[Federal Register Volume 82, Number 13 (Monday, January 23, 2017)]
[Notices]
[Pages 7885-7891]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-01297]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-79793; File No. SR-NYSEArca-2016-177]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change Relating to the Listing and Trading of Shares 
of the USCF Canadian Crude Oil Index Fund Under NYSE Arca Equities Rule 
8.200

January 13, 2017.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given 
that, on December 30, 2016, NYSE Arca, Inc. (``Exchange'' or ``NYSE 
Arca'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I and 
II below, which Items have been prepared by the self-regulatory 
organization. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade the shares of the following 
under NYSE Arca Equities Rule 8.200, Commentary .02 (``Trust Issued 
Receipts''): USCF Canadian Crude Oil Index Fund. The proposed rule 
change is available on the Exchange's Web site at www.nyse.com, at the 
principal office of the Exchange, and at the Commission's Public 
Reference Room.

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

    In its filing with the Commission, the self-regulatory organization 
included statements concerning the purpose of, and basis for, the 
proposed rule change and discussed any comments it received on the 
proposed rule change. The text of those statements may be examined at 
the places specified in Item IV below. The Exchange has prepared 
summaries, set forth in sections A, B, and C below, of the most 
significant parts of such statements.

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

1. Purpose
    The Exchange proposes to list and trade shares (``Shares'') of the 
following under NYSE Arca Equities Rule 8.200, Commentary .02, which 
governs the listing and trading of Trust Issued Receipts: USCF Canadian 
Crude Oil Index Fund (the ``Fund'').\4\
---------------------------------------------------------------------------

    \4\ 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.
---------------------------------------------------------------------------

    The Fund is a new series of the United States Commodity Index Funds 
Trust (the ``Trust'').\5\ The Fund is a commodity pool that 
continuously issues common shares of beneficial interest that may be 
purchased and sold on the Exchange. The Trust and the Fund are managed 
and controlled by United States Commodity Funds LLC (``USCF'' or 
``Sponsor''), which is registered as a commodity pool operator 
(``CPO'') with the Commodity Futures Trading Commission (``CFTC'') and 
is a member of the National Futures Association (``NFA''). Brown 
Brothers Harriman & Co., Inc. will be the administrator and custodian 
(``Administrator'' or ``Custodian'') for the Fund. ALPS Distributors, 
Inc. will be the marketing agent (``Marketing Agent'') for the Fund.
---------------------------------------------------------------------------

    \5\ The Trust is registered under the Securities Act of 1933. On 
June 16, 2016, 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. 333-212089) 
(``Registration Statement''). The description of the operation of 
the Trust and the Fund herein is based, in part, on the Registration 
Statement.
---------------------------------------------------------------------------

    The Exchange notes that the Commission has previously approved the 
listing and trading of other issues of Trust Issued Receipts based on 
oil on the Exchange,\6\ trading on the Exchange of such issues pursuant 
to unlisted trading privileges,\7\ and listing and trading of such 
issues on the American Stock Exchange LLC (now, NYSE MKT, LLC).\8\
---------------------------------------------------------------------------

    \6\ See, e.g., Securities Exchange Act Release No. 58457 
(September 3, 2008), 73 FR 52711 (September 10, 2008) (SR-NYSEArca-
2008-91).
    \7\ See, e.g., Securities Exchange Act Release No. 58163 (July 
15, 2008), 73 FR 42391 (July 21, 2008) (SR-NYSEArca-2008-73).
    \8\ See, e.g., Securities Exchange Act Release No. 58161 (July 
15, 2008), 73 FR 42380 (July 21, 2008) (SR-Amex-2008-39).
---------------------------------------------------------------------------

Investment Objective and Principal Investments of the Fund
    According to the Registration Statement, the investment objective 
of the Fund is for the daily changes in percentage terms of its Shares' 
per Share NAV to reflect the daily changes in percentage terms of the 
Canadian Crude Excess Return Index (the ``CCIER'' or ``Index''), plus 
interest income from the Fund's short-term fixed income holdings, less 
the Fund's expenses.
    The CCIER is owned and maintained by Auspice Capital Advisors Ltd. 
(``Auspice'') and is designed to measure the performance of the 
Canadian crude oil market. It is calculated and tracked daily and 
reported each trading day via major market data vendors.
    The Fund's investment strategy is designed to provide investors 
with a means of investing indirectly in Canadian crude oil and to hedge 
against movements in the spot price of Canadian crude oil. 
Specifically, the CCIER reflects the returns that an investor would 
expect to receive from

[[Page 7886]]

holding and rolling the futures contracts that comprise the Index.
    The CCIER targets an exposure that represents an approximately 3 
month rolling position in the following nearby futures contracts: (i) 
The ICE Crude Diff--TMX WCS 1B Index Future (ICE symbol: TDX) (the 
``WCS Future''); and (ii) the ICE WTI Crude Future (ICE symbol: T) (the 
``WTI Future''). The WCS Futures and WTI Futures that comprise the 
CCIER are referred to herein as ``Benchmark Component Futures 
Contracts''.
    The WCS Future is a monthly cash settled future based on the TMX 
WCS (Western Canadian Select) Daily Weighted Average Price Index (``TMX 
WCS 1b Index'') traded on ICE Futures Europe. The TMX WCS 1b Index is 
expressed as a differential to the NYMEX WTI 1st Line Future (Calendar 
Month Average).
    The WTI Future is the ICE West Texas Intermediate (WTI) Light Sweet 
Crude Oil Futures Contract traded on ICE Futures Europe.\9\
---------------------------------------------------------------------------

    \9\ ICE Futures Europe, NYMEX and other futures exchanges on 
which the Fund may trade listed futures contracts are referred to 
collectively as ``Futures Exchanges''.
---------------------------------------------------------------------------

    The Fund will seek to achieve its investment objective by first 
entering into cash-settled over-the-counter (``OTC'') total return swap 
and forward transactions intended to replicate the return of the CCIER 
(``OTC Derivatives Contracts'', as described further below) and, 
second, to the extent market conditions are more favorable for such 
futures as compared to OTC Derivatives Contracts, investing in the 
Benchmark Component Futures Contracts that underlie the CCIER. It will 
support these investments by holding the amounts of its margin, 
collateral and other requirements relating to these obligations in 
short-term obligations of the United States of two years or less 
(``Treasuries''), cash and cash equivalents.
    Third, if constrained by regulatory requirements or in view of 
market conditions or if one or more of the other Benchmark Component 
Futures Contracts is not available, the Fund may next invest in 
exchange traded futures contracts that are economically identical or 
substantially similar to the Benchmark Component Futures Contracts, 
e.g., futures contracts that are based on changes in the price of WTI 
oil traded on the Chicago Mercantile Exchange (``CME'').
    When, in view of regulatory requirements and market conditions, the 
Fund has invested to the fullest extent possible in the OTC Derivatives 
Contracts and exchange-traded futures contracts, the Fund may then 
invest in other OTC derivative contracts and/or other contracts and 
instruments based on the Benchmark Component Futures Contracts or on 
the price of the crude oil underlying the Benchmark Component Futures 
Contracts, such as cash-settled options, cleared swap contracts and 
swap contracts other than cleared swap contracts.\10\
---------------------------------------------------------------------------

    \10\ The Benchmark Component Futures Contracts, other exchange-
traded futures contracts that are economically identical or 
substantially similar to the Benchmark Component Futures Contracts 
and other contracts and instruments based on the Benchmark Component 
Futures Contracts, are referred to collectively as ``Other Crude 
Oil-Related Investments'', and together with OTC Derivatives 
Contracts, ``Crude Oil Interests''.
---------------------------------------------------------------------------

    Market conditions that USCF currently anticipates could cause the 
Fund to invest in Other Crude Oil-Related Investments include those 
allowing the Fund to obtain greater liquidity, to execute transactions 
with more favorable pricing, or if the Fund or USCF exceeds position 
limits or accountability levels established by an exchange.
    The Fund will seek to achieve its investment objective by investing 
so that the average daily percentage change in the Fund's NAV for any 
period of 30 successive valuation days will be within plus/minus 10 
percent (10%) of the average daily percentage change in the CCIER over 
the same period. The Sponsor believes that market arbitrage 
opportunities will cause daily changes in the Fund's Share price on the 
NYSE Arca on a percentage basis to closely track the daily changes in 
the Fund's per Share NAV on a percentage basis. The Sponsor also 
believes that the net effect of this expected relationship and the 
expected relationship described above between the Fund's per Share NAV 
and the CCIER will be that the daily changes in the price of the Fund's 
Shares on the NYSE Arca on a percentage basis will closely track the 
daily changes in the CCIER on a percentage basis, plus interest income 
from the Fund's short-term fixed income holdings, less the Fund's 
expenses.\11\
---------------------------------------------------------------------------

    \11\ While the Fund is composed of, and is therefore a measure 
of, the prices of the OTC Derivatives Contracts based upon futures 
comprising the CCIER, there is expected to be a reasonable degree of 
correlation between the CCIER and the cash or spot prices of the 
commodities underlying the Benchmark Component Futures Contracts; 
but the Fund's investment objective is not for its NAV or market 
price of Shares to equal, in dollar terms, the spot prices of the 
commodities underlying the Benchmark Component Futures Contracts or 
the prices of any particular group of futures contracts.
---------------------------------------------------------------------------

    The Fund will not seek to achieve its stated investment objective 
over a period of time greater than one day. This is because natural 
market forces called contango and backwardation can impact the total 
return on an investment in the Fund's Shares relative to a hypothetical 
direct investment in crude oil commodities and, in the future, it is 
likely that the relationship between the market price of the Fund's 
Shares and changes in the spot prices of the underlying commodities 
will continue to be so impacted by contango and backwardation.
OTC Derivatives Contracts
    According to the Registration Statement, the Fund will primarily 
invest in OTC Derivatives Contracts that are based on Benchmark 
Component Futures Contracts and, in the opinion of the Sponsor, are 
traded in sufficient volume to permit the ready taking and liquidation 
of positions. Such OTC Derivatives Contracts, as well as all other 
Other Crude Oil-Related Investments that are OTC derivatives, will be 
``swaps'' for purposes of Title VII of the Dodd-Frank Wall Street 
Reform and Consumer Protection Act that fall within the jurisdiction of 
the Commodity Futures Trading Commission.
    The OTC Derivatives Contracts will be entered between two parties, 
outside of public exchanges, in private contracts. Unlike the exchange-
traded Benchmark Component Futures Contracts, each party to an OTC 
Derivatives Contract bears credit risk with respect to the other party. 
To reduce such credit risk, the Fund will generally enter into an 
agreement with each counterparty based on the Master Agreement 
published by the International Swaps and Derivatives Association, Inc. 
(``ISDA'') that provides for the netting of overall exposure between 
counterparties.\12\ In accordance with the terms and conditions of the 
Fund's ISDA Master Agreement, pursuant to which the Fund's OTC 
Derivatives Contracts will be entered into, the Fund will be entitled 
to increase or decrease its notional exposure to the CCIER from time to 
time, to among other things, manage Share purchases and reinvestment of 
distributions, Fund Share redemptions and market repurchases of Shares, 
and

[[Page 7887]]

meet other liquidity needs. Reducing notional exposure may be achieved 
through different methods, including the use of offsetting forwards and 
partial terminations of OTC Derivatives Contracts.
---------------------------------------------------------------------------

    \12\ The ISDA Master Agreement allows for parties to calculate 
and settle their obligations under the agreement on a ``net basis'' 
with a single payment. Consequently, the Sponsor's current 
obligations (or rights) under a swap or forward agreement are 
generally only equal to the net amount to be paid or received under 
the agreement based on the relative values of such obligations (or 
rights). In addition, in connection with the Master Agreements, the 
Sponsor will enter into ISDA Credit Support Annexes (``CSAs'') with 
its counterparties to mitigate counterparty credit exposure.
---------------------------------------------------------------------------

    The Sponsor will assess or review, as appropriate, the 
creditworthiness of each potential or existing counterparty to an OTC 
Derivatives Contract pursuant to guidelines approved by the Sponsor's 
board. In respect of the OTC Derivatives Contracts, the Fund will have 
the ability to replace a counterparty or engage additional 
counterparties at any time.
    The daily marked-to-market value of an OTC Derivatives Contract 
will be based upon the performance of a notional investment in the 
CCIER. In turn, the performance of the CCIER will be based upon the 
performance of the underlying Benchmark Component Futures Contracts. 
Under the CSAs, the parties will be required to determine the mark-to-
market value of the OTC Derivative Contract(s) on a daily basis. 
Subject to a minimum transfer amount, the party that is ``out of the 
money'' would transfer collateral in the form of cash or U.S. 
Treasuries to its counterparty to cover the exposure under the OTC 
Derivative Contract.
    The Fund may also enter into multiple OTC Derivatives Contracts for 
the purpose of achieving its investment objective. If an OTC 
Derivatives Contract is terminated, the Fund may either pursue the same 
or other alternative investment strategies with an acceptable 
counterparty, or make direct investments in the Benchmark Component 
Futures Contracts or other investments that provide a similar return to 
investing in the Benchmark Component Futures Contracts.
    The Fund may also enter into certain transactions where an OTC 
component is exchanged for a corresponding futures contract (an 
``Exchange for Related Position'' or ``EFRP'' transaction).\13\ The 
Fund may also employ spreads or straddles in its trading to mitigate 
the differences in its investment portfolio and its goal of tracking 
the price of the Benchmark Component Futures Contracts.\14\
---------------------------------------------------------------------------

    \13\ In the most common type of EFRP transaction entered into by 
the Fund, the OTC component is the purchase or sale of one or more 
baskets of the Fund's Shares, as described below.
    \14\ The Fund would use a spread when it chooses to take 
simultaneous long and short positions in futures written on the same 
underlying asset, but with different delivery months.
---------------------------------------------------------------------------

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''. 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/or cash represented by the 
baskets being created or redeemed, the amount of which will be equal to 
the combined NAV of the number of Shares included in the baskets being 
created or redeemed determined as of 4:00 p.m. Eastern Time (``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 and Clearing Participants.
    On any business day, an Authorized Participant may place an order 
with the Marketing Agent to create one or more baskets. By placing a 
purchase order, an Authorized Participant agrees to deposit Treasuries, 
cash or a combination of Treasuries and cash with the Trust.
    The total deposit required to create each basket (``Creation Basket 
Deposit'') is the amount of Treasuries and/or cash that is in the same 
proportion to the total assets of the Fund (net of estimated accrued 
but unpaid fees, expenses and other liabilities) on the purchase order 
date as the number of Shares to be created under the purchase order is 
in proportion to the total number of Shares outstanding on the purchase 
order date. The amount of cash deposit required is the difference 
between the aggregate market value of the Treasuries required to be 
included in a Creation Basket Deposit as of 4:00 p.m. E.T. on the date 
the order to purchase is properly received and the total required 
deposit.
    The procedures by which an Authorized Participant can redeem one or 
more baskets mirror the procedures for the creation of baskets. On any 
business day, an Authorized Participant may place an order with the 
Marketing Agent to redeem one or more baskets. Redemption orders must 
be placed by 10:30 a.m. E.T. or the close of regular trading on the 
NYSE Arca, whichever is earlier.
    The Sponsor may, in its discretion, suspend the right of 
redemption, or postpone the redemption settlement date, (1) for any 
period during which NYSE Arca or any of the futures exchanges upon 
which a Benchmark Component Futures Contract is traded is closed other 
than customary weekend or holiday closings, or trading on NYSE Arca or 
such futures exchanges is suspended or restricted, (2) for any period 
during which an emergency exists as a result of which delivery, 
disposal or evaluation of Treasuries is not reasonably practicable, or 
(3) for such other period as the Sponsor determines to be necessary for 
the protection of the shareholders.
Calculating Per Share NAV
    According to the Registration Statement, the Fund's per Share 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 normal trading day will be released 
after 4:00 p.m. E.T. Trading during the Core Trading Session on the 
NYSE Arca typically closes at 4:00 p.m. E.T. The Administrator will use 
the updated value of the CCIER calculated shortly after the 
determination by the relevant Futures Exchanges of the closing prices 
of the Benchmark Component Futures Contracts (determined at the earlier 
of the close of such exchange or 2:30 p.m. E.T.) for the contracts 
traded on the Futures Exchanges, but calculate or determine the value 
of all other investments of the Fund using market quotations, if 
available, or other information customarily used to determine the fair 
value of such investments as of the earlier of the close of the NYSE 
Arca or 4:00 p.m. E.T. Other information customarily used in 
determining fair value includes information consisting of market data 
in the relevant market supplied by one or more third parties including, 
without limitation, relevant rates, prices, yields, yield curves, 
volatilities, spreads, correlations or other market data in the 
relevant market; or information of the types described above from 
internal sources if that information is of the same type used by the 
Fund in the regular course of their business for the valuation of 
similar transactions. 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.
    Derivatives for which market quotes are readily available will be 
valued at market value. Local closing prices will be used for all 
instrument valuation purposes. Swaps traded on exchanges will use the 
applicable exchange closing price where available.

[[Page 7888]]

    With respect to specific derivatives, futures will generally be 
valued at the settlement price of the relevant exchange. A total return 
swap on the CCIER will be valued at the publicly available CCIER price. 
The CCIER, in turn, is determined by the applicable index calculation 
agent, which generally values the commodities underlying the Index at 
the last reported sale price.
Indicative Fund Value
    In addition, in order to provide updated information relating to 
the Fund for use by investors and market professionals, the NYSE Arca 
will calculate and disseminate throughout the Core Trading Session on 
each trading day an updated Indicative Fund Value (``IFV''). 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 prices for the 
Benchmark Component Futures Contracts as reported by Bloomberg, L.P. or 
another reporting service.
    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 normal trading hours of the ICE Exchange ends 
prior to the close of the Core Trading Session on NYSE Arca. As a 
result, there will be a gap in time at the beginning and/or the end of 
each day during which the Fund's Shares are traded on the NYSE Arca, 
but real-time futures exchange trading prices for Benchmark Component 
Futures Contracts traded on the ICE Exchange are not available. During 
such gaps in time the IFV will be calculated based on the end of day 
price of such Benchmark Component Futures Contracts from Futures 
Exchanges immediately preceding trading session. In addition, Other 
Crude Oil-Related Investments and 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 advisor quotes. These investments will not be included in the IFV. 
The IFV will be available through on-line information services.
    With respect to specific derivatives: Total return swaps may be 
valued intraday using the underlying asset price, or another proxy as 
determined to be appropriate by a third party market data provider. 
Exchange listed options may be valued intraday using the relevant 
exchange data, or another proxy as determined to be appropriate by a 
third party market data provider.
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 Benchmark Component Futures Contracts will be 
readily available from automated quotation systems, published or other 
public sources, or major market data vendors.
    Complete real-time data for the Benchmark Component Futures 
Contracts is available by subscription from major market data vendors. 
ICE Futures also provides delayed futures information on current and 
past trading sessions and market news free of charge on its Web site. 
The specific contract specifications for the Benchmark Component 
Futures Contracts are also available on such Web site, as well as other 
financial informational sources. Quotation and last-sale information 
regarding the Shares will be disseminated through the facilities of the 
CTA. In addition, the Fund's Web site, www.uscfinvestments.com, will 
display the applicable end of day closing NAV. The daily holdings of 
the Fund will be available on the Fund's Web site. The Fund's total 
portfolio composition will be disclosed each business day that the NYSE 
Arca is open for trading, on the Fund's Web site. The Web site 
disclosure of portfolio holdings will be made daily and will include, 
as applicable, (i) the composite value of the total portfolio, (ii) the 
name, percentage weighting, and value of OTC Derivatives Contracts and 
each Benchmark Component Futures Contract, (iii) the name and value of 
each Treasury security and cash equivalent, and (iv) the amount of cash 
held in the Fund's portfolio. The Fund's Web site will be publicly 
accessible at no charge. This Web site disclosure of the portfolio 
composition of the Fund will occur at the same time as the disclosure 
by the Sponsor of the portfolio composition to Authorized Participants 
so that all market participants will be provided portfolio composition 
information at the same time. Therefore, the same portfolio information 
will be provided on the public Web site as well as in electronic files 
provided to Authorized Participants. Accordingly, each investor will 
have access to the current portfolio composition of the Fund through 
the Fund's Web site.
    Intra-day price information for exchange-traded derivative 
instruments will be available from the applicable exchange and from 
major market data vendors. Intra-day price information for OTC options, 
forwards, and OTC derivative instruments will be available from major 
market data vendors. Intraday and closing price information for 
exchange-traded options and futures will be available from the 
applicable exchange and from major market data vendors. In addition, 
intra-day price information for U.S. exchange-traded options is 
available from the Options Price Reporting Authority.
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.\15\ Trading in Shares of the Fund 
will be halted if the circuit breaker parameters in NYSE Arca Equities 
Rule 7.12 have been reached. Trading also may be halted because of 
market conditions or for reasons that, in the view of the Exchange, 
make trading in the Shares inadvisable.
---------------------------------------------------------------------------

    \15\ See NYSE Arca Equities Rule 7.12.
---------------------------------------------------------------------------

    The Exchange may halt trading during the day in which an 
interruption to the dissemination of the IFV or the value of the Index 
occurs. If the interruption to the dissemination of the IFV, or the 
value of the Index 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 Equities Rule 7.34 (Opening, Core, and Late Trading 
Sessions). The Exchange has appropriate rules to facilitate 
transactions in the Shares during all trading sessions. As provided in 
NYSE Arca Equities Rule 7.6, the minimum price variation (``MPV'') for 
quoting and entry of orders in equity securities traded on the NYSE 
Arca Marketplace is $0.01, with the exception of securities that are 
priced less than $1.00 for which the MPV for order entry is $0.0001.
    The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Equities Rule 8.200. The trading of the Shares 
will be subject to NYSE Arca Equities Rule 8.200,

[[Page 7889]]

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/or continued listing, the Fund will be 
in compliance with Rule 10A-3 \16\ under the Act, as provided by NYSE 
Arca Equities Rule 5.3. A minimum of 100,000 Shares will be outstanding 
at the commencement of trading on the Exchange.
---------------------------------------------------------------------------

    \16\ 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.\17\ The Exchange represents that 
these procedures are adequate to properly monitor Exchange trading of 
the Shares in all trading sessions and to deter and detect violations 
of Exchange rules and federal securities laws applicable to trading on 
the Exchange.
---------------------------------------------------------------------------

    \17\ FINRA conducts cross-market surveillances on behalf of the 
Exchange pursuant to a regulatory services agreement. The Exchange 
is responsible for FINRA's performance under this regulatory 
services agreement.
---------------------------------------------------------------------------

    The surveillances referred to above generally focus on detecting 
securities trading outside their normal patterns, which could be 
indicative of manipulative or other violative activity. When such 
situations are detected, surveillance analysis follows and 
investigations are opened, where appropriate, to review the behavior of 
all relevant parties for all relevant trading violations.
    The Exchange or FINRA, on behalf of the Exchange, or both, will 
communicate as needed regarding trading in the Shares and the Benchmark 
Component Futures Contracts 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 the Benchmark Component Futures Contracts from such 
markets and other entities. In addition, the Exchange may obtain 
information regarding trading in the Shares and the Benchmark Component 
Futures Contracts from markets and other entities that are members of 
ISG or with which the Exchange has in place a comprehensive 
surveillance sharing agreement (``CSSA'').\18\
---------------------------------------------------------------------------

    \18\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Fund may trade on markets that are members of ISG or with which the 
Exchange has in place a CSSA. The Exchange has in place a CSSA with 
ICE Futures Europe.
---------------------------------------------------------------------------

    Not more than 10% of the net assets of the Fund in the aggregate 
invested in futures contracts shall consist of futures contracts whose 
principal market is not a member of the ISG or is a market with which 
the Exchange does not have a comprehensive surveillance sharing 
agreement.
    In addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
    All statements and representations made in this filing regarding 
(a) the description of the portfolios, and (b) limitations on portfolio 
holdings or reference assets 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 Equities Rule 5.5(m).
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders in an Information Bulletin of the special characteristics 
and risks associated with trading the Shares. Specifically, the 
Information Bulletin will discuss the following: (1) The risks involved 
in trading the Shares during the Opening 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 Equities Rule 9.2(a), which imposes a duty 
of due diligence on its ETP Holders to learn the essential facts 
relating to every customer prior to trading the Shares; (4) how 
information regarding the IFV is disseminated; (5) that a static IFV 
will be disseminated, between the close of trading on the CME and the 
close of the NYSE Arca Core Trading Session; (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 Benchmark Component Futures Contracts 
and the OTC Derivatives Contracts.
    The Information Bulletin will also disclose the trading hours of 
the Shares 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 
Web site.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \19\ 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.
---------------------------------------------------------------------------

    \19\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NYSE Arca Equities Rule 
8.200. The Exchange has in place surveillance procedures that are 
adequate to properly monitor trading in the Shares in all trading 
sessions and to deter and detect violations of Exchange rules and 
applicable federal securities laws. The Exchange or FINRA, on behalf of 
the Exchange, or both, will communicate as needed regarding trading in 
the Shares, and Benchmark Component Futures Contracts with

[[Page 7890]]

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 Benchmark 
Component Futures Contracts from such markets and other entities. In 
addition, the Exchange may obtain information regarding trading in the 
Shares and Benchmark Component Futures Contracts 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 futures contracts shall consist of futures contracts 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 has in place 
surveillance procedures that are adequate to properly monitor trading 
in the Shares in all trading sessions and to deter and detect 
violations of Exchange rules and applicable federal securities laws. 
The intraday, closing prices, and settlement prices of the Benchmark 
Component Futures Contracts will be readily available from the 
applicable Futures Exchanges' Web sites, automated quotation systems, 
published or other public sources, or on-line information services.
    Complete real-time data for the Benchmark Component Futures 
Contracts is available by subscription from on-line information 
services. The Futures Exchanges also provide delayed futures 
information on current and past trading sessions and market news free 
of charge on their Web sites. The specific contract specifications for 
the Benchmark Component Futures Contracts are also available on such 
Web sites, as well as other financial informational sources. 
Information regarding exchange-traded cash-settled options and cleared 
swap contracts will be available from the applicable exchanges and 
major market data vendors. Quotation and last-sale information 
regarding the Shares will be disseminated through the facilities of the 
CTA. In addition, the Fund's Web site, will display the applicable end 
of day closing NAV. The Fund's total portfolio composition will be 
disclosed each business day that the NYSE Arca is open for trading, on 
the Fund's Web site. The Web site disclosure of portfolio holdings will 
be made daily and will include, as applicable, (i) the composite value 
of the total portfolio, (ii) the name, percentage weighting, and value 
of OTC Derivatives Contracts and each Benchmark Component Futures 
Contract, (iii) the name and value of each Treasury security and cash 
equivalent, and (iv) the amount of cash held in the Fund's portfolio. 
The Fund's disclosure of derivative positions will include information 
that market participants can use to value these positions intraday.
    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 Equities Rule 7.12 have been reached or because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable
    The proposed rule change is designed to promote just and equitable 
principles of trade and to perfect the mechanism of a free and open 
market and, in general, to protect investors and the public interest in 
that it will facilitate the listing and trading of an additional type 
of issue of Trust Issued Receipts based on oil 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 an 
additional type of exchange-traded product that primarily hold 
derivatives and futures contracts and that will enhance competition 
among market participants, to the benefit of investors and the 
marketplace.

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

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

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove the proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-NYSEArca-2016-177 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-NYSEArca-2016-177. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549 on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make

[[Page 7891]]

available publicly. All submissions should refer to File Number SR-
NYSEArca-2016-177 and should be submitted on or before February 13, 
2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\20\
---------------------------------------------------------------------------

    \20\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-01297 Filed 1-19-17; 8:45 am]
 BILLING CODE 8011-01-P