[Federal Register Volume 85, Number 247 (Wednesday, December 23, 2020)]
[Notices]
[Pages 84021-84025]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-28303]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-90695; File No. SR-NYSEArca-2020-110]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
and Immediate Effectiveness of Proposed Rule Change Regarding the 
Description of the ``Indicative Partnership Value'' Disseminated in 
Connection With Trading of ``Units'' of the United States Oil Fund, LP

December 17, 2020.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 
given that, on December

[[Page 84022]]

9, 2020, NYSE Arca, Inc. (``NYSE Arca'' or the ``Exchange'') filed with 
the Securities and Exchange Commission (the ``Commission'') the 
proposed rule change as described in Items I and II below, which Items 
have been prepared by the self-regulatory organization. The Commission 
is publishing this notice to solicit comments on the proposed rule 
change from interested persons.
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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 certain changes regarding the description of 
the ``Indicative Partnership Value'' disseminated in connection with 
trading of ``Units'' of the United States Oil Fund, LP, which are 
currently listed and traded on the Exchange under NYSE Arca Rule 8.300-
E (Partnership Units). The proposed rule change is available on the 
Exchange's website 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 currently lists and trades Units of the United States 
Oil Fund, LP (the ``Fund'' or ``USO'') under NYSE Arca Rule 8.300-E 
(Partnership Units). The Exchange proposes certain changes regarding 
the description of the ``Indicative Partnership Value'' disseminated in 
connection with trading of Units of the Fund on the Exchange.
Background
    Units of the Fund initially were approved for listing on the 
American Stock Exchange LLC (``Amex'') in 2006,\4\ and were 
subsequently approved for trading on the Exchange pursuant to unlisted 
trading privileges.\5\ Units of the Fund were approved for listing and 
trading on the Exchange in 2008.\6\
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    \4\ See Securities Exchange Act Release Nos. 53324 (February 16, 
2006), 71 FR 9614 (February 24, 2006) (SR-Amex-2005-127) (Notice of 
Filing of a Proposed Rule Change, and Amendment Nos. 1 and 2 
Thereto, Relating to the Listing and Trading of Units of the United 
States Oil Fund, LP) (``Prior Amex Notice''); 53582 (March 31, 
2006), 71 FR 17510 (April 6, 2006) (SR-Amex-2005-127) (order 
approving listing and trading of shares of United States Oil Fund, 
LP) (``Prior Amex Order'' and, together with the Prior Amex Notice, 
the ``Prior Amex Releases''). The Prior Amex Releases set forth the 
current listing representations for the Fund.
    \5\ See Securities Exchange Act Release No. 53875 (May 25, 
2006), 71 FR 32164 (June 2, 2006) (SR-NYSEArca-2006-11) (Notice of 
Filing and Order Granting Accelerated Approval of Proposed Rule 
Change Relating to the Trading of the United States Oil Fund, LP 
Pursuant to Unlisted Trading Privileges).
    \6\ See Securities Exchange Act Release No. 58965 (November 17, 
2008), 73 FR 71078 (November 24, 2008) (SR-NYSEArca-2008-127) 
(Notice of Filing and Order Granting Accelerated Approval of 
Proposed Rule Change Relating to the Listing and Trading of Units of 
the United States Oil Fund, United States Heating Oil Fund, United 
States Gasoline Fund, United States 12 Month Oil Fund, United States 
12 Month Natural Gas Fund, and the United States Natural Gas Fund).
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    On April 20, 2020, the Fund filed its latest registration statement 
(``Registration Statement'') under the Securities Act of 1933 that was 
declared effective by the Commission on June 12, 2020.\7\ The 
prospectus (``Prospectus'') under the Registration Statement describes 
the investment objective of USO, which has not changed from the 
description of the investment objective of USO as described in the Amex 
Prior Releases. Specifically, the Prospectus describes the investment 
objective of USO to be for the daily changes in percentage terms of its 
shares' per share net asset value (``NAV'') to reflect the daily 
changes in percentage terms of the spot price of light, sweet crude oil 
delivered to Cushing, Oklahoma, as measured by the daily changes in the 
price of the ``Benchmark Oil Futures Contract,'' plus interest earned 
on USO's collateral holdings, less USO's expenses. The Benchmark Oil 
Futures Contract is the futures contract on light, sweet crude oil as 
traded on the New York Mercantile Exchange (the ``NYMEX'') that is the 
near month contract to expire. The Prospectus supplements the 
statements in the Prior Amex Releases in a manner consistent with the 
previously-approved investment objective of the Fund in stating further 
that the Benchmark Oil Futures Contract will not be the near month 
contract to expire when the near month contract is within two weeks of 
expiration, in which case it will be measured by the futures contract 
that is the next month contract to expire.
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    \7\ See the Registration Statement on Form S-3 under the 
Securities Act of 1933, dated April 20, 2020 (File No. 333-237750) 
declared effective, as amended, on June 12, 2020. The Fund filed a 
supplement (``Supplement'') to the Registration Statement on 
December 7, 2020.
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    As stated in the Prior Amex Releases, USO seeks to achieve its 
investment objective by investing so that the average daily percentage 
change in USO's NAV for any period of 30 successive valuation days will 
be within plus/minus ten percent (10%) of the average daily percentage 
change in the price of the Benchmark Oil Futures Contract over the same 
period.
    The Prospectus, which is consistent with the Prior Amex Releases, 
states that USO seeks to achieve this investment objective by investing 
primarily in futures contracts for light, sweet crude oil, other types 
of crude oil, diesel heating oil, gasoline, natural gas, and other 
petroleum-based fuels that are traded on the NYMEX, ICE Futures Europe, 
and ICE Futures U.S. (ICE Futures Europe and ICE Futures U.S., referred 
to together as ``ICE Futures''), or other U.S. and foreign exchanges 
(collectively, ``Oil Futures Contracts'') and to a lesser extent, in 
order to comply with regulatory requirements or in view of market 
conditions, other oil-related investments such as cash-settled options 
on Oil Futures Contracts, forward contracts for oil, cleared swap 
contracts and non-exchange traded (``over-the-counter'' or ``OTC'') 
transactions that are based on the price of oil, other petroleum-based 
fuels, Oil Futures Contracts and indices based on the foregoing 
(collectively, ``Other Oil-Related Investments'').\8\ The Prospectus 
supplements the statements in the Prior Amex Releases in a manner 
consistent with the previously-approved investment objective of the 
Fund in stating further that market conditions that the Fund currently 
anticipates could cause USO to invest in Other Oil-Related Investments 
include those allowing USO to obtain greater liquidity or to execute 
transactions with more favorable pricing. (Oil Futures Contracts and 
Other Oil-Related Investments collectively are referred to as ``Oil 
Interests''.)
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    \8\ Other Oil-Related Investments as referenced in the 
Registration Statement are referred to as ``Other Oil Interests'' in 
the Prior Amex Releases.
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    As stated in the Prior Amex Releases, the Fund also holds cash and 
invests in short-term obligations of the United States Government 
(``Treasuries'') and other cash equivalents to be used to satisfy its 
current or future margin and collateral requirements and to otherwise 
satisfy its obligations with respect to its investments in Oil 
Interests.
    ICE Data Indices, LLC currently disseminates through the facilities 
of the

[[Page 84023]]

Consolidated Tape Association (``CTA'') an updated ``Indicative 
Partnership Value'' during the NYSE Arca Core Trading Session (normally 
9:30 a.m. to 4:00 p.m., Eastern Time). The current Exchange listing 
representations for Units of the Fund, as stated in the Prior Amex 
Notice, require that the Indicative Partnership Value (also referred to 
below as the ``indicative fund value'' or ``IFV'') be calculated based 
on the Treasuries and cash required for creations and redemptions 
adjusted to reflect the price changes of the current Benchmark Oil 
Futures Contract (``Prior IFV'').\9\
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    \9\ Units of the Fund are issued and redeemed in ``baskets'' of 
100,000 Units or multiples thereof.
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Proposed Rule Change
    The Prospectus and the Supplement describe a change to the method 
of calculating the IFV (the ``Proposed IFV'') for the Fund, which 
differs from the method of calculating the IFV as set forth in the 
Prior Amex Notice.\10\ Accordingly, the Exchange proposes to amend the 
current listing representations for the Fund relating to the change to 
the method of calculating the IFV for the Fund.
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    \10\ For purposes of this filing, the IFV referenced in the 
Prospectus and the Supplement is the ``Indicative Partnership 
Value'' referenced in NYSE Arca Rule 8.300-E(d)(2)(iii).
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    As stated in the Prospectus, in order to provide updated 
information relating to USO for use by investors and market 
professionals, ICE Data Indices, LLC calculates and disseminates 
throughout the Core Trading Session on each trading day the Proposed 
IFV. The Proposed IFV, which is currently being utilized in connection 
with trading of Units, is calculated by using the prior day's closing 
per share NAV of USO as a base and updating that value throughout the 
trading day to reflect changes in the most recently reported trade 
prices for the Oil Futures Contracts and Other Oil-Related Investments 
held by USO. This representation differs from that in the Prior Amex 
Notice regarding the Prior IFV, which stated that the IFV reflects only 
price changes of the current Benchmark Oil Futures Contract. The 
Proposed IFV disseminated during NYSE Arca Core Trading Session should 
not be viewed as an actual real-time update of the per share NAV, 
because the per share NAV is calculated only once at the end of each 
trading day based upon the relevant end of day values of USO's 
investments.
    The Proposed IFV is disseminated on a per share basis at least 
every 15 seconds during the regular NYSE Arca Core Trading Session. As 
stated in the Supplement, the normal trading hours for Oil Futures 
Contracts traded on the NYMEX are 6:00 p.m. Eastern Time to 5:00 p.m. 
Eastern Time the next day and its closing settlement price is set as of 
2:30 p.m. Eastern Time. ICE Futures normal trading hours for its Oil 
Futures Contracts are 8:00 p.m. until 6:00 p.m. Eastern Time the next 
day. It also sets its settlement price as of 2:30 p.m. Eastern Time 
each trading day. The Proposed IFV during the Core Trading Session 
includes the real-time prices of the Fund's holdings of Oil Futures 
Contracts traded on the NYMEX and ICE Futures up until approximately 
2:30 p.m. Eastern Time, and, thereafter, to the close of the NYSE Arca 
Core Trading Session, is based on the 2:30 p.m. settlement prices of 
Oil Futures Contracts traded on the NYMEX and ICE Futures, which are 
the same prices used for valuing such contracts in determining USO's 
official end of day NAV. Therefore, a static Proposed IFV is 
disseminated between the time the settlement price is published (at 
approximately 2:30 p.m. Eastern Time) for NYMEX and ICE Futures and the 
close of the NYSE Arca Core Trading Session.\11\
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    \11\ The Commission has previously approved listing and trading 
of exchange-traded products for which a static indicative value is 
disseminated after the close of the applicable futures exchange and 
before the close of the Exchange's Core Trading Session. See, e.g., 
Securities Exchange Act Release Nos. 65601 (October 20, 2022), 76 FR 
66339 (October 26, 2011) (order approving listing and trading of 
shares of the United States Metals Index Fund, the United States 
Agriculture Index Fund and the United States Copper Index Fund Under 
NYSE Arca Equities Rule 8.200 (SR-NYSEArca-2011-63); United States 
Commodity Index Fund (SR-NYSE Arca-2010-44); 80296 (March 22, 2017), 
82 FR 15400 (March 28, 2017) (SR-NYSEArca-2017-07) (order approving 
listing and trading of shares of ProShares UltraPro 3x Crude Oil ETF 
and ProShares UltraPro 3x Short Crude Oil ETF; 65344 (September 15, 
2011), 76 FR 58549 (September 21, 2011) (SR-NYSEArca-2011-48) (order 
approving listing and trading of shares of the Teucrium Wheat Fund, 
the Teucrium Soybean Fund and the Teucrium Sugar Fund under Rule 
8.200, Commentary .02).
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    In addition, the Proposed IFV calculation includes the other Oil 
Futures Contracts (i.e., other than Oil Futures Contracts traded on 
NYMEX or ICE Futures) and Other Oil-Related Investments held by USO by 
using the prices of the Oil Futures Contracts traded on NYMEX or ICE 
Futures referenced in, or used as the basis for, the prices of these 
other Oil Futures Contracts and Other Oil-Related Investments. Such 
other Oil Futures Contracts and Other Oil-Related Investments, like Oil 
Futures Contracts traded on the NYMEX and ICE Futures referenced above, 
also are valued using the real-time prices of Oil Futures Contracts 
traded on the NYMEX and ICE Futures up until approximately 2:30 p.m. 
Eastern Time, and, thereafter, to the close of the NYSE Arca Core 
Trading Session, based on the 2:30 p.m. settlement prices of Oil 
Futures Contracts traded on the NYMEX and ICE Futures. Therefore, the 
prices in the Proposed IFV relating to such other Oil Futures Contracts 
and Other Oil-Related Investments are static between the time the 
settlement price is published for NYMEX and ICE Futures and the close 
of the NYSE Arca Core Trading Session. While the end of day value of 
Treasuries, cash and cash equivalents are included in USO's prior end 
of day NAV, to which changes in the value of Oil Futures Contracts and 
Other Oil-Related Investments are applied in calculating the Proposed 
IFV, intraday changes in the value of Treasuries, cash and cash 
equivalents are not applied in calculating the Proposed IFV.
    ICE Data Indices, LLC disseminates the Proposed IFV through the 
facilities of CTA. In addition, the Proposed IFV is available through 
on-line information services such as Bloomberg and Refinitiv.
    As stated in the Prospectus, and consistent with the current 
listing representations applicable to the Units as described in the 
Prior Amex Releases, the Fund has invested increasingly in Oil Futures 
Contracts other than Benchmark Oil Futures Contracts.\12\ Accordingly, 
because of the Fund's ability to invest in other Oil Futures Contracts 
in addition to the Benchmark Oil Futures Contracts as well as Other 
Oil-Related Investments, the Proposed IFV better reflects the intraday 
value of Units because it incorporates price changes of Oil Futures 
Contracts held by the Fund other than Benchmark Oil Futures Contracts 
as well as Other Oil-Related Investments referenced in the Prior Amex 
Releases and in the Prospectus.
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    \12\ Descriptions of the Fund's investment changes have been 
filed with the Commission on Form 8-K. See, e.g., the Fund's Current 
Report Pursuant to Section 13 or 15(d) of the Securities Exchange 
Act of 1934, dated April 30, 2020. In this regard, the Prospectus 
states that, ``as a result of market and regulatory conditions, 
including significant market volatility, large numbers of USO shares 
purchased during a short period of time, and applicable regulatory 
accountability levels and position limits on oil futures contracts 
that were imposed on USO in 2020, including as a result of the 
COVID-19 pandemic and the state of crude oil markets, USO has 
invested in Oil Futures Contracts in months other than the Benchmark 
Oil Futures Contract.''
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    The Exchange believes that the Proposed IFV may be useful to market 
participants in providing information regarding the intraday value of 
Units. As such, it is necessary and appropriate that the Proposed IFV 
reflect prices of

[[Page 84024]]

Oil Futures Contracts and Other Oil-Related Investments, as described 
in the Prospectus and the Supplement, rather than price changes of the 
current Benchmark Oil Futures Contract, except to the extent the Fund 
holds Benchmark Oil Futures Contracts.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \13\ that an exchange have rules that 
are designed to prevent fraudulent and manipulative acts and practices, 
to promote just and equitable principles of trade, to remove 
impediments to, and perfect the mechanism of a free and open market 
and, in general, to protect investors and the public interest.
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    \13\ 15 U.S.C. 78f(b)(5).
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    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. The Exchange believes that the Proposed IFV is useful 
to market participants in providing information regarding the intraday 
value of Units. As such, it is necessary and appropriate that the 
Proposed IFV reflect prices of Oil Futures Contracts and Other Oil-
Related Investments, as described in the Prior Amex Notice, rather than 
price changes to the current Benchmark Oil Futures Contract. The 
Exchange believes this change facilitates fair and orderly trading of 
Units because the Proposed IFV better reflects the intraday value of 
Units by incorporating price changes of all Oil Futures Contracts held 
by the Fund, including Benchmark Oil Futures Contracts, as well as 
Other Oil-Related Investments referenced in the Prior Amex Releases and 
in the Prospectus.
    As noted above, ICE Data Indices, LLC disseminates the Proposed IFV 
through facilities of CTA. In addition, the Proposed IFV is available 
through on-line information services such as Bloomberg and Refinitiv.

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 believes that 
the proposed rule change facilitates fair and orderly trading of Units 
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

    Because the foregoing proposed rule change does not: (i) 
Significantly affect the protection of investors or the public 
interest; (ii) impose any significant burden on competition; and (iii) 
become operative for 30 days from the date on which it was filed, or 
such shorter time as the Commission may designate, it has become 
effective pursuant to Section 19(b)(3)(A) of the Act \14\ and Rule 19b-
4(f)(6) thereunder.\15\
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    \14\ 15 U.S.C. 78s(b)(3)(A).
    \15\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii) 
requires a self-regulatory organization to give the Commission 
written notice of its intent to file the proposed rule change, along 
with a brief description and text of the proposed rule change, at 
least five business days prior to the date of filing of the proposed 
rule change, or such shorter time as designated by the Commission. 
The Exchange has satisfied this requirement.
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    A proposed rule change filed pursuant to Rule 19b-4(f)(6) under the 
Act \16\ normally does not become operative for 30 days after the date 
of its filing. However, Rule 19b-4(f)(6)(iii) \17\ permits the 
Commission to designate a shorter time if such action is consistent 
with the protection of investors and the public interest. The Exchange 
has asked the Commission to waive the 30-day operative delay. The 
Exchange states that waiver of the 30-day operative delay would permit 
the Fund's IFV to better reflect prices of the Fund's actual holdings, 
including Oil Futures Contracts and Other Oil-Related Investments, as 
described in the Prospectus and Supplement, rather than price changes 
of the current Benchmark Oil Futures Contracts, except to the extent 
the Fund holds Benchmark Oil Futures Contracts. The proposed rule 
change does not raise any novel regulatory issues, and the Commission 
believes that waiver of the 30-day operative delay is consistent with 
the protection of investors and the public interest. Therefore, the 
Commission hereby waives the operative delay and designates the 
proposal as operative upon filing.\18\
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    \16\ 17 CFR 240.19b-4(f)(6).
    \17\ 17 CFR 240.19b-4(f)(6)(iii).
    \18\ For purposes only of waiving the 30-day operative delay, 
the Commission also has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act. If the Commission 
takes such action, the Commission shall institute proceedings to 
determine whether the proposed rule change should be approved or 
disapproved.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2020-110 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-2020-110. 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 website (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 website 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.

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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-2020-110, and 
should be submitted on or before January 13, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\19\
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    \19\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-28303 Filed 12-22-20; 8:45 am]
BILLING CODE 8011-01-P


