82_FR_61873 82 FR 61625 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Amendment No. 1, and Order Granting Approval on an Accelerated Basis of a Proposed Rule Change, as Modified by Amendments No. 1 and No. 3, to List and Trade of Shares of the Breakwave Dry Bulk Shipping ETF Under NYSE Arca Rule 8.200-E, Commentary .02

82 FR 61625 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Amendment No. 1, and Order Granting Approval on an Accelerated Basis of a Proposed Rule Change, as Modified by Amendments No. 1 and No. 3, to List and Trade of Shares of the Breakwave Dry Bulk Shipping ETF Under NYSE Arca Rule 8.200-E, Commentary .02

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 82, Issue 248 (December 28, 2017)

Page Range61625-61635
FR Document2017-28078

Federal Register, Volume 82 Issue 248 (Thursday, December 28, 2017)
[Federal Register Volume 82, Number 248 (Thursday, December 28, 2017)]
[Notices]
[Pages 61625-61635]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2017-28078]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-82390; File No. SR-NYSE Arca-2017-107]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Amendment No. 1, and Order Granting Approval on an Accelerated Basis 
of a Proposed Rule Change, as Modified by Amendments No. 1 and No. 3, 
to List and Trade of Shares of the Breakwave Dry Bulk Shipping ETF 
Under NYSE Arca Rule 8.200-E, Commentary .02

December 22, 2017.

I. Introduction

    On September 8, 2017, NYSE Arca, Inc. (``Exchange'' or ``NYSE 
Arca'') filed with the Securities and Exchange Commission 
(``Commission''), pursuant to Section 19(b)(1)\1\ of the Securities 
Exchange Act of 1934 (``Act'' or ``Exchange Act'')\2\ and Rule 19b-4 
thereunder,\3\ a proposed rule change to

[[Page 61626]]

list and trade shares (``Shares'') of the Breakwave Dry Bulk Shipping 
ETF (``Fund'') under NYSE Arca Rule 8.200-E, Commentary .02. The 
proposed rule change was published for comment in the Federal Register 
on September 28, 2017.\4\ On December 5, 2017, the Exchange filed 
Amendment No. 1 to the proposed rule change, which amended and replaced 
the proposed rule change in its entirety.\5\ On December 20, 2017, the 
Exchange filed Amendment No. 2 to the proposed rule change. The 
Exchange withdrew Amendment No. 2 on December 21, 2017, and on the same 
day filed Amendment No. 3.\6\ No comments have been received regarding 
the proposed rule change. The Commission is providing notice of the 
filing of Amendment No. 1 to interested persons, and is approving the 
proposed rule change, as modified by Amendments No. 1 and No. 3, on an 
accelerated basis.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
    \4\ See Securities Exchange Act Release No. 81681(September 22, 
2017), 82 FR 45342.
    \5\ In Amendment No. 1, the Exchange: (1) Disclosed information 
regarding the dissemination of the Reference Indexes (defined 
below); (2) described further the exchanges that trade Freight 
Futures (defined below); (3) described the regulatory framework 
under which brokers that trade Freight Futures operate; (4) 
described how options held by the fund would be valued in 
calculating the Fund's net asset value; (5) discussed why it 
believes that the cut-off time for creation and redemption orders 
will not negatively impact arbitrage opportunities for the shares; 
(6) modified its description of how the indicative fund value would 
be calculated; (7) provided information regarding the availability 
of pricing information for Freight Futures and exchange listed 
options on such futures; (8) expanded its description of the scope 
of information that will be made available regarding the Fund's 
portfolio holdings; (9) expanded the continued listing standards 
applicable to the Shares; (10) limited the amount of exchange-listed 
options that may be held by the Fund that are not listed on an ISG/
CSSA market; (11) expanded its description of the surveillance 
applicable to Freight Futures and exchange-listed options on such 
futures; and (12) made other technical amendments. Amendment No. 1 
to the proposed rule change is available at: https://www.sec.gov/comments/sr-nysearca-2017-107/nysearca2017107-2759312-161596.pdf.
    \6\ In Amendment No. 3, the Exchange provided background 
information to support its proposal. Specifically, the Exchange: (1) 
identified the regulators of the markets that list Freight Futures; 
and (2) stated that Freight Futures have been cleared since 2005. 
Because Amendment No. 3 does not materially alter the substance of 
the proposed rule change or raise unique or novel regulatory issues, 
Amendment No. 3 is not subject to notice and comment. Amendment No. 
3 to the proposed rule change is available at: https://www.sec.gov/comments/sr-nysearca-2017-107/nysearca2017107-2837568-161712.pdf.
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II. Description of the Proposed Rule Change, as Modified by Amendment 
No. 1 and No. 3

    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 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to list and trade shares (``Shares'') of the 
following under NYSE Arca Rule 8.200-E, Commentary .02, which governs 
the listing and trading of Trust Issued Receipts: Breakwave Dry Bulk 
Shipping ETF (the ``Fund'').\7\
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    \7\ Commentary .02 to NYSE Arca Rule 8.200-E applies to Trust 
Issued Receipts that invest in ``Financial Instruments.'' The term 
``Financial Instruments,'' as defined in Commentary .02(b)(4) to 
NYSE Arca Rule 8.200-E, means any combination of investments, 
including cash; securities; options on securities and indices; 
futures contracts; options on futures contracts; forward contracts; 
equity caps, collars, and floors; and swap agreements.
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    The Fund will be a series of ETF Managers Group Commodity Trust I 
(the ``Trust).\8\ The Fund and the Trust will be managed and controlled 
by their sponsor and investment manager, ETF Managers Capital LLC (the 
``Sponsor''). The Sponsor is registered with the Commodity Futures 
Trading Commission (``CFTC'') as a commodity pool operator (``CPO'') 
and is a member of the National Futures Association (``NFA''). 
Breakwave Advisors LLC (``Breakwave'') is registered as a commodity 
trading advisor with the CFTC and will serve as the Fund's commodity 
trading advisor. ETFMG Financial LLC will be the Fund's distributor 
(``Distributor'' or ``Marketing Agent''). US Bancorp Fund Services LLC 
will be the Fund's ``Administrator'' and ``Transfer Agent''.
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    \8\ On June 2, 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 Fund (File No. 
333-218453) (the ``Registration Statement''). The description of the 
operation of the Trust and the Fund herein is based, in part, on the 
Registration Statement.
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    The Fund's Investment Objective and Strategy
    According to the Registration Statement, the Fund's investment 
objective will be to provide investors with exposure to the daily 
change in the price of dry bulk freight futures, before expenses and 
liabilities of the Fund, by tracking the performance of a portfolio 
(the ``Benchmark Portfolio'') consisting of a three-month strip of the 
nearest calendar quarter of futures contracts on specified indexes 
(each a ``Reference Index'') that measure rates for shipping dry bulk 
freight (``Freight Futures''). Each Reference Index is published each 
U.K. business day by the London-based Baltic Exchange Ltd \9\ and 
measures the charter rate for shipping dry bulk freight in a specific 
size category of cargo ship--Capesize, Panamax or Supramax. The three 
Reference Indexes are as follows: Capesize: The Capesize 5TC Index; 
Panamax: The Panamax 4TC Index; and Supramax: the Supramax 6TC 
Index.\10\ The value of the Capesize

[[Page 61627]]

5TC Index is disseminated at 11:00 a.m., London Time and the value of 
the Panamax 4TC Index and the Supramax 6TC Index each is disseminated 
at 1:00 p.m., London Time. The Reference Index information disseminated 
by the Baltic Exchange also includes the components and value of each 
component in each Reference Index. Such Reference Index information 
also is widely disseminated by Reuters and/or other major market data 
vendors.
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    \9\ The Baltic Exchange, which is a wholly owned subsidiary of 
the Singapore Exchange Ltd (``SGX''), is a membership organization 
and an independent source of maritime market information for the 
trading and settlement of physical and derivative shipping 
contracts. According to the Baltic Exchange, this information is 
used by shipbrokers, owners and operators, traders, financiers and 
charterers as a reliable and independent view of the dry and tanker 
markets.
    \10\ The Reference Indexes are published by the Baltic 
Exchange's subsidiary company, Baltic Exchange Information Services 
Ltd (``Baltic''), which publishes a wide range of market reports, 
fixture lists and market rate indicators on a daily and (in some 
cases) weekly basis. The Baltic indices, which include the Reference 
Indexes, are an assessment of the price of moving the major raw 
materials by sea. The indices are based on assessments of the cost 
of transporting various bulk cargoes, both wet (e.g., crude oil and 
oil products) and dry (e.g., coal and iron ore), made by leading 
shipbroking houses located around the world on a per tonne and daily 
hire basis. The information is collated and published by the Baltic 
Exchange. Procedures relating to administration of the Baltic 
indices are set forth in ``The Baltic Exchange, Guide to Market 
Benchmarks'' November 2016 (the ``Guide''), including production 
methods, calculation, confidentiality and transparency, duties of 
panelists, code of conduct, audits and quality control. The Guide is 
available at www.balticexchange.com. According to the Guide, these 
procedures are in compliance with the ``Principles for Financial 
Benchmarks'' issued by the International Organization of Securities 
Commissioners (or ``IOSCO'') (the ``IOSCO Principles''). The IOSCO 
Principles are designed to enhance the integrity, the reliability 
and the oversight of benchmarks by establishing guidelines for 
benchmark administrators and other relevant bodies in the following 
areas: Governance: to protect the integrity of the benchmark 
determination process and to address conflicts of interest; 
Benchmark quality: to promote the quality and integrity of benchmark 
determinations through the application of design factors; Quality of 
the methodology: To promote the quality and integrity of 
methodologies by setting out minimum information that should be 
addressed within a methodology. These principles also call for 
credible transition policies in case a benchmark may cease to exist 
due to market structure change. Accountability mechanisms: to 
establish complaints processes, documentation requirements and audit 
reviews. The IOSCO Principles provide a framework of standards that 
might be met in different ways, depending on the specificities of 
each benchmark. In addition to a set of high level principles, the 
framework offers a subset of more detailed principles for benchmarks 
having specific risks arising from their reliance on submissions 
and/or their ownership structure. For further information concerning 
the IOSCO Principles, see http://www.iosco.org/library/pubdocs/pdf/IOSCOPD415.pdf.
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    The Fund will seek to achieve its investment objective by investing 
substantially all of its assets in the Freight Futures currently 
constituting the Benchmark Portfolio. The Benchmark Portfolio will 
include all existing positions to maturity and settle them in cash. 
During any given calendar quarter, the Benchmark Portfolio will 
progressively increase its position to the next calendar quarter three-
month strip, thus maintaining constant exposure to the Freight Futures 
market as positions mature.
    The Benchmark Portfolio will maintain long-only positions in 
Freight Futures. The Benchmark Portfolio will hold a combination of 
Capesize, Panamax and Supramax Freight Futures. More specifically, the 
Benchmark Portfolio will hold 50% exposure in Capesize Freight Futures 
contracts, 40% exposure in Panamax Freight Futures contracts and 10% 
exposure in Supramax Freight Futures contracts. The Benchmark Portfolio 
will not include and the Fund will not invest in swaps, non-cleared dry 
bulk freight forwards or other over-the-counter derivative instruments 
that are not cleared through exchanges or clearing houses. The Fund may 
hold exchange-traded options on Freight Futures. The Benchmark 
Portfolio is maintained by Breakwave and will be rebalanced annually.
    When establishing positions in Freight Futures, the Fund will be 
required to deposit initial margin with a value of approximately 10% to 
40% of the notional value of each Freight Futures position at the time 
it is established. These margin requirements are established and 
subject to change from time to time by the relevant exchanges, clearing 
houses or the Fund's futures commission merchant (``FCM''). On a daily 
basis, the Fund will be obligated to pay, or entitled to receive, 
variation margin in an amount equal to the change in the daily 
settlement level of its Freight Futures positions. Any assets not 
required to be posted as margin with the FCM will be held at the Fund's 
custodian in cash or cash equivalents.\11\
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    \11\ The Fund will hold cash or cash equivalents, such as U.S. 
Treasuries or other high credit quality, short-term fixed-income or 
similar securities for direct investment or as collateral for the 
U.S. Treasuries and for other liquidity purposes, and to meet 
redemptions that may be necessary on an ongoing basis.
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    The Fund will seek to achieve its objective by purchasing Freight 
Futures that are cleared through major exchanges (see description of 
Freight Futures below). The Fund will place purchase orders for Freight 
Futures with an execution broker. The broker will identify a selling 
counterparty and, simultaneously with the completion of the 
transaction, will submit the block traded Freight Futures to the 
relevant exchange or clearing house for clearing, thereby completing 
and creating a cleared futures transaction. If the exchange or clearing 
house does not accept the transaction for any reason, the transaction 
will be considered null and void and of no legal effect.
    The principal markets for Freight Futures are Nasdaq Stockholm AB 
and SGX. Other exchanges that clear Freight Futures are ICE Futures US 
(the ``ICE''), the Chicago Mercantile Exchange (``CME'') and the 
European Energy Exchange (``EEX''). In each case, the applicable 
exchange acts as a counterparty for each member for clearing 
purposes.\12\ The Fund's investments in Freight Futures will be cleared 
by Nasdaq Stockholm AB, CME, SGX, ICE and/or the European Energy 
Exchange (``EEX'').\13\ Nasdaq Stockholm AB is regulated by the Swedish 
Financial Supervisory Authority. SGX is regulated by the Monetary 
Authority of Singapore. EEX is regulated by the Federal Financial 
Supervisory Authority in Germany. The ICE and CME are regulated in the 
U.S. by the CFTC.
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    \12\ LCH.Clearnet currently clears Freight Futures but has 
announced that, as of December 28, 2017, it will no longer clear 
Freight Futures.
    \13\ Nasdaq Stockholm AB, SGX, CME and ICE are members of the 
Intermarket Surveillance Group (``ISG''). See note 19, infra.
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    Freight futures clearing has been occurring since 2005.
    The Benchmark Portfolio will consist of positions in the three-
month strip of the nearest calendar quarter of Freight Futures and roll 
them constantly to the next calendar quarter. The four-calendar 
quarters are January, February, and March (Q1), April, May, and June 
(Q2), July, August, and September (Q3), and October, November and 
December (Q4). The Benchmark Portfolio will consist of an equal number 
of Freight Futures in each of the three months comprising the nearby 
calendar quarter at the beginning of such quarter.
    Throughout the quarter, the Fund will attempt to roll positions in 
the nearby calendar quarter, on a pro rata basis. For example, if the 
Fund was currently holding the Q1 calendar quarter comprising the 
January, February and March monthly contracts, each week in the month 
of February, the Fund will attempt to purchase Q2 contracts in an 
amount equal to approximately one quarter of the expiring February 
positions. As a result, by the end of February, the Fund would have 
rolled the February position to Q2 contracts, leaving the Fund with 
March and Q2 contracts. At the end of March, the Fund will have 
completed the roll and will then hold only Q2 exposure comprising 
April, May and June monthly contracts. Since Freight Futures contracts 
are cash settled, the Fund need not sell out of existing contracts. 
Rather, it will hold such contracts to expiration and apply the above 
methodology in order acquire the nearby calendar contract.
    The Benchmark Portfolio will be rebalanced annually. The Benchmark 
Portfolio's initial allocation will be approximately 50% Capesize 
Freight Futures contracts, 40% Panamax Freight Futures contracts and 
10% Supramax Freight Futures contracts. The above allocation will be 
based on contract value, not number of lots. Given each asset's 
individual price movements during the year, such percentages might 
deviate from the targeted allocation.
    During the month of December of each year, the Fund will rebalance 
its portfolio in order to bring the allocation of assets back to the 
desirable levels. During this period, the Fund would purchase or sell 
Freight Futures to achieve its targeted allocation.
    The Sponsor anticipates that the Fund's Freight Futures positions 
will be held to expiration and settle in cash against the respective 
Reference Index as published by the Baltic Exchange. However, positions 
may be closed out to meet orders for redemption of baskets, in which 
case the proceeds from the closed positions will not be reinvested.
    The Fund's portfolio will be traded with a view to reflecting the 
performance of the Benchmark Portfolio, whether the Benchmark Portfolio 
is rising, falling or flat over any particular period. To maintain the 
correlation between the Fund and the change in the Benchmark Portfolio, 
the Sponsor may adjust the Fund's portfolio of investments on a daily 
basis in response to creation and redemption orders or otherwise as 
required.

[[Page 61628]]

Overview of the Dry Bulk Freight Industry
    As stated in the Registration Statement, the following is a brief 
introduction of the global dry bulk freight industry. The data 
presented below is derived from information released from various 
third-party sources. The third-party sources from which certain of the 
information presented below include the United Nations Conference on 
Trade and Development, the Baltic and International Maritime Council, 
Bloomberg and others. Dry bulk shipping is a 150-plus year-old industry 
focusing on the transportation of dry bulk commodities using oceangoing 
vessels named dry bulk carriers. Dry bulk carriers are ships that have 
cargo loaded directly into the ship's storage holds. The cargos 
transported are dry commodities that do not need to be carried in 
packaged form. Dry commodity cargos (mainly iron ore, coal and grains) 
are homogenous and are loaded with bucket cranes, conveyors or pumps. 
Crude oil and refined products, while shipped in bulk, are wet cargos 
and are transported on tanker vessels, rather than dry bulk carriers. 
Dry bulk carriers have an average useful life of approximately 25 years 
and are measured on size or capacity in dead weight tons (``DWT'').
    Dry bulk carriers come in various sizes:
    Capesizes (100,000+ DWT) are the largest of the dry bulk asset 
classes. Capesizes primarily transport iron ore and coal. Traditional 
Capesize routes are from Australia to Asia, and from Brazil to Europe 
and Asia. There are about 1,650 Capesizes worldwide. The Capesize fleet 
is about 40% of the dry bulk fleet by DWT capacity.
    Panamaxes (65,000--100,000 DWT) primarily transport coal, grain and 
iron ore. The Panamax is the largest vessel class that can transit the 
(old) Panama Canal. There are about 2,500 Panamaxes worldwide 
representing 24% of the global fleet by capacity.
    Handymaxes (40,000--65,000 DWT) are the work horse of the industry, 
carrying the whole spectrum of dry bulk commodities: grain, coal, iron 
ore, and minor bulks. A sub-category of Handymaxes are vessels with 
capacities of 50,000-65,000 that are called Supramaxes. There are 3,400 
Handymaxes worldwide representing about 25% of the global fleet by DWT 
capacity.
    Handysizes (10,000--40,000 DWT) bulkers typically transport grain, 
coal, and minor bulks. Handysize bulkers tend to trade regionally. 
There are about 3,300 Handysize bulkers in the fleet, or about 11% of 
the global fleet by DWT capacity.
Dry Bulk Vessel Supply
    According to the Registration Statement, there are approximately 
10,500 dry bulk vessels worldwide with a carrying capacity of roughly 
790 million DWT and an average age of approximately 8 years. Supply of 
dry bulk ships is dynamic.
    Factors impacting dry bulk supply include new orders, the scrapping 
of older vessels, new shipbuilding technologies, vessel congestion in 
ports, closures of major waterways, including canals, and wars and 
other geopolitical conflicts that can restrict access to vessels 
available for shipping dry bulk freight.
Demand for Dry Bulk Freight
    According to the Registration Statement, dry bulk demand has seen 
steady growth over the past two decades, as the Asian economies have 
exhibited robust demand for raw materials on the back of strong 
economic growth. Iron ore, the main component of steel production, has 
been the main driver of dry bulk freight demand growth. The higher 
demand for such raw materials has led to increasing demand for dry bulk 
shipping, as the regions that produce and consume raw materials are 
located far apart.
    Demand for dry bulk freight is generally measured in ton-miles, 
which corresponds to one ton of freight carried one mile. Such measure 
takes into consideration both the quantity of cargo transport but also 
the distance between loading and offloading ports. Over the last 10 
years, dry bulk freight demand growth for major commodities has 
averaged approximately 6% per year. In 2015, dry bulk freight demand 
growth for major commodities declined for the first time in at least 15 
years, while in 2016, it is estimated to have increased by 
approximately 2%. Weaker iron ore and coal imports to China were the 
main reasons for the below trend growth.
    Factors impacting demand for shipping dry bulk freight include 
global economic growth, demand for iron ore, demand for metallurgical 
and thermal coal, demand for grains, government regulations, taxes and 
tariffs, fuel prices, vessel speeds and new trade routes.
Dry Bulk Freight Charter Rates
    According to the Registration Statement, dry bulk freight ``charter 
rates'' reflect the price paid for the use of the ship to transport a 
bulk commodity. The most commonly used freight rate is the timecharter 
rate, which is measured in U.S. Dollars per day. Dry bulk timecharter 
rates have exhibited significant volatility in the last 15 years. From 
2003 to 2008, faster growth rates in demand for dry bulk ships was not 
matched by growth in supply of ships and thus, charter rates increased 
considerably, reaching their highest point in 2008. Following the 
global financial crisis, growth in supply of ships exceeded demand, 
leading to a considerable drop in charter rates. Over the last five 
years, rates have generally been weak compared to historical levels, as 
higher supply and relatively weak demand growth led to lower 
utilization rates in the industry.
    A common industry measure of dry bulk rates is the Baltic Dry Index 
(``BDI''). The BDI is an economic indicator issued daily by the Baltic 
Exchange. The BDI provides an assessment of the price of moving the 
major raw materials by sea throughout the world. Taking in 21 shipping 
routes measured on a timecharter basis, the index covers Handysize, 
Supramax, Panamax, and Capesize dry bulk carriers carrying a range of 
commodities including coal, iron ore and grain. Each individual asset 
class also has its own index (i.e., a Reference Index), which is also 
published daily by the Baltic Exchange and reflects a weighted average 
assessment of different standardized routes around the world.
    The BDI has reflected the volatility of charter rates over the last 
15 years, reaching its highest point on record in 2008 at 11,793. In 
2016, it reached its lowest point on record at 290. The average price 
of the BDI in the 15 years from 2001 to 2016 has been 2,567, and the 
median price has been 1,747. As of March 31, 2017, the BDI stood at 
1,200.
Freight Futures
    According to the Registration Statement, freight futures are 
financial futures contracts that allow ship owners, charterers and 
speculators to hedge against the volatility of freight rates. The 
Freight Futures are built on indices composed of baskets of routes for 
dry bulk freight, such as the Capesize 5TC Index, Panamax 4TC Index and 
Supramax 6TC Index. Freight Futures are financial instruments that 
trade off-exchange but then are cleared through an exchange. Market 
participants communicate their buy or sell orders through a network of 
execution brokers mainly through phone or instant messaging platforms 
with specific trading instructions related to price, size, and type of 
order. The execution broker receives such order and then attempts to 
match it with

[[Page 61629]]

a counterpart. Once there is a match and both parties confirm the 
transaction, the execution broker submits the transaction details 
including trade specifics, counterparty details and accounts to the 
relevant exchange for clearing, thus completing a cleared block futures 
transaction. The exchange will then require the relevant member or FCM 
to submit the necessary margin to support the position similar to other 
futures clearing and margin requirements.
    Freight Futures are listed and cleared on the following exchanges: 
Nasdaq Stockholm AB, CME, ICE Futures U.S., SGX, and EEX.
    Freight Futures settle monthly over the arithmetic average of spot 
index assessments in the contract month for the relevant underlying 
product, rounded to one decimal place. The daily index publication, 
against which Freight Futures settle, is published by the Baltic 
Exchange.
    Generally, Freight Futures trade from approximately 12:00 a.m. 
Eastern Time (``E.T.'') to approximately 12:00 p.m. E.T. The great 
majority of trading volume occurs during London business hours, from 
approximately 3:00 a.m. E.T. time to approximately 12:00 p.m. E.T. Some 
limited trading takes place during Asian business hours as well (12:00 
a.m.-3:00 a.m. E.T.).
    Exchanges have a cutoff time of 1:00 p.m. E.T. for clearing the 
respective day's trades (SGX clears Freight Futures from 6:25 p.m. E.T. 
to 3:45 p.m. E.T. (next day) or, during part of the year, from 7:25 
p.m. to 4:45 p.m. E.T. (next day)). The final closing prices for 
settlement are published daily around 1:30 p.m. E.T. Final cash 
settlement occurs the first business day following the expiry day.
    Freight Futures are quoted in U.S. Dollars per day, with a minimum 
lot size of one. One lot represents one day of freight costs, as 
freight rates are measured in U.S. Dollars per day. The nominal value 
of a contract is simply the product of lots and Freight Futures prices. 
There are Futures Contracts of up to 72 consecutive months, starting 
with the current month, available for trading for each vessel class.
    Similar to other futures, Freight Futures are subject to margin 
requirements by the relevant exchanges. The Sponsor anticipates that 
approximately 10% to 40% of the Fund's assets will be used as payment 
for or collateral for Freight Futures contracts. In order to 
collateralize its Freight Futures positions, the Fund will hold such 
assets, from which it will post margin to its FCM in an amount equal to 
the margin required by the relevant exchanges, and transfer to its FCM 
any additional amounts that may be separately required by the FCM.
    According to the Registration Statement, most of the daily trading 
takes place over phones and instant messaging platforms.\14\ Trading 
screens also exist and some trading also happens through such screens. 
Brokers are required to report to the relevant exchanges each trade 
that takes place. Freight Futures liquidity has remained relatively 
constant, in lot terms, over the last five years with approximately 1.1 
million lots trading annually. Open interest currently stands at 
approximately 290,000 lots across all asset classes representing an 
estimated value of more than $3 billion. Of such open interest, 
Capesize contracts account for approximately 50%, Panamax for 
approximately 40% and Handymax for approximately 10%. Major market 
participants in Freight Futures market include: commodity producers, 
commodity users, commodity trading houses, ship operators, major banks, 
investment funds and independent ship owners.
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    \14\ Freight Futures are primarily traded through broker members 
of the Forward Freight Agreement Brokers Association (``FFABA''), 
such as Clarkson's Securities, Simpson Spence Young, Freight 
Investor Services, GFI Group, BRS Group and ICAP. Members of the 
FFABA must be members of the Baltic Exchange and must be regulated 
by the Financial Conduct Authority if resident in the U.K., or if 
not resident in the U.K., by an equivalent body if required by the 
authorities in the jurisdiction. Source: The Baltic Code of the 
Baltic Exchange.
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Calculating Net Asset Value (``NAV'')
    The Fund's NAV will be calculated by taking the current market 
value of its total assets, subtracting any liabilities; and dividing 
that total by the total number of outstanding Shares.
    The Administrator will calculate the NAV of the Fund once each NYSE 
Arca trading day. The NAV for a particular trading day will be released 
after 4:00 p.m. E.T. The Administrator will use the Baltic Exchange 
closing price for the Freight Futures. Option contracts will be valued 
at their most recent sale price on the applicable exchange. The 
Administrator will calculate or determine the value of all other Fund 
investments using market quotations, if available, or other information 
customarily used to determine the fair value of such investments as of 
the close of the NYSE Arca Core Trading Session (normally 4:00 p.m. 
E.T.). The information may include costs of funding, to the extent 
costs of funding are not and would not be a component of the other 
information being utilized. Third parties supplying quotations or 
market data may include, without limitation, dealers in the relevant 
markets, end-users of the relevant product, information vendors, 
brokers and other sources of market information.
Indicative Fund Value
    In order to provide updated information relating to the Fund for 
use by investors and market professionals, an updated indicative fund 
value (``IFV'') will be made available through on-line information 
services throughout the Exchange Core Trading Session (normally 9:30 
a.m. to 4:00 p.m., E.T.) on each trading day. The IFV will be 
calculated by using the prior day's closing NAV per Share of the Fund 
as a base and updating that value throughout the trading day to reflect 
changes in the most recently reported trade price for the futures and/
or options held by the Fund. The IFV disseminated during NYSE Arca Core 
Trading Session hours should not be viewed as an actual real time 
update of the NAV, because the NAV will be calculated only once at the 
end of each trading day based upon the relevant end of day values of 
the Fund's investments.
    The IFV will be disseminated on a per Share basis every 15 seconds 
during regular NYSE Arca Core Trading Session hours of 9:30 a.m. E.T. 
to 4:00 p.m. E.T. The customary trading hours of the Freight Futures 
trading are 3:00 a.m. E.T. to 12:00 p.m. E.T. This means that there is 
a gap in time at the end of each day during which the Fund's Shares 
will be traded on the NYSE Arca, but real-time trading prices for 
contracts are not available. During such gaps in time the IFV will be 
calculated based on the end of day price of such contracts from the 
Baltic Exchange's immediately preceding settlement prices. In addition, 
other investments and U.S. Treasuries held by the Fund will be valued 
by the Administrator using rates and points received from client-
approved third party vendors (such as Reuters and WM Company) and 
broker-dealer quotes. These investments will not be included in the 
IFV.
    Dissemination of the IFV provides additional information that is 
not otherwise available to the public and is useful to investors and 
market professionals in connection with the trading of the Fund's 
Shares on the NYSE Arca. Investors and market professionals are able 
throughout the trading day to compare the market price of Fund Shares 
and the IFV. If the market price of the Fund Shares diverges 
significantly from the IFV, market professionals will have an incentive 
to execute arbitrage trades. For example, if the Fund's Shares appears 
to

[[Page 61630]]

be trading at a discount compared to the IFV, a market professional 
could buy the Fund's Shares on the NYSE Arca and take the opposite 
position in Freight Futures. Such arbitrage trades can tighten the 
tracking between the market price of the Fund's Shares and the IFV and 
thus can be beneficial to all market participants.
Creation and Redemption of Shares
    According to the Registration Statement, the Fund will create and 
redeem Shares from time to time in one or more ``Creation Baskets'' or 
``Redemption Baskets'' (collectively, the ``Baskets''). A Basket 
consists of 50,000 Shares. The creation and redemption of Baskets will 
only be made in exchange for delivery to the Fund or the distribution 
by the Fund of the amount of Treasuries and any cash represented by the 
Baskets being created or redeemed, the amount of which is based on the 
combined NAV of the number of Shares included in the Baskets being 
created or redeemed determined as of 4:00 p.m. E.T. on the day the 
order to create or redeem Baskets is properly received.
    ``Authorized Participants'' are the only persons that may place 
orders to create and redeem Baskets. Authorized Participants must be 
(1) registered broker-dealers or other securities market participants, 
such as banks and other financial institutions, that are not required 
to register as broker-dealers to engage in securities transactions 
described below, and (2) Depository Trust Company (``DTC'') 
participants.
Creation Procedures
    On any business day, an Authorized Participant may place an order 
with the Transfer Agent to create one or more Baskets. For purposes of 
processing purchase and redemption orders, a ``business day'' means any 
day other than a day when any of the NYSE Arca, the Baltic Exchange or 
the New York Stock Exchange is closed for regular trading. Purchase 
orders must be placed by 1:00 p.m. E.T. or the close of the Core 
Trading Session on NYSE Arca, whichever is earlier. The day on which a 
valid purchase order is received in accordance with the terms of the 
``Authorized Participant Agreement'' is referred to as the purchase 
order date. Purchase orders are irrevocable.
Determination of Required Payment
    The total payment required to create each Creation Basket is the 
NAV of 50,000 Shares on the purchase order date, but only if the 
required payment is timely received. To calculate the NAV, the 
Administrator will use the Baltic Exchange settlement price (typically 
determined after 2:00 p.m. E.T.) for the Freight Futures. Because 
orders to purchase Baskets must be placed no later than 1:00 p.m., 
E.T., but the total payment required to create a Basket typically will 
not be determined until after 2:00 p.m., E.T., on the date the purchase 
order is received, Authorized Participants will not know the total 
amount of the payment required to create a Basket at the time they 
submit an irrevocable purchase order.
Delivery of Required Payment
    An Authorized Participant who places a purchase order shall 
transfer to the Administrator the required amount of Freight Futures, 
U.S. Treasuries and/or cash, or a combination of them, by the end of 
the next business day following the purchase order date. Upon receipt 
of the deposit amount, the Administrator will direct DTC to credit the 
number of Baskets ordered to the Authorized Participant's DTC account 
on the next business day following the purchase order date.
Redemption Procedures
    According to the Registration Statement, the procedures by which an 
Authorized Participant can redeem one or more Baskets will mirror the 
procedures for the creation of Baskets. On any business day, an 
Authorized Participant may place an order with the Transfer Agent, and 
accepted by the Distributor, to redeem one or more Baskets. Redemption 
orders must be placed by 1:00 p.m. E.T. or the close of the Core 
Trading Session on the NYSE Arca, whichever is earlier.\15\ A 
redemption order so received will be effective on the date it is 
received in satisfactory form in accordance with the terms of the 
Authorized Participant Agreement. The day on which the Marketing Agent 
receives a valid redemption order is the redemption order date. 
Redemption orders are irrevocable. By placing a redemption order, an 
Authorized Participant agrees to deliver the baskets to be redeemed 
through DTC's book-entry system to the Fund not later than 1:00 p.m., 
E.T., on the next business day immediately following the redemption 
order date.
---------------------------------------------------------------------------

    \15\ The Sponsor represents that it believes that the designated 
time by which orders to create or redeem must be received by the 
Transfer Agent (1:00 p.m. E.T.) will not have a material impact on 
an Authorized Participant's arbitrage opportunities with respect to 
the Fund. As noted above, Freight Futures are cleared by SGX until 
3:45 p.m. E.T (or 4:45 p.m. E.T. during part of the year) and such 
clearing activity on SGX will serve as an arbitrage mechanism for 
trading in the Fund's Shares. In addition, price information 
regarding trading of Freight Futures and options on Freight Futures 
on the applicable exchange and end-of-day settlement prices 
published by the applicable exchange will be available during the 
Core Trading Session.
---------------------------------------------------------------------------

Determination of Redemption Proceeds
    The redemption proceeds from the Fund will consist of a cash 
redemption amount equal to the NAV of the number of Baskets requested 
in the Authorized Participant's redemption order on the redemption 
order date.
    Because orders to redeem Baskets must be placed no later than 1:00 
p.m., E.T., but the total amount of redemption proceeds typically will 
not be determined until after 2:00 p.m., E.T., on the date the 
redemption order is received, Authorized Participants will not know the 
total amount of the redemption proceeds at the time they submit an 
irrevocable redemption order.
    The redemption proceeds due from the Fund will be delivered to the 
Authorized Participant at 1:00 p.m., E.T., on the next business day 
immediately following the redemption order date if, by such time, the 
Fund's DTC account has been credited with the Baskets to be redeemed.
Availability of Information
    The NAV for the Fund's Shares will be disseminated daily to all 
market participants at the same time. The intraday, closing prices, and 
settlement prices of the Freight Futures will be readily available from 
the applicable futures exchange websites, automated quotation systems, 
published or other public sources, or major market data vendors.
    Complete real-time data for Freight Futures is available by 
subscription through on-line information services. Quotation and last-
sale information regarding the Shares will be disseminated through the 
facilities of the Consolidated Tape Association (``CTA''). The IFV will 
be available through on-line information services. The Freight Futures 
and exchange-traded options on Freight Futures trading prices will be 
disseminated by one or more major market data vendors during the NYSE 
Arca Core Trading Session of 9:30 a.m. to 4:00 p.m. E.T. Nasdaq 
Stockholm AB, SGX, CME, ICE Futures US and EEX provide on a daily 
basis, transaction volumes, transaction prices, trade time, and open 
interest on their respective websites. In addition, historical data 
also exists for volumes and open interest. Daily settlement prices and 
historical settlement prices are available through a subscription 
service to the Baltic Exchange, which maintains the licensing rights of 
relevant freight data. However, the exchanges provide the daily 
settlement

[[Page 61631]]

price change of Freight Futures on their respective websites. Certain 
Freight Futures brokers provide real time pricing information to the 
general public either through their websites or through data vendors 
such as Bloomberg or Reuters. Most Freight Futures brokers provide, 
upon request, individual electronic screens that market participants 
can use to transact, place orders or only monitor Freight Futures 
market price levels.
    In addition, the Fund's website, www.drybulketf.com, will display 
the applicable end of day closing NAV. The Freight Futures currently 
constituting the Benchmark Portfolio, as well as the daily holdings of 
the Fund will be available on the Fund's website. The daily holdings of 
the Benchmark Portfolio and the Fund will be available on the Fund's 
website before 9:30 a.m. E.T. each day. The website disclosure of 
portfolio holdings will be made daily and will include, as applicable, 
(i) the composite value of the total portfolio, (ii) the quantity and 
type of each holding (including the ticker symbol, maturity date or 
other identifier, if any) and other descriptive information including, 
in the case of an option, its strike price, (iii) the percentage 
weighting of each holding in the Fund's portfolio; (iv) the number of 
Freight Futures contracts and the value of each Freight Futures (in 
U.S. dollars), (v) the type (including maturity, ticker symbol, or 
other identifier) and value of each Treasury security and cash 
equivalent, and (vi) the amount of cash held in the Fund's portfolio. 
The Fund's website will be publicly accessible at no charge.
    The daily closing Benchmark Portfolio level and the percentage 
change in the daily closing level for the Benchmark Portfolio will be 
publicly available from one or more major market data vendors. The 
intraday value of the Benchmark Portfolio, updated every 15 seconds, 
will also be available through major market data vendors.
    This website disclosure of the Benchmark Portfolio's and the Fund's 
daily holdings will occur at the same time as the disclosure by the 
Trust of the daily holdings to Authorized Participants so that all 
market participants are provided daily holdings information at the same 
time. Therefore, the same holdings information will be provided on the 
public website as well as in electronic files provided to Authorized 
Participants. Accordingly, each investor will have access to the 
current daily holdings of the Fund through the Fund's website.
Trading Halts
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares of the Fund.\16\ 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.
---------------------------------------------------------------------------

    \16\ See NYSE Arca Rule 7.12-E.
---------------------------------------------------------------------------

    The Exchange may halt trading during the day in which an 
interruption to the dissemination of the IFV or the value of the 
Benchmark Portfolio occurs. If the interruption to the dissemination of 
the IFV, or the value of the Benchmark Portfolio persists past the 
trading day in which it occurred, the Exchange will halt trading no 
later than the beginning of the trading day following the interruption. 
In addition, if the Exchange becomes aware that the NAV with respect to 
the Shares is not disseminated to all market participants at the same 
time, it will halt trading in the Shares until such time as the NAV is 
available to all market participants.
Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities. Shares will trade on 
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. in accordance with 
NYSE Arca Rule 7.34-E (Early, Core, and Late Trading Sessions). The 
Exchange has appropriate rules to facilitate transactions in the Shares 
during all trading sessions. As provided in NYSE Arca Rule 7.6-E, the 
minimum price variation (``MPV'') for quoting and entry of orders in 
equity securities traded on the NYSE Arca Marketplace is $0.01, with 
the exception of securities that are priced less than $1.00 for which 
the MPV for order entry is $0.0001.
    The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Rule 8.200-E. The trading of the Shares will 
be subject to NYSE Arca Rule 8.200-E, Commentary .02(e), which sets 
forth certain restrictions on Equity Trading Permit (``ETP'') Holders 
acting as registered Market Makers in Trust Issued Receipts to 
facilitate surveillance. The Exchange represents that, for initial and 
continued listing, the Funds will be in compliance with Rule 10A-3 \17\ 
under the Act, as provided by NYSE Arca Rule 5.3-E. A minimum of 
100,000 Shares will be outstanding at the commencement of trading on 
the Exchange.
---------------------------------------------------------------------------

    \17\ 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.\18\ The Exchange represents that 
these procedures are adequate to properly monitor Exchange trading of 
the Shares of the Funds in all trading sessions and to deter and detect 
violations of Exchange rules and federal securities laws applicable to 
trading on the Exchange.
---------------------------------------------------------------------------

    \18\ 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, Freight Futures, 
and exchange-traded options on Freight Futures with other markets and 
other entities that are members of the ISG, and the Exchange or FINRA, 
on behalf of the Exchange, or both, may obtain trading information 
regarding trading in the Shares, Freight Futures, and exchange-traded 
options on Freight Futures from such markets and other entities. In 
addition, the Exchange may obtain information regarding trading in the 
Shares, Freight Futures, and exchange-traded options on Freight Futures 
from markets and other entities that are members of ISG or with which 
the Exchange has in place a comprehensive surveillance sharing 
agreement (``CSSA'').\19\
---------------------------------------------------------------------------

    \19\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Funds may trade on markets that are members of ISG or with which the 
Exchange has in place a CSSA.
---------------------------------------------------------------------------

    Not more than 10% of the net assets of the Fund in the aggregate 
invested in Freight Futures and exchange-traded options on Freight 
Futures shall consist of Freight Futures and exchange-traded

[[Page 61632]]

options on Freight Futures whose principal market is not a member of 
the ISG or is a market with which the Exchange does not have a CSSA.
    In addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
    All statements and representations made in this filing regarding 
(a) the description of the Reference Indexes and portfolios, (b) 
limitations on portfolio holdings or reference assets, or (c) 
applicability of Exchange listing rules specified in this filing shall 
constitute continued listing requirements for listing the Shares on the 
Exchange.
    The 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 
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 IFV will not be calculated or publicly disseminated; (2) the 
procedures for purchases and redemptions of Shares in Creation Baskets 
and Redemption Baskets (and that Shares are not individually 
redeemable); (3) NYSE Arca Rule 9.2-E(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 IFV 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 confirmation of a transaction; 
and (7) trading information.
    In addition, the Information Bulletin will advise ETP Holders, 
prior to the commencement of trading, of the prospectus delivery 
requirements applicable to the Fund. The Exchange notes that investors 
purchasing Shares directly from the Fund will receive a prospectus. ETP 
Holders purchasing Shares from the Fund for resale to investors will 
deliver a prospectus to such investors. 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 the 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 Freight Futures 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 after 
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 
Fund's website.
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders of the suitability requirements of NYSE Arca Rule 9.2-E(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.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \20\ 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.
---------------------------------------------------------------------------

    \20\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NYSE Arca Rule 8.200-E. The 
Exchange has in place surveillance procedures that are adequate to 
properly monitor trading in the Shares of the Fund in all trading 
sessions and to deter and detect violations of Exchange rules and 
applicable federal securities laws. The Exchange or FINRA, on behalf of 
the Exchange, or both, will communicate as needed regarding trading in 
the Shares, Freight Futures, and exchange-traded options on Freight 
Futures with other markets and other entities that are members of the 
ISG, and the Exchange or FINRA, on behalf of the Exchange, or both, may 
obtain trading information regarding trading in the Shares, Freight 
Futures, and exchange-traded options on Freight Futures from such 
markets and other entities. In addition, the Exchange may obtain 
information regarding trading in the Shares, Freight Futures, and 
exchange-traded options on Freight Futures from markets and other 
entities that are members of ISG or with which the Exchange has in 
place a CSSA. Not more than 10% of the net assets of the Fund in the 
aggregate invested in Freight Futures and exchange-traded options on 
Freight Futures shall consist of Freight Futures and exchange-traded 
options on Freight Futures whose principal market is not a member of 
the ISG or is a market with which the Exchange does not have a CSSA. 
The Exchange will make available on its website daily trading volume of 
each of the Shares, closing prices of such Shares, and number of Shares 
outstanding. The intraday, closing prices, and settlement prices of 
Freight Futures will be readily available from the Baltic Exchange 
website, automated quotation systems, published or other public 
sources, or on-line information services.
    Complete real-time data for the Freight Futures is available by 
subscription from on-line information services. Quotation and last-sale 
information regarding the Shares will be disseminated through the 
facilities of the CTA. The IFV will be available through on-line 
information services. The Freight Futures trading prices will be 
disseminated by one or more major market data vendors every 15 seconds 
during the NYSE Arca Core Trading Session of 9:30 a.m. to 4:00 p.m. 
E.T. Nasdaq Stockholm AB, SGX, CME, ICE

[[Page 61633]]

Futures US and EEX provide on a daily basis, transaction volumes, 
transaction prices, trade time, and open interest on their respective 
websites. In addition, the Fund's website, will display the applicable 
end of day closing NAV. The daily holdings of the Fund will be 
disclosed on the Fund's website before 9:30 a.m. E.T. each day. The 
daily holdings of the Fund will be available on the Fund's website 
before 9:30 a.m. E.T. each day. The Fund's website disclosure of 
portfolio holdings will be made daily and will include, as applicable, 
(i) the composite value of the total portfolio, (ii) the quantity and 
type of each holding (including the ticker symbol, maturity date or 
other identifier, if any) and other descriptive information including, 
in the case of an option, its strike price, (iii) the value of each 
Freight Futures (in U.S. dollars), (iv) the type (including maturity, 
ticker symbol, or other identifier) and value of each Treasury security 
and cash equivalent, and (v) the amount of cash held in the Fund's 
portfolio.
    Moreover, prior to the commencement of trading, the Exchange will 
inform its Equity Trading Permit Holders in an Information Bulletin of 
the special characteristics and risks associated with trading the 
Shares. Trading in Shares of the Fund will be halted if the circuit 
breaker parameters in NYSE Arca Rule 7.12-E have been reached or 
because of market conditions or for reasons that, in the view of the 
Exchange, make trading in the Shares inadvisable.
    The proposed rule change is designed to perfect the mechanism of a 
free and open market and, in general, to protect investors and the 
public interest in that it will facilitate the listing and trading of 
Trust Issued Receipts based on Freight Futures that will enhance 
competition among market participants, to the benefit of investors and 
the marketplace. As noted above, the Exchange has in place surveillance 
procedures that are adequate to properly monitor trading in the Shares 
in all trading sessions and to deter and detect violations of Exchange 
rules and applicable federal securities laws.

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

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

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

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

III. Discussion and Commission Findings

    After careful review, the Commission finds that the Exchange's 
proposal to list and trade the Shares is consistent with the Exchange 
Act and the rules and regulations thereunder applicable to a national 
securities exchange.\21\ In particular, the Commission finds that the 
proposed rule change, as modified by Amendments No. 1 and No. 3 
thereto, is consistent with: (1) Section 6(b)(5) of the Exchange 
Act,\22\ which requires, among other things, that the Exchange's rules 
be 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 
a national market system, and, in general, to protect investors and the 
public interest; and (2) Section 11A(a)(1)(C)(iii) of the Exchange 
Act,\23\ which sets forth Congress' finding that it is in the public 
interest and appropriate for the protection of investors and the 
maintenance of fair and orderly markets to assure the availability to 
brokers, dealers and investors of information with respect to 
quotations for and transactions in securities.
---------------------------------------------------------------------------

    \21\ In approving this proposed rule change, the Commission has 
considered the proposed rule's impact on efficiency, competition, 
and capital formation. See 15 U.S.C. 78c(f).
    \22\ 15 U.S.C. 78f(b)(5).
    \23\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
---------------------------------------------------------------------------

    The Commission notes that the Exchange has represented that the 
Freight Futures trade on well-established, regulated markets that are 
members of the ISG.\24\ The Commission finds that the Exchange will be 
able to share surveillance information with a significant regulated 
market for trading futures on dry bulk freight.
---------------------------------------------------------------------------

    \24\ See generally Amendments No. 1 and No. 3.
---------------------------------------------------------------------------

    To be listed and traded on the Exchange, the Shares must comply 
with the requirements of NYSE Arca Rule 8.200-E, Commentary .02 thereto 
on an initial and continuing basis. 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.
    Quotation and last-sale information regarding the Shares will be 
disseminated through the facilities of the CTA. The intraday, closing 
prices, and settlement prices of the Freight Futures will be readily 
available from the applicable futures exchange websites, automated 
quotation systems, published or other public sources, or major market 
data vendors. Complete real-time data for Freight Futures is available 
by subscription through on-line information services. Trading prices 
for the Freight Futures will be disseminated by one or more major 
market data vendors during the NYSE Arca Core Trading Session of 9:30 
a.m. to 4:00 p.m. E.T. Nasdaq Stockholm AB, SGX, CME, ICE Futures US 
and EEX provide on a daily basis, transaction volumes, transaction 
prices, trade time, and open interest on their respective websites.
    In addition, the Fund's website, www.drybulketf.com, will display 
the applicable end of day closing NAV. The daily holdings of the Fund 
will be disclosed on the Fund's website before 9:30 a.m. E.T. each day, 
and will be made available to all market participants at the same time. 
The Fund's website disclosure of portfolio holdings will include, as 
applicable: (1) The composite value of the total portfolio, (2) the 
quantity and type of each holding (including the ticker symbol, 
maturity date or other identifier, if any) and other descriptive 
information including, in the case of an option, its strike price, (3) 
the value of each Freight Futures (in U.S. dollars), (4) the type 
(including maturity, ticker symbol, or other identifier) and value of 
each Treasury security and cash equivalent, and (5) the amount of cash 
held in the Fund's portfolio.
    The intraday value of the Benchmark Portfolio, updated every 15 
seconds, will be available through major market data vendors. The IFV 
will be disseminated on a per Share basis every 15 seconds during 
regular NYSE Arca Core Trading Session hours of 9:30 a.m. E.T. to 4:00 
p.m. E.T. The Administrator will calculate the NAV of the Fund on each 
NYSE Arca trading day, and will disseminate that value after 4:00 p.m. 
E.T. The NAV for the Shares will be disseminated daily to all market 
participants at the same time.
    The Commission also believes that the proposal to list and trade 
the Shares is reasonably designed to promote fair disclosure of 
information that may be necessary to price the Shares appropriately and 
to prevent trading when a reasonable degree of

[[Page 61634]]

transparency cannot be assured. 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. Further, 
the Exchange may halt trading during the day in which an interruption 
to the dissemination of the IFV or the value of the Benchmark Portfolio 
occurs; if the interruption to the dissemination of the IFV or the 
value of the Benchmark Portfolio persists past the trading day in which 
it occurred, the Exchange will halt trading no later than the beginning 
of the trading day following the interruption. Trading in Shares of a 
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 inadvisable. The Exchange states that it has a 
general policy prohibiting the distribution of material, non-public 
information by its employees. Moreover, trading of the Shares will be 
subject to NYSE Arca Rule 8.200-E, Commentary .02(e), which sets forth 
certain restrictions on ETP Holders acting as registered Market Makers 
in Trust Issued Receipts to facilitate surveillance.
    The Commission notes that the Exchange or FINRA, on behalf of the 
Exchange, or both, will communicate as needed regarding trading in the 
Shares and Freight Futures with other markets and other entities that 
are members of the ISG, and the Exchange or FINRA, on behalf of the 
Exchange, or both, may obtain trading information regarding trading in 
the Shares and Freight Futures from such markets and other entities. In 
addition, the Exchange may obtain information regarding trading in the 
Shares and Freight Futures from markets and other entities that are 
members of ISG or with which the Exchange has in place a CSSA.
    In support of this proposal, the Exchange represented that:
    (1) The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Rule 8.200-E.
    (2) The Exchange has appropriate rules to facilitate transactions 
in the Shares during all trading sessions.
    (3) 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, and 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.
    (4) 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: (a) 
The risks involved in trading the Shares during the Early and Late 
Trading Sessions when an updated IFV will not be calculated or publicly 
disseminated; (b) the procedures for purchases and redemptions of 
Shares in Creation Baskets and Redemption Baskets (and that Shares are 
not individually redeemable); (c) NYSE Arca Rule 9.2-E(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; 
(d) how information regarding the IFV is disseminated; (e) how 
information regarding portfolio holdings is disseminated; (f) 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 (g) trading information.
    (5) For initial and/or continued listing, the Funds will be in 
compliance with Rule 10A-3 under the Act,\25\ as provided by NYSE Arca 
Rule 5.3-E.
---------------------------------------------------------------------------

    \25\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    (6) A minimum of 100,000 Shares will be outstanding at the 
commencement of trading on the Exchange.
    (7) The Fund invest substantially all of its assets in the Freight 
Futures currently constituting the Benchmark Portfolio, and not more 
than 10% of the net assets of the Fund in the aggregate invested in 
Freight Futures or options on Freight Futures shall consist of 
derivatives whose principal market is not a member of the ISG or is a 
market with which the Exchange does not have a CSSA.
    (8) The Benchmark Portfolio will not include, and the Fund will not 
invest in, swaps, non-cleared dry bulk freight forwards or other over-
the-counter derivative instruments that are not cleared through 
exchanges or clearing houses.
    (9) Statements and representations made in this filing regarding 
(a) the description of the Reference Indexes and portfolios, (b) 
limitations on portfolio holdings or reference assets, or (c) 
applicability of Exchange listing rules specified in this filing shall 
constitute continued listing requirements for listing the Shares on the 
Exchange.
    (10) 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.\26\ 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).
---------------------------------------------------------------------------

    \26\ The Commission notes that certain other proposals for the 
listing and trading of exchange-traded products include a 
representation that the listing exchange will ``surveil'' for 
compliance with the continued listing requirements. See, e.g., 
Securities Exchange Act Release No. 77620 (April 14, 2016), 81 FR 
23339 (April 20, 2016) (SR-BATS-2015-124). In the context of this 
representation, it is the Commission's view that ``monitor'' and 
``surveil'' both mean ongoing oversight of the Fund's compliance 
with the continued listing requirements. Therefore, the Commission 
does not view ``monitor'' as a more or less stringent obligation 
than ``surveil'' with respect to the continued listing requirements.
---------------------------------------------------------------------------

    This approval order is based on all of the Exchange's 
representations and description of the Fund, including those set forth 
above and in Amendments No. 1 and No. 3.
    For the foregoing reasons, the Commission finds that the proposed 
rule change, as modified by Amendments No. 1 and No. 3 thereto, is 
consistent with Section 6(b)(5) of the Act \27\ and the rules and 
regulations thereunder applicable to a national securities exchange.
---------------------------------------------------------------------------

    \27\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

IV. Solicitation of Comments on Amendment No. 1

    Interested persons are invited to submit written data, views, and 
arguments concerning Amendment No. 1. 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-2017-107 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-2017-107. This 
file number should be included on the

[[Page 61635]]

subject line if email is used. To help the Commission process and 
review your comments more efficiently, please use only one method. The 
Commission will post all comments on the Commission's internet website 
(http://www.sec.gov/rules/sro.shtml). Copies of the submission, all 
subsequent amendments, all written statements with respect to the 
proposed rule change that are filed with the Commission, and all 
written communications relating to the proposed rule change between the 
Commission and any person, other than those that may be withheld from 
the public in accordance with the provisions of 5 U.S.C. 552, will be 
available for website viewing and printing in the Commission's Public 
Reference Room, 100 F Street NE, Washington, DC 20549, on official 
business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of 
this filing will also be available for inspection and copying at the 
principal office of the Exchange. All comments received will be posted 
without change. Persons submitting comments are cautioned that we do 
not redact or edit personal identifying information from comment 
submissions. You should submit only information that you wish to make 
available publicly. All submissions should refer to File Number SR-
NYSEArca-2017-107 and should be submitted on or before January 18, 
2018.

V. Accelerated Approval of Proposed Rule Change, as Modified by 
Amendment No. 1

    The Commission finds good cause to approve the proposed rule 
change, as modified by Amendments No. 1 and No. 3, prior to the 30th 
day after the date of publication of notice of Amendment No. 1 in the 
Federal Register.\28\ Amendment No. 1 does not expand the structure of 
the proposed rule change as it was previously published for notice and 
comment; Amendment No. 1 supplements the proposal by, among other 
things, limiting the amount of listed options held by the Fund that are 
listed on a non-ISG/CSSA market and expanding the continued listing 
requirements applicable to the Shares. These changes helped the 
Commission to evaluate the Shares' susceptibility to manipulation, and 
determine that the listing and trading of the Shares would be 
consistent with the protection of investors and the public interest. 
Accordingly, the Commission finds good cause, pursuant to Section 
19(b)(2) of the Exchange Act,\29\ to approve the proposed rule change, 
as modified by Amendments No. 1 and No. 3, on an accelerated basis.
---------------------------------------------------------------------------

    \28\ As noted above, Amendment No. 2 is not subject to notice 
and comment. See supra note 6.
    \29\ 15 U.S.C. 78s(b)(2).
---------------------------------------------------------------------------

VI. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Exchange Act,\30\ that the proposed rule change (SR-NYSEArca-2017-107), 
as modified by Amendments No. 1 and No. 3, be, and it hereby is, 
approved on an accelerated basis.
---------------------------------------------------------------------------

    \30\ 15 U.S.C. 78s(b)(2).
    \31\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\31\
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-28078 Filed 12-27-17; 8:45 am]
 BILLING CODE 8011-01-P



                                                                          Federal Register / Vol. 82, No. 248 / Thursday, December 28, 2017 / Notices                                                    61625

                                                eliminate the Development Fees from                     reduction of costs incurred by Clearing                   communications relating to the
                                                the MBSD Rules as of January 1, 2018.                   Members that utilize MBSD’s services.                     proposed rule change between the
                                                                                                                                                                  Commission and any person, other than
                                                2. Statutory Basis                                      (C) Clearing Agency’s Statement on
                                                                                                                                                                  those that may be withheld from the
                                                   Section 17A(b)(3)(D) of the Act                      Comments on the Proposed Rule
                                                                                                                                                                  public in accordance with the
                                                requires that the MBSD Rules provide                    Change Received From Members,
                                                                                                                                                                  provisions of 5 U.S.C. 552, will be
                                                for the equitable allocation of reasonable              Participants, or Others
                                                                                                                                                                  available for website viewing and
                                                dues, fees, and other charges among its                   Written comments relating to the                        printing in the Commission’s Public
                                                participants.10 FICC believes that its                  proposed rule change have not been                        Reference Room, 100 F Street NE,
                                                proposal to eliminate the Development                   solicited or received. FICC will notify                   Washington, DC 20549–1090 on official
                                                Fees would be equitable because the                     the Commission of any written                             business days between the hours of
                                                proposed change would be eliminated                     comments received by FICC.                                10:00 a.m. and 3:00 p.m. Copies of the
                                                for all Clearing Members. FICC believes                 III. Date of Effectiveness of the                         filing also will be available for
                                                that the proposed change to eliminate                   Proposed Rule Change, and Timing for                      inspection and copying at the principal
                                                the Development Fees is reasonable                      Commission Action                                         office of FICC and on DTCC’s website
                                                because, consistent with SR–FICC–                                                                                 (http://dtcc.com/legal/sec-rule-
                                                2014–12 (which instituted these fees),11                   The foregoing rule change has become                   filings.aspx). All comments received
                                                the Development Fees will have been in                  effective pursuant to Section 19(b)(3)(A)                 will be posted without change. Persons
                                                place for three (3) consecutive years as                of the Act 14 and paragraph (f) of Rule                   submitting comments are cautioned that
                                                of December 31, 2017, and such fees                     19b–4 thereunder.15 At any time within                    we do not redact or edit personal
                                                have been used to develop the                           60 days of the filing of the proposed rule                identifying information from comment
                                                operational aspects of the MBSD                         change, the Commission summarily may                      submissions. You should submit only
                                                novation service that has been                          temporarily suspend such rule change if                   information that you wish to make
                                                implemented. Therefore, FICC believes                   it appears to the Commission that such                    available publicly.
                                                the proposed rule change is consistent                  action is necessary or appropriate in the                    All submissions should refer to File
                                                with the requirements of Section                        public interest, for the protection of                    Number SR–FICC–2017–023 and should
                                                17A(b)(3)(D) of the Act.                                investors, or otherwise in furtherance of                 be submitted on or before January 18,
                                                   The proposed rule change is also                     the purposes of the Act.                                  2018.
                                                designed to be consistent with Rule                     IV. Solicitation of Comments                                For the Commission, by the Division of
                                                17Ad–22(e)(23) under the Act. Rule                                                                                Trading and Markets, pursuant to delegated
                                                17Ad–22(e)(23) requires FICC, inter alia,                 Interested persons are invited to
                                                                                                                                                                  authority.16
                                                to establish, implement, maintain and                   submit written data, views and
                                                                                                        arguments concerning the foregoing,                       Eduardo A. Aleman,
                                                enforce written policies and procedures                                                                           Assistant Secretary.
                                                reasonably designed to provide                          including whether the proposed rule
                                                sufficient information to enable                        change is consistent with the Act.                        [FR Doc. 2017–28001 Filed 12–27–17; 8:45 am]

                                                participants to identify and evaluate the               Comments may be submitted by any of                       BILLING CODE 8011–01–P

                                                risks, fees, and other material costs they              the following methods:
                                                incur by participating in FICC.12 The                   Electronic Comments                                       SECURITIES AND EXCHANGE
                                                proposed rule change, as described                        • Use the Commission’s internet                         COMMISSION
                                                above, would amend the MBSD Rules to                    comment form (http://www.sec.gov/
                                                eliminate the Development Fees. As                      rules/sro.shtml); or                                      [Release No. 34–82390; File No. SR–NYSE
                                                such, FICC believes that the proposed                     • Send an email to rule-comments@                       Arca–2017–107]
                                                change would provide sufficient                         sec.gov. Please include File Number SR–
                                                information to enable Clearing Members                  FICC–2017–023 on the subject line.                        Self-Regulatory Organizations; NYSE
                                                to evaluate fees and other material costs                                                                         Arca, Inc.; Notice of Filing of
                                                of utilizing MBSD’s services, in                        Paper Comments                                            Amendment No. 1, and Order Granting
                                                accordance with the requirements of                       • Send paper comments in triplicate                     Approval on an Accelerated Basis of a
                                                Rule 17Ad–22(e)(23), promulgated                        to Secretary, Securities and Exchange                     Proposed Rule Change, as Modified by
                                                under the Act, cited above.                             Commission, 100 F Street NE,                              Amendments No. 1 and No. 3, to List
                                                                                                        Washington, DC 20549–1090.                                and Trade of Shares of the Breakwave
                                                (B) Clearing Agency’s Statement on                                                                                Dry Bulk Shipping ETF Under NYSE
                                                Burden on Competition                                   All submissions should refer to File
                                                                                                                                                                  Arca Rule 8.200–E, Commentary .02
                                                                                                        Number SR–FICC–2017–023. This file
                                                  FICC does not believe that the
                                                                                                        number should be included on the                          December 22, 2017.
                                                proposed change would impact, or
                                                                                                        subject line if email is used. To help the
                                                impose any burden on, competition 13                                                                              I. Introduction
                                                                                                        Commission process and review your
                                                because the elimination of the                          comments more efficiently, please use                        On September 8, 2017, NYSE Arca,
                                                Development Fees would result in a                      only one method. The Commission will                      Inc. (‘‘Exchange’’ or ‘‘NYSE Arca’’) filed
                                                                                                        post all comments on the Commission’s                     with the Securities and Exchange
                                                proposed new trade type, at the time of trade
                                                comparison and treat FICC as the settlement
                                                                                                        internet website (http://www.sec.gov/                     Commission (‘‘Commission’’), pursuant
                                                counterparty at such time. In connection with these     rules/sro.shtml). Copies of the                           to Section 19(b)(1)1 of the Securities
sradovich on DSK3GMQ082PROD with NOTICES




                                                changes, FICC also proposed new processes that          submission, all subsequent                                Exchange Act of 1934 (‘‘Act’’ or
                                                would promote operational efficiencies for Clearing     amendments, all written statements                        ‘‘Exchange Act’’)2 and Rule 19b–4
                                                Members. The full text of rule filing SR–FICC–
                                                2017–012 is available at http://www.dtcc.com/
                                                                                                        with respect to the proposed rule                         thereunder,3 a proposed rule change to
                                                legal/sec-rule-filings.                                 change that are filed with the
                                                  10 15 U.S.C. 78q–1(b)(3)(D).                          Commission, and all written                                 16 17 CFR 200.30–3(a)(12).
                                                  11 Supra note 6.                                                                                                  1 15 U.S.C. 78s(b)(1).
                                                  12 17 CFR 240.17Ad–22(e)(23).                           14 15   U.S.C. 78s(b)(3)(A).                              2 15 U.S.C. 78a.
                                                  13 15 U.S.C. 78q–1(b)(3)(I).                            15 17   CFR 240.19b–4(f).                                 3 17 CFR 240.19b–4.




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                                                61626                      Federal Register / Vol. 82, No. 248 / Thursday, December 28, 2017 / Notices

                                                list and trade shares (‘‘Shares’’) of the                and basis for, the proposed rule change                 of a three-month strip of the nearest
                                                Breakwave Dry Bulk Shipping ETF                          and discussed any comments it received                  calendar quarter of futures contracts on
                                                (‘‘Fund’’) under NYSE Arca Rule 8.200–                   on the proposed rule change. The text                   specified indexes (each a ‘‘Reference
                                                E, Commentary .02. The proposed rule                     of those statements may be examined at                  Index’’) that measure rates for shipping
                                                change was published for comment in                      the places specified in Item IV below.                  dry bulk freight (‘‘Freight Futures’’).
                                                the Federal Register on September 28,                    The Exchange has prepared summaries,                    Each Reference Index is published each
                                                2017.4 On December 5, 2017, the                          set forth in sections A, B, and C below,                U.K. business day by the London-based
                                                Exchange filed Amendment No. 1 to the                    of the most significant parts of such                   Baltic Exchange Ltd 9 and measures the
                                                proposed rule change, which amended                      statements.                                             charter rate for shipping dry bulk freight
                                                and replaced the proposed rule change                                                                            in a specific size category of cargo
                                                                                                         A. Self-Regulatory Organization’s                       ship—Capesize, Panamax or Supramax.
                                                in its entirety.5 On December 20, 2017,
                                                                                                         Statement of the Purpose of, and                        The three Reference Indexes are as
                                                the Exchange filed Amendment No. 2 to
                                                                                                         Statutory Basis for, the Proposed Rule                  follows: Capesize: The Capesize 5TC
                                                the proposed rule change. The Exchange
                                                                                                         Change                                                  Index; Panamax: The Panamax 4TC
                                                withdrew Amendment No. 2 on
                                                December 21, 2017, and on the same                       1. Purpose                                              Index; and Supramax: the Supramax
                                                day filed Amendment No. 3.6 No                                                                                   6TC Index.10 The value of the Capesize
                                                                                                            The Exchange proposes to list and
                                                comments have been received regarding                    trade shares (‘‘Shares’’) of the following                 9 The Baltic Exchange, which is a wholly owned
                                                the proposed rule change. The                            under NYSE Arca Rule 8.200–E,                           subsidiary of the Singapore Exchange Ltd (‘‘SGX’’),
                                                Commission is providing notice of the                    Commentary .02, which governs the                       is a membership organization and an independent
                                                filing of Amendment No. 1 to interested                  listing and trading of Trust Issued                     source of maritime market information for the
                                                persons, and is approving the proposed                   Receipts: Breakwave Dry Bulk Shipping                   trading and settlement of physical and derivative
                                                rule change, as modified by                                                                                      shipping contracts. According to the Baltic
                                                                                                         ETF (the ‘‘Fund’’).7                                    Exchange, this information is used by shipbrokers,
                                                Amendments No. 1 and No. 3, on an                           The Fund will be a series of ETF                     owners and operators, traders, financiers and
                                                accelerated basis.                                       Managers Group Commodity Trust I (the                   charterers as a reliable and independent view of the
                                                                                                                                                                 dry and tanker markets.
                                                II. Description of the Proposed Rule                     ‘‘Trust).8 The Fund and the Trust will be                  10 The Reference Indexes are published by the
                                                Change, as Modified by Amendment No.                     managed and controlled by their                         Baltic Exchange’s subsidiary company, Baltic
                                                1 and No. 3                                              sponsor and investment manager, ETF                     Exchange Information Services Ltd (‘‘Baltic’’),
                                                                                                         Managers Capital LLC (the ‘‘Sponsor’’).                 which publishes a wide range of market reports,
                                                  In its filing with the Commission, the                                                                         fixture lists and market rate indicators on a daily
                                                                                                         The Sponsor is registered with the
                                                self-regulatory organization included                                                                            and (in some cases) weekly basis. The Baltic
                                                                                                         Commodity Futures Trading                               indices, which include the Reference Indexes, are
                                                statements concerning the purpose of,
                                                                                                         Commission (‘‘CFTC’’) as a commodity                    an assessment of the price of moving the major raw
                                                                                                         pool operator (‘‘CPO’’) and is a member                 materials by sea. The indices are based on
                                                   4 See Securities Exchange Act Release No.
                                                                                                                                                                 assessments of the cost of transporting various bulk
                                                81681(September 22, 2017), 82 FR 45342.                  of the National Futures Association                     cargoes, both wet (e.g., crude oil and oil products)
                                                   5 In Amendment No. 1, the Exchange: (1)               (‘‘NFA’’). Breakwave Advisors LLC                       and dry (e.g., coal and iron ore), made by leading
                                                Disclosed information regarding the dissemination        (‘‘Breakwave’’) is registered as a                      shipbroking houses located around the world on a
                                                of the Reference Indexes (defined below); (2)            commodity trading advisor with the                      per tonne and daily hire basis. The information is
                                                described further the exchanges that trade Freight                                                               collated and published by the Baltic Exchange.
                                                Futures (defined below); (3) described the               CFTC and will serve as the Fund’s                       Procedures relating to administration of the Baltic
                                                regulatory framework under which brokers that            commodity trading advisor. ETFMG                        indices are set forth in ‘‘The Baltic Exchange, Guide
                                                trade Freight Futures operate; (4) described how         Financial LLC will be the Fund’s                        to Market Benchmarks’’ November 2016 (the
                                                options held by the fund would be valued in              distributor (‘‘Distributor’’ or ‘‘Marketing             ‘‘Guide’’), including production methods,
                                                calculating the Fund’s net asset value; (5) discussed                                                            calculation, confidentiality and transparency,
                                                why it believes that the cut-off time for creation and   Agent’’). US Bancorp Fund Services LLC                  duties of panelists, code of conduct, audits and
                                                redemption orders will not negatively impact             will be the Fund’s ‘‘Administrator’’ and                quality control. The Guide is available at
                                                arbitrage opportunities for the shares; (6) modified     ‘‘Transfer Agent’’.                                     www.balticexchange.com. According to the Guide,
                                                its description of how the indicative fund value            The Fund’s Investment Objective and                  these procedures are in compliance with the
                                                would be calculated; (7) provided information                                                                    ‘‘Principles for Financial Benchmarks’’ issued by
                                                regarding the availability of pricing information for    Strategy                                                the International Organization of Securities
                                                Freight Futures and exchange listed options on              According to the Registration                        Commissioners (or ‘‘IOSCO’’) (the ‘‘IOSCO
                                                such futures; (8) expanded its description of the        Statement, the Fund’s investment                        Principles’’). The IOSCO Principles are designed to
                                                scope of information that will be made available         objective will be to provide investors                  enhance the integrity, the reliability and the
                                                regarding the Fund’s portfolio holdings; (9)                                                                     oversight of benchmarks by establishing guidelines
                                                expanded the continued listing standards                 with exposure to the daily change in the                for benchmark administrators and other relevant
                                                applicable to the Shares; (10) limited the amount of     price of dry bulk freight futures, before               bodies in the following areas: Governance: to
                                                exchange-listed options that may be held by the          expenses and liabilities of the Fund, by                protect the integrity of the benchmark
                                                Fund that are not listed on an ISG/CSSA market;          tracking the performance of a portfolio                 determination process and to address conflicts of
                                                (11) expanded its description of the surveillance                                                                interest; Benchmark quality: to promote the quality
                                                applicable to Freight Futures and exchange-listed        (the ‘‘Benchmark Portfolio’’) consisting                and integrity of benchmark determinations through
                                                options on such futures; and (12) made other                                                                     the application of design factors; Quality of the
                                                technical amendments. Amendment No. 1 to the                7 Commentary .02 to NYSE Arca Rule 8.200–E
                                                                                                                                                                 methodology: To promote the quality and integrity
                                                proposed rule change is available at: https://           applies to Trust Issued Receipts that invest in         of methodologies by setting out minimum
                                                www.sec.gov/comments/sr-nysearca-2017-107/               ‘‘Financial Instruments.’’ The term ‘‘Financial         information that should be addressed within a
                                                nysearca2017107-2759312-161596.pdf.                      Instruments,’’ as defined in Commentary .02(b)(4) to    methodology. These principles also call for credible
                                                   6 In Amendment No. 3, the Exchange provided           NYSE Arca Rule 8.200–E, means any combination           transition policies in case a benchmark may cease
                                                background information to support its proposal.          of investments, including cash; securities; options     to exist due to market structure change.
                                                Specifically, the Exchange: (1) identified the           on securities and indices; futures contracts; options   Accountability mechanisms: to establish complaints
                                                regulators of the markets that list Freight Futures;     on futures contracts; forward contracts; equity caps,   processes, documentation requirements and audit
sradovich on DSK3GMQ082PROD with NOTICES




                                                and (2) stated that Freight Futures have been            collars, and floors; and swap agreements.               reviews. The IOSCO Principles provide a
                                                cleared since 2005. Because Amendment No. 3 does            8 On June 2, 2017, the Trust filed with the          framework of standards that might be met in
                                                not materially alter the substance of the proposed       Commission a registration statement on Form S–1         different ways, depending on the specificities of
                                                rule change or raise unique or novel regulatory          under the Securities Act of 1933 (15 U.S.C. 77a)        each benchmark. In addition to a set of high level
                                                issues, Amendment No. 3 is not subject to notice         (‘‘Securities Act’’) relating to the Fund (File No.     principles, the framework offers a subset of more
                                                and comment. Amendment No. 3 to the proposed             333–218453) (the ‘‘Registration Statement’’). The       detailed principles for benchmarks having specific
                                                rule change is available at: https://www.sec.gov/        description of the operation of the Trust and the       risks arising from their reliance on submissions
                                                comments/sr-nysearca-2017-107/nysearca2017107-           Fund herein is based, in part, on the Registration      and/or their ownership structure. For further
                                                2837568-161712.pdf.                                      Statement.                                              information concerning the IOSCO Principles, see



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                                                                          Federal Register / Vol. 82, No. 248 / Thursday, December 28, 2017 / Notices                                               61627

                                                5TC Index is disseminated at 11:00 a.m.,                held at the Fund’s custodian in cash or                    Throughout the quarter, the Fund will
                                                London Time and the value of the                        cash equivalents.11                                     attempt to roll positions in the nearby
                                                Panamax 4TC Index and the Supramax                         The Fund will seek to achieve its                    calendar quarter, on a pro rata basis. For
                                                6TC Index each is disseminated at 1:00                  objective by purchasing Freight Futures                 example, if the Fund was currently
                                                p.m., London Time. The Reference                        that are cleared through major                          holding the Q1 calendar quarter
                                                Index information disseminated by the                   exchanges (see description of Freight                   comprising the January, February and
                                                Baltic Exchange also includes the                       Futures below). The Fund will place                     March monthly contracts, each week in
                                                components and value of each                            purchase orders for Freight Futures with                the month of February, the Fund will
                                                component in each Reference Index.                      an execution broker. The broker will
                                                                                                                                                                attempt to purchase Q2 contracts in an
                                                Such Reference Index information also                   identify a selling counterparty and,
                                                                                                                                                                amount equal to approximately one
                                                is widely disseminated by Reuters and/                  simultaneously with the completion of
                                                                                                        the transaction, will submit the block                  quarter of the expiring February
                                                or other major market data vendors.
                                                   The Fund will seek to achieve its                    traded Freight Futures to the relevant                  positions. As a result, by the end of
                                                investment objective by investing                       exchange or clearing house for clearing,                February, the Fund would have rolled
                                                substantially all of its assets in the                  thereby completing and creating a                       the February position to Q2 contracts,
                                                Freight Futures currently constituting                  cleared futures transaction. If the                     leaving the Fund with March and Q2
                                                the Benchmark Portfolio. The                            exchange or clearing house does not                     contracts. At the end of March, the Fund
                                                Benchmark Portfolio will include all                    accept the transaction for any reason,                  will have completed the roll and will
                                                existing positions to maturity and settle               the transaction will be considered null                 then hold only Q2 exposure comprising
                                                them in cash. During any given calendar                 and void and of no legal effect.                        April, May and June monthly contracts.
                                                quarter, the Benchmark Portfolio will                      The principal markets for Freight                    Since Freight Futures contracts are cash
                                                progressively increase its position to the              Futures are Nasdaq Stockholm AB and                     settled, the Fund need not sell out of
                                                next calendar quarter three-month strip,                SGX. Other exchanges that clear Freight                 existing contracts. Rather, it will hold
                                                thus maintaining constant exposure to                   Futures are ICE Futures US (the ‘‘ICE’’),               such contracts to expiration and apply
                                                the Freight Futures market as positions                 the Chicago Mercantile Exchange                         the above methodology in order acquire
                                                mature.                                                 (‘‘CME’’) and the European Energy                       the nearby calendar contract.
                                                   The Benchmark Portfolio will                         Exchange (‘‘EEX’’). In each case, the
                                                maintain long-only positions in Freight                                                                            The Benchmark Portfolio will be
                                                                                                        applicable exchange acts as a
                                                Futures. The Benchmark Portfolio will                   counterparty for each member for                        rebalanced annually. The Benchmark
                                                hold a combination of Capesize,                         clearing purposes.12 The Fund’s                         Portfolio’s initial allocation will be
                                                Panamax and Supramax Freight                            investments in Freight Futures will be                  approximately 50% Capesize Freight
                                                Futures. More specifically, the                         cleared by Nasdaq Stockholm AB, CME,                    Futures contracts, 40% Panamax Freight
                                                Benchmark Portfolio will hold 50%                       SGX, ICE and/or the European Energy                     Futures contracts and 10% Supramax
                                                exposure in Capesize Freight Futures                    Exchange (‘‘EEX’’).13 Nasdaq Stockholm                  Freight Futures contracts. The above
                                                contracts, 40% exposure in Panamax                      AB is regulated by the Swedish                          allocation will be based on contract
                                                Freight Futures contracts and 10%                       Financial Supervisory Authority. SGX is                 value, not number of lots. Given each
                                                exposure in Supramax Freight Futures                    regulated by the Monetary Authority of                  asset’s individual price movements
                                                contracts. The Benchmark Portfolio will                 Singapore. EEX is regulated by the                      during the year, such percentages might
                                                not include and the Fund will not invest                Federal Financial Supervisory Authority                 deviate from the targeted allocation.
                                                in swaps, non-cleared dry bulk freight                  in Germany. The ICE and CME are                            During the month of December of
                                                forwards or other over-the-counter                      regulated in the U.S. by the CFTC.                      each year, the Fund will rebalance its
                                                derivative instruments that are not                        Freight futures clearing has been                    portfolio in order to bring the allocation
                                                cleared through exchanges or clearing                   occurring since 2005.                                   of assets back to the desirable levels.
                                                houses. The Fund may hold exchange-                        The Benchmark Portfolio will consist
                                                                                                                                                                During this period, the Fund would
                                                traded options on Freight Futures. The                  of positions in the three-month strip of
                                                                                                                                                                purchase or sell Freight Futures to
                                                Benchmark Portfolio is maintained by                    the nearest calendar quarter of Freight
                                                                                                                                                                achieve its targeted allocation.
                                                Breakwave and will be rebalanced                        Futures and roll them constantly to the
                                                annually.                                               next calendar quarter. The four-calendar                   The Sponsor anticipates that the
                                                   When establishing positions in                       quarters are January, February, and                     Fund’s Freight Futures positions will be
                                                Freight Futures, the Fund will be                       March (Q1), April, May, and June (Q2),                  held to expiration and settle in cash
                                                required to deposit initial margin with                 July, August, and September (Q3), and                   against the respective Reference Index
                                                a value of approximately 10% to 40% of                  October, November and December (Q4).                    as published by the Baltic Exchange.
                                                the notional value of each Freight                      The Benchmark Portfolio will consist of                 However, positions may be closed out to
                                                Futures position at the time it is                      an equal number of Freight Futures in                   meet orders for redemption of baskets,
                                                established. These margin requirements                  each of the three months comprising the                 in which case the proceeds from the
                                                are established and subject to change                   nearby calendar quarter at the beginning                closed positions will not be reinvested.
                                                from time to time by the relevant                       of such quarter.                                           The Fund’s portfolio will be traded
                                                exchanges, clearing houses or the                                                                               with a view to reflecting the
                                                Fund’s futures commission merchant                         11 The Fund will hold cash or cash equivalents,

                                                                                                        such as U.S. Treasuries or other high credit quality,   performance of the Benchmark
                                                (‘‘FCM’’). On a daily basis, the Fund
                                                                                                        short-term fixed-income or similar securities for       Portfolio, whether the Benchmark
                                                will be obligated to pay, or entitled to                direct investment or as collateral for the U.S.         Portfolio is rising, falling or flat over any
sradovich on DSK3GMQ082PROD with NOTICES




                                                receive, variation margin in an amount                  Treasuries and for other liquidity purposes, and to
                                                equal to the change in the daily                        meet redemptions that may be necessary on an
                                                                                                                                                                particular period. To maintain the
                                                settlement level of its Freight Futures                 ongoing basis.                                          correlation between the Fund and the
                                                positions. Any assets not required to be
                                                                                                           12 LCH.Clearnet currently clears Freight Futures     change in the Benchmark Portfolio, the
                                                                                                        but has announced that, as of December 28, 2017,        Sponsor may adjust the Fund’s portfolio
                                                posted as margin with the FCM will be                   it will no longer clear Freight Futures.
                                                                                                           13 Nasdaq Stockholm AB, SGX, CME and ICE are
                                                                                                                                                                of investments on a daily basis in
                                                http://www.iosco.org/library/pubdocs/pdf/               members of the Intermarket Surveillance Group           response to creation and redemption
                                                IOSCOPD415.pdf.                                         (‘‘ISG’’). See note 19, infra.                          orders or otherwise as required.


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                                                61628                     Federal Register / Vol. 82, No. 248 / Thursday, December 28, 2017 / Notices

                                                Overview of the Dry Bulk Freight                        3,300 Handysize bulkers in the fleet, or              freight rate is the timecharter rate,
                                                Industry                                                about 11% of the global fleet by DWT                  which is measured in U.S. Dollars per
                                                   As stated in the Registration                        capacity.                                             day. Dry bulk timecharter rates have
                                                Statement, the following is a brief                                                                           exhibited significant volatility in the
                                                                                                        Dry Bulk Vessel Supply
                                                introduction of the global dry bulk                                                                           last 15 years. From 2003 to 2008, faster
                                                                                                           According to the Registration                      growth rates in demand for dry bulk
                                                freight industry. The data presented                    Statement, there are approximately
                                                below is derived from information                                                                             ships was not matched by growth in
                                                                                                        10,500 dry bulk vessels worldwide with                supply of ships and thus, charter rates
                                                released from various third-party                       a carrying capacity of roughly 790                    increased considerably, reaching their
                                                sources. The third-party sources from                   million DWT and an average age of                     highest point in 2008. Following the
                                                which certain of the information                        approximately 8 years. Supply of dry                  global financial crisis, growth in supply
                                                presented below include the United                      bulk ships is dynamic.                                of ships exceeded demand, leading to a
                                                Nations Conference on Trade and                            Factors impacting dry bulk supply                  considerable drop in charter rates. Over
                                                Development, the Baltic and                             include new orders, the scrapping of                  the last five years, rates have generally
                                                International Maritime Council,                         older vessels, new shipbuilding                       been weak compared to historical levels,
                                                Bloomberg and others. Dry bulk                          technologies, vessel congestion in ports,             as higher supply and relatively weak
                                                shipping is a 150-plus year-old industry                closures of major waterways, including                demand growth led to lower utilization
                                                focusing on the transportation of dry                   canals, and wars and other geopolitical               rates in the industry.
                                                bulk commodities using oceangoing                       conflicts that can restrict access to                    A common industry measure of dry
                                                vessels named dry bulk carriers. Dry                    vessels available for shipping dry bulk               bulk rates is the Baltic Dry Index
                                                bulk carriers are ships that have cargo                 freight.                                              (‘‘BDI’’). The BDI is an economic
                                                loaded directly into the ship’s storage                                                                       indicator issued daily by the Baltic
                                                holds. The cargos transported are dry                   Demand for Dry Bulk Freight
                                                                                                                                                              Exchange. The BDI provides an
                                                commodities that do not need to be                         According to the Registration                      assessment of the price of moving the
                                                carried in packaged form. Dry                           Statement, dry bulk demand has seen                   major raw materials by sea throughout
                                                commodity cargos (mainly iron ore, coal                 steady growth over the past two                       the world. Taking in 21 shipping routes
                                                and grains) are homogenous and are                      decades, as the Asian economies have                  measured on a timecharter basis, the
                                                loaded with bucket cranes, conveyors or                 exhibited robust demand for raw                       index covers Handysize, Supramax,
                                                pumps. Crude oil and refined products,                  materials on the back of strong                       Panamax, and Capesize dry bulk carriers
                                                while shipped in bulk, are wet cargos                   economic growth. Iron ore, the main                   carrying a range of commodities
                                                and are transported on tanker vessels,                  component of steel production, has been               including coal, iron ore and grain. Each
                                                rather than dry bulk carriers. Dry bulk                 the main driver of dry bulk freight                   individual asset class also has its own
                                                carriers have an average useful life of                 demand growth. The higher demand for                  index (i.e., a Reference Index), which is
                                                approximately 25 years and are                          such raw materials has led to increasing              also published daily by the Baltic
                                                measured on size or capacity in dead                    demand for dry bulk shipping, as the                  Exchange and reflects a weighted
                                                weight tons (‘‘DWT’’).                                  regions that produce and consume raw                  average assessment of different
                                                   Dry bulk carriers come in various                    materials are located far apart.                      standardized routes around the world.
                                                sizes:                                                     Demand for dry bulk freight is                        The BDI has reflected the volatility of
                                                   Capesizes (100,000+ DWT) are the                     generally measured in ton-miles, which                charter rates over the last 15 years,
                                                largest of the dry bulk asset classes.                  corresponds to one ton of freight carried             reaching its highest point on record in
                                                Capesizes primarily transport iron ore                  one mile. Such measure takes into                     2008 at 11,793. In 2016, it reached its
                                                and coal. Traditional Capesize routes                   consideration both the quantity of cargo              lowest point on record at 290. The
                                                are from Australia to Asia, and from                    transport but also the distance between               average price of the BDI in the 15 years
                                                Brazil to Europe and Asia. There are                    loading and offloading ports. Over the                from 2001 to 2016 has been 2,567, and
                                                about 1,650 Capesizes worldwide. The                    last 10 years, dry bulk freight demand                the median price has been 1,747. As of
                                                Capesize fleet is about 40% of the dry                  growth for major commodities has                      March 31, 2017, the BDI stood at 1,200.
                                                bulk fleet by DWT capacity.                             averaged approximately 6% per year. In
                                                   Panamaxes (65,000—100,000 DWT)                                                                             Freight Futures
                                                                                                        2015, dry bulk freight demand growth
                                                primarily transport coal, grain and iron                for major commodities declined for the                   According to the Registration
                                                ore. The Panamax is the largest vessel                  first time in at least 15 years, while in             Statement, freight futures are financial
                                                class that can transit the (old) Panama                 2016, it is estimated to have increased               futures contracts that allow ship
                                                Canal. There are about 2,500 Panamaxes                  by approximately 2%. Weaker iron ore                  owners, charterers and speculators to
                                                worldwide representing 24% of the                       and coal imports to China were the                    hedge against the volatility of freight
                                                global fleet by capacity.                               main reasons for the below trend                      rates. The Freight Futures are built on
                                                   Handymaxes (40,000—65,000 DWT)                       growth.                                               indices composed of baskets of routes
                                                are the work horse of the industry,                        Factors impacting demand for                       for dry bulk freight, such as the
                                                carrying the whole spectrum of dry bulk                 shipping dry bulk freight include global              Capesize 5TC Index, Panamax 4TC
                                                commodities: grain, coal, iron ore, and                 economic growth, demand for iron ore,                 Index and Supramax 6TC Index. Freight
                                                minor bulks. A sub-category of                          demand for metallurgical and thermal                  Futures are financial instruments that
                                                Handymaxes are vessels with capacities                  coal, demand for grains, government                   trade off-exchange but then are cleared
                                                of 50,000–65,000 that are called                        regulations, taxes and tariffs, fuel prices,          through an exchange. Market
                                                Supramaxes. There are 3,400                                                                                   participants communicate their buy or
sradovich on DSK3GMQ082PROD with NOTICES




                                                                                                        vessel speeds and new trade routes.
                                                Handymaxes worldwide representing                                                                             sell orders through a network of
                                                about 25% of the global fleet by DWT                    Dry Bulk Freight Charter Rates                        execution brokers mainly through
                                                capacity.                                                 According to the Registration                       phone or instant messaging platforms
                                                   Handysizes (10,000—40,000 DWT)                       Statement, dry bulk freight ‘‘charter                 with specific trading instructions
                                                bulkers typically transport grain, coal,                rates’’ reflect the price paid for the use            related to price, size, and type of order.
                                                and minor bulks. Handysize bulkers                      of the ship to transport a bulk                       The execution broker receives such
                                                tend to trade regionally. There are about               commodity. The most commonly used                     order and then attempts to match it with


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                                                                          Federal Register / Vol. 82, No. 248 / Thursday, December 28, 2017 / Notices                                             61629

                                                a counterpart. Once there is a match and                exchanges, and transfer to its FCM any                  limitation, dealers in the relevant
                                                both parties confirm the transaction, the               additional amounts that may be                          markets, end-users of the relevant
                                                execution broker submits the                            separately required by the FCM.                         product, information vendors, brokers
                                                transaction details including trade                       According to the Registration                         and other sources of market
                                                specifics, counterparty details and                     Statement, most of the daily trading                    information.
                                                accounts to the relevant exchange for                   takes place over phones and instant
                                                                                                        messaging platforms.14 Trading screens                  Indicative Fund Value
                                                clearing, thus completing a cleared
                                                block futures transaction. The exchange                 also exist and some trading also                           In order to provide updated
                                                will then require the relevant member or                happens through such screens. Brokers                   information relating to the Fund for use
                                                FCM to submit the necessary margin to                   are required to report to the relevant                  by investors and market professionals,
                                                support the position similar to other                   exchanges each trade that takes place.                  an updated indicative fund value
                                                futures clearing and margin                             Freight Futures liquidity has remained                  (‘‘IFV’’) will be made available through
                                                requirements.                                           relatively constant, in lot terms, over the             on-line information services throughout
                                                   Freight Futures are listed and cleared               last five years with approximately 1.1                  the Exchange Core Trading Session
                                                on the following exchanges: Nasdaq                      million lots trading annually. Open                     (normally 9:30 a.m. to 4:00 p.m., E.T.)
                                                Stockholm AB, CME, ICE Futures U.S.,                    interest currently stands at                            on each trading day. The IFV will be
                                                SGX, and EEX.                                           approximately 290,000 lots across all                   calculated by using the prior day’s
                                                   Freight Futures settle monthly over                  asset classes representing an estimated                 closing NAV per Share of the Fund as
                                                the arithmetic average of spot index                    value of more than $3 billion. Of such                  a base and updating that value
                                                assessments in the contract month for                   open interest, Capesize contracts                       throughout the trading day to reflect
                                                the relevant underlying product,                        account for approximately 50%,                          changes in the most recently reported
                                                rounded to one decimal place. The daily                 Panamax for approximately 40% and                       trade price for the futures and/or
                                                index publication, against which Freight                Handymax for approximately 10%.                         options held by the Fund. The IFV
                                                Futures settle, is published by the Baltic              Major market participants in Freight                    disseminated during NYSE Arca Core
                                                Exchange.                                               Futures market include: commodity                       Trading Session hours should not be
                                                   Generally, Freight Futures trade from                producers, commodity users,                             viewed as an actual real time update of
                                                approximately 12:00 a.m. Eastern Time                   commodity trading houses, ship                          the NAV, because the NAV will be
                                                (‘‘E.T.’’) to approximately 12:00 p.m.                  operators, major banks, investment                      calculated only once at the end of each
                                                E.T. The great majority of trading                      funds and independent ship owners.                      trading day based upon the relevant end
                                                volume occurs during London business                                                                            of day values of the Fund’s investments.
                                                hours, from approximately 3:00 a.m.                     Calculating Net Asset Value (‘‘NAV’’)                      The IFV will be disseminated on a per
                                                E.T. time to approximately 12:00 p.m.                      The Fund’s NAV will be calculated by                 Share basis every 15 seconds during
                                                E.T. Some limited trading takes place                   taking the current market value of its                  regular NYSE Arca Core Trading
                                                during Asian business hours as well                     total assets, subtracting any liabilities;              Session hours of 9:30 a.m. E.T. to 4:00
                                                (12:00 a.m.-3:00 a.m. E.T.).                            and dividing that total by the total                    p.m. E.T. The customary trading hours
                                                   Exchanges have a cutoff time of 1:00                 number of outstanding Shares.                           of the Freight Futures trading are 3:00
                                                p.m. E.T. for clearing the respective                      The Administrator will calculate the                 a.m. E.T. to 12:00 p.m. E.T. This means
                                                day’s trades (SGX clears Freight Futures                NAV of the Fund once each NYSE Arca                     that there is a gap in time at the end of
                                                from 6:25 p.m. E.T. to 3:45 p.m. E.T.                   trading day. The NAV for a particular                   each day during which the Fund’s
                                                (next day) or, during part of the year,                 trading day will be released after 4:00                 Shares will be traded on the NYSE Arca,
                                                from 7:25 p.m. to 4:45 p.m. E.T. (next                  p.m. E.T. The Administrator will use the                but real-time trading prices for contracts
                                                day)). The final closing prices for                     Baltic Exchange closing price for the                   are not available. During such gaps in
                                                settlement are published daily around                   Freight Futures. Option contracts will                  time the IFV will be calculated based on
                                                1:30 p.m. E.T. Final cash settlement                    be valued at their most recent sale price               the end of day price of such contracts
                                                occurs the first business day following                 on the applicable exchange. The                         from the Baltic Exchange’s immediately
                                                the expiry day.                                         Administrator will calculate or                         preceding settlement prices. In addition,
                                                   Freight Futures are quoted in U.S.                   determine the value of all other Fund                   other investments and U.S. Treasuries
                                                Dollars per day, with a minimum lot                     investments using market quotations, if                 held by the Fund will be valued by the
                                                size of one. One lot represents one day                 available, or other information                         Administrator using rates and points
                                                of freight costs, as freight rates are                  customarily used to determine the fair                  received from client-approved third
                                                measured in U.S. Dollars per day. The                   value of such investments as of the close               party vendors (such as Reuters and WM
                                                nominal value of a contract is simply                   of the NYSE Arca Core Trading Session                   Company) and broker-dealer quotes.
                                                the product of lots and Freight Futures                 (normally 4:00 p.m. E.T.). The                          These investments will not be included
                                                prices. There are Futures Contracts of                  information may include costs of                        in the IFV.
                                                up to 72 consecutive months, starting                   funding, to the extent costs of funding                    Dissemination of the IFV provides
                                                with the current month, available for                   are not and would not be a component                    additional information that is not
                                                trading for each vessel class.                          of the other information being utilized.                otherwise available to the public and is
                                                   Similar to other futures, Freight                    Third parties supplying quotations or                   useful to investors and market
                                                Futures are subject to margin                           market data may include, without                        professionals in connection with the
                                                requirements by the relevant exchanges.                                                                         trading of the Fund’s Shares on the
                                                The Sponsor anticipates that                               14 Freight Futures are primarily traded through      NYSE Arca. Investors and market
                                                approximately 10% to 40% of the                         broker members of the Forward Freight Agreement         professionals are able throughout the
sradovich on DSK3GMQ082PROD with NOTICES




                                                                                                        Brokers Association (‘‘FFABA’’), such as Clarkson’s
                                                Fund’s assets will be used as payment                   Securities, Simpson Spence Young, Freight Investor
                                                                                                                                                                trading day to compare the market price
                                                for or collateral for Freight Futures                   Services, GFI Group, BRS Group and ICAP.                of Fund Shares and the IFV. If the
                                                contracts. In order to collateralize its                Members of the FFABA must be members of the             market price of the Fund Shares
                                                Freight Futures positions, the Fund will                Baltic Exchange and must be regulated by the            diverges significantly from the IFV,
                                                                                                        Financial Conduct Authority if resident in the U.K.,
                                                hold such assets, from which it will post               or if not resident in the U.K., by an equivalent body
                                                                                                                                                                market professionals will have an
                                                margin to its FCM in an amount equal                    if required by the authorities in the jurisdiction.     incentive to execute arbitrage trades. For
                                                to the margin required by the relevant                  Source: The Baltic Code of the Baltic Exchange.         example, if the Fund’s Shares appears to


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                                                61630                     Federal Register / Vol. 82, No. 248 / Thursday, December 28, 2017 / Notices

                                                be trading at a discount compared to the                Baltic Exchange settlement price                        Fund not later than 1:00 p.m., E.T., on
                                                IFV, a market professional could buy the                (typically determined after 2:00 p.m.                   the next business day immediately
                                                Fund’s Shares on the NYSE Arca and                      E.T.) for the Freight Futures. Because                  following the redemption order date.
                                                take the opposite position in Freight                   orders to purchase Baskets must be
                                                                                                                                                                Determination of Redemption Proceeds
                                                Futures. Such arbitrage trades can                      placed no later than 1:00 p.m., E.T., but
                                                tighten the tracking between the market                 the total payment required to create a                    The redemption proceeds from the
                                                price of the Fund’s Shares and the IFV                  Basket typically will not be determined                 Fund will consist of a cash redemption
                                                and thus can be beneficial to all market                until after 2:00 p.m., E.T., on the date                amount equal to the NAV of the number
                                                participants.                                           the purchase order is received,                         of Baskets requested in the Authorized
                                                                                                        Authorized Participants will not know                   Participant’s redemption order on the
                                                Creation and Redemption of Shares                                                                               redemption order date.
                                                                                                        the total amount of the payment
                                                   According to the Registration                        required to create a Basket at the time                   Because orders to redeem Baskets
                                                Statement, the Fund will create and                     they submit an irrevocable purchase                     must be placed no later than 1:00 p.m.,
                                                redeem Shares from time to time in one                  order.                                                  E.T., but the total amount of redemption
                                                or more ‘‘Creation Baskets’’ or                                                                                 proceeds typically will not be
                                                ‘‘Redemption Baskets’’ (collectively, the               Delivery of Required Payment                            determined until after 2:00 p.m., E.T.,
                                                ‘‘Baskets’’). A Basket consists of 50,000                 An Authorized Participant who places                  on the date the redemption order is
                                                Shares. The creation and redemption of                  a purchase order shall transfer to the                  received, Authorized Participants will
                                                Baskets will only be made in exchange                   Administrator the required amount of                    not know the total amount of the
                                                for delivery to the Fund or the                         Freight Futures, U.S. Treasuries and/or                 redemption proceeds at the time they
                                                distribution by the Fund of the amount                  cash, or a combination of them, by the                  submit an irrevocable redemption order.
                                                of Treasuries and any cash represented                  end of the next business day following                    The redemption proceeds due from
                                                by the Baskets being created or                         the purchase order date. Upon receipt of                the Fund will be delivered to the
                                                redeemed, the amount of which is based                  the deposit amount, the Administrator                   Authorized Participant at 1:00 p.m.,
                                                on the combined NAV of the number of                    will direct DTC to credit the number of                 E.T., on the next business day
                                                Shares included in the Baskets being                    Baskets ordered to the Authorized                       immediately following the redemption
                                                created or redeemed determined as of                    Participant’s DTC account on the next                   order date if, by such time, the Fund’s
                                                4:00 p.m. E.T. on the day the order to                  business day following the purchase                     DTC account has been credited with the
                                                create or redeem Baskets is properly                    order date.                                             Baskets to be redeemed.
                                                received.                                               Redemption Procedures                                   Availability of Information
                                                   ‘‘Authorized Participants’’ are the
                                                only persons that may place orders to                      According to the Registration                           The NAV for the Fund’s Shares will
                                                create and redeem Baskets. Authorized                   Statement, the procedures by which an                   be disseminated daily to all market
                                                Participants must be (1) registered                     Authorized Participant can redeem one                   participants at the same time. The
                                                broker-dealers or other securities market               or more Baskets will mirror the                         intraday, closing prices, and settlement
                                                participants, such as banks and other                   procedures for the creation of Baskets.                 prices of the Freight Futures will be
                                                financial institutions, that are not                    On any business day, an Authorized                      readily available from the applicable
                                                required to register as broker-dealers to               Participant may place an order with the                 futures exchange websites, automated
                                                engage in securities transactions                       Transfer Agent, and accepted by the                     quotation systems, published or other
                                                described below, and (2) Depository                     Distributor, to redeem one or more                      public sources, or major market data
                                                Trust Company (‘‘DTC’’) participants.                   Baskets. Redemption orders must be                      vendors.
                                                                                                        placed by 1:00 p.m. E.T. or the close of                   Complete real-time data for Freight
                                                Creation Procedures                                     the Core Trading Session on the NYSE                    Futures is available by subscription
                                                   On any business day, an Authorized                   Arca, whichever is earlier.15 A                         through on-line information services.
                                                Participant may place an order with the                 redemption order so received will be                    Quotation and last-sale information
                                                Transfer Agent to create one or more                    effective on the date it is received in                 regarding the Shares will be
                                                Baskets. For purposes of processing                     satisfactory form in accordance with the                disseminated through the facilities of
                                                purchase and redemption orders, a                       terms of the Authorized Participant                     the Consolidated Tape Association
                                                ‘‘business day’’ means any day other                    Agreement. The day on which the                         (‘‘CTA’’). The IFV will be available
                                                than a day when any of the NYSE Arca,                   Marketing Agent receives a valid                        through on-line information services.
                                                the Baltic Exchange or the New York                     redemption order is the redemption                      The Freight Futures and exchange-
                                                Stock Exchange is closed for regular                    order date. Redemption orders are                       traded options on Freight Futures
                                                trading. Purchase orders must be placed                 irrevocable. By placing a redemption                    trading prices will be disseminated by
                                                by 1:00 p.m. E.T. or the close of the Core              order, an Authorized Participant agrees                 one or more major market data vendors
                                                Trading Session on NYSE Arca,                           to deliver the baskets to be redeemed                   during the NYSE Arca Core Trading
                                                whichever is earlier. The day on which                  through DTC’s book-entry system to the                  Session of 9:30 a.m. to 4:00 p.m. E.T.
                                                a valid purchase order is received in                                                                           Nasdaq Stockholm AB, SGX, CME, ICE
                                                accordance with the terms of the
                                                                                                          15 The Sponsor represents that it believes that the
                                                                                                                                                                Futures US and EEX provide on a daily
                                                                                                        designated time by which orders to create or
                                                ‘‘Authorized Participant Agreement’’ is                 redeem must be received by the Transfer Agent
                                                                                                                                                                basis, transaction volumes, transaction
                                                referred to as the purchase order date.                 (1:00 p.m. E.T.) will not have a material impact on     prices, trade time, and open interest on
                                                Purchase orders are irrevocable.                        an Authorized Participant’s arbitrage opportunities     their respective websites. In addition,
                                                                                                        with respect to the Fund. As noted above, Freight       historical data also exists for volumes
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                                                Determination of Required Payment                       Futures are cleared by SGX until 3:45 p.m. E.T (or
                                                                                                                                                                and open interest. Daily settlement
                                                                                                        4:45 p.m. E.T. during part of the year) and such
                                                   The total payment required to create                 clearing activity on SGX will serve as an arbitrage     prices and historical settlement prices
                                                each Creation Basket is the NAV of                      mechanism for trading in the Fund’s Shares. In          are available through a subscription
                                                50,000 Shares on the purchase order                     addition, price information regarding trading of        service to the Baltic Exchange, which
                                                                                                        Freight Futures and options on Freight Futures on
                                                date, but only if the required payment                  the applicable exchange and end-of-day settlement
                                                                                                                                                                maintains the licensing rights of
                                                is timely received. To calculate the                    prices published by the applicable exchange will be     relevant freight data. However, the
                                                NAV, the Administrator will use the                     available during the Core Trading Session.              exchanges provide the daily settlement


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                                                                          Federal Register / Vol. 82, No. 248 / Thursday, December 28, 2017 / Notices                                                  61631

                                                price change of Freight Futures on their                Trading Halts                                         outstanding at the commencement of
                                                respective websites. Certain Freight                       With respect to trading halts, the                 trading on the Exchange.
                                                Futures brokers provide real time                       Exchange may consider all relevant                    Surveillance
                                                pricing information to the general                      factors in exercising its discretion to
                                                public either through their websites or                                                                          The Exchange represents that trading
                                                                                                        halt or suspend trading in the Shares of
                                                through data vendors such as Bloomberg                                                                        in the Shares will be subject to the
                                                                                                        the Fund.16 Trading in Shares of the
                                                or Reuters. Most Freight Futures brokers                                                                      existing trading surveillances
                                                                                                        Fund will be halted if the circuit breaker
                                                provide, upon request, individual                                                                             administered by the Exchange, as well
                                                                                                        parameters in NYSE Arca Rule 7.12–E
                                                electronic screens that market                                                                                as cross-market surveillances
                                                                                                        have been reached. Trading also may be
                                                participants can use to transact, place                                                                       administered by the Financial Industry
                                                                                                        halted because of market conditions or
                                                                                                                                                              Regulatory Authority (‘‘FINRA’’) on
                                                orders or only monitor Freight Futures                  for reasons that, in the view of the
                                                                                                                                                              behalf of the Exchange, which are
                                                market price levels.                                    Exchange, make trading in the Shares of
                                                                                                                                                              designed to detect violations of
                                                   In addition, the Fund’s website,                     the Fund inadvisable.
                                                                                                           The Exchange may halt trading during               Exchange rules and applicable federal
                                                www.drybulketf.com, will display the                                                                          securities laws.18 The Exchange
                                                                                                        the day in which an interruption to the
                                                applicable end of day closing NAV. The                                                                        represents that these procedures are
                                                                                                        dissemination of the IFV or the value of
                                                Freight Futures currently constituting                                                                        adequate to properly monitor Exchange
                                                                                                        the Benchmark Portfolio occurs. If the
                                                the Benchmark Portfolio, as well as the                                                                       trading of the Shares of the Funds in all
                                                                                                        interruption to the dissemination of the
                                                daily holdings of the Fund will be                      IFV, or the value of the Benchmark                    trading sessions and to deter and detect
                                                available on the Fund’s website. The                    Portfolio persists past the trading day in            violations of Exchange rules and federal
                                                daily holdings of the Benchmark                         which it occurred, the Exchange will                  securities laws applicable to trading on
                                                Portfolio and the Fund will be available                halt trading no later than the beginning              the Exchange.
                                                on the Fund’s website before 9:30 a.m.                                                                           The surveillances referred to above
                                                                                                        of the trading day following the
                                                E.T. each day. The website disclosure of                                                                      generally focus on detecting securities
                                                                                                        interruption. In addition, if the
                                                portfolio holdings will be made daily                                                                         trading outside their normal patterns,
                                                                                                        Exchange becomes aware that the NAV
                                                and will include, as applicable, (i) the                                                                      which could be indicative of
                                                                                                        with respect to the Shares is not
                                                composite value of the total portfolio,                                                                       manipulative or other violative activity.
                                                                                                        disseminated to all market participants
                                                (ii) the quantity and type of each                                                                            When such situations are detected,
                                                                                                        at the same time, it will halt trading in
                                                holding (including the ticker symbol,                                                                         surveillance analysis follows and
                                                                                                        the Shares until such time as the NAV
                                                maturity date or other identifier, if any)                                                                    investigations are opened, where
                                                                                                        is available to all market participants.
                                                and other descriptive information                                                                             appropriate, to review the behavior of
                                                including, in the case of an option, its                Trading Rules                                         all relevant parties for all relevant
                                                                                                           The Exchange deems the Shares to be                trading violations.
                                                strike price, (iii) the percentage                                                                               The Exchange or FINRA, on behalf of
                                                weighting of each holding in the Fund’s                 equity securities, thus rendering trading
                                                                                                        in the Shares subject to the Exchange’s               the Exchange, or both, will
                                                portfolio; (iv) the number of Freight                                                                         communicate as needed regarding
                                                Futures contracts and the value of each                 existing rules governing the trading of
                                                                                                        equity securities. Shares will trade on               trading in the Shares, Freight Futures,
                                                Freight Futures (in U.S. dollars), (v) the                                                                    and exchange-traded options on Freight
                                                type (including maturity, ticker symbol,                the NYSE Arca Marketplace from 4 a.m.
                                                                                                        to 8 p.m. E.T. in accordance with NYSE                Futures with other markets and other
                                                or other identifier) and value of each                                                                        entities that are members of the ISG, and
                                                Treasury security and cash equivalent,                  Arca Rule 7.34–E (Early, Core, and Late
                                                                                                        Trading Sessions). The Exchange has                   the Exchange or FINRA, on behalf of the
                                                and (vi) the amount of cash held in the                                                                       Exchange, or both, may obtain trading
                                                Fund’s portfolio. The Fund’s website                    appropriate rules to facilitate
                                                                                                        transactions in the Shares during all                 information regarding trading in the
                                                will be publicly accessible at no charge.                                                                     Shares, Freight Futures, and exchange-
                                                                                                        trading sessions. As provided in NYSE
                                                   The daily closing Benchmark                          Arca Rule 7.6–E, the minimum price                    traded options on Freight Futures from
                                                Portfolio level and the percentage                      variation (‘‘MPV’’) for quoting and entry             such markets and other entities. In
                                                change in the daily closing level for the               of orders in equity securities traded on              addition, the Exchange may obtain
                                                Benchmark Portfolio will be publicly                    the NYSE Arca Marketplace is $0.01,                   information regarding trading in the
                                                available from one or more major market                 with the exception of securities that are             Shares, Freight Futures, and exchange-
                                                data vendors. The intraday value of the                 priced less than $1.00 for which the                  traded options on Freight Futures from
                                                Benchmark Portfolio, updated every 15                   MPV for order entry is $0.0001.                       markets and other entities that are
                                                seconds, will also be available through                    The Shares will conform to the initial             members of ISG or with which the
                                                major market data vendors.                              and continued listing criteria under                  Exchange has in place a comprehensive
                                                                                                        NYSE Arca Rule 8.200–E. The trading of                surveillance sharing agreement
                                                   This website disclosure of the                                                                             (‘‘CSSA’’).19
                                                Benchmark Portfolio’s and the Fund’s                    the Shares will be subject to NYSE Arca
                                                                                                        Rule 8.200–E, Commentary .02(e),                         Not more than 10% of the net assets
                                                daily holdings will occur at the same                                                                         of the Fund in the aggregate invested in
                                                                                                        which sets forth certain restrictions on
                                                time as the disclosure by the Trust of                                                                        Freight Futures and exchange-traded
                                                                                                        Equity Trading Permit (‘‘ETP’’) Holders
                                                the daily holdings to Authorized                                                                              options on Freight Futures shall consist
                                                                                                        acting as registered Market Makers in
                                                Participants so that all market                         Trust Issued Receipts to facilitate                   of Freight Futures and exchange-traded
                                                participants are provided daily holdings                surveillance. The Exchange represents
                                                information at the same time. Therefore,                                                                        18 FINRA conducts cross-market surveillances on
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                                                                                                        that, for initial and continued listing,              behalf of the Exchange pursuant to a regulatory
                                                the same holdings information will be                   the Funds will be in compliance with                  services agreement. The Exchange is responsible for
                                                provided on the public website as well                  Rule 10A–3 17 under the Act, as                       FINRA’s performance under this regulatory services
                                                as in electronic files provided to                      provided by NYSE Arca Rule 5.3–E. A                   agreement.
                                                Authorized Participants. Accordingly,                   minimum of 100,000 Shares will be
                                                                                                                                                                19 For a list of the current members of ISG, see

                                                each investor will have access to the                                                                         www.isgportal.org. The Exchange notes that not all
                                                                                                                                                              components of the Funds may trade on markets that
                                                current daily holdings of the Fund                        16 See   NYSE Arca Rule 7.12–E.                     are members of ISG or with which the Exchange has
                                                through the Fund’s website.                               17 17   CFR 240.10A–3.                              in place a CSSA.



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                                                61632                     Federal Register / Vol. 82, No. 248 / Thursday, December 28, 2017 / Notices

                                                options on Freight Futures whose                        prospectus. ETP Holders purchasing                      and, in general, to protect investors and
                                                principal market is not a member of the                 Shares from the Fund for resale to                      the public interest.
                                                ISG or is a market with which the                       investors will deliver a prospectus to                     The Exchange believes that the
                                                Exchange does not have a CSSA.                          such investors. The Information Bulletin                proposed rule change is designed to
                                                   In addition, the Exchange also has a                 will also discuss any exemptive, no-                    prevent fraudulent and manipulative
                                                general policy prohibiting the                          action, and interpretive relief granted by              acts and practices in that the Shares will
                                                distribution of material, non-public                    the Commission from any rules under                     be listed and traded on the Exchange
                                                information by its employees.                           the Act. In addition, the Information                   pursuant to the initial and continued
                                                   All statements and representations                   Bulletin will reference that the Fund is                listing criteria in NYSE Arca Rule
                                                made in this filing regarding (a) the                   subject to various fees and expenses                    8.200–E. The Exchange has in place
                                                description of the Reference Indexes                    described in the Registration Statement.                surveillance procedures that are
                                                and portfolios, (b) limitations on                      The Information Bulletin will also                      adequate to properly monitor trading in
                                                portfolio holdings or reference assets, or              reference that the CFTC has regulatory                  the Shares of the Fund in all trading
                                                (c) applicability of Exchange listing                   jurisdiction over the trading of Freight                sessions and to deter and detect
                                                rules specified in this filing shall                    Futures traded on U.S. markets.                         violations of Exchange rules and
                                                constitute continued listing                                                                                    applicable federal securities laws. The
                                                requirements for listing the Shares on                     The Information Bulletin will also                   Exchange or FINRA, on behalf of the
                                                the Exchange.                                           disclose the trading hours of the Shares                Exchange, or both, will communicate as
                                                   The issuer has represented to the                    and that the NAV for the Shares will be                 needed regarding trading in the Shares,
                                                Exchange that it will advise the                        calculated after 4:00 p.m. E.T. each                    Freight Futures, and exchange-traded
                                                Exchange of any failure by the Fund to                  trading day. The Information Bulletin                   options on Freight Futures with other
                                                comply with the continued listing                       will disclose that information about the                markets and other entities that are
                                                requirements, and, pursuant to its                      Shares will be publicly available on the                members of the ISG, and the Exchange
                                                obligations under Section 19(g)(1) of the               Fund’s website.                                         or FINRA, on behalf of the Exchange, or
                                                Act, the Exchange will monitor for                         Prior to the commencement of                         both, may obtain trading information
                                                compliance with the continued listing                   trading, the Exchange will inform its                   regarding trading in the Shares, Freight
                                                requirements. If the Fund is not in                     ETP Holders of the suitability                          Futures, and exchange-traded options
                                                compliance with the applicable listing                  requirements of NYSE Arca Rule 9.2–                     on Freight Futures from such markets
                                                requirements, the Exchange will                         E(a) in an Information Bulletin.                        and other entities. In addition, the
                                                commence delisting procedures under                     Specifically, ETP Holders will be                       Exchange may obtain information
                                                NYSE Arca Rule 5.5–E(m).                                reminded in the Information Bulletin                    regarding trading in the Shares, Freight
                                                Information Bulletin                                    that, in recommending transactions in                   Futures, and exchange-traded options
                                                                                                        the Shares, they must have a reasonable                 on Freight Futures from markets and
                                                   Prior to the commencement of                                                                                 other entities that are members of ISG or
                                                                                                        basis to believe that (1) The
                                                trading, the Exchange will inform its                                                                           with which the Exchange has in place
                                                                                                        recommendation is suitable for a
                                                ETP Holders in an Information Bulletin                                                                          a CSSA. Not more than 10% of the net
                                                                                                        customer given reasonable inquiry
                                                of the special characteristics and risks                                                                        assets of the Fund in the aggregate
                                                                                                        concerning the customer’s investment
                                                associated with trading the Shares.                                                                             invested in Freight Futures and
                                                                                                        objectives, financial situation, needs,
                                                Specifically, the Information Bulletin                                                                          exchange-traded options on Freight
                                                                                                        and any other information known by
                                                will discuss the following: (1) The risks                                                                       Futures shall consist of Freight Futures
                                                                                                        such ETP Holder, and (2) the customer
                                                involved in trading the Shares during                                                                           and exchange-traded options on Freight
                                                                                                        can evaluate the special characteristics,
                                                the Early and Late Trading Sessions                                                                             Futures whose principal market is not a
                                                                                                        and is able to bear the financial risks, of
                                                when an updated IFV will not be                                                                                 member of the ISG or is a market with
                                                                                                        an investment in the Shares. In
                                                calculated or publicly disseminated; (2)                                                                        which the Exchange does not have a
                                                                                                        connection with the suitability
                                                the procedures for purchases and                                                                                CSSA. The Exchange will make
                                                                                                        obligation, the Information Bulletin will
                                                redemptions of Shares in Creation                                                                               available on its website daily trading
                                                                                                        also provide that ETP Holders must
                                                Baskets and Redemption Baskets (and                                                                             volume of each of the Shares, closing
                                                                                                        make reasonable efforts to obtain the
                                                that Shares are not individually                                                                                prices of such Shares, and number of
                                                                                                        following information: (1) The
                                                redeemable); (3) NYSE Arca Rule 9.2–                                                                            Shares outstanding. The intraday,
                                                                                                        customer’s financial status; (2) the
                                                E(a), which imposes a duty of due                                                                               closing prices, and settlement prices of
                                                                                                        customer’s tax status; (3) the customer’s
                                                diligence on its ETP Holders to learn the                                                                       Freight Futures will be readily available
                                                                                                        investment objectives; and (4) such
                                                essential facts relating to every customer                                                                      from the Baltic Exchange website,
                                                                                                        other information used or considered to
                                                prior to trading the Shares; (4) how                                                                            automated quotation systems, published
                                                                                                        be reasonable by such ETP Holder or
                                                information regarding the IFV is                                                                                or other public sources, or on-line
                                                                                                        registered representative in making
                                                disseminated; (5) how information                                                                               information services.
                                                                                                        recommendations to the customer.
                                                regarding portfolio holdings is                                                                                    Complete real-time data for the
                                                disseminated; (6) the requirement that                  2. Statutory Basis                                      Freight Futures is available by
                                                ETP Holders deliver a prospectus to                                                                             subscription from on-line information
                                                investors purchasing newly issued                         The basis under the Act for this                      services. Quotation and last-sale
                                                Shares prior to or concurrently with the                proposed rule change is the requirement                 information regarding the Shares will be
                                                confirmation of a transaction; and (7)                  under Section 6(b)(5) 20 that an                        disseminated through the facilities of
                                                                                                        exchange have rules that are designed to
sradovich on DSK3GMQ082PROD with NOTICES




                                                trading information.                                                                                            the CTA. The IFV will be available
                                                   In addition, the Information Bulletin                prevent fraudulent and manipulative                     through on-line information services.
                                                will advise ETP Holders, prior to the                   acts and practices, to promote just and                 The Freight Futures trading prices will
                                                commencement of trading, of the                         equitable principles of trade, to remove                be disseminated by one or more major
                                                prospectus delivery requirements                        impediments to, and perfect the                         market data vendors every 15 seconds
                                                applicable to the Fund. The Exchange                    mechanism of a free and open market                     during the NYSE Arca Core Trading
                                                notes that investors purchasing Shares                                                                          Session of 9:30 a.m. to 4:00 p.m. E.T.
                                                directly from the Fund will receive a                     20 15   U.S.C. 78f(b)(5).                             Nasdaq Stockholm AB, SGX, CME, ICE


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                                                                          Federal Register / Vol. 82, No. 248 / Thursday, December 28, 2017 / Notices                                           61633

                                                Futures US and EEX provide on a daily                   to the benefit of investors and the                   existing rules governing the trading of
                                                basis, transaction volumes, transaction                 marketplace.                                          equity securities.
                                                prices, trade time, and open interest on                                                                         Quotation and last-sale information
                                                                                                        C. Self-Regulatory Organization’s                     regarding the Shares will be
                                                their respective websites. In addition,
                                                                                                        Statement on Comments on the                          disseminated through the facilities of
                                                the Fund’s website, will display the
                                                                                                        Proposed Rule Change Received From                    the CTA. The intraday, closing prices,
                                                applicable end of day closing NAV. The
                                                                                                        Members, Participants, or Others                      and settlement prices of the Freight
                                                daily holdings of the Fund will be
                                                disclosed on the Fund’s website before                    No written comments were solicited                  Futures will be readily available from
                                                9:30 a.m. E.T. each day. The daily                      or received with respect to the proposed              the applicable futures exchange
                                                holdings of the Fund will be available                  rule change.                                          websites, automated quotation systems,
                                                on the Fund’s website before 9:30 a.m.                                                                        published or other public sources, or
                                                                                                        III. Discussion and Commission                        major market data vendors. Complete
                                                E.T. each day. The Fund’s website                       Findings
                                                disclosure of portfolio holdings will be                                                                      real-time data for Freight Futures is
                                                made daily and will include, as                            After careful review, the Commission               available by subscription through on-
                                                applicable, (i) the composite value of                  finds that the Exchange’s proposal to list            line information services. Trading prices
                                                the total portfolio, (ii) the quantity and              and trade the Shares is consistent with               for the Freight Futures will be
                                                type of each holding (including the                     the Exchange Act and the rules and                    disseminated by one or more major
                                                ticker symbol, maturity date or other                   regulations thereunder applicable to a                market data vendors during the NYSE
                                                identifier, if any) and other descriptive               national securities exchange.21 In                    Arca Core Trading Session of 9:30 a.m.
                                                information including, in the case of an                particular, the Commission finds that                 to 4:00 p.m. E.T. Nasdaq Stockholm AB,
                                                option, its strike price, (iii) the value of            the proposed rule change, as modified                 SGX, CME, ICE Futures US and EEX
                                                each Freight Futures (in U.S. dollars),                 by Amendments No. 1 and No. 3                         provide on a daily basis, transaction
                                                (iv) the type (including maturity, ticker               thereto, is consistent with: (1) Section              volumes, transaction prices, trade time,
                                                symbol, or other identifier) and value of               6(b)(5) of the Exchange Act,22 which                  and open interest on their respective
                                                each Treasury security and cash                         requires, among other things, that the                websites.
                                                equivalent, and (v) the amount of cash                  Exchange’s rules be designed to prevent                  In addition, the Fund’s website,
                                                held in the Fund’s portfolio.                           fraudulent and manipulative acts and                  www.drybulketf.com, will display the
                                                                                                        practices, to promote just and equitable              applicable end of day closing NAV. The
                                                   Moreover, prior to the commencement
                                                                                                        principles of trade, to remove                        daily holdings of the Fund will be
                                                of trading, the Exchange will inform its
                                                                                                        impediments to and perfect the                        disclosed on the Fund’s website before
                                                Equity Trading Permit Holders in an
                                                                                                        mechanism of a free and open market                   9:30 a.m. E.T. each day, and will be
                                                Information Bulletin of the special
                                                                                                        and a national market system, and, in                 made available to all market
                                                characteristics and risks associated with                                                                     participants at the same time. The
                                                trading the Shares. Trading in Shares of                general, to protect investors and the
                                                                                                        public interest; and (2) Section                      Fund’s website disclosure of portfolio
                                                the Fund will be halted if the circuit                                                                        holdings will include, as applicable: (1)
                                                breaker parameters in NYSE Arca Rule                    11A(a)(1)(C)(iii) of the Exchange Act,23
                                                                                                        which sets forth Congress’ finding that               The composite value of the total
                                                7.12–E have been reached or because of                                                                        portfolio, (2) the quantity and type of
                                                market conditions or for reasons that, in               it is in the public interest and
                                                                                                        appropriate for the protection of                     each holding (including the ticker
                                                the view of the Exchange, make trading                                                                        symbol, maturity date or other
                                                in the Shares inadvisable.                              investors and the maintenance of fair
                                                                                                        and orderly markets to assure the                     identifier, if any) and other descriptive
                                                   The proposed rule change is designed                                                                       information including, in the case of an
                                                to perfect the mechanism of a free and                  availability to brokers, dealers and
                                                                                                                                                              option, its strike price, (3) the value of
                                                open market and, in general, to protect                 investors of information with respect to
                                                                                                                                                              each Freight Futures (in U.S. dollars),
                                                investors and the public interest in that               quotations for and transactions in
                                                                                                                                                              (4) the type (including maturity, ticker
                                                it will facilitate the listing and trading              securities.
                                                                                                                                                              symbol, or other identifier) and value of
                                                of Trust Issued Receipts based on                          The Commission notes that the
                                                                                                                                                              each Treasury security and cash
                                                Freight Futures that will enhance                       Exchange has represented that the                     equivalent, and (5) the amount of cash
                                                competition among market participants,                  Freight Futures trade on well-                        held in the Fund’s portfolio.
                                                to the benefit of investors and the                     established, regulated markets that are                  The intraday value of the Benchmark
                                                marketplace. As noted above, the                        members of the ISG.24 The Commission                  Portfolio, updated every 15 seconds,
                                                Exchange has in place surveillance                      finds that the Exchange will be able to               will be available through major market
                                                procedures that are adequate to properly                share surveillance information with a                 data vendors. The IFV will be
                                                monitor trading in the Shares in all                    significant regulated market for trading              disseminated on a per Share basis every
                                                trading sessions and to deter and detect                futures on dry bulk freight.                          15 seconds during regular NYSE Arca
                                                violations of Exchange rules and                           To be listed and traded on the                     Core Trading Session hours of 9:30 a.m.
                                                applicable federal securities laws.                     Exchange, the Shares must comply with                 E.T. to 4:00 p.m. E.T. The Administrator
                                                                                                        the requirements of NYSE Arca Rule                    will calculate the NAV of the Fund on
                                                B. Self-Regulatory Organization’s                       8.200–E, Commentary .02 thereto on an
                                                Statement on Burden on Competition                                                                            each NYSE Arca trading day, and will
                                                                                                        initial and continuing basis. The                     disseminate that value after 4:00 p.m.
                                                  The Exchange does not believe that                    Exchange deems the Shares to be equity                E.T. The NAV for the Shares will be
                                                the proposed rule change will impose                    securities, thus rendering trading in the             disseminated daily to all market
                                                any burden on competition that is not                   Shares subject to the Exchange’s
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                                                                                                                                                              participants at the same time.
                                                necessary or appropriate in furtherance                                                                          The Commission also believes that the
                                                of the purpose of the Act. The Exchange                   21 In approving this proposed rule change, the
                                                                                                                                                              proposal to list and trade the Shares is
                                                notes that the proposed rule change will                Commission has considered the proposed rule’s         reasonably designed to promote fair
                                                                                                        impact on efficiency, competition, and capital
                                                facilitate the listing and trading of a new             formation. See 15 U.S.C. 78c(f).                      disclosure of information that may be
                                                type of Trust Issued Receipts based on                    22 15 U.S.C. 78f(b)(5).                             necessary to price the Shares
                                                Freight Futures and that will enhance                     23 15 U.S.C. 78k–1(a)(1)(C)(iii).                   appropriately and to prevent trading
                                                competition among market participants,                    24 See generally Amendments No. 1 and No. 3.        when a reasonable degree of


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                                                61634                     Federal Register / Vol. 82, No. 248 / Thursday, December 28, 2017 / Notices

                                                transparency cannot be assured. If the                  are adequate to properly monitor                      constitute continued listing
                                                Exchange becomes aware that the NAV                     Exchange trading of the Shares in all                 requirements for listing the Shares on
                                                with respect to the Shares is not                       trading sessions and to deter and detect              the Exchange.
                                                disseminated to all market participants                 violations of Exchange rules and federal                 (10) The issuer has represented to the
                                                at the same time, it will halt trading in               securities laws applicable to trading on              Exchange that it will advise the
                                                the Shares until such time as the NAV                   the Exchange.                                         Exchange of any failure by the Fund to
                                                is available to all market participants.                   (4) Prior to the commencement of                   comply with the continued listing
                                                Further, the Exchange may halt trading                  trading, the Exchange will inform its                 requirements, and, pursuant to its
                                                during the day in which an interruption                 ETP Holders in an Information Bulletin                obligations under Section 19(g)(1) of the
                                                to the dissemination of the IFV or the                  of the special characteristics and risks              Act, the Exchange will monitor for
                                                value of the Benchmark Portfolio                        associated with trading the Shares.                   compliance with the continued listing
                                                occurs; if the interruption to the                      Specifically, the Information Bulletin                requirements.26 If the Fund is not in
                                                dissemination of the IFV or the value of                will discuss the following: (a) The risks             compliance with the applicable listing
                                                the Benchmark Portfolio persists past                   involved in trading the Shares during                 requirements, the Exchange will
                                                the trading day in which it occurred, the               the Early and Late Trading Sessions                   commence delisting procedures under
                                                Exchange will halt trading no later than                when an updated IFV will not be                       NYSE Arca Rule 5.5–E(m).
                                                the beginning of the trading day                        calculated or publicly disseminated; (b)                 This approval order is based on all of
                                                following the interruption. Trading in                  the procedures for purchases and                      the Exchange’s representations and
                                                Shares of a Fund will be halted if the                  redemptions of Shares in Creation                     description of the Fund, including those
                                                circuit breaker parameters in NYSE Arca                 Baskets and Redemption Baskets (and                   set forth above and in Amendments No.
                                                Rule 7.12–E have been reached. Trading                  that Shares are not individually                      1 and No. 3.
                                                also may be halted because of market                    redeemable); (c) NYSE Arca Rule 9.2–                     For the foregoing reasons, the
                                                conditions or for reasons that, in the                  E(a), which imposes a duty of due                     Commission finds that the proposed
                                                view of the Exchange, make trading in                   diligence on its ETP Holders to learn the             rule change, as modified by
                                                the Shares inadvisable. The Exchange                    essential facts relating to every customer            Amendments No. 1 and No. 3 thereto,
                                                states that it has a general policy                     prior to trading the Shares; (d) how                  is consistent with Section 6(b)(5) of the
                                                prohibiting the distribution of material,               information regarding the IFV is                      Act 27 and the rules and regulations
                                                non-public information by its                           disseminated; (e) how information                     thereunder applicable to a national
                                                employees. Moreover, trading of the                     regarding portfolio holdings is                       securities exchange.
                                                Shares will be subject to NYSE Arca                     disseminated; (f) the requirement that
                                                                                                                                                              IV. Solicitation of Comments on
                                                Rule 8.200–E, Commentary .02(e),                        ETP Holders deliver a prospectus to
                                                                                                                                                              Amendment No. 1
                                                which sets forth certain restrictions on                investors purchasing newly issued
                                                ETP Holders acting as registered Market                 Shares prior to or concurrently with the                 Interested persons are invited to
                                                Makers in Trust Issued Receipts to                      confirmation of a transaction; and (g)                submit written data, views, and
                                                facilitate surveillance.                                trading information.                                  arguments concerning Amendment No.
                                                   The Commission notes that the                           (5) For initial and/or continued                   1. Comments may be submitted by any
                                                Exchange or FINRA, on behalf of the                     listing, the Funds will be in compliance              of the following methods:
                                                Exchange, or both, will communicate as                  with Rule 10A–3 under the Act,25 as                   Electronic Comments
                                                needed regarding trading in the Shares                  provided by NYSE Arca Rule 5.3–E.
                                                and Freight Futures with other markets                     (6) A minimum of 100,000 Shares will                  • Use the Commission’s internet
                                                and other entities that are members of                  be outstanding at the commencement of                 comment form (http://www.sec.gov/
                                                the ISG, and the Exchange or FINRA, on                  trading on the Exchange.                              rules/sro.shtml); or
                                                behalf of the Exchange, or both, may                       (7) The Fund invest substantially all                 • Send an email to rule-comments@
                                                obtain trading information regarding                    of its assets in the Freight Futures                  sec.gov. Please include File Number SR–
                                                trading in the Shares and Freight                       currently constituting the Benchmark                  NYSEArca–2017–107 on the subject
                                                Futures from such markets and other                     Portfolio, and not more than 10% of the               line.
                                                entities. In addition, the Exchange may                 net assets of the Fund in the aggregate               Paper Comments
                                                obtain information regarding trading in                 invested in Freight Futures or options
                                                                                                        on Freight Futures shall consist of                      • Send paper comments in triplicate
                                                the Shares and Freight Futures from
                                                                                                        derivatives whose principal market is                 to Secretary, Securities and Exchange
                                                markets and other entities that are
                                                                                                        not a member of the ISG or is a market                Commission, 100 F Street NE,
                                                members of ISG or with which the
                                                                                                        with which the Exchange does not have                 Washington, DC 20549–1090.
                                                Exchange has in place a CSSA.
                                                   In support of this proposal, the                     a CSSA.                                               All submissions should refer to File
                                                Exchange represented that:                                 (8) The Benchmark Portfolio will not               Number SR–NYSEArca–2017–107. This
                                                   (1) The Shares will conform to the                   include, and the Fund will not invest in,             file number should be included on the
                                                initial and continued listing criteria                  swaps, non-cleared dry bulk freight
                                                                                                                                                                 26 The Commission notes that certain other
                                                under NYSE Arca Rule 8.200–E.                           forwards or other over-the-counter
                                                                                                                                                              proposals for the listing and trading of exchange-
                                                   (2) The Exchange has appropriate                     derivative instruments that are not                   traded products include a representation that the
                                                rules to facilitate transactions in the                 cleared through exchanges or clearing                 listing exchange will ‘‘surveil’’ for compliance with
                                                Shares during all trading sessions.                     houses.                                               the continued listing requirements. See, e.g.,
                                                   (3) Trading in the Shares will be                       (9) Statements and representations                 Securities Exchange Act Release No. 77620 (April
                                                subject to the existing trading                                                                               14, 2016), 81 FR 23339 (April 20, 2016) (SR–BATS–
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                                                                                                        made in this filing regarding (a) the                 2015–124). In the context of this representation, it
                                                surveillances administered by the                       description of the Reference Indexes                  is the Commission’s view that ‘‘monitor’’ and
                                                Exchange, as well as cross-market                       and portfolios, (b) limitations on                    ‘‘surveil’’ both mean ongoing oversight of the
                                                surveillances administered by FINRA on                  portfolio holdings or reference assets, or            Fund’s compliance with the continued listing
                                                behalf of the Exchange, which are                                                                             requirements. Therefore, the Commission does not
                                                                                                        (c) applicability of Exchange listing                 view ‘‘monitor’’ as a more or less stringent
                                                designed to detect violations of                        rules specified in this filing shall                  obligation than ‘‘surveil’’ with respect to the
                                                Exchange rules and applicable federal                                                                         continued listing requirements.
                                                securities laws, and these procedures                     25 17   CFR 240.10A–3.                                 27 15 U.S.C. 78f(b)(5).




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                                                                          Federal Register / Vol. 82, No. 248 / Thursday, December 28, 2017 / Notices                                            61635

                                                subject line if email is used. To help the              of the Exchange Act,29 to approve the                 I. Self-Regulatory Organization’s
                                                Commission process and review your                      proposed rule change, as modified by                  Statement of the Terms of Substance of
                                                comments more efficiently, please use                   Amendments No. 1 and No. 3, on an                     the Proposed Rule Change
                                                only one method. The Commission will                    accelerated basis.                                       The Exchange proposes to amend
                                                post all comments on the Commission’s                                                                         Rule 6.4 by extending the Penny Pilot
                                                internet website (http://www.sec.gov/                   VI. Conclusion
                                                                                                                                                              Program through June 30, 2018.
                                                rules/sro.shtml). Copies of the                                                                                  (additions are italicized; deletions are
                                                                                                           It is therefore ordered, pursuant to
                                                submission, all subsequent                                                                                    [bracketed])
                                                                                                        Section 19(b)(2) of the Exchange Act,30
                                                amendments, all written statements
                                                                                                        that the proposed rule change (SR–                    *     *     *     *      *
                                                with respect to the proposed rule
                                                change that are filed with the                          NYSEArca–2017–107), as modified by                    Cboe C2 Exchange, Inc.
                                                Commission, and all written                             Amendments No. 1 and No. 3, be, and
                                                                                                        it hereby is, approved on an accelerated              Rules
                                                communications relating to the
                                                proposed rule change between the                        basis.                                                *        *   *    *    *
                                                Commission and any person, other than                     For the Commission, by the Division of              Rule 6.4. Minimum Increments for Bids
                                                those that may be withheld from the                     Trading and Markets, pursuant to delegated            and Offers
                                                public in accordance with the                           authority.31
                                                provisions of 5 U.S.C. 552, will be                                                                              The Board of Directors may establish
                                                                                                        Eduardo A. Aleman,                                    minimum quoting increments for
                                                available for website viewing and
                                                                                                        Assistant Secretary.                                  options traded on the Exchange. When
                                                printing in the Commission’s Public
                                                Reference Room, 100 F Street NE,                        [FR Doc. 2017–28078 Filed 12–27–17; 8:45 am]          the Board of Directors determines to
                                                Washington, DC 20549, on official                       BILLING CODE 8011–01–P                                change the minimum increments, the
                                                business days between the hours of                                                                            Exchange will designate such change as
                                                10:00 a.m. and 3:00 p.m. Copies of this                                                                       a stated policy, practice, or
                                                filing will also be available for                       SECURITIES AND EXCHANGE                               interpretation with respect to the
                                                inspection and copying at the principal                 COMMISSION                                            administration of this Rule within the
                                                office of the Exchange. All comments                                                                          meaning of subparagraph (3)(A) of
                                                received will be posted without change.                 [Release No. 34–82376; File No. SR–C2–                subsection 19(b) of the Exchange Act
                                                Persons submitting comments are                         2017–032]                                             and will file a rule change for
                                                cautioned that we do not redact or edit                                                                       effectiveness upon filing with the
                                                personal identifying information from                   Self-Regulatory Organizations; C2                     Commission. Until such time as the
                                                comment submissions. You should                         Exchange, Inc.; Notice of Filing and                  Board of Directors makes a change to the
                                                submit only information that you wish                   Immediate Effectiveness of a Proposed                 minimum increments, the following
                                                to make available publicly. All                         Rule Change to Rule 6.4, Minimum                      minimum increments shall apply to
                                                submissions should refer to File                        Increments for Bids and Offers, To                    options traded on the Exchange:
                                                Number SR–NYSEArca–2017–107 and                                                                                  (1) No change.
                                                                                                        Extend the Penny Pilot Program                           (2) No change.
                                                should be submitted on or before
                                                                                                        December 21, 2017.                                       (3) The decimal increments for bids
                                                January 18, 2018.
                                                                                                                                                              and offers for all series of the option
                                                V. Accelerated Approval of Proposed                        Pursuant to Section 19(b)(1) of the                classes participating in the Penny Pilot
                                                Rule Change, as Modified by                             Securities Exchange Act of 1934 (the                  Program are: $0.01 for all option series
                                                Amendment No. 1                                         ‘‘Act’’),1 and Rule 19b–4 thereunder,2                quoted below $3 (including LEAPS),
                                                   The Commission finds good cause to                   notice is hereby given that on December               and $0.05 for all option series $3 and
                                                approve the proposed rule change, as                    14, 2017, C2 Exchange, Inc. (the                      above (including LEAPS). For QQQQs,
                                                modified by Amendments No. 1 and No.                    ‘‘Exchange’’ or ‘‘C2’’) filed with the                IWM, and SPY, the minimum increment
                                                3, prior to the 30th day after the date of              Securities and Exchange Commission                    is $0.01 for all option series. The
                                                publication of notice of Amendment No.                  (‘‘Commission’’) the proposed rule                    Exchange may replace any option class
                                                1 in the Federal Register.28 Amendment                  change as described in Items I and II                 participating in the Penny Pilot Program
                                                No. 1 does not expand the structure of                  below, which Items have been prepared                 that has been delisted with the next
                                                the proposed rule change as it was                      by the Exchange. The Exchange has                     most actively-traded, multiply-listed
                                                previously published for notice and                     designated this proposal as a ‘‘non-                  option class, based on national average
                                                comment; Amendment No. 1                                controversial’’ proposed rule change                  daily volume in the preceding six
                                                supplements the proposal by, among                      pursuant to Section 19(b)(3)(A) of the                calendar months, that is not yet
                                                other things, limiting the amount of                    Act 3 and Rule 19b–4(f)(6)(iii)                       included in the Pilot Program. Any
                                                listed options held by the Fund that are                thereunder,4 which renders it effective               replacement class would be added on
                                                listed on a non-ISG/CSSA market and                     upon filing with the Commission. The                  the second trading day following [July 1,
                                                expanding the continued listing                                                                               2017]January 1, 2018. The Penny Pilot
                                                                                                        Commission is publishing this notice to
                                                requirements applicable to the Shares.                                                                        shall expire on [December 31, 2017]June
                                                                                                        solicit comments on the proposed rule
                                                These changes helped the Commission                                                                           30, 2018. Also, for so long as SPDR
                                                                                                        change from interested persons.                       options (SPY) and options on Diamonds
                                                to evaluate the Shares’ susceptibility to
                                                manipulation, and determine that the                                                                          (DIA) participate in the Penny Pilot
                                                                                                                                                              Program, the minimum increments for
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                                                listing and trading of the Shares would
                                                be consistent with the protection of                      29 15 U.S.C. 78s(b)(2).                             Mini-SPX Index Options (XSP) and
                                                investors and the public interest.                        30 15 U.S.C. 78s(b)(2).                             options on the Dow Jones Industrial
                                                Accordingly, the Commission finds                         31 17 CFR 200.30–3(a)(12).                          Average (DJX), respectively, may be
                                                good cause, pursuant to Section 19(b)(2)                  1 15 U.S.C. 78s(b)(1).                              $0.01 for all option series quoting less
                                                                                                          2 17 CFR 240.19b–4.                                 than $3 (including LEAPS), and $0.05
                                                  28 As noted above, Amendment No. 2 is not               3 15 U.S.C. 78s(b)(3)(A).                           for all option series quoting at $3 or
                                                subject to notice and comment. See supra note 6.          4 17 CFR 240.19b–4(f)(6)(iii).                      higher (including LEAPS).


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Document Created: 2017-12-28 00:44:06
Document Modified: 2017-12-28 00:44:06
CategoryRegulatory Information
CollectionFederal Register
sudoc ClassAE 2.7:
GS 4.107:
AE 2.106:
PublisherOffice of the Federal Register, National Archives and Records Administration
SectionNotices
FR Citation82 FR 61625 

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