9818 Federal Register / Vol. 80, No. 36 / Tuesday, February 24, 2015 / Notices 

58See supra note 55. 

59 Id. 

60 15 U.S.C. 78s(b)(3)(A)(ii). 

61 17 CFR 240.19b–4(f)(2). 

62 17 CFR 200.30–3(a)(12). 

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

Credit identical to that proposed for the 

BATS One Summary Feed. As a result, 

a competing vendor would incur similar 

costs as the Exchange in offering such 

free period and offer a competing 

product on a similar basis as the 

Exchange. 

The Exchange further believes that its 

proposed monthly Data Consolidation 

Fee would be pro-competitive because it 

is identical to a similar fee charged by 

the NYSE for its BQT feed and a vendor 

could create a competing product, 

perform a similar aggregating and 

consolidating function, and similarly 

charge for such service. The Exchange 

notes that a competing vendor might 

engage in a different analysis of 

assessing the cost of a competing 

product. The Exchanges believes that 

the incremental cost to a particular 

vendor for aggregation can be supported 

by the vendor’s revenue opportunity 

and may be inconsequential if such 

vendor already has systems in place to 

perform these functions as part of 

creating its proprietary market data 

products and is able to allocate these 

costs over numerous products and 

customer relationships. For these 

reasons, the Exchange believes the 

proposed pricing, including the New 

External Distributor Fee Credit, would 

enable a vendor to create a competing 

product based on the individual data 

feeds and charge its clients a fee that it 

believes reflects the value of the 

aggregation and consolidation function 

that is competitive with BATS One Feed 

pricing. 

Finally, the Exchange notes that there 

is already actual competition for 

products similar to the BATS One Feed. 

The NYSE offers BQT which provides 

BBO and last sale information for the 

NYSE, NYSE Arca Equities, Inc. and 

NYSE MKT LLC.58 Nasdaq already 

offers Nasdaq Basic, a filed market data 

product, and through its affiliate, offers 

NLS Plus which provides a unified view 

of last sale information similar to the 

BATS One Feed.59 The existence of 

these competing data products 

demonstrates that there is ample, 

existing competition for products such 

as the BATS One Feed and the fees 

associated by such products is 

constrained by competition. 

In establishing the proposed fees, the 

Exchange considered the 

competitiveness of the market for 

proprietary data and all of the 

implications of that competition. The 

Exchange believes that it has considered 

all relevant factors and has not 

considered irrelevant factors in order to 

establish fair, reasonable, and not 

unreasonably discriminatory fees and an 

equitable allocation of fees among all 

users. The existence of alternatives to 

the BATS One Feed, including the 

existing underlying feeds, consolidated 

data, and proprietary data from other 

sources, ensures that the Exchange 

cannot set unreasonable fees, or fees 

that are unreasonably discriminatory, 

when vendors and subscribers can elect 

these alternatives or choose not to 

purchase a specific proprietary data 

product if its cost to purchase is not 

justified by the returns any particular 

vendor or subscriber would achieve 

through the purchase. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

The Exchange has neither solicited 

nor received written comments on the 

proposed rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 

19(b)(3)(A)(ii) of the Act 60 and 

paragraph (f)(2) of Rule 19b–4 

thereunder.61 At any time within 60 

days of the filing of the proposed rule 

change, the Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. 

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 email to rule-comments@

sec.gov. Please include File Number SR– 

EDGA–2015–09 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–EDGA–2015–09. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

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

available for Web site viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE., 

Washington, DC 20549, on official 

business days between the hours of 

10:00 a.m. and 3:00 p.m. Copies of the 

filing also will be available for 

inspection and copying at the principal 

office of EDGA. 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–EDGA– 

2015–09 and should be submitted on or 

before March 17, 2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.62

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–03654 Filed 2–23–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74290; File No. SR– 

NYSEArca–2015–05] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of Proposed 

Rule Change Relating to Listing and 

Trading of Shares of WisdomTree Put 

Write Strategy Fund Under 

Commentary .01 to NYSE Arca Equities 

Rule 5.2(j)(3) 

February 18, 2015. 

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

Securities Exchange Act of 1934 (the 


tkelley on DSK3SPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 36 / Tuesday, February 24, 2015 / Notices 9819 

2 15 U.S.C. 78s(b)(1). 

3 17 CFR 240.19b–4. 

4NYSE Arca Equities Rule 5.2(j)(3)(A) provides 

that an Investment Company Unit is a security that 

represents an interest in a registered investment 

company that holds securities comprising, or 

otherwise based on or representing an interest in, 

an index or portfolio of securities (or holds 

securities in another registered investment 

company that holds securities comprising, or 

otherwise based on or representing an interest in, 

an index or portfolio of securities). 

5See Post-Effective Amendment No. 381 to 

Registration Statement on Form N–1A for the Trust, 

dated December 15, 2014 (File Nos. 333–132380 

and 811–21864). The descriptions of the Fund and 

the Shares contained herein are based on 

information in the Registration Statement. 

6WisdomTree Investments, Inc. (‘‘WisdomTree 

Investments’’) is the parent company of 

WisdomTree Asset Management. 

7The Sub-Adviser is responsible for day-to-day 

management of the Fund and, as such, typically 

makes all decisions with respect to portfolio 

holdings. The Adviser has ongoing oversight 

responsibility. 

8The Commission has issued an order granting 

certain exemptive relief to the Trust under the 

Investment Company Act of 1940 (15 U.S.C. 80a– 

1) (‘‘1940 Act’’). See Investment Company Act 

Release No. 28171 (October 27, 2008) (File No. 812– 

13458) (‘‘Exemptive Order’’). Investments made by 

the Fund will comply with the conditions in the 

Exemptive Order. 

9An 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 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 nonpublic information by an investment adviser must 

be consistent with Rule 204A–1 under the Advisers 

Act. 

10The Adviser and the Index Provider have 

represented that a fire wall exists around the 

respective personnel who have access to 

information concerning changes and adjustments to 

the Index. 

11The Exchange represents that the Adviser and 

Sub-Adviser, and their related personnel, are 

subject to Advisers Act Rule 204A–1. This Rule 

specifically requires the adoption of a code of ethics 

by an investment adviser to include, at a minimum: 

(i) Standards of business conduct that reflect the 

firm’s/personnel fiduciary obligations; (ii) 

provisions requiring supervised persons to comply 

with applicable federal securities laws; (iii) 

provisions that require all access persons to report, 

and the firm to review, their personal securities 

transactions and holdings periodically as 

specifically set forth in Rule 204A–1; (iv) provisions 

requiring supervised persons to report any 

violations of the code of ethics promptly to the 

chief compliance officer (‘‘CCO’’) or, provided the 

CCO also receives reports of all violations, to other 

persons designated in the code of ethics; and (v) 

provisions requiring the investment adviser to 

provide each of the supervised persons with a copy 

of the code of ethics with an acknowledgement by 

said supervised persons. 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. 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that, on February 

3, 2015, 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 and II below, which Items have 

been prepared by the self-regulatory 

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 the Substance 

of the Proposed Rule Change 

The Exchange proposes to list and 

trade the shares of the following fund of 

the WisdomTree Trust under 

Commentary .01 to NYSE Arca Equities 

Rule 5.2(j)(3) (‘‘Investment Company 

Units’’): The WisdomTree Put Write 

Strategy Fund. The text of the proposed 

rule change is available on the 

Exchange’s Web site at www.nyse.com, 

at the principal office of the Exchange, 

and at the Commission’s Public 

Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to list and 

trade shares (‘‘Shares’’) of the 

WisdomTree Put Write Strategy Fund 

(‘‘Fund’’) under Commentary .01 to 

NYSE Arca Equities Rule 5.2(j)(3), 

which governs the listing and trading of 

Investment Company Units on the 

Exchange.4 The Fund will be an indexbased exchange traded fund (‘‘ETF’’). 

The Shares will be offered by the 

WisdomTree Trust (‘‘Trust’’), which was 

established as a Delaware statutory trust 

on December 15, 2005. The Trust is 

registered with the Commission as an 

investment company and has filed a 

registration statement on Form N–1A 

(‘‘Registration Statement’’) with the 

Commission on behalf of the Fund.5

WisdomTree Asset Management, Inc. 

(‘‘WisdomTree Asset Management’’) 

will be the investment adviser 

(‘‘Adviser’’) to the Fund.6 Mellon 

Capital Management will serve as subadviser for the Fund (‘‘Sub-Adviser’’).7

State Street Bank and Trust Company 

will be the administrator, custodian and 

transfer agent for the Trust. Foreside 

Fund Services, LLC will serve as the 

distributor for the Fund (‘‘Distributor’’).8

Description of the Shares and the Fund 

As discussed in more detail below, 

the Fund’s investment objective is to 

seek investment results that, before fees 

and expenses, closely correspond to the 

price and yield performance of the 

CBOE S&P 500 Put Write Index 

(‘‘Index’’). The Index was developed 

and is maintained by the Chicago Board 

Options Exchange, Inc. (‘‘CBOE’’ or the 

‘‘Index Provider’’). None of the Trust, 

the Adviser, the Sub-Adviser, State 

Street Bank and Trust Company, or the 

Distributor is affiliated with the Index 

Provider. 

Commentary .01(b)(1) to Rule 5.2(j)(3) 

provides that, if the applicable index is 

maintained by a fund advisor or a 

broker-dealer, such fund advisor or 

broker-dealer shall erect a ‘‘fire wall’’ 

around the personnel who have access 

to information concerning changes and 

adjustments to the index, and the index 

shall be calculated by a third party who 

is not a broker-dealer or fund advisor.9

The Index Provider is not registered as 

an investment adviser or broker-dealer 

and is not affiliated with any brokerdealers. The Adviser is not registered as, 

or affiliated with, any broker-dealer.10

The Sub-Adviser is affiliated with 

multiple broker-dealers and has 

implemented a ‘‘fire wall’’ with respect 

to such broker-dealers and their 

personnel regarding access to 

information concerning the composition 

and/or changes to the Index.11 In 

addition, Sub-Adviser personnel who 

make decisions regarding the Fund’s 

portfolio are subject to procedures 

designed to prevent the use and 

dissemination of material nonpublic 

information regarding the Fund’s 

portfolio. 

In the event (a) the Adviser or SubAdviser becomes registered as a brokerVerDate Sep<11>2014 17:31 Feb 23, 2015 Jkt 235001 PO 00000 Frm 00132 Fmt 4703 Sfmt 4703 E:\FR\FM\24FEN1.SGM 24FEN1

tkelley on DSK3SPTVN1PROD with NOTICES
9820 Federal Register / Vol. 80, No. 36 / Tuesday, February 24, 2015 / Notices 

12NYSE Arca Equities Rule 5.2(j)(3) provides that 

the term ‘‘US Component Stock’’ shall mean an 

equity security that is registered under Sections 

12(b) or 12(g) of the Act and an American 

Depositary receipt, the underlying equity securities 

of which is registered under Sections 12(b) or 12(g) 

of the Act. 

13The Exchange notes that the S&P 500 Index has 

been previously approved by the Commission 

under Section 19(b)(2) of the Act in connection 

with the listing and trading of index options and 

Portfolio Depositary Receipts, as well as other 

securities. See, e.g., Securities Exchange Act 

Release Nos. 19907 (June 24, 1983), 48 FR 30814 

(July 5, 1983) (approving the listing and trading of 

options on the S&P 500 Index); 31591 (December 

18, 1992), 57 FR 60253 (December 18, 1992) 

(approving the listing and trading of Portfolio 

Depositary Receipts based on the S&P 500 Index). 

NYSE Arca Equities Rule 5.2(j)(3), Commentary 

.01(a)(A)(5) provides that all securities in the 

applicable index or portfolio shall be US 

Component Stocks listed on a national securities 

exchange and shall be NMS Stocks as defined in 

Rule 600 under Regulation NMS of the Act. Each 

component stock of the S&P 500 Index is a US 

Component Stock that is listed on a national 

securities exchange and is an NMS Stock. Options 

are excluded from the definition of NMS Stock. The 

Fund and the Index meet all of the requirements of 

the listing standards for Investment Company Units 

in Rule 5.2(j)(3) and the requirements of 

Commentary .01, except the requirements in 

Commentary .01(a)(A)(1)–(5), as the Index consists 

of options on US Component Stocks. The S&P 500 

Index consists of US Component Stocks and 

satisfies the requirements of Commentary 

.01(a)(A)(1)–(5). 

14The put-write strategy of selling cash-secured 

SPX Puts has the potential to appeal to investors 

who wish to add income and attempt to boost riskadjusted returns, in return for risking underperformance during bull markets. An investor who 

engages in a cash-secured (i.e., collateralized) put 

sales strategy sells (or ‘‘writes’’) a put option 

contract and at the same time deposits the full cash 

amount necessary for a possible purchase of 

underlying shares in the investor’s brokerage 

account. Additional information on the 

methodology used to calculate the Index can be 

found at: http://www.cboe.com/micro/put/

PutWriteMethodology.pdf. 

15The base date for the Index is June 1, 1988 

(‘‘Base Date’’), when the value of the Index was 100. 

The daily historical value for the Index recently was 

extended back to June 30, 1986, on which date the 

Index value was 89.91. Daily historical value of the 

Index is available at www.CBOE.com/PUT and from 

Bloomberg and other price quote vendors. 

16Full Collateralization means that at the 

expiration of the SPX Puts, the total value of the 

Treasury bill investments must be equal to the 

maximum possible loss from final settlement of the 

SPX Puts or the product of the number of SPX Puts 

sold and the at-the-money strike price. 

17The CBOE calculates the VWAP in a two-step 

process: First, the Fund will exclude trades in the 

new call option between 11:30 a.m. and 1:30 p.m. 

ET that are identified as having been executed as 

part of a ‘‘spread’’, and then the Fund will calculate 

the weighted average of all remaining transaction 

prices of the new call option between 11:30 a.m. 

and 1:30 p.m. ET, with weights equal to the fraction 

of total non-spread volume transacted at each price 

during this period. The source of the transaction 

prices used in the calculation of the VWAP will be 

the CBOE’s Market Data Retrieval (‘‘MDR’’) System. 

Time and sales information from CBOE’s MDR 

System is disseminated through the Options Price 

Reporting Authority and is publicly available 

through price quote vendors. 

18 If the third Friday of the month is an exchange 

holiday, the SPX Puts are settled against the SOQ 

on the previous business day and the new SPX Puts 

are selected on that day as well. 19The terms ‘‘under normal circumstances’’ and 

‘‘normal market conditions’’ include, but are 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 man-made disaster, act 

of God, armed conflict, act of terrorism, riot or labor 

disruption or any similar intervening circumstance. 

In response to adverse market, economic, political, 

or other conditions the Fund reserves the right to 

invest in U.S. government securities, other ‘‘money 

market instruments’’ (as defined below), and cash, 

without limitation, as determined by the Adviser or 

Sub-Adviser. In the event the Fund engages in these 

temporary defensive strategies that are inconsistent 

with its investment strategies, the Fund’s ability to 

achieve its investment objectives may be limited. 

dealer or newly affiliated with a brokerdealer, or (b) any new adviser or subadviser is a registered broker-dealer or 

becomes affiliated with a broker-dealer, 

it will implement a fire wall with 

respect to its relevant personnel or 

broker-dealer affiliate 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 nonpublic information regarding such 

portfolio. 

The Exchange is submitting this 

proposed rule change because the Index 

for the Fund does not meet all of the 

‘‘generic’’ listing requirements of 

Commentary .01(a)(A) to NYSE Arca 

Equities Rule 5.2(j)(3), applicable to the 

listing of Investment Company Units 

based upon an index of ‘‘US Component 

Stocks.’’ 12 Specifically, Commentary 

.01(a)(A) to NYSE Arca Equities Rule 

5.2(j)(3) sets forth the requirements to be 

met by components of an index or 

portfolio of US Component Stocks. 

Because, as discussed in more detail 

herein, the Index will consist primarily 

of S&P 500 Index put options (‘‘SPX 

Puts’’), rather than US Component 

Stocks, the Index does not satisfy the 

requirements of Commentary 

.01(a)(A).13

WisdomTree Put Write Strategy Fund 

Index Methodology 

The Fund’s investment objective is to 

seek investment results that, before fees 

and expenses, closely correspond to the 

price and yield performance of the 

Index. The Index tracks the value of a 

passive investment strategy, which 

consists of overlaying ‘‘SPX Puts’’ over 

a money market account, invested in 

one and three-month Treasury bills 

(‘‘PUT Strategy’’).14 The SPX Puts are 

struck at-the-money and are sold on a 

monthly basis, usually the third Friday 

of the month (i.e., the ‘‘Roll Date’’), 

which matches the expiration date of 

the SPX Puts.15 All SPX Puts are 

standardized options traded on the 

Chicago Board Options Exchange. 

At each Roll Date, any settlement loss 

from the expiring SPX Puts is financed 

by the Treasury bill account and a new 

batch of at-the-money SPX Puts is sold. 

The revenue from their sale is added to 

the Treasury bill account. In March 

quarterly cycle months, the three-month 

Treasury bills are deemed to mature, 

and so the total cash available is 

reinvested at the three-month Treasury 

bill rate. In other months, the revenue 

from the sale of SPX Puts is invested 

separately at the one-month Treasury 

bill rate. 

The number of SPX Puts sold is 

chosen to ensure ‘‘Full 

Collateralization’’.16 The strike price of 

the new SPX Puts that are sold is the 

strike price of listed SPX Puts that is 

closest to but not greater than the last 

value of the S&P 500 Index reported 

before 11:00 a.m. Eastern time (‘‘ET’’). 

For example, if the last S&P 500 Index 

value reported before 11:00 a.m. ET is 

1233.10 and the closest listed SPX Put 

strike price below 1233.10 is 1230 then 

1230 strike SPX Puts are sold. 

The SPX Puts are deemed to be sold 

at a price equal to the volume-weighted 

average price (‘‘VWAP’’) of SPX Puts 

with that strike price during the halfhour period beginning at 11:30 a.m. 

ET.17 If no transactions occur at the new 

SPX Put strike price between 11:30 a.m. 

and 12:00 p.m. ET, then the new SPX 

Puts will be deemed sold at the last bid 

price reported before 12:00 p.m. ET. 

At expiration, the SPX Puts are settled 

against a Special Opening Quotation 

(‘‘SOQ’’) of the S&P 500 Index. The SOQ 

is a special calculation of the S&P 500 

Index that is compiled from the opening 

prices of component stocks underlying 

the S&P 500 Index. The SOQ calculation 

is performed when all 500 stocks 

underlying the S&P 500 Index have 

opened for trading, and is usually 

determined before 11:00 a.m. ET.18 The 

final settlement price of the expiring 

SPX Puts is equal to the difference 

between their strike price and the SOQ, 

not to exceed zero. 

The CBOE calculates the Index value 

in real-time every fifteen seconds during 

each trading day excluding roll days. On 

any given date, the Index represents the 

mark-to-market value of the base date 

$100 invested in the Put Strategy. 

Fund’s Investment Methodology 

Under normal circumstances,19 the 

Fund will invest not less than 80% of 


tkelley on DSK3SPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 36 / Tuesday, February 24, 2015 / Notices 9821 

20The Treasury securities in which the Fund may 

invest will include variable rate Treasury securities, 

whose rates are adjusted daily (or at such other 

increment as may later be determined by the 

Department of the Treasury) to correspond with the 

rate paid on one-month or three-month month [sic] 

Treasury securities, as applicable. 

21The number of SPX Puts sold will be chosen 

to ensure Full Collateralization, see note 16, supra. 

22The Fund will calculate the VWAP in the same 

manner as is used by CBOE to calculate the VWAP 

to determine the Index value. See note 17, supra. 

23All money market instruments acquired by the 

Fund will be rated investment grade, except that a 

Fund may invest in unrated money market 

instruments that are deemed by the Adviser or SubAdviser to be of comparable quality to money 

market securities rated investment grade. The term 

‘‘investment grade,’’ for purposes of money market 

instruments only, is intended to mean securities 

rated A1 or A2 by one or more nationally 

recognized statistical rating organizations. 

24An index option gives its holder the right, but 

not the obligation, to buy or sell a basket of stocks, 

at an agreed upon price at or before a certain date. 

An ETF option gives its holder the right, but not 

the obligation, to buy or sell an exchange-traded 

product, such as shares in an ETF, at an agreed 

upon price, at or before a certain date. 

25To the extent practicable, the Fund will invest 

in swaps cleared through the facilities of a 

centralized clearing house. The Fund may also 

invest in money market instruments that may serve 

as collateral for the swap agreements. The Adviser 

or Sub-Adviser will also attempt to mitigate the 

Fund’s respective credit risk by transacting only 

with large, well-capitalized institutions using 

measures designed to determine the 

creditworthiness of the counterparty. The Adviser 

or Sub-Adviser will take various steps to limit 

counterparty credit risk as described in the 

Registration Statement. The Fund will enter into 

over-the-counter non-centrally cleared instruments 

only with financial institutions that meet certain 

credit quality standards and monitoring policies. 

The Fund may also use various techniques to 

minimize credit risk, including early termination or 

reset and payment, using different counterparties, 

and limiting the net amount due from any 

individual counterparty. The Fund generally will 

collateralize over-the-counter non-centrally cleared 

instruments with cash and/or certain securities. 

Such collateral will generally be held for the benefit 

of the counterparty in a segregated tri-party account 

at the custodian to protect the counterparty against 

non-payment by the Fund. In the event of a default 

by the counterparty, and the Fund is owed money 

in the over-the-counter non-centrally cleared 

instruments transaction, the Fund will seek 

withdrawal of the collateral from the segregated 

account and may incur certain costs exercising its 

right with respect to the collateral. 

26The Fund will limit its direct investments in 

futures and options on futures to the extent 

necessary for the Adviser to claim the exclusion 

from regulation as a ‘‘commodity pool operator’’ 

with respect to the Fund under Rule 4.5 

promulgated by the Commodity Futures Trading 

Commission (‘‘CFTC’’), as such rule may be 

amended from time to time. Under Rule 4.5 as 

currently in effect, the Fund would limit its trading 

activity in futures and options on futures (excluding 

activity for ‘‘bona fide hedging purposes,’’ as 

defined by the CFTC) such that it will meet one of 

the following tests: (i) Aggregate initial margin and 

premiums required to establish its futures and 

options on futures positions will not exceed 5% of 

the liquidation value of the Fund’s portfolio, after 

taking into account unrealized profits and losses on 

such positions; or (ii) aggregate net notional value 

of its futures and options on futures positions will 

not exceed 100% of the liquidation value of the 

Fund’s portfolio, after taking into account 

unrealized profits and losses on such positions. The 

exchange-listed futures contracts in which the Fund 

may invest will be listed on exchanges in the U.S. 

Each of the exchange-listed futures contracts in 

which the Fund may invest will be listed on 

exchanges that are members of the Intermarket 

Surveillance Group (‘‘ISG’’). 

27For example, the Fund may invest in total 

return swaps that create positions equivalent to 

investments in SPX Puts and U.S. Treasury 

securities. In a total return swap the underlying 

asset to the swap agreement is typically an equity 

index, loans or bonds. The Fund’s investments in 

total return swap agreements will be backed by 

investments in U.S. government securities in an 

amount equal to the exposure of such contracts. 

28The Fund may invest in shares of both taxable 

and tax-exempted money market funds. When used 

herein, ETPs may include, without limitation, 

Investment Company Units (as described in NYSE 

Arca Equities Rule 5.2(j)(3)); Index-Linked 

Securities (as described in NYSE Arca Equities Rule 

5.2.(j)(6)); Portfolio Depositary Receipts (as 

described in NYSE Arca Equities Rule 8.100); TrustIssued Receipts (as described in NYSE Arca 

Equities Rule 8.200); Commodity-Based Trust 

Shares (as described in NYSE Arca Equities Rule 

Continued 

its assets in SPX Puts and short-term 

U.S. Treasury securities.20 The Fund’s 

investment strategy will be designed to 

sell a sequence of one-month, at-themoney, SPX Puts and invest cash at one 

and three-month Treasury bill rates. The 

number of SPX Puts sold will vary from 

month to month, but will be limited to 

permit the amount held in the Fund’s 

investment in Treasury bills to finance 

the maximum possible loss from final 

settlement of the SPX Puts.21

The SPX Puts will be struck at-themoney and will be sold on a monthly 

basis on the Roll Date, (i.e., the same 

Roll Date at [sic] that used by the Index), 

which matches the expiration date of 

the SPX Put options. At each Roll Date, 

any settlement loss from the expiring 

SPX Puts will be financed by the Fund’s 

Treasury bill investments and a new 

batch of at-the-money SPX Puts will be 

sold. The revenue from their sale will be 

added to the Treasury bill account. In 

March quarterly cycle months, the 

three-month Treasury bills will be 

deemed to mature, and so the total cash 

available will be reinvested at the threemonth Treasury bill rate. In other 

months, the revenue from the sale of 

puts will be invested separately at the 

one-month Treasury bill rate. 

The strike price of the new SPX Puts 

that are sold will be the strike price of 

listed SPX Puts that is closest to but not 

greater than the last value of the S&P 

500 Index reported before 11:00 a.m. ET. 

For example, if the last S&P 500 Index 

value reported before 11:00 a.m. ET is 

1233.10 and the closest listed SPX Put 

strike price below 1233.10 is 1230 then 

1230 strike SPX Puts will be sold. 

The SPX Puts will be deemed to be 

sold at a price equal to the VWAP of 

SPX Puts with that strike during the 

half-hour period beginning at 11:30 a.m. 

ET.22 If no transactions occur at the new 

put strike price between 11:30 a.m. and 

12:00 p.m. ET, then the new put options 

will be deemed sold at the last bid price 

reported before 12:00 p.m. ET. 

At expiration, the SPX Puts will be 

settled against a SOQ of the S&P 500 

Index. The Fund will calculate the SOQ 

in the same manner as is used by CBOE 

to determine the Index value. 

Secondary Investment Strategies 

The Fund may invest its remaining 

assets in short-term, high quality 

securities issued or guaranteed by the 

U.S. government (in addition to U.S. 

Treasury securities) and non-U.S. 

governments, and each of their agencies 

and instrumentalities; U.S. government 

sponsored enterprises; repurchase 

agreements backed by U.S. government 

and non-U.S. government securities; 

money market mutual funds; and 

deposit and other obligations of U.S. 

and non-U.S. banks and financial 

institutions (‘‘money market 

instruments’’) 23 and derivative 

instruments or other investments, as 

described below. The Fund may invest 

up to 20% of its net assets (in the 

aggregate) in one or more of the 

following investments not included in 

the Index, but which the Adviser or 

Sub-Adviser believes will help the Fund 

to track the Index. For example, there 

may be instances in which the Adviser 

or Sub-Adviser may choose to purchase 

or sell financial instruments not in the 

Index which the Adviser or Sub-Adviser 

believes are appropriate to substitute for 

one or more Index components in 

seeking to replicate, before fees and 

expenses, the performance of the Index. 

To effect this investment strategy, the 

Fund may invest in S&P 500 ETF put 

options,24 total return swaps on the 

Index,25 S&P 500 Index futures 

(including E-mini S&P 500 Futures), or 

options on S&P 500 Index futures,26

whose collective performance is 

intended to correspond to the Index.27

The Fund, may invest up to 10% of its 

assets in over-the-counter S&P 500 

Index put options (‘‘OTC S&P 500 Index 

put options’’). The foregoing 

investments shall include buying the 

applicable derivative instrument or 

selling the applicable derivative 

instrument (i.e., writing the applicable 

put option) and investing the proceeds. 

The Fund may invest up to 20% of its 

assets in other exchange traded products 

(‘‘ETPs’’), such as other ETFs, as well as 

in non-exchange-traded registered openend investment companies (i.e., mutual 

funds).28


tkelley on DSK3SPTVN1PROD with NOTICES
9822 Federal Register / Vol. 80, No. 36 / Tuesday, February 24, 2015 / Notices 

8.201); Currency Trust Shares (as described in 

NYSE Arca Equities Rule 8.202); Commodity Index 

Trust Shares (as described in NYSE Arca Equities 

Rule 8.203); Trust Units (as described in NYSE Arca 

Equities Rule 8.500); Managed Fund Shares (as 

described in NYSE Arca Equities Rule 8.600), and 

closed-end funds. The ETPs in which the Fund may 

invest all will be listed and traded on U.S. 

registered exchanges. The Fund may invest in the 

securities of ETPs registered under the 1940 Act 

consistent with the requirements of Section 12(d)(1) 

of the 1940 Act or any rule, regulation or order of 

the Commission or interpretation thereof. The Fund 

will only make such investments in conformity 

with the requirements of Section 817 of the Internal 

Revenue Code of 1986. The ETPs in which the Fund 

may invest will primarily be index-based ETFs that 

hold substantially all of their assets in securities 

representing a specific index. The Fund will not 

invest in leveraged (e.g., 2X, –2X, 3X, or –3X) ETPs. 

29The Fund’s Sub-Adviser is responsible for 

complying with the Fund’s restrictions on investing 

in illiquid assets. In doing that, the Sub-Adviser 

makes ongoing determinations about the liquidity 

of Rule 144A securities that the Fund may invest 

in. In reaching liquidity decisions, the Sub-Adviser 

may consider the following factors: The frequency 

of trades and quotes for the security; the number of 

dealers wishing to purchase or sell the security and 

the number of other potential purchasers; dealer 

undertakings to make a market in the security; and 

the nature of the security and the nature of the 

marketplace in which it trades (e.g., the time 

needed to dispose of the security, the method of 

soliciting offers and the mechanics of transfer). 

30The Commission has stated that long-standing 

Commission guidelines have required open-end 

funds to hold no more than 15% of their net assets 

in illiquid securities and other illiquid assets. See 

Investment Company Act Release No. 28193 (March 

11, 2008), 73 FR 14618 (March 18, 2008), footnote 

34. See also, Investment Company Act Release No. 

5847 (October 21, 1969), 35 FR 19989 (December 

31, 1970) (Statement Regarding ‘‘Restricted 

Securities’’); Investment Company Act Release No. 

18612 (March 12, 1992), 57 FR 9828 (March 20, 

1992) (Revisions of Guidelines to Form N–1A). A 

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 fund. 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 (15 U.S.C. 77a). 

31The Fund will include appropriate risk 

disclosure in its offering documents, including 

leveraging risk. Leveraging risk is the risk that 

certain transactions of a fund, including a fund’s 

use of derivatives, may give rise to leverage, causing 

a fund to be more volatile than if it had not been 

leveraged. To mitigate leveraging risk, the Adviser 

will segregate or earmark liquid assets or otherwise 

cover the transactions that give rise to such risk. See 

15 U.S.C. 80a–18; Investment Company Act Release 

No. 10666 (April 18, 1979), 44 FR 25128 (April 27, 

1979); Dreyfus Strategic Investing, Commission NoAction Letter (June 22, 1987); Merrill Lynch Asset 

Management, L.P., Commission No-Action Letter 

(July 2, 1996). 

32 26 U.S.C. 851. 

33The Fund may enter into repurchase 

agreements with counterparties that are deemed to 

present acceptable credit risks, and may enter into 

reverse repurchase agreements, which involve the 

sale of securities held by the Fund subject to its 

agreement to repurchase the securities at an agreed 

upon date or upon demand and at a price reflecting 

a market rate of interest. 

34See 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). 

35The NAV of the Fund’s Shares generally will 

be calculated once daily Monday through Friday as 

of the close of regular trading on the New York 

Stock Exchange (NYSE’’), generally 4:00 p.m. ET 

(the ‘‘NAV Calculation Time’’). NAV per Share will 

be calculated by dividing the Fund’s net assets by 

the number of Fund Shares outstanding. 

The Fund may invest in securities 

(other than U.S. Treasury securities, 

described above) that have variable or 

floating interest rates which are 

readjusted on set dates (such as the last 

day of the month or calendar quarter) in 

the case of variable rates or whenever a 

specified interest rate change occurs in 

the case of a floating rate instrument. 

Variable or floating interest rates 

generally reduce changes in the market 

price of securities from their original 

purchase price because, upon 

readjustment, such rates approximate 

market rates. Accordingly, as interest 

rates decrease or increase, the potential 

for capital appreciation or depreciation 

is less for variable or floating rate 

securities than for fixed rate obligations. 

Investment Restrictions 

The Fund may hold up to an aggregate 

of 15% of its net assets in illiquid assets 

(calculated at the time of investment), 

including Rule 144A securities deemed 

illiquid by the Adviser or SubAdviser.29 The Fund will monitor its 

portfolio liquidity on an ongoing basis 

to determine whether, in light of current 

circumstances, an adequate level of 

liquidity is being maintained, and will 

consider taking appropriate steps in 

order to maintain adequate liquidity if 

through a change in values, net assets, 

or other circumstances, more than 15% 

of the Fund’s net assets are held in 

illiquid assets. Illiquid assets include 

securities subject to contractual or other 

restrictions on resale and other 

instruments that lack readily available 

markets as determined in accordance 

with Commission staff guidance.30

The Fund will not invest in any nonU.S. equity securities. The Fund’s 

investments will be consistent with the 

Fund’s investment objective and will 

not be used to enhance leverage.31

In order to reduce interest rate risk, 

the Fund will generally maintain a 

weighted average portfolio maturity of 

180 days or less on average (not to 

exceed 18 months) and will not 

purchase any money market instrument 

with a remaining maturity of more than 

397 calendar days. The ‘‘average 

portfolio maturity’’ of a Fund is the 

average of all current maturities of the 

individual securities in the Fund’s 

portfolio. The Fund’s actual portfolio 

duration may be longer or shorter 

depending on market conditions. 

The Fund intends to qualify each year 

as a regulated investment company (a 

‘‘RIC’’) under Subchapter M of the 

Internal Revenue Code of 1986, as 

amended.32 The Fund will invest its 

respective assets, and otherwise conduct 

its operations, in a manner that is 

intended to satisfy the qualifying 

income, diversification and distribution 

requirements necessary to establish and 

maintain RIC qualification under 

Subchapter M. In addition to satisfying 

the above referenced RIC diversification 

requirements, no portfolio security held 

by the Fund (other than U.S. 

government securities) will represent 

more than 30% of the weight of the 

Fund’s portfolio and the five highest 

weighted portfolio securities of the 

Fund (other than U.S. government 

securities) will not in the aggregate 

account for more than 65% of the 

weight of the Fund’s portfolio. For these 

purposes, the Fund may treat 

repurchase agreements collateralized by 

U.S. government securities as U.S. 

government securities.33

The Fund will not concentrate 25% or 

more of the value of its total assets 

(taken at market value at the time of 

each investment) in any one industry, as 

that term is used in the 1940 Act (except 

that this restriction does not apply to 

obligations issued by the U.S. 

government or their respective agencies 

and instrumentalities or governmentsponsored enterprises).34

Creation and Redemption of Shares 

According to the Registration 

Statement, the Fund will issue and 

redeem Shares on a continuous basis at 

net asset value (‘‘NAV’’),35 only in large 

blocks of Shares (‘‘Creation Units’’), in 

transactions with Authorized 

Participants. Creation Units generally 

will consist of 100,000 Shares, though 

this may change from time to time. 

Creation Units are not expected to 

consist of less than 50,000 Shares. 

The consideration for purchase of a 

Creation Unit of the Fund generally will 

consist of either (i) the in-kind deposit 

of a designated portfolio of securities 

(the ‘‘Deposit Securities’’) per Creation 

Unit and the ‘‘Cash Component’’ 

(defined below), computed as described 

below or (ii) the cash value of the 

Deposit Securities (‘‘Deposit Cash’’) and 

the ‘‘Cash Component,’’ computed as 

described below. Because non-exchange 

traded derivatives and certain listed 

derivatives are not currently eligible for 

in-kind transfer, they will be substituted 

with an amount of cash of equal value 

(i.e., Deposit Cash) when the Fund 

processes purchases of Creation Units 


tkelley on DSK3SPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 36 / Tuesday, February 24, 2015 / Notices 9823 

36The Adviser represents that, to the extent the 

Trust effects the redemption of Shares in cash, such 

transactions will be effected in the same manner for 

all Authorized Participants. 

in-kind. Specifically, the Fund will not 

accept exchange-traded or over-thecounter options, exchange traded 

futures (or options on futures), and total 

return swaps as Deposit Securities. 

When accepting purchases of Creation 

Units for cash, the Fund may incur 

additional costs associated with the 

acquisition of Deposit Securities that 

would otherwise be provided by an inkind purchase. Together, the Deposit 

Securities or Deposit Cash, as 

applicable, and the Cash Component 

constitute the ‘‘Fund Deposit,’’ which 

represents the minimum initial and 

subsequent investment amount for a 

Creation Unit of the Fund. The Cash 

Component is an amount equal to the 

difference between the NAV of the 

Shares (per Creation Unit) and the 

market value of the Deposit Securities or 

Deposit Cash, as applicable. The Cash 

Component serves the function of 

compensating for any difference 

between the NAV per Creation Unit and 

the market value of the Deposit 

Securities or Deposit Cash, as 

applicable. 

A portfolio composition file, to be 

sent via the National Securities Clearing 

Corporation (‘‘NSCC’’), will be made 

available on each business day, prior to 

the opening of business on the Exchange 

(currently 9:30 a.m. ET) containing a list 

of the names and the required amount 

of each security in the Deposit 

Securities to be included in the current 

Fund Deposit for the Fund (based on 

information about the Fund’s portfolio 

at the end of the previous business day). 

In addition, on each business day, the 

estimated Cash Component, effective 

through and including the previous 

business day, will be made available 

through NSCC. 

The Fund Deposit will be applicable 

for purchases of Creation Units of the 

Fund until such time as the nextannounced Fund Deposit is made 

available. In addition, the composition 

of the Deposit Securities may change as, 

among other things, corporate actions 

and investment decisions by the 

Adviser are implemented for the Fund’s 

portfolio. 

All purchase orders must be placed by 

an ‘‘Authorized Participant.’’ An 

Authorized Participant must be either a 

broker-dealer or other participant in the 

Continuous Net Settlement System 

(‘‘Clearing Process’’) of the NSCC or a 

participant in The Depository Trust 

Company (‘‘DTC’’) with access to the 

DTC system, and must execute an 

agreement with the Distributor that 

governs transactions in the Fund’s 

Creation Units. In-kind portions of 

purchase orders will be processed 

though the Clearing Process when it is 

available. 

Shares of the Fund may be redeemed 

only in Creation Units at their NAV next 

determined after receipt of a redemption 

request in proper form by the Fund 

through the Distributor and only on a 

business day. The Fund, trough the 

NSCC, will make available immediately 

prior to the opening of business on each 

business day, the list of the names and 

quantities of the Fund’s portfolio 

securities that will be applicable 

(subject to possible amendment or 

correction) to redemption requests 

received in proper form on that day 

(‘‘Fund Securities’’). Redemption 

proceeds for a Creation Unit will be 

paid either in-kind or in cash or a 

combination thereof, as determined by 

the Trust. With respect to in-kind 

redemptions of the Fund, redemption 

proceeds for a Creation Unit will consist 

of Fund Securities plus cash in an 

amount equal to the difference between 

the NAV of the Shares being redeemed, 

as next determined after a receipt of a 

request in proper form, and the value of 

the Fund Securities (the ‘‘Cash 

Redemption Amount’’). In the event that 

the Fund Securities have a value greater 

than the NAV of the Shares, a 

compensating cash payment equal to the 

differential will be required to be made 

by or through an Authorized Participant 

by the redeeming shareholder. 

Notwithstanding the foregoing, at the 

Trust’s discretion, an Authorized 

Participant may receive the 

corresponding cash value of the 

securities in lieu of the in-kind 

securities representing one or more 

Fund Securities.36 Because nonexchange traded derivatives and certain 

listed derivatives are not eligible for inkind transfer, they will be substituted 

with an amount of cash of equal value 

when the Fund processes redemptions 

of Creation Units in-kind. Specifically, 

the Fund will transfer the corresponding 

cash value of exchange-traded options, 

exchange-traded futures, exchangetraded options on futures contracts, and 

total return swap agreements in lieu of 

in-kind securities. 

The right of redemption may be 

suspended or the date of payment 

postponed: (i) For any period during 

which the NYSE is closed (other than 

customary weekend and holiday 

closings); (ii) for any period during 

which trading on the NYSE is 

suspended or restricted; (iii) for any 

period during which an emergency 

exists as a result of which disposal of 

the Shares or determination of the 

Fund’s NAV is not reasonably 

practicable; or (iv) in such other 

circumstances as permitted by the 

Commission. 

For an order involving a Creation Unit 

to be effectuated at the Fund’s NAV on 

a particular day, it must be received by 

the Distributor by or before the deadline 

for such order (‘‘Order Cut-Off Time’’). 

The Order Cut-Off Time for creation and 

redemption orders for the Fund will be 

4:00 p.m. ET. Order for creations or 

redemptions of Creation Units for cash 

generally must be submitted by 4:00 

p.m. ET. A standard creation or 

redemption transaction fee (as 

applicable) will be imposed to offset 

transfer and other transaction costs that 

may be incurred by the Fund. 

According to the Registration 

Statement, the Fund Securities received 

on a redemption will generally 

correspond pro rata, to the extent 

practicable, to the securities in the 

Fund’s portfolio. Fund Securities 

received on redemption may not be 

identical to Deposit Securities that are 

applicable to creations of Creation 

Units. 

Net Asset Value 

According to the Registration 

Statement, the Fund will calculate its 

NAV at the close of the regular trading 

session of each business day (normally 

4:00 p.m. ET) using the values of the 

Fund’s portfolio securities. 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 

amount of Shares outstanding. 

In valuing its securities, the Fund will 

use market quotes or official closing 

prices if they are readily available. In 

cases where quotes are not readily 

available, the Fund may value securities 

based on fair values developed using 

methods approved by the Fund’s Board 

of Trustees (‘‘Board’’), as discussed 

below. When valuing fixed income 

securities with remaining maturities of 

60 days or less, the Fund may use the 

security’s amortized cost, which 

approximates the security’s market 

value. 

According to the Adviser, fixed 

income securities, including without 

limitation, U.S. government securities 

and other money market instruments 

that are fixed income securities, will 

generally be valued based on the 

midpoint of bid-ask prices received 

from independent pricing services as of 

the announced closing time for trading 

in fixed-income instruments in the 

market in which they trade. In 


tkelley on DSK3SPTVN1PROD with NOTICES
9824 Federal Register / Vol. 80, No. 36 / Tuesday, February 24, 2015 / Notices 

37The Trust’s Board has established a Pricing 

Committee that is composed of personnel of the 

Adviser. The Pricing Committee is responsible for 

the valuation and revaluation of any portfolio 

investments for which market quotations are not 

readily available. The Pricing Committee has 

implemented procedures designed to prevent the 

use and dissemination of material, non-public 

information regarding valuation and revaluation of 

any portfolio investment. 

38The Bid/Ask Price of the Fund will be 

determined using the midpoint of 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. 

39The Core Trading Session is 9:30 a.m. to 4:00 

p.m. ET. 

determining the value of a fixed-income 

investment, pricing services determine 

valuations for normal institutional-size 

trading units of such securities using 

valuation models or matrix pricing, 

which incorporates yield and/or price 

with respect to bonds that are 

considered comparable in 

characteristics such as rating, interest 

rate and maturity date and quotations 

from securities dealers to determined 

current value. 

Exchange traded assets (including 

without limitation, SPX Puts, listed 

futures contracts and options on futures, 

options on ETFs, and ETPs) will be 

valued at the last reported sale price or 

the official closing price on that 

exchange where the security or other 

instrument is primarily traded on the 

day that the valuation is made. Mutual 

funds will be valued daily at their 

respective NAVs. Money market funds 

are typically priced once each business 

day and their prices are available 

through the applicable fund’s Web site 

or from major market vendors. 

With respect to derivative 

instruments, if, however, neither the last 

sales price nor the official closing price 

is available, each of these derivative 

instruments will be valued based on the 

midpoint of bid-ask prices. 

Non-exchange-traded derivatives, 

including total return swaps and OTC 

S&P 500 Index put options will 

normally be valued on the basis of 

quotes obtained from brokers and 

dealers or pricing services using data 

reflecting the closing of the principal 

markets for those assets. Prices from 

independent pricing services will also 

include prices based on valuation 

models or matrix pricing to determine 

current value. Prices obtained from 

independent pricing sources typically 

use information provided by market 

makers or bond dealers or estimates of 

market values obtained by reference to 

yield data relating to investments or 

securities with similar characteristics, 

including rating, interest rate, maturity 

date, option adjusted spread models, 

prepayment projections, interest rate 

spreads and yield surveys. Matrix 

pricing is an estimated price or value for 

a fixed income security. Matrix pricing 

is considered a form of fair value 

pricing, discussed below. In the event 

that current market valuations are not 

readily available or such valuations do 

not reflect current market value, the 

Trust’s procedures require the Trust’s 

Pricing Committee to determine an 

asset’s fair value if a market price is not 

readily available in accordance with the 

1940 Act.37 In determining such value, 

the Trust’s Pricing Committee may 

consider, among other things, (i) price 

comparisons among multiple sources, 

(ii) a review of corporate actions and 

news events, and (iii) a review of 

relevant financial indicators (e.g., 

movement in interest rates and market 

indices). In these cases the Fund’s NAV 

may reflect certain portfolio assets’ fair 

values rather than their market prices. 

Fair value pricing involves subjective 

judgments and it is possible that the fair 

value determination for a security is 

materially different than the value that 

could be realized upon the sale of the 

security. 

Availability of Information 

The Trust’s Web site 

(www.wisdomtree.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 Web site will 

include additional quantitative 

information updated on a daily basis, 

including, for the Fund: (1) The prior 

business day’s reported NAV, mid-point 

of the bid/ask spread at the time of 

calculation of such NAV (the ‘‘Bid/Ask 

Price’’),38 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 39 on the 

Exchange, the Trust will disclose on its 

Web site the following information 

regarding each portfolio holding, as 

applicable to the type of holding: Ticker 

symbol, CUSIP number or other 

identifier, if any; a description of the 

holding (including the type of holding, 

such as the type of swap); the identity 

of the security, commodity, index or 

other asset or instrument underlying the 

holding, if any; for options, the option 

strike price; quantity held (as measured 

by, for example, par value, notional 

value or number of shares, contracts or 

units); maturity date, if any; coupon 

rate, if any; market value of the holding; 

and the percentage weighting of the 

holding in the Fund’s portfolio. The 

Web site information will be publicly 

available at no charge. 

In addition, a portfolio composition 

file, which will include the security 

names and quantities of securities and 

other assets required to be delivered in 

exchange for the Fund’s Shares, together 

with estimates and actual cash 

components, will be publicly 

disseminated prior to the opening of the 

Exchange via the NSCC. The portfolio 

will represent one Creation Unit of the 

Fund. Authorized Participants may refer 

to the portfolio composition file for 

information regarding SPX Puts, shortterm U.S. Treasury Securities, money 

market instruments, and any other 

instrument that may comprise the 

Fund’s portfolio on a given day. 

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 will be 

available free upon request from the 

Trust, and those documents and the 

Form N–CSR may be viewed on screen 

or downloaded from the Commission’s 

Web site at www.sec.gov. Information 

regarding market price and trading 

volume for the Shares 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 and 

any ETPs it [sic] which it invests will be 

available via the Consolidated Tape 

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

Quotation and last sale information for 

U.S. exchange-listed options contracts 

cleared by The Options Clearing 

Corporation will be available via the 

Options Price Reporting Authority. The 

intra-day, closing and settlement prices 

of exchange-traded portfolio assets, 

including investment companies, 

futures and options will be readily 

available from the securities exchanges 

and futures exchanges trading such 

securities and futures, as the case may 

be, automated quotation systems, 

published or other public sources, or 

online information services such as 

Bloomberg or Reuters. Such price 

information on fixed income portfolio 


tkelley on DSK3SPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 36 / Tuesday, February 24, 2015 / Notices 9825 

40Currently, it is the Exchange’s understanding 

that several major market data vendors display and/ 

or make widely available IIV’s taken from the CTA 

or other data feeds. 41See 17 CFR 240.10A–3. 

42FINRA surveils trading on the Exchange 

pursuant to a regulatory services agreement. The 

Exchange is responsible for FINRA’s performance 

under this regulatory services agreement. 

securities, including money market 

instruments, and other Fund assets 

traded in the over-the-counter markets, 

including bonds and money market 

instruments is available from major 

broker-dealer firms or market data 

vendors, as well as from automated 

quotation systems, published or other 

public sources, or online information 

services. In addition, the value of the 

Index will be published by one or more 

major market data vendors every 15 

seconds during the NYSE Arca Core 

Trading Session of 9:30 a.m. ET to 4:00 

p.m. ET. Information about the Index 

constituents, the weighting of the 

constituents, the Index’s methodology 

and the Index’s rules will be available 

at no charge on the Index Provider’s 

Web site at www.CBOE.com. 

In addition, the Intraday Indicative 

Value (‘‘IIV’’) as defined in NYSE Arca 

Equities Rule 5.2(j)(3), Commentary 

.01(c) will be widely disseminated at 

least every 15 seconds during the Core 

Trading Session by one or more major 

market vendors.40 All Fund holdings 

will be included in calculating the IIV. 

The dissemination of the IIV is 

intended to allow investors to determine 

the value of the underlying portfolio of 

the Fund on a daily basis and to 

approximate that value throughout the 

trading day. The intra-day, closing and 

settlement prices of the portfolio 

securities and other Fund investments, 

including futures and exchange-traded 

equities, ETPs and exchange-traded 

options, will also be readily available 

from the exchanges trading such 

instruments, automated quotation 

systems, published or other public 

sources, and, with respect to swap 

transactions, from third party pricing 

sources, or on-line information services 

such as Bloomberg or Reuters. The intraday, closing and settlement prices of 

debt securities and money market 

instruments will be readily available 

from published and other public sources 

or on-line information services. Price 

information regarding investment 

company securities, including ETFs, 

will be available from on-line 

information services and from the Web 

site for the applicable investment 

company security. 

Additional information regarding the 

Trust and the Shares, including 

investment strategies, risks, creation and 

redemption procedures, fees, portfolio 

holdings disclosures 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. 

Initial and Continued Listing 

The Shares will be conform to the 

initial and continued listing criteria 

under NYSE Arca Equities Rules 

5.2(j)(3) and 5.5(g)(2), except that the 

Index will not meet the requirements of 

NYSE Arca Equities Rule 5.2(j)(3), 

Commentary .01(a)(A)(1–5) in that the 

Index will consist of options based on 

US Component Stocks (i.e., SPX Puts), 

rather than US Component Stocks. The 

Index will include a minimum of 20 

components and therefore, would meet 

the numerical requirements of NYSE 

Arca Equities Rule 5.2(j)(3), 

Commentary .01(a)(A)(4) (a minimum of 

13 index or portfolio components). The 

Exchange represents that, for initial 

and/or continued listing, the Fund will 

be in compliance with Rule 10A–3 41

under the Act, as provided by NYSE 

Arca Equities Rule 5.3. A minimum of 

100,000 Shares for the 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 NAV per 

Share will be calculated daily and that 

the NAV and will be made available to 

all market participants at the same time. 

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 

a Fund. Shares of each Fund will be 

halted if the ‘‘circuit breaker’’ 

parameters in NYSE Arca Equities Rule 

7.12 are reached. Trading may be halted 

because of market conditions or for 

reasons that, in the view of the 

Exchange, make trading in the Shares 

inadvisable. These may include: (1) The 

extent to which trading is not occurring 

in the securities and/or the financial 

instruments of the Fund; or (2) whether 

other unusual conditions or 

circumstances detrimental to the 

maintenance of a fair and orderly 

market are present. 

If the IIV, Index value or the value of 

the Index components is not being 

disseminated as required, the Exchange 

may halt trading during the day in 

which the disruption occurs; if the 

interruption persists past the day in 

which it occurred, the Exchange will 

halt trading no later than the beginning 

of the trading day following the 

interruption. The Exchange will obtain 

a representation from the Fund that the 

NAV for the Fund will be calculated 

daily and will be made available to all 

market participants at the same time. 

Under NYSE Arca Equities Rule 

7.34(a)(5), if the Exchange becomes 

aware that the NAV for the Fund is not 

being disseminated to all market 

participants at the same time, it will halt 

trading in the Shares until such time as 

the NAV is available to all market 

participants. 

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. ET 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 represents that the 

trading in the Shares will be subject to 

the existing trading surveillances, 

administered by the Financial Industry 

Regulatory Authority (‘‘FINRA’’) on 

behalf of the Exchange, which are 

designed to detect violations of 

Exchange rules and applicable federal 

securities laws.42 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 federal 

securities laws applicable to trading on 

the Exchange. 

The surveillances referred to above 

generally focus on detecting securities 

trading outside their normal patterns, 

which could be indicative of 

manipulative or other violative activity. 

When such situations are detected, 

surveillance analysis follows and 

investigations are opened, where 

appropriate, to review the behavior of 

all relevant parties for all relevant 

trading violations. 

FINRA, on behalf of the Exchange, 

will communicate as needed regarding 

trading in the Shares, exchange-listed 


tkelley on DSK3SPTVN1PROD with NOTICES
9826 Federal Register / Vol. 80, No. 36 / Tuesday, February 24, 2015 / Notices 

43For a list of the current members of ISG, see 

www.isgportal.org. The Exchange notes that not all 

of the components of the portfolio for the Fund may 

trade on exchanges that are members of the ISG or 

with which the Exchange has in place a 

comprehensive surveillance sharing agreement. 44 15 U.S.C. 78f(b)(5). 

equity securities, futures contracts, and 

exchange-traded options contracts with 

other markets and other entities that are 

members of the ISG, and FINRA, on 

behalf of the Exchange, may obtain 

trading information regarding trading in 

the Shares, exchange-listed equity 

securities, futures contracts and 

exchange-traded options contracts from 

such markets and other entities. In 

addition, the Exchange may obtain 

information regarding trading in the 

Shares, exchange-listed equity 

securities, futures contracts and 

exchange-traded options contracts from 

markets and other entities that are 

members of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement.43 All 

exchange-listed equity securities, 

futures contracts (and options on 

futures) and listed options held by the 

Fund will be traded on U.S. exchanges, 

all of which are members of ISG or are 

exchanges with which the Exchange has 

in place a comprehensive surveillance 

sharing agreement. In addition, FINRA, 

on behalf of the Exchange, is able to 

access, as needed, trade information for 

certain fixed income securities held by 

the Fund reported to FINRA’s Trade 

Reporting and Compliance Engine 

(‘‘TRACE’’). 

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 

of Shares in the Fund, the Exchange will 

inform its 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 IIV or Index value will 

not be calculated or publicly 

disseminated; (4) how information 

regarding the IIV and Index value will 

be 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 

Act. The Bulletin will also disclose that 

the NAV for the Shares will be 

calculated after 4:00 p.m. ET each 

trading day. 

2. Statutory Basis 

The basis under the Act for this 

proposed rule change is the requirement 

under Section 6(b)(5) 44 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 on the Exchange pursuant to 

the initial and continued listing criteria 

in NYSE Arca Equities Rule 5.2(j)(3), 

Commentary .01, except that the Index 

will consist of SPX Puts, which are 

based on an index of US Component 

Stocks, rather than US Component 

Stocks themselves. The Shares will be 

subject to the existing trading 

surveillances, administered by FINRA 

on behalf of the Exchange, which are 

designed to deter and detect violations 

of Exchange rules and applicable federal 

securities laws relating to trading on the 

Exchange. FINRA and the Exchange, as 

applicable, may each obtain information 

via ISG from other exchanges that are 

members of ISG, and in the case of the 

Exchange, from other market or entities 

with which the Exchange has entered 

into a comprehensive surveillance 

sharing agreement. 

The Index Provider is not registered 

as an investment adviser or brokerdealer and is not affiliated with any 

broker-dealers. The Adviser is not 

registered as, or affiliated with, any 

broker-dealer. The Sub-Adviser is 

affiliated with multiple broker-dealers 

and has implemented a ‘‘fire wall’’ with 

respect to such broker-dealers and their 

personnel regarding access to 

information concerning the composition 

and/or changes to the Index. In 

addition, Sub-Adviser personnel who 

make decisions regarding the Fund’s 

portfolio are subject to procedures 

designed to prevent the use and 

dissemination of material nonpublic 

information regarding the Fund’s 

portfolio. The Adviser and the Index 

Provider have represented that a fire 

wall exists around the respective 

personnel who have access to 

information concerning changes and 

adjustments to the Index. All exchangelisted equity securities, ETPs, options 

and futures contracts held by the Fund 

will be traded on U.S. exchanges, all of 

which are members of ISG or are 

exchanges with which the Exchange has 

in place a comprehensive surveillance 

sharing agreement. 

Under normal market conditions, not 

less than 80% of the Fund’s total assets 

will be comprised of SPX Puts and 

short-term U.S. Treasury securities, 

although the Fund may also invest in 

other U.S. government and money 

market instruments and in derivative 

instruments such as listed futures 

contracts and options on futures, each 

on the S&P 500 Index (including E-mini 

S&P 500 Futures), S&P 500 ETF put 

options and total return swap 

agreements on the Index, designed to 

create a position in put options and 

short-term U.S. Treasury securities. The 

Fund may invest up to 10% of its net 

assets in OTC S&P 500 Index put 

options. The Fund’s investments in 

listed futures contracts and total return 

swap agreements will be backed by 

investments in U.S. government 

securities in an amount equal to the 

exposure of such contracts. The Fund 

may hold up to an aggregate amount of 

15% of its net assets in illiquid assets 

(calculated at the time of investment), 

including Rule 144A securities deemed 

illiquid by the Adviser or Sub-Adviser, 

consistent with Commission guidance. 

The Fund therefore will not use 

derivative instruments to enhance 

leverage. The Fund will not invest in 

non-U.S. equity securities. 

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 every day the 

NYSE is open, and that the NAV will be 

made available to all market 

participants at the same time. In 

addition, a large amount of publicly 

available information will be publicly 

available regarding the Fund and the 

Shares, thereby promoting market 

transparency. 

Moreover, the IIV will be widely 

disseminated by one or more major 

market data vendors at least every 15 


tkelley on DSK3SPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 36 / Tuesday, February 24, 2015 / Notices 9827 

seconds during the Exchange’s Core 

Trading Session. On each business day, 

before commencement of trading in the 

Shares in the Core Trading Session on 

the Exchange, the Fund will disclose on 

its Web site the 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 will be 

continually available on a real-time 

basis throughout the day on brokers’ 

computer screens and other electronic 

services, and quotations and last sale 

information will be available via the 

CTA high-speed line. Information 

relating to U.S. exchange-listed options 

is available via the Options Price 

Reporting Authority. Quotation and last 

sale information for the Shares and any 

ETPs it which it invests will be 

available via the CTA high-speed line. 

Quotation and last sale information for 

U.S. exchange-listed options contracts 

cleared by The Options Clearing 

Corporation will be available via the 

Options Price Reporting Authority. The 

intra-day, closing and settlement prices 

of exchange-traded portfolio assets, 

including investment companies, 

futures and options will be readily 

available from the securities exchanges 

and futures exchange trading such 

securities and futures, as the case may 

be, automated quotation systems, 

published or other public sources, or 

online information services such as 

Bloomberg or Reuters. Such price 

information on fixed income portfolio 

securities, including money market 

instruments, and other Fund assets 

traded in the over-the-counter markets, 

including bonds and money market 

instruments is available from major 

broker-dealer firms or market data 

vendors, as well as from automated 

quotation systems, published or other 

public sources, or online information 

services. The Web site for the Fund will 

include the prospectus for the Fund and 

additional data relating to NAV and 

other applicable quantitative 

information. Moreover, prior to 

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 the Shares 

inadvisable. In addition, as noted above, 

investors will have ready access to 

information regarding the Fund’s 

holdings, the IIV, the Fund’s 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 exchange-traded 

product that will enhance competition 

among market participants, to the 

benefit of investors and the marketplace. 

As noted above, the Shares will be 

subject to the existing trading 

surveillances, administered by FINRA 

on behalf of the Exchange, which are 

designed to detect violations of 

Exchange rules and federal securities 

laws applicable to trading on the 

Exchange. FINRA, on behalf of the 

Exchange, will communicate as needed 

regarding trading in the Shares, 

exchange-traded equity securities, ETPs, 

futures contract and exchange-traded 

options contracts with other market and 

other entities that are members of ISG, 

and FINRA, on behalf of the Exchange, 

may obtain trading information in the 

Shares, exchange-traded equity 

securities, ETPs, futures contracts and 

exchange-traded options contracts from 

such markets and other entities. In 

addition, the Exchange may obtain 

information regarding trading in the 

Shares, exchange-traded equity 

securities, ETPs, futures contracts and 

exchange-traded options contracts from 

markets and other entities that are 

members of ISG or with which the 

Exchange has in place a comprehensive 

surveillance sharing agreement. In 

addition, as noted above, investors will 

have ready access to information 

regarding the Fund’s holdings, the IIV, 

and quotation and last sale information 

for the Shares. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purpose of the Act. The Exchange 

notes that the proposed rule change will 

facilitate the listing and trading of an 

additional type of Investment Company 

Unit that will enhance competition 

among market participants, to the 

benefit of investors and the marketplace. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate 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 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 Email to rule-comments@

sec.gov. Please include File Number SR– 

NYSEArca–2015–05 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSEArca–2015–05. This 

file number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

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

available for Web site viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE., 

Washington, DC 20549, on official 

business days between the hours of 

10:00 a.m. and 3:00 p.m. Copies of the 

filing also will be available for 


tkelley on DSK3SPTVN1PROD with NOTICES
9828 Federal Register / Vol. 80, No. 36 / Tuesday, February 24, 2015 / Notices 

45 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78s(b)(3)(A)(ii). 

4 17 CFR 240.19b–4(f)(2). 

5The proposed definition of ‘‘Distributor’’ is 

similar to Nasdaq Rule 7047(d)(1). 

6The proposed definition of ‘‘Internal 

Distributor’’ is similar to Nasdaq Rule 

7047(d)(1)(A). 

7The proposed definition of ‘‘External 

Distributor’’ is similar to Nasdaq Rule 7047(d)(1)(B). 

8The proposed definition of ‘‘Professional User’’ 

is similar to Nasdaq Rule 7047(d)(3)(A). 

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 Number SR– 

NYSEArca–2015–05 and should be 

submitted on or before March 17, 2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.45

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–03661 Filed 2–23–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74285; File No. SR–BATS– 

2015–11] 

Self-Regulatory Organizations; BATS 

Exchange, Inc.; Notice of Filing and 

Immediate Effectiveness of a Proposed 

Rule Change To Establish Fees for the 

BATS One Feed, and Amend Fees for 

BZX Top and BZX Last Sale 

February 18, 2015. 

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 February 

3, 2015, BATS Exchange, Inc. (‘‘BATS’’ 

or the ‘‘Exchange’’) 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 Exchange has 

designated the proposed rule change as 

one establishing or changing a member 

due, fee, or other charge imposed by the 

Exchange under Section 19(b)(3)(A)(ii) 

of the Act 3 and Rule 19b–4(f)(2) 

thereunder,4 which renders the 

proposed rule change effective upon 

filing with the Commission. 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 filed a proposal to 

amend its fee schedule to establish fees 

for the BATS One Feed, amend fees for 

BZX Top and BZX Last Sale, add 

definitions for terms that apply to 

market data fees, and make certain 

technical, non-substantive changes. 

The text of the proposed rule change 

is available at the Exchange’s Web site 

at http://www.batstrading.com/, at the 

principal office of the Exchange, and at 

the Commission’s Public Reference 

Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange 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 amend its 

fee schedule to establish fees for the 

BATS One Feed, amend fees for BZX 

Top and BZX Last Sale, add definitions 

for terms that apply to market data fees, 

and make certain technical, nonsubstantive changes. 

Technical, Non-Substantive Changes 

The Exchange proposes the following 

technical, non-substantive amendments 

to its fee schedule regarding its existing 

market data fees. The Exchange 

proposes to rename the section entitled 

‘‘BZX Exchange PITCH Feed’’ as the 

‘‘BZX Depth’’, ‘‘BZX Exchange Top 

Feed’’ as ‘‘BZX Top’’, ‘‘BZX Exchange 

Last Sale Feed’’ as ‘‘BZX Last Sale’’, 

‘‘BZX Exchange Historical TOP’’ as 

‘‘BZX Historical Top’’, and ‘‘Historical 

PITCH’’ as ‘‘Historical Depth.’’ The 

Exchange does not propose to amend 

the content of these market data 

products; nor does the Exchange 

propose to amend the fees for these 

products, other than for BZX Top and 

BZX Last Sale as described below. 

Definitions Applicable to Market Data 

Fees 

The Exchange proposes to include in 

its fee schedule the following defined 

terms that relate to the Exchange’s 

market data fees. The proposed 

definitions are designed to provide 

greater transparency with regard to how 

the Exchange assesses fees for market 

data. The Exchange notes that none of 

the proposed definitions are designed to 

amend any fee, nor alter the manner in 

which it assesses fees. 

First, the Exchange proposes to define 

a ‘‘Distributor’’ as ‘‘any entity that 

receives an Exchange Market Data 

product directly from the Exchange or 

indirectly through another entity and 

then distributes it internally or 

externally to a third party.’’ 5 In turn, an 

Internal Distributor and External 

Distributor will be separately defined. 

An Internal Distributor will be defined 

as a ‘‘Distributor that receives the 

Exchange Market Data product and then 

distributes that data to one or more 

Users within the Distributor’s own 

entity.’’ 6 An External Distributor will be 

defined as a ‘‘Distributor that receives 

the Exchange Market Data product and 

then distributes that data to a third party 

or one or more Users outside the 

Distributor’s own entity.’’ 7

Secondly, the Exchange proposes to 

add a definition of ‘‘User’’ to its fee 

schedule. A User will be defined as a 

‘‘natural person, a proprietorship, 

corporation, partnership, or entity, or 

device (computer or other automated 

service), that is entitled to receive 

Exchange data.’’ For purposes of its 

market data fees, the Exchange will 

distinguish between ‘‘Non-Professional 

Users’’ and ‘‘Professional Users.’’ 

Specifically, a Non-Professional User 

will be defined as ‘‘a natural person 

who is not: (i) Registered or qualified in 

any capacity with the Commission, the 

Commodity Futures Trading 

Commission, any state securities 

agency, any securities exchange or 

association; any commodities or futures 

contract market or association; (ii) 

engaged as an ‘‘investment adviser’’ as 

that term is defined in Section 201(11) 

of the Investment Advisers Act of 1940 

(whether or not registered or qualified 

under that Act); or (iii) employed by a 

bank or other organization exempt from 

registration under federal or state 

securities laws to perform functions that 

will require registration or qualification 

if such functions were performed for an 

organization not so exempt.’’ 8 A 

Professional User will be defined as 


tkelley on DSK3SPTVN1PROD with NOTICES