Document ID: SEC-2010-1339-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: NYSE Arca, Inc.
Posted Date: 2010-09-03T04:00Z

[Federal Register: September 3, 2010 (Volume 75, Number 171)]
[Notices]               
[Page 54199-54204]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr03se10-111]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-62768; File No. SR-NYSEArca-2010-78]

 
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of a Proposed Rule Change Relating to Listing and Trading of Jefferies 
Commodity Real Return ETF

August 26, 2010.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'')\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on August 17, 2010, NYSE Arca, Inc. (``NYSE Arca'' or the ``Exchange'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed rule change as described in Items I and II below, which Items 
have been prepared by the Exchange. The Commission is publishing this 
notice to solicit comments on the proposed rule change from interested 
persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade shares of Jefferies 
Commodity Real Return ETF under NYSE Arca Equities Rule 8.200, 
Commentary .02. 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 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    NYSE Arca Equities Rule 8.200, Commentary .02 permits the trading 
of Trust Issued Receipts (``TIRs'') either by listing or pursuant to 
unlisted trading privileges (``UTP'').\3\ The Exchange proposes to list 
and trade the shares (the ``Shares'') of the Jefferies Commodity Real 
Return ETF (the ``Fund'') under NYSE Arca Equities Rule 8.200.\4\
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    \3\ Commentary .02 to NYSE Arca Equities Rule 8.200 applies to 
TIRs that invest in ``Financial Instruments''. The term ``Financial 
Instruments'', as defined in Commentary .02(b)(4) to NYSE Arca 
Equities Rule 8.200, means any combination of investments, including 
cash; securities; options on securities and indices; futures 
contracts; options on futures contracts; forward contracts; equity 
caps, collars and floors; and swap agreements.
    \4\ See the Pre-Effective Amendment No. 1 to Registration 
Statement on Form S-1, filed with the Commission on June 29, 2010 
(No. 333-164811) (``Registration Statement''). The descriptions of 
the Fund and the Shares contained herein are based on the 
Registration Statement.
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    The Exchange notes that the Commission has previously approved the 
listing and trading of other issues of Trust Issued Receipts on the 
American Stock Exchange LLC,\5\ trading on NYSE Arca pursuant to 
unlisted trading privileges (``UTP''),\6\ and listing on NYSE Arca.\7\ 
In addition, the Commission has approved other exchange-traded fund-
like products linked to the performance of underlying commodities.\8\
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    \5\ See, e.g., Securities Exchange Act Release No. 58161 (July 
15, 2008), 73 FR 42380 (July 21, 2008) (SR-Amex-2008-39) (order 
approving amendments to Amex Rule 1202, Commentary .07 and listing 
on Amex of 14 funds of the Commodities and Currency Trust).
    \6\ See, e.g., Securities Exchange Act Release No. 58163 (July 
15, 2008), 73 FR 42391 (July 21, 2008) (SR-NYSEArca-2008-73) (order 
approving UTP trading on NYSE Arca of 14 funds of the Commodities 
and Currency Trust).
    \7\ See, e.g., Securities Exchange Act Release No. 58457 
(September 3, 2008), 73 FR 52711 (September 10, 2008) (SR-NYSEArca-
2008-91) (order approving lising on NYSE Arca of 14 funds of the 
Commodities and Currency Trust).
    \8\ See, e.g., Securities Exchange Act Release Nos. 56932 
(December 7, 2007), 72 FR 71178 (December 14, 2007) (SR-NYSEArca-
2007-112) (order granting accelerated approval to list iShares S&P 
GSCI Commodity-Indexed Trust); 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).
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Overview of the Fund \9\
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    \9\ Terms relating to the Fund, the Shares and the Index 
referred to, but not defined, herein are defined in the Registration 
Statement.
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    According to the Registration Statement, the Fund will pursue its

[[Page 54200]]

investment objective by investing substantially all of its assets in a 
portfolio of exchange traded futures on the commodities comprising its 
corresponding index, as described below, or other derivatives. The Fund 
establishes long positions in futures contracts on the commodities 
comprising the Thomson Reuters/Jefferies CRB 3 Month Forward Index 
(``Index''), with a view to tracking the changes, whether positive or 
negative, in the level of the Index over time. The Fund also may invest 
in one or more forward agreements, swaps, or other over-the-counter 
derivatives that reference a particular Index Commodity (``Futures-
Linked Investment''), as described below. The Fund is also intended to 
reflect the excess, if any, of its interest income from its investment 
in 3-month U.S. Treasury bills, U.S. government issued Treasury 
Inflation Protection Securities (``TIPS'')\10\ and other high credit 
quality short-term fixed income securities, over its expenses.
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    \10\ TIPS are marketable securities issued by the U.S. Treasury 
whose principal is adjusted by changes in the Consumer Price Index 
(``CPI''). With inflation (a rise in the CPI), the principal 
increases. With deflation (a drop in the CPI), the principal 
decreases. (Source: http://www.treasurydirect.gov.)
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    Jefferies Commodity Investment Services, LLC, a Delaware limited 
liability company, is the Fund's promoter, and will serve as Managing 
Owner of the Fund (the ``Managing Owner''). The Managing Owner will 
serve as the commodity pool operator and commodity trading advisor of 
the Fund. The Managing Owner is registered as a commodity pool operator 
and commodity trading advisor with the Commodity Futures Trading 
Commission (``CFTC'') and is a member of the National Futures 
Association. The Bank of New York Mellon will be the administrator, 
custodian and transfer agent of the Fund. ALPS Distributors, Inc. will 
serve as the Fund's marketing agent.
    The Index tracks the changes in the closing levels of the futures 
positions that would in three months comprise the Thomson Reuters/
Jefferies CRB Index (``TR/J CRB Index''). The TR/J CRB Index is 
designed to track the changes in the closing levels of nearby rolling 
futures positions.\11\
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    \11\ A rolling futures position is a position where, on a 
periodic basis, futures contracts on physical commodities specifying 
delivery in a particular month are sold and futures contracts 
specifying delivery in a later month are purchased. An investor with 
a rolling futures position is able to avoid taking delivery of the 
underlying physical commodity while maintaining exposure to those 
commodities. To maximize liquidity and transparency, this 
``rolling'' process for the Index Commodities for the Index occurs 
over the first four Business Days of each month according to a fixed 
schedule as described in the Registration Statement.
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    The Fund will hold a portfolio of futures contracts on the Index 
Commodities (as described below), as well as cash, 3-month U.S. 
Treasury bills, TIPS and other high credit quality short-term fixed 
income securities, for deposit with the Fund's Clearing Broker (Credit 
Suisse Securities (USA) LLC), as margin. The Fund's portfolio will be 
traded with a view to tracking the Index over time, whether the Index 
is rising, falling or flat over any particular period. The Fund is not 
``managed'' by traditional methods, which typically involve effecting 
changes in the composition of the Fund's portfolio on the basis of 
judgments relating to economic, financial and market considerations 
with a view to obtaining positive results under all market conditions. 
To maintain the correspondence between the composition and weightings 
of the Index Commodities comprising the Index, the Managing Owner 
adjusts the Fund's portfolio from time-to-time to conform to periodic 
changes in the identity and/or relative weighting of the Index 
Commodities. The Managing Owner will aggregate certain of the 
adjustments and makes changes to the Fund's portfolio at least monthly 
or more frequently in the case of significant changes to the Index.\12\
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    \12\ According to the Registration Statement, Jefferies Group, 
Inc.'s policy is to implement procedures to prevent the improper 
sharing of information between different departments of the company. 
Specifically, procedures as described in the Registration Statement 
create an information barrier between the personnel within Jefferies 
Group, Inc. who sit on the Thomson Reuters/Jefferies CRB Index 
Oversight Committee and other Jefferies Group, Inc.'s personnel of 
the Managing Owner who are involved in making portfolio management 
and trading decisions for the Fund, and also are intended to prevent 
the improper sharing of certain Index-related information to others 
who could act on the information to the detriment of the Fund.
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    According to the Registration Statement, the Index is designed to 
provide timely and accurate representation of a long-only, broadly 
diversified investment in commodities through a transparent and 
disciplined calculation methodology. The Index is currently composed of 
futures contracts on the following 19 physical commodities (each, an 
``Index Commodity'' and, collectively, ``Index Commodities''): 
Aluminum, cocoa, coffee, copper, corn, cotton, crude oil, gold, heating 
oil, lean hogs, live cattle, natural gas, nickel, orange juice, silver, 
soybeans, sugar, RBOB gasoline, and wheat. The Index Commodities 
currently trade on United States futures exchanges, with the exception 
of aluminum and nickel, which trade on the London Metal Exchange.
    According to the Registration Statement, as the Fund approaches or 
reaches position limits with respect to certain futures contracts 
comprising the Index and the Managing Owner determines in its 
commercially reasonable judgment that it has become impracticable or 
inefficient for any reason for the Fund to gain full or partial 
exposure to any Index Commodity by investing in a specific futures 
contract that is a part of the Index, the Fund may invest in a futures 
contract referencing the particular Index Commodity other than the 
specific contract that is a part of the Index, or invest in one or more 
Futures-Linked Investments referencing the particular Index Commodity, 
including forward agreements, swaps, or other OTC derivatives, or in 
the alternative, invest in other futures contracts or Futures-Linked 
Investments not based on the particular Index Commodity if, in the 
commercially reasonable judgment of the Managing Owner, such 
replacement instruments tend to exhibit trading prices that correlate 
with a futures contract that is a part of the Index.
    According to the Registration Statement, the Index uses a four-
tiered approach to allocate among the Index Commodities included in the 
Index. Group I includes only petroleum products; Group II includes 
seven Index Commodities which are highly liquid; Group III is comprised 
of four liquid Index Commodities; Group IV includes Index Commodities 
that may provide diversification.
    All Index Commodities are equally weighted within Groups II, III 
and IV, as provided below.\13\
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    \13\ The referenced exchanges with respect to the commodities 
for the Fund, as applicable, are as follows: NYMEX (New York 
Mercantile Exchange); COMEX (Commodity Exchange Inc.); LME (The 
London Metal Exchange Limited); CBOT (Chicago Board of Trade); CME 
(Chicago Mercantile Exchange); ICE-US, Inc. (ICE Futures U.S.).

[[Page 54201]]

                                Thomson Reuters/Jefferies CRB Index--Thomson Reuters/Jefferies CRB 3 Month Forward Index
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                                                  Index
        Group             Index commodity        weight        Contract months                   Exchange                     Trading hours (E.T.)
                                                   (%)
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I...................  WTI Crude Oil..........          23  Jan-Dec................  NYMEX............................  10:00 am--2:30 pm.
                      Heating Oil............           5  Jan-Dec................  NYMEX............................  10:05 am--2:30 pm.
                      RBOB Gasoline..........           5  Jan-Dec................  NYMEX............................  10:05 am--2:30 pm.
                     -----------------------------------------------------------------------------------------------------------------------------------
    Total...........                                   33
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II..................  Natural Gas............           6  Jan-Dec................  NYMEX............................  10:00 am--2:30 pm.
                      Corn...................           6  Mar, May, Jul, Sep, Dec  CBOT.............................  10:30 am--2:15 pm.
                      Soybeans...............           6  Jan, Mar, May, Jul, Nov  CBOT.............................  10:30 am--2:15 pm.
                      Live Cattle............           6  Feb, Apr, Jun, Aug,      CME..............................  10:05 am--2:00 pm.
                                                            Oct, Dec.
                      Gold...................           6  Feb, Apr, Jun, Aug, Dec  COMEX............................  8:20 am--1:30 pm.
                      Aluminum...............           6  Mar, Jun, Sep, Dec.....  LME..............................  6:55 am--12:00 pm.
                      Copper.................           6  Mar, May, Jul, Sep, Dec  COMEX............................  8:10 am--1:00 pm.
                     -----------------------------------------------------------------------------------------------------------------------------------
    Total...........                                   42
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III.................  Sugar..................           5  Mar, May, Jul, Oct.....  ICE-US...........................  3:30 am--2:00 pm.
                      Cotton.................           5  Mar, May, Jul, Dec.....  ICE-US...........................  9:00 pm--2:30 pm.
                      Cocoa..................           5  Mar, May, Jul, Sep, Dec  ICE-US...........................  4:00 am--2:00 pm.
                      Coffee.................           5  Mar, May, Jul, Sep, Dec  ICE-US...........................  3:30 am--2:00 pm.
                     -----------------------------------------------------------------------------------------------------------------------------------
    Total...........                                   20
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IV..................  Nickel.................           1  Mar, Jun, Sep, Dec.....  LME..............................  7:10 am--11:55 am.
                      Wheat..................           1  Mar, May, Jul, Sep, Dec  CBOT.............................  10:30 am--2:15 pm.
                      Lean Hogs..............           1  Feb, Apr, Jun, Jul,      CME..............................  9:10 am--1:00 pm.
                                                            Aug, Oct, Dec.
                      Orange Juice...........           1  Jan, Mar, May, Jul,      ICE-US...........................  8:00 am--2:00 pm.
                                                            Sep, Nov.
                      Silver.................           1  Mar, May, Jul, Sep, Dec  COMEX............................  8:25 am--1:25 pm.
                     -----------------------------------------------------------------------------------------------------------------------------------
    Total...........                                    5
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    The Index is calculated daily by Thomson Reuters (Markets) LLC, a 
Thomson Reuters company (``Reuters'' or the ``Index Calculation 
Agent''). The Index began publishing in April 2007. The changes in the 
closing levels of the Index are reported by a number of major market 
data vendors. Reuters is not affiliated with a broker dealer.
    Group I of the Index includes only petroleum products--WTI crude 
oil, heating oil and RBOB gasoline. According to the Registration 
Statement, these Index Commodities are among the most economically 
significant and frequently traded and historically have contributed 
meaningfully to the return and correlative characteristics of commodity 
benchmark indices. In order to reflect the critical role of petroleum 
in the global economy and maintain the diversified nature of the Index, 
the Index has assigned an Index Weight of 33% to the Group I Index 
Commodities, represented by the crude oil, RBOB gasoline and heating 
oil contracts traded on the NYMEX.
    Group II is comprised of futures contracts on the Index Commodities 
that are traded in markets that are highly liquid. These seven markets 
represent a diverse cross section across several commodity sectors. 
Each Index Commodity is assigned an Index Weight of 6% of the Index. In 
turn, Group II constitutes 42% of the Index.
    Group III is comprised of futures contracts on Index Commodities 
that are traded in markets that are liquid. These four Index 
Commodities include a second cross section of diverse and liquid 
markets in order to diversify the Index. Each Index Commodity in Group 
III is assigned an Index Weight of 5% of the Index. In turn, Group III 
constitutes 20% of the Index.
    Group IV is comprised of futures contracts on Index Commodities 
that may provide additional diversification to the Index by increasing 
the exposure of the Index to the Softs, Grains, Industrial Metals, 
Meats and Precious Metals markets. Each Index Commodity in Group IV is 
assigned an Index Weight of 1% of the Index. In turn, Group IV 
constitutes 5% of the Index.
Rebalancing Methodology
    According to the Registration Statement, the Index employs 
arithmetic averaging with monthly rebalancing, while maintaining a 
uniform exposure to the various Index Commodities over time.
    The Index Commodities are rebalanced monthly, generally following 
the close of business on the sixth Business Day of each month, to 
return to the specified dollar weights, referenced as ``Index Weight'' 
in the table above. This rebalancing is achieved by selling Index 
Commodities that have gained in value relative to other Index 
Commodities and buying Index Commodities that have lost in value 
relative to other Index Commodities. This monthly rebalancing helps to 
maintain both the stability and consistency of the Index and the 
consistent exposure to the Index Weights of the underlying Index 
Commodities over time.
    The Fund will meet the initial and continued listing requirements 
applicable to Trust Issued Receipts in NYSE Arca Equities Rule 8.200 
and Commentary .02 thereto. With respect to application of Rule 10A-3 
\14\ under the Act, the Trust relies on the exception contained in Rule 
10A-3(c)(7).\15\ A minimum of 100,000 Shares of the Fund will be 
outstanding as of the start of trading on the Exchange.
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    \14\ 17 CFR 240.10A-3.
    \15\ 17 CFR 240.10A-3(c)(7).
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    A more detailed description of the Shares, the Fund, the Index and 
the Index Commodities, as well as investment risks, is set forth in the 
Registration Statement.

[[Page 54202]]

Availability of Information Regarding the Shares

    The Web site for the Fund (http://www.jamfunds.com/jcis) and/or the 
Exchange, which are publicly accessible at no charge, will contain the 
following information: (a) The current net asset value (``NAV'') per 
share daily and the prior business day's NAV and the reported closing 
price; (b) the midpoint of the bid-ask price in relation to the NAV as 
of the time the NAV is calculated (the ``Bid-Ask Price''); (c) 
calculation of the premium or discount of such price against such NAV; 
(d) the bid-ask price of Shares determined using the highest bid and 
lowest offer as of the time of calculation of the NAV; (e) data in 
chart form displaying the frequency distribution of discounts and 
premiums of the Bid-Ask Price against the NAV, within appropriate 
ranges for each of the four previous calendar quarters; (f) the 
prospectus; and (g) other applicable quantitative information. The Fund 
will also disseminate Fund holdings on a daily basis on the Fund's Web 
site.
    The Index Calculation Agent calculates the closing level of each 
Index on both an excess return basis and a total return basis. An 
excess return index reflects the changes in market value over time, 
whether positive or negative, of the Index Commodities. A total return 
is the sum of the changes in market value over time, whether positive 
or negative, of the Index Commodities incorporating the return of 3-
month U.S. Treasury bills. The Fund is designed to track the Index as 
calculated on an excess return, not a total return, basis.
    In order to calculate the indicative Index levels, the Index 
Calculation Agent determines the real time price of each Index 
Commodity every 15 seconds. The Index Calculation Agent then applies a 
set of rules to these values to create the indicative level of the 
Index. These rules are consistent with the rules which the Index 
Calculation Agent applies at the end of each trading day to calculate 
the closing levels of the Index.
    The Intra-day Indicative Value (``IIV'') per Share of the Fund is 
calculated by applying the percentage price change of the Fund's 
holdings in futures contracts to the last published NAV of the Fund. 
The Index Calculation Agent will publish this value every 15 seconds 
through one or more major market data vendors. The Index Calculation 
Agent will publish the closing level of the Index daily. The Managing 
Owner will publish the NAV of the Fund and the NAV per Share of the 
Fund daily. Additionally, the Index Calculation Agent will publish the 
intra-day level of the Index, and the Managing Owner will publish the 
indicative value per Share of the Fund (quoted in U.S. dollars) once 
every fifteen seconds throughout each trading day. All of the foregoing 
information will be published as follows:
    The intra-day level of the Index and the IIV per Share of the Fund 
(each quoted in U.S. dollars) will be published once every fifteen 
seconds throughout each trading day through one or more major market 
data vendors and on the Managing Owner's Web site.
    The most recent end-of-day Index closing level will be published as 
of the close of the NYSE Arca each trading day on the consolidated 
tape, Reuters and/or Bloomberg and on the Managing Owner's Web site.
    The most recent end-of-day NAV of the Fund will be published as of 
the close of business by major market data vendors and on the Managing 
Owner's Web site. In addition, the most recent end-of-day NAV of the 
Fund will be published the following morning on the consolidated tape.
    The NAV for the Fund will be disseminated to all market 
participants at the same time. The Exchange also will disseminate on a 
daily basis via CTA information with respect to recent NAV and shares 
outstanding. The Exchange will also make available on its Web site 
daily trading volume of each of the Shares, closing prices of such 
Shares, and the corresponding NAV. The closing prices and settlement 
prices of futures on the Index Commodities are also readily available 
from the Web sites of the applicable futures exchanges, automated 
quotation systems, published or other public sources, or on-line 
information services such as Bloomberg or Reuters. The relevant futures 
exchanges also provide delayed futures information on current and past 
trading sessions and market news free of charge on their respective Web 
sites. The specific contract specifications for the futures contracts 
are also available on such Web sites, as well as other financial 
informational sources. Quotation and last-sale information regarding 
the Shares will be disseminated through the facilities of the CTA.
Dissemination of Intra-Day Indicative Value
    In addition, in order to provide updated information relating to 
the Fund for use by investors and market professionals, an updated IIV 
will be calculated. The IIV is calculated by using the prior day's 
closing NAV per share of the Fund as a base and updating that value 
throughout the trading day to reflect changes in the value of the Index 
Commodities. The IIV disseminated during NYSE Arca trading hours should 
not be viewed as an actual real time update of the NAV, which is 
calculated only once a day.
    The IIV will be disseminated on a per Share basis by one or more 
major market data vendors every 15 seconds during NYSE Arca Core 
Trading Session of 9:30 a.m. to 4 p.m. Eastern Time (``E.T.''). The 
value of a Share may be influenced by non-concurrent trading hours 
between NYSE Arca and the applicable futures exchange when the Shares 
are traded on NYSE Arca after normal trading hours of such futures 
exchanges.
    The Exchange believes that dissemination of the IIV provides 
additional information regarding the Fund that is not otherwise 
available to the public and is useful to professionals and investors in 
connection with the related Shares trading on the Exchange or the 
creation or redemption of such Shares.
Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities. Shares will trade on 
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. The Exchange has 
appropriate rules to facilitate transactions in the Shares during all 
trading sessions.
    The trading of the Shares will be subject to NYSE Arca Equities 
Rule 8.200(e), which sets forth certain restrictions on ETP Holders 
acting as registered Market Makers in Trust Issued Receipts to 
facilitate surveillance. See ``Surveillance'' below for more 
information.
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares. Trading may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable. These may include: (1) The extent to 
which trading is not occurring in the underlying futures contracts, or 
(2) whether other unusual conditions or circumstances detrimental to 
the maintenance of a fair and orderly market are present. In addition, 
trading in Shares will be subject to trading halts caused by 
extraordinary market volatility pursuant to the Exchange's ``circuit 
breaker'' rule \16\ or by the halt or suspension of

[[Page 54203]]

trading of the underlying futures contracts.
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    \16\ See NYSE Arca Equities Rule 7.12.
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    The Exchange represents that the Exchange may halt trading during 
the day in which the interruption to the dissemination of the IIV, the 
Index or the value of the underlying futures contracts occurs. If the 
interruption to the dissemination of the IIV, the Index or the value of 
the underlying futures contracts persists past the trading day in which 
it occurred, the Exchange will halt trading no later than the beginning 
of the trading day following the interruption. In addition, if the 
Exchange becomes aware that the NAV with respect to the Shares is not 
disseminated to all market participants at the same time, it will halt 
trading in the Shares until such time as the NAV is available to all 
market participants.
Surveillance
    The Exchange intends to utilize its existing surveillance 
procedures applicable to derivative products, including Trust Issued 
Receipts, to monitor trading in the Shares. The Exchange represents 
that these procedures are adequate to properly monitor Exchange trading 
of the Shares in all trading sessions and to deter and detect 
violations of Exchange rules and applicable federal securities laws.
    The Exchange's current trading surveillances focus on detecting 
securities trading outside their normal patterns. When such situations 
are detected, surveillance analysis follows and investigations are 
opened, where appropriate, to review the behavior of all relevant 
parties for all relevant trading violations. The Exchange is able to 
obtain information regarding trading in the Shares, the physical 
commodities included in, or options, futures or options on futures on, 
Shares through ETP Holders, in connection with such ETP Holders' 
proprietary or customer trades through ETP Holders which they effect on 
any relevant market. The Exchange can obtain market surveillance 
information, including customer identity information, with respect to 
transactions occurring on the exchanges that are members of the 
Intermarket Surveillance Group (``ISG'').\17\ CME Group, Inc., which 
includes CME, CBOT, NYMEX and COMEX, is a member of ISG. In addition, 
the Exchange has entered into a comprehensive surveillance sharing 
agreement with LME and ICE Futures U.S. that applies with respect to 
trading in futures on the applicable Index Commodities. A list of ISG 
members is available at http://www.isgportal.org.
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    \17\ The Exchange notes that not all futures contracts or other 
financial instruments held by the Fund may trade on markets that are 
members of ISG or with which the Exchange has in place a 
comprehensive surveillance sharing agreement.
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    In addition, with respect to Fund assets traded on exchanges, not 
more than 10% of the weight of such assets in the aggregate shall 
consist of components whose principal trading market is not a member of 
ISG or is a market with which the Exchange does not have a 
comprehensive surveillance sharing agreement.
    The Exchange also has a general policy prohibiting the distribution 
of material, non-public information by its employees.
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders in an Information Bulletin of the special characteristics 
and risks associated with trading the Shares. Specifically, the 
Information Bulletin will discuss the following: (1) The risks involved 
in trading the Shares during the Opening and Late Trading Sessions when 
an updated IIV will not be calculated or publicly disseminated; (2) the 
procedures for purchases and redemptions of Shares in Creation Baskets 
and Redemption Baskets (and that Shares are not individually 
redeemable); (3) NYSE Arca Equities Rule 9.2(a), which imposes a duty 
of due diligence on its ETP Holders to learn the essential facts 
relating to every customer prior to trading the Shares; (4) how 
information regarding the IIV is disseminated; (5) the requirement that 
ETP Holders deliver a prospectus to investors purchasing newly issued 
Shares prior to or concurrently with the confirmation of a transaction; 
and (6) trading information.
    In addition, the Information Bulletin will advise ETP Holders, 
prior to the commencement of trading, of the prospectus delivery 
requirements applicable to the Fund. The Exchange notes that investors 
purchasing Shares directly from the Fund will receive a prospectus. ETP 
Holders purchasing Shares from the Fund for resale to investors will 
deliver a prospectus to such investors. The Information Bulletin will 
also discuss any exemptive, no-action and interpretive relief granted 
by the Commission from any rules under the Act.
    In addition, the Information Bulletin will reference that the Fund 
is subject to various fees and expenses described in the Registration 
Statement. The Information Bulletin will also reference that the CFTC 
has regulatory jurisdiction over the Index Commodities traded on U.S. 
markets.
    The Information Bulletin will also disclose the trading hours of 
the Shares of the Fund and that the NAV for the Shares is calculated 
after 4 p.m. E.T. each trading day. The Bulletin will disclose that 
information about the Shares of the Funds is publicly available on the 
Fund's Web site.
2. Statutory Basis
    The proposed rule change is consistent with Section 6(b) of the 
Act,\18\ in general, and furthers the objectives of Section 
6(b)(5),\19\ in particular, in that it is designed to prevent 
fraudulent and manipulative acts and practices, to promote just and 
equitable principles of trade, to foster cooperation and coordination 
with persons engaged in facilitating transactions in securities, and to 
remove impediments to and perfect the mechanism of a free and open 
market and a national market system. The Exchange believes that the 
proposed rule change will permit the listing of an additional issuance 
of Trust Issued Receipts on the Exchange that will enhance competition 
among market participants, to the benefit of investors and the 
marketplace. In addition, the listing and trading criteria set forth in 
Rule 8.200 are intended to protect investors and the public interest.
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    \18\ 15 U.S.C. 78f(b).
    \19\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition

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

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

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

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

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate 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 54204]]

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

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://
www.sec.gov/rules/sro.shtml); or
     Send an e-mail to rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2010-78 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, Station Place, 100 F 
Street, NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-NYSEArca-2010-78. 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 inspection 
and copying 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 publicly available. All 
submissions should refer to File Number SR-NYSEArca-2010-78 and should 
be submitted on or before September 24, 2010.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\20\
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    \20\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-22111 Filed 9-2-10; 8:45 am]
BILLING CODE 8011-01-P