[Federal Register Volume 82, Number 221 (Friday, November 17, 2017)]
[Notices]
[Pages 54434-54437]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-24938]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-82066; File No. SR-NYSEArca-2017-85]


Self-Regulatory Organizations; NYSEArca, Inc.; Notice of Filing 
of Amendment No. 3, and Order Granting Accelerated Approval of a 
Proposed Rule Change, as Modified by Amendment No. 3, To Amend NYSE 
Arca Rule 8.700-E and To List and Trade Shares of the ProShares 
European Volatility Futures ETF

November 13, 2017.

I. Introduction

    On July 28, 2017, NYSE Arca, Inc. (``NYSE Arca'' or ``Exchange'') 
filed with the Securities and Exchange Commission (``Commission''), 
pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to: 
(1) Amend NYSE Arca Rule 8.700-E to expand the list of financial 
instruments that may be held by a trust that issues Managed Trust 
Securities; and (2) to list and trade shares (``Shares'') of the 
ProShares European Volatility Futures ETF (``Fund'') under proposed 
amended NYSE Arca Rule 8.700-E. The proposed rule change was published 
for comment in the Federal Register on August 16, 2017.\3\ On September 
21, 2017, the Exchange filed Amendment No. 1 to the proposed rule 
change, which amended and replaced the original filing in its entirety. 
On September 26, 2017, pursuant to Section 19(b)(2) of the Act,\4\ the 
Commission designated a longer period within which to either approve 
the proposed rule change, disapprove the proposed rule change, or 
institute proceedings to determine whether to disapprove the proposed 
rule change.\5\ On November 2, 2017, the Exchange filed Amendment No. 2 
to the proposed rule change, which amended and replaced in its entirety 
the proposed rule change as modified by Amendment No. 1. On November 9, 
2017, the Exchange filed Amendment No. 3 to the proposed rule 
change.\6\ The Commission has received no comments on the proposed rule 
change. The Commission is publishing this notice to solicit comments on 
Amendment No. 3 from interested persons, and is approving the proposed 
rule change, as modified by Amendment No. 3 on an accelerated basis.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 81373 (August 10, 
2017), 82 FR 38973.
    \4\ 15 U.S.C. 78s(b)(2).
    \5\ See Securities Exchange Act Release No. 81721, 82 FR 45922 
(October 2, 2017) (designating November 11, 2017 as the date by 
which the Commission will approve the proposed rule change, 
disapprove the proposed rule change, or institute proceedings to 
determine whether to disapprove the proposed rule change).
    \6\ In Amendment No. 3, the Exchange: (1) Represented that the 
EURO STOXX 50 Volatility Index (``VSTOXX'') levels will be widely 
disseminated by major market data vendors on a real-time basis 
throughout each trading day; (2) expanded its representation 
regarding when the sponsor would erect a ``fire wall'' to include 
the circumstance where the sponsor becomes a broker-dealer and 
represented that the sponsor will maintain the ``fire wall'' it 
implemented regarding access to information concerning the 
composition and/or changes to the Fund's portfolio; (3) narrowed the 
list of the Fund's permitted investments to exclude forwards; (4) 
described the Fund's policies concerning swap counterparties; (5) 
analyzed the impacts on arbitrage of the 9 a.m. Eastern Time 
creation and redemption order deadline and 11:30 a.m. Eastern Time 
net asset value (``NAV'') calculation time; (6) represented that, to 
the extent that the sponsor permits an exchange of a futures 
contract for a related position or block trade with the Fund, such 
transactions will be effected on that day in the same manner for all 
authorized participants; (7) supplemented its description of the 
Fund's NAV calculation methodology and the availability of price 
information for the Fund's permitted investments; (8) modified its 
description of the Indicative Optimized Portfolio Value (``IOPV'') 
methodology; (9) provided information regarding the dissemination of 
the NAV and the availability of pricing for the EURO STOXX 50 Index 
(``Index''), VSTOXX, and the Fund's benchmark; (10) represented that 
its surveillance procedures are adequate to continue to properly 
monitor the trading of the Managed Trust Securities that hold 
futures on VSTOXX (``Futures Contracts'') and/or swaps on VSTOXX in 
all trading sessions and to deter and detect violations of Exchange 
rules; (11) clarified where Futures Contracts are listed; (12) 
clarified the Fund's primary investment objective; and (13) made 
certain technical changes. Amendment No. 3 is available on the 
Commission's Web site at: https://www.sec.gov/comments/sr-nysearca-2017-85/nysearca201785-2678502-161479.pdf.
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II. Summary of the Proposed Rule Change, as Modified by Amendment No. 3 
7
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    \7\ Additional information regarding the Shares and the Trust, 
including investment strategies, risks, NAV calculation, creation 
and redemption procedures, fees, Trust (as defined herein) holdings, 
and taxes, among other information, is included in Amendment No. 3, 
supra note 7, and the Registration Statement, infra note 12.
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    The Exchange proposes to amend NYSE Arca Rule 8.700-E to add the 
VSTOXX as a reference asset to the futures contracts and swaps that may 
be held by trusts that issue Managed Trust Securities.\8\ NYSE Arca 
Rule 8.700-E governs the listing and trading of Managed Trust 
Securities on the Exchange. Additionally, the Exchange proposes to list 
and trade the Shares under the proposed rule.
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    \8\ Managed Trust Security is a security that is registered 
under the Securities Act of 1933 (15 U.S.C. 77a), as amended (the 
``Securities Act''), and (1) is issued by a trust that (a) is a 
commodity pool as defined in the Commodity Exchange Act (7 U.S.C. 
1), and that is managed by a commodity pool operator registered with 
the Commodity Futures Trading Commission, and (b) holds long and/or 
short positions in exchange-traded futures contracts and/or certain 
currency forward contracts and/or swaps selected by the trust's 
advisor consistent with the trust's investment objectives, which 
will only include, exchange-traded futures contracts involving 
commodities, commodity indices, currencies, currency indices, stock 
indices, fixed income indices, interest rates and sovereign, private 
and mortgage or asset backed debt instruments, and/or forward 
contracts on specified currencies, and/or swaps on stock indices, 
fixed income indices, commodity indices, commodities, currencies, 
currency indices, or interest rates, each as disclosed in the 
trust's prospectus as such may be amended from time to time, and 
cash and cash equivalents; and (2) is issued and redeemed 
continuously in specified aggregate amounts at the next applicable 
NAV. See NYSE Arca Rule 8.700-E (c)(1).
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A. Proposed Amendments to NYSE Arca Rule 8.700-E

    The Exchange proposes to amend NYSE Arca Rule 8.700-E (c)(1) to add 
the VSTOXX as a reference asset to the futures contracts and swaps that 
may be held by trusts that issue Managed Trust Securities.
    The VSTOXX is a non-investable index that seeks to measure the 
volatility of the Index over a future time horizon as implied by the 
price of option contracts on the Index.\9\ It is based on real-time 
prices of options on the Index listed on the Eurex Exchange 
(``Eurex''),\10\ and is designed to reflect the market expectations of 
near-term up to long-term volatility by measuring the square root of 
the implied variances across all options of a given time to expiration. 
The Index includes 50 stocks that are among the largest free-float 
market capitalization stocks from 11 Eurozone countries.\11\ STOXX 
Limited (``STOXX'') computes the Index on a real-time basis throughout 
each trading day, from 3:50 a.m. until 12:30 p.m. Eastern Time. The 
Index value is widely disseminated by major market data vendors on a 
real-time basis throughout each trading day.
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    \9\ The VSTOXX does not measure the actual volatility of the 
Index.
    \10\ Eurex is a member of the Intermarket Surveillance Group 
(``ISG'') and, as such, the Exchange may obtain information 
regarding trading in the futures contracts on VSTOXX listed by 
Eurex.
    \11\ The countries are: Austria, Belgium, Finland, France, 
Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and 
Spain.
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    Futures Contracts are cash settled and trade exclusively on Eurex 
between the hours of 2:30 a.m. and 5:30 p.m. Eastern

[[Page 54435]]

Time.\12\ The value of these futures contracts is 100 Euros per index 
point of the underlying, and it is traded to two decimal places with a 
minimum price change of 0.05 points (equivalent to a value of 5 Euros). 
The daily settlement price of these futures contracts is determined 
during the closing auctions. The last trading day and final settlement 
day is 30 calendar days prior to the third Friday of the expiration 
month of the underlying options, which is usually the Wednesday prior 
to the second to last Friday of the respective maturity month. 
Information regarding the VSTOXX and the overlying futures can be found 
on STOXX's Web site and the Eurex Web site, respectively.
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    \12\ See Amendment No. 3, supra note 7, at 7, n.10, and 5.
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B. The Listing and Trading of the Shares

    The Exchange proposes to list and trade the Shares under proposed 
NYSE Arca Rule 8.700-E. The Fund will be a commodity pool that is a 
series of the ProShares Trust II (``Trust'').\13\ The Fund's sponsor, 
ProShare Capital Management LLC (``Sponsor''), is registered as a 
commodity pool operator and is affiliated with a Financial Industry 
Regulatory Authority (``FINRA'')-registered broker-dealer. Brown 
Brothers Harriman & Co. will be the administrator, custodian and 
transfer agent of the Fund and the Shares. SEI Investments Distribution 
Co. (``SEI'') will be the distributor for the Shares. The Fund's 
primary investment objective will be to provide long exposure to lead-
month Futures Contracts, and the Fund will use the Futures Contracts as 
a performance benchmark (``Benchmark''). The Fund will be actively 
managed and will have a secondary investment objective to outperform 
the Benchmark by actively managing the ``rolling'' of its Futures 
Contracts.\14\
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    \13\ On May 12, 2017, the Trust filed with the Commission a 
registration statement on Form S-1 under the Securities Act relating 
to the Fund (File No. 333-217962) (``Registration Statement''). The 
description of the operation of the Trust and the Fund herein is 
based, in part, on the Registration Statement.
    \14\ The Fund will not seek to track or outperform either the 
VSTOXX or the Index, and the performance of the Fund will be very 
different from the performance of either the VSTOXX Index or the 
Index.
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    Under normal market conditions,\15\ the Fund generally will seek to 
remain fully invested at all times in lead-month Futures Contracts in a 
manner consistent with its investment objectives without regard to 
market conditions, trends, or direction.\16\ The Fund will invest the 
remainder of its un-invested assets in 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'').
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    \15\ ``Normal market conditions'' is defined in NYSE Arca Rule 
8.600-E (c)(5).
    \16\ See Amendment No. 3, supra note 7, at 8.
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    Under limited circumstances, the Fund also may invest in swap 
contracts (``Swap Contracts'') that reference the Benchmark. In the 
event position price or accountability limits are reached with respect 
to lead month Futures Contracts, the Sponsor may, in its commercially 
reasonable judgment, cause the Fund to invest in Swap Contracts.\17\ 
The Fund may also invest in Swap Contracts if the market for a specific 
Futures Contract experiences an emergency (e.g., natural disaster, 
terrorist attack or an act of God) or disruption (e.g., a trading halt 
or a flash crash) which, in the Sponsor's commercially reasonable 
judgment, prevent, or otherwise make it impractical, for the Fund to 
obtain the appropriate amount of investment exposure to the affected 
Futures Contracts.
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    \17\ See id. The Fund intends to enter into Swap Contracts only 
with major, global financial institutions; however, there are no 
limitations on the percentage of its assets the Fund may invest in 
Swap Contracts with a particular counterparty. The Fund may use 
various techniques to minimize credit risk. The Fund will seek to 
mitigate risks in connection with the uncleared OTC swaps by 
generally requiring that the counterparties for the Fund agree to 
post collateral for the benefit of the Fund, marked to market daily, 
subject to certain minimum thresholds.
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    The Fund will also hold cash or cash equivalents, such as U.S. 
Treasury securities or other high credit quality, short-term fixed-
income or similar securities (such as shares of money market funds and 
collateralized repurchase agreements), for direct investment, as 
collateral for its futures and Swap Contracts, or pending investment in 
Futures Contracts and Swap Contracts. The Fund may invest up to 100% of 
its assets in any of these types of cash or cash equivalent securities.

III. Discussion and Commission's Findings

    After careful review, the Commission finds that the proposed rule 
change is consistent with the requirements of Section 6 of the Act \18\ 
and the rules and regulations thereunder applicable to a national 
securities exchange.\19\ In particular, the Commission finds that the 
proposal is consistent with Section 6(b)(5) of the Act,\20\ which 
requires, among other things, that the Exchange's rules be designed to 
prevent fraudulent and manipulative acts and practices, to promote just 
and equitable principles of trade, to foster cooperation and 
coordination with persons engaged in regulating, clearing, settling, 
processing information with respect to, and facilitating transactions 
in securities, to remove impediments to and perfect the mechanism of a 
free and open market and a national market system, and, in general, to 
protect investors and the public interest. The Commission also finds 
that the proposal is consistent with Section 11A(a)(1)(C)(iii) of the 
Act,\21\ which sets forth Congress' finding that it is in the public 
interest and appropriate for the protection of investors and the 
maintenance of fair and orderly markets to assure the availability to 
brokers, dealers, and investors of information with respect to 
quotations for, and transactions in, securities.
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    \18\ 15 U.S.C. 78f.
    \19\ In approving this proposed rule change, the Commission has 
considered the proposed rule's impact on efficiency, competition, 
and capital formation. See 15 U.S.C. 78c(f).
    \20\ 17 U.S.C. 78f(b)(5).
    \21\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
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A. Exchange's Proposal To Amend Rule 8.700-E 22
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    \22\ See Securities Exchange Act Release No. 79975 (February 6, 
2017), 82 FR 10418 (February 10, 2017) (SR-NYSEArca-2017-08) (adding 
EURO STOXX 50 Volatility Futures to the definition of Futures 
Reference Asset in Rule 5.2(j)(6)); Securities Exchange Act Release 
No. 79069 (October 7, 2016), 81 FR 70714 (October 13, 2016) (SR-
BatsBZX-2016-26) (amending Bats BZX Exchange Rule 14.11(d) to add 
EURO STOXX 50 Volatility Futures to the definition of Futures 
Reference Asset).
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    With respect to the proposal to amend NYSE Arca Rule 8.700-E (c)(1) 
to add the VSTOXX as a reference asset to the futures contracts and 
swaps that may be held by trusts that issue Managed Trust Securities, 
the Commission notes that VSTOXX is included as a reference asset for 
Futures-Linked Securities,\23\ and notwithstanding the addition of 
VSTOXX as a reference asset, the existing initial and continued listing 
criteria applicable to Managed Trust Securities would continue to 
apply. These continued listing standards require, among other things, 
that: (1) The Disclosed Portfolio (as defined in NYSE Arca Rule 8.700-E 
(c)(2)) be disseminated at least daily and to all market participants 
at the same time; (2) an Intraday Indicative Value be calculated and 
widely disseminated by one or more major market data vendors on at 
least a 15-second basis during the Exchange's Core Trading Session; and 
(3) following the initial 12-month period after the commencement of 
trading of an issue of Managed Trust Securities, (a) the trust must 
have 50,000 or more

[[Page 54436]]

Managed Trust Securities issued and outstanding, (b) the market value 
of all Managed Trust Securities issued and outstanding must be 
$1,000,000 or more, and (c) there must be 50 or more record and/or 
beneficial holders.\24\
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    \23\ See NYSE Arca Rule 5.2-E (j)(6)(v).
    \24\ See NYSE Arca Rule 8.700-E(e)(2).
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    Additionally, the Commission notes that the Exchange has 
represented that its surveillance procedures are adequate to continue 
to properly monitor the trading of the Managed Trust Securities that 
hold Futures Contracts and/or swaps on VSTOXX in all trading sessions 
and to deter and detect violations of Exchange rules.\25\
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    \25\ See Amendment No. 3, supra note 7, at 6.
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B. Exchange's Proposal To List and Trade the ProShares European 
Volatility Futures ETF

    The Commission notes 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. 
Quotation and last-sale information for the Shares will be available 
via the Consolidated Tape Association (``CTA'') high-speed line, and 
the previous day's closing price and trading volume information for the 
Shares will be published daily in the financial section of newspapers. 
In addition, information regarding market price and trading volume of 
the Shares will be continually available on a real-time basis 
throughout the day on brokers' computer screens and other electronic 
services.
    The Commission believes that the proposal to list and trade the 
Shares is reasonably designed to promote fair disclosure of information 
that may be necessary to price the Shares appropriately and to prevent 
trading when a reasonable degree of transparency cannot be assured. The 
Trust's NAV and the NAV per Share will be calculated and disseminated 
daily. The Exchange will disseminate for the Trust on a daily basis by 
means of the CTA high-speed line information with respect to the most 
recent NAV per Share, and the number of Shares outstanding. The 
Exchange also will make available on its Web site daily trading volume, 
closing prices and the NAV per Share. The IOPV for the Shares will be 
widely disseminated by one or more major market data vendors at least 
every 15 seconds during the Exchange's Core Trading Session. On a daily 
basis, the Trust will disclose on its Web site (www.Proshares.com) for 
all of the assets held by the Fund the following information: Name; 
ticker symbol (if applicable); CUSIP or other identifier (if 
applicable); description of the holding; with respect to derivatives, 
the identity of the security, commodity, index or other underlying 
asset; the quantity or aggregate amount of the holding as measured by 
par value, notional value or amount, number of contracts or number of 
units (if applicable); maturity date; coupon rate (if applicable); 
effective date or issue date (if applicable); market value; percentage 
weighting in the Disclosed Portfolio; and expiration date (if 
applicable). The Trust's Web site will also include the current 
prospectus of the Trust and additional data relating to NAV and other 
applicable quantitative information. The Web site information will be 
publicly available at no charge. Pricing for the Index, VSTOXX, the 
Benchmark, Swap Contracts, cash equivalents, and Money Market 
Instruments will be available from major market data vendors. Pricing 
for Futures Contracts will be available from Eurex.
    The Exchange will obtain a representation from the Trust that the 
NAV and the NAV per Share will be calculated daily and that the NAV, 
the NAV per Share, and the composition of the Disclosed Portfolio will 
be made available to all market participants at the same time. Further, 
trading in the Shares will be subject to NYSE Arca Rules 7.12-E and 
8.700-E(e)(2)(D), which set forth circumstances under which trading in 
the Shares may be halted. 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.\26\
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    \26\ These may include: (1) The extent to which trading is not 
occurring in the underlying futures contracts or swaps; or (2) 
whether other unusual conditions or circumstances detrimental to the 
maintenance of a fair and orderly market are present.
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    Further, the Reporting Authority that provides the Disclosed 
Portfolio must implement and maintain, or be subject to, procedures 
designed to prevent the use and dissemination of material, non-public 
information regarding the actual components of the portfolio.\27\ The 
Exchange represents that it has a general policy prohibiting the 
distribution of material, non-public information by its employees.
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    \27\ See NYSE Arca Rule 8.700-E(e)(2)(B)(ii).
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    In support of this proposal, the Exchange has made the following 
representations:
    (1) The Trust will be subject to the criteria in NYSE Arca Rule 
8.700-E for initial and continued listing of the Shares.
    (2) In the event (a) the Sponsor becomes a broker-dealer or newly 
affiliated with a broker-dealer, or (b) any new sponsor becomes 
affiliated with a broker-dealer, such broker-dealer shall erect and 
maintain a ``fire wall'' around the personnel of the sponsor who have 
access to information concerning changes and adjustments to the 
Disclosed Portfolio.\28\
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    \28\ The Exchange also states that the Sponsor's Code of Ethics 
and internal controls are designed to prevent and detect improper 
exchanges of information concerning the composition and/or changes 
to the Fund's portfolio.
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    (3) Personnel of the Sponsor who make decisions regarding the 
composition of the Disclosed Portfolio must be subject to procedures 
designed to prevent the use and dissemination of material nonpublic 
information regarding the Disclosed Portfolio.
    (4) The Exchange has appropriate rules to facilitate transactions 
in the Shares during all trading sessions.
    (5) Trading in the Shares will be subject to the existing trading 
surveillances administered by the Exchange, as well as cross-market 
surveillances administered by FINRA on behalf of the Exchange, and 
these procedures are adequate to properly monitor Exchange trading of 
the Shares in all trading sessions and to deter and detect violations 
of Exchange rules and applicable federal securities laws.\29\
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    \29\ The Exchange states that FINRA conducts cross-market 
surveillances on behalf of the Exchange pursuant to a regulatory 
services agreement, and that the Exchange is responsible for FINRA's 
performance under this regulatory services agreement.
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    (6) The Exchange or FINRA, on behalf of the Exchange, or both, will 
communicate as needed regarding trading in the Shares and Futures 
Contracts with other markets or 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 Futures 
Contracts from such markets or entities. In addition, the Exchange may 
obtain information regarding trading in the Shares and Futures 
Contracts from markets or other entities that are members of ISG or 
with which the Exchange has in place a comprehensive surveillance 
sharing agreement. FINRA, on behalf of the Exchange, is able to access, 
as needed, trade information for certain Money Market Instruments held 
by the Fund reported to FINRA's TRACE.
    (7) Prior to the commencement of trading, the Exchange will inform 
its ETP Holders in an Information Bulletin (``Bulletin'') of the 
special characteristics and risks associated with trading the Shares. 
Specifically, the Bulletin will discuss the following: (a) The 
procedures for purchases and

[[Page 54437]]

redemptions of Shares (and that Shares are not individually 
redeemable); (b) NYSE Arca Rule 9.2-E (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; (c) the requirement that 
ETP Holders deliver a prospectus to investors purchasing newly issued 
Shares prior to or concurrently with the confirmation of a transaction; 
(d) how information regarding the IOPV and the Disclosed Portfolio is 
disseminated; (e) the risks involved in trading the Shares during the 
opening and late trading sessions when an updated IOPV will not be 
calculated or publicly disseminated; and (f) trading information.
    (8) The Exchange represents that, for the initial and continued 
listing of the Shares, the Trust must be in compliance with NYSE Arca 
Rule 5.3-E and Rule 10A-3 under the Act.
    (9) A minimum of 100,000 Shares will be outstanding at the start of 
trading on the Exchange.
    (10) All statements and representations made in this filing 
regarding (a) the description of the portfolio of the Fund and 
Benchmark, (b) limitations on portfolio of the Fund and Benchmark, 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.
    (11) In addition, the issuer has represented to the Exchange that 
it will advise the Exchange of any failure by the 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 Rule 5.5-E (m).

This approval order is based on all of the Exchange's representations, 
including those set forth above and in Amendment No. 3.

IV. Solicitation of Comments on Amendment No. 3 to the Proposed Rule 
Change

    Interested persons are invited to submit written data, views, and 
arguments concerning whether Amendment No. 3 are 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 [email protected]. Please include 
File Number SR-NYSEArca-2017-85 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-2017-85. 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. Persons submitting 
comments are cautioned that we do not redact or edit personal 
identifying information from comment submissions. You should submit 
only information that you wish to make available publicly. All 
submissions should refer to File Number SR-NYSEArca-2017-85, and should 
be submitted on or before December 8, 2017.

V. Accelerated Approval of Proposed Rule Change, as Modified by 
Amendment No. 3

    The Commission finds good cause to approve the proposed rule 
change, as modified by Amendment No. 3, prior to the thirtieth day 
after the date of publication of notice of the filing of Amendment No. 
3 in the Federal Register. Amendment No. 3 supplements the proposed 
rule change by, among other things: (1) Representing that the VSTOXX 
levels will be widely disseminated by major market data vendors on a 
real-time basis throughout each trading day; (2) expanding its 
representation regarding when the Sponsor would erect a ``fire wall,'' 
and representing that the Sponsor will maintain the ``fire wall'' it 
implemented regarding access to information concerning the composition 
and/or changes to the Fund's portfolio; (3) narrowing the list of the 
Fund's permitted investments to exclude forwards; (4) supplementing its 
description of the availability of price information for the Fund's 
permitted investments; (5) providing information regarding the 
dissemination of the Trust's NAV; and (6) making representations 
regarding the Exchange's surveillance of Managed Trust Securities. 
These changes assisted the Commission in evaluating whether the 
proposal would be consistent with Section 6(b)(5) of the Act. 
Accordingly, the Commission finds good cause, pursuant to Section 
19(b)(2) of the Act,\30\ to approve the proposed rule change, as 
modified by Amendment No. 3, on an accelerated basis.
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    \30\ 15 U.S.C. 78s(b)(2).
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VI. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\31\ that the proposed rule change (SR-NYSEArca-2017-85), as 
modified by Amendment No. 3 be, and it hereby is, approved on an 
accelerated basis.
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    \31\ Id.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\32\
Eduardo A. Aleman,
Assistant Secretary.
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    \32\ 17 CFR 200.30-3(a)(12).
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[FR Doc. 2017-24938 Filed 11-16-17; 8:45 am]
 BILLING CODE 8011-01-P


