Please note the regulations below presented in Red Line Strikeout (RLSO) for the proposed rule changes for the Fugitive Emissions Reconsideration Rule Proposal.

 Redline Strikeout Rule Language reflecting proposed changes to 51.165 :
40 CFR 51.165(a)(1)(v)(G):
(G) Fugitive emissions shall not be included in determining for any of the purposes of this section whether a physical change in or change in the method of operation of a major stationary source is a major modification, unless the source belongs to one of the source categories listed in paragraph (a)(1)(iv)(C) of this section.

40 CFR 51.165(a)(1)(vi)(C)(3):
(C) An increase or decrease in actual emissions is creditable only if:
(3) As it pertains to an increase or decrease in fugitive emissions (to the extent quantifiable), it occurs at an emissions unit that is part of one of the source categories listed in paragraph (a)(1)(iv)(C) of this section or it occurs at an emissions unit that is located at a major stationary source that belongs to one of the listed source categories. Fugitive emission increases or decreases are not creditable for those emissions units located at a facility whose primary activity is not represented by one of the source categories listed in paragraph (a)(1)(iv)(C) of this section and that are not, by themselves, part of a listed source category.

40 CFR 51.165(a)(4):
(4) [Reserved] Each plan may provide that the provisions of this paragraph do not apply to a source or modification that would be a major stationary source or major modification only if fugitive emissions, to the extent quantifiable, are considered in calculating the potential to emit of the stationary source or modification and the source does not belong to any of the following categories:
(i) Coal cleaning plants (with thermal dryers);
(ii) Kraft pulp mills;
(iii) Portland cement plants;
(iv) Primary zinc smelters;
(v) Iron and steel mills;
(vi) Primary aluminum ore reduction plants;
(vii) Primary copper smelters;
(viii) Municipal incinerators capable of charging more than 50 tons of refuse per day;
(ix) Hydrofluoric, sulfuric, or citric acid plants;
(x) Petroleum refineries;
(xi) Lime plants;
(xii) Phosphate rock processing plants;
(xiii) Coke oven batteries;
(xiv) Sulfur recovery plants;
(xv) Carbon black plants (furnace process);
(xvi) Primary lead smelters;
(xvii) Fuel conversion plants;
(xviii) Sintering plants;
(xix) Secondary metal production plants;
(xx) Chemical process plants - The term chemical processing plant shall not include ethanol production facilities that produce ethanol by natural fermentation included in NAICS codes 325193 or 312140;
(xxi) Fossil-fuel boilers (or combination thereof) totaling more than 250 million British thermal units per hour heat input;
(xxii) Petroleum storage and transfer units with a total storage capacity exceeding 300,000 barrels;
(xxiii) Taconite ore processing plants;
(xxiv) Glass fiber processing plants;
(xxv) Charcoal production plants;
(xxvi) Fossil fuel-fired steam electric plants of more than 250 million British thermal units per hour heat input;
(xxvii) Any other stationary source category which, as of August 7, 1980, is being regulated under section 111 or 112 of the Act.

Effective Date Note: At 76 FR 17552, Mar. 30, 2011, §51.165, paragraphs (a)(1)(v)(G) and (v)(1)(vi)(C)(3) are stayed indefinitely

 Redline Strikeout Rule Language reflecting proposed changes to 51.166:
 40 CFR 51.166(i)(1)(ii):
 (ii) [Reserved] The source or modification would be a major stationary source or major modification only if fugitive emissions, to the extent quantifiable, are considered in calculating the potential to emit of the stationary source or modification and such source does not belong to any of the following categories:
 (a) Coal cleaning plants (with thermal dryers);
 (b) Kraft pulp mills;
 (c) Portland cement plants;
 (d) Primary zinc smelters;
 (e) Iron and steel mills;
 (f) Primary aluminum ore reduction plants;
 (g) Primary copper smelters;
 (h) Municipal incinerators capable of charging more than 50 tons of refuse per day;
 (i) Hydrofluoric, sulfuric, or nitric acid plants;
 (j) Petroleum refineries;
 (k) Lime plants;
 (l) Phosphate rock processing plants;
 (m) Coke oven batteries;
 (n) Sulfur recovery plants;
 (o) Carbon black plants (furnace process);
 (p) Primary lead smelters;
 (q) Fuel conversion plants;
 (r) Sintering plants;
 (s) Secondary metal production plants;
 (t) Chemical process plants - The term chemical processing plant shall not include ethanol production facilities that produce ethanol by natural fermentation included in NAICS codes 325193 or 312140;
 (u) Fossil-fuel boilers (or combination thereof) totaling more than 250 million British thermal units per hour heat input;
 (v) Petroleum storage and transfer units with a total storage capacity exceeding 300,000 barrels;
 (w) Taconite ore processing plants;
 (x) Glass fiber processing plants;
 (y) Charcoal production plants;
 (z) Fossil fuel-fired steam electric plants of more than 250 million British thermal units per hour heat input;
 (aa) Any other stationary source category which, as of August 7, 1980, is being regulated under section 111 or 112 of the Act; or

 40 CFR 51.166(b)(2)(v):
 (v) Fugitive emissions shall not be included in determining for any of the purposes of this section whether a physical change in or change in the method of operation of a major stationary source is a major modification, unless the source belongs to one of the source categories listed in paragraph (b)(1)(iii) of this section.

 40 CFR 51.166(b)(3)(iii)(d):
 (d) As it pertains to an increase or decrease in fugitive emissions (to the extent quantifiable), it occurs at an emissions unit that is part of one of the source categories listed in paragraph (b)(1)(iii) of this section or it occurs at an emission unit that is located at a major stationary source that belongs to one of the listed source categories. Fugitive emission increases or decreases are not included for those emissions units located at a facility whose primary activity is not represented by one of the source categories listed in paragraph (b)(1)(iii) of this section and that are not, by themselves, part of a listed source category.

 Effective Date Note: At 76 FR 17553, Mar. 30, 2011, § 51.166 paragraphs (b)(2)(v) and (b)(3)(iii)(d) are stayed indefinitely.

 Redline Strikeout Rule Language reflecting proposed changes to Appendix S to Part 51:
 40 CFR Appendix S to Part 51 II.A.5.(vii):
 (vii) Fugitive emissions shall not be included in determining for any of the purposes of this Ruling whether a physical change in or change in the method of operation of a major stationary source is a major modification, unless the source belongs to one of the source categories listed in paragraph II.A.4(iii) of this Ruling.

 40 CFR Appendix S to Part 51 II.F.:
 F. [Reserved] Fugitive emission sources. Section IV.A. of this Ruling shall not apply to a source or modification that would be a major stationary source or major modification only if fugitive emissions, to the extent quantifiable, are considered in calculating the potential to emit of the stationary source or modification and such source does not belong to any of the following categories:
 (1) Coal cleaning plants (with thermal dryers);
 (2) Kraft pulp mills;
 (3) Portland cement plants;
 (4) Primary zinc smelters;
 (5) Iron and steel mills;
 (6) Primary aluminum ore reduction plants;
 (7) Primary copper smelters;
 (8) Municipal incinerators capable of charging more than 50 tons of refuse per day;
 (9) Hydrofluoric, sulfuric, or nitric acid plants;
 (10) Petroleum refineries;
 (11) Lime plants;
 (12) Phosphate rock processing plants;
 (13) Coke oven batteries;
 (14) Sulfur recovery plants;
 (15) Carbon black plants (furnace process);
 (16) Primary lead smelters;
 (17) Fuel conversion plants;
 (18) Sintering plants;
 (19) Secondary metal production plants;
 (20) Chemical process plants - The term chemical processing plant shall not include ethanol production facilities that produce ethanol by natural fermentation included in NAICS codes 325193 or 312140;
 (21) Fossil-fuel boilers (or combination thereof) totaling more than 250 million British thermal units per hour heat input;
 (22) Petroleum storage and transfer units with a total storage capacity exceeding 300,000 barrels;
 (23) Taconite ore processing plants;
 (24) Glass fiber processing plants;
 (25) Charcoal production plants;
 (26) Fossil fuel-fired steam electric plants of more than 250 million British thermal units per hour heat input;
 (27) Any other stationary source category which, as of August 7, 1980, is being regulated under section 111 or 112 of the Act.

 Redline Strikeout Rule Language reflecting proposed changes to 52.21:

 40 CFR 52.21(b)(2)(v):
 (v) Fugitive emissions shall not be included in determining for any of the purposes of this section whether a physical change in or change in the method of operation of a major stationary source is a major modification, unless the source belongs to one of the source categories listed in paragraph (b)(1)(iii) of this section.

 40 CFR 52.21(b)(3)(iii)(c):
 (c) As it pertains to an increase or decrease in fugitive emissions (to the extent quantifiable), it occurs at an emissions unit that is part of one of the source categories listed in paragraph (b)(1)(iii) of this section or it occurs at an emission unit that is located at a major stationary source that belongs to one of the listed source categories.(iv) An increase or decrease in actual emissions of sulfur dioxide, particulate matter, or nitrogen oxides that occurs before the applicable minor source baseline date is creditable only if it is required to be considered in calculating the amount of maximum allowable increases remaining available.

 40 CFR 52.21(i)(1)(vii):
 (vii) [Reserved] The source or modification would be a major stationary source or major modification only if fugitive emissions, to the extent quantifiable, are considered in calculating the potential to emit of the stationary source or modification and the source does not belong to any of the following categories:
 (a) Coal cleaning plants (with thermal dryers);
 (b) Kraft pulp mills;
 (c) Portland cement plants;
 (d) Primary zinc smelters;
 (e) Iron and steel mills;
 (f) Primary aluminum ore reduction plants;
 (g) Primary copper smelters;
 (h) Municipal incinerators capable of charging more than 50 tons of refuse per day;
 (i) Hydrofluoric, sulfuric, or nitric acid plants;
 (j) Petroleum refineries;
 (k) Lime plants;
 (l) Phosphate rock processing plants;
 (m) Coke oven batteries;
 (n) Sulfur recovery plants;
 (o) Carbon black plants (furnace process);
 (p) Primary lead smelters;
 (q) Fuel conversion plants;
 (r) Sintering plants;
 (s) Secondary metal production plants;
 (t) Chemical process plants - The term chemical processing plant shall not include ethanol production facilities that produce ethanol by natural fermentation included in NAICS codes 325193 or 312140;
 (u) Fossil-fuel boilers (or combination thereof) totaling more than 250 million British thermal units per hour heat input;
 (v) Petroleum storage and transfer units with a total storage capacity exceeding 300,000 barrels;
 (w) Taconite ore processing plants;
 (x) Glass fiber processing plants;
 (y) Charcoal production plants;
 (z) Fossil fuel-fired steam electric plants of more than 250 million British thermal units per hour heat input;
 (aa) Any other stationary source category which, as of August 7, 1980, is being regulated under section 111 or 112 of the Act; or

 Effective Date Note: At 76 FR 17556, Mar. 30, 2011, § 52.21(b)(2)(v) and (b)(3)(iii)(c) were stayed indefinitely.


[Federal Register Volume 75, Number 224 (Monday, November 22, 2010)]
[Notices]
[Pages 71158-71163]
[FR Doc No: 2010-29351]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-63317; File No. SR-NYSEArca-2010-101]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change Relating to the Listing and Trading of the
ProShares VIX Short-Term Futures ETF and the ProShares VIX Mid-Term
Futures ETF

November 16, 2010.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'' or ``Exchange Act'') \1\ and Rule 19b-4 thereunder,\2\ notice
is hereby given that, on November 5, 2010, NYSE Arca, Inc.
(``Exchange'' or ``NYSE Arca'') filed with the Securities and Exchange
Commission (``Commission'') the proposed rule change as described in
Items I and II below, which Items have been prepared by the Exchange.
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\ 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 ProShares VIX
Short-Term Futures ETF and the ProShares VIX Mid-Term Futures ETF under
NYSE Arca Equities Rule 8.200, Commentary .02. The text of the proposed
rule change is available at the Exchange, the Commission's Public
Reference Room, and http://www.nyse.com.

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

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

of the most significant parts of such statements.

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

1. Purpose
    NYSE Arca Equities Rule 8.200, Commentary .02, permits the trading
of Trust Issued Receipts (``TIRs'') either by listing or pursuant to
unlisted trading privileges (``UTP'').\3\ The Exchange proposes to list
and trade shares (``Shares'') of the ProShares VIX Short-Term Futures
ETF and the ProShares VIX Mid-Term Futures ETF (``Funds'') under NYSE
Arca Equities Rule 8.200, Commentary .02.\4\ The Funds seek to provide
investment results (before fees and expenses) that match the
performance of a benchmark that seeks to offer exposure to market
volatility through publicly traded futures markets. The benchmark for
ProShares VIX Short-Term Futures ETF is the S&P 500 VIX Short-Term
Futures Index and the benchmark for ProShares VIX Mid-Term Futures ETF
is the S&P 500 VIX Mid-Term Futures Index (each, an ``Index,'' and,
collectively, ``Indexes'').\5\ The Funds will invest in futures
contracts based on the Chicago Board Options Exchange (``CBOE'')
Volatility Index (``VIX'') to pursue their respective investment
objectives. Each Fund also may invest in cash or cash equivalents such
as U.S. Treasury securities or other high credit quality short-term
fixed-income or similar securities (including shares of money market
funds, bank deposits, bank money market accounts, certain variable-rate
demand notes and repurchase agreements collateralized by government
securities) that may serve as collateral for the futures contracts.
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    \3\ Commentary .02 to NYSE Arca Equities Rule 8.200 applies to
TIRs that invest in ``Financial Instruments.'' The term ``Financial
Instruments,'' as defined in Commentary .02(b)(4) to NYSE Arca
Equities Rule 8.200, means any combination of investments, including
cash; securities; options on securities and indices; futures
contracts; options on futures contracts; forward contracts; equity
caps, collars and floors; and swap agreements.
    \4\ The Commission previously has approved listing on the
Exchange under Commentary .02 to NYSE Arca Equities Rule 8.200 of
certain securities issuers. See, e.g., Securities Exchange Act
Release Nos. 58457 (September 3, 2008), 73 FR 52711 (September 10,
2008) (SR-NYSEArca-2008-91) (order granting accelerated approval to
list on NYSE Arca of 14 ProShares funds); and 58983 (November 20,
2008), 73 FR 73368 (December 2, 2008) (SR-NYSEArca-2008-126) (order
granting accelerated approval to list on NYSE Arca the GreenHaven
Continuous Commodity Index Fund). See also Securities Exchange Act
Release No. 58968 (November 17, 2008), 73 FR 71082 (November 24,
2008) (SR-NYSEArca-2008-111) (order granting accelerated approval of
proposed rule change to amend NYSE Arca Equities Rule 5.2(j)(6)(v)
to add CBOE Volatility Index (VIX) Futures to the definition of
Futures Reference Asset).
    \5\ Standard & Poor's Financial Services LLC is the index
sponsor with respect to the Indexes and has implemented procedures
designed to prevent the use and dissemination of material, non-
public information regarding the Indexes.
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    ProShare Capital Management LLC (``Sponsor''), a Maryland limited
liability company, serves as the Sponsor of ProShares Trust II
(``Trust''). The Sponsor is a commodity pool operator and commodity
trading advisor.\6\ Brown Brothers Harriman & Co. serves as the
administrator (``Administrator''), custodian and transfer agent of the
Funds and their respective Shares. SEI Investments Distribution Co.
(``Distributor'') serves as Distributor of the Shares. Wilmington Trust
Company, a Delaware banking corporation, is the sole trustee of the
Trust.
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    \6\ The Funds have filed a registration statement on Form S-3
under the Securities Act of 1933, dated November 5, 2010 (File No.
333-163511) (``Registration Statement''). The description of the
Funds and the Shares contained herein are based on the Registration
Statement.
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    According to the Registration Statement, if a Fund is successful in
meeting its objective, its value (before fees and expenses) should gain
approximately as much on a percentage basis as the level of its
corresponding Index when it rises. Conversely, its value (before fees
and expenses) should lose approximately as much on a percentage basis
as the level of its corresponding Index when it declines. Each Fund
acquires exposure through VIX futures contracts traded on the CBOE
Futures Exchange (``CFE'') (``VIX Futures Contracts''), such that each
Fund has exposure intended to approximate the benchmark at the time of
the net asset value (``NAV'') calculation.\7\
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    \7\ Terms relating to the Funds, the Shares and the Indexes
referred to, but not defined, herein are defined in the Registration
Statement.
---------------------------------------------------------------------------

    According to the Registration Statement, each Fund is not actively
managed by traditional methods, which typically involve effecting
changes in the composition of a portfolio on the basis of judgments
relating to economic, financial and market considerations with a view
toward obtaining positive results under all market conditions. Rather,
the Sponsor seeks to cause the NAV to track the performance of an
Index, even during periods in which that benchmark is flat or moving in
a manner which causes the NAV of a Fund to decline.
    In seeking to achieve each Fund's investment objective, the Sponsor
uses a mathematical approach to investing. Using this approach, the
Sponsor determines the type, quantity and mix of investment positions
that the Sponsor believes in combination should produce returns
consistent with such Fund's objective. The Sponsor relies upon a pre-
determined model to generate orders that result in repositioning the
Funds' investments in accordance with their respective investment
objectives.
VIX Futures Contracts:
    The Indexes are comprised of, and the value of the Funds will be
based on, VIX Futures Contracts. VIX Futures Contracts are measures of
the market's expectation of the level of VIX at certain points in the
future, and, as such, will behave differently than current, or spot,
VIX.\8\ The Funds are not linked to the VIX, and in many cases the
Indexes, and by extension the Funds, will significantly underperform
the VIX.
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    \8\ VIX is the ticker symbol for the CBOE Volatility Index, a
popular measure of implied volatility. The goal of the VIX is to
estimate the implied volatility of the S&P 500 over the next 30
days. A relatively high level of the VIX corresponds to a more
volatile U.S. equity market as expressed by more costly options on
the S&P 500 Index. The VIX represents one measure of the market's
expectation of [sic] over the next 30 day period. It is a blend of
prices for a range of options on the S&P 500 Index. The formula
utilizes current market prices for a series of out-of-the-money
calls and puts for the front month and second month expirations.
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    While the VIX represents a measure of the current expected
volatility of the S&P 500 over the next 30 days, the prices of VIX
Futures Contracts are based on the current expectation of what the
expected 30-day volatility will be at a particular time in the future
(on the expiration date). To illustrate, on July 30, 2010, the VIX was
23.5 and the price of the October 2010 VIX Futures Contracts expiring
on October 20, 2010 was 29.7. In this example, the price of the VIX
represented the 30-day implied, or ``spot,'' volatility (the volatility
expected for the period from July 30 to August 30, 2010) of the S&P
500, and the October VIX Futures Contracts represented forward implied
volatility (the volatility expected for the period from October 20 to
November 20, 2010) of the S&P 500.\9\ The VIX Futures Contracts trade
from 9:30 a.m. to 4:15 p.m. Eastern Time (``E.T.'')
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    \9\ As of June 14, 2010, there was VIX Futures Contracts open
interest on CFE of 88,366 contracts with a contract price of $25.55
and value of open interest of $2,257,751,300. Total CFE trading
volume in 2009 in VIX Futures Contracts was 1,143,612 contracts,
with average daily volume of 4,538 contracts. Total volume year-to-
date (through May 31, 2010) is 1,399,709 contracts, with average
daily volume of 13,458 contracts. (Source: Bloomberg and CBOE).
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The S&P 500 VIX Short-Term Futures Index and S&P 500 VIX Mid-Term
Futures Index
    According to the Registration Statement, the Indexes act as a
measure

of volatility as reflected by the price of certain VIX Futures
Contracts (``Index Components''), with the price of each VIX Futures
Contract reflecting the market's expectation of future volatility. Each
Index seeks to reflect the returns that are potentially available from
holding an unleveraged long position in certain VIX Futures Contracts.
    Unlike the Indexes, the VIX, which is not a benchmark for either
Fund, is calculated based on the prices of put and call options on the
S&P 500, which are traded on the CBOE.
    The S&P 500 VIX Short-Term Futures Index employs rules for
selecting the Index Components and a formula to calculate a level for
the Index from the prices of these components. Specifically, the Index
Components represent the prices of the two near-term VIX futures
months, replicating a position that rolls the nearest month VIX Futures
Contract to the next month VIX Futures Contract on a daily basis in
equal fractional amounts. This results in a constant weighted average
maturity of one month. The roll period begins on the Tuesday prior to
the monthly CFE VIX Futures Contracts settlement date and runs through
the Tuesday prior to the subsequent month's CFE VIX Futures Contract
settlement date.
    The S&P 500 VIX Mid-Term Futures Index also employs rules for
selecting the Index Components and a formula to calculate the level of
the Index from the prices of these components. Specifically, the Index
Components represent the prices for four contract months of VIX Futures
Contracts, representing a market-based estimation of constant maturity,
five-month forward implied VIX values. The S&P 500 VIX Mid-Term Futures
Index measures the return from a rolling long position in the fourth,
fifth, sixth and seventh month VIX Futures Contracts, and rolls
continuously throughout each month while maintaining positions in the
fifth and sixth month contracts. This results in a constant weighted
average maturity of five months.
Calculation of the Indexes
    The level of each Index is calculated in accordance with the method
described in the Registration Statement. The level of each Index will
be published at least every 15 seconds both in real time from 9:30 a.m.
to 4:15 p.m. E.T., and at the close of trading on each Business Day by
Bloomberg L.P. and Reuters.\10\
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    \10\ A ``Business Day'' means any day other than a day when any
of the NYSE, the NYSE Arca, the CBOE, or the CFE or other exchange
material to the valuation or operation of the Funds, or the
calculation of the VIX, options contracts underlying the VIX, VIX
Futures Contracts or the Indexes is closed for regular trading.
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    The Index Components comprising each Index represent the prices of
certain futures contracts on the VIX. Each Index takes a daily rolling
long position in contracts of specified maturities and is intended to
reflect the returns that are potentially available through an
unleveraged investment in those contracts. The S&P 500 VIX Short-Term
Futures Index measures the return from a rolling long position in the
first and second month VIX Futures Contracts. The Index rolls
continuously throughout each month from the first month VIX Futures
Contracts into the second month VIX Futures Contracts. The S&P 500 VIX
Mid-Term Futures Index measures the return from a rolling long position
in the fourth, fifth, sixth and seventh month VIX Futures Contracts.
The Index rolls continuously throughout each month from the fourth
month contract into the seventh month contract while maintaining
positions in the fifth month and sixth month contracts.
    The Indexes roll on a daily basis. One of the effects of daily
rolling is to maintain a constant weighted average maturity for the
underlying futures contracts. Unlike equities, which typically entitle
the holder to a continuing stake in a corporation, futures contracts
normally specify a certain date for the delivery of the underlying
asset or financial instrument or, in the case of futures contracts
relating to indices such as the VIX, a certain date for payment in cash
of an amount determined by the level of the underlying index. The
Indexes operate by selling, on a daily basis, Index Components with a
nearby settlement date and purchasing Index Components with a longer-
dated settlement date. The roll for each contract occurs on each
Business Day according to a pre-determined schedule that has the effect
of keeping constant the weighted average maturity of the relevant
futures contracts. This process is known as ``rolling'' a futures
position, and each Index is a ``rolling index.'' The constant weighted
average maturity for the futures underlying the S&P 500 VIX Short-Term
Futures Index is one month and for the futures underlying the S&P 500
VIX Mid-Term Futures Index is five months.
    Because the Indexes incorporate this process of rolling futures
positions on a daily basis, and the Funds, in general, also roll their
positions on a daily basis, the daily roll is not anticipated to be a
significant source of tracking error between either Fund and its
respective Index. The Indexes are based on VIX Futures Contracts and
not the VIX, and, as such, neither the Funds nor the Indexes are
expected to track the VIX.
Purchases and Redemptions of Creation Units
    The Funds will create and redeem Shares from time to time in one or
more Creation Units. A Creation Unit is a block of 50,000 Shares.
Except when aggregated in Creation Units, the Shares are not redeemable
securities.
    On any Business Day, an Authorized Participant may place an order
with the Distributor to create one or more Creation Units.\11\ The
total cash payment required to create each Creation Unit is the NAV of
50,000 Shares of the Funds on the purchase order date plus the
applicable transaction fee.
---------------------------------------------------------------------------

    \11\ Authorized Participants have a cut-off time of 12 p.m. E.T.
to place creation and redemption orders.
---------------------------------------------------------------------------

    The procedures by which an Authorized Participant can redeem one or
more Creation Units mirror the procedures for the purchase of Creation
Units. On any Business Day, an Authorized Participant may place an
order with the Distributor to redeem one or more Creation Units. The
redemption proceeds from a Fund consist of the cash redemption amount.
The cash redemption amount is equal to the NAV of the number of
Creation Unit(s) of a Fund requested in the Authorized Participant's
redemption order as of the time of the calculation of a Fund's NAV on
the redemption order date, less transaction fees.
Availability of Information Regarding the Shares
    The NAV for the Funds' Shares will be calculated by the
Administrator once a day and will be disseminated daily to all market
participants at the same time.\12\ The Exchange will make available on
its Web site daily trading volume of each of the Shares, closing prices
of such Shares, and number of Shares outstanding.
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    \12\ According to the Registration Statement, net asset value
means the total assets of the Funds including, but not limited to,
all cash and cash equivalents or other debt securities less total
liabilities of the Funds, each determined on the basis of generally
accepted accounting principles in the United States, consistently
applied under the accrual method of accounting. Each Fund's NAV is
calculated at 4:15 p.m. (E.T.).
---------------------------------------------------------------------------

    The closing prices and settlement prices of the Index Components
are also readily available from the Web sites of the CFE (http://www.cfe.cboe.com), automated quotation systems, published or other
public sources, or on-line

information services such as Bloomberg or Reuters. Complete real-time
data for component futures underlying the Indexes is available by
subscription from Reuters and Bloomberg. The CFE also provides delayed
futures information on current and past trading sessions and market
news free of charge on its Web site (http://www.cfe.cboe.com). The
specific contract specifications for component futures underlying the
Indexes are also available on such Web sites, as well as other
financial informational sources. Quotation and last-sale information
regarding the Shares will be disseminated through the facilities of the
Consolidated Tape Association (``CTA''). In addition, the Funds' Web
site at http://www.proshares.com will display the end of day closing
Index levels and NAV.
    The Funds will provide Web site disclosure of portfolio holdings
daily and will include, as applicable, the notional value (in U.S.
dollars) of VIX Futures Contracts and characteristics of such
instruments and cash equivalents, and amount of cash held in the
portfolio of the Funds. This Web site disclosure of the portfolio
composition of the Funds will occur at the same time as the disclosure
by the Funds of the portfolio composition to Authorized Participants so
that all market participants are provided portfolio composition
information at the same time. Therefore, the same portfolio information
will be provided on the public Web site as well as in electronic files
provided to Authorized Participants. Accordingly, each investor will
have access to the current portfolio composition of the Funds through
the Funds' Web site.
    In addition, in order to provide updated information relating to
the Funds for use by investors and market professionals, an updated
Indicative Optimized Portfolio Value (``IOPV'') will be calculated. The
IOPV is an indicator of the value of the VIX Futures Contracts and cash
and/or cash equivalents less liabilities of a Fund at the time the IOPV
is disseminated. NYSE Arca calculates and disseminates every 15 seconds
throughout the trading day an updated IOPV. The IOPV is calculated by
the NYSE Arca using the prior day's closing net assets of a Fund as a
base and updating throughout the trading day changes in the value of
the Funds' holdings.
    The NYSE Arca disseminates the IOPV. In addition, the IOPV is
published on the NYSE Arca's Web site and is available through on-line
information services such as Bloomberg and Reuters.
    The IOPV disseminated during the Core Trading Session should not be
viewed as an actual real-time update of the NAV, which is calculated
only once a day. The IOPV also should not be viewed as a precise value
of the Shares.
    The Exchange believes that dissemination of the IOPV provides
additional information regarding the Funds that is not otherwise
available to the public and is useful to professionals and investors in
connection with the related Shares trading on the Exchange or the
creation or redemption of such Shares.
    Additional information regarding the Funds and the Shares,
including investment strategies, risks, creation and redemption
procedures, fees, portfolio holdings disclosure policies, distributions
and taxes is included in the Registration Statement.
Trading Rules
    The Exchange deems the Shares to be equity securities, thus
rendering trading in the Shares subject to the Exchange's existing
rules governing the trading of equity securities. Shares will trade on
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. The Exchange has
appropriate rules to facilitate transactions in the Shares during all
trading sessions. As provided in NYSE Arca Equities Rule 7.6,
Commentary .03, 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 trading of the Shares will be subject to NYSE Arca Equities
Rule 8.200, Commentary .02(e), which sets forth certain restrictions on
ETP Holders acting as registered Market Makers in Trust Issued Receipts
to facilitate surveillance. See ``Surveillance'' below for more
information.
    With respect to trading halts, the Exchange may consider all
relevant factors in exercising its discretion to halt or suspend
trading in the Shares. Trading may be halted because of market
conditions or for reasons that, in the view of the Exchange, make
trading in the Shares inadvisable. These may include: (1) The extent to
which trading is not occurring in the underlying futures contracts; or
(2) whether other unusual conditions or circumstances detrimental to
the maintenance of a fair and orderly market are present. In addition,
trading in Shares will be subject to trading halts caused by
extraordinary market volatility pursuant to the Exchange's ``circuit
breaker'' rule \13\ or by the halt or suspension of trading of the
underlying futures contracts.
---------------------------------------------------------------------------

    \13\ See NYSE Arca Equities Rule 7.12.
---------------------------------------------------------------------------

    The Exchange represents that the Exchange may halt trading during
the day in which the interruption to the dissemination of the IOPV, the
value of the Index, the VIX or the value of the underlying VIX Futures
Contracts occurs. If the interruption to the dissemination of the IOPV,
the value of the Index, the VIX or the value of the underlying VIX
Futures Contracts 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.
    The Funds will meet the initial and continued listing requirements
applicable to Trust Issued Receipts in NYSE Arca Equities Rule 8.200
and Commentary .02 thereto. With respect to application of Rule 10A-3
under the Act,\14\ the Shares must be in compliance with NYSE Arca
Equities Rule 5.3 and Rule 10A-3 under the Act. A minimum of 100,000
Shares of each of the Funds will be outstanding as of the start of
trading on the Exchange.
---------------------------------------------------------------------------

    \14\ 17 CFR 240.10A-3.
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Surveillance
    The Exchange intends to utilize its existing surveillance
procedures applicable to derivative products, including Trust Issued
Receipts, to monitor trading in the Shares. 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.
    The Exchange's current trading surveillances focus on detecting
securities trading outside their normal patterns. 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 is able to
obtain information regarding trading in the Shares, options, futures or
options on futures on, Shares through ETP Holders, in connection with
such ETP Holders' proprietary or customer trades through ETP Holders
which they effect on any relevant market. The Exchange can obtain
market

surveillance information, including customer identity information, with
respect to transactions occurring on the exchanges that are members of
the Intermarket Surveillance Group (``ISG''), including the CBOE and
CFE. A list of ISG members is available at http://www.isgportal.org.
    The Exchange also has a general policy prohibiting the distribution
of material, non-public information by its employees.
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its
ETP Holders in an Information Bulletin of the special characteristics
and risks associated with trading the Shares. Specifically, the
Information Bulletin will discuss the following: (1) The risks involved
in trading the Shares during the Opening and Late Trading Sessions when
an updated IOPV will not be calculated or publicly disseminated; (2)
the procedures for purchases and redemptions of Shares in Creation
Baskets and Redemption Baskets (and that Shares are not individually
redeemable); (3) NYSE Arca Equities Rule 9.2(a), which imposes a duty
of due diligence on its ETP Holders to learn the essential facts
relating to every customer prior to trading the Shares; (4) 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 (6) 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 Funds. The Exchange notes that investors
purchasing Shares directly from the Funds will receive a prospectus.
ETP Holders purchasing Shares from the Funds 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 Funds
are subject to various fees and expenses described in the Registration
Statement. The Information Bulletin will also reference that the
Commodity Futures Trading Commission has regulatory jurisdiction over
futures contracts traded on U.S. markets.
    The Information Bulletin will also disclose the trading hours of
the Shares of the Funds and that the NAV for the Shares is calculated
after 4:15 p.m. E.T. each trading day. The Bulletin will disclose that
information about the Shares of the Funds is publicly available on the
Funds' Web site.
2. Statutory Basis
    The proposed rule change is consistent with Section 6(b) of the
Act,\15\ in general, and furthers the objectives of Section
6(b)(5),\16\ in particular, in that it is designed to prevent
fraudulent and manipulative acts and practices, to promote just and
equitable principles of trade, to foster cooperation and coordination
with persons engaged in facilitating transactions in securities, and to
remove impediments to and perfect the mechanism of a free and open
market and a national market system. The Exchange believes that the
proposed rule change will permit the listing of an additional issuance
of Trust Issued Receipts on the Exchange that will enhance competition,
to the benefit of investors and the marketplace. In addition, the
listing and trading criteria set forth in Rule 8.200 are intended to
protect investors and the public interest.
---------------------------------------------------------------------------

    \15\ 15 U.S.C. 78f(b).
    \16\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

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 purposes of the Act.

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

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

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

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

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an e-mail to<EMAIL_ADDRESS>Please include
File Number SR-NYSEArca-2010-101 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEArca-2010-101. This
file number should be included on the subject line if e-mail is used.
To help the Commission process and review your comments more
efficiently, please use only one method. The Commission will post all
comments on the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments,
all written statements with respect to the proposed rule change that
are filed with the Commission, and all written communications relating
to the proposed rule change between the Commission and any person,
other than those that may be withheld from the public in accordance
with the provisions of 5 U.S.C. 552, will be available for Web site
viewing and printing in the Commission's Public Reference Room, 100 F
Street, NE., Washington, DC 20549-1090 on official business days
between 10 a.m. and 3 p.m. Copies of the filing will also be available
for inspection and copying at the Exchange's principal office. All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-NYSEArca-2010-101 and should
be submitted on or before December 13, 2010.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\17\
---------------------------------------------------------------------------

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

Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-29351 Filed 11-19-10; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register Volume 79, Number 180 (Wednesday, September 17, 2014)]
[Notices]
[Pages 55783-55784]
[FR Doc No: 2014-22180]

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

DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

Combined Notice of Filings 2

    Take notice that the Commission received the following electric
corporate filings:
    Docket Numbers: EC14-139-000.
    Applicants: Spring Canyon Energy LLC, Spring Canyon Energy II LLC,
Spring Canyon Energy III LLC.
    Description: Application for Authorization Under Section 203 of the
Federal Power Act and Request for Waivers and Expedited Action of
Spring Canyon Energy LLC, et. al.
    Filed Date: 9/10/14.
    Accession Number: 20140910-5054.
    Comments Due: 5 p.m. ET 10/1/14.
    Take notice that the Commission received the following exempt
wholesale generator filings:

    Docket Numbers: EG14-102-000.
    Applicants: Hoopeston Wind, LLC.
    Description: Self-Certification of EG or FC of Hoopeston Wind, LL.
    Filed Date: 9/10/14.
    Accession Number: 20140910-5167.
    Comments Due: 5 p.m. ET 10/1/14.
    Take notice that the Commission received the following electric
rate filings:

    Docket Numbers: ER14-2176-001.
    Applicants: Midcontinent Independent System Operator, Inc.

    Description: Compliance filing per 35: 2014-09-10SA 6500
Escanaba SSR Compliance Filing to be effective 6/15/2014.
    Filed Date: 9/10/14.
    Accession Number: 20140910-5153.
    Comments Due: 5 p.m. ET 10/1/14.

    Docket Numbers: ER14-2180-001.
    Applicants: Midcontinent Independent System Operator, Inc.
    Description: Compliance filing per 35: 2014-09-10 Schedule 43
Escanaba Compliance Filing to be effective 6/15/2014.
    Filed Date: 9/10/14.
    Accession Number: 20140910-5155.
    Comments Due: 5 p.m. ET 10/1/14.

    Docket Numbers: ER14-2432-001.
    Applicants: Southern California Edison Company.
    Description: Tariff Amendment per 35.17(b): Amended LGIA with SP
Antelope DSR LLC to be effective 7/16/2014.
    Filed Date: 9/10/14.
    Accession Number: 20140910-5146.
    Comments Due: 5 p.m. ET 10/1/14.

    Docket Numbers: ER14-2820-001.
    Applicants: Spring Canyon Energy II LLC.
    Description: Tariff Amendment per 35.17(b): Supplement to Market-
Based Rate Application to be effective 9/30/2014.
    Filed Date: 9/10/14.
    Accession Number: 20140910-5058.
    Comments Due: 5 p.m. ET 10/1/14.

    Docket Numbers: ER14-2822-000.
    Applicants: PJM Interconnection, LLC.
    Description: Tariff Withdrawal per 35.15: Notice of Cancellation of
Original Service Agreement No. 3529; Queue No. Y2-037 to be effective
9/10/2014.
    Filed Date: 9/10/14.
    Accession Number: 20140910-5064.
    Comments Due: 5 p.m. ET 10/1/14.

    Docket Numbers: ER14-2823-000.
    Applicants: Double C Generation Limited Partnership.
    Description: Sec.  205(d) rate filing per 35.13(a)(2)(iii): Notice
of Succession to be effective 12/8/2011.
    Filed Date: 9/10/14.
    Accession Number: 20140910-5162.
    Comments Due: 5 p.m. ET 10/1/14.
    Take notice that the Commission received the following electric
securities filings:

    Docket Numbers: ES14-52-000.
    Applicants: Consolidated Edison Company of New York, Inc.
    Description: Application of Consolidated Edison Company of New
York, Inc.
    Filed Date: 9/10/14.
    Accession Number: 20140910-5053.
    Comments Due: 5 p.m. ET 10/1/14.
    The filings are accessible in the Commission's eLibrary system by
clicking on the links or querying the docket number.
    Any person desiring to intervene or protest in any of the above
proceedings must file in accordance with Rules 211 and 214 of the
Commission's Regulations (18 CFR 385.211 and 385.214) on or before 5:00
p.m. Eastern time on the specified comment date. Protests may be
considered, but intervention is necessary to become a party to the
proceeding.
    eFiling is encouraged. More detailed information relating to filing
requirements, interventions, protests, service, and qualifying
facilities filings can be found at: http://www.ferc.gov/docs-filing/efiling/filing-req.pdf. For other information, call<PHONE_NUMBER>
(toll free). For TTY, call<PHONE_NUMBER>.

    Dated: September 10, 2014.
Nathaniel J. Davis, Sr.,
Deputy Secretary.
[FR Doc. 2014-22180 Filed 9-16-14; 8:45 am]
BILLING CODE 6717-01-P