
[Federal Register Volume 81, Number 113 (Monday, June 13, 2016)]
[Notices]
[Pages 38232-38246]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-13821]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-78000; File No. SR-NYSEMKT-2016-58]


Self-Regulatory Organizations; NYSE MKT LLC; Notice of Filing of 
Proposed Rule Change Relating to Amendments to NYSE MKT Rules 1600 et 
seq. and to Changes to the Names and Operation of the Nuveen 
Diversified Commodity Fund and the Nuveen Long/Short Commodity Total 
Return Fund

June 7, 2016.
    Pursuant to section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given 
that, on May 24, 2016, NYSE MKT LLC (``Exchange'' or ``NYSE MKT'') 
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\ 15 U.S.C. 78a.
    \3\ 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 amend NYSE MKT Rules 1600 et seq. (Trading 
of Trust Units), pursuant to which the Exchange currently lists and 
trades shares of the Nuveen Diversified Commodity Fund (the 
``Diversified Fund'') and the Nuveen Long/Short Commodity Total Return 
Fund (the ``Long/Short Fund,'' with the Diversified Fund and the Long/
Short Fund each being referred to herein as a ``Fund,'' and 
collectively, as the ``Funds''), and to reflect changes to the names 
and operation of the Funds, as described herein. The proposed rule 
change is available on the Exchange's Web site at www.nyse.com, at the 
principal office of the Exchange, and at 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 the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to amend NYSE MKT Rules 1600 et seq. (Trading 
of Trust Units), pursuant to which the Exchange currently lists and 
trades shares (``Shares'') of the Funds.\4\ In addition, the Exchange 
proposes to (1) reflect changes to the operation of the Funds, as 
described herein, and (2) permit the continued listing and trading of 
Shares of the Funds on the Exchange pursuant to NYSE MKT Rules 1600 et 
seq., as proposed to be amended, following changes to the operation of 
the Funds, as described below.\5\
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    \4\ The Commission approved listing and trading of Shares of the 
Funds on the Exchange in Securities Exchange Act Release Nos. 61807 
(March 31, 2010), 75 FR 17818 (April 7, 2010) (SR-NYSEAmex-2010-09) 
(order approving amendments to NYSE Amex LLC Rule 1600 and listing 
and trading of shares of the Nuveen Diversified Commodity Fund) 
(``Prior Diversified Order''); and 67223 (June 20, 2012) (SR-
NYSEAmex-2012-24) (order approving listing and trading on NYSE Amex 
LLC of shares of the Nuveen Long/Short Commodity Total Return Fund 
under NYSE Amex LLC Rule 1600) (``Prior Long/Short Order''). See 
also Securities Exchange Act Release No. 61571 (February 23, 2010), 
75 FR 9265 (March 1, 2010) (SR-NYSE Amex-2010-09) (notice of filing 
of proposed rule change amending NYSE Amex LLC Trust Unit rules and 
proposing the listing of the Nuveen Diversified Commodity Fund) (the 
``Prior Diversified Notice'' and, together with the Prior 
Diversified Order, the ``Prior Diversified Release''); and 
Securities Exchange Act Release No. 66887 (May 1, 2012), 77 FR 26798 
(May 7, 2012) (SR-NYSEAmex-2012-24) (notice of filing of proposed 
rule change relating to listing Nuveen Long/Short Commodity Total 
Return Fund under NYSE Amex LLC Rule 1600) (the ``Prior Long/Short 
Notice'' and, together with the Prior Long/Short Order, the ``Prior 
Long/Short Release,'' with the Prior Diversified Release and the 
Prior Long/Short Release each being referred to herein as a ``Prior 
Release,'' and collectively, as the ``Prior Releases'').
    \5\ See, for the Diversified Fund, Pre-Effective Amendment No. 1 
to the registration statement on Form S-3 (File No. 333-205590), 
filed on November 30, 2015; see also, for the Long/Short Fund, Pre-
Effective Amendment No. 1 to the registration statement on Form S-3 
(File No. 333-205587), filed on November 30, 2015 (collectively 
referred to herein as the ``Registration Statement'').
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    The Funds are currently structured as actively managed closed-end 
commodity pools. On December 19, 2014, Nuveen Investments, parent 
company of Nuveen Commodities Asset Management, LLC (the ``Manager''), 
announced (the ``Conversion Plan Announcement'') that the Manager had 
approved a plan to convert the Funds into exchange-traded products 
(``ETPs'') that utilize a creation/redemption mechanism, subject to 
approval by shareholders of each Fund (such plan, with respect to each 
Fund, is referred to herein as the ``Conversion,'' and collectively, 
the ``Conversions''). Subsequently, at meetings of shareholders in 
2015, shareholders of each Fund likewise approved the Conversions. The 
purpose of the Conversions, which would implement a process for 
continual creation and redemption of Shares at net asset value 
(``NAV'') after receipt of an order in proper form on any business day 
(as described below), is to promote the trading of the Funds' Shares at 
prices equal to or near their NAV. Indeed, since the Conversion Plan 
Announcement, each Fund has traded at a substantially reduced discount 
to NAV,\6\ which suggests that the

[[Page 38233]]

Conversion will achieve its intended purpose, to the benefit of 
shareholders.
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    \6\ From December 18, 2014, to March 9, 2016, the discount to 
NAV has been reduced for the Diversified Fund from 18.02% to 5.11% 
and for the Long/Short Fund from 19.80% to 3.75%.
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    Accordingly, the Exchange proposes to amend NYSE MKT Rules 1600 et 
seq. to accommodate the implementation of continual creation and 
redemption of shares of Trust Units listed or traded pursuant to Rules 
1600 et seq. in the manner set forth above. The proposed amendments to 
Rules 1600 et seq. will provide that Trust Units, which include Shares 
of the Funds, will be issued and redeemed on a continuous basis in 
specified aggregate amounts at NAV next determined.
Amendments to NYSE MKT Rules 1600 et seq.
    To achieve the foregoing changes, the Exchange proposes to amend 
NYSE MKT Rules 1600 et seq. as described below. NYSE MKT Rule 1600 
defines a Trust Unit as a security that is issued by a trust 
(``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. The Exchange proposes to 
amend Rule 1600 in several respects.
    First, the Exchange proposes amending Rule 1600(b)(i) to delete 
reference to Section 1(a)(4) of the Commodity Exchange Act (``CEA'') 
and to state that the term ``commodity'' is defined in Section 1(a)(9) 
of the CEA. Section 1(a)(4) of the CEA was renumbered as Section 
1(a)(9) under amendments adopted under the Dodd-Frank Wall Street 
Reform and Consumer Protection Act.\7\ Next, the Exchange proposes 
amending Rule 1600(b)(ii) to: (1) Add the phrase ``and/or securities'' 
to the enumerated financial instruments in which Trust Units may invest 
(proposed Rule 1600(b)(i));\8\ and (2) provide that Trust Units are 
issued and redeemed continuously in specified aggregate amounts at the 
NAV next determined (proposed Rule 1600(b)(ii)).
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    \7\ 12 U.S.C. 5301 et seq.
    \8\ This proposed provision is identical to the definition of 
Trust Units in NYSE Arca Equities Rule 8.500(b)(2).
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    The Exchange also proposes adding new rules. Proposed NYSE MKT Rule 
1600(b)(iii) would define ``Disclosed Portfolio'' as the identities and 
quantities of the assets held by a Trust that will form the basis for 
that Trust's calculation of the NAV at the end of the business day. 
Proposed Rule 1600(b)(iv) would define ``Intraday Indicative Value'' as 
the estimated indicative value of a Trust Unit based on current 
information regarding the value of the assets in the Disclosed 
Portfolio.
    Proposed Rule 1600(b)(v) would define ``Reporting Authority'' as, 
in respect of a particular series of Trust Units, the Exchange, an 
institution, or a reporting or information service designated by the 
Trust or the Exchange or by the exchange that lists a particular series 
of Trust Units (if the Exchange is trading such series pursuant to 
unlisted trading privileges) as the official source for calculating and 
reporting information relating to such series, including, but not 
limited to, (i) the Intraday Indicative Value, (ii) the Disclosed 
Portfolio, (iii) the amount of any cash distribution to holders of 
Trust Units, (iv) NAV, and (v) other information relating to the 
issuance, redemption, or trading of Trust Units. A series of Trust 
Units may have more than one Reporting Authority, each having different 
functions.\9\
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    \9\ Proposed Rules 1600(b)(iii)-(v) are substantively similar to 
the current NYSE Arca Equities Rules 8.600(c)(2)-(4).
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    Proposed Commentary .04 to Rule 1600 would provide that, if a 
Trust's advisor is affiliated with a broker-dealer, the broker-dealer 
shall erect a ``fire wall'' around the personnel who have access to 
information concerning changes and adjustments to the Disclosed 
Portfolio. Personnel who make decisions on the Trust's portfolio 
composition must be subject to procedures designed to prevent the use 
and dissemination of material non-public information regarding the 
applicable portfolio.
    The Exchange proposes to amend Rule 1602(a)(ii) to provide that the 
Exchange will obtain a representation from the issuer of each series of 
Trust Units that the NAV and the Disclosed Portfolio will be made 
available to all market participants at the same time. Additionally, 
the Exchange proposes amendments to Rule 1602(b)(ii) to replace the 
term ``portfolio holdings'' with ``Disclosed Portfolio'' and to provide 
that, if the Exchange becomes aware that the Disclosed Portfolio or NAV 
per share with respect to a series of Trust Units is not disseminated 
to all market participants at the same time, it will halt trading in 
such series until such time as the Disclosed Portfolio or NAV per share 
is available to all market participants. Proposed Rule 1602(b)(iii) 
would provide that each series of Trust Units will be listed and/or 
traded subject to application of the following criteria: (1) The 
Intraday Indicative Value for shares will be widely disseminated by one 
or more major market data vendors at least every 15 seconds during the 
time when the Trust Units trade on the Exchange; (2) the Disclosed 
Portfolio will be disseminated at least once daily and will be made 
available to all market participants at the same time; and (3) the 
Reporting Authority that provides the Disclosed Portfolio must 
implement and maintain, or be subject to, procedures designed to 
prevent the use and dissemination of material, non-public information 
regarding the actual components of the portfolio.\10\
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    \10\ These proposed amendments and rule additions are 
substantively similar to the current NYSE Arca Equities Rule 
8.600(d).
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    The Exchange also proposes to delete the text of current NYSE MKT 
Rule 1603, which is obsolete,\11\ and to amend NYSE MKT Rule 1605 to 
provide that none of the Exchange, the Reporting Authority or any agent 
of the Exchange shall have any liability for damages, claims, losses or 
expenses caused by any errors, omissions, or delays in calculating or 
disseminating the Disclosed Portfolio; any value of underlying futures 
contracts, options on futures contracts, forward contracts, swap 
contracts, commodities and/or securities; the current value of 
positions or interests if required to be deposited to the Trust in 
connection with issuance of Trust Units; NAV; or other information 
relating to the purchase, redemption or trading of Trust Units, 
resulting from any negligent act or omission by the Exchange, the 
Reporting Authority, or any agent of the Exchange, or any act, 
condition or cause beyond the reasonable control of the Exchange or any 
agent of the Exchange, or the Reporting Authority, including, but not 
limited to, an act of God; fire; flood; extraordinary weather 
conditions; war; insurrection; riot; strike; accident; action of 
government; communications

[[Page 38234]]

or power failure; equipment or software malfunction; or any error, 
omission or delay in the reports of transactions in the Trust Units, 
futures contracts, options on futures contracts, forward contracts, 
swap contracts, commodities and/or securities.\12\
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    \11\ NYSE MKT Rule 1603 would be reserved. Current Rule 1603 
provides that if a Designated Market Maker (``DMM'') is operating 
under Rule 98 (Former)--Equities, Rule 105(b) (Former)--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. The Exchange has deleted NYSE MKT Rule 98 (former). See 
Securities Exchange Act Release No. 72535 (July 3, 2014), 79 FR 
39024 (July 9, 2014) (SR-NYSEMKT-2014-22), in which the Exchange 
stated that ``[a]ll DMMs are now approved to operate under Rule 98 
and are no longer subject to `Rule 98 (former).''' The Exchange 
deleted NYSE MKT Rule 105 in SR-NYSEMKT-2012-68. See Securities 
Exchange Act Release No. 68306 (November 28, 2012), 77 FR 71846 
(December 4, 2012) (notice of filing and immediate effectiveness of 
proposed rule change amending Exchange rules to delete obsolete and 
outdated rules).
    \12\ Proposed NYSE MKT Rule 1605, as amended, is substantively 
similar to current NYSE Arca Equities Rule 8.600(e).
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Description of the Funds
    As set forth in each Fund's respective Prior Release, each Fund is 
a commodity pool managed by the Manager. The Manager is a Delaware 
limited liability company that is registered as a commodity pool 
operator (the ``CPO'') with the Commodity Futures Trading Commission 
(``CFTC''). The Manager is a wholly-owned subsidiary of Nuveen 
Investments, Inc. (``Nuveen Investments''), which is an indirect 
wholly-owned subsidiary of TIAA, a national financial services 
organization. The Manager is responsible for determining the Funds' 
overall investment strategies and overseeing their implementation. The 
Manager also manages the Funds' business affairs and provides certain 
legal, accounting and other administrative services to the Funds.
    Also as described in the Prior Releases, Gresham Investment 
Management LLC (the ``Commodity Subadviser''), an affiliate of the 
Manager, manages each Fund's commodity futures investment strategy 
(which is described more fully below). The Commodity Subadviser is a 
Delaware limited liability company and is registered with the CFTC as a 
commodity trading advisor and as a CPO, and is a member of the National 
Futures Association (``NFA''). The Commodity Subadviser also is 
registered with the Commission as an investment adviser under the 
Investment Advisers Act of 1940, as amended (the ``Advisers Act'').
    As set forth in the Prior Releases, Nuveen Asset Management, LLC 
(the ``Collateral Subadviser'' and, together with the Commodity 
Subadviser, the ``Subadvisers''), an affiliate of the Manager, manages 
each Fund's investments in U.S. government securities, other short-
term, high grade fixed income securities and cash equivalents 
(``collateral''). The Collateral Subadviser is registered with the 
Commission as an investment adviser under the Advisers Act.
    As the Commodity Subadviser and the Collateral Subadviser are each 
registered as investment advisers under the Advisers Act, the 
Subadvisers and their respective related personnel are (and any future 
subadviser to the Funds will be) 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 their relationship to clients, as well as their 
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 detect and prevent violation, by the investment adviser and 
its supervised persons, of the Advisers Act and the Commission rules 
adopted thereunder; (ii) implemented, at a minimum, an annual review of 
the adequacy of the policies and procedures described in clause (i) 
above and the effectiveness of their implementation; and (iii) 
designated an individual (who is a supervised person) responsible for 
administering such policies and procedures.
    State Street Bank and Trust Company (``State Street'' or the 
``Transfer Agent'') serves as transfer agent, registrar for the Shares, 
and custodian and administrator of the assets of each Fund, pursuant to 
which it performs NAV calculations, accounting and other fund 
administrative services, and, after the Conversions, it also will 
receive and process orders from Authorized Participants to create and 
redeem an aggregate of Shares of each Fund (``Baskets'').
Current Operation of the Funds Prior to Conversion
    Diversified Fund. As described in the Prior Diversified Release, 
the Fund's current investment objective is to generate attractive risk-
adjusted total returns as compared to investments in commodity indexes.
    Currently, the Fund pursues its investment objective by utilizing: 
(a) An actively managed rules-based commodity investment strategy, 
whereby the Fund invests in a diversified basket of commodity futures 
and forward contracts with an aggregate notional value substantially 
equal to the net assets of the Fund; and (b) an options strategy 
designed to moderate the overall risk and return characteristics of the 
Fund's commodity investments, pursuant to which the Fund writes (sells) 
``out-of-the-money'' commodity call options to obtain option premium 
cash flow, on individual futures and forward contracts, on baskets of 
commodities or on broad based commodity indices.
    Currently, as described in the Prior Diversified Release, the Fund 
typically: (i) Invests in commodity futures and forward contracts \13\ 
that are traded either on U.S. or non-U.S. commodity futures exchanges; 
and (ii) sells call options on commodity futures and forward contracts 
that are traded either on U.S. or non-U.S. exchanges. The Fund may also 
purchase put options on commodity futures and forward contracts that 
are traded either on U.S. or non-U.S. exchanges or may purchase OTC 
commodity put options through dealers pursuant to negotiated, bi-
lateral arrangements. The Fund invests in commodity futures and forward 
contracts, options on commodity futures and forward contracts and over-
the-counter commodity options in the following commodity groups: 
Energy, industrial metals, precious metals, livestock, agriculturals, 
and tropical foods and fibers. The Fund also may invest in other 
commodity contracts that are presently, or may hereafter become, the 
subject of commodity futures trading. Except for certain limitations 
described below, there are no restrictions or limitations on the 
specific commodity investments in which the Fund may invest.
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    \13\ While forward contracts generally are traded over the 
counter (``OTC''), ``forward contracts'' in this context refer to 
contracts that are traded on the London Metal Exchange and operate 
substantially as futures contracts. As such, all of the contracts in 
which the Diversified Fund invests are exchange-traded.
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    As stated in the Prior Diversified Release, to support its 
commodity investments, the Fund maintains collateral that is invested 
in short-term debt instruments with maturities of up to two years that, 
at the time of investment, are investment grade quality, including 
obligations issued or guaranteed by the U.S. government or its agencies 
and instrumentalities, as well as corporate obligations and asset-
backed securities.
    Currently, to achieve the Fund's investment objective, the Fund 
invests on a notional basis substantially all of its assets in 
commodity futures and forward contracts pursuant to the Commodity 
Subadviser's Tangible Asset Program (``TAP''), an actively managed, 
rules-based \14\ commodity investment

[[Page 38235]]

strategy. TAP is fundamental in nature and is designed to maintain 
consistent, fully collateralized exposure to commodities as an asset 
class. TAP does not require the existence of price trends in order to 
be successful.
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    \14\ Pursuant to TAP[supreg] the Fund invests in commodity 
futures and forward contracts, for commodities in each of the 
following groups: Energy, industrial metals, precious metals, 
livestock, agriculturals, and tropical foods and fibers.
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    Pursuant to the Fund's risk management program, the Fund writes (or 
sells) commodity call options that may be up to 20% ``out-of-the-
money'' on a continual basis on up to approximately 50% of the notional 
value of each of its commodity futures and forward contract positions 
that have sufficient option trading volume and liquidity. The Commodity 
Subadviser writes call options on individual futures and forward 
contracts held by the Fund, on baskets of commodities or on broad based 
commodity indices.
    According to the Prior Diversified Release, in order to seek 
protection against significant asset value declines, the Fund may from 
time to time purchase ``out-of-the-money'' put options on broad-based 
commodity indices such as the DJ-UBS Commodity Index[supreg] 
(subsequently renamed the Bloomberg Commodity Index), the S&P GSCI 
Commodity Index, or on certain custom indices, whose prices are 
expected to closely correspond to a substantial portion of the long 
commodity futures and forward contracts held by the Fund. The Fund also 
may purchase put options on baskets of commodities and on individual 
futures and forward contracts held by it.
    According to the Prior Diversified Release, the Fund intends to 
make monthly distributions to its shareholders (stated in terms of a 
fixed cents per share distribution rate) based on past and projected 
performance of the Fund. The Fund seeks 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, although the distribution rate will 
not be solely dependent on the amount of income earned or capital gains 
realized by the Fund. The Fund's ability to make regular monthly 
distributions depends on a number of factors, including, most 
importantly, the long-term total returns generated by the Fund's 
portfolio investments and the risk management program.
    Long/Short Fund. As described in the Prior Long/Short Release, the 
Fund's current investment objective is to generate attractive total 
returns. The Fund is actively managed and seeks to outperform its 
benchmark, the Morningstar Long/Short Commodity Index.
    The Fund's investment strategy utilizes the Commodity Subadviser's 
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.
    In pursuing its investment objective, the Fund currently invests 
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.
    According to the Prior Long/Short Release, this long/short 
commodity investment program is 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 invests in a diverse portfolio of exchange-traded commodity 
futures contracts with an aggregate notional value substantially equal 
to the net assets of the Fund. The Fund makes 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,\15\ the Fund may deviate from its investment objective 
and policies. The Subadvisers 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 
Commodity Subadviser'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. Generally, the program rules are used to determine the 
specific commodity futures contracts in which the Fund invests, 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 
Fund invests in those commodity futures contracts and option contracts 
that are listed on an exchange with the greatest dollar volume traded 
in those contracts.
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    \15\ Adverse market circumstances would include large downturns 
in the broad market value of two or more times current average 
volatility, where the Commodity Subadviser views such downturns as 
likely to continue for an extended period of time.
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    The Fund also currently employs 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. Pursuant to the options 
strategy, the Fund may sell commodity call or put options, which are 
all 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 Subadviser's determination, have 
sufficient option trading volume and liquidity. According to the Prior 
Long/Short Release, if the Commodity Subadviser buys the commodity 
futures contract, it will sell a call option on the same underlying 
commodity futures contract. If the Commodity Subadviser shorts the 
commodity futures contract, it will sell a put option on the same 
underlying commodity futures contract (except in the case of energy 
futures contracts).
    When initiating new trades, the Fund expects to sell covered in-
the-money options. Because the Fund holds 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.
    Generally, the Fund expects to sell short-term commodity options 
with terms of one to three months. Subject to the foregoing 
limitations, the implementation of the options strategy is within the 
Commodity Subadviser'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.''
    The Commodity Subadviser will employ a proprietary methodology in 
assessing commodity market movements and in determining the Fund's 
long/short commodity futures positions. Generally, the Commodity 
Subadviser will employ momentum-based modeling (quantitative formulas 
that evaluate trend relationships between the changes in prices of 
futures contracts and trading volumes for a

[[Page 38236]]

specific commodity) to estimate forward-looking prices and to evaluate 
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 Subadviser will 
calculate a roll-adjusted price that accounts for the current spot 
price and the impact of roll yield. The Commodity Subadviser 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.
    According to the Prior Long/Short Release, the Fund's commodity 
investments will, at all times, be fully collateralized (i.e., the 
``notional value''--the value of the underlying commodity at the 
contract's spot price--of the Fund's commodity exposure will not exceed 
the market value of the Fund's net assets). The Fund's commodity 
investments generally do not require significant outlays of principal. 
Approximately 25% of the Fund's net assets are used to secure the 
futures contracts.\16\ These assets are placed in one or more commodity 
futures accounts 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.
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    \16\ Such assets will be committed as ``initial'' or 
``variation'' margin. Initially, when a Fund invests in a commodity 
futures contract, it will be required to deposit an amount of cash 
equal to a specified percentage of the contract amount. This amount 
is known as ``initial margin.'' The margin deposit is intended to 
ensure completion of the contract if it is not terminated prior to 
the specified delivery date. Minimum initial margin requirements are 
established by the futures exchanges and may be revised. Subsequent 
payments, called ``variation margin,'' will be made on a daily basis 
as the price of the underlying commodity fluctuates, making the 
futures contract more or less valuable, a process known as marking 
the contract to market.
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    The remaining collateral (approximately 75% of the Fund's net 
assets) are held in a separate collateral investment account managed by 
the Collateral Subadviser. Such assets are 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 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.
    According to the Prior Long/Short Release, 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'').
    Also according to the Prior Long/Short Release, the Fund (like the 
Diversified Fund) intends to make monthly distributions to its 
shareholders (stated in terms of a fixed cents per share distribution 
rate) based on past and projected performance of the Fund. The Fund 
seeks 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, 
although the distribution rate will not be solely dependent on the 
amount of income earned or capital gains realized by the Fund. The 
Fund's ability to make regular monthly distributions depends on a 
number of factors, including, most importantly, the long-term total 
returns generated by the Fund's portfolio investments and the risk 
management program.
Operation of the Funds Following Conversion
Generally
    Following the Conversions, each Fund, through use of a rules-based 
investment methodology, will seek to obtain returns that, over time, 
generally match (before fees and expenses) the returns of a commodity-
linked index. The Diversified Fund will take long positions in the 
components of the Gresham Adaptive Commodity Index (the ``Adaptive 
Index''), while the Long/Short Fund will take positions either long or 
short in the components of the Gresham Long/Short Commodity Index (the 
``Long/Short Index''). Each of the Adaptive Index and the Long/Short 
Index also is referred to herein as an ``Index'' and, collectively, as 
the ``Indexes.''
    In contrast to certain representations made in the Prior Releases 
and described above, after the Conversions each Fund: (i) Will no 
longer invest in forwards (and instead will invest solely in futures 
contracts), (ii) will no longer hold options or utilize options 
strategies, and (iii) will no longer make monthly distributions to its 
shareholders.
Names; Investment Objectives
    After the Conversion, the name of the Diversified Fund will change 
to the ``NuShares Gresham Adaptive Commodity ETF'' and the name of the 
Long/Short Fund will change to the ``NuShares Gresham Long/Short 
Commodity ETF.'' Each Fund's investment objective will be to generate 
attractive total returns by generally tracking its respective Index. 
Each Fund will continue to seek to achieve its investment objective by 
investing in a diverse portfolio of exchange-traded commodity futures 
contracts that provide exposure to the global commodity markets (such 
futures contracts are referred to herein as ``Commodity Futures''). 
Generally, each Fund will invest in Commodity Futures that are included 
in a Fund's respective Index; however, each Fund also may invest in 
other commodity futures contracts that are not included in the Indexes 
(at times when the Commodity Subadviser believes such investments will 
improve a Fund's profitability and/or reduce the potential for losses, 
as described more fully below).
The Funds' Investments
    After the Conversions, each Fund's principal investments are not 
expected to change. Under normal market conditions,\17\ each Fund will 
continue to invest in (i) Commodity Futures traded on U.S. and non-U.S. 
futures exchanges \18\ having various expiration dates, and (ii) 
collateral consisting of U.S. government securities and cash 
equivalents, some of which are maintained on deposit with a Fund's 
commodity broker as margin, to collateralize a Fund's positions in the 
Commodity Futures. As stated above,

[[Page 38237]]

the Funds will not invest in forwards or options following the 
Conversions.
---------------------------------------------------------------------------

    \17\ With respect to each Fund, the term ``under normal market 
conditions'' includes, but is not limited to, the absence of extreme 
volatility or trading halts in the financial markets generally; 
operational issues causing dissemination of inaccurate market 
information; or force majeure type events such as a systems failure, 
natural or man-made disaster, act of God, armed conflict, act of 
terrorism, riot or labor disruption or any similar intervening 
circumstance.
    \18\ Not more than 10% of the net assets of a Fund, in the 
aggregate, shall consist of futures contracts whose principal market 
is not a member of the Intermarket Surveillance Group (``ISG'') or 
with which the Exchange has in place a comprehensive surveillance 
sharing agreement.
---------------------------------------------------------------------------

    Futures contracts on commodities reflect the expected future value 
of an underlying commodity on which the contract is based. Pursuant to 
such futures contracts, one party agrees to buy, and the other to sell, 
a set amount of the reference asset (or a cash equivalent) at a pre-
determined price (the ``spot price'') on a pre-determined future date 
(the ``expiration date''). As the expiration date for any given 
Commodity Futures contract draws closer, the Commodity Subadviser will 
roll that Commodity Futures contract, prior to its expiration, on an 
ongoing basis, so as to ensure that each Fund maintains a position in 
such Commodity Futures contract.
    For each Fund, the Commodity Subadviser employs a proprietary 
methodology in assessing commodity market movements. Generally, the 
Commodity Subadviser employs momentum-based modeling to estimate 
forward-looking prices and to evaluate the return impact of futures 
contract rolls. The Commodity Subadviser will calculate a roll-adjusted 
price that accounts for the current spot price and the impact of roll 
yield. The Commodity Subadviser may exercise discretion in its 
decisions and the timing and implementation of the Fund's commodity 
investments to seek to benefit from trading on commodity price 
momentum. Specifically, following the Conversion, the Diversified Fund 
weightings will be determined on a monthly basis--if the price of a 
commodity contract is higher than its six-month simple moving average, 
the commodity contract will be held at its target weight; conversely, 
if the price is below the six-month simple moving average, the 
commodity weight will be reduced by half. Following the Conversion, for 
the Long/Short Fund, the momentum-based model will employ shorter-term 
moving averages (such as 6-months) to determine whether a commodity 
futures position in the Index is held long or short (or flat, for 
petroleum-related commodities).
    Each Fund's Commodity Futures investments will, at all times, be 
fully collateralized (i.e., the ``notional value''--the value of the 
underlying commodity at the contract's spot price--of the Fund's 
commodity exposure will not exceed the market value of the Fund's net 
assets). However, whereas the Prior Releases represented that 25% of 
that Fund's Collateral will be committed as ``initial'' and 
``variation'' margin, the Funds now represent that, following the 
Conversions, approximately 10-25% of each Fund's Collateral will be 
committed as initial and variation margin and be segregated pursuant to 
the Commodity Exchange Act, and the regulations thereunder, to secure 
the futures contract positions. Those assets will be held in a 
commodity futures account maintained by SG Americas Securities, LLC 
(``SG''), the Funds' clearing broker, which serves as a futures 
commission merchant and broker-dealer registered with the CFTC and the 
Commission.
    The remaining 75-90% of a Fund's Collateral (as opposed to a set 
75%, as noted in the Prior Releases) will continue be held in a 
separate collateral investment account managed by the Collateral 
Subadviser. However, the eligible Collateral investments will change 
following the Conversion. The Funds will no longer invest in money 
market funds or repurchase agreements; instead, they will invest in 
short-term U.S. government securities and cash equivalents.
The Funds' Investment Strategies
    Following the Conversions, each Fund will employ a rules-based 
commodity investment strategy in seeking to achieve its investment 
objective: The Diversified Fund will use a long-biased strategy, and 
the Long/Short Fund will use a long/short strategy. In doing so, each 
Fund, as they currently do prior to the Conversion, will invest in a 
diverse portfolio of exchange-traded Commodity Futures that have an 
aggregate notional value less than or substantially equal to the net 
assets of such Fund. Generally, those Commodity Futures will be 
components of each Fund's respective Index; however, each Fund also may 
invest in other commodity futures contracts that are not included in 
the Indexes in seeking to improve profitability and/or reduce the 
potential for loss.
    Each Fund will make investments in Commodity Futures in the six 
principal groups within the global commodities markets: Agriculture; 
energy; foods and fibers; industrial metals; livestock; and precious 
metals. To provide diversification, each Fund will take positions in 
Commodity Futures related to approximately 30 commodities; its rules-
based strategy will limit the weight of any individual Commodity 
Futures and also will limit the allocations to the largest two 
commodity groups to allow for higher allocations to the smaller 
commodity groups. Each Fund will continue to allocate its investments 
to Commodity Futures pursuant to the Commodity Subadviser's proprietary 
strategy.
    Typically, each Fund expects to follow certain rules pertaining to 
eligible commodities, weights, diversification, rebalancing, and annual 
reconstitution that are the same as those for its respective Index, so 
as to minimize the divergence between the price behavior of a Fund's 
Commodity Futures portfolio and the price behavior of its Index (such 
divergence is referred to as ``tracking error''). As such, each Fund's 
investment results, before the deduction of fees and other expenses, 
are expected generally to correspond to the changes, positive or 
negative, in the levels of its respective Index over time.
    Although each Fund generally will seek to track the performance of 
its Index (before fees and expenses), the Funds will remain actively 
managed and therefore will not be obligated to always invest in the 
components of the Indexes. From time to time, a Fund may invest in 
commodity futures contracts not included in its Index and/or that have 
differing expiration dates and terms. Such variations from an Index are 
market-driven and opportunistic, and are designed to improve a Fund's 
profitability and reduce the potential for losses. Additionally, each 
Fund will continue to deviate temporarily from its investment objective 
and policies during adverse market circumstances.
Description of the Indexes
    According to the Registration Statement, each Index is a 
proprietary index developed by the Commodity Subadviser's senior 
management team. The methodology for commodity selection and target 
weight calculation for each Index is based on the Commodity 
Subadviser's TAP strategy. Annual rebalancing for the TAP strategy 
follows a systematic, disciplined approach for establishing new target 
weights for commodities in the portfolio and encompasses a diverse mix 
of tangible Commodity Futures. TAP currently allocates to Commodity 
Futures relating to approximately 30 different commodities. TAP scales 
its position according to rankings of individual commodities based on 
three factors: (i) Historical global production; (ii) historical global 
trade; and (iii) historical contract liquidity. The TAP strategy 
employs portfolio construction constraints that seek liquidity, a 
robust and fair regulatory framework, avoidance of foreign exchange 
risk, and transparency, as it trades only in markets where exchange 
settlements are publicly disseminated. In order to ensure a high level 
of commodity diversification at each annual rebalance, the TAP strategy 
maintains certain

[[Page 38238]]

limits on amounts allocated to commodity groups.
    Each Index is rebalanced annually. Between rebalance dates, Index 
weights vary based on the performance of the commodity contract 
positions in each Index. On a monthly basis, each Index utilizes 
historical price trends to determine its positions and rolls its 
contracts to implement the new positions.
    Adaptive Index. According to the Registration Statement, by 
maintaining a long-bias, the Adaptive Index seeks to benefit from 
rising commodity markets while still affording flexibility to reduce 
its target investment exposure by half of the target weighting to 
certain individual commodities when appropriate. On a monthly basis, 
each commodity's weight in the Adaptive Index will be maintained or 
reduced after comparing the price of each commodity with its six-month 
simple moving average. If the price of a commodity is higher than its 
six-month simple moving average, the commodity is held at its target 
weight; conversely, if the price is below the six-month simple moving 
average, the commodity's weight is reduced by half.
    Long/Short Index. The Long/Short Index seeks to take advantage of 
the persistent trends in commodities prices, often referred to as 
``momentum.'' The central principle of a persistence or momentum 
investment process is that if the price of an asset is rising (or 
falling), it is expected to continue to do so. The Long/Short Index 
employs a momentum rule to determine if exposure to a particular 
constituent Commodity Futures contract should be held long or short (or 
``flat,'' in the case of petroleum-related commodities contracts, as 
described below).
    Whether a Long/Short Index position will be long or short (or flat) 
is currently determined on a monthly basis by comparing the price of 
each Commodity Futures contract to its six-month simple moving average. 
If the price of a commodity is higher than its six-month simple moving 
average, the commodity is assigned a long position; conversely, if the 
price is below the six-month simple moving average, it is assigned a 
short position. A long position will increase in market value if the 
price of the Commodity Futures is rising during the period when the 
position is open, whereas a short position will increase in market 
value if the price of the Commodity Futures is falling during the 
period when the position is open.
    The Long/Short Index is currently constructed such that, when the 
price of a petroleum-related Commodity Futures contract (e.g., WTI 
Crude, Brent Crude, Heating Oil, RBOB Gasoline or Gas Oil) is below its 
six-month simple moving average, the weight of that commodity is moved 
to the collateral portfolio (i.e., the position is ``flat''). The price 
of petroleum-related commodities historically have been extremely 
sensitive to geopolitical events and less driven by supply and demand 
imbalances; as such, holding flat positions in petroleum-related 
commodities could serve to protect the Long/Short Fund from losses 
arising from such geopolitical risks. A flat position in a petroleum-
related Commodity Futures contract will not provide futures market 
exposure to that contract.
    During transitions from long to short positions or vice versa, the 
Fund may temporarily hold both long and short positions on the same 
Commodity Futures contract. In accordance with the Long/Short Fund's 
``long/short'' commodity investment strategy, each Commodity Futures 
contract will be assigned a target weight and may be held in the 
portfolio as a long position or a short position (or flat position).
Composition of the Indexes
    Eligible Contracts. Listed below are the main categories of 
Commodity Futures contracts that are eligible to become components of 
each Index as of February 1, 2016. Each commodity may have several 
different types of individual Commodity Futures contracts (e.g., hard 
winter wheat and soft red wheat). The Commodity Subadviser has 
discretion over Commodity Futures contract selection and may choose 
from the available contract types. As noted above, each Fund will 
invest in Commodity Futures that are traded on both U.S. and non-U.S. 
exchanges. If the Commodity Futures in which a Fund will invest are 
listed on multiple exchanges, a Fund may invest in those contracts that 
are listed on the exchange with the greatest dollar volume traded in 
those contracts.

----------------------------------------------------------------------------------------------------------------
                                                                                        Trading hours (eastern
               Group                        Commodity           Primary exchange                time)
----------------------------------------------------------------------------------------------------------------
Energy.............................  WTI Crude Oil.........  New York Mercantile     09:00-14:30
                                                              Exchange.
                                     Brent Crude Oil.......  ICE Futures Europe....  20:00-18:00
                                     Gas Oil...............  ICE Futures Europe....  20:00-18:00
                                     Gasoline..............  New York Mercantile     09:00-14:30
                                                              Exchange.
                                     Heating Oil...........  New York Mercantile     09:00-14:30
                                                              Exchange.
                                     Natural Gas...........  New York Mercantile     09:00-14:30
                                                              Exchange.
Foods and Fibers...................  Cotton #2.............  ICE Futures US........  21:00-14:20
                                     Sugar #11.............  ICE Futures US........  03:30-13:00
                                     White Sugar...........  ICE Futures Europe....  03:45-12:55
                                     Coffee................  ICE Futures US........  04:15-13:30
                                     Cocoa.................  ICE Futures US........  04:45-13:30
Agriculture........................  Robusta Coffee........  ICE Futures Europe....  04:00-12:30
                                     Corn..................  Chicago Board of Trade  09:30-14:15
                                     Soybean Meal..........  Chicago Board of Trade  09:30-14:15
                                     Soybean Oil...........  Chicago Board of Trade  09:30-14:15
                                     Soybeans..............  Chicago Board of Trade  09:30-14:15
                                     Kansas City Wheat.....  Chicago Board of Trade  09:30-14:15
                                      Minneapolis Wheat....  Minneapolis Grain       20:00-14:30
                                                              Exchange.
                                     Wheat.................  Chicago Board of Trade  09:30-14:15
Base Metals........................  Aluminum..............  London Metal Exchange.  15:00-14:45
                                     Copper (LME)..........  London Metal Exchange.  15:00-14:45
                                     Copper (COMEX)........  Commodity Exchange,     08:01-13:00
                                                              Inc..
                                     Nickel................  London Metal Exchange.  15:00-14:45

[[Page 38239]]

 
                                     Zinc..................  London Metal Exchange.  15:00-14:45
                                     Lead..................  London Metal Exchange.  15:00-14:45
Precious Metals....................  Gold..................  COMEX.................  08:20-13:30
                                     Palladium.............  New York Mercantile     08:30-13:00
                                                              Exchange.
                                     Platinum..............  New York Mercantile     08:20-13:05
                                                              Exchange.
                                     Silver................  COMEX.................  08:30-13:00
Livestock..........................  Feeder Cattle.........  Chicago Mercantile      09:30-14:00
                                                              Exchange.
                                     Lean Hogs.............  Chicago Mercantile      09:30-14:00
                                                              Exchange.
                                     Live Cattle...........  Chicago Mercantile      09:30-14:00
                                                              Exchange.
----------------------------------------------------------------------------------------------------------------

    Index Composition. Listed below are the target weights for each 
commodity as of February 1, 2016. These target weights are the same for 
each Index.

------------------------------------------------------------------------
                                                            Composition
        Commodity group                 Commodity               (%)
------------------------------------------------------------------------
Energy.........................  WTI Crude Oil..........             9.3
                                 Brent Crude Oil........             9.4
                                 Natural Gas............             7.0
                                 Gas Oil................             3.2
                                 Heating Oil............             2.5
                                 Gasoline...............             3.6
                                                         ---------------
                                 .......................            35.0
Agriculture....................  Corn...................             3.8
                                 Kansas City Wheat......             0.7
                                 Minneapolis Wheat......             0.2
                                 Wheat..................             2.8
                                 Soybean Meal...........             2.4
                                 Soybean Oil............             1.1
                                 Soybeans...............             5.0
                                                         ---------------
                                 .......................            16.0
Livestock......................  Live Cattle............             7.0
                                 Feeder Cattle..........             2.0
                                 Lean Hogs..............             2.3
                                                         ---------------
                                 .......................            11.3
Foods and Fibers...............  Sugar #11..............             2.2
                                 Cocoa..................             1.0
                                 White Sugar............             0.2
                                 Robusta Coffee.........             0.3
                                 Coffee.................             1.8
                                 Cotton #2..............             1.5
                                                         ---------------
                                 .......................             7.0
Base Metals....................  Copper (LME)...........             7.1
                                 Copper (COMEX).........             1.4
                                 Aluminum...............             5.3
                                 Nickel.................             1.7
                                 Zinc...................             1.8
                                 Lead...................             0.9
                                                         ---------------
                                 .......................            18.2
Precious Metals................  Gold...................             8.8
                                 Silver.................             2.5
                                 Platinum...............             0.7
                                 Palladium..............             0.5
                                                         ---------------
                                 .......................            12.5
                                                         ===============
Total..........................  .......................           100.0
------------------------------------------------------------------------

Summary of Other Aspects Regarding the Conversion of the Funds
    As set forth in its respective Prior Release, each Fund is 
currently structured as a closed-end commodity pool. As part of the 
Conversion, each Fund plans to convert to an ETP structure, which 
requires an amendment to each Fund's Agreement and Declaration of Trust 
(with respect to each Fund, the ``Amendment,'' and collectively, the 
``Amendments''). Each

[[Page 38240]]

Fund's shareholders approved the respective Amendment at annual 
shareholder meetings in 2015. When executed, the Amendments will add to 
the Funds' legal structure the creation and redemption basket features 
described below, which the current versions of the Funds' governing 
documents do not include.
    After the Conversion: (i) Each Fund will remain a commodity pool, 
(ii) investors will own the same Shares as they did before the 
Conversion, and (iii) investors will continue to be able to buy and 
sell Shares on an exchange throughout each business day at then-
prevailing market prices. The Funds currently disclose portfolio 
holdings daily, and will continue to do so following the Conversions. 
However, following the Conversion, each Fund will issue and redeem 
Shares on a continuous basis through the creation/redemption process 
used by ETPs (as described below), which is intended to facilitate the 
trading of Shares at prices equal to or near their NAV.
    The Shares will be assigned new CUSIP numbers at the time of the 
Conversion. Moreover, as stated above, following the Conversions, the 
name of the Diversified Fund will change to the NuShares Gresham 
Adaptive Commodity ETF, and the name of the Long/Short Fund will change 
to the NuShares Gresham Long/Short Commodity ETF. The Funds are not 
currently, and after the Conversions will not be, mutual funds or any 
other type of investment company within the meaning of the Investment 
Company Act of 1940, as amended.
    In connection with the Conversions, the Manager intends to 
implement additional changes to both Funds that the Manager believes 
will better align the Funds' features with their newly-adopted ETP 
structure. The charts below summarize those changes.
Changes to Diversified Fund

------------------------------------------------------------------------
                                Before conversion     After conversion
------------------------------------------------------------------------
Fund name...................  Nuveen Diversified    NuShares Gresham
                               Commodity Fund.       Adaptive Commodity
                                                     ETF.
Ticker......................  CFD.................  GAC.
Distribution Policy.........  Pays regular monthly  Discontinue regular
                               distributions.        monthly
                                                     distributions.
Share Repurchases...........  Active share          Discontinue share
                               repurchase program.   repurchase Program.
Investment Strategy.........  Long-only commodity   Long-biased
                               strategy.             commodity strategy-
                                                     weightings
                                                     determined on a
                                                     monthly basis; if
                                                     the price of a
                                                     commodity contract
                                                     is higher than its
                                                     six-month simple
                                                     moving average, the
                                                     commodity contract
                                                     will be held at its
                                                     target weight;
                                                     conversely, if the
                                                     price is below the
                                                     six-month simple
                                                     moving average, the
                                                     commodity weight
                                                     will be reduced by
                                                     half.
                              Option writing        Discontinue option
                               program.              writing program.
                              Collateral invested   Collateral invested
                               in cash               in U.S. government
                               equivalents, U.S.     securities, with
                               government            terms not exceeding
                               securities and        one year, and cash
                               other short-term      equivalents.
                               high-grade debt
                               securities,
                               including corporate
                               debt, with terms
                               not exceeding one
                               year.
------------------------------------------------------------------------

Changes to Long/Short Fund

------------------------------------------------------------------------
                                Before conversion     After conversion
------------------------------------------------------------------------
Fund name...................  Nuveen Long/Short     NuShares Gresham
                               Commodity Total       Long/Short
                               Return Fund.          Commodity ETF.
Ticker......................  CTF.................  GLS.
Distribution Policy.........  Pays regular monthly  Discontinue regular
                               distributions.        monthly
                                                     distributions.
Share Repurchases...........  Active share          Discontinue share
                               repurchase Program.   repurchase Program.
Investment Strategy.........  Long/short commodity  Long/short commodity
                               futures strategy      futures strategy
                               based on the          based on the
                               Morningstar Long/     Gresham Long/Short
                               Short Commodity       Commodity Index.
                               Index.
                              Uses momentum-based   Long/short commodity
                               model to calculate    strategy--
                               12-month moving      Momentum-based model
                               price averages that   will employ shorter-
                               are used to           term moving
                               determine whether a   averages (such as 6-
                               commodity futures     months) to
                               position is held      determine whether a
                               long or short.        commodity futures
                                                     position in the
                                                     Index is held long
                                                     or short (or flat,
                                                     for petroleum-
                                                     related
                                                     commodities).
                                                    Weightings are
                                                     determined on a
                                                     monthly basis; if
                                                     the price of a
                                                     commodity contract
                                                     is higher than its
                                                     six-month simple
                                                     moving average, the
                                                     commodity is
                                                     assigned a long
                                                     position;
                                                     conversely, if the
                                                     price is below the
                                                     six-month simple
                                                     moving average, it
                                                     is assigned a short
                                                     position.
                              Will not short        Will not short
                               energy futures-if     petroleum-based
                               model signals to      futures-if model
                               short energy          signals to short
                               futures, positions    petroleum-based
                               will instead be       futures, positions
                               held ``flat''         will instead be
                               (i.e., in cash).      held ``flat''
                                                     (i.e., in cash).
                              Option writing        Discontinue option
                               program.              writing program.
                              Collateral invested   Collateral invested
                               in cash               in short-term U.S.
                               equivalents, U.S.     government
                               government            securities and cash
                               securities and        equivalents.
                               other short-term
                               high-grade debt
                               securities,
                               including corporate
                               debt, with terms
                               not exceeding one
                               year.
------------------------------------------------------------------------

    The Manager will announce in advance the expected effective date of 
the Conversions via press releases and Form 8-K filings. Those press 
releases also will include a summary of changes to the Funds that will 
occur in

[[Page 38241]]

connection with the Conversions. The Exchange will also issue a notice 
to members approximately 10 days prior to the date of effectiveness of 
the Conversion, and another notice to members on the business day prior 
to the date Shares of the Funds will trade under the new CUSIP.
    The Manager expects that the Conversions will have the effect of 
further narrowing the discount in each Fund's Share price as compared 
to its NAV.
Creation and Redemption of Shares
    Following the Conversion, the Funds will issue and redeem Shares in 
``Baskets'' of 50,000 Shares each on a continuous basis to ``Authorized 
Participants'' in exchange for cash equal to the total value of the 
futures contracts, cash and collateral assets (i.e., cash equivalents) 
that comprise one Basket (``Basket Amount''). Similarly, an Authorized 
Participant is entitled to receive the corresponding Basket Amount in 
exchange for each Basket surrendered for redemption. The Basket 
represents one Creation Unit of a Fund. Except when aggregated in 
Baskets, the Shares are not redeemable securities of a Fund. The size 
of a Basket will be subject to change.
    Only Authorized Participants may place orders to create and redeem 
Baskets. An ``Authorized Participant'' must (1) be a registered broker-
dealer or other securities market participant, such as a bank or other 
financial institution exempt from registration as a broker-dealer to 
engage in securities transactions, (2) be a participant in The 
Depository Trust Company (``DTC''), and (3) have entered into a 
Participant Agreement. The Participant Agreement sets forth the 
procedures for the creation and redemption of Baskets and for the 
delivery of the Basket Amount required for such creations or 
redemptions. The Manager will have engaged at least two market 
participants to act as Authorized Participants with respect to the 
Funds prior to completing the Conversions.
    Authorized Participants may sell the individual Shares included in 
the Baskets and purchased from each Fund to other investors on the 
Exchange. Otherwise, Shares will not be individually redeemable. To 
redeem, an investor must accumulate enough Shares to constitute a 
Creation Unit. Redemption orders must be placed by or through an 
Authorized Participant.
    The Manager expects that purchasers of Creation Units will include 
institutional investors and arbitrageurs and that secondary market 
purchasers of Shares will include both institutional investors and 
retail investors. The Manager also expects that the price at which 
Shares of each Fund trade will be disciplined by arbitrage 
opportunities created by the option to continually purchase or redeem 
Creation Units at their NAV. The Manager believes that a conversion 
from the current closed-end structure to one that utilizes a creation/
redemption process will serve to reduce the Shares' discount to NAV, to 
the benefit of current shareholders.
    On any business day that NYSE MKT is open for regular trading, an 
Authorized Participant may place an order with the Transfer Agent to 
create one or more Baskets. Creation orders must be placed by 10:00 
a.m., Eastern time. The creation order date is the day on which the 
Transfer Agent receives an order in proper form to purchase the Shares 
in one or more Baskets. The day on which a creation order is settled is 
the creation order settlement date. The creation order settlement date 
may occur up to 3 business days after the creation order date.
    The total cash payment required to create each Basket is equal to 
the NAV of 50,000 Shares of a Fund as of the closing time of the NYSE 
MKT on the creation order date. Because orders to purchase Baskets must 
be placed by 10:00 a.m., Eastern time, but the total payment required 
to create a Basket will not be determined until 4:00 p.m., Eastern 
time, on the date the creation order is received, Authorized 
Participants will not know the total amount of the payment required to 
create a Basket at the time they submit the creation order for the 
Basket.\19\
---------------------------------------------------------------------------

    \19\ ETPs that invest in commodity contracts traded on the LME 
commonly adopt an order cut-off time prior to the close of regular 
trading on the LME (5 p.m., London time, or 12 p.m. Eastern time) in 
order to permit sufficient time to conduct necessary trading on the 
LME in response to creation and redemption activity. See, e.g., 
PowerShares DB Commodity Index Tracking Fund (DBC) (order cut-off 
time of 10:00 a.m., Eastern time) and United State Commodity Index 
Fund (USCI) (order cut-off time of the earlier of 10:30 a.m., 
Eastern time, or the close of regular trading on the NYSE Arca). 
Although Authorized Participants who place creation or redemption 
orders are exposed to market movements until the ETPs' NAV is struck 
(typically, 4 p.m., Eastern time), they are able to hedge their 
exposure such that they are willing and able to engage in creation 
and redemption activity for the purpose of capturing arbitrage 
opportunities.
---------------------------------------------------------------------------

    The procedures by which an Authorized Participant can redeem one or 
more Baskets mirror the procedures for the creation of Baskets.
    The redemption proceeds from each Fund consist of the cash 
redemption amount. The cash redemption amount is equal to the NAV of 
the number of Basket(s) of a Fund requested in the Authorized 
Participant's redemption order as of the closing time of the NYSE MKT 
or the last to close of the exchanges on which its futures contracts 
are traded, whichever is later, on the redemption order date. The 
Manager will distribute the cash redemption amount at the redemption 
order settlement date as of 2:45 p.m., Eastern time, on the redemption 
order settlement date through DTC to the account of the Authorized 
Participant as recorded on DTC's book-entry system.
    The redemption proceeds due from each Fund are delivered to the 
Authorized Participant at 2:45 p.m., Eastern time, on the redemption 
order settlement date if, by such time, a Fund's DTC account has been 
credited with the Baskets to be redeemed. If a Fund's DTC account has 
not been credited with all of the Baskets to be redeemed by such time, 
the redemption distribution is delivered to the extent of whole Baskets 
received.
    For either Fund, the Manager may, in its discretion, suspend the 
right of redemption, or postpone the redemption order settlement date, 
for (1) any period during which an emergency exists as a result of 
which the redemption distribution is not reasonably practicable, or (2) 
such other period as the Manager determines to be necessary for the 
protection of the shareholders.
    Shareholders who are not Authorized Participants will have no right 
to purchase or redeem their Shares directly from or to the Funds. 
Instead, such shareholders will continue to have the ability to 
purchase or sell their Shares on an exchange.
Net Asset Value
    According to the Registration Statement, a Fund's NAV is calculated 
as of the close of the exchange on which it trades, on each day that 
such exchange is open. NAV per Share is computed by dividing the value 
of all assets of a 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. Each 
Fund publishes its NAV on its Web site on a daily basis, rounded to the 
nearest cent.
    For purposes of determining the NAV of a Fund, portfolio 
instruments will be valued using prices provided primarily by 
independent pricing services approved by the Manager. A Fund's 
Commodity Futures generally will be valued at their final settlement 
price, if available, as determined by the principal exchange on which 
they are traded. Non-exchange traded instruments pledged as collateral 
will generally be valued using prices provided by independent pricing

[[Page 38242]]

services, or prices may be obtained from other sources, such as broker-
dealer quotations. Independent pricing services typically value non-
exchange traded instruments using a range of market-based inputs and 
assumptions. For example, when available, pricing services may utilize 
inputs such as benchmark yields, reported trades, broker-dealer quotes, 
spreads, and transactions for comparable instruments. In pricing 
certain instruments, the pricing services may consider information 
about an instrument's issuer or market activity provided by the 
Manager. Independent pricing service valuations of non-exchange traded 
instruments represent the service's good faith opinion as to what the 
holder of an instrument would receive in an orderly transaction for an 
institutional round lot position under current market conditions. It is 
possible that these valuations could be materially different from the 
value that a Fund realizes upon the sale of an instrument.
    If the pricing services are unable to price an instrument, if the 
Manager deems the pricing services valuation to be unreliable, or if a 
significant event occurs such that the valuation provided is deemed 
unreliable, a Fund may value portfolio instruments(s) at their fair 
value, which is generally the amount that a Fund might reasonably 
expect to receive upon the current sale or closing of a position. The 
fair value of an instrument is based on the Manager's good faith 
judgment and may differ from subsequent quoted or published prices. For 
example, events may occur after the close of the relevant market but 
prior to the time as of which a Fund's NAV is calculated, which 
materially impact the instrument's value, and the fair value on a given 
day would take such events into account.
Availability of Information Regarding the Shares
    The Web site for the Funds, http://www.nuveen.com/CommodityInvestments, will be publicly accessible at no charge and, 
following the Conversion, will contain the following information for 
each Fund, updated daily: (a) The prior business day's NAV and the 
reported closing price or mid-point of the bid/ask spread at the time 
of calculation of such NAV (the ``Bid/Ask Price'') \20\; (b) 
calculation of the premium or discount of the closing price or Bid/Ask 
Price against the NAV; (c) data in chart format displaying the 
frequency of the discounts and premiums of the daily closing price or 
Bid/Ask Price against the NAV, within appropriate ranges, for each of 
the four previous calendar quarters; (d) the prospectus; and (e) other 
applicable quantitative information.
---------------------------------------------------------------------------

    \20\ The Bid/Ask Price of the Funds' Shares will be determined 
using the midpoint of the highest bid and the lowest offer on the 
Exchange as of the time of calculation of a Fund's NAV. The records 
relating to Bid/Ask Prices will be retained by the Funds and their 
service providers.
---------------------------------------------------------------------------

    After the Conversion, on each business day before commencement of 
trading in Shares on the Exchange, each Fund will disclose on its Web 
site the Disclosed Portfolio that will form the basis for a Fund's 
calculation of NAV at the end of the business day.\21\
---------------------------------------------------------------------------

    \21\ Under accounting procedures followed by the Funds, trades 
made on the prior business day (``T'') will be booked and reflected 
in NAV on the current business day (``T+1''). Accordingly, the Funds 
will be able to disclose at the beginning of the business day the 
portfolio that will form the basis for the NAV calculation at the 
end of the business day.
---------------------------------------------------------------------------

    Each Fund's portfolio holdings (as of the previous day's close) 
will also be disclosed and updated on the Funds' Web site on each 
business day that the Exchange is open for trading. Such disclosure of 
the Funds' portfolio holdings will include, as applicable to the type 
of holding: Ticker symbol, name or other identifier, if any; a 
description of the holding (including the type of holding, such as the 
type of futures contract); the identity of the security, commodity or 
other asset or instrument underlying the holding, if any; quantity held 
(as measured by, for example, par value, notional value or number of 
shares, contracts or units); maturity date, if any; effective date, if 
any; market value of the holding; and the percentage weighting of the 
holding in a Fund's portfolio. The values of each Fund's portfolio 
holdings will, in each case, be determined in accordance with the 
Funds' valuation policies.
    The daily settlement prices for the Commodity Futures contracts 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. The Exchange represents that futures 
quotes and last sale information for the commodity contracts are widely 
disseminated through a variety of market data vendors worldwide, 
including Bloomberg and Reuters. In addition, the Exchange further 
represents that complete real-time data for such futures is available 
by subscription from Reuters and Bloomberg. The relevant futures 
exchanges also provide delayed futures contract information on current 
and past trading sessions and market news free of charge on their 
respective Web sites. The contract specifications for the futures 
contracts are also available from the futures exchanges on their Web 
sites as well as other financial informational sources.
    Information regarding market price and trading volume of the Shares 
will be continually available on a real-time basis throughout the day 
on brokers' computer screens and other electronic services. Quotation 
and last sale information for the Shares will be available via the 
Consolidated Tape Association (``CTA'') high-speed line. Price 
information for Collateral will be available from major market data 
vendors. In addition, the Intraday Indicative Value (``IIV'') \22\ will 
be widely disseminated at least every 15 seconds during trading on the 
Exchange by one or more major market data vendors.\23\ The 
dissemination of the IIV, together with the Disclosed Portfolio, will 
allow investors to determine the value of the underlying portfolio of a 
Fund and provide a close estimate of that value throughout the trading 
day. In addition, a Basket composition file, which includes the names 
and weights of the instruments required to be delivered in exchange for 
a Fund's Basket, together with estimates and actual cash components, 
will be publicly disseminated daily prior to the opening of the 
Exchange.
---------------------------------------------------------------------------

    \22\ The IIV is an approximate per Share value of a Fund's 
portfolio holdings, which is disseminated every fifteen seconds 
throughout the trading day by one or more market data vendors. The 
IIV will be based on the current market value of a Fund's Disclosed 
Portfolio. The IIV does not necessarily reflect the precise 
composition of the current portfolio holdings of a Fund at a 
particular point in time. The IIV should not be viewed as a ``real-
time'' update of the NAV of a Fund because the approximate value may 
not be calculated in the same manner as the NAV. The quotations for 
certain investments may not be updated during U.S. trading hours if 
such holdings do not trade in the U.S., except such quotations may 
be updated to reflect currency fluctuations.
    \23\ It is the Exchange's current understanding that several 
major market data vendors display and/or make widely available IIVs 
taken from CTA or other data feeds.
---------------------------------------------------------------------------

    As described above, the NAV for each Fund will be calculated and 
disseminated daily. The Manager has represented to the Exchange that 
the NAV and all portfolio holdings 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 held by 
the Funds 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

[[Page 38243]]

will provide a hyperlink on its Web site to the Funds' Web site.
    As noted above, the NAV of each Fund will be calculated once each 
trading day shortly after 4:00 p.m. ET. The NAV will be disclosed on 
the Funds' Web site and the Exchange's Web site.
Criteria for Continued Listing
    The Funds will be subject to the criteria in Rule 1602 for 
continued listing of the Shares. A minimum of 100,000 Shares of a Fund 
will be required to be outstanding at the start of trading upon such 
Fund's Conversion. The Exchange believes that the anticipated minimum 
number of shares outstanding at the start of trading upon the 
Conversions is sufficient to provide adequate market liquidity and to 
further each Fund's objectives. Each Fund has represented to the 
Exchange in its Prior Release, and continues to represent here, that, 
for continued listing of the Shares, it will be in compliance with 
Section 803 of the NYSE MKT Company Guide (Independent Directors and 
Audit Committee) and Rule 10A-3 under the Act.\24\
---------------------------------------------------------------------------

    \24\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to NYSE MKT Rules governing the 
trading of equity securities, including, among others, rules governing 
priority, parity and precedence of orders, DMM responsibilities and 
account opening and customer suitability (NYSE MKT Rule 405).
    Shares of each Fund will trade on the Exchange until 4 p.m. ET each 
business day and will trade in the minimum price variants established 
under NYSE MKT Rule 62. Trading rules pertaining to odd-lot trading in 
NYSE MKT equities (NYSE MKT Rule 124) will also apply.
    The Exchange states that NYSE MKT Rule 15A 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 MKT Equities Rule 1604.
    According to NYSE MKT Rule 1602, trading in Shares of a Fund will 
be halted if the circuit breaker parameters of NYSE MKT Rule 80B have 
been reached. In addition, 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: (a) The extent to 
which trading is not occurring in the underlying futures contracts; or 
(b) 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 or by the halt or suspension of the trading of the 
underlying futures contracts.
    In exercising its discretion to halt or suspend trading in the 
Shares, the Exchange may consider all factors, such as those set forth 
in NYSE MKT Rule 953NY(a), in addition to other factors that also 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.
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 associated 
with trading this type of security. Specifically, the Circular, among 
other things, will discuss: (i) What the Shares are; (ii) NYSE MKT Rule 
405, which imposes a duty on member organizations to have a reasonable 
basis to believe that a customer is suitable for the particular 
investment prior to recommending to customers transactions in the 
Shares; (iii) the procedures for purchases and redemptions of Shares in 
Baskets (and that Shares are not individually redeemable); (iv) how 
information regarding the IIV and the Disclosed Portfolio is 
disseminated; (v) the requirement that members and member firms deliver 
a prospectus to investors purchasing newly issued Shares prior to or 
concurrently with the confirmation of a transaction; (vi) applicable 
NYSE MKT rules; and (vii) trading information.
    The Circular will also explain that each Fund is subject to various 
fees and expenses described in its Registration Statement. The Circular 
will also reference the fact that there is no regulated source of last 
sale information regarding physical commodities and the respective 
jurisdictions of the Commission and CFTC over the trading of physical 
commodities.
    The Circular will also discuss any exemptive, no-action and 
interpretive relief granted by the Commission or the staff from any 
rules under the Act. The Circular will disclose that the NAV for Shares 
will be calculated shortly after 4:00 p.m. ET each trading day.
Surveillance
    The Exchange represents that, upon conversion of the Funds, trading 
in the Shares will be subject to the existing trading surveillances 
administered by the Exchange, as well as cross-market surveillances 
administered by the Financial Industry Regulatory Authority (``FINRA'') 
on behalf of the Exchange, which are designed to detect violations of 
Exchange rules and applicable federal securities laws.\25\ 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 federal securities laws 
applicable to trading on the Exchange.
---------------------------------------------------------------------------

    \25\ FINRA conducts cross-market surveillances on behalf of the 
Exchange pursuant to a regulatory services agreement. The Exchange 
is responsible for FINRA's performance under this regulatory 
services agreement.
---------------------------------------------------------------------------

    The surveillances referred to above generally focus on detecting 
securities trading outside their normal patterns, which could be 
indicative of manipulative or other violative activity. 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 or FINRA, on behalf of the Exchange, or both, will 
communicate as needed regarding trading in the Shares and Commodity 
Futures with other markets that are members of the ISG, and the 
Exchange or FINRA on behalf of the Exchange, or both, may obtain 
trading information regarding trading in the Shares and Commodity 
Futures from such markets. In addition, the Exchange may obtain 
information regarding trading in the Shares and Commodity Futures from 
markets that are members of ISG or with which the Exchange has in place 
a comprehensive surveillance sharing agreement.\26\
---------------------------------------------------------------------------

    \26\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Disclosed Portfolio may trade on markets that are members of ISG or 
with which the Exchange has in place a comprehensive surveillance 
sharing agreement.
---------------------------------------------------------------------------

    Not more than 10% of the net assets of a Fund, in the aggregate, 
shall consist of futures contracts whose principal market is not a 
member of the ISG or a market with which the Exchange has in

[[Page 38244]]

place a comprehensive surveillance sharing agreement.
    The Exchange also has a general policy prohibiting the distribution 
of material, non-public information by its employees.
    All statements and representations made in this filing regarding 
(a) the description of the portfolio, (b) limitations on portfolio 
holdings or reference assets, or (c) the applicability of Exchange 
rules and surveillance procedures shall constitute continued listing 
requirements for listing the Shares on the Exchange.
    The issuer has represented to the Exchange that it will advise the 
Exchange of any failure by the Funds to comply with the continued 
listing requirements, and, pursuant to its obligations under Section 
19(g)(1) of the Act, the Exchange will monitor for compliance with the 
continued listing requirements. If the Funds are not in compliance with 
the applicable listing requirements, the Exchange will commence 
delisting procedures under Sections 1001 through 1010 of the NYSE MKT 
Company Guide.
    Except for the changes noted above, all other facts presented and 
representations made in the Prior Releases are unchanged.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \27\ 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.
---------------------------------------------------------------------------

    \27\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule amendments to NYSE MKT 
Rules 1600 et seq. 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. 
The Conversions will be made in a fair an orderly manner, as each Fund 
largely will be structured following its Conversion in the same way as 
it was before its Conversion: It will remain a commodity pool; 
shareholders will continue to own the same Shares of a Fund as they 
owned prior to the Conversion (i.e., there is no forced redemption of 
currently outstanding Shares, which will continue to be listed and 
traded on the Exchange); and shareholders will continue to be able to 
buy and sell Shares of each Fund on the Exchange throughout each 
business day at then prevailing market prices.
    The Exchange believes that the Conversion is consistent with the 
Act in that the only significant change in the operation of the Funds 
from that described in the Prior Releases is that each Fund will issue 
and redeem Shares using a creation/redemption process. The shareholders 
of each Fund have approved each Fund's Conversion. Prior to the date of 
the Conversions, the Manager expects to engage multiple Authorized 
Participants with respect to the Funds, which the Manager believes will 
increase the trading volume of the Shares, and reduce the Shares' 
discount to NAV. The Manager represents that it believes that, by 
converting each Fund into an ETP structure that utilizes a creation/
redemption process, Shares of each Fund are likely to trade at prices 
equal to or near NAV. The Manager also expects that the price at which 
Shares trade will be disciplined by arbitrage opportunities created by 
the option to continually purchase or redeem Creation Units at their 
NAV. The Manager believes that there will be a positive impact to this 
arbitrage mechanism as a result of the conversion from a closed-end 
structure to one that implements a creation and redemption process, and 
that investors in the Funds' Shares will benefit from the increased 
likelihood of a closer alignment between the Funds' Share prices and 
their NAV. Moreover, the proposed amendments to the definition of Trust 
Units in NYSE MKT Rule 1600(b) to provide for continuous issuance and 
redemption, the addition of requirements relating to the Disclosed 
Portfolio in NYSE MKT Rule 1600(b)(iii) and the IIV in NYSE MKT Rule 
1600(b)(iv), would provide an additional level of transparency and 
enhanced pricing information for Trust Units comparable to requirements 
applicable to certain other ETPs, such as Managed Fund Shares.
    Proposed Commentary .04 to Rule 1600 would provide that, if an 
issuer's adviser is affiliated with a broker- dealer, the broker-dealer 
shall erect a ``fire wall'' around the personnel who have access to 
information concerning changes and adjustments to the Disclosed 
Portfolio. The proposed amendments to Rule 1602(a)(ii) will provide 
that the Exchange will obtain a representation from the issuer of each 
series of Trust Units that the Disclosed Portfolio as well as the NAV 
will be made available to all market participants at the same time. 
Rule 1602(b)(ii) will provide for trading halt procedures comparable to 
those applied to certain other ETPs, including if the circuit breaker 
parameters have been reached or if the Disclosed Portfolio, the NAV per 
Share, or the IIV are not being disseminated as required. Proposed new 
Rule 1602(b)(iii) would provide that each series of Trust Units will be 
listed and/or traded subject to application of specified continued 
listing criteria, including that the IIV for shares will be widely 
disseminated by one or more major market data vendors at least every 15 
seconds during the time when the Trust Units trade on the Exchange, 
that the Disclosed Portfolio will be disseminated at least once daily 
and will be made available to all market participants at the same time; 
and that the Reporting Authority that provides the Disclosed Portfolio 
must implement and maintain, or be subject to, procedures designed to 
prevent the use and dissemination of material, non-public information 
regarding the actual components of the portfolio. The text of NYSE MKT 
Rule 1603 would be deleted because it is obsolete, as described above. 
The proposed amendments to Rule 1605 would make clearer the financial 
instruments that would be covered by the rule's limitation of liability 
provisions.
    With respect to the Shares, the proposed rule changes are designed 
to promote just and equitable principles of trade and to protect 
investors and the public interest. The Shares will be listed and traded 
on the Exchange pursuant to the initial and continued listing criteria 
in Rules 1600 et seq. All of the commodity futures contracts in which 
the Funds will invest will be traded on regulated exchanges. The Funds 
will not invest in options on commodity futures contracts, 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 regarding 
trading in the Shares and Commodity Futures from markets that are 
members of ISG or with which the Exchange has in place a comprehensive 
surveillance sharing agreement. Not more than 10% of the net assets of 
a Fund, in the aggregate, shall consist of futures contracts whose 
principal market is not a member of the ISG or a market with which the 
Exchange has in place a comprehensive surveillance sharing agreement.
    The daily settlement prices of the futures contracts held by the 
Funds are readily available from the Web sites of the relevant futures 
exchanges,

[[Page 38245]]

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 Funds' Web site will 
display each Fund's daily NAV. An up-to-date value for each Fund's 
respective Index will be available through Bloomberg and other market 
data vendors every 15 seconds. The Funds' portfolio holdings will be 
disclosed on the Funds' Web site daily after the close of trading on 
the Exchange and prior to the opening of trading on the Exchange the 
following day. Each of the Manager, SG, the Commodity Subadviser, and 
the Collateral Subadviser 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 instruments 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 Subadviser, the Collateral Subadviser, any 
subadviser 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.
    Each issuer of Shares has represented that the NAV per Share will 
be calculated daily and that the NAV and the Disclosed Portfolio will 
be made available to all market participants at the same time. In 
addition, a large amount of information is (and after the Conversion, 
will continue to be) publicly available regarding the Funds and the 
Shares, thereby promoting market transparency. Moreover, the IIV 
applicable to each Fund will be widely disseminated by one or more 
major market data vendors at least every 15 seconds during the time 
when the Funds trade on the Exchange. On each business day, before 
commencement of trading in Shares on the Exchange, each Fund will 
disclose on its Web site the Disclosed Portfolio that will form the 
basis for that Fund's calculation of NAV at the end of the business 
day. Information regarding market price and trading volume of the 
Shares will be continually available on a real-time basis throughout 
the day on brokers' computer screens and other electronic services. The 
Web site for the Funds will include the prospectus for each Fund and 
additional data relating to NAV and other applicable quantitative 
information. Moreover, as discussed previously, the Exchange will 
inform its member organizations in an Information Circular of the 
special characteristics and risks associated with trading the Shares 
prior to the commencement of trading.
    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 continued listing and 
trading of additional types of actively managed ETPs 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 in place a comprehensive surveillance sharing agreement. 
In addition, as noted above, investors will have ready access to 
information regarding each Fund's holdings, the IIV, the Disclosed 
Portfolio, 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 purpose of the Act. The Exchange notes that the 
proposed rule change will facilitate the continued listing and trading 
of an additional type of ETP and that will enhance competition among 
market participants, to the benefit of investors and the marketplace.

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

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-NYSEMKT-2016-58 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEMKT-2016-58. 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 Room, 100 F Street NE., 
Washington, DC 20549, on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of such filing will also be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-NYSEMKT-2016-58 and should 
be submitted on or before July 5, 2016.


[[Page 38246]]


    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\28\
---------------------------------------------------------------------------

    \28\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-13821 Filed 6-10-16; 8:45 am]
 BILLING CODE 8011-01-P


