
[Federal Register Volume 82, Number 165 (Monday, August 28, 2017)]
[Notices]
[Pages 40816-40823]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-18125]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-81453; File No. SR-NYSEArca-2017-88]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change to List and Trade the Shares of the U.S. Equity 
Cumulative Dividends Fund--Series 2027 and the U.S. Equity Ex-Dividend 
Fund--Series 2027 Under NYSE Arca Equities Rule 8.200, Commentary .02

August 22, 2017.
    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 August 8, 2017, NYSE Arca, Inc. (``Exchange'' or ``NYSE 
Arca'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I, II, 
and III 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.
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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 list and trade the shares of the following 
under NYSE Arca Equities Rule 8.200, Commentary .02 (``Trust Issued 
Receipts''): The U.S. Equity Cumulative Dividends Fund--Series 2027 and 
the U.S. Equity Ex-Dividend Fund--Series 2027. The proposed 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 NYSE Arca Equities Rule 8.200, Commentary .02, which 
governs the listing and trading of Trust Issued Receipts: U.S. Equity 
Cumulative Dividends Fund--Series 2027 (the ``Dividend Fund'') and U.S. 
Equity Ex-Dividend Fund--Series 2027 (the ``Ex-Dividend Fund'', and 
together with the Dividend Fund, the ``Funds'' and each, a 
``Fund'').\4\
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    \4\ Commentary .02 to NYSE Arca Equities Rule 8.200 applies to 
Trust Issued Receipts 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.
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    Each Fund will be a series of Metaurus Equity Component Trust (the 
``Trust''), a Delaware statutory trust.\5\

[[Page 40817]]

Metaurus Advisors LLC (``Metaurus'' or the ``Sponsor'') will be the 
sponsor, commodity pool operator and commodity trading advisor of each 
Fund. SEI Investments Global Fund Services, (``SEI'' or the 
``Administrator''), will be the Funds' Administrator. The Administrator 
will be responsible for the day-to-day administration of the Trust and 
the Funds, which includes valuing all of the portfolio holdings of the 
Funds and calculating the net asset value (``NAV'') of the Funds. Brown 
Brothers Harriman & Co. (``BBH&Co.'') will serve as registrar and 
transfer agent for the Funds as well as custodian (the ``Custodian'') 
for the Funds.
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    \5\ On June 9, 2017, the Trust submitted to the Commission its 
draft registration statement on Form S-1 (the ``Registration 
Statement'') under the Securities Act of 1933 (15 U.S.C. 77a) 
(``Securities Act''). The Jumpstart Our Business Startups Act, 
enacted on April 5, 2012, added Section 6(e) to the Securities Act. 
Section 6(e) of the Securities Act provides that an ``emerging 
growth company'' may confidentially submit to the Commission a draft 
registration statement for confidential, non-public review by the 
Commission staff prior to public filing, provided that the initial 
confidential submission and all amendments thereto shall be publicly 
filed not later than 21 days before the date on which the issuer 
conducts a road show, as such term is defined in Securities Act Rule 
433(h)(4). An emerging growth company is defined in Section 2(a)(19) 
of the Securities Act as an issuer with less than $1,000,000,000 
total annual gross revenues during its most recently completed 
fiscal year. The Trust meets the definition of an emerging growth 
company and consequently has submitted its Form S-1 Registration 
Statement on a confidential basis with the Commission.
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    Each Fund is a commodity pool as defined in the Commodity Exchange 
Act \6\ and the applicable regulations of the Commodity Futures Trading 
Commission (``CFTC'').
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    \6\ 7 U.S.C. 1a(10).
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U.S. Equity Cumulative Dividends Fund--Series 2027
    According to the Registration Statement, the Dividend Fund will 
seek investment results that, before fees and expenses, correspond to 
the performance of the Solactive U.S. Equity Cumulative Dividends 
Index--Series 2027 (the ``Solactive Dividend Index''). The Dividend 
Fund will be a term fund that will terminate on or prior to December 
31, 2027.
    The Dividend Fund will seek to provide shareholders of the Dividend 
Fund with returns designed to replicate the dividends on constituent 
companies of the S&P 500 Index (``S&P 500''), without exposure to the 
underlying securities. The value of the Dividend Fund's Shares will be 
affected by both the current level of such dividends and general 
expectations in the market regarding the future levels of such 
dividends.
    The Dividend Fund intends primarily to invest its assets in the 
component instruments of the Solactive Dividend Index, as well as cash 
and cash equivalents.\7\ The component instruments of the Solactive 
Dividend Index consist of U.S. Treasury Securities (``Treasury 
Securities'') and long positions in annual futures contracts listed on 
the Chicago Mercantile Exchange (``CME'') that provide exposure to 
dividends paid on the S&P 500 constituent companies (``Annual S&P 500 
Dividend Futures Contracts'' \8\) pro rata for each year of the life of 
the Dividend Fund. As a result, in addition to the Treasury Securities, 
cash and/or cash equivalents, the Dividend Fund is initially expected 
to hold each of the Annual S&P 500 Dividend Futures Contracts that are 
traded and expire during its ten-year term. Each year thereafter, until 
December 2027 when the Dividend Fund will terminate, the Dividend Fund 
will hold one less Annual S&P 500 Dividend Futures Contract due to 
expiry of the prior year's contract.
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    \7\ For purposes of this filing, cash equivalents are short-term 
instruments with maturities of less than three months and shall 
include the following: (i) Certificates of deposit issued against 
funds deposited in a bank or savings and loan association; (ii) 
bankers' acceptances, which are short-term credit instruments used 
to finance commercial transactions; (iii) repurchase agreements and 
reverse repurchase agreements; (iv) bank time deposits, which are 
monies kept on deposit with banks or savings and loan associations 
for a stated period of time at a fixed rate of interest; (v) 
commercial paper, which are short-term unsecured promissory notes; 
(vi) Treasury Securities, and (vii) money market funds, including 
exchange-traded funds (``ETFs''). For purposes of this filing, ETFs 
include Investment Company Units (as described in NYSE Arca Equities 
Rule 5.2(j)(3)); Portfolio Depositary Receipts (as described in NYSE 
Arca Equities Rule 8.100); and Managed Fund Shares (as described in 
NYSE Arca Equities Rule 8.600). The ETFs all will be listed and 
traded in the U.S. on registered exchanges. The ETFs in which a Fund 
may invest will be ETFs that invest principally in money market 
instruments. The Funds will not invest in inverse or leveraged 
(e.g., +2x, -2X) index ETFs.
    \8\ The Dividend Fund will hold the following Annual S&P 500 
Dividend Futures Contracts: S&P 500 Annual Dividend Index Futures 
with annual expiry of 2018, 2019, 2020, 2021, 2022, 2023, 2024, 
2025, 2026, and 2027. CME Group, Inc. is a member of the Intermarket 
Surveillance Group (``ISG''). See note 20, infra.
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    The Dividend Fund expects to pay monthly cash distributions to its 
Shareholders throughout each calendar year. Such distributions shall, 
on an annual basis, before fees and expenses, equal all or a 
substantial portion of the Dividend Fund's NAV attributable to the 
ordinary cash dividends accumulated by the S&P 500 Dividend Points 
Index (Annual) (the ``Dividend Points Index'') for the year (as 
reflected in the current year's Annual S&P 500 Dividend Futures 
Contracts held by the Dividend Fund).
    The Dividend Fund's exposure to dividend payments will be based on 
its investments in Annual S&P 500 Dividend Futures Contracts. According 
to the Registration Statement, the value of the Annual S&P 500 Dividend 
Futures Contracts, on which the value of the Dividend Fund will be 
based, will tend to increase if the actual dividends paid or expected 
to be paid by S&P 500 constituent companies in the periods tracked by 
the Annual S&P 500 Dividend Futures Contracts increase. The value of 
the Annual S&P 500 Dividend Futures Contracts will tend to decrease if 
the actual dividends paid or expected to be paid by S&P 500 constituent 
companies (as measured in the current year by the Dividend Points 
Index) decrease in the periods tracked by the Annual S&P 500 Dividend 
Futures Contracts.
Other Dividend Fund Investments
    The Dividend Fund will invest primarily in the component 
instruments of the Solactive Dividend Index, cash and cash equivalents, 
as described above. In certain instances, however, the Dividend Fund 
may invest in quarterly S&P 500 dividend futures contracts \9\ (the 
``Quarterly S&P 500 Dividend Futures Contracts, and, together with the 
Annual S&P 500 Dividend Futures Contracts, the ``Dividend Futures 
Contracts''), rather than the Annual S&P 500 Dividend Futures Contracts 
if, in the judgment of Metaurus, utilizing such alternative maturity 
instruments would be in the best interest of the Dividend Fund (e.g., 
due to liquidity or similar market factors).
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    \9\ The Dividend Fund will hold the following Quarterly S&P 500 
Dividend Futures Contracts: S&P 500 Quarterly Dividend Index Futures 
with quarterly expiry of 2018, 2019, 2020, 2021, 2022, 2023, 2024, 
2025, 2026, and 2027. These contracts trade on the CME.
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    The Dividend Fund will not employ leverage to implement its 
investment strategy. For these purposes, we interpret leverage to mean 
use of loans, borrowings and extensions of credit from third parties 
for the purchase of investments. The Dividend Fund may, however, enter 
into short-term loans and reverse repurchase agreements for liquidity 
purposes, including to fund distributions. The Dividend Fund will 
purchase all investments at market prices through the in-kind creation 
process or in the market place at the then-market price. Although the 
Dividend Fund will not employ the type of investment leverage described 
above, it will hold investment instruments that are described as having 
embedded leverage. For example, the futures contracts that the Dividend 
Fund will invest in could be described as having embedded leverage, 
because the

[[Page 40818]]

notional amount of the contracts will exceed the cash or assets 
required to establish or maintain such futures contract positions. Such 
embedded leverage is designed to be fully defeased by the Dividend 
Fund's Treasury Securities.
The Solactive Dividend Index
    The Solactive Dividend Index is owned, maintained, calculated and 
distributed by Solactive AG, which is an independent index sponsor and 
data provider (the ``Calculation Agent'' or ``Solactive''). According 
to the Registration Statement, the value of the Solactive Dividend 
Index is affected by the ordinary cash dividends that have been paid to 
date by constituent companies in the S&P 500 in the applicable period 
and the expectations of investors regarding the dividends to be paid by 
constituent companies in the S&P 500. The Annual S&P 500 Dividend 
Futures Contracts use the Dividend Points Index to track the cumulative 
amount of ordinary dividends paid by constituent companies in the S&P 
500 in the current yearly period. The Dividend Points Index resets to 
zero on the third Friday of each December contemporaneously with the 
expiration of the applicable Annual S&P 500 Dividend Futures Contract. 
The Solactive Dividend Index is a price only index.
    The Solactive Dividend Index aims to represent the discounted 
present value of all listed Annual S&P 500 Dividend Futures Contracts 
out to and including the December 2027 Annual S&P 500 Dividend Futures 
Contract. To accomplish this, each Annual S&P 500 Dividend Futures 
Contract market price will be discounted by using the computed yield of 
a specified Treasury Security with a similar or prior maturity date as 
the corresponding Annual S&P 500 Dividend Futures Contract expiry. 
After annual expiry of an Annual S&P 500 Dividend Futures Contract, 
such futures contract and its corresponding Treasury Security will be 
removed from the Solactive Dividend Index during the annual rebalancing 
of the Solactive Dividend Index.
    The Solactive Dividend Index is calculated and published in USD via 
the price marketing services of Boerse Stuttgart AG based on the prices 
of the components (``Index Components'') on the applicable listing 
exchanges posted by quotation services or otherwise as determined by 
Solactive. The most recent prices of all Index Components are used. 
Should there be no current price posted on the applicable price source, 
such as Reuters, Solactive will use the most recent price shown for 
such investment on Reuters for the preceding trading day in making the 
calculation. The Solactive Dividend Index is widely disseminated every 
15 seconds on each ``Business Day'' \10\ by major market data vendors 
during the NYSE Arca's Core Trading Session.
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    \10\ A Business Day is any day on which the NYSE Arca is open 
for business, including any partial-day opening.
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    The Solactive Dividend Index does not weigh the values of the 
components.
    The Solactive Dividend Index is intended to be a static index in 
that the composition of the Solactive Dividend Index should not be 
expected to change after the Solactive Dividend Index has been 
originally constituted. A committee composed of staff from Solactive is 
responsible for decisions regarding the composition of the Solactive 
Dividend Index as well as any amendments to the index calculation 
methodology. Members of the committee can recommend changes to the 
index calculation methodology for calculating the Solactive Dividend 
Index and submit them to the committee for approval.\11\
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    \11\ Members of the committee are subject to procedures designed 
to prevent the use and dissemination of material nonpublic 
information regarding changes to the Solactive Dividend Index and 
the Solactive Ex-Dividend Index.
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    All or a portion of the methodologies and algorithms used to 
calculate the Solactive Dividend Index are covered by one or more 
pending U.S. patents. The Sponsor developed the algorithm on which the 
Solactive Dividend Index is based and licensed it to Solactive. 
Solactive is not affiliated with the Sponsor and is solely responsible 
for calculating the Solactive Dividend Index.
    All specifications and information relevant for calculating the 
Solactive Dividend Index are made available at http://www.solactive.de.
U.S. Equity Ex-Dividend Fund--Series 2027
    According to the Registration Statement, the Ex-Dividend Fund will 
seek investment results that, before fees and expenses, correspond to 
the performance of the Solactive U.S. Equity Ex-Dividend Index--Series 
2027 (the ``Solactive Ex-Dividend Index'', and together with the 
Solactive Dividend Index, the ``Underlying Indexes''). The Ex-Dividend 
Fund will be a term fund that will terminate on or prior to December 
31, 2027. The Ex-Dividend Fund will seek to provide shareholders of the 
Ex-Dividend Fund with returns that are equivalent to the performance of 
the SPDR[supreg] S&P 500[supreg] ETF (``SPDRs'') \12\ less the value of 
current and future expected dividends on the S&P 500 constituent 
companies over the term of the Ex-Dividend Fund.
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    \12\ Shares of SPDRs are listed and traded on the Exchange 
pursuant to NYSE Arca Equities Rule 8.100 (Portfolio Depositary 
Receipts).
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    The Solactive Ex-Dividend Index tracks the performance of SPDRs 
together with the performance of short positions in the Annual S&P 500 
Dividend Futures Contracts for each year from the Ex-Dividend Fund's 
launch date through December 2027.
    In seeking to track the Solactive Ex-Dividend Index, the Ex-
Dividend Fund intends to replicate the returns of SPDRs through owning 
long positions in quarterly S&P 500 Index futures contracts (the 
``Quarterly S&P 500 Index Futures Contracts'') rather than shares of 
SPDRs.\13\ Additionally, the Ex-Dividend Fund intends to track the 
performance of the Solactive Ex-Dividend Index by selling Annual S&P 
500 Dividend Futures Contracts out to the maturity date of the Ex-
Dividend Fund. The Ex-Dividend will also hold Treasury Securities, cash 
and/or cash equivalents. The Ex-Dividend Fund does not intend to hold 
shares of SPDRs or any other ETF (other than a money market fund ETF).
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    \13\ The Quarterly S&P 500 Index Futures Contracts include: (i) 
S&P 500 Futures; and (ii) E-mini S&P 500 Futures. These contracts 
trade on the CME.
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Other Ex-Dividend Fund Investments
    The Ex-Dividend Fund will primarily invest in Quarterly S&P 500 
Index Futures Contracts as described above. In certain instances, 
however, the Ex-Dividend Fund may invest in (i) annual S&P 500 Index 
futures contracts \14\ (the ``Annual S&P 500 Index Futures Contracts'', 
and, together with the Quarterly S&P 500 Index Futures Contracts, the 
``Index Futures Contracts'') and (ii) Quarterly S&P 500 Dividend 
Futures Contracts, in each case, if, in the judgment of Metaurus, 
utilizing such alternative maturity instruments would be in the best 
interest of the Ex-Dividend Fund (e.g., due to liquidity, arbitrage 
pricing or similar market factors).
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    \14\ These contracts trade on the CME.
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    The Ex-Dividend Fund will not employ leverage to implement its 
investment strategy. For these purposes, we interpret leverage to mean 
use of loans, borrowings and extensions of credit from third parties 
for the purchase of investments. The Ex-Dividend Fund may, however, 
enter into short-term loans and reverse repurchase agreements for 
liquidity purposes. The Ex-Dividend Fund will

[[Page 40819]]

purchase all investments at market prices through the in-kind creation 
process or in the market place at the then-market price. Although the 
Ex-Dividend Fund will not employ the type of investment leverage 
described above, it will hold investment instruments that are described 
as having embedded leverage. For example, the futures contracts that 
the Ex-Dividend Fund will invest in could be described as having 
embedded leverage, because the notional amount of the contracts will 
exceed the cash or assets required to establish or maintain such 
futures contract positions. Such embedded leverage is designed to be 
fully defeased by the Ex-Dividend Fund's Treasury Securities.
The Solactive Ex-Dividend Index
    According to the Registration Statement, the Solactive Ex-Dividend 
Index aims to represent the current value of 0.5 shares of SPDRs, less 
the current value of ordinary cash dividends expected to be paid on the 
S&P 500, until the Ex-Dividend Fund's maturity. The current value of 
such dividends is represented by the Solactive Dividend Index. The 
Solactive Dividend Index aims to represent the discounted present value 
of all listed Annual S&P 500 Dividend Futures Contracts out to and 
including the December 2027 Annual S&P 500 Dividend Futures Contracts 
expiry.
    The Solactive Ex-Dividend Index includes shares of SPDRs and short 
positions in Annual S&P 500 Dividend Futures Contracts for each year 
from the Ex-Dividend Fund's launch date through December 2027.
    The Solactive Ex-Dividend Index is an index of Solactive and is 
owned, maintained, calculated and distributed by Solactive. The 
Solactive Ex-Dividend Index is a price-only index.
    The Solactive Ex-Dividend Index is calculated and published in USD 
via the price marketing services of Boerse Stuttgart AG based on the 
prices of the Index Components on the applicable listing exchanges 
posted by quotation services or otherwise as determined by Solactive. 
The most recent prices of all Index Components are used. Should there 
be no current price posted on the applicable price source, such as 
Reuters, Solactive will use the most recent price shown for such 
investment on Reuters for the preceding trading day in making the 
calculation. The Solactive Ex-Dividend Index is widely disseminated 
every 15 seconds on each Business Day by major market data vendors 
during the NYSE Arca's Core Trading Session.
    Because the Solactive Ex-Dividend Index tracks the performance of 
0.5 Shares of SPDRs and sums up the discounted values of the Annual S&P 
500 Dividend Futures Contracts, no weighting is applied.
    The Solactive Ex-Dividend Index is intended to be a static index in 
that the composition of the Solactive Ex-Dividend Index should not be 
expected to change after the Solactive Ex-Dividend Index has been 
originally constituted. A committee composed of staff from Solactive is 
responsible for decisions regarding the composition of the Solactive 
Ex-Dividend Index as well as any amendments to the index calculation 
methodology. Members of the committee can recommend changes to the 
index calculation methodology for calculating the Solactive Ex-Dividend 
Index and submit them to the committee for approval.
    All or a portion of the methodologies and algorithms used to 
calculate the Solactive Ex-Dividend Index are covered by one or more 
pending U.S. patents. The Sponsor developed the algorithm on which the 
Solactive Ex-Dividend Index is based and licensed it to Solactive. 
Solactive is not affiliated with the Sponsor and is solely responsible 
for calculating the Solactive Ex-Dividend Index.
    All specifications and information relevant for calculating the 
Solactive Ex-Dividend Index are made available at http://www.solactive.de.
Creation and Redemption of Shares
    According to the Registration Statement, the Trust will issue and 
sell Shares of a Fund in one or more block size aggregations of 100,000 
Shares (each, a ``Basket'') on a continuous basis through the 
Distributor at a Fund's NAV next determined after receipt, on any 
Business Day, of an order in proper form. The size of a Basket is 
subject to change. Proceeds received by the Funds from the issuance and 
sale of Baskets will consist of cash, in the case of a cash creation, 
or futures contracts, Treasury Securities and other financial 
instruments designed to track such Fund's Underlying Index (``Deposit 
Instruments''), together with the deposit of a specified cash payment 
(``Cash Component''), in the case of an in-kind creation, as described 
below. The Cash Component is the difference between the NAV 
attributable to a Basket and the aggregate market value of the Deposit 
Instruments exchanged for the Basket. The party conveying instruments 
with the lower value will pay to the other such difference. A 
difference may occur where the market value of the Deposit Instruments, 
as applicable, changes relative to the NAV of a Fund due to the fact 
that a position cannot be transferred in kind, instruments cannot be 
broken up, minor differences due to rounding or due to a rebalancing of 
a Fund to match the Underlying Index. The cash amount announced by a 
Fund at the beginning of each day is a Fund's estimate of the actual 
cash amount. In the case of a cash creation, the Funds intend to use 
the cash to purchase Deposit Instruments.
    The consideration for purchase of a Basket of Shares of the Funds 
will generally be conducted on an in-kind basis through an exchange for 
related positions transactions, effected pursuant to the rules of the 
CME (an ``EFRP''). The EFRP will consist of the exchange between the 
Funds and their Authorized Participants (as defined below) of Deposit 
Instruments (comprised of futures contracts, Treasury Securities and 
the Cash Component) for Shares. Together, the Deposit Instruments and 
the Cash Component constitute the ``Portfolio Deposit,'' which 
represents the minimum initial and subsequent investment amount for a 
Basket of a Fund.\15\
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    \15\ According to the Registration Statement, because the Funds 
hold futures contracts, the exchange of these instruments will be 
conducted in accordance with the rules of the CME. In connection 
with an EFRP, the ``Authorized Participant'' (as defined below) 
would be required to deliver to a Fund, through a Fund's Clearing 
Futures Commission Merchant, futures contracts and Treasury 
Securities, replicating a pro rata slice of a Fund's portfolio 
invested in those instruments and the Cash Component, together 
having a value equal to the NAV of the Basket, in exchange for 
delivery to the Authorized Participant, through DTC, of the Basket.
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    According to the Registration Statement, the Funds reserve the 
right to permit or require the substitution of an amount of cash (a 
``cash in lieu'' amount) to be added to the Cash Component to replace 
any Deposit Instrument which may not be available in sufficient 
quantity for delivery or that is not be eligible for transfer through 
an EFRP or for other similar reasons. In this case, a Fund will utilize 
the cash in lieu amount to purchase the missing Deposit Instruments, 
which, in the case of the futures contracts, will generally be effected 
through a purchase on the CME or through a block trade, if permissible 
under CME rules for the futures contracts comprising the missing 
futures contracts, and through purchases through banks, government 
securities dealers and broker-dealers, in the case of the Treasury 
Securities.
    The Funds will make available through the National Securities 
Clearing Corporation (``NSCC'') on each Business Day, prior to the 
opening of business of the Exchange's Core Trading Session (currently 
9:30 a.m., Eastern Time

[[Page 40820]]

(``E.T.'')), the list of the names and the required amount of each 
Deposit Instrument to be included in the current Portfolio Deposit 
(based on information at the end of the previous Business Day) for the 
Funds. Such Deposit Instruments will be applicable, subject to any 
adjustments as described below, to purchases of Baskets of the Funds 
until such time as the next-announced Deposit Instruments composition 
is made available. In addition to the list of names and numbers of 
instruments constituting the current Deposit Instruments of a Portfolio 
Deposit, on each Business Day, an estimate of the Cash Component, per 
outstanding Basket of a Fund, will be made available at the same time.
    Baskets of Shares may be purchased only by or through institutions 
that (1) are registered broker-dealers and, if required in connection 
with their activities, are registered futures commission merchants, (2) 
are members of the Depository Trust Company (``DTC''), and (3) have 
entered into agreements to act as authorized participants of the Trust 
(``Authorized Participants'').
    An Authorized Participant must submit an irrevocable purchase order 
no later than the earlier of (i) 2:00 p.m., E.T. or (ii) two hours 
prior to the scheduled closing time of the Exchange's Core Trading 
Session on any Business Day in order to receive that Business Day's 
NAV.
Redemption of Shares
    Shares of the Funds may be redeemed only in Baskets at their NAV 
next determined after receipt of a redemption request in proper form by 
the Distributor.
    By placing a redemption order, an Authorized Participant agrees to 
(1) deliver the ``Redemption Basket'' to be redeemed through DTC's 
book-entry system to a Fund's account with the Custodian not later than 
3:00 p.m. E.T. on the Business Day following the effective date of the 
redemption order, and (2) if required by the Sponsor in its sole 
discretion, enter into or arrange an EFRP or block trade, or any other 
over-the-counter transaction (through itself or a designated acceptable 
broker) with a Fund for the sale of a number and type of futures 
contracts at the closing settlement price for such contracts on the 
effective date of the redemption order.
    The Funds will make available through the NSCC prior to the opening 
of the NYSE Arca's Core Trading Session (currently 9:30 a.m., E.T.) on 
each Business Day, the identity and number of ``Deposit Instruments'' 
that will be applicable (subject to possible amendment or correction) 
to redemption requests received in proper form on that day. Deposit 
Instruments received on redemption may not be identical to Deposit 
Instruments that are applicable to creation of Baskets. Unless cash 
redemptions are available or specified for a Fund, the redemption 
proceeds for a Basket generally will consist of Deposit Instruments on 
the Business Day of the request for redemption, plus cash in an amount 
equal to the difference between the NAV of the Shares being redeemed, 
as next determined after a receipt of a request in proper form, and the 
value of the Deposit Instruments, less a fixed redemption transaction 
fee.
    An Authorized Participant must submit an irrevocable redemption 
request no later than the earlier of (i) 2:00 p.m., E.T. or (ii) two 
hours prior to the scheduled closing time of the Exchange's Core 
Trading Session on any Business Day in order to receive that Business 
Day's NAV.
Net Asset Value
    The NAV per Share for a Fund will be determined by dividing the NAV 
of a Fund by the number of outstanding Shares of a Fund. The NAV of 
each Fund will be calculated as soon as practicable after the close of 
trading of the Shares on the NYSE Arca's Core Trading Session (normally 
4:00 p.m. E.T.) on each Business Day. Each Fund's NAV on a Business Day 
will be obtained by subtracting accrued expenses and other liabilities 
borne by such Fund, if any, from the total value of the assets held by 
a Fund, in each case, as of the time of calculation.
    The value of the Dividend Futures Contracts and the Index Futures 
Contracts (together, the ``S&P 500 Futures Contracts'') will be 
determined by the Administrator by using the closing or settlement 
price published by the CME or, in the case of a market disruption, the 
last traded price before settlement. Cash equivalents (with the 
exception of money market funds and ETFs) will be valued on the basis 
of broker quotes or valuations provided by a third party pricing 
service. Money market funds will be valued at NAV. ETFs will be valued 
based on the last sale price on the applicable exchange.
Indicative Fund Value
    In addition, in order to provide updated information relating to a 
Fund for use by investors and market professionals, an updated 
``Indicative Fund Value'' (``IFV'') will be calculated and disseminated 
throughout the Exchange's Core Trading Session of 9:30 a.m. E.T. to 
4:00 p.m. E.T. on each trading day. The IFV will be calculated by using 
the prior day's closing NAV per Share of a Fund as a base and updating 
that value throughout the trading day to reflect changes in the most 
recently reported trade prices for the S&P 500 Futures Contracts on the 
CME. The IFV will be disseminated on a per Share basis for each Fund 
every 15 seconds during the Exchange's Core Trading Session.
Availability of Information
    The NAV for the Funds' Shares will be disseminated daily to all 
market participants at the same time. The Exchange will make available 
on its Web site at no charge daily trading volume of the Shares of each 
Fund, closing prices of such Shares, and number of Shares outstanding. 
The intraday, closing prices, and settlement prices of the S&P 500 
Futures Contracts will be readily available from the CME Web site, 
automated quotation systems, published or other public sources, or 
major market data vendors. Pricing information for cash equivalents is 
available from major market data vendors. In addition, price 
information for ETFs is available from the applicable exchange. 
Quotation information from brokers and dealers or pricing services is 
available for Treasury Securities.
    Complete real-time data for the S&P 500 Futures Contracts is 
available by subscription through on-line information services. CME 
also provides delayed futures information on current and past trading 
sessions and market news free of charge on its Web site. Quotation and 
last-sale information regarding the Shares will be disseminated through 
the facilities of the Consolidated Tape Association (``CTA''). The IFV 
will be available through on-line information services. The S&P 500 
Futures Contracts trading prices will be disseminated by one or more 
major market data vendors every 15 seconds during the NYSE Arca's Core 
Trading Session of 9:30 a.m. to 4:00 p.m. E.T.
    In addition, the Funds' Web site, www.metaurus.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 
day. The Web site disclosure of portfolio holdings will be made daily 
and will include, as applicable, (i) the composite value of the total 
portfolio, (ii) the quantity and type of each holding (including the 
ticker symbol, maturity date or other identifier, if any) and other 
descriptive information, (iii) the value of each Treasury Security and 
cash

[[Page 40821]]

equivalent,\16\ and (iv) the amount of cash held in each Fund's 
portfolio. The Funds' Web site will be publicly accessible at no 
charge.
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    \16\ Other than the futures contracts described herein and cash, 
Treasury Securities and cash equivalents are the only types of 
portfolio holdings that the Funds may hold.
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    This Web site disclosure of each Fund's daily holdings will occur 
at the same time as the disclosure by the Trust of the daily holdings 
to Authorized Participants so that all market participants are provided 
daily holdings information at the same time. Therefore, the same 
holdings information will be provided on the public Web site as well as 
in electronic files provided to Authorized Participants. Accordingly, 
each investor will have access to the current daily holdings of each 
Fund through the Funds' Web site.
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.\17\ 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 of a Fund inadvisable.
---------------------------------------------------------------------------

    \17\ See NYSE Arca Equities Rule 7.12.
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    The Exchange may halt trading during the day in which an 
interruption to the dissemination of the IFV or the value of an 
Underlying Index occurs. If the interruption to the dissemination of 
the IFV, or the value of an Underlying Index 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 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. 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, the Funds will be in compliance with 
Rule 10A-3 \18\ under the Act, as provided by NYSE Arca Equities Rule 
5.3. A minimum of 100,000 Shares of a Fund will be outstanding at the 
commencement of trading on the Exchange.
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    \18\ 17 CFR 240.10A-3.
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Surveillance
    The Exchange represents that 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.\19\ The Exchange represents that 
these procedures are adequate to properly monitor Exchange trading of 
the Shares of the Funds in all trading sessions and to deter and detect 
violations of Exchange rules and federal securities laws applicable to 
trading on the Exchange.
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    \19\ 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.
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    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 S&P 500 
Futures Contracts 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 and S&P 500 Futures Contracts from such markets and other 
entities. In addition, the Exchange may obtain information regarding 
trading in the Shares and S&P 500 Futures Contracts from markets and 
other entities that are members of ISG or with which the Exchange has 
in place a comprehensive surveillance sharing agreement (``CSSA'').\20\
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    \20\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Funds may trade on markets that are members of ISG or with which the 
Exchange has in place a CSSA.
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    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, indexes and reference assets, 
(b) limitations on portfolio holdings, indexes and reference assets, or 
(c) applicability of Exchange listing rules specified in this 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 a Fund 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 IFV will not be calculated or publicly disseminated; (2) the 
procedures for purchases and redemptions of Shares in Baskets (and that 
Shares are not individually redeemable); (3) NYSE Arca Equities Rule 
9.2(a), which imposes a duty of due diligence on its ETP Holders to 
learn the essential facts relating to every customer prior to trading 
the Shares; (4) how information regarding the IFV is disseminated; (5) 
how information regarding portfolio holdings is

[[Page 40822]]

disseminated; (6) the requirement that ETP Holders deliver a prospectus 
to investors purchasing newly issued Shares prior to or concurrently 
with the confirmation of a transaction; and (7) trading information.
    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 Exchange notes that investors 
purchasing Shares directly from a Fund will receive a prospectus. ETP 
Holders purchasing Shares from a Fund for resale to investors will 
deliver a prospectus to such investors. The Information Bulletin will 
also discuss any exemptive, no-action, and interpretive relief granted 
by the Commission from any rules under the Act. In addition, the 
Information Bulletin will reference that 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 stock index futures 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 after 
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) \21\ that an exchange has 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.
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    \21\ 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. The Exchange has in place surveillance procedures that are 
adequate to properly monitor trading in the Shares of the Funds in all 
trading sessions and to deter and detect violations of Exchange rules 
and applicable federal securities laws. The Exchange or FINRA, on 
behalf of the Exchange, or both, will communicate as needed regarding 
trading in the Shares, and S&P 500 Futures Contracts 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 and S&P 500 Futures 
Contracts from such markets and other entities. In addition, the 
Exchange may obtain information regarding trading in the Shares and S&P 
500 Futures Contracts from markets and other entities that are members 
of ISG or with which the Exchange has in place a CSSA. All S&P 500 
Futures Contracts are traded on CME, an ISG member. The Exchange will 
make available on its Web site daily trading volume of each of the 
Funds' Shares, closing prices of such Shares, and number of Shares 
outstanding. The intraday, closing prices, and settlement prices of the 
S&P 500 Futures Contracts will be readily available from the applicable 
exchange Web site, automated quotation systems, published or other 
public sources, or on-line information services.
    Complete real-time data for S&P 500 Futures Contracts is available 
by subscription from on-line information services. CME also provides 
delayed futures information on current and past trading sessions and 
market news free of charge on its Web site. Information regarding 
exchange-traded cash-settled options and cleared swap contracts will be 
available from the applicable exchanges and major market data vendors. 
Quotation and last-sale information regarding the Shares will be 
disseminated through the facilities of the CTA. In addition, the Funds' 
Web site will display the applicable end of day closing NAV. The daily 
holdings of each Fund will be disclosed on the Funds' Web site before 
9:30 a.m. E.T. each day. The Web site disclosure of portfolio holdings 
will be made daily and will include, as applicable, (i) the composite 
value of the total portfolio, (ii) the name and value of S&P 500 
Futures Contracts, (iii) the name and value of each Treasury Security 
and cash equivalent, and (iv) the amount of cash held in each Fund's 
portfolio.
    Moreover, prior to the commencement of trading, the Exchange will 
inform its Equity Trading Permit Holders in an Information Bulletin of 
the special characteristics and risks associated with trading the 
Shares. Trading in Shares of a Fund will be halted if the circuit 
breaker parameters in NYSE Arca Equities Rule 7.12 have been reached or 
because of market conditions or for reasons that, in the view of the 
Exchange, make trading in the Shares inadvisable
    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 Trust Issued Receipts based in part on futures 
prices 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 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.

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 
additional types of issues of Trust Issued Receipts based on futures 
indexes 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 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:

[[Page 40823]]

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-2017-88 on the subject line.

Paper Comments

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

    All submissions should refer to File Number SR-NYSEArca-2017-88. 
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-2017-88 and should be submitted on or before September 18, 
2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\22\
Eduardo A. Aleman,
Assistant Secretary.
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    \22\ 17 CFR 200.30-3(a)(12).
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[FR Doc. 2017-18125 Filed 8-25-17; 8:45 am]
 BILLING CODE 8011-01-P


