[Federal Register Volume 80, Number 112 (Thursday, June 11, 2015)]
[Notices]
[Pages 33309-33316]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-14242]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-75115; File No. SR-NYSEArca-2015-02]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Amendment No. 1 and Order Instituting Proceedings To Determine 
Whether To Approve or Disapprove a Proposed Rule Change, as Modified by 
Amendment No. 1 Thereto, To Amend NYSE Arca Equities Rule 8.600 To 
Adopt Generic Listing Standards for Managed Fund Shares

June 5, 2015.
    On February 17, 2015, NYSE Arca, Inc. (``NYSE Arca'' or 
``Exchange'') filed with the Securities and Exchange Commission 
(``SEC'' or ``Commission''), pursuant to Section 19(b)(1) of the 
Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 
thereunder,\2\ a proposed rule change to amend NYSE Arca Equities Rule 
8.600 to adopt generic listing standards for Managed Fund Shares. The 
proposed rule change was published for comment in the Federal Register 
on March 10, 2015.\3\ The Commission received three comments on the 
proposal.\4\ On April 17, 2015, pursuant to Section 19(b)(2) of the 
Act,\5\ the Commission designated a longer period within which to 
either approve the proposed rule change, disapprove the proposed rule 
change, or institute proceedings to determine whether to disapprove the 
proposed rule change.\6\
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 74433 (Mar. 4, 
2015), 80 FR 12690 (``Notice'').
    \4\ See letter dated March 31, 2015 from Anonymous; letter dated 
March 31, 2015 from Dorothy Donohue, Deputy General Counsel, 
Securities Regulation, Investment Company Institute (``ICI''), to 
Brent J. Fields, Secretary, Commission; and letter dated March 31, 
2015 from Thomas E. Faust Jr., Chairman and Chief Executive Officer, 
Eaton Vance Corp. (``Eaton Vance''), to Brent J. Fields, Secretary, 
Commission (all comments to the proposed rule change are available 
on the Commission's Web site at http://www.sec.gov/comments/sr-nysearca-2015-02/nysearca201502.shtml). ICI expressed strong support 
for the proposal, stating that it would add certainty and uniformity 
to the ETF listing process. Eaton Vance also expressed support for 
the proposal and offered suggestions to enhance the disclosure 
regime for Managed Fund Shares. The anonymous commenter said ``Great 
job!''
    \5\ 15 U.S.C. 78s(b)(2).
    \6\ See Securities Exchange Act Release No. 74755, 80 FR 22762 
(Apr. 23, 2014). The Commission determined that it was appropriate 
to designate a longer period within which to take action on the 
proposed rule change so that it has sufficient time to consider the 
proposed rule change and the comments received. Accordingly, the 
Commission designated June 8, 2015 as the date by which it should 
approve, disapprove, or institute proceedings to determine whether 
to disapprove the proposed rule change.
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    Pursuant to Section 19(b)(1) of the Act \7\ and Rule 19b-4 
thereunder,\8\ notice is hereby given that, on June 3, 2015, the 
Exchange filed with the Commission Amendment No. 1 to the proposed rule 
change, as described in Sections I and II below, which Sections have 
been prepared by the Exchange.\9\ The Commission is publishing this 
notice to solicit comments on the proposed rule change, as modified by 
Amendment No. 1 thereto, from interested persons.
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    \7\ 15 U.S.C.78s(b)(1).
    \8\ 17 CFR 240.19b-4.
    \9\ Amendment No. 1 amends and replaces the filing, SR-NYSEArca-
2015-02, and supersedes such filing in its entirety (Amendment No. 1 
to the proposed rule change is also available on the Commission's 
Web site at http://www.sec.gov/comments/sr-nysearca-2015-02/nysearca201502.shtml).
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    Additionally, this order institutes proceedings under Section 
19(b)(2)(B) of the Act \10\ to determine whether to approve or 
disapprove the proposed rule change, as modified by Amendment No. 1 
thereto, as discussed in Section III below. The institution of 
proceedings does not indicate that the Commission has reached any 
conclusions with respect to any of the issues involved, nor does it 
mean that the Commission will ultimately disapprove the proposed rule 
change. Rather, as described in Section III, below, the Commission 
seeks and encourages interested persons to provide additional comment 
on the proposed rule change to inform the Commission's analysis of 
whether to

[[Page 33310]]

approve or disapprove the proposed rule change.
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    \10\ 15 U.S.C. 78s(b)(2)(B).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to amend NYSE Arca Equities Rule 8.600 to 
adopt generic listing standards for 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 amend NYSE Arca Equities Rule 8.600 to 
adopt generic listing standards for Managed Fund Shares. Under the 
Exchange's current rules, a proposed rule change must be filed with the 
Commission for the listing and trading of each new series of Managed 
Fund Shares. The Exchange believes that it is appropriate to codify 
certain rules within Rule 8.600 that would generally eliminate the need 
for such proposed rule changes, which would create greater efficiency 
and promote uniform standards in the listing process.\11\
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    \11\ This Amendment No. 1 to SR-NYSEArca-2015-02 replaces SR-
NYSEArca-2015-02 as originally filed and supersedes such filing in 
its entirety.
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Background
    Rule 8.600 sets forth certain rules related to the listing and 
trading of Managed Fund Shares.\12\ Under Rule 8.600(c)(1), the term 
``Managed Fund Share'' means a security that:
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    \12\ See Securities Exchange Act Release No. 57619 (April 4, 
2008), 73 FR 19544 (April 10, 2008) (SR-NYSEArca-2008-25) (order 
approving NYSE Arca Equities Rule 8.600 and listing and trading of 
shares of certain issues of Managed Fund Shares) (the ``Approval 
Order''). The Approval Order approved the rules permitting the 
listing and trading of Managed Fund Shares, trading hours and halts, 
listing fees applicable to Managed Fund Shares, and the listing and 
trading of several individual series of Managed Fund Shares.
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    (a) Represents an interest in a registered investment company 
(``Investment Company'') organized as an open-end management investment 
company or similar entity, that invests in a portfolio of securities 
selected by the Investment Company's investment adviser (hereafter 
``Adviser'') consistent with the Investment Company's investment 
objectives and policies;
    (b) is issued in a specified aggregate minimum number in return for 
a deposit of a specified portfolio of securities and/or a cash amount 
with a value equal to the next determined net asset value; and
    (c) when aggregated in the same specified minimum number, may be 
redeemed at a holder's request, which holder will be paid a specified 
portfolio of securities and/or cash with a value equal to the next 
determined net asset value.
    Effectively, Managed Fund Shares are securities issued by an 
actively-managed open-end Investment Company (i.e., an actively-managed 
exchange-traded fund (``ETF'')). Because Managed Fund Shares are 
actively-managed, they do not seek to replicate the performance of a 
specified passive index of securities. Instead, they generally use an 
active investment strategy to seek to meet their investment objectives. 
In contrast, an open-end Investment Company that issues Investment 
Company Units (``Units''), listed and traded on the Exchange pursuant 
to NYSE Arca Equities Rule 5.2(j)(3), seeks to provide investment 
results that generally correspond to the price and yield performance of 
a specific foreign or domestic stock index, fixed income securities 
index or combination thereof.
    All Managed Fund Shares listed and/or traded pursuant to Rule 8.600 
(including pursuant to unlisted trading privileges) are subject to the 
full panoply of Exchange rules and procedures that currently govern the 
trading of equity securities on the Exchange.\13\
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    \13\ See Approval Order, supra note 12, at 19547.
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    In addition, Rule 8.600(d) currently provides for the criteria that 
Managed Fund Shares must satisfy for initial and continued listing on 
the Exchange, including, for example, that a minimum number of Managed 
Fund Shares are required to be outstanding at the time of commencement 
of trading on the Exchange. However, the current process for listing 
and trading new series of Managed Fund Shares on the Exchange requires 
that the Exchange submit a proposed rule change with the Commission. In 
this regard, Commentary .01 to Rule 8.600 specifies that the Exchange 
will file separate proposals under Section 19(b) of the Act (hereafter, 
a ``proposed rule change'') before listing and trading of shares of an 
issue of Managed Fund Shares.
Proposed Changes to Rule 8.600
    The Exchange would amend Commentary .01 to Rule 8.600 to specify 
that the Exchange may approve Managed Fund Shares for listing and/or 
trading (including pursuant to unlisted trading privileges) pursuant to 
SEC Rule 19b-4(e) under the Act, which pertains to derivative 
securities products (``SEC Rule 19b-4(e)'').\14\ SEC Rule 19b-4(e)(1) 
provides that the listing and trading of a new derivative securities 
product by a self-regulatory organization (``SRO'') is not deemed a 
proposed rule change, pursuant to paragraph (c)(1) of Rule 19b-4,\15\ 
if the Commission has approved, pursuant to section 19(b) of the Act, 
the SRO's trading rules, procedures and listing standards for the 
product class that would include the new derivative securities product 
and the SRO has a surveillance program for the product class. This is 
the current method pursuant to which ``passive'' ETFs are listed under 
NYSE Arca Equities Rule 5.2(j)(3).
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    \14\ 17 CFR 240.19b-4(e). As provided under SEC Rule 19b-4(e), 
the term ``new derivative securities product'' means any type of 
option, warrant, hybrid securities product or any other security, 
other than a single equity option or a security futures product, 
whose value is based, in whole or in part, upon the performance of, 
or interest in, an underlying instrument.
    \15\ 17 CFR 240.19b-4(c)(1). As provided under SEC Rule 19b-
4(c)(1), a stated policy, practice, or interpretation of the SRO 
shall be deemed to be a proposed rule change unless it is reasonably 
and fairly implied by an existing rule of the SRO.
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    The Exchange would also specify within Commentary .01 to Rule 8.600 
that components of Managed Fund Shares listed pursuant to SEC Rule 19b-
4(e) must satisfy on an initial and continued basis certain specific 
criteria, which the Exchange would include within Commentary .01, as 
described in greater detail below. As proposed, the Exchange would 
continue to file separate proposed rule changes before the listing and 
trading of Managed Fund Shares with components that do not satisfy the 
additional criteria described below or components other than those 
specified below. For example, if the components of a Managed Fund Share 
exceeded one of the applicable thresholds, the Exchange would file a

[[Page 33311]]

separate proposed rule change before listing and trading such Managed 
Fund Share. Similarly, if the components of a Managed Fund Share 
included a security or asset that is not specified below, the Exchange 
would file a separate proposed rule change.
    The Exchange would also add to the criteria of Rule 8.600(c) to 
provide that the Web site for each series of Managed Fund Shares shall 
disclose certain information regarding the Disclosed Portfolio, to the 
extent applicable. The required information includes the following, to 
the extent applicable: ticker symbol, CUSIP or other identifier, a 
description of the holding, identity of the asset upon which the 
derivative is based, the strike price for any options, the quantity of 
each security or other asset held as measured by select metrics, 
maturity date, coupon rate, effective date, market value and percentage 
weight of the holding in the portfolio.\16\
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    \16\ Proposed rule changes for previously-listed series of 
Managed Fund Shares have similarly included disclosure requirements 
with respect to each portfolio holding, as applicable to the type of 
holding. See, e.g. Securities Exchange Act Release No. 72666 (July 
3, 2014), 79 FR 44224 (July 30, 2014) (SR-NYSEArca-2013-122) (the 
``PIMCO Total Return Use of Derivatives Approval''), at 44227.
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    In addition, the Exchange would amend Rule 8.600(d) to specify that 
all Managed Fund Shares must have a stated investment objective, which 
must be adhered to under normal market conditions.\17\
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    \17\ The Exchange would also add a new defined term under Rule 
8.600(c)(5) to specify that the term ``normal market conditions'' 
includes, but is not limited to, the absence of trading halts in the 
applicable 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.
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    Finally, the Exchange would also amend the continued listing 
requirement in Rule 8.600(d)(2)(A) by changing the requirement that a 
Portfolio Indicative Value for Managed Fund Shares be widely 
disseminated by one or more major market data vendors at least every 15 
seconds during the time when the Managed Fund Shares trade on the 
Exchange to a requirement that a Portfolio Indicative Value be widely 
disseminated by one or more major market data vendors at least every 15 
seconds during the Core Trading Session (as defined in NYSE Arca 
Equities Rule 7.34).
Proposed Managed Fund Share Portfolio Standards
    The Exchange is proposing standards that would pertain to Managed 
Fund Shares to qualify for listing and trading pursuant to SEC Rule 
19b-4(e). These standards would be grouped according to security or 
asset type. The Exchange notes that the standards proposed for a 
Managed Fund Share portfolio that holds domestic equity securities, 
Derivative Securities Products and Index-Linked Securities are based in 
large part on the existing equity security standards applicable to 
Units in Commentary .01 to Rule 5.2(j)(3). The standards proposed for a 
Managed Fund Share portfolio that holds fixed income securities are 
based in large part on the existing fixed income security standards 
applicable to Units in Commentary .02 to Rule 5.2(j)(3). Many of the 
standards proposed for other types of holdings in a Managed Fund Share 
portfolio are based on previous proposed rule changes for specific 
series of Managed Fund Shares.\18\
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    \18\ See the PIMCO Total Return Use of Derivatives Approval. See 
also, Securities Exchange Act Release Nos. 66321 (February 3, 2012), 
77 FR 6850 (February 9, 2012) (SR-NYSEArca-2011-95) (the ``PIMCO 
Total Return Approval''); [sic] 69244 (March 27, 2013), 78 FR 19766 
(April 2, 2013) (SR-NYSEArca-2013-08) (the ``SPDR Blackstone/GSO 
Senior Loan Approval''); 68870 (February 8, 2013), 78 FR 11245 
(February 15, 2013) (SR-NYSEArca-2012-139) (the ``First Trust 
Preferred Securities and Income Approval''); 69591 (May 16, 2013), 
78 FR 30372 (May 22, 2013) (SR-NYSEArca-2013-33) (the 
``International Bear Approval''); 61697 (March 12, 2010), 75 FR 
13616 (March 22, 2010) (SR-NYSEArca-2010-04) (the ``WisdomTree Real 
Return Approval''); and 67054 (May 24, 2012), 77 FR 32161 (May 31, 
2012) (SR-NYSEArca-2012-25) (the ``WisdomTree Brazil Bond 
Approval''). Certain standards proposed herein for Managed Fund 
Shares are also based on previous proposed rule changes for specific 
series of Units for which Commission approval for listing was 
required due to the Units not satisfying certain standards of 
Commentary .01 and .02 to Rule 5.2(j)(3). See Securities Exchange 
Act Release Nos. 67985 (October 4, 2012), 77 FR 61804 (October 11, 
2012) (SR-NYSEArca-2012-92) (the ``iShares 2018 S&P AMT-Free 
Municipal Series and iShares 2019 S&P AMT-Free Municipal Series 
Approval''); 63881(February 9, 2011), 76 FR 9065 (February 16, 2011) 
(SR-NYSEArca-2010-120) (the ``SPDR Nuveen S&P High Yield Municipal 
Bond ETF Approval''); 63176 (October 25, 2010), 75 FR 66815 (October 
29, 2010) (SR-NYSEArca-2010-94) (the ``iShares Taxable Municipal 
Bond Fund Approval''); and 69373 (April 15, 2013), 78 FR 23601 
(April 19, 2013) (SR-NYSEArca-2012-108) (the ``NYSE Arca U.S. Equity 
Synthetic Reverse Convertible Index Fund Approval'').
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    Proposed Commentary .01(a) would describe the standards for a 
Managed Fund Share portfolio that holds equity securities, which are 
defined to be U.S. Component Stocks,\19\ Derivative Securities 
Products,\20\ and Index-Linked Securities \21\ listed on a national 
securities exchange as follows:
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    \19\ For the purposes of Commentary .01 and this proposal, the 
term ``U.S. Component Stocks'' would have the same meaning as 
defined in NYSE Arca Equities Rule 5.2(j)(3).
    \20\ For the purposes of Commentary .01 and this proposal, the 
term ``Derivative Securities Products'' would have the same meaning 
as defined in NYSE Arca Equities Rule 7.34(a)(4)(A).
    \21\ Index-Linked Securities are securities listed under NYSE 
Arca Equities Rule 5.2(j)(6).
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    (1) Component stocks (excluding Derivative Securities Products and 
Index-Linked Securities) that in the aggregate account for at least 90% 
of the equity weight of the portfolio (excluding such Derivative 
Securities Products and Index-Linked Securities) each must have a 
minimum market value of at least $75 million; \22\
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    \22\ This proposed text is identical to the corresponding text 
of Commentary .01(a)(A)(1) to Rule 5.2(j)(3), except for the 
omission of the reference to ``index,'' which is not applicable, and 
the addition of the reference to Index-Linked Securities.
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    (2) Component stocks (excluding Derivative Securities Products and 
Index-Linked Securities) that in the aggregate account for at least 70% 
of the equity weight of the portfolio (excluding such Derivative 
Securities Products and Index-Linked Securities) each must have a 
minimum monthly trading volume of 250,000 shares, or minimum notional 
volume traded per month of $25,000,000, averaged over the last six 
months; \23\
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    \23\ This proposed text is identical to the corresponding text 
of Commentary .01(a)(A)(2) to Rule 5.2(j)(3), except for the 
omission of the reference to ``index,'' which is not applicable, and 
the addition of the reference to Index-Linked Securities.
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    (3) The most heavily weighted component stock (excluding Derivative 
Securities Products and Index-Linked Securities) must not exceed 30% of 
the equity weight of the portfolio, and, to the extent applicable, the 
five most heavily weighted component stocks (excluding Derivative 
Securities Products and Index-Linked Securities) must not exceed 65% of 
the equity weight of the portfolio; \24\
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    \24\ This proposed text is identical to the corresponding text 
of Commentary .01(a)(A)(3) to Rule 5.2(j)(3), except for the 
omission of the reference to ``index,'' which is not applicable, and 
the addition of the reference to Index-Linked Securities.
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    (4) A portfolio that includes any equity security as described in 
Commentary .01(a) shall include a minimum of 13 component stocks; 
provided, however, that there shall be no minimum number of component 
stocks if (a) one or more series of Derivative Securities Products or 
Index-Linked Securities constitute, at least in part, components 
underlying a series of Managed Fund Shares, or (b) one or more series 
of Derivative Securities Products or Index-Linked Securities account 
for 100% of the equity weight

[[Page 33312]]

of the portfolio of a series of Managed Fund Shares; \25\
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    \25\ This proposed text is identical to the corresponding text 
of Commentary .01(a)(A)(4) to Rule 5.2(j)(3), except for the 
omission of the reference to ``index,'' which is not applicable, the 
addition of the reference to Index-Linked Securities, and the 
reference to the 100% limit applying to the ``equity portion'' of 
the portfolio.
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    (5) Except as provided in proposed Commentary .01(a), equity 
securities in the portfolio must be U.S. Component Stocks listed on a 
national securities exchange and must be NMS Stocks as defined in Rule 
600 of Regulation NMS; \26\
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    \26\ 17 CFR 240.600. This proposed text is identical to the 
corresponding text of Commentary .01(a)(A)(5) to Rule 5.2(j)(3), 
except for the addition of ``equity'' to make clear that the 
standard applies to ``equity securities'', the exclusion of 
unsponsored ADRs, and the omission of the reference to ``index,'' 
which is not applicable.
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    (6) For Derivative Securities Products and Index-Linked Securities, 
no more than 25% of the equity weight of the portfolio could include 
leveraged and/or inverse leveraged Derivative Securities Products or 
Index-Linked Securities; and
    (7) American Depositary Receipts (``ADRs'') may be sponsored or 
unsponsored. However no more than 10% of the equity weight of the 
portfolio shall consist of unsponsored ADRs.
    Proposed Commentary .01(b) would describe the standards for a 
Managed Fund Share portfolio that holds fixed income securities, which 
are debt securities \27\ that are notes, bonds, debentures or evidence 
of indebtedness that include, but are not limited to, U.S. Department 
of Treasury securities (``Treasury Securities''), government-sponsored 
entity securities (``GSE Securities''), municipal securities, trust 
preferred securities, supranational debt and debt of a foreign country 
or a subdivision thereof, investment grade and high yield corporate 
debt, bank loans, mortgage and asset backed securities, and commercial 
paper. The applicable portfolio holdings standards would be as follows:
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    \27\ Debt securities include a variety of fixed income 
obligations, including, but not limited to, corporate debt 
securities, government securities, municipal securities, convertible 
securities, and mortgage-backed securities. Debt securities include 
investment-grade securities, non-investment-grade securities, and 
unrated securities. Debt securities also include variable and 
floating rate securities. To the extent a fund holds a convertible 
security, the equity security into which such security is converted 
would be required to meet the criteria of proposed Commentary 
.01(a).
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    (1) Components that in the aggregate account for at least 75% of 
the fixed income weight of the portfolio shall meet the following:
    (i) Each shall have a minimum original principal amount outstanding 
of $100 million or more; \28\ or
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    \28\ This text of proposed Commentary .01(b)(1)(i) to Rule 8.600 
is based on the corresponding text of Commentary .02(a)(2) to Rule 
5.2(j)(3) .
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    (ii) if a municipal bond component, such component shall be issued 
in an offering with an aggregate size, as set forth in the official 
statement of the offering, of $100 million or more; \29\
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    \29\ This proposed text is similar to the amendment to 
Commentary .02(a)(2) to Rule 5.2(j)(3) as proposed in SR-NYSEArca-
2015-01. See Securities Exchange Act Release No. 74175 (January 29, 
2015), 80 FR 6150 (February 4, 2015) (notice of filing of proposed 
rule change amending NYSE Arca Equities Rule 5.2(j)(3), Commentary 
.02 relating to listing of Investment Company Units based on 
municipal bond indexes). Proposed rule changes for series of Units 
previously listed and traded on the Exchange pursuant to Rule 
5.2(j)(3) similarly included the ability for such Units' holdings to 
include municipal bond components with individual principal amount 
outstanding of less than $100 million. See, e.g., iShares 2018 S&P 
AMT-Free Municipal Series and iShares 2019 S&P AMT-Free Municipal 
Series Approval, supra note 18, at 61807; SPDR Nuveen S&P High Yield 
Municipal Bond ETF Approval, supra note 18, at 9066; and iShares 
Taxable Municipal Bond Fund Approval, supra note 18, at 66815-6. The 
proposed rule takes into account features of municipal bonds that 
differ from those of most other Fixed Income Securities. 
Principally, municipal bonds are issued with either ``serial'' or 
``term'' maturities or some combination thereof. The official 
statement issued in connection with a municipal bond offering 
describes the terms of the bonds and the issuer and/or obligor on 
the related bonds, which is comprised of a number of specific 
maturity sizes. The entire issue (sometimes referred to as the 
``deal size'') receives the same credit rating and the various 
maturities are all subject to the provisions set forth in the 
official statement. The entire issue is based on a specified project 
or group of related projects and funded by the same revenue or other 
funding sources identified in the official statement. The Exchange 
believes that the proposed rule change is reasonable and appropriate 
in that pricing and liquidity of such maturity sizes is 
predominately based on the common characteristics of the aggregate 
issue of which the municipal bond is part. Thus, consideration of 
the aggregate issue rather than the individual bond component does 
not raise concerns regarding pricing or liquidity of the index 
components or of the Units overlying the applicable municipal bond 
index.
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    (2) No component fixed-income security (excluding Treasury 
Securities and GSE Securities) could represent more than 30% of the 
fixed income weight of the portfolio, and the five most heavily 
weighted component fixed income securities in the portfolio must not in 
the aggregate account for more than 65% of the fixed income weight of 
the portfolio,\30\
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    \30\ This proposed text is identical to the corresponding text 
of Commentary .02(a)(4) to Rule 5.2(j)(3), except for the omission 
of the reference to ``index,'' which is not applicable.
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    (3) An underlying portfolio (excluding exempted securities) that 
includes fixed income securities must include a minimum of 13 non-
affiliated issuers; provided, however, that there shall be no minimum 
number of non-affiliated issuers required for fixed income securities 
if at least 70% of the weight of the portfolio consists of equity 
securities as described in proposed Commentary .01(a).\31\
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    \31\ This proposed text is similar to the corresponding text of 
Commentary .02(a)(5) to Rule 5.2(j)(3), except for the omission of 
the reference to ``index,'' which is not applicable, the exclusion 
of the text ``consisting entirely of exempted securities'' and the 
provision that there shall be no minimum number of non-affiliated 
issuers required for fixed income securities if at least 70% of the 
weight of the portfolio consists of equity securities as described 
in proposed Commentary .01(a).
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    (4) Component securities that in aggregate account for at least 90% 
of the fixed income weight of the portfolio must be either (a) from 
issuers that are required to file reports pursuant to Sections 13 and 
15(d) of the Act; (b) from issuers that have a worldwide market value 
of its outstanding common equity held by non-affiliates of $700 million 
or more; (c) from issuers that have outstanding securities that are 
notes, bonds debentures, or evidence of indebtedness having a total 
remaining principal amount of at least $1 billion; (d) exempted 
securities as defined in Section 3(a)(12) of the Act; or (e) from 
issuers that are a government of a foreign country or a political 
subdivision of a foreign country; and
    (5) Non-agency, non-GSE and privately-issued mortgage-related and 
other asset-backed securities components of a portfolio shall not 
account, in the aggregate, for more than 20% of the weight of the fixed 
income portion of the portfolio.
    Proposed Commentary .01(c) would describe the standards for a 
Managed Fund Share portfolio that holds cash and cash equivalents.\32\ 
Specifically, the portfolio may hold short-term instruments with 
maturities of less than 3 months. There would be no limitation to the 
percentage of the portfolio invested in such holdings. Short-term 
instruments would include the following: \33\
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    \32\ Proposed rule changes for previously-listed series of 
Managed Fund Shares have similarly included the ability for such 
Managed Fund Share holdings to include cash and cash equivalents. 
See, e.g., SPDR Blackstone/GSO Senior Loan Approval, supra note 18, 
at 19768-69 and First Trust Preferred Securities and Income 
Approval, supra note 18, at 76150.
    \33\ Proposed rule changes for previously-listed series of 
Managed Fund Shares have similarly specified short-term instruments 
with respect to their inclusion in Managed Fund Share holdings. See, 
e.g., First Trust Preferred Securities and Income Approval, supra 
note 18, at 76150-51.
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    (1) U.S. Government securities, including bills, notes and bonds 
differing as to maturity and rates of interest, which are either issued 
or guaranteed by the U.S. Treasury or by

[[Page 33313]]

U.S. Government agencies or instrumentalities;
    (2) certificates of deposit issued against funds deposited in a 
bank or savings and loan association;
    (3) bankers' acceptances, which are short-term credit instruments 
used to finance commercial transactions;
    (4) repurchase agreements and reverse repurchase agreements;
    (5) bank time deposits, which are monies kept on deposit with banks 
or savings and loan associations for a stated period of time at a fixed 
rate of interest;
    (6) commercial paper, which are short-term unsecured promissory 
notes; and
    (7) money market funds.
    Proposed Commentary .01(d) would describe the standards for a 
Managed Fund Share portfolio that holds listed derivatives, including 
futures, options and swaps on commodities, currencies and financial 
instruments (e.g., stocks, fixed income, interest rates, and 
volatility) or a basket or index of any of the foregoing.\34\ There 
would be no limitation to the percentage of the portfolio invested in 
such holdings; provided, however, that, in the aggregate, at least 90% 
of the weight of such holdings invested in futures and exchange-traded 
options shall consist of futures and options whose principal market is 
a member of the Intermarket Surveillance Group (``ISG'') or is a market 
with which the Exchange has a comprehensive surveillance sharing 
agreement (``CSSA'').\35\ Proposed Commentary .01(e) would describe the 
standards for a Managed Fund Share portfolio that holds over the 
counter (``OTC'') derivatives, including forwards, options and swaps on 
commodities, currencies and financial instruments (e.g., stocks, fixed 
income, interest rates, and volatility) or a basket or index of any of 
the foregoing.\36\ Proposed Commentary .01(e)(1) would provide that no 
more than 60% of the assets in the portfolio may be invested in OTC 
derivatives, provided, however, that no more than 20% of the assets in 
the portfolio may be invested in OTC derivatives that are not centrally 
cleared.
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    \34\ Proposed rule changes for previously-listed series of 
Managed Fund Shares have similarly included the ability for such 
Managed Fund Share holdings to include listed derivatives. See, 
e.g., WisdomTree Real Return Approval, supra note 18, at 13617 and 
WisdomTree Brazil Bond Approval, supra note 18, at 32163.
    \35\ ISG is comprised of an international group of exchanges, 
market centers, and market regulators that perform front-line market 
surveillance in their respective jurisdictions. See https://www.isgportal.org/home.html.
    \36\ A proposed rule change for series of Units previously 
listed and traded on the Exchange pursuant to Rule 5.2(j)(3) 
similarly included the ability for such Units' holdings to include 
OTC derivatives, specifically OTC down-and-in put options, which are 
not NMS Stocks as defined in Rule 600 of Regulation NMS and 
therefore do not satisfy the requirements of Commentary .01(a)(A) to 
Rule 5.2(j)(3). See, e.g., NYSE Arca U.S. Equity Synthetic Reverse 
Convertible Index Fund Approval, supra note 18, at 23602.
---------------------------------------------------------------------------

    Proposed Commentary .01(f) would provide that, to the extent that 
listed or OTC derivatives are used to gain exposure to individual 
equities and/or fixed income securities, or to indexes of equities and/
or fixed income securities, such equities and/or fixed income 
securities, as applicable, shall meet the criteria set forth in 
Commentary .01(a) and .01(b) to Rule 8.600, respectively.
    The Exchange believes that the proposed standards would continue to 
ensure transparency surrounding the listing process for Managed Fund 
Shares. Additionally, the Exchange believes that the proposed portfolio 
standards for listing and trading Managed Fund Shares, many of which 
track existing Exchange rules relating to Units, are reasonably 
designed to promote a fair and orderly market for such Managed Fund 
Shares.\37\ These proposed standards would also work in conjunction 
with the existing initial and continued listing criteria related to 
surveillance procedures and trading guidelines.
---------------------------------------------------------------------------

    \37\ See Approval Order, supra note 12 at 19548.
---------------------------------------------------------------------------

    In support of this proposal, the Exchange represents that: \38\
---------------------------------------------------------------------------

    \38\ The Exchange made similar representations in the Approval 
Order. See id. at 19549.
---------------------------------------------------------------------------

    (1) the Managed Fund Shares will continue to conform to the initial 
and continued listing criteria under Rule 8.600;
    (2) the Exchange's surveillance procedures are adequate to continue 
to properly monitor the trading of the Managed Fund Shares in all 
trading sessions and to deter and detect violations of Exchange rules. 
Specifically, the Exchange intends to utilize its existing surveillance 
procedures applicable to derivative products, which will include 
Managed Fund Shares, to monitor trading in the Managed Fund Shares;
    (3) prior to the commencement of trading of a particular series of 
Managed Fund Shares, the Exchange will inform its Equity Trading Permit 
(``ETP'') Holders in a Bulletin of the special characteristics and 
risks associated with trading the Managed Fund Shares, including 
procedures for purchases and redemptions of Managed Fund Shares, 
suitability requirements under NYSE Arca Equities Rule 9.2(a), the 
risks involved in trading the Managed Fund Shares during the Opening 
and Late Trading Sessions when an updated Portfolio Indicative Value 
will not be calculated or publicly disseminated, information regarding 
the Portfolio Indicative Value and the Disclosed Portfolio, prospectus 
delivery requirements, and other trading information. In addition, the 
Bulletin will disclose that the Managed Fund Shares are subject to 
various fees and expenses, as described in the Registration Statement, 
and will discuss any exemptive, no-action, and interpretive relief 
granted by the Commission from any rules under the Act. Finally, the 
Bulletin will disclose that the net asset value for the Managed Fund 
Shares will be calculated after 4 p.m. ET each trading day; and
    (4) the issuer of a series of Managed Fund Shares will be required 
to comply with Rule 10A-3 under the Act for the initial and continued 
listing of Managed Fund Shares, as provided under NYSE Arca Equities 
Rule 5.3.
    The Exchange notes that the proposed change is not otherwise 
intended to address any other issues and that the Exchange is not aware 
of any problems that ETP Holders or issuers would have in complying 
with the proposed change.
2. Statutory Basis
    The Exchange believes that the proposed rule change is consistent 
with Section 6(b) of the Act,\39\ in general, and furthers the 
objectives of Section 6(b)(5) of the Act,\40\ in particular, because it 
is 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.
---------------------------------------------------------------------------

    \39\ 15 U.S.C. 78f(b).
    \40\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    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 because it would facilitate the listing and trading of 
additional Managed Fund Shares, which would enhance competition among 
market participants, to the benefit of investors and the marketplace. 
Specifically, after more than six years under the current process, 
whereby the Exchange is required to file a proposed rule change with 
the Commission for the listing and trading of each new series of 
Managed Fund Shares, the Exchange believes that it is appropriate to 
codify certain rules within Rule 8.600 that would generally eliminate 
the need for separate proposed rule changes. The Exchange

[[Page 33314]]

believes that this would facilitate the listing and trading of 
additional types of Managed Fund Shares that have investment portfolios 
that are similar to investment portfolios for Units, which have been 
approved for listing and trading, thereby creating greater efficiencies 
in the listing process for the Exchange and the Commission. In this 
regard, the Exchange notes that the standards proposed for Managed Fund 
Share portfolios that include domestic equity securities, Derivative 
Securities Products, and Index-Linked Securities are based in large 
part on the existing equity security standards applicable to Units in 
Commentary .01 to Rule 5.2(j)(3) and that the standards proposed for 
Managed Fund Share portfolios that include fixed income securities are 
based in large part on the existing fixed income standards applicable 
to Units in Commentary .02 to Rule 5.2(j)(3). Additionally, many of the 
standards proposed for other types of holdings of series of Managed 
Fund Shares are based on previous proposed rule changes for specific 
series of Managed Fund Shares.\41\
---------------------------------------------------------------------------

    \41\ See supra, note 18.
---------------------------------------------------------------------------

    With respect to the proposed addition to the criteria of Rule 
8.600(c) to provide that the Web site for each series of Managed Fund 
Shares shall disclose certain information regarding the Disclosed 
Portfolio, to the extent applicable, the Exchange notes that proposed 
rule changes approved by the Commission for previously-listed series of 
Managed Fund Shares have similarly included disclosure requirements 
with respect to each portfolio holding, as applicable to the type of 
holding.\42\ With respect to the proposed exclusion of Derivatives 
Securities Products and Index-Linked Securities from the requirements 
of proposed Commentary .01(a) of Rule 8.600, the Exchange believes it 
is appropriate to exclude Index-Linked Securities as well as Derivative 
Securities Products from certain component stock eligibility criteria 
for Managed Fund Shares in so far as Derivative Securities Products and 
Index-Linked Securities are themselves subject to specific quantitative 
listing and continued listing requirements of a national securities 
exchange on which such securities are listed. Derivative Securities 
Products and Index-Linked Securities that are components of a fund's 
portfolio would have been listed and traded on a national securities 
exchange pursuant to a proposed rule change approved by the Commission 
pursuant to Section 19(b)(2) of the Act \43\ or submitted by a national 
securities exchange pursuant to Section 19(b)(3)(A) of the Act \44\ or 
would have been listed by a national securities exchange pursuant to 
the requirements of Rule 19b-4(e) under the Act.\45\ The Exchange also 
notes that Derivative Securities Products and Index-Linked Securities 
are derivatively priced, and, therefore, the Exchange believes that it 
would not be necessary to apply the proposed generic quantitative 
criteria (e.g., market capitalization, trading volume, or portfolio 
component weighting) applicable to equity securities other than 
Derivative Securities Products or Index-Linked Securities (e.g., common 
stocks) to such products.\46\
---------------------------------------------------------------------------

    \42\ See supra, note 16.
    \43\ 15 U.S.C. 78s(b)(2).
    \44\ 15 U.S.C. 78s(b)(3)(A).
    \45\ 17 CFR 240.19b-4(e).
    \46\ See Securities Exchange Act Release Nos. 57561 (March 26, 
2008), 73 FR 17390 (April 1, 2008) (SR-NYSEArca-2008-29) (notice of 
filing of proposed rule change to amend eligibility criteria for 
components of an index underlying Investment Company Units); 57751 
(May 1, 2008), 73 FR 25818 (May 7, 2008) (SR-NYSEArca-2008-29) 
(order approving proposed rule change to amend eligibility criteria 
for components of an index underlying Investment Company Units).
---------------------------------------------------------------------------

    With respect to the proposed amendment to the continued listing 
requirement in Rule 8.600(d)(2)(A) to require dissemination of a 
Portfolio Indicative Value at least every 15 seconds during the Core 
Trading Session (as defined in NYSE Arca Equities Rule 7.34), such 
requirement conforms to the requirement applicable to the dissemination 
of the Intraday Indicative Value for Investment Company Units in 
Commentary .01(c) and Commentary .02 (c) to NYSE Arca Equities Rule 
5.2(j)(3). In addition, such dissemination is consistent with 
representations made in proposed rule changes for issues of Managed 
Fund Shares previously approved by the Commission.\47\
---------------------------------------------------------------------------

    \47\ See, e.g., Approval Order, supra note 12; International 
Bear Approval, supra note 18.
---------------------------------------------------------------------------

    With respect to the proposed requirement in Commentary .01(b)(3) to 
Rule 8.600 that an underlying portfolio (excluding exempted securities) 
that includes fixed income securities must include a minimum of 13 non-
affiliated issuers, but that there would be no minimum number of non-
affiliated issuers required for fixed income securities if at least 70% 
of the weight of the portfolio consists of equity securities, the 
Exchange notes that such requirement is consistent with proposed 
Commentary .01(b)(2). The Exchange further notes that Commentary .02 
(a)(4) to Rule 5.2(j)(3) currently provides that a single fixed income 
security can represent up to 30% of the weight of an index underlying a 
series of Investment Company Units. Proposed Commentary .01(b)(3) to 
Rule 8.600, therefore, provides for a maximum weighting of a fixed 
income security in a fund's portfolio comparable to existing rules 
applicable to Investment Company Units based on fixed income indexes.
    With respect to proposed Commentary .01(d)(1) to Rule 8.600 
relating to listed derivatives, the Exchange believes that it is 
appropriate that there be no limit to the percentage of a portfolio 
invested in such holdings, provided that, in the aggregate, at least 
90% of the weight of such holdings invested in futures and exchange-
traded options would consist of futures and options whose principal 
market is a member of ISG or is a market with which the Exchange has a 
comprehensive surveillance sharing agreement. Such a requirement would 
facilitate information sharing among market participants trading shares 
of a series on Managed Fund Shares as well as futures and options that 
such series may hold. In addition, listed swaps would be centrally 
cleared, reducing counterparty risk and thereby furthering investor 
protection.\48\
---------------------------------------------------------------------------

    \48\ The Commission has noted that ``[c]entral clearing 
mitigates counterparty risk among dealers and other institutions by 
shifting that risk from individual counterparties to [central 
counterparties (``CCPs'')], thereby protecting CCPs from each 
other's potential failures.'' See Securities Exchange Act Release 
No. 67286 (June 28, 2012) (File No. S7-44-10) (Process for 
Submissions for Review of Security-Based Swaps for Mandatory 
Clearing and Notice Filing Requirements for Clearing Agencies).
---------------------------------------------------------------------------

    With respect to proposed Commentary .01(e) to Rule 8.600 relating 
to OTC derivatives, the Exchange believes that the limitation to 20% of 
assets for non-centrally cleared derivatives would assure that the 
preponderance of fund investments in derivatives would be in centrally 
cleared derivatives.
    With respect to proposed Commentary .01(f) to Rule 8.600 relating 
to a fund's use of listed or OTC derivatives to gain exposure to 
individual equities and/or fixed income securities, or to indexes of 
equities and/or indexes of fixed income securities, the Exchange notes 
that such exposure would be required to meet the numerical and other 
criteria set forth in proposed Commentary .01(a) and .01(b) to Rule 
8.600 respectively.
    Quotation and other market information relating to listed futures 
and options is available from the exchanges listing such instruments as 
well as from market data vendors. With respect to listed swaps, which 
are centrally cleared and traded on ``Swap Execution Facilities 
(``SEFs'')'', intraday

[[Page 33315]]

pre-trade (quoting) information, including real time streaming quotes 
and market depth is available through the facilities of the applicable 
SEF.\49\
---------------------------------------------------------------------------

    \49\ There are currently five categories of swaps eligible for 
central clearing: Interest rate swaps; credit default swaps; foreign 
exchange swaps; equity swaps; and commodity swaps. The following 
entities provide central clearing for OTC derivatives: ICE Clear 
Credit (US); ICE Clear (EU); CME Group; LCH.Clearnet; and Eurex.
---------------------------------------------------------------------------

    The Exchange notes that a fund's investments in derivative 
instruments would be subject to limits on leverage imposed by the 1940 
Act. Section 18(f) of the 1940 Act and related Commission guidance 
limit the amount of leverage an investment company can obtain. A fund's 
investments would be consistent with its investment objective and would 
not be used to enhance leverage. To limit the potential risk associated 
with a fund's use of derivatives, a fund will segregate or ``earmark'' 
assets determined to be liquid by a fund in accordance with the 1940 
Act (or, as permitted by applicable regulation, enter into certain 
offsetting positions) to cover its obligations under derivative 
instruments. A fund's investments will not be used to seek performance 
that is the multiple or inverse multiple (i.e., 2Xs and 3Xs) of a 
fund's broad-based securities market index (as defined in Form N-
1A).\50\
---------------------------------------------------------------------------

    \50\ See, e.g., Securities Exchange Act Release No. 74842 (April 
29, 2015), 86 FR 25723 (May 5, 2015) (SR-NYSEArca-2014-89) (order 
approving listing and trading of shares of eight PIMCO exchange-
traded funds).
---------------------------------------------------------------------------

    The proposed rule change is also designed to protect investors and 
the public interest because Managed Fund Shares listed and traded 
pursuant to Rule 8.600, including pursuant to the proposed new 
portfolio standards, would continue to be subject to the full panoply 
of Exchange rules and procedures that currently govern the trading of 
equity securities on the Exchange.\51\
---------------------------------------------------------------------------

    \51\ See Approval Order, supra note 12, at 19547.
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices because the 
Managed Fund Shares will be listed and traded on the Exchange pursuant 
to the initial and continued listing criteria in Rule 8.600. The 
Exchange has in place surveillance procedures that are adequate to 
properly monitor trading in the Managed Fund Shares in all trading 
sessions and to deter and detect violations of Exchange rules and 
applicable federal securities laws. The Financial Industry Regulatory 
Authority, Inc. (``FINRA''), on behalf of the Exchange, will 
communicate as needed regarding trading in Managed Fund Shares with 
other markets that are members of the ISG, including all U.S. 
securities exchanges and futures exchanges on which the components are 
traded. In addition, the Exchange may obtain information regarding 
trading in Managed Fund Shares from other markets that are members of 
the ISG, including all U.S. securities exchanges and futures exchanges 
on which the components are traded, or with which the Exchange has in 
place a CSSA.
    The Exchange also believes that the proposed rule change would 
fulfill the intended objective of Rule 19b-4(e) under the Act by 
allowing Managed Fund Shares that satisfy the proposed listing 
standards to be listed and traded without separate Commission approval. 
However, as proposed, the Exchange would continue to file separate 
proposed rule changes before the listing and trading of Managed Fund 
Shares that do not satisfy the additional criteria described above.
    For these reasons, the Exchange believes that the proposal is 
consistent with the Act.

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

    In accordance with Section 6(b)(8) of the Act,\52\ 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. Instead, the Exchange believes that the 
proposed rule change would facilitate the listing and trading of 
additional types of Managed Fund Shares and result in a significantly 
more efficient process surrounding the listing and trading of Managed 
Fund Shares, which will enhance competition among market participants, 
to the benefit of investors and the marketplace. The Exchange believes 
that this would reduce the time frame for bringing Managed Fund Shares 
to market, thereby reducing the burdens on issuers and other market 
participants and promoting competition. In turn, the Exchange believes 
that the proposed change would make the process for listing Managed 
Fund Shares more competitive by applying uniform listing standards with 
respect to Managed Fund Shares.
---------------------------------------------------------------------------

    \52\ 15 U.S.C. 78f(b)(8).
---------------------------------------------------------------------------

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. Proceedings To Determine Whether To Approve or Disapprove File No. 
SR-NYSEArca-2015-02 and Grounds for Disapproval Under Consideration

    The Commission is instituting proceedings pursuant to Section 
19(b)(2)(B) of the Act \53\ to determine whether the proposed rule 
change, as modified by Amendment No. 1 thereto, should be approved or 
disapproved. Institution of such proceedings is appropriate at this 
time in view of the legal and policy issues raised by the proposed rule 
change, as discussed below. As noted above, institution of proceedings 
does not indicate that the Commission has reached any conclusions with 
respect to any of the issues involved. Rather, as described below, the 
Commission seeks and encourages interested persons to provide comments 
on the proposed rule change to inform the Commission's analysis of 
whether to approve or disapprove the proposed rule change, as modified 
by Amendment No. 1 thereto.
---------------------------------------------------------------------------

    \53\ 15 U.S.C. 78s(b)(2)(B).
---------------------------------------------------------------------------

    Pursuant to Section 19(b)(2)(B) of the Act,\54\ the Commission is 
providing notice of the grounds for disapproval under consideration. 
The Commission is instituting proceedings to allow for additional 
analysis of the proposed rule change's consistency with Section 6(b)(5) 
of the Act, which requires, among other things, that the rules of a 
national securities exchange be ``designed to prevent fraudulent and 
manipulative acts and practices, to promote just and equitable 
principles of trade,'' and ``to protect investors and the public 
interest.'' \55\
---------------------------------------------------------------------------

    \54\ Id.
    \55\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

IV. Procedure: Request for Written Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change, as modified by Amendment No. 1 thereto, is consistent with 
Section 6(b)(5) of the Act or any other provision of the Act, or the 
rules and regulations thereunder. Although there do not appear to be 
any issues relevant to approval or disapproval which would be 
facilitated by an oral presentation of views, data, and arguments, the 
Commission will consider, pursuant to Rule 19b-4, any request for an 
opportunity to make an oral presentation.\56\
---------------------------------------------------------------------------

    \56\ Section 19(b)(2) of the Act, as amended by the Securities 
Act Amendments of 1975, Public Law 94-29 (June 4, 1975), grants the 
Commission flexibility to determine what type of proceeding--either 
oral or notice and opportunity for written comments--is appropriate 
for consideration of a particular proposal by a self-regulatory 
organization. See Securities Act Amendments of 1975, Senate Comm. on 
Banking, Housing & Urban Affairs, S. Rep. No. 75, 94th Cong., 1st 
Sess. 30 (1975).

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[[Page 33316]]

    Interested persons are invited to submit written data, views, and 
arguments regarding whether the proposal, as modified by Amendment No. 
1 thereto, should be approved or disapproved by July 2, 2015. Any 
person who wishes to file a rebuttal to any other person's submission 
must file that rebuttal by July 16, 2015. The Commission asks that 
commenters address the sufficiency of the Exchange's statements in 
support of the proposal, which are set forth in Amendment No. 1,\57\ in 
addition to any other comments they may wish to submit about the 
proposed rule change. In particular, the Commission seeks comment on 
the following:
---------------------------------------------------------------------------

    \57\ See supra note 9.
---------------------------------------------------------------------------

    1. In general, do commenters believe that the proposed listing 
requirements are adequate to deter manipulation of the price of 
generically listed Managed Fund Shares and other trading abuses? If so, 
why? If not, why not?
    2. The Exchange proposes to require that, to qualify for generic 
listing, the portfolio underlying the Managed Fund Shares must not hold 
more than certain percentages of OTC Derivatives, specifically: No more 
than 60% of the value of the underlying portfolio may consist of OTC 
Derivatives,\58\ and no more than 20% of the value of the underlying 
portfolio may consist of OTC Derivatives that are not centrally-
cleared.
---------------------------------------------------------------------------

    \58\ The Exchange states that currently there are five 
categories of swaps eligible for central clearing--interest rate 
swaps; credit default swaps; foreign exchange swaps; equity swaps; 
and commodity swaps--and that the following entities provide central 
clearing for OTC derivatives: ICE Clear Credit (US); ICE Clear (EU); 
CME Group; LCH.Clearnet; and Eurex. See supra note 49.
---------------------------------------------------------------------------

    a. ETF arbitrage mechanisms generally are designed to maintain 
alignment between intraday trading prices of ETF shares and the 
contemporaneous value of the underlying portfolio. Are the proposed 
limits for OTC Derivatives sufficient to support effective and 
efficient arbitrage activity in generically listed Managed Fund Shares? 
Will the proposed limits on OTC Derivatives facilitate alignment of the 
secondary market price of generically listed Managed Fund Shares with 
the value of their underlying portfolio? Why or why not? Are different 
percentages more appropriate? If so, what should they be and why?
    b. What sources of pricing information (both intraday and end-of-
day) are available for centrally-cleared OTC Derivatives? What sources 
of pricing information (both intraday and end-of-day) are available for 
non-centrally-cleared OTC Derivatives? Do the answers to these 
questions depend upon the underlying reference asset?
    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-2015-02 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEArca-2015-02. 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-2015-02 and should 
be submitted on or before July 2, 2015. Rebuttal comments should be 
submitted by July 16, 2015.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\59\
---------------------------------------------------------------------------

    \59\ 17 CFR 200.30-3(a)(12) and 17 CFR 200.30-3(a)(57).

Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-14242 Filed 6-10-15; 8:45 am]
 BILLING CODE 8011-01-P