[Federal Register Volume 82, Number 244 (Thursday, December 21, 2017)]
[Notices]
[Pages 60647-60649]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-27467]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-82339; File No. SR-NYSEAMER-2017-37]


Self-Regulatory Organizations; NYSE American LLC; Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change To Amend 
NYSE American Rule 8.700E To Add Futures and Swaps on the EURO STOXX 50 
Volatility Index to the Financial Instruments That an Issue of Managed 
Trust Securities May Hold

December 15, 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 6, 2017, NYSE American LLC (``Exchange'' or ``NYSE 
American'') 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.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to amend NYSE American Rule 8.700E to add 
EURO STOXX 50 Volatility Index (VSTOXX[supreg]) futures and swaps on 
VSTOXX to the financial instruments that an issue of Managed Trust 
Securities may hold. The proposed rule change is available on the 
Exchange's website 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
    NYSE American Rule 8.700E permits the trading of Managed Trust 
Securities either by listing or pursuant to unlisted trading privileges 
(``UTP'').\3\ The Exchange proposes to amend NYSE American Rule 8.700E 
to add futures and swaps on the EURO STOXX 50 Volatility Index 
(``VSTOXX'') to the financial instruments in which an issue of Managed 
Trust Securities may hold long and/or short positions. (Futures on 
VSTOXX are referred to herein as ``Futures Contracts.'')
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    \3\ The term ``Managed Trust Securities'' as used in the NYSE 
American Rules will, unless the context otherwise requires, mean a 
security that is registered under the Securities Act of 1933, as 
amended (15 U.S.C. 77a), and (i) is issued by a trust (``Trust''), 
or any series thereof, that (1) is a commodity pool as defined in 
the Commodity Exchange Act and regulations thereunder, is not 
registered or required to be registered as an investment company 
under the Investment Company Act of 1940, as amended, and is managed 
by a commodity pool operator registered with the Commodity Futures 
Trading Commission, and (2) holds long and/or short positions in 
exchange-traded futures contracts and/or certain currency forward 
contracts and/or swaps selected by the Trust's advisor consistent 
with the Trust's investment objectives, which will only include 
exchange-traded futures contracts involving commodities, commodity 
indices, currencies, currency indices, stock indices, fixed income 
indices, interest rates and sovereign, private and mortgage or asset 
backed debt instruments, and/or forward contracts on specified 
currencies, and/or swaps on stock indices, fixed income indices, 
commodity indices, commodities, currencies, currency indices, or 
interest rates, each as disclosed in the Trust's prospectus as such 
may be amended from time to time, and cash and cash equivalents; and 
(ii) is issued and redeemed continuously in specified aggregate 
amounts at the next applicable net asset value. See NYSE American 
Rule 8.700E(c).

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[[Page 60648]]

    The Exchange proposes to amend NYSE American Rule 8.700E(c)(1) to 
add Futures Contracts and swaps on VSTOXX to the financial instruments 
in which an issue of Managed Trust Securities may hold long and/or 
short positions.\4\
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    \4\ The Commission has approved amendments to NYSE Arca Rule 
8.700-E that are substantially identical to those proposed herein. 
See Securities Exchange Act Release No. 82066 (November 13, 2017), 
82 FR 54434 (November 17, 2017) (SR-NYSEArca-2017-85) (order 
approving proposed rule change to amend NYSE Arca Rule 8.700-E and 
to list and trade shares of the ProShares European Volatility 
Futures ETF).
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    The VSTOXX is based on EURO STOXX 50 Index (``Index'') real-time 
option prices that are listed on the Eurex Exchange (``Eurex'') and are 
designed to reflect the market expectations of near-term up to long-
term volatility by measuring the square root of the implied variances 
across all options of a given time to expiration.\5\ The Index includes 
50 stocks that are among the largest free-float market capitalization 
stocks from 11 Eurozone countries.\6\ Futures Contracts are cash 
settled and trade between the hours of 7:30 a.m. and 10:30 p.m. Central 
European Time (``CET'') (2:30 a.m. and 5:30 p.m. Eastern Time). The 
Futures Contract value is 100 Euros per index point of the underlying 
and it is traded to two decimal places with a minimum price change of 
0.05 points (equivalent to a value of 5 Euros). The daily settlement 
price is determined during the closing auction of the respective 
Futures Contract. The last trading day and final settlement day is 30 
calendar days prior to the third Friday of the expiration month of the 
underlying options, which is usually the Wednesday prior to the second 
to last Friday of the respective maturity month. Information regarding 
the VSTOXX and the Futures Contracts can be found on the STOXX Limited 
(``STOXX'') website and the Eurex website, respectively.\7\
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    \5\ The VSTOXX is a non-investable index that seeks to measure 
the volatility of the Index over a future time horizon as implied by 
the price of option contracts on the Index available on the Eurex. 
The VSTOXX does not measure the actual volatility of the Index. The 
Futures Contracts are denominated in Euros and are traded 
exclusively on the Eurex.
    \6\ These countries include Austria, Belgium, Finland, France, 
Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and 
Spain.
    \7\ Eurex is a member of the ISG and, as such, the Exchange may 
obtain information regarding trading in the Futures Contracts. For a 
list of the current members and affiliate members of ISG, see 
www.isgportal.com.
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    STOXX computes the Index on a real-time basis throughout each 
trading day, from 8:50 a.m. until 5:30 CET (3:50 a.m. until 12:30 p.m. 
Eastern Time). VSTOXX levels will be calculated by STOXX and widely 
disseminated by major market data vendors on a real-time basis 
throughout each trading day.
    The Exchange believes that the proposed amendment to add Futures 
Contracts and swaps on VSTOXX to the financial instruments in which an 
issue of Managed Trust Securities may hold long and/or short positions 
will provide investors with the ability to better diversify and hedge 
their portfolios using an exchange traded security without having to 
trade directly in the underlying Futures Contracts, and will facilitate 
the listing and trading on the Exchange of additional Managed Trust 
Securities that will enhance competition among market participants, to 
the benefit of investors and the marketplace.
    The Exchange believes that its surveillance procedures are adequate 
to continue to properly monitor the trading of Managed Trust Securities 
that hold Futures Contracts and swaps on VSTOXX in all trading sessions 
and to deter and detect violations of Exchange rules.
    The Exchange notes that the proposed change is not otherwise 
intended to address any other issues and that the Exchange is not aware 
of any problems that ETP Holders or issuers would have in complying 
with the proposed change.

2. Statutory Basis

    The Exchange believes that the proposed rule change is consistent 
with Section 6(b) of the Act,\8\ in general, and furthers the 
objectives of Section 6(b)(5) of the Act,\9\ in particular, because it 
is 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.
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    \8\ 15 U.S.C. 78f(b).
    \9\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes that the proposed change would facilitate the 
listing and trading of additional types of Managed Trust Securities, 
which would enhance competition among market participants, to the 
benefit of investors and the marketplace. The Exchange believes that 
the proposed rule change is designed to prevent fraudulent and 
manipulative acts and practices because the Managed Trust Securities 
would continue to be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in Rule 8.700E. The proposed 
amendments to NYSE American Rule 8.700E relating to Managed Trust 
Securities are substantially identical to amendments to NYSE Arca Rule 
8.700E previously approved by the Commission.\10\
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    \10\ See note 4, supra.
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    The Exchange has in place surveillance procedures that are adequate 
to properly monitor trading in Managed Trust Securities in all trading 
sessions and to deter and detect violations of Exchange rules and 
applicable federal securities laws. All Managed Trust Securities traded 
pursuant to NYSE American Rule 8.700E are included within the 
definition of ``security'' or ``securities'' as such terms are used in 
the Exchange rules and, as such, are subject to Exchange rules and 
procedures that currently govern the trading of securities on the 
Exchange. Trading in the securities will be halted under the conditions 
specified in NYSE American Rule 8.700E(e)(2)(D).
    For these reasons, the Exchange believes that the proposal is 
consistent with the Act.

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

    In accordance with Section 6(b)(8) of the Act,\11\ 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 purposes of the Act. Instead, the Exchange believes that the 
proposed change will encourage competition by enabling additional types 
of Managed Trust Securities to be traded on the Exchange.
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    \11\ 15 U.S.C. 78f(b)(8).
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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

    The Exchange has filed the proposed rule change pursuant to Section 
19(b)(3)(A)(iii) of the Act \12\ and Rule 19b-4(f)(6) thereunder.\13\ 
Because the foregoing proposed rule change does not: (i) Significantly 
affect the protection of investors or the public interest, (ii) impose 
any significant burden on competition, and (iii) become operative for 
30 days from the date on which it was filed, or such shorter time as 
the Commission may designate, it has become effective pursuant to 
Section

[[Page 60649]]

19(b)(3)(A) of the Act \14\ and Rule 19b-4(f)(6) thereunder.\15\
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    \12\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \13\ 17 CFR 240.19b-4(f)(6).
    \14\ 15 U.S.C. 78s(b)(3)(A).
    \15\ 17 CFR 240.19b-4(f)(6). As required under Rule 19b-
4(f)(6)(iii), the Exchange provided the Commission with written 
notice of its intent to file the proposed rule change, along with a 
brief description and the text of the proposed rule change, at least 
five business days prior to the date of filing of the proposed rule 
change, or such shorter time as designated by the Commission.
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    A proposed rule change filed under Rule 19b-4(f)(6) normally does 
not become operative prior to 30 days after the date of the filing. 
However, pursuant to Rule 19b-4(f)(6)(iii), the Commission may 
designate a shorter time if such action is consistent with the 
protection of investors and the public interest. The Exchange has asked 
the Commission to waive the 30-day operative delay so that the proposal 
may become operative immediately upon filing. As noted above, the 
proposed amendments to NYSE American Rule 8.700E relating to Managed 
Trust Securities are substantially identical to amendments to NYSE Arca 
Rule 8.700E previously approved by the Commission. The proposal raises 
no new or novel issues. Therefore, the Commission designates the 
proposed rule change to be operative upon filing.\16\
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    \16\ For purposes only of waiving the 30-day operative delay, 
the Commission has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act.

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-NYSEAMER-2017-37 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-NYSEAMER-2017-37. 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 website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of 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. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-NYSEAMER-2017-37 and should be submitted 
on or before January 11, 2018.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\17\
Robert W. Errett,
Deputy Secretary.
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    \17\ 17 CFR 200.30-3(a)(12).
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[FR Doc. 2017-27467 Filed 12-20-17; 8:45 am]
BILLING CODE 8011-01-P