Federal Register / Vol. 76, No. 70 / Tuesday, April 12, 2011 / Notices 20401 

12 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3A Managed Fund Share is a security that 

represents an interest in an investment company 

registered under the Investment Company Act of 

1940 (15 U.S.C. 80a) (‘‘1940 Act’’) organized as an 

open-end investment company or similar entity that 

invests in a portfolio of securities selected by its 

investment adviser consistent with its investment 

objectives and policies. In contrast, an open-end 

investment company that issues Investment 

Company Units, listed and traded on the Exchange 

under NYSE Arca Equities Rule 5.2(j)(3), seeks to 

provide investment results that correspond 

generally to the price and yield performance of a 

specific foreign or domestic stock index, fixed 

income securities index, or combination thereof. 

4The Commission previously approved listing 

and trading on the Exchange of the following 

actively managed funds under Rule 8.600. See 

Securities Exchange Act Release Nos. 57801 (May 

8, 2008), 73 FR 27878 (May 14, 2008) (SR– 

NYSEArca–2008–31) (order approving Exchange 

listing and trading of twelve actively-managed 

funds of the WisdomTree Trust); 61365 (January 15, 

2010), 75 FR 4124 (January 26, 2010) (SR– 

NYSEArca–2009–114) (order approving listing and 

trading of Grail McDonnell Fixed Income ETFs); 

and 60981 (November 10, 2009), 74 FR 59594 

(November 18, 2009) (SR–NYSEArca–2009–79) 

(order approving listing of five fixed income funds 

of the PIMCO ETF Trust). 

5The Trust is registered under the 1940 Act. On 

July 26, 2010, the Trust filed with the Commission 

Form N–1A under the Securities Act of 1933 (15 

U.S.C. 77a) (‘‘Securities Act’’) relating to the Funds 

(File Nos. 333–134551 and 811–21906) 

(‘‘Registration Statement’’). The description of the 

operation of the Trust and the Funds herein is 

based on the Registration Statement. 

6An investment adviser to an open-end fund is 

required to be registered under the Investment 

Advisers Act of 1940 (‘‘Advisers Act’’). As a result, 

the investment adviser is subject to the provisions 

of Rule 204A–1 under the Advisers Act relating to 

codes of ethics. This Rule requires investment 

advisers to adopt a code of ethics that reflects the 

fiduciary nature of the relationship to clients as 

well as compliance with other applicable securities 

laws. Accordingly, procedures designed to prevent 

the communication and misuse of non-public 

information by an investment adviser must be 

consistent with Rule 204A–1 under the Advisers 

Act. The Exchange represents that the Investment 

Adviser and related personnel, are subject to 

Advisers Act Rule 204A–1. In addition, Rule 

206(4)–7 under the Advisers Act makes it unlawful 

for an investment adviser to provide investment 

advice to clients unless such investment adviser has 

(i) Adopted and implemented written policies and 

procedures reasonably designed to prevent 

violation, by the investment adviser and its 

supervised persons, of the Advisers Act and the 

Commission rules adopted thereunder; (ii) 

implemented, at a minimum, an annual review 

regarding the adequacy of the policies and 

procedures established pursuant to subparagraph (i) 

above and the effectiveness of their 

implementation; and (iii) designated an individual 

(who is a supervised person) responsible for 

administering the policies and procedures adopted 

under subparagraph (i) above. 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street, NE., 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of such filing 

also will be available for inspection and 

copying at the principal office of the 

Exchange. All comments received will 

be posted without change; the 

Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

publicly available. All submissions 

should refer to File Number SR– 

NYSEArca-2011–15 and should be 

submitted on or before May 3, 2011. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

Cathy H. Ahn, 

Deputy Secretary. 

[FR Doc. 2011–8726 Filed 4–11–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–64224; File No. SR– 

NYSEArca–2011–11] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of Proposed 

Rule Change Relating to the Listing 

and Trading of the Guggenheim 

Enhanced Core Bond ETF and 

Guggenheim Enhanced Ultra-Short 

Bond ETF 

April 7, 2011. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’) 1 and Rule 19b–4 thereunder,2

notice is hereby given that on March 24, 

2011, NYSE Arca, Inc. (‘‘Exchange’’ or 

‘‘NYSE Arca’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to list and 

trade the following under NYSE Arca 

Equities Rule 8.600: Guggenheim 

Enhanced Core Bond ETF and 

Guggenheim Enhanced Ultra-Short 

Bond ETF. The text of the proposed rule 

change is available at the Exchange, the 

Commission’s Public Reference Room, 

and http://www.nyse.com. 

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 

The Exchange proposes to list and 

trade the following Managed Fund 

Shares 3 (‘‘Shares’’) under NYSE Arca 

Equities Rule 8.600: Guggenheim 

Enhanced Core Bond ETF and 

Guggenheim Enhanced Ultra-Short 

Bond ETF (each a ‘‘Fund,’’ and, 

collectively, ‘‘Funds’’).4 The Shares will 

be offered by the Claymore ExchangeTraded Fund Trust (‘‘Trust’’), a statutory 

trust organized under the laws of the 

State of Delaware and registered with 

the Commission as an open-end 

management investment company.5

The investment adviser for the Funds 

is Claymore Advisors, LLC (‘‘Investment 

Adviser’’). The Bank of New York 

Mellon is the custodian and transfer 

agent for the Funds. Claymore 

Securities, Inc. is the distributor for the 

Funds. 

Commentary .06 to Rule 8.600 

provides that, if the investment adviser 

to the Investment Company issuing 

Managed Fund Shares is affiliated with 

a broker-dealer, such investment adviser 

shall erect a ‘‘fire wall’’ between the 

investment adviser and the brokerdealer with respect to access to 

information concerning the composition 

and/or changes to such Investment 

Company portfolio.6 In addition, 

Commentary .06 further requires that 

personnel who make decisions on the 

open-end fund’s portfolio composition 

must be subject to procedures designed 

to prevent the use and dissemination of 

material nonpublic information 

regarding the open-end fund’s portfolio. 

The Investment Adviser is affiliated 

with a broker-dealer and has 

represented that it has implemented a 

fire wall with respect to its brokerVerDate Mar<15>2010 18:00 Apr 11, 2011 Jkt 223001 PO 00000 Frm 00097 Fmt 4703 Sfmt 4703 E:\FR\FM\12APN1.SGM 12APN1

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20402 Federal Register / Vol. 76, No. 70 / Tuesday, April 12, 2011 / Notices 

7The Investment Adviser’s analysis is comprised 

of multiple elements including collateral and 

counterparty risk, structural analysis, quantitative 

analysis, and relative value/market value at risk 

analysis. Evaluation is also applied to collateral, 

historical market data, and proprietary statistical 

models to evaluate specific transactions. This 

analysis is applied against the macroeconomic 

outlook, geopolitical issues as well as 

considerations that more directly affect the 

company’s industry to determine an internally 

assigned credit rating. 

8The Fund will invest only in securities that the 

Investment Adviser deems to be sufficiently liquid. 

While corporate bonds and emerging market debt 

generally must have $200 million or more par 

amount outstanding and significant par value 

traded to be considered as an eligible investment, 

at least 80% of issues of corporate bonds or 

corporate debt held by the Fund must have $200 

million or more par amount outstanding. The 

strategy follows an active quantitative investment 

process that seeks excess returns to the Benchmark. 

The strategy selects securities using a rigorous 

portfolio construction approach to tightly control 

independent risk exposures such as fixed income 

sector weights, sector specific yield curves, credit 

spreads, prepayment risks, and others. Within those 

risk constraints, the strategy utilizes relative value 

estimates to select individual securities that can 

provide risk adjusted outperformance relative to the 

Benchmark. 

9The Fund may invest in MBS or other assetbacked securities issued or guaranteed by private 

issuers. The MBS in which the Fund may invest 

may also include residential mortgage-backed 

securities (‘‘RMBS’’), collateralized mortgage 

obligations (‘‘CMOs’’), and commercial mortgagebacked securities (‘‘CMBS’’). The asset-backed 

securities in which the Fund may invest include 

collateralized debt obligations (‘‘CDOs’’). CDOs 

include collateralized bond obligations (‘‘CBOs’’), 

collateralized loan obligations (‘‘CLOs’’) and other 

similarly structured securities. A CBO is a trust 

which is backed by a diversified pool of high risk, 

below investment grade fixed income securities. A 

CLO is a trust typically collateralized by a pool of 

loans, which may include, among others, domestic 

and foreign senior secured loans, senior unsecured 

loans, and subordinate corporate loans, including 

loans that may be rated below investment grade or 

equivalent unrated loans. 

10A mortgage dollar roll involves the sale of a 

MBS by one of the Funds and its agreement to 

repurchase the instrument (or one which is 

substantially similar) at a specified time and price. 

A TBA transaction is a method of trading MBS. In 

a TBA transaction, the buyer and seller agree upon 

general trade parameters such as agency, settlement 

date, par amount, and price. The actual pools 

delivered generally are determined two days prior 

to the settlement date. 

11The term ‘‘under normal market circumstances’’ 

includes, but is not limited to, the absence of 

extreme volatility or trading halts in the fixed 

income markets or the financial markets generally; 

operational issues causing dissemination of 

inaccurate market information; or force majeure 

type events such as systems failure, natural or manmade disaster, act of God, armed conflict, act of 

terrorism, riot or labor disruption, or any similar 

intervening circumstance. 

12See note 7, supra. 

dealer affiliate regarding access to 

information concerning the composition 

and/or changes to the portfolio. In the 

event (a) the Investment Adviser 

becomes newly affiliated with a brokerdealer, or (b) any new adviser or subadviser becomes affiliated with a brokerdealer, they will implement a fire wall 

with respect to such broker-dealer 

regarding access to information 

concerning the composition and/or 

changes to the portfolio. 

Guggenheim Enhanced Core Bond ETF 

According to the Registration 

Statement, the investment objective of 

the Guggenheim Enhanced Core Bond 

ETF is to seek total return, comprised of 

income and capital appreciation. The 

Fund will use a quantitative strategy to 

seek total returns, comprised of income 

and capital appreciation, and riskadjusted returns in excess of the 

Barclays Capital U.S. Aggregate Bond 

Index (‘‘Benchmark’’) while maintaining 

a low risk profile versus the Benchmark. 

The Fund’s quantitative strategy 

attempts to identify relative mispricing 

among the instruments of a given asset 

class and estimate future returns which 

may arise from the correction of these 

mispricing levels. The quantitative 

portfolio construction process then 

attempts to maximize expected returns 

due to issue-specific mispricing while 

controlling for interest rate and credit 

spread (i.e., differences in yield between 

different debt instruments arising from 

differences in credit risk) risks. The 

average duration of the Fund’s debt 

holdings is expected to be generally 

similar to the average duration of the 

Benchmark components. 

The Fund primarily will invest in 

U.S. dollar-denominated investment 

grade debt securities, rated Baa or 

higher by Moody’s Investors Service, 

Inc. (‘‘Moody’s’’), or equivalently rated 

by Standard & Poor’s Rating Group 

(‘‘S&P’’) or Fitch Investor Services 

(‘‘Fitch’’) or, if unrated, determined by 

the Investment Adviser to be of 

comparable quality.7 The Fund may 

invest, without limitation, in U.S. 

dollar-denominated debt securities of 

foreign issuers. The Fund may also 

invest in debt securities denominated in 

foreign currencies. The Investment 

Adviser may attempt to reduce foreign 

currency exchange rate risk by entering 

into contracts with banks, brokers, or 

dealers to purchase or sell securities or 

foreign currencies at a future date 

(‘‘forward contracts’’). The Fund may 

invest no more than 10% in high yield 

securities (‘‘junk bonds’’), which are debt 

securities that are rated below 

investment grade by nationally 

recognized statistical rating 

organizations, or are unrated securities 

that the Investment Adviser believes are 

of comparable quality. 

The Fund may invest in a wide range 

of fixed income instruments selected 

from, but not limited to, the following 

sectors: U.S. Treasury securities, 

corporate bonds, emerging market debt, 

and non-dollar denominated sovereign 

and corporate debt.8 The Fund may 

invest up to 10% of its assets in 

mortgage-backed securities (‘‘MBS’’) or 

in other asset-backed securities.9 This 

limitation does not apply to securities 

issued or guaranteed by federal agencies 

and/or U.S. government sponsored 

instrumentalities, such as the 

Government National Mortgage 

Administration (‘‘GNMA’’), the Federal 

Housing Administration (‘‘FHA’’), the 

Federal National Mortgage Association 

(‘‘FNMA’’), and the Federal Home Loan 

Mortgage Corporation (‘‘FHLMC’’). 

According to the Registration 

Statement, the Fund may obtain 

exposure to the securities in which it 

normally invests by engaging in various 

investment techniques, including, but 

not limited to, forward purchase 

agreements, mortgage dollar roll, and 

‘‘TBA’’ mortgage trading.10 The Fund 

also may invest directly in exchangetraded funds (‘‘ETFs’’) and other 

investment companies that provide 

exposure to fixed income securities 

similar to those securities in which the 

Fund may invest in directly. 

The Fund will normally invest at least 

80% of its net assets in fixed income 

securities. 

Guggenheim Enhanced Ultra-Short 

Bond ETF 

According to the Registration 

Statement, the investment objective of 

the Guggenheim Enhanced Ultra-Short 

Bond ETF is to seek maximum current 

income, consistent with preservation of 

capital and daily liquidity. The Fund 

uses a low duration strategy to seek to 

outperform the 1–3 month Treasury Bill 

Index in addition to providing returns 

in excess of those available in U.S. 

Treasury bills, government repurchase 

agreements, and money market funds, 

while providing preservation of capital 

and daily liquidity. The Fund is not a 

money market fund and thus does not 

seek to maintain a stable net asset value 

of $1.00 per Share. 

The Fund expects, under normal 

circumstances,11 to hold a diversified 

portfolio of fixed income instruments of 

varying maturities, but that have an 

average duration of less than 1 year. The 

Fund primarily will invest in U.S. 

dollar-denominated investment grade 

debt securities, rated Baa or higher by 

Moody’s, or equivalently rated by S&P 

or Fitch or, if unrated, determined by 

the Investment Adviser to be of 

comparable quality.12 The Fund may 

invest, without limitation, in U.S. 

dollar-denominated debt securities of 

foreign issuers. The Fund may also 

invest in debt securities denominated in 


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Federal Register / Vol. 76, No. 70 / Tuesday, April 12, 2011 / Notices 20403 

13Commercial paper consists of short-term, 

promissory notes issued by banks, corporations and 

other entities to finance short-term credit needs. 

These securities generally are discounted but 

sometimes may be interest bearing. As of year end 

2010, $1.058 trillion commercial paper was 

outstanding, and, as of February 28, 2011, $1.123 

trillion commercial paper was outstanding. The 

daily average commercial paper market issuance in 

2010 was $84.343 billion, with 65% having a 

maturity of 1–4 days, 8% having a maturity of 5– 

9 days, 4% having a maturity of 10–20 days, 11% 

having a maturity of 21–40 days, 4% having a 

maturity of 41–80 days, and 8% having a maturity 

of 81 days or more. As of March 16, 2011, the daily 

average commercial paper market issuance was 

$78.780 billion, with 58% having a maturity of 1– 

4 days, 9% having a maturity of 5–9 days, 5% 

having a maturity of 10–20 days, 12% having a 

maturity of 21–40 days, 5% having a maturity of 

41–80 days, and 11% having a maturity of 81days 

or more. (Source: Federal Reserve). 

14The Fund may invest a substantial portion of 

its assets in short-term instruments such as 

repurchase agreements. Repurchase agreements are 

fixed-income securities in the form of agreements 

backed by collateral. These agreements, which may 

be viewed as a type of secured lending by the Fund, 

typically involve the acquisition by the Fund of 

securities from the selling institution (such as a 

bank or a broker-dealer), coupled with the 

agreement that the selling institution will 

repurchase the underlying securities at a specified 

price and at a fixed time in the future (or on 

demand). The underlying securities which serve as 

collateral for the repurchase agreements entered 

into by the Fund may include U.S. government 

securities, corporate obligations, and convertible 

securities, and are marked-to-market daily in order 

to maintain full collateralization (typically purchase 

price plus accrued interest). 

15The Fund will invest only in securities that the 

Investment Adviser deems to be sufficiently liquid. 

While corporate bonds and emerging market debt 

generally must have $200 million or more par 

amount outstanding and significant par value 

traded to be considered as an eligible investment, 

at least 80% of issues of corporate bonds or 

corporate debt held by the Fund must have $200 

million or more par amount outstanding. 

16The Fund may invest in MBS or other assetbacked securities issued or guaranteed by private 

issuers. The MBS in which the Fund may invest 

may also include RMBS, CMOs and CMBS. The 

asset-backed securities in which the Fund may 

invest include CDOs. 

17 26 U.S.C. 851. As a RIC, each Fund will not be 

subject to U.S. federal income tax on the portion of 

its taxable investment income and capital gains that 

it distributes to its shareholders. To qualify for 

treatment as a RIC, a company must annually 

distribute at least 90% of its net investment 

company taxable income (which includes 

dividends, interest, and net short-term capital 

gains) and meet several other requirements relating 

to the nature of its income and the diversification 

of its assets. If a Fund fails to qualify for any taxable 

year as a RIC, all of its taxable income will be 

subject to tax at regular corporate income tax rates 

without any deduction for distributions to 

shareholders, and such distributions generally will 

be taxable to shareholders as ordinary dividends to 

the extent of a Fund’s current and accumulated 

earnings and profits. In addition, in order to 

requalify for taxation as a RIC, a Fund may be 

required to recognize unrealized gains, pay 

substantial taxes and interest, and make certain 

distributions. 

18 17 CFR 240.10A–3. 

foreign currencies. The Investment 

Adviser may attempt to reduce foreign 

currency exchange rate risk by entering 

into contracts with banks, brokers, or 

dealers to purchase or sell securities or 

forward contracts. The Fund may invest 

no more than 10% in junk bonds. The 

Fund may also invest in municipal 

securities. 

The Fund may invest a substantial 

portion of its assets in short-term 

instruments such as commercial 

paper 13 and/or repurchase 

agreements.14 The Fund may also invest 

in a wide range of fixed income 

instruments selected from, but not 

limited to, the following sectors: U.S. 

Treasury securities, corporate bonds, 

emerging market debt, and non-dollar 

denominated sovereign and corporate 

debt.15 The Fund may invest up to 10% 

of its assets in MBS or in other assetbacked securities.16 This limitation does 

not apply to securities issued or 

guaranteed by federal agencies and/or 

U.S. government sponsored 

instrumentalities, such as the GNMA, 

FHA, FNMA, and FHLMC. 

According to the Registration 

Statement, the Fund may obtain 

exposure to the securities in which it 

normally invests by engaging in various 

investment techniques, including, but 

not limited to, forward purchase 

agreements, mortgage dollar roll, and 

‘‘TBA’’ mortgage trading. The Fund also 

may invest directly in ETFs and other 

investment companies that provide 

exposure to fixed income securities 

similar to those securities in which the 

Fund may invest in directly. 

The Fund will normally invest at least 

80% of its net assets in fixed income 

securities. 

Other Investments 

Each Fund may invest up to an 

aggregate amount of 15% of its net 

assets in: (1) Illiquid securities; and (2) 

Rule 144A securities. Illiquid securities 

include securities subject to contractual 

or other restrictions on resale and other 

instruments that lack readily available 

markets. With respect to investment in 

illiquid securities, if changes in the 

values of a Fund’s securities cause the 

Fund’s holdings of illiquid securities to 

exceed the 15% limitation (as if liquid 

securities have become illiquid), the 

Fund will take such actions as it deems 

appropriate and practicable to attempt 

to reduce its holdings of illiquid 

securities. 

The Funds may invest in Rule 144A 

securities. Rule 144A securities are 

securities which, while privately 

placed, are eligible for purchase and 

resale pursuant to Rule 144A under the 

Securities Act. According to the 

Registration Statement, this rule permits 

certain qualified institutional buyers, 

such as the Funds, to trade in privately 

placed securities even though such 

securities are not registered under the 

Securities Act. 

The Funds’ portfolio holdings will be 

disclosed on their Web site (http:// 

www.guggenheimfunds.com) daily after 

the close of trading on the Exchange and 

prior to the opening of trading on the 

Exchange the following day. 

The Funds are considered nondiversified under the 1940 Act and can 

invest a greater portion of assets in 

securities of individual issuers than a 

diversified fund. The Funds intend to 

maintain the level of diversification 

necessary to qualify as a regulated 

investment company (‘‘RIC’’) under 

Subchapter M of the Internal Revenue 

Code of 1986, as amended.17

The Shares will conform to the initial 

and continued listing criteria under 

NYSE Arca Equities Rule 8.600. The 

Exchange represents that, for initial 

and/or continued listing, the Funds will 

be in compliance with Rule 10A–3 

under the Exchange Act,18 as provided 

by NYSE Arca Equities Rule 5.3. A 

minimum of 100,000 Shares of each 

Fund will be outstanding at the 

commencement of trading on the 

Exchange. The Exchange will obtain a 

representation from the issuer of the 

Shares that the net asset value (‘‘NAV’’) 

will be calculated daily, and the NAV 

and the Disclosed Portfolio will be made 

available to all market participants at 

the same time. 

The Funds will not invest in non-U.S. 

equity securities. In addition, the Funds 

will not invest in options contracts, 

futures contracts, or swap agreements. 

Creations and Redemptions of Shares 

Investors may create or redeem in 

Creation Unit size of 100,000 Shares or 

aggregations thereof (‘‘Creation Unit 

Aggregation’’) through an Authorized 

Participant, as described in the 

Registration Statement. In order to 

purchase Creation Units of a Fund, an 

investor must generally deposit a 

designated portfolio of securities 

(‘‘Deposit Securities’’) and/or an amount 

in cash in lieu of some or all of the 

Deposit Securities per each Creation 

Unit Aggregation constituting a 

substantial replication, or 

representation, of the securities 

included in the Fund’s portfolio as 

selected by the Investment Adviser 

(‘‘Fund Securities’’) and generally make 

a cash payment referred to as the ‘‘Cash 

Component.’’ The list of the names and 

the amounts of the Deposit Securities 

will be made available by the Funds’ 

custodian through the facilities of the 


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20404 Federal Register / Vol. 76, No. 70 / Tuesday, April 12, 2011 / Notices 

19The Bid/Ask Price of the Funds will be 

determined using the highest bid and the lowest 

offer on the Exchange as of the time of calculation 

of each Fund’s NAV. The records relating to Bid/ 

Ask Prices will be retained by the Funds and its 

service providers. 

20Under accounting procedures followed by the 

Funds, trades made on the prior business day (‘‘T’’) 

will be booked and reflected in NAV on the current 

business day (‘‘T+1’’). Accordingly, the Funds will 

be able to disclose at the beginning of the business 

day the portfolio that will form the basis for the 

NAV calculation at the end of the business day. 

21See NYSE Arca Equities Rule 7.12, 

Commentary .04. 

National Securities Clearing Corporation 

(‘‘NSCC’’) immediately prior to the 

opening of business each day of the 

NYSE Arca. The Cash Component 

represents the difference between the 

NAV of a Creation Unit and the market 

value of the Deposit Securities. 

Shares may be redeemed only in 

Creation Unit size at their NAV on a day 

the NYSE Arca is open for business. The 

Funds’ custodian will make available 

immediately prior to the opening of 

business each day of the NYSE Arca, 

through the facilities of NSCC, the list 

of the names and the amounts of the 

Funds’ portfolio securities that will be 

applicable that day to redemption 

requests in proper form (‘‘Fund 

Securities’’). Fund Securities received 

on redemption may not be identical to 

Deposit Securities which are applicable 

to purchases of Creation Units. 

Availability of Information 

The Funds’ Web site, which will be 

publicly available prior to the public 

offering of Shares, will include a form 

of the Prospectus for the Funds that may 

be downloaded. The Funds’ website 

will include additional quantitative 

information updated on a daily basis, 

including, for the Funds, (1) daily 

trading volume, the prior business day’s 

reported closing price, NAV and midpoint of the bid/ask spread at the time 

of calculation of such NAV (‘‘Bid/Ask 

Price’’),19 and a calculation of the 

premium and discount of the Bid/Ask 

Price against the NAV, and (2) data in 

chart format displaying the frequency 

distribution of discounts and premiums 

of the daily Bid/Ask Price against the 

NAV, within appropriate ranges, for 

each of the four previous calendar 

quarters. On each business day, before 

commencement of trading in Shares in 

the Core Trading Session on the 

Exchange, the Funds will disclose on 

their website the Disclosed Portfolio as 

defined in NYSE Arca Equities Rule 

8.600(c)(2) that will form the basis for 

each Fund’s calculation of NAV at the 

end of the business day.20

On a daily basis, the Investment 

Adviser will disclose for each portfolio 

security or other financial instrument of 

the Funds the following information: 

Ticker symbol (if applicable), name of 

security or financial instrument, number 

of shares or dollar value of financial 

instruments held in the portfolio, and 

percentage weighting of the security or 

financial instrument in the portfolio. 

The website information will be 

publicly available at no charge. In 

addition, price information for the debt 

securities held by the Funds will be 

available through major market data 

vendors. 

In addition, a basket composition file, 

which includes the security names and 

share quantities required to be delivered 

in exchange for Fund shares, together 

with estimates and actual cash 

components, will be publicly 

disseminated daily prior to the opening 

of the New York Stock Exchange 

(‘‘NYSE’’) via NSCC. The basket 

represents one Creation Unit of each of 

the Funds. The NAV of each of the 

Funds will normally be determined as 

of the close of the regular trading 

session on the NYSE (ordinarily 4 p.m. 

Eastern Time) on each business day. 

Investors can also obtain the Trust’s 

Statement of Additional Information 

(‘‘SAI’’), the Funds’ Shareholder Reports, 

and Form N–CSR, and Form N–SAR, 

filed twice a year. The Trust’s SAI and 

Shareholder Reports are available free 

upon request from the Trust, and those 

documents and the Form N–CSR and 

Form N–SAR may be viewed on-screen 

or downloaded from the Commission’s 

Web site at http://www.sec.gov. 

Information regarding market price and 

trading volume of the Shares is and will 

be continually available on a real-time 

basis throughout the day on brokers’ 

computer screens and other electronic 

services. Information regarding the 

previous day’s closing price and trading 

volume information will be published 

daily in the financial section of 

newspapers. Quotation and last-sale 

information for the Shares will be 

available via the Consolidated Tape 

Association (‘‘CTA’’) high-speed line. In 

addition, the Portfolio Indicative Value, 

as defined in NYSE Arca Equities Rule 

8.600(c)(3), will be disseminated by one 

or more major market data vendors at 

least every 15 seconds during the Core 

Trading Session. The dissemination of 

the Portfolio Indicative Value, together 

with the Disclosed Portfolio, will allow 

investors to determine the value of the 

underlying portfolio of each Fund on a 

daily basis and to provide a close 

estimate of that value throughout the 

trading day. 

Additional information regarding the 

Trust and the Shares, including 

investment strategies, risks, creation and 

redemption procedures, fees, portfolio 

holdings disclosure policies, 

distributions, and taxes is included in 

the Registration Statement. 

Trading Halts 

With respect to trading halts, the 

Exchange may consider all relevant 

factors in exercising its discretion to 

halt or suspend trading in the Shares of 

the Funds.21 Trading in Shares of the 

Funds will be halted if the circuit 

breaker parameters in NYSE Arca 

Equities Rule 7.12 have been reached. 

Trading also may be halted because of 

market conditions or for reasons that, in 

the view of the Exchange, make trading 

in the Shares inadvisable. These may 

include: (1) The extent to which trading 

is not occurring in the securities and/or 

the financial instruments comprising 

the Disclosed Portfolio of the Funds; or 

(2) whether other unusual conditions or 

circumstances detrimental to the 

maintenance of a fair and orderly 

market are present. Trading in the 

Shares will be subject to NYSE Arca 

Equities Rule 8.600(d)(2)(D), which sets 

forth circumstances under which Shares 

of the Funds may be halted. 

Trading Rules 

The Exchange deems the Shares to be 

equity securities, thus rendering trading 

in the Shares subject to the Exchange’s 

existing rules governing the trading of 

equity securities. Shares will trade on 

the NYSE Arca Marketplace from 4 a.m. 

to 8 p.m. Eastern Time in accordance 

with NYSE Arca Equities Rule 7.34 

(Opening, Core, and Late Trading 

Sessions). The Exchange has 

appropriate rules to facilitate 

transactions in the Shares during all 

trading sessions. As provided in NYSE 

Arca 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. 

Surveillance 

The Exchange intends to utilize its 

existing surveillance procedures 

applicable to derivative products (which 

include Managed Fund Shares) to 

monitor trading in the Shares. 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. 

The Exchange’s current trading 

surveillance focuses on detecting 


srobinson on DSKHWCL6B1PROD with NOTICES
Federal Register / Vol. 76, No. 70 / Tuesday, April 12, 2011 / Notices 20405 

22For a list of the current members of ISG, see 

http://www.isgportal.org. The Exchange notes that 

not all components of the Disclosed Portfolio for the 

Funds may trade on markets that are members of 

ISG or with which the Exchange has in place a 

comprehensive surveillance sharing agreement. 23 15 U.S.C. 78f(b)(5). 

securities trading outside their normal 

patterns. When such situations are 

detected, surveillance analysis follows 

and investigations are opened, where 

appropriate, to review the behavior of 

all relevant parties for all relevant 

trading violations. 

The Exchange may obtain information 

via the Intermarket Surveillance Group 

(‘‘ISG’’) from other exchanges that are 

members of ISG or with which the 

Exchange has entered into a 

surveillance sharing agreement.22

In addition, the Exchange also has a 

general policy prohibiting the 

distribution of material, non-public 

information by its employees. 

Information Bulletin 

Prior to the commencement of 

trading, the Exchange will inform its 

Equity Trading Permit (‘‘ETP’’) Holders 

in an Information Bulletin (‘‘Bulletin’’) 

of the special characteristics and risks 

associated with trading the Shares. 

Specifically, the Bulletin will discuss 

the following: (1) The procedures for 

purchases and redemptions of Shares in 

Creation Unit Aggregations (and that 

Shares are not individually redeemable); 

(2) NYSE Arca 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; (3) the risks involved 

in trading the Shares during the 

Opening and Late Trading Sessions 

when an updated Portfolio Indicative 

Value will not be calculated or publicly 

disseminated; (4) how information 

regarding the Portfolio Indicative Value 

is disseminated; (5) 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 (6) 

trading information. 

In addition, the Bulletin will 

reference that the Funds are subject to 

various fees and expenses described in 

the Registration Statement. The Bulletin 

will discuss any exemptive, no-action, 

and interpretive relief granted by the 

Commission from any rules under the 

Exchange Act. The Bulletin will also 

disclose that the NAV for the Shares 

will be calculated after 4:00 p.m. 

Eastern Time each trading day. 

2. Statutory Basis 

The basis under the Exchange Act for 

this proposed rule change is the 

requirement under Section 6(b)(5) 23

that an exchange have rules that are 

designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to remove impediments to, and 

perfect the mechanism of a free and 

open market and, in general, to protect 

investors and the public interest. The 

Exchange believes that the proposed 

rule change will facilitate the listing and 

trading of an additional type of activelymanaged exchange-traded product that 

will enhance competition among market 

participants, to the benefit of investors 

and the marketplace. The Funds 

primarily will invest in U.S. dollardenominated investment grade debt 

securities, rated Baa or higher by 

Moody’s, or equivalently rated by S&P 

or Fitch or, if unrated, determined by 

the Investment Adviser to be of 

comparable quality. At least 80% of 

issues of corporate bonds or corporate 

debt held by each Fund must have $200 

million or more par amount 

outstanding. The Funds will not invest 

in non-U.S. equity securities. 

In addition, the Funds will not invest 

in options contracts, futures contracts, 

or swap agreements. The Funds’ 

portfolio holdings will be disclosed on 

their website daily after the close of 

trading on the Exchange and prior to the 

opening of trading on the Exchange the 

following day. The Portfolio Indicative 

Value, as defined in NYSE Arca Equities 

Rule 8.600(c)(3), will be disseminated 

by one or more major market data 

vendors at least every 15 seconds during 

the Core Trading Session. Information 

regarding market price and trading 

volume of the Shares is and will be 

continually available on a real-time 

basis throughout the day on brokers’ 

computer screens and other electronic 

services, and quotation and last-sale 

information will be available via the 

CTA high-speed line. Trading in Shares 

of the Funds 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. Trading in the Shares will 

be subject to NYSE Arca Equities Rule 

8.600(d)(2)(D), which sets forth 

circumstances under which Shares of 

the Funds may be halted. The Exchange 

will obtain a representation from the 

issuer of the Shares that the NAV will 

be calculated daily, and the NAV and 

the Disclosed Portfolio will be made 

available to all market participants at 

the same time. 

In addition, the Exchange has in place 

surveillance procedures that are 

adequate to properly monitor trading in 

the Shares. 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. 

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 purposes of the Act. 

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 

shall: 

(A) By order approve or disapprove 

such proposed rule change, or 

(B) Institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an e-mail to rulecomments@sec.gov. Please include File 

Number SR–NYSEArca–2011–11 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. 


srobinson on DSKHWCL6B1PROD with NOTICES
20406 Federal Register / Vol. 76, No. 70 / Tuesday, April 12, 2011 / Notices 

24 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 3 17 CFR 242.611 and 242.610. 

4 15 U.S.C. 78s(b)(1). 

5 15 U.S.C. 78f(b). 

6 15 U.S.C. 78f(b)(5). 

All submissions should refer to File 

Number SR–NYSEArca–2011–11. This 

file number should be included on the 

subject line if e-mail 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 

a.m. and 3 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– 

2011–11 and should be submitted on or 

before May 3, 2011. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.24

Cathy H. Ahn, 

Deputy Secretary. 

[FR Doc. 2011–8725 Filed 4–11–11; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–64200; File No. SR–CBOE– 

2011–036] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Notice of Filing and 

Immediate Effectiveness of a Proposed 

Rule Change to CBSX Rule 52.6 

April 6, 2011. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on April 1, 

2011, the Chicago Board Options 

Exchange, Incorporated (the ‘‘Exchange’’ 

or ‘‘CBOE’’) filed with the Securities and 

Exchange Commission (the 

‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The purpose of the filing is to 

eliminate the ‘‘flash’’ component of 

CBOE Stock Exchange (‘‘CBSX’’) Rule 

52.6 (Processing of Round-lot Orders). 

The text of the proposed rule change is 

available on the Exchange’s Web site 

(http://www.cboe.org/legal), at the 

Exchange’s Office of the Secretary, and 

at the Commission. 

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 

The purpose of the filing is to 

eliminate the ‘‘flash’’ component of 

CBOE Stock Exchange (‘‘CBSX’’) Rule 

52.6 (Processing of Round-lot Orders) 

and to modify other CBSX rules in 

connection with that change. Pursuant 

to Rule 52.6, when a market or 

marketable limit order cannot be 

executed or displayed on CBSX because 

of a better displayed price on another 

exchange (as precluded by the 

Commission Rules 611 (Order 

Protection Rule) and 610 (Access to 

Quotations)),3 CBSX flashes the order to 

CBSX Traders at the NBBO price in an 

effort to execute the order on CBSX 

before it is routed to another exchange. 

CBSX now seeks to eliminate this flash 

functionality. Market and marketable 

limit orders that cannot trade or be 

displayed on CBSX because of a betterpriced quote on another exchange will 

route to such other exchange if so 

instructed. Consistent with this change, 

other CBSX rules are being modified to 

eliminate references to the CBSX flash 

process in Rule 52.6 and the CBSX 

Trade Flash and Cancel Order type is 

being eliminated. 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with the 

Securities Exchange Act of 1934 (the 

‘‘Act’’) 4 and the rules and regulations 

thereunder and, in particular, the 

requirements of Section 6(b) of the Act.5

Specifically, the Exchange believes the 

proposed rule change is consistent with 

the Section 6(b)(5) 6 requirements that 

the rules of an exchange be designed to 

promote just and equitable principles of 

trade, to prevent fraudulent and 

manipulative acts, to remove 

impediments to and to perfect the 

mechanism for a free and open market 

and a national market system, and, in 

general, to protect investors and the 

public interest. Since the flash process 

was an enhanced functionality offered 

by the Exchange not required under the 

Act, the Exchange would like to remove 

references to it from its rules. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

CBOE does not believe that the 

proposed rule change will impose any 

burden on competition not necessary or 

appropriate in furtherance of the 

purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing proposed rule 

change does not: (i) Significantly affect 

the protection of investors or the public 

interest; (ii) impose any significant 

burden on competition; and (iii) become 

operative for 30 days from the date on 

which it was filed, or such shorter time 

as the Commission may designate, if 

consistent with the protection of 

investors and the public interest, it has 

become effective pursuant to Section 


srobinson on DSKHWCL6B1PROD with NOTICES