[Federal Register Volume 79, Number 226 (Monday, November 24, 2014)]
[Notices]
[Pages 69966-69974]
[FR Doc No: 2014-27711]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-73630; File No. SR-NASDAQ-2014-038]

Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Order
Granting Approval of a Proposed Rule Change, as Modified by Amendments
No. 1 and No. 2 Thereto, Relating to the Listing and Trading of the
Shares of the Reality Shares NASDAQ-100 DIVS Index ETF Under Nasdaq
Rule 5705

November 18, 2014.

I. Introduction

    On April 10, 2014, The NASDAQ Stock Market LLC (``Exchange'' or
``NASDAQ'') filed with the Securities and Exchange Commission
(``Commission''), pursuant to Section 19(b)(1) of the Securities
Exchange Act of 1934 (``Act'' or ``Exchange Act'') \1\ and

Rule 19b-4 thereunder,\2\ a proposed rule change to list and trade
shares (``Shares'') of the Reality Shares NASDAQ-100 DIVS Index ETF
(``Fund'') under Rule 5705. The proposed rule change was published for
comment in the Federal Register on April 30, 2014.\3\ On May 13, 2014,
the Exchange filed Amendment No. 1 to the proposed rule change, which
amended and replaced the proposed rule change in its entirety.\4\ On
June 4, 2014, the Exchange filed Amendment No. 2 to the proposed rule
change.\5\ On June 13, 2014, pursuant to Section 19(b)(2) of the
Act,\6\ the Commission designated a longer period within which to
approve the proposed rule change, disapprove the proposed rule change,
or institute proceedings to determine whether to disapprove the
proposed rule change.\7\
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 72014 (Apr. 24,
2014), 79 FR 24465 (``Notice'').
    \4\ In Amendment No. 1, the Exchange confirmed the hours of the
three trading sessions on the Exchange, clarified the valuation of
investments for purposes of calculating net asset value, clarified
what information would be available on the Fund's Web site, and
provided additional information relating to surveillance with
respect to certain assets held by the Fund. Amendment No. 1 provided
clarification to the proposed rule change, and because it does not
materially affect the substance of the proposed rule change or raise
novel or unique regulatory issues, Amendment No. 1 is not subject to
notice and comment.
    \5\ The Exchange filed Amendment No. 2 to the proposal to
reflect a change to the name of the Fund and the underlying index.
Specifically, the Exchange replaced each reference in the proposal
to the ``Reality Shares NASDAQ-100 Isolated Dividend Growth ETF''
(the original name of the Fund) with a reference to the ``Reality
Shares NASDAQ-100 DIVS Index ETF.'' Similarly, the Exchange replaced
each reference in the proposal to the ``Reality Shares NASDAQ-100
Isolated Dividend Growth Index'' with a reference to the ``Reality
Shares NASDAQ-100 DIVS Index.'' Amendment No. 2 is a technical
amendment and is not subject to notice and comment as it does not
materially affect the substance of the filing.
    \6\ 15 U.S.C. 78s(b)(2).
    \7\ See Securities Exchange Act Release No. 72384, 79 FR 35205
(Jun. 19, 2014). The Commission designated a longer period within
which to take action on the proposed rule change and designated July
29, 2014, as the date by which it should approve, disapprove, or
institute proceedings to determine whether to disapprove the
proposed rule change.
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    On July 29, 2014, the Commission instituted proceedings under
Section 19(b)(2)(B) of the Act \8\ to determine whether to approve or
disapprove the proposed rule change.\9\ In response to the Order
Instituting Proceedings, the Commission received two comment letters on
the proposal.\10\ On October 23, 2014, the Commission designated a
longer period for Commission action on the Order Instituting
Proceedings.\11\ This order grants approval of the proposed rule
change, as modified by Amendments No. 1 and No. 2 thereto.
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    \8\ 15 U.S.C. 78s(b)(2)(B).
    \9\ See Securities Exchange Act Release No. 72715, 79 FR 45556
(Aug. 5, 2014) (``Order Instituting Proceedings''). Specifically,
the Commission instituted proceedings to allow for additional
analysis of the proposed rule change's consistency with Section
6(b)(5) of the Act, which requires, among other things, that the
rules of a national securities exchange be ``designed to prevent
fraudulent and manipulative acts and practices, to promote just and
equitable principles of trade,'' and ``to protect investors and the
public interest.'' See id.
    \10\ See Letter from Eric R. Ervin, President, Reality Shares
ETF Trust and Reality Shares Advisors, LLC, and President and CEO,
Reality Shares, Inc., to Kevin M. O'Neill, Deputy Secretary,
Commission, dated August 22, 2014 (``Reality Shares Letter 1'');
Letter from Eric R. Ervin, President, Reality Shares ETF Trust and
Reality Shares Advisors, LLC, and President and CEO, Reality Shares,
Inc., to Arun Manoharan, Financial Economist, Commission, dated
October 21, 2014 (``Reality Shares Letter 2'').
    \11\ See Securities Exchange Act Release No. 73418, 79 FR 64431
(Oct. 29, 2014).
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II. Description of the Proposal, as Modified by Amendments No. 1 and
No. 2 Thereto

    The Exchange proposes to list and trade the Shares of the Fund
under NASDAQ Rule 5705(b), which governs the listing and trading of
Index Fund Shares on the Exchange.\12\
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    \12\ Index Fund Shares that are issued by an open-end investment
company and listed and traded on the Exchange under NASDAQ Rule 5705
seek to provide investment results that correspond generally to the
price and yield performance of a specific foreign or domestic stock
index, fixed income securities index, or combination thereof. See
Rule 5705(b)(1)(A).
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A. The Fund, Generally

    The Fund is an exchange-traded fund (``ETF'') that will seek long-
term capital appreciation by tracking the Reality Shares NASDAQ-100
DIVS Index (``Index''). The Index measures market expectations for
dividend growth of the companies included in the NASDAQ-100 Index.\13\
The Shares of the Fund will be offered by the Reality Shares ETF Trust
(``Trust''), which was established as a Delaware statutory trust on
March 26, 2013. The Fund is a series of the Trust. The Exchange
represents that the Trust will be registered with the Commission as an
open-end management investment company.\14\ Reality Shares Advisors,
LLC will serve as the investment adviser to the Fund (``Adviser'').\15\
ALPS Distributors, Inc. will be the principal underwriter and
distributor of the Fund's Shares. The Bank of New York Mellon will
serve as administrator, custodian, and transfer agent for the Fund. The
Exchange states that the Adviser is not a broker-dealer and is not
affiliated with any broker-dealers.\16\
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    \13\ The NASDAQ-100 Index is an index of 100 of the largest
domestic and international securities (based on market
capitalization) listed on The NASDAQ Stock Market. The NASDAQ-100
Index includes companies across major industry groups, including
computer hardware and software, telecommunications, retail/wholesale
trade and biotechnology, and excludes securities of financial
companies.
    \14\ According to the Exchange, the Trust will be registered
under the Investment Company Act of 1940 (``1940 Act''). On November
12, 2013, the Trust filed a registration statement on Form N-1A
under the Securities Act of 1933 and the 1940 Act relating to the
Fund, as amended by Pre-Effective Amendment Number 1, filed with the
Commission on February 6, 2014 (File Nos. 333-192288 and 811-22911)
(``Registration Statement''). In addition, the Exchange states that
the Trust has obtained certain exemptive relief under the 1940 Act.
Investment Company Act Release No. 30678 (Aug. 27, 2013)
(``Exemptive Order''). The Exchange represents that investments made
by the Fund will comply with the conditions set forth in the
Exemptive Order.
    \15\ The Adviser is a wholly-owned subsidiary of the Index
Provider.
    \16\ See note 19, infra.
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B. The Exchange's Description of the Fund

    The Exchange has made the following representations and statements
in describing the Fund and its investment strategy, including permitted
portfolio holdings and investment restrictions.\17\
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    \17\ Additional information regarding the Trust, the Fund, and
the Shares, including investment strategy, risks, creation and
redemption procedures, fees, portfolio holdings disclosure policies,
distributions, and taxes, among other things, is included in the
Notice, Registration Statement, and Exemptive Order, as applicable.
See Notice, supra note 3; see also Registration Statement and
Exemptive Order, supra note 14.
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Reality Shares NASDAQ-100 DIVS Index ETF
    The Exchange states that the Index was developed by Reality Shares,
Inc., the parent company of the Adviser, in conjunction with The NASDAQ
OMX Group, Inc., and is maintained by Reality Shares, Inc. (``Index
Provider'').\18\ The Index Provider is not a broker-dealer and is not
affiliated with any broker-dealers.\19\ The Exchange

states that the Index for the Fund does not meet all of the ``generic''
listing requirements of paragraph (b)(3)(A)(i) of Rule 5705 applicable
to the listing of Index Fund Shares based upon an index of ``U.S.
Component Stocks.'' \20\ Specifically, Rule 5705(b)(3)(A)(i) sets forth
the requirements to be met by components of an index or portfolio of
U.S. Component Stocks. The Index will consist primarily of U.S.
exchange-listed and traded options on the NASDAQ-100 Index and U.S.
exchange-listed and traded options on ETFs that track the NASDAQ-100
Index.\21\ The Fund may also invest up to 20% of its total assets in
other securities such as over-the-counter (``OTC'') options, futures,
and forward contracts on the NASDAQ-100 Index, and OTC options,
futures, and forward contracts on ETFs that track the NASDAQ-100 Index.
The Exchange has represented that the Shares will conform to the
initial and continued requirements of listing criteria under Rule
5705(b), except to the extent that the Index is composed of options
based on U.S. Component Stocks (i.e., ETFs based on the NASDAQ-100
Index) and options on an index of U.S. Component Stocks (i.e., the
NASDAQ-100 Index).
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    \18\ The Index will be calculated by International Data
Corporation, which is not affiliated with the Adviser, Index
Provider, or The NASDAQ OMX Group, and which is not a broker-dealer
or fund advisor.
    \19\ According to the Exchange, the Adviser and the Index
Provider have represented that a fire wall exists around the
respective personnel who have access to information concerning
changes and adjustments to the Index. The Exchange further
represents that in the event (a) the Adviser, any sub-adviser, or
the Index Provider becomes registered as a broker-dealer or is newly
affiliated with a broker dealer, or (b) any new adviser, sub-
adviser, or Index Provider is a registered broker-dealer or becomes
affiliated with a broker dealer, the Adviser, sub-adviser or Index
Provider will implement a fire wall with respect to its relevant
personnel or such broker dealer affiliate, as applicable, regarding
access to information concerning the composition or changes to the
portfolio and will be subject to procedures designed to prevent the
use and dissemination of material, non-public information regarding
the portfolio. The Fund does not currently intend to use a sub-
adviser. See Rule 5705(b)(1)(C); Rule 5705(b)(5)(A).
    \20\ Paragraph (b)(1)(D) of Rule 5705 states that the term
``U.S. Component Stock'' shall mean an equity security that is
registered under Sections 12(b) or 12(g) of the Exchange Act, or an
American Depositary Receipt, the underlying equity security of which
is registered under Sections 12(b) or 12(g) of the Act. See Rule
5705(b)(1)(D).
    \21\ Paragraph (b)(3)(A)(i) of Rule 5705 states, in relevant
part, that upon the initial listing of a series of Index Fund Shares
pursuant to 19b-4(e) under the Act, all securities in the index or
portfolio shall be U.S. Component Stocks listed on NASDAQ (including
The NASDAQ Capital Market) or another national securities exchange,
and shall be NMS Stocks as defined in Rule 600 of Regulation NMS
under the Act. The Exchange states that each component stock of the
NASDAQ-100 Index is a U.S. Component Stock that is listed on a
national securities exchange and is an NMS Stock. Options, however,
are excluded from the definition of NMS Stock. The Fund and the
Index meet all of the requirements of the listing standards for
Index Fund Shares in Rule 5705 except the requirements in
5705(b)(3)(A)(i)(a)-(e), because the Index includes options on U.S.
Component Stocks.
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Principal Investments of the Fund
    The Fund will seek long-term capital appreciation and will seek
investment results that, before fees and expenses, generally correspond
to the performance of the Index. At least 80% of the Fund's total
assets (exclusive of collateral held from securities lending, if any)
will be invested in the component securities of the Index. The Fund
will seek a correlation of 0.95 or better between its performance and
the performance of its Index (a figure of 1.00 would represent perfect
correlation). The Fund generally will use a representative sampling
investment strategy.
    The Fund will buy (i.e., hold a ``long'' position in) and sell
(i.e., hold a ``short'' position in) put and call options. The strategy
of taking both a long position in a security through its ex-dividend
date (the last date an investor can own the security and receive
dividends paid on the security) and a corresponding short position in
the same security immediately thereafter is designed to allow the Fund
to isolate its exposure to the growth of the level of dividends
expected to be paid on such security while minimizing its exposure to
changes in the trading price of such security.
    The Fund will buy and sell U.S. exchange-listed options on the
NASDAQ-100 Index and U.S. exchange-listed options on ETFs designed to
track the NASDAQ-100 Index. A put option gives the purchaser of the
option the right to sell, and the issuer of the option the obligation
to buy, the underlying security or instrument on a specified date or
during a specified period of time. A call option on a security gives
the purchaser of the option the right to buy, and the writer of the
option the obligation to sell, the underlying security or instrument on
a specified date or during a specified period of time. The Fund will
invest in a combination of put and call options designed to allow the
Fund to isolate its exposure to the growth of the level of expected
dividends reflected in options on the NASDAQ-100 Index and options on
ETFs tracking the NASDAQ-100 Index, while minimizing the Fund's
exposure to changes in the trading price of such securities.
Index Methodology
    The Index will be calculated using a proprietary, rules-based
methodology designed to track market expectations for dividend growth
conveyed in real-time using the mid-point of the bid-ask spread on
NASDAQ-100 Index options and options on ETFs designed to track the
NASDAQ-100 Index.\22\ All options included in the Index will be listed
and traded on a U.S. national securities exchange. The Index will
consist of a minimum of 20 components.\23\
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    \22\ The Exchange notes that there is no guarantee that either
the level of overall dividends paid by such companies will grow over
time, or that the Index or Fund's investment strategies will capture
such growth. The Fund will include appropriate risk disclosure in
its offering documents disclosing these risks, which will be
available for free on the Commission's Web site and on the Fund's
Web site, www.realityshares.com.
    \23\ See Rule 5705(b)(3).
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    The prices of index and ETF options reflect the market trading
prices of the securities included in the applicable underlying index or
ETF, as well as market expectations regarding the level of dividends to
be paid on such indexes or ETFs during the term of the option. The
Index constituents, and, therefore, most of the Fund's portfolio
holdings, will consist of multiple corresponding near-term and long-
term put and call option combinations on the same reference assets
(i.e., options on the NASDAQ-100 Index or options on NASDAQ-100 ETFs)
with the same strike price. Because option prices reflect both stock
price and dividend expectations, they can be used in combination to
isolate either price exposure or dividend expectations. The use of
near-term and long-term put and call options combinations on the same
reference asset with the same strike price, but with different
maturities, is designed to gain exposure to the expected dividends
reflected in options on the NASDAQ-100 Index and options on ETFs
tracking the NASDAQ-100 Index while neutralizing the impact of stock
price.
    Once established, this portfolio construction of options
combinations will accomplish two goals. First, the use of corresponding
buy or sell positions on near and long-term options at the same strike
price is designed to neutralize underlying stock price movements. In
other words, the corresponding ``buy'' and ``sell'' positions on the
same reference asset are designed to net against each other and
eliminate the impact that changes to the stock price of the reference
asset would otherwise have on the value of the Index (and Fund Shares).
Second, by minimizing the impact of price fluctuations through the
construct of the near- and long-term contract combinations, the
strategy is designed to isolate market expectations for dividends
implied between expiration dates of the near-term and long-term option
contracts. Over time, the Index will increase or decrease in value as
the dividend spread between the near-term and long-term options
combinations increases or decreases as a result of changing market
expectations for dividend growth.
Other Fund Investments
    While, as described above, at least 80% of the Fund's total assets
(exclusive of collateral held from securities lending, if any) will be
invested in the component securities of the Index, the Fund may invest
up to 20% of its total assets in other securities and financial
instruments, as described below.
    The Fund may invest in: (a) U.S. exchange-listed futures contracts
based

on the NASDAQ-100 Index and ETFs designed to track the NASDAQ-100
Index; and (b) forward contracts based on the NASDAQ-100 Index and ETFs
designed to track the NASDAQ-100 Index. The Fund's use of exchange-
listed futures contracts and forward contracts is designed to allow the
Fund to isolate its exposure to the growth of the level of expected
dividends reflected in options on the NASDAQ-100 Index and options on
ETFs tracking the NASDAQ-100 Index, while minimizing the Fund's
exposure to changes in the trading price of such securities. The Fund
may also buy and sell OTC options on the NASDAQ-100 Index and on ETFs
designed to track the NASDAQ-100 Index.
    The Fund may enter into dividend and total return swap transactions
(including equity swap transactions) based on the NASDAQ-100 Index and
ETFs designed to track the NASDAQ-100 Index.\24\ In a typical swap
transaction, one party agrees to make periodic payments to another
party (``counterparty'') based on the change in market value or level
of a specified rate, index, or asset. In return, the counterparty
agrees to make periodic payments to the first party based on the return
of a different specified rate, index, or asset. Swap transactions are
usually done on a net basis, whereby the Fund would receive or pay only
the net amount of the two payments. In a typical dividend swap
transaction, the Fund would pay the swap counterparty a premium and
would be entitled to receive the value of the actual dividends paid on
the subject index during the term of the swap contract. In a typical
total return swap, the Fund might exchange long or short exposures to
the return of the underlying securities or index to isolate the value
of the dividends paid on the underlying securities or index
constituents. The Fund also may engage in interest rate swap
transactions. In a typical interest rate swap transaction one stream of
future interest payments is exchanged for another. Such transactions
often take the form of an exchange of a fixed payment for a variable
payment based on a future interest rate. The Fund intends to use
interest rate swap transactions to manage or hedge exposure to interest
rate fluctuations.
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    \24\ The Fund will transact only with swap dealers that have in
place an ISDA agreement with the Fund.
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    The Fund may invest up to 20% of its assets (exclusive of
collateral held from securities lending, if any) in exchange-listed
equity securities and derivative instruments (specifically, futures
contracts, forward contracts, and swap transactions, as noted above)
\25\ relating to the Index and its component securities that the
Adviser believes will help the Fund track the Index. For example, the
Fund may buy and sell ETFs and, to a limited extent, individual large-
capitalization equity securities listed and traded on a U.S. national
securities exchange.
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    \25\ Where practicable, the Fund intends to invest in swaps
cleared through a central clearing house (``Cleared Swaps'').
Currently, only certain of the interest rate swaps in which the Fund
intends to invest are Cleared Swaps, while the dividend and total
return swaps (including equity swaps) in which the Fund may invest
are currently not Cleared Swaps.
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    The Fund may invest in the securities of other investment companies
(including money market funds) to the extent permitted under the 1940
Act.
    The Fund's short positions and its investments in swaps, futures
contracts, forward contracts and options based on the NASDAQ-100 Index
and ETFs designed to track the NASDAQ-100 Index will be backed by
investments in cash, high-quality short-term debt securities and money-
market instruments in an amount equal to the Fund's maximum liability
under the applicable position or contract, or will otherwise be offset
in accordance with Section 18 of the 1940 Act. Short-term debt
securities and money market instruments include shares of fixed income
or money market mutual funds, commercial paper, certificates of
deposit, bankers' acceptances, U.S. government securities (including
securities issued or guaranteed by the U.S. government or its
authorities, agencies, or instrumentalities), repurchase
agreements,\26\ and bonds that are rated BBB or higher. In addition to
the investments described above, and in a manner consistent with its
investment objective, the Fund may invest a limited portion of its net
assets in high-quality, short-term debt securities and money market
instruments for cash management purposes.\27\
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    \26\ The Fund may enter into repurchase agreements with banks
and broker-dealers. A repurchase agreement is an agreement under
which securities are acquired by a fund from a securities dealer or
bank subject to resale at an agreed upon price on a later date. The
acquiring fund bears a risk of loss in the event that the other
party to a repurchase agreement defaults on its obligations and the
fund is delayed or prevented from exercising its rights to dispose
of the collateral securities.
    \27\ The Fund may invest in shares of money market mutual funds
to the extent permitted by the 1940 Act.
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    The Fund will attempt to limit counterparty risk in non-cleared
swap, forward, and OTC option contracts by entering into such contracts
only with counterparties the Adviser believes are creditworthy and by
limiting the Fund's exposure to each counterparty. The Adviser will
monitor the creditworthiness of each counterparty and the Fund's
exposure to each counterparty on an ongoing basis.\28\
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    \28\ The Fund will seek, where possible, to use counterparties,
as applicable, whose financial status is such that the risk of
default is reduced; however, the risk of losses resulting from
default is still possible. The Adviser will evaluate the
creditworthiness of counterparties on an ongoing basis. In addition
to information provided by credit agencies, the Adviser will
evaluate each approved counterparty using various methods of
analysis, such as, for example, the counterparty's liquidity in the
event of default, the counterparty's reputation, the Adviser's past
experience with the counterparty, and the counterparty's share of
market participation.
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    The Fund's investments in swaps, futures contracts, forward
contracts and options will be consistent with the Fund's investment
objective and with the requirements of the 1940 Act.\29\
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    \29\ To limit the potential risk associated with such
transactions, the Fund will segregate or ``earmark'' assets
determined to be liquid by the Adviser in accordance with procedures
established by the Trust's Board of Trustees and in accordance with
the 1940 Act (or, as permitted by applicable regulation, enter into
certain offsetting positions) to cover its obligations arising from
such transactions. These procedures have been adopted consistent
with Section 18 of the 1940 Act and related Commission guidance. In
addition, the Fund will include appropriate risk disclosure in its
offering documents, including leveraging risk. Leveraging risk is
the risk that certain transactions of the Fund, including the Fund's
use of derivatives, may give rise to leverage, causing the Fund to
be more volatile than if it had not been leveraged. To mitigate
leveraging risk, the Adviser will segregate or ``earmark'' liquid
assets or otherwise cover the transactions that may give rise to
such risk.
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Investment Restrictions
    To the extent the Index concentrates (i.e., holds 25% or more of
its total assets) in the securities of a particular industry or group
of industries, the Fund will concentrate its investments to
approximately the same extent as the Index.
    The Fund may hold up to an aggregate amount of 15% of its net
assets in illiquid assets (calculated at the time of investment) deemed
illiquid by the Adviser, consistent with Commission guidance.\30\ The
Fund will monitor its portfolio liquidity on an ongoing basis to
determine whether, in light of current circumstances, an adequate level
of liquidity is being maintained, and will consider taking appropriate
steps in

order to maintain adequate liquidity if, through a change in values,
net assets, or other circumstances, more than 15% of the Fund's net
assets are held in illiquid assets. Illiquid assets include securities
subject to contractual or other restrictions on resale and other
instruments that lack readily available markets as determined in
accordance with Commission staff guidance.
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    \30\ In reaching liquidity decisions, the Adviser may consider
the following factors: The frequency of trades and quotes for the
security; the number of dealers wishing to purchase or sell the
security and the number of other potential purchasers; dealer
undertakings to make a market in the security; and the nature of the
security and the nature of the marketplace in which it trades (e.g.,
the time needed to dispose of the security, the method of soliciting
offers, and the mechanics of transfer).
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    The Fund may make secured loans of its portfolio securities;
however, securities loans will not be made if, as a result, the
aggregate amount of all outstanding securities loans by the Fund
exceeds 33\1/3\% of its total assets (including the market value of
collateral received). To the extent the Fund engages in securities
lending, securities loans will be made to broker-dealers that the
Adviser believes to be of relatively high credit standing pursuant to
agreements requiring that the loans continuously be collateralized by
cash, liquid securities, or shares of other investment companies with a
value at least equal to the market value of the loaned securities.
    The Fund will be classified as a ``non-diversified'' investment
company under the 1940 Act. The Fund intends to qualify for and to
elect treatment as a separate regulated investment company (``RIC'')
under Subchapter M of the Internal Revenue Code.
    The Fund's investments will be consistent with its investment
objective and will not be used to provide multiple returns of a
benchmark or to produce leveraged returns.

III. Summary of Comment Letters

    As noted above, the Commission received two comment letters in
response to the Order Instituting Proceedings.\31\ Both comment
letters, which were in favor of the proposal, sought to address certain
questions, as outlined in the Order Instituting Proceedings,\32\ and
provide additional clarification regarding the proposal.
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    \31\ See Reality Shares Letter 1; Reality Shares Letter 2, supra
note 10.
    \32\ In the Order Instituting Proceedings, the Commission sought
comment on the following questions: (a) Because the Index is
designed to reflect changes in market expectations of future
dividend growth, rather than to track actual dividend growth, is the
Fund's investment strategy fundamentally based on an assumption that
the options markets systemically underprice dividend growth? What
are commenters' views regarding whether investors would be able to
understand the strategy, risks, potential rewards, assumptions, and
expected performance of the Fund's strategy? (b) With respect to the
trading of the Shares on the Exchange, do commenters believe that
the Exchange's rules governing sales practices are adequately
designed to ensure the suitability of recommendations regarding the
Shares? Why or why not? If not, should the Exchange's rules
governing sales practices be enhanced? If so, in what ways? (c) How
closely do commenters think the market price of the Shares will
track the Fund's intraday indicative value (``IIV'') or the intraday
value of the Index? Are certain of these values likely to be more
volatile than others? If so, how would this affect trading in the
Shares? Are the Shares likely to trade with a significant premium or
discount to IIV? What are commenters' views of how effectively the
IIV of the Fund would represent the Fund's portfolio? What are
commenters' views of how the Shares' market price, the Fund's IIV,
and the intraday value of the Index will relate to one another
during times of market stress? and (d) Does the liquidity of the
long-dated options in which the Fund will invest differ materially
from that of the short-dated options in which the Fund will invest?
If so, how would that affect the ability of market makers to engage
in arbitrage or to hedge their positions while making a market in
the Shares? Would the liquidity characteristics of the Index
components or of the options in the Fund's portfolio affect the
calculation of the Index value, the calculation of the Fund's IIV,
the calculation of the Fund's NAV, or the ability of market makers
or other market participants to value the Shares? If so, how?
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A. Reality Shares Letter 1

    In Reality Shares Letter 1, the commenter offers its responses to
the Commission's questions. The commenter responds that the Fund's
investment strategy is not based on the assumption that dividend growth
is underpriced by the options markets, stating that it is instead based
on the expected dividend value to be paid on Nasdaq-100 securities (as
implied in the price of listed Nasdaq- Index options over time) and the
``historical high correlation between such expected dividend values and
the value of actual dividends paid on Nasdaq- securities.'' \33\ The
commenter then explains that, as the value of actual dividends paid
increases or decreases, market expectations for dividends typically
move up or down in a corresponding direction and that, if the current
expected dividend value of the options in the Fund's portfolio changes,
the value of an investment in the Fund changes correspondingly.\34\
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    \33\ See Reality Shares Letter 1, supra note 10, at 2-3.
    \34\ See id., at 3.
---------------------------------------------------------------------------

    The commenter asserts that the Fund's Registration Statement will
sufficiently disclose to investors the key features of the Fund,
including explanations of how the Fund's strategy works and how the
Fund is expected to perform under various market conditions, and
disclosures highlighting all material risks of investing in the
Fund.\35\ The commenter believes that these disclosures, and the
disclosures in the Fund's marketing materials, will allow investors to
understand the Fund's investment objective, strategy, risks, potential
rewards, assumptions, and performance characteristics.\36\ Further, the
commenter believes that the Exchange's rules governing sales practices
are sufficient to ensure the suitability of recommendations to
investors regarding the Fund's Shares.\37\
---------------------------------------------------------------------------

    \35\ See id., at 3-4.
    \36\ See id., at 4.
    \37\ See id., at 5.
---------------------------------------------------------------------------

    With respect to IIV, the commenter responds that it believes that
the market price of the Fund Shares will closely approximate the IIV of
the Fund's portfolio and the intraday value of the Fund's underlying
Index.\38\ While it believes that ``the Fund's IIV and intraday Index
values may reflect higher volatility than the market trading price of
Fund Shares,'' the commenter does not expect this will have any
material impact on secondary market trading of Fund Shares or arbitrage
in Fund Shares.\39\ The commenter expects that Authorized Participants
and other institutional investors will quote and trade the option
contracts held by the Fund in combination (by holding simultaneous long
and short positions in the same put/call contracts) and that this
combination tends to trade at tighter bid/ask spreads than do the
individual contracts.\40\ The commenter expects that Authorized
Participants and other market makers will factor the price of the
combination trades into their assessment of the value of Fund Shares,
which will be reflected in the trading price of Fund Shares.\41\ The
commenter explains that the Fund's IIV and the intraday Index values
are based on the intraday market price of individual option contracts
and do not reflect the trading price of option contracts held in
combination. So, while the commenter expects the price of Fund Shares
to closely approximate the Fund's IIV and the intraday values of the
Index, it also expects that the trading price of Fund shares will be
less volatile than the Fund's IIV and the intraday value of the
Index.\42\
---------------------------------------------------------------------------

    \38\ See Reality Shares Letter 1, supra note 10, at 6.
    \39\ See id.
    \40\ See id.
    \41\ See id., at 7.
    \42\ See id.
---------------------------------------------------------------------------

    In times of market stress, the commenter believes that the Fund's
Shares will trade within an acceptable spread to the Fund's IIV and the
intraday value of the Index.\43\ The commenter believes that, because
the Fund's portfolio is transparent and the Index constituents are
publicly disclosed, market participants will be able to assess the
value of the Fund and the Index and access the securities necessary to
hedge their position exposures, even during times of market

stress.\44\ Further, the commenter asserts that, ``[b]ecause of the
transparency of the Fund's portfolio and the liquidity and transparency
of the underlying listed index options . . . investors will continue to
have the ability to buy and sell Shares in the secondary market at fair
and representative prices should there be any material departure from
the IIV.'' \45\
---------------------------------------------------------------------------

    \43\ See Reality Shares Letter 1, supra note 10, at 9.
    \44\ See id.
    \45\ See id., at 10.
---------------------------------------------------------------------------

    The commenter states that the liquidity of the longer-dated option
contracts in the Fund's portfolio will not differ materially from the
liquidity of the shorter-dated option contracts.\46\ Further, the
commenter explains that the liquidity characteristics of the option
contracts held by the Fund will not negatively impact the Fund's
operation, the calculation of the Index value, the calculation of the
Fund's IIV, or the calculation of the Fund's NAV.\47\ The commenter
believes that the options contracts provide ``sufficient and ample
liquidity . . . for Authorized Participants and other investors to
engage in efficient hedging activity, to value Fund Shares and to make
markets in Fund Shares.'' \48\
---------------------------------------------------------------------------

    \46\ See id.
    \47\ See id., at 11.
    \48\ See Reality Shares Letter 1, supra note 10, at 12.
---------------------------------------------------------------------------

B. Reality Shares Letter 2

    In Reality Shares Letter 2, the commenter seeks to address whether
the Fund's strategy will produce positive returns for buy-and-hold
investors over the longer term in light of the efficient nature of
markets and the ability of astute market participants to predict
dividend growth.\49\ The commenter claims that the historical returns
of the Fund's strategy have been positive over long periods of time and
that an investor can reasonably expect returns in the future that are
non-zero and positive in the long term.\50\
---------------------------------------------------------------------------

    \49\ See Reality Shares Letter 2, supra note 10, at 1.
    \50\ See id.
---------------------------------------------------------------------------

    In support of this claim, the commenter argues that all
investments, even in perfectly efficient markets, are expected to have,
at minimum, a risk-free rate associated with them.\51\ For example,
Treasury Bills (theoretically risk-free assets) are discounted by the
risk-free rate in order to entice investors to purchase them.\52\ Thus,
even in a perfectly efficient market such as the one for Treasury
Bills, an investment in a riskless asset will produce a long-term
return greater than zero.\53\ In addition, the commenter adds that, if
any uncertainty surrounds the future payoff of an investment, one would
expect a risk premium to be attached to the investment.\54\ This would
be quantified as the amount of money by which the expected return on
the asset exceeds the known return of a risk-free asset.\55\ This risk
premium compensates investors for the uncertainty in their investment
in a risky asset.\56\ If the dividend risk premium were low, one would
expect the strategy to earn less than the actual growth of dividends;
if dividend risk premium were high, one would expect the strategy to
earn more than actual dividend growth.\57\ The commenter notes that,
while expected dividend returns may not match dividend growth exactly,
the rate of return would (at a minimum) be expected to be equal to the
risk free rate, plus the risk premium.\58\
---------------------------------------------------------------------------

    \51\ See id.
    \52\ See id.
    \53\ See id.
    \54\ See Reality Shares Letter 2, supra note 10, at 2.
    \55\ See id.
    \56\ See id.
    \57\ See id.
    \58\ See id.
---------------------------------------------------------------------------

    The commenter further asserts that, beyond the theoretical analogy
stated above, an investment in the expected dividend implied in the
options markets has historically produced positive returns and that the
Fund's strategy can be expected to produce future positive long-term
returns.\59\ While the commenter believes that it is possible for
implied dividend strategies to outperform equity returns, as well as
actual dividend growth, the commenter argues that the foundation of the
Fund's investment strategy is predicated on its conclusion that implied
dividends carry risk and that, in an efficient market, this risk will
be reflected in the form of a dividend risk premium.\60\
---------------------------------------------------------------------------

    \59\ See Reality Shares Letter 2, supra note 10, at 2.
    \60\ See id., at 3.
---------------------------------------------------------------------------

IV. Discussion and Commission Findings

    The Commission has carefully considered the proposal and the
comments submitted in response to the questions raised by the
Commission in the Order Instituting Proceedings. For the reasons
discussed below, the Commission finds that the Exchange's proposal to
list and trade the Shares is consistent with the Exchange Act and the
rules and regulations thereunder applicable to a national securities
exchange.\61\ In particular, the Commission finds that the proposed
rule change, as modified by Amendments No. 1 and No. 2 thereto, is
consistent with Section 6(b)(5) of the Exchange Act,\62\ which
requires, among other things, that the Exchange's rules be designed to
promote just and equitable principles of trade, to remove impediments
to and perfect the mechanism of a free and open market and a national
market system, and, in general, to protect investors and the public
interest. The Commission also finds that the proposal to list and trade
the Shares on the Exchange is consistent with Section 11A(a)(1)(C)(iii)
of the Exchange Act,\63\ which sets forth Congress' finding that it is
in the public interest and appropriate for the protection of investors
and the maintenance of fair and orderly markets to assure the
availability to brokers, dealers, and investors of information with
respect to quotations for and transactions in securities.
---------------------------------------------------------------------------

    \61\ In approving this proposed rule change, the Commission has
considered the proposed rule's impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
    \62\ 15 U.S.C. 78f(b)(5).
    \63\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
---------------------------------------------------------------------------

    Quotation and last-sale information for the Shares will be
available via NASDAQ proprietary quote and trade services, as well as
in accordance with the Unlisted Trading Privileges and the Consolidated
Tape Association plans for the Shares. The value of the Index will be
published by one or more major market data vendors every 15 seconds
during the Regular Market Session. Information about the Index
constituents, the weighting of the constituents, the Index's
methodology, and the Index's rules will be available at no charge on
the Index Provider's Web site at www.realityshares.com. In addition, an
estimated value, defined in Rule 5705(b)(3)(C) as the ``Intraday
Indicative Value,'' will be disseminated. The Intraday Indicative
Value, available on the NASDAQ OMX Information LLC proprietary index
data service,\64\ will be based upon the current value for the
components of the Disclosed Portfolio (as discussed herein) and will be
updated and widely disseminated and broadly displayed at least every 15
seconds during the Regular Market Session (currently 9:30 a.m. Eastern
time). On each business day, before commencement of trading in Shares
in the Regular Market Session on the

Exchange, the Fund will disclose on its Web site the identities and
quantities of the portfolio of securities and other assets (the
``Disclosed Portfolio'') held by the Fund that will form the basis for
the Fund's calculation of NAV at the end of the business day.\65\ In
addition, a basket composition file, which includes the security names
and quantities, as applicable, required to be delivered in exchange for
the Fund's Shares, together with estimates and actual cash components,
will be publicly disseminated daily prior to the opening of NASDAQ via
the National Securities Clearing Corporation. The basket will represent
one Creation Unit of the Fund. The portfolio composition file will
represent one Creation Unit of Shares of the Fund.
---------------------------------------------------------------------------

    \64\ Currently, the NASDAQ OMX Global Index Data Service
(``GIDS'') is the NASDAQ OMX global index data feed service,
offering real-time updates, daily summary messages, and access to
widely followed indexes and Intraday Indicative Values for ETFs.
GIDS provides investment professionals with the daily information
needed to track or trade NASDAQ OMX indexes, listed ETFs, or third-
party partner indexes and ETFs.
    \65\ Under accounting procedures to be followed by the Fund,
trades made on the prior business day (``T'') will be booked and
reflected in NAV on the current business day (``T+1''). Accordingly,
the Fund will be able to disclose at the beginning of the business
day the portfolio that will form the basis for the NAV calculation
at the end of the business day. On a daily basis, the Adviser, on
behalf of the Fund, will disclose on the Fund's Web site the
following information regarding each portfolio holding, as
applicable to the type of holding: Ticker symbol, CUSIP number or
other identifier, if any; a description of the holding (including
the type of holding, such as the type of swap); the identity of the
security, commodity, index, or other asset or instrument underlying
the holding, if any; for options, the option strike price; quantity
held (as measured by, for example, par value, notional value or
number of shares, contracts or units); maturity date, if any; coupon
rate, if any; effective date, if any; market value of the holding;
and the percentage weighting of the holdings in the Fund's
portfolio. The Web site information will be publicly available at no
charge.
---------------------------------------------------------------------------

    The Fund will calculate its NAV by: (i) taking the current market
value of its total assets; (ii) subtracting any liabilities; and (iii)
dividing that amount by the total number of Shares outstanding. The
Fund will calculate NAV once each business day as of the regularly
scheduled close of trading on the NYSE (normally, 4:00 p.m., Eastern
Time).\66\ Intra-day, executable price quotations on the securities and
other assets held by the Fund will be available from major broker-
dealer firms or on the exchange on which they are traded, as
applicable. Intra-day price information will also be available through
subscription services, such as Bloomberg, Markit, and Thomson Reuters,
which can be accessed by Authorized Participants and other investors.
Specifically, the intra-day, closing and settlement prices of the
portfolio securities and other Fund investments, including exchange-
listed equity securities (which include common stocks and ETFs),
exchange-listed futures, and exchange-listed options, will be readily
available from the national securities exchanges trading such
securities, automated quotation systems, published or other public
sources, and, with respect to OTC options, swaps, and forwards, from
third party pricing sources, or on-line information services such as
Bloomberg or Reuters. Price information regarding investment company
securities and ETFs will be available from on-line information services
and from the Web site for the applicable investment company security.
The intra-day, closing and settlement prices of debt securities and
money market instruments will be readily available from published and
other public sources or on-line information services. 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 Fund's Web site will include a form of the
prospectus for the Fund that may be downloaded and additional data
relating to NAV and other applicable quantitative information.
---------------------------------------------------------------------------

    \66\ The Trust will generally value exchange-listed securities
(which include common stocks and ETFs), exchange-listed options, and
options on the NASDAQ-100 Index or NASDAQ-100 ETFs at market closing
prices. Market closing price is generally determined on the basis of
last reported sales prices on the applicable exchange, or if no
sales are reported, based on the mid-point between the last reported
bid and ask. The Trust will generally value exchange-listed futures
at the settlement price determined by the applicable exchange. Non-
exchange-traded derivatives, including OTC options, swap
transactions, and forward transactions, will normally be valued on
the basis of quotations or equivalent indication of value supplied
by a third-party pricing service or major market makers or dealers.
Debt securities and money market instruments generally will be
valued based on prices provided by third-party pricing services,
which may use valuation models or matrix pricing to determine
current value. Investment company securities (other than ETFs) will
be valued at NAV. The Trust generally will use amortized cost to
value fixed income or money market securities that have a remaining
maturity of 60 days or less.
---------------------------------------------------------------------------

    The Commission also believes that the proposal to list and trade
the Shares is reasonably designed to promote fair disclosure of
information that may be necessary to price the Shares appropriately and
to prevent trading when a reasonable degree of transparency cannot be
assured. The Exchange will obtain a representation from the Fund that
the NAV for the Fund will be calculated daily and will be made
available to all market participants at the same time. The Exchange
represents that it will halt or pause trading in the Shares under the
conditions specified in NASDAQ Rules 4120 and 4121, including the
trading pauses under NASDAQ Rules 4120(a)(11) and (12). Trading also
may be halted because of market conditions or for reasons that, in the
view of the Exchange, make trading in the Shares inadvisable.\67\
Trading in the Shares also will be subject to Rules 5705(b)(1)(B) and
5705(b)(9)(B), which sets forth circumstances under which Shares of the
Fund may be halted. In addition, if the IIV, the Index Value or the
value of the Index Components is not being disseminated as required,
the Exchange may halt trading during the day in which the disruption
occurs; if the interruption persists past the day in which it occurred,
the Exchange will halt trading no later than the beginning of the
trading day following the interruption.
---------------------------------------------------------------------------

    \67\ These reasons may include: (1) The extent to which trading
is not occurring in the securities or the financial instruments
comprising the Disclosed Portfolio of the Fund; or (2) whether other
unusual conditions or circumstances detrimental to the maintenance
of a fair and orderly market are present. The Exchange represents
that it may consider all relevant factors in exercising its
discretion to halt or suspend trading in the Shares of the Fund.
---------------------------------------------------------------------------

    The Exchange states that it has a general policy prohibiting the
distribution of material, non-public information by its employees. The
Commission notes that the Index Provider is not registered as an
investment adviser or broker dealer and is not affiliated with any
broker-dealers, and the Adviser is not registered as a broker-dealer
and is not affiliated with any broker-dealers.\68\ Prior to the
commencement of trading, the Exchange will inform its members in an

Information Circular of the special characteristics and risks
associated with trading the Shares. The Financial Industry Regulatory
Authority (``FINRA''), on behalf of the Exchange,\69\ will communicate
as needed regarding trading in the Shares, exchange-listed equity
securities, ETFs, futures contracts, and exchange-traded options
contracts with other markets and other entities that are members of the
Intermarket Surveillance Group (``ISG''), and FINRA, on behalf of the
Exchange, may obtain trading information regarding trading in the
Shares, exchange-listed equity securities, ETFs, futures contracts, and
exchange-traded options contracts from such markets and other entities.
In addition, the Exchange may obtain information regarding trading in
the Shares, exchange-listed equity securities, ETFs, futures contracts,
and exchange-traded options contracts from markets and other entities
that are members of ISG or with which the Exchange has in place a
comprehensive surveillance sharing agreement.\70\ All exchange-listed
equity securities, ETFs, futures contracts and options held by the Fund
will be traded on U.S. exchanges, all of which are members of ISG or
are exchanges with which the Exchange has in place a comprehensive
surveillance sharing agreement. In addition, FINRA, on behalf of the
Exchange, is able to access, as needed, trade information for certain
fixed income securities held by the Fund reported to FINRA's Trade
Reporting and Compliance Engine.
---------------------------------------------------------------------------

    \68\ See supra note 19 and accompanying text. The Exchange
states that an investment adviser to an open-end fund is required to
be registered under the Investment Advisers Act of 1940 (``Advisers
Act''). As a result, the Adviser and its related personnel are
subject to the provisions of Rule 204A-1 under the Advisers Act
relating to codes of ethics. This Rule requires investment advisers
to adopt a code of ethics that reflects the fiduciary nature of the
relationship to clients as well as compliance with other applicable
securities laws. Accordingly, procedures designed to prevent the
communication and misuse of non-public information by an investment
adviser must be consistent with Rule 204A-1 under the Advisers Act.
In addition, Rule 206(4)-7 under the Advisers Act makes it unlawful
for an investment adviser to provide investment advice to clients
unless such investment adviser has (i) adopted and implemented
written policies and procedures reasonably designed to prevent
violation, by the investment adviser and its supervised persons, of
the Advisers Act and the Commission rules adopted thereunder; (ii)
implemented, at a minimum, an annual review regarding the adequacy
of the policies and procedures established pursuant to subparagraph
(i) above and the effectiveness of their implementation; and (iii)
designated an individual (who is a supervised person) responsible
for administering the policies and procedures adopted under
subparagraph (i) above.
    \69\ The Exchange states that FINRA surveils trading on the
Exchange pursuant to a regulatory services agreement. The Exchange
is responsible for FINRA's performance under this regulatory
services agreement.
    \70\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of the
portfolio for the Fund may trade on markets that are members of ISG
or with which the Exchange has in place a comprehensive surveillance
sharing agreement.
---------------------------------------------------------------------------

    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. In support of this
proposal, the Exchange has made representations, including:
    (1) The Exchange has appropriate rules to facilitate transactions
in the Shares during all trading sessions.\71\
---------------------------------------------------------------------------

    \71\ See NASDAQ Rule 5705(b)(7) (describing the three trading
sessions on the Exchange: Regular Market Session trading will occur
between 9:30 a.m. and either 4:00 p.m. or 4:15 p.m. for each series
of Index Fund Shares, as specified by NASDAQ). In addition, NASDAQ
may designate each series of Index Fund Shares for trading during a
Pre-Market Session beginning at 4:00 a.m. and/or a Post-Market
Session ending at 8:00 p.m.
---------------------------------------------------------------------------

    (2) The Shares will be subject to Rule 5705, which sets forth the
initial and continued listing criteria applicable to Index Fund Shares.
    (3) Trading in the Shares will be subject to the existing trading
surveillances, administered by both NASDAQ and also FINRA on behalf of
the Exchange, which are designed to detect violations of Exchange rules
and applicable federal securities laws. 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 applicable federal securities laws.
    (4) Prior to the commencement of trading, the Exchange will inform
its members in an Information Circular of the special characteristics
and risks associated with trading the Shares. Specifically, the
Information Circular will discuss the following: (a) The procedures for
purchases and redemptions of Shares in Creation Units (and that Shares
are not individually redeemable); (b) NASDAQ Rule 2111A, which imposes
suitability obligations on NASDAQ members with respect to recommending
transactions in the Shares to customers; (c) how information regarding
the Index Value and Intraday Indicative Value will be disseminated; (d)
the risks involved in trading the Shares during the Pre-Market and
Post-Market Sessions when an updated Index Value and Intraday
Indicative Value will not be calculated or publicly disseminated; (e)
the requirement that members deliver a prospectus to investors
purchasing newly issued Shares prior to or concurrently with the
confirmation of a transaction; and (f) trading information.
    (5) For initial and continued listing, the Fund must be in
compliance with Rule 10A-3 under the Exchange Act.\72\
---------------------------------------------------------------------------

    \72\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    (6) At least 80% of the Fund's total assets (exclusive of
collateral held from securities lending, if any) will be invested in
the component securities of the Index. The Fund will seek a correlation
of 0.95 or better between its performance and the performance of its
Index. A figure of 1.00 would represent perfect correlation. All
options included in the Index will be listed and traded on a U.S.
national securities exchange.
    (7) The Fund's investments in swaps, futures contracts, forward
contracts and options will be consistent with the Fund's investment
objective and with the requirements of the 1940 Act. To limit the
potential risk associated with such transactions, the Fund will
segregate or ``earmark'' assets determined to be liquid by the Adviser
in accordance with procedures established by the Trust's Board of
Trustees and in accordance with the 1940 Act (or, as permitted by
applicable regulation, enter into certain offsetting positions) to
cover its obligations arising from such transactions. These procedures
have been adopted consistent with Section 18 of the 1940 Act and
related Commission guidance. In addition, the Fund will include
appropriate risk disclosure in its offering documents, including
leveraging risk. Leveraging risk is the risk that certain transactions
of the Fund, including the Fund's use of derivatives, may give rise to
leverage, causing the Fund to be more volatile than if it had not been
leveraged. To mitigate leveraging risk, the Adviser will segregate or
``earmark'' liquid assets or otherwise cover the transactions that may
give rise to such risk. The Fund may not invest in leveraged or inverse
leveraged (e.g., 2X, -2X, 3X, or -3X) ETFs or options on such ETFs. The
Fund's investments will be consistent with its investment objective and
will not be used to provide multiple returns of a benchmark or to
produce leveraged returns.
    (8) The Fund will transact only with swap dealers that have in
place an ISDA agreement with the Fund. Where practicable, the Fund
intends to invest in Cleared Swaps. The Fund will attempt to limit
counterparty risk in non-cleared swap, forward, and OTC option
contracts by entering into such contracts only with counterparties the
Adviser believes are creditworthy and by limiting the Fund's exposure
to each counterparty. The Adviser will monitor the creditworthiness of
each counterparty and the Fund's exposure to each counterparty on an
ongoing basis. The Fund will seek, where possible, to use
counterparties, as applicable, whose financial status is such that the
risk of default is reduced. The Adviser will evaluate the
creditworthiness of counterparties on an ongoing basis. In addition to
information provided by credit agencies, the Adviser will evaluate each
approved counterparty using various methods of analysis, such as, for
example, the counterparty's liquidity in the event of default, the
counterparty's reputation, the Adviser's past experience with the
counterparty, and the counterparty's share of market participation.
    (9) The Fund may hold up to an aggregate amount of 15% of its net
assets in illiquid assets (calculated at the time of investment) deemed
illiquid by the Adviser, consistent with Commission guidance.
    (10) A minimum of 100,000 Shares for the Fund will be outstanding
at the

commencement of trading on the Exchange.
    (11) The Fund will include appropriate risk disclosure in its
offering documents, which will be available on the Commission's Web
site and on the Fund's Web site, www.realityshares.com.
    This approval order is based on all of the Exchange's
representations, including those set forth above and in the Notice, and
the Exchange's description of the Fund.
    For the foregoing reasons, the Commission finds that the proposed
rule change, as modified by Amendments No. 1 and No. 2 thereto, is
consistent with Section 6(b)(5) of the Act \73\ and the rules and
regulations thereunder applicable to a national securities exchange.
---------------------------------------------------------------------------

    \73\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

V. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\74\ that the proposed rule change (SR-Nasdaq-2014-038), as
modified by Amendments No. 1 and No. 2 thereto, be, and it hereby is,
approved.
---------------------------------------------------------------------------

    \74\ Id.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\75\
---------------------------------------------------------------------------

    \75\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-27711 Filed 11-21-14; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register: May 8, 2008 (Volume 73, Number 90)]
[Notices]
[Page 26105]
[DOCID:fr08my08-73]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

 [Docket Nos. RM05-25-000; RM05-17-000]

 Preventing Undue Discrimination and Preference in Transmission
Service; Errata Notice

 April 30, 2008.
    On April 29, 2008, the Commission issued a Notice of Extension of
Time in the above-referenced proceeding. In the second paragraph of the
notice, change ``February 19, 2008'' to read ``February 19, 2009.'' The
sentence should read as follows:

    Public utilities are also granted an extension of time to and
including November 27, 2008, to develop, through the North American
Energy Standards Review Board (NAESB), business practices that
support the Revisions to the NERC reliability standards MOD-001,
MOD-008, MOD-028, MOD-029, and MOD-030 and an extension of time to
and including February 19, 2009, to develop, through NAESB, business
practices that complement the revisions to the NERC reliability
standard MOD-004.

Kimberly D. Bose,
Secretary.
[FR Doc. E8-10130 Filed 5-7-08; 8:45 am]

BILLING CODE 6717-01-P


[Federal Register Volume 80, Number 110 (Tuesday, June 9, 2015)]
[Notices]
[Pages 32654-32655]
[FR Doc No: 2015-14031]

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DEPARTMENT OF TRANSPORTATION

Office of the Secretary

[Docket Number: DOT-OST-2015-0123]

Request for OMB Clearance of a New Information Collection; New
Information Collection: Women and Girls in Transportation Initiative
lntemship Volunteer Program

AGENCY: Office of the Secretary (OST), U.S. Department of
Transportation (DOT).

ACTION: 60-Day Notice; Letter of public notification of the Women and
Girls in Transportation Initiative lnternship Volunteer Program
(WITIIP) information collection activity.

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

SUMMARY: In compliance with the Paperwork Reduction Act of 1995, Public
law 104-13 (44 U.S.C. 3501 et seq) this notice announces the
Information Collection Request on DOT Form OST 1250.1 Application for
Transportation Internship, DOT Form OST 1250.1A Student Internship
Evaluation, andDOT Form OST 1250.18 Internship Evaluation for this new
DOT program.
    Executive Order 13506, (``EO 13506'') dated March 11, 2009,
entitled ``Establishing a White House Council on Women and Girls''. EO
13506 requires Federal agencies to address issues that particularly
impact the lives of women and girls and to ensure that Federal programs
and policies address and take into account the distinctive concerns of
women and girls, including women of

color and those with disabilities. Furthermore, EO 13506 points
specifically to the fact that women are still significantly
underrepresented in the science, engineering, and technology fields. In
response to EO 13506, DOT established the WITI. The WITI encourages
women and girls to pursue careers in the science, technology,
engineering, and mathematics fields and enter the transportation
industry through outreach and the provision of transportation-related
internship opportunities. The program is administered by the DOT OST
Office of Small and Disadvantaged Business Utilization (OSDBU).

FOR FURTHER INFORMATION CONTACT: For further information concerning
this notice, contact Michelle Harris, Manager, Regional Assistance
Division, OSDBU, U.S Department of Transportation, 1200 New Jersey Ave,
SE., Room W56-444, Washington, DC 20590. Telephone: 1-800-532-1169 or
202-366-1930. Email<EMAIL_ADDRESS>
SUPPLEMENTARY INFORMATION:
    Title: Women and Girls in Transportation Initiative lnternship
Volunteer Program Application for lnternship Volunteer.
    Catalog of Federal Domestic Assistance Number: 20.907 Women and
Girls in Transportation Initiative.
    OMB Control Number: 2105-XXXX.
    Form Number: OST F 1250.1.
    Affected Public: Female students currently enrolled in a
participating institution of education with a 2.8 Grade Point Average
or higher.
    Frequency: One-time.
    Estimated Average Burden per Response: 2 hours.
    Estimated Annual Burden Hours: 660 hours.
    Abstract: The information collected will be from female students
currently enrolled in a participating institution of education with a
2.8 Grade Point Average or higher. The information collected will be
used by DOT OSDBU to verify eligibility and process the application.
The information being collected relates the name of the student;
gender; full street address; email address; phone number; school name;
school address; current Grade Point Average; expected graduation date;
major area of study; minor area of study; and a professor's evaluation
of the student's critical skills and the professor's recommendation. A
copy of the student's most current transcript will be collected to
verify the student's enrollment status and Grade Point Average. A one-
page letter of interest will be collected in order to select the best
candidates for the different transportation-related internships
available.

    Title: Women and Girls in Transportation Initiative lnternship
Volunteer Program Student Evaluation.
    Catalog of Federal Domestic Assistance Number: 20.907 Women and
Girls in Transportation initiative lnternship Volunteer Program.
    OMB Control Number: 2105-XXXX.
    Form Number: OST F 1250.1A.
    Affected Public: Transportation-related internship/volunteer
providers.
    Frequency: One-time.
    Estimated Average Burden per Response: 2 hours.
    Estimated Annual Burden Hours: 660 hours.
    Abstract: The information collected will be from internship/
volunteer providers at the conclusion of the student's transportation-
related internship/volunteer opportunity. The information collected
will be used by participating educational institutions to verify
successful completion of the internship for academic credit, if
offered. The evaluation will also be used by DOT OSDBU to verify
successful completion of the internship/volunteer position to evaluate
the student's performance in the event the students apply for future
internship/volunteer opportunities offered by the program. The
information collected will also be used by the intern to identify their
strengths and areas of improvement. The information being collected
relates the name of the organization; full street address; name of the
supervisor and evaluator; internship semester; date the internship/
volunteer positon concluded; internship description; intern's name,
major area of study, and school name. The information collected also
relates the evaluation of the student's performance of the performance
elements; evaluation of the student's strengths and weaknesses;
evaluator's general comments; and the internship/volunteer provider's
willingness to host future interns.

    Title: Women and Girls Internship in Transportation lnternship
Volunteer Program Evaluation.
    Catalog of Federal Domestic Assistance Number: 20.907
Entrepreneurial Training and Technical Assistance Women and Girls
Program.
    OMB Control Number: 2105-XXXX.
    Form Number: OST F 1250.18.
    Affected Public: WITI student interns/volunteers.
    Frequency: One-time.
    Estimated Average Burden per Response: 2 hours.
    Estimated Annual Burden Hours: 660 hours.
    Abstract: The information collected will be from student interns/
volunteers at the conclusion of the student's transportation-related
internship/volunteer experience. The information collected will be used
by DOT OSDBU to evaluate internship/volunteer providers and the
student's experience to improve the WIT! and possibly identify
potential problem internship/volunteer providers. The information being
collected relates the name of the student's major area of study, and
school name; internship provider's name, full mailing address; intern/
volunteer's supervisor; internship/volunteer semester; date the
position concluded; and internship/volunteer description. The
information collected also relates the evaluation of the internship/
volunteer provider and internship/volunteer experience; suggested WITI
improvements; evaluator's general comments; and the intern's
willingness to apply for future opportunities.

Brandon Neal,
Director, Office of Small and Disadvantaged Business Utilization.
[FR Doc. 2015-14031 Filed 6-8-15; 8:45 am]
 BILLING CODE 4910-9X-P