81 FR 23334 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Granting Approval of Proposed Rule Change, as Modified by Amendment No. 1 Thereto, Relating to the Listing and Trading of the Shares of the First Trust Alternative Absolute Return Strategy ETF of First Trust Exchange-Traded Fund VII

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 81, Issue 76 (April 20, 2016)

Page Range		23334-23338
FR Document		2016-09061

Federal Register, Volume 81 Issue 76 (Wednesday, April 20, 2016)

[Federal Register Volume 81, Number 76 (Wednesday, April 20, 2016)]
[Notices]
[Pages 23334-23338]
From the Federal Register Online [www.thefederalregister.org]
[FR Doc No: 2016-09061]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-77619; File No. SR-NASDAQ-2016-021]

Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Order
Granting Approval of Proposed Rule Change, as Modified by Amendment No.
1 Thereto, Relating to the Listing and Trading of the Shares of the
First Trust Alternative Absolute Return Strategy ETF of First Trust
Exchange-Traded Fund VII

April 14, 2016.

I. Introduction

On February 16, 2016, The NASDAQ Stock Market LLC (``Exchange'' or
``Nasdaq'') filed with the Securities and Exchange Commission
(``Commission''), pursuant to Section 19(b)(1) of the Securities
Exchange Act of 1934 (``Act'' or Exchange Act'') \1\ and Rule 19b-4
thereunder,\2\ a proposed rule change to list and trade the shares
(``Shares'') of the First Trust Alternative Absolute Return Strategy
ETF (``Fund'') of the First Trust Exchange-Traded Fund VII (``Trust'').
The proposed rule change was published for comment in the Federal
Register on March 2, 2016.\3\ On April 12, 2016, the Exchange filed
Amendment No. 1 to the proposed rule change.\4\ The Commission received
no comments on the proposed rule change. This order grants approval of
the proposed rule change, as modified by Amendment No. 1 thereto.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 77233 (Feb. 25,
2016), 81 FR 10925 (``Notice'').
\4\ In Amendment No. 1 to the proposed rule change, the Exchange
clarified that: (a) All statements and representations made in the
proposal regarding the description of the portfolio, limitations on
portfolio holdings or reference assets, or the applicability of
Exchange rules and surveillance procedures shall constitute
continued listing requirements for listing the Shares on the
Exchange; (b) the issuer will advise the Exchange of any failure by
the Fund to comply with the continued listing requirements; (c)
pursuant to its obligations under Section 19(g)(1) of the Act, the
Exchange will monitor for compliance with the continued listing
requirements; and (d) if the Fund is not in compliance with the
applicable listing requirements, the Exchange will commence
delisting procedures under the Nasdaq 5800 Series rules. In
addition, the Exchange clarified the description of the Fund's
investments in U.S. government and agency securities by deleting
``short-term high-quality.'' Because Amendment No. 1 to the proposed
rule change does not materially alter the substance of the proposed
rule change or raise unique or novel regulatory issues, Amendment
No. 1 is not subject to notice and comment (Amendment No. 1 is
available at: http://www.sec.gov/comments/sr-nasdaq-2016-021/nasdaq2016021-1.pdf).
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II. Exchange's Description of the Proposal

The Exchange proposes to list and trade the Shares of the Fund
under Nasdaq Rule 5735, which governs the listing and trading of
Managed Fund Shares on the Exchange. The Shares will be offered by the
Trust, which was established as a Massachusetts business trust on
November 6, 2012.\5\ The Trust is registered with the Commission as an
investment company and has filed a registration statement on Form N-1A
(``Registration Statement'') with the Commission.\6\ The Fund will be a
series of the Trust.
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\5\ According to the Exchange, the Trust has obtained an order
from the Commission granting certain exemptive relief under the
Investment Company Act of 1940 (``1940 Act''). See Investment
Company Act Release No. 30029 (April 10, 2012) (File No. 812-13795)
(``Exemptive Order'').
\6\ See Post-Effective Amendment No. 6 to Registration Statement
on Form N-1A for the Trust, dated January 28, 2016 (File Nos. 333-
184918 and 811-22767).
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First Trust Advisors L.P. will be the investment adviser
(``Adviser'') to the Fund. First Trust Portfolios L.P.
(``Distributor'') will be the principal underwriter and distributor of
the Fund's Shares. Brown Brothers Harriman & Co. will act as the
administrator, accounting agent, custodian, and transfer agent to the
Fund. According to the Exchange, the Adviser is not a broker-dealer,
but it is affiliated with the Distributor, which is a broker-dealer.
The Exchange represents that the Adviser has implemented a fire wall
with respect to its broker-dealer affiliate regarding access to
information concerning the composition of, or changes to, the
portfolio.\7\ In addition, the Exchange states that personnel who make
decisions on the Fund's portfolio composition will be subject to
procedures designed to prevent the use and dissemination of material,
non-public information regarding the Fund's portfolio.
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\7\ In the event (a) the Adviser or any sub-adviser registers as
a broker-dealer or becomes newly affiliated with a broker-dealer, or
(b) any new adviser or sub-adviser is a registered broker-dealer or
becomes affiliated with another broker-dealer, it will implement a
fire wall with respect to its relevant personnel or broker-dealer
affiliate, as applicable, regarding access to information concerning
the composition of, or changes to, the portfolio and will be subject
to procedures designed to prevent the use and dissemination of
material non-public information regarding the portfolio. The
Exchange represents that the Fund does not currently intend to use a
sub-adviser.
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The Exchange has made the following representations and statements
describing the Fund and the Fund's investment strategies, including the
Fund's portfolio holdings and investment restrictions.\8\
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\8\ Additional information regarding the Fund, the Trust, and
the Shares, including investment strategies, risks, creation and
redemption procedures, fees, portfolio holdings disclosure policies,
calculation of net asset value (``NAV''), distributions, and taxes,
among other things, can be found in the Notice, Amendment No. 1 to
the proposed rule change, Exemptive Order, and the Registration
Statement, as applicable. See Notice, Amendment No. 1, Exemptive
Order, and Registration Statement, supra notes 3-6, respectively.
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A. Exchange's Description of the Fund

The Fund will be an actively-managed exchange-traded fund (``ETF'')
that will seek to achieve long-term total return by using a long/short
commodities strategy. Under normal market conditions,\9\ the Fund will
invest in a combination of securities, exchange-traded commodity
futures contracts, and other instruments, either directly or through a
wholly-owned subsidiary controlled by the Fund and organized under the
laws of the Cayman Islands (``First Trust Subsidiary''), as described
herein.
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\9\ The term ``under normal market conditions'' as used herein
includes, but is not limited to, the absence of adverse market,
economic, political or other conditions, including extreme
volatility or trading halts in the securities, commodities or
futures markets, or the financial markets generally; operational
issues causing dissemination of inaccurate market information; or
force majeure type events such as systems failure, natural or man-
made disaster, act of God, armed conflict, act of terrorism, riot or
labor disruption, or any similar intervening circumstance. On a
temporary basis, including for defensive purposes, during the
initial invest-up period and during periods of high cash inflows or
outflows, the Fund may depart from its principal investment
strategies; for example, it may hold a higher than normal proportion
of its assets in cash. During such periods, the Fund may not be able
to achieve its investment objective. The Fund may adopt a defensive
strategy when the Adviser believes securities and other instruments
in which the Fund normally may invest have elevated risks due to
political or economic factors and in other extraordinary
circumstances.
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The Fund will invest in: (1) The First Trust Subsidiary; (2) U.S.
government and agency securities; \10\ (3) short-term

[[Page 23335]]

repurchase agreements; \11\ (4) money market instruments; \12\ and (5)
cash. The First Trust Subsidiary may also invest in the instruments
described in the foregoing clauses (2) through (5) (collectively,
``Other Investments''). Other Investments (except for cash and money
market mutual funds) each will have a maturity of five years or less.
The Fund (and, as applicable, the First Trust Subsidiary) will use the
Other Investments for investment purposes, to provide liquidity, or to
collateralize the First Trust Subsidiary's investments in exchange-
traded commodity futures contracts (``Commodities'').
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\10\ These securities will include securities that are issued or
guaranteed by the U.S. Treasury, by various agencies of the U.S.
government, or by various instrumentalities, which have been
established or sponsored by the U.S. government. U.S. Treasury
obligations are backed by the ``full faith and credit'' of the U.S.
government. Securities issued or guaranteed by federal agencies and
U.S. government-sponsored instrumentalities may or may not be backed
by the full faith and credit of the U.S. government.
\11\ The Fund intends to enter into repurchase agreements only
with financial institutions and dealers believed by the Adviser to
present minimal credit risks in accordance with criteria approved by
the Trust's Board of Trustees (``Trust Board''). The Adviser will
review and monitor the creditworthiness of these institutions. The
Adviser will monitor the value of the collateral at the time the
transaction is entered into and at all times during the term of the
repurchase agreement.
\12\ For the Fund's purposes, money market instruments will
include: (i) Short-term, high-quality securities issued or
guaranteed by non-U.S. governments, agencies and instrumentalities;
(ii) non-convertible high-quality corporate debt securities with
remaining maturities of not more than 397 days; (iii) money market
mutual funds; (iv) commercial paper; and (v) certificates of
deposit, bank time deposits, bankers' acceptances, and short-term
negotiable obligations of U.S. and non-U.S. banks and financial
institutions.
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The Fund expects to exclusively gain exposure to Commodities
indirectly by investing directly in the First Trust Subsidiary. The
Fund's investment in the First Trust Subsidiary may not exceed 25% of
the Fund's total assets. The Fund will not invest directly in
Commodities, and neither the Fund nor the First Trust Subsidiary will
invest directly in physical commodities.

B. Exchange's Description of the First Trust Subsidiary

The Fund's investment in the First Trust Subsidiary will be
designed to provide the Fund with exposure to commodity markets within
the limits of current federal income tax laws applicable to investment
companies such as the Fund, which limit the ability of investment
companies to invest directly in the derivative instruments.\13\
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\13\ The First Trust Subsidiary, which will be advised by the
Adviser, will not be registered under the 1940 Act. As an investor
in the First Trust Subsidiary, the Fund, as the First Trust
Subsidiary's sole shareholder, will not have the protections offered
to investors in registered investment companies. However, because
the Fund will wholly own and control the First Trust Subsidiary, and
the Fund and the First Trust Subsidiary will be managed by the
Adviser, the First Trust Subsidiary will not take action contrary to
the interest of the Fund or the Fund's shareholders. The Trust Board
will have oversight responsibility for the investment activities of
the Fund, including its expected investment in the First Trust
Subsidiary, and the Fund's role as the sole shareholder of the First
Trust Subsidiary. The Adviser will receive no additional
compensation for managing the assets of the First Trust Subsidiary.
In addition, the First Trust Subsidiary will enter into separate
contracts for the provision of custody, transfer agency, and
accounting agent services with the same or with affiliates of the
same service providers that provide those services to the Fund.
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The First Trust Subsidiary will have the same investment objective
as the Fund, but unlike the Fund, it may invest without limitation in
Commodities. Eligible Commodities will be selected based on liquidity
as measured by open interest (generally, the number of contracts that
are outstanding at a particular time) and volume. The list of
Commodities considered for inclusion can and will change over time.
Through its investment process, the Adviser will seek to maximize the
total return of a long/short commodity portfolio \14\ while managing
overall portfolio risk, sector risk, liquidity risk, margin risk, and
position size risk. As stated above, in addition to Commodities, the
First Trust Subsidiary may invest in Other Investments.
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\14\ To be ``long'' means to hold or be exposed to a security or
instrument with the expectation that its value will increase over
time. To be ``short'' means to sell or be exposed to a security or
instrument with the expectation that it will fall in value. The
Fund, through the First Trust Subsidiary, will benefit if it has a
long position in a Commodity that increases in value or a short
position in a Commodity that decreases in value.
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The First Trust Subsidiary will initially consider investing in
Commodities set forth in the following table, which also provides each
instrument's trading hours, exchange, and ticker symbol:

----------------------------------------------------------------------------------------------------------------
Contract
ticker
Commodity Bloomberg exchange Exchange name Trading hours (generic
code\15\ (E.T.) Bloomberg
ticker)
----------------------------------------------------------------------------------------------------------------
Cattle, Live/Choice Average....... CME.................. Chicago Mercantile 18:00-17:00 LC
Exchange.
Cocoa............................. NYB.................. ICE Futures Exchange. 04:00-14:00 CC
Cotton/1-1/16''................... NYB.................. ICE Futures Exchange. 21:00-14:30 CT
Feeder Cattle..................... CME.................. Chicago Mercantile 18:00-17:00 FC
Exchange.
Coffee `C'/Colombian.............. NYB.................. ICE Futures Exchange. 03:30-14:00 KC
Soybeans/No. 2 Yellow............. CBT.................. Chicago Board of 20:00-14:15 S
Trade.
Soybean Meal/48% Protein.......... CBT.................. Chicago Board of 20:00-14:15 SM
Trade.
Soybean Oil/Crude................. CBT.................. Chicago Board of 20:00-14:15 BO
Trade.
Corn/No. 2 Yellow................. CBT.................. Chicago Board of 20:00-14:15 C
Trade.
Wheat/No. 2 Hard Winter........... CBT.................. Chicago Board of 20:00-14:15 KW
Trade.
Wheat/No. 2 Soft Red.............. CBT.................. Chicago Board of 20:00-14:15 W
Trade.
Sugar #11/World Raw............... NYB.................. ICE Futures Exchange. 02:30-14:00 SB
Hogs, Lean/Average Iowa/S Minn.... CME.................. Chicago Mercantile 18:00-17:00 LH
Exchange.
Crude Oil, WTI/Global Spot........ NYM.................. New York Mercantile 18:00-17:15 CL
Exchange.
Crude Oil, Brent/Global Spot...... ICE.................. ICE Futures Exchange. 20:00-18:00 CO
NY Harb ULSD...................... NYM.................. New York Mercantile 18:00-17:15 HO
Exchange.
Gas-Oil-Petroleum................. ICE.................. ICE Futures Exchange. 20:00-18:00 QS
Natural Gas, Henry Hub............ NYM.................. New York Mercantile 18:00-17:15 NG
Exchange.
Gasoline, Blendstock (RBOB)....... NYM.................. New York Mercantile 18:00-17:15 XB
Exchange.
Gold.............................. CMX.................. Commodity Exchange... 18:00-17:15 GC
Silver............................ CMX.................. Commodity Exchange... 18:00-17:15 SI
Platinum.......................... NYM.................. New York Mercantile 18:00-17:15 PL
Exchange.
Copper High Grade/Scrap No. 2 Wire CMX.................. Commodity Exchange... 18:00-17:15 HG

[[Page 23336]]

Aluminum, LME Primary 3 Month LME.................. London Metal Exchange 15:00-14:45 LA
Rolling Forward.
Lead, LME Primary 3 Month Rolling LME.................. London Metal Exchange 15:00-14:45 LL
Forward.
Nickel, LME Primary 3 Month LME.................. London Metal Exchange 15:00-14:45 LN
Rolling Forward.
Tin, LME Primary 3 Month Rolling LME.................. London Metal Exchange 15:00-14:45 LT
Forward.
Zinc, LME Primary 3 Month Rolling LME.................. London Metal Exchange 15:00-14:45 LX
Forward.
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As the exchanges referenced above list additional Commodities, as
currently listed Commodities on those exchanges that are not included
above meet the Adviser's selection criteria, or as other exchanges list
Commodities that meet the Adviser's selection criteria, the Adviser
will include those Commodities in the list of possible investments of
the First Trust Subsidiary. The list of Commodities and commodities
markets considered for investment can and will change over time.
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\15\ The exchange codes listed are Bloomberg shorthand codes for
the corresponding exchanges. The New York Board of Trade is
currently owned by the ICE Futures Exchange. Bloomberg continues to
use NYB as its shorthand code for certain contracts formerly traded
on the New York Board of Trade.
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With respect to the Commodities held indirectly through the First
Trust Subsidiary, not more than 10% of the weight \16\ of such
instruments (in the aggregate) shall consist of instruments whose
principal trading market (a) is not a member of the Intermarket
Surveillance Group (``ISG'') or (b) is a market with which the Exchange
does not have a comprehensive surveillance sharing agreement.\17\
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\16\ To be calculated as the value of the Commodity divided by
the total absolute notional value of the First Trust Subsidiary's
Commodities.
\17\ The Exchange states that the Commodity Futures Trading
Commission (``CFTC'') has adopted substantial amendments to CFTC
Rule 4.5 relating to the permissible exemptions, and conditions for
reliance on exemptions, from registration as a commodity pool
operator. As a result of the instruments that will be indirectly
held by the Fund, the Fund and the First Trust Subsidiary will be
subject to regulation by the CFTC and National Futures Association
(``NFA'') as well as additional disclosure, reporting, and
recordkeeping rules imposed upon commodity pools. The Adviser has
previously registered as a commodity pool operator and is also a
member of the NFA.
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C. Exchange's Description of the Investment Restrictions

The Fund may not invest more than 25% of the value of its total
assets in securities of issuers in any one industry. This restriction
will not apply to (a) obligations issued or guaranteed by the U.S.
government, its agencies, or instrumentalities, or (b) securities of
other investment companies.
The First Trust Subsidiary's shares will be offered only to the
Fund, and the Fund will not sell shares of the First Trust Subsidiary
to other investors. The Fund and the First Trust Subsidiary will not
invest in any non-U.S. equity securities (other than shares of the
First Trust Subsidiary).
The Fund may hold up to an aggregate amount of 15% of its net
assets in illiquid assets (calculated at the time of investment),
deemed illiquid by the Adviser.\18\ The Fund will monitor its portfolio
liquidity on an ongoing basis to determine whether, in light of current
circumstances, an adequate level of liquidity is being maintained, and
will consider taking appropriate steps in order to maintain adequate
liquidity if, through a change in values, net assets, or other
circumstances, more than 15% of the Fund's net assets are held in
illiquid assets. Illiquid assets include securities subject to
contractual or other restrictions on resale and other instruments that
lack readily available markets as determined in accordance with
Commission staff guidance.
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\18\ In reaching liquidity decisions, the Adviser may consider
the following factors: The frequency of trades and quotes for the
security or other instrument; the number of dealers wishing to
purchase or sell the security or other instrument and the number of
other potential purchasers; dealer undertakings to make a market in
the security or other instrument; and the nature of the security or
other instrument and the nature of the marketplace in which it
trades (e.g., the time needed to dispose of the security or other
instrument, the method of soliciting offers and the mechanics of
transfer).
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The Fund intends to qualify each year as a regulated investment
company under Subchapter M of the Internal Revenue Code.

III. Discussion and Commission Findings

After careful review, the Commission finds that the Exchange's
proposal is consistent with the Exchange Act and the rules and
regulations thereunder applicable to a national securities
exchange.\19\ In particular, the Commission finds that the proposed
rule change, as modified by Amendment No. 1 thereto, is consistent with
Section 6(b)(5) of the Exchange Act,\20\ which requires, among other
things, that the Exchange's rules be designed to 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.
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\19\ In approving this proposed rule change, the Commission has
considered the proposed rule's impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
\20\ 15 U.S.C. 78f(b)(5).
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The Commission also finds that the proposal is consistent with
Section 11A(a)(1)(C)(iii) of the Exchange Act,\21\ which sets forth the
finding of Congress 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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\21\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
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Quotation and last-sale information for the Shares will be
available via Nasdaq proprietary quote and trade services, as well as
in accordance with the Unlisted Trading Privileges and the Consolidated
Tape Association (``CTA'') plans for the Shares. On each business day,
before commencement of trading in Shares in the Regular Market Session
\22\ on the Exchange, the Fund will disclose on its Web site the
identities and quantities of the portfolio of securities, Commodities,
and other assets (``Disclosed Portfolio,'' as defined in Nasdaq Rule
5735(c)(2)) held by the Fund and the First Trust Subsidiary that will
form the basis for the Fund's calculation of NAV at the end of the
business day.\23\ The NAV of the Fund's

[[Page 23337]]

Shares generally will be calculated once daily Monday through Friday as
of the close of regular trading on Nasdaq, generally 4:00 p.m., Eastern
Time.\24\ In addition, for the Fund, an estimated value, defined in
Rule 5735(c)(3) as the ``Intraday Indicative Value,'' that reflects an
estimated intraday value of the Fund's Disclosed Portfolio, (including
the First Trust Subsidiary's portfolio), will be disseminated. The
Intraday Indicative Value, available on the NASDAQ OMX Information LLC
proprietary index data service \25\ will be based upon the current
value for the components of the Disclosed Portfolio and will be updated
and widely disseminated by one or more major market data vendors and
broadly displayed at least every 15 seconds during the Regular Market
Session. The Intraday Indicative Value will be based on quotes and
closing prices from the instruments' local market and may not reflect
events that occur subsequent to the local market's close.
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\22\ See Nasdaq Rule 4120(b)(4) (describing the three trading
sessions on the Exchange: (1) Pre-Market Session from 4:00 a.m. to
9:30 a.m., Eastern Time; (2) Regular Market Session from 9:30 a.m.
to 4:00 p.m. or 4:15 p.m., Eastern Time; and (3) Post-Market Session
from 4:00 p.m. or 4:15 p.m. to 8 p.m., Eastern Time).
\23\ Under accounting procedures to be followed by the Fund,
trades made on the prior business day (``T'') will be booked and
reflected in NAV on the current business day (``T+1''). Accordingly,
the Fund will be able to disclose at the beginning of the business
day the portfolio that will form the basis for the NAV calculation
at the end of the business day. The Exchange represents that the
Fund's disclosure of derivative positions in the Disclosed Portfolio
will include sufficient information for market participants to use
to value these positions intraday. On a daily basis, the Fund will
disclose on the Fund's Web site the following information regarding
each portfolio holding of the Fund and the First Trust Subsidiary,
as applicable to the type of holding: Ticker symbol, CUSIP number or
other identifier, if any; a description of the holding (including
the type of holding); the identity of the security, commodity, or
other asset or instrument underlying the holding, if any; quantity
held (as measured by, for example, par value, notional value or
number of shares, contracts or units); maturity date, if any; coupon
rate, if any; effective date, if any; market value of the holding;
and percentage weighting of the holding in the portfolio. The Web
site information will be publicly available at no charge.
\24\ According to the Exchange, the Fund's and the First Trust
Subsidiary's investments will be valued daily. As described more
specifically below, investments traded on an exchange (i.e., a
regulated market), will generally be valued at market value prices
that represent last sale or official closing prices. In addition,
non-exchange traded investments will generally be valued using
prices obtained from third-party pricing services (``Pricing
Service''). Specifically, money market instruments (other than money
market mutual funds, certificates of deposit, and bank time
deposits) and U.S. government and agency securities (collectively,
``Fixed-Income Instruments'') will typically be valued using
information provided by a Pricing Service. In addition, debt
instruments may be valued at evaluated mean prices, as provided by
Pricing Services. Fixed-Income Instruments having a remaining
maturity of 60 days or less when purchased will typically be valued
at cost adjusted for amortization of premiums and accretion of
discounts. Overnight repurchase agreements will be valued at
amortized cost when it represents the best estimate of value. Term
repurchase agreements (i.e., those whose maturity exceeds seven
days) will be valued at the average of the bid quotations obtained
daily from at least two recognized dealers. Certificates of deposit
and bank time deposits will typically be valued at cost. Money
market mutual funds will typically be valued at their NAVs as
reported by those funds to Pricing Services. Commodities will
typically be valued at the closing price in the market where those
instruments are principally traded. Because foreign exchanges may be
open on different days than the days during which an investor may
purchase or sell Shares, the value of the Fund's assets may change
on days when investors are not able to purchase or sell Shares.
Assets denominated in foreign currencies will be translated into
U.S. dollars at the exchange rate of such currencies against the
U.S. dollar as provided by a Pricing Service. The value of assets
denominated in foreign currencies will be converted into U.S.
dollars at the exchange rates in effect at the time of valuation.
\25\ According to the Exchange, the NASDAQ OMX Global Index Data
Service (``GIDS'') is the Nasdaq global index data feed service that
offers real-time updates, daily summary messages, and access to
widely followed indexes and Intraday Indicative Values for ETFs.
GIDS provides investment professionals with the daily information
needed to track or trade Nasdaq indexes, listed ETFs, or third-party
partner indexes and ETFs.
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Information regarding market price and trading volume of the Shares
will be continually available on a real-time basis throughout the day
on brokers' computer screens and other electronic services. Information
regarding the previous day's closing price and trading volume
information for the Shares will be published daily in the financial
section of newspapers. Pricing information for Fixed-Income
Instruments, certificates of deposit, bank time deposits, and
repurchase agreements will be available from major broker-dealer firms,
major market data vendors, and Pricing Services. Pricing information
for Commodities will be available from the applicable listing exchange
and from major market data vendors. Money market mutual funds are
typically priced once each business day and their prices will be
available through the applicable fund's Web site or from major market
data vendors. In addition, the Exchange notes that the Fund's Web site
will include a form of the prospectus for the Fund and additional data
relating to NAV and other applicable quantitative information.
The Commission also believes that the proposal to list and trade
the Shares is reasonably designed to promote fair disclosure of
information that may be necessary to price the Shares appropriately and
to prevent trading when a reasonable degree of transparency cannot be
assured. The Exchange states that it will obtain a representation from
the issuer of the Shares that the NAV per Share will be calculated
daily and that the NAV and the Disclosed Portfolio will be made
available to all market participants at the same time. The Exchange
also represents that it may consider all relevant factors in exercising
its discretion to halt or suspend trading in the Shares of the Fund.
The Exchange will halt trading in the Shares under the conditions
specified in Nasdaq Rules 4120 and 4121, including the trading pauses
under Nasdaq Rules 4120(a)(11) and (12). Trading may be halted because
of market conditions or for reasons that, in the view of the Exchange,
make trading in the Shares inadvisable.\26\ Trading in the Shares also
will be subject to Rule 5735(d)(2)(D), which sets forth circumstances
under which Shares of the Fund may be halted.
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\26\ These may include: (1) The extent to which trading is not
occurring in the securities, Commodities, or the other assets
constituting the Disclosed Portfolio of the Fund and the First Trust
Subsidiary; or (2) whether other unusual conditions or circumstances
detrimental to the maintenance of a fair and orderly market are
present.
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The Exchange states that it has a general policy prohibiting the
distribution of material, non-public information by its employees. The
Exchange further states that the Adviser is not a broker-dealer, but is
affiliated with a broker-dealer, and that the Adviser has implemented a
fire wall with respect to its broker-dealer affiliate regarding access
to information concerning the composition of, and changes to, the
Fund's portfolio.\27\ Further, the Commission notes that the Reporting
Authority \28\ that provides the Disclosed Portfolio must implement and
maintain, or be subject to, procedures designed to prevent the use and
dissemination of material, non-public information regarding the actual
components of the portfolio.\29\
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\27\ See supra note 7 and accompanying text. The Exchange
further represents that an investment adviser to an open-end fund is
required to be registered under the Investment Advisers Act of 1940
(``Advisers Act''). As a result, the Adviser and its related
personnel are subject to the provisions of Rule 204A-1 under the
Advisers Act relating to codes of ethics. This Rule requires
investment advisers to adopt a code of ethics that reflects the
fiduciary nature of the relationship to clients as well as
compliance with other applicable securities laws. Accordingly,
procedures designed to prevent the communication and misuse of non-
public information by an investment adviser must be consistent with
Rule 204A-1 under the Advisers Act. In addition, Rule 206(4)-7 under
the Advisers Act makes it unlawful for an investment adviser to
provide investment advice to clients unless such investment adviser
has (i) adopted and implemented written policies and procedures
reasonably designed to prevent violation, by the investment adviser
and its supervised persons, of the Advisers Act and the Commission
rules adopted thereunder; (ii) implemented, at a minimum, an annual
review regarding the adequacy of the policies and procedures
established pursuant to subparagraph (i) above and the effectiveness
of their implementation; and (iii) designated an individual (who is
a supervised person) responsible for administering the policies and
procedures adopted under subparagraph (i) above.
\28\ Nasdaq Rule 5735(c)(4) defines ``Reporting Authority.''
\29\ See Nasdaq Rule 5735(d)(2)(B)(ii).
---------------------------------------------------------------------------

Nasdaq deems the Shares to be equity securities, thus rendering
trading in the Shares subject to Nasdaq's existing rules

[[Page 23338]]

governing the trading of equity securities. In support of this
proposal, the Exchange represented that:
(1) The Shares will be subject to Nasdaq Rule 5735, which sets
forth the initial and continued listing criteria applicable to Managed
Fund Shares.
(2) Trading in the Shares will be subject to the existing trading
surveillances, administered by both Nasdaq and the Financial Industry
Regulatory Authority (``FINRA'') on behalf of the Exchange,\30\ which
are designed to detect violations of Exchange rules and applicable
federal securities laws. The Exchange represents that these procedures
are adequate to properly monitor Exchange trading of the Shares in all
trading sessions and to deter and detect violations of Exchange rules
and applicable federal securities laws.
---------------------------------------------------------------------------

\30\ The Exchange represents that FINRA surveils trading on the
Exchange pursuant to a regulatory services agreement and that the
Exchange is responsible for FINRA's performance under this
regulatory services agreement.
---------------------------------------------------------------------------

(3) FINRA, on behalf of the Exchange, will communicate as needed
regarding trading in the Shares and the Commodities with other markets
and other entities that are members of ISG,\31\ and FINRA may obtain
trading information regarding trading in the Shares and in the
Commodities held by the First Trust Subsidiary from such markets and
other entities. In addition, the Exchange may obtain information
regarding trading in the Shares and in the Commodities held by the
First Trust Subsidiary from markets and other entities that are members
of ISG, which includes securities and futures exchanges, or with which
the Exchange has in place a comprehensive surveillance sharing
agreement. Moreover, FINRA, on behalf of the Exchange, will be able to
access, as needed, trade information for certain fixed-income
securities held by the Fund and the First Trust Subsidiary reported to
FINRA's Trade Reporting and Compliance Engine (``TRACE'').
---------------------------------------------------------------------------

\31\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of the
Disclosed Portfolio may trade on markets that are members of ISG or
with which the Exchange has in place a comprehensive surveillance
sharing agreement.
---------------------------------------------------------------------------

(4) With respect to the Commodities held indirectly through the
First Trust Subsidiary, not more than 10% of the weight \32\ of such
instruments (in the aggregate) shall consist of instruments whose
principal trading market (a) is not a member of ISG or (b) is a market
with which the Exchange does not have a comprehensive surveillance
sharing agreement.
---------------------------------------------------------------------------

\32\ To be calculated as the value of the Commodity divided by
the total absolute notional value of the First Trust Subsidiary's
Commodities.
---------------------------------------------------------------------------

(5) The Exchange has appropriate rules to facilitate transactions
in the Shares during all trading sessions.
(6) Prior to the commencement of trading, the Exchange will inform
its members in an Information Circular of the special characteristics
and risks associated with trading the Shares. Specifically, the
Information Circular for the Fund will discuss the following: (a) The
procedures for purchases and redemptions of Shares in Creation Units
(and that Shares are not individually redeemable); (b) Nasdaq Rule
2111A, which imposes suitability obligations on Nasdaq members with
respect to recommending transactions in the Shares to customers; (c)
how information regarding the Intraday Indicative Value and the
Disclosed Portfolio is disseminated; (d) the risks involved in trading
the Shares during the Pre-Market and Post-Market Sessions when an
updated Intraday Indicative Value will not be calculated or publicly
disseminated; (e) the requirement that members deliver a prospectus to
investors purchasing newly issued Shares prior to or concurrently with
the confirmation of a transaction; and (f) trading information.
(7) For initial and continued listing, the Fund must be in
compliance with Rule 10A-3 under the Act.\33\
---------------------------------------------------------------------------

\33\ See 17 CFR 240.10A-3.
---------------------------------------------------------------------------

(8) The Fund may hold up to an aggregate amount of 15% of its net
assets in illiquid assets.
(9) The Fund's investment in the First Trust Subsidiary may not
exceed 25% of the Fund's total assets. In addition, the Fund will not
invest directly in Commodities, and neither the Fund nor the First
Trust Subsidiary will invest directly in physical commodities.
(10) The First Trust Subsidiary's shares will be offered only to
the Fund, and the Fund will not sell shares of the First Trust
Subsidiary to other investors. In addition, the Fund and the First
Trust Subsidiary will not invest in any non-U.S. equity securities
(other than shares of the First Trust Subsidiary).
(11) A minimum of 100,000 Shares will be outstanding at the
commencement of trading on the Exchange.
The Exchange represents that all statements and representations
made in the filing regarding (a) the description of the portfolio, (b)
limitations on portfolio holdings or reference assets, or (c) the
applicability of Exchange rules and surveillance procedures shall
constitute continued listing requirements for listing the Shares on the
Exchange. In addition, the issuer has represented to the Exchange that
it will advise the Exchange of any failure by the Fund to comply with
the continued listing requirements, and, pursuant to its obligations
under Section 19(g)(1) of the Act, the Exchange will monitor for
compliance with the continued listing requirements.\34\ If the Fund is
not in compliance with the applicable listing requirements, the
Exchange will commence delisting procedures under the Nasdaq 5800
Series. This approval order is based on all of the Exchange's
representations, including those set forth above, in the Notice, and in
Amendment No. 1 to the proposed rule change. The Commission notes that
the Fund and the Shares must comply with the requirements of Nasdaq
Rule 5735, including those set forth in this proposed rule change, as
modified by Amendment No. 1 thereto, to be listed and traded on the
Exchange on an initial and continuing basis.
---------------------------------------------------------------------------

\34\ 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., Amendment No. 2 to SR-BATS-2016-04,
available at: http://www.sec.gov/comments/sr-bats-2016-04/bats201604-2.pdf. In the context of this representation, it is the
Commission's view that ``monitor'' and ``surveil'' both mean ongoing
oversight of the 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.
---------------------------------------------------------------------------

For the foregoing reasons, the Commission finds that the proposed
rule change, as modified by Amendment No. 1 thereto, is consistent with
Section 6(b)(5) of the Act \35\ and the rules and regulations
thereunder applicable to a national securities exchange.
---------------------------------------------------------------------------

\35\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

IV. Conclusion

It is therefore ordered, pursuant to Section 19(b)(2) of the
Exchange Act,\36\ that the proposed rule change (SR-NASDAQ-2016-021),
as modified by Amendment No. 1 thereto, be, and it hereby is, approved.
---------------------------------------------------------------------------

\36\ 15 U.S.C. 78s(b)(2).

For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\37\
---------------------------------------------------------------------------

\37\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-09061 Filed 4-19-16; 8:45 am]
BILLING CODE 8011-01-P

Federal Register / Vol. 81, No. 76 / Wednesday, April 20, 2016 / Notices 23335

repurchase agreements; 11 (4) money The Fund will not invest directly in based on liquidity as measured by open
market instruments; 12 and (5) cash. The Commodities, and neither the Fund nor interest (generally, the number of
First Trust Subsidiary may also invest in the First Trust Subsidiary will invest contracts that are outstanding at a
the instruments described in the directly in physical commodities. particular time) and volume. The list of
foregoing clauses (2) through (5) Commodities considered for inclusion
B. Exchange’s Description of the First
(collectively, ‘‘Other Investments’’). can and will change over time. Through
Other Investments (except for cash and Trust Subsidiary
its investment process, the Adviser will
money market mutual funds) each will The Fund’s investment in the First seek to maximize the total return of a
have a maturity of five years or less. The Trust Subsidiary will be designed to long/short commodity portfolio 14 while
Fund (and, as applicable, the First Trust provide the Fund with exposure to managing overall portfolio risk, sector
Subsidiary) will use the Other commodity markets within the limits of risk, liquidity risk, margin risk, and
Investments for investment purposes, to current federal income tax laws
position size risk. As stated above, in
provide liquidity, or to collateralize the applicable to investment companies
addition to Commodities, the First Trust
First Trust Subsidiary’s investments in such as the Fund, which limit the
Subsidiary may invest in Other
exchange-traded commodity futures ability of investment companies to
Investments.
contracts (‘‘Commodities’’). invest directly in the derivative
The Fund expects to exclusively gain instruments.13 The First Trust Subsidiary will
exposure to Commodities indirectly by The First Trust Subsidiary will have initially consider investing in
investing directly in the First Trust the same investment objective as the Commodities set forth in the following
Subsidiary. The Fund’s investment in Fund, but unlike the Fund, it may invest table, which also provides each
the First Trust Subsidiary may not without limitation in Commodities. instrument’s trading hours, exchange,
exceed 25% of the Fund’s total assets. Eligible Commodities will be selected and ticker symbol:

Contract
Bloomberg ticker
Trading hours
Commodity exchange Exchange name (generic
(E.T.)
code15 Bloomberg
ticker)

Cattle, Live/Choice Average .................................................... CME ..................... Chicago Mercantile Exchange 18:00–17:00 LC
Cocoa ...................................................................................... NYB ...................... ICE Futures Exchange .......... 04:00–14:00 CC
Cotton/1–1/16″ ......................................................................... NYB ...................... ICE Futures Exchange .......... 21:00–14:30 CT
Feeder Cattle ........................................................................... CME ..................... Chicago Mercantile Exchange 18:00–17:00 FC
Coffee ‘C’/Colombian .............................................................. NYB ...................... ICE Futures Exchange .......... 03:30–14:00 KC
Soybeans/No. 2 Yellow ........................................................... CBT ...................... Chicago Board of Trade ........ 20:00–14:15 S
Soybean Meal/48% Protein ..................................................... CBT ...................... Chicago Board of Trade ........ 20:00–14:15 SM
Soybean Oil/Crude .................................................................. CBT ...................... Chicago Board of Trade ........ 20:00–14:15 BO
Corn/No. 2 Yellow ................................................................... CBT ...................... Chicago Board of Trade ........ 20:00–14:15 C
Wheat/No. 2 Hard Winter ........................................................ CBT ...................... Chicago Board of Trade ........ 20:00–14:15 KW
Wheat/No. 2 Soft Red ............................................................. CBT ...................... Chicago Board of Trade ........ 20:00–14:15 W
Sugar #11/World Raw ............................................................. NYB ...................... ICE Futures Exchange .......... 02:30–14:00 SB
Hogs, Lean/Average Iowa/S Minn .......................................... CME ..................... Chicago Mercantile Exchange 18:00–17:00 LH
Crude Oil, WTI/Global Spot .................................................... NYM ..................... New York Mercantile Ex- 18:00–17:15 CL
change.
Crude Oil, Brent/Global Spot .................................................. ICE ....................... ICE Futures Exchange .......... 20:00–18:00 CO
NY Harb ULSD ........................................................................ NYM ..................... New York Mercantile Ex- 18:00–17:15 HO
change.
Gas-Oil-Petroleum ................................................................... ICE ....................... ICE Futures Exchange .......... 20:00–18:00 QS
Natural Gas, Henry Hub .......................................................... NYM ..................... New York Mercantile Ex- 18:00–17:15 NG
change.
Gasoline, Blendstock (RBOB) ................................................. NYM ..................... New York Mercantile Ex- 18:00–17:15 XB
change.
Gold ......................................................................................... CMX ..................... Commodity Exchange ............ 18:00–17:15 GC
Silver ........................................................................................ CMX ..................... Commodity Exchange ............ 18:00–17:15 SI
Platinum ................................................................................... NYM ..................... New York Mercantile Ex- 18:00–17:15 PL
change.
Copper High Grade/Scrap No. 2 Wire .................................... CMX ..................... Commodity Exchange ............ 18:00–17:15 HG

11 The Fund intends to enter into repurchase bank time deposits, bankers’ acceptances, and and the Fund’s role as the sole shareholder of the
agreements only with financial institutions and short-term negotiable obligations of U.S. and non- First Trust Subsidiary. The Adviser will receive no
dealers believed by the Adviser to present minimal U.S. banks and financial institutions. additional compensation for managing the assets of
credit risks in accordance with criteria approved by 13 The First Trust Subsidiary, which will be the First Trust Subsidiary. In addition, the First
the Trust’s Board of Trustees (‘‘Trust Board’’). The advised by the Adviser, will not be registered under Trust Subsidiary will enter into separate contracts
Adviser will review and monitor the the 1940 Act. As an investor in the First Trust for the provision of custody, transfer agency, and
creditworthiness of these institutions. The Adviser Subsidiary, the Fund, as the First Trust Subsidiary’s accounting agent services with the same or with
will monitor the value of the collateral at the time sole shareholder, will not have the protections affiliates of the same service providers that provide
the transaction is entered into and at all times offered to investors in registered investment those services to the Fund.
during the term of the repurchase agreement.
Lhorne on DSK5TPTVN1PROD with NOTICES

companies. However, because the Fund will wholly 14 To be ‘‘long’’ means to hold or be exposed to
12 For the Fund’s purposes, money market own and control the First Trust Subsidiary, and the a security or instrument with the expectation that
instruments will include: (i) Short-term, high- Fund and the First Trust Subsidiary will be its value will increase over time. To be ‘‘short’’
quality securities issued or guaranteed by non-U.S. managed by the Adviser, the First Trust Subsidiary means to sell or be exposed to a security or
governments, agencies and instrumentalities; (ii) will not take action contrary to the interest of the instrument with the expectation that it will fall in
non-convertible high-quality corporate debt Fund or the Fund’s shareholders. The Trust Board value. The Fund, through the First Trust
securities with remaining maturities of not more will have oversight responsibility for the Subsidiary, will benefit if it has a long position in
than 397 days; (iii) money market mutual funds; (iv) investment activities of the Fund, including its a Commodity that increases in value or a short
commercial paper; and (v) certificates of deposit, expected investment in the First Trust Subsidiary, position in a Commodity that decreases in value.

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23338 Federal Register / Vol. 81, No. 76 / Wednesday, April 20, 2016 / Notices

governing the trading of equity a comprehensive surveillance sharing addition, the issuer has represented to
securities. In support of this proposal, agreement. the Exchange that it will advise the
the Exchange represented that: (5) The Exchange has appropriate Exchange of any failure by the Fund to
(1) The Shares will be subject to rules to facilitate transactions in the comply with the continued listing
Nasdaq Rule 5735, which sets forth the Shares during all trading sessions. requirements, and, pursuant to its
initial and continued listing criteria (6) Prior to the commencement of obligations under Section 19(g)(1) of the
applicable to Managed Fund Shares. trading, the Exchange will inform its Act, the Exchange will monitor for
(2) Trading in the Shares will be members in an Information Circular of
compliance with the continued listing
subject to the existing trading the special characteristics and risks
associated with trading the Shares. requirements.34 If the Fund is not in
surveillances, administered by both
Nasdaq and the Financial Industry Specifically, the Information Circular compliance with the applicable listing
Regulatory Authority (‘‘FINRA’’) on for the Fund will discuss the following: requirements, the Exchange will
behalf of the Exchange,30 which are (a) The procedures for purchases and commence delisting procedures under
designed to detect violations of redemptions of Shares in Creation Units the Nasdaq 5800 Series. This approval
Exchange rules and applicable federal (and that Shares are not individually order is based on all of the Exchange’s
securities laws. The Exchange redeemable); (b) Nasdaq Rule 2111A, representations, including those set
represents that these procedures are which imposes suitability obligations on forth above, in the Notice, and in
adequate to properly monitor Exchange Nasdaq members with respect to Amendment No. 1 to the proposed rule
trading of the Shares in all trading recommending transactions in the change. The Commission notes that the
sessions and to deter and detect Shares to customers; (c) how Fund and the Shares must comply with
violations of Exchange rules and information regarding the Intraday the requirements of Nasdaq Rule 5735,
applicable federal securities laws. Indicative Value and the Disclosed including those set forth in this
(3) FINRA, on behalf of the Exchange, Portfolio is disseminated; (d) the risks proposed rule change, as modified by
will communicate as needed regarding involved in trading the Shares during Amendment No. 1 thereto, to be listed
trading in the Shares and the the Pre-Market and Post-Market and traded on the Exchange on an initial
Commodities with other markets and Sessions when an updated Intraday and continuing basis.
other entities that are members of ISG,31 Indicative Value will not be calculated
and FINRA may obtain trading or publicly disseminated; (e) the For the foregoing reasons, the
information regarding trading in the requirement that members deliver a Commission finds that the proposed
Shares and in the Commodities held by prospectus to investors purchasing rule change, as modified by Amendment
the First Trust Subsidiary from such newly issued Shares prior to or No. 1 thereto, is consistent with Section
markets and other entities. In addition, concurrently with the confirmation of a 6(b)(5) of the Act 35 and the rules and
the Exchange may obtain information transaction; and (f) trading information. regulations thereunder applicable to a
regarding trading in the Shares and in (7) For initial and continued listing, national securities exchange.
the Commodities held by the First Trust the Fund must be in compliance with
IV. Conclusion
Subsidiary from markets and other Rule 10A–3 under the Act.33
entities that are members of ISG, which (8) The Fund may hold up to an It is therefore ordered, pursuant to
includes securities and futures aggregate amount of 15% of its net Section 19(b)(2) of the Exchange Act,36
exchanges, or with which the Exchange assets in illiquid assets. that the proposed rule change (SR–
has in place a comprehensive (9) The Fund’s investment in the First
NASDAQ–2016–021), as modified by
surveillance sharing agreement. Trust Subsidiary may not exceed 25% of
Amendment No. 1 thereto, be, and it
Moreover, FINRA, on behalf of the the Fund’s total assets. In addition, the
hereby is, approved.
Exchange, will be able to access, as Fund will not invest directly in
needed, trade information for certain Commodities, and neither the Fund nor For the Commission, by the Division of
fixed-income securities held by the the First Trust Subsidiary will invest Trading and Markets, pursuant to delegated
Fund and the First Trust Subsidiary directly in physical commodities. authority.37
reported to FINRA’s Trade Reporting (10) The First Trust Subsidiary’s Robert W. Errett,
and Compliance Engine (‘‘TRACE’’). shares will be offered only to the Fund, Deputy Secretary.
(4) With respect to the Commodities and the Fund will not sell shares of the [FR Doc. 2016–09061 Filed 4–19–16; 8:45 am]
held indirectly through the First Trust First Trust Subsidiary to other investors.
BILLING CODE 8011–01–P
Subsidiary, not more than 10% of the In addition, the Fund and the First Trust
weight 32 of such instruments (in the Subsidiary will not invest in any non-
aggregate) shall consist of instruments U.S. equity securities (other than shares 34 The Commission notes that certain other
whose principal trading market (a) is of the First Trust Subsidiary). proposals for the listing and trading of Managed
not a member of ISG or (b) is a market (11) A minimum of 100,000 Shares Fund Shares include a representation that the
with which the Exchange does not have will be outstanding at the exchange will ‘‘surveil’’ for compliance with the
commencement of trading on the continued listing requirements. See, e.g.,
30 The Exchange represents that FINRA surveils Exchange. Amendment No. 2 to SR–BATS–2016-04, available
trading on the Exchange pursuant to a regulatory The Exchange represents that all at: http://www.sec.gov/comments/sr-bats-2016-04/
services agreement and that the Exchange is statements and representations made in bats201604-2.pdf. In the context of this
responsible for FINRA’s performance under this the filing regarding (a) the description of representation, it is the Commission’s view that
regulatory services agreement. ‘‘monitor’’ and ‘‘surveil’’ both mean ongoing
31 For a list of the current members of ISG, see
the portfolio, (b) limitations on portfolio
oversight of the Fund’s compliance with the
Lhorne on DSK5TPTVN1PROD with NOTICES

www.isgportal.org. The Exchange notes that not all holdings or reference assets, or (c) the continued listing requirements. Therefore, the
components of the Disclosed Portfolio may trade on applicability of Exchange rules and Commission does not view ‘‘monitor’’ as a more or
markets that are members of ISG or with which the surveillance procedures shall constitute less stringent obligation than ‘‘surveil’’ with respect
Exchange has in place a comprehensive
surveillance sharing agreement.
continued listing requirements for to the continued listing requirements.
32 To be calculated as the value of the Commodity listing the Shares on the Exchange. In 35 15 U.S.C. 78f(b)(5).

36 15 U.S.C. 78s(b)(2).
divided by the total absolute notional value of the
First Trust Subsidiary’s Commodities. 33 See 17 CFR 240.10A–3. 37 17 CFR 200.30–3(a)(12).

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Document Created: 2016-04-20 01:51:20
Document Modified: 2016-04-20 01:51:20

Category		Regulatory Information
Collection		Federal Register
sudoc Class		AE 2.7: GS 4.107: AE 2.106:
Publisher		Office of the Federal Register, National Archives and Records Administration
Section		Notices
FR Citation		81 FR 23334