[Federal Register Volume 78, Number 97 (Monday, May 20, 2013)]
[Notices]
[Pages 29411-29420]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2013-11897]



[[Page 29411]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-69573; File No. SR-NYSEArca-2013-48]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change, as Modified by Amendment No. 1 Thereto, To 
List and Trade Shares of iShares Dow Jones-UBS Roll Select Commodity 
Index Trust Pursuant to NYSE Arca Equities Rule 8.200

May 14, 2013.
    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 May 1, 2013, 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, II, 
and III below, which Items have been prepared by the Exchange. On May 
3, 2013, the Exchange filed Amendment No. 1 to the proposed rule 
change.\4\ The Commission is publishing this notice to solicit comments 
on the proposed rule change, as modified by Amendment No. 1 thereto, 
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.
    \4\ In Amendment No. 1, the Exchange made a technical correction 
and clarified that UBS Securities has implemented a fire wall with 
respect to its personnel regarding access to information concerning, 
among other things, the calculation of the values of the Index, DJ-
UBS CI, and DJ-UBS Roll Select CI (as such terms are defined below).
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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 iShares Dow 
Jones-UBS Roll Select Commodity Index Trust (the ``Trust'') under NYSE 
Arca Equities Rule 8.200. The text of 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 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    NYSE Arca Equities Rule 8.200, Commentary .02 permits the trading 
of Trust Issued Receipts (``TIRs'') either by listing or pursuant to 
unlisted trading privileges (``UTP'').\5\ The Exchange proposes to list 
and trade the shares (the ``Shares'') of the Trust pursuant to NYSE 
Arca Equities Rule 8.200.
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    \5\ 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.
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    The Exchange notes that the U.S. Securities and Exchange Commission 
(``Commission'') has previously approved the listing and trading of 
other issues of TIRs on the American Stock Exchange LLC \6\ and listing 
on NYSE Arca.\7\ In addition, the Commission has approved other 
exchange-traded fund-like products linked to the performance of 
underlying commodities.\8\
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    \6\ See, e.g., Securities Exchange Act Release No. 58161 (July 
15, 2008), 73 FR 42380 (July 21, 2008) (SR-Amex-2008-39) (order 
approving amendments to Amex Rule 1202, Commentary .07 and listing 
on Amex of 14 funds of the Commodities and Currency Trust).
    \7\ See, e.g., Securities Exchange Act Release No. 58457 
(September 3, 2008), 73 FR 52711 (September 10, 2008) (SR-NYSEArca-
2008-91) (order approving listing on NYSE Arca of 14 funds of the 
Commodities and Currency Trust).
    \8\ See, e.g., Securities Exchange Act Release No. 56932 
(December 7, 2007), 72 FR 71178 (December 14, 2007) (SR-NYSEArca-
2007-112) (order granting accelerated approval to list iShares S&P 
GSCI Commodity-Indexed Trust).
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    The Shares represent units of beneficial interests in the Trust, as 
described in the Registration Statement.\9\ The Trust is a Delaware 
statutory trust. The sponsor of the Trust is iShares (copyright) 
Delaware Trust Sponsor LLC (the ``Sponsor''), a Delaware limited 
liability company. The Trust is operated by the Sponsor, an indirect 
subsidiary of BlackRock, Inc. The Sponsor is a commodity pool operator 
registered with the Commodity Futures Trading Commission (``CFTC'') and 
a member of the National Futures Association (``NFA''). BlackRock Asset 
Management International Inc., a Delaware corporation and an indirect 
subsidiary of BlackRock, Inc., is the sole member and manager of the 
Sponsor. BlackRock Institutional Trust Company, N.A., a national 
banking association, an indirect subsidiary of BlackRock, Inc., and an 
affiliate of the Sponsor, is the trustee of the Trust (the 
``Trustee''). BlackRock Fund Advisors (the ``Adviser''),\10\ a 
California corporation, an indirect subsidiary of BlackRock, Inc., and 
an affiliate of the Sponsor, serves as the commodity trading adviser of 
the Trust, is registered as a commodity trading adviser with the CFTC 
and is a member of the NFA.\11\ State Street Bank and Trust Company, a 
trust company organized under the laws of Massachusetts, is the 
administrator (``Administrator'') of the Trust.
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    \9\ See the pre-effective amendment to the registration 
statement on Form S-1 for the Trust, dated February 8, 2013 (File 
No. 333-178376) relating to the Shares (the ``Registration 
Statement''). The discussion herein relating to the Trust and the 
Shares is based, in part, on the Registration Statement. Terms used 
but not defined herein are used as defined in the Registration 
Statement.
    \10\ The Adviser is not a broker-dealer but is affiliated with a 
broker-dealer and has implemented a firewall with respect to such 
broker-dealer affiliate as well as procedures designed to prevent 
the use and dissemination of material non-public information 
regarding the assets of the Trust.
    \11\ According to the Sponsor, the Sponsor will be responsible 
for the overall management of the Trust and the Trustee will be 
responsible for the day-to-day administration of the Trust. The 
Adviser will act as the commodity trading advisor for the Trust with 
discretionary authority to make determinations with respect to the 
Trust's assets, but will not engage in any activities designed to 
obtain a profit from, or ameliorate losses caused by, changes to the 
level of the underlying index. The Sponsor represents that it will 
implement and maintain procedures designed to prevent the use and 
dissemination of material non-public information regarding the 
assets of the Trust.
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    According to the Registration Statement, the investment objective 
of the Trust will be to seek investment results that correspond 
generally, but are not necessarily identical, to the performance of the 
Dow Jones-UBS Roll Select Commodity Index Total Return (the ``Index''), 
which reflects the returns on a fully collateralized investment in the 
Dow Jones-UBS Roll Select Commodity Index (``DJ-UBS Roll Select CI''), 
before the payment of expenses and liabilities of the Trust. The DJ-UBS 
Roll Select CI is calculated based on the same commodities, though not 
always the same futures contracts, that are included in the Dow Jones-
UBS Commodity Index (the ``DJ-UBS CI''). The DJ-UBS CI is a liquidity- 
and production-weighted index of the prices of a diversified group of 
futures contracts on physical commodities. The DJ-UBS CI forms the base 
commodities index from which the DJ-UBS Roll Select CI and the Index 
are derived.
    According to the Registration Statement, the assets of the Trust 
will

[[Page 29412]]

consist of long positions in Futures Exchange \12\-traded index futures 
contracts of various expirations (``Index Futures'') \13\ on the DJ-UBS 
Roll Select CI, together with cash, U.S. Treasury securities or other 
short-term securities and similar securities that are eligible as 
margin deposits for those Index Futures positions (``Collateral 
Assets'').\14\ The Trust is expected to roll out of existing positions 
and establish new positions in Index Futures on an ongoing basis.\15\
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    \12\ As used herein, ``Futures Exchange'' means the Chicago 
Mercantile Exchange (``CME'') or one of the CME Group Inc.'s other 
designated contract markets, or any additional or successor 
designated contract markets through which the Trust trades Index 
Futures (as defined herein). The designated contract markets of the 
CME Group Inc. are the CME, Chicago Board of Trade (``CBOT''), New 
York Mercantile Exchange Inc. (``NYMEX'') and Commodity Exchange, 
Inc. (``COMEX'').
    \13\ The Trust's Index Futures will be subject to the rules of 
the relevant Futures Exchange, which will initially be CME. The 
Index Futures will initially trade on GLOBEX, the CME's electronic 
trading system, and are not expected to trade through open outcry on 
the floor of the CME.
    \14\ The Sponsor represents that the Trust will invest in Index 
Futures and Collateral Assets, in a manner consistent with the 
Trust's investment objective and not to achieve additional leverage.
    \15\ The Index Futures initially held by the Trust will have 
quarterly expirations and be listed for trading by the CME. 
Subsequent Index Futures held by the Trust may have longer or 
shorter expirations, different terms, and may be listed on other 
Futures Exchanges.
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    According to the Registration Statement, in order to collateralize 
its Index Futures positions and to reflect the U.S. Treasury component 
of the Index, the Trust will hold Collateral Assets, from which it will 
post margin to its clearing futures commission merchant (the ``Clearing 
FCM''), in an amount equal to the margin required by the relevant 
Futures Exchange, and transfer to its Clearing FCM any additional 
amounts that may be separately required by the Clearing FCM.\16\ Any 
Collateral Assets not required to be posted as margin with the Clearing 
FCM will be held in the Trust's accounts established at its 
Administrator.
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    \16\ When establishing positions in Index Futures, the Trust 
will be required to deposit initial margin with a value of 
approximately 3% to 10% of the value of each Index Futures position 
at the time it is established. These margin requirements are subject 
to change from time to time by the Exchange or the Clearing FCM. On 
a daily basis, the Trust will be obligated to pay, or entitled to 
receive, variation margin in an amount equal to the change in the 
daily settlement level of its Index Futures positions.
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    According to the Registration Statement, the Trust will be a 
passive investor in Index Futures and the Collateral Assets held to 
satisfy applicable margin requirements on those Index Futures 
positions. At any time when Index Futures of more than one expiration 
date are listed on the Futures Exchange, the Sponsor will determine, 
pursuant to the terms of the trust agreement, which Index Futures of a 
given expiration will be transferred in connection with either the 
creation or redemption of Shares. The Adviser will not engage in any 
activities designed to obtain a profit from, or to ameliorate losses 
caused by, changes in the level of the Index or the DJ-UBS Roll Select 
CI or the value of the Collateral Assets.
    According to the Registration Statement, the profit or loss on the 
Trust's Index Futures positions should correlate with increases and 
decreases in the value of the DJ-UBS Roll Select CI, although this 
correlation is not expected to be exact. The return on the Index 
Futures, together with interest on the Collateral Assets, is expected 
to result in a total return that corresponds generally, but is not 
identical, to the Index.
The Index, DJ-UBS CI and DJ-UBS Roll Select CI
    According to the Registration Statement, the Index reflects the 
value of the DJ-UBS Roll Select CI together with the returns on 
specified U.S. Treasury securities that are deemed to have been held to 
collateralize a hypothetical long position in the futures contracts 
comprising the DJ-UBS Roll Select CI.
    According to the Registration Statement, the DJ-UBS Roll Select CI 
is calculated based on the same commodities, though not always the same 
futures contracts, that are included in the DJ-UBS CI, which is a 
liquidity- and production-weighted index of the prices of a diversified 
group of futures contracts on physical commodities. The DJ-UBS Roll 
Select CI seeks to minimize the effect of contango and maximize the 
effect of backwardation by selecting replacement futures contracts that 
exhibit the most backwardation or least contango among those eligible 
futures contracts with delivery months of up to 273 calendar days until 
expiration.\17\
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    \17\ Markets for futures contracts can exhibit 
``backwardation,'' which means that futures contracts with distant 
delivery months are priced lower than those with nearer delivery 
months, or can exhibit ``contango,'' which means that futures 
contracts with distant delivery months are priced higher than those 
with nearer delivery months.
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    According to the Registration Statement, the DJ-UBS Roll Select CI 
incorporates the economic effect of ``rolling'' the futures contracts 
included in the applicable index and the DJ-UBS CI reflects the 
economic effect of ``rolling'' futures contracts into front-month 
futures contracts. ``Rolling'' a futures contract means closing out a 
position in an expiring futures contract and establishing an equivalent 
position in a new futures contract on the same commodity.
    According to the Registration Statement, the DJ-UBS Roll Select CI 
differs from the DJ-UBS CI in that it does not roll into the futures 
contract with the nearest designated delivery month. Rather, the DJ-UBS 
Roll Select CI rolls into those eligible futures contracts with 
delivery months of up to 273 calendar days until expiration that 
exhibit the most backwardation or that exhibit the least contango.
    The DJ-UBS Roll Select CI, the DJ-UBS CI and the Index are 
administered, calculated and published by UBS Securities LLC (``UBS 
Securities'') and DJI Opco, LLC, a wholly-owned subsidiary of S&P Dow 
Jones Indices LLC (``S&P Dow Jones Indices'' and, together with UBS 
Securities, the ``Index Co-Sponsors'').\18\
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    \18\ According to the Sponsor, S&P Dow Jones Indices and its 
subsidiary DJI Opco, LLC are not broker-dealers and UBS Securities 
is a broker-dealer. UBS Securities has implemented a fire wall with 
respect to its personnel regarding access to information concerning 
the composition and/or changes to the Index, DJ-UBS CI and DJ-UBS 
Roll Select CI and the calculation of the values of the foregoing 
indexes, and will be subject to procedures designed to prevent the 
use and dissemination of material non-public information regarding 
the Index, DJ-UBS CI and DJ-UBS Roll Select CI. The Index Co-
Sponsors have implemented and maintain procedures designed to 
prevent the use and dissemination of material non-public information 
regarding the DJ-UBS Roll Select CI, the DJ-UBS CI and the Index.
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The DJ-UBS CI
    According to the Registration Statement, the DJ-UBS CI, from which 
the DJ-UBS Roll Select CI is based, was created by AIG International 
Inc. in 1998 and acquired by UBS Securities in May 2009, at which time 
UBS Securities and Dow Jones entered into a joint marketing agreement 
to market the DJ-UBS CI and related indices. Dow Jones subsequently 
assigned its interest in the joint marketing agreement to CME Indexes. 
The Index Co-Sponsors are together responsible for calculating the DJ-
UBS CI and related indices and sub-indices, including the Index and the 
DJ-UBS Roll Select CI.
    According to the Registration Statement, the DJ-UBS CI is a 
benchmark index composed of futures contracts on the underlying 
physical commodities, the selection and weighting of which are 
currently determined based on the five-year average of the trading 
volume, adjusted by the historic U.S. dollar value of the futures 
contract designated for inclusion in the DJ-UBS CI, and the five-year 
average of production figures, adjusted

[[Page 29413]]

by the historic U.S. dollar value of the futures contract designated 
for inclusion in the DJ-UBS CI. For each of the included commodities, 
specified futures contracts with specified delivery dates are 
designated for inclusion in the DJ-UBS CI. The DJ-UBS CI is reweighted 
and rebalanced annually, on a price-percentage basis, to reflect 
changes in trading volume and production figures.
    According to the Registration Statement, the DJ-UBS CI reflects the 
increased or decreased return associated with ``rolling'' futures 
contracts. The DJ-UBS CI reflects the economic impact of the roll 
process by reducing the weights applied to expiring futures contracts 
while correspondingly increasing the weights applied to the futures 
contracts that are replacing such expiring futures contracts. This roll 
simulation is generally conducted at the beginning of each month over 
the course of five business days, lasting from the sixth business day 
until the tenth business day of each month. The DJ-UBS CI conducts its 
roll simulations each month by rolling out of the designated futures 
contracts expiring in that month and rolling into those designated 
futures contracts with the next closest designated delivery month.
The DJ-UBS Roll Select CI
    According to the Registration Statement, the DJ-UBS Roll Select CI 
implements its rolling methodology by selecting from the eligible 
contracts for each commodity on its applicable ``contract selection 
date,'' the contract that exhibits the greatest amount of backwardation 
or least amount of contango, on an annualized basis, relative to the 
contract with the immediately preceding delivery date on the same 
commodity. This is accomplished by first dividing the price of each 
eligible contract from the price of the contract immediately preceding 
such eligible contract, to determine the percentage difference between 
the two prices. Because this price difference may be affected by the 
relative time between the eligible contract and its immediately 
preceding contract, this price difference is multiplied by 365 and 
divided by the number of actual days between the delivery dates of the 
two contracts, to arrive at a measure of the relative annualized 
contango/backwardation, referred to as the ``annualized spread,'' 
exhibited between the eligible contract and the contract immediately 
preceding it. Based on a comparison of these annualized spreads, the 
eligible contract that has the highest annualized spread relative to 
its immediately preceding contract is the one selected as the contract 
for the DJ-UBS Roll Select CI to establish new positions in. This roll 
selection process generally occurs every month on the fourth business 
day of the month, subject to changes or adjustments to this process 
implemented by the Index Co-Sponsors.
    According to the Registration Statement, the Index Futures in which 
the Trust will invest will be based on the DJ-UBS Roll Select CI. The 
DJ-UBS Roll Select CI is a version of the DJ-UBS CI that tries to 
mitigate the effects of contango arising from the rolling process. 
Rather than incorporating the economic effect of rolling into futures 
contracts with the next closest designated delivery month, the DJ-UBS 
Roll Select CI incorporates the economic effect of rolling into 
applicable futures contracts that exhibit the least contango or, if 
applicable, the most backwardation, in each case relative to the 
contracts of the immediately preceding delivery month.
    Because the DJ-UBS Roll Select CI utilizes a different designated 
contract selection process than the DJ-UBS CI, the futures contracts 
comprising the DJ-UBS Roll Select CI at any particular time may have 
different delivery months than those comprising the DJ-UBS CI, and the 
levels of the DJ-UBS Roll Select CI and the DJ-UBS CI may 
correspondingly differ. In addition, as a result of this difference in 
rolling processes, both the performance of the DJ-UBS Roll Select CI 
and the DJ-UBS CI and the dollar-value weights of their respective 
underlying futures contracts are expected to differ over time.
Determination of DJ-UBS CI Index Constituents
    According to the Registration Statement, the Index Co-Sponsors have 
established a two-tier oversight structure for the DJ-UBS CI, the DJ-
UBS Roll Select CI and the Index comprised of the ``Supervisory 
Committee'' and the ``Advisory Committee.'' \19\ The composition of the 
DJ-UBS CI is determined by UBS Securities each year under the 
supervision of, and in accordance with the procedures adopted by, the 
Supervisory Committee. The final composition of the DJ-UBS CI for each 
calendar year is subject to the approval of the Supervisory Committee 
in consultation with the Advisory Committee, and once this approval has 
been obtained, the new composition of the DJ-UBS CI is publicly 
announced, and takes effect in the month of January of the relevant 
calendar year.
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    \19\ The Supervisory Committee and the Advisory Committee are 
subject to procedures designed to prevent the improper use and 
dissemination of material, non-public information regarding the 
Index, DJ-UBS Roll Select CI and DJ-UBS CI.
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    The relative weight of a commodity eligible for inclusion in the 
DJ-UBS CI, or its commodity index percentage (``CIP''), is initially 
determined based on (i) the relative production percentages of the 
commodities eligible for inclusion in the DJ-UBS CI and (ii) the 
relative liquidity of the futures contracts that have been designated 
as the eligible reference contracts for those commodities. This initial 
CIP calculation is then adjusted to give effect to caps and floors on 
such CIPs and to adjust the weights for gold and silver, the relative 
production numbers of which, according to the Dow Jones-UBS Commodity 
Index\SM\ Handbook, last published by the Index Co-Sponsors as of May 
2012, understate their economic significance.
    According to the Registration Statement, the commodities and 
related designated futures contracts currently included in the DJ-UBS 
CI and their respective final CIPs for 2013 are as follows:

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                                                                                                                           CIP**        Trading hours
           Commodity              Designated contract             Exchange*                          Units               (percent)        (E.T.)***
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Aluminum.......................  High Grade Primary    LME............................  25 metric tons.................      4.913  First session:
                                  Aluminum.                                                                                          6:55AM to 7:00AM,
                                                                                                                                     7:55AM to 8:00AM;
                                                                                                                                     second session:
                                                                                                                                     10:15AM to 10:20AM,
                                                                                                                                     10:55AM to 11:00AM.
Coffee.........................  Coffee ``C''........  ICE Futures U.S................  37,500 lbs.....................      2.442  3:30AM to 2:00PM.
Copper.........................  Copper..............  COMEX..........................  25,000 lbs.....................      7.277  6:00PM to 5:15PM
                                                                                                                                     Next Day.
Corn...........................  Corn................  CBOT...........................  5,000 bushels..................      7.053  Sun-Fri: 8:00PM to
                                                                                                                                     8:45 AM Next Day;
                                                                                                                                     Mon-Fri: 9:30AM to
                                                                                                                                     2:15PM.

[[Page 29414]]

 
Cotton.........................  Cotton..............  ICE Futures U.S................  50,000 lbs.....................      1.766  9:00PM to 2:30PM
                                                                                                                                     Next Day.
Crude Oil......................  Light, Sweet Crude    NYMEX..........................  1,000 barrels..................      9.206  6:00PM to 5:15PM
                                  Oil.                                                                                               Next Day.
                                 Brent Crude Oil.....  ICE Futures U.S................  1,000 barrels..................      5.794  8:00PM to 6:00PM
                                                                                                                                     Next Day.
Gold...........................  Gold................  COMEX..........................  100 troy oz....................     10.819  6:00PM to 5:15PM
                                                                                                                                     Next Day.
Heating Oil....................  Heating Oil.........  NYMEX..........................  42,000 gallons.................      3.519  6:00PM to 5:15PM
                                                                                                                                     Next Day.
Live Cattle....................  Live Cattle.........  CME............................  40,000 lbs.....................      3.283  Mon: 10:05AM to
                                                                                                                                     5:00PM; Tue-Thurs:
                                                                                                                                     6:00PM to 5:00PM
                                                                                                                                     Next Day; Fri:
                                                                                                                                     6:00PM to 2:55PM
                                                                                                                                     Next Day.
Lean Hogs......................  Lean Hogs...........  CME............................  40,000 lbs.....................      1.900  Mon: 10:05AM to
                                                                                                                                     5:00PM; Tue-Thurs:
                                                                                                                                     6:00PM to 5:00PM
                                                                                                                                     Next Day; Fri:
                                                                                                                                     6:00PM to 2:55PM
                                                                                                                                     Next Day.
Natural Gas....................  Henry Hub Natural     NYMEX..........................  10,000 mmbtu...................     10.424  6:00PM to 5:15PM
                                  Gas.                                                                                               Next Day.
Nickel.........................  Primary Nickel......  LME............................  6 metric tons..................      2.244  First session:
                                                                                                                                     6:15AM to 6:20AM,
                                                                                                                                     8:00AM to 8:05AM;
                                                                                                                                     second session:
                                                                                                                                     10:25AM to 10:30AM,
                                                                                                                                     11:05AM to 11:10AM.
Silver.........................  Silver..............  COMEX..........................  5000 troy oz...................      3.898  6:00PM to 5:15PM
                                                                                                                                     Next Day.
Soybeans.......................  Soybeans............  CBOT...........................  5,000 bushels..................      5.495  Sun-Fri: 8:00PM to
                                                                                                                                     8:45 AM Next Day;
                                                                                                                                     Mon-Fri: 9:30AM to
                                                                                                                                     2:15PM.
Soybean Meal...................  Soybean Meal........  CBOT...........................  100 short tons.................      2.607  Sun-Fri: 8:00PM to
                                                                                                                                     8:45 AM Next Day;
                                                                                                                                     Mon-Fri: 9:30AM to
                                                                                                                                     2:15PM.
Soybean Oil....................  Soybean Oil.........  CBOT...........................  60,000 lbs.....................      2.743  Sun-Fri: 8:00PM to
                                                                                                                                     8:45 AM Next Day;
                                                                                                                                     Mon-Fri: 9:30AM to
                                                                                                                                     2:15PM.
Sugar..........................  World Sugar No. 11..  ICE Futures U.S................  112,000 lbs....................      3.884  2:30AM to 2:00PM.
Unleaded Gasoline..............  Reformulated          NYMEX..........................  42,000 gallons.................      3.461  6:00PM to 5:15PM
                                  Blendstock for                                                                                     Next Day.
                                  Oxygen Blending.
Wheat (Chicago)................  Soft Wheat..........  CBOT...........................  5,000 bushels..................      3.433  Sun-Fri: 8:00PM to
                                                                                                                                     8:45 AM Next Day;
                                                                                                                                     Mon-Fri: 9:30AM to
                                                                                                                                     2:15PM.
Wheat (Kansas).................  Hard Red Winter       KCBOT..........................  5,000 bushels..................      1.321  Sun-Fri: 8:00PM to
                                  Wheat.                                                                                             8:45 AM Next Day;
                                                                                                                                     Mon-Fri: 9:30AM to
                                                                                                                                     2:15PM.
Zinc...........................  Special High Grade    LME............................  25 metric tons.................      2.519  First session:
                                  Zinc.                                                                                              7:10AM to 7:15AM,
                                                                                                                                     7:50AM to 7:55AM;
                                                                                                                                     second session:
                                                                                                                                     10:05AM to 10:10AM,
                                                                                                                                     10:45AM to 10:50AM.
--------------------------------------------------------------------------------------------------------------------------------------------------------
* ``LME'' refers to the London Metal Exchange, and ``ICE Futures U.S.'' refers to ICE Futures U.S., Inc.
** Rounded to the nearest thousandth of a percentage. May not total to 100% due to rounding.
*** Trading hours for the CME, CBOT, NYMEX and COMEX represent weekday electronic trading hours through CME Globex (electronic platform). Trading hours
  for LME represent ring trading times during each of first and second sessions; excludes kerb trading times.

Calculation of the Index, DJ-UBS CI and DJ-UBS Roll Select CI
    According to the Registration Statement, the level of the DJ-UBS CI 
was set to be equal to 100 as of December 31, 1990. Subsequent levels 
of the DJ-UBS CI are determined by multiplying the level of the DJ-UBS 
CI as of the previous day by a fraction equal to (i) the weighted 
average value (``WAV'') of the DJ-UBS CI as of the current day divided 
by (ii) the WAV of the DJ-UBS CI as of the previous day, subject to 
adjustment for roll periods as described below. The WAV of the DJ-UBS 
CI on any given day is calculated by summing the products of the 
settlement prices of the designated futures contracts for each 
commodity multiplied by the commodity index multiplier (``CIM'') of 
such designated contract.
    According to the Registration Statement, the CIMs of the designated 
contracts in the DJ-UBS CI are determined annually, generally on the 
fourth business day of each year (the date of such determination, the 
``CIM Determination Date''). On the CIM Determination Date, initial 
CIMs (``ICIMs'') are calculated for each designated contract by 
multiplying such designated contract's CIP by 1,000, then dividing such 
product by the designated contract's settlement price as of the CIM 
Determination Date. To determine the final CIM for each designated 
contract for the new year, each ICIM is multiplied by an adjustment 
factor, which is a fraction equal to (i) the WAV of the DJ-UBS CI as of 
the CIM Determination Date, as calculated using the CIMs from the prior 
year, divided by (ii) 1,000. This adjustment factor is intended to 
preserve WAV continuity from one year to the next.
    According to the Registration Statement, during roll periods, which 
generally occur during the sixth through tenth business days of each 
month, the level of the DJ-UBS CI is calculated using a blended WAV 
formula that reflects the fact that the DJ-UBS CI is rolling out of 
expiring contracts and into replacement contracts. The WAV associated 
with the existing index components (``Old WAV'') begins weighted at 
100% as of the business day preceding the roll period and decreases by 
20% on each subsequent business

[[Page 29415]]

day until reduced to zero; it has no further effect on the level of the 
DJ-UBS CI by the fifth business day of such roll period. The WAV 
associated with the new index components (``New WAV'') begins weighted 
at 0% as of the business day preceding the roll period and increases by 
20% on each subsequent business day such that by the fifth business day 
of such roll period, the level of the DJ-UBS CI is determined based 
entirely on the New WAV.
    Accordingly, during a roll period, the level of the DJ-UBS CI on 
any given day can be calculated as the product of the level of the DJ-
UBS CI as of the previous day, multiplied by a fraction equal to: (i) 
Old WAV x (1-0.2n) + New WAV x (0.2n), using the Old WAV and New WAV 
values as of such day, divided by (ii) Old WAV x (1 -0.2n) + New WAV x 
(0.2n), using the Old WAV and New WAV values as of the previous day. 
The variable ``n'' in this equation represents the number of business 
days that have elapsed for such roll period through and including the 
relevant date of determination. According to the Registration 
Statement, the DJ-UBS Roll Select CI will be calculated using the same 
general methodology as the DJ-UBS CI and using the same CIPs and CIMs 
used in connection with calculating the DJ-UBS CI. However, because the 
roll process for the DJ-UBS Roll Select CI is different from that of 
the DJ-UBS CI, its constituent futures contracts may differ from those 
included in the DJ-UBS CI. This difference is expected to cause the 
dollar-value weights and the weighted average value of the futures 
contracts included in each index to differ over time, and, as a result, 
cause the performance of the two indices to diverge.
    According to the Registration Statement, the Index combines the 
returns of the DJ-UBS Roll Select CI with the returns of the most 
recent weekly auction high rate for three-month U.S. Treasury bills, as 
reported on the Web site http://publicdebt.treas.gov/AI/OFBills under 
the column headed ``Discount Rate %'' published by the Bureau of the 
Public Debt of the U.S. Treasury, or any successor source. The level of 
the Index, which was set at a hypothetical level of 100 as of December 
31, 1990, can be calculated on any given day as the product of the 
level of the Index as of the previous day, multiplied by the sum of (i) 
1.00 plus (ii) the positive or negative percentage return on the DJ-UBS 
Roll Select CI on such day plus (iii) the daily return based on the 
auction high rate for three-month U.S. Treasury bills described above.
The Supervisory Committee and the Advisory Committee
    According to the Registration Statement, the Supervisory Committee 
is comprised of three members, two of whom are appointed by UBS 
Securities and one of whom is appointed by S&P Dow Jones Indices, and 
makes all final decisions relating to the DJ-UBS CI, taking into 
consideration any advice and recommendations of the Advisory Committee. 
The Advisory Committee consists of six to twelve members drawn from the 
financial and academic communities. Both the Supervisory and Advisory 
Committees meet annually to consider any changes to be made to the DJ-
UBS CI for the coming year. These committees may also meet at such 
other times as may be necessary for the purposes of their respective 
responsibilities in connection with the oversight of the DJ-UBS CI.
    The Supervisory Committee has a significant degree of discretion in 
exercising its supervisory duties with respect to the DJ-UBS CI and 
related indices and sub-indices, including the Index and the DJ-UBS 
Roll Select CI.
    Additional information regarding the composition of the Index, DJ-
UBS Roll Select CI, DJ-UBS CI and their index methodologies is included 
in the Registration Statement and at the Index Co-Sponsors' Web site, 
www.djindexes.com.
Net Asset Value
    According to the Registration Statement, the Trustee will determine 
the net asset value of the Trust and the net asset value per Share 
(``NAV'') as of 4:00 p.m. (Eastern Time (``E.T.'')) on each Business 
Day \20\ on which the Exchange is open for regular trading, as soon as 
practicable after that time.
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    \20\ A ``Business Day'' is defined as a day (1) on which none of 
the following occurs: (a) the Exchange is closed for regular 
trading, (b) a Futures Exchange is closed for regular trading or (c) 
the Federal Reserve wire transfer system is closed for cash wire 
transfers, or (2) that the Trustee determines that it is able to 
conduct business.
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    According to the Registration Statement, the Trustee will value the 
Trust's long positions in Index Futures on the basis of that day's 
settlement prices for the Index Futures held by the Trust, as announced 
by the applicable Futures Exchange. The value of the Trust's positions 
in any particular Index Future will equal the product of (a) The number 
of such Index Futures of such expiration owned by the Trust, (b) the 
settlement price of such Index Futures on the date of calculation and 
(c) the multiplier of such Index Futures.\21\ If there is no announced 
settlement price for a particular Index Future contract on a Business 
Day, the Trustee will use the most recently announced settlement price 
unless the Trustee, in consultation with the Sponsor, determines that 
such price is inappropriate as a basis for valuation. The daily 
settlement prices for the Index Futures initially held by the Trust 
will be established by the CME shortly after the close of trading for 
such Index Futures, which is generally 2:40 p.m. E.T.
---------------------------------------------------------------------------

    \21\ According to the Adviser, the multiplier reflects the 
contract size for a futures contract. The multiplier for the Index 
Futures is expected to be $100.
---------------------------------------------------------------------------

    According to the Registration Statement, the Trustee will value all 
other holdings of the Trust at (a) current market value, if quotations 
for such property are readily available, or (b) fair value, as 
reasonably determined by the Trustee, if the current market value 
cannot be determined.
    According to the Registration Statement, once the value of the 
Index Futures and interest earned on the Trust's Collateral Assets has 
been determined, the Trustee will subtract all accrued expenses and 
liabilities of the Trust as of the time of calculation in order to 
calculate the net asset value of the Trust.
    According to the Registration Statement, once the net asset value 
of the Trust has been calculated, the Trustee will determine the NAV by 
dividing the net asset value of the Trust by the number of Shares 
outstanding at the time the calculation is made. Any changes to NAV 
that may result from creation and redemption activity occurring on any 
Business Day will not be reflected in NAV until the following Business 
Day.
Creation and Redemption of Shares
    According to the Registration Statement, the Trust will create and 
redeem Shares from time to time in one or more ``Baskets'' of 50,000 
Shares each. Baskets may be created or redeemed only by authorized 
participants.
    According to the Registration Statement, Baskets will be typically 
issued or redeemed only in exchange for an amount of Index Futures and 
cash (or, in the discretion of the Sponsor, other Collateral Assets) 
equal to the ``Basket Amount'' for the Business Day on which the 
creation or redemption order is received by the Trustee.\22\ The

[[Page 29416]]

Basket Amount for a Business Day will have a per Share value equal to 
the NAV as of such day, and the assets included in the Basket Amount 
will be valued in the same manner and on the same basis as the Trust's 
NAV calculations for its assets generally. Creation orders or 
redemption requests received after 2:40 E.T. will not be deemed 
received until the following Business Day. In limited circumstances and 
subject to the approval of the Trustee, Baskets may be created for cash 
equal to the NAV of the Shares constituting a Basket as determined on 
the date the related creation order was received, plus the costs 
incurred by the Trust in establishing the corresponding Index Futures 
positions and acquiring the related Collateral Assets. Creation orders 
for Baskets paid for solely in cash that are received after 10:00 a.m. 
E.T. will be deemed received as of the following Business Day. The 
Trustee will notify the authorized participants of the Basket Amount on 
each Business Day.
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    \22\ The ``Basket Amount'' is the amount of Index Futures and 
cash (or, in the discretion of the Sponsor, other Collateral 
Assets), that an authorized participant must deliver in exchange for 
one Basket, or that an authorized participant is entitled to receive 
in exchange for each Basket surrendered for redemption.
---------------------------------------------------------------------------

    According to the Registration Statement, creation and redemption of 
interests in the Trust generally will be effected through an ``EFRP,'' 
which is an exchange for related positions that involve contemporaneous 
transactions in futures contracts and the underlying cash commodity or 
a closely related commodity. In a typical EFRP, the buyer of the 
futures contract sells the underlying commodity to the seller of the 
futures contract. The CME permits the execution of EFRPs consisting of 
simultaneous purchases (sales) of Index Futures and sales (purchases) 
of Shares. This mechanism generally is expected to be used by the Trust 
in connection with the creation and redemption of Baskets.
    Specifically, according to the Registration Statement, it is 
anticipated that an authorized participant requesting the creation of 
additional Baskets typically will transfer Index Futures and cash (or, 
in the discretion of the Sponsor, other Collateral Assets) to the Trust 
in return for Shares. If an EFRP is executed in connection with the 
redemption of one or more Baskets, an authorized participant will 
transfer to the Trust the interests being redeemed and the Trust will 
transfer to the authorized participant Index Futures and cash or other 
Collateral Assets. The Trust may include Index Futures with different 
terms and expirations in the creation and redemption of Baskets, and 
the Index Futures included in creation Baskets may differ from those 
included in redemption Baskets.
    It is expected that delivery of the Shares or, in the case of a 
redemption, the Index Futures and cash or other Collateral Assets, will 
be made against transfer of consideration or Baskets, as the case may 
be, on the next Business Day following the Business Day on which the 
creation order or redemption request is received by the Trustee, which 
is referred to as a T+1 settlement cycle.
    When a Basket is created, upon the transfer of (1) the required 
consideration of Index Futures in the amounts and of the type specified 
by the Trustee, cash (or, in the discretion of the Sponsor, other 
Collateral Assets) in the amounts specified to the Trustee, in each 
case to the accounts specified by the Trustee, and (2) any and all 
transaction fees associated with creations per Basket, the Trustee will 
deliver the appropriate number of Baskets to the Depository Trust 
Company (``DTC'') account of the authorized participant.
    According to the Registration Statement, when a Basket is redeemed, 
after the delivery by the authorized participant to the Trustee's DTC 
account of the total number of Shares to be redeemed by an authorized 
participant, the Trustee will deliver to the order of the redeeming 
authorized participant redemption proceeds consisting of Index Futures 
and cash (or, in the discretion of the Sponsor, other Collateral 
Assets). The assets included in the redemption proceeds will be valued 
in the same manner and on the same basis as the Trust's NAV 
calculations for its assets generally. In connection with a redemption 
order, the redeeming authorized participant authorizes the Trustee to 
deduct from the proceeds of redemption any and all transaction fees 
associated with redemptions. Shares can be surrendered for redemption 
only in Baskets.
    The Trust 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 \23\ under the Act, 
the Trust relies on the exception contained in Rule 10A-3(c)(7).\24\ A 
minimum of 100,000 Shares of the Trust will be outstanding as of the 
start of trading on the Exchange.
---------------------------------------------------------------------------

    \23\ 17 CFR 240.10A-3.
    \24\ 17 CFR 240.10A-3(c)(7).
---------------------------------------------------------------------------

    A more detailed description of the Shares, the Trust, the Index and 
the Index Futures, as well as investment risks, creation and redemption 
procedures and fees is set forth in the Registration Statement.
Availability of Information Regarding the Shares
    The NAV for the Shares will be disseminated to all market 
participants at the same time. The Exchange will also make available on 
its Web site daily trading volume of the Shares and the closing prices 
of such Shares.
    The intraday, closing prices and settlement prices of the Index 
Futures and the futures contracts included in the Index, DJ-UBS Roll 
Select CI and DJ-UBS CI are or will be readily available from the Web 
sites of the relevant futures exchanges, automated quotation systems, 
published or other public sources, or on-line information services such 
as Bloomberg or Reuters. The relevant futures exchanges also provide 
delayed futures information on current and past trading sessions and 
market news free of charge on their respective Web sites. The specific 
contract specifications for the Index Futures and for the underlying 
futures contracts in the Index, DJ-UBS Roll Select CI and DJ-UBS CI are 
also available on such Web sites, as well as other financial 
informational sources. Information regarding the Collateral Assets will 
be available from applicable exchanges and market data vendors. 
Quotation and last sale information for the Shares will be available 
via the Consolidated Tape Association (``CTA'') high-speed line.
    The Sponsor's Web site, http://www.ishares.com, and/or the 
Exchange's Web site, which are publicly accessible at no charge, 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'') \25\; and (c) the 
prospectus. The Trust will also disseminate Trust holdings on a daily 
basis on the Trust's Web site.
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    \25\ The Bid/Ask Price will be determined using the mid-point of 
the highest bid and the lowest offer on the Exchange as of the time 
of calculation of the NAV. The records relating to Bid/Ask Prices 
will be retained by the Trust and its service providers.
---------------------------------------------------------------------------

    The Trust will provide Web site disclosure of portfolio holdings 
daily and will include, as applicable, (i) the composite value of the 
total portfolio, (ii) the name, quantity, price and market value of 
each Index Future and Collateral Asset, and the characteristics of such 
Index Futures and Collateral Assets, and (iii) the amount of cash held 
in the portfolio of the Trust.

[[Page 29417]]

    This Web site disclosure of the portfolio composition of the Trust 
will occur at the same time as the disclosure by the Sponsor of the 
portfolio composition to authorized participants so that all market 
participants are provided portfolio composition information at the same 
time. Therefore, the same portfolio information will be provided on the 
public Web site as well as in electronic files provided to authorized 
participants. Accordingly, each investor will have access to the 
current portfolio composition of the Trust through the Trust's Web 
site.
    The Index Co-Sponsors will calculate and publish the value of the 
Index, the DJ-UBS Roll Select CI and DJ-UBS CI continuously on each 
business day, with such values updated at least every 15 seconds during 
the Core Trading Session (from 9:30 a.m. to 4:00 p.m. E.T.) and 
disseminated by S&P Dow Jones Indices to market data vendors. The 
contents and percentage weighting of the Index, the DJ-UBS Roll Select 
CI and DJ-UBS CI, will be available at the Index Co-Sponsors' Web site, 
www.djindexes.com, and distributed to third-party data providers.
    The intra-day indicative value (``IIV'') per Share of the Trust 
will be based on the prior day's final NAV per Share, adjusted every 15 
seconds during the Core Trading Session to reflect the continuous price 
changes of the Trust's Index Futures and other holdings. The IIV per 
Share will be widely disseminated by one or more major market data 
vendors at least every 15 seconds during the Core Trading Session.\26\
---------------------------------------------------------------------------

    \26\ Currently, it is the Exchange's understanding that several 
major market data vendors display and/or make widely available IIVs 
published on CTA or other data feeds. In addition, although not 
likely, circumstances may arise in which the NYSE Arca Core Trading 
Session is in progress, but trading in Index Futures is not 
occurring. Such circumstances may result from reasons including, but 
not limited to, the applicable Futures Exchange having a separate 
holiday schedule than the NYSE Arca or closing prior to the close of 
the NYSE Arca, price fluctuation limits being reached in an Index 
Future, or the applicable Futures Exchange imposing any other 
suspension or limitation on trading in an Index Future. In such 
instances, the value of the applicable Index Futures held by the 
Fund would be static or priced by the Fund at the applicable early 
cut-off time of the Futures Exchange trading the applicable Index 
Future. Moreover, any cash held by the Fund for collateralization 
purposes will be invested in Collateral Assets that do not have 
market exposure, such that their value would not change throughout 
the trading day. As such, during such periods, the disseminated IIV 
for the Fund will be static.
---------------------------------------------------------------------------

    The Trustee will determine the net asset value of the Trust and the 
NAV as of 4:00 p.m. E.T., on each Business Day \27\ on which the 
Exchange is open for regular trading, or as soon as practicable after 
that time.
---------------------------------------------------------------------------

    \27\ See note 20, supra.
---------------------------------------------------------------------------

Suitability
    Currently, NYSE Arca Equities Rule 9.2(a) (Diligence as to 
Accounts) provides that an Equity Trading Permit (``ETP'') Holder, 
before recommending a transaction in any security, must have reasonable 
grounds to believe that the recommendation is suitable for the customer 
based on any facts disclosed by the customer as to its other security 
holdings and as to its financial situation and needs. Further, the rule 
provides, with a limited exception, that prior to the execution of a 
transaction recommended to a non-institutional customer, the ETP Holder 
must make reasonable efforts to obtain information concerning the 
customer's financial status, tax status, investment objectives, and any 
other information that such ETP Holder believes would be useful to make 
a recommendation.
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders of the suitability requirements of NYSE Arca Equities Rule 
9.2(a) in an Information Bulletin (``Bulletin''). Specifically, ETP 
Holders will be reminded in the Bulletin that, in recommending 
transactions in these securities, they must have a reasonable basis to 
believe that (1) The recommendation is suitable for a customer given 
reasonable inquiry concerning the customer's investment objectives, 
financial situation, needs, and any other information known by such 
member, and (2) the customer can evaluate the special characteristics, 
and is able to bear the financial risks, of an investment in the 
Shares. In connection with the suitability obligation, the Bulletin 
will also provide that members must make reasonable efforts to obtain 
the following information: (1) The customer's financial status; (2) the 
customer's tax status; (3) the customer's investment objectives; and 
(4) such other information used or considered to be reasonable by such 
member or registered representative in making recommendations to the 
customer.
    FINRA has issued a regulatory notice providing guidance to firms 
about the supervision of complex products, as described in FINRA 
Regulatory Notice 12-03 (January 2012) (``FINRA Regulatory Notice''). 
While the FINRA Regulatory Notice does not provide a definition of what 
constitutes a ``complex product,'' it does identify characteristics 
that may make a product ``complex'' for purposes of determining whether 
the product should be subject to heightened supervisory and compliance 
procedures.\28\ The Fund's characteristics may raise issues similar to 
those raised in the FINRA Regulatory Notice. Therefore, the Bulletin 
will state that ETP Holders that carry customer accounts should follow 
the FINRA Regulatory Notice with respect to suitability.
---------------------------------------------------------------------------

    \28\ See FINRA Regulatory Notice, at 3-4.
---------------------------------------------------------------------------

Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities. Shares will trade on 
the NYSE Arca Marketplace from 4:00 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, 
Commentary .03, the minimum price variation (``MPV'') for quoting and 
entry of orders in equity securities traded on the NYSE Arca 
Marketplace is $0.01, with the exception of securities that are priced 
less than $1.00, for which the MPV for order entry is $0.0001.
    The trading of the Shares will be subject to NYSE Arca Equities 
Rule 8.200, Commentary .02(e), which sets forth certain restrictions on 
ETP Holders acting as registered Market Makers in TIRs to facilitate 
surveillance. See ``Surveillance'' below for more information.
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares. Trading may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable. These may include: (1) The extent to 
which trading is not occurring in the Index Futures, 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 \29\ or by the halt or suspension of trading of the 
underlying futures contracts.
---------------------------------------------------------------------------

    \29\ See NYSE Arca Equities Rule 7.12.
---------------------------------------------------------------------------

    The Exchange may halt trading during the day in which an 
interruption to the dissemination of the IIV, the Index value or the 
value of the Index Futures occurs. If the interruption to the 
dissemination of the IIV, the Index value or the value of the Index 
Futures persists past the trading day in which it occurred, the 
Exchange will halt trading no later than the beginning of the

[[Page 29418]]

trading day following an 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 Financial 
Industry Regulatory Authority (``FINRA'') on behalf of the Exchange, 
which are designed to detect violations of Exchange rules and 
applicable federal securities laws.\30\ The Exchange represents that 
these procedures are adequate to properly monitor Exchange trading of 
the Shares in all trading sessions and to deter and detect violations 
of Exchange rules and applicable federal securities laws.
---------------------------------------------------------------------------

    \30\ FINRA surveils trading on the Exchange pursuant to a 
regulatory services agreement. The Exchange is responsible for 
FINRA's performance under this regulatory services agreement.
---------------------------------------------------------------------------

    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. FINRA, on 
behalf of the Exchange, will communicate as needed regarding trading in 
the Shares with other markets that are members of the Intermarket 
Surveillance Group (``ISG'') or with which the Exchange has in place a 
comprehensive surveillance sharing agreement.\31\ The CME, CBOT, NYMEX 
and ICE Futures U.S. are members of ISG, and the Exchange may obtain 
market surveillance information with respect to transactions occurring 
on the COMEX pursuant to the ISG memberships of CME and NYMEX. In 
addition, the Exchange has entered into a comprehensive surveillance 
sharing agreement with the LME that applies with respect to trading in 
futures contracts currently included in the DJ-UBS CI and DJ-UBS Roll 
Select CI.
---------------------------------------------------------------------------

    \31\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
portfolio for the Shares may trade on markets that are members of 
ISG or with which the Exchange has in place a comprehensive 
surveillance sharing agreement.
---------------------------------------------------------------------------

    In addition, with respect to Index Futures traded on exchanges, not 
more than 10% of the weight of such Index Futures in the aggregate 
shall consist of futures contracts whose principal trading market (a) 
is not a member of ISG or (b) is a market with which the Exchange does 
not have a comprehensive surveillance sharing agreement, provided that, 
so long as the Exchange may obtain market surveillance information with 
respect to transactions occurring on the COMEX pursuant to the ISG 
memberships of CME and NYMEX, futures contracts whose principal trading 
market is COMEX shall not be subject to the prohibition in (a), above.
    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 IIV will not be calculated or publicly disseminated; (2) the 
procedures for purchases and redemptions of Shares in 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 IIV is disseminated; (5) 
that a static IIV may be disseminated, between the close of trading on 
the applicable futures exchange and the close of the NYSE Arca Core 
Trading Session; \32\ (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.
---------------------------------------------------------------------------

    \32\ See note 26, supra.
---------------------------------------------------------------------------

    In addition, the Information Bulletin will advise ETP Holders, 
prior to the commencement of trading, of the prospectus delivery 
requirements applicable to the Trust. The Exchange notes that investors 
purchasing Shares directly from the Trust will receive a prospectus. 
ETP Holders purchasing Shares from the Trust 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 Trust 
is subject to various fees and expenses described in the Registration 
Statement. The Information Bulletin will also reference that the CFTC 
has regulatory jurisdiction over Index Futures traded on U.S. markets.
    The Information Bulletin will also disclose the trading hours of 
the Shares of the Trust and that the NAV for the Shares will be 
calculated after 4:00 p.m. E.T. each trading day. The Bulletin will 
disclose that information about the Shares of the Funds is publicly 
available on the Trust's Web site.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \33\ 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.
---------------------------------------------------------------------------

    \33\ 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 Trust seeks to achieve its investment 
objective by investing in Index Futures and Collateral Assets posted as 
margin and held to collateralize the Trust's Index Futures positions. 
The Sponsor represents that the Trust will invest in Index Futures and 
Collateral Assets, in a manner consistent with the Trust's investment 
objective and not to achieve additional leverage. With respect to Index 
Futures traded on exchanges, not more than 10% of the weight of such 
Index Futures in the aggregate shall consist of futures contracts whose 
principal trading market (a) is not a member of ISG or (b) is a market 
with which the Exchange does not have a comprehensive surveillance 
sharing agreement, provided that, so long as the Exchange may obtain 
market surveillance information with respect to transactions occurring 
on the COMEX pursuant to the ISG memberships of CME and NYMEX, futures 
contracts whose principal trading market is COMEX shall not be subject 
to the prohibition in (a), above. 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

[[Page 29419]]

laws. Prior to the commencement of trading, the Exchange will inform 
its ETP Holders of the suitability requirements of NYSE Arca Equities 
Rule 9.2(a) in a Bulletin. The Bulletin will state that ETP Holders 
that carry customer accounts should follow the FINRA Regulatory Notice 
with respect to suitability. The Exchange may obtain information via 
ISG from other exchanges that are members of ISG or with which the 
Exchange has entered into a comprehensive surveillance sharing 
agreement. The Adviser is not a broker-dealer but is affiliated with a 
broker-dealer and has implemented a firewall with respect to such 
broker-dealer affiliate as well as procedures designed to prevent the 
use and dissemination of material non-public information regarding the 
assets of the Trust. UBS Securities has implemented a fire wall with 
respect to its personnel regarding access to information concerning the 
composition and/or changes to the Index, DJ-UBS CI and DJ-UBS Roll 
Select CI and the calculation of the values of the foregoing indexes, 
and will be subject to procedures designed to prevent the use and 
dissemination of material non-public information regarding the Index, 
DJ-UBS CI and DJ-UBS Roll Select CI. The Index Co-Sponsors have 
implemented and maintain procedures designed to prevent the use and 
dissemination of material non-public information regarding the DJ-UBS 
Roll Select CI, the DJ-UBS CI and the Index. The Supervisory Committee 
and the Advisory Committee are subject to procedures designed to 
prevent the use and dissemination of material, non-public information 
regarding the Index, DJ-UBS Roll Select CI and DJ-UBS CI.
    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 Index Futures, or (2) whether other unusual conditions 
or circumstances detrimental to the maintenance of a fair and orderly 
market are present. Trading in Shares will be subject to trading halts 
caused by extraordinary market volatility pursuant to the Exchange's 
``circuit breaker'' rule or by the halt or suspension of trading of the 
Designated Contracts. The Exchange represents that the Exchange may 
halt trading during the day in which the interruption to the 
dissemination of the IIV, the Index value or the value of the Index 
Futures occurs. If the interruption to the dissemination of the IIV, 
the Index value or the value of the Index Futures persists past the 
trading day in which it occurred, the Exchange will halt trading no 
later than the beginning of the trading day following an 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 is publicly available regarding the 
Trust and the Shares, thereby promoting market transparency. The NAV 
for the Shares will be disseminated to all market participants at the 
same time. The IIV per Share will be widely disseminated by one or more 
major market data vendors at least every 15 seconds during the Core 
Trading Session. Trading in Shares of the Trust will be halted if the 
circuit breaker parameters in NYSE Arca Equities Rule 7.12 have been 
reached or because of market conditions or for reasons that, in the 
view of the Exchange, make trading in the Shares inadvisable. Moreover, 
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. The Trust will provide Web 
site disclosure of portfolio holdings daily and will include, as 
applicable, (i) the composite value of the total portfolio, (ii) the 
name, quantity, price and market value of each Index Future and 
Collateral Asset, and the characteristics of such Index Futures and 
Collateral Assets, and (iii) the amount of cash held in the portfolio 
of the Trust. The value of the Index, DJ-UBS Roll Select CI and DJ-UBS 
CI will be widely disseminated by one or more major market data vendors 
at least every 15 seconds during the Core Trading Session. The 
intraday, closing prices and settlement prices of the Index Futures and 
the futures contracts included in the Index, DJ-UBS Roll Select CI and 
DJ-UBS CI are or will be readily available from the Web sites of the 
relevant futures exchanges, automated quotation systems, published or 
other public sources, or on-line information services such as Bloomberg 
or Reuters. The contents and percentage weighting of the Index, the DJ-
UBS Roll Select CI and DJ-UBS CI, will be available at the Index Co-
Sponsors' Web site, www.djindexes.com, and distributed to third-party 
data providers. The Exchange will also make available on its Web site 
daily trading volume of each of the Shares and the closing prices of 
such Shares. The prices of the Index Futures and Collateral Assets will 
be available from the applicable exchanges and market data vendors.
    The proposed rule change is designed to perfect the mechanism of a 
free and open market and, in general, to protect investors and the 
public interest in that it will facilitate the listing and trading of 
an additional type of exchange-traded product that will enhance 
competition among market participants, to the benefit of investors and 
the marketplace. As noted above, the Exchange has in place surveillance 
procedures relating to trading in the Shares and may obtain information 
via ISG from other exchanges that are members of ISG or with which the 
Exchange has entered into a comprehensive surveillance sharing 
agreement. In addition, as noted above, investors will have ready 
access to information regarding the Trust's holdings, IIV, and 
quotation and last sale information for the Shares.

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 an 
additional type of exchange-traded product 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 (i) as the Commission may 
designate up to 90 days of such date 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.

[[Page 29420]]

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change, as modified by Amendment No. 1 thereto, 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 rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2013-48 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEArca-2013-48. 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 will also 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 No. SR-NYSEArca-2013-48 and should be 
submitted on or before June 10, 2013.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\34\
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    \34\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2013-11897 Filed 5-17-13; 8:45 am]
BILLING CODE 8011-01-P