82 FR 39477 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change To List and Trade Shares of ProShares QuadPro Funds Under NYSE Arca Equities Rule 8.200

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 82, Issue 159 (August 18, 2017)

Page Range		39477-39484
FR Document		2017-17433

Federal Register, Volume 82 Issue 159 (Friday, August 18, 2017)

[Federal Register Volume 82, Number 159 (Friday, August 18, 2017)]
[Notices]
[Pages 39477-39484]
From the Federal Register Online [www.thefederalregister.org]
[FR Doc No: 2017-17433]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-81388; File No. SR-NYSEArca-2017-69]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change To List and Trade Shares of ProShares QuadPro
Funds Under NYSE Arca Equities Rule 8.200

August 14, 2017.
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 31, 2017, 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 and II
below, which Items have been prepared by the self-regulatory
organization. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

The Exchange proposes to list and trade shares of the following
under Commentary .02 to NYSE Arca Equities Rule 8.200 (``Trust Issued
Receipts''): ProShares QuadPro U.S. Large Cap Futures Long Fund;
ProShares QuadPro U.S. Large Cap Futures Short Fund; ProShares QuadPro
U.S. Small Cap Futures Long Fund; and ProShares QuadPro U.S. Small Cap
Futures Short Fund. 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, and basis for, the
proposed rule change and discussed any comments it received on the
proposed rule change. The text of those statements may be examined at
the places specified in Item IV below. The Exchange has prepared
summaries, set forth in sections A, B, and C below, of the most
significant parts of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule Change

1. Purpose
The Exchange proposes to list and trade shares (``Shares'') of the
following under Commentary .02 to NYSE Arca Equities Rule 8.200, which
governs the listing and trading of Trust Issued Receipts (``TIRs'')
\4\: ProShares QuadPro U.S. Large Cap Futures Long Fund; ProShares
QuadPro U.S. Large Cap Futures Short Fund; ProShares QuadPro U.S. Small
Cap Futures Long Fund; and ProShares QuadPro U.S. Small Cap Futures
Short Fund (each a ``Fund'' and, collectively, the ``Funds'').\5\
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\4\ Commentary .02 to NYSE Arca Equities Rule 8.200 applies to
TIRs that invest in ``Financial Instruments.'' The term ``Financial
Instruments,'' as defined in Commentary .02(b)(4) to NYSE Arca
Equities Rule 8.200, means any combination of investments, including
cash; securities; options on securities and indices; futures
contracts; options on futures contracts; forward contracts; equity
caps, collars and floors; and swap agreements.
\5\ The Trust is registered under the Securities Act of 1933. On
May 8, 2017, the Trust filed with the Commission a registration
statement on Form S-1 under the Securities Act of 1933 (15 U.S.C.
77a) (``Securities Act'') relating to the Funds (File No. 333-
217767) (the ``Registration Statement''). The description of the
operation of the Trust and the Funds herein is based, in part, on
the Registration Statement.
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Each of the Funds is a commodity pool that is a series of the
ProShares Trust II (``Trust''). The Funds' sponsor and commodity pool
operator is ProShare Capital Management LLC (the ``Sponsor''). Brown
Brothers Harriman & Co. is the Administrator, the Custodian and the
Transfer Agent of each Fund and its Shares. SEI Investments
Distribution Co. (``SEI'' or ``Distributor'') is the distributor for
the Funds' Shares.
Principal Investment Strategies of the Funds
ProShares QuadPro U.S. Large Cap Futures Long Fund and ProShares
QuadPro U.S. Large Cap Futures Short Fund (``Large Cap Futures Funds'')
According to the Registration Statement, the Large Cap Futures
Funds will seek results that correspond (before fees and expenses) to
four times (i.e., 4x) or four times the inverse (i.e., -4x),
respectively, of the return of Lead Month E-Mini S&P 500 Stock Price
Index Futures (``Large Cap Benchmark'' or ``Benchmark'') for a single
day.\6\ A ``single day'' is measured from the time a Fund calculates
its net asset value (``NAV'') to the time of a Fund's next NAV
calculation.
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\6\ The Large Cap Benchmark is the price on the Chicago
Mercantile Exchange (``CME'') of lead month (i.e., near-month or
next-to-expire) E-Mini S&P 500 Stock Price Index Futures Contracts.
Specifically, the Benchmark is the last traded price of such
contracts on the CME prior to the calculation of the Fund's net
asset value (``NAV''), which is typically calculated as of 4:00 p.m.
each day NYSE Arca is open for trading. The S&P 500 Index is a
float-adjusted, market capitalization-weighted index of 500 U.S.
operating companies and real estate investment trusts selected
through a process that factors in criteria such as liquidity, price,
market capitalization and financial viability. The CME Group is a
member of the Intermarket Surveillance Group (``ISG''). See note 20
[sic], infra.
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Under normal market conditions,\7\ each Large Cap Futures Fund will
attempt to gain leveraged or inverse leveraged exposure, as applicable,
to the Large Cap Benchmark primarily through investments in Lead Month
E-Mini S&P 500 Stock Price Index Futures.\8\ Each Large Cap Futures
Fund also may take positions in standard futures contracts on the S&P
500 Index (together with Lead Month E-Mini S&P 500 Stock Price Index
Futures, ``Large Cap Futures Contracts''). The ProShares QuadPro U.S.
Large Cap Futures Long Fund will

[[Page 39478]]

seek to achieve substantially all of this exposure by taking ``long''
positions in Large Cap Futures Contracts. Conversely, the ProShares
QuadPro U.S. Large Cap Futures Short Fund will seek to achieve
substantially all of this exposure by taking ``short'' positions in
Large Cap Futures Contracts.\9\
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\7\ The term ``normal market conditions'' includes, but is not
limited to, the absence of trading halts in the applicable financial
markets generally; operational issues (e.g., systems failure)
causing dissemination of inaccurate market information; or force
majeure type events such as natural or manmade disaster, act of God,
armed conflict, act of terrorism, riot or labor disruption or any
similar intervening circumstance.
\8\ According to the Registration Statement, an ``e-mini futures
contract'' is an electronically traded futures contract that
provides similar exposure, but with a lower dollar value, than a
standard futures contract. In addition, because of their lower
dollar value, e-mini futures contracts may permit the Funds to
maintain exposure more precisely in line with their current asset
levels. The dollar volume traded of e-mini futures contracts on the
S&P 500 Index far exceeds the dollar volume traded of standard
futures contracts on the S&P 500 Index. For example, during the
first quarter of 2017, the average daily volume--weighted average
price (``VWAP'') of e-mini futures contracts on the S&P 500 Index
was $167.5 billion while the average daily VWAP for standard
contracts during the same period was $306 million.
\9\ In general terms, to be ``long'' means to hold or have long
exposure to an asset in order to benefit from increases in the value
of such asset; to be ``short'' means to sell or have short exposure
to an asset in order to benefit from decreases in the value of such
asset.
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According to the Registration Statement, each Large Cap Futures
Fund will seek to engage in daily rebalancing to position its portfolio
so that its leveraged or inverse exposure to the Large Cap Benchmark is
consistent with such Fund's daily investment objective. The impact of
the Large Cap Benchmark's movements during the day will affect whether
a particular Fund's portfolio needs to be repositioned. For example, if
the Large Cap Benchmark underlying the ProShares QuadPro U.S. Large Cap
Futures Short Fund has risen on a given day, net assets of such Fund
should fall. As a result, such Fund's inverse exposure will need to be
decreased. Conversely, if the Large Cap Benchmark underlying such Fund
has fallen on a given day, net assets of such Fund should rise. As a
result, the Fund's inverse exposure will need to be increased. For the
ProShares QuadPro U.S. Large Cap Futures Long Fund, such Fund's long
exposure will need to be increased on days when the Large Cap Benchmark
rises and decreased on days when the Large Cap Benchmark falls. Daily
rebalancing and the compounding of each day's return over time means
that the return of each Fund for a period longer than a single day will
be the result of each day's returns compounded over the period, which
will very likely differ from four times (4x) or four times the inverse
(-4x), as applicable, of the return of a Fund's Benchmark for the same
period.
According to the Registration Statement, in the event position,
price or accountability limits are reached with respect to Futures
Contracts, the Sponsor, in its commercially reasonable judgment, may
cause each Fund to obtain exposure to the Large Cap Benchmark through
investment in swap transactions and forward contracts referencing such
Benchmark (``Large Cap Financial Instruments'').\10\ The Funds may also
invest in Large Cap Financial Instruments if the market for a specific
Futures Contract experiences emergencies (e.g., natural disaster,
terrorist attack or an act of God) or disruptions (e.g., a trading halt
or a flash crash) that prevent or make it impractical for a Fund from
obtaining the appropriate amount of investment exposure using Futures
Contracts (i.e., conditions other than normal market conditions). The
Funds do not intend to invest more than 25% of their respective net
assets in Large Cap Financial Instruments.
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\10\ Each Fund may use various techniques to minimize credit
risk. The Sponsor regularly reviews the performance of its
counterparties for, among other things, creditworthiness and
execution quality. In addition, the Sponsor periodically considers
the addition of new counterparties. The Funds will seek to mitigate
these risks in connection with the uncleared over-the-counter
(``OTC'') swaps and uncleared OTC forwards by generally requiring
that the counterparties for each Fund agree to post collateral for
the benefit of the Fund, marked to market daily, subject to certain
minimum thresholds; however, there are no limitations on the
percentage of its assets each Fund may invest in swap agreements or
forwards with a particular counterparty.
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According to the Registration Statement, because each Fund will
seek results that correspond to four times the performance or four
times the inverse, as applicable, of the Large Cap Benchmark for a
single day, an adverse Large Cap Benchmark move of 25 percent or more
could cause the NAV of a Fund to decline to zero and investors in a
Fund to lose the full value of their investment. Therefore, each Fund
will invest a limited portion of its assets (typically less than 5% of
its net assets at the time of purchase) in listed option contracts
designed to prevent a Fund's NAV from going to zero and allow a Fund to
recoup a small portion of the substantial losses that may result from
significant movements in the Large Cap Benchmark. Specifically, the
ProShares QuadPro U.S. Large Cap Futures Long Fund will hold CME-listed
``put'' options on e-mini or standard S&P 500 Index futures contracts
(which give the Fund the right to sell such contracts) and ProShares
QuadPro U.S. Large Cap Futures Short Fund will hold CME-listed ``call''
options on e-mini or standard S&P 500 Index futures contracts (which
give the Fund the right to buy futures contracts). Such put and call
options may be referred to herein as ``Large Cap Stop Options.'' If
CME-listed options are not readily available, a Fund may invest in OTC
options on Large Cap Future Contracts. This strategy will not prevent a
Fund from losing money, but is designed to permit a Fund to recover a
small percentage of its losses in the event of significant adverse
movement in a Fund's Benchmark.\11\
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\11\ A Fund's investments in Large Cap Futures Contracts,
together with its investments in Large Cap Financial Interests, if
any, may be referred to herein as the Fund's ``S&P 500 Interests.''
The ProShares QuadPro U.S. Large Cap Futures Long Fund will hold
listed put options with respect to all or substantially all of its
S&P 500 Interests with strike prices at approximately 75 percent of
the value of the applicable underlying S&P 500 Interests as of the
end of the preceding business day. The ProShares QuadPro U.S. Large
Cap Futures Short Fund will hold listed call options with respect to
all or substantially all of its S & P 500 Interests with strike
prices at approximately 125 percent of the value of the Fund's S&P
Interests as of the end of the preceding business day.
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Each Fund will invest the remainder of its un-invested assets in
cash and high-quality, short-term debt instruments that have terms-to-
maturity of less than 397 days, such as U.S. government securities and
repurchase agreements (``Money Market Instruments'').
In seeking to achieve each Fund's investment objective, the Sponsor
will use a mathematical approach to investing. Using this approach, the
Sponsor will determine the type, quantity and mix of investment
positions that the Sponsor believes, in combination, should produce
daily returns consistent with each Fund's objective. The Sponsor will
rely upon a pre-determined model to generate orders that result in
repositioning each Fund's investments in accordance with its respective
investment objective.
Each Fund generally will seek to remain fully invested at all times
in Futures Contracts, Large Cap Stop Options (as applicable), and Money
Market Instruments that, in combination, provide exposure to the Large
Cap Benchmark consistent with its investment objective without regard
to market conditions, trends or direction.
ProShares QuadPro U.S. Small Cap Futures Long Fund and ProShares
QuadPro U.S. Small Cap Futures Short Fund (``Small Cap Futures Funds'')
According to the Registration Statement, the Small Cap Futures
Funds will seek results that correspond (before fees and expenses) to
four times (i.e., 4X) or four times the inverse (i.e., -4X),
respectively, of the return of Lead Month Russell 2000 Index Mini
Futures (``Small Cap Benchmark'' or ``Benchmark'') for a single
day.\12\ A ``single day'' is measured from the time

[[Page 39479]]

a Fund calculates its NAV to the time of a Fund's next NAV calculation.
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\12\ The Small Cap Benchmark is the price on the CME of lead
month (i.e., near-month or next-to-expire) Russell 2000 Index Mini
Futures Contracts. Specifically, the Benchmark is the last traded
price of such contracts on the CME prior to the calculation of the
Fund's NAV, which is typically calculated as of 4:00 p.m. each day
NYSE Arca is open for trading. The Russell 2000 Index is a float-
adjusted, market capitalization-weighted index containing
approximately 2000 of the smallest companies in the Russell 3000
Index, or approximately 8% of the total market capitalization of the
Russell 3000 Index, which in turn represents approximately 98% of
the investable U.S. equity market.
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Under normal market conditions,\13\ each Small Cap Futures Fund
will attempt to gain leveraged or inverse exposure, as applicable, to
the Small Cap Benchmark primarily through investments in Lead Month E-
Mini Russell 2000 Index Futures \14\ (``Small Cap Futures Contracts'')
(Large Cap Futures Contracts and Small Cap Futures Contracts,
collectively, are referred to herein as ``Futures Contracts''). The
ProShares QuadPro U.S. Small Cap Futures Long Fund will seek to achieve
substantially all of this exposure by taking ``long'' positions in
Small Cap Futures Contracts. Conversely, the ProShares QuadPro U.S.
Small Cap Futures Short Fund will seek to achieve substantially all of
this exposure by taking ``short'' positions in Small Cap Futures
Contracts.
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\13\ See note 7, supra.
\14\ As noted herein, an ``e-mini futures contract'' is an
electronically traded futures contract that provides similar
exposure, but with a lower dollar value, than a standard futures
contract. In addition, because of their lower dollar value, e-mini
futures contracts may permit the Funds to maintain exposure more
precisely in line with their current asset levels. During the first
quarter of 2017, the average daily VWAP of e-mini futures contracts
on the Russell 2000 Index was $9.5 billion. Standard futures
contracts on the Russell 2000 Index were not available during this
period.
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According to the Registration Statement, each Small Cap Futures
Fund will seek to engage in daily rebalancing to position its portfolio
so that its leveraged or inverse exposure to the Small Cap Benchmark is
consistent with such Fund's daily investment objective. The impact of
the Small Cap Benchmark's movements during the day will affect whether
a particular Fund's portfolio needs to be repositioned. For example, if
the Small Cap Benchmark underlying the ProShares QuadPro U.S. Small Cap
Futures Short Fund has risen on a given day, net assets of such Fund
should fall. As a result, such Fund's inverse exposure will need to be
decreased. Conversely, if the Small Cap Benchmark underlying such Fund
has fallen on a given day, net assets of such Fund should rise. As a
result, the Fund's inverse exposure will need to be increased. For the
ProShares QuadPro U.S. Small Cap Futures Long Fund, such Fund's long
exposure will need to be increased on days when the Small Cap Benchmark
rises and decreased on days when the Small Cap Benchmark falls. Daily
rebalancing and the compounding of each day's return over time means
that the return of each Fund for a period longer than a single day will
be the result of each day's returns compounded over the period, which
will very likely differ from four times (4x) or four times the inverse
(-4x), as applicable, of the return of the Small Cap Benchmark for the
same period.
According to the Registration Statement, in the event position,
price or accountability limits are reached with respect to Small Cap
Futures Contracts, the Sponsor, in its commercially reasonable
judgment, may cause each Fund to obtain exposure to the Small Cap
Benchmark through investment in swap transactions and forward contracts
referencing such Benchmark (``Small Cap Financial Instruments'',
together with Large Cap Financial Instruments, ``Financial
Instruments''). The Funds may also invest in Small Cap Financial
Instruments if the market for a specific Small Cap Futures Contract
experiences emergencies (e.g., natural disaster, terrorist attack or an
act of God) or disruptions (e.g., a trading halt or a flash crash) that
prevent or make it impractical for a Fund from obtaining the
appropriate amount of investment exposure using Small Cap Futures
Contracts (i.e., conditions other than normal market conditions). The
Funds do not intend to invest more than 25% of their respective net
assets in Small Cap Financial Instruments.
According to the Registration Statement, because each Fund will
seek results that correspond to four times the performance or four
times the inverse of the Small Cap Benchmark for a single day, an
adverse Small Cap Benchmark move of 25 percent or more could cause the
NAV of a Fund to decline to zero and investors in a Fund to lose the
full value of their investment. Therefore, each Fund will invest a
limited portion of its assets (typically less than 5% of its net assets
at the time of purchase) in listed option contracts designed to prevent
a Fund's NAV from going to zero and allow a Fund to recoup a small
portion of the substantial losses that may result from significant
movements in its Benchmark. Specifically, the ProShares QuadPro U.S.
Small Cap Futures Long Fund will hold CME- listed ``put'' options on
mini Russell 2000 Index futures contracts (which give the Fund the
right to sell such contracts) and ProShares QuadPro U.S. Small Cap
Futures Short Fund will hold CME-listed ``call'' options on mini
Russell 2000 Index futures contracts (which give the Fund the right to
buy such contracts). Such put and call options are referred to herein
as ``Small Cap Stop Options.'' (Large Cap Stop Options and Small Cap
Stop Options, collectively, are referred to herein as ``Stop
Options.'') If CME-listed options are not readily available, a Fund may
invest in OTC options on Small Cap Futures Contracts. This strategy
will not prevent a Fund from losing money, but is designed to permit a
Fund to recover a small percentage of its losses in the event of
significant adverse movement in a Fund's Benchmark.\15\
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\15\ A Fund's investments in Small Cap Futures Contracts,
together with its investments in Small Cap Financial Interests, if
any, may be referred to herein as the Fund's ``Russell 2000
Interests.'' The ProShares QuadPro U.S. Small Cap Futures Long Fund
will hold put options with respect to all or substantially all of
its Russell 2000 Interests with strike prices at approximately 75
percent of the value of the applicable underlying Russell 2000
Interests as of the end of the preceding business day. The ProShares
QuadPro U.S. Small Cap Futures Short Fund will hold call options
with respect to all or substantially all of its Russell 2000
Interests with strike prices at approximately 125 percent of the
value of the Fund's Russell 2000 Interests as of the end of the
preceding business day.
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Each Fund will invest the remainder of its un-invested assets in
Money Market Instruments.
In seeking to achieve a Fund's investment objective, the Sponsor
will use a mathematical approach to investing. Using this approach, the
Sponsor will determine the type, quantity and mix of investment
positions that the Sponsor believes, in combination, should produce
daily returns consistent with each Fund's objective. The Sponsor will
rely upon a pre-determined model to generate orders that result in
repositioning each Fund's investments in accordance with its respective
investment objective.
Each Fund generally will seek to remain fully invested at all times
in Small Cap Futures Contracts, Small Cap Stop Options (as applicable),
and Money Market Instruments that, in combination, provide exposure to
the Small Cap Benchmark consistent with its investment objective
without regard to market conditions, trends or direction.
Characteristics of Futures Contracts
According to the Registration Statement, a key feature of Futures
Contracts is that they specify a delivery date for the underlying
reference asset or the payment of its cash equivalent. As a result, the
composition of each Fund's Benchmark will change from time to time as
the delivery date for its component Futures Contracts is reached. Under
the current rules applicable to each Benchmark, Futures Contracts that
have reached their delivery date will be dropped from the Benchmark and
replaced with the later-expiring contracts (sometimes referred to as
the ``deferred month'' contracts). This process typically takes place
over a number of days, during which period the Benchmark may consist of
both the

[[Page 39480]]

``lead month'' contracts exiting the Benchmark and the ``deferred
month'' contracts being added to the Benchmark (which then become the
new ``lead month'' contracts). In such instances, each Fund's portfolio
investments will be changed accordingly. The Funds will not take
delivery of the reference assets underlying their respective
Benchmarks. Instead, each Fund intends to ``roll'' its Futures
Contracts as they approach their delivery dates. To ``roll'' a Futures
Contract means to sell a Futures Contract as it nears its delivery date
and replace it with a new Futures Contract that has a later delivery
date. Each Fund will ``roll'' its Futures Contracts in a manner
designed to reflect the changes in its Benchmark while minimizing
transaction costs and market impact. The anticipated ``roll'' date for
each Fund's Benchmark will be posted on the Funds' Web site at
www.proshares.com.
Net Asset Value
According to the Registration Statement, the NAV in respect of a
Fund means the total assets of that Fund less the total liabilities of
such Fund, consistently applied under the accrual method of accounting.
The NAV of each Fund will include any unrealized profit or loss on a
Fund's investments (including Money Market Instruments) and any other
credit or debit accruing to a Fund but unpaid or not received by a
Fund. The NAV per Share of a Fund will be computed by dividing the
value of the net assets of such Fund (i.e., the value of its total
assets less total liabilities) by its total number of Shares
outstanding. Expenses and fees will be accrued daily and taken into
account for purposes of determining the NAV. Each Fund's NAV will be
calculated on each day other than a day when the Exchange is closed for
regular trading. The Funds will compute their NAV as of 4:00 p.m.
(E.T.) (the ``NAV Calculation Time'') or an earlier time as set forth
on www.proshares.com, if necessitated by the New York Stock Exchange
(``NYSE''), the Exchange or other exchange material to the valuation or
operation of such Fund closing early. Each Fund's NAV will be
calculated only once each trading day.
Futures Contracts and Stop Options will be valued at their then-
current market value, which typically is the last traded price prior to
the NAV Calculation Time on the date for which the NAV is being
determined. If a Futures Contract or Stop Option could not be
liquidated on such day, due to the operation of daily limits or other
rules of the exchange upon which that position is traded or otherwise,
the Sponsor may, in its sole discretion, choose to determine a fair
value price as the basis for determining the market value of such
position for such day. Such fair value prices would generally be
determined based on available inputs about the current value of the
underlying reference assets and would be based on principles that the
Sponsor deems fair and equitable so long as such principles are
consistent with normal industry standards.
In calculating the NAV of a Fund, the value of a Fund's non-
exchange traded Financial Instruments, if any, will be determined by
the applicable contract governing such Financial Instrument(s).
Typically, this is determined by applying the Fund's Benchmark closing
value to the terms of such non-exchange traded Financial Instrument.
However, in the event that the Futures Contracts underlying a Benchmark
are not trading due to the operation of daily limits or otherwise, the
Sponsor may, in its sole discretion, choose to fair value a Fund's non-
exchange traded Financial Instruments for purposes of the NAV
calculation. Such fair value prices would generally be determined based
on available inputs about the current value of the Futures Contracts
underlying a Benchmark and would be based on principles that the
Sponsor deems fair and equitable so long as such principles are
consistent with normal industry standards.
Money Market Instruments generally will be valued using market
prices provided by third party market data provider(s) or at amortized
cost.
Indicative Optimized Portfolio Value (``IOPV'')
The IOPV will be an indicator of the value of a Fund's net assets
at the time the IOPV is disseminated. The IOPV will be calculated and
disseminated every 15 seconds during the Exchange's Core Trading
Session (normally, 9:30 a.m. to 4:00 p.m., Eastern Time (``E.T.''). The
IOPV of a Fund will generally be calculated using the NAV of the prior
day's closing portfolio as a base and updating this amount throughout
the trading day to reflect changes in the value of the Futures
Contracts, Money Market Instruments and other investments, if any, held
by a Fund.
For IOPV calculation purposes, Futures Contracts will be valued
using their most recent quoted price during the trading day, for as
long as the main pricing mechanism of the CME is open.
Futures Contracts may be valued intraday using the main
pricing mechanism of the CME or through another proxy as determined to
be appropriate by the third party market data provider.
Swaps and forward contracts may be valued intraday using
the intra-day value of the Large Cap Benchmark, or Small Cap Benchmark,
as applicable, or another proxy as determined to be appropriate by the
third party market data provider.
Exchange-listed options may be valued intraday using the
relevant exchange data, or another proxy as determined to be
appropriate by the third party market data provider.
Over-the-counter options may be valued intraday through
option valuation models (e.g., Black-Scholes) or using exchange-traded
options as a proxy, or another proxy as determined to be appropriate by
the third party market data provider.
The IOPV will be disseminated on a per Share basis every 15 seconds
during the Exchange's Core Trading Session.\16\
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\16\ Several major market data vendors display and/or make
widely available IOPVs taken from the Consolidated Tape Association
(``CTA'') or other data feeds. In addition, circumstances may arise
in which the NYSE Arca Core Trading Session is in progress, but
trading in Futures Contracts is not occurring. Such circumstances
may result from reasons including, but not limited to, a futures
exchange having a separate holiday schedule than the NYSE Arca, a
futures exchange closing prior to the close of the NYSE Arca, price
fluctuation limits being reached in a Futures Contract, or a futures
exchange, imposing any other suspension or limitation on trading in
a Futures Contract. In such instances, for IOPV calculation
purposes, the price of the applicable Futures Contracts, as well as
Stop Options or Financial Instruments whose price is derived from
the Futures Contracts, would be static or priced by the Fund at the
applicable early cut-off time of the exchange trading the applicable
Futures Contract.
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The Exchange will disseminate the IOPV through the facilities of
the CTA high speed line. In addition, IOPV will be published on the
Exchange's Web site and will be available through on-line information
services such as Bloomberg and Reuters.
Creation and Redemption of Shares
According to the Registration Statement, each Fund will create and
redeem Shares from time to time in one or more ``Creation Units.'' A
Creation Unit is a block of 50,000 Shares of a Fund. The size of a
Creation Unit is subject to change.
On any ``Business Day'', an ``Authorized Participant'' may place an
order with the Distributor to create one or more Creation Units.\17\
For purposes of processing both purchase and redemption orders, a
``Business Day'' for each Fund means any day on which the NAV of such
Fund is determined.
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\17\ ``Authorized Participants'' will be the only persons that
may place orders to create and redeem Creation Units. An Authorized
Participant is an entity that has entered into an Authorized
Participant Agreement with the Trust and Sponsor.

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[[Page 39481]]

By placing a purchase order, an Authorized Participant agrees to
deposit cash with the Custodian of the Funds. The cash deposited will
be equal to the NAV of the number of Creation Unit(s) purchased. A
standard creation transaction fee is imposed to offset the transfer and
other transaction costs associated with the issuance of Creation Units.
Purchase orders, once accepted, are not revocable by an Authorized
Participant.
Redemption Procedures
According to the Registration Statement, the procedures by which an
Authorized Participant can redeem one or more Creation Units will
mirror the procedures for the creation of Creation Units. On any
Business Day, an Authorized Participant may place an order with the
Distributor to redeem one or more Creation Units. If a redemption order
is received prior to the applicable cut-off time, or earlier if the
Exchange or other exchange material to the valuation or operation of
such Fund closes before the cut-off time, the day on which SEI receives
a valid redemption order is the redemption order date. If the
redemption order is received after the applicable cut-off time, the
redemption order date will be the next day. Redemption orders, once
accepted, are not revocable by an Authorized Participant. The
redemption procedures allow Authorized Participants to redeem Creation
Units. Individual shareholders may not redeem directly from a Fund.
By placing a redemption order, an Authorized Participant agrees to
deliver the Creation Units to be redeemed through the Depository Trust
Company's (``DTC'') book-entry system to the applicable Fund not later
than noon (E.T.), on the first Business Day immediately following the
redemption order date (T+1). The Sponsor reserves the right to extend
the deadline for a Fund to receive the Creation Units required for
settlement up to the third Business Day following the redemption order
date (T+3).
The redemption proceeds from a Fund will consist of the cash
redemption amount. The cash redemption amount is equal to the NAV of
the number of Creation Unit(s) redeemed. A standard redemption
transaction fee is imposed to offset the transfer and other transaction
costs associated with the redemption of Creation Units.
Creation and redemption transactions must be placed each day with
SEI by 3:30 p.m., E.T., or earlier if the Exchange or other exchange
material to the valuation or operation of such Fund closes before such
cut-off time, to receive that day's NAV. The NAV calculation time for
each Fund typically will be 4:00 p.m. E.T.
The redemption proceeds due from a Fund will be delivered to the
Authorized Participant at noon (E.T.), on the third Business Day
immediately following the redemption order date if, by such time on
such Business Day immediately following the redemption order date, a
Fund's DTC account has been credited with the Creation Units to be
redeemed.
Trading Halts
With respect to trading halts, the Exchange may consider all
relevant factors in exercising its discretion to halt or suspend
trading in the Shares of a Fund.\18\ Trading in Shares of a Fund will
be halted if the circuit breaker parameters in NYSE Arca Equities Rule
7.12 have been reached. Trading also may be halted because of market
conditions or for reasons that, in the view of the Exchange, make
trading in the Shares inadvisable.
---------------------------------------------------------------------------

\18\ See NYSE Arca Equities Rule 7.12.
---------------------------------------------------------------------------

The Exchange may halt trading during the day in which an
interruption to the dissemination of the IOPV or the value of a
Benchmark occurs. If the interruption to the dissemination of the IOPV
or the value of a Benchmark persists past the trading day in which it
occurred, the Exchange will halt trading no later than the beginning of
the trading day following the interruption. In addition, if the
Exchange becomes aware that the NAV with respect to the Shares is not
disseminated to all market participants at the same time, it will halt
trading in the Shares until such time as the NAV is available to all
market participants.
Trading Rules
The Exchange deems the Shares of the Funds to be equity securities,
thus rendering trading in the Shares subject to the Exchange's existing
rules governing the trading of equity securities. Shares will trade on
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. in accordance with
NYSE Arca Equities Rule 7.34 (Early, Core, and Late Trading Sessions).
The Exchange has appropriate rules to facilitate transactions in the
Shares during all trading sessions. As provided in NYSE Arca 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.
The Shares will conform to the initial and continued listing
criteria under NYSE Arca Equities Rule 8.200 and Commentary .02
thereto. The trading of the Shares will be subject to NYSE Arca
Equities Rule 8.200, Commentary .02(e), which sets forth certain
restrictions on Equity Trading Permit (``ETP'') Holders acting as
registered Market Makers in Trust Issued Receipts to facilitate
surveillance. The Exchange represents that, for initial and continued
listing, each Fund will be in compliance with Rule 10A-3 \19\ under the
Act, as provided by NYSE Arca Equities Rule 5.3. A minimum of 100,000
Shares of each Fund will be outstanding at the commencement of trading
on the Exchange.
---------------------------------------------------------------------------

\19\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

Availability of Information
The NAV for the Funds' Shares will be disseminated daily to all
market participants at the same time. The intraday, closing prices, and
settlement prices of the Futures Contracts and Stop Options will be
readily available from the applicable futures exchange Web sites,
automated quotation systems, published or other public sources, or
major market data vendors.
Complete real-time data for the Futures Contracts and Stop Options
is available by subscription through on-line information services. The
CME also provides delayed futures and options on futures information on
current and past trading sessions and market news free of charge on
their respective Web sites. The specific contract specifications for
Futures Contracts are also available on such Web sites, as well as
other financial informational sources. Quotation and last-sale
information regarding the Shares will be disseminated through the
facilities of the CTA. Quotation information for Money Market
Instruments, swaps and forward contracts may be obtained from brokers
and dealers who make markets in such instruments. The IOPV will be
available through on-line information services.
In addition, the Funds' Web site, www.proshares.com, will display
the applicable end of day closing NAV. The daily holdings of each Fund
will be available on the Funds' Web site before 9:30 a.m. E.T. Each
Fund's total portfolio composition will be disclosed each Business Day
that the NYSE Arca is open for trading, on the Funds' Web site. The
Funds' Web site, which will be publicly available at the time of the
public offering of Shares, will also include a form of the prospectus
for the Funds that may be downloaded.

[[Page 39482]]

The Web site disclosure of portfolio holdings will be made daily to
all market participants at the same time, and will include, as
applicable, (i) the composite value of the total portfolio; (ii) the
name, percentage weighting, and value of the Futures Contracts and
Financial Interests; (iii) the Shares' ticker and CUSIP information;
(iv) additional quantitative information updated on a daily basis,
including, for each Fund: (1) Daily trading volume, the prior Business
Day's reported NAV and closing price, and a calculation of the premium
and discount of the closing price or mid-point of the bid/ask spread at
the time of NAV calculation (the ``Bid/Ask Price'') against the NAV;
and (2) data in chart format displaying the frequency distribution of
discounts and premiums of the daily closing price or Bid/Ask Price
against the NAV, within appropriate ranges, for at least each of the
four previous calendar quarters; and (v) as applicable, (1) the name,
quantity, value, expiration and strike price of Futures Contracts and
Stop Options, (2) the counterparty to and value of swap agreements and
forward contracts, (3) quantity held regarding each portfolio holding
(as measured by, for example, par value, notional value or number of
shares, contracts or units); (4) maturity date, if any; and (5) the
aggregate net value of Money Market Instruments and cash held in each
Fund's portfolio. In addition, the IOPV will be published on the
Exchange's Web site and will be available through on-line information
services such as Bloomberg and Reuters. The Fund's Web site will be
publicly accessible at no charge.
Impact on Arbitrage Mechanism
The Sponsor believes there will be minimal, if any, impact to the
arbitrage mechanism as a result of the use of derivatives. Each Fund
intends to achieve substantially all of its leveraged or inverse
leveraged exposure to its Benchmark through positions in Futures
Contracts. The intraday, closing prices, and settlement prices of the
Futures Contracts will be readily available from the applicable futures
exchange Web sites, automated quotation systems, published or other
public sources, or major market data vendors. Market makers and
participants should be able to value derivatives as long as the
positions are disclosed with relevant information. The Sponsor believes
that the price at which Shares of the Funds trade will continue to be
disciplined by arbitrage opportunities created by the ability to
purchase or redeem Shares of the Funds at their NAV, which should
ensure that Shares of the Funds will not trade at a material discount
or premium in relation to its NAV.
The Sponsor does not believe there will be any significant impacts
to the settlement or operational aspects of the Funds' arbitrage
mechanism due to the use of derivatives.
Surveillance
The Exchange represents that trading in the Shares of each Fund
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.\20\ 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 federal securities laws applicable to trading on
the Exchange.
---------------------------------------------------------------------------

\20\ 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, Futures
Contracts and certain Stop Options with other markets and other
entities that are members of the ISG, and the Exchange or FINRA, on
behalf of the Exchange, or both, may obtain trading information
regarding trading in the Shares, Futures Contracts and certain Stop
Options from such markets and other entities. In addition, the Exchange
may obtain information regarding trading in the Shares, Futures
Contracts and certain Stop Options from markets and other entities that
are members of ISG or with which the Exchange has in place a
comprehensive surveillance sharing agreement (``CSSA'').\21\ The
Exchange is also able to obtain information regarding trading in the
Shares, Futures Contracts and certain Stop Options through ETP Holders,
in connection with such ETP Holders' proprietary or customer trades
which they effect through ETP Holders on any relevant market. The
Exchange can obtain market surveillance information, including customer
identity information, with respect to transactions (including
transactions in Futures Contracts and certain Stop Options) occurring
on U.S. futures and securities exchanges that are members of the ISG.
---------------------------------------------------------------------------

\21\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of a
Fund may trade on markets that are members of ISG or with which the
Exchange has in place a CSSA.
---------------------------------------------------------------------------

In addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
All statements and representations made in this filing regarding
(a) the description of the portfolios of the Funds or Benchmarks, (b)
limitations on the portfolios of the Funds or Benchmarks, or (c) the
applicability of Exchange listing rules specified in this rule filing
shall constitute continued listing requirements for listing the Shares
on the Exchange.
The issuer has represented to the Exchange that it will advise the
Exchange of any failure by the Funds to comply with the continued
listing requirements, and, pursuant to its obligations under Section
19(g)(1) of the Act, the Exchange will monitor for compliance with the
continued listing requirements. If a Fund 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 in an Information Bulletin of the special characteristics
and risks associated with trading the Shares. Specifically, the
Information Bulletin will discuss the following: (1) The risks involved
in trading the Shares during the Early and Late Trading Sessions when
an updated IOPV will not be calculated or publicly disseminated; (2)
the procedures for purchases and redemptions of Shares in Creation
Units (and that Shares are not individually redeemable); (3) 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; (4) how information regarding the IOPV is
disseminated; (5) how information regarding portfolio holdings is
disseminated; (6) the requirement that ETP Holders deliver a prospectus
to investors purchasing newly issued Shares prior to or concurrently
with the

[[Page 39483]]

confirmation of a transaction; and (7) trading information.
Prior to the commencement of trading, the Exchange will inform its
ETP Holders of the suitability requirements of NYSE Arca Equities Rule
9.2(a) in an Information Bulletin. Specifically, ETP Holders will be
reminded in the Information Bulletin that, in recommending transactions
in the Shares, they must have a reasonable basis to believe that (1)
the recommendation is suitable for a customer given reasonable inquiry
concerning the customer's investment objectives, financial situation,
needs, and any other information known by such ETP Holder, and (2) the
customer can evaluate the special characteristics, and is able to bear
the financial risks, of an investment in the Shares. In connection with
the suitability obligation, the Information Bulletin will also provide
that ETP Holders must make reasonable efforts to obtain the following
information: (1) The customer's financial status; (2) the customer's
tax status; (3) the customer's investment objectives; and (4) such
other information used or considered to be reasonable by such ETP
Holder or registered representative in making recommendations to the
customer.
Further, the Exchange states that FINRA has implemented increased
sales practice and customer margin requirements for FINRA members
applicable to inverse, leveraged and inverse leveraged securities
(which include the Shares) and options on such securities, as described
in FINRA Regulatory Notices 09-31 (June 2009), 09-53 (August 2009), and
09-65 (November 2009) (collectively, ``FINRA Regulatory Notices''). ETP
Holders that carry customer accounts will be required to follow the
FINRA guidance set forth in these notices. As noted above, each Fund
will seek, on a daily basis, investment results that correspond (before
fees and expenses) to 4x, or -4x, respectively, the performance of a
Benchmark. Over a period of time in excess of one day, the cumulative
percentage increase or decrease in the NAV of the Shares of a Fund may
diverge significantly from a multiple or inverse multiple of the
cumulative percentage decrease or increase in the relevant Benchmark
due to a compounding effect.
In addition, the Information Bulletin will advise ETP Holders,
prior to the commencement of trading, of the prospectus delivery
requirements applicable to a Fund. The Information Bulletin will also
discuss any exemptive, no-action, and interpretive relief granted by
the Commission from any rules under the Act. In addition, the
Information Bulletin will reference that a Fund is subject to various
fees and expenses described in the Registration Statement. The
Information Bulletin will also reference that the CFTC has regulatory
jurisdiction over the trading of Futures Contracts traded on U.S.
markets.
The Information Bulletin will also disclose the trading hours of
the Shares and that the NAV for the Shares will be calculated as of
4:00 p.m. E.T. each trading day. The Information Bulletin will disclose
that information about the Shares will be publicly available on the
Funds' Web site.
2. Statutory Basis
The basis under the Act for this proposed rule change is the
requirement under Section 6(b)(5) \22\ 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.
---------------------------------------------------------------------------

\22\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

The Exchange believes that the proposed rule change is designed to
prevent fraudulent and manipulative acts and practices in that the
Shares will be listed and traded on the Exchange pursuant to the
initial and continued listing criteria in NYSE Arca Equities Rule 8.200
and Commentary .02 thereto. 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.
Futures Contract closing price and settlement prices of are readily
available from the CME. In addition, such prices are available from
automated quotation systems, published or other public sources, or on-
line information services. Each Benchmark will be disseminated by one
or more major market data vendors every 15 seconds during the NYSE Arca
Core Trading Session of 9:30 a.m. to 4:00 p.m. E.T. Quotation and last-
sale information regarding the Shares will be disseminated through the
facilities of the CTA. The IOPV will be disseminated on a per Share
basis by one or more major market data vendors every 15 seconds during
the NYSE Arca Core Trading Session. The Exchange may halt trading
during the day in which an interruption to the dissemination of the
IOPV or the value of the underlying Benchmark Futures Contracts occurs.
If the interruption to the dissemination of the IOPV or the value of
the underlying Benchmark 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. In
addition, if the Exchange becomes aware that the NAV with respect to
the Shares is not disseminated to all market participants at the same
time, it will halt trading in the Shares until such time as the NAV is
available to all market participants.
The proposed rule change is designed to promote just and equitable
principles of trade and to protect investors and the public interest in
that a large amount of information will be publicly available regarding
the Funds and the Shares, thereby promoting market transparency.
Quotation and last sale information for the Futures Contracts are
widely disseminated through a variety of major market data vendors
worldwide. Complete real-time data for such contracts is available by
subscription from Reuters and Bloomberg. The CME also provides delayed
futures information on current and past trading sessions and market
news free of charge on their Web sites. Each Benchmark will be
disseminated by one or more major market data vendors every 15 seconds
during the NYSE Arca Core Trading Session of 9:30 a.m. to 4:00 p.m.
E.T. The NAV per Share will be calculated daily and made available to
all market participants at the same time. NYSE Arca will calculate and
disseminate every 15 seconds throughout the NYSE Arca Core Trading
Session an updated IOPV.
The proposed rule change is designed to perfect the mechanism of a
free and open market and, in general, to protect investors and the
public interest in that it will facilitate the listing and trading of
additional types of exchange-traded products that are principally
exposed to futures contracts and 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 ISG
from other exchanges that are members of ISG or with which the Exchange
has in place a CSSA.

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

The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purpose of the Act. The Exchange notes that the
proposed rule change will facilitate the listing and trading of

[[Page 39484]]

additional types of exchange-traded products that are principally
exposed to futures 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 within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) By order approve or disapprove the proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be disapproved.

IV. Solicitation of Comments

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

Electronic Comments

Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
Send an email to rule-comments@sec.gov. Please include
File Number SR-NYSEArca-2017-69 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-2017-69. 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-2017-69, and should
be submitted on or before September 8, 2017.
---------------------------------------------------------------------------

\23\ 17 CFR 200.30-3(a)(12).

For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\23\
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-17433 Filed 8-17-17; 8:45 am]
BILLING CODE 8011-01-P

39484 Federal Register / Vol. 82, No. 159 / Friday, August 18, 2017 / Notices

additional types of exchange-traded Commission, and all written Fund (‘‘GF’’) requirements. The
products that are principally exposed to communications relating to the proposed rule change was published for
futures contracts and that will enhance proposed rule change between the comment in the Federal Register on July
competition among market participants, Commission and any person, other than 5, 2017.3 The Commission received no
to the benefit of investors and the those that may be withheld from the comment letters regarding the proposed
marketplace. public in accordance with the change. For the reasons discussed
provisions of 5 U.S.C. 552, will be below, the Commission is approving the
C. Self-Regulatory Organization’s available for Web site viewing and proposed rule change.
Statement on Comments on the printing in the Commission’s Public
Proposed Rule Change Received From Reference Room, 100 F Street NE., II. Description of the Proposed Rule
Members, Participants, or Others Washington, DC 20549, on official Change
No written comments were solicited business days between the hours of ICC has proposed changes to
or received with respect to the proposed 10:00 a.m. and 3:00 p.m. Copies of the Schedule 401 of the ICC Rules and to its
rule change. filing also will be available for Treasury Policy. The proposed changes
inspection and copying at the principal would remove JPY, GBP, and CAD from
III. Date of Effectiveness of the
office of the Exchange. All comments eligibility to meet IM and GF
Proposed Rule Change and Timing for
received will be posted without change; requirements. Currently, a Clearing
Commission Action
the Commission does not edit personal Participant may meet the final 35% of
Within 45 days of the date of identifying information from their IM and GF requirements with JPY,
publication of this notice in the Federal submissions. You should submit only GBP, or CAD, in aggregate. Under the
Register or within such longer period information that you wish to make proposed revisions, Clearing
up to 90 days (i) as the Commission may available publicly. All submissions Participants would continue to be able
designate if it finds such longer period should refer to File Number SR– to meet their IM and GF requirements
to be appropriate and publishes its NYSEArca–2017–69, and should be using Euro cash, U.S. cash, and/or U.S.
reasons for so finding or (ii) as to which submitted on or before September 8, Treasuries, in accordance with the
the self-regulatory organization 2017. applicable collateral thresholds.
consents, the Commission will: For the Commission, by the Division of Specifically, with respect to Schedule
(A) By order approve or disapprove Trading and Markets, pursuant to delegated 401 of the ICC Rules, ICC proposed
the proposed rule change, or authority.23 removing references to G7 cash (which
(B) institute proceedings to determine Eduardo A. Aleman, includes U.S. cash, Euro cash, JPY, GBP,
whether the proposed rule change Assistant Secretary. and CAD) and defining ‘‘All Eligible
should be disapproved. Collateral’’ for both Non-Client IM and
[FR Doc. 2017–17433 Filed 8–17–17; 8:45 am]
IV. Solicitation of Comments BILLING CODE 8011–01–P
GF Liquidity Requirements and Client-
Related IM Liquidity Requirements to be
Interested persons are invited to US cash, Euro cash, and/or U.S.
submit written data, views, and Treasuries. Under the proposed
arguments concerning the foregoing, SECURITIES AND EXCHANGE
COMMISSION changes, U.S. cash, Euro cash, and/or
including whether the proposed rule U.S. Treasuries would be eligible for
change is consistent with the Act. [Release No. 34–81386; File No. SR–ICC– meeting the final 35% of IM and GF
Comments may be submitted by any of 2017–010]
requirements for all Non-Client IM and
the following methods: GF Liquidity Requirements and Client-
Self-Regulatory Organizations; ICE
Electronic Comments Clear Credit LLC; Order Approving Related U.S. dollar (‘‘USD’’)
denominated IM Requirements; and
• Use the Commission’s Internet Proposed Rule Change To Revise the
ICC Clearing Rules and the ICC U.S. cash, Euro cash, and/or U.S.
comment form (http://www.sec.gov/
Treasury Operations Policies and Treasuries would be eligible for meeting
rules/sro.shtml); or
a maximum of 100% of IM requirements
• Send an email to rule-comments@ Procedures
for Client-Related Euro-Denominated
sec.gov. Please include File Number SR–
August 14, 2017. Product Requirements.
NYSEArca–2017–69 on the subject line. In addition, ICC proposed to update
I. Introduction
Paper Comments its Treasury Policy to remove references
On June 16, 2017, ICE Clear Credit to JPY, GBP, and CAD as eligible
• Send paper comments in triplicate LLC (‘‘ICC’’) filed with the Securities
to Secretary, Securities and Exchange collateral. Under the proposed changes,
and Exchange Commission ICC would remove references to JPY,
Commission, 100 F Street NE., (‘‘Commission’’), pursuant to Section
Washington, DC 20549–1090. GBP, and CAD in the ‘‘Collateral
19(b)(1) of the Securities Exchange Act Liquidation Assumptions’’ tables (for
All submissions should refer to File of 1934 (‘‘Act’’) 1 and Rule 19b–4 both Euro and USD denominated
Number SR–NYSEArca–2017–69. This thereunder,2 a proposed rule change requirements). ICC would also update
file number should be included on the (SR–ICC–2017–010) to make changes to the ‘‘Eligible Client Collateral’’ section
subject line if email is used. To help the the ICC Clearing Rules (the ‘‘ICC Rules’’) of the Treasury Policy to note that its
Commission process and review your and ICC Treasury Operations Policies eligible collateral for client IM includes
comments more efficiently, please use and Procedures (‘‘Treasury Policy’’) to U.S. cash, Euro cash, and U.S.
only one method. The Commission will
mstockstill on DSK30JT082PROD with NOTICES

remove eligibility of Japanese yen government securities in line with
post all comments on the Commission’s (‘‘JPY’’), Great British pounds (‘‘GBP’’), current eligible collateral for House
Internet Web site (http://www.sec.gov/ and Canadian dollars (‘‘CAD’’) to meet exposures (i.e., U.S. Treasuries). ICC
rules/sro.shtml). Copies of the Initial Margin (‘‘IM’’) and Guaranty also would revise the ‘‘Client-Related
submission, all subsequent
amendments, all written statements 23 17 CFR 200.30–3(a)(12). 3 Securities Exchange Act Release No. 34–81037
with respect to the proposed rule 1 15 U.S.C. 78s(b)(1). (June 28, 2017), 82 FR 31121 (July 5, 2017) (SR–
change that are filed with the 2 17 CFR 240.19b–4. ICC–2017–010) (‘‘Notice’’).

VerDate Sep<11>2014 17:47 Aug 17, 2017 Jkt 241001 PO 00000 Frm 00081 Fmt 4703 Sfmt 4703 E:\FR\FM\18AUN1.SGM 18AUN1

Document Created: 2017-08-18 07:40:59
Document Modified: 2017-08-18 07:40:59

Category		Regulatory Information
Collection		Federal Register
sudoc Class		AE 2.7: GS 4.107: AE 2.106:
Publisher		Office of the Federal Register, National Archives and Records Administration
Section		Notices
FR Citation		82 FR 39477