures contracts in which the Fund will invest, their respective 
weightings, and whether the futures positions in each commodity are 
held long, short, or flat (in the case of energy futures contracts). 
The Fund's commodity investments will, at all times, be fully 
collateralized. The Fund's investments will be consistent with its 
investment objective and will not be used to create or enhance 
leverage. The Fund also will employ a commodity option writing strategy 
that seeks to produce option premiums for the purpose of enhancing the 
Fund's risk-adjusted total return over time. Option premiums generated 
by this strategy may also enable the Fund to more efficiently implement 
its distribution policy.
    The Fund is a commodity pool. The Fund is managed by Nuveen 
Commodities Asset Management, LLC (``Manager''). The Manager is 
registered as a commodity pool operator (``CPO'') and a commodity 
trading advisor (``CTA'') with the Commodity Futures Trading Commission 
(``CFTC'') and is a member of the National Futures Association 
(``NFA'').
    The Manager will serve as the CPO and a CTA of the Fund. The 
Manager will determine the Fund's overall investment strategy, 
including: (i) The selection and ongoing monitoring of the Fund's sub-
advisors; (ii) the assessment of performance and potential needs to 
modify strategy or change sub-advisors; (iii) the determination of the 
Fund's administrative policies; (iv) the management of the Fund's 
business affairs; and (v) the provision of certain clerical, 
bookkeeping, and other administrative services. Gresham Investment 
Management LLC (``Commodity Sub-Advisor'') will be responsible for the 
Fund's commodity futures investment strategy and options strategy. The 
Commodity Sub-Advisor is a Delaware limited liability company and is 
registered with the CFTC as a CTA and a CPO and is a member of the NFA. 
The Commodity Sub-Advisor is also registered with the SEC as an 
investment adviser. Nuveen Asset Management, LLC (``Collateral Sub-
Advisor''), an affiliate of the Manager, will invest the Fund's 
collateral in short-term, high-grade debt securities. The Collateral 
Sub-Advisor is registered with the SEC as an investment adviser.
    Commodity Investments. The Fund's investment strategy will utilize 
the Commodity Sub-Advisor's proprietary long/short commodity investment 
program, which has three principal elements:
     An actively managed long/short portfolio of exchange-
traded commodity futures contracts;
     A portfolio of exchange-traded commodity option contracts; 
and
     A collateral portfolio of cash equivalents and short-term, 
high-grade debt securities.
    The Manager has advised the Exchange that the Commodity Sub-Advisor 
has represented that it does not believe that position limits will be 
an issue for its firm, but that it has reserved firm-wide capacity for 
the Fund so that the Fund will be able to continue to invest in futures 
contracts without hitting any position limits.
    Long/Short Commodity Investment Program. The Fund's long/short 
commodity investment program will be an actively managed, fully 
collateralized, rules-based commodity investment strategy that seeks to 
capitalize on opportunities in both up and down commodity markets. The 
Fund will invest in a diverse portfolio of exchange-traded commodity 
futures contracts with an aggregate notional value substantially equal 
to the net assets of the Fund. To provide diversification, the Fund 
will invest initially in approximately 20 commodities, and the long/
short commodity investment program rules will limit weights for any 
individual commodity futures contract. The Fund expects to make 
investments in the most actively traded commodity futures contracts in 
the four main commodity sectors in the global commodities markets:
     Energy;
     Agriculture;
     Metals; and
     Livestock.
    During temporary defensive periods or during adverse market 
circumstances,\8\ the Fund may deviate from its investment objective 
and policies. The Sub-Advisor may invest 100% of the total assets of 
the Fund in short-term, high-quality debt securities and money market 
instruments to respond to adverse market circumstances. The Fund may 
invest in such instruments for extended periods, depending on the Sub-
Advisor's assessment of market conditions. These debt securities and 
money market instruments may include shares of mutual funds, commercial 
paper, certificates of deposit, bankers' acceptances, U.S. Government 
securities, repurchase agreements, and bonds that are rated AAA.
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    \8\ Adverse market circumstances would include large downturns 
in the broad market value of two or more times current average 
volatility, where the Sub-Advisor views such downturns as likely to 
continue for an extended period of time.
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    Generally, the program rules will be used to determine the specific 
commodity futures contracts in which the Fund will invest, the relative 
weighting for each commodity, and whether a position is either long or 
short (or flat in the case of energy futures contracts).
    The commodity markets are dynamic and as such the long/short 
commodity investment program may require frequent adjustments in the 
Fund's commodity positions. The Commodity Sub-Advisor expects to trade 
each position no less frequently than once per month. The relative 
balance of the Fund's long/short commodity investments may vary 
significantly over time, and at certain times, the Fund's aggregate 
exposure may be all long, all short and flat, or may consist of various 
combinations (long, short, and/or flat) thereof. The Commodity Sub-
Advisor intends to manage its overall strategy so that the notional 
amount of the Fund's combined long, short, and flat futures positions 
will not exceed 100% of the Fund's net assets. The Index had 61.85% 
long, 24.08% short and 14.07% flat exposure as of September 30, 2011.
    The Fund has no intention to short energy futures contracts because 
the prices of energy futures contracts are generally more sensitive to 
geopolitical events than to economic factors and, as a result, 
significant price variations are often driven by factors other than 
supply-demand imbalances. References to a flat position mean that 
instead of shorting energy futures contracts when market signals 
dictate, the Fund will have no futures contracts positions, either long 
or short, for that energy commodity. In that circumstance, the sum of 
the notional value of the portfolio's futures contracts will be less 
than the sum of the collateral assets. The difference quantitatively 
equals the notional value of what would have been the short portion in 
energy and is generally referred to as the ``flat'' position in energy. 
Because the Fund will hold no futures contracts to express a flat 
position, commodity traders customarily say that being flat is the 
equivalent of being invested in cash. The amounts that otherwise would 
have been allocated to an energy futures contract will be held in cash 
as collateral for the Fund.
    The specific commodities and the total number of futures contracts 
in which the Fund will invest, and the relative weighting of those 
contracts, will be determined annually by the Commodity Sub-Advisor 
based upon the composition of the Index at that

[[Page 26800]]

time. The selected commodity futures contracts are expected to remain 
unchanged until the next annual reconstitution each December. Upon 
annual reconstitution, the target weight of any individual commodity 
futures contract will be set and will be limited to 10% of the Fund's 
net assets to provide for diversification. The Commodity Sub-Advisor 
expects the actual portfolio weights to vary during the year due to 
market movements. If price movements cause an individual commodity 
futures contract to represent more than 10% of the Index at any time 
between monthly rebalancing, the Fund would seek to match the target 
weighting at the time of the monthly rebalancing. Generally, the Fund 
expects to invest in short-term commodity futures contracts with terms 
of one to three months, but may invest in commodity futures contracts 
with terms of up to six months.
    Eligible Contracts. The Fund will invest in those commodity futures 
contracts and option contracts that are listed on an exchange with the 
greatest dollar volume traded in those contracts. Listed below are the 
main categories of eligible commodity futures contracts. The related 
options contracts are traded on the same exchanges as the futures 
contracts on which they are based. Each commodity may have several 
different types of individual commodity futures contracts (e.g., hard 
winter wheat and soft red wheat). The Commodity Sub-Advisor will have 
discretion over commodity futures contract selection and may choose 
from the available contract types.

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                                                                                       Trading hours  (eastern
            Group                    Commodity               Primary exchange                   time)
----------------------------------------------------------------------------------------------------------------
Energy......................  Coal...................  New York Mercantile Exchange  18:00-15:00.
                              Crude Oil..............  New York Mercantile Exchange  9:00-14:30.
                              Crude Oil..............  ICE Futures Europe..........  1:00-23:00.
                              Ethanol................  New York Mercantile Exchange  8:50-12:05.
                              Ethanol................  Chicago Board of Trade......  9:30-13:15.
                              Gas Oil................  ICE Futures Europe..........  1:00-23:00.
                              Gasoline...............  New York Mercantile Exchange  9:00-14:30.
                              Heating Oil............  New York Mercantile Exchange  9:00-14:30.
                              Natural Gas............  New York Mercantile Exchange  9:00-14:30.
                              Propane................  New York Mercantile Exchange  Delisted.
Agriculture.................  Butter.................  Chicago Mercantile Exchange.  12:05-12:15.
                              Cocoa..................  ICE Futures US..............  8:00-11:50.
                              Coffee.................  ICE Futures US..............  8:00-13:30.
                              Corn...................  Chicago Board of Trade......  10:30-14:15.
                              Cotton.................  ICE Futures US..............  10:30-14:15.
                              Diamonium Phosphate....  Chicago Mercantile Exchange.  Delisted.
                              Lumber.................  Chicago Mercantile Exchange.  10:00-14:05.
                              Milk...................  Chicago Mercantile Exchange.  10:05-14:10.
                              Oats...................  Chicago Board of Trade......  10:30-14:15.
                              Orange Juice...........  ICE Futures US..............  10:00-13:30.
                              Pulp...................  ICE Futures US..............  7:00-15:15.
                              Pulp...................  Chicago Mercantile Exchange.  17:00-16:00.
                              Rice...................  Chicago Board of Trade......  9:30-13:15.
                              Soybean Meal...........  Chicago Board of Trade......  10:30-14:15.
                              Soybean Oil............  Chicago Board of Trade......  10:30-14:15.
                              Soybeans...............  Chicago Board of Trade......  10:30-14:15.
                              Sugar..................  ICE Futures US..............  8:10-13:30.
                              Urea...................  Chicago Mercantile Exchange.  Delisted.
                              Urea Ammonium Nitrate..  Chicago Mercantile Exchange.  Delisted.
                              Wheat..................  Chicago Board of Trade......  10:30-14:15.
                              Wheat..................  Kansas City Board of Trade..  10:30-14:15.
Metals......................  Aluminum...............  New York Mercantile Exchange  Delisted.
                              Copper.................  New York Commodities          8:10-13:00.
                                                        Exchange.
                              Gold...................  New York Commodities          8:20-13:30.
                                                        Exchange.
                              Palladium..............  New York Mercantile Exchange  8:30-13:00.
                              Platinum...............  New York Mercantile Exchange  8:20-13:05.
                              Silver.................  New York Commodities          8:25-13:25.
                                                        Exchange.
Livestock...................  Broilers...............  Chicago Mercantile Exchange.  Delisted.
                              Feeder Cattle..........  Chicago Mercantile Exchange.  10:05-14:00.
                              Hogs...................  Chicago Mercantile Exchange.  10:05-14:00.
                              Live Cattle............  Chicago Mercantile Exchange.  10:05-14:00.
                              Pork Bellies...........  Chicago Mercantile Exchange.  Delisted.
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Sources: Gresham Investment Management LLC, Bloomberg L.P., https://www.theice.com, and http://www.cmegroup.com.

[[Page 26801]]

    Current Index Composition. The actual signals (direction) and 
weights of the Morningstar[supreg] Long/Short Commodity\SM\ Index as of 
September 30, 2011 are as follows:

 
------------------------------------------------------------------------
                                                          %
------------------------------------------------------------------------
Long Commodity Futures Positions..........                         61.85
Short Commodity Futures Positions.........                         24.08
Flat Commodity Futures Positions..........                         14.07
                                           -----------------------------
                                                                  100.00
------------------------------------------------------------------------

------------------------------------------------------------------------
             Commodity                       Signal            Weight %
------------------------------------------------------------------------
Energy
    Crude Oil Brent................  Long..................         8.18
    Gas-Oil-Petroleum..............  Long..................         6.50
    Heating Oil 2/Fuel Oil  Long..................         5.43
    Gasoline Blendstock............  Long..................         5.28
    Long Energy Positions..........  ......................        25.39
    Crude Oil WTI..................  Flat..................         8.45
    Natural Gas Henry Hub..........  Flat..................         5.62
    Flat Energy Positions..........  ......................        14.07
                                    ------------------------------------
        Total Energy Positions.....  ......................        39.46
Agriculture
    Corn...........................  Long..................         5.20
    Soybeans.......................  Long..................         4.33
    Sugar 11..............  Long..................         4.08
    Coffee `C'/Colombian...........  Long..................         3.70
    Soybean Oil....................  Long..................         3.30
    Soybean Meal...................  Long..................         3.10
    Long Agriculture Positions.....  ......................        23.71
    Wheat/No. 2 Soft Red...........  Short.................         5.58
    Wheat/No. 2 Hard Winter........  Short.................         3.60
    Cotton/1\1/16\.................  Short.................         3.59
    Short Agriculture Positions....  ......................        12.77
                                    ------------------------------------
        Total Agriculture Positions  ......................        36.48
Metals
    Gold...........................  Long..................         8.58
    Silver.........................  Long..................         4.17
    Long Metals Positions..........  ......................        12.75
    Copper High Grade..............  Short.................         4.64
    Short Metals Positions.........  ......................         4.64
                                    ------------------------------------
        Total Metals Positions.....  ......................        17.39
Livestock
    Cattle Live....................  Short.................         3.87
    Hogs Lean......................  Short.................         2.80
                                    ------------------------------------
        Short Livestock Positions..  ......................         6.67
------------------------------------------------------------------------

Shown above are the actual signals and weights of the Index as of 
September 30, 2011. These are not the actual signals or weights of the 
Fund.
    The Index construction rules and other information about the Index 
can be found on Morningstar's Web site at http://indexes.morningstar.com, which is publicly available at no charge.\9\
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    \9\ Source: Morningstar, Inc.
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    Long/Short Portfolio of Commodity Futures. The Fund will invest 
directly in a diverse portfolio of exchange-traded commodity futures 
contracts that provide long/short exposure to the global commodity 
markets. By investing long/short, the Fund will seek to generate 
attractive total returns from positive or negative commodity price 
changes and positive or negative roll yield. Like most commodity 
futures investors, the Fund will replace expiring futures contracts 
with more distant contracts to avoid taking physical delivery of a 
commodity. This replacement of expiring contracts with more distant 
contracts is referred to as ``roll.'' To maintain exposure to commodity 
futures over an extended period, before contracts expire, the Commodity 
Sub-Advisor will roll the futures contracts throughout the year into 
new contracts so as to maintain a fully invested position.
    The Commodity Sub-Advisor will employ a proprietary methodology in 
assessing commodity market movements and in determining the Fund's 
long/short commodity futures positions. Generally, the Commodity Sub-
Advisor will employ momentum-based modeling (quantitative formulas that 
evaluate trend relationships between the changes in prices of futures 
contracts and trading volumes for a specific commodity) to estimate 
forward-looking prices and to evaluate

[[Page 26802]]

the return impact of futures contract rolls. To determine the direction 
of the commodity futures position, either long or short (or flat in the 
case of energy futures contracts), the Commodity Sub-Advisor will 
calculate a roll-adjusted price that accounts for the current spot 
price and the impact of roll yield. The futures price for a commodity 
that has positive roll yield (described as ``backwardation'') is 
adjusted up and the price for a commodity that has negative roll yield 
(described as ``contango'') is adjusted down. Generally, if a 
commodity's roll-adjusted price exceeds its 12-month moving average, 
the Fund expects to be long the commodity futures contract. Conversely, 
if the roll-adjusted price is below its 12-month moving average, the 
Fund expects to be short the commodity futures contract except for 
energy contracts which will be flat, i.e., in cash. The Commodity Sub-
Advisor may exercise discretion in its long/short decisions and the 
timing and implementation of the Fund's commodity investments to seek 
to benefit from trading on commodity price momentum.
    The Commodity Sub-Advisor's long/short commodity investment program 
rules are proprietary, were developed by its senior portfolio 
management team, and expand upon the rules governing the Index. Upon 
completing the initial investment of the net proceeds of the offering, 
the Fund expects that the commodity futures contracts, their relative 
weights, and long/short direction will substantially replicate the 
constituent holdings and weights of the Index. Although the Commodity 
Sub-Advisor may exercise discretion in deciding which commodities to 
invest in, typically, the Fund expects to follow certain rules 
pertaining to eligible commodity futures contracts, weights, 
diversification, rebalancing, and annual reconstitution that are the 
same as those for the Index in order to minimize the divergence between 
the price behavior of the Fund's commodity futures portfolio and the 
price behavior of the benchmark Index (referred to as ``tracking 
error''). Over time, the Fund's commodity investments managed pursuant 
to the Commodity Sub-Advisor's long/short commodity investment program 
may differ from those of the Index.
    In addition, in actively managing the Fund's long/short portfolio 
of commodity futures contracts, the Commodity Sub-Advisor will seek to 
add value compared with the Index by implementing the following 
proprietary investment methods: (i) Trading contracts in advance of 
monthly index rolls; (ii) individual commodity futures contract 
selection; and (iii) active implementation. As a result, the roll 
dates, terms, underlying contracts, and contract prices selected by the 
Commodity Sub-Advisor may vary significantly from the Index based upon 
the Commodity Sub-Advisor's implementation of the long/short commodity 
investment program in light of the relative value of different contract 
terms. The Commodity Sub-Advisor's active management approach will be 
market-driven and opportunistic and is intended to minimize market 
impact and avoid market congestion during certain days of the trading 
month. The Manager has entered into a non-exclusive license agreement 
with Morningstar, Inc. relating to the Index which serves as the Fund's 
performance benchmark. The license agreement provides that, in exchange 
for the payment of a one-time set-up fee and an annual fee to 
Morningstar, the Fund is entitled to refer to the Index in the Fund's 
prospectus and other documents, and to receive and utilize information 
concerning the Index, including the constituents thereof. The license 
agreement has an initial term of three years, and will renew 
automatically for subsequent one-year periods unless either party gives 
notice of termination. The license agreement provides that the Manager 
will indemnify Morningstar for third party claims arising out of or 
relating to the Fund.
    Integrated Options Strategy. The Fund will employ a commodity 
option writing strategy that seeks to produce option premiums for the 
purpose of enhancing the Fund's risk-adjusted total return over time. 
Option premiums generated by this strategy may also enable the Fund to 
more efficiently implement its distribution policy. There can be no 
assurance that the Fund's options strategy will be successful.
    Pursuant to the options strategy, the Fund may sell commodity call 
or put options, which will all be exchange-traded, on a continual basis 
on up to approximately 25% of the notional value of each of its 
corresponding commodity futures contracts that, in the Commodity Sub-
Advisor's determination, have sufficient option trading volume and 
liquidity. Initially, the Fund expects to sell commodity options on 
approximately 15% of the notional value of each of its commodity 
futures contracts. If the Commodity Sub-Advisor buys the commodity 
futures contract, they will sell a call option on the same underlying 
commodity futures contract. If the Commodity Sub-Advisor shorts the 
commodity futures contract, they will sell a put option on the same 
underlying commodity futures contract (except in the case of energy 
futures contracts). The Commodity Sub-Advisor may exercise discretion 
with respect to commodity futures contract selection. Due to trading 
and liquidity considerations, the Commodity Sub-Advisor may determine 
that it is in the best interest of Fund shareholders to sell options on 
like commodities (for example, gas oil and heating oil are like 
commodities) and not matched commodity futures contracts.
    Since the Fund's option overwrite is initially expected to 
represent 15% of the notional value of each of its commodity futures 
contract positions, the Fund will retain the ability to benefit from 
the full capital appreciation potential beyond the strike price on the 
majority (85% or more) of its long and/or short commodity futures 
contracts. An important objective of the Fund's long/short commodity 
investment strategy will be to retain capital appreciation potential 
with respect to the major portion of the Fund's portfolio.
    When initiating new trades, the Fund expects to sell covered in-
the-money options. Because the Fund will hold options until expiration, 
the Fund may have uncovered out-of-the-money options in its portfolio 
depending on price movements of the underlying futures contracts.\10\ 
This element of the Fund's options strategy increases the Fund's gap 
risk, which is the risk that a commodity price will change from one 
level to another with no trading in between. In the event of an extreme 
market change or gap move in the price of a single commodity, the 
Fund's options strategy may result in increased exposure to that 
commodity from any uncovered options.
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    \10\ While the Fund intends to only write covered options, in 
certain circumstances as described below, the Fund may continue to 
hold options that due to subsequent trades become out-of-the-money 
and would be uncovered options. An out-of-the-money option becomes 
worthless after its expiration and there is no expectation that it 
will be exercised (and there is no resulting exposure risk for the 
Fund). For example, if the Fund is long wheat futures and sells 
covered call options on wheat futures, subsequent price movements in 
wheat futures may result in the Commodity Sub-Advisor, on behalf of 
the Fund, reversing from a long position to a short position. In 
this example, the Commodity Sub-Advisor would then sell its long 
wheat futures contracts and hold onto the out-of-the-money call 
option. At the same time, to effect its short position, the 
Commodity Sub-Advisor would short wheat futures contracts and sell 
covered put options on wheat futures. The Fund will rebalance its 
positions no less frequently than monthly and as such it is 
anticipated that no out-of-the-money option position would be 
uncovered for longer than one month.
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    Generally, the Fund expects to sell short-term commodity options 
with

[[Page 26803]]

terms of one to three months. Subject to the foregoing limitations, the 
implementation of the options strategy will be within the Commodity 
Sub-Advisor's discretion. Over extended periods of time, the 
``moneyness'' of the commodity options may vary significantly. Upon 
sale, the commodity options may be ``in-the-money,'' ``at-the-money,'' 
or ``out-of-the-money.'' A call option is said to be ``in-the-money'' 
if the exercise price is below current market levels, ``out-of-the-
money'' if the exercise price is above current market levels, and ``at-
the-money'' if the exercise price is at current market levels. 
Conversely, a put option is said to be ``in-the-money'' if the exercise 
price is above the current market levels and ``out-of-the-money'' if 
the exercise price is below current market levels.
    If the Commodity Sub-Advisor determines the Fund should have long 
exposure to an individual commodity futures contract, it will invest 
long in the commodity futures contract and sell call options on the 
same underlying commodity futures contract with the same strike price 
and expiration date. If the Commodity Sub-Advisor determines the Fund 
should have short exposure to an individual commodity futures contract, 
it will short the commodity futures contract and sell put options on 
the same underlying commodity futures contract with the same strike 
price and expiration date.
    An exception is made for commodities in the energy sector since 
prices of those contracts are extremely sensitive to geopolitical 
events and not necessarily driven by supply-demand imbalances. If the 
Commodity Sub-Advisor determines the Fund should have long exposure to 
an energy futures contract, the Fund will only sell call options on 
that contract. If the Commodity Sub-Advisor determines the Fund should 
have short exposure to an energy futures contract, the Fund will move 
to cash (i.e., a flat position) for that contract and will not sell 
call or put options on that contract.
    Collateral Portfolio. The Fund's commodity investments will, at all 
times, be fully collateralized. The notional value of the Fund's 
commodity exposure is expected to be approximately equal to the market 
value of the collateral. The Fund's commodity investments generally 
will not require significant outlays of principal. Approximately 25% of 
the Fund's net assets will be initially committed as ``initial'' and 
``variation'' margin to secure the futures contracts. These assets will 
be placed in one or more commodity futures accounts maintained by the 
Fund at Barclays Capital Inc. (``BCI'') and will be held in cash or 
invested in U.S. Treasury bills and other direct or guaranteed debt 
obligations of the U.S. government maturing within less than one year 
at the time of investment. The remaining collateral (approximately 75% 
of the Fund's net assets) will be held in a separate collateral 
investment account managed by the Collateral Sub-Advisor.
    The Fund's assets held in this separate collateral account will be 
invested in cash equivalents or short-term debt securities with final 
terms not exceeding one year at the time of investment. These 
collateral investments shall be rated at all times at the applicable 
highest short-term or long-term debt or deposit rating or money market 
fund rating as determined by at least one nationally recognized 
statistical rating organization. These collateral investments will 
consist primarily of direct and guaranteed obligations of the U.S. 
government and senior obligations of U.S. government agencies and may 
also include, among others, money market funds and bank money market 
accounts invested in U.S. government securities, as well as repurchase 
agreements collateralized with U.S. government securities.

Commodity Futures Contracts and Related Options

    Investments in individual commodity futures contracts and options 
on futures contracts historically have had a high degree of price 
variability and may be subject to rapid and substantial price changes, 
which could affect the value of the Shares. The Fund will invest in a 
diverse portfolio of exchange-traded commodity futures contracts and 
exchange-traded options on commodity futures contracts. The Fund 
expects to make investments in the most actively traded commodity 
futures contracts in the four main commodity sectors in the global 
commodities markets, as described above. Options on commodity futures 
contracts are contracts giving the purchaser the right, as opposed to 
the obligation, to acquire or to dispose of the commodity futures 
contract underlying the option on or before a future date at a 
specified price.
    The potential Fund investments in futures contracts and options on 
such futures contracts are traded on U.S. and non-U.S. exchanges, 
including the Chicago Board of Trade (``CBOT''), the Chicago Mercantile 
Exchange (``CME''), the ICE Futures Europe, the ICE Futures U.S., the 
New York Mercantile Exchange (``NYMEX'') and the New York Commodities 
Exchange (``COMEX''), and the Kansas City Board of Trade (``KBOT'').

Structure of the Fund

    The Fund. The Fund is a statutory trust formed pursuant to the 
Delaware Statutory Trust Act and will issue Shares that represent units 
of fractional undivided beneficial interest in and ownership of the 
Fund.
    Trustee. Wilmington Trust Company is the Delaware Trustee of the 
Fund. The Delaware Trustee is unaffiliated with the Manager.
    Independent Committee of the Manager. The Manager has established 
within its organization an independent committee, comprised of three 
members who are unaffiliated with the Manager, which will fulfill the 
audit committee and nominating committee functions for the Fund, those 
functions required under the NYSE Amex listing standards, and certain 
other functions as set forth in the Trust Agreement.
    Manager. The Manager is a Delaware limited liability company that 
is registered with the CFTC as a CPO and a CTA and is a wholly-owned 
subsidiary of Nuveen Investments, Inc. (``Nuveen Investments''). The 
Manager will serve as the CPO and a CTA of the Fund and through the 
Commodity Sub-Advisor will be responsible for determining the Fund's 
overall investment strategy and its implementation. Pursuant to the 
Fund's Trust Agreement, the Manager will possess and exercise all 
authority (other than the limited functions performed by the 
independent committee of the Manager which will fulfill the Fund's 
audit committee and nominating committee functions) to operate the 
business of the Fund and will be responsible for the conduct of the 
Fund's commodity affairs. As a registered CPO and CTA, the Manager is 
required to comply with various regulatory requirements under the 
Commodities Exchange Act (``CEA'') and the rules and regulations of the 
CFTC and the NFA.
    Commodity Sub-Advisor. The Commodity Sub-Advisor is a Delaware 
limited liability company that is registered with the CFTC as a CTA and 
a CPO and is a member of the NFA. As a registered CPO and CTA, the 
Commodity Sub-Advisor is required to comply with various regulatory 
requirements under the CEA and the rules and regulations of the CFTC 
and the NFA. The Commodity Sub-Advisor is also registered with the SEC 
as an investment adviser. Nuveen Investments and the Commodity Sub-
Advisor have announced the execution of an agreement pursuant to which 
Nuveen

[[Page 26804]]

Investments would acquire a 60% interest in the Commodity Sub-Advisor, 
which would make the Commodity Sub-Advisor an affiliate of the Manager.
    Collateral Sub-Advisor. The Collateral Sub-Advisor is an affiliate 
of the Manager and a wholly-owned subsidiary of Nuveen Investments. The 
Collateral Sub-Advisor is registered with the Commission as an 
investment adviser.
    Custodian, Transfer Agent, and Registrar. State Street Bank and 
Trust Company (``State Street'') will be the Custodian and Accounting 
Agent for the assets of the Fund and its affiliate, Computershare 
Shareholder Services, Inc., will be the Transfer Agent and Registrar 
for the Shares of the Fund.
    Commodity Broker. BCI will serve as the Fund's clearing broker to 
execute and clear the Fund's futures transactions and provide other 
brokerage-related services. BCI is a registered securities broker-
dealer and futures commission merchant. BCI is wholly owned by Barclays 
Bank PLC, which is authorized and regulated by the U.K. Financial 
Services Authority.
    The Exchange notes that each of the Manager, BCI, the Commodity 
Sub-Advisor and the Collateral Sub-Advisor has represented to the 
Exchange that it has erected and maintains firewalls within its 
respective institution to prevent the flow and/or use of non-public 
information regarding the portfolio of underlying securities from the 
personnel involved in the development and implementation of the 
investment strategy to others such as sales and trading personnel. In 
the event that there is any new manager, adviser, sub-adviser, or 
commodity broker, such new entity will maintain a firewall within its 
respective institution to prevent the flow and/or use of non-public 
information regarding the portfolio of underlying commodity futures 
contracts.\11\
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    \11\ The Commodity Sub-Advisor and the Collateral Sub-Advisor 
are each registered under the Investment Advisers Act of 1940 
(``Advisers Act''). As a result, the Commodity Sub-Advisor, the 
Collateral Sub-Advisor, any sub-adviser of either, and the 
respective related personnel of both are subject to the provisions 
of Rule 204A-1 under the Advisers Act relating to codes of ethics. 
This Rule requires investment advisers to adopt a code of ethics 
that reflects the fiduciary nature of the relationship to clients as 
well as compliance with other applicable securities laws. 
Accordingly, procedures designed to prevent the communication and 
misuse of non-public information by an investment adviser must be 
consistent with Rule 204A-1 under the Advisers Act. In addition, 
Rule 206(4)-7 under the Advisers Act makes it unlawful for an 
investment adviser to provide investment advice to clients unless 
such investment adviser has (i) adopted and implemented written 
policies and procedures reasonably designed to prevent violation, by 
the investment adviser and its supervised persons, of the Advisers 
Act and the Commission rules adopted there under; (ii) implemented, 
at a minimum, an annual review regarding the adequacy of the 
policies and procedures established pursuant to subparagraph (i) 
above and the effectiveness of their implementation; and (iii) 
designated an individual (who is a supervised person) responsible 
for administering the policies and procedures adopted under 
subparagraph (i) above.
---------------------------------------------------------------------------

Product Description

    The Shares represent units of fractional undivided beneficial 
interest in and ownership of the Fund. Following the original issuance, 
the Shares will be traded on the Exchange similar to other equity 
securities.
    Commencing with the Fund's first distribution, the Fund intends to 
make regular monthly distributions to its shareholders (stated in terms 
of a fixed cents per share distribution rate) based on the past and 
projected performance of the Fund. Among other factors, the Fund will 
seek to establish a distribution rate that roughly corresponds to the 
Manager's projections of the total return that could reasonably be 
expected to be generated by the Fund over an extended period of time. 
Each monthly distribution will not be solely dependent on the amount of 
income earned or capital gains realized by the Fund, and such 
distributions may from time to time represent a return of capital and 
may require that the Fund liquidate investments. As market conditions 
and portfolio performance may change, the rate of distributions on the 
Shares and the Fund's distribution policy could change. The Fund 
reserves the right to change its distribution policy and the basis for 
establishing the rate of its monthly distributions, or may temporarily 
suspend or reduce distributions without a change in policy, at any time 
and may do so without prior notice to shareholders.
    Under the Fund's intended operational procedures, the Fund's net 
asset value (``NAV'') will be calculated after the close of the 
Exchange (normally 4:00 p.m. E.T.), on each day that the Exchange is 
open.\12\ The normal trading hours for those investments of the Fund 
traded on the various commodity exchanges may differ from the normal 
trading hours of the Exchange, which are from 9:30 a.m. to 4:00 p.m. 
ET. Therefore, there may be time periods during the trading day where 
the Shares will be trading on the Exchange, but the futures contracts 
on various commodity exchanges will not be trading. The value of the 
Shares may accordingly be influenced by the non-concurrent trading 
hours between the Exchange and the various futures exchanges on which 
the futures contracts based on the underlying commodities are traded.
---------------------------------------------------------------------------

    \12\ NAV per Share will be computed by dividing the value of all 
assets of the Fund (including any accrued interest and dividends), 
less all liabilities (including accrued expenses and distributions 
declared but unpaid), by the total number of Shares outstanding. The 
Fund will publish its NAV on its Web site on a daily basis, rounded 
to the nearest cent.
    For purposes of determining the NAV of the Fund, portfolio 
instruments will be valued primarily by independent pricing services 
approved by the Manager at their market value. The Manager will 
review the values as determined by the independent pricing service 
and discuss those valuations with the pricing service if appropriate 
based on pricing oversight guidelines established by the Manager 
that it believes are consistent with industry standards. If the 
pricing services are unable to provide a market value or if a 
significant event occurs such that the valuation(s) provided are 
deemed unreliable, the Fund may value portfolio instruments(s) at 
their fair value, which will be generally the amount that the Fund 
might reasonably expect to receive upon the current sale or closing 
of a position. The fair value of an instrument will be based on the 
Manager's good faith judgment and may differ from subsequent quoted 
or published prices.
---------------------------------------------------------------------------

    The Fund will not continuously offer Shares and will not provide 
daily redemptions. Rather, if a shareholder determines to buy 
additional Shares or sell Shares already held, the shareholder may do 
so by trading on the Exchange through a broker or otherwise. Shares of 
the Fund may trade on the Exchange at prices higher or lower than NAV. 
Because the market value of the Fund's Shares may be influenced by such 
factors as distribution levels (which are in turn affected by 
expenses), distribution stability, NAV, relative demand for and supply 
of such Shares in the market, general market and economic conditions, 
and other factors beyond the Fund's control, the Fund cannot guarantee 
that Shares will trade at a price equal to or higher than NAV in the 
future.
    Shares will be registered in book entry form through the Depository 
Trust & Clearing Corporation.

Underlying Commodity Interests Information

    The daily settlement prices for the commodity futures contracts and 
options contracts which will be held by the Fund are publicly available 
on the Web sites of the futures exchanges trading the particular 
contracts. Various data vendors and news publications publish futures 
prices and data. Futures and related exchange-traded options quotes and 
last-sale information for the commodity futures contracts are widely 
disseminated through a variety of market data vendors worldwide, 
including Bloomberg and Reuters. Complete real-time data for such 
futures and exchange traded options is available

[[Page 26805]]

by subscription from Reuters and Bloomberg. The relevant futures 
exchanges also provide intraday trading prices (some exchanges have 
real-time data and others publish prices with short time delays) and 
commodity futures contract and options contract information on current 
and past trading sessions and market news free of charge on their 
respective Web sites.

Index Information

    Daily returns for the Index (i.e., percentage change from the 
previous day) are posted on the Morningstar Web site by 8:00 a.m. E.T. 
on the following business day. The Index value is disseminated through 
Bloomberg and other market data vendors every 15 seconds from 9:30 a.m. 
to 5:15 p.m. E.T. The Index construction rules and other information 
about the Index can be found on Morningstar's Web site at http://indexes.morningstar.com, which is publicly available at no charge.
    Availability of Information Regarding the Shares
    The Web site for the Fund and the Manager, http://www.nuveen.com/CTF, which will be publicly accessible at no charge, will contain the 
following information: (a) The prior business day's NAV and the 
reported closing price; (b) calculation of the premium or discount of 
such price against such NAV; and (c) other applicable quantitative 
information. The Fund will not publish an intraday indicative value for 
the Shares.\13\ The Fund's intraday price per Share will be published 
and available on public Web sites or on-line information services such 
as Bloomberg or Reuters. Depending on the source, the Fund's intraday 
price per Share data is available real-time or with short time delays 
(i.e., 15 minute delay). The Fund's prospectus or a disclosure document 
complying with relevant CFTC rules and regulations also will be 
available on the Fund's Web site.
---------------------------------------------------------------------------

    \13\ Exchange traded funds (``ETFs'') (and commodity pools that 
seek to replicate an ETF structure) publish intraday indicative 
values generally every 15 seconds (along with full transparency of 
portfolio holdings) in order to facilitate the arbitrage mechanism 
that is intended to minimize any deviation between the ETF's market 
price and the per share NAV of the ETF shares, which in turn 
facilitates the creation/redemption mechanism that is fundamental to 
ETFs. The creation/redemption mechanism is the process by which 
institutional investors make and redeem investments in large 
``Creation Units'' of ETF Shares. Unlike ETFs, the Fund will not 
redeem its Shares, and therefore will not rely on a creation/
redemption mechanism to create an arbitrage mechanism. Instead, the 
Manager has advised the Exchange that it expects the Shares to have 
trading characteristics similar to those of exchange-traded closed-
end funds. Because the Fund has no creation/redemption mechanism, 
the Manager has advised the Exchange that it believes that the 
publishing of an intraday indicative value for the Fund would serve 
no useful purpose for investors or the market as a whole, and 
because the Fund is actively managed, publication of its trades in 
advance would be harmful to the Fund and its shareholders.
---------------------------------------------------------------------------

    The Fund's monthly account statement and the Fund's total portfolio 
composition and the composition of the collateral portfolio will be 
disclosed on its Web site at http://www.nuveen.com/CTF on each business 
day that the Exchange is open for trading.\14\ This Web site disclosure 
of portfolio holdings and the Fund's NAV per Share (as of the previous 
day's close) will be made daily and will include, as applicable: (a) 
The name, number of contracts or options, value per contract or option, 
and total value and percentage of the Fund's total value represented by 
each individual commodity futures contract or option to purchase a 
commodity futures contract invested in by the Fund; (b) the total value 
of the collateral as represented by cash; (c) cash equivalents; and (d) 
debt securities rated at the applicable highest short-term or long-term 
debt or deposit rating or money market fund rating as determined by at 
least one nationally recognized statistical rating organization held in 
the Fund's portfolio. The values of the Fund's portfolio holdings will, 
in each case, be determined in accordance with the Fund's valuation 
policies.
---------------------------------------------------------------------------

    \14\ The total portfolio holdings will be disseminated to all 
market participants at the same time.
---------------------------------------------------------------------------

    As described above, the NAV for the Fund will be calculated and 
disseminated daily. The Manager has represented to the Exchange that 
the NAV will be disseminated to all market participants at the same 
time. The Exchange will also make available on its Web site daily 
trading volume, closing prices, and the NAV. The closing price and 
settlement prices of the futures contracts and options on futures 
contracts held by the Fund are also readily available from the relevant 
futures exchanges, automated quotation systems, published or other 
public sources, or on-line information services such as Bloomberg or 
Reuters. In addition, the Exchange will provide a hyperlink on its Web 
site at http://www.nyse.com to the Manager's Web site. Quotation and 
last-sale information regarding the Shares will be available through 
the facilities of the Consolidated Tape Association (``CTA'').

Criteria for Initial and Continued Listing

    The Fund will be subject to the criteria in Rule 1602 for initial 
and continued listing of the Shares. A minimum of 2,000,000 Shares will 
be required to be publicly distributed at the start of trading. It is 
anticipated that the initial price of a Share will be approximately 
$25. The Fund will accept subscriptions for a minimum of 100 Shares 
during the initial offering which is expected to last no more than 60 
days. After the completion of the initial offering, Shares can be 
bought and sold throughout the trading day like any other publicly-
traded security.
    The Fund has represented to the Exchange that, for initial and 
continued listing of the Shares, it will be in compliance with Section 
803 of the NYSE Amex Company Guide (Independent Directors and Audit 
Committee) and Rule 10A-3 under the Act.

Suitability

    The Information Circular (described below) will inform member 
organizations of the characteristics of the Fund and of applicable 
Exchange rules, as well as of the requirements of Rule 405--NYSE Amex 
Equities (Diligence as to Accounts).
    The Exchange notes that, pursuant to Rule 405--NYSE Amex Equities, 
member organizations are required in connection with recommending 
transactions in the Shares to have a reasonable basis to believe that a 
customer is suitable for the particular investment given reasonable 
inquiry concerning the customer's investment objectives, financial 
situation, needs, and any other information known by such member.

Information Circular

    The Exchange will distribute an Information Circular (``Circular'') 
to its members in connection with the trading of the Shares. The 
Circular will discuss the special characteristics and risks of trading 
this type of security. Specifically, the Circular, among other things, 
will discuss what the Shares are, the requirement that members and 
member firms deliver a prospectus to investors purchasing the Shares 
prior to or concurrently with the confirmation of a transaction during 
the initial public offering, applicable NYSE Amex rules, and trading 
information and applicable suitability rules. The Circular will also 
explain that the Fund is subject to various fees and expenses described 
in the Registration Statement. The Circular will also reference the 
fact that there is no regulated source of last-sale information 
regarding physical commodities and note the respective jurisdictions of 
the SEC and CFTC.
    The Circular will advise members of their suitability obligations 
with respect to recommended transactions to

[[Page 26806]]

customers in the Shares. The Circular will also discuss any relief, if 
granted, by the Commission or the staff from any rules under the Act.
    The Circular will also disclose the trading hours of the Shares and 
that the NAV for the Shares is calculated after 4:00 p.m. E.T. each 
trading day. The Circular will disclose that information about the 
Shares is publicly available on the Fund's Web site.

Surveillance

    The Exchange intends to utilize its existing surveillance 
procedures to monitor trading in the Shares. The Exchange represents 
that these procedures are adequate to properly monitor Exchange trading 
of the Shares 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 will be able 
to obtain information regarding trading in the Shares, the physical 
commodities underlying the futures or options on futures held by the 
Fund, or options, futures or options on futures held by the Fund, 
through member organizations, in connection with such member 
organizations' proprietary or customer trades through member 
organizations which they effect on any relevant market.\15\ 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 US. In addition, the Exchange 
currently has in place a comprehensive surveillance sharing agreement 
with each of CME, NYMEX, ICE Futures Europe, and KCBOT for the purpose 
of providing information in connection with trading in or related to 
futures contracts or options on futures contracts traded on those 
markets. A list of ISG members is available at www.isgportal.org.\16\
---------------------------------------------------------------------------

    \15\ See discussion of Rules 1603 and 1604 under the heading 
``Trading Rules'' below.
    \16\ The Exchange notes that in the future the Fund may invest 
in futures contracts or options on futures contracts which trade on 
markets that are not members of ISG or with which the Exchange does 
not have in place a comprehensive surveillance sharing agreement. 
The Manager has represented to the Exchange that such instruments 
will never represent more than 10% of the Fund's holdings.
---------------------------------------------------------------------------

    The Exchange also has a general policy prohibiting the distribution 
of material, non-public information by its employees.

Trading Halts

    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares. Trading may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable. Rule 1602--NYSE Amex Equities 
provides that the Exchange will halt trading in a series of Trust 
Units, such as the Shares, if the circuit breaker parameters of Rule 
80B--NYSE Amex Equities have been reached. In exercising its discretion 
to halt or suspend trading in the Shares, the Exchange may consider 
factors such as those set forth in Exchange Rule 953NY(a),\17\ in 
addition to other factors that may be relevant. In particular, if the 
portfolio holdings and NAV per Share are not being disseminated as 
required, the Exchange may halt trading during the day in which the 
interruption to the dissemination of the portfolio holdings or NAV per 
Share occurs. If the interruption to the dissemination of the portfolio 
holdings or NAV per Share 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.
---------------------------------------------------------------------------

    \17\ Rule 953NY(a) is an NYSE Amex Options rule. It provides 
that trading on the Exchange in any option contract shall be halted 
or suspended whenever the Exchange deems such action appropriate in 
the interests of a fair and orderly market and to protect investors. 
Among the factors that may be considered are that:
    (1) Trading in the underlying stock or Exchange-Traded Fund 
Share has been halted or suspended in the primary market;
    (2) the opening of such underlying stock or Exchange-Traded Fund 
Share in the primary market has been delayed because of unusual 
circumstances;
    (3) the Exchange has been advised that the issuer of the 
underlying stock or Exchange-Traded Fund Share is about to make an 
important announcement affecting such issuer; or
    (4) other unusual conditions or circumstances are present.
---------------------------------------------------------------------------

Trading Rules

    The Shares will be equity securities subject to NYSE Amex Rules 
governing the trading of equity securities, including, among others, 
rules governing priority, parity and precedence of orders, Designated 
Market Makers (``DMM'') responsibilities and account opening, and 
customer suitability (Rule 405--NYSE Amex Equities). Initial equity 
margin requirements of 50% will apply to transactions in the Shares. 
Shares will trade on the Exchange between 9.30 a.m. and 4.00 p.m. ET 
each business day and will trade in the minimum price variants 
established under Rule 62--NYSE Amex Equities. Trading rules pertaining 
to odd-lot trading in NYSE Amex equities (Rule 124--NYSE Amex Equities) 
will also be applicable. Rule 15A--NYSE Amex Equities complies with 
Rule 611 of Regulation NMS, which requires among other things, that the 
Exchange adopt and enforce written policies and procedures that are 
reasonably designed to prevent trade-throughs of protected quotations. 
The trading of the Shares will be subject to certain conflict of 
interest provisions set forth in NYSE Amex Equities Rules 1603 and 
1604.
    Rule 1603--NYSE Amex Equities provides that, if a DMM unit is 
operating under Rule 98 (Former)--NYSE Amex Equities, Rule 105(b) 
(Former)--NYSE Amex Equities and Section (m) of the Guidelines 
thereunder shall be deemed to prohibit a DMM, his or her member 
organization, other member, or approved person of such member 
organization or employee or officer thereof from acting as a market 
maker or functioning in any capacity involving market-marking 
responsibilities in an underlying asset or commodity, related futures 
or options on futures, or any related derivative. If an approved person 
of a DMM unit is entitled to an exemption from Rule 105(b) (Former) 
under Rule 98 (Former), such approved person may act in a market making 
capacity, other than as a specialist in Trust Units on another market 
center, in the underlying asset or commodity, related futures or 
options on futures, or any other related derivatives. NYSE Amex 
Equities Rule 1603 provides that, if a DMM unit is operating under Rule 
98--NYSE Amex Equities, Rule 105(b)--NYSE Amex Equities and section (m) 
of the Guidelines thereunder shall be deemed to prohibit the DMM unit 
or officer or employee thereof from acting as a market maker or 
functioning in any capacity involving market-marking responsibilities 
in an underlying asset or commodity, related futures or options on 
futures, or any other related derivatives.
    Rule 1604--Amex Equities provides that DMMs handling the Shares 
must maintain in a readily accessible place and provide to the Exchange 
upon request, and keep current a list identifying all accounts for 
trading the underlying physical assets or commodities, related futures 
or options on futures, or any other related

[[Page 26807]]

derivatives, which the DMM may have or over which it may exercise 
investment discretion.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \18\ 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.
---------------------------------------------------------------------------

    \18\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in Rule 1600 et seq. All of the 
commodity futures contracts and options on commodity futures contracts 
in which the Fund will invest will be traded on regulated exchanges. 
The Fund will not invest in swaps or over-the-counter derivatives. The 
Exchange has in place surveillance procedures that are adequate to 
properly monitor trading in the Shares 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 Manager has 
represented to the Exchange that, while the Fund may invest in futures 
contracts or options on futures contracts which trade on markets that 
are not members of ISG or with which the Exchange does not have in 
place a comprehensive surveillance sharing agreement, such instruments 
will never represent more than 10% of the Fund's holdings). The daily 
settlement prices of the futures contracts and options on futures 
contracts held by the Fund are readily available from the Web sites 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 Shares will be available via CTA. In 
addition, the Fund's Web site will display the daily NAV, Morningstar's 
Web site will display the daily returns for the Index, and an up-to-
date Index value will be available through Bloomberg and other market 
data vendors every 15 seconds. The Fund's total portfolio composition 
and the composition of the collateral portfolio will be disclosed on 
the Fund's Web site. Each of the Manager, BCI, the Commodity Sub-
Advisor, and the Collateral Sub-Advisor has erected and maintains 
firewalls within its respective institution to prevent the flow and/or 
use of non-public information regarding the portfolio of underlying 
securities from the personnel involved in the development and 
implementation of the investment strategy to others such as sales and 
trading personnel. In addition, the Commodity Sub-Advisor, the 
Collateral Sub-Advisor, any sub-adviser of either, and the respective 
related personnel of both are subject to the provisions of Rule 204A-1 
under the Advisers Act relating to codes of ethics. Morningstar, Inc. 
has erected and maintains information firewalls between the group which 
is responsible for the Index and employees of its broker-dealer 
subsidiary to prevent the flow and/or use of material non-public 
information regarding the Index from the personnel responsible for the 
Index to employees of the broker-dealer.
    The proposed rule change is designed to promote just and equitable 
principles of trade and to protect investors and the public interest in 
that a large amount of information is publicly available regarding the 
Fund and the Shares, thereby promoting market transparency. With 
respect to trading halts, the Exchange may consider all relevant 
factors in exercising its discretion to halt or suspend trading in the 
Shares. Trading may be halted because of market conditions or for 
reasons that, in the view of the Exchange, make trading in the Shares 
inadvisable. Rule 1602--NYSE Amex Equities provides that the Exchange 
will halt trading in a series of Trust Units, such as the Shares, if 
the circuit breaker parameters of Rule 80B- NYSE Amex Equities have 
been reached. In exercising its discretion to halt or suspend trading 
in the Shares, the Exchange may consider factors such as those set 
forth in Exchange Rule 953NY(a), in addition to other factors that may 
be relevant. In particular, if the portfolio holdings and NAV per Share 
are not being disseminated as required, the Exchange may halt trading 
during the day in which the interruption to the dissemination of the 
portfolio holdings or NAV per Share occurs. Moreover, prior to the 
commencement of trading, the Exchange will inform its member 
organizations in the Circular of the special characteristics and risks 
associated with trading the Shares.
    The proposed rule change is designed to perfect the mechanism of a 
free and open market and, in general, to protect investors and the 
public interest in that it will facilitate the listing and trading of 
an additional series of Trust Units that will enhance competition among 
market participants, to the benefit of investors and the marketplace. 
As noted above, the Exchange has in place surveillance procedures 
relating to trading in the Shares and may obtain information via ISG 
from other exchanges that are members of ISG or with which the Exchange 
has entered into a comprehensive surveillance sharing agreement. In 
addition, as noted above, investors will have ready access to 
information regarding the Fund's holdings and quotation and last-sale 
information for the Shares.

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

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

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    No written comments were solicited or received with respect to the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding, or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove the proposed rule change, or
    (B) Institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

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

[[Page 26808]]

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-NYSEAmex-2012-24 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-NYSEAmex-2012-24. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Section, 100 F Street 
NE., Washington, DC 20549-1090, on official business days between 10:00 
a.m. and 3:00 p.m. Copies of the filing will also be available for 
inspection and copying at the NYSE's principal office and on its 
Internet Web site at www.nyse.com. All comments received will be posted 
without change; the Commission does not edit personal identifying 
information from submissions. You should submit only information that 
you wish to make available publicly. All submissions should refer to 
File Number SR-NYSEAmex-2012-24 and should be submitted on or before 
May 29, 2012.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\19\
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    \19\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-10876 Filed 5-4-12; 8:45 am]
BILLING CODE P