[Federal Register: July 1, 2010 (Volume 75, Number 126)]
[Notices]
[Page 38168]
[DOCID:fr01jy10-129]

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DEPARTMENT OF TRANSPORTATION

National Highway Traffic Safety Administration

Federal Motor Vehicle Theft Prevention Standard; Final Listing of
2011 Light Duty Truck Lines Subject to the Requirements of This
Standard and Exempted Vehicle Lines for Model Year 2011; Correction

AGENCY: National Highway Traffic Safety Administration (NHTSA),
Department of Transportation (DOT).

ACTION: Notice; correction.

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SUMMARY: The National Highway Traffic Safety Administration (NHTSA)
published a document in the Federal Register of June 21, 2010,
announcing NHTSA's determination that there were no new model year (MY)
2011 light-duty truck lines subject to the requirements of the Federal
motor vehicle theft prevention standard. The final rule also identified
those vehicle lines that had been granted an exemption from the parts-
marking requirements for the 2011 model year and those vehicle lines
the agency removed because certain vehicle lines had been discontinued
more than 5 years ago. This document corrects certain information
published in the SUPPLEMENTARY INFORMATION section and Appendix A-I
listing of the final rule. All previous information associated with the
published notice remains the same.

FOR FURTHER INFORMATION CONTACT: Ms. Rosalind Proctor, Office of
International Policy, Fuel Economy and Consumer Programs, NHTSA, 1200
New Jersey Avenue, SE., Washington, DC 20590. Ms. Proctor's telephone
number is<PHONE_NUMBER>. Her fax number is<PHONE_NUMBER>.

Correction

    In the Federal Register of June 21, 2010, in FR Doc. 2010-14840, on
page 34947, in the first column, add the following at the end of the
fourth paragraph of the Supplementary Information section:

``The agency also granted Jaguar Land Rover North America, LLC., a full
exemption from the parts marking requirements of the Theft Prevention
Standard for the Jaguar XJ vehicle line beginning with MY 2010.''

    On page 34947, in the first column, fifth paragraph, line six,
correct the Supplementary Information section to remove the erroneous
identification of the ``Jaguar XK'' as having been a vehicle line
discontinued more than 5 years ago.
    On page 34948, second column of the Appendix A-I listing, add the
``XJ'' vehicle line to the Jaguar entry of vehicle lines exempted from
the parts marking requirements of 49 CFR part 541.

    Issued on: June 25, 2010.
Nathaniel Beuse,
Director, Office of Crash Avoidance Standards.
[FR Doc. 2010-16040 Filed 6-30-10; 8:45 am]
BILLING CODE 4910-59-P


[Federal Register Volume 81, Number 214 (Friday, November 4, 2016)]
[Notices]
[Pages 76977-76986]
[FR Doc No: 2016-26647]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-79201; File No. SR-NYSEArca-2016-120]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change Relating to the Listing and Trading of Shares
of the ForceShares Daily 4X US Market Futures Long Fund and ForceShares
Daily 4X US Market Futures Short Fund Under Commentary .02 to NYSE Arca
Equities Rule 8.200

October 31, 2016.
    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 October 17, 2016, NYSE Arca, Inc. (the ``Exchange'' or
``NYSE Arca'') 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 list and trade shares of the following
under Commentary .02 to NYSE Arca Equities Rule 8.200 (``Trust Issued
Receipts''): ForceShares Daily 4X US Market Futures Long Fund and
ForceShares Daily 4X US Market Futures Short Fund. The proposed rule
change is available on the Exchange's Web site 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 list and trade shares (``Shares'') of the
following under Commentary .02 to NYSE Arca Equities Rule 8.200, which
governs the listing and trading of Trust Issued Receipts (``TIRs''):
\4\ ForceShares Daily 4X US Market Futures Long Fund (``Fund'' or
``Long Fund'') and ForceShares Daily 4X US Market Futures Short Fund
(``Fund'' or ``Short Fund'' and, together with the Long Fund, the
``Funds'').\5\
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    \4\ Commentary .02 to NYSE Arca Equities Rule 8.200 applies to
TIRs that invest in ``Financial Instruments.'' The term ``Financial
Instruments,'' as defined in Commentary .02(b)(4) to NYSE Arca
Equities Rule 8.200, means any combination of investments, including
cash; securities; options on securities and indices; futures
contracts; options on futures contracts; forward contracts; equity
caps, collars and floors; and swap agreements.
    \5\ On July 27, 2015, the Trust submitted to the Commission its
draft registration statement on Form S-1 under the Securities Act of
1933 (15 U.S.C. 77a) (``Securities Act''). The Jumpstart Our
Business Startups Act, enacted on April 5, 2012, added Section 6(e)
to the Securities Act. Section 6(e) of the Securities Act provides
that an ``emerging growth company'' may confidentially submit to the
Commission a draft registration statement for confidential, non-
public review by the Commission staff prior to public filing,
provided that the initial confidential submission and all amendments
thereto shall be publicly filed not later than 21 days before the
date on which the issuer conducts a road show, as such term is
defined in Securities Act Rule 433(h)(4). An emerging growth company
is defined in Section 2(a)(19) of the Securities Act as an issuer
with less than $1,000,000,000 total annual gross revenues during its
most recently completed fiscal year. The Funds meet the definition
of an emerging growth company and consequently have filed their Form
S-1 registration statement on a confidential basis with the
Commission.
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    Each of the Funds is a commodity pool that is a series of the
ForceShares Trust (``Trust''), a Delaware statutory trust. The Funds'
sponsor is ForceShares LLC (the ``Sponsor''). ALPS Distributors, Inc.
is the marketing agent for the Funds' Shares (``Marketing Agent'').
U.S. Bank National Association is the Funds' custodian (``Custodian''),
which, in such capacity, holds the Funds' ``Cash Equivalents'' (as
described below) and/or cash pursuant to a custodial agreement. The
Custodian is also the registrar and transfer agent for the Funds'
Shares.
    The Long Fund's primary investment objective is to seek daily
investment results, before fees and expenses, that correspond to
approximately four times (400%) the daily performance, and the Short
Fund's primary investment objective is to seek daily investment
results, before fees and expenses, that correspond to approximately
four times

the inverse (-400%) of the daily performance, of the closing settlement
price \6\ for lead month (i.e., the ``near month'' or next-to-expire)
Standard & Poor's 500 Stock Price Index Futures contracts (``Big S&P
Contracts'') that are traded on the Chicago Mercantile Exchange
(``CME'').\7\ Except as discussed below, this closing settlement price
is referred to herein as the ``Benchmark''. The Big S&P Contracts are
referred to herein as the ``Benchmark Component Futures Contracts''.\8\
The Funds do not seek to achieve their respective stated primary
investment objectives over a period of time greater than a single day.
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    \6\ The CME currently calculates the closing settlement price as
the volume-weighted average price of all trades executed in the
applicable Big S&P Contract on CME Globex in the last 30 seconds of
open outcry trading (typically from 4:14:30 p.m. E.T. to 4:15:00
p.m. E.T.).
    \7\ Big S&P Contracts are traded on the CME in units of $250
multiplied by the value of the S&P 500 Index.
    \8\ The Funds' Benchmark is intended to track movements in the
closing settlement price of lead month Big S&P Contracts. Big S&P
Contracts are based on the value of the S&P 500 Index, a measure of
large-cap U.S. stock market performance. The S&P 500 Index is a
float-adjusted, market capitalization-weighted index of 500 U.S.
operating companies and real estate investment trusts selected
through a process that factors in criteria such as liquidity, price,
market capitalization and financial viability.
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    The Sponsor employs a ``neutral'' investment strategy intended to
track the changes in the Benchmark regardless of whether the Benchmark
goes up or goes down. Each Fund's ``neutral'' investment strategy is
designed to permit investors generally to purchase and sell a Fund's
Shares with the objective of gaining leveraged exposure to Big S&P
Contracts and, therefore, the S&P 500[supreg] (``S&P 500 Index''), in a
cost-effective manner.
    Each Fund seeks to achieve its primary investment objective under
normal market conditions \9\ primarily by investing in Big S&P
Contracts such that daily changes in a Fund's net asset value (``NAV'')
are expected to closely track the changes, in the case of the Long
Fund, or the inverse of the changes, in the case of the Short Fund, in
the Benchmark on a leveraged basis, as described further below. Each
Fund will also invest in E-MiniTM S&P 500[supreg] Futures
contracts (``E-Minis'' and, together with Big S&P Contracts, ``Primary
S&P Interests'') \10\ to seek to achieve its primary investment
objective where position limits prevent further purchases of Big S&P
Contracts.\11\ Each Fund may also invest in other contracts, securities
and instruments that the Sponsor determines, in its sole discretion,
further a Fund's primary investment objective (collectively, ``Other
S&P Interests,'' and together with Primary S&P Interests, ``S&P
Interests'').\12\
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    \9\ The term ``under normal market conditions'' includes, but is
not limited to, the absence of adverse market, economic, political
or other conditions, including extreme volatility or trading halts
in the equities markets or the financial markets generally;
operational issues (e.g., systems failure) causing dissemination of
inaccurate market information; or force majeure type events such as
natural or man-made disaster, act of God, armed conflict, act of
terrorism, riot or labor disruption or any similar intervening
circumstance.
    \10\ E-Minis are traded on the CME in units of $50 multiplied by
the value of the S&P 500 Index.
    \11\ Primary S&P Interests traded on the CME expire on a
specified day in each calendar quarter: March, June, September and
December. For example, in terms of the Benchmark, on May 1st of a
given year the lead month Big S&P Contract will expire in June of
that year and will be the Benchmark Component Futures Contracts. As
another example, on December 31st of a given year, the Benchmark
Component Futures Contracts will be the contracts expiring in March
of the following year.
    \12\ The Sponsor does not intend to operate the Funds in a
fashion such that their respective per Share NAV equals, in dollar
terms, the value of the S&P 500 Index or the price of any particular
Primary S&P Interest.
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    Permissible Other S&P Interests are the following: Swap agreements
(cleared and over-the-counter), over-the-counter forward contracts, and
short positions on futures contracts, in each case with respect to and
referencing Primary S&P Interests or the S&P 500 Index.
    Each Fund may also acquire options on futures contracts (i.e., the
Stop Options described below). In the absence of certain stop measures
represented by options on futures contracts obtained by a Fund, if the
Benchmark moves 25% or more on a given trading day(s) in a direction
adverse to a Fund's holdings, a Fund's investors would lose all of
their money. Therefore, the Long Fund would hold ``put'' options, and
the Short Fund would hold ``call'' options, with respect to all or
substantially all of its S&P Interests (as defined above) \13\ with
strike prices at approximately 75%, in the case of the Long Fund, or
125%, in the case of the Short Fund, of the value of the applicable
underlying S&P Interest as of the end of the preceding business day
(such Fund's ``Stop Options''). The Stop Options will serve primarily
to (a) prevent the Fund's NAV from going to zero in the event of a 25%
adverse move in the Benchmark, and (b) recoup a small portion of
substantial losses of a Fund that may result from large movements in
the Benchmark. The Stop Options are not expected to result in
significant gains for any Fund, and will generally be considered a
transaction cost for each Fund. The Stop Options will not prevent a
Fund from losing money, but will permit the Fund to recoup a small
percentage of its losses in the event of a large or catastrophic
adverse movement in a Fund's Benchmark.
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    \13\ The Stop Options will be comprised of options on Primary
S&P Interests (i.e., Big S&P Contracts and E-Minis) providing the
desired coverage with respect to both Primary S&P Interests and
Other S&P Interests, if any.
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    Each Fund's positions in S&P Interests will be changed or
``rolled'' on a regular basis in order to track the changing nature of
the Benchmark. For example, quarterly (on the date on which a Big S&P
Contract expires), the deferred month (or next-to-expire) Big S&P
Contract will become the ``Lead'' month (or front month) Big S&P
Contract and will become the Benchmark Component Futures Contract, and
each Fund's investments will have to be changed accordingly. During
roll periods, the Benchmark will be composed of a combination of the
lead month Big S&P Contract and/or the deferred month Big S&P Contract.
The Benchmark is a ``rolling index'', which means that the Benchmark
does not take physical possession of any commodities. An investor with
a rolling futures position is able to avoid delivering (or taking
delivery of) underlying physical commodities while maintaining exposure
to those commodities. The Benchmark Component Futures Contract is
changed from the lead month Big S&P Contract to the deferred month Big
S&P Contract over a four-day period. Each quarter, the Benchmark
Component Futures Contract changes start at the end of the day on the
date two weeks (twelve days) prior to expiration of the lead month Big
S&P Contract for that month. During the first three days of the period,
the applicable value of the Benchmark is based on a combination of the
lead month Big S&P Contract and the deferred month Big S&P Contract as
follows:
     On day 1, the Benchmark consists of 75% of the lead month
Big S&P Contract's price plus 25% of the deferred month Big S&P
Contract's price;
     On day 2, the Benchmark consists of 50% of the lead month
Big S&P Contract's price plus 50% of the deferred month Big S&P
Contract's price;
     On day 3, the Benchmark consists of 25% of the lead month
Big S&P Contract's price plus 75% of the deferred month Big S&P
Contract's price; and
     On day 4, the Benchmark is entirely composed of the prior
day's deferred month Big S&P Contract, which now constitutes the lead
month Big S&P

Contract until the beginning of the following quarter's rolling period.
    On each day during the four-day rolling period, the Sponsor
anticipates it will roll S&P Interests positions by closing, or
selling, a percentage of positions in S&P Interests and reinvesting the
proceeds from closing those positions in new S&P Interests that reflect
the change in the Benchmark. The anticipated dates that the quarterly
four-day roll period will commence are posted on a Fund's Web site at
www.forceshares.com, and are subject to change without notice. By
remaining invested as fully as possible in S&P Interests, the Sponsor
believes that the daily changes in percentage terms of the NAV will
continue to closely track the daily changes in percentage terms in the
price of the Benchmark.
    The composition of a Fund's Stop Options positions may or may not
need to be changed during a roll period. The Sponsor will consider
whether to sell a Stop Option position based upon that Stop Option's
economic viability, which is determined by examining its strike price
relative to the existing Benchmark Futures Contract value, time to
expiration, market demand and any other applicable considerations. In
all circumstances, including during roll period and at the end of the
roll period, the Stop Option positions will provide coverage, at an
aggregate strike price of approximately 75 percent for the Long Fund or
125 percent for the Short Fund, for all of the S&P Interests held by
the Fund. As a result, the Sponsor will purchase new Stop Options when
required to meet the referenced coverage threshold.\14\
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    \14\ A Fund may hold Stop Options that provide coverage for more
than 100% of a Fund's S&P Interests at any particular time. This
result may occur because the Funds' respective investment strategies
require that each Fund increase Stop Option positions to maintain a
threshold of not less than 100% coverage of S&P Interests, and that
Stop Option positions only be decreased if trading out of such
positions will generate a transactional profit to the Fund (although
such profits are not anticipated to provide a material impact on a
Fund's return). Excess Stop Option positions for which trading is
not profitable will be allowed to expire.
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    The S&P Interests that each Fund will principally invest in are
futures contracts, which are standardized contracts traded on, or
subject to the rules of, an exchange that call for the future delivery
of a specified quantity and type of asset at a specified time and place
or, alternatively, may call for cash settlement. Each Fund expects to
invest in S&P Interests to the fullest extent possible without (a)
materially exceeding the leverage necessary to implement its primary
investment objective or (b) being unable to satisfy its expected
current or potential margin or collateral obligations with respect to
its investments in S&P Interests. Each Fund will invest in Primary S&P
Interests to the extent that it is not in violation of exchange
position limits on such Primary S&P Interests.\15\ Futures contracts,
all of which held by a Fund are lead month or deferred month Primary
S&P Interests, are expected to comprise approximately ten to twenty-
five percent (10-25%) of the Long Fund's portfolio and approximately
ten to twenty-five percent (10-25%) of the Short Fund's portfolio.\16\
Subsequently, each Fund in its evaluation may also invest in Other S&P
Interests that obtain the investment objective of leveraged exposure to
the S&P 500 Index, in an amount up to twenty-five percent (25%) of its
net assets. The types of contracts, securities and instruments that
qualify as Other S&P Interests are swap agreements (cleared and over-
the-counter), over-the-counter forward contracts, and short positions
that the Sponsor determines, in its sole discretion, further a Fund's
primary investment objective.
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    \15\ The Commodity Futures Trading Commission (``CFTC'') and
U.S. designated contract markets such as the CME may establish
position limits on the maximum net long or net short futures
contracts in commodity interests that any person or group of persons
under common trading control (other than as a hedge, which an
investment by the Funds is not) may hold, own or control. For
example, the current CME instituted position limit for investments
at any one time in Big S&P Contracts is 60,000 contracts (on a net
basis) total for all months. For the purpose of this limit, E-Minis
are counted as \1/5\th the size of Big S&P Contracts for the
purposes of this limit. These position limits are fixed ceilings
that each Fund would not be able to exceed without specific CFTC
authorization. Position limits are calculated at the controller
level, meaning positions in the contracts held be the Funds will be
aggregated at the level of control by the Sponsor, which is the
commodity pool operator for the Funds. Position limits are
calculated on a net futures basis, meaning that long exposure
Primary S&P Interests held in the Long Fund will be netted against
the short exposure Primary S&P Interests held by the Short Fund.
Additionally, Stop Options held by a Fund will be netted against the
Primary S&P Interests held by such Fund; provided, however, that the
weighting of a Stop Option for position limit purposes will be
determined through analysis of the ``net delta'' of the Stop Option
(relative to current Benchmark values) using the Standard Portfolio
Analysis of Risk (SPAN) system operated by the CME. As a result, the
net impact of Stop Options on the position limits applicable to the
Funds is difficult to ascertain in advance. Based on the Benchmark
as of September 22, 2016, the position limits for Primary S&P
Interests would account for a total notional value of
$32,524,500,000. As a result, assuming the level of the S&P 500
Index remains the same, the Funds would be unlikely to trigger
position limits for Primary S&P Interests unless one Fund's net
assets exceeded the other Fund's net assets by approximately $8.1
billion. This calculation assumes that each Fund is successful in
achieving its stated investment objective of maintaining 400% or -
400% exposure to the Benchmark Futures Contract. If, for example,
the Long Fund has $9 billion in net assets and does not invest in
Other S&P Interests that are not subject to position limits, it will
hold Primary S&P Interests with a total notional exposure of $36
billion (equivalent to 66,411.5 Big S&P Contracts). If the Short
Fund has $1 billion in net assets and does not invest in Other S&P
Interests that are not subject to position limits, it will hold
Primary S&P Interests with a total notional exposure of $4 billion
(equivalent to 7,379 Big S&P Contracts). On a net basis, the Funds
will hold 59,032.5 contracts for position limit purposes. The
calculation does not account for the potential impact of Stop
Options on the net exposure of the Funds. Accountability levels
differ from position limits in that they do not represent a fixed
ceiling, but rather a threshold above which a futures exchange may
exercise greater scrutiny and control over an investor's positions.
If a Fund were to exceed an applicable accountability level for
investments in futures contracts, the exchange will monitor a Fund's
exposure and may ask for further information on its activities,
including the total size of all positions, investment and trading
strategy, and the extent of liquidity resources of a Fund. If deemed
necessary by the exchange, a Fund could be ordered to reduce its
aggregate net position back to the accountability level. Based on
the Benchmark as of September 22, 2016, the reportable level that
required enhanced recordkeeping for Primary S&P Interests would
account for a total notional value of $54,207,500. As a result,
assuming the level of the S&P 500 Index remains the same, the Funds
would be expected to trigger accountability level recordkeeping
requirements when one Fund's net assets exceeded the other Fund's
net assets by approximately $54 million. In addition to position
limits and accountability, the exchanges set daily price fluctuation
limits on futures contracts. The daily price fluctuation limit
establishes the maximum amount that the price of futures contracts
may vary either up or down from the previous day's settlement price.
Once the daily price fluctuation limit has been reached in a
particular futures contract, no trades may be made at a price beyond
that limit. Neither of the Funds intends to limit the size of the
offering and each will attempt to expose substantially all of its
proceeds to the S&P 500 Index utilizing S&P Interests. If a Fund
encounters position limits, accountability levels, or price
fluctuation limits for Primary S&P Interests on the CME, it may
then, if permitted under applicable regulatory requirements,
purchase Other S&P Interests. In any case, notwithstanding the
potential availability of these instruments in certain
circumstances, position limits could force a Fund to limit the
number of Creation Baskets that it sells. A decline in the S&P 500
Index at certain price levels will trigger market-wide circuit
breakers (i.e., price fluctuation limits) causing the Exchange or
CME to suspend, halt, or restrict the trading of Primary S&P
interests for a short period time or the remainder of the applicable
trading day. Price fluctuation limits are established by relevant
exchanges on which securities or futures contracts are traded.
Currently, the Sponsor intends to acquire S&P Interests on the CME,
which has established price fluctuation limits for negative
movements of 7% percent, 13% percent and 20% percent in the value of
the S&P Index. The CME has not adopted price fluctuation limits for
positive movement thresholds in the S&P 500 Index.
    \16\ To the extent that the CME or any applicable authority or
counterparty alters margin requirement applicable to the Primary S&P
Interests, the approximate percentage of portfolio interests held in
Primary S&P Interests, Other S&P Interests, Stop Options and Cash
Equivalents (as defined below) may change in accordance therewith.
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    Each Fund may acquire or dispose of Stop Options (puts or calls) on
S&P Interests in pursuing its secondary

investment objective of recouping a small amount of losses of a Fund
against an extreme, short term negative movement, in the case of the
Long Fund, or positive movement, in the case of the Short Fund, in the
Benchmark. Each Fund will acquire such number of Stop Options as is
required in respect of the number and value of a Fund's S&P Interests,
on an aggregated basis. Each Fund is expected to make use of options on
Primary S&P Interests solely in connection with its secondary
investment objective.
    Stop Options are expected to average less than approximately five
percent (5%) of the Long Fund's portfolio and less than approximately
five percent (5%) of the Short Fund's portfolio.
    On a day-to-day basis, a Fund will invest the remainder of its
assets in money market funds, depository accounts with institutions
with high quality credit ratings or short-term debt instruments that
have terms-to-maturity of less than 397 days and exhibit high quality
credit profiles, including U.S. government securities and repurchase
agreements (collectively, ``Cash Equivalents''). Cash Equivalents are
expected to comprise approximately seventy to eighty-five percent (70-
85%) of the Long Fund's portfolio and approximately seventy to eighty-
five percent (70-85%) of the Short Fund's portfolio.
    The Sponsor uses a mathematical approach to investing. Using this
approach, the Sponsor determines the type, quantity and mix of
investment positions that each Fund should hold to achieve, on a daily
basis, approximately four times (400%) the daily performance, in the
case of the Long Fund, or approximately four times the inverse (-400%)
of the daily performance, in the case of the Short Fund, of the
Benchmark. The Sponsor does not invest the assets of the Funds in
securities or financial instruments based on the Sponsor's view of the
investment merit of a particular security, instrument, or company, nor
does it conduct conventional investment research or analysis or
forecast market movement or trends, in managing the assets of the
Funds. Each Fund seeks to remain invested at all times in securities
and/or financial instruments that, in combination, provide leveraged
exposure to the S&P 500 Index without regard to market conditions,
trends or direction.
    Following determination of a Fund's respective NAV each business
day, each Fund will seek to position its portfolio so that its exposure
to the Benchmark is consistent with a Fund's primary investment
objective. The Benchmark's price movement during the day will affect
whether a Fund's portfolio needs to be repositioned. For example, if
the Benchmark has risen on a given day, the NAV of the Long Fund should
rise and the NAV of the Short Fund should fall. As a result, the Long
Fund's exposure would need to be increased and the Short Fund's
exposure would need to be decreased. Conversely, if the Benchmark has
fallen on a given day, the NAV of the Long Fund should fall and the NAV
of the Short Fund should rise. As a result, the Long Fund's exposure
would need to be decreased and the Short Fund's exposure would need to
be increased.
    Because of daily rebalancing of each Fund's Portfolio and the
compounding of each day's return over time, the return of each Fund for
periods longer than a single day will be the result of each day's
returns compounded over the period, which will very likely differ from
four times (400%) the total performance, in the case of the Long Fund,
or four times the inverse (-400%) of the total performance, in the case
of the Short Fund, of the Benchmark over the same period. Each Fund
will lose money if the level of the Benchmark is flat over time, and it
is possible that the Long Fund will lose money over time even if the
level of the Benchmark rises, and the Short Fund will lose money over
time even if the level of the Benchmark falls, as a result of daily
rebalancing of the applicable Fund, the Benchmark's volatility and the
effects of compounding.
    Each Fund will be rebalanced daily in order to continue to reflect
exposure equal to approximately four times (400%) the daily
performance, in the case of the Long Fund, or approximately four times
the inverse (-400%) of the daily performance, in the case of the Short
Fund, of the Benchmark.\17\ However, each Fund will only rebalance on
business days when the Exchange and the CME are open. The Sponsor will
determine the type, quantity and combination of S&P Interests it
believes will produce daily returns consistent with the applicable
Fund's primary investment objective.
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    \17\ The Sponsor anticipates that the rebalancing of a Fund's
S&P Interests will principally take place during the period of time
prior to the close of trading of Primary S&P Interests on the CME.
Currently, trading on the CME takes place between 9:30 a.m. to 4:15
p.m. E.T.
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    The Sponsor believes that market arbitrage opportunities will cause
each Fund's Share price on the Exchange to track a Fund's NAV per
Share. The Sponsor believes that the net effect of this expected
relationship and the expected relationship between each Fund's NAV per
Share and the Benchmark will be that the changes in the price of a
Fund's Shares on the Exchange will track approximately four times
(400%) the daily performance, in the case of the Long Fund, or four
times the inverse (-400%) of the daily performance, in the case of the
Short Fund, of the Benchmark. This relationship may be affected by
various market factors, including but not limited to, the number of
Shares of a Fund outstanding and the liquidity of the underlying
holdings. The Sponsor believes that the market for Primary S&P
Interests is among the more liquid futures markets and does not
anticipate liquidity issues relating to a Fund's underlying holdings,
absent extraordinary circumstances or material changes to the
marketplace for Primary S&P Interests. While the Benchmark is composed
of Big S&P Contracts and is therefore a measure of the future value of
the S&P 500 Index, there is nonetheless expected to be a reasonable
degree of correlation between the Benchmark and the then-current value
of the S&P 500 Index.
    The Sponsor will invest each Fund's assets in S&P Interests, Stop
Options, Cash Equivalents and/or cash. The Sponsor will deposit a
portion of each Fund's net assets with the FCM or other custodians to
be used to meet its current or potential margin or collateral
requirements in connection with its investment in S&P Interests. Each
Fund will use only Cash Equivalents and/or cash to satisfy these
requirements.
    The Sponsor intends for such Stop Options to be maintained with an
approximate level of coverage such that the Sponsor may put or call, as
applicable, the S&P Interests at a strike price of approximately 75%,
in the case of the Long Fund, or 125%, in the case of the Short Fund,
of the value of the applicable underlying S&P Interests as of the end
of the preceding business day. To the extent that the Sponsor is unable
(whether through error or limitations in the availability of the
required put or call options on futures contracts) to manage the Stop
Options to provide coverage for all of a Fund's S&P Interests at the
intended target strike price, it is possible that the Stop Options will
not prevent a Fund's NAV from going to zero.
    The design of the Funds' Benchmark is such that the Benchmark
Component Futures Contracts will change four times per year, and the
Funds' investments must be rolled periodically to reflect the changing
composition of the Benchmark. For example, when the lead month Big S&P
Contract expires, such contract will no longer be the

Benchmark Component Futures Contract and the applicable Fund's position
in it will no longer be consistent with tracking the Benchmark. In the
event of a futures market where near-to-expire contracts trade at a
higher price than longer-to-expire contracts, a situation referred to
as ``backwardation'', then absent the impact of the overall movement in
the S&P 500 Index the value of the Benchmark Component Futures
Contracts would tend to rise as they approach expiration. As a result
the Long Fund may benefit because it would be selling more expensive
contracts and buying less expensive ones on an ongoing basis, and the
Short Fund may be negatively impacted because it would be selling less
expensive contracts and buying more expensive ones on an ongoing basis.
    Conversely, in the event of a futures market where near-to-expire
contracts trade at a lower price than longer-to-expire contracts, a
situation referred to as ``contango,'' then absent the impact of the
overall movement in the S&P 500 Index the value of the Benchmark
Component Futures Contracts would tend to decline as they approach
expiration. As a result the Long Fund's total return may be lower than
might otherwise be the case because it would be selling less expensive
contracts and buying more expensive ones, and the Short Fund's total
return may be higher than might otherwise be the case because it would
be selling more expensive contracts and buying less expensive ones. The
impact of backwardation and contango may lead the total return of a
Fund to vary significantly from the total return of other price
references, such as the S&P 500 Index. Absent the impact of rising or
falling S&P 500 Index values, a prolonged period of contango could have
a significant negative impact on the Long Fund's NAV and total return
and a prolonged period of backwardation could have a significant
negative impact on the Short Fund's NAV and total return.
Operation of the Funds
    Each Fund invests in S&P Interests to the fullest extent possible
without exceeding the leverage necessary to implement its primary
investment objective or being unable to satisfy its expected current or
potential margin or collateral obligations with respect to its
investments in S&P Interests. After fulfilling such margin and
collateral requirements and purchasing Stop Options consistent with its
secondary investment objective, each Fund invests the remainder of its
proceeds from the sale of baskets in Cash Equivalents and/or holds such
assets in cash (generally in interest-bearing accounts). Therefore, the
focus of the Sponsor in managing each Fund is investing in S&P
Interests, Stop Options, Cash Equivalents and/or cash. Each Fund earns
interest income from the Cash Equivalents that it purchases and on the
cash it holds through the Custodian.
The Investment Strategies of the Funds
    In managing each Fund's assets, the Sponsor does not use a
technical trading system that automatically issues buy and sell orders.
Instead, each time one or more baskets are purchased or redeemed, the
Sponsor will purchase or sell S&P Interests, Stop Options and Cash
Equivalents as required in respect of the amount of cash received or
paid upon the purchase or redemption of the basket(s).
    As an example, assume that a Creation Basket is sold by the Long
Fund, and that the Long Fund's closing NAV per Share is $50. In that
case, the Long Fund would receive $2,500,000 in proceeds from the sale
of the Creation Basket ($50 NAV per Share multiplied by 50,000 Shares,
and ignoring the Creation Basket fee in the amount set forth in the
applicable Fund's prospectus). If one were to assume further that the
Sponsor wants to invest the entire proceeds from the Creation Basket in
Big S&P Contracts to obtain an aggregate value of $10,000,000 (i.e.,
four times exposure relative to NAV) and that the market value of each
such Big S&P Contract is $522,500 (i.e., index value of 2,090
multiplied by $250) (or otherwise not a round number), the Long Fund
would be unable to buy an exact number of Big S&P Contracts with an
aggregate market value equal to $10,000,000. Instead, the Long Fund
would be able to purchase 19 Big S&P Contracts with an aggregate
notional value of $9,927,500. Assuming a margin requirement equal to 4%
of the value of the Big S&P Contracts, the Long Fund would be required
to deposit $397,100 in Cash Equivalents and/or cash with the FCM
through which the Big S&P Contracts were purchased. The remainder of
the proceeds from the sale of the Creation Basket, $2,112,900, would
remain invested in Cash Equivalents and/or cash as determined by the
Sponsor from time to time based on factors such as potential calls for
margin or anticipated redemptions.
    The specific S&P Interests purchased depend on various factors,
including a judgment by the Sponsor as to the appropriate
diversification of each Fund's investments. While the Sponsor
anticipates that each Fund will seek to achieve its primary investment
objective by investing in Primary S&P Interests, for various reasons,
including the ability to enter into the precise amount of exposure to
the S&P 500 Index and position limits on Primary S&P Interests, it may
also invest in Other S&P Interests, including swaps, in the over-the-
counter market to a potentially significant degree. Each Fund will be
limited in investing up to twenty percent (20%) of its net assets in
Other S&P Interests that may constitute securities for purposes of the
Investment Company Act of 1940.
    The Sponsor does not anticipate letting its Primary S&P Interests
expire and taking delivery of or having to deliver cash. Instead, the
Sponsor closes out existing positions, e.g., in response to ongoing
changes in the Benchmark or if it otherwise determines it would be
appropriate to do so and reinvest the proceeds in new S&P Interests.
Positions may also be closed out to meet orders for Redemption Baskets,
in which case the proceeds from closing the positions will not be
reinvested.
    Because the Long Fund seeks to track the Benchmark directly and
profit when the value of the S&P 500 Index increases and, as a likely
result of an increase in the value of the S&P 500 Index, the price of
Primary S&P Interests increases, the Long Fund will generally be long
on the S&P 500 Index, and will generally sell Primary S&P Interests
only to close out existing long positions. Because the Short Fund seeks
to track the Benchmark inversely and profit when the value of the S&P
500 Index decreases and, as a likely result of a decrease in the value
of the S&P 500 Index, the price of Primary S&P Interests decreases, the
Short Fund will generally be short on the S&P 500 Index, and will
generally buy Primary S&P Interests only to close out existing short
positions.
Over-the-Counter Derivatives
    In addition to futures contracts, options on futures contracts and
cleared swaps, derivative contracts that are tied to various securities
will be entered into outside of public exchanges. The over-the-counter
contracts that the Funds may enter into will take the form of either
swaps or forward contracts, in each case providing exposure to the S&P
500 Index or to Big S&P Contracts.
    To reduce the credit risk that arises in connection with over-the-
counter contracts, each Fund generally will enter into an agreement
with each counterparty based on the Master Agreement published by the
International Swaps and Derivatives Association, Inc. that provides for
the

netting of each Fund's overall exposure to its counterparty and for
daily payments based on the marked to market value of the contract.
    The creditworthiness of each potential counterparty will be
assessed by the Sponsor. The Sponsor assesses or reviews, as
appropriate, the creditworthiness of each potential or existing
counterparty to an over-the-counter contract pursuant to guidelines
approved by the Sponsor. The creditworthiness of existing
counterparties will be reviewed periodically by the Sponsor. There is
no guarantee that the Sponsor's creditworthiness analysis will be
successful and that counterparties selected for Fund transactions will
not default on their contractual obligations.
Net Asset Value
    Each Fund's NAV will be calculated by taking the current market
value of a Fund's total assets and subtracting any liabilities and
dividing the balance by the number of a Fund's Shares. Under each
Fund's current operational procedures, each Fund's administrator,
USBancorp Fund Services, LLC (the ``Administrator''), will calculate
the NAV of a Fund as of the earlier of 4:00 p.m. Eastern time
(``E.T.'') or the close of the Exchange each day. The NAV for a
particular trading day will be released after 4:15 p.m. E.T. The NAV
for the Funds will be calculated by the Administrator once a day and
will be disseminated daily to all market participants at the same
time.\18\
---------------------------------------------------------------------------

    \18\ For each Fund, the NAV will be calculated by taking the
current market value of a Fund's total assets and subtracting any
liabilities. Under the Funds' current operational procedures, the
Administrator will generally calculate the NAV of the Funds' Shares
as of the earlier of 4:00 p.m. E.T. or the close of the Exchange
each day. The NAV for a particular trading day will be released
after 4:15 p.m. E.T.
---------------------------------------------------------------------------

    Each Fund's NAV includes, in part, any unrealized profits or losses
on open swap agreements, futures or forward contracts. Under normal
circumstances, a Fund's NAV will reflect the quoted closing settlement
price of open futures contracts on the date when a Fund's NAV is being
calculated. In instances when the quoted settlement price of futures
contract traded on an exchange may not be reflective of fair value
based on market condition, generally due to the operation of daily
limits or other rules of the exchange or otherwise, a Fund's NAV may
not reflect the fair value of open futures contracts on such date.
    The Sponsor will recalculate each Fund's NAV where necessary to
reflect the ``fair value'' of a futures contract when the futures
contract closes at its price fluctuation limit for the day.
    In determining the value of Primary S&P Interests, the
Administrator will use the then current value of Big S&P Contracts and
E-Minis (as reflected on the CME), and, at end of day, the closing
settlement price of each such contract on the CME, except that the
``fair value'' of a Primary S&P Interest (as described in more detail
below) may be used when Primary S&P Interests close at their price
fluctuation limit for the day. The Administrator will determine the
value of each Fund's other investments as of the earlier of the close
of the Exchange or 4:00 p.m. E.T., in accordance with the current
Services Agreement between the Administrator and the Trust. The value
of over-the-counter S&P Interests is determined based on the value of
the security, futures contract or index underlying such S&P Interest,
except that a fair value may be determined if the Sponsor believes that
a Fund is subject to significant credit risk relating to the
counterparty to such S&P Interest. Cash Equivalents held by a Fund will
be valued by the Administrator using values received from recognized
third-party vendors (such as Reuters) and dealer quotes. NAV includes
any unrealized profit or loss on open S&P Interests and any other
credit or debit accruing to each Fund but unpaid or not received by a
Fund. The fair value of a S&P Interest shall be determined by the
Sponsor in good faith and in a manner that assesses the S&P Interest's
value based on a consideration of all available facts and all available
information on the valuation date.
    Cash Equivalents will normally be valued on the basis of quotes
obtained from brokers and dealers or pricing services. Exchange-traded
options on futures will generally be valued at the settlement price
determined by the applicable exchange.
    With respect to specific derivatives:
     A total return swap on an index will be valued at the
publicly available index price. The index price, in turn, is determined
by the applicable index calculation agent, which generally values the
securities underlying the index at the last reported sale price.
     Equity total return swaps will generally be valued using
the actual underlying equity at local market closing.
     Over-the-counter [sic] will generally be valued on a basis
of quotes obtained from a quotation reporting system, established
market makers, or pricing services.
     Forwards will generally be valued in the same manner as
the underlying securities. Forward settling positions for which market
quotes are readily available will generally be valued at market value.
    When a Primary S&P Interest has closed at its price fluctuation
limit, the fair value determination attempts to estimate the price at
which such Primary S&P Interest would be trading in the absence of the
price fluctuation limit (either above such limit when an upward limit
has been reached or below such limit when a downward limit has been
reached). Typically, this estimate will be made primarily by reference
to the price of comparable S&P Interests trading in the over-the-
counter market. The fair value of an S&P Interest may not reflect such
security's market value or the amount that a Fund might reasonably
expect to receive for the S&P Interest upon its current sale.
Indicative Fund Value
    In addition, in order to provide updated information relating to a
Fund for use by investors and market professionals, the Exchange will
calculate and disseminate throughout the trading day an updated
``indicative fund value'' (``IFV''). The IFV will be calculated by
using the prior day's closing NAV per Share of a Fund as a base and
updating that value throughout the trading day to reflect changes in
the value of the underlying holdings. Tracking the changes in
underlying holdings will be calculated as follows:
    Benchmark Component Futures Contracts will be valued using their
most recent quoted price during the trading day, for as long as the
main pricing mechanism of the CME is open.
    Primary S&P Interests will be valued using their most recent quoted
price during the trading day for as long as the main pricing mechanism
of the CME is open.
     Futures may be valued intraday using the relevant futures
exchange data, or another proxy as determined to be appropriate by the
third party market data provider. Benchmark Component Futures Contracts
will be valued intraday using the main pricing mechanism of the CME or
through another proxy if such data is not readily available.
     Total return swaps may be valued intraday using the
underlying asset or index price, or another proxy as determined to be
appropriate by the third party market data provider.
     Exchange-listed options may be valued intraday using the
relevant exchange data, or another proxy as determined to be
appropriate by the third party market data provider.
     Over-the-counter options may be valued intraday through
option

valuation models (e.g., Black-Scholes) or using exchange-traded options
as a proxy, or another proxy as determined to be appropriate by the
third party market data provider.
     A third party market data provider's valuation of forwards
will be similar to their valuation of the underlying interests, or
another proxy as determined to be appropriate by the third party market
data provider. The third party market data provider will generally use
market quotes if available. Where market quotes are not available, they
may fair value securities against proxies (such as swap or yield
curves). Each Fund's disclosure of forward positions will include
information that market participants can use to value these positions
intraday.
    Changes in the value of Cash Equivalents will not be included in
the calculation of the IFV. For this and other reasons, the IFV
disseminated during Exchange trading hours should not be viewed as an
actual real time update of the NAV of a Fund. NAV will be calculated
only once at the end of each trading day.
    The IFV will be disseminated on a per Share basis every 15 seconds
during the Exchange's Core Trading Session. The trading hours for the
CME can be found at http://www.cmegroup.com/trading_hours/.
    The Exchange will disseminate the IFV through the facilities of
Consolidated Tape Association (``CTA'') high speed line. In addition,
IFV will be published on the Exchange's Web site and will be available
through on-line information services such as Bloomberg and Reuters.
Creation and Redemption of Shares
    Each Fund will create and redeem Shares from time to time, but only
in one or more ``Creation Baskets'' or ``Redemption Baskets'' comprised
of 25,000 Shares. The size of Creation Baskets and Redemption Baskets
is subject to change. The creation and redemption of baskets will only
be made in exchange for delivery to a Fund or the distribution by a
Fund of cash in an amount equal to the combined NAV of the number of
Shares of the Fund included in the baskets being created or redeemed
determined as of 4:00 p.m. E.T. on the day the order to create or
redeem baskets is properly received. ``Authorized Purchasers'' are the
only persons that may place orders to create and redeem baskets.
Authorized Purchasers must be (1) either registered broker-dealers or
other securities market participants, such as banks and other financial
institutions, that are not required to register as broker-dealers to
engage in securities transactions, and (2) Depository Trust Company
(``DTC'') Participants. To become an Authorized Purchaser, a person
must enter into an Authorized Purchaser Agreement with the Funds.
    The amount of the purchase payment for a Creation Basket of a Fund
will be equal to the aggregate NAV per Share of the Shares in the
Creation Basket. The amount of the redemption proceeds for a Redemption
Basket will be equal to the aggregate NAV per Share of the Shares in
the Redemption Basket. The purchase price for Creation Baskets and the
redemption price for Redemption Baskets of a Fund will be based on the
actual NAV per Share calculated at the end of the business day when a
request for a purchase or redemption is received by the applicable
Fund.
Creation Procedures
    On any business day, an Authorized Purchaser may place an order
with the transfer agent to create one or more baskets. For purposes of
processing purchase and redemption orders, a ``business day'' means any
day other than a day when any of the Exchange or the CME is closed for
regular trading. Purchase orders must be placed by 3:00 p.m. E.T. or
the close of the Exchange Core Trading Session (normally, 4:00 p.m.
E.T.) whichever is earlier.
Determination of Required Payment
    The total payment required to create each Creation Basket is an
amount in cash equal to the combined NAV of the number of Shares of a
Fund included in the baskets being created determined as of 4:00 p.m.
E.T. on the day the order to create baskets is properly received plus
the applicable transaction fee.
Rejection of Purchase Orders
    The Sponsor acting by itself or through the Marketing Agent or
Custodian may reject a purchase order if: (1) It determines that, due
to position limits or otherwise (including, without limitation, lock
limits or price fluctuation limits that may restrict the availability
of S&P Interests), investment alternatives that will enable a Fund to
meet its primary investment objective are not available or practicable
at that time; (2) the acceptance of the purchase order would, in the
opinion of counsel to the Sponsor, be unlawful; or (3) circumstances
outside the control of the Sponsor, Marketing Agent or Custodian make
it, for all practical purposes, not feasible to process creations of
baskets.
Redemption Procedures
    The procedures by which an Authorized Purchaser can redeem one or
more Redemption Baskets mirror the procedures for the creation of
baskets. On any business day, an Authorized Purchaser may place an
order with the transfer agent to redeem one or more baskets. Redemption
orders must be placed by 3:00 p.m. E.T. or the close of the Exchange's
Core Trading Session, whichever is earlier. By placing a redemption
order, an Authorized Purchaser agrees to deliver the baskets to be
redeemed through DTC's book-entry system to a Fund by the end of a
later business day, generally, but not to exceed, three business days
after the effective date of the redemption order, as agreed to between
the Authorized Purchaser and the transfer agent when the redemption
order is placed (the ``Redemption Settlement Date''). Prior to the
delivery of the redemption distribution for a redemption order, the
Authorized Purchaser must also have wired to the Sponsor's account at
the Custodian the non-refundable transaction fee due for the redemption
order. An Authorized Purchaser may not withdraw a redemption order
without the prior consent of the Sponsor in its discretion.
Determination of Redemption Distribution
    The redemption distribution from a Fund will consist of a transfer
to the redeeming Authorized Purchaser of an amount in cash equal to the
combined NAV of the number of Shares of a Fund included in the baskets
being redeemed determined as of 4:00 p.m. E.T. on the day the order to
redeem baskets is properly received, less the applicable transaction
fee.
Payment of Redemption Distribution
    The redemption distribution due from a Fund will be paid to the
Authorized Purchaser on the Redemption Settlement Date if a Fund's DTC
account has been credited with the baskets to be redeemed. If a Fund's
DTC account has not been credited with all of the baskets to be
redeemed by the end of such date, the redemption distribution will be
paid to the extent of whole baskets received.
Suspension or Rejection of Redemption Orders
    The Sponsor may, in its discretion, suspend the right of
redemption, or postpone the redemption settlement date with respect to
a Fund, (1) for any period during which the Exchange or CME is closed
other than customary weekend or holiday closings, or trading on the
Exchange or CME is suspended or restricted, (2) for such other period
as the Sponsor determines to be necessary for the protection of a
Fund's

Shareholders, (3) if there is a possibility that the Benchmark
Component Futures Contracts of a Fund on the CME from which the NAV of
a Fund is calculated will be priced at a daily price limit restriction
(e.g., a daily price fluctuation limit halts trading of Big S&P
Contracts on the CME), or (4) if, in the sole discretion of the
Sponsor, the execution of such an order would not be in the best
interest of a Fund or its Shareholders.
Availability of Information
    Each Fund's total portfolio composition will be disclosed each
business day that the Exchange is open for trading on the Funds' Web
site at www.forceshares.com. The Web site disclosure of portfolio
holdings will include information that market participants can use to
value these positions intraday. On a daily basis, the Sponsor will
disclose on the Funds' Web site the following information regarding
each portfolio holding, as applicable to the type of holding: Ticker
symbol, CUSIP number or other identifier, if any; a description of the
holding (including the type of holding, such as the type of swap); the
identity of the security, index or other asset or instrument underlying
the holding, if any; for options, the option strike price; quantity
held (as measured by, for example, par value, notional value or number
of shares, contracts or units); maturity date, if any; market value of
the holding; and the percentage weighting of the holding in a Fund's
portfolio. The Web site information will be publicly available at no
charge. This Web site disclosure of the portfolio composition of the
Funds will occur at the same time as the disclosure by the Sponsor of
the portfolio composition to Authorized Purchasers so that all market
participants are provided portfolio composition information at the same
time. Therefore, the same portfolio information will be provided on the
public Web sites as well as in electronic files provided to Authorized
Purchasers.
    The Funds' Web site also includes the NAV, the 4 p.m. Bid/Ask
Midpoint as reported by the Exchange, the last trade price for each
Fund's Shares as reported by the Exchange, the Shares of each Fund
outstanding, the Shares of each Fund available for issuance, and the
Shares of each Fund created or redeemed on that day. The prospectus,
monthly ``Statements of Account,'' ``Quarterly Performance of the
Midpoint versus the NAV'' (as required by the CFTC), and the ``Roll
Dates'' (i.e., the period during which positions in S&P Interests are
changed or ``rolled'' in order to track the changing nature of the
Benchmark), as well as Forms 10-Q, Forms 10-K, and other Commission
filings, for each Fund will also be posted on such Web site. The Funds'
Web site will be publicly accessible at no charge.
    The Funds' Web site will contain the following information: (a) The
current NAV per Share daily and the prior business day's NAV and the
reported closing price; (b) the midpoint of the bid-ask price in
relation to the NAV as of the time the NAV is calculated (the ``Bid-Ask
Price''); (c) calculation of the premium or discount of such price
against such NAV; (d) the bid-ask price of Shares determined using the
highest bid and lowest offer as of the time of calculation of the NAV;
(e) data in chart form displaying the frequency distribution of
discounts and premiums of the Bid-Ask Price against the NAV, within
appropriate ranges for each of the four (4) previous calendar quarters;
(f) the prospectus; and (g) other applicable quantitative information.
The Funds will also disseminate the Funds' holdings on a daily basis on
the Funds' Web site.
    Intra-day and closing price information from brokers and dealers or
independent pricing services will be available for S&P Interests, Stop
Options, and Cash Equivalents.
    The Exchange also will disseminate on a daily basis via the CTA
information with respect to recent NAV, and Shares outstanding. The
Exchange will also make available on its Web site daily trading volume
of each of the Shares, closing prices of such Shares, and the
corresponding NAV. The closing settlement prices of Primary S&P
Interests are readily available from the CME, automated quotation
systems, published or other public sources, or on-line information
services such as Bloomberg or Reuters. Prices of Stop Options will be
available on the markets on which they trade, automated quotation
systems, published or other public sources, or on-line information
services (or, for over the counter Stop Options, if any, by reference
to available data for similar exchange traded Stop Options). The
Benchmark will be disseminated by one or more major market data vendors
every 15 seconds during the NYSE Arca Core Trading Session of 9:30 a.m.
to 4:00 p.m. E.T. Quotation and last-sale information regarding each
Fund's Shares will be disseminated through the facilities of the CTA.
In addition, the Funds' Web site will display the intraday and closing
Benchmark level, the IFV and NAV of each Fund's Shares.
Trading Rules
    The Funds will meet the initial and continued listing requirements
applicable to TIRs in NYSE Arca Equities Rule 8.200 and Commentary .02
thereto. With respect to application of Rule 10A-3 \19\ under the Act,
the Trust relies on the exception contained in Rule 10A-3(c)(7).\20\ A
minimum of 100,000 Shares for each Fund will be outstanding as of the
start of trading on the Exchange.
---------------------------------------------------------------------------

    \19\ 17 CFR 240.10A-3.
    \20\ 17 CFR 240.10A-3(c)(7).
---------------------------------------------------------------------------

    The Exchange deems the Shares to be equity securities, thus
rendering trading in the Shares subject to the Exchange's existing
rules governing the trading of equity securities. Shares will trade on
the NYSE Arca Marketplace from 4:00 a.m. to 8:00 p.m. E.T. The Exchange
has appropriate rules to facilitate transactions in the Shares during
all trading sessions. As provided in NYSE Arca Equities Rule 7.6, the
minimum price variation (``MPV'') for quoting and entry of orders in
equity securities traded on the NYSE Arca Marketplace is $0.01, with
the exception of securities that are priced less than $1.00 for which
the MPV for order entry is $0.0001.
    The trading of the Shares will be subject to NYSE Arca Equities
Rule 8.200, Commentary .02(e), which sets forth certain restrictions on
ETP Holders acting as registered Market Makers in TIRs to facilitate
surveillance.
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. Trading may be halted because of market
conditions or for reasons that, in the view of the Exchange, make
trading in the Shares inadvisable. These may include: (1) The extent to
which trading is not occurring in the underlying futures contracts, or
(2) whether other unusual conditions or circumstances detrimental to
the maintenance of a fair and orderly market are present. In addition,
trading in Shares will be subject to trading halts caused by
extraordinary market volatility pursuant to the Exchange's ``circuit
breaker'' rule \21\ or by the halt or suspension of trading of the
underlying futures contracts.
---------------------------------------------------------------------------

    \21\ See NYSE Arca Equities Rule 7.12.
---------------------------------------------------------------------------

    The Exchange represents that the Exchange may halt trading during
the day in which an interruption to the dissemination of the IFV or the
value of the underlying futures contracts occurs. If the interruption
to the dissemination of the IFV or the value of the underlying

futures contracts persists past the trading day in which it occurred,
the Exchange will halt trading no later than the beginning of the
trading day following the interruption. In addition, if the Exchange
becomes aware that the NAV with respect to the Shares is not
disseminated to all market participants at the same time, it will halt
trading in the Shares until such time as the NAV is available to all
market participants.
Surveillance
    The Exchange represents that trading in the Shares will be subject
to the existing trading surveillances administered by the Exchange, as
well as cross-market surveillances administered by the Financial
Industry Regulatory Authority (``FINRA'') on behalf of the Exchange,
which are designed to detect violations of Exchange rules and
applicable federal securities laws.\22\ 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.
---------------------------------------------------------------------------

    \22\ 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, Primary S&P
Interests and options on futures with other markets and other entities
that are members of the Intermarket Surveillance Group (``ISG''), and
the Exchange or FINRA, on behalf of the Exchange, or both, may obtain
trading information regarding trading such securities and financial
instruments from such markets and other entities. In addition, the
Exchange may obtain information regarding trading in such securities
and financial instruments from markets and other entities that are
members of ISG or with which the Exchange has in place a comprehensive
surveillance sharing agreement.\23\
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    \23\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of the
Disclosed Portfolio for a Fund may trade on markets that are members
of ISG or with which the Exchange has in place a comprehensive
surveillance sharing agreement.
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    Not more than 10% of the net assets of a Fund in the aggregate
invested in futures contracts or exchange-traded options contracts
shall consist of futures contracts or exchange-traded options contracts
whose principal market is not a member of ISG or is a market with which
the Exchange does not have a comprehensive surveillance sharing
agreement.
    All statements and representations made in this filing regarding
(a) the description of the portfolios, (b) limitations on portfolio
holdings or reference assets, or (c) the applicability of Exchange
rules and surveillance procedures shall constitute continued listing
requirements for listing the Shares of a Fund on the Exchange.
    The issuer has represented to the Exchange that it will advise the
Exchange of any failure by a 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 a Fund is not in compliance with the
applicable listing requirements, the Exchange will commence delisting
procedures under NYSE Arca Equities Rule 5.5(m).
    In addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its
ETP Holders in an Information Bulletin of the special characteristics
and risks associated with trading the Shares. Specifically, the
Information Bulletin will discuss the following: (1) The risks involved
in trading the Shares during the Opening and Late Trading Sessions when
an updated IFV will not be calculated or publicly disseminated; (2) the
procedures for purchases and redemptions of Shares in Creation Baskets
and Redemption Baskets (and that Shares are not individually
redeemable); (3) NYSE Arca Equities Rule 9.2(a), which imposes a duty
of due diligence on its ETP Holders to learn the essential facts
relating to every customer prior to trading the Shares; (4) how
information regarding the IFV is disseminated; (5) that a static IFV
will be disseminated, between the close of trading on the applicable
futures exchange and the close of the NYSE Arca Core Trading Session;
(6) the requirement that ETP Holders deliver a prospectus to investors
purchasing newly issued Shares prior to or concurrently with the
confirmation of a transaction; and (7) trading information.
    In addition, the Information Bulletin will advise ETP Holders,
prior to the commencement of trading, of the prospectus delivery
requirements applicable to the Funds. The Exchange notes that investors
purchasing Shares directly from each Fund will receive a prospectus.
ETP Holders purchasing Shares from each Fund for resale to investors
will deliver a prospectus to such investors. The Information Bulletin
will also discuss any exemptive, no-action and interpretive relief
granted by the Commission from any rules under the Act.
    In addition, the Information Bulletin will reference that the Funds
are subject to various fees and expenses. The Information Bulletin will
also reference that the CFTC has regulatory jurisdiction over the
trading of futures contracts traded on U.S. markets.
    The Information Bulletin will also disclose the trading hours of
the Shares of each Fund and that the NAV for the Shares will be
calculated as of the earlier of 4:00 p.m. E.T. or the close of the
Exchange each day. The NAV for a particular trading day will be
released after 4:15 p.m. E.T. The Bulletin will disclose that
information about the Shares of each Fund is publicly available on the
Funds' Web site.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the
requirement under Section 6(b)(5) \24\ 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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    \24\ 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 NYSE Arca Equities Rule 8.200
and Commentary .02 thereto. The Exchange has in place surveillance
procedures that are adequate to properly monitor trading in the Shares
in all trading sessions and to deter and detect violations of Exchange
rules and applicable federal securities laws. Not more than 10% of the
net assets of a Fund in the aggregate invested in

futures contracts or exchange-traded options contracts shall consist of
futures contracts or exchange-traded options contracts whose principal
market is not a member of ISG or is a market with which the Exchange
does not have a comprehensive surveillance sharing agreement.
    The closing price and settlement prices of the Primary S&P
Interests are readily available from the CME. In addition, such prices
are available from automated quotation systems, published or other
public sources, or on-line information services. The Benchmark will be
disseminated by one or more major market data vendors every 15 seconds
during the NYSE Arca Core Trading Session of 9:30 a.m. to 4:00 p.m.
E.T. Quotation and last-sale information regarding the Shares will be
disseminated through the facilities of the CTA. The IFV will be
disseminated on a per Share basis by one or more major market data
vendors every 15 seconds during the NYSE Arca Core Trading Session. The
Exchange may halt trading during the day in which an interruption to
the dissemination of the IFV or the value of the underlying futures
contracts occurs. If the interruption to the dissemination of the IFV
or the value of the underlying futures contracts persists past the
trading day in which it occurred, the Exchange will halt trading no
later than the beginning of the trading day following the interruption.
In addition, if the Exchange becomes aware that the NAV with respect to
the Shares is not disseminated to all market participants at the same
time, it will halt trading in the Shares until such time as the NAV is
available to all market participants.
    The proposed rule change is designed to promote just and equitable
principles of trade and to protect investors and the public interest in
that a large amount of information will be publicly available regarding
the Funds and the Shares, thereby promoting market transparency.
Quotation and last sale information for the futures contracts are
widely disseminated through a variety of major market data vendors
worldwide. Complete real-time data for such contracts is available by
subscription from Reuters and Bloomberg. The CME also provides delayed
futures information on current and past trading sessions and market
news free of charge on their Web sites. The Benchmark will be
disseminated by one or more major market data vendors every 15 seconds
during the NYSE Arca Core Trading Session of 9:30 a.m. to 4:00 p.m.
E.T. The NAV per Share will be calculated daily and made available to
all market participants at the same time. NYSE Arca will calculate and
disseminate every 15 seconds throughout the NYSE Arca Core Trading
Session an updated IFV.
    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
additional types of exchange-traded products that principally exposed
to futures contracts and 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 in
place a comprehensive surveillance sharing agreement.

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

    The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purpose of the Act. The Exchange notes that the
proposed rule change will facilitate the listing and trading of
additional types of actively-managed exchange-traded products that will
enhance competition among market participants, to the benefit of
investors and the marketplace.

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

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

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

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

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to<EMAIL_ADDRESS>Please include
File Number SR-NYSEArca-2016-120 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-2016-120. 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 Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street NE.,
Washington, DC 20549, 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; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-NYSEArca-2016-120, and
should be submitted on or before November 25, 2016.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\25\
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    \25\ 17 CFR 200.30-3(a)(12).
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Brent J. Fields,
Secretary.
[FR Doc. 2016-26647 Filed 11-3-16; 8:45 am]
 BILLING CODE 8011-01-P


[Federal Register Volume 88, Number 48 (Monday, March 13, 2023)]
[Notices]
[Pages 15387-15388]
[FR Doc No: 2023-05099]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Docket No. ER23-1251-000]

San Jacinto Grid, 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
San Jacinto Grid, 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 March 27, 2023.
    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 may mail similar pleadings to
the Federal Energy Regulatory Commission, 888 First Street NE,
Washington, DC 20426. Hand delivered submissions in docketed
proceedings should be delivered to Health and Human Services, 12225
Wilkins Avenue, Rockville, Maryland 20852.
    In addition to publishing the full text of this document in the
Federal Register, the Commission provides all

interested persons an opportunity to view and/or print the contents of
this document via the internet through the Commission's Home Page
(http://www.ferc.gov) using the ``eLibrary'' link. Enter the docket
number excluding the last three digits in the docket number field to
access the document. At this time, the Commission has suspended access
to the Commission's Public Reference Room, due to the proclamation
declaring a National Emergency concerning the Novel Coronavirus Disease
(COVID-19), issued by the President on March 13, 2020. For assistance,
contact the Federal Energy Regulatory Commission at
[email protected] or call toll-free,<PHONE_NUMBER> or TYY,
(202) 502-8659.

    Dated: March 7, 2023.
Debbie-Anne A. Reese,
Deputy Secretary.
[FR Doc. 2023-05099 Filed 3-10-23; 8:45 am]
BILLING CODE 6717-01-P