[Federal Register Volume 80, Number 3 (Tuesday, January 6, 2015)]
[Notices]
[Pages 572-582]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-30894]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-73958; File No. SR-NYSEArca-2014-143]


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

December 30, 2014.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 
given that, on December 17, 2014, 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 Exchange. The Commission 
is publishing this notice to solicit comments on the proposed rule 
change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade shares of the SPDR[supreg] 
DoubleLine Total Return Tactical ETF under NYSE Arca Equities Rule 
8.600 (``Managed Fund Shares''). 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 
following under NYSE Arca Equities Rule 8.600, which governs the 
listing and trading of Managed Fund Shares: \4\ SPDR[supreg] DoubleLine 
Total Return Tactical ETF (``Fund'').\5\ The Shares will be offered by

[[Page 573]]

SSgA Active ETF Trust (the ``Trust''), which is organized as a 
Massachusetts business trust and is registered with the Commission as 
an open-end management investment company.\6\ SSgA Funds Management, 
Inc. will serve as the investment adviser to the Fund (the ``Adviser'' 
or ``SSgA FM''). DoubleLine Capital L.P. will be the Fund's sub-adviser 
(``Sub-Adviser''). State Street Global Markets, LLC (the 
``Distributor'') will be the principal underwriter and distributor of 
the Fund's Shares. State Street Bank and Trust Company (the 
``Administrator'', ``Custodian'' or ``Transfer Agent'') will serve as 
administrator, custodian and transfer agent for the Fund.
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    \4\ A Managed Fund Share is a security that represents an 
interest in an investment company registered under the Investment 
Company Act of 1940 (15 U.S.C. 80a-1) (``1940 Act'') organized as an 
open-end investment company or similar entity that invests in a 
portfolio of securities selected by its investment adviser 
consistent with its investment objectives and policies. In contrast, 
an open-end investment company that issues Investment Company Units, 
listed and traded on the Exchange under NYSE Arca Equities Rule 
5.2(j)(3), seeks to provide investment results that correspond 
generally to the price and yield performance of a specific foreign 
or domestic stock index, fixed income securities index or 
combination thereof.
    \5\ The Commission has previously approved listing and trading 
on the Exchange of a number of actively managed funds under Rule 
8.600. See, e.g., Securities Exchange Act Release Nos. 57801 (May 8, 
2008), 73 FR 27878 (May 14, 2008) (SR-NYSEArca-2008-31) (order 
approving Exchange listing and trading of twelve actively-managed 
funds of the WisdomTree Trust); 62502 (July 15, 2010), 75 FR 42471 
(July 21, 2010) (SR-NYSEArca-2010-57) (order approving listing and 
trading of AdviserShares WCM/BNY Mellon Focused Growth ADR ETF); 
63076 (October 12, 2010), 75 FR 63874 (October 18, 2010) (SR-
NYSEArca-2010-79) (order approving listing and trading of Cambria 
Global Tactical ETF); 71540 (February 12, 2014), 79 FR 9515 
(February 19, 2014) (SR-NYSEArca-2013-138) (order approving listing 
and trading of shares of the iShares Enhanced International Large-
Cap ETF and iShares Enhanced International Small-Cap ETF).
    \6\ The Trust is registered under the 1940 Act. On May 30, 2014, 
the Trust filed with the Commission an amendment to its registration 
statement on Form N-1A under the Securities Act of 1933 
(``Securities Act'') (15 U.S.C. 77a), and under the 1940 Act 
relating to the Fund (File Nos. 333-173276 and 811-22542) 
(``Registration Statement''). The description of the operation of 
the Trust and the Fund herein is based, in part, on the Registration 
Statement. In addition, the Commission has issued an order granting 
certain exemptive relief to the Trust under the 1940 Act. See 
Investment Company Act Release No. 29524 (December 13, 2010) (File 
No. 812-13487) (``Exemptive Order'').
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    Commentary .06 to Rule 8.600 provides that, if the investment 
adviser to the investment company issuing Managed Fund Shares is 
affiliated with a broker-dealer, such investment adviser shall erect a 
``fire wall'' between the investment adviser and the broker-dealer with 
respect to access to information concerning the composition and/or 
changes to such investment company portfolio. In addition, Commentary 
.06 further requires that personnel who make decisions on the open-end 
fund's portfolio composition must be subject to procedures designed to 
prevent the use and dissemination of material nonpublic information 
regarding the open-end fund's portfolio.\7\ Commentary .06 to Rule 
8.600 is similar to Commentary .03(a)(i) and (iii) to NYSE Arca 
Equities Rule 5.2(j)(3); however, Commentary .06 in connection with the 
establishment of a ``fire wall'' between the investment adviser and the 
broker-dealer reflects the applicable open-end fund's portfolio, not an 
underlying benchmark index, as is the case with index-based funds. The 
Adviser and Sub-Adviser are not registered as a broker-dealer but the 
Adviser is affiliated with a broker-dealer and has implemented a ``fire 
wall'' with respect to such broker-dealer regarding access to 
information concerning the composition and/or changes to the Fund's 
portfolio. The Sub-Adviser is not affiliated with a broker-dealer. 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, 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 non-public information regarding such 
portfolio.
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    \7\ An investment adviser to an open-end fund is required to be 
registered under the Investment Advisers Act of 1940 (the ``Advisers 
Act''). As a result, the Adviser and Sub-Adviser and their related 
personnel are subject to the provisions of Rule 204A-1 under the 
Advisers Act relating to codes of ethics. This Rule requires 
investment advisers to adopt a code of ethics that reflects the 
fiduciary nature of the relationship to clients as well as 
compliance with other applicable securities laws. Accordingly, 
procedures designed to prevent the communication and misuse of non-
public information by an investment adviser must be consistent with 
Rule 204A-1 under the Advisers Act. In addition, Rule 206(4)-7 under 
the Advisers Act makes it unlawful for an investment adviser to 
provide investment advice to clients unless such investment adviser 
has (i) adopted and implemented written policies and procedures 
reasonably designed to prevent violation, by the investment adviser 
and its supervised persons, of the Advisers Act and the Commission 
rules adopted thereunder; (ii) implemented, at a minimum, an annual 
review regarding the adequacy of the policies and procedures 
established pursuant to subparagraph (i) above and the effectiveness 
of their implementation; and (iii) designated an individual (who is 
a supervised person) responsible for administering the policies and 
procedures adopted under subparagraph (i) above.
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SPDR[supreg] DoubleLine Total Return Tactical ETF
Principal Investments
    According to the Registration Statement, the investment objective 
of the Fund will be to maximize total return. Under normal 
circumstances,\8\ the Fund will invest all of its assets in the SSgA 
DoubleLine Total Return Tactical Portfolio (the ``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.\9\
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    \8\ 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.
    \9\ 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, as described further below.\10\ Fixed income 
securities in which the Portfolio principally will invest include the 
following, as discussed further below: 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

[[Page 574]]

(``ABS''); \11\ 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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    \10\ Generally, as used in this proposed rule change, the terms 
debt security, debt obligation, bond, fixed income instrument and 
fixed income security are used interchangeably. These terms should 
be considered to include any evidence of indebtedness, including, by 
way of example, a security or instrument having one or more of the 
following characteristics: A security or instrument issued at a 
discount to its face value, a security or instrument that pays 
interest at a fixed, floating, or variable rate, or a security or 
instrument with a stated principal amount that requires repayment of 
some or all of that principal amount to the holder of the security. 
These terms are interpreted broadly to include any instrument or 
security evidencing what is commonly referred to as an IOU rather 
than evidencing the corporate ownership of equity unless that equity 
represents an indirect or derivative interest in one or more debt 
securities. For this purpose, the terms also include instruments 
that are intended to provide one or more of the characteristics of a 
direct investment in one or more debt securities.
    \11\ 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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    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 United States 
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.
    The Portfolio may invest up to 20% of its net assets in the 
aggregate in non-agency RMBS, CMBS and ABS.
    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 Portfolio may invest in corporate bonds.\12\ 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. 
Such corporate bonds may be investment grade or may be below investment 
grade.
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    \12\ 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.
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    The Portfolio may invest in sovereign debt. 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. Sovereign debt obligations 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 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.
    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 Sub-Adviser also will monitor the duration of the securities 
held by the Portfolio to seek to mitigate exposure to interest rate 
risk.\13\ 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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    \13\ 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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    The Portfolio may invest in U.S. Government obligations. 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.
    The Portfolio may invest in TIPS of the U.S. Treasury, as well as 
TIPS of major governments and emerging market countries, excluding the 
United States. TIPS are a type of security issued by a government that 
are designed to provide inflation protection to investors.
    The Portfolio may invest a substantial portion of its assets in 
U.S. agency mortgage pass-through securities. 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.
    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.'' ``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.\14\
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    \14\ 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, 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. 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. The Portfolio may invest in both secured and 
unsecured loans.
    The Portfolio may invest in collateralized loan obligations 
(``CLOs''). A CLO is a financing company (generally called a Special 
Purpose

[[Page 575]]

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 
incidental to investments in bank loans. 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 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.
Non-Principal Investments
    While the Adviser and Sub-Adviser, under normal circumstances, will 
invest at least 80% of the Portfolio's net assets in fixed income 
securities as described above, 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.
    According to the Registration Statement, 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.
    The Fund may (either directly or through its investments in its 
corresponding Portfolio) invest in the following types of investments: 
Money market instruments, such as repurchase agreements, money market 
funds (including money market funds managed by the Adviser), and 
commercial paper.
    The Portfolio may invest in preferred securities traded on an 
exchange or over-the-counter (``OTC''). 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.
    The Portfolio may invest in convertible securities traded on an 
exchange or OTC. 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.
    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. 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 (the ``World Bank'') or the United Nations, or related 
entities, or is considered an emerging market country for purposes of 
constructing a major emerging market securities index.
    The Portfolio may invest in ``Restricted Securities''. 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.\15\
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    \15\ See note 21 and accompanying text, infra.
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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''). The Adviser may receive management or other fees from the 
ETPs (``Affiliated ETPs'') in which the Portfolio or Fund may invest, 
as well as a management fee for managing the Fund.\16\
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    \16\ 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 (e.g., 2X or 3X).
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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. 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.\17\
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    \17\ Income from QPTPs is generally 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 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'').\18\
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    \18\ 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.
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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.

[[Page 576]]

    The Portfolio may invest in municipal securities, which are 
securities issued by states, municipalities and other political 
subdivisions, agencies, authorities and instrumentalities of states and 
multi-state agencies or authorities. The municipal securities which the 
Portfolio may purchase include general obligation bonds and limited 
obligation bonds (or revenue bonds), including industrial development 
bonds issued pursuant to former federal tax law. 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. 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. Also included within the general 
category of municipal securities are municipal leases, certificates of 
participation in such lease obligations or installment purchase 
contract obligations.
    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 \19\ (including interest rate swaps, 
total return swaps, excess return swaps, and credit default swaps). The 
Portfolio will segregate cash and/or appropriate liquid assets if 
required to do so by Commission or Commodity Futures Trading Commission 
(``CFTC'') regulation or interpretation.
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    \19\ 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.
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    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. This value is obtained by 
delivering a debt security of the reference issuer to the party in 
return for a previously agreed payment from the other party 
(frequently, the par value of the debt security).\20\
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    \20\ The Portfolio will enter into CDS agreements only with 
counterparties that meet certain standards of creditworthiness.
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    CDSs 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. The Portfolio will segregate 
assets necessary to meet any accrued payment obligations when it is the 
buyer of CDSs. In cases where the Portfolio is a seller of a CDS, if 
the CDS is physically settled, the Portfolio will be required to 
segregate the full notional amount of the CDS. Such segregation will 
not limit the Portfolio's exposure to loss.
    The Portfolio may invest in variable and floating rate securities. 
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. The 
Portfolio may also purchase floating rate securities. 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.
    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. 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).
    The Portfolio may enter into reverse repurchase agreements, which 
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. 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.
    The Portfolio may invest in short-term instruments, including money 
market instruments, (including money market funds advised by the 
Adviser), repurchase agreements, cash and cash equivalents, on an 
ongoing basis to provide liquidity or for other reasons. 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 (``CDs''), 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) with 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. Any of these instruments may be purchased 
on a current or a forward-settled basis. Time deposits are non-
negotiable deposits maintained in banking institutions for specified 
periods of time at stated interest rates. Bankers' acceptances are time 
drafts drawn on commercial banks by borrowers, usually in connection 
with international transactions.
Investment Restrictions
    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.\21\ The Fund will

[[Page 577]]

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.\22\
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    \21\ 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).
    \22\ The 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).
---------------------------------------------------------------------------

    According to the Registration Statement, 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.\23\
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    \23\ The diversification standard is set forth in Section 
5(b)(1) of the 1940 Act.
---------------------------------------------------------------------------

    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.\24\
---------------------------------------------------------------------------

    \24\ See 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).
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    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.\25\
---------------------------------------------------------------------------

    \25\ 26 U.S.C. 851.
---------------------------------------------------------------------------

    The Fund's investments will be consistent with its investment 
objective and will not be used to enhance leverage.
Net Asset Value
    The Fund will calculate net asset value (``NAV'') using the NAV of 
the Portfolio. To the extent that the Fund invests in instruments other 
than those in the Portfolio, the Fund will calculate its NAV based on 
all assets.
    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. 
Expenses and fees, including the management fees, will be accrued daily 
and taken into account for purposes of determining NAV. The NAV of the 
Portfolio will be calculated by the Custodian and determined as of the 
close of the regular trading session on the New York Stock Exchange 
(``NYSE'') (ordinarily 4:00 p.m. Eastern time) on each day that such 
exchange is open. Fixed-income assets will generally be valued as of 
the announced closing time for trading in fixed-income instruments in a 
particular market or exchange. Any assets or liabilities denominated in 
currencies other than the U.S. dollar will be converted into U.S. 
dollars at market rates on the date of valuation (generally as of 4:00 
p.m. London time) as quoted by one or more sources.
    In calculating the Portfolio's NAV per Share, the Portfolio's 
investments will generally be valued using market valuations. A market 
valuation generally means a valuation (i) obtained from an exchange, a 
pricing service, or a major market maker (or dealer), (ii) based on a 
price quotation or other equivalent indication of value supplied by an 
exchange, a pricing service, or a major market maker (or dealer), or 
(iii) based on amortized cost. In the case of shares of other funds 
that are not traded on an exchange, a market valuation means such 
fund's published NAV per share. The Adviser may use various pricing 
services, or discontinue the use of any pricing service, as approved by 
the Board of the SSgA Master Trust from time to time. A price obtained 
from a pricing service based on such pricing service's valuation matrix 
may be considered a market valuation.
    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. Unsponsored ADRs, which are traded in the OTC 
market, 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.
    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.
    According to the Adviser, 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

[[Page 578]]

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.
    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.
    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 (``Committee'') to determine a security's fair value if a 
market price is not readily available, in accordance with the 1940 
Act.\26\ In determining such value the 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, market 
indices, and prices from the Portfolio's index provider). In these 
cases, the Portfolio's NAV may reflect certain portfolio securities' 
fair values rather than their market prices.
---------------------------------------------------------------------------

    \26\ If a security's market price is not readily available or 
does not otherwise accurately reflect the fair value of the 
security, the security will be valued by another method that the 
Board believes will better reflect fair value in accordance with the 
Trust's valuation policies and procedures and in accordance with the 
1940 Act. The Board has delegated the process of valuing securities 
for which market quotations are not readily available or do not 
otherwise accurately reflect the fair value of the security to the 
Committee. The Committee, subject to oversight by the Board, may use 
fair value pricing in a variety of circumstances, including but not 
limited to, situations when trading in a security has been suspended 
or halted. Accordingly, the Portfolio's NAV may reflect certain 
securities' 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 received on the sale of the security. The 
Committee has implemented procedures designed to prevent the use and 
dissemination of material, non-public information regarding the 
Portfolio and the Fund.
---------------------------------------------------------------------------

Creation and Redemption of Shares
    The NAV of Shares of the Fund will be determined once each business 
day, normally 4:00 p.m. Eastern time. The Creation Unit size will be 
50,000 Shares per Creation Unit. The Trust will issue and sell Shares 
of the Fund only in Creation Units on a continuous basis, without a 
sales load (but subject to transaction fees), at their NAV per Share 
next determined after receipt of an order, on any business day, in 
proper form.
    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 held by the corresponding master 
fund (the ``Deposit Securities'') per each 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. 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 in-kind purchaser. 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. If the Cash Component is a 
positive number (i.e., the NAV per Creation Unit exceeds the market 
value of the Deposit Securities or Deposit Cash, as applicable), the 
Cash Component shall be such positive amount. If the Cash Component is 
a negative number (i.e., the NAV per Creation Unit is less than the 
market value of the Deposit Securities or Deposit Cash, as applicable), 
the Cash Component will be such negative amount and the creator will be 
entitled to receive cash in an amount equal to the Cash Component. The 
Cash Component serves the function of compensating for any differences 
between the NAV per Creation Unit and the market value of the Deposit 
Securities or Deposit Cash, as applicable.
    The Custodian, through the National Securities Clearing Corporation 
(``NSCC''), will make available on each business day, immediately prior 
to the opening of business on the Exchange's Core Trading Session (9:30 
a.m., Eastern time), the list of the names and the required amount of 
each Deposit Security or the required amount of Deposit Cash, as 
applicable, to be included in the current Fund Deposit (based on 
information at the end of the previous business day) for the Fund. Such 
Fund Deposit is subject to any applicable adjustments as described in 
the Registration Statement, in order to effect purchases of Creation 
Units of the Fund until such time as the next-announced composition of 
the Deposit Securities or the required amount of Deposit Cash, as 
applicable, is made available.
    Shares 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 Transfer Agent and only on a business day.
    With respect to the Fund, the Custodian, through the NSCC, will 
make available immediately prior to the opening of business on the 
Exchange (9:30 a.m. Eastern time) on each business day, the list of the 
names and share 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''). Fund Securities received on redemption may not be 
identical to Deposit 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 as announced by the 
Custodian on the business day of the request for redemption received in 
proper form 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''), less a fixed redemption transaction fee 
and any applicable additional variable charge as set forth in the 
Registration Statement. 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

[[Page 579]]

securities value representing one or more Fund Securities.
    The creation/redemption order cut-off time for the Fund is expected 
to be 4:00 p.m. Eastern time. Creation/redemption order cut-off times 
may be earlier on any day that the Securities Industry and Financial 
Markets Association (``SIFMA'') (or applicable exchange or market on 
which the Portfolio's investments are traded) announces an early 
closing time. On days when the Exchange closes earlier than normal, the 
Fund may require orders for Creation Units to be placed earlier in the 
day.
Availability of Information
    The Fund's Web site (www.spdrs.com), which will be publicly 
available prior to the public offering of Shares, will include a form 
of the prospectus for the Fund that may be downloaded. The Fund's Web 
site will include additional quantitative information updated on a 
daily basis, including, for the Fund (1) daily trading volume, the 
prior business day's reported closing price, NAV and mid-point of the 
bid/ask spread at the time of calculation of such NAV (the ``Bid/Ask 
Price''),\27\ and a calculation of the premium and discount of the Bid/
Ask Price against the NAV, and (2) data in chart format displaying the 
frequency distribution of discounts and premiums of the daily Bid/Ask 
Price against the NAV, within appropriate ranges, for each of the four 
previous calendar quarters. On each business day, before commencement 
of trading in Shares in the Core Trading Session on the Exchange, the 
Fund will disclose on its Web site the Disclosed Portfolio 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.\28\
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    \27\ The 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.
    \28\ Under accounting procedures followed by the Fund, trades 
made on the prior business day (``T'') will be booked and reflected 
in NAV on the current business day (``T + 1''). Accordingly, the 
Fund will be able to disclose at the beginning of the business day 
the portfolio that will form the basis for the NAV calculation at 
the end of the business day.
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    The Fund's disclosure of derivative positions in the Disclosed 
Portfolio will include information that market participants can use to 
value these positions intraday. 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.
    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 NYSE via 
NSCC. The basket represents one Creation Unit of the Fund.
    Investors can also obtain the Trust's Statement of Additional 
Information (``SAI''), the Fund's Shareholder Reports, and the Trust's 
Form N-CSR and Form N-SAR, filed twice a year. The Trust's SAI and 
Shareholder Reports are available free upon request from the Trust, and 
those documents and the Form N-CSR and Form N-SAR may be viewed on-
screen or downloaded from the Commission's Web site at www.sec.gov. 
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. Quotation and last sale information for the 
Shares will be available via the Consolidated Tape Association 
(``CTA'') high-speed line. 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. In 
addition, the Indicative Optimized Portfolio Value (``IOPV''),\29\ 
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.\30\ The dissemination of the IOPV, together 
with the Disclosed Portfolio, will allow investors to determine the 
value of the underlying portfolio of the Fund and of the Portfolio on a 
daily basis and to provide a close estimate of that value throughout 
the trading day.
---------------------------------------------------------------------------

    \29\ 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.
    \30\ Currently, it is the Exchange's understanding that several 
major market data vendors display and/or make widely available 
Portfolio Indicative Values taken from CTA or other data feeds.
---------------------------------------------------------------------------

    Additional information regarding the Trust and the Shares, 
including investment strategies, risks, creation and redemption 
procedures, fees, portfolio holdings disclosure policies, distributions 
and taxes is included in the Registration Statement. All terms relating 
to the Fund that are referred to, but not defined in, this proposed 
rule

[[Page 580]]

change are defined in the Registration Statement.
Trading Halts
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares of the Fund.\31\ Trading in Shares of the Fund 
will be halted if the circuit breaker parameters in NYSE Arca Equities 
Rule 7.12 have been reached. Trading also may be halted because of 
market conditions or for reasons that, in the view of the Exchange, 
make trading in the Shares inadvisable. These may include: (1) The 
extent to which trading is not occurring in the securities and/or the 
financial instruments comprising the Disclosed Portfolio of the Fund; 
or (2) whether other unusual conditions or circumstances detrimental to 
the maintenance of a fair and orderly market are present. Trading in 
the Shares will be subject to NYSE Arca Equities Rule 8.600(d)(2)(D), 
which sets forth circumstances under which Shares of the Fund may be 
halted.
---------------------------------------------------------------------------

    \31\ See NYSE Arca Equities Rule 7.12.
---------------------------------------------------------------------------

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 4:00 a.m. to 8:00 p.m. Eastern time in 
accordance with NYSE Arca Equities Rule 7.34 (Opening, Core, and Late 
Trading Sessions). The Exchange has appropriate rules to facilitate 
transactions in the Shares during all trading sessions. As provided in 
NYSE Arca Equities Rule 7.6, Commentary .03, the minimum price 
variation (``MPV'') for quoting and entry of orders in equity 
securities traded on the NYSE Arca Marketplace is $0.01, with the 
exception of securities that are priced less than $1.00 for which the 
MPV for order entry is $0.0001.
    The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Equities Rule 8.600. The Exchange represents 
that, for initial and/or continued listing, the Fund will be in 
compliance with Rule 10A-3 \32\ 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 
the Disclosed Portfolio will be made available to all market 
participants at the same time.
---------------------------------------------------------------------------

    \32\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

Surveillance
    The Exchange 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.\33\ 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.
---------------------------------------------------------------------------

    \33\ 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.
---------------------------------------------------------------------------

    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-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.\34\ 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''). 
FINRA also can access data obtained from the Municipal Securities 
Rulemaking Board (``MSRB'') relating to municipal bond trading activity 
for surveillance purposes in connection with trading in the Shares.
---------------------------------------------------------------------------

    \34\ 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.
---------------------------------------------------------------------------

    With the exception of unsponsored ADRs, which will comprise no more 
than 10% of the Fund's net assets, 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 ISG or that have entered into a comprehensive surveillance 
agreement with the Exchange.
    In addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its 
Equity Trading Permit 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 Equity Trading Permit Holders to learn the essential facts 
relating to every customer prior to trading the Shares; (3) the risks 
involved in trading the Shares during the Opening and Late Trading 
Sessions when an updated Portfolio Indicative Value will not be 
calculated or publicly disseminated; (4) how information regarding the 
Portfolio Indicative Value and the Disclosed Portfolio is disseminated; 
(5) 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 (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. Eastern time each trading day.

[[Page 581]]

2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \35\ 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.
---------------------------------------------------------------------------

    \35\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NYSE Arca Equities Rule 
8.600. The Exchange has in place surveillance procedures that are 
adequate to properly monitor trading in the Shares in all trading 
sessions and to deter and detect violations of Exchange rules and 
federal securities laws applicable to trading on the Exchange. The 
Adviser and Sub-Adviser are not registered as a broker-dealer but the 
Adviser is affiliated with a broker-dealer and has implemented a ``fire 
wall'' with respect to such broker-dealer regarding access to 
information concerning the composition and/or changes to the Fund's 
portfolio. The Sub-Adviser is not affiliated with a broker-dealer. In 
addition, the Trust's Pricing and Investment Committee has implemented 
procedures designed to prevent the use and dissemination of material, 
non-public information regarding the Portfolio and the Fund. 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, 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 securities 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 securities 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. 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 TRACE. FINRA also can access data obtained from the MSRB 
relating to municipal bond trading activity for surveillance purposes 
in connection with trading in the Shares. The ETPs held by the Fund 
will be traded on U.S. national securities exchanges and will be 
subject to the rules of such exchanges, as approved by the Commission. 
With the exception of unsponsored ADRs, which will comprise no more 
than 10% of the Fund's net assets, all exchange-traded 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 ISG or that have entered into a 
comprehensive surveillance agreement with the Exchange. 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.
    The proposed rule change is designed to promote just and equitable 
principles of trade and to protect investors and the public interest in 
that the Exchange will obtain a representation from the issuer of the 
Shares that the NAV per Share will be calculated daily and that the NAV 
and the Disclosed Portfolio will be made available to all market 
participants at the same time. In addition, a large amount of 
information is publicly available regarding the Fund and the Shares, 
thereby promoting market transparency. The Fund's portfolio holdings 
will be disclosed on its Web site daily after the close of trading on 
the Exchange and prior to the opening of trading on the Exchange the 
following day. Moreover, the IOPV will be widely disseminated by one or 
more major market data vendors at least every 15 seconds during the 
Exchange's Core Trading Session. On each business day, before 
commencement of trading in Shares in the Core Trading Session on the 
Exchange, the Fund will disclose on its Web site the Disclosed 
Portfolio that will form the basis for the Fund's calculation of NAV at 
the end of the business day. Quotation and last sale information for 
the Shares will be available via the CTA high-speed line. The intra-
day, closing and settlement prices of common stocks and other exchange-
traded equity securities (including shares of preferred securities, 
convertible securities, Depositary Receipts, 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; U.S.- registered, dollar-denominated bonds of 
foreign corporations, governments, agencies and supra-national 
entities; corporate bonds; ABS; RMBS; CMBS; CLOs; variable and floating 
rate securities; TBA transactions; municipal securities; and short-term 
instruments. Price information regarding OTC-traded derivative 
securities, including, options, swaps, and spot and forward currency 
transactions, as well as equity securities traded in the OTC market, 
such as Rule 144A Restricted Securities, is available from major market 
data vendors. The Web site for the Fund will include a form of the 
prospectus for the Fund and additional data relating to NAV and other 
applicable quantitative information. Moreover, prior to the 
commencement of trading, the Exchange will inform its Equity Trading 
Permit Holders in an Information Bulletin of the special 
characteristics and risks associated with trading the Shares. Trading 
in Shares of the Fund will be halted if the circuit breaker parameters 
in NYSE Arca Equities Rule 7.12 have been reached or because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable, and trading in the Shares will be 
subject to NYSE Arca Equities Rule 8.600(d)(2)(D), which sets forth 
circumstances under which Shares of the Fund may be halted. In 
addition, as noted above, investors will have ready access to 
information regarding the Fund's holdings, the IOPV, the Disclosed 
Portfolio, and quotation and last sale information for the Shares.
    The proposed rule change is designed to perfect the mechanism of a 
free and open market and, in general, to protect investors and the 
public interest in that it will facilitate the listing and trading of 
an additional type of actively-managed exchange-traded product that 
will enhance competition among market

[[Page 582]]

participants, to the benefit of investors and the marketplace. As noted 
above, the Exchange has in place surveillance procedures relating to 
trading in the Shares and may obtain information via ISG from other 
exchanges that are members of ISG or with which the Exchange has 
entered into a comprehensive surveillance sharing agreement. In 
addition, as noted above, investors will have ready access to 
information regarding the Fund's holdings, the IOPV, the Disclosed 
Portfolio, and quotation and last sale information for the Shares.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purpose of the Act. The Exchange notes that the 
proposed rule change will facilitate the listing and trading of an 
additional type of actively-managed exchange-traded product that will 
invest in multiple asset classes and 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 the proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

    <bullet> Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
    <bullet> Send an email to <a href="/cdn-cgi/l/email-protection#abd9dec7ce86c8c4c6c6cec5dfd8ebd8cec885ccc4dd"><span class="__cf_email__" data-cfemail="cebcbba2abe3ada1a3a3aba0babd8ebdabade0a9a1b8">[email protected]</span></a>. Please include 
File Number SR-NYSEArca-2014-143 on the subject line.

Paper Comments

    <bullet> 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-NYSEArca-2014-143. 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 such filing will also be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-NYSEArca-2014-143 and should 
be submitted on or before January 27, 2015.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\36\
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    \36\ 17 CFR 200.30-3(a)(12).
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Brent J. Fields,
Secretary.
[FR Doc. 2014-30894 Filed 1-5-15; 8:45 am]
BILLING CODE 8011-01-P


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