[Federal Register Volume 85, Number 240 (Monday, December 14, 2020)]
[Notices]
[Pages 80854-80859]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-27398]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-90608; File No. SR-NYSEArca-2020-105]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change To List and Trade the Shares of the Teucrium 
Water Fund Under NYSE Arca Rule 8.200-E, Commentary .02

December 8, 2020.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 
given that, on November 25, 2020, NYSE Arca, Inc. (``NYSE Arca'' or the 
``Exchange'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I, II, 
and III 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 list and trade the shares of the following 
under NYSE Arca Rule 8.200-E, Commentary .02 (``Trust Issued 
Receipts''): Teucrium Water Fund. The proposed 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
    The Exchange proposes to list and trade shares (``Shares'') of the 
following under NYSE Arca Rule 8.200-E, Commentary .02, which governs 
the listing and trading of Trust Issued Receipts: Teucrium Water Fund 
(the ``Fund'').\4\
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    \4\ Commentary .02 to NYSE Arca Rule 8.200-E applies to Trust 
Issued Receipts that invest in ``Financial Instruments.'' The term 
``Financial Instruments,'' as defined in Commentary .02(b)(4) to 
NYSE Arca Rule 8.200-E, means any combination of investments, 
including cash; securities; options on securities and indices; 
futures contracts; options on futures contracts; forward contracts; 
equity caps, collars, and floors; and swap agreements.
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    The Fund is a series of Teucrium Commodity Trust (the ``Trust''), a 
Delaware statutory trust.\5\ The Fund is managed and controlled by 
Teucrium Trading, LLC (``Teucrium Trading'' or the ``Sponsor''). 
Teucrium Trading is registered as a commodity pool operator (``CPO'') 
and a commodity trading adviser (``CTA'') with the Commodity Futures 
Trading Commission (``CFTC'') and is a member of the National Futures 
Association (``NFA''). Foreside Fund Services, LLC will be the Fund's 
distributor (``Distributor''). In its capacity as the Custodian for the 
Fund, U.S. Bank, N.A. (``U.S. Bank'') may hold the Fund's securities 
and cash and/or cash equivalents pursuant to a custodial agreement (the 
``Custodian''). U.S. Bancorp Fund Services, LLC, (``U.S. Bancorp'') 
will be the Fund's ``Transfer Agent.'' In addition, in its capacity as 
Administrator for the Fund, U.S. Bancorp (the ``Administrator'') will 
perform certain administrative and accounting services for the Fund and 
prepare certain Commission and CFTC reports on behalf of the Fund.
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    \5\ On September 21, 2020, 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. 
333-248948) (the ``Registration Statement''). The description of the 
operation of the Trust and the Fund herein is based, in part, on the 
Registration Statement.
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The Fund's Investment Objective and Strategy
    The investment objective of the Fund is for changes in the Shares' 
Net Asset Value (``NAV'') to reflect the changes of the price of water 
rights in the state of California, as measured by the Fund's Benchmark 
(as defined below). The Benchmark is a weighted average of the closing 
settlement prices for three equally weighted Nasdaq Veles California 
Water index futures contracts (``Benchmark Component Futures 
Contracts'') that are traded on the Chicago Mercantile Exchange Inc. 
(``CME'').\6\ Nasdaq Veles California Water index futures contracts 
will be financially settled and will trade eight consecutive quarterly 
contracts (March, June, September and December) plus the two nearest 
serial months which are not included in the quarterly contracts. 
Settlement for each futures contract will occur the third Wednesday of 
the expiration month.
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    \6\ According to the Registration Statement, futures contracts 
are agreements between two parties that are executed on a designated 
contract market (``DCM''), i.e., a commodity futures exchange, and 
that are cleared and margined through a derivatives clearing 
organization (``DCO''), i.e., a clearing house. One party agrees to 
buy a commodity such as water from the other party at a later date 
at a price and quantity agreed upon when the contract is made. In 
market terminology, a party who purchases a futures contract is long 
in the market and a party who sells a futures contract is short in 
the market. The contractual obligations of a buyer or seller may 
generally be satisfied by taking or making physical delivery of the 
underlying commodity or by making an offsetting sale or purchase of 
an identical futures contract on the same or linked exchange before 
the designated date of delivery. The difference between the price at 
which the futures contract is purchased or sold and the price paid 
for the offsetting sale or purchase, after allowance for brokerage 
commissions, constitutes the profit or loss to the trader.
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    The Benchmark will have three components, consisting of equally 
weighted Nasdaq Veles California Water index futures contracts selected 
from the following contract months: May, June, July, August and 
September. The Benchmark will always hold a June contract month. The 
Benchmark will roll upon the expiration of the February, May, June, 
July and August contract months. See grid below for the full futures 
rolls and holdings. The

[[Page 80855]]

Benchmark is not designed to track the spot price of water or water 
rights.

                                              Annual Roll Schedule
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         Roll month                   Old contract                New contract            Holdings post roll
----------------------------------------------------------------------------------------------------------------
February....................  September...................  May....................  May, June (1st to expire),
                                                                                      June (2nd to expire)*.
May.........................  May.........................  July...................  June (1st to expire), July,
                                                                                      June (2nd to expire).
June........................  June........................  August.................  July, August, June (2nd to
                                                                                      expire).
July........................  July........................  September (2nd to        August, June (1st to
                                                             expire).                 expire), September (2nd to
                                                                                      expire).
August......................  August......................  June (2nd to expire)...  June (1st to expire),
                                                                                      September, June (2nd to
                                                                                      expire).
----------------------------------------------------------------------------------------------------------------
* 1st to expire--The contract month available for investment that is going to expire first; 2nd to expire--The
  contract month available for investment that is going to expire second.

    According to the Registration Statement, the Nasdaq Veles 
California Water Index was designed to provide water market 
participants with a price for water through verifiable price discovery. 
The index sets a weekly benchmark spot price of water rights in 
California, based on the volume-weighted average of the transaction 
price in California's five largest and most actively traded water 
markets.
    In seeking to achieve the Fund's investment objective, the Sponsor 
will employ a ``neutral'' investment strategy that is intended to track 
the changes in the Benchmark regardless of whether the Benchmark goes 
up or goes down. According to the Registration Statement, the Fund will 
endeavor to trade in Benchmark Component Futures Contracts so that the 
Fund's average daily tracking error against the Benchmark will be less 
than 10 percent over any period of 30 trading days. According to the 
Registration Statement, the Fund's ``neutral'' investment strategy is 
designed to permit investors generally to purchase and sell the Fund's 
Shares for the purpose of investing indirectly in the California water 
market. Such investors may include participants in the agricultural 
industry and other industries seeking to hedge the risk of losses in 
their water related transactions, as well as investors seeking exposure 
to the water market.
    The Fund will seek to achieve its investment objective by investing 
in Benchmark Component Futures Contracts. Under normal market 
conditions,\7\ the Fund expects that 100% of the Fund's assets will be 
invested in Benchmark Component Futures Contracts and in cash and cash 
equivalents, such as short-term Treasury Bills, money market funds, 
demand deposit accounts and commercial paper. The Fund may, to a lesser 
extent, obtain exposure to the Benchmark through investment in over-
the-counter (``OTC'') swap agreements, OTC forward contracts, both 
exchange-listed and OTC options, exchange-listed futures and exchange-
listed options on futures. Not more than 10% of the net assets of the 
Fund in the aggregate invested in exchange-traded futures contracts or 
exchange-traded options on futures shall consist of futures contracts 
or options on futures whose principal market is not a member of the 
Intermarket Surveillance Group (``ISG'') or is a market with which the 
Exchange does not have a comprehensive surveillance sharing agreement 
(``CSSA'').\8\
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    \7\ The term ``normal market conditions'' includes, but is not 
limited to, the absence of: trading halts in the applicable 
financial markets generally; operational issues (e.g., systems 
failure) causing dissemination of inaccurate market information; or 
force majeure type events such as natural or manmade disaster, act 
of God, armed conflict, act of terrorism, riot or labor disruption 
or any similar intervening circumstance. See NYSE Arca Rule 8.600-
E(c)(5).
    \8\ 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.
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    According to the Registration Statement, the price of water, over 
time, fluctuates based on a number of market factors, including demand 
for water relative to its supply. The value of Benchmark Component 
Futures Contracts likewise will fluctuate in reaction to a number of 
market factors. Because the Fund seeks to maintain its holdings in 
Benchmark Component Futures Contracts with a roughly constant 
expiration profile, the Fund's positions are changed or ``rolled'' on a 
regular basis in order to track the changing nature of the Benchmark by 
closing out soon to expire contracts that are no longer part of the 
Benchmark and entering into subsequent to expire contracts. One factor 
determining the total return from investing in futures contracts is the 
price relationship between soon to expire contracts and later to expire 
contracts.
    According to the Registration Statement, if the futures market is 
in a state of backwardation (i.e., when the price of water in the 
future is expected to be less than the current price), the Fund will 
buy later to expire contracts for a lower price than the sooner to 
expire contracts that it sells. Hypothetically, and assuming no changes 
to either prevailing water prices or the price relationship between 
soon to expire contracts and later to expire contracts, the value of a 
contract will rise as it approaches expiration. Over time, if 
backwardation remained constant, the differences would continue to 
increase. If the futures market is in contango, the Fund will buy later 
to expire contracts for a higher price than the sooner to expire 
contracts that it sells. Hypothetically, and assuming no other changes 
to either prevailing water prices or the price relationship between the 
spot price, soon to expire contracts and later to expire contracts, the 
value of a contract will fall as it approaches expiration. Over time, 
if contango remained constant, the difference would continue to 
increase. Frequently, whether contango or backwardation exists is a 
function, among other factors, of the seasonality of the underlying 
market and government policy.
Overview of the Water Market
    According to the Registration Statement, water is the natural 
resource required to sustain all life on the planet, arguably making it 
the most important commodity on Earth. U.S. water usage falls into 
three major categories: residential, agricultural and industrial use. 
Therefore, a primary challenge confronting the United States, 
particularly the Western States, is water scarcity which can be 
attributed to increased demand from population growth, economic 
expansion, agricultural production, and climate change resulting in 
rapidly changing and variable weather patterns.
    The U.S. ranks first globally in per capita water consumption and 
second globally in total water consumption behind only China. 
California ranks first

[[Page 80856]]

in U.S. demand. Competition continues to increase between domestic use, 
agriculture, and industrial use. Food production and urban expansion 
could both be threatened by water scarcity, and it is becoming 
increasingly difficult and expensive to balance the water needs of 
farmers growing crops in many parts of the country with water demands 
created by expanding urban population centers. As water availability 
becomes increasingly variable, state and local governments will have 
increasing roles in rationing and disbursing water.
    California is one of the most active water trading markets in the 
U.S. Water prices tend to trade in cycles generally tied to rain/
snowfall patterns. Western States receive most annual precipitation 
from winter storms. Beyond that they must rely on spring rainstorms. 
Western statewide precipitation occurs from November through March. 
Approximately half occurs from December through February, coinciding 
with winter storms. A few storms during the winter season can determine 
if the year will be wet or dry. Droughts occur when dry conditions 
persist long enough to impact natural water levels. Water trading has 
become a fast-growing activity throughout the Western United States; 
California, Washington, Arizona, Colorado, and Texas are among the most 
active places where water rights are transacted. As climate change 
continues to impact the planet, urban, industrial and agricultural 
expansion will likely increase the demand for water, increasing the 
need for the most efficient allocation of water possible among 
competing users. The trading of water rights is a practical and 
effective tool available to all participants in their continued efforts 
at securing water.
Net Asset Value
    According to the Registration Statement, the Fund's NAV per Share 
will be calculated by taking the current market value of its total 
assets, subtracting any liabilities, and dividing that total by the 
number of Shares.
    The Administrator of the Fund will calculate the NAV once each 
trading day, as of the earlier of the close of the New York Stock 
Exchange or 4:00 p.m. Eastern Standard Time (EST).
    To determine the value of Benchmark Component Futures Contracts, 
the Fund's Administrator will use the Benchmark Component Futures 
Contract settlement price on the exchange on which the contract is 
traded, except that the ``fair value'' of Benchmark Component Futures 
Contracts (as described in more detail below) may be used when 
Benchmark Component Futures Contracts close at their price fluctuation 
limit for the day. The Fund's Administrator will determine the value of 
all other Fund investments as of the earlier of the close of the New 
York Stock Exchange or 4:00 p.m. EST. The value of over the counter 
water interests will be determined based on the value of the commodity 
or futures contract underlying such water interest, except that a fair 
value may be determined if the Fund's Sponsor believes that the Fund is 
subject to significant credit risk relating to the counterparty to such 
water interest. The Fund's NAV will include any unrealized profit or 
loss on open water interests and any other credit or debit accruing to 
the Fund but unpaid or not received by the Fund.
    The fair value of a water interest will be determined by the Fund's 
Sponsor in good faith and in a manner that assesses the water 
interest's value based on a consideration of all available facts and 
all available information on the valuation date. When a Benchmark 
Component Futures Contract has closed at its price fluctuation limit, 
the fair value determination will attempt to estimate the price at 
which such Benchmark Component Futures Contract would be trading in the 
absence of the price fluctuation limit (either above such limit when an 
upward limit has been reached or below such limit when a downward limit 
has been reached). Typically, this estimate will be made primarily by 
reference to the price of comparable water interests trading in the 
over the counter market. The fair value of a water interest may not 
reflect such security's market value or the amount that the Fund might 
reasonably expect to receive for the water interest upon its current 
sale.
Indicative Fund Value
    In order to provide updated information relating to the Fund for 
use by investors and market professionals, ICE Data Indices, LLC will 
calculate 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 will be updated throughout the Core Trading Session 
of 9:30 a.m. E.T. to 4:00 p.m. E.T. to reflect changes in the value of 
the Fund's water interests during the trading day.
    The IFV will be disseminated on a per Share basis every 15 seconds 
during the Exchange's Core Trading Session and be widely disseminated 
by one or more major market data vendors during the NYSE Arca Core 
Trading Session.\9\
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    \9\ Several major market data vendors display and/or make widely 
available IFVs taken from the CTA or other data feeds. In addition, 
the normal trading hours for Water Futures Contracts on CME are 
generally shorter than those of NYSE Arca. As a result, there is a 
gap in time at the beginning and the end of each day during which 
the Fund's Shares are traded on NYSE Arca, but real-time CME trading 
prices for Water Futures Contracts are not available. During such 
gaps, there will be no update to the IFV.
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Creation and Redemption of Shares
    According to the Registration Statement, the Shares issued by the 
Fund may only be purchased by Authorized Purchasers and only in blocks 
of 10,000 Shares called ``Creation Baskets.'' The amount of the 
purchase payment for a Creation Basket is equal to the total NAV of 
Shares in the Creation Basket. Similarly, only Authorized Purchasers 
may redeem Shares and only in blocks of 10,000 Shares called 
``Redemption Baskets.'' The amount of the redemption proceeds for a 
Redemption Basket is equal to the total NAV of Shares in the Redemption 
Basket. The purchase price for Creation Baskets and the redemption 
price for Redemption Baskets are the actual NAV calculated at the end 
of the business day when a request for a purchase or redemption is 
received by the Fund.
    ``Authorized Purchasers'' will be the only persons that may place 
orders to create and redeem Creation Baskets. Authorized Purchasers 
must be (1) either 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, and (2) DTC Participants. An Authorized Purchaser is an 
entity that has entered into an Authorized Purchaser Agreement with the 
Sponsor.
Creation Procedures
    On any ``Business Day'', an Authorized Purchaser may place an order 
with the Transfer Agent to create one or more Creation Baskets. For 
purposes of processing both purchase and redemption orders, a 
``Business Day'' means any day other than a day when any of the NYSE 
Arca, the CME, or the New York Stock Exchange is closed for regular 
trading. Purchase orders for Creation Baskets must be placed by 12:00 
p.m. EST or the close of regular trading on the New York Stock 
Exchange, which is earlier. The day on which the Distributor receives a 
valid purchase order is referred to as the purchase order date. If the 
purchase order is received after the applicable cut-off time, the 
purchase order date will be the next Business Day. Purchase orders are 
irrevocable.

[[Page 80857]]

    By placing a purchase order, an Authorized Purchaser generally 
agrees to deposit cash with the Custodian.
Redemption Procedures
    According to the Registration Statement, the procedures by which an 
Authorized Purchaser can redeem one or more Creation Baskets will 
mirror the procedures for the creation of Creation Baskets. On any 
Business Day, an Authorized Purchaser may place an order with the 
Transfer Agent to redeem one or more Creation Baskets.
    The redemption procedures allow Authorized Purchasers to redeem 
Creation Baskets. Individual shareholders may not redeem directly from 
the Fund. By placing a redemption order, an Authorized Purchaser agrees 
to deliver the Creation Baskets to be redeemed through DTC's book entry 
system to the Fund by the end of the next Business Day following the 
effective date of the redemption order or by the end of such later 
business day.
Determination of Redemption Distribution
    The redemption distribution from the Fund will consist of an amount 
of cash, cash equivalents and/or commodity futures that is in the same 
proportion to the total assets of the Fund on the date that the order 
to redeem is properly received as the number of Shares to be redeemed 
under the redemption order is in proportion to the total number of 
Shares outstanding on the date the order is received.
Delivery of Redemption Distribution
    An Authorized Purchaser who places a purchase order will transfer 
to the Custodian the required amount of cash, cash equivalents and/or 
commodity futures by the end of the next business day following the 
purchase order date or by the end of such later business day, not to 
exceed three business days after the purchase order date, as agreed to 
between the Authorized Purchaser and the Custodian when the purchase 
order is placed (the ``Purchase Settlement Date''). Upon receipt of the 
deposit amount, the Custodian will direct DTC to credit the number of 
Creation Baskets ordered to the Authorized Purchaser's DTC account on 
the Purchase Settlement Date.
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 the applicable futures exchange websites, 
automated quotation systems, published or other public sources, or 
major market data vendors.
    Complete real-time data for the Benchmark Component Futures 
Contracts will be available by subscription through on-line information 
services. ICE Futures U.S. and CME also provide delayed futures and 
options on futures information on current and past trading sessions and 
market news free of charge on their respective websites. The specific 
contract specifications for Benchmark Component Futures Contracts will 
also be available on such websites, as well as other financial 
informational sources. Quotation and last-sale information regarding 
the Shares will be disseminated through the facilities of the 
Consolidated Tape Association (``CTA''). Quotation information for cash 
equivalents and commodity futures may be obtained from brokers and 
dealers who make markets in such instruments. Intra-day price and 
closing price level information for the Benchmark will be available 
from major market data vendors. The Benchmark value will be 
disseminated once every 15 seconds. The IFV will be available through 
on-line information services.
    In addition, the Funds' website, www.teucrium.com, will display the 
applicable end of day closing NAV. The daily holdings of the Fund will 
be available on the Fund's website. The Fund's website will also 
include a form of the prospectus for the Fund that may be downloaded. 
The website will include the Shares' ticker and CUSIP information along 
with additional quantitative information updated on a daily basis, 
including: (1) The prior Business Day's reported NAV and closing price 
and a calculation of the premium and discount of the closing price or 
mid-point of the bid/ask spread at the time of NAV calculation (the 
``Bid/Ask Price'') against the NAV; and (2) data in chart format 
displaying the frequency distribution of discounts and premiums of the 
daily closing price or Bid/Ask Price against the NAV, within 
appropriate ranges, for at least each of the four previous calendar 
quarters. The website disclosure of portfolio holdings will be made 
daily and will include, as applicable, (i) the name, quantity, price, 
and market value of Benchmark Component Futures Contracts, (ii) the 
counterparty to and value of swap agreements, forward contracts and any 
other financial instruments tracking the Benchmark, and (iii) the total 
cash and cash equivalents held in the Fund's portfolio, if applicable.
    The Fund's website will be publicly available at the time of the 
public offering of the Shares and accessible at no charge.
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.\10\ Trading in Shares of the Fund 
will be halted if the circuit breaker parameters in NYSE Arca Rule 
7.12-E have been reached. Trading also may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable.
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    \10\ See NYSE Arca Rule 7.12-E.
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    The Exchange may halt trading during the day in which an 
interruption to the dissemination of the IFV or the value of the 
Benchmark occurs. The Benchmark value will be disseminated once every 
15 seconds. If the interruption to the dissemination of the IFV, or the 
value of the Benchmark persists past the trading day in which it 
occurred, the Exchange will halt trading no later than the beginning of 
the trading day following the interruption. In addition, if the 
Exchange becomes aware that the NAV with respect to the Shares is not 
disseminated to all market participants at the same time, it will halt 
trading in the Shares until such time as the NAV is available to all 
market participants.
Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities. Shares will trade on 
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. in accordance with 
NYSE Arca Rule 7.34-E (Early, Core, and Late Trading Sessions). The 
Exchange has appropriate rules to facilitate transactions in the Shares 
during all trading sessions. As provided in NYSE Arca Rule 7.6-E, the 
minimum price variation (``MPV'') for quoting and entry of orders in 
equity securities traded on the NYSE Arca Marketplace is $0.01, with 
the exception of securities that are priced less than $1.00 for which 
the MPV for order entry is $0.0001.
    The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Rule 8.200-E. The trading of the Shares will 
be subject to NYSE Arca Rule 8.200-E, Commentary .02(e), which sets 
forth certain restrictions on Equity Trading Permit (``ETP'') Holders 
acting as registered Market Makers in Trust Issued Receipts to 
facilitate surveillance. With respect to the

[[Page 80858]]

application of Rule 10A-3 \11\ under the Act, the Trust will rely on 
the exception contained in Rule 10A-3(c)(7).\12\ A minimum of 100,000 
Shares of the Fund will be outstanding at the commencement of trading 
on the Exchange.
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    \11\ 17 CFR 240.10A-3.
    \12\ See Rule 10A-3(c)(7), 17 CFR 240.10A-3(c)(7) (stating that 
a listed issuer is not subject to the requirements of Rule 10A-3 if 
the issuer is organized as an unincorporated association that does 
not have a board of directors and the activities of the issuer are 
limited to passively owning or holding securities or other assets on 
behalf of or for the benefit of the holders of the listed 
securities).
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Surveillance
    The Exchange represents that trading in the Shares of the Fund 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.\13\ 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.
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    \13\ 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.
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    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, the Benchmark 
Component Futures Contracts and certain other futures, and options on 
futures with other markets and other entities that are members of the 
ISG, and the Exchange or FINRA, on behalf of the Exchange, or both, may 
obtain trading information regarding trading in the Shares, the 
Benchmark Component Futures Contracts and certain other futures, and 
options on futures from such markets and other entities. In addition, 
the Exchange may obtain information regarding trading in the Shares, 
the Benchmark Component Futures Contracts and certain other futures, 
and options on futures from markets and other entities that are members 
of ISG or with which the Exchange has in place a CSSA. The Exchange is 
also able to obtain information regarding trading in the Shares, the 
physical commodities underlying the futures contracts through ETP 
Holders, in connection with such ETP Holders' proprietary or customer 
trades which they effect through ETP Holders on any relevant market. 
The Exchange can obtain market surveillance information, including 
customer identity information, with respect to transactions (including 
transactions in futures contracts) occurring on US futures exchanges, 
which are members of the ISG.
    Not more than 10% of the net assets of the Fund in the aggregate 
invested in exchange-traded futures contracts or exchange-traded 
options on futures shall consist of futures contracts or options on 
futures whose principal market is not a member of the ISG or is a 
market with which the Exchange does not have a CSSA.
    In addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
    All statements and representations made in this filing regarding 
(a) the description of the portfolios of the Funds or Benchmark, (b) 
limitations on portfolio holdings or the Benchmark, or (c) the 
applicability of Exchange listing rules specified in this rule filing 
shall constitute continued listing requirements for listing the Shares 
on the Exchange.
    The issuer has represented to the Exchange that it will advise the 
Exchange of any failure by the Fund to comply with the continued 
listing requirements, and, pursuant to its obligations under Section 
19(g)(1) of the Act, the Exchange will monitor for compliance with the 
continued listing requirements. If the Fund is not in compliance with 
the applicable listing requirements, the Exchange will commence 
delisting procedures under NYSE Arca Rule 5.5-E(m).
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \14\ 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.
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    \14\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices and to protect 
investors and the public interest in that the Shares will be listed and 
traded on the Exchange pursuant to the initial and continued listing 
criteria in NYSE Arca Rule 8.200-E. The Exchange has in place 
surveillance procedures that are adequate to properly monitor trading 
in the Shares 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, Benchmark 
Component Futures Contracts and certain other futures, and options on 
futures with other markets and other entities that are members of the 
ISG, and the Exchange or FINRA, on behalf of the Exchange, or both, may 
obtain trading information regarding trading in the Shares, Benchmark 
Component Futures Contracts and certain other futures, and options on 
futures from such markets and other entities. In addition, the Exchange 
may obtain information regarding trading in the Shares, Benchmark 
Components Futures Contracts and certain other futures, and options on 
futures from markets and other entities that are members of ISG or with 
which the Exchange has in place a CSSA. The Exchange is also able to 
obtain information regarding trading in the Shares, the physical 
commodities underlying futures contracts through ETP Holders, in 
connection with such ETP Holders' proprietary or customer trades which 
they effect through ETP Holders on any relevant market. The Exchange 
can obtain market surveillance information, including customer identity 
information, with respect to transactions (including transactions in 
Benchmark Component Futures Contracts) occurring on US futures 
exchanges, which are members of the ISG. Not more than 10% of the net 
assets of the Fund in the aggregate invested in exchange-traded futures 
contracts or exchange-traded options on futures shall consist of 
futures contracts or options on futures whose principal market is not a 
member of the ISG or is a market with which the Exchange does not have 
a CSSA. The intraday, closing prices, and settlement prices of the 
Benchmark Component Futures Contracts will be readily available from 
the applicable futures exchange websites, automated quotation systems, 
published or other public sources, or

[[Page 80859]]

major market data vendors website or online information services.
    Complete real-time data for the Benchmark Component Futures 
Contracts will be available by subscription from on-line information 
services. ICE Futures U.S. and CME also provide delayed futures 
information on current and past trading sessions and market news free 
of charge on the Fund's website. The specific contract specifications 
for Benchmark Component Futures Contracts will also be available on 
such websites, as well as other financial informational sources. 
Information regarding options will be available from the applicable 
exchanges or major market data vendors. Quotation and last-sale 
information regarding the Shares will be disseminated through the 
facilities of the CTA. The IFV will be disseminated on a per Share 
basis every 15 seconds during the Exchange's Core Trading Session and 
be widely disseminated by one or more major market data vendors during 
the NYSE Arca Core Trading Session. The Fund's website will also 
include a form of the prospectus for the Fund that may be downloaded. 
The website will include the Share's ticker and CUSIP information along 
with additional quantitative information updated on a daily basis, 
including, for the Fund: (1) The prior business day's reported NAV and 
closing price and a calculation of the premium and discount of the 
closing price or mid-point of the Bid/Ask Price against the NAV; and 
(2) data in chart format displaying the frequency distribution of 
discounts and premiums of the daily closing price or Bid/Ask Price 
against the NAV, within appropriate ranges, for at least each of the 
four previous calendar quarters. The website disclosure of portfolio 
holdings will be made daily and will include, as applicable, (i) the 
name, quantity, price, and market value of Benchmark Component Futures 
Contracts, (ii) the counterparty to and value of swap agreements and 
forward contracts, and (iii) other financial instruments, if any, and 
the characteristics of such instruments and cash equivalents, and 
amount of cash held in the Fund's portfolio, if applicable.
    Trading in Shares of the Fund will be halted if the circuit breaker 
parameters in NYSE Arca Rule 7.12-E have been reached or because of 
market conditions or for reasons that, in the view of the Exchange, 
make trading in the Shares inadvisable.
    The proposed rule change is designed to perfect the mechanism of a 
free and open market and, in general, to protect investors and the 
public interest in that it will facilitate the listing and trading of 
Trust Issued Receipts based on water 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 Trust 
Issued Receipts based on water 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 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-2020-105 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-NYSEArca2020-105. 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-NYSEArca-2020-105, and should be 
submitted on or before January 4, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\15\
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    \15\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-27398 Filed 12-11-20; 8:45 am]
BILLING CODE 8011-01-P