[Federal Register Volume 87, Number 186 (Tuesday, September 27, 2022)]
[Notices]
[Pages 58552-58560]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-20814]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-95853; File No. SR-NYSEARCA-2022-61]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change To List and Trade the Shares of the Breakwave 
Tanker Shipping ETF

September 21, 2022.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given 
that, on September 13, 2022, 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, II, 
and III below, which Items have been prepared by the self-regulatory 
organization. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade the shares of the following 
under NYSE Arca Rule 8.200-E, Commentary .02 (``Trust Issued 
Receipts''): Breakwave Tanker Shipping ETF. The proposed 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 proposes to list and trade shares (``Shares'') of the 
following under NYSE Arca Rule 8.200-E, Commentary .02, which governs 
the listing and trading of Trust Issued Receipts: Breakwave Tanker 
Shipping ETF (the ``Fund'').\4\
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    \4\ 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.
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    The Fund will be a series of ETF Managers Group Commodity Trust I 
(the ``Trust'').\5\ The Fund and the Trust will

[[Page 58553]]

be managed and controlled by their sponsor and investment manager, ETF 
Managers Capital LLC (the ``Sponsor''). The Sponsor is registered with 
the Commodity Futures Trading Commission (``CFTC'') as a commodity pool 
operator (``CPO'') and is a member of the National Futures Association 
(``NFA''). Breakwave Advisors LLC (``Breakwave'') is registered as a 
commodity trading advisor with the CFTC and will serve as the Fund's 
commodity trading advisor. ETFMG Financial LLC will be the Fund's 
distributor (``Distributor'' or ``Marketing Agent''). US Bancorp Fund 
Services LLC will be the Fund's ``Administrator'' and ``Transfer 
Agent''.
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    \5\ On July 1, 2022, the Trust submitted to the Commission on a 
confidential basis its draft registration statement on Form S-1 (the 
``Registration Statement'') under the Securities Act of 1933 (15 
U.S.C. 77a) (``Securities Act''). The initial confidential 
submission and all amendments thereto shall be publicly filed not 
later than 15 days before (i) the date on which the Trust commences 
a road show for the Fund, or (ii) the requested effective date of 
the Registration Statement, whichever occurs first. The description 
of the operation of the Trust and the Fund herein is based, in part, 
on the Registration Statement.
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The Fund's Investment Objective and Strategy
    According to the Registration Statement, the Fund's investment 
objective will be to provide investors with exposure to the daily 
change in the price of tanker freight futures, before expenses and 
liabilities of the Fund, by tracking the performance of a portfolio 
(the ``Benchmark Portfolio'') consisting of the nearest calendar 
quarter of futures contracts on specified indexes (each a ``Reference 
Index'') that measure prices for shipping crude oil (``Freight 
Futures''). Each Reference Index is published each U.K. business day by 
the London-based Baltic Exchange Ltd \6\ and measures the charter rate 
for shipping crude oil in a specific size category of cargo ship and 
for a specific route. The two Reference Indexes are as follows: the 
TD3C Index: Persian Gulf to China 270,000mt cargo (Very Large Crude 
Carrier or VLCC tankers) and the TD20 Index: West Africa to Europe, 
130,000mt cargo (Suezmax tankers).\7\ The value of each of the TD3C 
Index and TD20 Index is disseminated daily at 4:00 p.m., London Time by 
the Baltic Exchange. Such Reference Index information also is widely 
disseminated by Reuters, Bloomberg and/or other major market data 
vendors.
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    \6\ The Baltic Exchange, which is a wholly owned subsidiary of 
the Singapore Exchange Ltd (``SGX''), is a membership organization 
and an independent source of maritime market information for the 
trading and settlement of physical and derivative shipping 
contracts. According to the Baltic Exchange, this information is 
used by shipbrokers, owners and operators, traders, financiers and 
charterers as a reliable and independent view of the dry and tanker 
markets.
    \7\ The Reference Indexes are published by the Baltic Exchange's 
subsidiary company, Baltic Exchange Information Services Ltd 
(``Baltic''), which publishes a wide range of market reports, 
fixture lists and market rate indicators on a daily and (in some 
cases) weekly basis. The Baltic indices, which include the Reference 
Indexes, are an assessment of the price of moving the major raw 
materials by sea. The indices are based on assessments of the cost 
of transporting various bulk cargoes, both wet (e.g., crude oil and 
oil products) and dry (e.g., coal and iron ore), made by leading 
shipbroking houses located around the world on a per ton and daily 
hire basis. The information is collated and published by the Baltic 
Exchange. Procedures relating to administration of the Baltic 
indices are set forth in ``The Baltic Exchange, Guide to Market 
Benchmarks'' November 2016 (the ``Guide''), including production 
methods, calculation, confidentiality and transparency, duties of 
panelists, code of conduct, audits and quality control. The Guide is 
available at www.balticexchange.com. According to the Guide, these 
procedures are in compliance with the ``Principles for Financial 
Benchmarks'' issued by the International Organization of Securities 
Commissioners (or ``IOSCO'') (the ``IOSCO Principles''). The IOSCO 
Principles are designed to enhance the integrity, the reliability 
and the oversight of benchmarks by establishing guidelines for 
benchmark administrators and other relevant bodies in the following 
areas: Governance: to protect the integrity of the benchmark 
determination process and to address conflicts of interest; 
Benchmark quality: to promote the quality and integrity of benchmark 
determinations through the application of design factors; Quality of 
the methodology: to promote the quality and integrity of 
methodologies by setting out minimum information that should be 
addressed within a methodology. These principles also call for 
credible transition policies in case a benchmark may cease to exist 
due to market structure change. Accountability mechanisms: to 
establish complaints processes, documentation requirements and audit 
reviews. The IOSCO Principles provide a framework of standards that 
might be met in different ways, depending on the specificities of 
each benchmark. In addition to a set of high level principles, the 
framework offers a subset of more detailed principles for benchmarks 
having specific risks arising from their reliance on submissions 
and/or their ownership structure. For further information concerning 
the IOSCO Principles, see http://www.iosco.org/library/pubdocs/pdf/IOSCOPD415.pdf.
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    The Fund will seek to achieve its objective by purchasing Freight 
Futures that are cleared through major exchanges (see description of 
Freight Futures below).
    The principal markets for Freight Futures are ICE Futures Europe 
(the ``ICE'') and the Chicago Mercantile Exchange (``CME''). The 
applicable exchange acts as a counterparty for each member for clearing 
purposes. The Fund's investments in Freight Futures will be cleared by 
ICE and/or CME.\8\ The ICE and CME are regulated in the U.S. by the 
CFTC. Freight futures clearing has been occurring since 2005.
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    \8\ CME and ICE are members of the Intermarket Surveillance 
Group (``ISG''). See note 15 infra.
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    The Fund's portfolio will be traded with a view to reflecting the 
performance of the Benchmark Portfolio (described below), whether the 
Benchmark Portfolio is rising, falling or flat over any particular 
period. To maintain the correlation between the Fund and the change in 
the Benchmark Portfolio, the Sponsor may adjust the Fund's portfolio of 
investments on a daily basis in response to creation and redemption 
orders or otherwise as required. The Sponsor anticipates that the 
Fund's Freight Futures positions will be held to expiration and settle 
in cash against the respective Reference Index as published by the 
Baltic Exchange and ICE or CME. However, positions may be closed out to 
meet orders for redemption of Baskets (described below), in which case 
the proceeds from the closed positions will not be reinvested.
    At any given time, the average maturity of the futures held by the 
Fund will be approximately 50 to 70 days. During the month of December 
of each year, the Fund will rebalance its portfolio in order to bring 
the allocation of assets back to the desirable levels. During this 
period, the Fund would purchase or sell Freight Futures to achieve its 
targeted allocation.
    When establishing positions in Freight Futures, the Fund will be 
required to deposit initial margin with a value of approximately 10% to 
40% of the notional value of each Freight Futures position at the time 
it is established. These margin requirements are established and 
subject to change from time to time by the relevant exchanges, clearing 
houses or the Fund's futures commission merchant (``FCM''). On a daily 
basis, the Fund will be obligated to pay, or entitled to receive, 
variation margin in an amount equal to the change in the daily 
settlement level of its overall Futures positions. Any assets not 
required to be posted as margin with the FCM will be held at the Fund's 
custodian in cash or cash equivalents.\9\ The Fund will place purchase 
orders for Freight Futures with an execution broker. The broker will 
identify a selling counterparty and, simultaneously with the completion 
of the transaction, will submit the block traded Freight Futures to the 
relevant exchange or clearing house for clearing, thereby completing 
and creating a cleared futures transaction. If the exchange or clearing 
house does not accept the transaction for any reason, the transaction 
will be considered null and void and of no legal effect.
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    \9\ The Fund will hold cash or cash equivalents, such as U.S. 
Treasuries or other high credit quality, short-term fixed-income or 
similar securities for direct investment or as collateral for the 
U.S. Treasuries and for other liquidity purposes, and to meet 
redemptions that may be necessary on an ongoing basis.
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    Not more than 10% of the net assets of the Fund in the aggregate 
invested in Freight Futures and exchange-traded options on Freight 
Futures will consist of Freight Futures and exchange-traded

[[Page 58554]]

options on Freight Futures whose principal market is not a member of 
the ISG or is a market with which the Exchange does not have in place a 
comprehensive surveillance sharing agreement.
Benchmark Portfolio Construction
    Freight Futures reflect market expectations for the future cost of 
transporting crude oil. The Benchmark Portfolio will hold long 
positions in Freight Futures corresponding to the TD3C Index and TD20 
Index. The Benchmark Portfolio's initial allocation will be 
approximately 90% TD3C contracts and 10% TD20 contracts, based on 
contract value, not number of lots. Given each asset's individual price 
movements during the year, such percentages might deviate from the 
targeted allocation.
    The Benchmark Portfolio will consist of positions in the three-
month strip of the nearest calendar quarter of Freight Futures and roll 
them constantly to the next calendar quarter. The four-calendar 
quarters are January, February, and March (Q1), April, May, and June 
(Q2), July, August, and September (Q3), and October, November and 
December (Q4). The Benchmark Portfolio will hold all positions to 
maturity and settle them in cash. During any given calendar quarter, 
the Benchmark Portfolio will progressively increase its position to the 
next calendar quarter three-month strip, thus maintaining constant long 
exposure to the Freight Futures market as positions mature. The Fund 
maintains the right to invest in other maturities of Freight Futures if 
such strategy is deemed necessary.
    To track the Benchmark Portfolio, the Fund will attempt to roll 
positions in the nearby calendar quarter, on a pro rata basis. For 
example, if the Fund was currently holding the Q1 calendar quarter 
comprising the January, February and March monthly contracts, each week 
in the month of February, the Fund will attempt to purchase Q2 
contracts in an amount equal to approximately one quarter of the 
expiring February positions. As a result, by the end of February, the 
Fund would have rolled the February position to Q2 freight contracts, 
leaving the Fund with March and Q2 contracts. At the end of March, the 
Fund will have completed the roll and will then hold only Q2 exposure 
comprising April, May and June monthly contracts. Since Freight Futures 
contracts are cash settled, the Fund need not close out of existing 
contracts. Rather, it will hold such contracts to expiration and apply 
the above methodology in order acquire the nearby calendar contract.
    The Benchmark Portfolio will not include, and the Fund will not 
invest in swaps, non-cleared freight forwards or other over-the-counter 
derivative instruments that are not cleared through exchanges or 
clearing houses. The Fund may hold exchange-traded options on Freight 
Futures.
    The Benchmark Portfolio is maintained by Breakwave and will be 
rebalanced annually.
Overview of the Tanker Freight Industry
    As stated in the Registration Statement, the following is a brief 
introduction of the global tanker industry. The data presented below is 
derived from information released from various third-party sources. The 
third-party sources from which certain of the information presented 
below include the United Nations Conference on Trade and Development, 
the Baltic and International Maritime Council, Clarksons Research, 
Bloomberg and others.
    Seaborne crude transportation is a 130 plus year-old industry 
focusing on the transportation of unrefined crude oil in ships known as 
crude tankers. Modern crude tankers are ships that can carry as many as 
2 million barrels of crude within the cargo tanks of the ship. Crude 
tankers carry unprocessed oil from the point of extraction, or storage, 
to refineries. These purpose-built ships do not generally carry any 
other type of oil cargo and are often referred to as `dirty' cargo 
tankers. Crude tankers are among the largest types of ships in the 
world given the economies of scale required in making seaborne 
transportation a viable option for buyers and sellers of the commodity 
they carry. The framework of transporting crude oil is determined by 
three main characteristics: density of the crude (which can vary 
depending on where it was extracted), parcel size of the cargo being 
transported, and the degree of cleanliness required during handling. 
Crude tankers require dedicated port infrastructure for the loading and 
discharge of their cargo, and due to their size are limited in the 
number of ports they can call. These tankers are measured in their 
cargo carrying capacity in tons--referred to as deadweight tonnage 
(``DWT'') and have a typical lifespan of 25 years.
    Crude oil tankers come in various sizes:

    Very Large Crude Carriers or VLCC (~300,000 DWT) are the largest 
of the tanker asset classes. VLCCs transport crude oil mainly from 
the Middle East to Asia, from West Africa to Asia and from the US to 
Asia. There are about 850 VLCCs worldwide. The VLCC fleet is about 
60% of the tanker fleet by DWT capacity.
    Suezmax (~150,000 DWT) primarily transport crude oil from West 
Africa to Europe, from North Africa to Europe. The Suezmax is the 
largest tanker vessel class that can transit the Suez Canal. There 
are about 600 Suezmaxes worldwide representing ~22% of the global 
tanker fleet by DWT capacity.
    Aframax (~80,000 DWT) primarily transport crude oil from Latin 
America to the US, from Australia to Southeast Asia, from Middle 
East to Asia and other. There are approximately 670 ships accounting 
from ~17% of the global tanker fleet by DWT capacity.
    Smaller tankers (smaller than ~80,000 DWT) are a class of ships 
that and dirty oil products such as diesel, gasoline, jet fuel, fuel 
oil and kerosene derived from crude oil that has been processed at a 
refinery. There are approximately 80 ships accounting from ~1% of 
the global tanker fleet by DWT capacity.
Tanker Vessel Supply
    According to the Registration Statement, there are approximately 
2,140 crude tankers worldwide with a carrying capacity of roughly 432 
million DWT and an average age of approximately 11.2 years. Supply of 
crude oil tankers is dynamic.
    Factors impacting crude tanker supply include new orders, the 
scrapping of older vessels, new shipbuilding technologies, vessel 
congestion in ports, closures of major waterways, including canals, and 
wars and other geopolitical conflicts that can restrict access to 
vessels available for shipping crude oil.
Demand for Seaborne Oil Transportation
    According to the Registration Statement, customers of seaborne 
crude transportation include major independent and state-owned oil 
companies, oil traders, refinery operators and international government 
entities. Vessel demand for the transportation of crude oil fluctuates 
seasonally based on world oil consumption. Peaks in annual demand are 
caused by anticipation of seasonal consumption of crude oil products by 
oil refiners and suppliers. Consumption varies with seasons and trends, 
such as winter in the Northern Hemisphere and peak travel seasons.
    Demand for tanker freight is generally measured in ton-miles, which 
corresponds to one ton of freight carried one mile. Such measure takes 
into consideration both the quantity of cargo transport but also the 
distance between loading and offloading ports. Over the last 5 years, 
crude tanker demand has decreased by approximately -1% per

[[Page 58555]]

year. Global oil demand peaked in 2019 and since then has steadily 
declined mainly as a result of the COVID 19 pandemic. However, 
International Energy Agency (IEA) projects oil demand to increase to 
101.6 million barrels per day, back to pre-pandemic levels, by 2023.
    In 2010, demand for oil began increasing as the global economy, 
especially in countries impacted most by the Great Recession, returned 
to a period of growth. During the period of 2010-2017 crude tanker 
demand grew on average 2.3% per year. In 2017, crude tanker demand 
growth grew 5.3% while in 2018 demand growth increased by 2.7%. In 2019 
crude tanker demand began contracting by -1.8%, followed by -6.5% in 
2020 and -4.3% in 2021. In 2022, the Russian invasion in Ukraine had a 
significant impact on oil prices, and thus oil demand, as western 
sanctions against Russia have limited the supply of crude oil and 
refined products, leading to a considerable increase in oil prices.
    Factors impacting demand for shipping tanker freight include global 
economic growth, demand for oil, government regulations, taxes and 
tariffs, fuel prices, vessel speeds and new trade routes.
Tanker Freight Charter Rates
    According to the Registration Statement, crude oil freight rates 
reflect the price paid for each ton of oil cargo the ship will 
transport. The ``dollars per ton rates'' include the cost of the fuel, 
otherwise referred to as bunkers, that will be burned during the voyage 
of a pre-determined route. As a result, crude oil freight rates are not 
only exposed to the availability of ships and the underlying demand for 
ships, but also to the cost of bunkers.
Net Freight Component
    The availability of ships of the correct size and technical 
specifications that are also in the correct geographic location to 
carry the cargoes that need to be transported is the largest driving 
force of crude oil freight rates. This is greatly impacted by the total 
number of ships in the global fleet. The global demand for oil--
specifically the demand for oil in regions not serviced by pipelines 
from the point of production is the other major factor in determining 
freight rates. The above macro factors are in constant flux and shape 
the price for freight.
Bunker Component
    Given the large quantities of bunker fuel that ships consume, crude 
oil tanker rates are greatly impacted by changes in the cost of 
bunkers, and as a result, the price of oil. In addition, refining 
margins play an equally important role in determining the price of 
bunker fuel. Combined, oil price and refining margins account for a 
significant part of the overall tanker freight cost.
    Freight rates across shipping are generally quoted on time charter 
equivalent basis which is calculated by taking voyage revenues, 
subtracting voyage expense, including canal, bunker and port costs, and 
then dividing the total by the round-trip voyage duration in days. Such 
a calculation gives shipping companies a tool to measure period-to-
period changes. Although the above calculation is helpful for shipping 
companies to calculate their net profit and decide whether a reference 
spot rate acceptable, the spot tanker market transacts on a USD per ton 
basis. Such a ``gross'' price includes all voyage expenses (fuel, canal 
and port costs, etc.). Given the freight futures market is 
predominantly used for hedging purposes by oil market participants, 
tanker freight futures are also quoted on a USD per ton basis.
Freight Futures
    According to the Registration Statement, freight futures are 
financial futures contracts that allow ship owners, charterers and 
speculators to hedge against the volatility of freight rates. Freight 
Futures are built on indices such as the TD3C Index, TD20 Index, TD25 
Index and TD22 Index. In addition to the crude oil tanker routes, there 
are also Freight Futures for routes corresponding to the transportation 
of refined oil products (gasoline, diesel, etc.). Freight Futures are 
financial instruments that trade off-exchange but then are cleared 
through an exchange. Market participants communicate their buy or sell 
orders through a network of execution brokers mainly through phone or 
instant messaging platforms with specific trading instructions related 
to price, size, and type of order.\10\ The execution broker receives 
such order and then attempts to match it with a counterpart. Once there 
is a match and both parties confirm the transaction, the execution 
broker submits the transaction details including trade specifics, 
counterparty details and accounts to the relevant exchange for 
clearing, thus completing a cleared block futures transaction. Brokers 
are required to report to the relevant exchanges each trade that takes 
place. The exchange will then require the relevant member or FCM to 
submit the necessary margin to support the position similar to other 
futures clearing and margin requirements.
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    \10\ Freight Futures are primarily traded through broker members 
of the Forward Freight Agreement Brokers Association (``FFABA''), 
such as Clarkson's Securities, Freight Investor Services, GFI Group 
and ICAP. Members of the FFABA must be members of the Baltic 
Exchange and must be regulated by the Financial Conduct Authority if 
resident in the U.K., or if not resident in the U.K., by an 
equivalent body if required by the authorities in the jurisdiction. 
Source: The Baltic Code of the Baltic Exchange.
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    Freight Futures are listed and cleared on the following exchanges: 
CME and ICE.
    Freight Futures settle monthly over the arithmetic average of spot 
index assessments in the contract month for the relevant underlying 
product, rounded to three decimal places. The daily index publication, 
against which Freight Futures settle, is published by the Baltic 
Exchange.
    Although historically the Worldscale methodology has been used as 
means of transacting, lately, a USD per ton quoted methodology has been 
increasingly used. Both methods of quoting freight are identical: 
Worldscale represents a percentage of a predetermined fixed rate 
referred to as ``flat rate'', effectively translating the quoted 
freight from USD per ton to a percentage of the flat rate. As an 
example, a rate quoted at Worldscale 40 (WS 40) of a flat rate of $18 
per ton would represent 40% of the $18/ton flat rate, or $7.20 per ton. 
Whether the rate is quote on Worldscale or on USD per ton, the 
resulting freight rate would be the same ($7.20 per ton).
    Freight brokers have recently been reporting freight futures in 
both Worldscale and USD per ton basis.
    Generally, Freight Futures trade from approximately 3:00 a.m. 
Eastern Time (``E.T.'') to approximately 1:00 p.m. E.T. The great 
majority of trading volume occurs during London business hours, from 
approximately 4:00 a.m. E.T. time to approximately 12:00 p.m. E.T. Some 
limited trading takes place during Asian business hours as well (12:00 
a.m.-3:00 a.m. E.T.). The final closing prices for settlement are 
published daily around 12:30 p.m. E.T. Final cash settlement occurs the 
first business day following the expiry day.
    Freight Futures are quoted in U.S. Dollars per metric ton, with a 
minimum lot size of 1,000 metric tons. One lot represents freight costs 
to transport in U.S. Dollars. The nominal value of a contract is simply 
the product of lots and Freight Futures prices. There are Futures 
Contracts of up to 72 consecutive months, starting with the current 
month, available for trading for each vessel class.
    Similar to other futures, Freight Futures are subject to margin 
requirements by the relevant exchanges. The Sponsor anticipates that

[[Page 58556]]

approximately 20% to 50% of the Fund's assets will be used as payment 
for or collateral for Freight Futures contracts. In order to 
collateralize its Freight Futures positions, the Fund will hold such 
assets, from which it will post margin to its FCM in an amount equal to 
the margin required by the relevant exchanges, and transfer to its FCM 
any additional amounts that may be separately required by the FCM.
    The liquidity of tanker Freight Futures (clean and dirty) has been 
increasing, in lot terms, over the last five years. For example, in 
2021, approximately 560 thousand lots in Freight Futures traded And, as 
of 2022, open interest in Freight Futures stood at approximately 
145,000 lots across all asset classes representing an estimated value 
of more than $2 billion. Of such open interest, TD3C contracts account 
for approximately 50. Major market participants in the tanker Freight 
Futures market include commodity producers, commodity users, commodity 
trading houses, ship operators, major banks, investment funds and 
independent ship owners.
Calculating Net Asset Value (``NAV'')
    The Fund's NAV will be calculated by taking the current market 
value of its total assets, subtracting any liabilities; and dividing 
that total by the total number of outstanding Shares.
    The Administrator will calculate the NAV of the Fund once each NYSE 
Arca trading day. The NAV for a particular trading day will be released 
after 4:00 p.m. E.T. The Administrator will use the Baltic Exchange 
closing prices for the Freight Futures and any option contracts to 
calculate the NAV. The Administrator will calculate or determine the 
value of all other Fund investments using market quotations, if 
available, or other information customarily used to determine the fair 
value of such investments as of the close of the NYSE Arca Core Trading 
Session (normally 4:00 p.m. E.T.). The information may include costs of 
funding, to the extent costs of funding are not and would not be a 
component of the other information being utilized. Third parties 
supplying quotations or market data may include, without limitation, 
dealers in the relevant markets, end-users of the relevant product, 
information vendors, brokers and other sources of market information.
Indicative Fund Value
    In order to provide updated information relating to the Fund for 
use by investors and market professionals, an updated indicative fund 
value (``IFV'') will be made available through on-line information 
services throughout the Exchange Core Trading Session (normally 9:30 
a.m. to 4:00 p.m., E.T.) on each trading day. The IFV will be 
calculated by using the prior day's closing NAV per Share of the Fund 
as a base and updating that value throughout the trading day to reflect 
changes in the most recently reported trade price for the futures and/
or options held by the Fund. The IFV disseminated during NYSE Arca Core 
Trading Session hours should not be viewed as an actual real time 
update of the NAV, because the NAV will be calculated only once at the 
end of each trading day based upon the relevant end of day values of 
the Fund's investments.
    The IFV will be disseminated on a per Share basis every 15 seconds 
during regular NYSE Arca Core Trading Session hours of 9:30 a.m. E.T. 
to 4:00 p.m. E.T. The customary trading hours of the Freight Futures 
trading are 3:00 a.m. E.T. to 1:00 p.m. E.T. This means that there is a 
gap in time at the end of each day during which the Fund's Shares will 
be traded on the NYSE Arca, but real-time trading prices for contracts 
are not available. During such gaps in time the IFV will be calculated 
based on the end of day price of such contracts from the Baltic 
Exchange's, CME's and ICE's immediately preceding settlement prices. In 
addition, other investments and U.S. Treasuries held by the Fund will 
be valued by the Administrator using rates and points received from 
client-approved third-party vendors (such as Reuters and WM Company) 
and broker-dealer quotes. These investments will not be included in the 
IFV.
    Dissemination of the IFV provides additional information that is 
not otherwise available to the public and is useful to investors and 
market professionals in connection with the trading of the Fund's 
Shares on the NYSE Arca. Investors and market professionals are able 
throughout the trading day to compare the market price of Fund Shares 
and the IFV. If the market price of the Fund Shares diverges 
significantly from the IFV, market professionals will have an incentive 
to execute arbitrage trades. For example, if the Fund's Shares appears 
to be trading at a discount compared to the IFV, a market professional 
could buy the Fund's Shares on the NYSE Arca and take the opposite 
position in Freight Futures. Such arbitrage trades can tighten the 
tracking between the market price of the Fund's Shares and the IFV and 
thus can be beneficial to all market participants.
Creation and Redemption of Shares
    According to the Registration Statement, the Fund will create and 
redeem Shares from time to time in one or more ``Creation Baskets'' or 
``Redemption Baskets'' (collectively, the ``Baskets''). A Basket 
consists of 25,000 Shares, which amount may be revised from time-to-
time. The creation and redemption of Baskets will only be made in 
exchange for delivery to the Fund or the distribution by the Fund of 
the amount of Treasuries and any cash represented by the Baskets being 
created or redeemed, the amount of which is based on the combined NAV 
of the number of Shares included in the Baskets being created or 
redeemed determined as of 4:00 p.m. E.T. on the day the order to create 
or redeem Baskets is properly received.
    ``Authorized Participants'' are the only persons that may place 
orders to create and redeem Baskets. Authorized Participants must be 
(1) registered broker-dealers or other securities market participants, 
such as banks and other financial institutions, that are not required 
to register as broker-dealers to engage in securities transactions 
described below, and (2) Depository Trust Company (``DTC'') 
participants.
Creation Procedures
    On any business day, an Authorized Participant may place an order 
with the Transfer Agent to create one or more Baskets. For purposes of 
processing purchase and redemption orders, a ``business day'' means any 
day other than a day when any of the NYSE Arca, the Baltic Exchange, 
the ICE, the CME or the New York Stock Exchange is closed for regular 
trading. Purchase orders must be placed by 12:00 p.m. E.T. or the close 
of the Core Trading Session on NYSE Arca, whichever is earlier. The day 
on which a valid purchase order is received in accordance with the 
terms of the ``Authorized Participant Agreement'' is referred to as the 
purchase order date. Purchase orders are irrevocable.
Determination of Required Payment
    The total payment required to create each Creation Basket is the 
NAV of 25,000 Shares on the purchase order date, but only if the 
required payment is timely received. To calculate the NAV, the 
Administrator will use the Baltic Exchange settlement price (typically 
determined after 12:00 p.m. E.T.) for the Freight Futures. Because 
orders to purchase Baskets must be placed no later than 12:00 p.m., 
E.T., but the total payment required to create a Basket typically will 
not be

[[Page 58557]]

determined until after 12:00 p.m., E.T., on the date the purchase order 
is received, Authorized Participants will not know the total amount of 
the payment required to create a Basket at the time they submit an 
irrevocable purchase order.
Delivery of Required Payment
    An Authorized Participant who places a purchase order shall 
transfer to the Administrator the required amount of cash by the end of 
the next business day following the purchase order date. Upon receipt 
of the deposit amount, the Administrator will direct DTC to credit the 
number of Baskets ordered to the Authorized Participant's DTC account 
on the next business day following the purchase order date.
Redemption Procedures
    According to the Registration Statement, the procedures by which an 
Authorized Participant can redeem one or more Baskets will mirror the 
procedures for the creation of Baskets. On any business day, an 
Authorized Participant may place an order with the Transfer Agent, and 
accepted by the Distributor, to redeem one or more Baskets. Redemption 
orders must be placed by 12:00 p.m. E.T. or the close of the Core 
Trading Session on the NYSE Arca, whichever is earlier.\11\ A 
redemption order so received will be effective on the date it is 
received in satisfactory form in accordance with the terms of the 
Authorized Participant Agreement. The day on which the Marketing Agent 
receives a valid redemption order is the redemption order date. 
Redemption orders are irrevocable. By placing a redemption order, an 
Authorized Participant agrees to deliver the baskets to be redeemed 
through DTC's book-entry system to the Fund not later than 12:00 p.m., 
E.T., on the next business day immediately following the redemption 
order date.
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    \11\ The Sponsor represents that it believes that the designated 
time by which orders to create or redeem must be received by the 
Transfer Agent (12:00 p.m. E.T.) will not have a material impact on 
an Authorized Participant's arbitrage opportunities with respect to 
the Fund. As noted above, Freight Futures are cleared by CME and ICE 
until 1:00 p.m. E.T. and such clearing activity on CME and ICE will 
serve as an arbitrage mechanism for trading in the Fund's Shares. In 
addition, price information regarding trading of Freight Futures and 
options on Freight Futures on the applicable exchange and end-of-day 
settlement prices published by the applicable exchange will be 
available during the Core Trading Session.
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Determination of Redemption Proceeds
    The redemption proceeds from the Fund will consist of a cash 
redemption amount equal to the NAV of the number of Baskets requested 
in the Authorized Participant's redemption order on the redemption 
order date.
    Because orders to redeem Baskets must be placed no later than 12:00 
p.m., E.T., but the total amount of redemption proceeds typically will 
not be determined until after 12:00 p.m., E.T., on the date the 
redemption order is received, Authorized Participants will not know the 
total amount of the redemption proceeds at the time they submit an 
irrevocable redemption order.
    The redemption proceeds due from the Fund will be delivered to the 
Authorized Participant at 1:00 p.m., E.T., on the second business day 
immediately following the redemption order date if, by such time, the 
Fund's DTC account has been credited with the Baskets to be redeemed.
Availability of Information
    The NAV for the Fund's Shares will be disseminated daily to all 
market participants at the same time. The intraday, closing prices, and 
settlement prices of the Freight Futures will be readily available from 
the applicable futures exchange websites, automated quotation systems, 
published or other public sources, or major market data vendors.
    Complete real-time data for Freight Futures is available by 
subscription through on-line information services. Quotation and last-
sale information regarding the Shares will be disseminated through the 
facilities of the Consolidated Tape Association (``CTA''). The IFV will 
be available through on-line information services. The Freight Futures 
and exchange-traded options on Freight Futures trading prices will be 
disseminated by one or more major market data vendors during the NYSE 
Arca Core Trading Session of 9:30 a.m. to 4:00 p.m. E.T. CME and ICE 
provide on a daily basis, transaction volumes, transaction prices, and 
open interest on their respective websites. In addition, historical 
data also exists for volumes and open interest. Daily settlement prices 
and historical settlement prices are available through a subscription 
service to the Baltic Exchange, ICE and CME, which maintain the 
licensing rights of relevant freight data. However, the exchanges 
provide the daily settlement price change of Freight Futures on their 
respective websites. Certain Freight Futures brokers provide real time 
pricing information to the general public either through their websites 
or through data vendors such as Bloomberg or Reuters. Most Freight 
Futures brokers provide, upon request, individual electronic screens 
that market participants can use to transact, place orders or only 
monitor Freight Futures market price levels.
    In addition, the Fund's website, www.tankeretf.com, will display 
the applicable end of day closing NAV. The daily holdings of the Fund 
will be available on the Fund's website before 9:30 a.m. E.T. each day. 
The website disclosure of portfolio holdings will be made daily and 
will include, as applicable, (i) the composite value of the total 
portfolio, (ii) the quantity and type of each holding (including the 
ticker symbol, maturity date or other identifier, if any) and other 
descriptive information including, in the case of an option, its strike 
price, (iii) the percentage weighting of each holding in the Fund's 
portfolio; (iv) the number of Freight Futures contracts and the value 
of each Freight Futures (in U.S. dollars), (v) the type (including 
maturity, ticker symbol, or other identifier) and value of each 
Treasury security and cash equivalent, and (vi) the amount of cash held 
in the Fund's portfolio. The Fund's website will be publicly accessible 
at no charge.
    The daily closing Benchmark Portfolio level and the percentage 
change in the daily closing level for the Benchmark Portfolio will be 
publicly available from one or more major market data vendors. The 
intraday value of the Benchmark Portfolio, updated every 15 seconds, 
will also be available through major market data vendors during those 
times that the hours trading in Freight Futures overlap with trading 
houses on NYSE Arca (i.e., between 9:00 a.m. and 1:00 p.m. ET).
    The website disclosure of the Fund's daily holdings will occur at 
the same time as the disclosure by the Trust of the daily holdings to 
Authorized Participants so that all market participants are provided 
daily holdings information at the same time. Therefore, the same 
holdings information will be provided on the public website as well as 
in electronic files provided to Authorized Participants. Accordingly, 
each investor will have access to the current daily holdings of the 
Fund through the Fund's website.
Trading Halts
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares of the Fund.\12\ Trading in Shares of the Fund 
will be halted if the circuit breaker parameters in NYSE Arca Rule 
7.12-E have been reached. Trading also may be halted because of market 
conditions or for reasons that, in the view of the

[[Page 58558]]

Exchange, make trading in the Shares of the Fund inadvisable.
---------------------------------------------------------------------------

    \12\ See NYSE Arca Rule 7.12-E.
---------------------------------------------------------------------------

    The Exchange may halt trading during the day in which an 
interruption to the dissemination of the IFV or the intraday value of 
the Benchmark Portfolio occurs. If the interruption to the 
dissemination of the IFV, or the value of the Benchmark Portfolio 
persists past the trading day in which it occurred, the Exchange will 
halt trading no later than the beginning of the trading day following 
the interruption. In addition, if the Exchange becomes aware that the 
NAV with respect to the Shares is not disseminated to all market 
participants at the same time, it will halt trading in the Shares until 
such time as the NAV is available to all market participants.
Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities. Shares will trade on 
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. in accordance with 
NYSE Arca Rule 7.34-E (Early, Core, and Late Trading Sessions). The 
Exchange has appropriate rules to facilitate transactions in the Shares 
during all trading sessions. As provided in NYSE Arca Rule 7.6-E, the 
minimum price variation (``MPV'') for quoting and entry of orders in 
equity securities traded on the NYSE Arca Marketplace is $0.01, with 
the exception of securities that are priced less than $1.00 for which 
the MPV for order entry is $0.0001.
    The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Rule 8.200-E. The 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 Exchange represents that, for initial and 
continued listing, the Funds will be in compliance with Rule 10A-3 \13\ 
under the Act, as provided by NYSE Arca Rule 5.3-E. A minimum of 
100,000 Shares will be outstanding at the commencement of trading on 
the Exchange.
---------------------------------------------------------------------------

    \13\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

Surveillance
    The Exchange represents that trading in the Shares will be subject 
to the existing trading surveillances administered by the Exchange, as 
well as cross-market surveillances administered by the Financial 
Industry Regulatory Authority (``FINRA'') on behalf of the Exchange, 
which are designed to detect violations of Exchange rules and 
applicable federal securities laws.\14\ The Exchange represents that 
these procedures are adequate to properly monitor Exchange trading of 
the Shares of the Funds in all trading sessions and to deter and detect 
violations of Exchange rules and federal securities laws applicable to 
trading on the Exchange.
---------------------------------------------------------------------------

    \14\ FINRA conducts cross-market surveillances on behalf of the 
Exchange pursuant to a regulatory services agreement. The Exchange 
is responsible for FINRA's performance under this regulatory 
services agreement.
---------------------------------------------------------------------------

    The surveillances referred to above generally focus on detecting 
securities trading outside their normal patterns, which could be 
indicative of manipulative or other violative activity. When such 
situations are detected, surveillance analysis follows and 
investigations are opened, where appropriate, to review the behavior of 
all relevant parties for all relevant trading violations.
    To the extent that the Shares, Freight Futures, and those exchange-
traded options trade on markets that are members of the ISG, the 
Exchange or FINRA, on behalf of the Exchange, or both, will communicate 
as needed regarding trading in the Shares, Freight Futures, and 
exchange-traded options on Freight Futures 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, Freight Futures and exchange-traded 
options on Freight Futures from such markets and other entities. In 
addition, to the extent those instruments trade on markets that are ISG 
members or with which the Exchange has such agreements, the Exchange 
may obtain information regarding trading in the Shares, Freight 
Futures, and exchange-traded options on Freight Futures from markets 
and other entities that are members of ISG or with which the Exchange 
has in place a comprehensive surveillance sharing agreement 
(``CSSA'').\15\
---------------------------------------------------------------------------

    \15\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Funds may trade on markets that are members of ISG or with which the 
Exchange has in place a CSSA.
---------------------------------------------------------------------------

    Not more than 10% of the net assets of the Fund in the aggregate 
invested in Freight Futures and exchange-traded options on Freight 
Futures shall consist of Freight Futures and exchange-traded options on 
Freight Futures whose principal market is not a member of the ISG or is 
a market with which the Exchange does not have a CSSA.
    In addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
    All statements and representations made in this filing regarding 
(a) the description of the Reference Indexes and portfolios, (b) 
limitations on portfolio holdings or reference assets, or (c) 
applicability of Exchange listing rules specified in this filing shall 
constitute continued listing requirements for listing the Shares on the 
Exchange.
    The Sponsor 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 the Fund is not in compliance with 
the applicable listing requirements, the Exchange will commence 
delisting procedures under NYSE Arca Rule 5.5-E(m).
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \16\ 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.
---------------------------------------------------------------------------

    \16\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NYSE Arca Rule 8.200-E. The 
Exchange has in place surveillance procedures that are adequate to 
properly monitor trading in the Shares of the Fund in all trading 
sessions and to deter and detect violations of Exchange rules and 
applicable federal securities laws. To the extent that the Shares, 
Freight Futures, and those options trade on markets that are members of 
the ISG, the Exchange or FINRA, on behalf of the Exchange, or both, 
will communicate as needed regarding trading in the Shares, Freight 
Futures, and exchange-traded options on Freight Futures 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, Freight Futures, 
and exchange-traded options on Freight Futures from such markets

[[Page 58559]]

and other entities. In addition, to the extent those instruments trade 
on markets that are members of ISG or with which the Exchange has such 
agreements, the Exchange may obtain information regarding trading in 
the Shares, Freight Futures, and exchange-traded options on Freight 
Futures from markets and other entities that are members of ISG or with 
which the Exchange has in place a CSSA. Not more than 10% of the net 
assets of the Fund in the aggregate invested in Freight Futures and 
exchange-traded options on Freight Futures shall consist of Freight 
Futures and exchange-traded options on Freight Futures whose principal 
market is not a member of the ISG or is a market with which the 
Exchange does not have a CSSA. The Exchange will make available on its 
website daily trading volume of each of the Shares, closing prices of 
such Shares, and number of Shares outstanding. The intraday, closing 
prices, and settlement prices of Freight Futures will be readily 
available from the Baltic Exchange website, automated quotation 
systems, published or other public sources, or on-line information 
services.
    Complete real-time data for the Freight Futures is available by 
subscription from on-line information services. Quotation and last-sale 
information regarding the Shares will be disseminated through the 
facilities of the CTA. The IFV will be available through on-line 
information services. The Freight Futures trading prices will be 
disseminated by one or more major market data vendors every 15 seconds 
during the NYSE Arca Core Trading Session of 9:30 a.m. to 4:00 p.m. 
E.T. CME and ICE provide on a daily basis, transaction volumes, 
transaction prices, trade time, and open interest on their respective 
websites. In addition, the Fund's website, will display the applicable 
end of day closing NAV. The daily holdings of the Fund will be 
disclosed on the Fund's website before 9:30 a.m. E.T. each day. The 
daily holdings of the Fund will be available on the Fund's website 
before 9:30 a.m. E.T. each day. The Fund's website disclosure of 
portfolio holdings will be made daily and will include, as applicable, 
(i) the composite value of the total portfolio, (ii) the quantity and 
type of each holding (including the ticker symbol, maturity date or 
other identifier, if any) and other descriptive information including, 
in the case of an option, its strike price, (iii) the value of each 
Freight Futures (in U.S. dollars), (iv) the type (including maturity, 
ticker symbol, or other identifier) and value of each Treasury security 
and cash equivalent, and (v) the amount of cash held in the Fund's 
portfolio.
    Moreover, prior to the commencement of trading, the Exchange will 
inform its Equity Trading Permit Holders in an Information Bulletin of 
the special characteristics and risks associated with trading the 
Shares. Trading in Shares of the 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 proposed rule change is designed to perfect the mechanism of a 
free and open market and, in general, to protect investors and the 
public interest in that it will facilitate the listing and trading of 
Trust Issued Receipts based on Freight Futures that will enhance 
competition among market participants, to the benefit of investors and 
the marketplace. As noted above, the Exchange has in place surveillance 
procedures that are adequate to properly monitor trading in the Shares 
in all trading sessions and to deter and detect violations of Exchange 
rules and applicable federal securities laws.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purpose of the Act. The Exchange notes that the 
proposed rule change will facilitate the listing and trading of a new 
type of Trust Issued Receipts based on Freight Futures and that will 
enhance competition among market participants, to the benefit of 
investors and the marketplace.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    No written comments were solicited or received with respect to the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) by order approve or disapprove the proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-NYSEARCA-2022-61 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-2022-61. 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. 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-2022-61, and

[[Page 58560]]

should be submitted on or before October 18, 2022.
---------------------------------------------------------------------------

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

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\17\
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022-20814 Filed 9-26-22; 8:45 am]
BILLING CODE 8011-01-P


