60 Day Notice

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Federal Register / Vol. 87, No. 18 / Thursday, January 27, 2022 / Notices
continued participation in new and
existing Co-Investment Transactions is
in the Regulated Fund’s best interests.
11. Record Keeping. Each Regulated
Fund will maintain the records required
by section 57(f)(3) of the Act as if each
of the Regulated Funds were a BDC and
each of the investments permitted under
these Conditions were approved by the
Required Majority under section 57(f).
12. Director Independence. No
Independent Director of a Regulated
Fund will also be a director, general
partner, managing member or principal,
or otherwise be an ‘‘affiliated person’’
(as defined in the Act) of any Affiliated
Fund.
13. Expenses. The expenses, if any,
associated with acquiring, holding or
disposing of any securities acquired in
a Co-Investment Transaction (including,
without limitation, the expenses of the
distribution of any such securities
registered for sale under the Securities
Act) will, to the extent not payable by
the Advisers under their respective
advisory agreements with the Regulated
Funds and the Affiliated Funds, be
shared by the Regulated Funds and the
participating Affiliated Funds in
proportion to the relative amounts of the
securities held or being acquired or
disposed of, as the case may be.
14. Transaction Fees.29 Any
transaction fee (including break-up,
structuring, monitoring or commitment
fees but excluding brokerage or
underwriting compensation permitted
by section 17(e) or 57(k)) received in
connection with any Co-Investment
Transaction will be distributed to the
participants on a pro rata basis based on
the amounts they invested or
committed, as the case may be, in such
Co-Investment Transaction. If any
transaction fee is to be held by an
Adviser pending consummation of the
transaction, the fee will be deposited
into an account maintained by an
Adviser at a bank or banks having the
qualifications prescribed in section
26(a)(1), and the account will earn a
competitive rate of interest that will also
be divided pro rata among the
participants. None of the Adviser, the
Affiliated Funds, the other Regulated
Funds or any affiliated person of the
Affiliated Funds or the Regulated Funds
will receive any additional
compensation or remuneration of any
kind as a result of or in connection with
a Co-Investment Transaction other than
(i) in the case of the Regulated Funds
and the Affiliated Funds, the pro rata
29 Applicants are not requesting and the
Commission is not providing any relief for
transaction fees received in connection with any
Co-Investment Transaction.

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transaction fees described above and
fees or other compensation described in
Condition 2(c)(iii)(B)(z), (ii) brokerage or
underwriting compensation permitted
by section 17(e) or 57(k) or (iii) in the
case of the Adviser, investment advisory
compensation paid in accordance with
investment advisory agreements
between the applicable Regulated
Fund(s) or Affiliated Fund(s) and its
Adviser.
15. Independence. If the Holders own
in the aggregate more than 25 percent of
the Shares of a Regulated Fund, then the
Holders will vote such Shares in the
same percentages as the Regulated
Fund’s other shareholders (not
including the Holders) when voting on
(1) the election of directors; (2) the
removal of one or more directors; or (3)
any other matter under either the Act or
applicable State law affecting the
Board’s composition, size or manner of
election.
For the Commission, by the Division of
Investment Management, under delegated
authority.
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022–01545 Filed 1–26–22; 8:45 am]
BILLING CODE 8011–01–P

SECURITIES AND EXCHANGE
COMMISSION
[SEC File No. 270–015, OMB Control No.
3235–0021]

Proposed Collection; Comment
Request
Upon Written Request, Copies Available
From: Securities and Exchange
Commission, Office of FOIA Services,
100 F Street NE, Washington, DC
20549–2736
Extension:
Rule 6a–3

Notice is hereby given that pursuant
to the Paperwork Reduction Act of 1995
(‘‘PRA’’) (44 U.S.C. 3501 et seq.), the
Securities and Exchange Commission
(‘‘Commission’’) is soliciting comments
on the existing collection of information
provided for in Rule 6a–3 (17 CFR
240.6a–3) under the Securities Exchange
Act of 1934 (15 U.S.C. 78a et seq.)
(‘‘Act’’). The Commission plans to
submit this existing collection of
information to the Office of
Management and Budget (‘‘OMB’’) for
extension and approval.
Section 6 of the Act sets out a
framework for the registration and
regulation of national securities
exchanges. Under Rule 6a–3, one of the
rules that implements Section 6, a
national securities exchange (or an

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exchange exempted from registration as
a national securities exchange based on
limited trading volume) must provide
certain supplemental information to the
Commission, including any material
(including notices, circulars, bulletins,
lists, and periodicals) issued or made
generally available to members of, or
participants or subscribers to, the
exchange. Rule 6a–3 also requires the
exchanges to file monthly reports that
set forth the volume and aggregate
dollar amount of certain securities sold
on the exchange each month.
The information required to be filed
with the Commission pursuant to Rule
6a–3 is designed to enable the
Commission to carry out its statutorily
mandated oversight functions and to
ensure that registered and exempt
exchanges continue to be in compliance
with the Act.
The Commission estimates that each
respondent makes approximately 12
such filings on an annual basis. Each
response takes approximately 0.5 hours.
In addition, respondents incur shipping
costs of approximately $20 per
submission. Currently, 24 respondents
(24 national securities exchanges) are
subject to the collection of information
requirements of Rule 6a–3. The
Commission estimates that the total
burden for all respondents is 144 hours
and $5,760 per year.
Written comments are invited on: (a)
Whether the proposed collection of
information is necessary for the proper
performance of the functions of the
Commission, including whether the
information shall have practical utility;
(b) the accuracy of the Commission’s
estimates of the burden of the proposed
collection of information; (c) ways to
enhance the quality, utility, and clarity
of the information collected; and (d)
ways to minimize the burden of the
collection of information on
respondents, including through the use
of automated collection techniques or
other forms of information technology.
Consideration will be given to
comments and suggestions submitted in
writing within 60 days of this
publication.
An agency may not conduct or
sponsor, and a person is not required to
respond to, a collection of information
under the PRA unless it displays a
currently valid OMB control number.
Please direct your written comments
to: David Bottom, Director/Chief
Information Officer, Securities and
Exchange Commission, c/o John
Pezzullo, 100 F Street NE, Washington,
DC 20549, or send an email to: PRA_
[email protected].

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Federal Register / Vol. 87, No. 18 / Thursday, January 27, 2022 / Notices

Dated: January 24, 2022.
J. Matthew DeLesDernier,
Assistant Secretary.

rule change.8 On November 15, 2021,
pursuant to Section 19(b)(2) of the Act,9
the Commission designated a longer
period within which to issue an order
approving or disapproving the proposed
rule change.10 The Commission has
received no comment letters on the
proposed rule change. The Commission
is approving the proposed rule change,
as modified by Amendment No. 1.

[FR Doc. 2022–01639 Filed 1–26–22; 8:45 am]
BILLING CODE 8011–01–P

SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–94024; File No. SR–
NYSEArca–2021–28]

Self-Regulatory Organizations; NYSE
Arca, Inc.; Order Granting Approval of
a Proposed Rule Change, as Modified
by Amendment No. 1, To List and
Trade Shares of ConvexityShares Daily
1.5x SPIKES Futures ETF Under NYSE
Arca Rule 8.200–E (Trust Issued
Receipts)
January 21, 2022.

I. Introduction
On May 13, 2021, NYSE Arca, Inc.
(‘‘NYSE Arca’’ or ‘‘Exchange’’) filed
with the Securities and Exchange
Commission (‘‘Commission’’), pursuant
to Section 19(b)(1) of the Securities
Exchange Act of 1934 (‘‘Act’’) 1 and Rule
19b–4 thereunder,2 a proposed rule
change to list and trade shares
(‘‘Shares’’) of the ConvexityShares Daily
1.5x SPIKES Futures ETF (‘‘Fund’’), a
series of the ConvexityShares Trust
(‘‘Trust’’), under NYSE Arca Rule 8.200–
E, Commentary .02 (‘‘Trust Issued
Receipts’’). The proposed rule change
was published for comment in the
Federal Register on May 26, 2021.3 On
July 2, 2021, pursuant to Section
19(b)(2) of the Act,4 the Commission
designated a longer period within which
to approve the proposed rule change,
disapprove the proposed rule change, or
institute proceedings to determine
whether to approve or disapprove the
proposed rule change.5 On July 26,
2021, the Exchange filed Amendment
No. 1 to the proposed rule change,
which replaced and superseded the
proposed rule change as originally
filed.6 On August 12, 2021, the
Commission published notice of
Amendment No. 1 and instituted
proceedings under Section 19(b)(2)(B) of
the Act 7 to determine whether to
approve or disapprove the proposed
1 15

U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 91949
(May 20, 2021), 86 FR 28420.
4 15 U.S.C. 78s(b)(2).
5 See Securities Exchange Act Release No. 92320,
86 FR 36309 (July 9, 2021).
6 Amendment No. 1 is available at: https://
www.sec.gov/comments/sr-nysearca-2021-28/
srnysearca202128-9090695-246773.pdf.
7 15 U.S.C. 78s(b)(2)(B).

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II. Description of the Proposed Rule
Change, as Modified by Amendment
No. 1 11
The Exchange proposes to list and
trade Shares of the Fund 12 under NYSE
Arca Rule 8.200–E, Commentary .02
which governs the listing and trading of
Trust Issued Receipts 13 on the
Exchange. The Fund will be managed
and controlled by ConvexityShares, LLC
(‘‘Sponsor’’), a commodity pool
operator.14 Teucrium Trading, LLC, a
commodity trading adviser registered
with the Commodity Futures Trading
Commission, will be the Sub-Adviser
for the Fund (‘‘Sub-Adviser’’) and will
manage the Fund’s commodity futures
investment strategy.15 U.S. Bank will
8 See Securities Exchange Act Release No. 92651,
86 FR 46292 (August 18, 2021).
9 15 U.S.C. 78s(b)(2).
10 See Securities Exchange Act Release No. 93575,
86 FR 64978 (November 19, 2021). The Commission
designated January 21, 2022, as the date by which
the Commission shall either approve or disapprove
the proposed rule change.
11 Additional information regarding the Fund, the
Trust, and the Shares, including investment
strategies, creation and redemption procedures, and
portfolio holdings can be found in Amendment No.
1, supra note 6.
12 The Fund has filed a registration statement on
Form S–1 under the Securities Act of 1933, dated
May 25, 2021 (‘‘Registration Statement’’). The
Registration Statement for the Fund is not yet
effective and the Exchange will not commence
trading in Shares of the Fund until the Registration
Statement becomes effective.
13 Commentary .02 to NYSE Arca Rule 8.200–E
applies to Trust Issued Receipts that invest in
‘‘Financial Instruments.’’ The term ‘‘Financial
Instruments,’’ as defined in Commentary .02(b)(4) to
NYSE Arca Rule 8.200–E, 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.
14 The Sponsor is not registered as a broker-dealer
or affiliated with a broker-dealer. In the event (a)
the Sponsor becomes registered as a broker-dealer
or becomes newly affiliated with a broker-dealer, or
(b) any new sponsor becomes registered as a brokerdealer or becomes newly affiliated with a brokerdealer, it will implement and maintain a fire wall
with respect to its relevant personnel of the brokerdealer or broker-dealer affiliate, as applicable,
regarding access to information concerning the
composition and/or changes to the portfolio, and
will be subject to procedures designed to prevent
the use and dissemination of material non-public
information regarding the portfolio.
15 The Sub-Adviser is not registered as a brokerdealer or affiliated with a broker-dealer. In the event
(a) the Sub-Adviser becomes registered as a brokerdealer or becomes newly affiliated with a broker-

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provide custody and fund accounting to
the Trust and the Fund; U.S. Bancorp
Fund Services will be the transfer agent
for the Shares and administrator for the
Fund; and Foreside will serve as the
distributor for the Fund.
The Fund will seek daily investment
results, before fees and expenses, that
correspond to one-and-a-half times
(1.5x) the performance of its benchmark
index for a single day. The Fund is
benchmarked to the T3 SPIKE Front 2
Futures Index (‘‘Index’’), an investable
index of SPIKES futures contracts.16 The
Index is intended to reflect the returns
that are potentially available through an
unleveraged investment in a theoretical
portfolio of first- and second-month
futures contracts on the SPIKES
Volatility Index (‘‘SPIKES Index’’).17
The Index is comprised solely of
SPIKES futures contracts.18 The Index
dealer, or (b) any new Sub-Adviser becomes
registered as a broker-dealer or becomes newly
affiliated with a broker-dealer, it will implement
and maintain a fire wall with respect to its relevant
personnel of the broker-dealer or broker-dealer
affiliate, as applicable, regarding access to
information concerning the composition and/or
changes to the portfolio, and will be subject to
procedures designed to prevent the use and
dissemination of material non-public information
regarding the portfolio.
16 The Index is sponsored by Triple Three
Partners Pty Ltd, which licenses the use of the
Index to its affiliated company, T3i Pty Ltd (Triple
Three Partners Pty Ltd and T3i Pty Ltd. are
collectively referred to herein as ‘‘T3 Index’’ or
‘‘Index Sponsor’’). The Index Sponsor is affiliated
with the Sponsor. The Index Sponsor has
implemented and will maintain a fire wall
regarding access to information concerning the
composition of and/or changes to the Index. In
addition, the Index Sponsor has implemented and
will maintain procedures that are designed to
prevent the use and dissemination of material, nonpublic information regarding the Index. The Index
Sponsor is not registered as an investment adviser
or broker-dealer and is not affiliated with any
broker-dealers. The Index is calculated and
published by Solactive AG, which is not affiliated
with T3 Index.
17 The Exchange states that the SPIKES Index is
a non-investable index that measures the implied
volatility of the SPDR S&P 500 ETF Trust (‘‘SPY’’)
over 30 days in the future. SPY is a unit investment
trust that holds a portfolio of common stocks that
closely tracks the price performance and dividend
yield of the S&P 500 Composite Price Index (‘‘S&P
500’’). The SPIKES Index does not represent the
actual or the realized volatility of SPY. The SPIKES
Index is calculated based on the prices of a
constantly changing portfolio of SPY put and call
options. The SPIKES Index is reflective of the
premium paid by investors for certain options
linked to the level of the S&P 500. The SPIKES
Index is a theoretical calculation and cannot be
traded on a spot basis. T3 Index is the owner,
creator and licensor of the SPIKES Index. The
SPIKES Index is calculated, maintained and
published by Miami International Securities
Exchange, LLC via the Options Price Reporting
Authority.
18 According to the Exchange, SPIKES futures
contracts were launched for trading by the
Minneapolis Grain Exchange, LLC (‘‘MGEX’’) on
December 14, 2020. While the SPIKES Index
represents a measure of the expected 30-day

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