[Federal Register Volume 78, Number 131 (Tuesday, July 9, 2013)]
[Notices]
[Pages 41138-41145]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2013-16377]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-69910; File No. SR-NYSEArca-2013-48]


Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting 
Approval of Proposed Rule Change, as Modified by Amendment No. 1 
Thereto, To List and Trade Shares of iShares Dow Jones-UBS Roll Select 
Commodity Index Trust Pursuant to NYSE Arca Equities Rule 8.200

July 2, 2013.

I. Introduction

    On May 1, 2013, NYSE Arca, Inc. (``Exchange'' or ``NYSE Arca'') 
filed with the Securities and Exchange Commission (``Commission''), 
pursuant

[[Page 41139]]

to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') 
\1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to list and 
trade shares (``Shares'') of iShares Dow Jones-UBS Roll Select 
Commodity Index Trust (``Trust'') under NYSE Arca Equities Rule 8.200. 
On May 3, 2013, the Exchange filed Amendment No. 1 to the proposed rule 
change.\3\ The proposed rule change, as modified by Amendment No. 1 
thereto, was published for comment in the Federal Register on May 20, 
2013.\4\ The Commission received no comments on the proposed rule 
change. This order grants approval of the proposed rule change, as 
modified by Amendment No. 1 thereto.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ In Amendment No. 1, the Exchange made a technical correction 
and clarified that UBS Securities has implemented a fire wall with 
respect to its personnel regarding access to information concerning, 
among other things, the calculation of the values of the Index, DJ-
UBS CI, and DJ-UBS Roll Select CI (as such terms are defined below).
    \4\ See Securities Exchange Act Release No. 69573 (May 14, 
2013), 78 FR 29411 (``Notice'').
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II. Description of Proposed Rule Change

    The Exchange proposes to list and trade Shares of the Trust 
pursuant to NYSE Arca Equities Rule 8.200, Commentary .02.\5\ The 
Shares represent beneficial ownership interests in the Trust.\6\ The 
Trust is a Delaware statutory trust. The Trust is operated by 
iShares(copyright) Delaware Trust Sponsor LLC (``Sponsor''), a Delaware 
limited liability company and an indirect subsidiary of BlackRock, Inc. 
(``BlackRock''). The Sponsor is a commodity pool operator registered 
with the Commodity Futures Trading Commission (``CFTC'') and a member 
of the National Futures Association (``NFA''). BlackRock Asset 
Management International Inc., a Delaware corporation and an indirect 
subsidiary of BlackRock, is the sole member and manager of the Sponsor. 
BlackRock Institutional Trust Company, N.A., a national banking 
association, an indirect subsidiary of BlackRock, and an affiliate of 
the Sponsor, is the trustee of the Trust (``Trustee''). BlackRock Fund 
Advisors (``Adviser''),\7\ a California corporation, an indirect 
subsidiary of BlackRock, and an affiliate of the Sponsor, serves as the 
commodity trading advisor of the Trust, is registered as a commodity 
trading advisor with the CFTC, and is a member of the NFA.\8\ State 
Street Bank and Trust Company, a trust company organized under the laws 
of Massachusetts, is the administrator (``Administrator'') of the 
Trust.
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    \5\ Commentary .02 to NYSE Arca Equities Rule 8.200 applies to 
Trust Issued Receipts that invest in ``Financial Instruments.'' The 
term ``Financial Instruments,'' as defined in Commentary .02(b)(4) 
to NYSE Arca Equities Rule 8.200, means any combination of 
investments, including cash; securities; options on securities and 
indices; futures contracts; options on futures contracts; forward 
contracts; equity caps, collars, and floors; and swap agreements.
    \6\ See the pre-effective amendment to the registration 
statement on Form S-1 for the Trust, dated February 8, 2013 (File 
No. 333-178376) relating to the Shares (``Registration Statement'').
    \7\ The Adviser is not a broker-dealer but is affiliated with a 
broker-dealer and has implemented a firewall with respect to such 
broker-dealer affiliate as well as procedures designed to prevent 
the use and dissemination of material, non-public information 
regarding the assets of the Trust.
    \8\ According to the Sponsor, the Sponsor will be responsible 
for the overall management of the Trust and the Trustee will be 
responsible for the day-to-day administration of the Trust. The 
Adviser will act as the commodity trading advisor for the Trust with 
discretionary authority to make determinations with respect to the 
Trust's assets, but will not engage in any activities designed to 
obtain a profit from, or ameliorate losses caused by, changes to the 
level of the underlying index. The Sponsor represents that it will 
implement and maintain procedures designed to prevent the use and 
dissemination of material, non-public information regarding the 
assets of the Trust.
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    The investment objective of the Trust will be to seek investment 
results that correspond generally, but are not necessarily identical, 
to the performance of the Dow Jones-UBS Roll Select Commodity Index 
Total Return (``Index''), which reflects the returns on a fully 
collateralized investment in the Dow Jones-UBS Roll Select Commodity 
Index (``DJ-UBS Roll Select CI''), before the payment of expenses and 
liabilities of the Trust. The DJ-UBS Roll Select CI is calculated based 
on the same commodities, though not always the same futures contracts, 
that are included in the Dow Jones-UBS Commodity Index (``DJ-UBS CI''). 
The DJ-UBS CI is a liquidity- and production-weighted index of the 
prices of a diversified group of futures contracts on physical 
commodities. The DJ-UBS CI forms the base commodities index from which 
the DJ-UBS Roll Select CI and the Index are derived.
    The assets of the Trust will consist of long positions in Futures 
Exchange \9\-traded futures contracts of various expirations (``Index 
Futures'') \10\ on the DJ-UBS Roll Select CI, together with cash, U.S. 
Treasury securities, or other short-term securities and similar 
securities that are eligible as margin deposits for those Index Futures 
positions (``Collateral Assets'').\11\ The Trust is expected to roll 
out of existing positions and establish new positions in Index Futures 
on an ongoing basis.\12\
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    \9\ As used herein, ``Futures Exchange'' means the Chicago 
Mercantile Exchange (``CME'') or one of the CME Group Inc.'s other 
designated contract markets, or any additional or successor 
designated contract markets through which the Trust trades Index 
Futures (as defined herein). The designated contract markets of the 
CME Group Inc. are the CME, Chicago Board of Trade (``CBOT''), New 
York Mercantile Exchange Inc. (``NYMEX'') and Commodity Exchange, 
Inc. (``COMEX'').
    \10\ The Trust's Index Futures will be subject to the rules of 
the relevant Futures Exchange, which will initially be CME. The 
Index Futures will initially trade on GLOBEX, the CME's electronic 
trading system, and are not expected to trade through open outcry on 
the floor of the CME.
    \11\ The Sponsor represents that the Trust will invest in Index 
Futures and Collateral Assets, in a manner consistent with the 
Trust's investment objective and not to achieve additional leverage.
    \12\ The Index Futures initially held by the Trust will have 
quarterly expirations and be listed for trading by the CME. 
Subsequent Index Futures held by the Trust may have longer or 
shorter expirations, different terms, and may be listed on other 
Futures Exchanges.
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    In order to collateralize its Index Futures positions and to 
reflect the U.S. Treasury component of the Index, the Trust will hold 
Collateral Assets, from which it will post margin to its clearing 
futures commission merchant (``Clearing FCM''), in an amount equal to 
the margin required by the relevant Futures Exchange, and transfer to 
its Clearing FCM any additional amounts that may be separately required 
by the Clearing FCM.\13\ Any Collateral Assets not required to be 
posted as margin with the Clearing FCM will be held in the Trust's 
accounts established at its Administrator.
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    \13\ When establishing positions in Index Futures, the Trust 
will be required to deposit initial margin with a value of 
approximately 3% to 10% of the value of each Index Futures position 
at the time it is established. These margin requirements are subject 
to change from time to time by the Exchange or the Clearing FCM. On 
a daily basis, the Trust 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 Index Futures positions.
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    The Trust will be a passive investor in Index Futures and the 
Collateral Assets held to satisfy applicable margin requirements on 
those Index Futures positions. At any time when Index Futures of more 
than one expiration date are listed on the Futures Exchange, the 
Sponsor will determine, pursuant to the terms of the trust agreement, 
which Index Futures of a given expiration will be transferred into or 
out of the Trust in connection with either the creation or redemption 
of Shares. The Adviser will not engage in any activities designed to 
obtain a profit from, or to ameliorate losses caused by, changes in the 
level of the Index or the DJ-UBS Roll Select CI or the value of the 
Collateral Assets.
    The profit or loss on the Trust's Index Futures positions should 
correlate with increases and decreases in the value of the DJ-UBS Roll 
Select CI, although this correlation is not expected to be exact. The 
return on the Index Futures, together with interest on the Collateral 
Assets, is expected to result in a total return that corresponds 
generally, but is not identical, to the Index.

[[Page 41140]]

The Index, DJ-UBS CI, and DJ-UBS Roll Select CI

    The Index reflects the value of the DJ-UBS Roll Select CI together 
with the returns on specified U.S. Treasury securities that are deemed 
to have been held to collateralize a hypothetical long position in the 
futures contracts comprising the DJ-UBS Roll Select CI.
    The DJ-UBS Roll Select CI is calculated based on the same 
commodities, though not always the same futures contracts, that are 
included in the DJ-UBS CI, which is a liquidity- and production-
weighted index of the prices of a diversified group of futures 
contracts on physical commodities. The DJ-UBS Roll Select CI seeks to 
minimize the effect of contango and maximize the effect of 
backwardation by selecting replacement futures contracts that exhibit 
the most backwardation or least contango among those eligible futures 
contracts with delivery months of up to 273 calendar days until 
expiration.\14\
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    \14\ Markets for futures contracts can exhibit 
``backwardation,'' which means that futures contracts with distant 
delivery months are priced lower than those with nearer delivery 
months, or can exhibit ``contango,'' which means that futures 
contracts with distant delivery months are priced higher than those 
with nearer delivery months.
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    The DJ-UBS Roll Select CI incorporates the economic effect of 
``rolling'' the futures contracts included in the applicable index and 
the DJ-UBS CI reflects the economic effect of ``rolling'' futures 
contracts into front-month futures contracts. ``Rolling'' a futures 
contract means closing out a position in an expiring futures contract 
and establishing an equivalent position in a new futures contract on 
the same commodity.
    The DJ-UBS Roll Select CI differs from the DJ-UBS CI in that it 
does not roll into the futures contract with the nearest designated 
delivery month. Rather, the DJ-UBS Roll Select CI rolls into those 
eligible futures contracts with delivery months of up to 273 calendar 
days until expiration that exhibit the most backwardation or that 
exhibit the least contango.
    The DJ-UBS Roll Select CI, the DJ-UBS CI, and the Index are 
administered, calculated, and published by UBS Securities LLC (``UBS 
Securities'') and DJI Opco, LLC, a wholly-owned subsidiary of S&P Dow 
Jones Indices LLC (``S&P Dow Jones Indices'' and, together with UBS 
Securities, ``Index Co-Sponsors'').\15\
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    \15\ According to the Sponsor, S&P Dow Jones Indices and its 
subsidiary DJI Opco, LLC are not broker-dealers and UBS Securities 
is a broker-dealer. UBS Securities has implemented a fire wall with 
respect to its personnel regarding access to information concerning 
the composition and/or changes to the Index, DJ-UBS CI, and DJ-UBS 
Roll Select CI and the calculation of the values of the foregoing 
indexes, and will be subject to procedures designed to prevent the 
use and dissemination of material, non-public information regarding 
the Index, DJ-UBS CI, and DJ-UBS Roll Select CI. The Index Co-
Sponsors have implemented and maintain procedures designed to 
prevent the use and dissemination of material, non-public 
information regarding the DJ-UBS Roll Select CI, the DJ-UBS CI, and 
the Index.
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The DJ-UBS CI

    The DJ-UBS CI, on which the DJ-UBS Roll Select CI is based, was 
created by AIG International Inc. in 1998 and acquired by UBS 
Securities in May 2009, at which time UBS Securities and Dow Jones 
entered into a joint marketing agreement to market the DJ-UBS CI and 
related indices. Dow Jones subsequently assigned its interest in the 
joint marketing agreement to CME Indexes. The Index Co-Sponsors are 
together responsible for calculating the DJ-UBS CI and related indices 
and sub-indices, including the Index and the DJ-UBS Roll Select CI.
    The DJ-UBS CI is a benchmark index composed of futures contracts on 
the underlying physical commodities, the selection and weighting of 
which are currently determined based on the five-year average of the 
trading volume, adjusted by the historic U.S. dollar value of the 
futures contract designated for inclusion in the DJ-UBS CI, and the 
five-year average of production figures, adjusted by the historic U.S. 
dollar value of the futures contract designated for inclusion in the 
DJ-UBS CI. For each of the included commodities, specified futures 
contracts with specified delivery dates are designated for inclusion in 
the DJ-UBS CI. The DJ-UBS CI is reweighted and rebalanced annually, on 
a price-percentage basis, to reflect changes in trading volume and 
production figures.
    The DJ-UBS CI reflects the increased or decreased return associated 
with ``rolling'' futures contracts. The DJ-UBS CI reflects the economic 
impact of the roll process by reducing the weights applied to expiring 
futures contracts while correspondingly increasing the weights applied 
to the futures contracts that are replacing such expiring futures 
contracts. This roll simulation is generally conducted at the beginning 
of each month over the course of five business days, lasting from the 
sixth business day until the tenth business day of each month. The DJ-
UBS CI conducts its roll simulations each month by rolling out of the 
designated futures contracts expiring in that month and rolling into 
those designated futures contracts with the next closest designated 
delivery month.

The DJ-UBS Roll Select CI

    The DJ-UBS Roll Select CI implements its rolling methodology by 
selecting from the eligible contracts for each commodity on its 
applicable ``contract selection date,'' the contract that exhibits the 
greatest amount of backwardation or least amount of contango, on an 
annualized basis, relative to the contract with the immediately 
preceding delivery date on the same commodity. This is accomplished by 
first dividing the price of each eligible contract from the price of 
the contract immediately preceding such eligible contract, to determine 
the percentage difference between the two prices. Because this price 
difference may be affected by the relative time between the eligible 
contract and its immediately preceding contract, this price difference 
is multiplied by 365 and divided by the number of actual days between 
the delivery dates of the two contracts, to arrive at a measure of the 
relative annualized contango/backwardation, referred to as the 
``annualized spread,'' exhibited between the eligible contract and the 
contract immediately preceding it. Based on a comparison of these 
annualized spreads, the eligible contract that has the highest 
annualized spread relative to its immediately preceding contract is the 
one selected as the contract for the DJ-UBS Roll Select CI to establish 
new positions in. This roll selection process generally occurs every 
month on the fourth business day of the month, subject to changes or 
adjustments to this process implemented by the Index Co-Sponsors.
    The Index Futures in which the Trust will invest will be based on 
the DJ-UBS Roll Select CI. The DJ-UBS Roll Select CI is a version of 
the DJ-UBS CI that tries to mitigate the effects of contango arising 
from the rolling process. Rather than incorporating the economic effect 
of rolling into futures contracts with the next closest designated 
delivery month, the DJ-UBS Roll Select CI incorporates the economic 
effect of rolling into applicable futures contracts that exhibit the 
least contango or, if applicable, the most backwardation, in each case 
relative to the contracts of the immediately preceding delivery month.
    Because the DJ-UBS Roll Select CI utilizes a different designated 
contract selection process than the DJ-UBS CI, the futures contracts 
comprising the DJ-UBS Roll Select CI at any particular time may have 
different delivery months than those comprising the DJ-UBS CI, and the 
levels of the DJ-UBS Roll Select CI and the DJ-UBS CI may 
correspondingly differ. In addition, as a

[[Page 41141]]

result of this difference in rolling processes, both the performance of 
the DJ-UBS Roll Select CI and the DJ-UBS CI and the dollar-value 
weights of their respective underlying futures contracts are expected 
to differ over time.

Determination of DJ-UBS CI Index Constituents

    The Index Co-Sponsors have established a two-tier oversight 
structure for the DJ-UBS CI, the DJ-UBS Roll Select CI, and the Index 
comprised of the ``Supervisory Committee'' and the ``Advisory 
Committee.'' \16\ The composition of the DJ-UBS CI is determined by UBS 
Securities each year under the supervision of, and in accordance with 
the procedures adopted by, the Supervisory Committee. The final 
composition of the DJ-UBS CI for each calendar year is subject to the 
approval of the Supervisory Committee in consultation with the Advisory 
Committee, and once this approval has been obtained, the new 
composition of the DJ-UBS CI is publicly announced, and takes effect in 
the month of January of the relevant calendar year.
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    \16\ The Supervisory Committee and the Advisory Committee are 
subject to procedures designed to prevent the improper use and 
dissemination of material, non-public information regarding the 
Index, DJ-UBS Roll Select CI, and DJ-UBS CI.
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    The relative weight of a commodity eligible for inclusion in the 
DJ-UBS CI, or its commodity index percentage (``CIP''), is initially 
determined based on (i) the relative production percentages of the 
commodities eligible for inclusion in the DJ-UBS CI and (ii) the 
relative liquidity of the futures contracts that have been designated 
as the eligible reference contracts for those commodities. This initial 
CIP calculation is then adjusted to give effect to caps and floors on 
such CIPs and to adjust the weights for gold and silver, the relative 
production numbers of which, according to the Dow Jones-UBS Commodity 
Index\SM\ Handbook, last published by the Index Co-Sponsors as of May 
2012, understate their economic significance.
    The commodities and related designated futures contracts currently 
included in the DJ-UBS CI and their respective final CIPs for 2013 are 
as follows:

----------------------------------------------------------------------------------------------------------------
                                  Designated                                           CIP**      Trading hours
          Commodity                contract          Exchange*          Units        (percent)      (E.T.) ***
----------------------------------------------------------------------------------------------------------------
Aluminum.....................  High Grade        LME.............  25 metric tons.        4.913  First session:
                                Primary                                                           6:55AM to
                                Aluminum.                                                         7:00AM, 7:55AM
                                                                                                  to 8:00AM;
                                                                                                  second
                                                                                                  session:
                                                                                                  10:15AM to
                                                                                                  10:20AM,
                                                                                                  10:55AM to
                                                                                                  11:00AM.
Coffee.......................  Coffee ``C''....  ICE Futures U.S.  37,500 lbs.....        2.442  3:30AM to
                                                                                                  2:00PM.
Copper.......................  Copper..........  COMEX...........  25,000 lbs.....        7.277  6:00PM to
                                                                                                  5:15PM Next
                                                                                                  Day.
Corn.........................  Corn............  CBOT............  5,000 bushels..        7.053  Sun-Fri: 8:00PM
                                                                                                  to 8:45AM Next
                                                                                                  Day; Mon-Fri:
                                                                                                  9:30AM to
                                                                                                  2:15PM.
Cotton.......................  Cotton..........  ICE Futures U.S.  50,000 lbs.....        1.766  9:00PM to
                                                                                                  2:30PM Next
                                                                                                  Day.
Crude Oil....................  Light, Sweet      NYMEX...........  1,000 barrels..        9.206  6:00PM to
                                Crude Oil.                                                        5:15PM Next
                                                                                                  Day.
                               Brent Crude Oil.  ICE Futures U.S.  1,000 barrels..        5.794  8:00PM to
                                                                                                  6:00PM Next
                                                                                                  Day.
Gold.........................  Gold............  COMEX...........  100 troy oz....       10.819  6:00PM to
                                                                                                  5:15PM Next
                                                                                                  Day.
Heating Oil..................  Heating Oil.....  NYMEX...........  42,000 gallons.        3.519  6:00PM to
                                                                                                  5:15PM Next
                                                                                                  Day.
Live Cattle..................  Live Cattle.....  CME.............  40,000 lbs.....        3.283  Mon: 10:05AM to
                                                                                                  5:00PM; Tue-
                                                                                                  Thurs: 6:00PM
                                                                                                  to 5:00PM Next
                                                                                                  Day; Fri:
                                                                                                  6:00PM to
                                                                                                  2:55PM Next
                                                                                                  Day.
Lean Hogs....................  Lean Hogs.......  CME.............  40,000 lbs.....        1.900  Mon: 10:05AM to
                                                                                                  5:00PM; Tue-
                                                                                                  Thurs: 6:00PM
                                                                                                  to 5:00PM Next
                                                                                                  Day; Fri:
                                                                                                  6:00PM to
                                                                                                  2:55PM Next
                                                                                                  Day.
Natural Gas..................  Henry Hub         NYMEX...........  10,000 mmbtu...       10.424  6:00PM to
                                Natural Gas.                                                      5:15PM Next
                                                                                                  Day.
Nickel.......................  Primary Nickel..  LME.............  6 metric tons..        2.244  First session:
                                                                                                  6:15AM to
                                                                                                  6:20AM, 8:00AM
                                                                                                  to 8:05AM;
                                                                                                  second
                                                                                                  session:
                                                                                                  10:25AM to
                                                                                                  10:30AM,
                                                                                                  11:05AM to
                                                                                                  11:10AM.
Silver.......................  Silver..........  COMEX...........  5000 troy oz...        3.898  6:00PM to
                                                                                                  5:15PM Next
                                                                                                  Day.
Soybeans.....................  Soybeans........  CBOT............  5,000 bushels..        5.495  Sun-Fri: 8:00PM
                                                                                                  to 8:45AM Next
                                                                                                  Day; Mon-Fri:
                                                                                                  9:30AM to
                                                                                                  2:15PM.
Soybean Meal.................  Soybean Meal....  CBOT............  100 short tons.        2.607  Sun-Fri: 8:00PM
                                                                                                  to 8:45AM Next
                                                                                                  Day.
Soybean Oil..................  Soybean Oil.....  CBOT............  60,000 lbs.....        2.743  Mon-Fri: 9:30AM
                                                                                                  to 2:15PM; Sun-
                                                                                                  Fri: 8:00PM to
                                                                                                  8:45AM Next
                                                                                                  Day; Mon-Fri:
                                                                                                  9:30AM to
                                                                                                  2:15PM.
Sugar........................  World Sugar No.   ICE Futures U.S.  112,000 lbs....        3.884  2:30AM to
                                11.                                                               2:00PM.
Unleaded Gasoline............  Reformulated      NYMEX...........  42,000 gallons.        3.461  6:00PM to
                                Blendstock for                                                    5:15PM Next
                                Oxygen Blending.                                                  Day.
Wheat (Chicago)..............  Soft Wheat......  CBOT............  5,000 bushels..        3.433  Sun-Fri: 8:00PM
                                                                                                  to 8:45AM Next
                                                                                                  Day; Mon-Fri:
                                                                                                  9:30AM to
                                                                                                  2:15PM.

[[Page 41142]]

 
Wheat (Kansas)...............  Hard Red Winter   KCBOT...........  5,000 bushels..        1.321  Sun-Fri: 8:00PM
                                Wheat.                                                            to 8:45AM Next
                                                                                                  Day; Mon-Fri:
                                                                                                  9:30AM to
                                                                                                  2:15PM.
Zinc.........................  Special High      LME.............  25 metric tons.        2.519  First session:
                                Grade Zinc.                                                       7:10AM to
                                                                                                  7:15AM, 7:50AM
                                                                                                  to 7:55AM;
                                                                                                  second
                                                                                                  session:
                                                                                                  10:05AM to
                                                                                                  10:10AM,
                                                                                                  10:45AM to
                                                                                                  10:50AM.
----------------------------------------------------------------------------------------------------------------
* ``LME'' refers to the London Metal Exchange, and ``ICE Futures U.S.'' refers to ICE Futures U.S., Inc.
** Rounded to the nearest thousandth of a percentage. May not total to 100 due to rounding.
*** Trading hours for the CME, CBOT, NYMEX, and COMEX represent weekday electronic trading hours through CME
  Globex (electronic platform). Trading hours for LME represent ring trading times during each of first and
  second sessions; excludes kerb trading times.

Calculation of the Index, DJ-UBS CI, and DJ-UBS Roll Select CI

    The level of the DJ-UBS CI was set to be equal to 100 as of 
December 31, 1990. Subsequent levels of the DJ-UBS CI are determined by 
multiplying the level of the DJ-UBS CI as of the previous day by a 
fraction equal to (i) the weighted average value (``WAV'') of the DJ-
UBS CI as of the current day divided by (ii) the WAV of the DJ-UBS CI 
as of the previous day, subject to adjustment for roll periods as 
described below. The WAV of the DJ-UBS CI on any given day is 
calculated by summing the products of the settlement prices of the 
designated futures contracts for each commodity multiplied by the 
commodity index multiplier (``CIM'') of such designated contract.
    The CIMs of the designated contracts in the DJ-UBS CI are 
determined annually, generally on the fourth business day of each year 
(the date of such determination, ``CIM Determination Date''). On the 
CIM Determination Date, initial CIMs (``ICIMs'') are calculated for 
each designated contract by multiplying such designated contract's CIP 
by 1,000, then dividing such product by the designated contract's 
settlement price as of the CIM Determination Date. To determine the 
final CIM for each designated contract for the new year, each ICIM is 
multiplied by an adjustment factor, which is a fraction equal to (i) 
the WAV of the DJ-UBS CI as of the CIM Determination Date, as 
calculated using the CIMs from the prior year, divided by (ii) 1,000. 
This adjustment factor is intended to preserve WAV continuity from one 
year to the next.
    During roll periods, which generally occur during the sixth through 
tenth business days of each month, the level of the DJ-UBS CI is 
calculated using a blended WAV formula that reflects the fact that the 
DJ-UBS CI is rolling out of expiring contracts and into replacement 
contracts. The WAV associated with the existing index components (``Old 
WAV'') begins weighted at 100% as of the business day preceding the 
roll period and decreases by 20% on each subsequent business day until 
reduced to zero; it has no further effect on the level of the DJ-UBS CI 
by the fifth business day of such roll period. The WAV associated with 
the new index components (``New WAV'') begins weighted at 0% as of the 
business day preceding the roll period and increases by 20% on each 
subsequent business day such that by the fifth business day of such 
roll period, the level of the DJ-UBS CI is determined based entirely on 
the New WAV.
    Accordingly, during a roll period, the level of the DJ-UBS CI on 
any given day can be calculated as the product of the level of the DJ-
UBS CI as of the previous day, multiplied by a fraction equal to: (i) 
Old WAV x (1-0.2n) + New WAV x (0.2n), using the Old WAV and New WAV 
values as of such day, divided by (ii) Old WAV x (1-0.2n) + New WAV x 
(0.2n), using the Old WAV and New WAV values as of the previous day. 
The variable ``n'' in this equation represents the number of business 
days that have elapsed for such roll period through and including the 
relevant date of determination. According to the Registration 
Statement, the DJ-UBS Roll Select CI will be calculated using the same 
general methodology as the DJ-UBS CI and using the same CIPs and CIMs 
used in connection with calculating the DJ-UBS CI. However, because the 
roll process for the DJ-UBS Roll Select CI is different from that of 
the DJ-UBS CI, its constituent futures contracts may differ from those 
included in the DJ-UBS CI. This difference is expected to cause the 
dollar-value weights and the weighted average value of the futures 
contracts included in each index to differ over time, and, as a result, 
cause the performance of the two indices to diverge.
    The Index combines the returns of the DJ-UBS Roll Select CI with 
the returns of the most recent weekly auction high rate for three-month 
U.S. Treasury bills, as reported on the Web site http://publicdebt.treas.gov/AI/OFBills under the column headed ``Discount Rate 
%'' published by the Bureau of the Public Debt of the U.S. Treasury, or 
any successor source. The level of the Index, which was set at a 
hypothetical level of 100 as of December 31, 1990, can be calculated on 
any given day as the product of the level of the Index as of the 
previous day, multiplied by the sum of (i) 1.00 plus (ii) the positive 
or negative percentage return on the DJ-UBS Roll Select CI on such day 
plus (iii) the daily return based on the auction high rate for three-
month U.S. Treasury bills described above.
    Additional information regarding the composition of the Index, DJ-
UBS Roll Select CI, DJ-UBS CI and their index methodologies is included 
in the Registration Statement and at the Index Co-Sponsors' Web site, 
www.djindexes.com.\17\
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    \17\ See supra note 6.
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    A more detailed description of the Shares, the Trust, the Index, 
and the Index Futures, as well as of the investment strategies and 
risks, creation and redemption procedures, and fees, among other 
things, is included in the Notice and the Registration Statement, as 
applicable.\18\
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    \18\ See supra notes 4 and 6.
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III. Discussion and Commission's Findings

    After careful review, the Commission finds that the proposed rule 
change, as modified by Amendment No. 1 thereto, is consistent with the 
requirements of Section 6 of the Act \19\ and the rules and regulations 
thereunder applicable to a national securities exchange.\20\ In 
particular, the Commission finds that the proposed rule change, as 
modified by Amendment No. 1 thereto, is

[[Page 41143]]

consistent with Section 6(b)(5) of the Act,\21\ 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 foster cooperation and coordination 
with persons engaged in facilitating transactions in securities, 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. The Commission notes that the Trust 
and the Shares must comply with the requirements of NYSE Arca Equities 
Rule 8.200 and Commentary .02 thereto to be listed and traded on the 
Exchange.
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    \19\ 15 U.S.C. 78f.
    \20\ In approving this proposed rule change, the Commission 
notes that it has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
    \21\ 15 U.S.C. 78f(b)(5).
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    The Commission finds that the proposal to list and trade the Shares 
on the Exchange is consistent with Section 11A(a)(1)(C)(iii) of the 
Act,\22\ which sets forth Congress's 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. Quotation and last-
sale information for the Shares will be available via the Consolidated 
Tape Association (``CTA'') high-speed line. The intraday, closing 
prices, and settlement prices of the Index Futures held by the Trust 
and the futures contracts included in the Index, DJ-UBS Roll Select CI, 
and DJ-UBS CI are or will be readily available from the Web sites of 
the relevant futures exchanges, automated quotation systems, published 
or other public sources, or on-line information services such as 
Bloomberg or Reuters. The relevant futures exchanges also provide 
delayed futures information on current and past trading sessions and 
market news free of charge on their respective Web sites. The specific 
contract specifications for the Index Futures and for the underlying 
futures contracts in the Index, DJ-UBS Roll Select CI, and DJ-UBS CI 
are also available on such Web sites, as well as other financial 
informational sources. Information regarding the Collateral Assets will 
be available from the applicable exchanges and market data vendors. 
Further, the Trust will provide Web site disclosure of portfolio 
holdings daily and will include, as applicable, the composite value of 
the total portfolio; the name, quantity, price, and market value of 
each Index Future and Collateral Asset, and the characteristics of such 
Index Futures and Collateral Assets; and the amount of cash held in the 
Trust's portfolio. This Web site disclosure of the portfolio 
composition of the Trust will occur at the same time as the disclosure 
by the Sponsor of the portfolio composition to authorized participants 
so that all market participants are provided portfolio composition 
information at the same time. The intra-day indicative value (``IIV'') 
\23\ per Share of the Trust will be widely disseminated by one or more 
major market data vendors at least every 15 seconds during the Core 
Trading Session (from 9:30 a.m. E.T. to 4:00 p.m. E.T.).\24\ In 
addition, the Index Co-Sponsors will calculate and publish the value of 
the Index, the DJ-UBS Roll Select CI, and DJ-UBS CI continuously on 
each business day, with such values updated at least every 15 seconds 
during the Core Trading Session and disseminated by S&P Dow Jones 
Indices to market data vendors. The contents and percentage weighting 
of the Index, the DJ-UBS Roll Select CI, and DJ-UBS CI, will be 
available at the Index Co-Sponsors' Web site, www.djindexes.com, and 
distributed to third-party data providers. The Trustee will determine 
the net asset value per Share (``NAV'') as of 4:00 p.m. E.T. on each 
business day on which the Exchange is open for regular trading or as 
soon as practicable after that time.\25\ The NAV will be disseminated 
to all market participants at the same time. The Exchange will make 
available on its Web site daily trading volume of the Shares and the 
closing prices of the Shares.
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    \22\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
    \23\ The IIV will be based on the prior day's final NAV per 
Share, adjusted every 15 seconds during the Core Trading Session to 
reflect the continuous price changes of the Trust's Index Futures 
and other holdings. In addition, although not likely, circumstances 
may arise in which the NYSE Arca Core Trading Session is in 
progress, but trading in Index Futures is not occurring. Such 
circumstances may result from reasons including, but not limited to, 
the applicable Futures Exchange having a separate holiday schedule 
than the NYSE Arca or closing prior to the close of the NYSE Arca, 
price fluctuation limits being reached in an Index Future, or the 
applicable Futures Exchange imposing any other suspension or 
limitation on trading in an Index Future. In such instances, the 
value of the applicable Index Futures held by the Trust would be 
static or priced by the Trust at the applicable early cut-off time 
of the Futures Exchange trading the applicable Index Future. 
Moreover, any cash held by the Trust for collateralization purposes 
will be invested in Collateral Assets that do not have market 
exposure, such that their value would not change throughout the 
trading day. As such, during such periods, the disseminated IIV for 
the Trust will be static.
    \24\ According to the Exchange, several major market data 
vendors display and/or make widely available IIVs published on CTA 
or other data feeds.
    \25\ The Trustee will value the Trust's long positions in Index 
Futures on the basis of that day's settlement prices for the Index 
Futures held by the Trust, as announced by the applicable Futures 
Exchange. The value of the Trust's positions in any particular Index 
Future will equal the product of (a) the number of such Index 
Futures of such expiration owned by the Trust, (b) the settlement 
price of such Index Futures on the date of calculation and (c) the 
multiplier of such Index Futures. If there is no announced 
settlement price for a particular Index Future contract on a 
business day, the Trustee will use the most recently announced 
settlement price unless the Trustee, in consultation with the 
Sponsor, determines that such price is inappropriate as a basis for 
valuation. The daily settlement prices for the Index Futures 
initially held by the Trust will be established by the CME shortly 
after the close of trading for such Index Futures, which is 
generally 2:40 p.m. E.T. The Trustee will value all other holdings 
of the Trust at (a) current market value, if quotations for such 
property are readily available, or (b) fair value, as reasonably 
determined by the Trustee, if the current market value cannot be 
determined. Once the value of the Index Futures and interest earned 
on the Trust's Collateral Assets has been determined, the Trustee 
will subtract all accrued expenses and liabilities of the Trust as 
of the time of calculation in order to calculate the net asset value 
of the Trust. The Trustee will determine the NAV by dividing the net 
asset value of the Trust by the number of Shares outstanding at the 
time the calculation is made. Any changes to NAV that may result 
from creation and redemption activity occurring on any business day 
will not be reflected in NAV until the following business day.
---------------------------------------------------------------------------

    The Commission further believes that the proposal to list and trade 
the Shares is reasonably designed to promote fair disclosure of 
information that may be necessary to price the Shares appropriately and 
to prevent trading when a reasonable degree of transparency cannot be 
assured. 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 represents 
that it may halt trading during the day in which an interruption to the 
dissemination of the IIV, the Index value, or the value of the Index 
Futures occurs. If the interruption 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. The Exchange 
may halt trading in the Shares if trading is not occurring in the Index 
Futures, or if other unusual conditions or circumstances detrimental to 
the maintenance of a fair and orderly market are present.\26\ The 
Exchange states that it has a general policy prohibiting the 
distribution of material, non-public information by its

[[Page 41144]]

employees. The Exchange states that the Sponsor will implement and 
maintain procedures designed to prevent the use and dissemination of 
material, non-public information regarding the assets of the Trust. The 
Exchange states that the Adviser is not a broker-dealer but is 
affiliated with a broker-dealer and has implemented a firewall with 
respect to such broker-dealer affiliate as well as procedures designed 
to prevent the use and dissemination of material, non-public 
information regarding the assets of the Trust. The Exchange states that 
S&P Dow Jones Indices and its subsidiary DJI Opco, LLC are not broker-
dealers, and that UBS Securities is a broker-dealer and has implemented 
a fire wall with respect to its personnel regarding access to 
information concerning the composition and/or changes to the Index, DJ-
UBS CI, and DJ-UBS Roll Select CI and the calculation of the values of 
the foregoing indexes, and will be subject to procedures designed to 
prevent the use and dissemination of material, non-public information 
regarding the Index, DJ-UBS CI, and DJ-UBS Roll Select CI. The Exchange 
states that the Index Co-Sponsors have implemented and maintain 
procedures designed to prevent the use and dissemination of material, 
non-public information regarding the DJ-UBS Roll Select CI, the DJ-UBS 
CI, and the Index. The Exchange states that the Supervisory Committee 
and the Advisory Committee are subject to procedures designed to 
prevent the use and dissemination of material, non-public information 
regarding the Index, DJ-UBS Roll Select CI, and DJ-UBS CI. Moreover, 
the trading of the Shares will be subject to NYSE Arca Equities Rule 
8.200, Commentary .02(e), which sets forth certain restrictions on 
Equity Trading Permit (``ETP'') Holders \27\ acting as registered 
Market Makers \28\ in Trust Issued Receipts to facilitate surveillance. 
The Commission notes that the Financial Industry Regulatory Authority 
(``FINRA''), on behalf of the Exchange,\29\ will communicate as needed 
regarding trading in the Shares with other markets that are members of 
the Intermarket Surveillance Group (``ISG'') or with which the Exchange 
has in place a comprehensive surveillance sharing agreement.\30\
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    \26\ With respect to trading halts, the Exchange may consider 
all relevant factors in exercising its discretion to halt or suspend 
trading in the Shares. Trading in the Shares will be subject to 
trading halts caused by extraordinary market volatility pursuant to 
the Exchange's ``circuit breaker'' rule in NYSE Arca Equities Rule 
7.12. 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.
    \27\ See NYSE Arca Equities Rule 1.1(n) (defining ETP Holder).
    \28\ See NYSE Arca Equities Rule 1.1(v) (defining Market Maker).
    \29\ The Exchange states that, while FINRA surveils trading on 
the Exchange pursuant to a regulatory services agreement, the 
Exchange is responsible for FINRA's performance under this 
regulatory services agreement.
    \30\ The Exchange states that CME, CBOT, NYMEX, and ICE Futures 
U.S. are members of ISG, and that the Exchange may obtain market 
surveillance information with respect to transactions occurring on 
the COMEX pursuant to the ISG memberships of CME and NYMEX. In 
addition, the Exchange states that it has entered into a 
comprehensive surveillance sharing agreement with the LME that 
applies with respect to trading in futures contracts currently 
included in the DJ-UBS CI and DJ-UBS Roll Select CI.
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    The Commission notes that, prior to the commencement of trading, 
the Exchange will inform its ETP Holders of the suitability 
requirements of NYSE Arca Equities Rule 9.2(a) in an Information 
Bulletin.\31\ Specifically, the Exchange will remind ETP Holders that, 
in recommending transactions in these securities, 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 member, 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 members 
must make reasonable efforts to obtain the following information: (a) 
The customer's financial status; (b) the customer's tax status; (c) the 
customer's investment objectives; and (d) such other information used 
or considered to be reasonable by such member or registered 
representative in making recommendations to the customer.
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    \31\ NYSE Arca Equities Rule 9.2(a) provides that an ETP Holder, 
before recommending a transaction in any security, must have 
reasonable grounds to believe that the recommendation is suitable 
for the customer based on any facts disclosed by the customer as to 
its other security holdings and as to its financial situation and 
needs. Further, the rule provides, with a limited exception, that 
prior to the execution of a transaction recommended to a non-
institutional customer, the ETP Holder must make reasonable efforts 
to obtain information concerning the customer's financial status, 
tax status, investment objectives, and any other information that 
such ETP Holder believes would be useful to make a recommendation.
---------------------------------------------------------------------------

    FINRA has issued a regulatory notice providing guidance to firms 
about the supervision of complex products, as described in FINRA 
Regulatory Notice 12-03 (January 2012) (``FINRA Regulatory Notice''). 
While the FINRA Regulatory Notice does not provide a definition of what 
constitutes a ``complex product,'' it does identify characteristics 
that may make a product ``complex'' for purposes of determining whether 
the product should be subject to heightened supervisory and compliance 
procedures.\32\ The Trust's characteristics may raise issues similar to 
those raised in the FINRA Regulatory Notice. Therefore, the Exchange 
has represented that the Information Bulletin will state that ETP 
Holders that carry customer accounts should follow the FINRA Regulatory 
Notice with respect to suitability.
---------------------------------------------------------------------------

    \32\ See FINRA Regulatory Notice, at 3-4.
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    The Exchange represents that the Shares are deemed to be equity 
securities, thus rendering trading in the Shares subject to the 
Exchange's existing rules governing the trading of equity securities. 
In support of the Exchange's proposal to list and trade the Shares, the 
Exchange has made representations, including that:
    (1) The Trust will meet the initial and continued listing 
requirements applicable to Trust Issued Receipts in NYSE Arca Equities 
Rule 8.200 and Commentary .02 thereto.
    (2) The Exchange has appropriate rules to facilitate transactions 
in the Shares during all trading sessions.
    (3) The trading in the Shares will be subject to the existing 
trading surveillances, administered by FINRA on behalf of the Exchange, 
which are designed to detect violations of Exchange rules and 
applicable federal securities laws, and that these procedures are 
adequate to properly monitor Exchange trading of the Shares in all 
trading sessions and to deter and detect violations of Exchange rules 
and applicable federal securities laws.
    (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 Opening and Late 
Trading Sessions when an updated IIV 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 Equities Rule 9.2(a), which 
imposes a duty of due diligence on its ETP Holders to learn the 
essential facts relating to every customer prior to trading the Shares; 
(d) how information regarding the IIV is disseminated; (e) that a 
static IIV will be disseminated, between the close of trading on the 
applicable futures exchange and the close of the NYSE Arca Core Trading 
Session; (f) the requirement that ETP Holders deliver a prospectus to 
investors purchasing newly issued Shares prior to or

[[Page 41145]]

concurrently with the confirmation of a transaction; and (g) trading 
information. The Information Bulletin will also advise ETP Holders of 
their suitability obligations with respect to recommended transactions 
to customers in the Shares, and will state that ETP Holders that carry 
customer accounts should follow the FINRA Regulatory Notice with 
respect to suitability.
    (5) With respect to application of Rule 10A-3 under the Act,\33\ 
the Trust relies on the exception contained in Rule 10A-3(c)(7).\34\
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    \33\ 17 CFR 240.10A-3.
    \34\ 17 CFR 240.10A-3(c)(7).
---------------------------------------------------------------------------

    (6) The Sponsor represents that the Trust will invest in Index 
Futures and Collateral Assets in a manner consistent with the Trust's 
investment objective and not to achieve additional leverage.
    (7) With respect to Index Futures traded on exchanges, not more 
than 10% of the weight of such Index Futures in the aggregate shall 
consist of futures contracts whose principal trading market (a) is not 
a member of ISG or (b) is a market with which the Exchange does not 
have a comprehensive surveillance sharing agreement, provided that, so 
long as the Exchange may obtain market surveillance information with 
respect to transactions occurring on the COMEX pursuant to the ISG 
memberships of CME and NYMEX, futures contracts whose principal trading 
market is COMEX shall not be subject to the prohibition in (a) above.
    (8) A minimum of 100,000 Shares of the Trust will be outstanding at 
the commencement of trading on the Exchange.

This approval order is based on all of the Exchange's representations 
and description of the Trust, including those set forth above and in 
the Notice.\35\
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    \35\ The Commission notes that it does not regulate the market 
for futures in which the Trust plans to take positions, which is the 
responsibility of the CFTC. The CFTC has the authority to set limits 
on the positions that any person may take in futures. These limits 
may be directly set by the CFTC or by the markets on which the 
futures are traded. The Commission has no role in establishing 
position limits on futures even though such limits could impact an 
exchange-traded product that is under the jurisdiction of the 
Commission.
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    For the foregoing reasons, the Commission finds that the proposed 
rule change, as modified by Amendment No. 1 thereto, is consistent with 
Section 6(b)(5) of the Act \36\ and the rules and regulations 
thereunder applicable to a national securities exchange.
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    \36\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

IV. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\37\ that the proposed rule change (SR-NYSEArca-2013-48), as 
modified by Amendment No. 1 thereto, be, and it hereby is, approved.
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    \37\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\38\
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    \38\ 17 CFR 200.30-3(a)(12).
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Elizabeth M. Murphy,
Secretary.
[FR Doc. 2013-16377 Filed 7-8-13; 8:45 am]
BILLING CODE 8011-01-P