[Federal Register Volume 82, Number 227 (Tuesday, November 28, 2017)]
[Notices]
[Pages 56311-56315]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-25606]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-82138; File No. SR-NYSEArca-2017-88]


Self-Regulatory Organizations; NYSE Arca, Inc.; Order Approving a 
Proposed Rule Change, as Modified by Amendments No. 1 and 2, To List 
and Trade Shares of the U.S. Equity Cumulative Dividends Fund--Series 
2027 and the U.S. Equity Ex-Dividend Fund--Series 2027 Under NYSE Arca 
Rule 8.200-E, Commentary .02

November 21, 2017.

I. Introduction

    On August 8, 2017, NYSE Arca, Inc. (``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 list and trade 
shares (``Shares'') of the U.S. Equity Cumulative Dividends Fund--
Series 2027 (``Dividend Fund'') and the U.S. Equity Ex-Dividend Fund--
Series 2027 (``Ex-Dividend Fund,'' each a ``Fund,'' and collectively 
the ``Funds'') under NYSE Arca Equities Rule 8.200, Commentary .02.\3\ 
The proposed rule change was published for comment in the Federal 
Register on August 28, 2017.\4\ On November 14, 2017, the Exchange 
filed Amendment No. 1 to the proposed rule change.\5\ On November 16, 
2017, the Exchange filed Amendment No. 2 to the proposed rule 
change.\6\ The Commission has not received any comments on the proposed 
rule change. This order approves the proposed rule change, as modified 
by Amendments No.1 and 2 thereto.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ The Commission notes that, on August 17, 2017, the 
Commission approved a proposed rule change that, among other things, 
created a single rulebook of the Exchange. See Securities Exchange 
Act Release No. 81419, 82 FR 40044 (Aug. 23, 2017) (SR-NYSEArca-
2017-40). As a result, NYSE Arca Equities Rule 8.200 became NYSE 
Arca Rule 8.200-E.
    \4\ See Securities Exchange Act Release No. 81453 (Aug. 22, 
2017), 82 FR 40816.
    \5\ In Amendment No. 1 (``Amendment No. 1''), which amended and 
replaced the proposed rule change in its entirety, the Exchange: (1) 
Changed the custodian of the Funds; (2) stated that the Dividend 
Fund will seek investment results that, before fees and expenses, 
correspond to the performance of the Solactive U.S. Cumulative 
Dividends Index Series 2027 over each calendar year; (3) clarified 
that the value of the Dividend Fund's Shares will be affected by the 
ordinary cash dividends that have been paid to date and general 
expectations in the market regarding the future levels of such 
dividends; (4) clarified that the Dividend Fund's exposure to 
dividend payments made by S&P 500 constituent companies will be 
based exclusively on its investments in annual S&P 500 dividend 
futures contracts; (5) clarified that pricing may be an example of a 
market factor pursuant to which the Dividend Fund may invest in 
quarterly S&P 500 dividend futures contracts; (6) clarified that the 
Ex-Dividend Fund will seek investment results that, before fees and 
expenses, correspond to the performance of the Solactive U.S. Equity 
Ex-Dividends Index--Series 2027 so as to provide shareholders with 
returns that are equivalent to the performance of 0.5 shares of 
SPDR[supreg] S&P 500[supreg] ETF less the value of current and 
future expected ordinary cash dividends to be paid on the S&P 500 
constituent companies over the term of the Ex-Dividend Fund; (7) 
stated that the quarterly S&P 500 Index futures contracts are traded 
on the Chicago Mercantile Exchange (``CME''); (8) clarified that the 
Ex-Dividend Fund intends to track the performance of the Solactive 
Ex-Dividend Index by selling annual S&P dividend futures contracts; 
(9) represented that the Trust (defined herein) will issue and sell 
Shares of a Fund in one or more block size aggregations of 50,000 
shares; (10) represented that an updated indicative fund value'' 
(``IFV'') will be calculated and disseminated by a third party 
service provider in accordance with the rules of the Exchange, and 
the IFV will be calculated by using the prior day's closing net 
asset value (``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 instruments traded by a Fund; and 
(11) made other technical changes. Because Amendment No. 1 made the 
clarifying changes and representations summarized above and does not 
raise unique or novel regulatory issues. Amendment No. 1 is not 
subject to notice and comment.
    \6\ In Amendment No. 2, which is a partial amendment, the 
Exchange updated the proposed rule change to reflect that the 
Registration Statement has been filed with the Commission. Because 
Amendment No. 2 simply deletes information regarding the draft 
registration statement and provides information related to the filed 
Registration Statement and does not raise unique or novel regulatory 
issues, Amendment No. 2 is not subject to notice and comment.
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II. The Exchange's Description of the Proposal \7\
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    \7\ Additional information regarding the Funds, the Trust, and 
the Shares can be found in Amendments No. 1 and 2 and the 
Registration Statement. See supra notes 5 and 6 and infra note 9.
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    The Exchange proposes to list and trade the Shares under NYSE Arca 
Rule 8.200-E, Commentary .02, which governs the listing and trading of 
Trust Issued Receipts.\8\ Each Fund will be a

[[Page 56312]]

series of Metaurus Equity Component Trust (``Trust''), a Delaware 
statutory trust.\9\ Metaurus Advisors LLC (``Metaurus'' or ``Sponsor'') 
will be the sponsor, commodity pool operator and commodity trading 
advisor of each Fund. The Funds' administrator will be SEI Investments 
Global Fund Services, (``Administrator''), who will be responsible for 
the day-to-day administration of the Trust and the Funds, including 
valuing all of the portfolio holdings of the Funds and calculating the 
NAV of the Funds. The Bank of New York Mellon will serve as registrar 
and transfer agent for the Funds as well as custodian for the Funds. 
Each Fund is a commodity pool as defined in the Commodity Exchange Act 
\10\ and the applicable regulations of the Commodity Futures Trading 
Commission (``CFTC'').
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    \8\ Commentary .02 to NYSE Arca Rule 8.200-E applies to Trust 
Issued Receipts that invest in ``Financial Instruments.'' The term 
``Financial Instruments,'' as defined in Commentary .02(b)(4) to 
NYSE Arca Rule 8.200-E, 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.
    \9\ On November 15, 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) relating to the Funds (File No. 333-221591) 
(``Registration Statement''). The description of the operation of 
the Trust and the Funds herein is based, in part, on the 
Registration Statement.
    \10\ 7 U.S.C. 1a(10).
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A. U.S. Equity Cumulative Dividends Fund--Series 2027

    The Dividend Fund will seek investment results that, before fees 
and expenses, correspond to the performance of the Solactive U.S. 
Cumulative Dividends Index--Series 2027 (``Solactive Dividend Index'') 
over each calendar year. 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 Dividend Fund intends primarily to invest its assets in the 
component instruments of the Solactive Dividend Index, as well as cash 
and cash equivalents.\11\ 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 CME \12\ that provide exposure to dividends paid on the S&P 500 
constituent companies (``Annual S&P 500 Dividend Futures Contracts'') 
\13\ pro rata for each year of the life of the Dividend Fund.\14\ 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. While the 
Dividend Fund will invest primarily in the component instruments of the 
Solactive Dividend Index, cash and cash equivalents, in certain 
instances, the Dividend Fund may invest in quarterly S&P 500 dividend 
futures contracts \15\ (``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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    \11\ 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''). The ETFs in which a Fund may invest will be ETFs 
that invest principally in money market instruments, and all ETF 
shares will be listed and traded on national securities exchanges.
    \12\ CME Group, Inc. is a member of the Intermarket Surveillance 
Group (``ISG''). See note 8, infra.
    \13\ 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.
    \14\ 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.
    \15\ 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 expects to pay monthly cash distributions to its 
shareholders throughout each calendar year. Such distributions will, 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) 
(``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).\16\ The Dividend Fund's exposure to dividend payments made by 
S&P 500 constituent companies will be based exclusively on its 
investments in the Annual S&P 500 Dividend Futures Contracts.
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    \16\ 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.
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    The Dividend Fund will not employ leverage \17\ to implement its 
investment strategy. The Dividend Fund may, however, enter into short-
term loans and reverse repurchase agreements for liquidity purposes, 
including to fund distributions.
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    \17\ Leverage means the use of loans, borrowings and extensions 
of credit from third parties for the purchase of investments.
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    Solactive Dividend Index. The Solactive Dividend Index is an index 
that is owned, maintained, calculated and distributed by Solactive AG, 
an independent index sponsor and data provider (``Solactive'').\18\ The 
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.
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    \18\ 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.
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    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. All specifications and information 
relevant for calculating the Solactive Dividend Index are made 
available at http://www.solactive.de.
    The Solactive Dividend Index is calculated and published in United 
States dollars (``USD'') based on the prices of the components on the

[[Page 56313]]

applicable listing exchanges posted by quotation services or otherwise 
as determined by Solactive. The Solactive Dividend Index does not weigh 
the values of the index components. The value of the Solactive Dividend 
Index is widely disseminated every 15 seconds on each ``Business Day'' 
\19\ by major market data vendors during the NYSE Arca's Core Trading 
Session.
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    \19\ A ``Business Day'' means any day on which the NYSE Arca is 
open for business, including any partial-day opening.
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    The Exchange represents that 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. Members 
of the committee are subject to procedures designed to prevent the use 
and dissemination of material non-public information regarding changes 
to the Solactive Dividend Index.

B. U.S. Equity Ex-Dividend Fund--Series 2027

    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 investment 
results that, before fees and expenses, correspond to the performance 
of the Solactive U.S. Equity Ex-Dividends Index--Series 2027 
(``Solactive Ex-Dividend Index'', and together with the Solactive 
Dividend Index, the ``Underlying Indexes'') so as to provide 
shareholders with returns that are equivalent to the performance of 0.5 
shares of SPDR[supreg] S&P 500[supreg] ETF (``SPDRs'') \20\ less the 
value of current and future expected ordinary cash dividends to be paid 
on the S&P 500 constituent companies over the term of the Ex-Dividend 
Fund.
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    \20\ 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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    In seeking to track the Solactive Ex-Dividend Index, the Ex-
Dividend Fund intends to replicate the returns of SPDRs through: (1) 
Owning long positions in quarterly S&P 500 Index futures contracts 
traded on the CME (``Quarterly S&P 500 Index Futures Contracts'') 
rather than shares of SPDRs; \21\ and (2) selling Annual S&P 500 
Dividend Futures Contracts. The Ex-Dividend Fund may also hold Treasury 
Securities, cash, and cash equivalents. If in the best interest of the 
Ex-Dividend Fund, the Ex-Dividend Fund also may invest in annual S&P 
500 Index futures contracts \22\ (``Annual S&P 500 Index Futures 
Contracts,'' and, together with the Quarterly S&P 500 Index Futures 
Contracts, the ``Index Futures Contracts'') and Quarterly S&P 500 
Dividend Futures Contracts.
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    \21\ 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.
    \22\ These contracts trade on the CME.
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    The Ex-Dividend Fund will not employ leverage \23\ to implement its 
investment strategy. The Ex-Dividend Fund may, however, enter into 
short-term loans and reverse repurchase agreements for liquidity 
purposes.
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    \23\ See supra note 7.
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Solactive Ex-Dividend Index
    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. The index is owned, maintained, 
calculated, and distributed by Solactive.\24\
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    \24\ 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.
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    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, which is calculated and published in USD, is based on the most 
recent prices of the index components on the applicable listing 
exchanges posted by quotation services or otherwise as determined by 
Solactive. In calculating the index value, no weighting is applied to 
the components. All specifications and information relevant for 
calculating the Solactive Ex-Dividend Index are made available at 
http://www.solactive.de.
    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.
    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. Members of the committee are 
subject to procedures designed to prevent the use and dissemination of 
material non-public information regarding changes to the Solactive Ex-
Dividend Index.

III. Discussion and Commission Findings

    After careful review, the Commission finds that the Exchange's 
proposal to list and trade the Shares is consistent with the Act and 
the rules and regulations thereunder applicable to a national 
securities exchange.\25\ In particular, the Commission finds that the 
proposed rule change, as modified by Amendments No. 1 and 2, is 
consistent with Section 6(b)(5) of the Act,\26\ which requires, among 
other things, that the Exchange's rules be designed to prevent 
fraudulent and manipulative acts and practices, promote just and 
equitable principles of trade, to remove impediments to and perfect the 
mechanism of a free and open market and a national market system, and, 
in general, to protect investors and the public interest. The 
Commission also finds that the proposal to list and trade the Shares on 
the Exchange is consistent with Section 11A(a)(1)(C)(iii) of the 
Act,\27\ 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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    \25\ 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).
    \26\ 15 U.S.C. 78f(b)(5).
    \27\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
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    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. According to 
the Exchange, quotation and last-sale information regarding the Shares 
will be disseminated through the facilities of the Consolidated Tape 
Association

[[Page 56314]]

(``CTA''). 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 
Funds' Web site disclosure of portfolio holdings will be made daily and 
will include, as applicable: The composite value of the total 
portfolio; the quantity and type of each holding (including the ticker 
symbol, maturity date or other identifier, if any) and other 
descriptive information; the value of each Treasury Security and cash 
equivalent; and the amount of cash held in each Fund's portfolio. 
Accordingly, each investor will have access to the current daily 
holdings of each Fund through the Funds' Web site, which will be 
publicly accessible at no charge. 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. 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 the underlying money market 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 online information services. CME also provides 
delayed futures information on current and past trading sessions and 
market news free of charge on its Web site.
    Additionally, the Commission believes that the proposal to list and 
trade the Shares is reasonably designed to prevent trading when a 
reasonable degree of transparency cannot be assured. 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. Further, the Exchange may halt trading during the 
day in which an interruption to the dissemination of the Indicative 
Fund Value (``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. Trading in Shares of a Fund 
will be halted if the circuit breaker parameters in NYSE Arca Rule 
7.12-E 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 Commission believes that the proposed rule change is designed 
to prevent fraudulent and manipulative acts and practices because the 
Exchange has a general policy prohibiting the distribution of material, 
non-public information by its employees. Moreover, trading of the 
Shares will be subject to NYSE Arca Rule 8.200-E, 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 Commission notes that the 
Exchange or the Financial Industry Regulatory Authority (``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, all S&P 
500 Futures Contracts are traded on CME, an ISG member and 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.\28\
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    \28\ For a list of the current members of ISG, see 
www.isgportal.org.
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    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. In support of this 
proposal, the Exchange represented that:
    (1) The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Rule 8.200-E.\29\
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    \29\ See Amendment No. 1, supra note 5.
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    (2) The Exchange has appropriate rules to facilitate transactions 
in the Shares during all trading sessions.\30\
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    \30\ See id.
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    (3) 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, which 
are designed to detect violations of Exchange rules and applicable 
federal securities laws, 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 federal securities 
laws applicable to trading on the Exchange.\31\
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    \31\ See id.
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    (4) 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: 
(a)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; (b) the procedures for purchases and redemptions of 
Shares in Baskets (and that Shares are not individually redeemable); 
(c) 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; (d) how information regarding the IFV is 
disseminated; (e) how information regarding portfolio holdings is 
disseminated; (f) 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 (g) trading 
information.\32\
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    \32\ See Amendment 1, supra note 5.
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    (5) For initial and continued listing, each Fund will be in 
compliance with Rule 10A-3 under the Act,\33\ as provided by NYSE Arca 
Rule 5.3-E.\34\
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    \33\ 17 CFR 240.10A-3.
    \34\ See Amendment 1, supra note 5.
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    (6) A minimum of 50,000 Shares of a Fund will be outstanding at the 
commencement of trading on the Exchange.\35\
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    \35\ See id.
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    (7) 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.\36\
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    \36\ See id.
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    (8) 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.\37\ If a Fund is not in

[[Page 56315]]

compliance with the applicable listing requirements, the Exchange will 
commence delisting procedures under NYSE Arca Rule 5.5-E(m).
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    \37\ See id. The Commission notes that certain other proposals 
for the listing and trading of Managed Fund Shares include a 
representation that the exchange will ``surveil'' for compliance 
with the continued listing requirements. See, e.g., Securities 
Exchange Act Release No. 77499 (April 1, 2016), 81 FR 20428 (April 
7, 2016), available at: http://www.sec.gov/rules/sro/bats/2016/34-77499.pdf. In the context of this representation, it is the 
Commission's view that ``monitor'' and ``surveil'' both mean ongoing 
oversight of each Fund's compliance with the continued listing 
requirements. Therefore, the Commission does not view ``monitor'' as 
a more or less stringent obligation than ``surveil'' with respect to 
the continued listing requirements.
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    This approval order is based on all of the Exchange's 
representations and description of the Funds, including those set forth 
above and in Amendments No. 1 and 2. The Commission notes that the 
Shares must comply with the requirements of NYS Arca Rule 8.200-E, 
Commentary .02 thereto to be listed and traded in the Exchange on an 
initial and continuing basis.
    For the foregoing reasons, the Commission finds that the proposed 
rule change, as modified by Amendments No.1 and 2, is consistent with 
Section 6(b)(5) of the Act \38\ and the rules and regulations 
thereunder applicable to a national securities exchange.
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    \38\ 15 U.S.C. 78f(b)(5).
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IV. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\39\ that the proposed rule change (SR-NYSEArca-2017-88), as 
modified by Amendments No. 1 and 2, be, and it hereby is, approved.
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    \39\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\40\
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    \40\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-25606 Filed 11-27-17; 8:45 am]
 BILLING CODE 8011-01-P


