
[Federal Register Volume 76, Number 161 (Friday, August 19, 2011)]
[Notices]
[Pages 52034-52037]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2011-21173]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-65134; File No. SR-NYSEArca-2011-23]


Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting 
Approval of Proposed Rule Change To List and Trade Shares of ProShares 
Short VIX Short-Term Futures ETF, ProShares Short VIX Mid-Term Futures 
ETF, ProShares Ultra VIX Short-Term Futures ETF, ProShares Ultra VIX 
Mid-Term Futures ETF, ProShares UltraShort VIX Short-Term Futures ETF, 
and ProShares UltraShort VIX Mid-Term Futures ETF Under NYSE Arca 
Equities Rule 8.200, Commentary .02

August 15, 2011.

I. Introduction

    On April 28, 2011, NYSE Arca, Inc. (``Exchange'' or ``NYSE Arca'') 
filed with the Securities and Exchange Commission (``Commission''), 
pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to 
list and trade shares (``Shares'') of ProShares Short VIX Short-Term 
Futures ETF, ProShares Short VIX Mid-Term Futures ETF (``Short 
Funds''), ProShares Ultra VIX Short-Term Futures ETF, ProShares Ultra 
VIX Mid-Term Futures ETF (``Ultra Funds''), ProShares UltraShort VIX 
Short-Term Futures ETF, and ProShares UltraShort VIX Mid-Term Futures 
ETF (``UltraShort Funds'' and, together with the Short Funds and Ultra 
Funds, the ``Funds'') under NYSE Arca Equities Rule 8.200, Commentary 
.02. The proposed rule change was published in the Federal Register on 
May 17, 2011.\3\ The Commission received no comments on the proposal. 
On July 1, 2011, the Exchange submitted a request to extend the 
Commission's action date for the proposed rule change to August 15, 
2011. This order grants approval of the proposed rule change.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 64470 (May 11, 
2011), 76 FR 28493 (``Notice'').
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II. Description of the Proposal

    The Exchange proposes to list and trade the Shares pursuant to NYSE 
Arca Equities Rule 8.200, Commentary .02, which permits the trading of 
Trust Issued Receipts. ProShare Capital Management LLC (``Sponsor''), a 
Maryland limited liability company, serves as the Sponsor of ProShares 
Trust II (``Trust'') and is a commodity pool operator and commodity 
trading advisor.\4\ Brown Brothers Harriman & Co. serves as the 
administrator (``Administrator''), custodian, and transfer agent of the 
Funds and their respective Shares. SEI Investments Distribution Co. 
serves as Distributor of the Shares. Wilmington Trust Company, a 
Delaware banking corporation, is the sole trustee of the Trust.
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    \4\ The Funds have filed a registration statement on Form S-3 
under the Securities Act of 1933. See Post-Effective Amendment No. 4 
dated April 13, 2011 (File No. 333-163511) to the Trust's 
Registration Statement on Form S-3 (``Registration Statement'').
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    The Funds seek, on a daily basis, to provide investment results 
(before fees and expenses) that correspond to the inverse of the daily 
performance, a multiple of the daily performance, or an inverse 
multiple of the daily performance of a benchmark that seeks to offer 
exposure to market volatility through publicly traded futures markets. 
The benchmark for ProShares Short VIX Short-Term Futures ETF, ProShares 
Ultra VIX Short-Term Futures ETF, and ProShares UltraShort VIX Short-
Term Futures ETF is the S&P 500 VIX Short-Term Futures Index, and the 
benchmark for ProShares Short VIX Mid-Term Futures ETF, ProShares Ultra 
VIX Mid-Term Futures ETF, and ProShares UltraShort VIX Mid-Term Futures 
ETF is the S&P 500 VIX Mid-Term Futures Index (each, an ``Index,'' and, 
collectively, the ``Indexes'').\5\ The Funds will take long (in the 
case of the Ultra Funds) and short (in the case of the Short and 
UltraShort Funds) positions in futures contracts based on the Chicago 
Board Options Exchange (``CBOE'') Volatility Index (``VIX'') and, under 
limited circumstances, swap agreements (as described below), to pursue 
their respective investment objectives. Each Fund also may invest in 
cash or cash equivalents such as U.S. Treasury securities or other high 
credit quality short-term fixed-income, or similar securities that may 
serve as collateral for the futures contracts and swap agreements.
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    \5\ Standard & Poor's Financial Services LLC, the index sponsor 
with respect to the Indexes, is not a broker-dealer and has 
implemented procedures designed to prevent the use and dissemination 
of material, non-public information regarding the Indexes.
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    Specifically, each Fund seeks to achieve its investment objective 
by investing under normal market conditions \6\ in VIX futures 
contracts traded on the CBOE Futures Exchange (``CFE'') (``VIX Futures 
Contracts'') such that each Fund has exposure intended to approximate 
the inverse of the daily performance, a multiple of the daily 
performance, or an inverse multiple of the daily performance of its 
respective Index at the time of the net asset value (``NAV'') 
calculation. In the event position accountability rules are reached 
with respect to VIX Futures Contracts, the Sponsor may, in its 
commercially reasonable judgment, cause such Fund to obtain exposure 
through swaps referencing the relevant Index or particular VIX Futures 
Contracts, or invest in other futures contracts or swaps not based on 
the particular VIX Futures Contracts if such instruments tend to 
exhibit trading prices or returns that correlate with the Indexes or 
any VIX Futures Contract and will further the investment objective of 
such Fund.\7\ The Funds may also invest in swaps if the market for a 
specific futures contract experiences emergencies or disruptions that 
prevent a Fund from obtaining the appropriate amount of investment 
exposure to the

[[Page 52035]]

affected VIX Futures Contracts directly or to other futures 
contracts.\8\
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    \6\ The term ``under normal conditions'' includes, but is not 
limited to, the absence of extreme volatility or trading halts in 
the futures markets or the financial markets generally; operational 
issues causing dissemination of inaccurate market information; or 
force majeure type events such as systems failure, natural or man-
made disaster, act of God, armed conflict, act of terrorism, riot or 
labor disruption or any similar intervening circumstance.
    \7\ To the extent practicable, the Funds will invest in swaps 
cleared through the facilities of a centralized clearing house.
    \8\ The Sponsor will attempt to mitigate the Funds' credit risk 
by transacting only with large, well-capitalized institutions using 
measures designed to determine the creditworthiness of a 
counterparty. The Sponsor will take various steps to limit 
counterparty credit risk, as described in the Registration 
Statement.
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    If the Short Funds are successful in meeting their objectives, 
their values (before fees and expenses) should gain approximately as 
much on a percentage basis as their respective Index when it declines 
on a given day. Conversely, their values (before fees and expenses) 
should lose approximately as much on a percentage basis as their 
respective Index when it rises on a given day. If the Ultra Funds are 
successful in meeting their objectives, their values (before fees and 
expenses) should gain approximately twice as much on a percentage basis 
as their respective Index when it rises on a given day. Conversely, 
their values (before fees and expenses) should lose approximately twice 
as much on a percentage basis as their respective Index when it 
declines on a given day. If the UltraShort Funds are successful in 
meeting their objectives, their values (before fees and expenses) 
should gain approximately twice as much on a percentage basis as their 
respective Index when it declines on a given day. Conversely, their 
values (before fees and expenses) should lose approximately twice as 
much on a percentage basis as their respective Index when it rises on a 
given day.
    Each of the Funds uses investment techniques that include the use 
of any one or a combination of VIX Futures Contracts and may, if 
applicable, include swap agreements. The Funds' investment techniques 
may involve a small investment relative to the amount of investment 
exposure assumed and may result in losses exceeding the amounts 
invested. Such techniques, particularly when used to create leverage, 
may expose the Funds to potentially dramatic changes (losses or gains) 
in the value of their investments and imperfect correlation between the 
value of the investments and the security or Index.
    The Funds do not seek to achieve their stated investment objective 
over a period of time greater than one day because mathematical 
compounding prevents the Funds from perfectly achieving such results. 
Accordingly, results over periods of time greater than one day 
typically will not be a simple inverse correlation (-100%), multiple 
correlation (+200%), or multiple inverse correlation (-200%) of the 
period return of the corresponding Index and may differ significantly.
    Each Fund is not actively managed by traditional methods, which 
typically involve effecting changes in the composition of a portfolio 
on the basis of judgments relating to economic, financial, and market 
considerations with a view toward obtaining positive results under all 
market conditions. Rather, the Sponsor will seek to cause the NAV to 
track the inverse of the daily performance, a multiple of the daily 
performance, or an inverse multiple of the daily performance of an 
Index, even during periods in which the benchmark is flat or moving in 
a manner which causes the NAV of a Fund to decline. The Sponsor will 
use a mathematical approach to determine the type, quantity, and mix of 
investment positions that it believes should produce returns consistent 
with each Fund's objective. The Sponsor will rely upon a pre-determined 
model to generate orders that result in repositioning the Funds' 
investments in accordance with their respective investment objectives.

VIX Futures Contracts

    The Indexes are comprised of, and the value of the Funds will be 
based on, VIX Futures Contracts. VIX Futures Contracts are measures of 
the market's expectation of the level of the VIX at certain points in 
the future and will behave differently than current or spot VIX 
values.\9\ The Funds are not linked to the VIX, and in many cases the 
Indexes, and by extension the Funds, could significantly underperform 
or outperform the VIX. While the VIX represents a measure of the 
current expected volatility of the S&P 500 over the next 30 days, the 
prices of VIX Futures Contracts are based on the current expectation of 
what the expected 30-day volatility will be at a particular time in the 
future (on the expiration date). The VIX Futures Contracts trade from 
8:20 a.m. Eastern Time (``E.T.'') to 4:15 p.m. E.T.
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    \9\ VIX is the ticker symbol for the CBOE Volatility Index, a 
popular measure of implied volatility. According to the Registration 
Statement, the goal of the VIX is to estimate the implied volatility 
of the S&P 500 over the next 30 days. A relatively high level of the 
VIX corresponds to a more volatile U.S. equity market as expressed 
by more costly options on the S&P 500 Index. The VIX represents one 
measure of the market's expectation of the volatility over the next 
30 day period. It is a composite value of options on the S&P 500 
Index. The formula used to calculate the composite value utilizes 
current market prices for a series of out-of-the-money calls and 
puts for the front month and second month expirations.
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The Indexes

    The Indexes act as a measure of volatility as reflected by the 
price of certain VIX Futures Contracts (``Index Components''), with the 
price of each VIX Futures Contract reflecting the market's expectation 
of future volatility. Each Index seeks to reflect the returns that are 
potentially available from holding an unleveraged long position in 
certain VIX Futures Contracts. Unlike the Indexes, the VIX, which is 
not a benchmark for any Fund, is calculated based on the prices of put 
and call options on the S&P 500, which are traded on the CBOE.
    The S&P 500 VIX Short-Term Futures Index employs rules for 
selecting the Index Components and a formula to calculate a level for 
the Index from the prices of these components. Specifically, the Index 
Components represent the prices of the two near-term VIX futures 
months, replicating a position that rolls the nearest month VIX Futures 
Contract to the next month VIX Futures Contract on a daily basis in 
equal fractional amounts. This results in a constant weighted average 
maturity of one month. The roll period begins on the Tuesday prior to 
the monthly VIX Futures Contracts settlement date and runs through the 
Tuesday prior to the subsequent month's VIX Futures Contract settlement 
date.
    The S&P 500 VIX Mid-Term Futures Index also employs rules for 
selecting the Index Components and a formula to calculate the level of 
the Index from the prices of these components. Specifically, the Index 
Components represent the prices for four contract months of VIX Futures 
Contracts, representing a market-based estimation of constant maturity, 
five month forward implied VIX values. The S&P 500 VIX Mid-Term Futures 
Index measures the return from a rolling long position in the fourth, 
fifth, sixth and seventh month VIX Futures Contracts and rolls 
continuously throughout each month while maintaining positions in the 
fifth and sixth month contracts. This results in a constant weighted 
average maturity of five months.
    Because the Indexes incorporate the process of rolling futures 
positions on a daily basis, and the Funds, in general, also roll their 
positions on a daily basis, the daily roll is not anticipated to be a 
significant source of tracking error between a Fund and its respective 
Index. The Indexes are based on VIX Futures Contracts and not the VIX, 
and as such neither the Funds nor the Indexes are expected to track the 
VIX. The level of each Index is calculated in accordance with the 
method described

[[Page 52036]]

in the Registration Statement and will be published at least every 15 
seconds both in real time from 9:30 a.m. to 4:15 p.m. E.T. and at the 
close of trading on each Business Day by Bloomberg L.P. and 
Reuters.\10\
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    \10\ A ``Business Day'' means any day other than a day when any 
of the NYSE, NYSE Arca, CBOE, or CFE or other exchange material to 
the valuation or operation of the Funds, or the calculation of the 
VIX, options contracts underlying the VIX, VIX Futures Contracts, or 
the Indexes is closed for trading.
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    Additional information regarding the Funds and the Shares, 
investment strategies, risks, creation and redemption procedures, 
Indexes, VIX Futures Contracts, calculation and dissemination of NAV, 
fees, portfolio holdings, disclosure policies, distributions and taxes, 
availability of information, trading rules and halts, and surveillance 
procedures, among other things, can be found in the Notice and 
Registration Statement, as applicable.\11\
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    \11\ See Notice and Registration Statement, supra notes 3 and 4, 
respectively.
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III. Discussion and Commission's Findings

    The Commission has carefully reviewed the proposed rule change and 
finds that it is consistent with the requirements of Section 6 of the 
Act \12\ and the rules and regulations thereunder applicable to a 
national securities exchange.\13\ In particular, the Commission finds 
that the proposal is consistent with Section 6(b)(5) of the Act,\14\ 
which requires, among other things, that the Exchange's rules be 
designed to promote just and equitable principles of trade, to remove 
impediments to and perfect the mechanism of a free and open market and 
a national market system, and, in general, to protect investors and the 
public interest. The Commission notes that the Shares must comply with 
the requirements of NYSE Arca Equities Rule 8.200 and Commentary .02 
thereto to be listed and traded on the Exchange.
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    \12\ 15 U.S.C. 78f.
    \13\ In approving this proposed rule change, the Commission 
notes that it has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
    \14\ 15 U.S.C. 78f(b)(5).
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    The Commission finds that the proposal to list and trade the Shares 
on the Exchange is consistent with Section 11A(a)(1)(C)(iii) of the 
Act,\15\ which sets forth Congress' finding that it is in the public 
interest and appropriate for the protection of investors and the 
maintenance of fair and orderly markets to assure the availability to 
brokers, dealers, and investors of information with respect to 
quotations for and transactions in securities. Quotation and last-sale 
information regarding the Shares will be disseminated through the 
facilities of the Consolidated Tape Association. The level of each 
Index will be published at least every 15 seconds both in real time 
from 9:30 a.m. to 4:15 p.m. E.T. and at the close of trading on each 
Business Day by Bloomberg L.P. and Reuters. In addition, an updated 
Indicative Optimized Portfolio Value (``IOPV''), which is an indicator 
of the value of the VIX Futures Contracts and cash and/or cash 
equivalents less liabilities of a Fund, will be calculated. NYSE Arca 
will calculate and disseminate every 15 seconds throughout the NYSE 
Arca Core Trading Session (9:30 a.m. to 4 p.m. E.T.) an updated IOPV. 
The IOPV will be published on the NYSE Arca's Web site and be available 
through on-line information services such as Bloomberg and Reuters. 
Further, the Funds will provide Web site disclosure of portfolio 
holdings daily and will include, as applicable, the notional value (in 
U.S. dollars) of VIX Futures Contracts, other financial instruments, if 
any, cash equivalents, and amount of cash held in the portfolio of the 
Funds. The intra-day, closing, and settlement prices of the Index 
Components are also readily available from the Web sites of the CFE 
(http://www.cfe.cboe.com), automated quotation systems, published or 
other public sources, or on-line information services such as Bloomberg 
or Reuters. The specific contract specifications for component futures 
underlying the Indexes are also available on such websites, as well as 
other financial informational sources. The CFE also provides delayed 
futures information on current and past trading sessions and market 
news free of charge on its Web site. The NAV for each Fund will be 
calculated by the Administrator once a day at 4:15 p.m. E.T. The 
Exchange will make available on its Web site daily trading volume of 
each of the Shares, closing prices of such Shares, and number of Shares 
outstanding. The Funds' Web site, http://www.proshares.com, will 
display the end of day closing Index levels and NAV.
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    \15\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
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    The Commission further believes that the proposal to list and trade 
the Shares is reasonably designed to promote fair disclosure of 
information that may be necessary to price the Shares appropriately and 
to prevent trading when a reasonable degree of transparency cannot be 
assured. The Commission notes that Web site disclosure of the portfolio 
composition of the Funds will occur at the same time as the disclosure 
by the Funds of the portfolio composition to Authorized Participants so 
that all market participants are provided portfolio composition 
information at the same time. 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, the Exchange will halt 
trading in the Shares until such time as the NAV is available to all 
market participants. Further, the Exchange may halt trading during the 
day in which an interruption to the dissemination of the IOPV, the 
value of an Index, the VIX, or the value of the underlying VIX Futures 
Contracts occurs. If an interruption to the dissemination of the IOPV, 
the value of an Index, the VIX, or the value of the underlying VIX 
Futures Contracts persists past the trading day in which it occurred, 
the Exchange will halt trading no later than the beginning of the 
trading day following the interruption.\16\ Trading in the Shares will 
be subject to NYSE Arca Equities Rule 8.200, Commentary .02(e), which 
sets forth certain restrictions on Equity Trading Permit (``ETP'') 
Holders acting as registered Market Makers in Trust Issued Receipts to 
facilitate surveillance. The Exchange represents that Standard & Poor's 
Financial Services LLC, the index sponsor with respect to the Indexes, 
is not a broker-dealer and has implemented procedures designed to 
prevent the use and dissemination of material, non-public information 
regarding the Indexes.
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    \16\ Trading may also 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.
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    The Exchange further represents that the Shares are deemed to be 
equity securities subject to the Exchange's existing rules governing 
the trading of equity securities. In support of this proposal, the 
Exchange has made additional representations, including:
    (1) The Funds will meet the initial and continued listing 
requirements applicable to Trust Issued Receipts in NYSE Arca Equities 
Rule 8.200 and Commentary .02 thereto.
    (2) The Exchange has appropriate rules to facilitate transactions 
in the Shares during all trading sessions.
    (3) The Exchange's surveillance 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. In

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addition, with respect to any Fund's holdings of futures contracts 
traded on exchanges, not more than 10% of the weight of such futures 
contracts in the aggregate shall consist of components whose principal 
trading market is not a member of the Intermarket Surveillance Group or 
is a market with which the Exchange does not have a comprehensive 
surveillance sharing agreement.
    (4) Prior to the commencement of trading, the Exchange will inform 
its ETP Holders of the suitability requirements of NYSE Arca Equities 
Rule 9.2(a) in an Information Bulletin. Specifically, ETP Holders will 
be reminded in the Information Bulletin that, in recommending 
transactions in the Shares, they must have a reasonable basis to 
believe that (a) the recommendation is suitable for a customer given 
reasonable inquiry concerning the customer's investment objectives, 
financial situation, needs, and any other information known by such 
member, and (b) the customer can evaluate the special characteristics, 
and is able to bear the financial risks, of an investment in the 
Shares. In connection with the suitability obligation, the Information 
Bulletin will also provide that members must make reasonable efforts to 
obtain the following information: (i) The customer's financial status; 
(ii) the customer's tax status; (iii) the customer's investment 
objectives; and (iv) such other information used or considered to be 
reasonable by such member or registered representative in making 
recommendations to the customer. In addition, the Information Bulletin 
will reference the FINRA Regulatory Notices regarding sales practice 
and customer margin requirements implemented by FINRA, applicable to 
FINRA members, with respect to leveraged ETFs (which include the 
Shares) and options on leveraged ETFs.\17\ ETP Holders that carry 
customer accounts will be required to follow the FINRA guidance set 
forth in these notices.
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    \17\ See FINRA Regulatory Notices 09-31 (June 2009), 09-53 
(August 2009) and 09-65 (November 2009) (``FINRA Regulatory 
Notices'').
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    (5) Prior to the commencement of trading, the Exchange also 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: (a) 
The risks involved in trading the Shares during the Opening and Late 
Trading Sessions when an updated IOPV will not be calculated or 
publicly disseminated; (b) the procedures for purchases and redemptions 
of Shares in Creation Baskets and Redemption Baskets (and that Shares 
are not individually redeemable); (c) 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; 
(d) 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 (e) trading information.\18\
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    \18\ As noted above, the Information Bulletin will further 
advise ETP Holders that FINRA has implemented increased customer 
margin requirements applicable to leveraged ETFs (which include the 
Shares) and options on leveraged ETFs, as discussed in the FINRA 
Regulatory Notices. See supra, note 17.
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    (6) The Funds must be in compliance with NYSE Arca Equities Rule 
5.3 and Rule 10A-3 under the Act.\19\
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    \19\ 17 CFR 240.10A-3.
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    (7) A minimum of 100,000 Shares for each Fund will be outstanding 
as of the start of trading on the Exchange.
    This approval order is based on the Exchange's representations.\20\
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    \20\ The Commission notes that it does not regulate the market 
for futures in which the Fund plans to take positions, which is the 
responsibility of the Commodity Futures Trading Commission 
(``CFTC''). The CFTC has the authority to set limits on the 
positions that any person may take in futures. These limits may be 
directly set by the CFTC or by the markets on which the futures are 
traded. The Commission has no role in establishing position limits 
on futures, even though such limits could impact an exchange-traded 
product that is under the jurisdiction of the Commission.
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    For the foregoing reasons, the Commission finds that the proposed 
rule change is consistent with Section 6(b)(5) of the Act \21\ and the 
rules and regulations thereunder applicable to a national securities 
exchange.
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    \21\ 15 U.S.C. 78f(b)(5).
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IV. Conclusion

    It is therfore ordered, pursuant to Section 19(b)(2) of the 
Act,\22\ that the proposed rule change (SR-NYSEArca-2011-23) be, and it 
hereby is, approved.
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    \22\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\23\
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    \23\ 17 CFR 200.30-3(a)(12).
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Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011-21173 Filed 8-18-11; 8:45 am]
BILLING CODE 8011-01-P


