82 FR 46566 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change To List and Trade Shares of the JPMorgan Managed Futures ETF Under NYSE Arca Rule 8.600-E
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 82, Issue 192 (October 5, 2017)
Federal Register Volume 82, Issue 192 (October 5, 2017)
| Page Range | 46566-46574 | |
| FR Document | 2017-21403 |
[Federal Register Volume 82, Number 192 (Thursday, October 5, 2017)] [Notices] [Pages 46566-46574] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2017-21403] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-81766; File No. SR-NYSEArca-2017-86] Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change To List and Trade Shares of the JPMorgan Managed Futures ETF Under NYSE Arca Rule 8.600-E September 29, 2017. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that, on September 14, 2017, NYSE Arca, Inc. (``Exchange'' or ``NYSE Arca'') filed with the Securities and Exchange Commission (``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. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. --------------------------------------------------------------------------- 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 NYSE Arca Rule 8.600-E (``Managed Fund Shares''): JPMorgan Managed Futures ETF. The proposed 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. [[Page 46567]] II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the self-regulatory organization included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of those statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant parts of such statements. A. Self-Regulatory Organization's Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange proposes to list and trade shares (``Shares'') of the following under NYSE Arca Rule 8.600-E, which governs the listing and trading of Managed Fund Shares \3\ on the Exchange: \4\ JPMorgan Managed Futures ETF (the ``Fund'').\5\ --------------------------------------------------------------------------- \3\ A Managed Fund Share is a security that represents an interest in an investment company registered under the Investment Company Act of 1940 (15 U.S.C. 80a-1) (``1940 Act'') organized as an open-end investment company or similar entity that invests in a portfolio of securities selected by its investment adviser consistent with its investment objectives and policies. In contrast, an open-end investment company that issues Investment Company Units, listed and traded on the Exchange under NYSE Arca Rule 5.2-E(j)(3), seeks to provide investment results that correspond generally to the price and yield performance of a specific foreign or domestic stock index, fixed income securities index or combination thereof. \4\ The Commission has previously approved listing and trading on the Exchange of other series of the Trust that are actively managed funds under Rule 8.600-E. See, e.g., Securities Exchange Act Release Nos. 79683 (December 23, 2016) (SR-NYSEArca-2016-82) (order approving a proposed rule change to list and trade shares of the JPMorgan Diversified Event Driven ETF under NYSE Arca Equities Rule 8.600); 77904 (May 25, 2016) (SR-NYSEArca-2016-17) (order approving a proposed rule change to list and trade of shares of the JPMorgan Diversified Alternative ETF under NYSE Arca Equities Rule 8.600). \5\ The Trust is registered under the 1940 Act. On July 18, 2017, the Trust filed with the Commission an amendment to its registration statement on Form N-1A under the Securities Act of 1933 (15 U.S.C. 77a) (``Securities Act'') and the 1940 Act relating to the Fund (File Nos. 333-191837 and 811-22903) (the ``Registration Statement''). The description of the operation of the Trust and the Fund herein is based, in part, on the Registration Statement. In addition, the Commission has issued an order granting certain exemptive relief to the Trust under the 1940 Act. See Investment Company Act Release No. 31990 (February 9, 2016) (``Exemptive Order''). Investments made by the Fund will comply with the conditions set forth in the Exemptive Order. --------------------------------------------------------------------------- The Fund is a series of J.P. Morgan Exchange-Traded Fund Trust (``Trust''), a Delaware statutory trust. J.P. Morgan Investment Management Inc. (``Adviser'' or ``Administrator'') will be the investment adviser to the Fund and also provide administrative services for and oversee the other service providers for the Fund. The Adviser is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (``JPMorgan Chase''), a bank holding company. JPMorgan Distribution Services, Inc. (``Distributor'') will be the distributor of the Fund's Shares. Commentary .06 to Rule 8.600-E provides that, if the investment adviser to the investment company issuing Managed Fund Shares is affiliated with a broker-dealer, such investment adviser shall erect a ``fire wall'' between the investment adviser and the broker-dealer with respect to access to information concerning the composition and/or changes to such investment company portfolio.\6\ In addition, Commentary .06 further requires that personnel who make decisions on the open-end fund's portfolio composition must be subject to procedures designed to prevent the use and dissemination of material nonpublic information regarding the open-end fund's portfolio. The Adviser is not registered as a broker-dealer but is affiliated with a broker-dealer and has implemented and will maintain a fire wall with respect to such broker-dealer affiliate regarding access to information concerning the composition and/or changes to the portfolio. In the event (a) the Adviser becomes registered as a broker-dealer or newly affiliated with one or more broker-dealers, or (b) any new adviser or sub-adviser is a registered broker-dealer or becomes affiliated with a broker-dealer, it will implement and maintain a fire wall with respect to its relevant personnel or its broker-dealer affiliate regarding access to information concerning the composition and/or changes to the portfolio, and will be subject to procedures designed to prevent the use and dissemination of material non-public information regarding such portfolio. --------------------------------------------------------------------------- \6\ An investment adviser to an open-end fund is required to be registered under the Investment Advisers Act of 1940 (the ``Advisers Act''). As a result, the Adviser and its related personnel are subject to the provisions of Rule 204A-1 under the Advisers Act relating to codes of ethics. This Rule requires investment advisers to adopt a code of ethics that reflects the fiduciary nature of the relationship to clients as well as compliance with other applicable securities laws. Accordingly, procedures designed to prevent the communication and misuse of non-public information by an investment adviser must be consistent with Rule 204A-1 under the Advisers Act. In addition, Rule 206(4)-7 under the Advisers Act makes it unlawful for an investment adviser to provide investment advice to clients unless such investment adviser has (i) adopted and implemented written policies and procedures reasonably designed to prevent violation, by the investment adviser and its supervised persons, of the Advisers Act and the Commission rules adopted thereunder; (ii) implemented, at a minimum, an annual review regarding the adequacy of the policies and procedures established pursuant to subparagraph (i) above and the effectiveness of their implementation; and (iii) designated an individual (who is a supervised person) responsible for administering the policies and procedures adopted under subparagraph (i) above. --------------------------------------------------------------------------- JPMorgan Managed Futures ETF According to the Registration Statement, the Fund will seek to provide long-term total return. Through the Adviser's systematic investment process, the Fund seeks to achieve its investment objective by investing globally to exploit opportunities across a broad range of asset classes including, but not limited to, equities, fixed income, currency and commodities based on the adviser's assessment of their relative attractiveness. Within these strategies, the Adviser believes it has identified (and will continue to identify) a set of investment return sources that have a low correlation to each other and to traditional markets and have distinct risk and return profiles (each a ``return factor''). Under normal market conditions,\7\ the Fund will implement its ``Managed Futures'' strategy to access certain return factors. Each return factor represents a potential source of investment return that results from, among other things, assuming a particular risk or taking advantage of a behavioral bias. The Adviser believes that, in general, the Fund's investment returns are attributable to the individual contributions of the various return factors. By employing this return factor based approach, the Fund seeks to provide positive total returns over time while maintaining a relatively low correlation with traditional markets. --------------------------------------------------------------------------- \7\ The term ``normal market conditions'' is defined in NYSE Arca Rule 8.600-E(c)(5). --------------------------------------------------------------------------- The exposure to individual return factors may vary based on the market opportunity of the individual return factors. Additional return factors may be identified over time. For example, the return factors that the Adviser may utilize include, but are not limited to, the following:Carry--In the carry strategies, the Fund seeks to take a short position in a low yielding instrument while also taking a long position in another instrument that is higher yielding. The strategies seek to capture the tendency for higher yielding assets to provide higher returns than lower-yielding assets. The Fund implements these [[Page 46568]] strategies through derivatives instead of holding long and shorting securities physically; \8\ --------------------------------------------------------------------------- \8\ According to the Registration Statement, the Fund will use the following asset classes in implementing this strategy: Fixed Income--the Fund will seek to benefit from differences in the yield of interest rates, caused by uncertainty in interest rates. The Fund will invest in instruments with higher interest rate yields and short those with lower yields; Currency--the Fund will seek to benefit from differences in the relative yields of various currencies. The Fund will invest in higher yielding currencies and short those with lower yields. Commodities--the Fund will seek to benefit from differences in the price of commodities futures contracts trading below the expected market price at contract maturity and those trading above the expected market price at contract maturity. --------------------------------------------------------------------------- Momentum--These strategies seek to capture the tendency that an asset's recent performance based on its price will continue in the near future. The Fund will seek to choose investments that have performed relatively well over those that have underperformed over the medium-term.\9\ --------------------------------------------------------------------------- \9\ According to the Registration Statement, the Fund will implement the momentum return factor in the following ways: Looking at the relative value of prices of commodities and developed market currencies over time. The Fund intends to invest in futures or forward contracts to hold the best opportunities long while also shorting the worst opportunities within these asset classes. Looking across developed market fixed income, developed market equity indices and international (including emerging market) commodities, the Fund will seek to utilize futures contracts to exploit price momentum trends across the asset classes. At any particular time, the Fund may hold only long or only short futures in a particular asset class as part of this strategy. --------------------------------------------------------------------------- The Fund will invest its assets globally to gain exposure, either directly or through the use of derivatives, to equity securities (across market capitalizations) in developed markets, debt securities (including below investment grade or high yield debt securities), commodities (through its subsidiary as described below) and currencies (including in emerging markets). The Fund may use both long and short positions (achieved primarily through the use of financial derivative instruments). The Fund may maintain a total net long market exposure, meaning that the Fund's long exposure will be greater than its short exposure, neutral aggregate exposure, where the long and short exposure will be equal, or total net short exposure, meaning that the Fund's short exposure will be greater than its long exposure. In addition, the Fund may have net long or net short exposure to one or more industry sectors, individual markets and/or currencies based on the Adviser's view of whether a particular sector, market or currency is expected to outperform or underperform. The Adviser will make use of derivatives including swaps, futures, options and forward contracts, in implementing its strategies. Under normal market conditions, the Adviser currently expects that a significant portion of the Fund's exposure will be attained through the use of derivatives in addition to its exposure through direct investments. Derivatives, which are instruments that have a value based on another instrument, exchange rate or index, will primarily be used as an efficient means of implementing a particular strategy in order to gain exposure to a desired return factor. Derivatives may also be used to increase gain, to effectively gain targeted exposure from its cash positions, to hedge various investments and/or for risk management. As a result of the Fund's use of derivatives and to serve as collateral, the Fund may hold significant amounts of U.S. Treasury obligations, including Treasury bills, bonds and notes and other obligations issued or guaranteed by the U.S. Treasury, obligations of other sovereign governments or supranational entities, other short-term investments, including money market funds and foreign currencies in which certain derivatives are denominated. The amount that may be invested in any one instrument will vary and generally depend on the return factors employed by the Adviser at that time. However, there are no stated percentage limitations on the amount that can be invested in any one type of instrument, and the Adviser may, at times, focus on a smaller number of instruments.\10\ Moreover, the Fund is generally unconstrained by any particular capitalization, style or sector and may invest in any region or country. The Fund may have both long and short exposure to these instruments. Given the complexity of the investments and strategies of the Fund, the Adviser will make use of quantitative models and information and data supplied by third parties to, among other things, help determine the portfolio's weightings among various investments and construct sets of transactions and investments. --------------------------------------------------------------------------- \10\ The Fund's investments would be subject to any applicable percentage limitations in Commentary .01 to NYSE Arca Rule 8.600-E. --------------------------------------------------------------------------- The Fund will purchase a particular instrument when the Adviser believes that such instrument will allow the Fund to gain the desired exposure to a return factor. Conversely, the Fund will consider selling a particular instrument when it no longer provides the desired exposure to a return factor. In addition, investment decisions will take into account a return factor's contribution to the Fund's overall volatility. In allocating assets, the Adviser seeks to approximately balance risk to the individual return factors over the long term, although the exposure to individual return factors will vary based on, among other things, the opportunity the Adviser sees in each individual return factor. Principal Investments According to the Registration Statement, under normal market conditions, the Fund will invest principally (i.e., at least 50% of the Fund's assets) in the securities and financial instruments described below, which may be represented by derivatives relating to such securities and financial instruments, as discussed below. The Fund may purchase and sell U.S. and foreign exchange-traded commodity futures, equity futures, options on equity futures, bond futures, index futures, currency futures, and options on currency futures. The Fund may invest in over-the-counter (``OTC'') total return swaps on equities, fixed income, commodities, and foreign currencies; currency swaps; interest rate swaps; credit default swaps (``CDS''); CDS index swaps (``CDX'') and loan credit default index swaps (``LCDX''). The Fund may invest in forward and spot currency transactions. Such investments consist of non-deliverable forwards (``NDFs''), foreign forward currency contracts,\11\ spot currency transactions, caps and floors. --------------------------------------------------------------------------- \11\ A foreign currency forward contract is a negotiated agreement between the contracting parties to exchange a specified amount of currency at a specified future time at a specified rate. The rate can be higher or lower than the spot rate between the currencies that are the subject of the contract. --------------------------------------------------------------------------- The Fund may invest in cash and cash equivalents which are investments in money market funds (including funds for which the Adviser and/or its affiliates may serve as investment adviser or administrator), bank obligations,\12\ and commercial paper.\13\ --------------------------------------------------------------------------- \12\ Bank obligations include the following: Bankers' acceptances, certificates of deposit and time deposits. Bankers' acceptances are bills of exchange or time drafts drawn on and accepted by a commercial bank. Maturities are generally six months or less. Certificates of deposit are negotiable certificates issued by a bank for a specified period of time and earning a specified return. Time deposits are non-negotiable receipts issued by a bank in exchange for the deposit of funds. \13\ Commercial paper consists of secured and unsecured short- term promissory notes issued by corporations and other entities. Maturities generally vary from a few days to nine months. --------------------------------------------------------------------------- The Fund may invest in U.S. Government obligations, which may include direct obligations of the U.S. [[Page 46569]] Treasury, including Treasury bills, notes and bonds, all of which are backed as to principal and interest payments by the full faith and credit of the United States, and separately traded principal and interest component parts of such obligations that are transferable through the Federal book-entry system known as Separate Trading of Registered Interest and Principal of Securities (``STRIPS'') and Coupons Under Book Entry Safekeeping (``CUBES''). The Fund may invest in U.S. and foreign corporate debt. Other Investments While the Fund, under normal market conditions, will invest at least fifty percent (50%) of its assets in the securities and financial instruments described above, the Fund may invest its remaining assets in other assets and financial instruments, as described below. The Fund may invest in U.S. and foreign exchange-traded call and put options on equities, equity indexes and equity futures. The Fund will gain exposure to commodity markets by investing directly in commodity related instruments or indirectly by investing up to 20% of its total assets in the Managed Futures Fund CS Ltd., a wholly owned subsidiary of the Fund organized under the laws of the Cayman Islands (the Subsidiary). The Subsidiary is also advised by the Adviser. The Subsidiary will only invest in commodity or cash management related investments described above in the Principal Investments section. However, the Subsidiary (unlike the Fund) may invest without limitation in commodity related investments, including derivative instruments linked to the value of a particular commodity, commodity index or commodity futures contract described above. The Subsidiary will otherwise be subject to the same fundamental, non- fundamental and certain other investment restrictions as the Fund. The Fund may invest in U.S. exchange-listed preferred stock. The Fund may invest in exchange-listed-and-traded real estate investment trusts (``REITs''). Exchange-listed REITs will be traded on U.S. national securities exchanges. The Fund may invest in repurchase agreements and reverse repurchase agreements. The Fund may invest in sovereign obligations, which are investments in debt obligations issued or guaranteed by a foreign sovereign government or its agencies, authorities or political subdivisions. The Fund may also invest in obligations of supranational entities including securities designated or supported by governmental entities to promote economic reconstruction or development of international banking institutions and related government agencies. In addition to money market funds referenced above, the Fund may invest in shares of non-exchange-traded investment company securities including investment company securities for which the Adviser and/or its affiliates may serve as investment adviser or administrator, to the extent permitted by Section 12(d)(1) \14\ of the 1940 Act and the rules thereunder and/or any applicable exemption or exemptive order under the 1940 Act with respect to such investments. --------------------------------------------------------------------------- \14\ 15 U.S.C. 80a-12(d)(1). --------------------------------------------------------------------------- Other Restrictions The Fund's investments, including derivatives, will be consistent with the Fund's investment objective and will not be used to enhance leverage (although certain derivatives and other investments may result in leverage). That is, while the Fund will be permitted to borrow as permitted under the 1940 Act, the Fund's (and the Subsidiary's) investments will not be used to seek performance that is the multiple or inverse multiple (e.g., 2Xs and 3Xs) of the Fund's primary broad- based securities benchmark index (as defined in Form N-1A).\15\ --------------------------------------------------------------------------- \15\ The Fund's broad-based securities benchmark index will be identified in a future amendment to the Registration Statement following the Fund's first full calendar year of performance. --------------------------------------------------------------------------- The Fund's and the Subsidiary's Use of Derivatives The Fund proposes to seek certain exposures through transactions in the specific derivative instruments described above. The derivatives usage may occur in the Fund or the Subsidiary (provided that the Subsidiary will invest only in commodity or cash management related investments, as described above). The derivatives to be used are futures, swaps, forwards, and call and put options. Derivatives, which are instruments that have a value based on another instrument, exchange rate or index, may also be used as substitutes for securities in which the Fund can invest. The Fund may use these derivative instruments to increase gain, to effectively gain targeted exposure from its cash positions, to hedge various investments and/or for risk management. Investments in derivative instruments will be made in accordance with the 1940 Act and consistent with the Fund's investment objective and policies. To limit the potential risk associated with such transactions, the Fund will segregate or ``earmark'' assets determined to be liquid by the Adviser in accordance with procedures established by the Trust's Board of Trustees (the ``Board'') and in accordance with the 1940 Act (or, as permitted by applicable regulation, enter into certain offsetting positions) to cover its obligations under derivative instruments. These procedures have been adopted consistent with Section 18 of the 1940 Act and related Commission guidance. In addition, the Fund will include appropriate risk disclosure in its offering documents, including leveraging risk. Leveraging risk is the risk that certain transactions of the Fund, including the Fund's use of derivatives, may give rise to leverage, causing the Fund to be more volatile than if it had not been leveraged.\16\ Because the markets for certain assets, or the assets themselves, may be unavailable or cost prohibitive as compared to derivative instruments, suitable derivative transactions may be an efficient alternative for the Fund to obtain the desired asset exposure. --------------------------------------------------------------------------- \16\ To mitigate leveraging risk, the Adviser will segregate or ``earmark'' liquid assets or otherwise cover the transactions that may give rise to such risk. --------------------------------------------------------------------------- Creation and Redemption of Shares The consideration for a purchase of Creation Units will generally be cash, but may consist of an in-kind deposit of a designated portfolio of equity securities and other investments (the ``Deposit Instruments'') and an amount of cash computed as described below (the ``Cash Amount'') under some circumstances. The Cash Amount together with the Deposit Instruments, as applicable, are referred to as the ``Portfolio Deposit,'' which represents the minimum initial and subsequent investment amount for a Creation Unit of the Fund. The size of a Creation Units is 50,000 Shares and is subject to change. In the event the Fund requires Deposit Instruments and a Cash Amount in consideration for purchasing a Creation Unit, the function of the Cash Amount is to compensate for any differences between the net asset value (``NAV'') per Creation Unit and the Deposit Amount (as defined below). The Cash Amount would be an amount equal to the difference between the NAV of the Shares (per Creation Unit) and the ``Deposit Amount,'' which is an amount equal to the aggregate market value of the Deposit Instruments. If the Cash [[Page 46570]] Amount is a positive number (the NAV per Creation Unit exceeds the Deposit Amount), the Authorized Participant will deliver the Cash Amount. If the Cash Amount is a negative number (the NAV per Creation Unit is less than the Deposit Amount), the Authorized Participant will receive the Cash Amount. The Administrator, through the National Securities Clearing Corporation (``NSCC''), will make available on each business day, immediately prior to the opening of business on the Exchange (currently 9:30 a.m. Eastern time (``E.T.'')), the list of the names and the required number of shares of each Deposit Instrument to be included in the current Portfolio Deposit (based on information at the end of the previous business day), as well as information regarding the Cash Amount for the Fund. Such Portfolio Deposit is applicable, subject to any adjustments as described below, in order to effect creations of Creation Units of the Fund until such time as the next- announced Portfolio Deposit composition is made available. The identity and number of the Deposit Instruments and Cash Amount required for the Portfolio Deposit for the Fund changes as rebalancing adjustments and corporate action events are reflected from time to time by the Adviser with a view to the investment objective of the Fund. In addition, the Trust reserves the right to accept a basket of securities or cash that differs from Deposit Instruments or to permit the substitution of an amount of cash (i.e., a ``cash in lieu'' amount) to be added to the Cash Amount to replace any Deposit Instrument which may, among other reasons, not be available in sufficient quantity for delivery, not be permitted to be re-registered in the name of the Trust as a result of an in-kind creation order pursuant to local law or market convention or for other reasons as described in the Registration Statement, or which may not be eligible for trading by a Participating Party (defined below). In light of the foregoing, in order to seek to replicate the in-kind creation order process, the Trust expects to purchase the Deposit Instruments represented by the cash in lieu amount in the secondary market. Procedures for Creation of Creation Units To be eligible to place orders with the Distributor to create Creation Units of the Fund, an entity or person either must be (1) a ``Participating Party,'' i.e., a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the NSCC; or (2) a Depositary Trust Company (``DTC'') Participant, which, in either case, must have executed an agreement with the Distributor (as it may be amended from time to time in accordance with its terms) (``Participant Agreement''). A Participating Party and DTC Participant are collectively referred to as an ``Authorized Participant.'' All orders to create Creation Units must be received by the Distributor no later than the closing time of the regular trading session on the Exchange (``Closing Time'') (ordinarily 4:00 p.m. E.T.), in each case on the date such order is placed in order for creation of Creation Units to be effected based on the NAV of the Fund as determined on such date. Redemption of Creation Units Shares may be redeemed only in Creation Units at their NAV next determined after receipt of a redemption request in proper form by the Distributor, only on a business day and only through a Participating Party or DTC Participant who has executed a Participant Agreement. The Trust will not redeem Shares in amounts less than Creation Units. All orders to redeem Creation Units must be received by the Distributor no later than the Exchange Closing Time (ordinarily 4:00 p.m. E.T.). Although the Fund will generally pay redemption proceeds in cash, there may be instances when it will make redemptions in-kind. In these instances, the Administrator, through NSCC, makes available immediately prior to the opening of business on the Exchange (currently 9:30 a.m. E.T.) on each day that the Exchange is open for business, the identity of the Fund's assets and/or an amount of cash that will be applicable (subject to possible amendment or correction) to redemption requests received in proper form on that day. With respect to redemptions in- kind, the redemption proceeds for a Creation Unit generally consist of Redemption Instruments (which are securities received on redemption) as announced by the Administrator on the business day of the request for redemption, plus cash in an amount equal to the difference between the NAV of the Shares being redeemed, as next determined after a receipt of a request in proper form, and the value of the Redemption Instruments, less the redemption transaction fee and variable fees described below. Should the Redemption Instruments have a value greater than the NAV of the Shares being redeemed, a compensating cash payment to the Trust equal to the differential plus the applicable redemption transaction fee will be required to be arranged for by or on behalf of the redeeming shareholder. The Fund reserves the right to honor a redemption request by delivering a basket of securities or cash that differs from the Redemption Instruments if, among other reasons, not permitted to be re-registered in the name of the customer as a result of an in-kind redemption order pursuant to local law or market convention or which may not be eligible for trading by a Participating Party.\17\ --------------------------------------------------------------------------- \17\ The Adviser represents that, to the extent the Trust effects the creation or redemption of Shares in cash, such transactions will be effected in the same manner for all Authorized Participants. --------------------------------------------------------------------------- Derivatives Valuation Methodology for Purposes of Determining Intra-Day Indicative Value On each business day, before commencement of trading in Fund Shares on NYSE Arca, the Fund will disclose on its Web site the identities and quantities of the portfolio instruments and other assets held by the Fund that will form the basis for the Fund's calculation of NAV at the end of the business day. In order to provide additional information regarding the intra-day value of Shares of the Fund, one or more major market data vendors will disseminate every 15 seconds during the Exchange's Core Trading Session, through the facilities of the Consolidated Tape Association (``CTA'') or other widely disseminated means, an updated Portfolio Indicative Value (``PIV'') for the Fund as calculated by a third party market data provider. A third party market data provider will calculate the PIV for the Fund. The third party market data provider may use market quotes if available or may fair value securities against proxies (such as swap or yield curves). With respect to specific derivatives: NDFs and foreign forward currency contracts may be valued intraday using market quotes, or another proxy as determined to be appropriate by the third party market data provider. Futures may be valued intraday using the relevant futures exchange data, or another proxy as determined to be appropriate by the third party market data provider. Interest rate swaps and currency swaps may be mapped to a swap curve and valued intraday based on changes of the swap curve, or another proxy as determined to be appropriate by the third party market data provider. CDS, CDX and LCDX may be valued using intraday data from market vendors, or based on underlying asset price, or another proxy as determined to [[Page 46571]] be appropriate by the third party market data provider. Total return swaps may be valued intraday using the underlying asset price, 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. Disclosed Portfolio The Fund's disclosure of derivative positions in the applicable Disclosed Portfolio includes information that market participants can use to value these positions intraday. On a daily basis, the Fund will disclose the information regarding the Disclosed Portfolio required under NYSE Arca Rule 8.600-E (c)(2) to the extent applicable. The Fund's Web site information will be publicly available at no charge. Impact on Arbitrage Mechanism The Adviser believes there will be minimal impact to the arbitrage mechanism as a result of the use of derivatives. Market makers and participants should be able to value derivatives as long as the positions are disclosed with relevant information. The Adviser believes that the price at which Shares trade will continue to be disciplined by arbitrage opportunities created by the ability to purchase or redeem creation Shares at their NAV, which should ensure that Shares will not trade at a material discount or premium in relation to their NAV. The Adviser does not believe there will be any significant impacts to the settlement or operational aspects of the Fund's arbitrage mechanism due to the use of derivatives. Because derivatives generally are not eligible for in-kind transfer, they will typically be substituted with a ``cash in lieu'' amount when the Fund processes purchases or redemptions of creation units in-kind. Application of Generic Listing Requirements The Exchange is submitting this proposed rule change because the portfolio for the Fund will not meet all of the ``generic'' listing requirements of Commentary .01 to NYSE Arca Rule 8.600-E applicable to the listing of Managed Fund Shares. The Fund's portfolio would meet all such requirements except for those set forth in Commentary .01(e) of Rule 8.600-E.\18\ Specifically, the aggregate gross notional value of the Fund's investments in OTC derivatives may exceed 20% of Fund assets, calculated based on the aggregate gross notional value of such OTC derivatives. --------------------------------------------------------------------------- \18\ Commentary .01(e) to NYSE Arca Rule 8.600-E provides that a portfolio may hold OTC derivatives, including forwards, options and swaps on commodities, currencies and financial instruments (e.g., stocks, fixed income, interest rates, and volatility) or a basket or index of any of the foregoing; however, on both an initial and continuing basis, no more than 20% of the assets in the portfolio may be invested in OTC derivatives. For purposes of calculating this limitation, a portfolio's investment in OTC derivatives will be calculated as the aggregate gross notional value of the OTC derivatives. --------------------------------------------------------------------------- The Adviser represents that it intends to engage in strategies that utilize foreign currency forward transactions and swaps (which may be traded OTC), as described above, based on its investment strategies. Depending on market conditions, the exposure due to these strategies may exceed 20% of the Fund's assets. The Adviser represents further that the foreign exchange forward market is OTC and swaps may be traded OTC, and, as such, it is not possible to implement these strategies efficiently using listed derivatives. If the Fund were limited to investing up to 20% of assets in OTC derivatives, the Fund would have to exclude or underweight these strategies and would be less diversified, concentrating risk in the other strategies it will utilize. The Adviser represents that the Fund will follow an investment strategy utilized within the JP Morgan Diversified Alternative ETF, shares of which have previously been approved by the Commission for Exchange listing and trading.\19\ As noted above, the Fund may use the derivative instruments described above to increase gain, to effectively gain targeted exposure from its cash positions, to hedge various investments and/or for risk management. --------------------------------------------------------------------------- \19\ See Securities Exchange Act Release No. 77904 (May 25, 2016), 81 FR 35101 (June 1, 2016) (SR-NYSEArca-2016-17) (order approving listing and trading of shares of the JPMorgan Diversified Alternative ETF under NYSE Arca Equities Rule 8.600). --------------------------------------------------------------------------- The Exchange notes that, other than Commentary.01(e) to Rule 8.600- E, the Fund will meet all other requirements of Rule 8.600-E. Availability of Information The Fund's Web site (www.jpmorganfunds.com), which will be publicly available prior to the public offering of Shares, will include a form of the prospectus for the Fund that may be downloaded. The Fund's Web site will include additional quantitative information updated on a daily basis, including, for the Fund, (1) daily trading volume, the prior business day's reported closing price, NAV and mid-point of the bid/ask spread at the time of calculation of such NAV (the ``Bid/Ask Price''),\20\ and a calculation of the premium and discount of the Bid/ Ask Price against the NAV, and (2) data in chart format displaying the frequency distribution of discounts and premiums of the daily Bid/Ask Price against the NAV, within appropriate ranges, for each of the four previous calendar quarters. On each business day, before commencement of trading in Shares in the Core Trading Session on the Exchange, the Adviser will disclose on the Fund's Web site the Disclosed Portfolio for the Fund as defined in NYSE Arca Rule 8.600-E(c)(2) that will form the basis for the Fund's calculation of NAV at the end of the business day.\21\ --------------------------------------------------------------------------- \20\ The Bid/Ask Price of the Fund's Shares will be determined using the mid-point of the highest bid and the lowest offer on the Exchange as of the time of calculation of the Fund's NAV. The records relating to Bid/Ask Prices will be retained by the Fund and its service providers. \21\ Under accounting procedures to be followed by the Fund, trades made on the prior business day (``T'') will be booked and reflected in NAV on the current business day (``T+1''). Accordingly, the Fund will be able to disclose at the beginning of the business day the portfolio that will form the basis for the NAV calculation at the end of the business day. --------------------------------------------------------------------------- Investors can also obtain the Trust's Statement of Additional Information (``SAI''), the Fund's Shareholder Reports, and its Form N- CSR and Form N-SAR, filed twice a year. The Trust's SAI and Shareholder Reports are available free upon request from the Trust, and those documents and the Form N-CSR and Form N-SAR may be viewed on-screen or downloaded from the Commission's Web site at www.sec.gov. Quotation and last sale information for the Shares and for portfolio holdings of the Fund that are U.S. exchange-listed, including U.S. and foreign exchange-traded options, preferred stocks, and REITs will be available via the CTA high speed line. Quotation and last sale information for such U.S. exchange-listed securities, as well as U.S. and foreign exchange-traded futures will be available from the exchange on which they are listed. Quotation and last sale information for exchange-listed options cleared via the Options Clearing Corporation will be available via the Options Price Reporting Authority. Price information for preferred stocks will also be available from one or more major market data vendors or from broker-dealers. [[Page 46572]] Quotation information for cash equivalents, swaps, obligations of supranational agencies, money market funds, non-exchange-listed investment company securities (other than money market funds), U.S. Government obligations, U.S. Government agency obligations, sovereign obligations, repurchase agreements, reverse repurchase agreements, and U.S. and foreign corporate debt may be obtained from brokers and dealers who make markets in such securities or through nationally recognized pricing services through subscription agreements. The U.S. dollar value of foreign securities, instruments and currencies can be derived by using foreign currency exchange rate quotations obtained from nationally recognized pricing services. Forwards and spot currency price information will be available from major market data vendors. In addition, the PIV, as defined in NYSE Arca Rule 8.600-E(c)(3), will be widely disseminated by one or more major market data vendors at least every 15 seconds during the Core Trading Session.\22\ The dissemination of the PIV, together with the Disclosed Portfolio, will allow investors to determine the approximate value of the underlying portfolio of the Fund on a daily basis and will provide a close estimate of that value throughout the trading day. --------------------------------------------------------------------------- \22\ Currently, it is the Exchange's understanding that several major market data vendors display and/or make widely available PIVs taken from the CTA or other data feeds. --------------------------------------------------------------------------- Trading Halts With respect to trading halts, the Exchange may consider all relevant factors in exercising its discretion to halt or suspend trading in the Shares of the Fund.\23\ Trading in Shares of the Fund will be halted if the circuit breaker parameters in NYSE Arca Rule 7.12-E have been reached. Trading also may be halted because of market conditions or for reasons that, in the view of the Exchange, make trading in the Shares of the Fund inadvisable. --------------------------------------------------------------------------- \23\ See NYSE Arca Rule 7.12-E. --------------------------------------------------------------------------- Trading in the Shares will be subject to NYSE Arca Rule 8.600- E(d)(2)(D), which sets forth circumstances under which Shares of the Fund may be halted. Trading Rules The Exchange deems the Shares to be equity securities, thus rendering trading in the Shares subject to the Exchange's existing rules governing the trading of equity securities. Shares will trade on the NYSE Arca Marketplace from 4:00 a.m. to 8:00 p.m. E.T. in accordance with NYSE Arca Rule 7.34-E (Opening, Core, and Late Trading Sessions). The Exchange has appropriate rules to facilitate transactions in the Shares during all trading sessions. As provided in NYSE Arca Rule 7.6-E, the minimum price variation (``MPV'') for quoting and entry of orders in equity securities traded on the NYSE Arca Marketplace is $0.01, with the exception of securities that are priced less than $1.00 for which the MPV for order entry is $0.0001. The Shares of the Fund will conform to the initial and continued listing criteria under NYSE Arca Rule 8.600-E. The Exchange represents that, for initial and/or continued listing, the Fund will be in compliance with Rule 10A-3 \24\ under the Act, as provided by NYSE Arca Rule 5.3-E. A minimum of 100,000 Shares of the Fund will be outstanding at the commencement of trading on the Exchange. The Exchange will obtain a representation from the issuer of the Shares of the Fund that the NAV and the Disclosed Portfolio will be made available to all market participants at the same time. --------------------------------------------------------------------------- \24\ 17 CFR 240 10A-3. --------------------------------------------------------------------------- Surveillance The Exchange represents that trading in the Shares will be subject to the existing trading surveillances administered by the Exchange, as well as cross-market surveillances administered by the Financial Industry Regulatory Authority (``FINRA'') on behalf of the Exchange, which are designed to detect violations of Exchange rules and applicable federal securities laws.\25\ 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. --------------------------------------------------------------------------- \25\ 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, exchange-listed equity securities, certain futures, and certain exchange-traded options with other markets and other entities that are members of the Intermarket Surveillance Group (``ISG''), and the Exchange or FINRA, on behalf of the Exchange, or both, may obtain trading information regarding trading such securities and financial instruments from such markets and other entities. In addition, the Exchange may obtain information regarding trading in such securities and financial instruments from markets and other entities that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement.\26\ FINRA, on behalf of the Exchange, is able to access, as needed, trade information for certain fixed income securities held by the Fund reported to FINRA's Trade Reporting and Compliance Engine (``TRACE''). --------------------------------------------------------------------------- \26\ 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. --------------------------------------------------------------------------- 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 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 Fund to comply with the continued listing requirements, and, pursuant to its obligations under Section 19(g)(1) of the Act, the Exchange will monitor for compliance with the continued listing requirements. If the Fund is not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under NYSE Arca Rule 5.5-E(m). Information Bulletin Prior to the commencement of trading, the Exchange will inform its Equity Trading Permit (``ETP'') Holders in an Information Bulletin (``Bulletin'') of the special characteristics and risks associated with trading the Shares of the Fund. Specifically, the Bulletin will discuss the following: (1) The procedures for purchases and redemptions of Shares in Creation Units (and that Shares are not individually redeemable); (2) NYSE Arca Rule 9.2-E(a), which imposes a duty of due diligence on its ETP Holders to learn the [[Page 46573]] essential facts relating to every customer prior to trading the Shares; (3) the risks involved in trading the Shares during the Early and Late Trading Sessions when an updated PIV will not be calculated or publicly disseminated; (4) how information regarding the PIV and the Disclosed Portfolio is disseminated; (5) the requirement that ETP Holders deliver a prospectus to investors purchasing newly issued Shares prior to or concurrently with the confirmation of a transaction; and (6) trading information. In addition, the Bulletin will reference that the Fund is subject to various fees and expenses described in the Registration Statement. The Bulletin will discuss any exemptive, no-action, and interpretive relief granted by the Commission from any rules under the Act. The Bulletin will also disclose that the NAV for the Shares of the Fund will be calculated after 4:00 p.m. E.T. each trading day. 2. Statutory Basis The basis under the Act for this proposed rule change is the requirement under Section 6(b)(5) \27\ 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. --------------------------------------------------------------------------- \27\ 15 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- The Exchange believes that the proposed rule change is designed to prevent fraudulent and manipulative acts and practices in that the Shares will be listed and traded on the Exchange pursuant to the initial and continued listing criteria in NYSE Arca Rule 8.600-E. The Adviser is not registered as a broker-dealer but is affiliated with a broker-dealer and has implemented and will maintain a fire wall with respect to such broker-dealer affiliate regarding access to information concerning the composition and/or changes to the portfolio. 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 FINRA on behalf of the Exchange, which are designed to detect violations of Exchange rules and applicable federal securities laws. The Exchange represents that these procedures are adequate to properly monitor Exchange trading of the Shares in all trading sessions and to deter and detect violations of Exchange rules and applicable federal securities laws. The Exchange or FINRA, on behalf of the Exchange, or both, will communicate as needed regarding trading in the Shares, exchange-listed equity securities, certain futures, and certain exchange-traded 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 such securities and financial instruments from such markets and other entities. In addition, the Exchange may obtain information regarding trading in such securities and financial instruments from markets and other entities that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement. FINRA, on behalf of the Exchange, is able to access, as needed, trade information for certain fixed income securities held by the Fund reported to FINRA's TRACE. The PIV, as defined in NYSE Arca Rule 8.600-E(c)(3), will be widely disseminated by one or more major market data vendors at least every 15 seconds during the Core Trading Session. The Fund may hold up to an aggregate amount of 15% of its net assets in illiquid assets (calculated at the time of investment), deemed illiquid by the Adviser, consistent with Commission guidance. The Shares of the Fund will conform to the initial and continued listing criteria under NYSE Arca Rule 8.600-E. The Exchange represents that, for initial and/or continued listing, the Fund will be in compliance with Rule 10A-3 under the Act, as provided by NYSE Arca Rule 5.3-E. A minimum of 100,000 Shares of the Fund will be outstanding at the commencement of trading on the Exchange. The Exchange will obtain a representation from the issuer of the Shares of the Fund that the NAV per Share will be calculated daily and that the NAV and the Disclosed Portfolio will be made available to all market participants at the same time. In addition, a large amount of information is publicly available regarding the Fund and the Shares, thereby promoting market transparency. The Fund's portfolio holdings (including those of the Subsidiary) will be disclosed on its Web site daily after the close of trading on the Exchange and prior to the opening of trading on the Exchange the following day. On a daily basis, the Fund will disclose the information regarding the Disclosed Portfolio required under NYSE Arca Rule 8.600-E (c)(2) to the extent applicable. The Fund's Web site information will be publicly available at no charge. The Fund's portfolio would meet all requirements of Rule 8.600-E except for those set forth in Commentary .01(e) of Rule 8.600.\28\ Specifically, the aggregate gross notional value of the Fund's investments in OTC derivatives may exceed 20% of Fund assets, calculated based on the aggregate gross notional value of such OTC derivatives. --------------------------------------------------------------------------- \28\ See note 18, supra. --------------------------------------------------------------------------- The Exchange believes that it is appropriate and in the public interest to allow the Fund to exceed the 20% limit in Commentary .01(e) to Rule 8.600 of portfolio assets that may be invested in OTC derivatives. Because the Fund, in furtherance of its investment objective, may seek to gain market exposure using OTC traded foreign currency forwards and swaps, the 20% limit in Commentary .01(e) to Rule 8.600 could result in the Fund being unable to fully pursue its investment objective while attempting to sufficiently mitigate investment risks. As noted above, the Fund's investments in derivative instruments will be made in accordance with the 1940 Act and consistent with the Fund's investment objective and policies. To limit the potential risk associated with such transactions, the Fund will segregate or ``earmark'' assets determined to be liquid by the Adviser in accordance with procedures established by the Trust's Board and in accordance with the 1940 Act (or, as permitted by applicable regulation, enter into certain offsetting positions) to cover its obligations under derivative instruments. These procedures have been adopted consistent with Section 18 of the 1940 Act and related Commission guidance. In addition, the Fund will include appropriate risk disclosure in its offering documents, including leveraging risk. To mitigate leveraging risk, the Adviser will segregate or ``earmark'' liquid assets or otherwise cover the transactions that may give rise to such risk. Because the markets for certain assets, or the assets themselves, may be unavailable or cost prohibitive as compared to derivative instruments, suitable derivative transactions may be an efficient alternative for the Fund to obtain the desired asset exposure. In addition, OTC derivatives may be tailored more specifically to the assets held by the Fund than available listed derivatives. The Adviser also represents that the Fund will follow an investment strategy utilized within the JP Morgan Diversified Alternatives ETF, shares of which have previously been approved by the Commission for Exchange listing and trading pursuant to Section 19(b)(2) [[Page 46574]] of the Act.\29\ The Exchange further believes that the Fund would be placed at a competitive disadvantage to the JP Morgan Diversified Alternatives ETF, if the Fund's portfolio could not exceed the 20% limit in Commentary .01(e) to Rule 8.600 of portfolio assets that may be invested in OTC derivatives, as described above. --------------------------------------------------------------------------- \29\ See Securities Exchange Act Release No. 77904 (May 25, 2016), 81 FR 35101 (June 1, 2016) (SR-NYSEArca-2016-17) (order approving listing and trading of shares of the JPMorgan Diversified Alternative ETF under NYSE Arca Equities Rule 8.600). --------------------------------------------------------------------------- The Exchange notes that, other than Commentary .01(e) to Rule 8.600-E, the Fund's portfolio will meet all other requirements of Rule 8.600-E. The Web site for the Fund will include a form of the prospectus for the Fund and additional data relating to NAV and other applicable quantitative information. Moreover, 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 of the Fund. Trading in Shares of the Fund will be halted if the circuit breaker parameters in NYSE Arca Rule 7.12-E have been reached or because of market conditions or for reasons that, in the view of the Exchange, make trading in the Shares inadvisable, and trading in the Shares will be subject to NYSE Arca Rule 8.600- E(d)(2)(D), which sets forth circumstances under which Shares of the Fund may be halted. In addition, as noted above, investors will have ready access to information regarding the Fund's holdings, the PIV, the Disclosed Portfolio, and quotation and last sale information for the Shares. The Fund's investments, including derivatives, will be consistent with the Fund's investment objective and will not be used to enhance leverage (although certain derivatives and other investments may result in leverage). That is, while the Fund will be permitted to borrow as permitted under the 1940 Act, the Fund's investments will not be used to seek performance that is the multiple or inverse multiple (e.g., 2Xs and 3Xs) of the Fund's primary broad-based securities benchmark index (as defined in Form N-1A). 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 an additional type of actively-managed 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 of the Fund and may obtain information via ISG from other exchanges that are members of 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 Fund's holdings, the PIV, the Disclosed Portfolio for the Fund, and quotation and last sale information for the Shares of the Fund. 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 an additional type of actively-managed exchange-traded product that holds fixed income securities, equity securities, commodities, currencies and derivatives and that will enhance competition among market participants, to the benefit of investors and the marketplace. C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others No written comments were solicited or received with respect to the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 45 days of the date of publication of this notice in the Federal Register or within such longer period up to 90 days (i) as the Commission may designate if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the self-regulatory organization consents, the Commission will: (A) By order approve or disapprove the proposed rule change, or (B) institute proceedings to determine whether the proposed rule change should be disapproved. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods: Electronic Comments Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or Send an email to [email protected]. Please include File Number SR-NYSEArca-2017-86 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-2017-86. 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-2017-86, and should be submitted on or before October 26, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\30\ --------------------------------------------------------------------------- \30\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017-21403 Filed 10-4-17; 8:45 am] BILLING CODE 8011-01-P
![46566 Federal Register / Vol. 82, No. 192 / Thursday, October 5, 2017 / Notices
of the purposes of the Act. The Commission hereby waives the 30-day Washington, DC 20549, on official
proposed rule change is designed to operative delay and designates the business days between the hours of
correct the Exchange’s rules to more proposed rule change operative upon 10:00 a.m. and 3:00 p.m. Copies of the
accurately reflect the handling of filing.22 filing also will be available for
auctions in the Block Order Mechanism. At any time within 60 days of the inspection and copying at the principal
No changes are proposed to the filing of the proposed rule change, the office of the Exchange. All comments
operation of the Exchange’s trading Commission summarily may received will be posted without change;
system, and no members will be temporarily suspend such rule change if the Commission does not edit personal
impacted by the proposed rule, which it appears to the Commission that such identifying information from
merely reflects current functionality action is: (i) Necessary or appropriate in submissions. You should submit only
offered to members that trade in the the public interest; (ii) for the protection information that you wish to make
Block Order Mechanism. The proposed of investors; or (iii) otherwise in available publicly. All submissions
rule change is therefore not designed to furtherance of the purposes of the Act. should refer to File Number SR–GEMX–
impose any significant burden on If the Commission takes such action, the 2017–43 and should be submitted on or
competition. Commission shall institute proceedings before October 26, 2017.
C. Self-Regulatory Organization’s to determine whether the proposed rule For the Commission, by the Division of
Statement on Comments on the should be approved or disapproved. Trading and Markets, pursuant to delegated
Proposed Rule Change Received From IV. Solicitation of Comments authority.23
Members, Participants, or Others Eduardo A. Aleman,
Interested persons are invited to Assistant Secretary.
No written comments were either submit written data, views, and
solicited or received. [FR Doc. 2017–21406 Filed 10–4–17; 8:45 am]
arguments concerning the foregoing,
BILLING CODE 8011–01–P
III. Date of Effectiveness of the including whether the proposed rule
Proposed Rule Change and Timing for change is consistent with the Act.
Commission Action Comments may be submitted by any of SECURITIES AND EXCHANGE
the following methods: COMMISSION
Because the foregoing proposed rule
change does not: (i) Significantly affect Electronic Comments
the protection of investors or the public [Release No. 34–81766; File No. SR–
• Use the Commission’s Internet NYSEArca–2017–86]
interest; (ii) impose any significant comment form (http://www.sec.gov/
burden on competition; and (iii) become rules/sro.shtml); or Self-Regulatory Organizations; NYSE
operative for 30 days from the date on • Send an email to rule-comments@ Arca, Inc.; Notice of Filing of Proposed
which it was filed, or such shorter time Rule Change To List and Trade Shares
sec.gov. Please include File Number SR–
as the Commission may designate, it has of the JPMorgan Managed Futures ETF
GEMX–2017–43 on the subject line.
become effective pursuant to Section Under NYSE Arca Rule 8.600–E
19(b)(3)(A)(iii) of the Act 18 and Paper Comments
subparagraph (f)(6) of Rule 19b–4 • Send paper comments in triplicate September 29, 2017.
thereunder.19 to Secretary, Securities and Exchange Pursuant to Section 19(b)(1) of the
A proposed rule change filed under Securities Exchange Act of 1934
Commission, 100 F Street NE.,
Rule 19b–4(f)(6) 20 normally does not (‘‘Act’’) 1 and Rule 19b–4 thereunder,2
Washington, DC 20549–1090.
become operative prior to 30 days after notice is hereby given that, on
the date of the filing. However, pursuant All submissions should refer to File
September 14, 2017, NYSE Arca, Inc.
to Rule 19b–4(f)(6)(iii),21 the Number SR–GEMX–2017–43. This file
(‘‘Exchange’’ or ‘‘NYSE Arca’’) filed
Commission may designate a shorter number should be included on the
with the Securities and Exchange
time if such action is consistent with the subject line if email is used. To help the
Commission (‘‘Commission’’) the
protection of investors and the public Commission process and review your
proposed rule change as described in
interest. The Exchange requests that the comments more efficiently, please use
Items I and II below, which Items have
Commission waive the 30-day operative only one method. The Commission will
been prepared by the self-regulatory
delay. The Exchange notes that a waiver post all comments on the Commission’s
organization. The Commission is
is consistent with the protection of Internet Web site (http://www.sec.gov/
publishing this notice to solicit
investors and the public interest rules/sro.shtml). Copies of the
comments on the proposed rule change
because it will allow the Exchange to submission, all subsequent
from interested persons.
correct its Block Order Mechanism rules amendments, all written statements
to reflect the current functionality of the with respect to the proposed rule I. Self-Regulatory Organization’s
system without undue delay. The change that are filed with the Statement of the Terms of Substance of
Commission believes that waiving the Commission, and all written the Proposed Rule Change
30-day operative delay is consistent communications relating to the The Exchange proposes to list and
with the protection of investors and the proposed rule change between the trade shares of the following under
public interest. Accordingly, the Commission and any person, other than NYSE Arca Rule 8.600–E (‘‘Managed
those that may be withheld from the Fund Shares’’): JPMorgan Managed
18 15 U.S.C. 78s(b)(3)(A)(iii). public in accordance with the Futures ETF. The proposed change is
19 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– provisions of 5 U.S.C. 552, will be available on the Exchange’s Web site at
ethrower on DSK3G9T082PROD with NOTICES
4(f)(6) requires a self-regulatory organization to give available for Web site viewing and
the Commission written notice of its intent to file www.nyse.com, at the principal office of
the proposed rule change at least five business days printing in the Commission’s Public the Exchange, and at the Commission’s
prior to the date of filing of the proposed rule Reference Room, 100 F Street NE., Public Reference Room.
change, or such shorter time as designated by the
Commission. The Exchange has satisfied this 22 For purposes only of waiving the 30-day
requirement. 23 17 CFR 200.30–3(a)(12).
operative delay, the Commission has considered the
20 17 CFR 240.19b–4(f)(6). 1 15 U.S.C. 78s(b)(1).
proposed rule’s impact on efficiency, competition,
21 17 CFR 240.19b–4(f)(6)(iii). and capital formation. See 15 U.S.C. 78c(f). 2 17 CFR 240.19b–4.
VerDate Sep<11>2014 19:52 Oct 04, 2017 Jkt 244001 PO 00000 Frm 00091 Fmt 4703 Sfmt 4703 E:\FR\FM\05OCN1.SGM 05OCN1](https://thefederalregister.org/doc/82_FR_46758/page/1.svg)
![46574 Federal Register / Vol. 82, No. 192 / Thursday, October 5, 2017 / Notices
of the Act.29 The Exchange further and the marketplace. As noted above, Electronic Comments
believes that the Fund would be placed the Exchange has in place surveillance
at a competitive disadvantage to the JP procedures relating to trading in the • Use the Commission’s Internet
Morgan Diversified Alternatives ETF, if Shares of the Fund and may obtain comment form (http://www.sec.gov/
the Fund’s portfolio could not exceed information via ISG from other rules/sro.shtml); or
the 20% limit in Commentary .01(e) to exchanges that are members of ISG or • Send an email to rule-comments@
Rule 8.600 of portfolio assets that may with which the Exchange has entered sec.gov. Please include File Number SR–
be invested in OTC derivatives, as into a comprehensive surveillance NYSEArca–2017–86 on the subject line.
described above. sharing agreement. In addition, as noted
The Exchange notes that, other than above, investors will have ready access Paper Comments
Commentary .01(e) to Rule 8.600–E, the to information regarding the Fund’s
Fund’s portfolio will meet all other • Send paper comments in triplicate
holdings, the PIV, the Disclosed
requirements of Rule 8.600–E. to Secretary, Securities and Exchange
Portfolio for the Fund, and quotation
The Web site for the Fund will and last sale information for the Shares Commission, 100 F Street NE.,
include a form of the prospectus for the of the Fund. Washington, DC 20549–1090.
Fund and additional data relating to All submissions should refer to File
NAV and other applicable quantitative B. Self-Regulatory Organization’s
Statement on Burden on Competition Number SR–NYSEArca–2017–86. This
information. Moreover, prior to the
file number should be included on the
commencement of trading, the Exchange The Exchange does not believe that
will inform its ETP Holders in an subject line if email is used. To help the
the proposed rule change will impose Commission process and review your
Information Bulletin of the special any burden on competition that is not
characteristics and risks associated with comments more efficiently, please use
necessary or appropriate in furtherance only one method. The Commission will
trading the Shares of the Fund. Trading of the purpose of the Act. The Exchange
in Shares of the Fund will be halted if post all comments on the Commission’s
notes that the proposed rule change will
the circuit breaker parameters in NYSE Internet Web site (http://www.sec.gov/
facilitate the listing and trading of an
Arca Rule 7.12–E have been reached or rules/sro.shtml). Copies of the
additional type of actively-managed
because of market conditions or for submission, all subsequent
exchange-traded product that holds
reasons that, in the view of the fixed income securities, equity amendments, all written statements
Exchange, make trading in the Shares securities, commodities, currencies and with respect to the proposed rule
inadvisable, and trading in the Shares derivatives and that will enhance change that are filed with the
will be subject to NYSE Arca Rule competition among market participants, Commission, and all written
8.600–E(d)(2)(D), which sets forth to the benefit of investors and the communications relating to the
circumstances under which Shares of proposed rule change between the
marketplace.
the Fund may be halted. In addition, as Commission and any person, other than
noted above, investors will have ready C. Self-Regulatory Organization’s those that may be withheld from the
access to information regarding the Statement on Comments on the public in accordance with the
Fund’s holdings, the PIV, the Disclosed Proposed Rule Change Received From provisions of 5 U.S.C. 552, will be
Portfolio, and quotation and last sale Members, Participants, or Others
available for Web site viewing and
information for the Shares. The Fund’s
No written comments were solicited printing in the Commission’s Public
investments, including derivatives, will
or received with respect to the proposed Reference Room, 100 F Street NE.,
be consistent with the Fund’s
rule change. Washington, DC 20549, on official
investment objective and will not be
used to enhance leverage (although III. Date of Effectiveness of the business days between the hours of
certain derivatives and other Proposed Rule Change and Timing for 10:00 a.m. and 3:00 p.m. Copies of the
investments may result in leverage). Commission Action filing also will be available for
That is, while the Fund will be inspection and copying at the principal
permitted to borrow as permitted under Within 45 days of the date of office of the Exchange. All comments
the 1940 Act, the Fund’s investments publication of this notice in the Federal received will be posted without change;
will not be used to seek performance Register or within such longer period the Commission does not edit personal
that is the multiple or inverse multiple up to 90 days (i) as the Commission may identifying information from
(e.g., 2Xs and 3Xs) of the Fund’s designate if it finds such longer period
submissions. You should submit only
primary broad-based securities to be appropriate and publishes its
information that you wish to make
benchmark index (as defined in Form reasons for so finding or (ii) as to which
the self-regulatory organization available publicly. All submissions
N–1A). should refer to File Number SR–
The proposed rule change is designed consents, the Commission will:
NYSEArca–2017–86, and should be
to perfect the mechanism of a free and (A) By order approve or disapprove
the proposed rule change, or submitted on or before October 26,
open market and, in general, to protect
2017.
investors and the public interest in that (B) institute proceedings to determine
it will facilitate the listing and trading whether the proposed rule change For the Commission, by the Division of
of an additional type of actively- should be disapproved. Trading and Markets, pursuant to delegated
managed exchange-traded product that authority.30
IV. Solicitation of Comments
will enhance competition among market Eduardo A. Aleman,
ethrower on DSK3G9T082PROD with NOTICES
participants, to the benefit of investors Interested persons are invited to Assistant Secretary.
submit written data, views, and [FR Doc. 2017–21403 Filed 10–4–17; 8:45 am]
29 See Securities Exchange Act Release No. 77904 arguments concerning the foregoing,
BILLING CODE 8011–01–P
(May 25, 2016), 81 FR 35101 (June 1, 2016) (SR– including whether the proposed rule
NYSEArca–2016–17) (order approving listing and
trading of shares of the JPMorgan Diversified
change is consistent with the Act.
Alternative ETF under NYSE Arca Equities Rule Comments may be submitted by any of
8.600). the following methods: 30 17 CFR 200.30–3(a)(12).
VerDate Sep<11>2014 19:52 Oct 04, 2017 Jkt 244001 PO 00000 Frm 00099 Fmt 4703 Sfmt 9990 E:\FR\FM\05OCN1.SGM 05OCN1](https://thefederalregister.org/doc/82_FR_46758/page/9.svg)
Document Created: 2017-10-05 00:53:32
Document Modified: 2017-10-05 00:53:32
| 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 46566 |
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