[Federal Register Volume 89, Number 59 (Tuesday, March 26, 2024)]
[Notices]
[Pages 21104-21115]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-06336]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-99801; File No. SR-NYSEARCA-2024-27]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change To List and Trade Shares of the 7RCC Spot 
Bitcoin and Carbon Credit Futures ETF

March 20, 2024.
    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 March 13, 2024, NYSE Arca, Inc. (``NYSE Arca'' or 
``Exchange'') filed with the Securities and Exchange Commission 
(``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 shares of the 7RCC Spot 
Bitcoin and Carbon Credit Futures ETF under NYSE Arca Rule 8.500-E 
(Trust Units). 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,

[[Page 21105]]

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 
7RCC Spot Bitcoin and Carbon Credit Futures ETF (the ``Fund'') under 
NYSE Arca Rule 8.500-E.\4\
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    \4\ NYSE Arca Rule 8.500-E governs the listing and trading of 
Trust Units, which are securities issued by a trust or other similar 
entity that is constituted as a commodity pool that holds 
investments comprising or otherwise based on any combination of 
futures contracts, options on futures contracts, forward contracts, 
swap contracts, commodities, and/or securities.
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    The Fund is a series of the Tidal Commodities Trust I (the 
``Trust''), a Delaware statutory trust organized on February 10, 
2023.\5\ The Trust has no fixed termination date. The Trust will not be 
registered as an investment company under the Investment Company Act of 
1940, as amended,\6\ and is not required to register under such act.
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    \5\ On December 18, 2023, the Trust filed with the Commission a 
registration statement on Form S-1 (File No. 333-__) (the 
``Registration Statement'') under the Securities Act of 1933 (15 
U.S.C. 77a) (the ``Securities Act''). The description of the 
operation of the Fund herein is based, in part, on the Registration 
Statement. The Registration Statement in not yet effective and the 
Shares will not trade on the Exchange until such time that the 
Registration Statement is effective.
    \6\ 15 U.S.C. 80a-1.
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    The sponsor of the Trust is Tidal Investments LLC (the 
``Sponsor''). The Sponsor is registered as a commodity pool operator 
and a commodity trading adviser with the Commodity Futures Trading 
Commission (the ``CFTC'') and is a member of the National Futures 
Association.
    The administrator of the Fund is Tidal ETF Services (the 
``Administrator''). The custodian of the Fund's bitcoin holdings is 
Gemini Trust Company, LLC (the ``Bitcoin Custodian''). The Sponsor will 
appoint a non-digital custodian (the ``Non-Digital Custodian'' and, 
together with the Bitcoin Custodian, the ``Custodians''), who will 
serve as the Fund's custodian with respect to its cash and cash 
equivalents,\7\ as well as any investments in connection with its 
exposure to carbon credit futures contracts.
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    \7\ ``Cash Equivalents'' shall mean such investments that, in 
the view of the Sponsor, are of high credit quality and liquidity 
and can be converted to cash quickly. Such investments shall 
include, but are not limited to, (a) cash; (b) debt securities 
issued or directly or indirectly fully guaranteed or insured by the 
United States or any agency or instrumentality thereof; (c) 
commercial paper or finance company paper of sufficient credit 
quality in the view of the Sponsor; or (d) money market mutual 
funds.
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The Fund's Investment Objective and Strategy
    According to the Registration Statement, the Fund's investment 
objective is to reflect the daily changes of the price of bitcoin and 
the value of carbon credit futures contracts (``Carbon Credit 
Futures''), as represented by the Vinter Bitcoin Carbon Credits Index 
(the ``Index''), less expenses from the Fund's operations.
    The Fund will pursue its investment objective by investing 80% of 
its assets in bitcoin and the remaining 20% of its assets in financial 
instruments, including swap agreements, that provide exposure to Carbon 
Credit Futures represented by the Index. The Index seeks to provide 
exposure to bitcoin with an environmentally responsible approach by 
offsetting carbon emissions and is designed to track the performance of 
investing in a portfolio comprised of 80% of bitcoin and 20% Carbon 
Credit Futures. The Index's Carbon Credit Futures are linked to the 
value of emissions allowances issued under the following ``cap-and-
trade'' regimes: the European Union Emissions Trading System (``EU 
ETS''), the California Carbon Allowance (``CCA''), and the Regional 
Greenhouse Gas Initiative (``RGGI''). The Fund will gain exposure to 
these Carbon Credit Futures by entering into swap agreements \8\ with 
one or more major global financial institutions. Specifically, the Fund 
will enter into over-the-counter (``OTC'') swap agreements that provide 
the performance of the Carbon Credit Futures portion of the Index. The 
Fund's obligations (or rights) under the OTC swap agreements will be 
equal only to the net amount to be paid or owed under the agreements, 
based on the relative values of the positions held by each 
counterparty. The Fund will pay a monthly financing amount and in 
return receive the performance of the Carbon Credit Futures portion of 
the Index. The term of the swap agreements is expected to be a year 
long, with monthly payments made thereunder.
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    \8\ A swap agreement is a contract entered into primarily with 
major global financial institutions for a specified period ranging 
from a day to more than one year. In a standard swap transaction, 
two parties agree to exchange or ``swap'' payments based on the 
change in value of an underlying asset or benchmark. For example, 
two parties may agree to exchange the return (or differentials in 
returns) earned or realized on a particular investment or 
instrument.
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Carbon Credit Futures
    According to the Registration Statement, Carbon Credit Futures are 
futures contracts on emissions allowances issued by various ``cap-and-
trade'' regulatory regimes that seek to reduce greenhouse gases over 
time. A cap-and-trade regime typically involves a regulator setting a 
limit on the total amount of specific greenhouse gases (``GHG'') (such 
as carbon dioxide (``CO2'')) that can be emitted by 
regulated entities. Capping and reducing the cap on GHGs is viewed as a 
key policy tool in reaching climate change objectives. The regime is 
designed to promote sustainable development by putting a price on 
carbon emissions. The regulator will then issue or sell ``emissions 
allowances'' to regulated entities, which in turn may buy or sell the 
emissions allowances to the open market. To the extent that the 
regulator may then reduce the cap on emission allowances, regulated 
entities are incentivized to reduce their emissions; otherwise, they 
must purchase additional emission allowances on the open market, where 
the price of such allowances will likely be increasing as a result of 
demand, and regulated entities that reduce their emissions will be able 
to sell unneeded emission allowances for profit. An emission allowance 
or carbon credit is a unit of emissions (typically one ton of 
CO2) that the owner of the allowance or credit is permitted 
to emit. Futures contracts linked to the value of emission allowances 
are known as carbon credit futures.
Overview of the Bitcoin Industry and Market
Bitcoin
    According to the Registration Statement, bitcoin is the digital 
asset that is native to, and created and transmitted through the 
operations of, the peer-to-peer Bitcoin Network, a decentralized 
network of computers that operates on cryptographic protocols. No 
single entity owns or operates the Bitcoin Network, the infrastructure 
of which is collectively maintained by a decentralized user base. The 
Bitcoin Network allows people to exchange tokens of value, called 
bitcoin, which are recorded on a public transaction ledger known as the 
Blockchain. Bitcoin can be used to pay for goods and services, or it 
can be converted to fiat currencies, such as the U.S. dollar, at rates 
determined on digital asset trading platforms or in individual end-
user-to-end-user transactions under a barter system. Although nascent 
in use, bitcoin

[[Page 21106]]

may be used as a medium of exchange, unit of account or store of value.
    The Bitcoin Network is decentralized and does not require 
governmental authorities or financial institution intermediaries to 
create, transmit, or determine the value of bitcoin. In addition, no 
party may easily censor transactions on the Bitcoin Network. As a 
result, the Bitcoin Network is often referred to as decentralized and 
censorship resistant.
    The value of bitcoin is determined by the supply of and demand for 
bitcoin. New bitcoin are created and rewarded to the parties providing 
the Bitcoin Network's infrastructure (``miners'') in exchange for their 
expending computational power to verifying transactions and add them to 
the ``Blockchain.'' The Blockchain is effectively a decentralized 
database that includes all blocks that have been solved by miners and 
it is updated to include new blocks as they are solved. Each bitcoin 
transaction is broadcast to the Bitcoin Network and, when included in a 
block, recorded in the Blockchain. As each new block records 
outstanding bitcoin transactions, and outstanding transactions are 
settled and validated through such recording, the Blockchain represents 
a complete, transparent, and unbroken history of all transactions of 
the Bitcoin Network.

Bitcoin Network

    Bitcoin was first described in a white paper released in 2008 and 
published under the pseudonym ``Satoshi Nakamoto.'' The protocol 
underlying Bitcoin was subsequently released in 2009 as open-source 
software and currently operates on a worldwide network of computers. 
The Bitcoin Network and its software have been under active development 
since that time by a group of computer engineers known as ``core 
developers,'' each of whom operates under a volunteer basis and without 
strict hierarchical administration.
    The Bitcoin Network utilizes a digital asset known as ``bitcoin,'' 
which can be transferred among parties via the internet. Unlike other 
means of electronic payments such as credit card transactions, one of 
the advantages of bitcoin is that it can be transferred without the use 
of a central administrator or clearing agency. As a central party is 
not necessary to administer bitcoin transactions or maintain the 
bitcoin ledger, the term decentralized is often used in descriptions of 
bitcoin. Unless it is using a third-party service provider, a party 
transacting in bitcoin is generally not afforded some of the 
protections that may be offered by intermediaries.
    The first step in directly using the Bitcoin Network for 
transactions is to download specialized software referred to as a 
``bitcoin wallet.'' A user's bitcoin wallet can run on a computer or 
smartphone and can be used both to send and to receive bitcoin. Within 
a bitcoin wallet, a user can generate one or more unique ``bitcoin 
addresses,'' which are conceptually similar to bank account numbers. 
After establishing a bitcoin address, a user can send or receive 
bitcoin from his or her bitcoin address to or from another user's 
bitcoin address. Sending bitcoin from one bitcoin address to another is 
similar in concept to sending a bank wire from one person's bank 
account to another person's bank account; however, such transactions 
are not managed by an intermediary and erroneous transactions generally 
may not be reversed or remedied once sent.
    The amount of bitcoin associated with each bitcoin address, as well 
as each bitcoin transaction to or from such bitcoin address, is 
transparently reflected in the Blockchain and can be viewed by websites 
that operate as ``blockchain explorers.'' Copies of the Blockchain 
exist on thousands of computers on the Bitcoin Network throughout the 
internet. A user's bitcoin wallet will either contain a copy of the 
blockchain or be able to connect with another computer that holds a 
copy of the blockchain. The innovative design of the Bitcoin Network 
protocol allows each Bitcoin user to trust that their copy of the 
Blockchain will generally be updated consistent with each other user's 
copy.
    When a Bitcoin user wishes to transfer bitcoin to another user, the 
sender must first request a Bitcoin address from the recipient. The 
sender then uses his or her Bitcoin wallet software to create a 
proposed transaction that is confirmed and settled when included in the 
Blockchain. The transaction would reduce the amount of bitcoin 
allocated to the sender's bitcoin address and increase the amount 
allocated to the recipient's bitcoin address, in each case by the 
amount of bitcoin desired to be transferred. The transaction is 
completely digital in nature, similar to a file on a computer, and it 
can be sent to other computers participating in the Bitcoin Network; 
however, the use of cryptographic verification is believed to prevent 
the ability to duplicate or counterfeit bitcoin.

Bitcoin Protocol

    The Bitcoin protocol is built using open-source software, meaning 
any developer can review the underlying code and suggest changes. There 
is no official company or group that is responsible for making 
modifications to Bitcoin. There are, however, a number of individual 
developers that regularly contribute to a specific distribution of 
Bitcoin software known as the ``Bitcoin Core,'' which is maintained in 
an open-source repository on the website Github. There are many other 
compatible versions of Bitcoin software, but Bitcoin Core provides the 
de-facto standard for the Bitcoin protocol, also known as the 
``reference software.'' The core developers for Bitcoin Core operate 
under a volunteer basis and without strict hierarchical administration.
    Significant changes to the Bitcoin protocol are typically 
accomplished through a so-called ``Bitcoin Improvement Proposal'' or 
``BIP.'' Such proposals are generally posted on websites, and the 
proposals explain technical requirements for the protocol change as 
well as reasons why the change should be accepted. Upon its inclusion 
in the most recent version of Bitcoin Core, a new BIP becomes part of 
the reference software's Bitcoin protocol. Several BIPs have been 
implemented since 2011 and have provided various new features and 
scaling improvements.
    Because Bitcoin has no central authority, updating the reference 
software's Bitcoin protocol will not immediately change the Bitcoin 
Network's operations. Instead, the implementation of a change is 
achieved by users and transaction validators (known as miners) 
downloading and running updated versions of Bitcoin Core or other 
Bitcoin software that abides by the new Bitcoin protocol. Users and 
miners must accept any changes made to the Bitcoin source code by 
downloading a version of their Bitcoin software that incorporates the 
proposed modification of the Bitcoin Network's source code. A 
modification of the Bitcoin Network's source code is only effective 
with respect to those Bitcoin users and miners who download it. If an 
incompatible modification is accepted by a less than overwhelming 
percentage of users and miners, a division in the Bitcoin Network will 
occur such that one network will run the pre-modification source code 
and the other network will run the modified source code. Such a 
division is known as a ``fork'' in the Bitcoin Network.
    Such a fork in the Bitcoin Network occurred on August 1, 2017, when 
a

[[Page 21107]]

group of developers and miners accepted certain changes to the Bitcoin 
Network software intended to increase transaction capacity. Blocks 
mined on this network now diverge from blocks mined on the Bitcoin 
Network, which has resulted in the creation of a new blockchain whose 
digital asset is referred to as ``bitcoin cash.'' Bitcoin and Bitcoin 
Cash now operate as separate, independent networks, and have distinct 
related assets (bitcoin and bitcoin cash). Additional forks have 
followed the Bitcoin Cash fork, including those for Bitcoin Gold and 
Bitcoin SegWit2X, in the months after the creation of Bitcoin Cash. It 
is possible that additional ``forks'' will occur in the future.

Bitcoin Transactions

    A bitcoin transaction is similar in concept to an irreversible 
digital check. The transaction contains the sender's bitcoin address, 
the recipient's bitcoin address, the amount of bitcoin to be sent, a 
transaction fee and the sender's digital signature. Bitcoin 
transactions are secured by cryptography known as public-private key 
cryptography, represented by the bitcoin addresses and digital 
signature in a transaction's data file. Each Bitcoin Network address, 
or ``wallet,'' is associated with a unique ``public key'' and ``private 
key'' pair, both of which are lengthy alphanumeric codes, derived 
together and possessing a unique relationship.
    The use of key pairs is a cornerstone of the Bitcoin Network 
technology. This is because the use of a private key is the only 
mechanism by which a bitcoin transaction can be signed. If a private 
key is lost, the corresponding bitcoin is thereafter permanently non-
transferable. Moreover, the theft of a private key provides the thief 
immediate and unfettered access to the corresponding bitcoin. Bitcoin 
users must therefore understand that in this regard, bitcoin is similar 
to cash: that is, the person or entity in control of the private key 
corresponding to a particular quantity of bitcoin has de facto control 
of the bitcoin. For large quantities of bitcoin, holders often embrace 
sophisticated security measures.
    The public key is visible to the public and analogous to the 
Bitcoin Network address. The private key is a secret and is used to 
digitally sign a transaction in a way that proves the transaction has 
been signed by the holder of the public-private key pair, without 
having to reveal the private key. A user's private key must be kept 
safe in accordance with appropriate controls and procedures to ensure 
it is used only for legitimate and intended transactions. If an 
unauthorized third person learns of a user's private key, that third 
person could apply the user's digital signature without authorization 
and send the user's bitcoin to their or another bitcoin address, 
thereby stealing the user's bitcoin. Similarly, if a user loses his 
private key and cannot restore such access (e.g., through a backup), 
the user may permanently lose access to the bitcoin associated with 
that private key and bitcoin address.
    To prevent the possibility of double-spending bitcoin, each 
validated transaction is recorded, time stamped and publicly displayed 
in a ``block'' in the Blockchain, which is publicly available. Thus, 
the Bitcoin Network provides confirmation against double-spending by 
memorializing every transaction in the Blockchain, which is publicly 
accessible and downloaded in part or in whole by all users of the 
Bitcoin Network software program. Any user may validate, through their 
Bitcoin wallet or a blockchain explorer, that each transaction in the 
Bitcoin Network was authorized by the holder of the applicable private 
key, and Bitcoin Network mining software consistent with reference 
software requirements validates each such transaction before including 
it in the Blockchain. This cryptographic security ensures that bitcoin 
transactions may not generally be counterfeited, although it does not 
protect against the ``real world'' theft or coercion of use of a 
Bitcoin user's private key, including the hacking of a Bitcoin user's 
computer or a service provider's systems.
    A Bitcoin transaction between two parties is recorded if such 
transaction is included in a valid block added to the Blockchain. A 
block is accepted as valid through consensus formation among Bitcoin 
Network participants. Validation of a block is achieved by confirming 
the cryptographic hash value included in the block's data and by the 
block's addition to the longest confirmed blockchain on the Bitcoin 
Network. For a transaction, inclusion in a block on the Blockchain 
constitutes a ``confirmation'' of validity. As each block contains a 
reference to the immediately preceding block, additional blocks 
appended to and incorporated into the Blockchain constitute additional 
confirmations of the transactions in such prior blocks, and a 
transaction included in a block for the first time is confirmed once 
against double-spending. This layered confirmation process makes 
changing historical blocks (and reversing transactions) exponentially 
more difficult the further back one goes in the Blockchain.
Bitcoin Mining--Creation of New Bitcoins
    The process by which bitcoin are created and bitcoin transactions 
are verified is called ``mining.'' To begin mining, a user, or miner, 
can download and run a mining ``client,'' which, like regular Bitcoin 
Network software programs, turns the user's computer into a ``node'' on 
the Bitcoin Network that validates blocks, and, in this case, gives 
such user the ability to validate transactions and add new blocks of 
transactions to the Blockchain.
    Miners, through the use of the bitcoin software program, engage in 
a set of prescribed complex mathematical calculations in order to 
verify transactions and compete for the right to add a block of 
verified transactions to the Blockchain and thereby confirm bitcoin 
transactions included in that block's data. The miner who successfully 
``solves'' the complex mathematical calculations has the right to add a 
block of transactions to the Blockchain and is then rewarded with new 
bitcoin, the amount of which is determined by the Bitcoin protocol, 
plus any transaction fees paid for the transactions included in such 
block.
    Confirmed and validated bitcoin transactions are recorded in blocks 
added to the Blockchain. Each block contains the details of some or all 
of the most recent transactions that are not memorialized in prior 
blocks, as well as a record of the award of bitcoin to the miner who 
added the new block. Each unique block can only be solved and added to 
the Blockchain by one miner; therefore, all individual miners and 
mining pools on the Bitcoin Network are engaged in a competitive 
process of constantly increasing their computing power to improve their 
likelihood of solving for new blocks. As more miners join the Bitcoin 
Network and its processing power increases, the Bitcoin Network adjusts 
the complexity of the block-solving equation to maintain a 
predetermined pace of adding a new block to the Blockchain 
approximately every ten minutes.
Mathematically Controlled Supply
    The method for creating new bitcoin is mathematically controlled in 
a manner so that the supply of bitcoin grows at a limited rate pursuant 
to a pre-set schedule. The number of bitcoin awarded for solving a new 
block is automatically halved every 210,000 blocks. Thus, the current 
fixed reward for solving a new block is 6.25 bitcoin per block; the 
reward decreased from 25 bitcoin in July 2016 and 12.5 in May 2020. It 
is estimated to halve again in

[[Page 21108]]

April or May of 2024. This deliberately controlled rate of bitcoin 
creation means that the number of bitcoin in existence will never 
exceed 21 million and that bitcoin cannot be devalued through excessive 
production unless the Bitcoin Network's source code (and the underlying 
protocol for bitcoin issuance) is altered. As of November 2023, 
approximately 19.5 million bitcoin are outstanding. The date when the 
21 million bitcoin limitation will be reached is estimated to be the 
year 2140.
Bitcoin Market and Bitcoin Trading Platforms
    In addition to using bitcoin to engage in transactions, investors 
may purchase and sell bitcoin to speculate as to the value of bitcoin 
in the bitcoin market, or as a long-term investment to diversify their 
portfolio. The value of bitcoin within the market is determined, in 
part, by: (i) the supply of and demand for bitcoin in the bitcoin 
market; (ii) market expectations for the expansion of investor interest 
in bitcoin and the adoption of bitcoin by individuals; (iii), the 
number of merchants that accept bitcoin as a form of payment; and (iv) 
the volume of private end-user-to-end-user transactions.
    Although the value of bitcoin is determined by the value that two 
transacting market participants place on bitcoin through their 
transaction, the most common means of determining a reference value is 
by surveying one or more trading platforms where secondary markets for 
bitcoin exist. The most prominent digital asset trading platforms 
neither report trade information nor are they regulated in the same way 
as a national securities exchange. As such, there is some difference in 
the form, transparency, and reliability of trading data from digital 
asset trading platforms. Generally speaking, bitcoin data is available 
from these trading platforms with publicly disclosed valuations for 
each executed trade, measured by one or more fiat currencies such as 
the U.S. dollar or Euro or another digital asset such as ether. OTC 
dealers or market makers do not typically disclose their trade data.
    Currently, there are many digital asset trading platforms operating 
worldwide and trading platforms represent a substantial percentage of 
bitcoin buying and selling activity and, therefore, provide large data 
sets for market valuation of bitcoin. A digital asset trading platform 
provides investors with a way to purchase and sell bitcoin, similar to 
stock exchanges like the New York Stock Exchange or Nasdaq, which 
provide ways for investors to buy stocks and bonds in the ``secondary 
market.'' Unlike stock exchanges, which are regulated to monitor 
securities trading activity, digital asset trading platforms are 
largely regulated as money services businesses (or a foreign regulatory 
equivalent) and are required to monitor for and detect money-laundering 
and other illicit financing activities that may take place on the 
platform. Digital asset trading platforms operate websites designed to 
permit investors to open accounts with the trading platform and then 
purchase and sell bitcoin.
    As with conventional stock exchanges, an investor opening a trading 
account and wishing to transact at a digital asset trading platform 
must deposit an accepted government-issued currency into their account, 
or a previously acquired digital asset. The process of establishing an 
account with a digital asset trading platform and trading bitcoin is 
different from, and should not be confused with, the process of users 
sending bitcoin from one bitcoin address to another bitcoin address, 
such as to pay for goods and services. This latter process is an 
activity that occurs wholly within the confines of the Bitcoin network, 
while the former is an activity that occurs largely on private websites 
and databases owned by the digital asset trading platform.
Overview of Commodity Futures Markets and Carbon Markets
Futures Markets
    According to the Registration Statement, the Fund will purchase 
futures contracts or gain exposure to futures contracts through swap 
agreements. A futures contract is a standardized contract traded on, or 
subject to the rules of, an exchange that calls for the future delivery 
of a specified quantity and type of a particular underlying asset at a 
specified time and place or alternatively may call for cash settlement. 
Futures contracts are traded on a wide variety of underlying assets, 
including bonds, interest rates, agricultural products, stock indexes, 
currencies, energy, metals, economic indicators and statistical 
measures. The notional size and calendar term futures contracts on a 
particular underlying asset are identical and are not subject to any 
negotiation, other than with respect to price and the number of 
contracts traded between the buyer and seller.
    Certain futures contracts settle in cash. The cash settlement 
amount reflects the difference between the contract purchase/sale price 
and the contract settlement price. The cash settlement mechanism avoids 
the potential for either side to have to deliver the underlying asset. 
For other futures contracts, the contractual obligations of a buyer or 
seller may generally be satisfied by taking or making physical delivery 
of the underlying asset 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 
and exchange fees, constitutes the profit or loss to the trader.
    Futures contracts involve, to varying degrees, elements of market 
risk. Additional risks associated with the use of futures contracts are 
imperfect correlation between movements in the price of the futures 
contracts and the level of the underlying benchmark and the possibility 
of an illiquid market for a futures contract. With futures contracts, 
there is minimal but some counterparty risk to a fund since futures 
contracts are exchange traded and the exchange's clearing house, as 
counterparty to all exchange-traded futures contracts, effectively 
guarantees futures contracts against default. Many futures exchanges 
and boards of trade limit the amount of fluctuation permitted in 
futures contract prices during a single trading day. Once the daily 
limit has been reached in a particular contract, no trades may be made 
that day at a price beyond that limit or trading may be suspended for 
specified times during the trading day. Futures contracts prices could 
move to the limit for several consecutive trading days with little or 
no trading, thereby preventing prompt liquidation of futures positions.
Carbon Markets
    Carbon markets are designed to reduce GHG emissions and promote 
sustainable development by putting a price on carbon. Carbon markets 
are markets where GHG emissions are commodified as a tradable unit 
either as an emission allowance in government compliance markets or as 
a verified emission reduction/removal credit in voluntary markets. 
There are two types of instruments that are traded in carbon markets: 
carbon credits (sometimes called ``allowances'') and carbon offsets. 
The two main types of carbon markets are compliance carbon markets 
(``CCMs'') and voluntary carbon markets (``VCMs'').
    CCMs are established by governments and operate under a cap-and-
trade system. Cap-and-trade regimes set

[[Page 21109]]

emission limits (i.e., the right to emit a certain quantity of GHG 
emissions), which can be allocated or auctioned to the parties in the 
mechanism up to the total emissions cap. In these types of markets, a 
regulator will define an allowed maximum level of GHG emissions (the 
``Cap'') for a certain group of entities (e.g., countries, companies, 
or facilities). The Cap is then subdivided into distinct emission 
allowances, which are distributed by regulated entities. To stay in 
compliance with the regulator, the covered entities need to submit one 
allowance for each ton of carbon dioxide equivalent emitted during a 
compliance period (usually a year). The initial allocation of 
allowances to covered entities can be free of charge, partially free, 
and/or sold at auction by the regulator.
    In a VCM, often referred to as a ``baseline-and-credit'' system, a 
variety of private organization allows individuals or businesses to 
purchase offsets from emission reduction or removal projects. In these 
markets, the private organization defines how emission (reduction or 
removal) credits can be generated by activities/projects that reduce or 
remove GHG emissions from the atmosphere compared to a reference 
scenario (baseline) that reflects the counterfactual situation without 
such activities. The difference between the baseline emissions and the 
emissions of the activity determines how many credits can be issued. To 
generate emission credits, verification of the reduction/removal by an 
officially recognized institution (a verifier) is necessary to 
calculate the reduction/removal of emissions into its CO2 
equivalent (``CO2e''). The carbon credit represents one metric-ton of 
CO2e and can then be used as offsets against mandatory or voluntary GHG 
emission targets or other policy instruments aiming at GHG mitigation.
    Carbon Credit Futures are an expansion of the carbon market. Carbon 
Credit Futures are credit instruments where the buyer seeks to have 
exposure to CCMs or VCM carbon offset projects, but without directly 
buying or selling allowances or investing in any projects.
The Index
    The Index is designed to track the performance of investing in a 
portfolio comprised of 80% bitcoin and 20% Carbon Credit Futures, which 
are linked to the value of emissions allowances issued under the 
following cap-and-trade regimes: the European Union Emissions Trading 
System, the California Carbon Allowance, and Regional Greenhouse Gas 
Initiative. The purpose of the Index is to obtain exposure to bitcoin 
with an environmentally responsible approach by offsetting carbon 
emissions. Because the Fund's investment objective is to track the 
daily changes of the price of bitcoin and Carbon Credit Futures, 
changes in the price of the Shares will vary from changes in the spot 
price of bitcoin, carbon credits, and Carbon Credit Futures 
individually.
    Invierno AB (``Vinter'') administers and calculates the bitcoin 
portion of the Index. According to the Sponsor, Vinter is a trusted 
index provider with experience constructing and maintaining indexes 
relied upon by banks and exchange-traded products. Vinter is a 
registered benchmark administrator governed by the European Benchmarks 
Regulation (2016/1011) and included in the European Securities and 
Markets Authority's register over benchmark administrators.
    To calculate the value of bitcoin, Vinter selects what it considers 
to be reputable bitcoin trading platforms and takes the last price on 
each trading platform. Vinter then takes the median price across these 
trading platforms and calculates the average price during the selected 
time window to determine the value of bitcoin at 4:00 p.m. Eastern Time 
(``E.T.'').
    The Carbon Credit Futures component of the Index is calculated by 
Solactive and built with a combination of three carbon credit indices, 
each of which is calculated and administered by a third party: (i) 
Solactive Carbon European Union Allowance Futures ER Index (SOCARBN), 
which tracks EU ETS futures; (ii) Solactive California Carbon Rolling 
Futures ER Index (SOCCAER), which tracks CCA futures; and (iii) an 
index that tracks RGGI futures. The weights of the components are 
adjusted once per year (in November) and the weights are proportional 
to the trading volume over the last six months. The combination of 
exposure to the three underlying indices provides the Index with 
returns tied to futures contracts on carbon credits connected to EU 
ETS, CCA, and RGGI. The value of the Carbon Credit Futures that 
comprise the Index will be based on market prices. The Index includes 
only Carbon Credit Futures that mature in December of the next one to 
two years.
    Vinter is the benchmark administrator for the bitcoin portion of 
the Index. As benchmark administrator for the bitcoin portion of the 
Index, Vinter is the central recipient of input data and evaluates the 
integrity and accuracy of input data on a consistent basis. Solactive 
is the benchmark administrator for the Carbon Credit Futures portion of 
the Index. Solactive calculates the value of the Carbon Credit Futures 
portion of the Index and the value of the overall Index.
    The Index is rebalanced quarterly, starting at the end of January. 
After a rebalance, the portfolio is updated so that its current weights 
per asset equal the rebalancing weights per asset.
Valuation of Bitcoin
    The Fund uses the same methodology that the Index does to determine 
the value of bitcoin for purposes of calculating the NAV of the Fund. 
The Index requires each digital asset trading platform used to 
calculate the price of bitcoin to meet each of the following criteria:
     Operating history as a digital asset trading platform for 
a minimum of two years;
     Implemented trading, deposits, and withdrawal fees for a 
minimum of one month without interruption;
     Met a minimum monthly volume threshold of $30 million with 
respect to total trading volume;
     Provided reliable, continuous, and valid market data for a 
minimum of one month;
     Offered the possibility to withdraw and deposit for a 
minimum of one month, settling in two to seven business days;
     Chosen a jurisdiction of incorporation that offers 
sufficient investor protection, such as Financial Action Task Force 
(``FATF''), FATF-style regional bodies (``FSRBs''), or Moneyval member 
states;
     Complied with relevant anti-money laundering and know-
your-customer regulations;
     Cooperated with requests from Vinter and relevant 
regulatory bodies;
     Has not been domiciled in a jurisdiction subject to EU 
restrictive measures (sanctions);
     Provided information concerning ownership and corporate 
structure; and
     Has not been declared unlawful by any governmental 
authority or agency with jurisdiction over the exchange.
    Digital asset trading platforms meeting these criteria are used to 
calculate the price of the bitcoin portion of the Index (the ``Index 
Pricing Sources''). The selection of Index Pricing Sources may evolve 
from time to time, and Vinter may make changes to the eligibility 
requirements. As of the date of this prospectus, the following digital 
asset trading platforms are used to calculate the Index price: Kraken, 
Coinbase, Bitstamp, Itbit, Gemini, Gate.io, and Crypto.com.
Custody of the Fund's Assets
    The Bitcoin Custodian will establish accounts that hold the 
bitcoins

[[Page 21110]]

deposited with the Bitcoin Custodian on behalf of the Fund, pursuant to 
the agreement between the Trust, on behalf of the Fund, and the Bitcoin 
Custodian (the ``Bitcoin Custody Agreement''). The Non-Digital 
Custodian will custody the Fund's investments in cash and cash 
equivalents required as part of the Fund's swap agreements that provide 
exposure to the returns of the Carbon Credit Futures portion of the 
Index.
    With respect to the settlement of Shares in response to the 
placement of creation orders and redemption orders from Authorized 
Purchasers (as defined below), the Sponsor will retain discretion with 
respect to which of the Custodians and accompanying assets is selected 
to facilitate the respective order.
    The Sponsor will maintain ownership and control of bitcoin in a 
manner consistent with good delivery requirements for spot commodity 
transactions.
Custody of Bitcoin
    The Fund is responsible for acquiring bitcoin from a ``Bitcoin 
Trading Counterparty.'' \9\ Once the bitcoin has been transferred to 
the Bitcoin Custodian, it will be stored pursuant to the terms of the 
Bitcoin Custody Agreement.
---------------------------------------------------------------------------

    \9\ Each Bitcoin Trading Counterparty must be approved by the 
Sponsor on behalf of the Fund before the Fund may engage in 
transactions with the entity. The Sponsor continuously reviews all 
approved Bitcoin Trading Counterparties and will reject the approval 
of any previously approved Bitcoin Trading Counterparty if new 
information arises regarding the entity that puts the 
appropriateness of that entity as an approved Bitcoin Trading 
Counterparty in doubt. The Bitcoin Trading Counterparties with which 
the Sponsor will engage in bitcoin transactions are unaffiliated 
third parties of the Trust and Sponsor and are not acting as agents 
of the Trust, the Sponsor, or any Authorized Purchaser (as defined 
below), and all transactions will be done on an arms-length basis. 
There is no contractual relationship between each Bitcoin Trading 
Counterparty and the Trust, the Sponsor, or any Authorized 
Purchaser. When seeking to purchase bitcoin on behalf of the Fund, 
the Sponsor will seek to purchase bitcoin at commercially reasonable 
prices and terms from any of the approved Bitcoin Trading 
Counterparties. Once agreed upon, the transaction will generally 
occur on an ``over-the-counter'' basis.
---------------------------------------------------------------------------

    Bitcoin private keys are stored in two different forms: ``hot'' 
storage, whereby the private keys are stored on secure, internet-
connected devices, and ``cold'' storage, where digital currency private 
keys are stored completely offline. The Bitcoin Custody Agreement 
requires the Bitcoin Custodian to hold the Fund's bitcoin in cold 
storage, unless required to facilitate withdrawals as a temporary 
measure. The Bitcoin Custodian will use segregated cold storage bitcoin 
addresses for the Fund which are separate from the bitcoin addresses 
that the Bitcoin Custodian uses for its other customers and which are 
directly verifiable via the Bitcoin Blockchain. The Bitcoin Custodian 
will at all times record and identify in its books and records that 
such bitcoins constitute the property of the Fund. The Bitcoin 
Custodian will not withdraw the Fund's bitcoin from the Fund's account 
with the Bitcoin Custodian, or loan, hypothecate, pledge or otherwise 
encumber the Fund's bitcoin, without the Fund's instruction.
    The Sponsor has evaluated the Bitcoin Custodian's policies, 
procedures, and controls for safekeeping, exclusively possessing, and 
controlling the Fund's bitcoin holdings and believes these are designed 
consistent with accepted industry practices to protect against theft, 
loss, and unauthorized and accidental use of the private keys.
Net Asset Value
    According to the Registration Statement, the Fund's NAV per Share 
is 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 
trading day as of the earlier of the close of trading on the Exchange 
or 4:00 p.m. E.T. The NAV for a normal trading day will be released 
after 4:00 p.m. E.T.
    In determining the NAV of the Fund, the Administrator values the 
bitcoin held by the Fund based on the methodology used by the Index, 
unless otherwise determined by the Sponsor in its sole discretion. If 
the Index is not available or the Sponsor in its sole discretion 
determines that the price of bitcoin determined by the Index should not 
be used, the Fund's holdings may be fair valued in accordance with the 
policy approved by the Sponsor.\10\ For purposes of determining the NAV 
of the Fund, swap agreements held by the Fund will be fair valued in 
accordance with the policy approved by the Sponsor, and futures 
contracts held by the Fund will be valued based on market price as of 
the time the NAV is calculated on each trading day.
---------------------------------------------------------------------------

    \10\ The Sponsor does not anticipate that the need to ``fair 
value'' bitcoin will be a common occurrence.
---------------------------------------------------------------------------

Intraday Indicative Value
    According to the Registration Statement, in order to provide 
updated information relating to the Fund for use by shareholders and 
market professionals, an updated intraday indicative value (``IIV'') 
will be calculated and disseminated throughout the core trading session 
on each trading day. The IIV 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 price level of the Fund's assets.
    The IIV disseminated during the Exchange's core trading session 
should not be viewed as an actual real time update of the NAV, because 
NAV per Share is calculated only once at the end of each trading day 
based upon the relevant end of day values of the Fund's investments. 
The IIV 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 Exchange's Core 
Trading Session.\11\
---------------------------------------------------------------------------

    \11\ Several major market data vendors display and/or make 
widely available IIVs taken from the Consolidated Tape Association 
(``CTA'') or other data feeds.
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Creation and Redemption of Shares
    According to the Registration Statement, when the Fund creates or 
redeems its Shares, it will do so only in ``Baskets'' (blocks of 10,000 
Shares) based on the NAV per Share. ``Authorized Purchasers'' are the 
only persons that may place orders to create and redeem Baskets. 
Authorized Purchasers must be (1) registered broker-dealers or other 
securities market participants, such as banks and other financial 
institutions, that are not required to register as broker-dealers to 
engage in securities transactions described below, and (2) Depository 
Trust Company (``DTC'') participants.
    To become an Authorized Purchaser, a person must enter into an 
Authorized Purchaser Agreement. The Authorized Purchaser Agreement 
provides the procedures for the creation and redemption of Baskets and 
for the delivery of the cash or Shares required for such creation and 
redemptions.
    The ``Basket Price'' for the creation or redemption of Baskets is 
the NAV per Share (net of accrued but unpaid expenses and liabilities) 
multiplied by the number of Shares comprising a Basket. The Basket 
Price required to create each Basket changes from day to day. On each 
day that the Exchange is open for regular trading, the Administrator 
adjusts the Basket Price as appropriate to reflect accrued expenses and 
any loss in value of the assets that may occur. The computation is made 
by the Administrator each business day, prior to the commencement of 
trading on the

[[Page 21111]]

Exchange. The Basket Price so determined is communicated to all 
Authorized Purchasers and made available on the Fund's website for the 
Shares.
    The Authorized Purchasers will deliver only cash to create Shares 
and will receive only cash when redeeming Shares. Further, Authorized 
Purchasers will not directly or indirectly purchase, hold, deliver, or 
receive bitcoin as part of the creation or redemption process or 
otherwise direct the Fund or a third party with respect to purchasing, 
holding, delivering, or receiving bitcoin as part of the creation or 
redemption process.
    The Fund will create shares by receiving bitcoin from a third party 
that is not the Authorized Purchaser and the Fund--not the Authorized 
Purchaser--is responsible for selecting the third party to deliver the 
bitcoin. Further, the third party will not be acting as an agent of the 
Authorized Purchaser with respect to the delivery of the bitcoin to the 
Fund or acting at the direction of the Authorized Purchaser with 
respect to the delivery of the bitcoin to the Fund. The Fund will 
redeem shares by delivering bitcoin to a third party that is not the 
Authorized Purchaser and the Fund--not the Authorized Purchaser--is 
responsible for selecting the third party to receive the bitcoin. 
Further, the third party will not be acting as an agent of the 
Authorized Purchaser with respect to the receipt of the bitcoin from 
the Fund or acting at the direction of the Authorized Purchaser with 
respect to the receipt of the bitcoin from the Fund.
Creation Procedures
    According to the Registration Statement, on any Business Day,\12\ 
an Authorized Purchaser may create Shares by placing an order to 
purchase one or more Baskets with the transfer agent (``Transfer 
Agent'') through the marketing agent (``Marketing Agent'') in exchange 
for cash (a ``Purchase Order''). Purchase Orders must be placed by 2:00 
p.m. E.T., or the close of regular trading on the Exchange, whichever 
is earlier, or an earlier time as determined and communicated by the 
Sponsor and its agent. The day on which a Purchase Order is accepted by 
the Transfer Agent is considered the ``Purchase Order Date.''
---------------------------------------------------------------------------

    \12\ For purposes of processing creation and redemption orders, 
a ``Business Day'' means any day other than a day when the Exchange 
is closed for regular trading.
---------------------------------------------------------------------------

    By placing a Purchase Order, an Authorized Purchaser agrees to 
deposit cash as determined by the Sponsor with the Fund's Non-Digital 
Custodian. The total deposit required to create each basket will be an 
amount of 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 date the Purchase Order is properly received as the 
number of Shares to be created under the Purchase Order is in 
proportion to the total number of Shares outstanding on the date the 
Purchase Order is received. The Sponsor, through the Transfer Agent, 
shall notify the Authorized Purchaser of the amount of cash to be 
included in deposits to create Baskets by email or telephone 
correspondence and such amount will be available via the Fund's 
website.
    An Authorized Purchaser who places a Purchase Order is responsible 
for transferring to the Fund's account with the Non-Digital Custodian 
the required amount of cash by the end of the next Business Day 
following the Purchase Order Date or as agreed to by the Authorized 
Purchaser, Sponsor, Marketing Agent, and Transfer Agent in advance of 
when the Purchase Order is placed. Upon receipt of the deposit amount, 
the Administrator will cause DTC to credit the number of Baskets 
ordered to the Authorized Purchaser's DTC account.
Redemption Procedures
    On any business day, an Authorized Purchaser may place an order 
with the Transfer Agent to redeem one or more Baskets (a ``Redemption 
Order''). Redemption Orders must be placed by 2:00 p.m. E.T., or the 
close of regular trading on the Exchange, whichever is earlier. A 
Redemption Order will be effective on the date it is accepted by the 
Transfer Agent (``Redemption Order Date'').
    By placing a Redemption Order, an Authorized Purchaser agrees to 
deliver the Redemption Basket to be redeemed through DTC's book-entry 
system to the Fund's account with the Non-Digital Custodian not later 
than the end of the next Business Day following the effective date of 
the Redemption Order (``Redemption Distribution Date'') or the end of 
such later Business Day as agreed to by the Authorized Purchaser and 
the Transfer Agent in advance of when the Redemption Order is placed. 
Failure to consummate such delivery shall result in the cancellation of 
the order.
    The redemption distribution due from the Fund is delivered to the 
Authorized Purchaser on the Redemption Distribution Date if the Fund's 
DTC account has been credited with the Baskets to be redeemed pursuant 
to the terms of the Authorized Purchaser Agreement.
Standard for Approval
    On January 10, 2024, the Commission approved the listing and 
trading of shares of Grayscale Bitcoin Trust (BTC) and Bitwise Bitcoin 
ETF under NYSE Arca Rule 8.201-E (Commodity-Based Trust Shares); the 
Hashdex Bitcoin ETF under NYSE Arca Rule 8.500-E (Trust Units); the 
iShares Bitcoin Trust and Valkyrie Bitcoin Fund under Nasdaq Rule 
5711(d) (Commodity-Based Trust Shares); and the ARK 21Shares Bitcoin 
ETF, Invesco Galaxy Bitcoin ETF, VanEck Bitcoin Trust, the WisdomTree 
Bitcoin Fund, Fidelity Wise Origin Bitcoin Fund, and Franklin Bitcoin 
ETF under BZX Rule 14.11(e)(4) (Commodity-Based Trust Shares) 
(collectively, the ``Bitcoin ETPs'').\13\ In the Bitcoin ETP Approval 
Order, the Commission found that the proposed rule changes to list the 
Bitcoin ETPs demonstrated that there were ``sufficient `other means' of 
preventing fraud and manipulation,'' including that:
---------------------------------------------------------------------------

    \13\ Securities Exchange Act Release No. 34-99306 (January 10, 
2024), 89 FR 3008 (January 17, 2024) (SR-NYSEARCA-2021-90; SR-
NYSEARCA-2023-44; SRNYSEARCA-2023-58; SR-NASDAQ-2023-016; SR-NASDAQ-
2023-019; SR-CboeBZX-2023028; SR-CboeBZX-2023-038; SR-CboeBZX-2023-
040; SR-CboeBZX-2023-042; SRCboeBZX-2023-044; SR-CboeBZX-2023-072) 
(Order Granting Accelerated Approval of Proposed Rule Changes, as 
Modified by Amendments Thereto, to List and Trade Bitcoin-Based 
Commodity-Based Trust Shares and Trust Units) (the ``Bitcoin ETP 
Approval Order'').

    [B]ased on the record before the Commission and the improved 
quality of the correlation analysis in the record, including the 
Commission's own analysis, the Commission is able to conclude that 
fraud or manipulation that impacts prices in spot bitcoin markets 
would likely similarly impact CME bitcoin futures prices. And 
because the CME's surveillance can assist in detecting those impacts 
on CME bitcoin futures prices, the Exchanges' comprehensive 
surveillance-sharing agreement with the CME--a U.S. regulated market 
whose bitcoin futures market is consistently highly correlated to 
spot bitcoin, albeit not of ``significant size'' related to spot 
bitcoin--can be reasonably expected to assist in surveilling for 
fraudulent and manipulative acts and practices in the specific 
context of the [Bitcoin ETPs].\14\
---------------------------------------------------------------------------

    \14\ Bitcoin ETP Approval Order, 89 FR at 3009-11.

    The Fund is structured and will operate in a manner materially the 
same as the Bitcoin ETPs. With respect to the Fund's bitcoin holdings, 
the Sponsor believes that the Exchange's ability to obtain information 
regarding trading in bitcoin futures from the CME, which, like the 
Exchange, is a member of the Intermarket Surveillance Group (``ISG''), 
would assist the Exchange in detecting potential fraud or manipulation 
with respect to trading in the Shares. In

[[Page 21112]]

addition, with respect to the Fund's Carbon Credit Futures holdings, 
the Sponsor believes that the Exchange would be able to obtain 
information regarding trading in Carbon Credit Futures that would 
similarly assist in surveilling for potential fraud or manipulation. EU 
ETS futures trade on ICE Endex Markets B.V. (``ICE Endex''),\15\ with 
which the Exchange has entered into a comprehensive surveillance 
sharing agreement (``CSSA''). CCA futures and RGGI futures are traded 
on ICE Futures U.S.,\16\ which, like the Exchange, is a member of the 
ISG. Accordingly, the Sponsor believes that the Exchange's ability to 
share information with ICE Endex and ICE Futures U.S., pursuant to a 
CSSA or common ISG membership, would assist in surveilling for 
fraudulent and manipulative acts and practices. The Sponsor thus 
believes that, for reasons similar to those set forth in the Bitcoin 
ETP Approval Order, listing and trading Shares of the Fund would be 
consistent with the requirements of the Act.
---------------------------------------------------------------------------

    \15\ ICE Endex is regulated in the Netherlands by the Dutch 
Authority for the Financial Markets (``AFM'') as a RM, as defined in 
MIFID II, which is implemented in Dutch Act on Financial Supervision 
(``DFSA''). The license as a RM is obtained under Section 5:26(1) of 
the DFSA, resulting in an authorization by the Minister of Dutch 
Ministry of Finance to operate a RM and supervised by the AFM. In 
the UK, ICE Endex is a Recognized Overseas Investment Exchange by 
the Financial Conduct Authority. See https://www.ice.com/endex/
regulation#:~:text=The%20 Dutch%20Authority%20for%20Consumers,energy 
%20industry%20and%20wholesale%20trading. ICE Endex is also 
recognized by the CFTC as an authorized Foreign Board of Trade. See 
https://www.cftc.gov/sites/default/files/idc/groups/public/@otherif/documents/ifdocs/orgiceeregorder170110.pdf.
    \16\ ICE Futures U.S. is a registered Designated Contract Market 
regulated by the CFTC and subject to the requirements of the 
Commodity Exchange Act (``CEA''), as amended, and the regulations 
issues by the CFTC pursuant to the CEA. See https://www.ice.com/futures-us.
---------------------------------------------------------------------------

Availability of Information
    The NAV per Share will be disseminated daily to all market 
participants at the same time. Quotation and last-sale information 
regarding the Shares will be disseminated through the facilities of the 
CTA. The IIV will be calculated every 15 seconds throughout the core 
trading session each trading day.
    Quotation and last sale information for bitcoin will be widely 
disseminated through a variety of major market data vendors, including 
Bloomberg and Reuters. In addition, real-time price (and volume) data 
for bitcoin is available by subscription from Reuters and Bloomberg. 
The spot price of bitcoin is available on a 24-hour basis from major 
market data vendors, including Bloomberg and Reuters. The real-time 
version of the value of the Index will be disseminated once every 15 
seconds during the Core Trading Session. Information relating to 
trading, including price and volume information, in bitcoin will be 
available from major market data vendors and from the trading platforms 
on which bitcoin is traded.
    The intraday, closing prices, and settlement prices of the Carbon 
Credit Futures will be readily available from automated quotation 
systems, published or other public sources, or major market data 
vendors. Information regarding market price and trading volume of the 
Shares will be continually available on a real-time basis throughout 
the day on brokers' computer screens and other electronic services. 
Information regarding the previous day's closing price and trading 
volume information for the Shares will be published daily in the 
financial section of newspapers.
    Real-time data for Carbon Credit Futures will be available by 
subscription through on-line information services. Delayed futures and 
options on futures information on current and past trading sessions and 
market news will also be available. The specific contract 
specifications for Carbon Credit Futures will also be available on such 
websites, as well as other financial informational sources.
    On each business day, the Sponsor will publish the value of the 
Index, the Fund's NAV, and the NAV per Share on the Fund's website as 
soon as practicable after its determination. If the NAV and NAV per 
Share have been calculated using a price per bitcoin other than the 
price of bitcoin determined by the Index, the publication on the Fund's 
website will note the valuation methodology used and the price per 
bitcoin resulting from such calculation.
    The Fund will provide website disclosure of its NAV and NAV per 
Share daily. The website disclosure of the Fund's NAV and NAV per Share 
will occur at the same time as the disclosure by the Sponsor of the NAV 
and NAV per Share to Authorized Purchasers so that all market 
participants are provided such portfolio information at the same time. 
Therefore, the same portfolio information will be provided on the 
public website as well as in electronic files provided to Authorized 
Purchasers. Accordingly, each investor will have access to the current 
NAV and NAV per Share of the Fund through the Fund's website, as well 
as from one or more major market data vendors.
    The value of the Index, as well as additional information regarding 
the Index, will be available on a continuous basis on the Fund's 
website.
    Information regarding market price and trading volume of the Shares 
will be continually available on a real-time basis throughout the day 
on brokers' computer screens and other electronic services.
    Information regarding the previous day's closing price and trading 
volume information for the Shares will be published daily in the 
financial section of newspapers.
    The Sponsor will cause information about the Shares to be posted to 
the Fund's website: (1) the NAV and NAV per Share for each Exchange 
trading day, posted at end of day; (2) the daily holdings of the Fund, 
before 9:30 a.m. E.T. on each Exchange trading day; (3) the Fund's 
effective prospectus, in a form available for download; and (4) the 
Shares' ticker and CUSIP information, along with additional 
quantitative information updated on a daily basis for the Fund. The 
Fund's website will include (1) the prior Business Day's trading 
volume, 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 (``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 the 
Fund's holdings, (ii) the counterparty to and value of swaps, forward 
contracts, and any other financial instruments tracking the Index, and 
(iii) the total cash and cash equivalents held in the Fund's portfolio, 
if applicable.
    The Fund's website will be publicly available prior to the public 
offering of 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.\17\ 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

[[Page 21113]]

Exchange, make trading in the Shares inadvisable.
---------------------------------------------------------------------------

    \17\ See NYSE Arca Rule 7.12-E.
---------------------------------------------------------------------------

    The Exchange may halt trading during the day in which an 
interruption to the dissemination of the IIV or the value of the Index 
occurs. The real-time version of the value of the Index will be 
disseminated once every 15 seconds during the Core Trading Session. If 
the interruption to the dissemination of the IIV or to 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 4:00 a.m. to 8:00 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 8.500-E. The trading of the Shares will 
be subject to NYSE Arca Rule 8.500-E(f), which sets forth certain 
restrictions on Equity Trading Permit Holders (``ETP Holders'') acting 
as registered market makers in Trust Units to facilitate surveillance. 
Pursuant to NYSE Arca Rule 8.500-E(f), an ETP Holder acting as a 
registered market maker in Trust Units must file with the Exchange in a 
manner prescribed by the Exchange and keep current a list identifying 
all accounts for trading in an underlying commodity, related commodity 
futures or options on commodity futures, or any other related commodity 
derivatives, which the market maker may have or over which it may 
exercise investment discretion. No market maker shall trade in an 
underlying commodity, related commodity futures or options on commodity 
futures, or any other related commodity derivatives, in an account in 
which a market maker, directly or indirectly, controls trading 
activities, or has a direct interest in the profits or losses thereof, 
which has not been reported to the Exchange as required by this Rule. 
In addition to the existing obligations under Exchange rules regarding 
the production of books and records, the ETP Holder acting as a market 
maker in Trust Units shall make available to the Exchange such books, 
records or other information pertaining to transactions by such entity 
or registered or non-registered employee affiliated with such entity 
for its or their own accounts for trading the underlying physical 
commodity, related commodity futures or options on commodity futures, 
or any other related commodity derivatives, as may be requested by the 
Exchange.
    For initial and continued listing as proposed herein, the Fund will 
be in compliance with Rule 10A-3 under the Act, and the Trust will rely 
on the exception contained in Rule 10A-3(c)(7).\18\ A minimum of 50,000 
Shares of the Fund will be outstanding at the commencement of trading 
on the Exchange.
---------------------------------------------------------------------------

    \18\ 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).
---------------------------------------------------------------------------

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 FINRA 
on behalf of the Exchange, which are designed to detect violations of 
Exchange rules and applicable federal securities laws.\19\ 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.
---------------------------------------------------------------------------

    \19\ 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 Fund's 
holdings 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 
Fund's holdings from such markets and other entities. In addition, the 
Exchange may obtain information regarding trading in the Shares and the 
Fund's holdings from markets and other entities that are members of ISG 
\20\ or with which the Exchange has in place a CSSA. Specifically, the 
Exchange or FINRA, on behalf of the Exchange, may communicate as needed 
and may obtain information regarding trading in bitcoin futures from 
the CME, which is a member of the ISG. Also, the Exchange or FINRA, on 
behalf of the Exchange, may communicate as needed and may obtain 
information regarding trading in Carbon Credit Futures from ICE Endex, 
with which the Exchange has in place a CSSA, and ICE Futures U.S., 
which is a member of the ISG.
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    \20\ 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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    The Exchange believes that ICE Endex and ICE Futures U.S. are 
regulated \21\ markets of significant size related to the Carbon Credit 
Futures held by the Fund and that it is reasonably likely that any bad 
actor trying to manipulate the price of the Fund would have to trade on 
those markets. As noted above, the EU ETS futures held by the Fund 
trade on ICE Endex, and CCA futures and RGGI futures held by the Fund 
are traded on ICE Futures U.S. Therefore, ICE Endex and ICE Futures 
U.S. are appropriate markets to surveil in order to detect and deter 
fraud and manipulation.
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    \21\ See notes 15 & 16, supra.
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    The Exchange is also able to obtain information regarding trading 
in the Shares, the underlying bitcoin, Carbon Credit Futures, bitcoin 
futures contracts, options on bitcoin futures, or any other bitcoin 
derivative 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 
U.S. futures exchanges, which are members of the

[[Page 21114]]

ISG. In addition, the Exchange also has a general policy prohibiting 
the distribution of material, non-public information by its employees.
    Under NYSE Arca Rule 8.500-E(f), an ETP Holder acting as a 
registered market maker in the Shares is required to provide the 
Exchange with information relating to its accounts for trading in the 
underlying physical commodity, related commodity futures or options on 
commodity futures, or any other related commodity derivatives, and must 
provide any information concerning trading in those accounts that the 
Exchange may request. Commentary .04 of NYSE Arca Rule 11.3-E requires 
an ETP Holder acting as a registered market maker, and its affiliates, 
in the Shares to establish, maintain and enforce written policies and 
procedures reasonably designed to prevent the misuse of any material 
nonpublic information with respect to such products, any components of 
the related products, any physical asset or commodity underlying the 
product, applicable currencies, underlying indexes, related futures or 
options on futures, and any related derivative instruments (including 
the Shares). As a general matter, the Exchange has regulatory 
jurisdiction over its ETP Holders and their associated persons, which 
include any person or entity controlling an ETP Holder. To the extent 
the Exchange may be found to lack jurisdiction over a subsidiary or 
affiliate of an ETP Holder that does business only in commodities or 
futures contracts, the Exchange could obtain information regarding the 
activities of such subsidiary or affiliate through surveillance sharing 
agreements with regulatory organizations to the extent the Exchange has 
such an agreement with an organization of which the subsidiary or 
affiliate is a member.
    All statements and representations made in this filing regarding 
(a) the description of the portfolio or reference asset, (b) 
limitations on portfolio holdings or reference assets, 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).
Information Bulletin
    Prior to the commencement of trading of the Shares, the Exchange 
will inform its ETP Holders in an information bulletin (``Information 
Bulletin'') of the special characteristics and risks associated with 
trading the Shares. Specifically, the Information Bulletin will discuss 
the following: (1) the risks involved in trading the Shares during the 
Early and Late Trading Sessions when an updated IIV will not be 
calculated or publicly disseminated; (2) the procedures for purchases 
and redemptions of Shares in Creation Baskets and Redemption Baskets 
(and that Shares are not individually redeemable); (3) NYSE Arca Rule 
9.2-E(a), which imposes a duty of due diligence on its ETP Holders to 
learn the essential facts relating to every customer prior to trading 
the Shares; (4) how information regarding the IIV is disseminated; (5) 
how information regarding portfolio holdings is disseminated; (6) the 
requirement that ETP Holders deliver a prospectus to investors 
purchasing newly issued Shares prior to or concurrently with the 
confirmation of a transaction; and (7) trading information.
    In addition, the Information Bulletin will advise ETP Holders, 
prior to the commencement of trading, of the prospectus delivery 
requirements applicable to the Fund. The Exchange notes that investors 
purchasing Shares directly from the Fund will receive a prospectus. ETP 
Holders purchasing Shares from the Fund for resale to investors will 
deliver a prospectus to such investors. The Information Bulletin will 
also discuss any exemptive, no-action, and interpretive relief granted 
by the Commission from any rules under the Act. In addition, the 
Information Bulletin will reference that the Fund is subject to various 
fees and expenses described in the Registration Statement.
    The Information Bulletin will also reference the fact that there is 
no regulated source of last sale information regarding bitcoin, that 
the Commission has no jurisdiction over the trading of Bitcoin as a 
commodity, and that the CFTC has regulatory jurisdiction over the 
trading of bitcoin futures contracts and options on bitcoin futures 
contracts.
    The Information Bulletin will also disclose the trading hours of 
the Shares and that the NAV for the Shares will be calculated after 
4:00 p.m. E.T. each trading day. The Information Bulletin will disclose 
that information about the Shares will be publicly available on the 
Fund's website.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \22\ 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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    \22\ 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 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 8.500-E. The proposed rule change is also 
designed to prevent fraudulent and manipulative acts and practices 
because the Fund is structured similarly to and will operate in 
materially the same manner as the Bitcoin ETPs previously approved by 
the Commission. The Exchange further believes that the proposed rule 
change is designed to prevent fraudulent and manipulate acts and 
practices because, as noted by the Commission in the Bitcoin ETP 
Approval Order, the Exchange's ability to obtain information regarding 
trading in the Shares and futures from markets and other entities that 
are members of the ISG (including the CME and ICE Futures U.S.) or with 
which the Exchange has in place a CSSA would assist the Exchange in 
detecting and deterring misconduct.
    The Exchange has in place surveillance procedures that are adequate 
to properly monitor Exchange trading in the Shares in all trading 
sessions and to deter and detect attempted manipulation of the Shares 
or other 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 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 from such markets 
and other entities. In addition, the Exchange may obtain information 
regarding trading in the Shares 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 and bitcoin futures or the

[[Page 21115]]

underlying bitcoin through ETP Holders, in connection with such ETP 
Holders' proprietary or customer trades which they effect through ETP 
Holders on any relevant market.
    Quotation and last-sale information regarding the Shares will be 
disseminated through the facilities of the CTA. 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 for the Fund. The Fund's website will include (1) daily 
trading volume, 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 (ii) 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 Fund's website will be publicly available prior 
to the public offering of Shares and accessible at no charge.
    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 a 
new type of exchange-traded product based on the price of bitcoin 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 the 
Shares, which are Trust Units based on bitcoin and Carbon Credit 
Futures and that will enhance competition among market participants, to 
the benefit of investors and the marketplace.

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

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

III. 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 (https://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
file number SR-NYSEARCA-2024-27 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-2024-27. 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 (https://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 
a.m. and 3 p.m. Copies of the filing also will be available for 
inspection and copying at the principal office of the Exchange. Do not 
include personal identifiable information in submissions; you should 
submit only information that you wish to make available publicly. We 
may redact in part or withhold entirely from publication submitted 
material that is obscene or subject to copyright protection. All 
submissions should refer to file number SR-NYSEARCA-2024-27 and should 
be submitted on or before April 16, 2024.
    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\23\
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    \23\ 17 CFR 200.30-3(a)(12).

Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2024-06336 Filed 3-25-24; 8:45 am]
BILLING CODE 8011-01-P