[Federal Register Volume 78, Number 171 (Wednesday, September 4, 2013)]
[Notices]
[Pages 54507-54509]
[FR Doc No: 2013-21458]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-70279; File No. SR-OCC-2013-14]

Clearing Agency; the Options Clearing Corporation; Notice of
Filing of Proposed Rule Change To Amend an Existing Interpretation and
Policy To Give OCC Discretion Not To Grant a Particular Clearing Member
Margin Credit for an Otherwise Eligible Security

August 28, 2013.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder \2\ notice is hereby given that
on August 15, 2013, The Options Clearing Corporation (``OCC'') filed
with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I, II and III below, which
items have been prepared by OCC.\3\ 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.
    \3\ OCC also filed the proposed rule change as an advance notice
under Section 806(e)(1) of Title VIII of the Dodd-Frank Wall Street
Reform and Consumer Protection Act entitled the Payment, Clearing,
and Settlement Supervision Act of 2010 (``Clearing Supervision
Act''). 12 U.S.C. 5465(e)(1). See SR-OCC-2013-805.
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I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change

    OCC proposes to amend an existing Interpretation and Policy so that
OCC has discretion to disapprove as margin collateral for a particular
clearing member, shares of an otherwise eligible security held as
margin.

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change

    In its filing with the Commission, OCC 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 these statements may be examined at the places specified in
Item IV below. OCC has prepared summaries, set forth in sections (A),
(B), and (C) below, of the most significant aspects of these
statements.

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change

(1) Purpose of the Proposed Rule Change
    The purpose of the proposed rule change is to provide OCC with
discretion with regard to granting or not granting margin credit to a
clearing member. OCC currently may withhold margin credit from all
clearing members with respect to a specific security. OCC proposes to
address the risk presented by concentrated positions of securities
posted as margin by particular clearing members by withholding margin
credit from such clearing member's accounts. OCC proposes to enhance
its ability to limit its risk exposure to a concentrated position of
equity securities posted as margin by a specific clearing member by
providing OCC with the discretion to disregard, for the purposes of
granting margin credit, some or all of the otherwise eligible equity
securities posted as margin. In addition, the proposed rule change is
designed to provide OCC with discretion to make exceptions to proposed
Interpretation and Policy .14 with respect to a specific clearing
member. Accordingly, OCC may allow margin credit for an otherwise
ineligible security for a specific clearing member in situations in
which OCC determines that such security serves as a hedge to positions
in cleared contracts in the same account of such clearing member.
    Rule 604 lists the acceptable types of assets that clearing members
may post with OCC to satisfy their margin requirements under Rule 601,
including equity securities, and establishes the eligibility criteria
for such assets. Equity securities are the most common form of margin
assets posted by clearing members and, under Rule 601, are included in
OCC's STANS margining system for the purposes of valuing such equity
securities and determining on a portfolio basis a clearing member's
margin obligation to OCC. Interpretation and Policy .14 to Rule 604
allows OCC to disapprove a security as margin collateral for all
clearing members based on a consideration of the factors set forth in
the interpretation, including number of outstanding shares, number of
outstanding shareholders and overall trading volume. The STANS system
currently takes into account the risk to a portfolio presented by
fluctuations in the market price ofconcentrated security positions by
identifying the two individual securities whose adverse price movements
would result in the largest losses in each account and applying
additional margin requirements to an account based on those losses if
appropriate.However, this test does not evaluate a large equity
securities position in relation to the securities position's average
daily trade volume, which would be relevant if OCC were required to
liquidate the position. OCC has determined that in the event of a
clearing member liquidation, OCC may be exposed to concentration risk
arising from a large equity security position deposited or pledged as
margin by a particular clearing member. Depending on the relationship
between the average daily trading volume of a particular security and
the number of outstanding shares of such security deposited by a
clearing member as margin, it is possible that the listed equities
markets may not be able to quickly absorb the equity securities OCC
seeks to sell, or without an

appreciable negative price impact, in the event OCC needs to liquidate
the clearing member's accounts. This risk is greatest when the number
of shares being sold is large and the average daily trading volume is
low. Neither the STANS system nor Rule 604 explicitly addresses this
type of concentration risk.
    To address concentration risk arising from the potential need to
liquidate a particular clearing member's margin collateral, OCC
proposes to expand its discretion under Interpretation and Policy .14
to limit, in OCC's discretion, the margin credit granted to an
individual clearing member account which maintains a concentrated
equity securities position by disregarding some or all of the otherwise
eligible equity securities posted as margin based on an assessment of
specific factors listed in Interpretation and Policy .14. OCC considers
an equity security's average daily trading volume and the number of
shares a clearing member deposited as margin to be the two most
significant factors when making a decision to limit margin credit due
to concentration risk.\4\ In addition, OCC proposes to amend
Interpretation and Policy .14 so that it may grant margin credit when
otherwise ineligible securities are deposited as margin collateral if
such ineligible securities act as a hedge against cleared contracts
held in the same account. For example, if a clearing member deposits
otherwise ineligible equity securities as margin, OCC may nevertheless
deem such ineligible securities to be acceptable margin collateral to
the extent that the position is a hedge against a short position in its
cleared contracts, because a decline in the value of the securities
that serve as a hedge would be wholly or partially offset by an
increase in value in the hedged position thereby reducing or
eliminating the concentration risk. In such a situation, OCC will limit
the margin credit granted to the lesser of a multiple of the daily
trading volume or the ``delta equivalent position'' \5\ for the
particular equity security, taking into account the hedging
position.\6\
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    \4\ The limit is currently two times the equity security's
average daily trading volume.
    \5\ The ``delta equivalent position'' is the value of a
securities position that takes into account the position's use as a
hedge against cleared option or futures positions. This value is
calculated using the ``delta'' of the option or futures contract,
which is the ratio between the theoretical change in the price of an
underlying asset to the corresponding change in the price of the
options or futures contract. Thus, delta measures the sensitivity of
an options or futures contract price to changes in the price of the
underlying asset. For example, a delta of +0.7 means that for every
$1 increase in the price of the underlying stock, the price of a
call option will increase by $0.70. Delta for an option or future
can be expressed in shares of the underlying asset. For example, a
standard put option with a delta of times -.45 would have a delta of
-45 shares, because the unit of trading is 100 shares.
    \6\ Assume, for example, an average daily trade volume of 250
shares, a threshold of 2 times the average daily trade volume, and a
delta of -300 shares for the options on a particular security in a
particular account. A position of 700 shares that did not hedge any
short options or futures would receive credit for only 500 shares
(i.e., 2 times the average daily trade volume). If the net long
position in the account, as adjusted for the delta of short option
and futures positions, were only 400, credit would be given for the
entire 700 shares since the delta equivalent position is below the
500 share threshold. However, if the option delta were +300, the net
long position would be 1000, and credit would only be given for 500
shares because the delta equivalent position would exceed the 500
share threshold.
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    OCC staff has been monitoring concentrated securities positions and
assessing the impact of the proposed change described in this rule
filing. OCC believes that, with OCC's assistance by supplying
additional information to clearing members, clearing members will be
able to accommodate the proposed changes without undue hardship.
Accordingly, after receiving regulatory approval for the proposed rule
change, OCC will implement the change and work on an ``as needed''
manual basis with clearing members that are impacted until the limits
are imposed systematically and the distribution of the applicable files
and reports to clearing members is automated.
(2) Statutory Basis for the Proposed Rule Change
    The proposed rule change is consistent with the purposes and
requirements of Section 17A(b)(3)(F) \7\ of the Act \8\ and the rules
and regulations thereunder, including Rules 17Ad-22(b)(1),\9\ 17Ad-
22(b)(2)\10\ and 17Ad-22(d)(2)\11\ for the following reasons. It
provides for the prompt and accurate clearance and settlement of
securities transactions and the protection of investors and the public
interest by improving OCC's risk management process related to deposits
as margin collateral of concentrated equity securities positions by
individual clearing members. The proposed rule change enhances OCC's
ability to limit its risk exposure to potential losses from defaults by
such clearing members under normal market conditions through the use of
risk-based parameters and encourages clearing members to have
sufficient financial resources to meet their obligations to OCC. The
proposed rule change is not inconsistent with any existing OCC By-Laws
or Rules, including those proposed to be amended.
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    \7\ 15 U.S.C. 78q-1(b)(3)(F).
    \8\ 15 U.S.C. 78a et seq.
    \9\ 17 CFR 240.17Ad-22(b)(1).
    \10\ 17 CFR 240.17Ad-22(b)(2).
    \11\ 17 CFR 240.17Ad-22(d)(2).
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(B) Clearing Agency's Statement on Burden on Competition

    OCC does not believe that the proposed rule change would impose a
burden on competition that is not necessary or appropriate in
furtherance of the purposes of the Act.\12\ The proposed change will be
applied equally to every clearing member based on all the factors
listed in proposed Interpretation and Policy .14 and would encourage
clearing members to avoid depositing concentrated equity security
positions as margin, particularly where the average daily trading
volume of the deposited security is low, while taking into account the
use of equity securities as a hedge against short positions in cleared
options or futures contracts. By limiting margin credit granted as
proposed, OCC will reduce its risk exposure to a concentrated position
of equity securities posted as margin by any clearing member.
Accordingly, the proposed rule change contributes to the goal of OCC's
financial stability in the event of clearing member default, rendering
not unreasonable or inappropriate any burden on competition that the
changes could be regarded as imposing.
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    \12\ 15 U.S.C. 78q-1(b)(3)(I).
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(C) Clearing Agency's Statement on Comments on the Proposed Rule Change
Received From Members, Participants or Others

    Written comments on the proposed rule change were not and are not
intended to be solicited with respect to the proposed rule change and
none have been received.

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.
    The proposal shall not take effect until all regulatory actions
required

with respect to the proposal are completed.\13\
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    \13\ OCC also filed the proposed rule change as an advance
notice under Section 806(e)(1) of the Clearing Supervision Act. See
supra note 3.
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IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to<EMAIL_ADDRESS>Please include
File Number SR-OCC-2013-14 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-OCC-2013-14. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method of submission. 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 Section, 100
F Street NE., Washington, DC 20549, on official business days between
the hours of 10:00 a.m. and 3:00 p.m. Copies of such filing also will
be available for inspection and copying at the principal office of OCC
and on OCC's Web site at http://www.theocc.com/components/docs/legal/rules_and_bylaws/sr_occ_13_14.pdf.
    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-OCC-2013-14 and
should be submitted on or before September 25, 2013.

    For the Commission by the Division of Trading and Markets,
pursuant to delegated Authority.\14\
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    \14\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2013-21458 Filed 9-3-13; 8:45 am]
BILLING CODE 8011-01-P


  SEQ CHAPTER \h \r 1

Project No.: 0<IP_ADDRESS>2

DISTRIBUTION

Page _1_ of  __1_

Project Name: 304m – Coal Mining Detailed Study

TELEPHONE CALL RECORD

	  Outgoing Call

Date: 5/18/2007

Time: 2:30 am

Company Name: PA Department of Environmental Protection

Contact Name:   Mike Smith

Phone No.:<PHONE_NUMBER>

Name:  Jessica Wolford

GENERAL SUBJECT :  Performance Data for Treatment Technologies for Acid
Mine Drainage

TOPICS DISCUSSED AND ACTION TAKEN

Thursday, May 17, 2007 at 1:45 pm, I left a message for Mr. Bob Agnew of
the Pennsylvania Department of Environmental Protection (PA DEP) to
discuss the following items:

Data previously provided from the PA DEP mainframe are untreated
samples;

Untreated ranges (low, medium, and high) for flow, pH, iron, manganese,
magnesium, aluminum, and alkalinity; and

Paired treatment performance data for various active and passive
treatment technologies.

Friday, May 18, 2007 at 10:45 am, Mr. Agnew returned my call.  I asked
Mr. Agnew if the database he provided (5-2-07 Permits With Active MDI
Points And Avg Results.xls) only contained untreated samples.  Mr. Agnew
confirmed that the database was only sampling data from discharges prior
to treatment.  I explained to Mr. Agnew that EPA and ERG needs untreated
ranges for the input parameters in AMDTreat® for each of the model
mines included in the “Model Mine Concept Memorandum” and that EPA
would like PA DEP to provide the ranges.  Mr. Agnew said he could
manipulate the database but would not know if the results provided
accurate ranges for EPA.  Mr. Agnew suggested I contact Mr. Mike Smith
of PA DEP<PHONE_NUMBER>) to get the input parameter ranges.

I also explained to Mr. Agnew that EPA and ERG would like paired data
for 10 treatment system locations for each type of treatment system
(e.g., 10 mine sites treating acid mine drainage using limestone beds).
Mr. Agnew said the District Mining Managers would need to provide him
with the mine permit and outfall information to link the untreated and
treated samples together in the PA DEP database.  Mr. Agnew suggested
that I contact Mr. Smith about getting the treatment systems.

Friday, May 18, 2007 at 2:30 pm, I left a message for Mr. Smith to
discuss untreated ranges for input parameters into EPA’s cost modules
and paired treatment performance data.

Friday, May 18, 2007 at 3:00 pm, Mr. Smith returned my call.  I
explained that Mr. Agnew suggested I contact Mr. Smith about obtaining
ranges for input parameters into EPA’s cost modules and obtaining
paired sampling data to determine treatment system performance.  I
explained that EPA’s cost modules are based on input water
characteristics and that EPA wanted stakeholders to provide ranges (low,
medium, and high) for the following parameters:

Alkalinity;

Aluminum;

Flow;

Iron;

Manganese; and

pH.

I said that EPA wanted stakeholders to provide the data to ensure the
ranges were reasonable compared to sampling data.  I told Mr. Smith that
the ranges could be based on best professional judgment or sampling
data, which ever was easier.  Mr. Smith said he would discuss the ranges
with other PA DEP mining staff during a meeting on May 30, 2007.

I explained that EPA wants treatment performance data for active and
passive treatment systems.  I said that ideally, EPA would obtain
sampling data for 10 mine sites for each type of treatment system.  I
told Mr. Smith that EPA’s priority is obtaining data for chemical
precipitation using caustic and/or lime, chemical precipitation using
lime, and limestone beds (not manganese removal beds), but would also
like information for other treatment systems that have been demonstrated
(e.g., wetlands, vertical flow ponds, manganese removal beds).  Mr.
Smith said he would discuss the treatment systems with the PA DEP mining
staff during the May 30, 2007 meeting.  Mr. Smith stated that he did not
know of 10 limestone bed treatment systems because of the requirements
on the untreated water quality; however, he would discuss it with the
staff.

Mr. Smith asked that I email him the information EPA wanted to remind
him before the May 30, 2007 meeting.

Need to return call by         /         at/between         and
.	Signature:


[Federal Register Volume 85, Number 185 (Wednesday, September 23, 2020)]
[Notices]
[Pages 59836-59843]
[FR Doc No: 2020-20938]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-89901; File No. SR-CboeBZX-2020-070]

Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of
Filing of a Proposed Rule Change To List and Trade Shares of the -1x
Short VIX Futures ETF, a Series of VS Trust, Under Rule 14.11(f)(4)
(``Trust Issued Receipts'')

September 17, 2020.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on September 4, 2020, Cboe BZX Exchange, Inc. (``Exchange'' or ``BZX'')
filed with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I, II, and III below, which
Items have been prepared by the 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

    Cboe BZX Exchange, Inc. (the ``Exchange'' or ``BZX'') is filing
with the Securities and Exchange Commission (``Commission'') a proposed
rule change to list and trade shares of the -1x Short VIX Futures ETF,
a series of VS Trust,

under Rule 14.11(f)(4) (``Trust Issued Receipts'').
    The text of the proposed rule change is also available on the
Exchange's website (http://markets.cboe.com/us/equities/regulation/rule_filings/bzx/), at the Exchange's Office of the Secretary, and at
the Commission's Public Reference Room.

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

    In its filing with the Commission, the Exchange 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 these 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 aspects of such
statements.

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

1. Purpose
    This Amendment No. 3 to SR-CboeBZX-2020-003 amends and replaces in
its entirety the proposal as amended by Amendment No. 2, which was
submitted on April 13, 2020, and amended and replaced in its entirety
the proposal as amended by Amendment No. 1, which was submitted on
March 24, 2020. The original proposal, submitted on January 3, 2020,
was amended and replaced in its entirety by Amendment No. 1. The
Exchange submits this Amendment No. 3 in order to clarify certain
points and add additional details to the proposal.
    The Exchange proposes to list and trade Shares of the -1x Short VIX
Futures ETF (the ``Fund'') under Rule 14.11(f)(4), which governs the
listing and trading of Trust Issued Receipts \3\ on the Exchange.\4\
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    \3\ Rule 14.11(f)(4) applies to Trust Issued Receipts that
invest in ``Financial Instruments.'' The term ``Financial
Instruments,'' as defined in Rule 14.11(f)(4)(A)(iv), 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 approved BZX Rule 14.11(f)(4) in Securities
Exchange Act Release No. 68619 (January 10, 2013), 78 FR 3489
(January 16, 2013) (SR-BZX-2012-044).
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    The Fund seeks to provide daily investment results (before fees and
expenses), as further described below, that correspond to the
performance of a benchmark that seeks to offer short exposure to market
volatility through publicly traded futures markets. The benchmark for
the Fund is the Short VIX Futures Index (the ``Index'' or ticker symbol
SHORTVOL).\5\ The Index measures the daily inverse (i.e., the opposite)
performance of a theoretical portfolio of first- and second-month
futures contracts on the Cboe Volatility Index (``VIX'').\6\
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    \5\ The Index is sponsored by Cboe Global Indexes (the ``Index
Sponsor''). The Index Sponsor is not a registered broker-dealer, but
is affiliated with a broker-dealer. The Index Sponsor has
implemented and will maintain a fire wall with respect to the
broker-dealer affiliate regarding access to information concerning
the composition and/or changes to the Index. In addition, the Index
Sponsor has implemented and will maintain procedures that are
designed to prevent the use and dissemination of material, non-
public information regarding the Index.
    \6\ The VIX is an index designed to measure the implied
volatility of the S&P 500 over 30 days in the future. The VIX is
calculated based on the prices of certain put and call options on
the S&P 500. The VIX is reflective of the premium paid by investors
for certain options linked to the level of the S&P 500.
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    The Fund will primarily invest in VIX futures contracts traded on
the Cboe Futures Exchange, Inc. (``CFE'') (hereinafter referred to as
``VIX Futures Contracts'') based on components of the Index to pursue
its investment objective. In the event accountability rules, price
limits, position limits, margin limits or other exposure limits are
reached with respect to VIX Futures Contracts, Volatility Shares LLC
(the ``Sponsor'') may cause the Fund to obtain exposure to the Index
through Over-the-Counter (OTC) swaps referencing the Index or
particular VIX Futures Contracts comprising the Index (hereinafter
referred to as ``VIX Swap Agreements''). The Fund may also invest in
VIX Swap Agreements if the market for a specific VIX Futures Contract
experiences emergencies (e.g., natural disaster, terrorist attack or an
act of God) or disruptions (e.g., a trading halt or a flash crash) or
in situations where the Sponsor deems it impractical or inadvisable to
buy or sell VIX Futures Contracts (such as during periods of market
volatility or illiquidity).
    The Sponsor, a Delaware limited liability company, serves as the
Sponsor of VS Trust (the ``Trust''). The Sponsor is a commodity pool
operator.\7\ Tidal ETF Services LLC serves as the administrator (the
``Administrator'') and U.S. Bank National Association serves as
custodian of the Fund and its Shares. U.S. Bancorp Fund Services, LLC
serves as the sub-administrator (the ``Sub-Administrator'') and
transfer agent. Wilmington Trust Company, a Delaware trust company, is
the sole trustee of the Trust.
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    \7\ The Fund has filed a draft registration statement on Form S-
1 under the Securities Act of 1933, dated December 6, 2019 (File No.
377-02945) (``Draft Registration Statement''). The description of
the Fund and the Shares contained herein are based on the Draft
Registration Statement. The Fund will not trade on the Exchange
until such time as there is an effective registration statement for
the Fund.
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    If the Sponsor to the Trust issuing the Trust Issued Receipts is
affiliated with a broker-dealer, such Sponsor to the Trust shall erect
and maintain a ``fire wall'' between the Sponsor and the broker-dealer
with respect to access to information concerning the composition and/or
changes to the Fund's portfolio. The Sponsor is not a broker-dealer or
affiliated with a broker-dealer. In the event that (a) the Sponsor
becomes a broker-dealer or newly affiliated with a broker-dealer, or
(b) any new sponsor is a broker-dealer or becomes affiliated with a
broker-dealer, it will implement and maintain a fire wall with respect
to its relevant personnel or such broker-dealer affiliate, as
applicable, regarding access to information concerning the composition
and/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 VIX Swap Agreements in which the Fund may invest may be cleared
or non-cleared. The Fund will collateralize its obligations with Cash
and Cash Equivalents \8\ consistent with the 1940 Act and
interpretations thereunder.
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    \8\ For purposes of this proposal, the term ``Cash and Cash
Equivalents'' shall have the definition provided in Exchange Rule
14.11(i)(4)(C)(iii), applicable to Managed Fund Shares.
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    The Fund will only enter into VIX Swap Agreements with
counterparties that the Sponsor reasonably believes are capable of
performing under the contract and will post as collateral as required
by the counterparty. 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 Sponsor will evaluate the
creditworthiness of counterparties on a regular basis. In addition to
information provided by credit agencies, the Sponsor will review
approved counterparties using various factors, which may include the
counterparty's reputation, the Sponsor's past experience with the
counterparty and the price/market actions of debt of the counterparty.
    The Fund may use various techniques to minimize OTC counterparty
credit risk including entering into arrangements with its
counterparties whereby both sides exchange collateral

on a mark-to-market basis. Collateral posted by the Fund to a
counterparty in connection with uncleared VIX Swap Agreements is
generally held for the benefit of the counterparty in a segregated tri-
party account at the custodian to protect the counterparty against non-
payment by the Fund.
    In addition to VIX Swap Agreements, if the Fund is unable to meet
its investment objective through investments in VIX Futures Contracts,
the Fund may also obtain exposure to the Index through listed VIX
options contracts traded on the Cboe Exchange, Inc. (``Cboe'')
(hereinafter referred to as ``VIX Options Contracts'').
    The Fund may also invest in Cash and Cash Equivalents that may
serve as collateral in the above referenced VIX Futures Contracts, VIX
Swap Agreements, and VIX Option Contracts (collectively referred to as
the ``VIX Derivative Products'').
    If the Fund is successful in meeting its objective, its value
(before fees and expenses) on a given day should gain approximately as
much on a percentage basis as the level of the Index when it rises.
Conversely, its value (before fees and expenses) should lose
approximately as much on a percentage basis as the level of the Index
when it declines. The Fund primarily acquires short exposure to the VIX
through VIX Futures Contracts, such that the Fund has exposure intended
to approximate the Index at the time of the net asset value (``NAV'')
calculation of the Fund. However, as discussed above, in the event that
the Fund is unable to meet its investment objective solely through the
investment of VIX Futures Contracts, it may invest in VIX Swap
Agreements or VIX Options Contracts. The Fund may also invest in Cash
or Cash Equivalents that may serve as collateral to the Fund's
investments in VIX Derivative Products.
    The 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 Fund seeks to remain fully invested at
all times in VIX Derivative Products (and Cash and Cash Equivalents as
collateral) \9\ that provide exposure to the Index consistent with its
investment objective without regard to market conditions, trends or
direction.
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    \9\ Supra note 6.
---------------------------------------------------------------------------

    In seeking to achieve the 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 daily returns
consistent with the Fund's objective. The Sponsor relies upon a pre-
determined model to generate orders that result in repositioning the
Fund's investments in accordance with its investment objective.
VIX Futures Contracts
    The Index is comprised of, and the value of the Fund 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,
as illustrated below.
    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). For example, a VIX Futures Contract purchased
in March that expires in May, in effect, is a forward contract on what
the level of the VIX, as a measure of 30-day implied volatility of the
S&P 500, will be on the May expiration date. The forward volatility
reading of the VIX may not correlate directly to the current volatility
reading of the VIX because the implied volatility of the S&P 500 at a
future expiration date may be different from the current implied
volatility of the S&P 500. As a result, the Index and the Fund should
be expected to perform very differently from the inverse of the VIX
over all periods of time. To illustrate, on December 4, 2019, the VIX
closed at a price of 14.8 and the price of the February 2020 VIX
Futures Contracts expiring on February 19, 2020 was 18.125. In this
example, the price of the VIX represented the 30-day implied, or
``spot,'' volatility (the volatility expected for the period from
December 5, 2019 to January 5, 2020) of the S&P 500 and the February
VIX Futures Contracts represented forward implied volatility (the
volatility expected for the period from February 19 to March 19, 2020)
of the S&P 500.
Short VIX Futures Index
    The Index is designed to express the daily inverse performance of a
theoretical portfolio of first- and second-month VIX Futures Contracts
(the ``Index Components''), with the price of each VIX Futures Contract
reflecting the market's expectation of future volatility. The Index
seeks to reflect the returns that are potentially available from
holding an unleveraged short position in first- and second- month VIX
Futures Contracts. While the Index does not correspond to the inverse
of the VIX, as it seeks short exposure to VIX, the value of the Index,
and by extension the Fund, will generally rise as the VIX falls and
fall as the VIX rises. Further, as described above, because VIX Futures
Contracts correlate to future volatility readings of VIX, while the VIX
itself correlates to current volatility, the Index and the Fund should
be expected to perform significantly different from the inverse of the
VIX.
    Unlike the Index, the VIX, which is not a benchmark for the Fund,
is calculated based on the prices of put and call options on the S&P
500, which are traded exclusively on Cboe.
Calculation of the Index
    The 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 Contracts, 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 approximately one
month. The roll period usually begins on the Wednesday falling 30
calendar days before the S&P 500 option expiration for the following
month (the ``Cboe VIX Monthly Futures Settlement Date''), and runs to
the Tuesday prior to the subsequent month's Cboe VIX Monthly Futures
Settlement Date.
    The level of the Index will be published at least every 15 seconds
both in real time from 9:30 a.m. to 4 p.m. ET and at the close of
trading on each Business Day \10\ by Bloomberg and Reuters.
---------------------------------------------------------------------------

    \10\ A ``Business Day'' means any day other than a day when any
of BZX, Cboe, CFE or other exchange material to the valuation or
operation of the Fund, or the calculation of the VIX, options
contracts underlying the VIX, VIX Futures Contracts or the Index is
closed for regular trading.
---------------------------------------------------------------------------

Mitigating Price Impacts to VIX Futures Contract Prices at Times of
Fund Rebalancing
    The Fund's investment objective is a daily investment objective;
that is, the Fund seeks to track the Index on a daily basis, not over
longer periods. Accordingly, each day, the Fund will position its
portfolio so that it can seek to track the Index. The direction and
extent of the Index's movements each day will dictate the direction and
extent of the Fund's portfolio rebalancing. For

example, if the level of the Index falls on a given day, net assets of
the Fund would fall. As a result, exposure to the Index, through
futures positions held by the Fund, would need to be decreased. The
opposite would be the case if the level of the Index rises on a given
day.
    The time and manner in which the Fund rebalances its portfolio is
defined by the Index methodology but may vary from the Index
methodology depending upon market conditions and other circumstances
including the potential impact of the rebalance on the price of the VIX
futures contracts. The Sponsor will seek to minimize the market impact
of Fund rebalances on the price of VIX futures contracts by limiting
the Fund's participation, on any given day, in VIX futures contracts to
no more than one-quarter of the contracts traded on Cboe Futures
Exchange (the ``CFE'') during any Rebalance Period (defined by the
Index methodology as 3:45 p.m.-4 p.m. ET). If the Fund's portfolio
rebalance exceeds one-quarter of the futures' volume between 3:45 p.m.
and 4 p.m. ET, the Sponsor will extend the rebalance period (the
``Extended Rebalance Period) to include, for example, the period
between 4 p.m. and 4:15 p.m. ET and the Trade At Settlement market
(``TAS'').
    The Sponsor expects that allowing the Fund to participate in an
Extended Rebalance Period will minimize the impact on the price of VIX
futures contracts, and particularly minimize any impact of large Fund
rebalances during periods of market illiquidity.\11\ Accordingly, by
defining an explicit rebalancing methodology and limiting the Fund's
participation in the VIX futures contracts should reduce the impact of
the Fund's rebalancing on the price of VIX futures contracts.
---------------------------------------------------------------------------

    \11\ Research on the impact of the portfolio rebalancing of VIX
Exchange Traded Products (``VIX ETPs'') on VIX futures' prices
suggests that large rebalancing trades from inverse and leveraged
VIX ETPs have a smaller than expected price impact on VIX futures.
See Br[oslash]gger, S.B., The Market Impact of Uninformed Flows:
Evidence from the VIX Futures Market (2019). Available at: SSRN
3497537. This has been explained as resulting from the
predictability of rebalancing flows from large VIX ETPs being priced
into the VIX futures. See Todorov, K., Passive Funds Actively Affect
Prices: Evidence from the Largest ETF Markets (2019). Unpublished
working paper, London School of Economics. Further research shows
that the presence of ETF flow in an underlying market actually
improves underlying liquidity. In that study they found bid-ask
spreads to be narrower, order book deeper, and market resiliency
larger on days when ETFs performed a rebalance, finding that this
increased liquidity stemmed from a larger number of trading accounts
that supplied liquidity to exploit the predictable order flow from
rebalancing ETFs. Accordingly, one can assume that liquidity in VIX
futures contracts during the Fund's rebalancing period will be
expected to grow, and this will reduce the fraction of the trading
activity that the Fund's rebalance will contribute to the VIX
futures market. Bessembinder, H., Carrion, A., Tuttle, L. and
Venkataraman, K., Liquidity, Resiliency and Market Quality Around
Predictable Trades: Theory and Evidence. Journal of Financial
Economics, 121(1) (2016), pp.142-166.
---------------------------------------------------------------------------

    The Sponsor believes that the Fund would enter an Extended
Rebalance Period most often during periods of extraordinary volatility
or illiquidity in VIX futures contracts. For example, in surveying the
two most volatile months in recent history--February 2018 and March
2020--and assuming a size equal to the largest previously achieved by
an inverse VIX ETP ($1.9 billion--Symbol: XIV on February 1, 2018), the
Fund would have exceeded one-quarter of the trading volume of VIX
futures contracts during the Rebalance Period for seven days in
February 2018 and for five days in March 2020. Having the Fund
participate in an Extended Rebalance Period on those days would have
resulted in a maximum participation in VIX futures contracts over the
Extended Rebalance Period of 14.1% in February 2018 and 12.6% in March
2020.
Purchases and Redemptions of Creation Units
    The Fund will create and redeem Shares from time to time only in
large blocks of a specified number of Shares or multiples thereof
(``Creation Units''). A Creation Unit is a block of at least 10,000
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 Sub-Administrator to create one or more Creation Units.\12\
The total cash payment required to create each Creation Unit is the NAV
of at least 10,000 Shares of the Fund on the purchase order date plus
the applicable transaction fee.
---------------------------------------------------------------------------

    \12\ Authorized participants have a cut-off time of 2:00 p.m. ET
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 Sub-Administrator to redeem one or more Creation Units.
The redemption proceeds from the Fund consist of the cash redemption
amount. The cash redemption amount is equal to the NAV of the number of
Creation Unit(s) of the 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 Fund's Shares will be calculated by the Sub-
Administrator once each Business Day and will be disseminated daily to
all market participants at the same time.\13\ Pricing information for
the Shares will be available on the Fund's website at
www.volatilityshares.com, including: (1) The prior Business Day's
reported NAV, the closing market price or the bid/ask price, daily
trading volume, and a calculation of the premium and discount of the
closing market price or bid/ask price against the NAV; and (2) data in
chart format displaying the frequency distribution of discounts and
premiums of the daily closing price against the NAV, within appropriate
ranges, for each of the four previous calendar quarters.
---------------------------------------------------------------------------

    \13\ NAV means the total assets of the Fund including, but not
limited to, all Cash and Cash Equivalents or other debt securities
less total liabilities of the Fund, consistently applied under the
accrual method of accounting. The Fund's NAV is calculated at 4 p.m.
ET.
---------------------------------------------------------------------------

    The closing prices and settlement prices of the Index Components
(i.e., the first- and second-month VIX Futures Contracts) will also be
readily available from the websites of 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 VIX Futures Contracts underlying the Index is
available by subscription from Reuters and Bloomberg. Specifically, the
level of the Index will be published at least every 15 seconds both in
real time from 9:30 a.m. to 4 p.m. ET and at the close of trading on
each Business Day by Bloomberg and Reuters. The CFE also provides
delayed futures information on current and past trading sessions and
market news free of charge on its website. The specific contract
specifications of Index Components (i.e., first-month and second-month
VIX Futures Contracts) underlying the Index are also available on
Bloomberg and Reuters.
    Quotation and last-sale information regarding the Shares will be
disseminated through the facilities of the Consolidated Tape
Association (``CTA''). Quotation and last-sale information regarding
VIX Futures Contracts and VIX Options Contracts will be available from
the exchanges on which such instruments are traded. Quotation and last-
sale information relating to VIX Options Contracts will also be
available via the Options Price Reporting Authority. Quotation and
last-

sale information for VIX Swap Agreements will be available from
nationally recognized data services providers, such as Reuters and
Bloomberg, through subscription agreements or from a broker-dealer who
makes markets in such instruments. Quotation and last-sale information
for VIX Swap Agreements will be valued on the basis of quotations or
equivalent indication of value supplied by a third- party pricing
service or broker-dealer who makes markets in such instruments. Pricing
information regarding Cash Equivalents in which the Fund will invest is
generally available through nationally recognized data services
providers, such as Reuters and Bloomberg, through subscription
agreements.
    In addition, the Fund's website at www.volatilityshares.com will
display the end of day closing Index level, and NAV per Share for the
Fund. The Fund will provide website disclosure of portfolio holdings
daily and will include, as applicable, the notional value (in U.S.
dollars) of VIX Derivative Products, and characteristics of such
instruments, as well as Cash and Cash Equivalents held in the portfolio
of the Fund. This website disclosure of the portfolio composition of
the Fund will occur at the same time as the disclosure by the Fund of
the portfolio composition to authorized participants so that all market
participants are provided portfolio composition information at the same
time. The same portfolio information will be provided on the public
website as well as in electronic files provided to authorized
participants.
    In addition, in order to provide updated information relating to
the Fund for use by investors and market professionals, an updated
Intraday Indicative Value (``IIV'') will be calculated. The IIV is an
indicator of the value of the Fund's holdings, which include the VIX
Derivative Products and Cash and Cash Equivalents less liabilities of
the Fund at the time the IIV is disseminated. The IIV will be
calculated and widely disseminated by one or more major market data
vendors every 15 seconds throughout Regular Trading Hours.\14\
---------------------------------------------------------------------------

    \14\ As defined in Rule 1.5(w), the term ``Regular Trading
Hours'' means the time between 9:30 a.m. and 4 p.m. ET.
---------------------------------------------------------------------------

    In addition, the IIV will be published on the Exchange's website
and will be available through on-line information services such as
Bloomberg and Reuters.
    The IIV disseminated during Regular Trading Hours should not be
viewed as an actual real time update of the NAV, which is calculated
only once a day. The IIV also should not be viewed as a precise value
of the Shares.
    Additional information regarding the Fund and the Shares, including
investment strategies, risks, creation and redemption procedures, fees,
portfolio holdings, disclosure policies, distributions and taxes will
be included in the registration statement.
Initial and Continued Listing
    The Shares of the Fund will conform to the initial and continued
listing criteria under BZX Rule 14.11(f)(4). The Exchange represents
that, for initial and continued listing, the Fund and the Trust must be
in compliance with Rule 10A-3 under the Act. A minimum of 100,000
Shares of the Fund will be outstanding at the commencement of trading
on the Exchange. The Exchange will obtain a representation from the
Sponsor of the Shares that the NAV per Share for the Fund will be
calculated daily and will be made available to all market participants
at the same time.
Trading Halts
    With respect to trading halts, the Exchange may consider all
relevant factors in exercising its discretion to halt or suspend
trading in the Shares of the Fund. The Exchange will halt trading in
the Shares under the conditions specified in BZX Rule 11.18. 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
securities and/or the financial instruments composing the daily
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.
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. The Exchange will
allow trading in the Shares from 8:00 a.m. until 8:00 p.m. ET and has
the appropriate rules to facilitate transactions in the Shares during
all trading sessions. As provided in BZX Rule 11.11(a), the minimum
price variation for quoting and entry of orders in securities traded on
the Exchange is $0.01, with the exception of securities that are priced
less than $1.00, for which the minimum price variation for order entry
is $0.0001.
Surveillance
    Trading of the Shares through the Exchange will be subject to the
Exchange's surveillance procedures for derivative products, including
Trust Issued Receipts. All of the VIX Futures Contracts and VIX Options
Contracts held by the Fund will trade on markets that are a member of
ISG or affiliated with a member of ISG or with which the Exchange has
in place a comprehensive surveillance sharing agreement.\15\ The
Exchange, FINRA, on behalf of the Exchange, or both will communicate
regarding trading in the Shares and the underlying listed instruments,
including listed derivatives held by the Fund, with the ISG, other
markets or entities who are members or affiliates of the ISG, or with
which the Exchange has entered into a comprehensive surveillance
sharing agreement. In addition, the Exchange, FINRA, on behalf of the
Exchange, or both may obtain information regarding trading in the
Shares and the underlying listed instruments, including listed
derivatives, held by the Fund from markets and other entities that are
members of ISG or with which the Exchange has in place a comprehensive
surveillance sharing agreement. The Exchange also has a general policy
prohibiting the distribution of material, non-public information by its
employees. All statements and representations made in this filing
regarding the Index composition, description of the portfolio or
reference assets, limitations on portfolio holdings or reference
assets, dissemination and availability of reference the Index,
reference asset, and IIV, and the applicability of Exchange rules
specified in this filing shall constitute continued listing
requirements for the Fund. The issuer has represented to the Exchange
that it will advise the Exchange of any failure by the Fund or the
Shares to comply with the continued listing requirements, and, pursuant
to its obligations under Section 19(g)(1) of the Act, the Exchange will
surveil for compliance with the continued listing requirements. If the
Fund or the Shares are not in compliance with the applicable listing
requirements, the Exchange will commence delisting procedures under
Exchange Rule 14.12.
---------------------------------------------------------------------------

    \15\ For a list of the current members and affiliate members of
ISG, see www.isgportal.com. The Exchange notes that not all
components of the Fund's holdings may trade on markets that are
members of ISG or with which the Exchange has in place a
comprehensive surveillance sharing agreement.

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

Information Circular
    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: (1) The procedures for purchases
and redemptions of Shares in Creation Units (and that Shares are not
individually redeemable); (2) BZX Rule 3.7, which imposes suitability
obligations on Exchange members with respect to recommending
transactions in the Shares to customers; (3) Interpretation and Policy
.01 of BZX Rule 3.7 which imposes a duty of due diligence on its
Members to learn the essential facts relating to every customer prior
to trading the Shares; \16\ (4) how information regarding the IIV and
the Fund's holdings is disseminated; (5) the risks involved in trading
the Shares during the Pre-Opening \17\ and After Hours Trading Sessions
\18\ when an updated IIV will not be calculated or publicly
disseminated; (6) the requirement that members deliver a prospectus to
investors purchasing newly issued Shares prior to or concurrently with
the confirmation of a transaction; and (7) trading information.
---------------------------------------------------------------------------

    \16\ Specifically, in part, Interpretation and Policy .01 of
Rule 3.7 states ``[n]o Member shall recommend to a customer a
transaction in any such product unless the Member has a reasonable
basis for believing at the time of making the recommendation that
the customer has such knowledge and experience in financial matters
that he may reasonably be expected to be capable of evaluating the
risks of the recommended transaction and is financially able to bear
the risks of the recommended position.
    \17\ The Pre-Opening Session is from 8:00 a.m. to 9:30 a.m. ET.
    \18\ The After Hours Trading Session is from 4 p.m. to 8:00 p.m.
ET.
---------------------------------------------------------------------------

    Further, the Exchange states that FINRA has implemented increased
sales practice and customer margin requirements for FINRA members
applicable to inverse, leveraged and inversed leveraged securities
(which include the Shares) and options on such securities, as described
in FINRA Regulatory Notices 09-31 (June 2009), 09-53 (August 2009), and
09-65 (November 2009) (collectively, ``FINRA Regulatory Notices'').
Members that carry customer accounts will be required to follow the
FINRA guidance set forth in these notices. As noted above, the Fund
will seek daily investment results, before fees and expenses, that
correspond to the Index, which measures daily inverse performance of a
theoretical portfolio of first- and second-month futures contracts on
the VIX. The Fund does not seek to achieve its primary investment
objective over a period of time greater than a single day. The return
of the Fund for a period longer than a single day is the result of its
return for each day compounded over the period and usually will differ
in amount and possibly even direction from either the inverse of the
VIX or the inverse of a portfolio of short-term VIX Futures Contracts
for the same period. These differences can be significant.
    In addition, the Information Circular will advise members, prior to
the commencement of trading, of the prospectus delivery requirements
applicable to the Fund. Members purchasing Shares from the Fund for
resale to investors will deliver a prospectus to such investors. The
Information Circular will also discuss any exemptive, no-action and
interpretive relief granted by the Commission from any rules under the
Act.
    In addition, the Information Circular will reference that the Fund
is subject to various fees and expenses described in the Fund's
registration statement. The Information Circular will also disclose the
trading hours of the Shares of the Fund and the applicable NAV
calculation time for the Shares. The Information Circular will disclose
that information about the Shares of the Fund will be publicly
available on the Fund's website.
2. Statutory Basis
    The Exchange believes that the proposal is consistent with Section
6(b) of the Act \19\ in general and Section 6(b)(5) of the Act \20\ 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, 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.
---------------------------------------------------------------------------

    \19\ 15 U.S.C. 78f.
    \20\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change is designed to
prevent fraudulent and manipulative acts and practices in that the
Shares will be listed and traded on the Exchange pursuant to the
initial and continued listing criteria in Exchange Rule 14.11(f). The
Exchange believes that its surveillance procedures are adequate to
properly monitor the trading of the Shares on the Exchange during all
trading sessions and to deter and detect violations of Exchange rules
and the applicable federal securities laws. If the Sponsor to the Trust
issuing the Trust Issued Receipts is affiliated with a broker-dealer,
such Sponsor to the Trust shall erect and maintain a ``fire wall''
between the Sponsor and the broker-dealer with respect to access to
information concerning the composition and/or changes to the Fund's
portfolio. The Sponsor is not a broker-dealer or affiliated with a
broker-dealer. In the event that (a) the Sponsor becomes a broker-
dealer or newly affiliated with a broker-dealer, or (b) any new sponsor
is a broker-dealer or becomes affiliated with a broker-dealer, it will
implement and maintain a fire wall with respect to its relevant
personnel or such broker-dealer affiliate, as applicable, regarding
access to information concerning the composition and/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 Exchange, FINRA, on behalf of the Exchange, or both may
obtain information regarding trading in the Shares and the underlying
VIX Futures Contracts and VIX Options Contracts via the ISG from other
exchanges who are members or affiliates of the ISG or with which the
Exchange has entered into a comprehensive surveillance sharing
agreement. In addition, the Exchange also has a general policy
prohibiting the distribution of material, non-public information by its
employees.
    The proposed rule change is designed to promote just and equitable
principles of trade and to protect investors and the public interest in
that the Exchange will obtain a representation from the issuer of the
Shares that the NAV will be calculated daily and that the NAV and the
Fund's holdings will be made available to all market participants at
the same time. In addition, a large amount of information is publicly
available regarding the Fund and the Shares, thereby promoting market
transparency. Moreover, the IIV will be disseminated by one or more
major market data vendors at least every 15 seconds during Regular
Trading Hours. On each Business Day, before commencement of trading in
Shares during Regular Trading Hours, the Fund will disclose on its
website the holdings that will form the basis for the Fund's
calculation of NAV at the end of the Business Day. Pricing information
will be available on the Fund's website including: (1) The prior
Business Day's reported NAV, the closing market price or the bid/ask
price, daily trading

volume, and a calculation of the premium and discount of the closing
market price or bid/ask price against the NAV; and (2) data in chart
format displaying the frequency distribution of discounts and premiums
of the daily closing price against the NAV, within appropriate ranges,
for each of the four previous calendar quarters. Additionally,
information regarding market price and trading of the Shares will be
continually available on a real-time basis throughout the day on
brokers' computer screens and other electronic services, and quotation
and last sale information for the Shares will be available on the
facilities of the CTA. The website for the Fund will include a form of
the prospectus for the Fund and additional data relating to NAV and
other applicable quantitative information. Trading in Shares of the
Fund will be halted under the conditions specified in Exchange Rule
11.18. Trading may also be halted because of market conditions or for
reasons that, in the view of the Exchange, make trading in the Shares
inadvisable. Finally, trading in the Shares will be subject to
14.11(f)(4)(C)(ii), which sets forth circumstances under which Shares
of the Fund may be halted. In addition, as noted above, investors will
have ready access to information regarding the Fund's holdings, the
IIV, and quotation and last sale information for the Shares.
    Quotation and last-sale information regarding the Shares will be
disseminated through the facilities of the CTA. Quotation and last-sale
information regarding VIX Futures Contracts and VIX Options Contracts
will be available from the exchanges on which such instruments are
traded. Quotation and last-sale information relating to VIX Options
Contracts will also be available via the Options Price Reporting
Authority. Quotation and last-sale information for VIX Swap Agreements
will be available from nationally recognized data services providers,
such as Reuters and Bloomberg, through subscription agreements or from
a broker-dealer who makes markets in such instruments. Quotation and
last-sale information for VIX Swap Agreements will be valued on the
basis of quotations or equivalent indication of value supplied by a
third- party pricing service or broker-dealer who makes markets in such
instruments. Pricing information regarding Cash Equivalents in which
the Fund will invest is generally available through nationally
recognized data services providers, such as Reuters and Bloomberg,
through subscription agreements.
    Fund's investment objective is a daily investment objective; that
is, the Fund seeks to track the Index on a daily basis, not over longer
periods. Accordingly, each day, the Fund will position its portfolio so
that it can seek to track the Index. The direction and extent of the
Index's movements each day will dictate the direction and extent of the
Fund's portfolio rebalancing. For example, if the level of the Index
falls on a given day, net assets of the Fund would fall. As a result,
exposure to the Index, through futures positions held by the Fund,
would need to be decreased. The opposite would be the case if the level
of the Index rises on a given day.
    The time and manner in which the Fund rebalances its portfolio is
defined by the Index methodology but may vary from the Index
methodology depending upon market conditions and other circumstances
including the potential impact of the rebalance on the price of the VIX
futures contracts. The Sponsor will seek to minimize the market impact
of Fund rebalances on the price of VIX futures contracts by limiting
the Fund's participation, on any given day, in VIX futures contracts to
no more than one-quarter of the contracts traded on CFE during any
Rebalance Period (defined by the Index methodology as 3:45 p.m.-4 p.m.
ET). If the Fund's portfolio rebalance exceeds one-quarter of the
futures' volume between 3:45 p.m. and 4 p.m. ET, the Sponsor will
extend the rebalance period to include, for example, the period between
4 p.m. and 4:15 p.m. ET and TAS.
    The Sponsor expects that allowing the Fund to participate in an
Extended Rebalance Period will minimize the impact on the price of VIX
futures contracts, and particularly minimize any impact of large Fund
rebalances during periods of market illiquidity. Accordingly, by
defining an explicit rebalancing methodology and limiting the Fund's
participation in the VIX futures contracts should reduce the impact of
the Fund's rebalancing on the price of VIX futures contracts.
    The Sponsor believes that the Fund would enter an Extended
Rebalance Period most often during periods of extraordinary volatility
or illiquidity in VIX futures contracts. For example, in surveying the
two most volatile months in recent history--February 2018 and March
2020--and assuming a size equal to the largest previously achieved by
an inverse VIX ETP ($1.9 billion--Symbol: XIV on February 1, 2018), the
Fund would have exceeded one-quarter of the trading volume of VIX
futures contracts during the Rebalance Period for seven days in
February 2018 and for five days in March 2020. Having the Fund
participate in an Extended Rebalance Period on those days would have
resulted in a maximum participation in VIX futures contracts over the
Extended Rebalance Period of 14.1% in February 2018 and 12.6% in March
2020.
    The proposed rule change is designed to perfect the mechanism of a
free and open market and, in general, to protect investors and the
public interest in that it will facilitate the listing and trading of
an additional type of exchange-traded product that will enhance
competition among market participants, to the benefit of investors and
the marketplace.
    As noted above, the Exchange has in place surveillance procedures
relating to trading in the Shares and may obtain information via ISG
from other exchanges that are members of ISG or with which the Exchange
has entered into a comprehensive surveillance sharing agreement. In
addition, as noted above, investors will have ready access to
information regarding the Fund's holdings, the IIV, and quotation and
last sale information for the Shares. For the above reasons, the
Exchange believes that the proposed rule change is consistent with the
requirements of Section 6(b)(5) of the Act.

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

    The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purpose of the Act. The Exchange notes that the
proposed rule change, rather will facilitate the listing of an
additional exchange-traded product on the Exchange, which will enhance
competition among listing venues, to the benefit of issuers, investors,
and the marketplace more broadly.

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

    The Exchange neither solicited nor received comments on 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 Exchange consents, the Commission will:

    A. By order approve or disapprove such proposed rule change, or
    B. Institute proceedings to determine whether the proposed rule
change should be disapproved.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to<EMAIL_ADDRESS>Please include
File Number SR-CboeBZX-2020-070 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-CboeBZX-2020-070. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (http://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for website viewing and printing in
the Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549 on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of the filing also will be available for inspection
and copying at the principal office of the Exchange. All comments
received will be posted without change. Persons submitting comments are
cautioned that we do not redact or edit personal identifying
information from comment submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File Number SR-CboeBZX-2020-070 and should be submitted
on or before October 14, 2020.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\21\
---------------------------------------------------------------------------

    \21\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-20938 Filed 9-22-20; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register Volume 77, Number 142 (Tuesday, July 24, 2012)]
[Notices]
[Pages 43279-43280]
[FR Doc No: 2012-18010]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

Combined Notice of Filings 1

    Take notice that the Commission received the following electric
corporate filings:

    Docket Numbers: EC12-120-000.
    Applicants: Pacific Wind, LLC, Pacific Wind Lessee, LLC.
    Description: Application for Approval under Section 203 of the
Federal Power Act and Requests for Expedited Consideration and
Confidential Treatment of Pacific Wind, LLC, and Pacific Wind Lessee,
LLC.
    Filed Date: 7/16/12.
    Accession Number: 20120716-5156.
    Comments Due: 5 p.m. ET 8/6/12.

    Take notice that the Commission received the following electric
rate filings:

    Docket Numbers: ER10-2460-001; ER10-2461-001; ER12-682-002; ER10-
2463-001; ER11-2201-005; ER12-1311-001; ER10-2466-002; ER11-4029-001.
    Applicants: Evergreen Wind Power, LLC, Canandaigua Power Partners,
LLC, Evergreen Wind Power III, LLC, Stetson Wind II, LLC, Vermont Wind,
LLC, Stetson Holdings, LLC, Erie Wind, LLC, Canandaigua Power Partners
II, LLC.
    Description: Notice of Change in Status of Canandaigua Power
Partners, LLC, et al.
    Filed Date: 7/16/12.
    Accession Number: 20120716-5158.
    Comments Due: 5 p.m. ET 8/6/12.

    Docket Numbers: ER11-4267-001; ER11-4270-001; ER11-4269-001; ER11-
4268-001; ER11-113-001; ER10-2682-001.
    Applicants: Algonquin Northern Maine Gen Co., Algonquin Tinker Gen
Co., Algonquin Energy Services Inc., Granite State Electric Company,
Sandy Ridge Wind, LLC, Algonquin Windsor Locks LLC.
    Description: Notice of Change in Status of Algonquin Energy
Services Inc., et al.
    Filed Date: 7/16/12.
    Accession Number: 20120716-5149.
    Comments Due: 5 p.m. ET 8/6/12.

    Docket Numbers: ER12-2245-000.
    Applicants: California Independent System Operator Corporation.
    Description: 2012-07-16 CAISO CRR Enhancement and Clarification
Amendment to be effective 9/15/2012.
    Filed Date: 7/16/12.
    Accession Number: 20120716-5121.
    Comments Due: 5 p.m. ET 8/6/12.

    Docket Numbers: ER12-2246-000.
    Applicants: New England Power Company.
    Description: Notice of Effective Date of Service Agreement No. 6 to
be effective 7/3/2012.
    Filed Date: 7/16/12.
    Accession Number: 20120716-5128.
    Comments Due: 5 p.m. ET 8/6/12.

    Docket Numbers: ER12-2247-000.
    Applicants: Midwest Independent Transmission System Operator, Inc.
    Description: SA 2430 TVA-IPL FCA F098 7-16-2012 to be effective 7/
17/2012.
    Filed Date: 7/16/12.
    Accession Number: 20120716-5132.
    Comments Due: 5 p.m. ET 8/6/12.

    Docket Numbers: ER12-2248-000.
    Applicants: Idaho Power Company.
    Description: Idaho Power Company submits tariff filing per
35.13(a)(2)(iii): OATT 2012 Depreciation Update to be effective 6/1/
2012.
    Filed Date: 7/16/12.
    Accession Number: 20120716-5137.
    Comments Due: 5 p.m. ET 8/6/12.

    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: July 17, 2012.
Nathaniel J. Davis, Sr.,
Deputy Secretary.
[FR Doc. 2012-18010 Filed 7-23-12; 8:45 am]
BILLING CODE 6717-01-P


[Federal Register: November 25, 2005 (Volume 70, Number 226)]
[Notices]
[Page 71125-71127]
[DOCID:fr25no05-70]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Docket No. CP06-20-000]

Unocal Windy Hill Gas Storage, LLC; Notice of Intent To Prepare
an Environmental Assessment for the Proposed Windy Hill Gas Storage
Project and Request for Comments on Environmental Issues

November 18, 2005.
    The staff of the Federal Energy Regulatory Commission (FERC or
Commission) will prepare an environmental assessment (EA) that will
discuss the environmental impacts of the Windy Hill Gas Storage Project
involving construction and operation of facilities by Unocal Windy Hill
Gas Storage, LLC (Unocal) in Morgan County, Colorado. These facilities
would consist of about 14.1 miles of 16-inch-diameter pipeline, a
14,200-horsepower (hp) compressor station, four water supply wells, a
solution mining facility, a brine disposal facility, six groundwater
monitoring wells, four gas storage caverns, a gas dehydration facility,
and electric utilities. This EA will be used by the Commission in its
decisionmaking process to determine whether the project is in the
public convenience and necessity.
    If you are a landowner receiving this notice, you may be contacted
by a Unocal representative about the acquisition of an easement to
construct, operate, and maintain the proposed facilities. Unocal would
seek to negotiate a mutually acceptable agreement. However, if the
project is approved by the Commission, that approval conveys with it
the right of eminent domain. Therefore, if easement negotiations fail
to produce an agreement, Unocal could initiate condemnation proceedings
in accordance with State law.
    A fact sheet prepared by the FERC entitled ``An Interstate Natural
Gas Facility on My Land? What Do I Need To Know?'' was attached to the
project notice that Unocal provided to landowners. This fact sheet
addresses a number of typically asked questions, including the use of
eminent domain and how to participate in the

Commission's proceedings. It is available for viewing on the FERC
Internet Web site (http://www.ferc.gov).

Summary of the Proposed Project

    Unocal wants to provide up to 6 billion cubic feet of working gas
storage capacity and transportation to customers, with a maximum
injection rate of 135 million cubic feet per day (MMcf/d), and a
maximum withdrawal rate of 400 MMcf/d. Unocal seeks authority to
construct and operate in Morgan County, Colorado:

Phase I Facilities (2006)

     Two solution-mined gas storage salt caverns (4-17S and 5-
17S);
     Four water supply wells;
     Four 400-horsepower (hp) pumps for the four water supply
wells;
     Two 800-hp booster pumps for injection of water for cavern
development;
     Two 3,000-gallon diesel tanks for cavern development;
     Three 1,500-barrel (bbl) fiberglass skim tanks to separate
diesel oil from brine solution;
     One 210-bbl steel tank for holding recovered diesel oil;
     A 125- by 30-foot mining pump building and electrical
control room;
     A 178- by 178-foot brine disposal retention pond;
     Four brine disposal wells;
     Two 300-hp brine disposal pumps, including two 1,000-hp
pumps if needed;
     A 1,000-bbl fiberglass feed-water suction tank for the
brine disposal pumps;
     Six shallow groundwater monitoring wells;
     A dehydration facility consisting of three 1.5-million
British thermal unit triethylene glycol dehydrators for drying out the
caverns;
     A compressor station consisting of four 3,550-hp
compressors driven by natural gas-fired reciprocating engines, totaling
14,200 hp;
     An inlet scrubber for liquid removal from in-coming gas;
     A gas cooler to cool the gas leaving the compressor
station;
     A 1.75-mile extension from the existing Morgan County
Rural Electric Association's 12.47 kilovolt power line;
     About 4.4 miles of permanent access roads;
     A 20-foot widening of about 0.7 mile of the existing
County Road Q; and
     Two 60-foot-wide all-weather gravel roads totaling 0.41
mile.

Phase II Facilities (2008)

     Two additional solution-mined gas storage salt caverns (6-
17S and 7-17S).
    The location of the project facilities is shown in Appendix 1.\1\
---------------------------------------------------------------------------

    \1\ The appendices referenced in this notice are not being
printed in the Federal Register. Copies of all appendices, other
than Appendix 1 (maps), are available on the Commission's Web site
at the ``eLibrary'' link or from the Commission's Public Reference
Room, 888 First Street, NE., Washington, DC 20426, or call (202)
502-8371. For instructions on connecting to eLibrary refer to the
last page of this notice. Copies of the appendices were sent to all
those receiving this notice in the mail.
---------------------------------------------------------------------------

Land Requirements for Construction

    Construction of the proposed facilities would require about 201.7
acres of land. Following construction, about 119.6 acres would be
maintained as new aboveground facility sites and permanent rights-of-
way. The remaining 82.1 acres of land would be restored and allowed to
revert to its former use.

The EA Process

    The National Environmental Policy Act (NEPA) requires the
Commission to take into account the environmental impacts that could
result from an action whenever it considers the issuance of a
Certificate of Public Convenience and Necessity. NEPA also requires us
to discover and address concerns the public may have about proposals.
This process is referred to as ``scoping''. The main goal of the
scoping process is to focus the analysis in the EA on the important
environmental issues. By this Notice of Intent, the Commission staff
requests public comments on the scope of the issues to address in the
EA. All comments received are considered during the preparation of the
EA. State and local government representatives are encouraged to notify
their constituents of this proposed action and encourage them to
comment on their areas of concern.
    In the EA we \2\ will discuss impacts that could occur as a result
of the construction and operation of the proposed project under these
general headings:
---------------------------------------------------------------------------

    \2\ ``We'', ``us'', and ``our'' refer to the environmental staff
of the Office of Energy Projects (OEP).
---------------------------------------------------------------------------

     Geology and soils;
     Land use;
     Water resources, fisheries, and wetlands;
     Cultural resources;
     Vegetation and wildlife;
     Air quality and noise;
     Endangered and threatened species;
     Public safety.
    We will also evaluate possible alternatives to the proposed project
or portions of the project, and make recommendations on how to lessen
or avoid impacts on the various resource areas.
    Our independent analysis of the issues will be in the EA. Depending
on the comments received during the scoping process, the EA may be
published and mailed to Federal, State, and local agencies, public
interest groups, interested individuals, affected landowners,
newspapers, libraries, and the Commission's official service list for
this proceeding. A comment period will be allotted for review if the EA
is published. We will consider all comments on the EA before we make
our recommendations to the Commission.
    To ensure your comments are considered, please carefully follow the
instructions in the public participation section below.

Public Participation

    You can make a difference by providing us with your specific
comments or concerns about the project. By becoming a commentor, your
concerns will be addressed in the EA and considered by the Commission.
You should focus on the potential environmental effects of the
proposal, alternatives to the proposal (including alternative routes),
and measures to avoid or lessen environmental impact. The more specific
your comments, the more useful they will be. Please carefully follow
these instructions to ensure that your comments are received in time
and properly recorded:
     Send an original and two copies of your letter to: Magalie
R. Salas, Secretary, Federal Energy Regulatory Commission, 888 First
St., NE., Room 1A, Washington, DC 20426.
     Label one copy of the comments for the attention of Gas
Branch 3.
     Reference Docket No. CP06-20-000.
     Mail your comments so that they will be received in
Washington, DC on or before December 23, 2005.
    The Commission strongly encourages electronic filing of any
comments or interventions or protests to this proceeding. See 18 CFR
385.2001(a)(1)(iii) and the instructions on the Commission's Web site
at http://www.ferc.gov under the ``e-Filing'' link and the link to the

User's Guide. Before you can file comments you will need to create a
free account which can be created on-line.
    We may mail the EA for comment. If you are interested in receiving
it, please return the Information Request (Appendix 3). If you do not
return the Information Request, you will be taken off the mailing list.

Becoming an Intervenor

    In addition to involvement in the EA scoping process, you may want
to become an official party to the proceeding, or ``intervenor''. To
become an intervenor you must file a motion to intervene according to
Rule 214 of the Commission's Rules of Practice and Procedure (18 CFR
385.214). Intervenors have the right to seek rehearing of the
Commission's decision. Motions to Intervene should be electronically
submitted using the Commission's eFiling system at http://www.ferc.gov.

Persons without Internet access should send an original and 14 copies
of their motion to the Secretary of the Commission at the address
indicated previously. Persons filing Motions to Intervene on or before
the comment deadline indicated above must send a copy of the motion to
the Applicant. All filings, including late interventions, submitted
after the comment deadline must be served on the Applicant and all
other intervenors identified on the Commission's service list for this
proceeding. Persons on the service list with e-mail addresses may be
served electronically; others must be served a hard copy of the filing.
    Affected landowners and parties with environmental concerns may be
granted intervenor status upon showing good cause by stating that they
have a clear and direct interest in this proceeding which would not be
adequately represented by any other parties. You do not need intervenor
status to have your environmental comments considered.

Environmental Mailing List

    An effort is being made to send this notice to all individuals,
organizations, and government entities interested in and/or potentially
affected by the proposed project. This includes all landowners who are
potential right-of-way grantors, whose property may be used temporarily
for project purposes, or who own homes within distances defined in the
Commission's regulations of certain aboveground facilities. By this
notice we are also asking governmental agencies, especially those in
Appendix 2, to express their interest in becoming cooperating agencies
for the preparation of the EA.

Additional Information

    Additional information about the project is available from the
Commission's Office of External Affairs, at 1-866-208-FERC or on the
FERC Internet Web site (http://www.ferc.gov) using the eLibrary link.

Click on the eLibrary link, click on ``General Search'' and enter the
docket number excluding the last three digits in the Docket Number
field. Be sure you have selected an appropriate date range. For
assistance, please contact FERC Online Support at
<EMAIL_ADDRESS>or toll free at 1-866-208-3676, or for TTY,

contact<PHONE_NUMBER>. The eLibrary link also provides access to the
texts of formal documents issued by the Commission, such as orders,
notices, and rulemakings.
    In addition, the Commission now offers a free service called
eSubscription which allows you to keep track of all formal issuances
and submittals in specific dockets. This can reduce the amount of time
you spend researching proceedings by automatically providing you with
notification of these filings, document summaries and direct links to
the documents. Go to http://www.ferc.gov/esubscribenow.htm.

    Finally, public meetings or site visits will be posted on the
Commission's calendar located at http://www.ferc.gov/EventCalendar/EventsList.aspx
 along with other related information.

Magalie R. Salas,
Secretary.
[FR Doc. E5-6491 Filed 11-23-05; 8:45 am]

BILLING CODE 6717-01-P