
[Federal Register Volume 82, Number 159 (Friday, August 18, 2017)]
[Notices]
[Pages 39477-39484]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-17433]



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



SECURITIES AND EXCHANGE COMMISSION



[Release No. 34-81388; File No. SR-NYSEArca-2017-69]




Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 

of Proposed Rule Change To List and Trade Shares of ProShares QuadPro 

Funds Under NYSE Arca Equities Rule 8.200



August 14, 2017.

    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 

1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 

given that, on July 31, 2017, NYSE Arca, Inc. (the ``Exchange'' or 

``NYSE Arca'') filed with the Securities and Exchange Commission (the 

``Commission'') the proposed rule change as described in Items I and II 

below, which Items have been prepared by the self-regulatory 

organization. The Commission is publishing this notice to solicit 

comments on the proposed rule change from interested persons.

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



    \1\ 15 U.S.C. 78s(b)(1).

    \2\ 15 U.S.C. 78a.

    \3\ 17 CFR 240.19b-4.

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



I. Self-Regulatory Organization's Statement of the Terms of Substance 

of the Proposed Rule Change



    The Exchange proposes to list and trade shares of the following 

under Commentary .02 to NYSE Arca Equities Rule 8.200 (``Trust Issued 

Receipts''): ProShares QuadPro U.S. Large Cap Futures Long Fund; 

ProShares QuadPro U.S. Large Cap Futures Short Fund; ProShares QuadPro 

U.S. Small Cap Futures Long Fund; and ProShares QuadPro U.S. Small Cap 

Futures Short Fund. 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 list and trade shares (``Shares'') of the 

following under Commentary .02 to NYSE Arca Equities Rule 8.200, which 

governs the listing and trading of Trust Issued Receipts (``TIRs'') 

\4\: ProShares QuadPro U.S. Large Cap Futures Long Fund; ProShares 

QuadPro U.S. Large Cap Futures Short Fund; ProShares QuadPro U.S. Small 

Cap Futures Long Fund; and ProShares QuadPro U.S. Small Cap Futures 

Short Fund (each a ``Fund'' and, collectively, the ``Funds'').\5\

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



    \4\ Commentary .02 to NYSE Arca Equities Rule 8.200 applies to 

TIRs that invest in ``Financial Instruments.'' The term ``Financial 

Instruments,'' as defined in Commentary .02(b)(4) to NYSE Arca 

Equities Rule 8.200, means any combination of investments, including 

cash; securities; options on securities and indices; futures 

contracts; options on futures contracts; forward contracts; equity 

caps, collars and floors; and swap agreements.

    \5\ The Trust is registered under the Securities Act of 1933. On 

May 8, 2017, the Trust filed with the Commission a registration 

statement on Form S-1 under the Securities Act of 1933 (15 U.S.C. 

77a) (``Securities Act'') relating to the Funds (File No. 333-

217767) (the ``Registration Statement''). The description of the 

operation of the Trust and the Funds herein is based, in part, on 

the Registration Statement.

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



    Each of the Funds is a commodity pool that is a series of the 

ProShares Trust II (``Trust''). The Funds' sponsor and commodity pool 

operator is ProShare Capital Management LLC (the ``Sponsor''). Brown 

Brothers Harriman & Co. is the Administrator, the Custodian and the 

Transfer Agent of each Fund and its Shares. SEI Investments 

Distribution Co. (``SEI'' or ``Distributor'') is the distributor for 

the Funds' Shares.

Principal Investment Strategies of the Funds

ProShares QuadPro U.S. Large Cap Futures Long Fund and ProShares 

QuadPro U.S. Large Cap Futures Short Fund (``Large Cap Futures Funds'')

    According to the Registration Statement, the Large Cap Futures 

Funds will seek results that correspond (before fees and expenses) to 

four times (i.e., 4x) or four times the inverse (i.e., -4x), 

respectively, of the return of Lead Month E-Mini S&P 500 Stock Price 

Index Futures (``Large Cap Benchmark'' or ``Benchmark'') for a single 

day.\6\ A ``single day'' is measured from the time a Fund calculates 

its net asset value (``NAV'') to the time of a Fund's next NAV 

calculation.

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



    \6\ The Large Cap Benchmark is the price on the Chicago 

Mercantile Exchange (``CME'') of lead month (i.e., near-month or 

next-to-expire) E-Mini S&P 500 Stock Price Index Futures Contracts. 

Specifically, the Benchmark is the last traded price of such 

contracts on the CME prior to the calculation of the Fund's net 

asset value (``NAV''), which is typically calculated as of 4:00 p.m. 

each day NYSE Arca is open for trading. The S&P 500 Index is a 

float-adjusted, market capitalization-weighted index of 500 U.S. 

operating companies and real estate investment trusts selected 

through a process that factors in criteria such as liquidity, price, 

market capitalization and financial viability. The CME Group is a 

member of the Intermarket Surveillance Group (``ISG''). See note 20 

[sic], infra.

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



    Under normal market conditions,\7\ each Large Cap Futures Fund will 

attempt to gain leveraged or inverse leveraged exposure, as applicable, 

to the Large Cap Benchmark primarily through investments in Lead Month 

E-Mini S&P 500 Stock Price Index Futures.\8\ Each Large Cap Futures 

Fund also may take positions in standard futures contracts on the S&P 

500 Index (together with Lead Month E-Mini S&P 500 Stock Price Index 

Futures, ``Large Cap Futures Contracts''). The ProShares QuadPro U.S. 

Large Cap Futures Long Fund will



[[Page 39478]]



seek to achieve substantially all of this exposure by taking ``long'' 

positions in Large Cap Futures Contracts. Conversely, the ProShares 

QuadPro U.S. Large Cap Futures Short Fund will seek to achieve 

substantially all of this exposure by taking ``short'' positions in 

Large Cap Futures Contracts.\9\

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



    \7\ The term ``normal market conditions'' includes, but is not 

limited to, the absence of trading halts in the applicable financial 

markets generally; operational issues (e.g., systems failure) 

causing dissemination of inaccurate market information; or force 

majeure type events such as natural or manmade disaster, act of God, 

armed conflict, act of terrorism, riot or labor disruption or any 

similar intervening circumstance.

    \8\ According to the Registration Statement, an ``e-mini futures 

contract'' is an electronically traded futures contract that 

provides similar exposure, but with a lower dollar value, than a 

standard futures contract. In addition, because of their lower 

dollar value, e-mini futures contracts may permit the Funds to 

maintain exposure more precisely in line with their current asset 

levels. The dollar volume traded of e-mini futures contracts on the 

S&P 500 Index far exceeds the dollar volume traded of standard 

futures contracts on the S&P 500 Index. For example, during the 

first quarter of 2017, the average daily volume--weighted average 

price (``VWAP'') of e-mini futures contracts on the S&P 500 Index 

was $167.5 billion while the average daily VWAP for standard 

contracts during the same period was $306 million.

    \9\ In general terms, to be ``long'' means to hold or have long 

exposure to an asset in order to benefit from increases in the value 

of such asset; to be ``short'' means to sell or have short exposure 

to an asset in order to benefit from decreases in the value of such 

asset.

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



    According to the Registration Statement, each Large Cap Futures 

Fund will seek to engage in daily rebalancing to position its portfolio 

so that its leveraged or inverse exposure to the Large Cap Benchmark is 

consistent with such Fund's daily investment objective. The impact of 

the Large Cap Benchmark's movements during the day will affect whether 

a particular Fund's portfolio needs to be repositioned. For example, if 

the Large Cap Benchmark underlying the ProShares QuadPro U.S. Large Cap 

Futures Short Fund has risen on a given day, net assets of such Fund 

should fall. As a result, such Fund's inverse exposure will need to be 

decreased. Conversely, if the Large Cap Benchmark underlying such Fund 

has fallen on a given day, net assets of such Fund should rise. As a 

result, the Fund's inverse exposure will need to be increased. For the 

ProShares QuadPro U.S. Large Cap Futures Long Fund, such Fund's long 

exposure will need to be increased on days when the Large Cap Benchmark 

rises and decreased on days when the Large Cap Benchmark falls. Daily 

rebalancing and the compounding of each day's return over time means 

that the return of each Fund for a period longer than a single day will 

be the result of each day's returns compounded over the period, which 

will very likely differ from four times (4x) or four times the inverse 

(-4x), as applicable, of the return of a Fund's Benchmark for the same 

period.

    According to the Registration Statement, in the event position, 

price or accountability limits are reached with respect to Futures 

Contracts, the Sponsor, in its commercially reasonable judgment, may 

cause each Fund to obtain exposure to the Large Cap Benchmark through 

investment in swap transactions and forward contracts referencing such 

Benchmark (``Large Cap Financial Instruments'').\10\ The Funds may also 

invest in Large Cap Financial Instruments if the market for a specific 

Futures Contract experiences emergencies (e.g., natural disaster, 

terrorist attack or an act of God) or disruptions (e.g., a trading halt 

or a flash crash) that prevent or make it impractical for a Fund from 

obtaining the appropriate amount of investment exposure using Futures 

Contracts (i.e., conditions other than normal market conditions). The 

Funds do not intend to invest more than 25% of their respective net 

assets in Large Cap Financial Instruments.

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



    \10\ Each Fund may use various techniques to minimize credit 

risk. The Sponsor regularly reviews the performance of its 

counterparties for, among other things, creditworthiness and 

execution quality. In addition, the Sponsor periodically considers 

the addition of new counterparties. The Funds will seek to mitigate 

these risks in connection with the uncleared over-the-counter 

(``OTC'') swaps and uncleared OTC forwards by generally requiring 

that the counterparties for each Fund agree to post collateral for 

the benefit of the Fund, marked to market daily, subject to certain 

minimum thresholds; however, there are no limitations on the 

percentage of its assets each Fund may invest in swap agreements or 

forwards with a particular counterparty.

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



    According to the Registration Statement, because each Fund will 

seek results that correspond to four times the performance or four 

times the inverse, as applicable, of the Large Cap Benchmark for a 

single day, an adverse Large Cap Benchmark move of 25 percent or more 

could cause the NAV of a Fund to decline to zero and investors in a 

Fund to lose the full value of their investment. Therefore, each Fund 

will invest a limited portion of its assets (typically less than 5% of 

its net assets at the time of purchase) in listed option contracts 

designed to prevent a Fund's NAV from going to zero and allow a Fund to 

recoup a small portion of the substantial losses that may result from 

significant movements in the Large Cap Benchmark. Specifically, the 

ProShares QuadPro U.S. Large Cap Futures Long Fund will hold CME-listed 

``put'' options on e-mini or standard S&P 500 Index futures contracts 

(which give the Fund the right to sell such contracts) and ProShares 

QuadPro U.S. Large Cap Futures Short Fund will hold CME-listed ``call'' 

options on e-mini or standard S&P 500 Index futures contracts (which 

give the Fund the right to buy futures contracts). Such put and call 

options may be referred to herein as ``Large Cap Stop Options.'' If 

CME-listed options are not readily available, a Fund may invest in OTC 

options on Large Cap Future Contracts. This strategy will not prevent a 

Fund from losing money, but is designed to permit a Fund to recover a 

small percentage of its losses in the event of significant adverse 

movement in a Fund's Benchmark.\11\

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



    \11\ A Fund's investments in Large Cap Futures Contracts, 

together with its investments in Large Cap Financial Interests, if 

any, may be referred to herein as the Fund's ``S&P 500 Interests.'' 

The ProShares QuadPro U.S. Large Cap Futures Long Fund will hold 

listed put options with respect to all or substantially all of its 

S&P 500 Interests with strike prices at approximately 75 percent of 

the value of the applicable underlying S&P 500 Interests as of the 

end of the preceding business day. The ProShares QuadPro U.S. Large 

Cap Futures Short Fund will hold listed call options with respect to 

all or substantially all of its S & P 500 Interests with strike 

prices at approximately 125 percent of the value of the Fund's S&P 

Interests as of the end of the preceding business day.

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



    Each Fund will invest the remainder of its un-invested assets in 

cash and high-quality, short-term debt instruments that have terms-to-

maturity of less than 397 days, such as U.S. government securities and 

repurchase agreements (``Money Market Instruments'').

    In seeking to achieve each Fund's investment objective, the Sponsor 

will use a mathematical approach to investing. Using this approach, the 

Sponsor will determine the type, quantity and mix of investment 

positions that the Sponsor believes, in combination, should produce 

daily returns consistent with each Fund's objective. The Sponsor will 

rely upon a pre-determined model to generate orders that result in 

repositioning each Fund's investments in accordance with its respective 

investment objective.

    Each Fund generally will seek to remain fully invested at all times 

in Futures Contracts, Large Cap Stop Options (as applicable), and Money 

Market Instruments that, in combination, provide exposure to the Large 

Cap Benchmark consistent with its investment objective without regard 

to market conditions, trends or direction.

ProShares QuadPro U.S. Small Cap Futures Long Fund and ProShares 

QuadPro U.S. Small Cap Futures Short Fund (``Small Cap Futures Funds'')

    According to the Registration Statement, the Small Cap Futures 

Funds will seek results that correspond (before fees and expenses) to 

four times (i.e., 4X) or four times the inverse (i.e., -4X), 

respectively, of the return of Lead Month Russell 2000 Index Mini 

Futures (``Small Cap Benchmark'' or ``Benchmark'') for a single 

day.\12\ A ``single day'' is measured from the time



[[Page 39479]]



a Fund calculates its NAV to the time of a Fund's next NAV calculation.

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



    \12\ The Small Cap Benchmark is the price on the CME of lead 

month (i.e., near-month or next-to-expire) Russell 2000 Index Mini 

Futures Contracts. Specifically, the Benchmark is the last traded 

price of such contracts on the CME prior to the calculation of the 

Fund's NAV, which is typically calculated as of 4:00 p.m. each day 

NYSE Arca is open for trading. The Russell 2000 Index is a float-

adjusted, market capitalization-weighted index containing 

approximately 2000 of the smallest companies in the Russell 3000 

Index, or approximately 8% of the total market capitalization of the 

Russell 3000 Index, which in turn represents approximately 98% of 

the investable U.S. equity market.

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



    Under normal market conditions,\13\ each Small Cap Futures Fund 

will attempt to gain leveraged or inverse exposure, as applicable, to 

the Small Cap Benchmark primarily through investments in Lead Month E-

Mini Russell 2000 Index Futures \14\ (``Small Cap Futures Contracts'') 

(Large Cap Futures Contracts and Small Cap Futures Contracts, 

collectively, are referred to herein as ``Futures Contracts''). The 

ProShares QuadPro U.S. Small Cap Futures Long Fund will seek to achieve 

substantially all of this exposure by taking ``long'' positions in 

Small Cap Futures Contracts. Conversely, the ProShares QuadPro U.S. 

Small Cap Futures Short Fund will seek to achieve substantially all of 

this exposure by taking ``short'' positions in Small Cap Futures 

Contracts.

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



    \13\ See note 7, supra.

    \14\ As noted herein, an ``e-mini futures contract'' is an 

electronically traded futures contract that provides similar 

exposure, but with a lower dollar value, than a standard futures 

contract. In addition, because of their lower dollar value, e-mini 

futures contracts may permit the Funds to maintain exposure more 

precisely in line with their current asset levels. During the first 

quarter of 2017, the average daily VWAP of e-mini futures contracts 

on the Russell 2000 Index was $9.5 billion. Standard futures 

contracts on the Russell 2000 Index were not available during this 

period.

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



    According to the Registration Statement, each Small Cap Futures 

Fund will seek to engage in daily rebalancing to position its portfolio 

so that its leveraged or inverse exposure to the Small Cap Benchmark is 

consistent with such Fund's daily investment objective. The impact of 

the Small Cap Benchmark's movements during the day will affect whether 

a particular Fund's portfolio needs to be repositioned. For example, if 

the Small Cap Benchmark underlying the ProShares QuadPro U.S. Small Cap 

Futures Short Fund has risen on a given day, net assets of such Fund 

should fall. As a result, such Fund's inverse exposure will need to be 

decreased. Conversely, if the Small Cap Benchmark underlying such Fund 

has fallen on a given day, net assets of such Fund should rise. As a 

result, the Fund's inverse exposure will need to be increased. For the 

ProShares QuadPro U.S. Small Cap Futures Long Fund, such Fund's long 

exposure will need to be increased on days when the Small Cap Benchmark 

rises and decreased on days when the Small Cap Benchmark falls. Daily 

rebalancing and the compounding of each day's return over time means 

that the return of each Fund for a period longer than a single day will 

be the result of each day's returns compounded over the period, which 

will very likely differ from four times (4x) or four times the inverse 

(-4x), as applicable, of the return of the Small Cap Benchmark for the 

same period.

    According to the Registration Statement, in the event position, 

price or accountability limits are reached with respect to Small Cap 

Futures Contracts, the Sponsor, in its commercially reasonable 

judgment, may cause each Fund to obtain exposure to the Small Cap 

Benchmark through investment in swap transactions and forward contracts 

referencing such Benchmark (``Small Cap Financial Instruments'', 

together with Large Cap Financial Instruments, ``Financial 

Instruments''). The Funds may also invest in Small Cap Financial 

Instruments if the market for a specific Small Cap Futures Contract 

experiences emergencies (e.g., natural disaster, terrorist attack or an 

act of God) or disruptions (e.g., a trading halt or a flash crash) that 

prevent or make it impractical for a Fund from obtaining the 

appropriate amount of investment exposure using Small Cap Futures 

Contracts (i.e., conditions other than normal market conditions). The 

Funds do not intend to invest more than 25% of their respective net 

assets in Small Cap Financial Instruments.

    According to the Registration Statement, because each Fund will 

seek results that correspond to four times the performance or four 

times the inverse of the Small Cap Benchmark for a single day, an 

adverse Small Cap Benchmark move of 25 percent or more could cause the 

NAV of a Fund to decline to zero and investors in a Fund to lose the 

full value of their investment. Therefore, each Fund will invest a 

limited portion of its assets (typically less than 5% of its net assets 

at the time of purchase) in listed option contracts designed to prevent 

a Fund's NAV from going to zero and allow a Fund to recoup a small 

portion of the substantial losses that may result from significant 

movements in its Benchmark. Specifically, the ProShares QuadPro U.S. 

Small Cap Futures Long Fund will hold CME- listed ``put'' options on 

mini Russell 2000 Index futures contracts (which give the Fund the 

right to sell such contracts) and ProShares QuadPro U.S. Small Cap 

Futures Short Fund will hold CME-listed ``call'' options on mini 

Russell 2000 Index futures contracts (which give the Fund the right to 

buy such contracts). Such put and call options are referred to herein 

as ``Small Cap Stop Options.'' (Large Cap Stop Options and Small Cap 

Stop Options, collectively, are referred to herein as ``Stop 

Options.'') If CME-listed options are not readily available, a Fund may 

invest in OTC options on Small Cap Futures Contracts. This strategy 

will not prevent a Fund from losing money, but is designed to permit a 

Fund to recover a small percentage of its losses in the event of 

significant adverse movement in a Fund's Benchmark.\15\

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



    \15\ A Fund's investments in Small Cap Futures Contracts, 

together with its investments in Small Cap Financial Interests, if 

any, may be referred to herein as the Fund's ``Russell 2000 

Interests.'' The ProShares QuadPro U.S. Small Cap Futures Long Fund 

will hold put options with respect to all or substantially all of 

its Russell 2000 Interests with strike prices at approximately 75 

percent of the value of the applicable underlying Russell 2000 

Interests as of the end of the preceding business day. The ProShares 

QuadPro U.S. Small Cap Futures Short Fund will hold call options 

with respect to all or substantially all of its Russell 2000 

Interests with strike prices at approximately 125 percent of the 

value of the Fund's Russell 2000 Interests as of the end of the 

preceding business day.

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



    Each Fund will invest the remainder of its un-invested assets in 

Money Market Instruments.

    In seeking to achieve a Fund's investment objective, the Sponsor 

will use a mathematical approach to investing. Using this approach, the 

Sponsor will determine the type, quantity and mix of investment 

positions that the Sponsor believes, in combination, should produce 

daily returns consistent with each Fund's objective. The Sponsor will 

rely upon a pre-determined model to generate orders that result in 

repositioning each Fund's investments in accordance with its respective 

investment objective.

    Each Fund generally will seek to remain fully invested at all times 

in Small Cap Futures Contracts, Small Cap Stop Options (as applicable), 

and Money Market Instruments that, in combination, provide exposure to 

the Small Cap Benchmark consistent with its investment objective 

without regard to market conditions, trends or direction.

Characteristics of Futures Contracts

    According to the Registration Statement, a key feature of Futures 

Contracts is that they specify a delivery date for the underlying 

reference asset or the payment of its cash equivalent. As a result, the 

composition of each Fund's Benchmark will change from time to time as 

the delivery date for its component Futures Contracts is reached. Under 

the current rules applicable to each Benchmark, Futures Contracts that 

have reached their delivery date will be dropped from the Benchmark and 

replaced with the later-expiring contracts (sometimes referred to as 

the ``deferred month'' contracts). This process typically takes place 

over a number of days, during which period the Benchmark may consist of 

both the



[[Page 39480]]



``lead month'' contracts exiting the Benchmark and the ``deferred 

month'' contracts being added to the Benchmark (which then become the 

new ``lead month'' contracts). In such instances, each Fund's portfolio 

investments will be changed accordingly. The Funds will not take 

delivery of the reference assets underlying their respective 

Benchmarks. Instead, each Fund intends to ``roll'' its Futures 

Contracts as they approach their delivery dates. To ``roll'' a Futures 

Contract means to sell a Futures Contract as it nears its delivery date 

and replace it with a new Futures Contract that has a later delivery 

date. Each Fund will ``roll'' its Futures Contracts in a manner 

designed to reflect the changes in its Benchmark while minimizing 

transaction costs and market impact. The anticipated ``roll'' date for 

each Fund's Benchmark will be posted on the Funds' Web site at 

www.proshares.com.

Net Asset Value

    According to the Registration Statement, the NAV in respect of a 

Fund means the total assets of that Fund less the total liabilities of 

such Fund, consistently applied under the accrual method of accounting. 

The NAV of each Fund will include any unrealized profit or loss on a 

Fund's investments (including Money Market Instruments) and any other 

credit or debit accruing to a Fund but unpaid or not received by a 

Fund. The NAV per Share of a Fund will be computed by dividing the 

value of the net assets of such Fund (i.e., the value of its total 

assets less total liabilities) by its total number of Shares 

outstanding. Expenses and fees will be accrued daily and taken into 

account for purposes of determining the NAV. Each Fund's NAV will be 

calculated on each day other than a day when the Exchange is closed for 

regular trading. The Funds will compute their NAV as of 4:00 p.m. 

(E.T.) (the ``NAV Calculation Time'') or an earlier time as set forth 

on www.proshares.com, if necessitated by the New York Stock Exchange 

(``NYSE''), the Exchange or other exchange material to the valuation or 

operation of such Fund closing early. Each Fund's NAV will be 

calculated only once each trading day.

    Futures Contracts and Stop Options will be valued at their then-

current market value, which typically is the last traded price prior to 

the NAV Calculation Time on the date for which the NAV is being 

determined. If a Futures Contract or Stop Option could not be 

liquidated on such day, due to the operation of daily limits or other 

rules of the exchange upon which that position is traded or otherwise, 

the Sponsor may, in its sole discretion, choose to determine a fair 

value price as the basis for determining the market value of such 

position for such day. Such fair value prices would generally be 

determined based on available inputs about the current value of the 

underlying reference assets and would be based on principles that the 

Sponsor deems fair and equitable so long as such principles are 

consistent with normal industry standards.

    In calculating the NAV of a Fund, the value of a Fund's non-

exchange traded Financial Instruments, if any, will be determined by 

the applicable contract governing such Financial Instrument(s). 

Typically, this is determined by applying the Fund's Benchmark closing 

value to the terms of such non-exchange traded Financial Instrument. 

However, in the event that the Futures Contracts underlying a Benchmark 

are not trading due to the operation of daily limits or otherwise, the 

Sponsor may, in its sole discretion, choose to fair value a Fund's non-

exchange traded Financial Instruments for purposes of the NAV 

calculation. Such fair value prices would generally be determined based 

on available inputs about the current value of the Futures Contracts 

underlying a Benchmark and would be based on principles that the 

Sponsor deems fair and equitable so long as such principles are 

consistent with normal industry standards.

    Money Market Instruments generally will be valued using market 

prices provided by third party market data provider(s) or at amortized 

cost.

Indicative Optimized Portfolio Value (``IOPV'')

    The IOPV will be an indicator of the value of a Fund's net assets 

at the time the IOPV is disseminated. The IOPV will be calculated and 

disseminated every 15 seconds during the Exchange's Core Trading 

Session (normally, 9:30 a.m. to 4:00 p.m., Eastern Time (``E.T.''). The 

IOPV of a Fund will generally be calculated using the NAV of the prior 

day's closing portfolio as a base and updating this amount throughout 

the trading day to reflect changes in the value of the Futures 

Contracts, Money Market Instruments and other investments, if any, held 

by a Fund.

    For IOPV calculation purposes, Futures Contracts will be valued 

using their most recent quoted price during the trading day, for as 

long as the main pricing mechanism of the CME is open.

     Futures Contracts may be valued intraday using the main 

pricing mechanism of the CME or through another proxy as determined to 

be appropriate by the third party market data provider.

     Swaps and forward contracts may be valued intraday using 

the intra-day value of the Large Cap Benchmark, or Small Cap Benchmark, 

as applicable, or another proxy as determined to be appropriate by the 

third party market data provider.

     Exchange-listed options may be valued intraday using the 

relevant exchange data, or another proxy as determined to be 

appropriate by the third party market data provider.

     Over-the-counter options may be valued intraday through 

option valuation models (e.g., Black-Scholes) or using exchange-traded 

options as a proxy, or another proxy as determined to be appropriate by 

the third party market data provider.

    The IOPV will be disseminated on a per Share basis every 15 seconds 

during the Exchange's Core Trading Session.\16\

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



    \16\ Several major market data vendors display and/or make 

widely available IOPVs taken from the Consolidated Tape Association 

(``CTA'') or other data feeds. In addition, circumstances may arise 

in which the NYSE Arca Core Trading Session is in progress, but 

trading in Futures Contracts is not occurring. Such circumstances 

may result from reasons including, but not limited to, a futures 

exchange having a separate holiday schedule than the NYSE Arca, a 

futures exchange closing prior to the close of the NYSE Arca, price 

fluctuation limits being reached in a Futures Contract, or a futures 

exchange, imposing any other suspension or limitation on trading in 

a Futures Contract. In such instances, for IOPV calculation 

purposes, the price of the applicable Futures Contracts, as well as 

Stop Options or Financial Instruments whose price is derived from 

the Futures Contracts, would be static or priced by the Fund at the 

applicable early cut-off time of the exchange trading the applicable 

Futures Contract.

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



    The Exchange will disseminate the IOPV through the facilities of 

the CTA high speed line. In addition, IOPV will be published on the 

Exchange's Web site and will be available through on-line information 

services such as Bloomberg and Reuters.

Creation and Redemption of Shares

    According to the Registration Statement, each Fund will create and 

redeem Shares from time to time in one or more ``Creation Units.'' A 

Creation Unit is a block of 50,000 Shares of a Fund. The size of a 

Creation Unit is subject to change.

    On any ``Business Day'', an ``Authorized Participant'' may place an 

order with the Distributor to create one or more Creation Units.\17\ 

For purposes of processing both purchase and redemption orders, a 

``Business Day'' for each Fund means any day on which the NAV of such 

Fund is determined.

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



    \17\ ``Authorized Participants'' will be the only persons that 

may place orders to create and redeem Creation Units. An Authorized 

Participant is an entity that has entered into an Authorized 

Participant Agreement with the Trust and Sponsor.



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



[[Page 39481]]



    By placing a purchase order, an Authorized Participant agrees to 

deposit cash with the Custodian of the Funds. The cash deposited will 

be equal to the NAV of the number of Creation Unit(s) purchased. A 

standard creation transaction fee is imposed to offset the transfer and 

other transaction costs associated with the issuance of Creation Units. 

Purchase orders, once accepted, are not revocable by an Authorized 

Participant.

Redemption Procedures

    According to the Registration Statement, the procedures by which an 

Authorized Participant can redeem one or more Creation Units will 

mirror the procedures for the creation of Creation Units. On any 

Business Day, an Authorized Participant may place an order with the 

Distributor to redeem one or more Creation Units. If a redemption order 

is received prior to the applicable cut-off time, or earlier if the 

Exchange or other exchange material to the valuation or operation of 

such Fund closes before the cut-off time, the day on which SEI receives 

a valid redemption order is the redemption order date. If the 

redemption order is received after the applicable cut-off time, the 

redemption order date will be the next day. Redemption orders, once 

accepted, are not revocable by an Authorized Participant. The 

redemption procedures allow Authorized Participants to redeem Creation 

Units. Individual shareholders may not redeem directly from a Fund.

    By placing a redemption order, an Authorized Participant agrees to 

deliver the Creation Units to be redeemed through the Depository Trust 

Company's (``DTC'') book-entry system to the applicable Fund not later 

than noon (E.T.), on the first Business Day immediately following the 

redemption order date (T+1). The Sponsor reserves the right to extend 

the deadline for a Fund to receive the Creation Units required for 

settlement up to the third Business Day following the redemption order 

date (T+3).

    The redemption proceeds from a Fund will consist of the cash 

redemption amount. The cash redemption amount is equal to the NAV of 

the number of Creation Unit(s) redeemed. A standard redemption 

transaction fee is imposed to offset the transfer and other transaction 

costs associated with the redemption of Creation Units.

    Creation and redemption transactions must be placed each day with 

SEI by 3:30 p.m., E.T., or earlier if the Exchange or other exchange 

material to the valuation or operation of such Fund closes before such 

cut-off time, to receive that day's NAV. The NAV calculation time for 

each Fund typically will be 4:00 p.m. E.T.

    The redemption proceeds due from a Fund will be delivered to the 

Authorized Participant at noon (E.T.), on the third Business Day 

immediately following the redemption order date if, by such time on 

such Business Day immediately following the redemption order date, a 

Fund's DTC account has been credited with the Creation Units to be 

redeemed.

Trading Halts

    With respect to trading halts, the Exchange may consider all 

relevant factors in exercising its discretion to halt or suspend 

trading in the Shares of a Fund.\18\ Trading in Shares of a Fund will 

be halted if the circuit breaker parameters in NYSE Arca Equities Rule 

7.12 have been reached. Trading also may be halted because of market 

conditions or for reasons that, in the view of the Exchange, make 

trading in the Shares inadvisable.

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



    \18\ See NYSE Arca Equities Rule 7.12.

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



    The Exchange may halt trading during the day in which an 

interruption to the dissemination of the IOPV or the value of a 

Benchmark occurs. If the interruption to the dissemination of the IOPV 

or the value of a Benchmark persists past the trading day in which it 

occurred, the Exchange will halt trading no later than the beginning of 

the trading day following the interruption. In addition, if the 

Exchange becomes aware that the NAV with respect to the Shares is not 

disseminated to all market participants at the same time, it will halt 

trading in the Shares until such time as the NAV is available to all 

market participants.

Trading Rules

    The Exchange deems the Shares of the Funds to be equity securities, 

thus rendering trading in the Shares subject to the Exchange's existing 

rules governing the trading of equity securities. Shares will trade on 

the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. in accordance with 

NYSE Arca Equities Rule 7.34 (Early, Core, and Late Trading Sessions). 

The Exchange has appropriate rules to facilitate transactions in the 

Shares during all trading sessions. As provided in NYSE Arca Equities 

Rule 7.6, the minimum price variation (``MPV'') for quoting and entry 

of orders in equity securities traded on the NYSE Arca Marketplace is 

$0.01, with the exception of securities that are priced less than $1.00 

for which the MPV for order entry is $0.0001.

    The Shares will conform to the initial and continued listing 

criteria under NYSE Arca Equities Rule 8.200 and Commentary .02 

thereto. The trading of the Shares will be subject to NYSE Arca 

Equities Rule 8.200, Commentary .02(e), which sets forth certain 

restrictions on Equity Trading Permit (``ETP'') Holders acting as 

registered Market Makers in Trust Issued Receipts to facilitate 

surveillance. The Exchange represents that, for initial and continued 

listing, each Fund will be in compliance with Rule 10A-3 \19\ under the 

Act, as provided by NYSE Arca Equities Rule 5.3. A minimum of 100,000 

Shares of each Fund will be outstanding at the commencement of trading 

on the Exchange.

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



    \19\ 17 CFR 240.10A-3.

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



Availability of Information

    The NAV for the Funds' Shares will be disseminated daily to all 

market participants at the same time. The intraday, closing prices, and 

settlement prices of the Futures Contracts and Stop Options will be 

readily available from the applicable futures exchange Web sites, 

automated quotation systems, published or other public sources, or 

major market data vendors.

    Complete real-time data for the Futures Contracts and Stop Options 

is available by subscription through on-line information services. The 

CME also provides delayed futures and options on futures information on 

current and past trading sessions and market news free of charge on 

their respective Web sites. The specific contract specifications for 

Futures Contracts are also available on such Web sites, as well as 

other financial informational sources. Quotation and last-sale 

information regarding the Shares will be disseminated through the 

facilities of the CTA. Quotation information for Money Market 

Instruments, swaps and forward contracts may be obtained from brokers 

and dealers who make markets in such instruments. The IOPV will be 

available through on-line information services.

    In addition, the Funds' Web site, www.proshares.com, will display 

the applicable end of day closing NAV. The daily holdings of each Fund 

will be available on the Funds' Web site before 9:30 a.m. E.T. Each 

Fund's total portfolio composition will be disclosed each Business Day 

that the NYSE Arca is open for trading, on the Funds' Web site. The 

Funds' Web site, which will be publicly available at the time of the 

public offering of Shares, will also include a form of the prospectus 

for the Funds that may be downloaded.



[[Page 39482]]



    The Web site disclosure of portfolio holdings will be made daily to 

all market participants at the same time, and will include, as 

applicable, (i) the composite value of the total portfolio; (ii) the 

name, percentage weighting, and value of the Futures Contracts and 

Financial Interests; (iii) the Shares' ticker and CUSIP information; 

(iv) additional quantitative information updated on a daily basis, 

including, for each Fund: (1) Daily trading volume, the prior Business 

Day's reported NAV and closing price, and a calculation of the premium 

and discount of the closing price or mid-point of the bid/ask spread at 

the time of NAV calculation (the ``Bid/Ask Price'') against the NAV; 

and (2) data in chart format displaying the frequency distribution of 

discounts and premiums of the daily closing price or Bid/Ask Price 

against the NAV, within appropriate ranges, for at least each of the 

four previous calendar quarters; and (v) as applicable, (1) the name, 

quantity, value, expiration and strike price of Futures Contracts and 

Stop Options, (2) the counterparty to and value of swap agreements and 

forward contracts, (3) quantity held regarding each portfolio holding 

(as measured by, for example, par value, notional value or number of 

shares, contracts or units); (4) maturity date, if any; and (5) the 

aggregate net value of Money Market Instruments and cash held in each 

Fund's portfolio. In addition, the IOPV will be published on the 

Exchange's Web site and will be available through on-line information 

services such as Bloomberg and Reuters. The Fund's Web site will be 

publicly accessible at no charge.

Impact on Arbitrage Mechanism

    The Sponsor believes there will be minimal, if any, impact to the 

arbitrage mechanism as a result of the use of derivatives. Each Fund 

intends to achieve substantially all of its leveraged or inverse 

leveraged exposure to its Benchmark through positions in Futures 

Contracts. The intraday, closing prices, and settlement prices of the 

Futures Contracts will be readily available from the applicable futures 

exchange Web sites, automated quotation systems, published or other 

public sources, or major market data vendors. Market makers and 

participants should be able to value derivatives as long as the 

positions are disclosed with relevant information. The Sponsor believes 

that the price at which Shares of the Funds trade will continue to be 

disciplined by arbitrage opportunities created by the ability to 

purchase or redeem Shares of the Funds at their NAV, which should 

ensure that Shares of the Funds will not trade at a material discount 

or premium in relation to its NAV.

    The Sponsor does not believe there will be any significant impacts 

to the settlement or operational aspects of the Funds' arbitrage 

mechanism due to the use of derivatives.

Surveillance

    The Exchange represents that trading in the Shares of each Fund 

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.\20\ 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.

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



    \20\ 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, Futures 

Contracts and certain Stop Options with other markets and other 

entities 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, Futures Contracts and certain Stop 

Options from such markets and other entities. In addition, the Exchange 

may obtain information regarding trading in the Shares, Futures 

Contracts and certain Stop Options from markets and other entities that 

are members of ISG or with which the Exchange has in place a 

comprehensive surveillance sharing agreement (``CSSA'').\21\ The 

Exchange is also able to obtain information regarding trading in the 

Shares, Futures Contracts and certain Stop Options through ETP Holders, 

in connection with such ETP Holders' proprietary or customer trades 

which they effect through ETP Holders on any relevant market. The 

Exchange can obtain market surveillance information, including customer 

identity information, with respect to transactions (including 

transactions in Futures Contracts and certain Stop Options) occurring 

on U.S. futures and securities exchanges that are members of the ISG.

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



    \21\ For a list of the current members of ISG, see 

www.isgportal.org. The Exchange notes that not all components of a 

Fund may trade on markets that are members of ISG or with which the 

Exchange has in place a CSSA.

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



    In addition, 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 portfolios of the Funds or Benchmarks, (b) 

limitations on the portfolios of the Funds or Benchmarks, or (c) the 

applicability of Exchange listing rules specified in this rule filing 

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 a Fund is not in compliance with the 

applicable listing requirements, the Exchange will commence delisting 

procedures under NYSE Arca Equities Rule 5.5(m).

Information Bulletin

    Prior to the commencement of trading, the Exchange will inform its 

ETP Holders in an Information Bulletin of the special characteristics 

and risks associated with trading the Shares. Specifically, the 

Information Bulletin will discuss the following: (1) The risks involved 

in trading the Shares during the Early and Late Trading Sessions when 

an updated IOPV will not be calculated or publicly disseminated; (2) 

the procedures for purchases and redemptions of Shares in Creation 

Units (and that Shares are not individually redeemable); (3) NYSE Arca 

Equities Rule 9.2(a), which imposes a duty of due diligence on its ETP 

Holders to learn the essential facts relating to every customer prior 

to trading the Shares; (4) how information regarding the IOPV is 

disseminated; (5) how information regarding portfolio holdings is 

disseminated; (6) the requirement that ETP Holders deliver a prospectus 

to investors purchasing newly issued Shares prior to or concurrently 

with the



[[Page 39483]]



confirmation of a transaction; and (7) trading information.

    Prior to the commencement of trading, the Exchange will inform its 

ETP Holders of the suitability requirements of NYSE Arca Equities Rule 

9.2(a) in an Information Bulletin. Specifically, ETP Holders will be 

reminded in the Information Bulletin that, in recommending transactions 

in the Shares, they must have a reasonable basis to believe that (1) 

the recommendation is suitable for a customer given reasonable inquiry 

concerning the customer's investment objectives, financial situation, 

needs, and any other information known by such ETP Holder, and (2) the 

customer can evaluate the special characteristics, and is able to bear 

the financial risks, of an investment in the Shares. In connection with 

the suitability obligation, the Information Bulletin will also provide 

that ETP Holders must make reasonable efforts to obtain the following 

information: (1) The customer's financial status; (2) the customer's 

tax status; (3) the customer's investment objectives; and (4) such 

other information used or considered to be reasonable by such ETP 

Holder or registered representative in making recommendations to the 

customer.

    Further, the Exchange states that FINRA has implemented increased 

sales practice and customer margin requirements for FINRA members 

applicable to inverse, leveraged and inverse leveraged securities 

(which include the Shares) and options on such securities, as described 

in FINRA Regulatory Notices 09-31 (June 2009), 09-53 (August 2009), and 

09-65 (November 2009) (collectively, ``FINRA Regulatory Notices''). ETP 

Holders that carry customer accounts will be required to follow the 

FINRA guidance set forth in these notices. As noted above, each Fund 

will seek, on a daily basis, investment results that correspond (before 

fees and expenses) to 4x, or -4x, respectively, the performance of a 

Benchmark. Over a period of time in excess of one day, the cumulative 

percentage increase or decrease in the NAV of the Shares of a Fund may 

diverge significantly from a multiple or inverse multiple of the 

cumulative percentage decrease or increase in the relevant Benchmark 

due to a compounding effect.

    In addition, the Information Bulletin will advise ETP Holders, 

prior to the commencement of trading, of the prospectus delivery 

requirements applicable to a Fund. The Information Bulletin will also 

discuss any exemptive, no-action, and interpretive relief granted by 

the Commission from any rules under the Act. In addition, the 

Information Bulletin will reference that a Fund is subject to various 

fees and expenses described in the Registration Statement. The 

Information Bulletin will also reference that the CFTC has regulatory 

jurisdiction over the trading of Futures Contracts traded on U.S. 

markets.

    The Information Bulletin will also disclose the trading hours of 

the Shares and that the NAV for the Shares will be calculated as of 

4:00 p.m. E.T. each trading day. The Information Bulletin will disclose 

that information about the Shares will be publicly available on the 

Funds' Web site.

2. Statutory Basis

    The basis under the Act for this proposed rule change is the 

requirement under Section 6(b)(5) \22\ 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.

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



    \22\ 15 U.S.C. 78f(b)(5).

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



    The Exchange believes that the proposed rule change is designed to 

prevent fraudulent and manipulative acts and practices in that the 

Shares will be listed and traded on the Exchange pursuant to the 

initial and continued listing criteria in NYSE Arca Equities Rule 8.200 

and Commentary .02 thereto. The Exchange has in place surveillance 

procedures that are adequate to properly monitor trading in the Shares 

in all trading sessions and to deter and detect violations of Exchange 

rules and applicable federal securities laws.

    Futures Contract closing price and settlement prices of are readily 

available from the CME. In addition, such prices are available from 

automated quotation systems, published or other public sources, or on-

line information services. Each Benchmark will be disseminated by one 

or more major market data vendors every 15 seconds during the NYSE Arca 

Core Trading Session of 9:30 a.m. to 4:00 p.m. E.T. Quotation and last-

sale information regarding the Shares will be disseminated through the 

facilities of the CTA. The IOPV will be disseminated on a per Share 

basis by one or more major market data vendors every 15 seconds during 

the NYSE Arca Core Trading Session. The Exchange may halt trading 

during the day in which an interruption to the dissemination of the 

IOPV or the value of the underlying Benchmark Futures Contracts occurs. 

If the interruption to the dissemination of the IOPV or the value of 

the underlying Benchmark Futures Contracts persists past the trading 

day in which it occurred, the Exchange will halt trading no later than 

the beginning of the trading day following the interruption. In 

addition, if the Exchange becomes aware that the NAV with respect to 

the Shares is not disseminated to all market participants at the same 

time, it will halt trading in the Shares until such time as the NAV is 

available to all market participants.

    The proposed rule change is designed to promote just and equitable 

principles of trade and to protect investors and the public interest in 

that a large amount of information will be publicly available regarding 

the Funds and the Shares, thereby promoting market transparency. 

Quotation and last sale information for the Futures Contracts are 

widely disseminated through a variety of major market data vendors 

worldwide. Complete real-time data for such contracts is available by 

subscription from Reuters and Bloomberg. The CME also provides delayed 

futures information on current and past trading sessions and market 

news free of charge on their Web sites. Each Benchmark will be 

disseminated by one or more major market data vendors every 15 seconds 

during the NYSE Arca Core Trading Session of 9:30 a.m. to 4:00 p.m. 

E.T. The NAV per Share will be calculated daily and made available to 

all market participants at the same time. NYSE Arca will calculate and 

disseminate every 15 seconds throughout the NYSE Arca Core Trading 

Session an updated IOPV.

    The proposed rule change is designed to perfect the mechanism of a 

free and open market and, in general, to protect investors and the 

public interest in that it will facilitate the listing and trading of 

additional types of exchange-traded products that are principally 

exposed to futures contracts and 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 CSSA.



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 listing and trading of



[[Page 39484]]



additional types of exchange-traded products that are principally 

exposed to futures contracts 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-NYSEArca-2017-69 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-NYSEArca-2017-69. 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 the filing also will be available 

for inspection and copying at the principal office of the Exchange. All 

comments received will be posted without change; the Commission does 

not edit personal identifying information from submissions. You should 

submit only information that you wish to make available publicly. All 

submissions should refer to File Number SR-NYSEArca-2017-69, and should 

be submitted on or before September 8, 2017.

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



    \23\ 17 CFR 200.30-3(a)(12).



    For the Commission, by the Division of Trading and Markets, 

pursuant to delegated authority.\23\

Eduardo A. Aleman,

Assistant Secretary.

[FR Doc. 2017-17433 Filed 8-17-17; 8:45 am]

BILLING CODE 8011-01-P




