[Federal Register Volume 80, Number 38 (Thursday, February 26, 2015)]
[Notices]
[Pages 10556-10562]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-03961]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-74338; File No. SR-NYSEArca-2014-143]


Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting 
Approval of Proposed Rule Change Relating to the Listing and Trading of 
Shares of the SPDR[supreg] DoubleLine Total Return Tactical ETF Under 
NYSE Arca Equities Rule 8.600

February 20, 2015.

I. Introduction

    On December 30, 2014, NYSE Arca, Inc. (``Exchange'' or ``NYSE 
Arca'') filed with the Securities and Exchange Commission 
(``Commission''), pursuant to Section 19(b)(1) of the Securities 
Exchange Act of 1934 (``Act'' or ``Exchange Act'') \1\ and Rule 19b-4 
thereunder,\2\ a proposed rule change to list and trade shares 
(``Shares'') of the SPDR[supreg] DoubleLine Total Return Tactical ETF 
(``Fund'') under NYSE Arca Equities Rule 8.600. The proposed rule 
change was published for comment in the Federal Register on January 6, 
2015.\3\ The Commission received no comments on the proposal. This 
order grants approval of the proposed rule change.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 73958 (Dec. 30, 
2014), 80 FR 572 (``Notice'').
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II. Description of the Proposal

A. In General

    NYSE Arca proposes to list and trade Shares of the Fund under NYSE 
Arca Equities Rule 8.600, which governs the listing and trading of 
Managed Fund Shares on the Exchange. The Shares will be offered by SSgA 
Active ETF Trust (``Trust''), which is organized as a Massachusetts 
business trust and is registered with the Commission as an open-end 
management investment company.\4\ SSgA Funds Management, Inc. will 
serve as the investment adviser to the Fund (``Adviser''), and 
DoubleLine Capital L.P. will be the Fund's sub-adviser (``Sub-
Adviser'').\5\ State Street Global Markets, LLC will serve as the 
principal underwriter and distributor of the Fund's Shares. State 
Street Bank and Trust Company will serve as the administrator, 
custodian, and transfer agent for the Fund.
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    \4\ The Trust is registered under the Investment Company Act of 
1940 (``1940 Act''). The Exchange represents that, on May 30, 2014, 
the Trust filed an amendment to its registration statement on Form 
N-1A under the Securities Act of 1933 (``Securities Act'') and under 
the 1940 Act relating to the Fund (File Nos. 333-173276 and 811-
22542) (``Registration Statement''). In addition, the Exchange 
represents that the Trust has obtained from the Commission certain 
exemptive relief under the 1940 Act. See Investment Company Act 
Release No. 29524 (Dec. 13, 2010) (File No. 812-13487).
    \5\ The Exchange represents that the Adviser and Sub-Adviser are 
not registered as broker-dealers. The Exchange further represents 
that, while the Sub-Adviser is not affiliated with a broker-dealer, 
the Adviser is affiliated with a broker-dealer and that the Adviser 
has implemented a ``fire wall'' with respect to its broker-dealer 
affiliate regarding access to information concerning the composition 
of or changes to the Fund's portfolio. In addition, in the event (a) 
the Adviser or Sub-Adviser becomes registered as a broker-dealer or 
newly affiliated with a broker-dealer, or (b) any new adviser or 
sub-adviser is a registered broker-dealer or becomes affiliated with 
a broker-dealer, the Adviser or Sub-Adviser or any new adviser or 
sub-adviser, as the case may be, will implement a fire wall with 
respect to its relevant personnel or broker-dealer affiliate, as 
applicable, regarding access to information concerning the 
composition of or changes to the portfolio and will be subject to 
procedures designed to prevent the use and dissemination of material 
non-public information regarding the portfolio.
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B. The Exchange's Description of the Fund

    The Exchange has made the following representations and statements 
in describing the Fund and its investment strategy, including the 
Fund's portfolio holdings and investment restrictions.\6\
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    \6\ The Commission notes that additional information regarding 
the Fund, the Trust, and the Shares, including investment 
strategies, risks, creation and redemption procedures, fees, 
portfolio holdings disclosure policies, calculation of net asset 
value (``NAV''), distributions, and taxes, among other things, can 
be found in the Notice and the Registration Statement, as 
applicable. See Notice and Registration Statement, supra notes 3 and 
4, respectively.
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1. Principal Investments of the Fund
    The investment objective of the Fund will be to maximize total 
return. Under normal circumstances,\7\ the Fund will invest all of its 
assets in the SSgA DoubleLine Total Return Tactical Portfolio 
(``Portfolio''), a separate series of the SSgA Master Trust with an 
identical investment objective as the Fund. As a result, the Fund will 
invest indirectly in all of the securities and assets owned by the 
Portfolio.\8\
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    \7\ With respect to the Fund, the term ``under normal 
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 man-made disaster, 
act of God, armed conflict, act of terrorism, riot or labor 
disruption, or any similar intervening circumstance.
    \8\ According to the Exchange, the Fund is intended to be 
managed in a ``master-feeder'' structure, under which the Fund 
invests substantially all of its assets in a corresponding Portfolio 
(i.e., a ``master fund''), which is a separate mutual fund 
registered under the 1940 Act that has an identical investment 
objective. As a result, the Fund (i.e., a ``feeder fund'') has an 
indirect interest in all of the securities and assets owned by the 
Portfolio. Because of this indirect interest, the Fund's investment 
returns should be the same as those of the Portfolio, adjusted for 
the expenses of the Fund. In extraordinary instances, the Fund 
reserves the right to make direct investments in securities and 
other assets. The Adviser and Sub-Adviser will manage the 
investments of the Portfolio. Under the master-feeder arrangement, 
and pursuant to the Investment Advisory Agreement between the 
Adviser and the Trust, investment advisory fees charged at the 
Portfolio level are deducted from the advisory fees charged at the 
Fund level. This arrangement avoids a ``layering'' of fees, i.e., 
the Fund's total annual operating expenses would be no higher as a 
result of investing in a master-feeder arrangement than they would 
be if the Fund pursued its investment objective directly. In 
addition, the Fund may discontinue investing through the master-
feeder arrangement and pursue its investment objective directly if 
the Fund's Board of Trustees (``Board'') determines that doing so 
would be in the best interests of shareholders.
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    Under normal circumstances, the Portfolio will invest at least 80% 
of its net assets in a diversified portfolio of fixed income securities 
of any credit quality. Fixed income securities in which the Portfolio 
principally will invest include the following: Securities issued or 
guaranteed by the U.S. government or its agencies, instrumentalities or 
sponsored corporations; inflation protected public obligations of the 
U.S. Treasury (commonly known as ``TIPS''); agency and non-agency 
residential mortgage-backed securities (``RMBS''); agency and non-
agency commercial mortgage-backed securities (``CMBS''); agency and 
non-agency asset-backed securities (``ABS''); \9\ domestic corporate 
bonds; fixed income securities issued by foreign corporations and 
foreign governments including emerging markets; bank loans (primarily 
senior loans, including loan participations or assignments whose loan 
syndication exceeds $300 million); municipal bonds; and other 
securities (such as perpetual bonds) bearing fixed interest rates of 
any maturity.
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    \9\ According to the Exchange, the term asset-backed securities 
is used by the Fund to describe securities backed by installment 
contracts, credit-card receivables, or other assets, but does not 
include either residential or commercial mortgage-backed securities. 
Both asset-backed and commercial mortgage-backed securities 
represent interests in ``pools'' of assets in which payments of both 
interest and principal on the securities are made on a regular 
basis. Asset-backed securities also include institutionally traded 
senior floating rate debt obligations issued by asset-backed pools 
and other issues, and interests therein.

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[[Page 10557]]

    According to the Exchange, the Portfolio intends to invest at least 
20% of its net assets in mortgage-backed securities of any maturity or 
type guaranteed by, or secured by collateral that is guaranteed by, the 
U.S. government, its agencies, instrumentalities or sponsored 
corporations, or in privately issued mortgage-backed securities rated 
at the time of investment Aa3 or higher by Moody's Investor Service, 
Inc. (``Moody's'') or AA- or higher by Standard & Poor's Rating Service 
(``S&P'') or the equivalent by any other nationally recognized 
statistical rating organization (``NRSRO'') or in unrated securities 
that are determined by the Adviser to be of comparable quality.\10\
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    \10\ The Exchange represents that investments in non-agency 
RMBS, CMBS, and ABS (including CLOs, as defined herein) in the 
aggregate will not exceed 20% of the net assets of the Portfolio. 
See infra note 18 and accompanying text (describing CLOs).
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    The Portfolio may invest in corporate bonds,\11\ which may be 
investment grade or below investment grade. The Portfolio may also 
invest in sovereign debt,\12\ which may be either investment grade or 
below investment grade. The Portfolio may invest up to 25% of its net 
assets in corporate high yield securities (commonly known as ``junk 
bonds''). Under normal circumstances, the combined total of corporate, 
sovereign, non-agency, and all other debt rated below investment grade 
will not exceed 40% of the Fund's net assets. The Exchange represents 
that the Sub-Adviser will strive to allocate below investment grade 
securities broadly by industry and issuer in an attempt to reduce the 
impact of negative events on an industry or issuer. Below investment 
grade securities are instruments that are rated BB+ or lower by S&P or 
Fitch Inc. or Ba1 or lower by Moody's or, if unrated by a NRSRO, of 
comparable quality in the opinion of the Sub-Adviser.
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    \11\ The investment return of corporate bonds reflects interest 
on the bond and changes in the market value of the bond. The market 
value of a corporate bond may be affected by the credit rating of 
the corporation, the corporation's performance, and perceptions of 
the corporation in the market place. The Exchange represents that 
the Adviser expects that, under normal circumstances, the Fund will 
generally seek to invest in corporate bond issuances that have at 
least $100,000,000 par amount outstanding in developed countries and 
at least $200,000,000 par amount outstanding in emerging market 
countries.
    \12\ Sovereign debt obligations are issued or guaranteed by 
foreign governments or their agencies. Sovereign debt may be in the 
form of conventional securities or other types of debt instruments, 
such as loans or loan participations.
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    The Portfolio may invest up to 15% of its net assets in securities 
denominated in foreign currencies, and may invest beyond this limit in 
U.S. dollar-denominated securities of foreign issuers. The Portfolio 
may invest up to 25% of its net assets in securities and instruments 
that are economically tied to emerging market countries.
    The Portfolio may invest in U.S. government obligations.\13\ The 
Portfolio may also invest in TIPS of the U.S. Treasury, as well as TIPS 
of major governments and emerging market countries, excluding the 
United States.\14\
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    \13\ U.S. government obligations are a type of bond. U.S. 
government obligations include securities issued or guaranteed as to 
principal and interest by the U.S. government, its agencies or 
instrumentalities.
    \14\ TIPS are a type of security that are issued by a government 
and that are designed to provide inflation protection to investors.
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    The Portfolio may invest a substantial portion of its assets in 
U.S. agency mortgage pass-through securities.\15\ The Portfolio will 
seek to obtain exposure to U.S. agency mortgage pass-through securities 
primarily through the use of ``to-be-announced'' or ``TBA 
transactions.'' \16\
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    \15\ The term ``U.S. agency mortgage pass-through security'' 
refers to a category of pass-through securities backed by pools of 
mortgages and issued by one of several U.S. government-sponsored 
enterprises: Ginnie Mae, Fannie Mae, or Freddie Mac.
    \16\ ``TBA'' refers to a commonly used mechanism for the forward 
settlement of U.S. agency mortgage pass-through securities, and not 
to a separate type of mortgage-backed security. Most transactions in 
mortgage pass-through securities occur through the use of TBA 
transactions. TBA transactions generally are conducted in accordance 
with widely-accepted guidelines which establish commonly observed 
terms and conditions for execution, settlement and delivery. In a 
TBA transaction, the buyer and seller decide on general trade 
parameters, such as agency, settlement date, par amount, and price. 
The actual pools delivered generally are determined two days prior 
to settlement date.
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    The Portfolio may invest in bank loans,\17\ which include floating 
rate loans. Bank loan interests may be acquired from U.S. or foreign 
commercial banks, insurance companies, finance companies, or other 
financial institutions that have made loans or are members of a lending 
syndicate or from other holders of loan interests. The Portfolio may 
also invest in both secured and unsecured loans.
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    \17\ Bank loans typically pay interest at rates which are re-
determined periodically on the basis of a floating base lending rate 
(such as the London Inter-Bank Offered Rate) plus a premium. Bank 
loans are typically of below investment grade quality. Bank loans 
generally (but not always) hold the most senior position in the 
capital structure of a borrower and are often secured with 
collateral.
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    The Portfolio may invest in collateralized loan obligations 
(``CLOs'').\18\ When investing in CLOs, the Portfolio will not invest 
in equity tranches, which are the lowest tranche. However, the 
Portfolio may invest in lower debt tranches of CLOs, which typically 
experience a lower recovery, greater risk of loss, or greater deferral 
or non-payment of interest than more senior debt tranches of the CLO. 
In addition, the Portfolio intends to invest in CLOs consisting 
primarily of individual bank loans of borrowers and not repackaged CLO 
obligations from other high risk pools. The underlying bank loans 
purchased by CLOs are generally performing at the time of purchase but 
may become non-performing, distressed, or defaulted. CLOs with 
underlying assets of non-performing, distressed, or defaulted loans are 
not contemplated to comprise a significant portion of the Portfolio's 
investments in CLOs.
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    \18\ A CLO is a financing company (generally called a Special 
Purpose Vehicle or ``SPV''), created to reapportion the risk and 
return characteristics of a pool of assets. While the assets 
underlying CLOs are typically bank loans, the assets may also 
include: (i) Unsecured loans; (ii) other debt securities that are 
rated below investment grade; (iii) debt tranches of other CLOs; and 
(iv) equity securities that are incidental to investments in bank 
loans.
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    The Sub-Adviser will actively manage the Portfolio's asset class 
exposure using a top-down approach based on analysis of sector 
fundamentals. The Sub-Adviser will rotate Portfolio assets among 
sectors in various markets to attempt to maximize return. Individual 
securities within asset classes will be selected using a bottom up 
approach. Under normal circumstances, the Sub-Adviser will use a 
controlled risk approach in managing the Portfolio's investments. The 
techniques of this approach attempt to control the principal risk 
components of the fixed income markets and include consideration of 
security selection within a given sector; relative performance of the 
various market sectors; the shape of the yield curve; and fluctuations 
in the overall level of interest rates.
    The Sub-Adviser also will monitor the duration of the securities 
held by the Portfolio to seek to mitigate exposure to interest rate 
risk.\19\ Under normal circumstances, the Sub-Adviser will seek to 
maintain an investment portfolio with a weighted average effective 
duration of no less than 1 year and no more than 8 years. The duration 
of the portfolio may vary materially from its target, from time to 
time.
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    \19\ Duration is a measure used to determine the sensitivity of 
a security's price to changes in interest rates. The longer a 
security's duration, the more sensitive it will be to changes in 
interest rates.
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2. Non-Principal Investments
    The Exchange represents that while the Adviser and Sub-Adviser, 
under normal circumstances, will invest at

[[Page 10558]]

least 80% of the Portfolio's net assets in fixed income securities, the 
Adviser and Sub-Adviser may invest up to 20% of the Portfolio's net 
assets in other securities and financial instruments, as described 
below.
    The Fund may (either directly or through its investments in its 
corresponding Portfolio) invest in money market instruments,\20\ cash, 
and cash equivalents, on an ongoing basis to provide liquidity or for 
other reasons. Any of these instruments may be purchased on a current 
or a forward-settled basis.
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    \20\ Money market instruments are generally short-term 
investments that may include but are not limited to: (i) Shares of 
money market funds (including those advised by the Adviser); (ii) 
obligations issued or guaranteed by the U.S. government, its 
agencies, or instrumentalities (including government-sponsored 
enterprises); (iii) negotiable certificates of deposit, bankers' 
acceptances, fixed time deposits, and other obligations of U.S. and 
foreign banks (including foreign branches) and similar institutions; 
(iv) commercial paper rated at the date of purchase ``Prime-1'' by 
Moody's or ``A-1'' by S&P, or, if unrated, of comparable quality as 
determined by the Adviser; (v) non-convertible corporate debt 
securities (e.g., bonds and debentures) that have remaining 
maturities at the date of purchase of not more than 397 days and 
that satisfy the rating requirements set forth in Rule 2a-7 under 
the 1940 Act; and (vi) short-term U.S. dollar-denominated 
obligations of foreign banks (including U.S. branches) that, in the 
opinion of the Adviser, are of comparable quality to obligations of 
U.S. banks which may be purchased by the Portfolio.
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    The Portfolio may invest in preferred securities traded on an 
exchange or over-the-counter (``OTC'').\21\ The Portfolio may purchase 
exchange-traded common stocks and exchange-traded preferred securities 
of foreign corporations. The Fund's investments in common stock of 
foreign corporations may also be in the form of American Depositary 
Receipts (``ADRs''), Global Depositary Receipts (``GDRs''), and 
European Depositary Receipts (``EDRs'') (collectively ``Depositary 
Receipts'').\22\ The Portfolio may invest in exchange-traded or OTC 
convertible securities.\23\
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    \21\ Preferred securities pay fixed or adjustable rate dividends 
to investors and have ``preference'' over common stock in the 
payment of dividends and the liquidation of a company's assets.
    \22\ Depositary Receipts are receipts, typically issued by a 
bank or trust company, which evidence ownership of underlying 
securities issued by a foreign corporation. For ADRs, the depository 
is typically a U.S. financial institution, and the underlying 
securities are issued by a foreign issuer. For other Depositary 
Receipts, the depository may be a foreign or a U.S. entity, and the 
underlying securities may have a foreign or a U.S. issuer. 
Depositary Receipts will not necessarily be denominated in the same 
currency as their underlying securities. Generally, ADRs, in 
registered form, are designed for use in the U.S. securities market, 
and EDRs, in bearer form, are designated for use in European 
securities markets. GDRs are tradable both in the United States and 
in Europe and are designed for use throughout the world. The Fund 
may invest in sponsored or unsponsored ADRs; however, not more than 
10% of the net assets of the Fund will be invested in unsponsored 
ADRs. With the exception of unsponsored ADRs, all equity securities 
(i.e., common stocks, Depositary Receipts, certain preferred 
securities, ETPs, and certain other exchange-traded investment 
company securities) in which the Portfolio or Fund may invest will 
trade on markets that are members of the Intermarket Surveillance 
Group (``ISG'') or that have entered into a comprehensive 
surveillance agreement with the Exchange.
    \23\ Convertible securities are bonds, debentures, notes, 
preferred stocks, or other securities that may be converted or 
exchanged (by the holder or by the issuer) into shares of the 
underlying common stock (or cash or securities of equivalent value) 
at a stated exchange ratio.
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    The Portfolio may invest in exchange-traded products (``ETPs''), 
which include exchange-traded funds (``ETFs'') registered under the 
1940 Act; exchange-traded commodity trusts; and exchange-traded notes 
(``ETNs'').\24\
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    \24\ For purposes of this filing, ETPs include 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); Trust Issued Receipts (as described in NYSE 
Arca Equities Rule 8.200); Commodity-Based Trust Shares (as 
described in NYSE Arca Equities Rule 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); and 
Managed Fund Shares (as described in NYSE Arca Equities Rule 8.600). 
The Portfolio may invest in certain ETPs that pay fees to the 
Adviser and its affiliates for management, marketing, or other 
services. The ETPs all will be listed and traded in the U.S. on 
national securities exchanges. While the Fund may invest in inverse 
ETPs, the Fund will not invest in leveraged or inverse leveraged 
ETPs.
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    The Portfolio may invest up to 20% of its net assets in one or more 
ETPs that are qualified publicly traded partnerships (``QPTPs'') and 
whose principal activities are the buying and selling of commodities or 
options, futures, or forwards with respect to commodities.\25\
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    \25\ Income from QPTPs is generally qualifying income. A QPTP is 
an entity that is treated as a partnership for federal income tax 
purposes, subject to certain requirements. If such an ETP fails to 
qualify as a QPTP, the income generated from the Portfolio's 
investment in the QPTP may not be qualifying income. Examples of 
such entities are the PowerShares DB Energy Fund, PowerShares DB Oil 
Fund, PowerShares DB Precious Metals Fund, PowerShares DB Gold Fund, 
PowerShares DB Silver Fund, PowerShares DB Base Metals Fund, and 
PowerShares DB Agriculture Fund, which are listed and traded on the 
Exchange pursuant to NYSE Arca Equities Rule 8.200.
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    The Portfolio may invest up to 20% of its assets in derivatives, 
including exchange-traded futures on Treasuries or Eurodollars; U.S. 
exchange-traded or OTC put and call options contracts and OTC or 
exchange-traded swap agreements (including interest rate swaps, total 
return swaps, excess return swaps, and credit default swaps).\26\ The 
Portfolio will segregate cash and appropriate liquid assets if required 
to do so by Commission or Commodity Futures Trading Commission 
(``CFTC'') regulation or interpretation. The Portfolio will segregate 
assets necessary to meet any accrued payment obligations when it is the 
buyer of CDS.\27\ In cases where the Portfolio is a seller of CDS, the 
Portfolio will be required to segregate the full notional amount of the 
CDS. According to the Exchange, segregating the full notional amount of 
the CDS will not limit the Portfolio's exposure to loss.
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    \26\ Swap agreements are contracts between parties in which one 
party agrees to make periodic payments to the other party based on 
the change in market value or level of a specified rate, index, or 
asset. In return, the other party agrees to make payments to the 
first party based on the return of a different specified rate, 
index, or asset. In the case of a credit default swap (``CDS''), the 
contract gives one party (the buyer) the right to recoup the 
economic value of a decline in the value of debt securities of the 
reference issuer if the credit event (a downgrade or default) 
occurs. CDS may require initial premium (discount) payments, as well 
as periodic payments (receipts) related to the interest leg of the 
swap or to the default of a reference obligation.
    \27\ The Exchange represents that the Portfolio will enter into 
CDS agreements only with counterparties that meet certain standards 
of creditworthiness.
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    The Portfolio may invest in the securities of other investment 
companies, including affiliated funds, money market funds, and closed-
end funds, subject to applicable limitations under Section 12(d)(1) of 
the 1940 Act.
    The Portfolio may invest in variable and floating rate 
securities.\28\ The Portfolio may also purchase floating rate 
securities.\29\
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    \28\ Variable rate securities are instruments issued or 
guaranteed by entities such as (1) the U.S. government, or an agency 
or instrumentality thereof, (2) corporations, (3) financial 
institutions, (4) insurance companies, or (5) trusts that have a 
rate of interest subject to adjustment at regular intervals but less 
frequently than annually. A variable rate security provides for the 
automatic establishment of a new interest rate on set dates. 
Variable rate obligations, whose interest is readjusted no less 
frequently than annually, will be deemed to have a maturity equal to 
the period remaining until the next readjustment of the interest 
rate.
    \29\ A floating rate security provides for the automatic 
adjustment of its interest rate whenever a specified interest rate 
changes. Interest rates on these securities are ordinarily tied to, 
and are a percentage of, a widely recognized interest rate, such as 
the yield on 90-day U.S. Treasury bills or the prime rate of a 
specified bank. These rates may change as often as twice daily.
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    The Portfolio may conduct foreign currency transactions on a spot 
(i.e., cash) or forward basis (i.e., by entering into forward contracts 
to purchase or sell foreign currencies).
    The Portfolio may invest in foreign corporate and sovereign bonds 
originating from issuers in emerging market countries.\30\
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    \30\ An ``emerging market country'' is a country that, at the 
time the Fund invests in the related fixed income instruments, is 
classified as an emerging or developing economy by any supranational 
organization, such as the International Bank of Reconstruction and 
Development or any affiliate thereof or the United Nations, or 
related entities, or is considered an emerging market country for 
purposes of constructing a major emerging market securities index.

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[[Page 10559]]

    The Portfolio may invest in municipal securities,\31\ including 
general obligation bonds \32\ and limited obligation bonds \33\ (or 
revenue bonds), including industrial development bonds issued pursuant 
to former federal tax law and municipal leases, certificates of 
participation in such lease obligations, and installment purchase 
contract obligations.
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    \31\ Municipal securities are securities issued by states, 
municipalities, and other political subdivisions, agencies, 
authorities, and instrumentalities of states and multi-state 
agencies or authorities.
    \32\ General obligation bonds are obligations involving the 
credit of an issuer possessing taxing power, and are payable from 
such issuer's general revenues and not from any particular source.
    \33\ Limited obligation bonds are payable only from the revenues 
derived from a particular facility or class of facilities or, in 
some cases, from the proceeds of a special excise or other specific 
revenue source.
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    The Portfolio may invest in repurchase agreements with commercial 
banks, brokers, or dealers to generate income from its excess cash 
balances and to invest securities lending cash collateral.\34\ The 
Portfolio may also enter into reverse repurchase agreements.\35\ The 
Portfolio's exposure to reverse repurchase agreements will be covered 
by securities having a value equal to or greater than such commitments. 
Under the 1940 Act, reverse repurchase agreements are considered 
borrowings. Although there is no limit on the percentage of Fund assets 
that can be used in connection with reverse repurchase agreements, the 
Portfolio does not expect to engage, under normal circumstances, in 
reverse repurchase agreements with respect to more than 33\1/3\% of its 
net assets.
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    \34\ A repurchase agreement is an agreement under which a fund 
acquires a financial instrument (e.g., a security issued by the U.S. 
government or an agency thereof, a banker's acceptance or a 
certificate of deposit) from a seller, subject to resale to the 
seller at an agreed upon price and date (normally, the next business 
day).
    \35\ Reverse repurchase agreements involve the sale of 
securities with an agreement to repurchase the securities at an 
agreed-upon price, date, and interest payment, and have the 
characteristics of borrowing.
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    The Portfolio may invest in ``Restricted Securities.'' \36\
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    \36\ Restricted Securities are securities that are not 
registered under the Securities Act, but which can be offered and 
sold to ``qualified institutional buyers'' under Rule 144A under the 
Securities Act. See infra note 37 and accompanying text.
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    According to the Exchange, in certain situations or market 
conditions, the Fund may (either directly or through the corresponding 
Portfolio) temporarily depart from its normal investment policies and 
strategies, provided that the alternative is consistent with the Fund's 
investment objective and is in the best interest of the Fund. For 
example, the Fund may hold a higher than normal proportion of its 
assets in cash in times of extreme market stress.
3. Investment Restrictions
    The Exchange represents that 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 Restricted Securities deemed 
illiquid by the Adviser, consistent with Commission guidance, and 
repurchase agreements having maturities longer than seven days.\37\ The 
Exchange represents that 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.
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    \37\ According to the Exchange, the Board has delegated the 
responsibility for determining the liquidity of Rule 144A Restricted 
Securities that the Portfolio may invest in to the Adviser. In 
reaching liquidity decisions, the 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).
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    According to the Exchange, the Portfolio and Fund will each be 
classified as a non-diversified investment company under the 1940 Act. 
A ``non-diversified'' classification means that the Portfolio or Fund 
is not limited by the 1940 Act with regard to the percentage of its 
assets that may be invested in the securities of a single issuer. This 
means that the Portfolio or Fund may invest a greater portion of its 
assets in the securities of a single issuer than a diversified fund. 
The Portfolio and Fund intend to maintain the required level of 
diversification and otherwise conduct their operations so as to qualify 
as a ``regulated investment company'' for purposes of the Internal 
Revenue Code of 1986. The Portfolio and Fund do not intend to 
concentrate their investments in any particular industry. The Portfolio 
and Fund look to the Global Industry Classification Standard Level 3 
(Industries) in making industry determinations.
    The Exchange represents that the Fund's investments will be 
consistent with its investment objective and will not be used to 
enhance leverage.

III. Discussion and Commission Findings

    After careful review, the Commission finds that the Exchange's 
proposal to list and trade the Shares is consistent with the Exchange 
Act and the rules and regulations thereunder applicable to a national 
securities exchange.\38\ In particular, the Commission finds that the 
proposed rule change is consistent with Section 6(b)(5) of the Exchange 
Act,\39\ which requires, among other things, that the Exchange's rules 
be designed to promote just and equitable principles of trade, to 
remove impediments to and perfect the mechanism of a free and open 
market and a national market system, and, in general, to protect 
investors and the public interest.
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    \38\ In approving this proposed rule change, the Commission has 
considered the proposed rule's impact on efficiency, competition, 
and capital formation. See 15 U.S.C. 78c(f).
    \39\ 15 U.S.C. 78f(b)(5).
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    The Commission finds that the proposal to list and trade the Shares 
on the Exchange is consistent with Section 11A(a)(1)(C)(iii) of the 
Exchange Act,\40\ which sets forth the finding of Congress that it is 
in the public interest and appropriate for the protection of investors 
and the maintenance of fair and orderly markets to assure the 
availability to brokers, dealers, and investors of information with 
respect to quotations for and transactions in securities. Quotation and 
last-sale information for the Shares will be available via the 
Consolidated Tape Association (``CTA'') high-speed line. In addition, 
the Indicative Optimized Portfolio Value (``IOPV''),\41\ which is the 
Portfolio Indicative Value, as defined in NYSE Arca Equities Rule 
8.600(c)(3), will be widely disseminated at least every 15 seconds 
during the Exchange's Core Trading Session by one or more major market 
data vendors.\42\ On each business day, before commencement of

[[Page 10560]]

trading in Shares in the Core Trading Session on the Exchange, the Fund 
will disclose on its Web site the Disclosed Portfolio, as defined in 
NYSE Arca Equities Rule 8.600(c)(2), that will form the basis for the 
Fund's calculation of NAV at the end of the business day.\43\ In 
addition, a basket composition file, which includes the security names 
and quantities required to be delivered in exchange for the Fund's 
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 NAV will be determined as of the close of the regular trading 
session on the NYSE (ordinarily 4:00 p.m. Eastern time) on each day 
that the NYSE is open.\44\ 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. 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.
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    \40\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
    \41\ Premiums and discounts between the IOPV and the market 
price may occur. This should not be viewed as a ``real-time'' update 
of the NAV per Share of the Fund, which will be calculated only once 
a day.
    \42\ The Exchange represents that several major market data 
vendors display and/or make widely available Portfolio Indicative 
Values taken from CTA or other data feeds.
    \43\ On a daily basis, the Fund will disclose on the Fund's 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; effective date, 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.
    \44\ The NAV per Share for the Fund will be computed by dividing 
the value of the net assets of the Portfolio (i.e., the value of its 
total assets less total liabilities) by the total number of Shares 
outstanding. According to the Exchange, common stocks and other 
exchange-traded equity securities (including shares of preferred 
securities, convertible securities, ETPs, and QPTPs) generally will 
be valued at the last reported sale price or the official closing 
price on that exchange where the stock is primarily traded on the 
day that the valuation is made. Foreign equities and exchange-listed 
Depositary Receipts will be valued at the last sale or official 
closing price on the relevant exchange on the valuation date. If, 
however, neither the last sales price nor the official closing price 
is available, each of these securities will be valued at either the 
last reported sale price or official closing price as of the close 
of regular trading of the principal market on which the security is 
listed. According to the Exchange, the Trust will generally value 
listed futures and options at the settlement price determined by the 
applicable exchange. Non-exchange-traded derivatives, including OTC-
traded options, swaps and forwards, will normally be valued on the 
basis of quotations or equivalent indication of value supplied by a 
third- party pricing service or major market makers or dealers. The 
Fund's OTC-traded derivative instruments will generally be valued at 
bid prices. Certain OTC-traded derivative instruments, such as 
interest rate swaps and credit default swaps, will be valued at the 
mean price. Unsponsored ADRs will be valued at the last reported 
sale price from the OTC Bulletin Board or OTC Link LLC on the 
valuation date. OTC-traded preferred securities and OTC-traded 
convertible securities will be valued based on price quotations 
obtained from a broker-dealer who makes markets in such securities 
or other equivalent indications of value provided by a third-party 
pricing service. Fixed income securities, including U.S. government 
obligations; TIPS; U.S.-registered, dollar-denominated bonds of 
foreign corporations, governments, agencies and supra-national 
entities; sovereign debt; corporate bonds; ABS, RMBS, and CMBS 
(either agency or non-agency); CLOs; TBA transactions; municipal 
securities; inverse floaters and bank loans; and short-term 
instruments will generally be valued at bid prices received from 
independent pricing services as of the announced closing time for 
trading in fixed-income instruments in the respective market or 
exchange. In 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 determine current value. Securities of investment 
companies (other than ETFs registered under the 1940 Act), including 
affiliated funds, money market funds and closed-end funds, will be 
valued at NAV. Rule 144A Restricted Securities, repurchase 
agreements, and reverse repurchase agreements will generally be 
valued at bid prices received from independent pricing services as 
of the announced closing time for trading in such instruments. Spot 
currency transactions will generally be valued at mid prices 
received from an independent pricing service converted into U.S. 
dollars at current market rates on the date of valuation. Foreign 
currency forwards normally will be valued on the basis of quotes 
obtained from broker-dealers or third party pricing services. In the 
event that current market valuations are not readily available or 
such valuations do not reflect current market value, the SSgA Master 
Trust's procedures require the Pricing and Investment Committee to 
determine a security's fair value if a market price is not readily 
available, in accordance with the 1940 Act.
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    The Exchange represents that the intra-day, closing and settlement 
prices of common stocks and other exchange-traded equity securities 
(including shares of Depositary Receipts, preferred securities, 
convertible securities, ETPs, and QPTPs) will be readily available from 
the national securities exchanges trading such securities as well as 
automated quotation systems, published or other public sources, or on-
line information services such as Bloomberg or Reuters. Intra-day and 
closing price information for exchange-traded options and futures will 
be available from the applicable exchange and from major market data 
vendors. In addition, price information for U.S. exchange-traded 
options is available from the Options Price Reporting Authority. 
Quotation information from brokers and dealers or pricing services will 
be available for fixed income securities, including U.S. government 
obligations; TIPS; U.S. registered, dollar-denominated bonds of foreign 
corporations, governments, agencies and supra-national entities; 
sovereign debt; corporate bonds; asset-backed and commercial mortgage-
backed securities; residential mortgage backed securities (either 
agency or non-agency); CLOs; TBA transactions; municipal securities; 
inverse floaters and bank loans; and short-term instruments. Price 
information regarding OTC-traded derivative instruments, including, 
options, swaps, and spot and forward currency transactions, as well as 
equity securities traded in the OTC market, including Rule 144A 
Restricted Securities, OTC-traded preferred securities and OTC-traded 
convertible securities, is available from major market data vendors. 
Pricing information regarding each asset class in which the Fund or 
Portfolio will invest, including investment company securities, Rule 
144A Restricted Securities, repurchase agreements, and reverse 
repurchase agreements will generally be available through nationally 
recognized data service providers through subscription arrangements. 
The Fund's Web site will include a form of the prospectus for the Fund 
and additional data relating to NAV and other applicable quantitative 
information.
    The Commission further believes that the proposal to list and trade 
the Shares is reasonably designed to promote fair disclosure of 
information that may be necessary to price the Shares appropriately and 
to prevent trading when a reasonable degree of transparency cannot be 
assured. 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. 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 other reasons 
that, in the view of the Exchange, make trading in the Shares 
inadvisable. In addition, 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.
    The Exchange represents that it has a general policy prohibiting 
the distribution of material, non-public information by its employees. 
The Exchange represents that the Adviser and Sub-Adviser are not 
registered as broker-dealers and that the Sub-Adviser is not affiliated 
with a broker-dealer. The Exchange represents, however, that the 
Adviser is affiliated with a broker-

[[Page 10561]]

dealer and that the Adviser has implemented a ``fire wall'' with 
respect to its broker-dealer affiliate regarding access to information 
concerning the composition of or changes to the Fund's portfolio.\45\ 
Prior to the commencement of trading, the Exchange will inform its 
Equity Trading Permit Holders in an Information Bulletin (``Bulletin'') 
of the special characteristics and risks associated with trading the 
Shares. The Exchange further represents that trading in the Shares will 
be subject to the existing trading surveillances, administered by the 
Financial Industry Regulatory Authority (``FINRA'') on behalf of the 
Exchange, which are designed to detect violations of Exchange rules and 
applicable federal securities laws.\46\
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    \45\ See supra note 5. The Exchange states that an investment 
adviser to an open-end fund is required to be registered under the 
Investment Advisers Act of 1940 (``Advisers Act''). As a result, the 
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.
    \46\ The Exchange states that FINRA surveils trading on the 
Exchange pursuant to a regulatory services agreement. The Exchange 
is responsible for FINRA's performance under this regulatory 
services agreement.
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    The Exchange represents that it 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. 
In support of this proposal, the Exchange has also made the following 
representations:
    (1) The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Equities Rule 8.600.
    (2) The Exchange has appropriate rules to facilitate transactions 
in the Shares during all trading sessions.
    (3) Trading in 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 applicable 
federal securities laws, and 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.
    (4) FINRA, on behalf of the Exchange, will communicate as needed 
regarding trading in the Shares, exchange-traded options, common 
stocks, and other exchange-traded equity securities (including shares 
of preferred securities, convertible securities, ETPs, certain 
exchange-traded Depositary Receipts, and QPTPs), and futures, 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 and such exchange-traded instruments 
underlying the Shares from such markets and other entities. In 
addition, the Exchange may obtain information regarding trading in the 
Shares and such exchange-traded instruments underlying the Shares from 
markets and other entities that are members of ISG or with which the 
Exchange has in place a comprehensive surveillance sharing 
agreement.\47\ The Exchange states that 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 and that FINRA also can access data 
obtained from the Municipal Securities Rulemaking Board relating to 
municipal bond trading activity for surveillance purposes in connection 
with trading in the Shares.
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    \47\ For a list of the current members of ISG, see 
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.
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    (5) Prior to the commencement of trading, the Exchange will inform 
its Equity Trading Permit Holders in a Bulletin of the special 
characteristics and risks associated with trading the Shares. 
Specifically, the Bulletin will discuss the following: (i) The 
procedures for purchases and redemptions of Shares in Creation Unit 
aggregations (and that Shares are not individually redeemable); (ii) 
NYSE Arca Equities Rule 9.2(a), which imposes a duty of due diligence 
on its Equity Trading Permit Holders to learn the essential facts 
relating to every customer prior to trading the Shares; (iii) 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; (iv) how information regarding the 
Portfolio Indicative Value and the Disclosed Portfolio is disseminated; 
(v) the requirement that Equity Trading Permit Holders deliver a 
prospectus to investors purchasing newly issued Shares prior to or 
concurrently with the confirmation of a transaction; and (vi) trading 
information.
    (6) For initial and continued listing, the Fund will be in 
compliance with Rule 10A-3 under the Act,\48\ as provided by NYSE Arca 
Equities Rule 5.3.
---------------------------------------------------------------------------

    \48\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    (7) 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 Restricted Securities deemed illiquid by the 
Adviser, consistent with Commission guidance, and repurchase agreements 
having maturities longer than seven days.\49\
---------------------------------------------------------------------------

    \49\ See supra note 37.
---------------------------------------------------------------------------

    (8) The Fund will generally seek to invest in corporate bond 
issuances that have at least $100,000,000 par amount outstanding in 
developed countries and at least $200,000,000 par amount outstanding in 
emerging market countries. The Fund will invest in bank loans that are 
primarily senior loans, including loan participations or assignments 
whose loan syndication exceeds $300 million.
    (9) The Portfolio: (a) May invest up to 20% of its assets in 
derivatives, including exchange-traded futures on Treasuries or 
Eurodollars; U.S. exchange-traded or OTC put and call options contracts 
and OTC or exchange-traded swap agreements (including interest rate 
swaps, total return swaps, excess return swaps, and credit default 
swaps); (b) will enter into CDS agreements only with counterparties 
that meet certain standards of creditworthiness; (c) may invest up to 
20% of its net assets in the aggregate in non-agency RMBS, CMBS, and 
ABS (including CLOs); (d) may invest up to 25% of its net assets in 
corporate high yield securities; (e) may invest up to 15% of its net 
assets in securities denominated in foreign currencies, and may invest 
beyond this limit in U.S. dollar-denominated securities of foreign 
issuers; (f) may invest up to 25% of its net assets in securities and 
instruments that are economically tied to emerging market countries; 
and (g) may invest up to 20% of its net assets in one or more ETPs that 
are QPTPs and whose principal activities are the buying and selling of 
commodities or options,

[[Page 10562]]

futures, or forwards with respect to commodities.
    (10) Under normal circumstances, the combined total of corporate, 
sovereign, non-agency and all other debt rated below investment grade 
will not exceed 40% of the Fund's net assets. The Sub-Adviser will 
strive to allocate below investment grade securities broadly by 
industry and issuer in an attempt to reduce the impact of negative 
events on an industry or issuer.
    (11) Although there is no limit on the percentage of Fund assets 
that can be used in connection with reverse repurchase agreements, the 
Portfolio does not expect to engage, under normal circumstances, in 
reverse repurchase agreements with respect to more than 33\1/3\% of its 
net assets.
    (12) Not more than 10% of the net assets of the Fund will be 
invested in unsponsored ADRs. With the exception of unsponsored ADRs, 
all equity securities (i.e., common stocks, Depositary Receipts, 
certain preferred securities, ETPs, and certain other exchange-traded 
investment company securities) in which the Portfolio or Fund may 
invest will trade on markets that are members of ISG or that have 
entered into a comprehensive surveillance agreement with the Exchange.
    (13) A minimum of 100,000 Shares for the Fund will be outstanding 
at the commencement of trading on the Exchange.
    This approval order is based on all of the Exchange's 
representations, including those set forth above and in the Notice, and 
the Exchange's description of the Fund. The Commission notes that the 
Fund and the Shares must comply with the requirements of NYSE Arca 
Equities Rule 8.600 to be initially and continuously listed and traded 
on the Exchange.
    For the foregoing reasons, the Commission finds that the proposed 
rule change is consistent with Section 6(b)(5) of the Act \50\ and the 
rules and regulations thereunder applicable to a national securities 
exchange.
---------------------------------------------------------------------------

    \50\ 15 U.S.C. 78f(b)(5).
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IV. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Exchange Act,\51\ that the proposed rule change (SR-NYSEArca-2014-143) 
be, and it hereby is, approved.
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    \51\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\52\
---------------------------------------------------------------------------

    \52\ 17 CFR 200.30-3(a)(12).
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Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2015-03961 Filed 2-25-15; 8:45 am]
BILLING CODE 8011-01-P