81_FR_47587 81 FR 47447 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change To Amend NYSE Arca Equities Rule 8.700 and To List and Trade Shares of the Managed Emerging Markets Trust Under Proposed Amended NYSE Arca Equities Rule 8.700

81 FR 47447 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change To Amend NYSE Arca Equities Rule 8.700 and To List and Trade Shares of the Managed Emerging Markets Trust Under Proposed Amended NYSE Arca Equities Rule 8.700

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 81, Issue 140 (July 21, 2016)

Page Range47447-47457
FR Document2016-17198

Federal Register, Volume 81 Issue 140 (Thursday, July 21, 2016)
[Federal Register Volume 81, Number 140 (Thursday, July 21, 2016)]
[Notices]
[Pages 47447-47457]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2016-17198]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-78345; File No. SR-NYSEArca-2016-96]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change To Amend NYSE Arca Equities Rule 8.700 and To 
List and Trade Shares of the Managed Emerging Markets Trust Under 
Proposed Amended NYSE Arca Equities Rule 8.700

July 15, 2016.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 
given that, on July 1, 2016, NYSE Arca, Inc. (the ``Exchange'' or 
``NYSE Arca'') 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 amend NYSE Arca Equities Rule 8.700 to 
permit the use of swaps on equity indices, fixed income indices, 
commodity indices, commodities or interest rates, and to list and trade 
shares of the Managed Emerging Markets Trust under proposed amended 
NYSE Arca Equities Rule 8.700. The proposed rule change is available on 
the Exchange's Web site 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,

[[Page 47448]]

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
    NYSE Arca Equities Rule 8.700 permits the trading of Managed Trust 
Securities either by listing or pursuant to unlisted trading privileges 
(``UTP'').\4\ The Exchange proposes to amend NYSE Arca Equities Rule 
8.700 to permit the use of swaps on equity indices, fixed income 
indices, commodity indices, commodities or interest rates. In addition, 
the Exchange proposes to list and trade the shares (the ``Shares'') of 
the Managed Emerging Markets Trust (the ``Trust'') under proposed 
amended NYSE Arca Equities Rule 8.700.
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    \4\ Managed Trust Security means a security that is registered 
under the Securities Act of 1933 (15 U.S.C. 77a), as amended (the 
``Securities Act''), is issued by a trust that (1) is a commodity 
pool as defined in the Commodity Exchange Act (7 U.S.C. 1) (the 
``CEA''), and that is managed by a commodity pool operator 
registered with the Commodity Futures Trading Commission (the 
``CFTC''), and (2) holds long and/or short positions in exchange-
traded futures contracts and/or certain currency forward contracts 
selected by the trust's advisor consistent with the trust's 
investment objectives, which will only include, exchange-traded 
futures contracts involving commodities, currencies, stock indices, 
fixed income indices, interest rates and sovereign, private and 
mortgage or asset backed debt instruments, and/or forward contracts 
on specified currencies, each as disclosed in the trust's 
prospectus; and (ii) [sic] is issued and redeemed continuously in 
specified aggregate amounts at the next applicable net asset value. 
See NYSE Arca Equities Rule 8.700(c)(1).
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Proposed Amendments to NYSE Arca Equities Rule 8.700
    The Exchange proposes to amend NYSE Arca Equities Rule 8.700(c)(1) 
to permit the use of swaps on equity indices, fixed income indices, 
commodity indices, commodities or interest rates. Permitting the use of 
such swaps would provide additional flexibility to an issuer of Managed 
Trust Securities seeking to achieve a trust's investment objective. For 
example, because the markets for certain futures contracts may be 
unavailable or cost prohibitive as compared to derivative instruments, 
suitable derivative transactions may be an efficient alternative for an 
issuer of Managed Trust Securities to obtain the desired asset 
exposure. Additionally, swaps would allow parties to replicate desired 
returns while eliminating the costs associated with acquiring or 
holding the underlying asset. As such, the increased flexibility 
afforded by the ability of an issuer of Managed Trust Securities to use 
derivatives may enhance investor returns by facilitating the ability to 
more economically seek its investment objective, thereby reducing the 
costs incurred by such issuer.
    The Exchange notes that swaps are currently permitted investments 
for issues of Trust Issued Receipts under Commentary .02 to NYSE Arca 
Equities Rule 8.200. In addition, the Commission has previously 
permitted investments in swaps for issues of Managed Fund Shares under 
NYSE Arca Equities Rule 8.600.\5\
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    \5\ See, e.g., Securities Exchange Act Release No. 71938 (April 
14, 2014), 79 FR 21981 (April 18, 2014) (SR-NYSEArca-2013-144) 
(order approving proposed rule change permit listing and trading of 
shares of the ETSpreads HY Long Credit Fund, the ETSpreads HY Short 
Credit Fund, the ETSpreads IG Long Credit Fund, and the ETSpreads IG 
Short Credit Fund under NYSE Arca Equities Rule 8.600).
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Managed Emerging Markets Trust
    The Trust is a Delaware statutory trust that will issue Shares 
representing fractional undivided beneficial interests in the Trust.\6\ 
According to the Registration Statement, the Trust will not be an 
investment company registered under the Investment Company Act of 1940 
(15 U.S.C. 80a-1), as amended (the ``1940 Act''), and will not be 
required to register under the 1940 Act.
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    \6\ See Pre-Effective Amendment No. 5, dated [sic] See Pre-
Effective Amendment No. 5, dated August 18, 2015, to the Trust's 
Registration Statement on Form S-1 (File No. 333-182772) (the 
``Registration Statement'') under the Securities Act. The 
descriptions of the Trust and the Shares contained herein are based, 
in part, on the Registration Statement.
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    The Trust is a commodity pool as defined in the CEA and the 
regulations of the CFTC. The Trust will be operated by Artivest 
Advisors LLC, a Delaware limited liability company (the ``Sponsor''), 
that is also the Trust's adviser (the ``Adviser'') and will be 
registered under the CEA as a commodity pool operator. The sole member 
of the Sponsor is Artivest Holdings, Inc., a Delaware corporation. The 
Adviser is the commodity trading advisor of the Trust and will at all 
times be either registered as a commodity trading advisor or properly 
exempt from such registration under the CEA. The Adviser is not a 
broker-dealer and is not affiliated with a broker-dealer. In the event 
(a) the Adviser or any sub-adviser becomes registered as a broker-
dealer or newly affiliated with a broker-dealer, or (b) any new adviser 
or sub-adviser becomes affiliated with a broker-dealer, it will 
implement a fire wall with respect to such broker-dealer regarding 
access to information concerning the composition and/or changes to the 
Trust's portfolio, and will be subject to procedures designed to 
prevent the use and dissemination of material non-public information 
regarding such portfolio.\7\
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    \7\ The activities of the Trust will be limited to (1) issuing 
Baskets (as described below) in exchange for cash, (2) paying out of 
Trust assets any Trust expenses and liabilities not assumed by the 
Sponsor, (3) delivering proceeds consisting of cash in exchange for 
Baskets surrendered for redemption, (4) depositing any required 
margin in the form of cash or other eligible assets with domestic 
futures commission merchants, foreign futures brokers or other 
financial intermediaries or dealers, and (5) investing its cash, at 
the direction of the Adviser, in a portfolio of futures contracts, 
forward contracts and swaps.
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    The Bank of New York Mellon, a New York banking corporation, is the 
trustee of the Trust (the ``Trustee''). Wilmington Trust, National 
Association, a national banking association, is the Delaware trustee of 
the Trust.
    The Bank of New York Mellon also is the administrator of the Trust 
(the ``Trust Administrator''), the custodian of the Trust (the 
``Custodian''), the processing agent of the Trust (the ``Processing 
Agent''), and the settlement agent of the Trust (the ``Settlement 
Agent''). The Trust has engaged Foreside Fund Services, LLC to act as a 
distributor on its behalf.
    The Exchange notes that the Commission has previously approved the 
listing and trading of another issue of Managed Trust Securities on the 
Exchange.\8\
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    \8\ See Securities Exchange Act Release No. 60064 (June 8, 
2009), 74 FR 28315 (June 15, 2009) (SR-NYSEArca-2009-30) (order 
approving the adoption of listing standards for Managed Trust 
Securities and the listing and trading of shares of the 
iShares[supreg] Diversified Alternatives Trust).
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Managed Emerging Markets Trust
    According to the Registration Statement, the Trust will pursue 
long-term total returns by seeking to provide both (1) a long-only 
exposure to one or more emerging markets equity indices (the ``index 
exposure'') and (2) ``alpha'' returns that are additive to, and are not 
correlated with, the index exposure (measured over rolling 5-year 
periods), while seeking to control overall downside risk and 
volatility. Total return refers to the combined income and capital 
appreciation generated by a portfolio.
    According to the Registration Statement, the assets of the Trust 
(the ``Portfolio'') will consist of positions in futures contracts on 
emerging market equity indices, foreign currency forward

[[Page 47449]]

contracts, swaps providing exposure to such futures contracts and 
forward contracts, and cash and other financial instruments which may 
be used, as needed, to secure the Trust's trading obligations with 
respect to those trading positions. The Adviser will pursue the Trust's 
investment objective by utilizing a discretionary portfolio 
construction approach that is designed to provide (i) the index 
exposure, and (ii) exposure to an ``alpha'' portfolio with returns 
likely to be independent of, and uncorrelated to, the index exposure.
    The Adviser will seek to provide the index exposure by holding long 
emerging markets equity index futures positions. The Adviser will seek 
to provide alpha exposure by actively trading and investing a portfolio 
primarily composed of futures contracts and forward contracts using its 
discretion to make investment choices based on fundamental analysis of 
various macroeconomic factors.
    The Trust may hold cash necessary to cover its ordinary and 
extraordinary expenses.
Alpha Strategy
    According to the Registration Statement, the alpha strategy will 
seek to provide returns that are independent of, and uncorrelated to, 
the index exposure, by trading and investing primarily in futures 
contracts and forward contracts relating to emerging markets. The 
Adviser will pursue a strategy based on fundamental analysis and will 
make investment decisions based on its view of the fundamental value of 
various financial instruments relative to market prices and 
expectations. In certain limited circumstances, the Trust may invest in 
exchange-traded swaps, swaps accepted for central clearing (``cleared 
swaps'') and swaps which are not accepted for central clearing 
(``uncleared swaps''), as described below. The Trust will only invest 
in cleared swaps if an investment in exchange-traded swaps is 
unavailable, and the Trust will only invest in uncleared swaps if an 
investment in cleared swaps is unavailable. No more than 20% of the 
Portfolio may be invested, on both an initial and an ongoing basis, in 
over-the-counter (``OTC'') swaps.
    To construct the alpha portfolio, the Adviser will apply both 
quantitative and qualitative analysis to market and economic data to 
generate investment ideas, to trade and invest on a discretionary 
basis, and to manage portfolio risk.
    The Adviser's investment process will reflect its belief that 
macroeconomic factors drive investment returns over the medium and long 
term. These macroeconomic factors include fundamental economic and 
fundamental market factors. Examples of fundamental economic factors 
include monetary and fiscal policy, growth conditions, inflation, and 
the quality and stability of governmental and civic institutions. 
Examples of fundamental market factors include matters such as 
valuation and pricing metrics, interest rates, momentum, liquidity, and 
ease of capital formation.
    The Adviser will form conclusions regarding future economic 
conditions and future financial instruments pricing based on its review 
and analysis of macroeconomic factors. The Adviser's investment process 
will be driven by its understanding of the underlying relationships 
between asset class pricing and macroeconomic forces. The Adviser will 
evaluate markets based on both the current state of various 
macroeconomic factors (i.e., current conditions) as well as anticipated 
changes to those conditions, and will seek to understand what 
expectations regarding those changes are embedded in current market 
pricing. From time to time, the Adviser will form thematic, 
macroeconomic-based ``alpha views'' regarding its desired exposures to 
investment themes.
    The Adviser will utilize both quantitative and qualitative analysis 
in its investment process. With respect to quantitative analysis, the 
Adviser will apply a range of mathematical and statistical techniques 
to historical and real-time market and economic data that relates to 
the various macroeconomic factors, as part of an ongoing research 
process. The Adviser will analyze this historical data in an effort to 
identify how changes to current conditions and expectations about 
future conditions will affect the prices of various financial 
instruments. The quantitative analysis used by the Adviser will 
particularly focus on the volatility and correlation characteristics of 
financial instruments, as the Adviser will seek to build a diversified 
portfolio in the alpha strategy. The Adviser will seek to develop 
predictive models based on its quantitative analysis to generate and 
evaluate investment ideas. However, the Trust will trade purely on a 
discretionary basis and the Adviser will engage in a qualitative 
analysis of any investment ideas generated utilizing quantitative 
analysis.
    The Adviser also will utilize qualitative analysis which relies on 
the investment experience and views of its principals, as well as 
internally-developed frameworks for evaluating and generating 
investment ideas. The Adviser's qualitative analysis will focus on 
research relating to the subjective conditions of macroeconomic factors 
in emerging markets, the perception and expectations of market 
participants, and the risk characteristics of investment ideas.
Emerging Markets
    According to the Registration Statement, emerging markets are 
generally considered to be nations with social or business activity in 
the process of rapid growth and industrialization, typically 
characterized by increasingly liquid and broad capital markets, 
strengthening civil institutions, improving governance, strengthening 
infrastructure and increasing quality of life for citizens. Emerging 
markets are also often marked by increasingly educated and competitive 
labor forces and rapid growth in industrialization, combined with 
relatively lower consumption per capita than in more developed 
economies. These countries are often engaged in a transition from an 
underdeveloped economy into a well-capitalized, developed economy 
similar to those of the advanced industrialized countries like the 
United States, Japan or much of Western Europe.
    The Adviser will look at a variety of factors to determine whether 
a country is an ``emerging market.'' Currently, the Adviser views 
countries as ``emerging markets'' if they are considered to be 
developing, emerging or frontier by sources such as MSCI, the 
International Monetary Fund, the World Bank, the International Finance 
Corporation, the United Nations, The Economist magazine, Standard & 
Poor's and Dow Jones, or if they are countries with a stock market 
capitalization of less than 5% of the MSCI World Index.
    Emerging market countries typically are located in the following 
regions: Asia-Pacific; Eastern Europe; the Middle East; Central and 
South America; and Africa.
    Within these regions, the Trust will likely invest in financial 
instruments relating to countries such as: Argentina, Brazil, Chile, 
China, Colombia, Czech Republic, Egypt, Greece, Hong Kong, Hungary, 
India, Indonesia, Israel, Jordan, Kenya, Lebanon, Malaysia, Mexico, 
Morocco, Nigeria, Peru, Philippines, Poland, Qatar, Russia, Singapore, 
South Africa, South Korea, Taiwan, Thailand, Turkey, United Arab 
Emirates, Ukraine and Vietnam.
    This list will change from time to time based on market 
developments. The percentage of Trust assets invested in a specific 
region or country will change from time to time. The Trust will not be 
subject to any limitations on the

[[Page 47450]]

percentage of its assets that may be exposed to a single region or 
country.
Portfolio Construction
    According to the Registration Statement, to construct the 
Portfolio, the Adviser expects to devote a portion of the Trust 
proceeds to establishing the emerging markets index exposure (generally 
expected to be maintained at a level equal to 100% of the Trust's net 
assets) and substantially all of the remainder to seek the alpha 
exposure (generally not to exceed a level equal to 300% of the Trust's 
net assets). The portion of Trust assets required to maintain these 
exposures will fluctuate from time to time, in particular as the margin 
requirements to maintain the Trust's futures contract positions 
fluctuate.
    According to the Registration Statement, futures contracts and 
forward contracts have an inherent degree of leverage due to the 
relatively small amounts of capital required to be deposited as margin 
for such financial instrument positions (generally 2% to 5% of the 
value of the contract). The Trust may at times trade with a significant 
degree of leverage, and the Trust's use of leverage can be expected to 
vary from time to time. The Adviser will seek to limit the notional 
exposure of the overall Portfolio to no more than 400% of the Trust's 
net assets. Notwithstanding the foregoing limitation on the Trust's use 
of leverage, the Adviser will seek to mitigate leveraging risk if the 
notional exposure of the overall Portfolio is approaching the leverage 
limitation.
    In addition, the Trust will include appropriate risk disclosure in 
its offering documents, including leveraging risk. Leveraging risk is 
the risk that certain transactions of the Trust, including the Trust's 
use of derivatives, may give rise to leverage, causing the Trust to be 
more volatile than if it had not been leveraged. Because the markets 
for certain securities, or the securities themselves, may be 
unavailable or cost prohibitive as compared to derivative instruments, 
suitable derivative transactions may be an efficient alternative for 
the Trust to obtain the desired asset exposure. To mitigate leveraging 
risk, the Adviser will segregate or ``earmark'' liquid assets or 
otherwise cover the transactions that may give rise to such risk.
Index Exposure Portfolio Construction
    According to the Registration Statement, the Trust will seek to 
maintain constant exposure to one or more emerging markets equity 
indices by holding long positions in emerging markets index futures 
contracts.\9\ Generally, the Adviser will seek to maintain an emerging 
markets index exposure to equal 100% of the Trust's net assets, 
although this may vary from time to time depending on market 
conditions. The Adviser expects the volatility for the Trust's index 
portfolio to track the volatility of major emerging markets indices 
(based on historical volatility, 20% to 25%).
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    \9\ An index futures contract is a bilateral agreement pursuant 
to which two parties agree to take or make delivery of an amount of 
cash equal to a specified dollar amount multiplied by the difference 
between the index value at the close of trading of the contract and 
the price at which the futures contract is originally struck. No 
physical delivery of the securities comprising the index will be 
made; rather, the contract will be settled in cash at the 
termination of the contract. The settlement will be equal to the 
difference between the contract price and the actual level of the 
stock index at the expiration of the contract. The Trust expects to 
settle contracts prior to their expiration date.
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    The MSCI Emerging Markets Index is the initial emerging market 
equity index that the Trust will invest in (by holding long MSCI 
Emerging Markets Index futures contracts as the index itself is not 
investable) to achieve its index exposure. The Adviser may in the 
future invest in additional or different emerging markets index futures 
contracts.
    The MSCI Emerging Markets Index is intended to measure equity 
market performance in the global emerging markets. The MSCI Emerging 
Markets Index is a free float-adjusted market capitalization index with 
a base date of December 31, 1987 and an initial value of 100. The MSCI 
Emerging Markets Index is calculated daily in U.S. dollars and 
published in real time every 60 seconds during market trading hours. 
The MSCI Emerging Markets Index spans large, mid and small cap 
securities and currently consists of the following 21 emerging market 
country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, 
Hungary, India, Indonesia, Malaysia, Mexico, Morocco, Peru, 
Philippines, Poland, Russia, South Africa, South Korea, Taiwan, 
Thailand, and Turkey. As of July 31, 2015, the five largest country 
weights were China (23.93), South Korea (14.18%), Taiwan (12.48%), 
India (8.37%), and South Africa (8.00%), and the five largest sector 
weights were Financials (29.49%), Information Technology (17.49%), 
Consumer Discretionary (9.03%), Consumer Staples (8.54%), and Energy 
(8.09%). The MSCI Emerging Markets Index is part of the MSCI Regional 
Equity Indices series and is an MSCI Global Investable Market Index, 
which is a family within the MSCI International Equity Indices.
    ICE Futures U.S. has been licensed to create futures contracts on 
the MSCI Emerging Markets Index, and the Adviser expects to obtain its 
emerging markets index exposure by holding long positions in these 
futures contracts.\10\
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    \10\ ICE Futures U.S. is a member of the Intermarket 
Surveillance Group (``ISG'').
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    Because the Trust's index exposure will be provided by futures 
contracts which have dated expirations, the Trust will need to 
periodically rebalance or ``roll'' its exposures by selling near-dated 
futures contracts and buying longer-dated futures contracts to replace 
them. The Adviser will rebalance the Trust's exposures on a 
discretionary, rather than systematic basis, and will seek to roll its 
index futures positions in a way that minimizes the Trust's transaction 
costs. The Adviser also will seek to avoid rolling futures contracts 
extremely close to expiry, and generally will refrain from holding 
contracts through to expiration and settlement, as described in more 
detail under ``Rebalancing'' below.
Alpha Portfolio Construction
    According to the Registration Statement, the Adviser will construct 
a portfolio of instruments for the Trust to hold by determining the 
optimal way to express its alpha views in light of pragmatic 
considerations associated with trading in financial instruments. The 
Adviser will assess trading and investment risks in selecting both 
which alpha views to express and in constructing an optimal portfolio 
accordingly. The Adviser will seek to minimize both transaction costs 
and exogenous trading risks such as liquidity or counterparty risks 
while maximizing the clarity of expression of the Adviser's alpha 
views. Some of the criteria included in this analysis for each 
instrument or market will be: Liquidity or trading volume, margin 
requirements, commission rates, bid-ask spreads and futures contracts 
curve shape.
    With respect to the alpha portfolio, the Adviser will take 
directional positions where it believes prices will move favorably over 
the medium- to long-term (i.e., over the next three months or more) as 
a result of the anticipated gap between its perceptions and the market. 
Because the alpha portfolio will seek to capture price movements 
resulting from certain changes in markets resulting from changing 
expectations about certain market fundamentals, the alpha strategy will 
be directional and an investment in Shares should not be considered 
market-neutral. The Adviser does not

[[Page 47451]]

expect, however, that the alpha portfolio will over time favor any 
particular market with either a long bias or a short bias.
    The alpha portfolio primarily will be composed of futures contracts 
on emerging market equity indices and foreign currency forward 
contracts, as described in more detail below. The Trust may invest in 
futures contracts and forward contracts of varying duration, from 
shorter-term contracts of one to three months to longer-term contracts 
of up to three years or more. The Trust will not use any particular 
index or benchmark to construct the alpha portfolio. Except as 
otherwise described herein, there will be no limitations on the 
commodity interests that the Trust may trade to seek its alpha 
exposure.
    According to the Registration Statement, the Adviser anticipates 
that as the Trust grows larger, it may also, in certain limited 
circumstances, invest in exchange-traded swaps, cleared swaps and 
uncleared swaps. These limited circumstances include the following:
     When futures contracts are not available or market 
conditions do not permit investing in futures contracts (for example, a 
particular futures contract may not exist or may trade only on an 
exchange that has not yet been approved by the Trust); and
     When there are position limits, price limits or 
accountability limits on futures contracts.
    Therefore, swaps would only be used by the Trust as a substitute 
for futures contracts in the limited circumstances described above when 
the Adviser has determined that it is necessary to use swaps in order 
for the Trust to remain consistent with the Trust's investment 
objective. Further, the Adviser expects that the Trust's use of swaps, 
if any, will be of a de minimis nature.
    To the extent that the Trust invests in swaps, it would first make 
use of exchange-traded swaps if such swaps are available with respect 
to futures contracts on emerging market equity indices or foreign 
currency forward contracts. If an investment in exchange-traded swaps 
is unavailable, then the Trust would invest in cleared swaps that clear 
through derivatives clearing organizations that satisfy the Trust's 
criteria if such swaps are available with respect to futures on 
emerging market equity indices or foreign currency forward contracts. 
If an investment in cleared swaps is unavailable, then the Trust would 
invest in other swaps, including uncleared swaps in the OTC market.\11\ 
However, no more than 20% of the Portfolio may be invested, on both an 
initial and an ongoing basis, in OTC swaps.
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    \11\ According to the Registration Statement, swap transactions 
generally involve contracts between two parties to exchange a stream 
of payments computed by reference to a notional amount and the price 
of the asset that is the subject of the swap. Swap contracts are 
principally traded off-exchange, although certain swap contracts are 
also being traded in electronic trading facilities and cleared 
through clearing organizations. Swaps are usually entered into on a 
net basis, that is, the two payment streams are netted out in a cash 
settlement on the payment date or dates specified in the agreement, 
with the parties receiving or paying, as the case may be, only the 
net amount of the two payments. Swaps do not generally involve the 
delivery of underlying assets or principal. Accordingly, the risk of 
loss with respect to swaps is generally limited to the net amount of 
payments that the party is contractually obligated to make. In some 
swap transactions one or both parties may require collateral 
deposits from the counterparty to support that counterparty's 
obligation under the swap agreement. If the counterparty to such a 
swap defaults, the risk of loss consists of the net amount of 
payments that the party is contractually entitled to receive less 
any collateral deposits it is holding. Some swap transactions are 
cleared through central counterparties. These transactions, known as 
cleared swaps, involve two counterparties first agreeing to the 
terms of a swap transaction, then submitting the transaction to a 
clearing house that acts as the central counterparty. Once accepted 
by the clearing house, the original swap transaction is novated and 
the central counterparty becomes the counterparty to a trade with 
each of the original parties based upon the trade terms determined 
in the original transaction. In this manner each individual swap 
counterparty reduces its risk of loss due to counterparty 
nonperformance because the clearing house acts as the counterparty 
to each transaction.
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    The Adviser generally will seek to maintain an annualized 
volatility ranging from 15% to 20% for the Trust's alpha portfolio.
Alpha Futures Contracts
    According to the Registration Statement, the Adviser expects that 
75% to 90% of the Portfolio's alpha exposure will be obtained via 
futures contracts, which can vary from time to time in the sole 
discretion of the Adviser. The Trust expects to take long or short 
positions in a wide variety of commodity futures contracts and 
financial futures contracts, as discussed in more detail below. The 
Trust expects to trade in commodity futures contracts, including 
metals, agriculturals, energies, and softs. The Trust expects to trade 
in a wide variety of financial futures contracts, including interest 
rates, currencies and currency indices, U.S. and non-U.S. equity 
indices and government bond futures contracts. With respect to futures 
contracts on emerging market equity indices, the alpha portfolio may be 
exposed to stock index futures contracts and other indices composed of 
corporate equities issued in local markets.
    If the Trust purchases or sells a listed commodity or currency 
futures contract, it will agree to purchase or sell, respectively, the 
specified commodity or currency at a specified future date. The price 
at which the purchase and sale takes place will be fixed when the Trust 
enters the contract. Margin deposits will be posted as performance 
bonds with the Trust's clearing broker and then ultimately with the 
exchange clearing corporation who ultimately serves as the counterparty 
for the listed contract (thus limiting counterparty credit risk to the 
exchange itself).
Alpha Forward Contracts
    The Trust may enter into forward contracts, which will be limited 
solely to foreign currency forward contracts,\12\ which the Adviser 
expects may comprise 10% to 25% of the Portfolio's alpha exposure 
(although this will fluctuate from time to time in the discretion of 
the Adviser). In particular, the Trust may trade foreign currency 
forward contracts (a) to gain exposure to currencies that are not 
easily or efficiently traded in futures contracts or (b) if the Adviser 
believes that a relevant forward has more favorable terms than an 
available futures contract, such as more favorable liquidity. The 
Adviser also does not currently expect to engage in any transactions 
that would be considered ``retail forex'' transactions for purposes of 
the CEA. The Trust will only enter into foreign currency forward 
contracts related to foreign currencies that have significant foreign 
exchange turnover and are included in the Bank for International 
Settlements Triennial Central Bank Survey, September 2013 (``BIS 
Survey''). Specifically, the Trust may enter into foreign currency 
forward contracts that provide exposure to such currencies, selected 
from the top 40 currencies (as measured by percentage share of average 
daily turnover for the applicable month and year) included in the BIS 
Survey.
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    \12\ A forward currency contract is a privately negotiated 
contract to purchase or sell a specific currency at a future date 
(usually less than one year) at a price set at the time of the 
contract. The Trust may enter into forward currency contracts to 
``lock in'' the exchange rate between the currency it will deliver 
and the currency it will receive for the duration of the contract. 
Forward currency contracts are traded over-the-counter and not on 
exchanges.
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    The Trust may enter into deliverable forward contracts, in which 
there is physical delivery of a specified amount of currency equivalent 
to the market value of the contract. Alternatively, the Trust may 
invest in non-deliverable forward contracts where there is no physical 
delivery of the currency at the maturity of the contract. Instead, one

[[Page 47452]]

party will agree to make periodic payments to its counterparty based on 
the change in market value or level of a specified currency. In return, 
the counterparty will make periodic payments to the first party based 
on the return of a different specified currency. Generally, these non-
deliverable forward contracts will be entered into on a net basis, 
whereby the Trust will receive or pay only the net amount of the two 
payments, representing the excess, if any, of the Trust's obligations 
over its entitlements with respect to each non-deliverable forward 
contract. These net amounts will be accrued on a daily basis and an 
amount of cash or highly liquid securities having an aggregate value at 
least equal to the accrued excess will be maintained in an account at 
the Trust's custodian. The risk of loss with respect to non-deliverable 
forward contracts generally will be limited to the net amount of 
payments that the Trust is contractually obligated to make or receive.
    The Trust's forward contracts will be collateralized to the extent 
required by the relevant counterparties. The counterparties to the 
Trust's forward contracts are expected to be brokers, dealers and other 
financial institutions. The Adviser will seek to diversify the Trust's 
counterparty exposure, but may from time to time have concentrated 
exposure to one or more counterparties. However, the Adviser represents 
that it will not concentrate risks with a single counterparty and will 
establish polices and procedures to manage counterparty concentration 
and monitor counterparty creditworthiness. The policies and procedures 
to monitor counterparty creditworthiness will consider the credit 
rating of the counterparty and any past experience with the 
counterpary.
Rebalancing
    According to the Registration Statement, the Adviser will rebalance 
the Portfolio on a discretionary basis, as described in more detail 
below.
Rebalancing of the Alpha Portfolio
    According to the Registration Statement, the Adviser will determine 
whether to maintain particular exposures, close out positions, or 
resize positions, in its discretion and in accordance with its 
investment strategy and analysis of market conditions. The Adviser will 
seek to make any such adjustments to the Portfolio in a manner that 
minimizes transaction costs and Portfolio exposure to variations in 
price that do not reflect the Adviser's intended investment exposure. 
To do so, the Adviser will analyze transaction costs, liquidity and 
margin concerns, and financial instrument pricing. The Adviser does not 
expect, under normal market conditions, to settle any futures 
contracts.
Rebalancing of the Index Portfolio
    According to the Registration Statement, with respect to the index 
exposure, the Adviser will seek to invest in longer-dated contracts to 
maintain constant exposure and minimize transaction costs. The Adviser 
will ``roll'' (i.e., regularly purchase and subsequently sell) its 
contract positions throughout the year. As a particular futures 
contract nears its expiration date (or earlier), the Adviser will roll 
the position into a new contract. The Adviser will actively manage the 
implementation of this roll process. As a result, the roll dates, terms 
and contract prices selected by the Adviser may vary based upon factors 
such as contract liquidity and duration, pricing and market risk. This 
active management of the roll process is intended to minimize the 
Trust's exposure to costs associated with market or trading 
inefficiencies.
Costs Associated With Rebalancing
    According to the Registration Statement, if futures contracts are 
trading at a lower or higher price than their expected spot price, and 
it is time for the Trust to roll its exposure by reinvesting the 
proceeds of a maturing contract in a new contract, the Trust may do so 
at higher or lower futures contracts prices, or it may determine not to 
reinvest such proceeds. When longer-dated contracts are priced lower 
than nearer-dated contracts and spot prices, the market is in 
``backwardation,'' and positive roll yield may be generated when higher 
priced nearer-dated contracts are sold to buy and hold lower priced 
longer-dated contracts. When the opposite is true and longer-dated 
contracts are priced higher than nearer-dated contracts and spot 
prices, the market is in ``contango,'' and negative roll yields may 
result from the sale of lower priced nearer-dated contracts to buy and 
hold higher priced longer-dated contracts. If the Trust invests at a 
higher price than the spot price, the Trust will bear the associated 
``roll cost'' or negative roll yield in addition to the brokerage 
transaction costs, such as commissions and clearing charges, to effect 
such roll transactions. To the extent that the Adviser determines to 
rebalance more frequently, the Portfolio will incur more substantial 
transaction charges and possible roll costs, depending on market 
conditions.
Risk Management
    The Adviser will determine the Trust's asset allocation which seeks 
to achieve a target excess return at a targeted risk level, as 
described in more detail below.
    The Adviser will have the discretion to adjust the index exposure 
above or below 100%, and may do so from time to time based on market 
conditions. The Adviser also may determine to allocate Portfolio assets 
to additional or different emerging market indices. The Adviser does 
not generally expect to hedge the index exposure.
    The Adviser will construct the alpha portfolio using a ``risk 
budget'' whereby the desired alpha views are framed as desired 
quantities of risk units. The portfolio construction process then will 
translate these desired risk unit quantities into specific financial 
instruments for the Trust to hold. The Portfolio will be assessed on at 
least a weekly basis to determine whether market movements have caused 
the Trust's actual risk exposures to drift from its desired risk 
exposures. If there is a sizeable drift that exceeds thresholds where 
it is efficient for the Adviser to rebalance the alpha portfolio 
(taking into account transaction costs and other trading frictions) 
then the Adviser will rebalance the alpha portfolio to move closer to 
the desired risk budget. However, if there is a drift that exceeds 
thresholds but it is not efficient for the Adviser to rebalance the 
alpha portfolio, then the Adviser may choose not to rebalance the alpha 
portfolio. Once purchased, instruments held by the Trust may from time 
to time be subject to stop-losses or other contingent trading orders in 
an attempt to hedge certain risks, including event or liquidity risks.
Description of the Shares and Principal Trust Investments
    According to the Registration Statement, and as noted above, in 
pursuit of the Trust's investment objective, the Trust will primarily 
trade and invest in futures on emerging market equity indices and 
foreign currency forward contracts. For more information regarding the 
types of futures contracts and forward contracts that the Trust will 
invest in, see ``Portfolio Construction'' above.
    The Trust expects to trade futures contracts on U.S. exchanges and 
non-U.S. exchanges. The U.S. exchanges on which the Trust may trade 
futures contracts include ICE Futures U.S. and other exchanges that are 
members of the ISG.\13\ In addition, the Trust may hold

[[Page 47453]]

futures traded on the Kansas City Board of Trade (``KBT''). The non-
U.S. exchanges on which the Trust may trade futures contracts include, 
but are not limited to, the following: The London Metal Exchange 
(``LME''), ASX Limited, Dubai Mercantile Exchange Limited, Euronext 
Amsterdam NV, and Osaka Securities Exchange Co., Ltd.\14\
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    \13\ See ``Surveillance,'' infra.
    \14\ The Exchange has entered into a comprehensive surveillance 
agreement with KBT and LME relating to applicable futures contracts. 
ASX Limited is regulated by the Australian Securities and 
Investments Commission, which is a member of ISG. Japan Exchange 
Regulation (``JPX-R''), an affiliate of the Osaka Securities 
Exchange that conducts self-regulatory functions on behalf of the 
Osaka Securities Exchange, is a member of the Intermarket 
Surveillance Group and information relating to transactions in 
futures contracts traded on the Osaka Securities Exchange is 
available through JPX-R. See ``Surveillance,'' infra.
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Other Trust Investments
    The Trust's Portfolio may contain cash which may be used, as 
needed, to secure the Trust's trading obligations with respect to its 
trading positions. Although the Trust's investment objective is not 
primarily to hold significant amounts of cash, cash may comprise a 
significant portion of the net asset value (``NAV'') of the Trust.
    In order to collateralize futures contracts and forward contracts, 
the Trust may invest in U.S. government debt instruments, which are 
U.S. Treasury bills, notes and bonds of varying maturities that are 
backed by the full faith and credit of the United States government, or 
other short-term securities (in each case that are eligible as margin 
deposits under the rules of the Exchange), which may include money 
market instruments (``Short-Term Securities''). Although the Trust's 
investment objective is not primarily to trade and invest in Short-Term 
Securities, Short-Term Securities may comprise a significant portion of 
the NAV of the Trust.\15\
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    \15\ ``NAV of the Trust'' means the total assets of the Trust 
including all cash and cash equivalents or other debt securities 
less total liabilities of the Trust, each determined on the basis of 
United States generally accepted accounting principles, consistently 
applied under the accrual method of accounting. In particular, NAV 
of the Trust includes any unrealized profit or loss on open forward 
contracts and futures contracts, and any other credit or debit 
accruing to the Trust but unpaid or not received by the Trust. ``NAV 
per Share'' means the Trust's NAV per Share.
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Issuance and Redemption of the Shares
    According to the Registration Statement, the Trust intends to issue 
and redeem Shares on a continuous basis only in one or more blocks of 
100,000 Shares (``Baskets''). Baskets will be issued and redeemed only 
in exchange for consideration in cash equal to the ``Basket Amount'' 
\16\ announced by the Trust on the first ``Business Day'' \17\after the 
purchase or redemption order is received by the Trust. Baskets may be 
created and redeemed only by ``Authorized Participants''. Only 
institutions that enter into an agreement with the Trust to become 
Authorized Participants may purchase or redeem Baskets.
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    \16\ ``Basket Amount'' means, as of any date, an amount equal to 
the product of the NAV per Share on such date and the number of 
Shares constituting a Basket on such date.
    \17\ ``Business Day'' means any day other than (a) a Saturday or 
Sunday; (b) a day on which the Exchange is closed for regular 
trading; (c) a day on which any of he [sic] Adviser, the Processing 
Agent, the Settlement Agent, the Trust Administrator, the Sponsor or 
the Trustee is authorized or required by law or regulation to remain 
closed; or (d) a day on which the Federal Reserve wire transfer 
system is closed for cash wire transfers.
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Creation of Baskets
    On any ``Eligible Business Day'',\18\ an Authorized Participant may 
place a purchase order with the Processing Agent to create one or more 
Baskets. Purchase orders must be placed by 1:15 p.m. (E.T.) or the 
close of regular trading on the New York Stock Exchange, whichever is 
earlier (``Purchase Order Cutoff Time''). Purchase orders received 
after the Purchase Order Cutoff Time on an Eligible Business Day, or on 
a day that is not an Eligible Business Day will be treated as received 
on the next following Eligible Business Day. The day on which the 
Processing Agent receives a valid purchase order is referred to as the 
purchase order date. By placing a purchase order, an Authorized 
Participant agrees to deposit cash with the Trust, as described below.
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    \18\ ``Eligible Business Day'' means any Business Day other than 
a Business Day which immediately precedes two or more days on which 
there is no scheduled exchange trading session for one or more of 
the futures contracts purchased or sold, or that may be purchased or 
sold, by the Trust on such day.
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Determination of the Creation Deposit Amount
    The total deposit required to create each Basket (``Creation 
Deposit Amount'') will be the amount of cash that is in the same 
proportion to the NAV of the Trust (net of estimated accrued but unpaid 
fees, expenses and other liabilities) on the purchase order date as the 
number of Shares to be created under the purchase order is in 
proportion to the total number of Shares outstanding on the purchase 
order date.
Delivery of the Creation Deposit Amount
    An Authorized Participant who places a purchase order will be 
responsible for transferring to the Settlement Agent the required 
amount of cash by 6:00 p.m. (E.T.) on the next Business Day following 
the purchase order date or by the end of such later Business Day, not 
to exceed three Business Days after the purchase order date, as agreed 
to between the Authorized Participant and the Settlement Agent when the 
purchase order is placed (the ``Purchase Settlement Date''), and give 
notice of such deposit to the Settlement Agent via facsimile or 
electronic mail message. Upon receipt of the Creation Deposit Amount, 
the Settlement Agent will direct the Depository Trust Company ('' 
DTC'') to credit the number of Baskets ordered to the Authorized 
Participant's DTC account on the Purchase Settlement Date. If the 
Settlement Agent does not receive the Creation Deposit Amount on a 
timely basis, the purchase order will be automatically cancelled.
Rejection of Purchase Orders
    The Sponsor will have the absolute right to reject any purchase 
order, including, without limitation, (1) purchase orders that the 
Processing Agent determines are not in proper form, (2) purchase orders 
that the Sponsor determines would have adverse tax or other 
consequences to the Trust, (3) purchase orders the acceptance of which 
would, in the opinion of counsel to the Sponsor, result in a violation 
of law, (4) purchase orders in respect of which the Settlement Agent 
has not received the corresponding Creation Deposit Amount by 6:00 p.m. 
(E.T.) on the Purchase Settlement Date, or (5) during any period in 
which circumstances make transactions in, or settlement or delivery of, 
Shares or components of the Portfolio impossible or impractical. The 
Sponsor may suspend the creation of Baskets, or postpone the issuance 
date, for as long as it considers necessary for any reason. None of the 
Sponsor, the Processing Agent, the Settlement Agent or the Trustee, the 
Trust or any of their agents are liable to any person for such 
suspension or postponement.
Redemption of Baskets
    The procedures by which an Authorized Participant can redeem one or 
more Baskets mirror the procedures for the creation of Baskets. On any 
Eligible Business Day, an Authorized Participant may place an order 
with the Processing Agent to redeem one or more Baskets. Redemption 
orders must be placed by 1:15 p.m. (E.T.) or the close of regular 
trading on the New York Stock Exchange, whichever is earlier 
(``Redemption Order Cutoff Time''). Redemption orders received after 
the Redemption Order Cutoff Time on an

[[Page 47454]]

Eligible Business Day, or on a day that is not an Eligible Business Day 
will be treated as received on the next following Eligible Business 
Day. A redemption order so received will be effective on the date it is 
received in satisfactory form by the Processing Agent. The day on which 
the Processing Agent receives a valid redemption order is referred to 
as the redemption order date.
Determination of the Redemption Deposit Amount
    The Redemption Deposit Amount from the Trust will consist of a 
transfer to the redeeming Authorized Participant of an amount of cash 
that is in the same proportion to the NAV of the Trust (net of 
estimated accrued but unpaid fees, expenses and other liabilities) on 
the redemption order date as the number of Shares to be redeemed under 
the redemption order is in proportion to the total number of Shares 
outstanding on the redemption order date.
Delivery of the Redemption Deposit Amount
    The redemption distribution due from the Trust will be delivered to 
the Authorized Participant on the Redemption Settlement Date if the 
Trust's DTC account has been credited with the Baskets to be redeemed. 
If the Trust's DTC account has not been credited with all of the 
Baskets to be redeemed by 6:00 p.m. (E.T.) of such date, the redemption 
distribution will be delivered to the extent of whole Baskets received.
Computation of the Trust's NAV
    According to the Registration Statement, on each Business Day, as 
soon as practicable after the close of regular trading of the Shares on 
the Exchange (normally 4:00 p.m. E.T.), the Sponsor will determine the 
NAV of the Trust, the NAV per Share and the Basket Amount as of that 
date.
    On each day on which the Sponsor must determine the NAV of the 
Trust, the NAV per Share and the Basket Amount, the Trust Administrator 
will value all assets in the Portfolio and communicate that valuation 
to the Sponsor for use by the Sponsor in the determination of the 
Trust's NAV. The Sponsor will subtract the Trust's accrued fees (other 
than fees computed by reference to the value of the Trust or its 
assets), accrued expenses and other liabilities on that day from the 
value of the Trust's assets as of the time of calculation on that 
Business Day. The result is the Trust's ``Adjusted Net Asset Value.'' 
Fees computed by reference to the value of the Trust or its assets 
(including the Sponsor's Fee \19\) will be calculated on the Adjusted 
Net Asset Value. The Sponsor will subtract the fees so calculated from 
the Adjusted Net Asset Value of the Trust to determine the Trust's NAV.
---------------------------------------------------------------------------

    \19\ ``Sponsor's Fee'' means an allocation to be paid by the 
Trust to the Sponsor monthly in arrears and will accrue daily at an 
annualized rate equal to a certain percentage of the Adjusted Net 
Asset Value of the Trust.
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    The Sponsor will determine the NAV per Share by dividing the NAV of 
the Trust on a given day by the number of Shares outstanding at the 
time the calculation is made. The Sponsor will then determine the 
Basket Amount corresponding to that date by multiplying the NAV by the 
number of Shares in a Basket (i.e., 100,000). The NAV and NAV per Share 
for each Business Day will be distributed through major market data 
vendors and published online at www.artivestfunds.com, or any successor 
thereto. The Sponsor will update the NAV and NAV per Share as soon as 
practicable after each subsequent NAV per Share is calculated.
    The current market value of an open futures contract, whether 
traded on a U.S. exchange or a non-U.S. exchange, will be determined by 
the Trust Administrator based upon the settlement price for such 
futures contract traded on the applicable exchange on the date with 
respect to which NAV is being determined; provided that if such futures 
contract could not be liquidated on such day, due to the operation of 
daily limits (if applicable) or other rules, procedures or actions of 
the exchange upon which that position is traded or otherwise, the 
settlement price on the most recent day on which the position could 
have been liquidated may be the basis for determining the market value 
of the position for that day.
    The current market value of all Short-Term Securities that have not 
yet matured will be determined by the Trust Administrator based upon 
the current market prices for such securities; provided that if current 
market prices are not available, then the current market value will be 
based on the amortized value for such securities.
    The current market value of all open forward contracts and swaps 
will be based upon the prices determined by the Trust Administrator 
utilizing data from an internationally recognized valuation service for 
those types of assets.
    The Sponsor may in its discretion (and, under extraordinary 
circumstances, will) value any asset of the Trust pursuant to other 
principles that it deems fair and equitable so long as those principles 
are consistent with industry standards and are in compliance with all 
applicable regulatory requirements. In this context, ``extraordinary 
circumstances'' includes, for example, periods during which a valuation 
price for a forward contract or a settlement price of a futures 
contract is not available due to 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 or due to a trading disruption in the futures 
markets or in forward contracts or swaps or a trading or other 
restriction imposed by an exchange on which the forward contract, 
futures contract or swap is traded.
Availability of Information Regarding the Shares
    According to the Registration Statement, the Adviser's Web site, 
which will be publicly accessible at no charge, will contain the 
following information: (a) The daily NAV of the Trust, the daily NAV 
per Share, the prior business day's NAV per Share and the reported 
daily closing price; (b) the daily composition of the Disclosed 
Portfolio, as defined in NYSE Arca Equities Rule 8.700(c)(2); \20\ (c) 
the midpoint of the bid-ask price in relation to the NAV per Share as 
of the time the NAV per Share is calculated (the ``Bid-Ask Price''); 
(d) the calculation of the premium or discount of such price against 
such NAV per Share; (e) the bid-ask price of Shares determined using 
the highest bid and lowest offer as of the time of calculation of the 
NAV; (f) data in chart form displaying the frequency distribution of 
discounts and premiums of the Bid-Ask Price against the NAV, within 
appropriate ranges for each of the four (4) previous calendar quarters; 
(g) the current prospectus of the Trust, included in the Registration 
Statement; and (h) other applicable quantitative information.
---------------------------------------------------------------------------

    \20\ NYSE Arca Equities Rule 8.700(c)(2) provides that the term 
``Disclosed Portfolio'' means ``the identities and quantities of the 
securities and other assets held by the Trust that will form the 
basis for the Trust's calculation of net asset value at the end of 
the business day''.
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    On a daily basis, the Trust will disclose on its Web site 
(www.artivestfunds.com) for each futures contract, forward contract, 
swap or other financial instrument in the Disclosed Portfolio the 
following information: name, ticker symbol (if applicable), number of 
shares or dollar value, percentage weighting, the

[[Page 47455]]

underlying assets (if applicable), and the expiration date (if 
applicable). The Web site information will be publicly available at no 
charge. In addition, price information for the futures contracts, 
forward contracts, swaps and other financial instruments held by the 
Trust will be available through major market data vendors and/or the 
exchange on which they are listed and traded, as applicable.
    As noted above, the Trust's NAV and the NAV per Share will be 
calculated and disseminated daily.\21\ The Exchange will disseminate 
for the Trust on a daily basis by means of the Consolidated Tape 
Association (the ``CTA'') high-speed line information with respect to 
the recent NAV per Share, the number of Shares outstanding and the 
Basket Amount. The Exchange also will make available on its Web site 
daily trading volume, closing prices and the NAV per Share.
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    \21\ The Exchange will obtain a representation from the Trust 
that the NAV and the NAV per Share will be calculated daily and that 
the NAV, the NAV per Share and the composition of the Disclosed 
Portfolio will be made available to all market participants at the 
same time.
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    Pricing for futures contracts will be available from the relevant 
exchange on which such futures contracts trade and pricing for forward 
contracts and swaps will be available from major market data vendors. 
Price information for Short-Term Securities will be available from 
major market data vendors.
    The Intraday Indicative Value (the ``IIV'') will be widely 
disseminated by one or more major market data vendors at least every 15 
seconds during the Exchange's Core Trading Session (as defined under 
NYSE Arca Equities Rule 7.34).\22\
---------------------------------------------------------------------------

    \22\ Currently, it is the Exchange's understanding that several 
major market data vendors widely disseminate IIVs taken from the CTA 
high-speed line or other data feeds.
---------------------------------------------------------------------------

    Information regarding market price and trading volume of the Shares 
will be continually available on a real-time basis throughout the day 
on brokers' computer screens and other electronic services. The 
previous day's closing price and trading volume information for the 
Shares will be published daily in the financial section of newspapers. 
Quotation and last sale information for the Shares will be available 
via the CTA high-speed line.
    The current trading price per Share will be published continuously 
as trades occur throughout each trading day through CTA, or through 
major market data vendors.
Criteria for Initial and Continued Listing
    The Trust will be subject to the criteria in NYSE Arca Equities 
Rule 8.700 for initial and continued listing of the Shares.
    The anticipated minimum number of Shares to be outstanding at the 
start of trading will be 100,000 Shares. The Exchange believes that 
this anticipated minimum number of Shares to be outstanding at the 
start of trading is sufficient to provide adequate market liquidity and 
to further the objectives of the Trust. The Exchange represents that, 
for the initial and continued listing of the Shares, the Trust must be 
in compliance with NYSE Arca Equities Rule 5.3 and Rule 10A-3 under the 
Exchange Act.\23\
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    \23\ 17 CFR 240.10A-3.
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Trading Rules
    Under NYSE Arca Equities Rule 8.700(b), Managed Trust Securities 
are included within the Exchange's definition of ``securities.'' 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. Commentary .02 to NYSE Arca 
Equities Rule 8.700 provides that transactions in Managed Trust 
Securities will occur during the trading hours specified in NYSE Arca 
Equities Rule 7.34. Therefore, in accordance with NYSE Arca Equities 
Rule 7.34, the Shares will trade on the NYSE Arca Marketplace from 4:00 
a.m. to 8:00 p.m. E.T. The Exchange has appropriate rules to facilitate 
transactions in the Shares during all trading sessions. As provided in 
NYSE Arca Equities Rule 7.6, 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.
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. Trading in the Shares will be halted if the 
circuit breaker parameters under NYSE Arca Equities Rule 7.12 are 
reached. Trading may also be halted because of market conditions or for 
reasons that, in the view of the Exchange, make trading in the Shares 
inadvisable. These may include: (1) The extent to which trading is not 
occurring in the underlying futures contracts, forward contracts or 
swaps, or (2) whether other unusual conditions or circumstances 
detrimental to the maintenance of a fair and orderly market are 
present. Trading in the Shares will be subject to NYSE Arca Equities 
Rule 8.700(e)(2)(D), which sets forth circumstances under which trading 
in the Shares may be halted.
    In addition, if the Exchange becomes aware that the NAV, the NAV 
per Share and/or the Disclosed Portfolio with respect to a series of 
Managed Trust Securities is not disseminated to all market participants 
at the same time, it will halt trading in such series until such time 
as the NAV, the NAV per Share and/or the Disclosed Portfolio is 
available to all market participants.
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.\24\ 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.
---------------------------------------------------------------------------

    \24\ 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.
    The Exchange or FINRA, on behalf of the Exchange, or both, will 
communicate as needed regarding trading in the Shares and certain 
futures contracts with other markets or other entities that are members 
of the ISG, and the Exchange or FINRA, on behalf of the Exchange, or 
both, [sic] may obtain trading information regarding trading in the 
Shares and certain futures contracts from such markets or entities. In 
addition, the Exchange may obtain information regarding trading in the 
Shares and certain futures contracts from markets or other entities 
that are members of ISG or with which the

[[Page 47456]]

Exchange has in place a comprehensive surveillance sharing 
agreement.\25\
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    \25\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Disclosed Portfolio for the Fund may trade on markets that are 
members of ISG or with which the Exchange has in place a 
comprehensive surveillance sharing agreement.
---------------------------------------------------------------------------

    Not more than 10% of the net assets of the Fund in the aggregate 
invested in futures contracts shall consist of futures contracts whose 
principal market is not a member of ISG or is a market with which the 
Exchange does not have a comprehensive surveillance sharing agreement.
    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 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.
    The Trust has represented to the Exchange that it will advise the 
Exchange of any failure by the Trust to comply with the continued 
listing requirements, and, pursuant to its obligations under Section 
19(g)(1) of the Exchange Act, the Exchange will monitor for compliance 
with the continued listing requirements. If the Trust is not in 
compliance with the applicable listing requirements, the Exchange will 
commence delisting procedures under NYSE Arca Equities Rule 5.5(m).
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders (as defined under NYSE Arca Equities Rule 1.1(n)) in an 
Information Bulletin (``Bulletin'') of the special characteristics and 
risks associated with trading the Shares. Specifically, the Bulletin 
will discuss the following: (1) The procedures for purchases and 
redemptions of Shares in Baskets (and that Shares are not individually 
redeemable); (2) NYSE Arca Equities Rule 9.2(a), which imposes a duty 
of due diligence on its ETP Holders to learn the essential facts 
relating to every customer prior to trading the Shares; (3) the 
requirement that ETP Holders deliver a prospectus to investors 
purchasing newly issued Shares prior to or concurrently with the 
confirmation of a transaction; (4) how information regarding the IIV 
and the Disclosed Portfolio is disseminated; (5) the risks involved in 
trading the Shares during the opening and late trading sessions when an 
updated IIV will not be calculated or publicly disseminated; and (6) 
trading information. In addition, the Bulletin will reference that the 
Trust is subject to various fees and expenses described in the 
Registration Statement.
    The Bulletin also will reference the fact that there is no 
regulated source of last sale information regarding physical 
commodities and many of the asset classes that the Trust may hold and 
that the Commission has no jurisdiction over the trading of certain 
futures contracts.
    The Bulletin also will discuss any exemptive, no-action and 
interpretive relief granted by the Commission from any rules under the 
Exchange Act. The Bulletin also will disclose that the NAV and NAV per 
Share will be calculated after 4:00 p.m. E.T. each trading day.
2. Statutory Basis
    The basis under the Exchange Act for this proposed rule change is 
the requirement under Section 6(b)(5) \26\ 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.
---------------------------------------------------------------------------

    \26\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    In permitting the use of specified swaps, the proposed amendment to 
NYSE Arca Equities Rule 8.700 would provide additional flexibility to 
an issuer of Managed Trust Securities seeking to achieve a trust's 
investment objective. For example, because the markets for certain 
futures contracts may be unavailable or cost prohibitive as compared to 
derivative instruments, suitable derivative transactions may be an 
efficient alternative for an issuer of Managed Trust Securities to 
obtain the desired asset exposure. Additionally, swaps would allow 
parties to replicate desired returns while eliminating the costs 
associated with acquiring or holding the underlying asset. As such, the 
increased flexibility afforded by the ability of an issuer of Managed 
Trust Securities to use derivatives may enhance investor returns by 
facilitating the ability to more economically seek its investment 
objective, thereby reducing the costs incurred by such issuer.
    The use of swaps by the Trust is consistent with the protection of 
investors because swaps would only be used in certain limited 
circumstances. Swaps would only be used by the Trust when (1) futures 
contracts are not available or market conditions do not permit 
investing in futures contracts (for example, a particular futures 
contract may not exist or may trade only on an exchange that has not 
yet been approved by the issuer); or (2) there are position limits, 
price limits or accountability limits on futures contracts. In 
addition, an issuer of Managed Trust Securities would invest in 
exchange-traded swaps before investing in centrally cleared swaps and 
would invest in centrally cleared swaps before investing in uncleared 
swaps. The use of exchange-traded swaps and centrally cleared swaps 
before uncleared swaps would protect investors because exchange-traded 
swaps and centrally cleared swaps provide more transparency. More 
importantly, swaps are subject to a strict regulatory framework, 
including margin requirements (initial and variation) and record 
keeping requirements. No more than 20% of the Trust's Portfolio may be 
invested, on both an initial and an ongoing basis, in OTC swaps. 
Furthermore, the Trust is a regulated entity subject to registration 
requirements, ongoing compliance requirements and regulatory oversight 
by the CFTC and the National Futures Association (NFA).
    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices because the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NYSE Arca Equities Rule 
8.700. 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. The Exchange may obtain information 
via the ISG from other exchanges that are members of the ISG or with 
which the Exchange has entered into a comprehensive surveillance 
sharing agreement. The Trust will only enter into foreign currency 
forward contracts related to foreign currencies that have significant 
foreign exchange turnover and are included in the BIS Survey. 
Specifically, the Trust may enter into foreign currency forward 
contracts that provide exposure to such currencies, selected from the 
top 40 currencies (as measured by percentage share of average daily 
turnover for the applicable month and year) included in the BIS Survey. 
The NAV of the Trust, the NAV per Share and the Disclosed Portfolio 
will be disseminated to all market participants at the same time. The 
Trust will provide Web site disclosure of portfolio holdings daily. The 
IIV per Share (quoted in U.S. dollars) will be widely disseminated at

[[Page 47457]]

least every 15 seconds during the Exchange's Core Trading Session by 
major market data vendors. Pricing for futures contracts will be 
available from the relevant exchange on which such futures contracts 
trade and pricing for forward contracts and swaps will be available 
from major market data vendors. Quotation and last-sale information 
regarding the Shares will be disseminated through the CTA high-speed 
line.
    The proposed rule change is designed to promote just and equitable 
principles of trade and to protect investors and the public interest 
given that a large amount of information will be publicly available 
regarding the Trust and the Shares, thereby promoting market 
transparency. To the extent that the Trust invests in futures contracts 
traded on foreign exchanges, not more than 10% of the weight of such 
futures contracts in the aggregate shall consist of futures contracts 
whose principal trading market is not a member of the ISG or is a 
market with which the Exchange does not have a comprehensive 
surveillance sharing agreement. As provided in NYSE Arca Equities Rule 
8.700(e)(2)(D), the Exchange may halt trading during the day in which 
an interruption to the dissemination of the IIV occurs, or the value of 
the underlying futures contracts occurs. If the interruption to the 
dissemination of the IIV or the value of the underlying futures 
contracts 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. If the Exchange becomes aware that the 
NAV, the NAV per Share and/or the Disclosed Portfolio with respect to a 
series of Managed Trust Securities is not disseminated to all market 
participants at the same time, it will halt trading in such series 
until such time as the NAV, the NAV per Share and/or the Disclosed 
Portfolio is available to all market participants. Trading in Shares of 
the Trust will be halted if the circuit breaker parameters under NYSE 
Arca Equities Rule 7.12 have been reached or because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable. Moreover, prior to the commencement 
of trading, the Exchange will inform its ETP Holders in the Bulletin of 
the special characteristics and risks associated with trading the 
Shares.
    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 given that it will facilitate the listing and trading 
of an additional type of exchange-traded product 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 relating to trading in the Shares and may obtain information 
via the ISG from other exchanges that are members of the ISG or with 
which the Exchange has entered into a comprehensive surveillance 
sharing agreement. In addition, as noted above, investors will have 
ready access to information regarding the IIV and quotation and last 
sale information for the Shares.

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 purposes of the Exchange Act. The Exchange notes 
that the proposed rule change will facilitate the listing and trading 
of an additional type of actively-managed exchange-traded product that 
will principally hold futures contracts, swaps and forward contracts, 
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 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 rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2016-96 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-2016-96. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549 on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-NYSEArca-2016-96 and should 
be submitted on or before August 11, 2016.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\27\
---------------------------------------------------------------------------

    \27\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-17198 Filed 7-20-16; 8:45 am]
 BILLING CODE 8011-01-P



                                                                                   Federal Register / Vol. 81, No. 140 / Thursday, July 21, 2016 / Notices                                                 47447

                                                    Standards of the United States Postal                       To align the USPS Small Quantity                   Explorer® at http://pe.usps.com/text/
                                                    Service, Domestic Mail Manual (DMM®)                     Provision more closely with its DOT                   pub52/welcome.htm.
                                                    section 601.8.2, Publication 52 applies                  counterpart, the Postal Service will
                                                                                                                                                                   Stanley F. Mires,
                                                    to the mailability of hazardous                          revise its current Small Quantity
                                                    materials.                                                                                                     Attorney, Federal Compliance.
                                                                                                             Provision, making the provision
                                                                                                                                                                   [FR Doc. 2016–17203 Filed 7–20–16; 8:45 am]
                                                       Revisions to Publication 52: The                      applicable only to surface mail
                                                    Postal Service is making these revisions                                                                       BILLING CODE 7710–12–P
                                                                                                             products. As was previously the case,
                                                    in order to more closely align with the                  the USPS Small Quantity Provision will
                                                    Department of Transportation (DOT),                      continue to be more restrictive than that
                                                    Pipeline and Hazardous Materials Safety                  applicable to commercial shippers and                 SECURITIES AND EXCHANGE
                                                    Administration (PHMSA) January 14,                       carriers. The Postal Service also clarifies           COMMISSION
                                                    2009 changes to regulations for the                      this section to provide that Division 6.1             [Release No. 34–78345; File No. SR–
                                                    transportation of specified hazardous                    toxic substances in Packing Groups I                  NYSEArca–2016–96]
                                                    materials shipped in small quantities.                   and II are prohibited, and only Division
                                                       PHMSA announced the adoption of                       6.1 materials in Packing Group III are                Self-Regulatory Organizations; NYSE
                                                    their Excepted Quantity regulations on                   eligible to be mailed under the USPS                  Arca, Inc.; Notice of Filing of Proposed
                                                    January 14, 2009, via Docket HM–215J.                    Small Quantity Provision. Generally,                  Rule Change To Amend NYSE Arca
                                                    As part of this rulemaking, PHMSA                        Division 6.1, Packing Group I and II                  Equities Rule 8.700 and To List and
                                                    maintained its then-current allowances                   materials are listed as nonmailable in                Trade Shares of the Managed
                                                    for small quantities of Division 2.2,                    Publication 52, Appendix A.                           Emerging Markets Trust Under
                                                    Class 3, Division 4.1, Division 4.2                                                                            Proposed Amended NYSE Arca
                                                    (Packing Group II and III), Division 4.3                    In addition, the Postal Service adds a             Equities Rule 8.700
                                                    (Packing Group II and III), Division 5.1,                new Excepted Quantity Provision,
                                                                                                             intended to align with the DOT/PHMSA                  July 15, 2016.
                                                    Division 5.2, Division 6.1, Class 7, Class
                                                    8, and Class 9 materials transported by                  Excepted Quantity regulations                            Pursuant to Section 19(b)(1) 1 of the
                                                    highway and rail. Also at this time,                     published in 49 CFR 173.4a. The new                   Securities Exchange Act of 1934 (the
                                                    PHMSA adopted the United Nations                         Excepted Quantity Provision will apply                ‘‘Act’’) 2 and Rule 19b–4 thereunder,3
                                                    (UN) and International Civil Aviation                    to domestic USPS air products, but may                notice is hereby given that, on July 1,
                                                    Organization (ICAO) Excepted Quantity                    be used with shipments placed in USPS                 2016, NYSE Arca, Inc. (the ‘‘Exchange’’
                                                    regulations for transportation by aircraft               surface transportation. Mailpieces                    or ‘‘NYSE Arca’’) filed with the
                                                    or vessel. PHMSA stated it believed that                 entered under the USPS Excepted                       Securities and Exchange Commission
                                                    aligning the existing Small Quantity                     Quantity Provision must be marked                     (the ‘‘Commission’’) the proposed rule
                                                    regulations with the Excepted Quantity                   with the DOT-approved ‘‘E’’ marking as                change as described in Items I, II, and
                                                    regulations for air and vessel                           described above and meet all quantity,                III below, which Items have been
                                                    transportation would enhance                             packaging and marking requirements                    prepared by the self-regulatory
                                                    harmonization and increase safety. With                  described in the revised section 337 and              organization. The Commission is
                                                    this revision, PHMSA revised its Small                   new Packaging Instruction 10B.                        publishing this notice to solicit
                                                    Quantity regulations (49 CFR173.4) to                    Although the ‘‘E’’ excepted quantity                  comments on the proposed rule change
                                                    apply to domestic highway and rail                       marking is recognized for commercial                  from interested persons.
                                                    transportation only and added a new                      international shipments, the USPS                     I. Self-Regulatory Organization’s
                                                    section 173.4a which matches                             Excepted Quantity Provision is for                    Statement of the Terms of Substance of
                                                    international Excepted Quantity                          domestic use only and is prohibited in                the Proposed Rule Change
                                                    regulations for air and vessel                           international and APO/FPO/DPO mail.
                                                                                                                                                                      The Exchange proposes to amend
                                                    transportation. Concurrent with these                       The Postal Service will prohibit the               NYSE Arca Equities Rule 8.700 to
                                                    changes, PHMSA adopted the new ‘‘E’’                     shipment of materials in Hazard Classes               permit the use of swaps on equity
                                                    international marking, making it                         1, 2, 4, and 7 under the Excepted                     indices, fixed income indices,
                                                    applicable to domestic transportation.                   Quantity Provision.                                   commodity indices, commodities or
                                                                                                                The Postal Service will also add                   interest rates, and to list and trade
                                                                                                             language to Publication 52, for both the              shares of the Managed Emerging
                                                                                                             Small Quantity and Excepted Quantity                  Markets Trust under proposed amended
                                                                                                             Provisions, to clarify that materials                 NYSE Arca Equities Rule 8.700. The
                                                                                                             identified in Appendix A of Publication               proposed rule change is available on the
                                                                                                             52 as ‘‘prohibited’’ in USPS air and                  Exchange’s Web site at www.nyse.com,
                                                                                                             surface transportation are ineligible for             at the principal office of the Exchange,
                                                                                                             mailing under these provisions, without               and at the Commission’s Public
                                                                                                             regard to their hazard class, division, or            Reference Room.
                                                                                                             packing group.                                        II. Self-Regulatory Organization’s
                                                                                                                The specific revisions to Publication              Statement of the Purpose of, and
                                                                                                             52, Hazardous, Restricted, and                        Statutory Basis for, the Proposed Rule
asabaliauskas on DSK3SPTVN1PROD with NOTICES




                                                                                                             Perishable Mail referenced in this notice             Change
                                                                                                             will be published in Postal Bulletin                    In its filing with the Commission, the
                                                      When using this marking, the ‘‘*’’                     22447 on August 4, 2016, and can be                   self-regulatory organization included
                                                    must be replaced by the primary hazard                   viewed at http://about.usps.com/postal-               statements concerning the purpose of,
                                                    class or division number and the ‘‘**’’                  bulletin. These revisions are expected to
                                                    must be replaced by the name of the                      be incorporated into Publication 52                     1 15 U.S.C. 78s(b)(1).
                                                    shipper or consignee, if not shown                       within the next few weeks. Publication                  2 15 U.S.C. 78a.
                                                    elsewhere on the package.                                52 is provided in its entirety on Postal
                                                                                                                                                                                                                   EN21JY16.005</GPH>




                                                                                                                                                                     3 17 CFR 240.19b–4.




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                                                    47448                           Federal Register / Vol. 81, No. 140 / Thursday, July 21, 2016 / Notices

                                                    and basis for, the proposed rule change                   would allow parties to replicate desired              becomes affiliated with a broker-dealer,
                                                    and discussed any comments it received                    returns while eliminating the costs                   it will implement a fire wall with
                                                    on the proposed rule change. The text                     associated with acquiring or holding the              respect to such broker-dealer regarding
                                                    of those statements may be examined at                    underlying asset. As such, the increased              access to information concerning the
                                                    the places specified in Item IV below.                    flexibility afforded by the ability of an             composition and/or changes to the
                                                    The Exchange has prepared summaries,                      issuer of Managed Trust Securities to                 Trust’s portfolio, and will be subject to
                                                    set forth in sections A, B, and C below,                  use derivatives may enhance investor                  procedures designed to prevent the use
                                                    of the most significant parts of such                     returns by facilitating the ability to more           and dissemination of material non-
                                                    statements.                                               economically seek its investment                      public information regarding such
                                                                                                              objective, thereby reducing the costs                 portfolio.7
                                                    A. Self-Regulatory Organization’s
                                                                                                              incurred by such issuer.                                 The Bank of New York Mellon, a New
                                                    Statement of the Purpose of, and the                         The Exchange notes that swaps are
                                                    Statutory Basis for, the Proposed Rule                                                                          York banking corporation, is the trustee
                                                                                                              currently permitted investments for                   of the Trust (the ‘‘Trustee’’). Wilmington
                                                    Change                                                    issues of Trust Issued Receipts under                 Trust, National Association, a national
                                                    1. Purpose                                                Commentary .02 to NYSE Arca Equities                  banking association, is the Delaware
                                                       NYSE Arca Equities Rule 8.700                          Rule 8.200. In addition, the Commission               trustee of the Trust.
                                                    permits the trading of Managed Trust                      has previously permitted investments in                  The Bank of New York Mellon also is
                                                    Securities either by listing or pursuant                  swaps for issues of Managed Fund                      the administrator of the Trust (the
                                                    to unlisted trading privileges (‘‘UTP’’).4                Shares under NYSE Arca Equities Rule                  ‘‘Trust Administrator’’), the custodian of
                                                    The Exchange proposes to amend NYSE                       8.600.5                                               the Trust (the ‘‘Custodian’’), the
                                                    Arca Equities Rule 8.700 to permit the                    Managed Emerging Markets Trust                        processing agent of the Trust (the
                                                    use of swaps on equity indices, fixed                                                                           ‘‘Processing Agent’’), and the settlement
                                                                                                                 The Trust is a Delaware statutory trust            agent of the Trust (the ‘‘Settlement
                                                    income indices, commodity indices,                        that will issue Shares representing
                                                    commodities or interest rates. In                                                                               Agent’’). The Trust has engaged
                                                                                                              fractional undivided beneficial interests             Foreside Fund Services, LLC to act as a
                                                    addition, the Exchange proposes to list                   in the Trust.6 According to the
                                                    and trade the shares (the ‘‘Shares’’) of                                                                        distributor on its behalf.
                                                                                                              Registration Statement, the Trust will                   The Exchange notes that the
                                                    the Managed Emerging Markets Trust                        not be an investment company
                                                    (the ‘‘Trust’’) under proposed amended                                                                          Commission has previously approved
                                                                                                              registered under the Investment                       the listing and trading of another issue
                                                    NYSE Arca Equities Rule 8.700.                            Company Act of 1940 (15 U.S.C. 80a–1),                of Managed Trust Securities on the
                                                    Proposed Amendments to NYSE Arca                          as amended (the ‘‘1940 Act’’), and will               Exchange.8
                                                    Equities Rule 8.700                                       not be required to register under the
                                                       The Exchange proposes to amend                         1940 Act.                                             Managed Emerging Markets Trust
                                                                                                                 The Trust is a commodity pool as                      According to the Registration
                                                    NYSE Arca Equities Rule 8.700(c)(1) to
                                                                                                              defined in the CEA and the regulations                Statement, the Trust will pursue long-
                                                    permit the use of swaps on equity
                                                                                                              of the CFTC. The Trust will be operated               term total returns by seeking to provide
                                                    indices, fixed income indices,
                                                                                                              by Artivest Advisors LLC, a Delaware                  both (1) a long-only exposure to one or
                                                    commodity indices, commodities or
                                                                                                              limited liability company (the
                                                    interest rates. Permitting the use of such                                                                      more emerging markets equity indices
                                                                                                              ‘‘Sponsor’’), that is also the Trust’s
                                                    swaps would provide additional                                                                                  (the ‘‘index exposure’’) and (2) ‘‘alpha’’
                                                                                                              adviser (the ‘‘Adviser’’) and will be
                                                    flexibility to an issuer of Managed Trust                                                                       returns that are additive to, and are not
                                                                                                              registered under the CEA as a
                                                    Securities seeking to achieve a trust’s                                                                         correlated with, the index exposure
                                                                                                              commodity pool operator. The sole
                                                    investment objective. For example,                                                                              (measured over rolling 5-year periods),
                                                                                                              member of the Sponsor is Artivest
                                                    because the markets for certain futures                                                                         while seeking to control overall
                                                                                                              Holdings, Inc., a Delaware corporation.
                                                    contracts may be unavailable or cost                                                                            downside risk and volatility. Total
                                                                                                              The Adviser is the commodity trading
                                                    prohibitive as compared to derivative                                                                           return refers to the combined income
                                                                                                              advisor of the Trust and will at all times
                                                    instruments, suitable derivative                                                                                and capital appreciation generated by a
                                                                                                              be either registered as a commodity
                                                    transactions may be an efficient                                                                                portfolio.
                                                                                                              trading advisor or properly exempt from
                                                    alternative for an issuer of Managed                                                                               According to the Registration
                                                                                                              such registration under the CEA. The
                                                    Trust Securities to obtain the desired                                                                          Statement, the assets of the Trust (the
                                                                                                              Adviser is not a broker-dealer and is not
                                                    asset exposure. Additionally, swaps                                                                             ‘‘Portfolio’’) will consist of positions in
                                                                                                              affiliated with a broker-dealer. In the
                                                                                                              event (a) the Adviser or any sub-adviser              futures contracts on emerging market
                                                       4 Managed Trust Security means a security that is
                                                                                                              becomes registered as a broker-dealer or              equity indices, foreign currency forward
                                                    registered under the Securities Act of 1933 (15
                                                    U.S.C. 77a), as amended (the ‘‘Securities Act’’), is      newly affiliated with a broker-dealer, or                7 The activities of the Trust will be limited to (1)
                                                    issued by a trust that (1) is a commodity pool as         (b) any new adviser or sub-adviser
                                                    defined in the Commodity Exchange Act (7 U.S.C.                                                                 issuing Baskets (as described below) in exchange for
                                                    1) (the ‘‘CEA’’), and that is managed by a                                                                      cash, (2) paying out of Trust assets any Trust
                                                                                                                5 See, e.g., Securities Exchange Act Release No.    expenses and liabilities not assumed by the
                                                    commodity pool operator registered with the
                                                    Commodity Futures Trading Commission (the                 71938 (April 14, 2014), 79 FR 21981 (April 18,        Sponsor, (3) delivering proceeds consisting of cash
                                                    ‘‘CFTC’’), and (2) holds long and/or short positions      2014) (SR–NYSEArca–2013–144) (order approving         in exchange for Baskets surrendered for
                                                    in exchange-traded futures contracts and/or certain       proposed rule change permit listing and trading of    redemption, (4) depositing any required margin in
                                                    currency forward contracts selected by the trust’s        shares of the ETSpreads HY Long Credit Fund, the      the form of cash or other eligible assets with
                                                                                                              ETSpreads HY Short Credit Fund, the ETSpreads IG      domestic futures commission merchants, foreign
asabaliauskas on DSK3SPTVN1PROD with NOTICES




                                                    advisor consistent with the trust’s investment
                                                    objectives, which will only include, exchange-            Long Credit Fund, and the ETSpreads IG Short          futures brokers or other financial intermediaries or
                                                    traded futures contracts involving commodities,           Credit Fund under NYSE Arca Equities Rule 8.600).     dealers, and (5) investing its cash, at the direction
                                                    currencies, stock indices, fixed income indices,            6 See Pre-Effective Amendment No. 5, dated [sic]    of the Adviser, in a portfolio of futures contracts,
                                                    interest rates and sovereign, private and mortgage        See Pre-Effective Amendment No. 5, dated August       forward contracts and swaps.
                                                    or asset backed debt instruments, and/or forward          18, 2015, to the Trust’s Registration Statement on       8 See Securities Exchange Act Release No. 60064

                                                    contracts on specified currencies, each as disclosed      Form S–1 (File No. 333–182772) (the ‘‘Registration    (June 8, 2009), 74 FR 28315 (June 15, 2009) (SR–
                                                    in the trust’s prospectus; and (ii) [sic] is issued and   Statement’’) under the Securities Act. The            NYSEArca–2009–30) (order approving the adoption
                                                    redeemed continuously in specified aggregate              descriptions of the Trust and the Shares contained    of listing standards for Managed Trust Securities
                                                    amounts at the next applicable net asset value. See       herein are based, in part, on the Registration        and the listing and trading of shares of the iShares®
                                                    NYSE Arca Equities Rule 8.700(c)(1).                      Statement.                                            Diversified Alternatives Trust).



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                                                                                   Federal Register / Vol. 81, No. 140 / Thursday, July 21, 2016 / Notices                                           47449

                                                    contracts, swaps providing exposure to                   medium and long term. These                           on research relating to the subjective
                                                    such futures contracts and forward                       macroeconomic factors include                         conditions of macroeconomic factors in
                                                    contracts, and cash and other financial                  fundamental economic and fundamental                  emerging markets, the perception and
                                                    instruments which may be used, as                        market factors. Examples of                           expectations of market participants, and
                                                    needed, to secure the Trust’s trading                    fundamental economic factors include                  the risk characteristics of investment
                                                    obligations with respect to those trading                monetary and fiscal policy, growth                    ideas.
                                                    positions. The Adviser will pursue the                   conditions, inflation, and the quality
                                                    Trust’s investment objective by utilizing                and stability of governmental and civic               Emerging Markets
                                                    a discretionary portfolio construction                   institutions. Examples of fundamental                    According to the Registration
                                                    approach that is designed to provide (i)                 market factors include matters such as                Statement, emerging markets are
                                                    the index exposure, and (ii) exposure to                 valuation and pricing metrics, interest               generally considered to be nations with
                                                    an ‘‘alpha’’ portfolio with returns likely               rates, momentum, liquidity, and ease of               social or business activity in the process
                                                    to be independent of, and uncorrelated                   capital formation.                                    of rapid growth and industrialization,
                                                    to, the index exposure.                                     The Adviser will form conclusions                  typically characterized by increasingly
                                                       The Adviser will seek to provide the                  regarding future economic conditions                  liquid and broad capital markets,
                                                    index exposure by holding long                           and future financial instruments pricing              strengthening civil institutions,
                                                    emerging markets equity index futures                    based on its review and analysis of                   improving governance, strengthening
                                                    positions. The Adviser will seek to                      macroeconomic factors. The Adviser’s                  infrastructure and increasing quality of
                                                    provide alpha exposure by actively                       investment process will be driven by its              life for citizens. Emerging markets are
                                                    trading and investing a portfolio                        understanding of the underlying                       also often marked by increasingly
                                                    primarily composed of futures contracts                  relationships between asset class pricing             educated and competitive labor forces
                                                    and forward contracts using its                          and macroeconomic forces. The Adviser                 and rapid growth in industrialization,
                                                    discretion to make investment choices                    will evaluate markets based on both the               combined with relatively lower
                                                    based on fundamental analysis of                         current state of various macroeconomic                consumption per capita than in more
                                                    various macroeconomic factors.                           factors (i.e., current conditions) as well            developed economies. These countries
                                                       The Trust may hold cash necessary to                  as anticipated changes to those                       are often engaged in a transition from an
                                                    cover its ordinary and extraordinary                     conditions, and will seek to understand               underdeveloped economy into a well-
                                                    expenses.                                                what expectations regarding those                     capitalized, developed economy similar
                                                    Alpha Strategy                                           changes are embedded in current market                to those of the advanced industrialized
                                                                                                             pricing. From time to time, the Adviser               countries like the United States, Japan
                                                       According to the Registration                         will form thematic, macroeconomic-
                                                    Statement, the alpha strategy will seek                                                                        or much of Western Europe.
                                                                                                             based ‘‘alpha views’’ regarding its                      The Adviser will look at a variety of
                                                    to provide returns that are independent                  desired exposures to investment themes.
                                                    of, and uncorrelated to, the index                                                                             factors to determine whether a country
                                                                                                                The Adviser will utilize both
                                                    exposure, by trading and investing                                                                             is an ‘‘emerging market.’’ Currently, the
                                                                                                             quantitative and qualitative analysis in
                                                    primarily in futures contracts and                                                                             Adviser views countries as ‘‘emerging
                                                                                                             its investment process. With respect to
                                                    forward contracts relating to emerging                                                                         markets’’ if they are considered to be
                                                                                                             quantitative analysis, the Adviser will
                                                    markets. The Adviser will pursue a                                                                             developing, emerging or frontier by
                                                                                                             apply a range of mathematical and
                                                    strategy based on fundamental analysis                                                                         sources such as MSCI, the International
                                                                                                             statistical techniques to historical and
                                                    and will make investment decisions                                                                             Monetary Fund, the World Bank, the
                                                                                                             real-time market and economic data that
                                                    based on its view of the fundamental                     relates to the various macroeconomic                  International Finance Corporation, the
                                                    value of various financial instruments                   factors, as part of an ongoing research               United Nations, The Economist
                                                    relative to market prices and                            process. The Adviser will analyze this                magazine, Standard & Poor’s and Dow
                                                    expectations. In certain limited                         historical data in an effort to identify              Jones, or if they are countries with a
                                                    circumstances, the Trust may invest in                   how changes to current conditions and                 stock market capitalization of less than
                                                    exchange-traded swaps, swaps accepted                    expectations about future conditions                  5% of the MSCI World Index.
                                                    for central clearing (‘‘cleared swaps’’)                 will affect the prices of various financial              Emerging market countries typically
                                                    and swaps which are not accepted for                     instruments. The quantitative analysis                are located in the following regions:
                                                    central clearing (‘‘uncleared swaps’’), as               used by the Adviser will particularly                 Asia-Pacific; Eastern Europe; the Middle
                                                    described below. The Trust will only                     focus on the volatility and correlation               East; Central and South America; and
                                                    invest in cleared swaps if an investment                 characteristics of financial instruments,             Africa.
                                                    in exchange-traded swaps is                              as the Adviser will seek to build a                      Within these regions, the Trust will
                                                    unavailable, and the Trust will only                     diversified portfolio in the alpha                    likely invest in financial instruments
                                                    invest in uncleared swaps if an                          strategy. The Adviser will seek to                    relating to countries such as: Argentina,
                                                    investment in cleared swaps is                           develop predictive models based on its                Brazil, Chile, China, Colombia, Czech
                                                    unavailable. No more than 20% of the                     quantitative analysis to generate and                 Republic, Egypt, Greece, Hong Kong,
                                                    Portfolio may be invested, on both an                    evaluate investment ideas. However, the               Hungary, India, Indonesia, Israel,
                                                    initial and an ongoing basis, in over-the-               Trust will trade purely on a                          Jordan, Kenya, Lebanon, Malaysia,
                                                    counter (‘‘OTC’’) swaps.                                 discretionary basis and the Adviser will              Mexico, Morocco, Nigeria, Peru,
                                                       To construct the alpha portfolio, the                 engage in a qualitative analysis of any               Philippines, Poland, Qatar, Russia,
                                                    Adviser will apply both quantitative                     investment ideas generated utilizing                  Singapore, South Africa, South Korea,
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                                                    and qualitative analysis to market and                   quantitative analysis.                                Taiwan, Thailand, Turkey, United Arab
                                                    economic data to generate investment                        The Adviser also will utilize                      Emirates, Ukraine and Vietnam.
                                                    ideas, to trade and invest on a                          qualitative analysis which relies on the                 This list will change from time to time
                                                    discretionary basis, and to manage                       investment experience and views of its                based on market developments. The
                                                    portfolio risk.                                          principals, as well as internally-                    percentage of Trust assets invested in a
                                                       The Adviser’s investment process will                 developed frameworks for evaluating                   specific region or country will change
                                                    reflect its belief that macroeconomic                    and generating investment ideas. The                  from time to time. The Trust will not be
                                                    factors drive investment returns over the                Adviser’s qualitative analysis will focus             subject to any limitations on the


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                                                    47450                          Federal Register / Vol. 81, No. 140 / Thursday, July 21, 2016 / Notices

                                                    percentage of its assets that may be                     markets index futures contracts.9                          ICE Futures U.S. has been licensed to
                                                    exposed to a single region or country.                   Generally, the Adviser will seek to                     create futures contracts on the MSCI
                                                                                                             maintain an emerging markets index                      Emerging Markets Index, and the
                                                    Portfolio Construction
                                                                                                             exposure to equal 100% of the Trust’s                   Adviser expects to obtain its emerging
                                                       According to the Registration                         net assets, although this may vary from                 markets index exposure by holding long
                                                    Statement, to construct the Portfolio, the               time to time depending on market                        positions in these futures contracts.10
                                                    Adviser expects to devote a portion of                   conditions. The Adviser expects the                        Because the Trust’s index exposure
                                                    the Trust proceeds to establishing the                   volatility for the Trust’s index portfolio              will be provided by futures contracts
                                                    emerging markets index exposure                          to track the volatility of major emerging               which have dated expirations, the Trust
                                                    (generally expected to be maintained at                  markets indices (based on historical                    will need to periodically rebalance or
                                                    a level equal to 100% of the Trust’s net                 volatility, 20% to 25%).                                ‘‘roll’’ its exposures by selling near-
                                                    assets) and substantially all of the                       The MSCI Emerging Markets Index is                    dated futures contracts and buying
                                                    remainder to seek the alpha exposure                     the initial emerging market equity index                longer-dated futures contracts to replace
                                                    (generally not to exceed a level equal to                that the Trust will invest in (by holding               them. The Adviser will rebalance the
                                                    300% of the Trust’s net assets). The                     long MSCI Emerging Markets Index                        Trust’s exposures on a discretionary,
                                                    portion of Trust assets required to                      futures contracts as the index itself is                rather than systematic basis, and will
                                                    maintain these exposures will fluctuate                  not investable) to achieve its index                    seek to roll its index futures positions in
                                                    from time to time, in particular as the                  exposure. The Adviser may in the future                 a way that minimizes the Trust’s
                                                    margin requirements to maintain the                      invest in additional or different                       transaction costs. The Adviser also will
                                                    Trust’s futures contract positions                       emerging markets index futures                          seek to avoid rolling futures contracts
                                                    fluctuate.                                               contracts.                                              extremely close to expiry, and generally
                                                       According to the Registration                           The MSCI Emerging Markets Index is                    will refrain from holding contracts
                                                    Statement, futures contracts and                         intended to measure equity market                       through to expiration and settlement, as
                                                    forward contracts have an inherent                       performance in the global emerging                      described in more detail under
                                                    degree of leverage due to the relatively                 markets. The MSCI Emerging Markets                      ‘‘Rebalancing’’ below.
                                                    small amounts of capital required to be                  Index is a free float-adjusted market
                                                    deposited as margin for such financial                                                                           Alpha Portfolio Construction
                                                                                                             capitalization index with a base date of
                                                    instrument positions (generally 2% to                    December 31, 1987 and an initial value                     According to the Registration
                                                    5% of the value of the contract). The                    of 100. The MSCI Emerging Markets                       Statement, the Adviser will construct a
                                                    Trust may at times trade with a                          Index is calculated daily in U.S. dollars               portfolio of instruments for the Trust to
                                                    significant degree of leverage, and the                  and published in real time every 60                     hold by determining the optimal way to
                                                    Trust’s use of leverage can be expected                  seconds during market trading hours.                    express its alpha views in light of
                                                    to vary from time to time. The Adviser                   The MSCI Emerging Markets Index                         pragmatic considerations associated
                                                    will seek to limit the notional exposure                 spans large, mid and small cap                          with trading in financial instruments.
                                                    of the overall Portfolio to no more than                 securities and currently consists of the                The Adviser will assess trading and
                                                    400% of the Trust’s net assets.                          following 21 emerging market country                    investment risks in selecting both which
                                                    Notwithstanding the foregoing                            indices: Brazil, Chile, China, Colombia,                alpha views to express and in
                                                    limitation on the Trust’s use of leverage,               Czech Republic, Egypt, Hungary, India,                  constructing an optimal portfolio
                                                    the Adviser will seek to mitigate                        Indonesia, Malaysia, Mexico, Morocco,                   accordingly. The Adviser will seek to
                                                    leveraging risk if the notional exposure                 Peru, Philippines, Poland, Russia, South                minimize both transaction costs and
                                                    of the overall Portfolio is approaching                  Africa, South Korea, Taiwan, Thailand,                  exogenous trading risks such as
                                                    the leverage limitation.                                 and Turkey. As of July 31, 2015, the five               liquidity or counterparty risks while
                                                       In addition, the Trust will include                   largest country weights were China                      maximizing the clarity of expression of
                                                    appropriate risk disclosure in its                       (23.93), South Korea (14.18%), Taiwan                   the Adviser’s alpha views. Some of the
                                                    offering documents, including                            (12.48%), India (8.37%), and South                      criteria included in this analysis for
                                                    leveraging risk. Leveraging risk is the                  Africa (8.00%), and the five largest                    each instrument or market will be:
                                                    risk that certain transactions of the                    sector weights were Financials                          Liquidity or trading volume, margin
                                                    Trust, including the Trust’s use of                      (29.49%), Information Technology                        requirements, commission rates, bid-ask
                                                    derivatives, may give rise to leverage,                  (17.49%), Consumer Discretionary                        spreads and futures contracts curve
                                                    causing the Trust to be more volatile                    (9.03%), Consumer Staples (8.54%), and                  shape.
                                                    than if it had not been leveraged.                       Energy (8.09%). The MSCI Emerging                          With respect to the alpha portfolio,
                                                    Because the markets for certain                          Markets Index is part of the MSCI                       the Adviser will take directional
                                                    securities, or the securities themselves,                Regional Equity Indices series and is an                positions where it believes prices will
                                                    may be unavailable or cost prohibitive                   MSCI Global Investable Market Index,                    move favorably over the medium- to
                                                    as compared to derivative instruments,                   which is a family within the MSCI                       long-term (i.e., over the next three
                                                    suitable derivative transactions may be                  International Equity Indices.                           months or more) as a result of the
                                                    an efficient alternative for the Trust to                                                                        anticipated gap between its perceptions
                                                    obtain the desired asset exposure. To                       9 An index futures contract is a bilateral           and the market. Because the alpha
                                                    mitigate leveraging risk, the Adviser                    agreement pursuant to which two parties agree to        portfolio will seek to capture price
                                                    will segregate or ‘‘earmark’’ liquid assets              take or make delivery of an amount of cash equal        movements resulting from certain
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                                                    or otherwise cover the transactions that                 to a specified dollar amount multiplied by the          changes in markets resulting from
                                                                                                             difference between the index value at the close of
                                                    may give rise to such risk.                              trading of the contract and the price at which the      changing expectations about certain
                                                    Index Exposure Portfolio Construction                    futures contract is originally struck. No physical      market fundamentals, the alpha strategy
                                                                                                             delivery of the securities comprising the index will    will be directional and an investment in
                                                      According to the Registration                          be made; rather, the contract will be settled in cash   Shares should not be considered
                                                    Statement, the Trust will seek to                        at the termination of the contract. The settlement
                                                                                                             will be equal to the difference between the contract    market-neutral. The Adviser does not
                                                    maintain constant exposure to one or                     price and the actual level of the stock index at the
                                                    more emerging markets equity indices                     expiration of the contract. The Trust expects to          10 ICE Futures U.S. is a member of the Intermarket

                                                    by holding long positions in emerging                    settle contracts prior to their expiration date.        Surveillance Group (‘‘ISG’’).



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                                                                                   Federal Register / Vol. 81, No. 140 / Thursday, July 21, 2016 / Notices                                                         47451

                                                    expect, however, that the alpha portfolio                market.11 However, no more than 20%                          If the Trust purchases or sells a listed
                                                    will over time favor any particular                      of the Portfolio may be invested, on both                 commodity or currency futures contract,
                                                    market with either a long bias or a short                an initial and an ongoing basis, in OTC                   it will agree to purchase or sell,
                                                    bias.                                                    swaps.                                                    respectively, the specified commodity
                                                                                                               The Adviser generally will seek to                      or currency at a specified future date.
                                                       The alpha portfolio primarily will be
                                                                                                             maintain an annualized volatility                         The price at which the purchase and
                                                    composed of futures contracts on
                                                                                                             ranging from 15% to 20% for the Trust’s                   sale takes place will be fixed when the
                                                    emerging market equity indices and
                                                                                                             alpha portfolio.                                          Trust enters the contract. Margin
                                                    foreign currency forward contracts, as
                                                                                                             Alpha Futures Contracts                                   deposits will be posted as performance
                                                    described in more detail below. The
                                                                                                                                                                       bonds with the Trust’s clearing broker
                                                    Trust may invest in futures contracts                      According to the Registration                           and then ultimately with the exchange
                                                    and forward contracts of varying                         Statement, the Adviser expects that 75%                   clearing corporation who ultimately
                                                    duration, from shorter-term contracts of                 to 90% of the Portfolio’s alpha exposure                  serves as the counterparty for the listed
                                                    one to three months to longer-term                       will be obtained via futures contracts,                   contract (thus limiting counterparty
                                                    contracts of up to three years or more.                  which can vary from time to time in the                   credit risk to the exchange itself).
                                                    The Trust will not use any particular                    sole discretion of the Adviser. The Trust
                                                    index or benchmark to construct the                      expects to take long or short positions                   Alpha Forward Contracts
                                                    alpha portfolio. Except as otherwise                     in a wide variety of commodity futures                       The Trust may enter into forward
                                                    described herein, there will be no                       contracts and financial futures                           contracts, which will be limited solely
                                                    limitations on the commodity interests                   contracts, as discussed in more detail                    to foreign currency forward contracts,12
                                                    that the Trust may trade to seek its                     below. The Trust expects to trade in                      which the Adviser expects may
                                                    alpha exposure.                                          commodity futures contracts, including                    comprise 10% to 25% of the Portfolio’s
                                                       According to the Registration                         metals, agriculturals, energies, and softs.               alpha exposure (although this will
                                                    Statement, the Adviser anticipates that                  The Trust expects to trade in a wide                      fluctuate from time to time in the
                                                    as the Trust grows larger, it may also, in               variety of financial futures contracts,                   discretion of the Adviser). In particular,
                                                    certain limited circumstances, invest in                 including interest rates, currencies and                  the Trust may trade foreign currency
                                                    exchange-traded swaps, cleared swaps                     currency indices, U.S. and non-U.S.                       forward contracts (a) to gain exposure to
                                                    and uncleared swaps. These limited                       equity indices and government bond                        currencies that are not easily or
                                                    circumstances include the following:                     futures contracts. With respect to                        efficiently traded in futures contracts or
                                                                                                             futures contracts on emerging market                      (b) if the Adviser believes that a relevant
                                                       • When futures contracts are not                      equity indices, the alpha portfolio may                   forward has more favorable terms than
                                                    available or market conditions do not                    be exposed to stock index futures                         an available futures contract, such as
                                                    permit investing in futures contracts (for               contracts and other indices composed of                   more favorable liquidity. The Adviser
                                                    example, a particular futures contract                   corporate equities issued in local                        also does not currently expect to engage
                                                    may not exist or may trade only on an                    markets.                                                  in any transactions that would be
                                                    exchange that has not yet been approved                                                                            considered ‘‘retail forex’’ transactions
                                                    by the Trust); and                                          11 According to the Registration Statement, swap
                                                                                                                                                                       for purposes of the CEA. The Trust will
                                                       • When there are position limits,                     transactions generally involve contracts between          only enter into foreign currency forward
                                                                                                             two parties to exchange a stream of payments
                                                    price limits or accountability limits on                 computed by reference to a notional amount and            contracts related to foreign currencies
                                                    futures contracts.                                       the price of the asset that is the subject of the swap.   that have significant foreign exchange
                                                       Therefore, swaps would only be used                   Swap contracts are principally traded off-exchange,       turnover and are included in the Bank
                                                                                                             although certain swap contracts are also being            for International Settlements Triennial
                                                    by the Trust as a substitute for futures                 traded in electronic trading facilities and cleared
                                                    contracts in the limited circumstances                   through clearing organizations. Swaps are usually         Central Bank Survey, September 2013
                                                    described above when the Adviser has                     entered into on a net basis, that is, the two payment     (‘‘BIS Survey’’). Specifically, the Trust
                                                    determined that it is necessary to use                   streams are netted out in a cash settlement on the        may enter into foreign currency forward
                                                                                                             payment date or dates specified in the agreement,         contracts that provide exposure to such
                                                    swaps in order for the Trust to remain                   with the parties receiving or paying, as the case may
                                                    consistent with the Trust’s investment                   be, only the net amount of the two payments.              currencies, selected from the top 40
                                                    objective. Further, the Adviser expects                  Swaps do not generally involve the delivery of            currencies (as measured by percentage
                                                    that the Trust’s use of swaps, if any, will
                                                                                                             underlying assets or principal. Accordingly, the risk     share of average daily turnover for the
                                                                                                             of loss with respect to swaps is generally limited        applicable month and year) included in
                                                    be of a de minimis nature.                               to the net amount of payments that the party is
                                                                                                             contractually obligated to make. In some swap             the BIS Survey.
                                                       To the extent that the Trust invests in               transactions one or both parties may require                 The Trust may enter into deliverable
                                                    swaps, it would first make use of                        collateral deposits from the counterparty to support      forward contracts, in which there is
                                                    exchange-traded swaps if such swaps                      that counterparty’s obligation under the swap             physical delivery of a specified amount
                                                    are available with respect to futures                    agreement. If the counterparty to such a swap
                                                                                                             defaults, the risk of loss consists of the net amount
                                                                                                                                                                       of currency equivalent to the market
                                                    contracts on emerging market equity                      of payments that the party is contractually entitled      value of the contract. Alternatively, the
                                                    indices or foreign currency forward                      to receive less any collateral deposits it is holding.    Trust may invest in non-deliverable
                                                    contracts. If an investment in exchange-                 Some swap transactions are cleared through central        forward contracts where there is no
                                                    traded swaps is unavailable, then the                    counterparties. These transactions, known as
                                                                                                             cleared swaps, involve two counterparties first
                                                                                                                                                                       physical delivery of the currency at the
                                                    Trust would invest in cleared swaps                      agreeing to the terms of a swap transaction, then         maturity of the contract. Instead, one
                                                    that clear through derivatives clearing
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                                                                                                             submitting the transaction to a clearing house that
                                                    organizations that satisfy the Trust’s                   acts as the central counterparty. Once accepted by           12 A forward currency contract is a privately

                                                    criteria if such swaps are available with                the clearing house, the original swap transaction is      negotiated contract to purchase or sell a specific
                                                                                                             novated and the central counterparty becomes the          currency at a future date (usually less than one
                                                    respect to futures on emerging market                    counterparty to a trade with each of the original         year) at a price set at the time of the contract. The
                                                    equity indices or foreign currency                       parties based upon the trade terms determined in          Trust may enter into forward currency contracts to
                                                    forward contracts. If an investment in                   the original transaction. In this manner each             ‘‘lock in’’ the exchange rate between the currency
                                                    cleared swaps is unavailable, then the                   individual swap counterparty reduces its risk of          it will deliver and the currency it will receive for
                                                                                                             loss due to counterparty nonperformance because           the duration of the contract. Forward currency
                                                    Trust would invest in other swaps,                       the clearing house acts as the counterparty to each       contracts are traded over-the-counter and not on
                                                    including uncleared swaps in the OTC                     transaction.                                              exchanges.



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                                                    47452                          Federal Register / Vol. 81, No. 140 / Thursday, July 21, 2016 / Notices

                                                    party will agree to make periodic                        and financial instrument pricing. The                 Risk Management
                                                    payments to its counterparty based on                    Adviser does not expect, under normal                    The Adviser will determine the
                                                    the change in market value or level of                   market conditions, to settle any futures              Trust’s asset allocation which seeks to
                                                    a specified currency. In return, the                     contracts.                                            achieve a target excess return at a
                                                    counterparty will make periodic                                                                                targeted risk level, as described in more
                                                    payments to the first party based on the                 Rebalancing of the Index Portfolio
                                                                                                                                                                   detail below.
                                                    return of a different specified currency.                   According to the Registration                         The Adviser will have the discretion
                                                    Generally, these non-deliverable                         Statement, with respect to the index                  to adjust the index exposure above or
                                                    forward contracts will be entered into                   exposure, the Adviser will seek to invest             below 100%, and may do so from time
                                                    on a net basis, whereby the Trust will                   in longer-dated contracts to maintain                 to time based on market conditions. The
                                                    receive or pay only the net amount of                                                                          Adviser also may determine to allocate
                                                                                                             constant exposure and minimize
                                                    the two payments, representing the                                                                             Portfolio assets to additional or different
                                                                                                             transaction costs. The Adviser will
                                                    excess, if any, of the Trust’s obligations                                                                     emerging market indices. The Adviser
                                                                                                             ‘‘roll’’ (i.e., regularly purchase and
                                                    over its entitlements with respect to                                                                          does not generally expect to hedge the
                                                                                                             subsequently sell) its contract positions
                                                    each non-deliverable forward contract.                                                                         index exposure.
                                                    These net amounts will be accrued on                     throughout the year. As a particular
                                                                                                             futures contract nears its expiration date               The Adviser will construct the alpha
                                                    a daily basis and an amount of cash or                                                                         portfolio using a ‘‘risk budget’’ whereby
                                                    highly liquid securities having an                       (or earlier), the Adviser will roll the
                                                                                                             position into a new contract. The                     the desired alpha views are framed as
                                                    aggregate value at least equal to the                                                                          desired quantities of risk units. The
                                                    accrued excess will be maintained in an                  Adviser will actively manage the
                                                                                                                                                                   portfolio construction process then will
                                                    account at the Trust’s custodian. The                    implementation of this roll process. As
                                                                                                                                                                   translate these desired risk unit
                                                    risk of loss with respect to non-                        a result, the roll dates, terms and
                                                                                                                                                                   quantities into specific financial
                                                    deliverable forward contracts generally                  contract prices selected by the Adviser
                                                                                                                                                                   instruments for the Trust to hold. The
                                                    will be limited to the net amount of                     may vary based upon factors such as
                                                                                                                                                                   Portfolio will be assessed on at least a
                                                    payments that the Trust is contractually                 contract liquidity and duration, pricing              weekly basis to determine whether
                                                    obligated to make or receive.                            and market risk. This active                          market movements have caused the
                                                       The Trust’s forward contracts will be                 management of the roll process is                     Trust’s actual risk exposures to drift
                                                    collateralized to the extent required by                 intended to minimize the Trust’s                      from its desired risk exposures. If there
                                                    the relevant counterparties. The                         exposure to costs associated with                     is a sizeable drift that exceeds
                                                    counterparties to the Trust’s forward                    market or trading inefficiencies.                     thresholds where it is efficient for the
                                                    contracts are expected to be brokers,                                                                          Adviser to rebalance the alpha portfolio
                                                                                                             Costs Associated With Rebalancing
                                                    dealers and other financial institutions.                                                                      (taking into account transaction costs
                                                    The Adviser will seek to diversify the                      According to the Registration                      and other trading frictions) then the
                                                    Trust’s counterparty exposure, but may                   Statement, if futures contracts are                   Adviser will rebalance the alpha
                                                    from time to time have concentrated                      trading at a lower or higher price than               portfolio to move closer to the desired
                                                    exposure to one or more counterparties.                  their expected spot price, and it is time             risk budget. However, if there is a drift
                                                    However, the Adviser represents that it                  for the Trust to roll its exposure by                 that exceeds thresholds but it is not
                                                    will not concentrate risks with a single                 reinvesting the proceeds of a maturing                efficient for the Adviser to rebalance the
                                                    counterparty and will establish polices                  contract in a new contract, the Trust                 alpha portfolio, then the Adviser may
                                                    and procedures to manage counterparty                    may do so at higher or lower futures                  choose not to rebalance the alpha
                                                    concentration and monitor counterparty                   contracts prices, or it may determine not             portfolio. Once purchased, instruments
                                                    creditworthiness. The policies and                       to reinvest such proceeds. When longer-               held by the Trust may from time to time
                                                    procedures to monitor counterparty                       dated contracts are priced lower than                 be subject to stop-losses or other
                                                    creditworthiness will consider the                       nearer-dated contracts and spot prices,               contingent trading orders in an attempt
                                                    credit rating of the counterparty and any                the market is in ‘‘backwardation,’’ and               to hedge certain risks, including event
                                                    past experience with the counterpary.                    positive roll yield may be generated                  or liquidity risks.
                                                    Rebalancing                                              when higher priced nearer-dated                       Description of the Shares and Principal
                                                      According to the Registration                          contracts are sold to buy and hold lower              Trust Investments
                                                    Statement, the Adviser will rebalance                    priced longer-dated contracts. When the
                                                                                                                                                                      According to the Registration
                                                    the Portfolio on a discretionary basis, as               opposite is true and longer-dated
                                                                                                                                                                   Statement, and as noted above, in
                                                    described in more detail below.                          contracts are priced higher than nearer-
                                                                                                                                                                   pursuit of the Trust’s investment
                                                                                                             dated contracts and spot prices, the
                                                    Rebalancing of the Alpha Portfolio                                                                             objective, the Trust will primarily trade
                                                                                                             market is in ‘‘contango,’’ and negative               and invest in futures on emerging
                                                      According to the Registration                          roll yields may result from the sale of               market equity indices and foreign
                                                    Statement, the Adviser will determine                    lower priced nearer-dated contracts to                currency forward contracts. For more
                                                    whether to maintain particular                           buy and hold higher priced longer-dated               information regarding the types of
                                                    exposures, close out positions, or resize                contracts. If the Trust invests at a higher           futures contracts and forward contracts
                                                    positions, in its discretion and in                      price than the spot price, the Trust will             that the Trust will invest in, see
                                                    accordance with its investment strategy                  bear the associated ‘‘roll cost’’ or                  ‘‘Portfolio Construction’’ above.
                                                    and analysis of market conditions. The                   negative roll yield in addition to the
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                                                                                                                                                                      The Trust expects to trade futures
                                                    Adviser will seek to make any such                       brokerage transaction costs, such as                  contracts on U.S. exchanges and non-
                                                    adjustments to the Portfolio in a manner                 commissions and clearing charges, to                  U.S. exchanges. The U.S. exchanges on
                                                    that minimizes transaction costs and                     effect such roll transactions. To the                 which the Trust may trade futures
                                                    Portfolio exposure to variations in price                extent that the Adviser determines to                 contracts include ICE Futures U.S. and
                                                    that do not reflect the Adviser’s                        rebalance more frequently, the Portfolio              other exchanges that are members of the
                                                    intended investment exposure. To do                      will incur more substantial transaction               ISG.13 In addition, the Trust may hold
                                                    so, the Adviser will analyze transaction                 charges and possible roll costs,
                                                    costs, liquidity and margin concerns,                    depending on market conditions.                         13 See   ‘‘Surveillance,’’ infra.



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                                                                                   Federal Register / Vol. 81, No. 140 / Thursday, July 21, 2016 / Notices                                           47453

                                                    futures traded on the Kansas City Board                  equal to the ‘‘Basket Amount’’ 16                      required amount of cash by 6:00 p.m.
                                                    of Trade (‘‘KBT’’). The non-U.S.                         announced by the Trust on the first                    (E.T.) on the next Business Day
                                                    exchanges on which the Trust may trade                   ‘‘Business Day’’ 17after the purchase or               following the purchase order date or by
                                                    futures contracts include, but are not                   redemption order is received by the                    the end of such later Business Day, not
                                                    limited to, the following: The London                    Trust. Baskets may be created and                      to exceed three Business Days after the
                                                    Metal Exchange (‘‘LME’’), ASX Limited,                   redeemed only by ‘‘Authorized                          purchase order date, as agreed to
                                                    Dubai Mercantile Exchange Limited,                       Participants’’. Only institutions that                 between the Authorized Participant and
                                                    Euronext Amsterdam NV, and Osaka                         enter into an agreement with the Trust                 the Settlement Agent when the purchase
                                                    Securities Exchange Co., Ltd.14                          to become Authorized Participants may                  order is placed (the ‘‘Purchase
                                                                                                             purchase or redeem Baskets.                            Settlement Date’’), and give notice of
                                                    Other Trust Investments                                                                                         such deposit to the Settlement Agent via
                                                       The Trust’s Portfolio may contain                     Creation of Baskets                                    facsimile or electronic mail message.
                                                    cash which may be used, as needed, to                       On any ‘‘Eligible Business Day’’,18 an              Upon receipt of the Creation Deposit
                                                    secure the Trust’s trading obligations                   Authorized Participant may place a                     Amount, the Settlement Agent will
                                                    with respect to its trading positions.                   purchase order with the Processing                     direct the Depository Trust Company (’’
                                                    Although the Trust’s investment                          Agent to create one or more Baskets.                   DTC’’) to credit the number of Baskets
                                                    objective is not primarily to hold                       Purchase orders must be placed by 1:15                 ordered to the Authorized Participant’s
                                                    significant amounts of cash, cash may                    p.m. (E.T.) or the close of regular trading            DTC account on the Purchase
                                                    comprise a significant portion of the net                on the New York Stock Exchange,                        Settlement Date. If the Settlement Agent
                                                    asset value (‘‘NAV’’) of the Trust.                      whichever is earlier (‘‘Purchase Order                 does not receive the Creation Deposit
                                                       In order to collateralize futures                     Cutoff Time’’). Purchase orders received               Amount on a timely basis, the purchase
                                                    contracts and forward contracts, the                     after the Purchase Order Cutoff Time on                order will be automatically cancelled.
                                                    Trust may invest in U.S. government                      an Eligible Business Day, or on a day                  Rejection of Purchase Orders
                                                    debt instruments, which are U.S.                         that is not an Eligible Business Day will
                                                    Treasury bills, notes and bonds of                       be treated as received on the next                        The Sponsor will have the absolute
                                                    varying maturities that are backed by                    following Eligible Business Day. The                   right to reject any purchase order,
                                                    the full faith and credit of the United                  day on which the Processing Agent                      including, without limitation, (1)
                                                    States government, or other short-term                   receives a valid purchase order is                     purchase orders that the Processing
                                                    securities (in each case that are eligible               referred to as the purchase order date.                Agent determines are not in proper
                                                    as margin deposits under the rules of                    By placing a purchase order, an                        form, (2) purchase orders that the
                                                    the Exchange), which may include                         Authorized Participant agrees to deposit               Sponsor determines would have adverse
                                                    money market instruments (‘‘Short-                       cash with the Trust, as described below.               tax or other consequences to the Trust,
                                                    Term Securities’’). Although the Trust’s                                                                        (3) purchase orders the acceptance of
                                                                                                             Determination of the Creation Deposit                  which would, in the opinion of counsel
                                                    investment objective is not primarily to
                                                                                                             Amount                                                 to the Sponsor, result in a violation of
                                                    trade and invest in Short-Term
                                                    Securities, Short-Term Securities may                      The total deposit required to create                 law, (4) purchase orders in respect of
                                                    comprise a significant portion of the                    each Basket (‘‘Creation Deposit                        which the Settlement Agent has not
                                                    NAV of the Trust.15                                      Amount’’) will be the amount of cash                   received the corresponding Creation
                                                                                                             that is in the same proportion to the                  Deposit Amount by 6:00 p.m. (E.T.) on
                                                    Issuance and Redemption of the Shares                    NAV of the Trust (net of estimated                     the Purchase Settlement Date, or (5)
                                                      According to the Registration                          accrued but unpaid fees, expenses and                  during any period in which
                                                    Statement, the Trust intends to issue                    other liabilities) on the purchase order               circumstances make transactions in, or
                                                    and redeem Shares on a continuous                        date as the number of Shares to be                     settlement or delivery of, Shares or
                                                    basis only in one or more blocks of                      created under the purchase order is in                 components of the Portfolio impossible
                                                    100,000 Shares (‘‘Baskets’’). Baskets will               proportion to the total number of Shares               or impractical. The Sponsor may
                                                    be issued and redeemed only in                           outstanding on the purchase order date.                suspend the creation of Baskets, or
                                                    exchange for consideration in cash                                                                              postpone the issuance date, for as long
                                                                                                             Delivery of the Creation Deposit                       as it considers necessary for any reason.
                                                      14 The Exchange has entered into a
                                                                                                             Amount                                                 None of the Sponsor, the Processing
                                                    comprehensive surveillance agreement with KBT               An Authorized Participant who places                Agent, the Settlement Agent or the
                                                    and LME relating to applicable futures contracts.        a purchase order will be responsible for               Trustee, the Trust or any of their agents
                                                    ASX Limited is regulated by the Australian
                                                                                                             transferring to the Settlement Agent the               are liable to any person for such
                                                    Securities and Investments Commission, which is a                                                               suspension or postponement.
                                                    member of ISG. Japan Exchange Regulation (‘‘JPX–
                                                                                                               16 ‘‘Basket Amount’’ means, as of any date, an
                                                    R’’), an affiliate of the Osaka Securities Exchange                                                             Redemption of Baskets
                                                    that conducts self-regulatory functions on behalf of     amount equal to the product of the NAV per Share
                                                    the Osaka Securities Exchange, is a member of the        on such date and the number of Shares constituting        The procedures by which an
                                                    Intermarket Surveillance Group and information           a Basket on such date.                                 Authorized Participant can redeem one
                                                    relating to transactions in futures contracts traded       17 ‘‘Business Day’’ means any day other than (a)
                                                                                                                                                                    or more Baskets mirror the procedures
                                                    on the Osaka Securities Exchange is available            a Saturday or Sunday; (b) a day on which the
                                                    through JPX–R. See ‘‘Surveillance,’’ infra.              Exchange is closed for regular trading; (c) a day on   for the creation of Baskets. On any
                                                      15 ‘‘NAV of the Trust’’ means the total assets of      which any of he [sic] Adviser, the Processing Agent,   Eligible Business Day, an Authorized
                                                                                                             the Settlement Agent, the Trust Administrator, the     Participant may place an order with the
asabaliauskas on DSK3SPTVN1PROD with NOTICES




                                                    the Trust including all cash and cash equivalents
                                                    or other debt securities less total liabilities of the   Sponsor or the Trustee is authorized or required by    Processing Agent to redeem one or more
                                                    Trust, each determined on the basis of United States     law or regulation to remain closed; or (d) a day on
                                                    generally accepted accounting principles,                which the Federal Reserve wire transfer system is      Baskets. Redemption orders must be
                                                    consistently applied under the accrual method of         closed for cash wire transfers.                        placed by 1:15 p.m. (E.T.) or the close
                                                    accounting. In particular, NAV of the Trust includes       18 ‘‘Eligible Business Day’’ means any Business      of regular trading on the New York
                                                    any unrealized profit or loss on open forward            Day other than a Business Day which immediately        Stock Exchange, whichever is earlier
                                                    contracts and futures contracts, and any other credit    precedes two or more days on which there is no
                                                    or debit accruing to the Trust but unpaid or not         scheduled exchange trading session for one or more
                                                                                                                                                                    (‘‘Redemption Order Cutoff Time’’).
                                                    received by the Trust. ‘‘NAV per Share’’ means the       of the futures contracts purchased or sold, or that    Redemption orders received after the
                                                    Trust’s NAV per Share.                                   may be purchased or sold, by the Trust on such day.    Redemption Order Cutoff Time on an


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                                                    47454                          Federal Register / Vol. 81, No. 140 / Thursday, July 21, 2016 / Notices

                                                    Eligible Business Day, or on a day that                  (including the Sponsor’s Fee 19) will be                   the Trust pursuant to other principles
                                                    is not an Eligible Business Day will be                  calculated on the Adjusted Net Asset                       that it deems fair and equitable so long
                                                    treated as received on the next following                Value. The Sponsor will subtract the                       as those principles are consistent with
                                                    Eligible Business Day. A redemption                      fees so calculated from the Adjusted Net                   industry standards and are in
                                                    order so received will be effective on the               Asset Value of the Trust to determine                      compliance with all applicable
                                                    date it is received in satisfactory form by              the Trust’s NAV.                                           regulatory requirements. In this context,
                                                    the Processing Agent. The day on which                      The Sponsor will determine the NAV                      ‘‘extraordinary circumstances’’ includes,
                                                    the Processing Agent receives a valid                    per Share by dividing the NAV of the                       for example, periods during which a
                                                    redemption order is referred to as the                   Trust on a given day by the number of                      valuation price for a forward contract or
                                                    redemption order date.                                   Shares outstanding at the time the                         a settlement price of a futures contract
                                                                                                             calculation is made. The Sponsor will                      is not available due to force majeure-
                                                    Determination of the Redemption                          then determine the Basket Amount                           type events such as systems failure,
                                                    Deposit Amount                                           corresponding to that date by                              natural or man-made disaster, act of
                                                       The Redemption Deposit Amount                         multiplying the NAV by the number of                       God, armed conflict, act of terrorism,
                                                    from the Trust will consist of a transfer                Shares in a Basket (i.e., 100,000). The                    riot or labor disruption or any similar
                                                    to the redeeming Authorized Participant                  NAV and NAV per Share for each                             intervening circumstance or due to a
                                                    of an amount of cash that is in the same                 Business Day will be distributed                           trading disruption in the futures
                                                    proportion to the NAV of the Trust (net                  through major market data vendors and                      markets or in forward contracts or
                                                    of estimated accrued but unpaid fees,                    published online at                                        swaps or a trading or other restriction
                                                    expenses and other liabilities) on the                   www.artivestfunds.com, or any                              imposed by an exchange on which the
                                                    redemption order date as the number of                   successor thereto. The Sponsor will                        forward contract, futures contract or
                                                    Shares to be redeemed under the                          update the NAV and NAV per Share as                        swap is traded.
                                                    redemption order is in proportion to the                 soon as practicable after each
                                                                                                             subsequent NAV per Share is                                Availability of Information Regarding
                                                    total number of Shares outstanding on                                                                               the Shares
                                                    the redemption order date.                               calculated.
                                                                                                                The current market value of an open                        According to the Registration
                                                    Delivery of the Redemption Deposit                       futures contract, whether traded on a                      Statement, the Adviser’s Web site,
                                                    Amount                                                   U.S. exchange or a non-U.S. exchange,                      which will be publicly accessible at no
                                                      The redemption distribution due from                   will be determined by the Trust                            charge, will contain the following
                                                    the Trust will be delivered to the                       Administrator based upon the                               information: (a) The daily NAV of the
                                                    Authorized Participant on the                            settlement price for such futures                          Trust, the daily NAV per Share, the
                                                    Redemption Settlement Date if the                        contract traded on the applicable                          prior business day’s NAV per Share and
                                                    Trust’s DTC account has been credited                    exchange on the date with respect to                       the reported daily closing price; (b) the
                                                                                                             which NAV is being determined;                             daily composition of the Disclosed
                                                    with the Baskets to be redeemed. If the
                                                                                                             provided that if such futures contract                     Portfolio, as defined in NYSE Arca
                                                    Trust’s DTC account has not been
                                                                                                             could not be liquidated on such day,                       Equities Rule 8.700(c)(2); 20 (c) the
                                                    credited with all of the Baskets to be
                                                                                                             due to the operation of daily limits (if                   midpoint of the bid-ask price in relation
                                                    redeemed by 6:00 p.m. (E.T.) of such
                                                                                                             applicable) or other rules, procedures or                  to the NAV per Share as of the time the
                                                    date, the redemption distribution will
                                                                                                             actions of the exchange upon which that                    NAV per Share is calculated (the ‘‘Bid-
                                                    be delivered to the extent of whole
                                                                                                             position is traded or otherwise, the                       Ask Price’’); (d) the calculation of the
                                                    Baskets received.
                                                                                                             settlement price on the most recent day                    premium or discount of such price
                                                    Computation of the Trust’s NAV                           on which the position could have been                      against such NAV per Share; (e) the bid-
                                                                                                             liquidated may be the basis for                            ask price of Shares determined using the
                                                       According to the Registration
                                                                                                             determining the market value of the                        highest bid and lowest offer as of the
                                                    Statement, on each Business Day, as
                                                                                                             position for that day.                                     time of calculation of the NAV; (f) data
                                                    soon as practicable after the close of                      The current market value of all Short-                  in chart form displaying the frequency
                                                    regular trading of the Shares on the                     Term Securities that have not yet                          distribution of discounts and premiums
                                                    Exchange (normally 4:00 p.m. E.T.), the                  matured will be determined by the Trust                    of the Bid-Ask Price against the NAV,
                                                    Sponsor will determine the NAV of the                    Administrator based upon the current                       within appropriate ranges for each of
                                                    Trust, the NAV per Share and the Basket                  market prices for such securities;                         the four (4) previous calendar quarters;
                                                    Amount as of that date.                                  provided that if current market prices                     (g) the current prospectus of the Trust,
                                                       On each day on which the Sponsor                      are not available, then the current                        included in the Registration Statement;
                                                    must determine the NAV of the Trust,                     market value will be based on the                          and (h) other applicable quantitative
                                                    the NAV per Share and the Basket                         amortized value for such securities.                       information.
                                                    Amount, the Trust Administrator will                        The current market value of all open                       On a daily basis, the Trust will
                                                    value all assets in the Portfolio and                    forward contracts and swaps will be                        disclose on its Web site
                                                    communicate that valuation to the                        based upon the prices determined by                        (www.artivestfunds.com) for each
                                                    Sponsor for use by the Sponsor in the                    the Trust Administrator utilizing data                     futures contract, forward contract, swap
                                                    determination of the Trust’s NAV. The                    from an internationally recognized                         or other financial instrument in the
                                                    Sponsor will subtract the Trust’s                        valuation service for those types of                       Disclosed Portfolio the following
                                                    accrued fees (other than fees computed                   assets.                                                    information: name, ticker symbol (if
asabaliauskas on DSK3SPTVN1PROD with NOTICES




                                                    by reference to the value of the Trust or                   The Sponsor may in its discretion                       applicable), number of shares or dollar
                                                    its assets), accrued expenses and other                  (and, under extraordinary                                  value, percentage weighting, the
                                                    liabilities on that day from the value of                circumstances, will) value any asset of
                                                    the Trust’s assets as of the time of                                                                                  20 NYSE Arca Equities Rule 8.700(c)(2) provides

                                                    calculation on that Business Day. The                         19 ‘‘Sponsor’s
                                                                                                                              Fee’’ means an allocation to be paid      that the term ‘‘Disclosed Portfolio’’ means ‘‘the
                                                    result is the Trust’s ‘‘Adjusted Net Asset               by the Trust to the Sponsor monthly in arrears and         identities and quantities of the securities and other
                                                                                                             will accrue daily at an annualized rate equal to a         assets held by the Trust that will form the basis for
                                                    Value.’’ Fees computed by reference to                   certain percentage of the Adjusted Net Asset Value         the Trust’s calculation of net asset value at the end
                                                    the value of the Trust or its assets                     of the Trust.                                              of the business day’’.



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                                                                                   Federal Register / Vol. 81, No. 140 / Thursday, July 21, 2016 / Notices                                                      47455

                                                    underlying assets (if applicable), and the               8.700 for initial and continued listing of               Shares will be subject to NYSE Arca
                                                    expiration date (if applicable). The Web                 the Shares.                                              Equities Rule 8.700(e)(2)(D), which sets
                                                    site information will be publicly                           The anticipated minimum number of                     forth circumstances under which
                                                    available at no charge. In addition, price               Shares to be outstanding at the start of                 trading in the Shares may be halted.
                                                    information for the futures contracts,                   trading will be 100,000 Shares. The
                                                                                                             Exchange believes that this anticipated                     In addition, if the Exchange becomes
                                                    forward contracts, swaps and other
                                                                                                             minimum number of Shares to be                           aware that the NAV, the NAV per Share
                                                    financial instruments held by the Trust
                                                                                                             outstanding at the start of trading is                   and/or the Disclosed Portfolio with
                                                    will be available through major market
                                                                                                             sufficient to provide adequate market                    respect to a series of Managed Trust
                                                    data vendors and/or the exchange on
                                                    which they are listed and traded, as                     liquidity and to further the objectives of               Securities is not disseminated to all
                                                    applicable.                                              the Trust. The Exchange represents that,                 market participants at the same time, it
                                                       As noted above, the Trust’s NAV and                   for the initial and continued listing of                 will halt trading in such series until
                                                    the NAV per Share will be calculated                     the Shares, the Trust must be in                         such time as the NAV, the NAV per
                                                    and disseminated daily.21 The Exchange                   compliance with NYSE Arca Equities                       Share and/or the Disclosed Portfolio is
                                                    will disseminate for the Trust on a daily                Rule 5.3 and Rule 10A–3 under the                        available to all market participants.
                                                    basis by means of the Consolidated Tape                  Exchange Act.23
                                                                                                                                                                      Surveillance
                                                    Association (the ‘‘CTA’’) high-speed line                Trading Rules
                                                    information with respect to the recent                                                                               The Exchange represents that trading
                                                    NAV per Share, the number of Shares                         Under NYSE Arca Equities Rule
                                                                                                                                                                      in the Shares will be subject to the
                                                    outstanding and the Basket Amount.                       8.700(b), Managed Trust Securities are
                                                                                                                                                                      existing trading surveillances
                                                    The Exchange also will make available                    included within the Exchange’s
                                                                                                             definition of ‘‘securities.’’ The Exchange               administered by the Exchange, as well
                                                    on its Web site daily trading volume,                                                                             as cross-market surveillances
                                                                                                             deems the Shares to be equity securities,
                                                    closing prices and the NAV per Share.                                                                             administered by the Financial Industry
                                                                                                             thus rendering trading in the Shares
                                                       Pricing for futures contracts will be                                                                          Regulatory Authority (‘‘FINRA’’) on
                                                                                                             subject to the Exchange’s existing rules
                                                    available from the relevant exchange on                                                                           behalf of the Exchange, which are
                                                                                                             governing the trading of equity
                                                    which such futures contracts trade and                                                                            designed to detect violations of
                                                                                                             securities. Commentary .02 to NYSE
                                                    pricing for forward contracts and swaps                                                                           Exchange rules and applicable federal
                                                                                                             Arca Equities Rule 8.700 provides that
                                                    will be available from major market data                                                                          securities laws.24 The Exchange
                                                                                                             transactions in Managed Trust
                                                    vendors. Price information for Short-                                                                             represents that these procedures are
                                                                                                             Securities will occur during the trading
                                                    Term Securities will be available from                                                                            adequate to properly monitor Exchange
                                                                                                             hours specified in NYSE Arca Equities
                                                    major market data vendors.                                                                                        trading of the Shares in all trading
                                                                                                             Rule 7.34. Therefore, in accordance with
                                                       The Intraday Indicative Value (the
                                                                                                             NYSE Arca Equities Rule 7.34, the                        sessions and to deter and detect
                                                    ‘‘IIV’’) will be widely disseminated by
                                                                                                             Shares will trade on the NYSE Arca                       violations of Exchange rules and
                                                    one or more major market data vendors
                                                                                                             Marketplace from 4:00 a.m. to 8:00 p.m.                  applicable federal securities laws.
                                                    at least every 15 seconds during the
                                                                                                             E.T. The Exchange has appropriate rules                     The surveillances referred to above
                                                    Exchange’s Core Trading Session (as
                                                                                                             to facilitate transactions in the Shares                 generally focus on detecting securities
                                                    defined under NYSE Arca Equities Rule
                                                                                                             during all trading sessions. As provided                 trading outside their normal patterns,
                                                    7.34).22
                                                                                                             in NYSE Arca Equities Rule 7.6, the
                                                       Information regarding market price                                                                             which could be indicative of
                                                                                                             minimum price variation (‘‘MPV’’) for
                                                    and trading volume of the Shares will be                                                                          manipulative or other violative activity.
                                                                                                             quoting and entry of orders in equity
                                                    continually available on a real-time                                                                              When such situations are detected,
                                                                                                             securities traded on the NYSE Arca
                                                    basis throughout the day on brokers’                                                                              surveillance analysis follows and
                                                                                                             Marketplace is $0.01, with the exception
                                                    computer screens and other electronic                                                                             investigations are opened, where
                                                                                                             of securities that are priced less than
                                                    services. The previous day’s closing                                                                              appropriate, to review the behavior of
                                                                                                             $1.00 for which the MPV for order entry
                                                    price and trading volume information                                                                              all relevant parties for all relevant
                                                                                                             is $0.0001.
                                                    for the Shares will be published daily in                                                                         trading violations.
                                                    the financial section of newspapers.                     Trading Halts
                                                                                                                                                                         The Exchange or FINRA, on behalf of
                                                    Quotation and last sale information for                    With respect to trading halts, the                     the Exchange, or both, will
                                                    the Shares will be available via the CTA                 Exchange may consider all relevant                       communicate as needed regarding
                                                    high-speed line.                                         factors in exercising its discretion to                  trading in the Shares and certain futures
                                                       The current trading price per Share                   halt or suspend trading in the Shares.
                                                    will be published continuously as trades                                                                          contracts with other markets or other
                                                                                                             Trading in the Shares will be halted if                  entities that are members of the ISG, and
                                                    occur throughout each trading day                        the circuit breaker parameters under
                                                    through CTA, or through major market                                                                              the Exchange or FINRA, on behalf of the
                                                                                                             NYSE Arca Equities Rule 7.12 are                         Exchange, or both, [sic] may obtain
                                                    data vendors.                                            reached. Trading may also be halted                      trading information regarding trading in
                                                    Criteria for Initial and Continued Listing               because of market conditions or for
                                                                                                                                                                      the Shares and certain futures contracts
                                                                                                             reasons that, in the view of the
                                                      The Trust will be subject to the                                                                                from such markets or entities. In
                                                                                                             Exchange, make trading in the Shares
                                                    criteria in NYSE Arca Equities Rule                                                                               addition, the Exchange may obtain
                                                                                                             inadvisable. These may include: (1) The
                                                                                                             extent to which trading is not occurring                 information regarding trading in the
asabaliauskas on DSK3SPTVN1PROD with NOTICES




                                                       21 The Exchange will obtain a representation from
                                                                                                             in the underlying futures contracts,                     Shares and certain futures contracts
                                                    the Trust that the NAV and the NAV per Share will                                                                 from markets or other entities that are
                                                    be calculated daily and that the NAV, the NAV per        forward contracts or swaps, or (2)
                                                    Share and the composition of the Disclosed               whether other unusual conditions or                      members of ISG or with which the
                                                    Portfolio will be made available to all market           circumstances detrimental to the
                                                    participants at the same time.                                                                                      24 FINRA conducts cross-market surveillances on
                                                       22 Currently, it is the Exchange’s understanding
                                                                                                             maintenance of a fair and orderly
                                                                                                                                                                      behalf of the Exchange pursuant to a regulatory
                                                    that several major market data vendors widely            market are present. Trading in the                       services agreement. The Exchange is responsible for
                                                    disseminate IIVs taken from the CTA high-speed                                                                    FINRA’s performance under this regulatory services
                                                    line or other data feeds.                                     23 17   CFR 240.10A–3.                              agreement.



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                                                    47456                          Federal Register / Vol. 81, No. 140 / Thursday, July 21, 2016 / Notices

                                                    Exchange has in place a comprehensive                    during the opening and late trading                        example, a particular futures contract
                                                    surveillance sharing agreement.25                        sessions when an updated IIV will not                      may not exist or may trade only on an
                                                       Not more than 10% of the net assets                   be calculated or publicly disseminated;                    exchange that has not yet been approved
                                                    of the Fund in the aggregate invested in                 and (6) trading information. In addition,                  by the issuer); or (2) there are position
                                                    futures contracts shall consist of futures               the Bulletin will reference that the Trust                 limits, price limits or accountability
                                                    contracts whose principal market is not                  is subject to various fees and expenses                    limits on futures contracts. In addition,
                                                    a member of ISG or is a market with                      described in the Registration Statement.                   an issuer of Managed Trust Securities
                                                    which the Exchange does not have a                          The Bulletin also will reference the                    would invest in exchange-traded swaps
                                                    comprehensive surveillance sharing                       fact that there is no regulated source of                  before investing in centrally cleared
                                                    agreement.                                               last sale information regarding physical                   swaps and would invest in centrally
                                                       In addition, the Exchange also has a                  commodities and many of the asset                          cleared swaps before investing in
                                                    general policy prohibiting the                           classes that the Trust may hold and that                   uncleared swaps. The use of exchange-
                                                    distribution of material, non-public                     the Commission has no jurisdiction over                    traded swaps and centrally cleared
                                                    information by its employees.                            the trading of certain futures contracts.                  swaps before uncleared swaps would
                                                       All statements and representations                       The Bulletin also will discuss any                      protect investors because exchange-
                                                    made in this filing regarding (a) the                    exemptive, no-action and interpretive                      traded swaps and centrally cleared
                                                    description of the Portfolio, (b)                        relief granted by the Commission from                      swaps provide more transparency. More
                                                    limitations on portfolio holdings or                     any rules under the Exchange Act. The                      importantly, swaps are subject to a strict
                                                    reference assets, or (c) the applicability               Bulletin also will disclose that the NAV                   regulatory framework, including margin
                                                    of Exchange rules and surveillance                       and NAV per Share will be calculated                       requirements (initial and variation) and
                                                    procedures shall constitute continued                    after 4:00 p.m. E.T. each trading day.                     record keeping requirements. No more
                                                    listing requirements for listing the                                                                                than 20% of the Trust’s Portfolio may be
                                                    Shares on the Exchange.                                  2. Statutory Basis
                                                                                                                                                                        invested, on both an initial and an
                                                       The Trust has represented to the                         The basis under the Exchange Act for
                                                                                                                                                                        ongoing basis, in OTC swaps.
                                                    Exchange that it will advise the                         this proposed rule change is the
                                                                                                             requirement under Section 6(b)(5) 26                       Furthermore, the Trust is a regulated
                                                    Exchange of any failure by the Trust to
                                                                                                             that an exchange have rules that are                       entity subject to registration
                                                    comply with the continued listing
                                                                                                             designed to prevent fraudulent and                         requirements, ongoing compliance
                                                    requirements, and, pursuant to its
                                                                                                             manipulative acts and practices, to                        requirements and regulatory oversight
                                                    obligations under Section 19(g)(1) of the
                                                                                                             promote just and equitable principles of                   by the CFTC and the National Futures
                                                    Exchange Act, the Exchange will
                                                                                                             trade, to remove impediments to, and                       Association (NFA).
                                                    monitor for compliance with the
                                                    continued listing requirements. If the                   perfect the mechanism of a free and                           The Exchange believes that the
                                                    Trust is not in compliance with the                      open market and, in general, to protect                    proposed rule change is designed to
                                                    applicable listing requirements, the                     investors and the public interest.                         prevent fraudulent and manipulative
                                                    Exchange will commence delisting                            In permitting the use of specified                      acts and practices because the Shares
                                                    procedures under NYSE Arca Equities                      swaps, the proposed amendment to                           will be listed and traded on the
                                                    Rule 5.5(m).                                             NYSE Arca Equities Rule 8.700 would                        Exchange pursuant to the initial and
                                                                                                             provide additional flexibility to an                       continued listing criteria in NYSE Arca
                                                    Information Bulletin                                     issuer of Managed Trust Securities                         Equities Rule 8.700. The Exchange has
                                                       Prior to the commencement of                          seeking to achieve a trust’s investment                    in place surveillance procedures that are
                                                    trading, the Exchange will inform its                    objective. For example, because the                        adequate to properly monitor trading in
                                                    ETP Holders (as defined under NYSE                       markets for certain futures contracts                      the Shares in all trading sessions and to
                                                    Arca Equities Rule 1.1(n)) in an                         may be unavailable or cost prohibitive                     deter and detect violations of Exchange
                                                    Information Bulletin (‘‘Bulletin’’) of the               as compared to derivative instruments,                     rules and applicable federal securities
                                                    special characteristics and risks                        suitable derivative transactions may be                    laws. The Exchange may obtain
                                                    associated with trading the Shares.                      an efficient alternative for an issuer of                  information via the ISG from other
                                                    Specifically, the Bulletin will discuss                  Managed Trust Securities to obtain the                     exchanges that are members of the ISG
                                                    the following: (1) The procedures for                    desired asset exposure. Additionally,                      or with which the Exchange has entered
                                                    purchases and redemptions of Shares in                   swaps would allow parties to replicate                     into a comprehensive surveillance
                                                    Baskets (and that Shares are not                         desired returns while eliminating the                      sharing agreement. The Trust will only
                                                    individually redeemable); (2) NYSE                       costs associated with acquiring or                         enter into foreign currency forward
                                                    Arca Equities Rule 9.2(a), which                         holding the underlying asset. As such,                     contracts related to foreign currencies
                                                    imposes a duty of due diligence on its                   the increased flexibility afforded by the                  that have significant foreign exchange
                                                    ETP Holders to learn the essential facts                 ability of an issuer of Managed Trust                      turnover and are included in the BIS
                                                    relating to every customer prior to                      Securities to use derivatives may                          Survey. Specifically, the Trust may
                                                    trading the Shares; (3) the requirement                  enhance investor returns by facilitating                   enter into foreign currency forward
                                                    that ETP Holders deliver a prospectus to                 the ability to more economically seek its                  contracts that provide exposure to such
                                                    investors purchasing newly issued                        investment objective, thereby reducing                     currencies, selected from the top 40
                                                    Shares prior to or concurrently with the                 the costs incurred by such issuer.                         currencies (as measured by percentage
                                                    confirmation of a transaction; (4) how                      The use of swaps by the Trust is                        share of average daily turnover for the
                                                    information regarding the IIV and the                    consistent with the protection of                          applicable month and year) included in
asabaliauskas on DSK3SPTVN1PROD with NOTICES




                                                    Disclosed Portfolio is disseminated; (5)                 investors because swaps would only be                      the BIS Survey. The NAV of the Trust,
                                                    the risks involved in trading the Shares                 used in certain limited circumstances.                     the NAV per Share and the Disclosed
                                                                                                             Swaps would only be used by the Trust                      Portfolio will be disseminated to all
                                                      25 For a list of the current members of ISG, see
                                                                                                             when (1) futures contracts are not                         market participants at the same time.
                                                    www.isgportal.org. The Exchange notes that not all       available or market conditions do not                      The Trust will provide Web site
                                                    components of the Disclosed Portfolio for the Fund
                                                    may trade on markets that are members of ISG or          permit investing in futures contracts (for                 disclosure of portfolio holdings daily.
                                                    with which the Exchange has in place a                                                                              The IIV per Share (quoted in U.S.
                                                    comprehensive surveillance sharing agreement.                 26 15   U.S.C. 78f(b)(5).                             dollars) will be widely disseminated at


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                                                                                   Federal Register / Vol. 81, No. 140 / Thursday, July 21, 2016 / Notices                                                 47457

                                                    least every 15 seconds during the                        enhance competition among market                      Electronic Comments
                                                    Exchange’s Core Trading Session by                       participants, to the benefit of investors
                                                    major market data vendors. Pricing for                   and the marketplace. As noted above,                    • Use the Commission’s Internet
                                                    futures contracts will be available from                 the Exchange has in place surveillance                comment form (http://www.sec.gov/
                                                    the relevant exchange on which such                      procedures relating to trading in the                 rules/sro.shtml); or
                                                    futures contracts trade and pricing for                  Shares and may obtain information via                   • Send an email to rule-comments@
                                                    forward contracts and swaps will be                      the ISG from other exchanges that are                 sec.gov. Please include File Number SR–
                                                    available from major market data                         members of the ISG or with which the                  NYSEArca–2016–96 on the subject line.
                                                    vendors. Quotation and last-sale                         Exchange has entered into a
                                                    information regarding the Shares will be                 comprehensive surveillance sharing                    Paper Comments
                                                    disseminated through the CTA high-                       agreement. In addition, as noted above,
                                                    speed line.                                                                                                      • Send paper comments in triplicate
                                                                                                             investors will have ready access to
                                                       The proposed rule change is designed                                                                        to Secretary, Securities and Exchange
                                                                                                             information regarding the IIV and
                                                    to promote just and equitable principles                 quotation and last sale information for               Commission, 100 F Street NE.,
                                                    of trade and to protect investors and the                the Shares.                                           Washington, DC 20549–1090.
                                                    public interest given that a large amount                                                                      All submissions should refer to File
                                                    of information will be publicly available                B. Self-Regulatory Organization’s
                                                                                                             Statement on Burden on Competition                    Number SR–NYSEArca–2016–96. This
                                                    regarding the Trust and the Shares,
                                                                                                                                                                   file number should be included on the
                                                    thereby promoting market transparency.                      The Exchange does not believe that                 subject line if email is used. To help the
                                                    To the extent that the Trust invests in                  the proposed rule change will impose
                                                    futures contracts traded on foreign                                                                            Commission process and review your
                                                                                                             any burden on competition that is not                 comments more efficiently, please use
                                                    exchanges, not more than 10% of the                      necessary or appropriate in furtherance
                                                    weight of such futures contracts in the                                                                        only one method. The Commission will
                                                                                                             of the purposes of the Exchange Act.                  post all comments on the Commission’s
                                                    aggregate shall consist of futures
                                                                                                             The Exchange notes that the proposed                  Internet Web site (http://www.sec.gov/
                                                    contracts whose principal trading
                                                                                                             rule change will facilitate the listing and           rules/sro.shtml). Copies of the
                                                    market is not a member of the ISG or is
                                                                                                             trading of an additional type of actively-            submission, all subsequent
                                                    a market with which the Exchange does
                                                                                                             managed exchange-traded product that                  amendments, all written statements
                                                    not have a comprehensive surveillance
                                                                                                             will principally hold futures contracts,
                                                    sharing agreement. As provided in                                                                              with respect to the proposed rule
                                                                                                             swaps and forward contracts, and that
                                                    NYSE Arca Equities Rule 8.700(e)(2)(D),                                                                        change that are filed with the
                                                                                                             will enhance competition among market
                                                    the Exchange may halt trading during                                                                           Commission, and all written
                                                                                                             participants, to the benefit of investors
                                                    the day in which an interruption to the                                                                        communications relating to the
                                                    dissemination of the IIV occurs, or the                  and the marketplace.
                                                                                                                                                                   proposed rule change between the
                                                    value of the underlying futures contracts                C. Self-Regulatory Organization’s                     Commission and any person, other than
                                                    occurs. If the interruption to the                       Statement on Comments on the                          those that may be withheld from the
                                                    dissemination of the IIV or the value of                 Proposed Rule Change Received From                    public in accordance with the
                                                    the underlying futures contracts persists                Members, Participants, or Others                      provisions of 5 U.S.C. 552, will be
                                                    past the trading day in which it                                                                               available for Web site viewing and
                                                    occurred, the Exchange will halt trading                   No written comments were solicited
                                                                                                             or received with respect to the proposed              printing in the Commission’s Public
                                                    no later than the beginning of the
                                                                                                             rule change.                                          Reference Room, 100 F Street NE.,
                                                    trading day following the interruption.
                                                    If the Exchange becomes aware that the                                                                         Washington, DC 20549 on official
                                                                                                             III. Date of Effectiveness of the                     business days between the hours of
                                                    NAV, the NAV per Share and/or the                        Proposed Rule Change and Timing for
                                                    Disclosed Portfolio with respect to a                                                                          10:00 a.m. and 3:00 p.m. Copies of the
                                                                                                             Commission Action                                     filing also will be available for
                                                    series of Managed Trust Securities is not
                                                    disseminated to all market participants                    Within 45 days of the date of                       inspection and copying at the principal
                                                    at the same time, it will halt trading in                publication of this notice in the Federal             office of the Exchange. All comments
                                                    such series until such time as the NAV,                  Register or up to 90 days (i) as the                  received will be posted without change;
                                                    the NAV per Share and/or the Disclosed                   Commission may designate if it finds                  the Commission does not edit personal
                                                    Portfolio is available to all market                     such longer period to be appropriate                  identifying information from
                                                    participants. Trading in Shares of the                   and publishes its reasons for so finding              submissions. You should submit only
                                                    Trust will be halted if the circuit breaker              or (ii) as to which the self-regulatory               information that you wish to make
                                                    parameters under NYSE Arca Equities                      organization consents, the Commission                 available publicly. All submissions
                                                    Rule 7.12 have been reached or because                   will:                                                 should refer to File Number SR–
                                                    of market conditions or for reasons that,                  (A) By order approve or disapprove                  NYSEArca–2016–96 and should be
                                                    in the view of the Exchange, make                        the proposed rule change, or                          submitted on or before August 11, 2016.
                                                    trading in the Shares inadvisable.
                                                    Moreover, prior to the commencement                        (B) institute proceedings to determine                For the Commission, by the Division of
                                                    of trading, the Exchange will inform its                 whether the proposed rule change                      Trading and Markets, pursuant to delegated
                                                    ETP Holders in the Bulletin of the                       should be disapproved.                                authority.27
                                                                                                                                                                   Robert W. Errett,
asabaliauskas on DSK3SPTVN1PROD with NOTICES




                                                    special characteristics and risks                        IV. Solicitation of Comments
                                                    associated with trading the Shares.                                                                            Deputy Secretary.
                                                       The proposed rule change is designed                    Interested persons are invited to                   [FR Doc. 2016–17198 Filed 7–20–16; 8:45 am]
                                                    to perfect the mechanism of a free and                   submit written data, views, and                       BILLING CODE 8011–01–P
                                                    open market and, in general, to protect                  arguments concerning the foregoing,
                                                    investors and the public interest given                  including whether the proposed rule
                                                    that it will facilitate the listing and                  change is consistent with the Act.
                                                    trading of an additional type of                         Comments may be submitted by any of
                                                    exchange-traded product that will                        the following methods:                                  27 17   CFR 200.30–3(a)(12).



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Document Created: 2018-02-08 07:58:56
Document Modified: 2018-02-08 07:58:56
CategoryRegulatory Information
CollectionFederal Register
sudoc ClassAE 2.7:
GS 4.107:
AE 2.106:
PublisherOffice of the Federal Register, National Archives and Records Administration
SectionNotices
FR Citation81 FR 47447 

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