Correspondence 0001683863-24-004144 from PROSHARES TRUST (CIK 0001174610)
PROSHARES TRUST (CIK 0001174610)
Date: June 5, 2024 · CIK: 0001174610 · Accession: 0001683863-24-004144
AI Filing Summary & Sentiment
File numbers found in text: 333-89822, 811-21114
Letter
VIA EDGAR CORRESPONDENCE 100 F Street, N.E. Washington, DC 20549 Re: ProShares Trust (the "Trust") (File Nos. 333-89822 and 811-21114)
Dear Mr. Rosenberg:
On April 8, 2024, the Trust filed with the U.S. Securities and Exchange Commission (the "Commission") Post-Effective Amendment No. 301 under the Securities Act of 1933, as amended (the "1933 Act") and Amendment No. 310 under the Investment Company Act of 1940, as amended (the "1940 Act") to the Trust's registration statement (the "Amendment"). The Amendment was filed for the purpose of registering two series of the Trust –ProShares Ultra Ether ETF and ProShares UltraShort Ether ETF (each a "Fund," and together, the "Funds").
We received comments from you relating to the Amendment on May 22, 2024. For your convenience and reference, we have summarized the comments in this letter and provided the Trust's response below each such comment. The Trust will file a Post-Effective Amendment to the Registration Statement (the "Revised Amendment"). The Revised Amendment is being made for the purpose of incorporating modifications to the Fund's prospectus ("Prospectus") and statement of additional information ("SAI") in response to your comments on the Amendment as described in this letter and to make other non-material changes. Capitalized terms used but not defined herein have the meanings assigned to them in the Amendment.
1.Comment: Please supplementally indicate when the Fund expects to launch.
Response: The Funds intend to launch shortly after becoming effective.
2.Comment: Please consider including "Daily" in the Fund's name inasmuch as the Fund seeks daily returns of 2x or -2x for a single day and not any other period.
Response: The Trust respectfully declines to make the requested change. The Advisor does not believe Section 35(d) of the 1940 Act or Rule 35d-1 thereunder require the inclusion of the word "Daily" in the name of the Fund.
3.Comment: Please disclose an 80% policy such that the Fund maintains an 80% exposure to the terms used in its name.
Response: The Trust confirms that the requested disclosure is included in response to Item 4 of Form N-1A ("Item 4") for each Fund. Specifically, the disclosure states the following:
Under normal circumstances, the Fund will invest at least 80% of the Fund's assets in, or provide exposure to, financial instruments that ProShare Advisors believes, in combination, should produce daily returns consistent with the Daily Target.
4.Comment: Please supplementally confirm the Fund intends to obtain the targeted 2x or -2x exposure by investing principally in ether futures contracts traded on an exchange registered with the Commodity Futures Trading Commission through a wholly owned foreign subsidiary. Also, please provide the name of the exchange on which the futures contracts will trade.
Response: The Trust confirms that the Funds intend to obtain exposure to ether by investing principally in ether futures contracts traded on the CME through a wholly-owned foreign subsidiary. In the future, the Funds may invest in instruments that provide exposure to U.S. listed exchange traded funds that hold spot ether once those ETFs become available.
5.Comment: Please supplementally explain the circumstances under which the Fund would invest in derivative instruments other than ether futures contracts traded on the exchange identified in your response.
Response: As disclosed in the section entitled "Additional Ether-Related Investments", the Fund may invest in instruments (including derivatives instruments) other than ether futures if the Fund is unable to obtain the desired exposure to ether. In addition, in light of recent market events, the Funds have revised this section to reflect the possibility that in the future the Funds may seek to obtain exposure through direct or indirect investments in U.S. listed ETFs that hold ether.
If a Fund is unable to obtain the desired exposure to ether, the Advisor intends to take such action as it believes appropriate and in the best interest of the Fund. This may include among other things, investing in equity securities of "ether-related companies" or investing in or shorting other U.S. investment companies that provide investment exposure to ether futures contracts or ether-related companies. For these purposes, ether-related companies are companies listed on a U.S. stock exchange that the Advisor believes provide returns that generally correspond, or are closely related, to the performance of ether or ether futures. For example, a Fund may invest in U.S. listed companies engaged in digital asset mining or offering digital asset trading platforms.
In addition, with respect to ProShares Ultra Ether ETF, the Fund may also invest in U.S. listed ETFs that provide exposure to ether or ether futures. Both Funds may enter into swap agreements that use a U.S. listed ETF as a reference asset.
In the future, the Funds may seek to obtain the desired exposure to ether by investing in U.S. listed ETFs that hold ether or by entering into swap agreements that use such ETFs as a reference asset. As of the date of this Prospectus, there are no U.S. listed ETFs that hold ether.
6.Comment: Please supplementally explain, and disclose specifically, what reference assets the Fund will use for any swap agreements. Disclose that these swap agreements are cash-settled, uncleared, and non-exchange-traded.
Response: At this time, the Funds do not expect to obtain exposure to ether or ether futures using swap. The Trust has removed the discussion of swap transactions from the summary section of the Prospectus for each Fund. The Trust has retained the discussion of swap transactions in the section entitled "Additional Ether-Related Investments" as noted in response to Comment 5.
The Trust notes that the disclosures provided in response to Item 9 of Form N-1A ("Item 9") include the requested statement in the section entitled "Risks Associated with the Use of Derivatives" which states:
Such swaps are uncleared, non-exchange-traded, and cash settled.
7.Comment: If the Fund will invest in shares of investment companies, please supplementally confirm that those investment companies are investment companies registered under the Investment Company Act of 1940 (the "Act").
Response: The Trust confirms that at this time the Funds would only obtain exposure through U.S. listed ETFs registered as investment companies under the 1940 Act. However, as noted in response to Comment 5, in light of current events, the Trust has revised the Amendment to note that it may in the future invest in U.S. listed ETFs that hold ether once those become available. These ETFs are not expected to be registered as investment companies under the 1940 Act.
8.Comment: Please supplementally explain to the staff whether the Fund will have significant exposure to another issuer, whether directly or indirectly through derivative instruments. If so, please identify that issuer.
Response: The Funds do not currently expect to have significant exposure to another issuer, either directly or indirectly.
9.Comment: Please supplementally explain and disclose the Fund's strategy with respect to the "rolling" of ether futures contracts, including the contract month the Fund plans to invest in and generally how and when the Fund expects to roll the contracts. If the Fund is unable to provide this disclosure, explain why.
Response: The Trust confirms that such disclosures can be found in the summary section of
the Prospectus for each Fund. As the principal investment strategy for each Fund states: "[t]he Fund seeks to invest in cash-settled, front-month ether futures." With respect to how and when the Fund expects to roll its contracts, the principal investment strategy for each Fund states: "[i]n order to maintain its [inverse] exposure to ether futures contracts, the Fund must [sell/exit] its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date."
The section entitled "Rolling of the Ether Futures" included in response to Item 9 provides further details.
Futures contracts expire on a designated date, referred to as the "expiration date." Each Fund generally seeks to invest in "front-month" ether futures contracts but may invest in back-month, cash-settled ether futures contracts. "Front-month" contracts are the monthly contracts with the nearest expiration date. Back-month ether futures contracts are those with longer times to maturity. Ether futures are cash-settled on their expiration date unless they are "rolled" prior to expiration. Each Fund intends to "roll" its ether futures prior to expiration. Typically, each Fund will roll to the next "nearby" ether futures. The "nearby" contracts are those contracts with the next closest expiration date.
10.Comment: Please disclose that there may be differences in returns between ether futures contracts and ether due to divergence in prices or the costs associated with futures investing. In this regard, please disclose any unique contango/rolling risks related to ether futures contracts.
Response: The Trust confirms that such disclosures can be found in the summary section of the Prospectus for each Fund. Each Fund's "Ether Futures Risk" discloses that there may be differences between ether futures and ether by stating:
The performance of ether futures contracts, in general, has historically been highly correlated to the performance of ether. However, there can be no guarantee this will continue. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost of ether futures contracts and decrease the correlation between the performance of ether futures contracts and ether, over short or even long-term periods. In addition, the performance of back-month futures contracts is likely to differ more significantly from the performance of the spot prices of ether. To the extent the Fund is invested in back-month ether future contracts, the performance of the Fund should be expected to deviate more significantly from the performance of ether. Moreover, differences in the prices between ether and ether futures will expose the Fund to risks different from, and possibly greater than, the risks associated with investing directly in ether, including larger losses or smaller gains.
In addition, in the summary section of the Prospectus for Ultra Ether ETF, the "Cost of Futures Investing Risk" provides additional disclosure regarding contango and backwardation by stating:
Ether futures have historically experienced extended periods of contango. Contango in the ether futures market may have a significant adverse impact on the performance of the Fund and may cause ether futures and the Fund to underperform spot ether. Both contango and backwardation would reduce the Fund's correlation to spot ether and may limit or prevent the Fund from achieving its investment objective.
Similarly, in the summary section of the Prospectus for UltraShort Ether ETF, the "Cost of Futures Investment Risk" provides additional disclosure regarding contango and backwardation by stating:
Backwardation in the ether futures market may have a significant adverse impact on the performance of the Fund. Both contango and backwardation may cause
ether futures to perform differently than spot ether and may limit or prevent the Fund from achieving its investment objective.
11.Comment: Please supplementally discuss how the Fund would be expected to perform during significant daily downturns (where a long-leveraged strategy is used) or upturns (where an inverse- leveraged strategy is used) in the price of ether and ether futures contracts, such as those that occurred on May 18, 2021 to May 25, 2021.
Response: The Advisor expects that the Funds will operate consistent with their investment objective during periods of both significant daily downturns and significant daily upturns. In particular, the Advisor expects the Funds would have operated as expected if they had been in operation for the period from May 18, 2021 to May 25, 2021. Over the six business days from May 18, 2021 to May 25, 2021, based on the Bloomberg Ethereum Index, the daily returns of ether were -0.37%, -26.21%, 9.27%, -18.59%, 16.65%, and -2.85%. In total, ether declined 25.88% over this period. Over the same six-day period, based on daily settlement prices, the daily returns of front- month ether futures were 0.43%, -23.13%, 7.60%, -15.96%, 11.98%, and -5.29%. In total, front- month ether futures declined 25.96% over this period. The Advisor expects that the Ultra Ether ETF, investing in front-month ether futures, would have corresponding daily returns, before fees and expenses, of approximately 0.87%, -46.26%, 15.20%, -31.92%, 23.96%, and -10.59%, based on NAV and would have a return of -52.88% over the six-day period, if operated over this same six-day period. The Advisor expects that the UltraShort Ether ETF, investing in front-month ether futures would have corresponding daily returns, before fees and expenses, of approximately - 0.87%, 46.26%, -15.20%, 31.92%, -23.96%, and 10.59%, based on NAV and would have a return of 36.39% over the six-day period, if operated over this same six-day period.
11.1.Comment: Would such price changes impact the Fund's operations, including the Fund's creation or redemption process and/or its ability to meet its investment objective and execute its principal strategies?
Response: The Advisor does not expect price changes such as those that occurred from May 18, 2021 to May 25, 2021 to have a significant negative impact on the creation/redemption processes of the Funds. The Funds use essentially the same creation/redemption processes and arbitrage mechanism as other ETFs and the Advisor therefore does not expect volatility to have a significant negative impact on such processes.
While there was significant volatility in ether and ether futures contracts from May 18, 2021 to May 25, 2021, trading continued throughout the day each with significant volume and a closing price was reported each day. Specifically, the total notional volume for front-month ether futures over the period was $4,961 million. The notional open interest for front-month ether futures averaged $324 million. This indicates that there was significant interest in both sides of the trade from both buyers and sellers. Additionally, the 1-month correlation between the price returns of front-month CME ether futures contracts and spot ether during the period (an average of 0.9832) was not meaningfully different from the full sample correlation (0.9856, March 30, 2021 to April 30, 2024), notwithstanding the volatility in the market during the period.
In light of this liquidity, the Advisor believes the Funds would have been able to obtain the desired futures exposure and exit its positions, if necessary. Additionally, the CME reported a closing price for CME ether futures each day, which would have allowed the Funds to calculate an end-of-day NAV. In light of the above, the Advisor believes the market events during this period would not have had an impact on the liquidity profile of the Funds, the ability of the Funds to obtain
appropriate investment exposure or to meet redemption requests, the ability of the Funds to calculate NAV or otherwise had a material adverse impact on the operations of the Funds.
12.Comment: Please supplementally explain what the Fund would expect in terms of discounts or premiums in response to significant changes in secondary market demand for Fund shares? For example, describe the potential impact on the Fund's premium (or discount) if a large number of investors (e.g. more than 50% of net asset
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CORRESP
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ProShares ETHD & ETHT Correspondence 1
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June 5, 2024
VIA EDGAR CORRESPONDENCE
Michael Rosenberg
U.S. Securities and Exchange Commission
100 F Street, N.E.
Washington, DC 20549
Re:
ProShares Trust (the "Trust") (File Nos. 333-89822 and 811-21114)
Dear Mr. Rosenberg:
On April 8, 2024, the Trust filed with the U.S. Securities and Exchange Commission (the "Commission") Post-Effective Amendment No. 301 under the Securities Act of 1933, as amended (the "1933 Act") and Amendment No. 310 under the Investment Company Act of 1940, as amended (the "1940 Act") to the Trust's registration statement (the "Amendment"). The Amendment was filed for the purpose of registering two series of the Trust –ProShares Ultra Ether ETF and ProShares UltraShort Ether ETF (each a "Fund," and together, the "Funds").
We received comments from you relating to the Amendment on May 22, 2024. For your convenience and reference, we have summarized the comments in this letter and provided the Trust's response below each such comment. The Trust will file a Post-Effective Amendment to the Registration Statement (the "Revised Amendment"). The Revised Amendment is being made for the purpose of incorporating modifications to the Fund's prospectus ("Prospectus") and statement of additional information ("SAI") in response to your comments on the Amendment as described in this letter and to make other non-material changes. Capitalized terms used but not defined herein have the meanings assigned to them in the Amendment.
1.Comment: Please supplementally indicate when the Fund expects to launch.
Response: The Funds intend to launch shortly after becoming effective.
2.Comment: Please consider including "Daily" in the Fund's name inasmuch as the Fund seeks daily returns of 2x or -2x for a single day and not any other period.
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Response: The Trust respectfully declines to make the requested change. The Advisor does not believe Section 35(d) of the 1940 Act or Rule 35d-1 thereunder require the inclusion of the word "Daily" in the name of the Fund.
3.Comment: Please disclose an 80% policy such that the Fund maintains an 80% exposure to the terms used in its name.
Response: The Trust confirms that the requested disclosure is included in response to Item 4 of Form N-1A ("Item 4") for each Fund. Specifically, the disclosure states the following:
Under normal circumstances, the Fund will invest at least 80% of the Fund's assets in, or provide exposure to, financial instruments that ProShare Advisors believes, in combination, should produce daily returns consistent with the Daily Target.
4.Comment: Please supplementally confirm the Fund intends to obtain the targeted 2x or -2x exposure by investing principally in ether futures contracts traded on an exchange registered with the Commodity Futures Trading Commission through a wholly owned foreign subsidiary. Also, please provide the name of the exchange on which the futures contracts will trade.
Response: The Trust confirms that the Funds intend to obtain exposure to ether by investing principally in ether futures contracts traded on the CME through a wholly-owned foreign subsidiary. In the future, the Funds may invest in instruments that provide exposure to U.S. listed exchange traded funds that hold spot ether once those ETFs become available.
5.Comment: Please supplementally explain the circumstances under which the Fund would invest in derivative instruments other than ether futures contracts traded on the exchange identified in your response.
Response: As disclosed in the section entitled "Additional Ether-Related Investments", the Fund may invest in instruments (including derivatives instruments) other than ether futures if the Fund is unable to obtain the desired exposure to ether. In addition, in light of recent market events, the Funds have revised this section to reflect the possibility that in the future the Funds may seek to obtain exposure through direct or indirect investments in U.S. listed ETFs that hold ether.
If a Fund is unable to obtain the desired exposure to ether, the Advisor intends to take such action as it believes appropriate and in the best interest of the Fund. This may include among other things, investing in equity securities of "ether-related companies" or investing in or shorting other U.S. investment companies that provide investment exposure to ether futures contracts or ether-related companies. For these purposes, ether-related companies are companies listed on a U.S. stock exchange that the Advisor believes provide returns that generally correspond, or are closely related, to the performance of ether or ether futures. For example, a Fund may invest in U.S. listed companies engaged in digital asset mining or offering digital asset trading platforms.
In addition, with respect to ProShares Ultra Ether ETF, the Fund may also invest in U.S. listed ETFs that provide exposure to ether or ether futures. Both Funds may enter into swap agreements that use a U.S. listed ETF as a reference asset.
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In the future, the Funds may seek to obtain the desired exposure to ether by investing in U.S. listed ETFs that hold ether or by entering into swap agreements that use such ETFs as a reference asset. As of the date of this Prospectus, there are no U.S. listed ETFs that hold ether.
6.Comment: Please supplementally explain, and disclose specifically, what reference assets the Fund will use for any swap agreements. Disclose that these swap agreements are cash-settled, uncleared, and non-exchange-traded.
Response: At this time, the Funds do not expect to obtain exposure to ether or ether futures using swap. The Trust has removed the discussion of swap transactions from the summary section of the Prospectus for each Fund. The Trust has retained the discussion of swap transactions in the section entitled "Additional Ether-Related Investments" as noted in response to Comment 5.
The Trust notes that the disclosures provided in response to Item 9 of Form N-1A ("Item 9") include the requested statement in the section entitled "Risks Associated with the Use of Derivatives" which states:
Such swaps are uncleared, non-exchange-traded, and cash settled.
7.Comment: If the Fund will invest in shares of investment companies, please supplementally confirm that those investment companies are investment companies registered under the Investment Company Act of 1940 (the "Act").
Response: The Trust confirms that at this time the Funds would only obtain exposure through U.S. listed ETFs registered as investment companies under the 1940 Act. However, as noted in response to Comment 5, in light of current events, the Trust has revised the Amendment to note that it may in the future invest in U.S. listed ETFs that hold ether once those become available. These ETFs are not expected to be registered as investment companies under the 1940 Act.
8.Comment: Please supplementally explain to the staff whether the Fund will have significant exposure to another issuer, whether directly or indirectly through derivative instruments. If so, please identify that issuer.
Response: The Funds do not currently expect to have significant exposure to another issuer, either directly or indirectly.
9.Comment: Please supplementally explain and disclose the Fund's strategy with respect to the "rolling" of ether futures contracts, including the contract month the Fund plans to invest in and generally how and when the Fund expects to roll the contracts. If the Fund is unable to provide this disclosure, explain why.
Response: The Trust confirms that such disclosures can be found in the summary section of
the Prospectus for each Fund. As the principal investment strategy for each Fund states: "[t]he Fund seeks to invest in cash-settled, front-month ether futures." With respect to how and when the Fund expects to roll its contracts, the principal investment strategy for each Fund states: "[i]n order to maintain its [inverse] exposure to ether futures contracts, the Fund must [sell/exit] its futures contracts as they near expiration and replace them with new futures contracts with a later expiration date."
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The section entitled "Rolling of the Ether Futures" included in response to Item 9 provides further details.
Futures contracts expire on a designated date, referred to as the "expiration date." Each Fund generally seeks to invest in "front-month" ether futures contracts but may invest in back-month, cash-settled ether futures contracts. "Front-month" contracts are the monthly contracts with the nearest expiration date. Back-month ether futures contracts are those with longer times to maturity. Ether futures are cash-settled on their expiration date unless they are "rolled" prior to expiration. Each Fund intends to "roll" its ether futures prior to expiration. Typically, each Fund will roll to the next "nearby" ether futures. The "nearby" contracts are those contracts with the next closest expiration date.
10.Comment: Please disclose that there may be differences in returns between ether futures contracts and ether due to divergence in prices or the costs associated with futures investing. In this regard, please disclose any unique contango/rolling risks related to ether futures contracts.
Response: The Trust confirms that such disclosures can be found in the summary section of the Prospectus for each Fund. Each Fund's "Ether Futures Risk" discloses that there may be differences between ether futures and ether by stating:
The performance of ether futures contracts, in general, has historically been highly correlated to the performance of ether. However, there can be no guarantee this will continue. Transaction costs (including the costs associated with futures investing), position limits, the availability of counterparties and other factors may impact the cost of ether futures contracts and decrease the correlation between the performance of ether futures contracts and ether, over short or even long-term periods. In addition, the performance of back-month futures contracts is likely to differ more significantly from the performance of the spot prices of ether. To the extent the Fund is invested in back-month ether future contracts, the performance of the Fund should be expected to deviate more significantly from the performance of ether. Moreover, differences in the prices between ether and ether futures will expose the Fund to risks different from, and possibly greater than, the risks associated with investing directly in ether, including larger losses or smaller gains.
In addition, in the summary section of the Prospectus for Ultra Ether ETF, the "Cost of Futures Investing Risk" provides additional disclosure regarding contango and backwardation by stating:
Ether futures have historically experienced extended periods of contango. Contango in the ether futures market may have a significant adverse impact on the performance of the Fund and may cause ether futures and the Fund to underperform spot ether. Both contango and backwardation would reduce the Fund's correlation to spot ether and may limit or prevent the Fund from achieving its investment objective.
Similarly, in the summary section of the Prospectus for UltraShort Ether ETF, the "Cost of Futures Investment Risk" provides additional disclosure regarding contango and backwardation by stating:
Backwardation in the ether futures market may have a significant adverse impact on the performance of the Fund. Both contango and backwardation may cause
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ether futures to perform differently than spot ether and may limit or prevent the Fund from achieving its investment objective.
11.Comment: Please supplementally discuss how the Fund would be expected to perform during significant daily downturns (where a long-leveraged strategy is used) or upturns (where an inverse- leveraged strategy is used) in the price of ether and ether futures contracts, such as those that occurred on May 18, 2021 to May 25, 2021.
Response: The Advisor expects that the Funds will operate consistent with their investment objective during periods of both significant daily downturns and significant daily upturns. In particular, the Advisor expects the Funds would have operated as expected if they had been in operation for the period from May 18, 2021 to May 25, 2021. Over the six business days from May 18, 2021 to May 25, 2021, based on the Bloomberg Ethereum Index, the daily returns of ether were -0.37%, -26.21%, 9.27%, -18.59%, 16.65%, and -2.85%. In total, ether declined 25.88% over this period. Over the same six-day period, based on daily settlement prices, the daily returns of front- month ether futures were 0.43%, -23.13%, 7.60%, -15.96%, 11.98%, and -5.29%. In total, front- month ether futures declined 25.96% over this period. The Advisor expects that the Ultra Ether ETF, investing in front-month ether futures, would have corresponding daily returns, before fees and expenses, of approximately 0.87%, -46.26%, 15.20%, -31.92%, 23.96%, and -10.59%, based on NAV and would have a return of -52.88% over the six-day period, if operated over this same six-day period. The Advisor expects that the UltraShort Ether ETF, investing in front-month ether futures would have corresponding daily returns, before fees and expenses, of approximately - 0.87%, 46.26%, -15.20%, 31.92%, -23.96%, and 10.59%, based on NAV and would have a return of 36.39% over the six-day period, if operated over this same six-day period.
11.1.Comment: Would such price changes impact the Fund's operations, including the Fund's creation or redemption process and/or its ability to meet its investment objective and execute its principal strategies?
Response: The Advisor does not expect price changes such as those that occurred from May 18, 2021 to May 25, 2021 to have a significant negative impact on the creation/redemption processes of the Funds. The Funds use essentially the same creation/redemption processes and arbitrage mechanism as other ETFs and the Advisor therefore does not expect volatility to have a significant negative impact on such processes.
While there was significant volatility in ether and ether futures contracts from May 18, 2021 to May 25, 2021, trading continued throughout the day each with significant volume and a closing price was reported each day. Specifically, the total notional volume for front-month ether futures over the period was $4,961 million. The notional open interest for front-month ether futures averaged $324 million. This indicates that there was significant interest in both sides of the trade from both buyers and sellers. Additionally, the 1-month correlation between the price returns of front-month CME ether futures contracts and spot ether during the period (an average of 0.9832) was not meaningfully different from the full sample correlation (0.9856, March 30, 2021 to April 30, 2024), notwithstanding the volatility in the market during the period.
In light of this liquidity, the Advisor believes the Funds would have been able to obtain the desired futures exposure and exit its positions, if necessary. Additionally, the CME reported a closing price for CME ether futures each day, which would have allowed the Funds to calculate an end-of-day NAV. In light of the above, the Advisor believes the market events during this period would not have had an impact on the liquidity profile of the Funds, the ability of the Funds to obtain
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appropriate investment exposure or to meet redemption requests, the ability of the Funds to calculate NAV or otherwise had a material adverse impact on the operations of the Funds.
12.Comment: Please supplementally explain what the Fund would expect in terms of discounts or premiums in response to significant changes in secondary market demand for Fund shares? For example, describe the potential impact on the Fund's premium (or discount) if a large number of investors (e.g. more than 50% of net asset