[Federal Register Volume 77, Number 170 (Friday, August 31, 2012)]
[Notices]
[Pages 53239-53241]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-21493]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-67732; File No. SR-NYSEArca-2012-90]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
and Immediate Effectiveness of Proposed Rule Change Relating to the 
First Trust CBOE S&P 500 VIX Tail Hedge Fund (Formerly, the First Trust 
CBOE VIX Tail Hedge Index Fund)

August 27, 2012.
    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 August 13, 2012, NYSE Arca, Inc. (``Exchange'' or ``NYSE 
Arca'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I and 
II below, which Items have been substantially prepared by the self-
regulatory organization. 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\ 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 correct the reference to the Index 
Provider applicable to the First Trust CBOE S&P 500 VIX Tail Hedge Fund 
(formerly, the First Trust CBOE VIX Tail Hedge Index Fund) (``Fund''), 
and to reflect changes to the name of the index underlying the Fund and 
to the name of the Fund, which the Commission has approved for listing 
and trading on the Exchange under NYSE Arca Equities Rule 5.2(j)(3). 
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 Commission has approved listing and trading on the Exchange of 
shares (``Shares'') of the Fund \3\ under NYSE Arca Equities Rule 
5.2(j)(3), the Exchange's listing standards for Investment Company 
Units (``Units'').\4\
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    \3\ See Securities Exchange Act Release No. 67485 (July 23, 
2012), 77 FR 44291 (July 27, 2012) (SR-NYSEArca-2012-50) (``Prior 
Order''). See also Securities Exchange Act Release No. 67107 (June 
4, 2012), 77 FR 34102 (June 8, 2012) (SR-NYSEArca-2012-50) (``Prior 
Notice,'' and together with the Prior Order, the ``Prior Release'').
    \4\ An Investment Company Unit is a security that represents an 
interest in a registered investment company that holds securities 
comprising, or otherwise based on or representing an interest in, an 
index or portfolio of securities (or holds securities in another 
registered investment company that holds securities comprising, or 
otherwise based on or representing an interest in, an index or 
portfolio of securities). See NYSE Arca Equities Rule 5.2(j)(3)(A).
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    The Shares will be offered by First Trust Exchange-Traded Fund 
(``Trust''), which is organized as a Massachusetts business trust and 
is registered with the Commission as an open-end management investment 
company.\5\ The investment adviser to the Fund will be First Trust 
Advisors L.P. (``Adviser'' or ``First Trust''). First Trust Portfolios 
L.P. (``Distributor'') is the principal underwriter and distributor of 
the Fund's Shares. The Bank of New York Mellon Corporation (``BNY'') 
will serve as administrator, custodian, and transfer agent for the 
Fund.
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    \5\ The Trust is registered under the Investment Company Act of 
1940 (15 U.S.C. 80a-1) (``1940 Act''). On July 18, 2012, the Trust 
filed with the Commission an amendment to its registration statement 
on Form N-1A under the Securities Act of 1933 (15 U.S.C. 77a), and 
under the 1940 Act relating to the Fund (File Nos. 333-125751 and 
811-21774) (``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. 27068 (September 20, 
2005) (File No. 812-13000) (``Exemptive Order'').
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    According to the Prior Release, the Fund will seek investment 
results that correspond generally to the price and yield, before the 
Fund's fees and expenses, of an equity index called the CBOE S&P VIX 
Tail Hedge Index (``Index''). The Index is designed to provide a 
benchmark for investors interested in hedging tail risk in an S&P 500 
portfolio.
    In the Prior Notice, the Exchange represented that the Index is 
rules-based and is owned and was developed by Standard & Poor's 
Financial Services LLC (``S&P'') and that S&P is the Index Provider.\6\ 
The Exchange further represented that the Index Provider will calculate 
and maintain the Index.
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    \6\ S&P is not a broker-dealer or affiliated with a broker-
dealer, and has implemented procedures designed to prevent the use 
and dissemination of material, non-public information regarding the 
Index.
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    The Exchange seeks to correct a representation made regarding the 
Index Provider reflected in the Prior Release, as described below. The 
Exchange is revising this representation to state that, pursuant to an 
arrangement with the Chicago Board Options Exchange, Inc. (``CBOE''), 
S&P has certain rights to license the Index to third parties. S&P has 
licensed the Index to First Trust for use by First Trust and the Fund. 
CBOE compiles, maintains, and owns the Index, and CBOE is the Index 
Provider with respect to the Fund. CBOE is not a broker-dealer or 
affiliated with a broker-dealer, and has implemented procedures 
designed to prevent the use and dissemination of material, non-public 
information regarding the Index.\7\
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    \7\ The change to the representation regarding the Index 
Provider described herein will be effective upon filing with the 
Commission of another amendment to the Trust's Registration 
Statement. See note 5, supra.
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    In the Prior Release, the Exchange represented that the name of the 
Index underlying the Fund is the CBOE S&P VIX Tail Hedge Index. The 
Exchange is changing this representation to state that the name of the 
Index underlying the Fund is the CBOE VIX Tail Hedge Index.\8\
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    \8\ The change to the name of the Index underlying the Fund was 
reflected in the July 18, 2012 amendment to the Registration 
Statement. See note 5, supra.
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    In addition, in the Prior Release, the Exchange represented that 
the name of the Fund is the First Trust CBOE VIX Tail Hedge Index Fund. 
The Exchange is changing this representation to state that the name of 
the Fund has been

[[Page 53240]]

changed to First Trust CBOE S&P 500 VIX Tail Hedge Fund.\9\
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    \9\ The change to the name of the Fund was reflected in the July 
18, 2012 amendment to the Registration Statement. See note 5, supra.
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    The Adviser represents that there is no change to the Fund's 
investment objective. The Fund will comply with all requirements under 
NYSE Arca Equities Rule 5.2(j)(3).\10\
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    \10\ As noted in the Prior Release, the Index for the Fund does 
not meet all of the ``generic'' listing requirements of Commentary 
.01(a)(A) to NYSE Arca Equities Rule 5.2(j)(3) applicable to the 
listing of Investment Company Units based upon an index of US 
Component Stocks, as defined in NYSE Arca Equities Rule 5.2(j)(3). 
Specifically, Commentary .01(a)(A) to NYSE Arca Equities Rule 
5.2(j)(3) sets forth the requirements to be met by components of an 
index or portfolio of US Component Stocks. As described in the Prior 
Release, the Index consists of an S&P 500 Index stock portfolio and 
may consist of a position in specified VIX Index (``VIX'') call 
options. The Index meets all requirements of NYSE Arca Equities Rule 
5.2(j)(3) and Commentary .01(a)(A) thereto except that the Index may 
include up to 1% of the Index weight in VIX call options, which are 
not NMS Stocks as defined in Rule 600 of Regulation NMS. See notes 3 
and 5, supra, and accompanying text.
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    Except for the changes noted above, all other facts presented and 
representations made in the Prior Release remain unchanged.
    All terms referenced but not defined herein are defined in the 
Prior Release.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \11\ 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.
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    \11\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
proposed rule change corrects the representation made in the Prior 
Release to state that CBOE, and not S&P, compiles, maintains, and owns 
the Index, and that CBOE is the Index Provider with respect to the 
Fund. Both S&P and CBOE are not broker-dealers and are not affiliated 
with a broker-dealer and have implemented procedures designed to 
prevent the use and dissemination of material, non-public information 
regarding the Index. The Fund will comply with all requirements under 
NYSE Arca Equities Rule 5.2(j)(3), and Commentary .01(a)(A) thereto, 
except that the Index may include up to 1% of the Index weight in VIX 
call options, which are not NMS Stocks as defined in Rule 600 of 
Regulation NMS.
    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 Adviser represents that there is no change to the Fund's 
investment objective. Both S&P and CBOE are unaffiliated with a broker-
dealer and have implemented procedures designed to prevent the use and 
dissemination of material, non-public information regarding the Index. 
The functions of the Index Provider are those described in the Prior 
Release, and this proposed rule change corrects representations made in 
the Prior Release by stating that CBOE, and not S&P, is the Index 
Provider and compiles, maintains, and owns the Index. In addition, the 
Exchange seeks to reflect changes to the name of the Index underlying 
the Fund and to the name of the Fund, as described above.
    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, except for the changes noted above, all other 
representations made in the Prior Release remain unchanged. The Adviser 
represents that there is no change to the Fund's investment objective. 
In addition, with the exception noted above,\12\ the Fund will comply 
with all requirements under NYSE Arca Equities Rule 5.2(j)(3).
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    \12\ See note 10, supra.
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B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    No written comments were solicited or received with respect to the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Because the proposed rule change does not (i) significantly affect 
the protection of investors or the public interest; (ii) impose any 
significant burden on competition; and (iii) become operative for 30 
days after the date of the filing, or such shorter time as the 
Commission may designate if consistent with the protection of investors 
and the public interest, the proposed rule change has become effective 
pursuant to Section 19(b)(3)(A) of the Act \13\ and Rule 19b-4(f)(6) 
thereunder.\14\ The Commission notes that the proposed rule change does 
not significantly affect the protection of investors or the public 
interest and does not impose any significant burden on competition. 
NYSE Arca represents that there is no change to the Fund's investment 
objective and seeks to correct a representation made regarding the 
Index Provider reflected in the Prior Release to state that, pursuant 
to an arrangement with the CBOE, S&P has certain rights to license the 
Index to third parties. S&P has licensed the Index to First Trust for 
use by First Trust and the Fund. CBOE is the Index Provider and 
compiles, maintains, and owns the Index. CBOE is not a broker-dealer or 
affiliated with a broker-dealer and has implemented procedures designed 
to prevent the use and dissemination of material, non-public 
information regarding the Index. In addition, the Exchange seeks to 
reflect changes to the name of the Index underlying the Fund and the 
name of the Fund, as described above.
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    \13\ 15 U.S.C. 78s(b)(3)(A).
    \14\ 17 CFR 240.19b-4(f)(6). As required under Rule 19b-
4(f)(6)(iii), the Exchange provided the Commission with written 
notice of its intent to file the proposed rule change along with a 
brief description and the text of the proposed rule change, at least 
five business days prior to the date of filing of the proposed rule 
change, or such shorter time as designated by the Commission.
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    A proposed rule change filed pursuant to Rule 19b-4(f)(6) under the 
Act \15\ normally does not become operative for 30 days after the date 
of its filing. However, Rule 19b-4(f)(6) permits the Commission to 
designate a shorter time if such action is consistent with the 
protection of investors and the public interest. The Exchange has asked 
the Commission to waive the 30-day operative delay, noting that the 
Commission has previously approved listing and trading of the Fund on 
the Exchange, the Shares have not yet commenced trading, the proposed 
changes in this filing will not impact the operation of the Fund or the 
Index as described in the Prior Release, and the Adviser is prepared to 
commence Exchange listing and trading prior to the end of the 30-day 
operative-delay period. The Exchange proposes to correct the 
representation made in the Prior Release to state that CBOE, and not 
S&P, compiles, maintains, and owns the Index, and that CBOE is the 
Index Provider. Both S&P and CBOE are not broker-dealers and are not 
affiliated with a broker-dealer and have implemented procedures 
designed to prevent the use and dissemination of

[[Page 53241]]

material, non-public information regarding the Index. In addition, the 
Exchange is reflecting changes to the name of the Index underlying the 
Fund and to the name of the Fund, as described above. The changes to 
the representation regarding the Index Provider described herein will 
be effective upon filing with the Commission of another amendment to 
the Trust's Registration Statement. The changes to the name of the 
Index underlying the Fund and the name of the Fund were reflected in a 
July 18, 2012 amendment to the Registration Statement.\16\ The Fund 
will comply with all requirements under NYSE Arca Equities Rule 
5.2(j)(3).\17\ Except for the changes noted above, all other 
representations made in the Prior Release remain unchanged. For the 
foregoing reasons, the Commission believes that waiving the 30-day 
operative delay would be consistent with the protection of investors 
and the public interest.\18\ Therefore, the Commission designates the 
proposal operative upon filing.
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    \15\ 17 CFR 240.19b-4(f)(6).
    \16\ See note 5, supra.
    \17\ See note 10, supra.
    \18\ For purposes only of waiving the 30-day operative delay, 
the Commission has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-NYSEArca-2012-90 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-NYSEArca-2012-90. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549, on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available 
for inspection and copying at the principal office of 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-2012-90 and should 
be submitted on or before September 21, 2012.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\19\
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    \19\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-21493 Filed 8-30-12; 8:45 am]
BILLING CODE 8011-01-P