[Federal Register Volume 84, Number 245 (Friday, December 20, 2019)]
[Notices]
[Pages 70216-70221]
[FR Doc No: 2019-27459]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-87763; File No. SR-NYSEArca-2019-91]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
and Immediate Effectiveness of Proposed Rule Change To Permit the
Continued Listing and Trading of Shares Under NYSE Arca Rule 8.600-E of
the Cambria Core Equity ETF, a Series of Cambria ETF Trust

December 16, 2019.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby
given that, on December 11, 2019, NYSE Arca, Inc. (``NYSE Arca'' or the
``Exchange'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I and II
below, which Items have been prepared by the self-regulatory
organization. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C.78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    The Exchange proposes to permit the continued listing and trading
of shares under NYSE Arca Rule 8.600-E of the Cambria Core Equity ETF,
a series of Cambria ETF Trust, following its reorganization into the
Core Alternative ETF, a series of Listed Funds Trust, notwithstanding
that its investments do not meet the requirements of Commentary
.01(d)(2) to Rule 8.600-E. The proposed rule change is available on the
Exchange's website at www.nyse.com, at the principal office of the
Exchange, and at the Commission's Public Reference Room.

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

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

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

1. Purpose
    The Exchange proposes to permit the continued listing and trading
of shares (``Shares'') under NYSE Arca Rule 8.600-E (``Managed Fund
Shares'') \4\ of the Cambria Core Equity ETF, a series of Cambria ETF
Trust (the ``Cambria Trust''), following its reorganization into the
Core Alternative ETF (the ``Fund''), which will be a series of the
Listed Funds Trust (the ``LF Trust'' or ``Trust''). Shares of the
Cambria Core Equity ETF commenced trading on the Exchange on May 24,
2017, pursuant to the generic listing criteria in Commentary .01 to
NYSE Arca Rule 8.600-E.
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    \4\ A Managed Fund Share is a security that represents an
interest in an investment company registered under the Investment
Company Act of 1940 (15 U.S.C. 80a-1) (``1940 Act'') organized as an
open-end investment company or similar entity that invests in a
portfolio of securities selected by its investment adviser
consistent with its investment objectives and policies. In contrast,
an open-end investment company that issues Investment Company Units,
listed and traded on the Exchange under NYSE Arca Rule 5.2-E(j)(3),
seeks to provide investment results that correspond generally to the
price and yield performance of a specific foreign or domestic stock
index, fixed income securities index or combination thereof.
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    The LF Trust has filed a combined prospectus and proxy statement
(the ``Proxy Statement'') with the Commission on Form N-14 describing a
reorganization plan (``Reorganization'') \5\ pursuant to which,
following approval of the Cambria Core Equity ETF's shareholders, all
or substantially all of the assets and all of the stated liabilities
included in the financial statements of the Cambria Core Equity ETF
would be transferred to the Fund. According to the Proxy Statement, the
investment objective of the Fund will be the same as that of the
Cambria Core Equity ETF following implementation of the Reorganization.
Following shareholder approval and closing of the Reorganization,
investors in the Cambria Core Equity ETF will receive shares of
beneficial interest of the Fund with an aggregate net asset value equal
to the aggregate net asset value of the Shares of the Cambria Core
Equity ETF calculated as of the close of business on the business day
before the closing of the Reorganization. The closing date of the
Reorganization and the first day of trading of the Fund under its new
name is expected to be on or about December 18, 2019.
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    \5\ See registration statement on Form N-14 under the 1933 Act,
dated September 27, 2019 (File No. 333-233973) (``Proxy
Statement'').
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    The Shares are offered by the LF Trust, which is registered with
the Commission as an open-end management investment company consisting
of multiple investment series.\6\ The Fund is a series of the LF Trust.
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global
Fund Services, LLC, will be the administrator (the ``Administrator'')
for the Trust. U.S. Bank N.A. will serve as the custodian for the
Fund.\7\ Core Alternative Capital, LLC (the ``Adviser'') will be the
investment adviser to the Fund.
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    \6\ The Trust is registered under the 1940 Act. On August 23,
2019, the Trust filed with the Securities and Exchange Commission
(``SEC'' or ``Commission'') a post-effective amendment to its
registration statement on Form N-1A under the Securities Act of 1933
(15 U.S.C. 77a), and under the 1940 Act relating to the Fund (File
Nos. 333-215588 and 811-23226) (``Registration Statement'').
Description of the operation of the Trust and of the Fund and Shares
herein is based, in part, on the Registration Statement. There are
no permissible holdings for the Fund that are not described in this
proposal. The Commission has issued an order granting certain
exemptive relief to the Cambria Trust under the Investment Company
Act of 1940 (15 U.S.C. 80a-1) (``1940 Act''). See Investment Company
Act Release No. 30340 (January 4, 2013)) (File No. 812-13959). The
LF Trust intends to operate in conformity with such order following
the implementation of the Reorganization.
    \7\ The Administrator to the Cambria Core Equity ETF was SEI
Investments Global Funds Services and the custodian to the Cambria
Core Equity ETF was Brown Brothers Harriman & Co.
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    As discussed below, the Fund does not currently meet the
requirements of Commentary .01(d)(2) to Rule 8.600-E. The Exchange
proposes to permit the listing and trading of Shares of the Fund
notwithstanding that the Fund's investments do not meet requirements of
Commentary .01(d)(2) to Rule 8.600-E.
    Commentary .06 to Rule 8.600-E provides that, if the investment
adviser to the investment company issuing Managed Fund Shares is
affiliated with a broker-dealer, such investment adviser shall erect
and maintain a ``fire wall''

between the investment adviser and the broker-dealer with respect to
access to information concerning the composition and/or changes to such
investment company portfolio.\8\ In addition, Commentary .06 further
requires that personnel who make decisions on the investment company's
portfolio composition must be subject to procedures designed to prevent
the use and dissemination of material nonpublic information regarding
the applicable investment company portfolio.
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    \8\ An investment adviser to an open-end fund is required to be
registered under the Investment Advisers Act of 1940 (the ``Advisers
Act''). As a result, the Adviser and its related personnel are
subject to the provisions of Rule 204A-1 under the Advisers Act
relating to codes of ethics. This Rule requires investment advisers
to adopt a code of ethics that reflects the fiduciary nature of the
relationship to clients as well as compliance with other applicable
securities laws. Accordingly, procedures designed to prevent the
communication and misuse of non-public information by an investment
adviser must be consistent with Rule 204A-1 under the Advisers Act.
In addition, Rule 206(4)-7 under the Advisers Act makes it unlawful
for an investment adviser to provide investment advice to clients
unless such investment adviser has (i) adopted and implemented
written policies and procedures reasonably designed to prevent
violation, by the investment adviser and its supervised persons, of
the Advisers Act and the Commission rules adopted thereunder; (ii)
implemented, at a minimum, an annual review regarding the adequacy
of the policies and procedures established pursuant to subparagraph
(i) above and the effectiveness of their implementation; and (iii)
designated an individual (who is a supervised person) responsible
for administering the policies and procedures adopted under
subparagraph (i) above.
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    The Adviser is not a registered broker-dealer and is not affiliated
with a broker-dealer. In addition, Adviser personnel who make decisions
regarding a Fund's portfolio are subject to procedures designed to
prevent the use and dissemination of material nonpublic information
regarding the Fund's portfolio. In the event that (a) the Adviser
becomes registered as a broker-dealer or newly affiliated with a
broker-dealer, or (b) any new adviser or sub-adviser is a registered
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 such
portfolio.
Principal Investments of the Fund
    According to the Registration Statement, the Fund is an actively
managed exchange-traded fund (``ETF'') that seeks capital appreciation
and capital preservation with a low correlation to the broader U.S.
equity market. To achieve its investment objective, the Fund uses a
combination of several strategies to produce capital appreciation while
reducing risk exposure across market conditions.
    Under normal market conditions,\9\ at least 80% of the value of the
Fund's net assets will be invested in exchange-traded equity securities
that tend to offer current dividends and/or exchange traded index call
and put options on the S&P 500 Index (``S&P 500 Index Options'').
According to the Registration Statement, writing index call options
reduces the Fund's volatility, provides steady cash flow and is an
important source of the Fund's return. The Fund's purchase of index put
options also protects the Fund from a significant market decline that
may occur over a short period of time.
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    \9\ The term ``normal market conditions'' is defined in NYSE
Arca Rule 8.600-E(c)(5).
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Non-Principal Investments
    In addition to the principal investments described above, the Fund
may invest in fixed income securities issued by various U.S. public-
sector or corporate entities and obligations issued or guaranteed by
the U.S. Government.
    The Fund may also hold cash and/or cash equivalents.\10\
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    \10\ For purposes of this filing, cash equivalents include the
securities included in Commentary .01(c) to NYSE Arca Rule 8.600-E.
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Application of Generic Listing Requirements
    The Exchange submits this proposal in order to list and trade
Shares of the Fund and to allow the Fund to hold listed derivatives, in
particular call and put options on the S&P 500 Index, in a manner that
does not comply with Commentary .01(d)(2) to Rule 8.600-E.\11\
Otherwise, the Fund will comply with all other listing requirements of
the Generic Listing Standards \12\ for Managed Fund Shares on an
initial and continued listing basis.\13\
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    \11\ Commentary .01(d)(2) to Rule 8.600-E provides that ``the
aggregate gross notional value of listed derivatives based on any
five or fewer underlying reference assets shall not exceed 65% of
the weight of the portfolio (including gross notional exposures),
and the aggregate gross notional value of listed derivatives based
on any single underlying reference asset shall not exceed 30% of the
weight of the portfolio (including gross notional exposures).'' The
Fund does not meet the generic listing standards because its fails
to meet the requirement of Commentary .01(d)(2) that prevents the
aggregate gross notional value of listed derivatives based on any
single underlying reference asset from exceeding 30% of the weight
of the portfolio (including gross notional exposures) and the
requirement that the aggregate gross notional value of listed
derivatives based on any five or fewer underlying reference assets
shall not exceed 65% of the weight of the portfolio (including gross
notional exposures).
    \12\ For purposes of this proposal, the term ``Generic Listing
Standards'' means the generic listing rules for Managed Fund Shares
under Commentary .01 to Rule 8.600-E.
    \13\ The Exchange notes that this proposed rule change is
similar to previous rule changes involving Managed Fund Shares with
similar exposures to listed derivatives based on a single underlying
reference asset. See Securities Exchange Act Release No. 87556
(November 18, 2019), 84 FR 64589 (November 22, 2019) (SR-NYSEArca-
2019-82); Securities Exchange Act Release No. 86773 (August 27,
2019), 84 FR 46051 (September 3, 2019) (SR-CboeBZX-2019-077);
Securities Exchange Act Release No. 83146 (May 1, 2018), 83 FR 20103
(May 7, 2018) (SR-CboeBZX-2018-029) (permitted up to 50% of the
weight of its portfolio including gross notional exposure in S&P 500
Index options); Securities Exchange Act Release No. 80529 (April 26,
2017), 82 FR 20506 (May 2, 2017) (SR-BatsBZX-2017-14). See also
Securities Exchange Act Release Nos. 82906 (March 20, 2018), 83 FR
12992 (March 26, 2018) (SR-CboeBZX-2017-012) (order approving the
listing and trading of the LHA Market State Tactical U.S. Equity
ETF); 83679 (July 20, 2018), 83 FR 35505 (July 26, 2018) (SR-
BatsBZX-2017-72) (Notice of Filing of Amendment No. 4 and Order
Granting Accelerated Approval of a Proposed Rule Change, as Modified
by Amendment No. 4 Thereto, to List and Trade Shares of the
Innovator S&P 500 Buffer ETF Series, Innovator S&P 500 Power Buffer
ETF Series, and Innovator S&P 500 Ultra Buffer ETF Series Under Rule
14.11(i)).
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    The market for S&P 500 Index Options is highly liquid.\14\ In
September 2019, approximately 1.35 million options contracts on the S&P
500 Index were traded per day, which is more than $430 billion in
notional volume traded on a daily basis. The Exchange believes that the
liquidity in the S&P 500 Index Options markets mitigates the concerns
that Commentary .01(d)(2) to Rule 8.600-E is intended to address and
that such liquidity would prevent the Shares from being susceptible to
manipulation.
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    \14\ S&P 500 Index options are traded on the Cboe Exchange, Inc.
(``Cboe Options''). The Exchange, Cboe Options and all other
national securities exchanges are members of the Intermarket
Surveillance Group (``ISG'').
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    In addition, the Exchange believes that sufficient protections are
in place to protect against market manipulation of the Shares and S&P
500 Index Options for several reasons: (i) The diversity, liquidity,
and market cap of the securities underlying the S&P 500 Index; (ii) the
significant liquidity in the market for S&P 500 Index Options; and
(iii) surveillance by the Exchange, options exchanges \15\ and the
Financial Industry Regulatory Authority (``FINRA'') designed to detect
violations of the federal securities laws and self-

regulatory organization (``SRO'') rules. The Exchange has in place a
surveillance program for transactions in ETFs to ensure the
availability of information necessary to detect and deter potential
manipulations and other trading abuses, thereby making the Shares less
readily susceptible to manipulation. Further, the Exchange believes
that because the S&P 500 Index Options in the Fund's portfolio will be
acquired in extremely liquid and highly regulated markets,\16\ the
Shares are less readily susceptible to manipulation.
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    \15\ The Exchange and all nine U.S. options exchanges are
members of the Options Regulatory Surveillance Authority, which was
established in 2006 to provide efficiencies in looking for insider
trading and serves as a central organization to facilitate
cooperation in insider trading investigations for the U.S. options
exchanges.
    \16\ All exchange-listed securities that the Fund may hold will
trade on a market that is a member of the ISG and the Fund will not
hold any non-exchange-listed equities or options. For a list of the
current members of ISG, see www.isgportal.org. See also notes 14 and
15, supra.
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    As noted above, S&P 500 Index Options are among the most liquid
options in the world and derive their value from the actively traded
S&P 500 Index components. The contracts are cash-settled with no
delivery of stocks or ETFs, and trade in competitive auction markets
with price and quote transparency. The Exchange believes the highly
regulated options markets and the broad base and scope of the S&P 500
Index make securities that derive their value from that index less
susceptible to market manipulation in view of market capitalization and
liquidity of the S&P 500 Index components, price and quote
transparency, and arbitrage opportunities.
    The Exchange believes that the liquidity of the markets for
securities in the S&P 500 Index and S&P 500 Index Options is
sufficiently great to deter fraudulent or manipulative acts associated
with the Fund's Share price. Coupled with the extensive surveillance
programs of the Exchange and other SROs described herein, the Exchange
does not believe that trading in the Shares would present manipulation
concerns.
Availability of Information
    The Fund's website (https://www.corealtfunds.com) will include the
Fund's prospectus that may be downloaded. The Fund's website will
include ticker and exchange information, along with additional
quantitative information updated on a daily basis, including, for the
Fund: (1) The prior business day's net asset value (``NAV'') per Share
and the market closing price or mid-point of the bid/ask spread at the
time of calculation of such NAV per Share (the ``Bid/Ask Price''),\17\
and a calculation of the premium or discount of the market closing
price or Bid/Ask Price against such NAV per Share; and (2) a table
showing the number of days of such premium or discount for the most
recently completed calendar year, and the most recently completed
calendar quarters since that year (or the life of Fund, if shorter). On
each business day, before commencement of trading in Shares in the Core
Trading Session \18\ on the Exchange, the Fund will disclose on its
website the Disclosed Portfolio as defined in NYSE Arca Rule 8.600-
E(c)(2) (the ``Disclosed Portfolio'') that forms the basis for the
Fund's calculation of NAV at the end of the business day.
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    \17\ The Bid/Ask Price of the Fund's Shares will be determined
using the mid-point of the highest bid and the lowest offer on the
Exchange as of the time of calculation of the Fund's NAV. The
records relating to Bid/Ask Prices will be retained by the Fund and
its service providers.
    \18\ The Core Trading Session begins for each security at 9:30
a.m. Eastern time and ends at the conclusion of Core Trading Hours
or the Core Closing Auction, whichever comes later. See NYSE Arca
Rule 7.34-E. ``Core Trading Hours'' is defined as the hours of 9:30
a.m. Eastern time through 4:00 p.m. (Eastern Time) or such other
hours as may be determined by the Exchange from time to time. See
Rule 1.1(j).
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    On a daily basis, the Fund will disclose the information required
under NYSE Arca Rule 8.600-E(c)(2) to the extent applicable. The
website information will be publicly available at no charge.
    Investors can also obtain the Trust's Statement of Additional
Information (``SAI''), the Fund's Shareholder Reports, and the Fund's
Forms N-CSR and Forms N-CEN. The Fund's SAI and Shareholder Reports
will be available free upon request from the Trust, and those documents
and the Form N-CSR, Form N-PX, Form N-PORT and Form N-CEN may be viewed
on-screen or downloaded from the Commission's website at www.sec.gov.
    Quotation and last sale information for the Shares and other U.S.
exchange traded equities will be available via the Consolidated Tape
Association (``CTA'') high-speed line. In addition, the Portfolio
Indicative Value as defined in NYSE Arca Rule 8.600-E(c)(3) (the
``PIV'')), will be widely disseminated by one or more major market data
vendors at least every 15 seconds during the Core Trading Session.
    The intra-day, closing and settlement prices of S&P 500 Index
Options will be readily available from the Options Price Reporting
Authority (``OPRA''), Cboe Options' website, automated quotation
systems, published or other public sources, or online information
services such as Bloomberg or Reuters. Additionally, FINRA's Trade
Reporting and Compliance Engine (``TRACE'') will be a source of price
information for certain fixed income securities to the extent
transactions in such securities are reported to TRACE. For fixed income
securities that are not reported to TRACE, (i) intraday price
quotations will generally be available from broker-dealers and trading
platforms (as applicable) and (ii) price information will be available
from feeds from market data vendors, published or other public sources,
or online information services.
    Price information regarding U.S. government securities and cash
equivalents generally may be obtained from brokers and dealers who make
markets in such securities or through nationally recognized pricing
services through subscription agreements.
    Quotation and last sale information for equity securities of non-
U.S. companies will be available from the exchanges on which they trade
and from major market data vendors, as applicable.
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.\19\ Trading in Shares of the Fund
will be halted if the circuit breaker parameters in NYSE Arca Rule
7.12-E have been reached. Trading also may be halted because of market
conditions or for reasons that, in the view of the Exchange, make
trading in the Shares inadvisable. Trading in the Fund's Shares also
will be subject to Rule 8.600-E(d)(2)(D) (``Trading Halts'').
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    \19\ See NYSE Arca Rule 7.12-E.
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Trading Rules
    The Exchange deems the Shares to be equity securities, thus
rendering trading in the Shares subject to the Exchange's existing
rules governing the trading of equity securities. Shares will trade on
the NYSE Arca Marketplace from 4 a.m. to 8 p.m., E.T. in accordance
with NYSE Arca Rule 7.34-E (Early, Core, and Late Trading Sessions).
The Exchange has appropriate rules to facilitate transactions in the
Shares during all trading sessions. As provided in NYSE Arca Rule 7.6-
E, the minimum price variation (``MPV'') for quoting and entry of
orders in equity securities traded on the NYSE Arca Marketplace is
$0.01, with the exception of securities that are priced less than $1.00
for which the MPV for order entry is $0.0001.
    With the exception of the requirements of Commentary .01(d)(2)
(with respect to listed derivatives) as described above, the Shares of
the Fund will conform to the initial and continued listing criteria
under NYSE

Arca Rule 8.600-E. Consistent with Commentary .06 of NYSE Arca Rule
8.600-E, the Adviser will implement and maintain, or be subject to,
procedures designed to prevent the use and dissemination of material
non-public information regarding the actual components of the Fund's
portfolio. The Exchange represents that, for initial and continued
listing, the Fund will be in compliance with Rule 10A-3 \20\ under the
Act, as provided by NYSE Arca Rule 5.3-E. The Exchange will obtain a
representation from the issuer of the Shares that the NAV per Share
will be calculated daily and that the NAV and the Disclosed Portfolio
will be made available to all market participants at the same time.
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    \20\ 17 CFR 240.10A-3.
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Surveillance
    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. The Exchange
represents that trading in the Shares will be subject to the existing
trading surveillances, administered by FINRA on behalf of the Exchange,
or by regulatory staff of the Exchange, which are designed to detect
violations of Exchange rules and applicable federal securities laws.
The Exchange represents that these procedures are adequate to properly
monitor Exchange trading of the Shares in all trading sessions and to
deter and detect violations of Exchange rules and federal securities
laws applicable to trading on the Exchange.\21\
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    \21\ FINRA conducts cross-market surveillances on behalf of the
Exchange pursuant to a regulatory services agreement. The Exchange
is responsible for FINRA's performance under this regulatory
services agreement.
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    The surveillances referred to above generally focus on detecting
securities trading outside their normal patterns, which could be
indicative of manipulative or other violative activity. When such
situations are detected, surveillance analysis follows and
investigations are opened, where appropriate, to review the behavior of
all relevant parties for all relevant trading violations.
    The Exchange or FINRA, on behalf of the Exchange, or both, will
communicate as needed regarding trading in the Shares, exchange traded
equity securities, and S&P 500 Index Options with other markets and
other entities that are members of the ISG, and the Exchange or FINRA,
on behalf of the Exchange, or both, may obtain trading information
regarding trading in such securities from such markets and other
entities. The Exchange may obtain information regarding trading in such
securities from markets and other entities that are members of ISG or
with which the Exchange has in place 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.
    All statements and representations made in this filing regarding
(a) the description of the portfolio or reference assets, (b)
limitations on portfolio holdings or reference assets, or (c) the
applicability of Exchange listing rules specified in this rule filing
shall constitute continued listing requirements for listing the Shares
of the Fund on the Exchange.
    The issuer must notify the Exchange of any failure by the Fund to
comply with the continued listing requirements, and, pursuant to its
obligations under Section 19(g)(1) of the Act, the Exchange will
monitor for compliance with the continued listing requirements. If the
Fund is not in compliance with the applicable listing requirements, the
Exchange will commence delisting procedures under NYSE Arca Rule 5.5-
E(m).
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its
Equity Trading Permit Holders \22\ in an Information Bulletin
(``Bulletin'') of the special characteristics and risks associated with
trading the Shares. Specifically, the Bulletin will discuss the
following: (1) The procedures for purchases and redemptions of Shares
in creation unit aggregations (and that Shares are not individually
redeemable); (2) NYSE Arca Rule 9.2-E(a), which imposes a duty of due
diligence on its Equity Trading Permit Holders to learn the essential
facts relating to every customer prior to trading the Shares; (3) the
risks involved in trading the Shares during the Early and Late Trading
Sessions when an updated PIV will not be calculated or publicly
disseminated; (4) how information regarding the PIV and the Disclosed
Portfolio is disseminated; (5) the requirement that Equity Trading
Permit Holders deliver a prospectus to investors purchasing newly
issued Shares prior to or concurrently with the confirmation of a
transaction; and (6) trading information.
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    \22\ An ``ETP Holder'' means a sole proprietorship, partnership,
corporation, limited liability company or other organization in good
standing that is a registered broker-dealer and has been issued an
Equity Trading Permit (``ETP'') by the Exchange. See Rules 1.1(n)
and (o).
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    In addition, the Bulletin will reference that the Fund is subject
to various fees and expenses described in the Registration Statement.
The Bulletin will discuss any exemptive, no-action, and interpretive
relief granted by the Commission from any rules under the Act. The
Bulletin will also disclose that the NAV for the Shares will be
calculated after 4:00 p.m., Eastern time each trading day.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the
requirement under Section 6(b)(5) \23\ that an exchange have rules that
are designed to prevent fraudulent and manipulative acts and practices,
to promote just and equitable principles of trade, to remove
impediments to, and perfect the mechanism of a free and open market
and, in general, to protect investors and the public interest.
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    \23\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes that the proposed rule change is designed to
prevent fraudulent and manipulative acts and practices, 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 in that the Shares will meet
each of the initial and continued listing criteria in Commentary .01 to
NYSE Arca Rule 8.600-E, with the exception of Commentary .01(d)(2) to
NYSE Arca Rule 8.600-E, which requires that the aggregate gross
notional value of listed derivatives based on any five or fewer
underlying reference assets shall not exceed 65% of the weight of the
portfolio (including gross notional exposures), and the aggregate gross
notional value of listed derivatives based on any single underlying
reference asset shall not exceed 30% of the weight of the portfolio
(including gross notional exposures).\24\ Commentary .01(d)(2) to

NYSE Arca Rule 8.600-E is intended to ensure that a fund is not subject
to manipulation by virtue of significant exposure to a manipulable
underlying reference asset by establishing concentration limits among
the underlying reference assets for listed derivatives held by a
particular fund. The Exchange notes that this proposed rule change is
similar to previous rule changes involving Managed Fund Shares with
similar exposures to a single underlying reference asset.\25\
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    \24\ As noted above, the Exchange is submitting this proposal
because the Fund would not meet the requirements of Commentary
.01(d)(2) to Rule 8.600-E which prevents the aggregate gross
notional value of listed derivatives based on any single underlying
reference asset from exceeding 30% of the weight of the portfolio
(including gross notional exposures) and the aggregate gross
notional value of listed derivatives based on any five or fewer
underlying reference assets from exceeding 65% of the weight of the
portfolio (including gross notional exposures).
    \25\ See note 13, supra.
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    The market for S&P 500 Index Options is highly liquid. In September
2019, approximately 1.35 million options contracts on the S&P 500 Index
were traded per day, which is more than $430 billion in notional volume
traded on a daily basis. The Exchange believes that the liquidity in
the S&P 500 Index Options markets mitigates the concerns that
Commentary .01(d)(2) to Rule 8.600-E is intended to address and that
such liquidity would prevent the Shares from being susceptible to
manipulation.
    In addition, the Exchange believes that sufficient protections are
in place to protect against market manipulation of the Shares and S&P
500 Index Options for several reasons: (i) The diversity, liquidity,
and market cap of the securities underlying the S&P 500 Index; (ii) the
significant liquidity in the market for S&P 500 Index Options; and
(iii) surveillance by the Exchange, options exchanges and FINRA
designed to detect violations of the federal securities laws and SRO
rules. The Exchange has in place a surveillance program for
transactions in ETFs to ensure the availability of information
necessary to detect and deter potential manipulations and other trading
abuses, thereby making the Shares less readily susceptible to
manipulation. Further, the Exchange believes that because the S&P 500
Index Options in the Fund's portfolio will be acquired in extremely
liquid and highly regulated markets, the Shares are less readily
susceptible to manipulation.
    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. The Exchange or
FINRA, on behalf of the Exchange, or both, will communicate as needed
regarding trading in the Shares, exchange-traded options and equities
with other markets and other entities that are members of the ISG, and
the Exchange or FINRA, on behalf of the Exchange, or both, may obtain
trading information regarding trading in such securities and financial
instruments from such markets and other entities. The Exchange may
obtain information regarding trading in such securities and financial
instruments from markets and other entities that are members of ISG. In
addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
    As noted above, S&P 500 Index Options are highly liquid and derive
their value from the actively traded S&P 500 Index components. The
Exchange believes the highly regulated options markets and the broad
base and scope of the S&P 500 Index make securities that derive their
value from the S&P 500 Index less susceptible to market manipulation in
view of market capitalization and liquidity of the components of the
S&P 500 Index, price and quote transparency, and arbitrage
opportunities.
    The Exchange believes that the liquidity of the markets for
securities in the S&P 500 Index, S&P 500 Index Options, and other
related derivatives is sufficiently great to deter fraudulent or
manipulative acts associated with the Fund's Shares price. The Exchange
also believes that such liquidity is sufficient to support the creation
and redemption mechanism. Coupled with the extensive surveillance
programs of the SROs described above, the Exchange does not believe
that trading in the Fund's Shares would present manipulation concerns.
    The Exchange represents that, except as described above, the Fund
will meet and be subject to all other requirements of the Generic
Listing Standards and other applicable continued listing requirements
for Managed Fund Shares under Rule 8.600-E, including those
requirements regarding the Disclosed Portfolio, PIV, suspension of
trading or removal, trading halts, disclosure, and firewalls. The Trust
is required to comply with Rule 10A-3 under the Act for the initial and
continued listing of the Shares of the Fund.
    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 will permit the listing and trading of an
additional type of Managed Fund Shares that will enhance competition
among market participants, to the benefit of investors and the
marketplace.

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

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

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

    Because the foregoing proposed rule change does not: (i)
Significantly affect the protection of investors or the public
interest; (ii) impose any significant burden on competition; and (iii)
become operative for 30 days from the date on which it was filed, or
such shorter time as the Commission may designate, it has become
effective pursuant to Section 19(b)(3)(A) of the Act \26\ and Rule 19b-
4(f)(6) thereunder.\27\
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    \26\ 15 U.S.C. 78s(b)(3)(A).
    \27\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii)
requires a self-regulatory organization to give the Commission
written notice of its intent to file the proposed rule change, along
with a brief description and text of the proposed rule change, at
least five business days prior to the date of filing of the proposed
rule change, or such shorter time as designated by the Commission.
The Exchange has satisfied this requirement.
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    A proposed rule change filed pursuant to Rule 19b-4(f)(6) under the
Act \28\ normally does not become operative for 30 days after the date
of its filing. However, Rule 19b-4(f)(6)(iii) \29\ permits the
Commission to designate a shorter time if such action is consistent
with the protection of investors and the public interest. The Exchange
has requested that the Commission waive the 30-day operative delay so
that the proposal may become operative upon filing. The Exchange states
that waiver of the operative delay would permit the Fund to immediately
employ its index options strategy, which the Exchange believes will
allow the Fund to adapt to changing market environments and shifts in
the underlying holdings of the Fund. The Exchange states that the
proposal is generally consistent with previous rule changes involving
Managed Fund Shares with similar exposures to listed derivatives based
on a single underlying reference asset.\30\ In addition, the Exchange
represents that the closing date of the Reorganization and the first
day of trading of the Fund under its new name is expected to be on or
about December 18, 2019. The Commission believes that the proposal
raises no new or novel regulatory issues

and waiver of the 30-day operative delay is consistent with the
protection of investors and the public interest. Accordingly, the
Commission designates the proposed rule change to be operative upon
filing.\31\
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    \28\ 17 CFR 240.19b-4(f)(6).
    \29\ 17 CFR 240.19b-4(f)(6)(iii).
    \30\ See supra note 13.
    \31\ For purposes only of waiving the 30-day operative delay,
the Commission also has considered the proposed rule's impact on
efficiency, competition, and capital formation. See 15 U.S.C.
78c(f).
---------------------------------------------------------------------------

    At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act. If the Commission
takes such action, the Commission will institute proceedings to
determine whether the proposed rule change should be approved or
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-NYSEArca-2019-91 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEArca-2019-91. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (http://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for website viewing and printing in
the Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549 on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of the filing also will be available for inspection
and copying at the principal office of the Exchange. All comments
received will be posted without change. Persons submitting comments are
cautioned that we do not redact or edit personal identifying
information from comment submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File Number SR-NYSEArca-2019-91 and should be submitted
on or before January 10, 2020.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\32\
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    \32\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2019-27459 Filed 12-19-19; 8:45 am]
 BILLING CODE 8011-01-P


[Federal Register Volume 81, Number 62 (Thursday, March 31, 2016)]
[Notices]
[Page 18610]
[FR Doc No: 2016-07244]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Docket No. ER16-1254-000]

MMP SCO, LLC; Supplemental Notice That Initial Market-Based Rate
Filing Includes Request for Blanket Section 204 Authorization

    This is a supplemental notice in the above-referenced proceeding of
MMP SCO, LLC`s application for market-based rate authority, with an
accompanying rate tariff, noting that such application includes a
request for blanket authorization, under 18 CFR part 34, of future
issuances of securities and assumptions of liability.
    Any person desiring to intervene or to protest should file with the
Federal Energy Regulatory Commission, 888 First Street NE., Washington,
DC 20426, in accordance with Rules 211 and 214 of the Commission's
Rules of Practice and Procedure (18 CFR 385.211 and 385.214). Anyone
filing a motion to intervene or protest must serve a copy of that
document on the Applicant.
    Notice is hereby given that the deadline for filing protests with
regard to the applicant's request for blanket authorization, under 18
CFR part 34, of future issuances of securities and assumptions of
liability, is April 12, 2016.
    The Commission encourages electronic submission of protests and
interventions in lieu of paper, using the FERC Online links at http://www.ferc.gov. To facilitate electronic service, persons with Internet
access who will eFile a document and/or be listed as a contact for an
intervenor must create and validate an eRegistration account using the
eRegistration link. Select the eFiling link to log on and submit the
intervention or protests.
    Persons unable to file electronically should submit an original and
5 copies of the intervention or protest to the Federal Energy
Regulatory Commission, 888 First Street NE., Washington, DC 20426.
    The filings in the above-referenced proceeding are accessible in
the Commission's eLibrary system by clicking on the appropriate link in
the above list. They are also available for electronic review in the
Commission's Public Reference Room in Washington, DC. There is an
eSubscription link on the Web site that enables subscribers to receive
email notification when a document is added to a subscribed docket(s).
For assistance with any FERC Online service, please email
<EMAIL_ADDRESS>or call<PHONE_NUMBER> (toll free). For
TTY, call<PHONE_NUMBER>.

    Dated: March 23, 2016.
Nathaniel J. Davis, Sr.,
Deputy Secretary.
[FR Doc. 2016-07244 Filed 3-30-16; 8:45 am]
BILLING CODE 6717-01-P