51442 Federal Register / Vol. 76, No. 160 / Thursday, August 18, 2011 / Notices 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4A 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. 

5The Commission approved NYSE Arca Equities 

Rule 8.600 and the listing and trading of certain 

funds of the PowerShares Actively Managed 

Exchange-Traded Funds Trust on the Exchange 

pursuant to Rule 8.600 in Securities Exchange Act 

Release No. 57619 (April 4, 2008), 73 FR 19544 

(April 10, 2008) (SR–NYSEArca–2008–25). The 

Commission also has approved listing and trading 

on the Exchange of a number of actively managed 

funds under Rule 8.600. See, e.g., 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); 60460 (August 7, 2009), 74 FR 41468 

(August 17, 2009) (SR–NYSEArca–2009–55) (order 

approving listing of Dent Tactical ETF); 63737 

(January 19, 2011), 76 FR 4968 (January 27, 2011) 

(SR–NYSEArca–2010–107) (order approving 

Exchange listing and trading of AdvisorShares 

Active Bear ETF); 63802 (January 31, 2011), 76 FR 

6503 (February 4, 2011) (SR–NYSEArca–2010–118) 

(order approving Exchange listing and trading of 

SiM Dynamic Allocation Diversified Income ETF 

and SiM Dynamic Allocation Growth Income ETF). 

6The Trust is registered under the 1940 Act. On 

January 19, 2011, the Trust filed with the 

Commission Form N–1A under the Securities Act 

of 1933 (15 U.S.C. 77a), and under the 1940 Act 

relating to the Fund (File Nos. 333–157876 and 

811–22110) (‘‘Registration Statement’’). The 

description of the operation of the Trust and the 

Fund herein is based in part on the Registration 

Statement. In addition, the Commission has issued 

an order granting certain exemptive relief to the 

Trust under the1940 Act. See Investment Company 

Act Release No. 29291 (May 28, 2010) (File No. 

812–13677) (‘‘Exemptive Order’’). 

7An investment adviser to an open-end fund is 

required to be registered under the Investment 

Advisers Act of 1940 (the ‘‘Advisers Act’’). As a 

result, the Adviser and Sub-Adviser and their 

related personnel are 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. 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. 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–65126; File No. SR– 

NYSEArca–2011–51] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of Proposed 

Rule Change To List and Trade 

Managed Fund Shares of TrimTabs 

Float Shrink ETF Under NYSE Arca 

Equities Rule 8.600 

August 12, 2011. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’ or ‘‘Exchange Act’’) 2 and Rule 

19b–4 thereunder,3 notice is hereby 

given that, on July 29, 2011, 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 selfregulatory organization. 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 TrimTabs Float Shrink ETF under 

NYSE Arca Equities Rule 8.600. 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 the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to list and 

trade the following Managed Fund 

Shares 4 (‘‘Shares’’) under NYSE Arca 

Equities Rule 8.600: the TrimTabs Float 

Shrink ETF (‘‘Fund’’).5 The Shares will 

be offered by AdvisorShares Trust (the 

‘‘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.6 The investment adviser to 

the Fund is AdvisorShares Investments, 

LLC (the ‘‘Adviser’’). Trim Tabs Asset 

Management, LLC (‘‘TrimTabs’’ or ‘‘SubAdviser’’) is the Fund’s sub-adviser and 

provides day-to-day portfolio 

management of the Fund. Foreside Fund 

Services, LLC (the ‘‘Distributor’’) is the 

principal underwriter and distributor of 

the Fund’s Shares. 

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. 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.7 Commentary .06 to Rule 

8.600 is similar to Commentary .03(a)(i) 

and (iii) to NYSE Arca Equities Rule 

5.2(j)(3); however, Commentary .06 in 

connection with the establishment of a 

‘‘fire wall’’ between the investment 

adviser and the broker-dealer reflects 

the applicable open-end fund’s 

portfolio, not an underlying benchmark 

index, as is the case with index-based 

funds. Neither the Adviser nor the SubAdviser is affiliated with a brokerdealer. In the event (a) the Adviser or 

the Sub-Adviser becomes newly 

affiliated with a broker-dealer, or (b) any 

new adviser or sub-adviser becomes 

affiliated with a broker-dealer, it will 

implement a fire wall with respect to 

such broker-dealer regarding access to 

information concerning the composition 

and/or changes to the portfolio, and will 

be subject to procedures designed to 

prevent the use and dissemination of 

material non-public information 

regarding such portfolio. 

Description of the Fund 

According to the Registration 

Statement, the Fund is an actively 

managed exchange-traded fund that 

seeks to achieve its investment objective 

primarily by investing in the broad U.S. 

equity market, as represented by the 

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Federal Register / Vol. 76, No. 160 / Thursday, August 18, 2011 / Notices 51443 

8The 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. 

9According to the Registration Statement, midsized companies may be more volatile than largecapitalization companies and returns on 

investments in stocks of mid-size companies could 

trail the returns on investments in stocks of larger 

or smaller companies. Stock prices of small 

capitalization companies may be more volatile than 

those of larger companies and therefore the Fund’s 

Share price may be more volatile than those of 

funds that invest a larger percentage of their assets 

in stocks issued by larger-capitalization companies. 

10According to the Registration Statement, the 

Fund may enter into repurchase agreements with 

financial institutions, which may be deemed to be 

loans. The Fund follows certain procedures 

designed to minimize the risks inherent in such 

agreements. These procedures include effecting 

repurchase transactions only with large, wellcapitalized and well-established financial 

institutions whose condition will be continually 

monitored by the Sub-Adviser. The Fund may enter 

into reverse repurchase agreements without limit as 

part of the Fund’s investment strategy. Reverse 

repurchase agreements involve sales by the Fund of 

portfolio assets concurrently with an agreement by 

the Fund to repurchase the same assets at a later 

date at a fixed price. 

11The diversification standard is contained in 

Section 5(b)(1) of the 1940 Act. 

12See Form N–1A, Item 9. The Commission has 

taken the position that a fund is concentrated if it 

invests more than 25% of the value of its total 

assets in any one industry. See, e.g., Investment 

Company Act Release No. 9011 (October 30, 1975), 

40 FR 54241 (November 21, 1975). 

13A fund’s portfolio security is illiquid if it 

cannot be disposed of in the ordinary course of 

business within seven days at approximately the 

value ascribed to it by the ETF. See Investment 

Company Act Release No. 14983 March 12, 1986), 

51 FR 9773 (March 21, 1986) (adopting 

amendments to Rule 2a–7 under the 1940 Act); 

Investment Company Act Release No. 17452 (April 

23, 1990), 55 FR 17933 (April 30, 1990) (adopting 

Rule 144A under the Securities Act of 1933). 

14 26 U.S.C. 851. One of several requirements for 

RIC qualification is that a Fund must receive at least 

Continued 

Russell 3000® Index (‘‘Index’’). The 

Fund seeks to achieve this goal by 

investing in stocks with liquidity and 

fundamental characteristics that are 

historically associated with superior 

long-term performance. The SubAdviser has designed the following 

quantitative stock selection rules to 

make allocation decisions and to protect 

against dramatic over or under 

weighting of individual securities in the 

Fund’s portfolio. 

Decile Ranking of Russell 3000 

Stocks. The Sub-Adviser ranks stocks in 

the Index based on the following 

criteria: 

I. The decrease in their outstanding 

shares over approximately the past 120 

days (‘‘float shrink’’); 

II. The increase in free cash flow (the 

money available to the company that is 

not used to pay for its daily operations) 

over approximately the past 120 days; 

and 

III. The decrease in leverage over 

approximately the past 120 days. 

Leverage is measured as the ratio of total 

liabilities to total assets. The SubAdviser uses the relative decrease in 

leverage rather than amount of leverage 

itself as a criterion because the degree 

of leverage varies across industries. 

The top decile of each respective 

ranking consists of the stocks of the 

companies with (I) the strongest 

reduction in shares outstanding, (II) the 

strongest growth in free cash flow, and 

(III) the largest decrease in leverage, 

respectively. 

Stock Selection Algorithm 

The Sub-Adviser uses an algorithm to 

give a relative weight to the three decile 

rankings, combining them in a single 

ranking (combined ranking). The 

algorithm places a higher weight on the 

float shrink ranking, followed by the 

free cash flow ranking, followed by the 

leverage ranking. The Fund under 

normal circumstances 8 will invest in 80 

to 120 stocks from among the top 10% 

of stocks in the combined ranking. 

According to the Registration 

Statement, the Sub-Adviser’s 

investment process is quantitative. 

Based on extensive historical research, 

the Sub-Adviser designed the following 

stock selection rules, which involve 

rebalancing, weighting, liquidity, and 

trading considerations: 

Liquidity Screening 

Before trading, the Fund will estimate 

the liquidity impact of its suggested 

trades. Specifically, the Fund will avoid 

stocks whose average trading volume 

over the past 30 days would be less than 

50% of the size of the Fund’s proposed 

trades. As a result, the Fund will not 

invest in stocks that meet its investment 

criteria in terms of float shrink, free cash 

flow growth and leverage if their trading 

volume is below such levels. As a result, 

the Fund will not invest in stocks that 

it deems to be illiquid. 

Weighting and Sector Allocation 

Although the Fund initially will 

invest an equal dollar amount in the 

stocks that meet its investment criteria, 

the Fund is not market capitalization 

weighted. As a result, the Fund will 

overweight small-cap stocks and midcap stocks relative to traditional, market 

cap weighted indices.9

The relative weights of the sectors in 

the Fund may vary significantly from 

those of traditional, market cap 

weighted indices. Stocks with favorable 

liquidity characteristics may be 

concentrated in certain sectors. Sector 

concentration might increase the Fund’s 

volatility over the short term. According 

to the Registration Statement, the Fund 

will not correct these sector effects 

because the Sub-Adviser’s research 

shows that historically they are a source 

of long-term outperformance. 

Other Investments 

To respond to adverse market, 

economic, political or other conditions, 

the Fund may invest 100% of its total 

assets, without limitation, in short-term, 

high-quality debt securities and money 

market instruments. The Fund may 

invest in these instruments for extended 

periods, depending on the SubAdviser’s assessment of market 

conditions. These debt securities and 

money market instruments include 

shares of other mutual funds, 

commercial paper, certificates of 

deposit, bankers’ acceptances, U.S. 

Government securities, including U.S. 

Treasury zero-coupon bonds, 

repurchase and reverse repurchase 

agreements 10 and bonds that are BBB or 

higher. 

Diversification. The Fund may not (i) 

with respect to 75% of its total assets, 

purchase securities of any issuer (except 

securities issued or guaranteed by the 

U.S. Government, its agencies or 

instrumentalities or shares of 

investment companies) if, as a result, 

more than 5% of its total assets would 

be invested in the securities of such 

issuer; or (ii) acquire more than 10% of 

the outstanding voting securities of any 

one issuer.11

Concentration. The Fund may not 

invest 25% or more of its total assets in 

the securities of one or more issuers 

conducting their principal business 

activities in the same industry or group 

of industries. This limitation does not 

apply to investments in securities 

issued or guaranteed by the U.S. 

Government, its agencies or 

instrumentalities, or shares of 

investment companies. The Fund will 

not invest 25% or more of its total assets 

in any investment company that so 

concentrates.12

The Fund will not purchase illiquid 

securities.13 In addition, the Fund will 

not invest in non-U.S.-registered equity 

securities, loan participation agreements 

and Rule 144A securities. 

According to the Registration 

Statement, the Fund will seek to qualify 

for treatment as a Regulated Investment 

Company (‘‘RIC’’) under Subchapter M 

of the Internal Revenue Code.14

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51444 Federal Register / Vol. 76, No. 160 / Thursday, August 18, 2011 / Notices 

90% of the Fund’s gross income each year from 

dividends, interest, payments with respect to 

securities loans, gains from the sale or other 

disposition of stock, securities or foreign currencies, 

or other income derived with respect to the Fund’s 

investments in stock, securities, foreign currencies 

and net income from an interest in a qualified 

publicly traded partnership (the ‘‘90% Test’’). A 

second requirement for qualification as a RIC is that 

a Fund must diversify its holdings so that, at the 

end of each fiscal quarter of the Fund’s taxable year: 

(a) At least 50% of the market value of the Fund’s 

total assets is represented by cash and cash items, 

U.S. Government securities, securities of other RICs, 

and other securities, with these other securities 

limited, in respect to any one issuer, to an amount 

not greater than 5% of the value of the Fund’s total 

assets or 10% of the outstanding voting securities 

of such issuer; and (b) not more than 25% of the 

value of its total assets are invested in the securities 

(other than U.S. Government securities or securities 

of other RICs) of any one issuer or two or more 

issuers which the Fund controls and which are 

engaged in the same, similar, or related trades or 

businesses, or the securities of one or more 

qualified publicly traded partnership (the ‘‘Asset 

Test’’). 

15 17 CFR 240.10A–3. 

16The Bid/Ask Price of the Fund will be 

determined using the highest bid and the lowest 

offer on the Exchange as of the time of calculation 

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

Prices will be retained by the Fund and its service 

providers. 

17Under accounting procedures followed by the 

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

will be booked and reflected in NAV on the current 

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

Pursuant to the terms of the 

Exemptive Order, the Fund will not 

invest in options contracts, futures 

contracts or swap agreements. The 

Fund’s investments will be consistent 

with the Fund’s investment objective 

and will not be used to enhance 

leverage. 

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 Fund will 

be in compliance with Rule 10A–3 15

under the Exchange Act, as provided by 

NYSE Arca Equities Rule 5.3. A 

minimum of 100,000 Shares 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’’) per Share will be 

calculated daily and that the NAV and 

the Disclosed Portfolio, as defined in 

NYSE Arca Equities Rule 8.600(c)(2), 

will be made available to all market 

participants at the same time. 

Creation and Redemption of Shares 

The Fund issues and redeems Shares 

on a continuous basis at NAV only in 

a large specified number of Shares 

called a ‘‘Creation Unit.’’ The Shares of 

the Fund that trade on the Exchange are 

‘‘created’’ at their NAV by Authorized 

Participants only in block-size Creation 

Units of at least 25,000 Shares. An 

Authorized Participant enters into an 

agreement (‘‘Participant Agreement’’) 

with the Distributor or uses a Depository 

Trust Company participant who has 

executed a Participant Agreement, and 

deposits into the Fund a portfolio of 

securities closely approximating the 

holdings of the Fund and a specified 

amount of cash, together totaling the 

NAV of the Creation Unit(s), in 

exchange for 25,000 Shares of the Fund 

(or multiples thereof). Shares are not 

redeemable from the Fund except when 

aggregated in Creation Units. The prices 

at which creations and redemptions 

occur are based on the next calculation 

of NAV after an order is received in a 

form prescribed in the Participant 

Agreement. 

Availability of Information 

The Fund’s Web site (http:// 

www.advisorshares.com), which will be 

publicly available prior to the public 

offering of Shares, will include a form 

of the prospectus for the Fund that may 

be downloaded. The Fund’s Web site 

will include additional quantitative 

information updated on a daily basis, 

including, for the Fund, (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 (the ‘‘Bid/ 

Ask Price’’),16 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 Fund will disclose on its 

Web site the Disclosed Portfolio that 

will form the basis for the Fund’s 

calculation of NAV at the end of the 

business day.17

On a daily basis, the Adviser will 

disclose on the Fund’s Web site for each 

portfolio security or other financial 

instrument of the Fund 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 Web 

site information will be publicly 

available at no charge. 

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 the National Securities 

Clearing Corporation. The basket will 

represent one Creation Unit of the Fund. 

The NAV of the Fund 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. 

The Fund will calculate its NAV by: 

(i) Taking the current market value of its 

total assets; (ii) subtracting any 

liabilities; and (iii) dividing that amount 

by the total number of Shares owned by 

shareholders. The Fund will calculate 

NAV once each business day as of the 

regularly scheduled close of normal 

trading on the Exchange (normally, 4 

p.m., Eastern Time). In calculating NAV, 

the Fund generally will value its 

investment portfolio at market price. If 

market prices are unavailable or the 

Fund thinks that they are unreliable, or 

when the value of a security has been 

materially affected by events occurring 

after the relevant market closes, the 

Fund will price those securities at fair 

value as determined in good faith using 

methods approved by the Fund’s Board 

of Trustees. 

Investors can also obtain the Trust’s 

Statement of Additional Information 

(‘‘SAI’’), the Fund’s Shareholder 

Reports, and its 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 for the Shares 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 the 

Exchange at least every 15 seconds 

during the Core Trading Session by one 

or more major market data venders. The 

dissemination of the Portfolio Indicative 

Value, together with the Disclosed 

Portfolio, will allow investors to 

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Federal Register / Vol. 76, No. 160 / Thursday, August 18, 2011 / Notices 51445 

18See NYSE Arca Equities Rule 7.12, 

Commentary .04. 

19For 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 

Fund may trade on markets that are members of ISG 

or with which the Exchange has in place a 

comprehensive surveillance sharing agreement. 20 15 U.S.C. 78f(b)(5). 

determine the value of the underlying 

portfolio of the Fund on a daily basis 

and to provide a close estimate of that 

value throughout the trading day. The 

intra-day, closing and settlement prices 

of the portfolio securities are also 

readily available from the national 

securities exchanges trading such 

securities, automated quotation systems, 

published or other public sources, or 

on-line information services such as 

Bloomberg or Reuters. 

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. All terms 

relating to the Fund that are referred to, 

but not defined in, this proposed rule 

change are defined 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 Fund.18 Trading in Shares of the 

Fund 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 Fund; 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 Fund 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 

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 [sic] a 

comprehensive surveillance sharing 

agreement.19 In addition, the Exchange 

could obtain information from the U.S. 

exchanges on which the securities held 

by the Fund are listed and traded. 

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 Fund is 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 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) 20

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 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 8.600. The Exchange has in place 

surveillance procedures that are 

adequate to properly monitor trading in 

the Shares in all trading sessions and to 

deter and detect violations of Exchange 

rules and applicable Federal securities 

laws. 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 Fund will 

achieve its investment objective 

primarily by investing in the broad U.S. 

equity market as represented by the 

Russell 3000® Index, the components of 

which are listed and traded on U.S. 

exchange markets. The Fund will not 

purchase illiquid securities. In addition, 

the Fund will not invest in non-U.S.- 

registered equity securities, loan 

participation agreements and Rule 144A 

securities. Further, the Fund will not 

invest in options, futures or swaps. The 

Fund’s investments will be consistent 

with the Fund’s investment objective 

mstockstill on DSK4VPTVN1PROD with NOTICES

51446 Federal Register / Vol. 76, No. 160 / Thursday, August 18, 2011 / Notices 

21 17 CFR 200.30–3(a)(12). 

and will not be used to enhance 

leverage. 

The proposed rule change is designed 

to promote just and equitable principles 

of trade and to protect investors and the 

public interest in that the Exchange will 

obtain a representation from the issuer 

of the Shares that the NAV per Share 

will be calculated daily and that the 

NAV and the Disclosed Portfolio will be 

made available to all market 

participants at the same time. In 

addition, a large amount of information 

is publicly available regarding the Fund 

and the Shares, thereby promoting 

market transparency. The Fund’s 

portfolio holdings will be disclosed on 

its Web site daily after the close of 

trading on the Exchange and prior to the 

opening of trading on the Exchange the 

following day. Moreover, the Portfolio 

Indicative Value will be disseminated 

by one or more major market data 

vendors at least every 15 seconds during 

the Exchange’s Core Trading Session. 

On each business day, before 

commencement of trading in Shares in 

the Core Trading Session on the 

Exchange, the Fund will disclose on its 

Web site the Disclosed Portfolio that 

will form the basis for the Fund’s 

calculation of NAV at the end of the 

business day. 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. The Web site for the Fund will 

include a form of the prospectus for the 

Fund and additional data relating to 

NAV and other applicable quantitative 

information. 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. Trading in Shares of 

the Fund 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, and 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 Fund may be halted. In addition, as 

noted above, investors will have ready 

access to information regarding the 

Fund’s holdings, the Portfolio Indicative 

Value, the Disclosed Portfolio, and 

quotation and last sale information for 

the Shares. 

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 activelymanaged 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 Fund’s 

holdings, the Portfolio Indicative Value, 

the Disclosed Portfolio, 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 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 

will: 

(A) by order approve or disapprove 

the proposed rule change, or 

(B) institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

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

rules/sro.shtml); or 

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

Number SR–NYSEArca-2011–51 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–2011–51. 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 Section, 100 F Street, NE., 

Washington, DC 20549–1090, on official 

business days between 10 a.m. and 3 

p.m. Copies of the filing will also be 

available for inspection and copying at 

the NYSE’s principal office and on its 

Internet Web site at http:// 

www.nyse.com. All comments received 

will be posted without change; the 

Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR– 

NYSEArca-2011–51 and should be 

submitted on or before September 8, 

2011. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.21

Elizabeth M. Murphy, 

Secretary. 

[FR Doc. 2011–21029 Filed 8–17–11; 8:45 am] 

BILLING CODE 8011–01–P 

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