6916 Federal Register / Vol. 81, No. 26 / Tuesday, February 9, 2016 / Notices 

8 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). 

9 15 U.S.C. 78s(b)(2). 

10 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 76646 

(Dec. 15, 2015), 80 FR 79371 (‘‘Notice’’). 

4See Securities Exchange Act Release Nos. 74290 

(February 18, 2015), 80 FR 9818 (February 24, 2015) 

(SR–NYSEArca–2015–05) (‘‘Prior Notice’’); 74675 

(April 8, 2015), 80 FR 20038 (April 14, 2015) (SR– 

NYSEArca–2015–05) (‘‘Prior Order’’ and, together 

with the Prior Notice, the ‘‘Prior Release’’). 

5NYSE 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. 

6See Notice, supra note 3, 80 FR at 79371. 

7The Index is maintained by the Chicago Board 

Options Exchange, Inc. (‘‘CBOE’’) and tracks the 

value of a passive investment strategy, which 

consists of overlaying of S&P 500 Index put options 

(‘‘SPX Puts’’) over a money market account, 

invested in one and three-month Treasury bills. 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. All SPX Puts are 

standardized options traded on the CBOE. 

8NYSE 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. 

9See Notice, supra note 3, at 79372 and 79373 for 

the Exchange’s representation of the average daily 

trading volume of at-the-money 30-day SPX Puts, 

the trading volume of the at-the-money SPX Puts, 

and the daily high, low and last reported sales 

prices on each of the Roll Dates for SPX Puts atthe-money. 

10See Notice, supra note 3, at 79373. The 

Exchange states that the short-term Treasury 

securities that the Fund will acquire as part of its 

strategy are not readily susceptible to market 

manipulation due to the liquidity and extensive 

oversight associated with the short-term U.S. 

Treasury market. 

transactions. Finally, the TC Charter 

promotes the effectiveness of OCC’s risk 

management procedures by establishing 

a Board-level committee focused on 

reducing IT-related risk at OCC. 

III. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposal is 

consistent with the requirements of the 

Act, and in particular, with the 

requirements of Section 17A of the Act 8

and the rules and regulations 

thereunder. 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,9 that the 

proposed rule change (SR–OCC–2015– 

018) be, and it hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.10

Robert W. Errett, 

Deputy Secretary. 

[FR Doc. 2016–02437 Filed 2–8–16; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–77045; File No. SR– 

NYSEArca–2015–113] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Order Approving a 

Proposed Rule Change Relating to the 

Index Underlying the WisdomTree Put 

Write Strategy Fund 

February 3, 2016. 

I. Introduction 

On December 2, 2015, 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’’) 1 and Rule 

19b–4 thereunder,2 a proposal to change 

a representation the Exchange made in 

support of a prior proposed rule change. 

The proposed rule change was 

published for comment in the Federal 

Register on December 21, 2015.3 The 

Commission received no comments on 

the proposed rule change. This order 

approves the proposed rule change. 

II. The Exchange’s Description of the 

Proposed Rule Change 

A. The Prior Proposal 

The Commission approved the listing 

and trading on the Exchange of shares 

(‘‘Shares’’) of the WisdomTree Put Write 

Strategy Fund (‘‘Fund’’) under NYSE 

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

governs the listing and trading of 

Investment Company Units.4 The 

Exchange filed that proposed rule 

change because the Fund and the Shares 

did 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.’’ 5 The 

Exchange represented that the Shares 

would 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 underlying 

index, the CBOE S&P 500 Put Write 

Index (the ‘‘Index’’), would not meet the 

requirements of NYSE Arca Equities 

Rule 5.2(j)(3), Commentary .01(a)(A)(1)– 

(5). The Exchange, however, also 

represented that the Index would (1) 

include a minimum of 20 components, 

and therefore (2) meet the numerical 

requirements of NYSE Arca Equities 

Rule 5.2(j)(3), Commentary .01(a)(A)(4), 

which requires a minimum of 13 index 

or portfolio components. 

The Exchange has not listed or 

commenced trading in the Shares.6

B. The Instant Proposed Rule Change 

The Exchange submitted this proposal 

to correct two representations made in 

support of its prior proposal to list and 

trade the Shares. Specifically, the 

Exchange seeks to strike its 

representations that the Index will (1) 

include a minimum of 20 components; 

and (2) meet the numerical 

requirements of NYSE Arca Equities 

Rule 5.2(j)(3), Commentary .01(a)(A)(4). 

At any given time, the Index consists of 

one component, an ‘‘SPX Put.’’ 7

Additionally, NYSE Arca clarifies that 

the Commentary is inapplicable because 

the Index contains options 

components.8

The Exchange asserts that the deletion 

of its prior representations would not 

adversely affect investors or the public 

interest, because the Index is based on 

CBOE-traded puts on the S&P 500, 

which are highly liquid.9 The Exchange 

further estimates that, on the launch 

date, the Fund would hold 

approximately $2.5–$5.0 million in cash 

and cash equivalents. The Exchange 

also believes that sufficient protections 

are in place to protect against market 

manipulation of the Fund’s Shares and 

SPX Puts because: (i) Trading in the 

Shares and the underlying Fund 

instruments are subject to the federal 

securities laws and to the Exchange’s, 

CBOE’s, and the Financial Industry 

Regulatory Authority’s rules and 

surveillance programs, which are 

designed to detect violations; (ii) assets 

in the portfolio—which will primarily 

be short-term U.S. Treasury bills 10 and 

SPX Puts—will be acquired in 

extremely liquid and highly regulated 

markets; and (iii) the exchange-traded 

fund creation/redemption and arbitrage 

mechanisms are tied to the large pool of 

liquidity of each of the Fund’s 

underlying investments. 

The Exchange represents that trading 

in the Shares will be subject to the 

existing trading surveillances and 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. 

Furthermore, the Financial Industry 

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Federal Register / Vol. 81, No. 26 / Tuesday, February 9, 2016 / Notices 6917 

11 15 U.S.C. 78f. 

12 In approving this proposed rule change, the 

Commission notes that it has considered the 

proposed rule’s impact on efficiency, competition, 

and capital formation. See 15 U.S.C. 78c(f). 

13 15 U.S.C. 78f(b)(5). 

14See Notice, supra note 3, 80 FR at 79373. 

15The Exchange states: ‘‘According to Federal 

Reserve Bank of New York data as of September 

2015, average daily trading volume for U.S. 

Treasury bills totaled $67.8 billion. . . . SPX 

options are among the most liquid index options in 

the U.S. and derive their value from the actively 

traded S&P 500 Index components. SPX options are 

cash-settled with no delivery of stocks or ETFs, and 

trade in competitive auction markets with price and 

quote transparency. The Exchange believes that the 

highly regulated S&P 500 options markets, and the 

broad base and scope of the S&P 500 Index, make 

securities that derive their value from that index, 

including S&P 500 options, less susceptible to 

potential market manipulation in view of market 

capitalization and liquidity of the S&P 500 Index 

components, price and quote transparency, and 

arbitrage opportunities.’’ Id. 

16The Exchange states: ‘‘In addition, the Treasury 

market and its participants are subject to a wide 

range of oversight and regulations, including 

requirements designed to prevent market 

manipulation and other abuses. For example, 

Treasury market participants and the Treasury 

market, itself, are subject to significant oversight by 

a number of regulatory authorities, including the 

Treasury, the Commission, federal bank regulators, 

and the Financial Industry Regulatory Authority.’’ 

Id., n.15. The Exchange represents that the SPX 

Puts will be subject to CBOE and FINRA 

surveillance programs. See id., 80 FR at 79374. 

17See id., 80 FR at 79372–73. 

18 15 U.S.C. 78f(b)(5). 

19 15 U.S.C. 78s(b)(2). 

20 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). 

5 In 2015, the Commission approved (‘‘Approval 

Order’’) OCC’s plan for raising additional capital 

(‘‘Capital Plan’’), which was put in place in light of 

proposed regulatory capital requirements applicable 

to systemically important financial market utilities, 

such as OCC. See Securities Exchange Act Release 

No. 74452 (March 6, 2015) 80 FR 13058 (March 12, 

2015) (SR–OCC–2015–02). OCC also filed proposals 

in the Capital Plan Filing as an advance notice 

under Section 806(e)(1) of the Payment, Clearing, 

and Settlement Supervision Act of 2010. 12 U.S.C. 

5465(e)(1). On February 26, 2015, the Commission 

issued a notice of no objection to the advance notice 

filing. See Exchange Act Release No. 74387 

(February 26, 2015), 80 FR 12215 (March 6, 2015) 

(SR–OCC–2014–813). BATS Global Markets, Inc., 

BOX Options Exchange LLC, KCG Holdings, Inc., 

Miami International Securities Exchange, LLC, and 

Susquehanna International Group, LLP (collectively 

‘‘Petitioners’’) each filed petitions for review of the 

Approval Order, challenging the action taken by 

delegated authority. The filing of the petitions 

automatically stayed the Approval Order. OCC filed 

a Motion to Lift the Stay on April 2, 2015, and the 

Continued 

Regulatory Authority (‘‘FINRA’’), on 

behalf of the Exchange, or the regulatory 

staff of the Exchange, will communicate 

as needed regarding trading in the 

Shares and SPX Index options with 

other markets and other entities that are 

members of the Intermarket 

Surveillance Group (‘‘ISG’’), and FINRA, 

on behalf of the Exchange, or the 

regulatory staff of the Exchange, may 

obtain trading information regarding 

trading in the portfolio securities from 

these markets and other entities. In 

addition, the regulatory staff of the 

Exchange may obtain information 

regarding trading in the portfolio 

securities from markets and other 

entities that are members of ISG or with 

which the Exchange has in place a 

comprehensive surveillance sharing 

agreement. 

III. Discussion and Commission’s 

Findings 

After careful review, the Commission 

finds that the exchange’s proposal is 

consistent with the requirements of 

Section 6 of the Act 11 and the rules and 

regulations thereunder applicable to a 

national securities exchange.12 In 

particular, the Commission finds that 

the proposed rule change is consistent 

with Section 6(b)(5) of the Act,13 which 

requires, among other things, that the 

Exchange’s rules be 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 a national market system, and, in 

general, to protect investors and the 

public interest. 

The Commission believes that it 

would be difficult to manipulate the 

price of the Shares by manipulating the 

prices of its underlying assets. The 

Fund’s portfolio will comprise cash, 

short-term U.S. Treasury bills, and SPX 

Puts.14 The Exchange contends that 

neither short-term Treasury securities 

nor SPX Puts are readily susceptible to 

market manipulation due to the deep 

liquidity in15 and extensive oversight of 

those markets.16 With respect to SPX 

Puts, specifically, the Exchange has 

provided data demonstrating that the 

average daily trading volume (through 

expiration) of recent SPX Puts compares 

favorably to the average daily trading 

volumes of at-the-money put options on 

other major indexes and is, in fact, 

higher than that of at-the-money puts on 

the Russell 2000 index.17

For these reasons, the Commission 

believes that it would be difficult to 

manipulate the price of the Shares by 

manipulating the prices of its 

underlying assets. The Commission also 

notes that, except as discussed above, 

all other representations made in 

support of the Prior Release remain 

unchanged. 

For the foregoing reasons, the 

Commission finds that the proposed 

rule change is consistent with Section 

6(b)(5) of the Act 18 and the rules and 

regulations thereunder applicable to a 

national securities exchange. 

IV. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,19 that the 

proposed rule change (SR–NYSEArca– 

2015–113), be, and it hereby 

is,approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.20

Robert W. Errett, 

Deputy Secretary. 

[FR Doc. 2016–02440 Filed 2–8–16; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–77041; File No. SR–OCC– 

2016–001] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing and Immediate Effectiveness 

of Proposed Rule Change To Revise 

the Options Clearing Corporation’s 

Schedule of Fees 

February 3, 2016. 

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

Securities Exchange Act of 1934 

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

notice is hereby given that on January 

20, 2016, The Options Clearing 

Corporation (‘‘OCC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared primarily by OCC. OCC filed 

the proposed rule change pursuant to 

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

Rule 19b–4(f)(2) 4 thereunder so that the 

proposal was effective upon filing with 

the Commission. The Commission is 

publishing this notice to solicit 

comments on the rule change from 

interested persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

The purpose of this proposed rule 

change by The Options Clearing 

Corporation (‘‘OCC’’) is to revise OCC’s 

Schedule of Fees effective March 1, 

2016, to implement a reduction of 

clearing fees in accordance with OCC’s 

Fee Policy, which was recently adopted 

as part of OCC’s Capital Plan.5

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