80 FR 25729 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change Relating to Listing and Trading of Shares of ALPS Enhanced Put Write Strategy ETF under NYSE Arca Equities Rule 8.600

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 80, Issue 86 (May 5, 2015)

Page Range		25729-25738
FR Document		2015-10406
Federal Register, Volume 80 Issue 86 (Tuesday, May 5, 2015)
[Federal Register Volume 80, Number 86 (Tuesday, May 5, 2015)]
[Notices]
[Pages 25729-25738]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2015-10406]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-74839; File No. SR-NYSEArca-2015-23]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change Relating to Listing and Trading of Shares of 
ALPS Enhanced Put Write Strategy ETF under NYSE Arca Equities Rule 
8.600

April 29, 2015.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby given 
that, on April 15, 2015, NYSE Arca, Inc. (``Exchange'' or ``NYSE 
Arca'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I, II, 
and III below, which Items have been prepared 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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[[Page 25730]]

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade the shares of the following 
under NYSE Arca Equities Rule 8.600: ALPS Enhanced Put Write Strategy 
ETF. 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 the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to list and trade the shares (``Shares'') of 
the following under NYSE Arca Equities Rule 8.600, which governs the 
listing and trading of Managed Fund Shares on the Exchange: \4\ ALPS 
Enhanced Put Write Strategy ETF (``Fund''). The Shares will be offered 
by ALPS ETF Trust (``Trust''). The Trust is registered with the 
Commission as an investment company and has filed a registration 
statement on Form N-1A with the Commission on behalf of the Fund.\5\
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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 Trust is registered under the 1940 Act. On January 6, 
2015, the Trust filed with the Commission a registration statement 
on Form N-1A under the Securities Act of 1933 (15 U.S.C. 77a) 
(``Securities Act''), and under the 1940 Act relating to the Fund 
(File Nos. 333-148826 and 811-22175) (``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 the1940 Act. See Investment Company Act Release No. 
30553 (June 11, 2013) (File No. 812-13884) (``Exemptive Order'').
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    ALPS Advisors, Inc. is the investment adviser (``Adviser'') to the 
Fund. Rich Investment Solutions, LLC is the investment sub-adviser 
(``Sub-Adviser'') to the Fund. ALPS Fund Services, Inc. (``ALPS Fund 
Services'') serves as the Trust's administrator. The Bank of New York 
Mellon also serves as custodian (``Custodian'') and transfer agent 
(``Transfer Agent'') for the Fund. ALPS Portfolio Solutions 
Distributor, Inc. is the distributor (``Distributor'') of the Fund's 
Shares.
    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.\6\ 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 is not a registered broker-dealer but 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 registered as a broker-dealer and 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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    \6\ 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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ALPS Enhanced Put Write Strategy ETF
    According to the Registration Statement, the investment objective 
of the Fund is to seek total return, with an emphasis on income as the 
source of that total return. The Fund will seek to achieve its 
investment objective by selling listed one-month put options on the 
SPDR[supreg] S&P 500[supreg] ETF Trust (``SPY''). SPY is an exchange-
traded fund (``ETF'') that seeks to provide investment results that, 
before expenses, correspond generally to the price and yield 
performance of the S&P 500[supreg] Index (``SPX'' or ``Index''). SPY 
holds a portfolio of the common stocks that are included in the SPX, 
with the weight of each stock in its portfolio substantially 
corresponding to the weight of such stock in the SPX. The Fund may also 
sell listed one-month put options directly on the SPX under certain 
circumstances (such as if such options have more liquidity and narrower 
spreads than options on SPY). SPY shares are listed on the Exchange and 
traded on national securities exchanges. SPX options are traded on the 
Chicago Board Options Exchange (``CBOE''). Options on SPY are traded on 
national securities exchanges.
    Each listed put option sold by the Fund will be an ``American-
style'' option (i.e., an option which can be exercised at the strike 
price at any time prior to its expiration). As the seller of a listed 
put option, the Fund will incur an obligation to buy SPY underlying the 
option from the purchaser of the option at the option's strike price, 
upon

[[Page 25731]]

exercise by the option purchaser. If a listed put option sold by the 
Fund is exercised prior to expiration, the Fund will buy the SPY 
underlying the option at the time of exercise and at the strike price, 
and will hold SPY until the market close on expiration.\7\
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    \7\ The Fund may also sell put options on the SPX directly under 
certain circumstances (such as if such options have more liquidity 
and narrower spreads than options on SPY) resulting in lower 
transaction costs than options on SPY. The puts are struck at-the-
money (i.e., with a strike price that is equal to the market price 
of the underlying SPY) and are typically sold on a monthly basis, 
usually on the 3rd Friday of the month (the ``roll date'').
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    The option premiums and cash (in respect of orders to create Shares 
in large aggregations known as ``Creation Units,'' as further described 
below) received by the Fund will be invested in an actively-managed 
portfolio of investment grade debt securities (the ``Collateral 
Portfolio'') at least equal in value to the Fund's maximum liability 
under its written options (i.e., the strike price of each option). 
Investment grade debt securities are those rated ``Baa'' equivalent or 
higher by a nationally recognized statistical rating organization 
(``NRSROs''), or are unrated securities that the Sub-Adviser believes 
are of comparable quality. Such investment grade debt securities will 
include Treasury bills (short-term U.S. government debt securities), 
corporate bonds, commercial paper, mortgage-backed securities 
(securities backed by a group of mortgages) (``MBS''), asset-backed 
securities (securities backed by loans, leases or other receivables 
other than mortgages) (``ABS'') and notes issued or guaranteed by 
federal agencies and/or U.S. government sponsored instrumentalities, 
such as the Government National Mortgage Administration (``Ginnie 
Mae''), the Federal Housing Administration (``FHA''), the Federal 
National Mortgage Association (``Fannie Mae'') and the Federal Home 
Loan Mortgage Corporation (``Freddie Mac''). It is expected that the 
average duration of such securities will not exceed six months and the 
maximum maturity of any single security will not exceed one year.
    Under normal market conditions,\8\ substantially all of the Fund's 
net assets will be invested in options on SPY or SPX, or in the 
Collateral Portfolio.
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    \8\ The term ``under normal market conditions'' includes, but is 
not limited to, the absence of extreme volatility or trading halts 
in the equity or options markets or the financial markets generally; 
events or circumstances causing a disruption in market liquidity or 
orderly markets; 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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    The Fund may invest up to 20% of its net assets in non-agency MBS 
and ABS in the aggregate.
    The Fund may 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. 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. The Fund will enter into TBA transactions only with 
established counterparties (such as major broker-dealers) and the Sub-
Adviser will monitor the creditworthiness of such counterparties.\9\
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    \9\ The Fund intends to invest cash pending settlement of any 
TBA transactions in money market instruments, repurchase agreements, 
commercial paper (including asset-backed commercial paper) or other 
high-quality, liquid short-term instruments, which may include money 
market funds affiliated with the Adviser or Sub-Adviser.
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    According to the Registration Statement, every month, the options 
sold by the Fund will be settled by delivery at expiration or expire 
with no value and new option positions will be established while the 
Fund sells any units of SPY it owns as a result of such settlements or 
of the Fund's prior option positions having been exercised.\10\ This 
monthly cycle likely will cause the Fund to have frequent and 
substantial turnover in its option positions. If the Fund receives 
additional inflows (and issues more Shares in ``Creation Unit'' size 
during a one-month period \11\), the Fund will sell additional listed 
put options, which will be exercised or expire at the end of such one-
month period. Conversely, if the Fund redeems Shares in Creation Unit 
size during a monthly period, the Fund will terminate the appropriate 
portion of the options it has sold accordingly.
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    \10\ The Fund may hold U.S. exchange-listed equity securities, 
generally shares of SPY, for temporary periods upon settlement or 
exercise of the options sold by the Fund.
    \11\ See ``Creation and Redemption of Shares'', infra.
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    With respect to no more than 20% of the Fund's assets, the Fund may 
engage in certain opportunistic ``put spread'' and ``call spread'' 
strategies. Specifically, when the Sub-Adviser believes the SPX (and 
thus SPY) will rise or not decline in value, the Fund may engage in 
``put spreads'' whereby the Fund will buy back certain of the written 
put options which are out of the money (i.e., the strike price of the 
put option is lower than the market price of the underlying SPY) prior 
to expiration in order to sell new put options which are less out of 
the money. Similarly, the Fund may buy back certain of its written put 
options prior to expiration in order to sell new longer-dated options 
that will remain open past the one-month period of the original option. 
Conversely, when the Sub-Adviser believes the SPX will decline in 
value, the Fund may engage in ``call spreads'' whereby the Fund will 
sell call options which are in-the-money (i.e., the strike price of the 
call option is lower than the market price of the underlying SPY) and 
buy back less in-the-money call options. The Sub-Adviser may employ a 
variant of this call spread strategy whereby the Fund buys more calls 
than it sells (as long as the Fund receives a net premium on such 
transactions). This may enable the Fund to perform better when the SPX 
(and thus SPY) experiences gains well above the strike price of the 
calls bought by the Fund. However, even if the Fund engages in such 
call spreads, a declining SPX (and thus SPY) will significantly detract 
from Fund performance (given the Fund's principal strategy of selling 
put options on SPY) as illustrated in the example below, which is 
included in the Registration Statement.
    Roll Date Transactions--At each roll date, any settlement loss from 
the expiring puts will be financed by the Fund's portfolio of 
investment grade debt securities (the ``Collateral Portfolio'') and a 
new batch of at-the-money puts will be sold. The revenue from their 
sale will be added to the Fund's Collateral Portfolio. The Fund's total 
cash available will be reinvested daily in the Fund's Collateral 
Portfolio.
    Number of Puts Sold--The number of puts sold will be chosen to 
ensure full collateralization. This means that at the expiration of the 
puts, the total value of the Collateral Portfolio must be equal to the 
maximum possible loss from final settlement of the put options.
    Example: SPY trades at $50 per share at the start of the one month 
period, and a listed put ``American style'' option with a term of one 
month was sold by

[[Page 25732]]

the Fund with a strike price of $50.00 per Share for a premium of $0.50 
per Share:
    Trading at or above the strike price: If at all times during the 
one month period prior to expiration, SPY trades at or above the strike 
price of $50.00, then the option would expire worthless and the Fund's 
value would reflect the retention of the $0.50 per share premium. The 
Fund's value thus would be increased by $0.50 per share on the SPY 
option position.
    Trading below the strike price: If at any time during the one month 
period prior to expiration, SPY trades at or below $49.99, then the 
option buyer would have the right, but not the obligation, to exercise 
the option. The Fund's value would change as if the Fund had been put 
(i.e., would buy) SPY at the strike price of $50.00 and sell SPY 
immediately at the closing price of $49.99 (or whatever lower price at 
which the option is exercised). As a result, the Fund's value would be 
reduced by $2.00 per Share if, for example, the exercise price was $48 
per Share. However, the Fund's value would also reflect the retention 
of the $0.50 per Share premium, so the net loss to the Fund's value 
would be $1.50 per Share on the SPY option position.
Non-Principal Investments
    While, under normal market conditions, substantially all of the 
Fund's net assets will be invested in options on SPY or SPX, or in the 
Collateral Portfolio, the Fund may invest its remaining assets in other 
securities and financial instruments, as described below. The Fund may 
invest its remaining assets in any one or more of the following 
instruments: Money market instruments (as described below), in addition 
to those in which the Fund invests as part of the Collateral Portfolio, 
and including repurchase agreements or other funds which invest 
exclusively in money market instruments; convertible securities; 
structured notes (notes on which the amount of principal repayment and 
interest payments are based on the movement of one or more specified 
factors, such as the movement of a particular stock or stock index); 
forward foreign currency exchange contracts; swaps; over-the-counter 
(``OTC'') options on SPY or on the S&P 500 Index; and futures contracts 
and options on futures contracts, as described further below. Swaps, 
options and futures contracts may be used by the Fund in seeking to 
achieve its investment objective, and in managing cash flows. The Fund 
may also invest in money market instruments or other short-term fixed 
income instruments as part of a temporary defensive strategy to protect 
against temporary market declines.
    The Fund may invest in high-quality money market instruments on an 
ongoing basis to provide liquidity. The instruments in which the Fund 
may invest include: (i) Short-term obligations issued by the U.S. 
Government; \12\ (ii) negotiable certificates of deposit (``CDs''), 
fixed time deposits and bankers' acceptances of U.S. and foreign banks 
and similar institutions; \13\ (iii) commercial paper rated at the date 
of purchase ``Prime-1'' by Moody's Investors Service, Inc. or ``A-1+'' 
or ``A-1'' by Standard & Poor's or, if unrated, of comparable quality 
as determined by the Adviser; (iv) repurchase agreements; \14\ and (v) 
money market mutual funds.
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    \12\ Obligations issued or guaranteed by the U.S. Government, 
its agencies and instrumentalities include bills, notes and bonds 
issued by the U.S. Treasury, as well as ``stripped'' or ``zero 
coupon'' U.S. Treasury obligations representing future interest or 
principal payments on U.S. Treasury notes or bonds.
    \13\ CDs are short-term negotiable obligations of commercial 
banks. Time deposits are non-negotiable deposits maintained in 
banking institutions for specified periods of time at stated 
interest rates. Banker's acceptances are time drafts drawn on 
commercial banks by borrowers, usually in connection with 
international transactions.
    \14\ Repurchase agreements may be characterized as loans secured 
by the underlying securities. The Fund may enter into repurchase 
agreements with (i) member banks of the Federal Reserve System 
having total assets in excess of $500 million and (i) securities 
dealers (``Qualified Institutions''). The Adviser will monitor the 
continued creditworthiness of Qualified Institutions.
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    The Fund 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 securities purchased with the 
funds obtained from the agreement and securities collateralizing the 
agreement will have maturity dates no later than the repayment date.
    The Fund may invest in the securities of other investment companies 
(including money market funds), subject to applicable restrictions 
under the 1940 Act.
    The Fund may utilize U.S. exchange-traded futures contracts on the 
S&P 500 Index and U.S. exchange-traded options on futures contracts on 
the S&P 500 Index.
    The Fund may utilize such options on futures contracts as a hedge 
against changes in value of its portfolio securities, or in 
anticipation of the purchase of securities, and may enter into closing 
transactions with respect to such options to terminate existing 
positions.
    The Fund may enter into swap agreements based on the S&P 500 Index.
    The Fund may invest in investment grade debt obligations traded in 
the U.S. Such debt obligations include, among others, bonds, notes, 
debentures and variable rate demand notes. In choosing corporate debt 
securities on behalf of the Fund, the Sub-Adviser may consider (i) 
general economic and financial conditions; and (ii) the specific 
issuer's (a) business and management, (b) cash flow, (c) earnings 
coverage of interest and dividends, (d) ability to operate under 
adverse economic conditions, (e) fair market value of assets, and (f) 
other considerations deemed appropriate.
    The Fund may invest up to 100% of its total assets in debt 
securities that are rated investment grade by an NRSROs [sic], or are 
unrated securities that the Sub-Adviser believes are of comparable 
quality.
    The Fund may invest in securities that have variable or floating 
interest rates which are readjusted on set dates (such as the last day 
of the month or calendar quarter) in the case of variable rates or 
whenever a specified interest rate change occurs in the case of a 
floating rate instrument.
    The Fund may use delayed delivery transactions as an investment 
technique. Delayed delivery transactions, also referred to as forward 
commitments, involve commitments by the Fund to dealers or issuers to 
acquire or sell securities at a specified future date beyond the 
customary settlement for such securities. These commitments may fix the 
payment price and interest rate to be received or paid on the 
investment. The Fund may purchase securities on a delayed delivery 
basis to the extent that it can anticipate having available cash on the 
settlement date. Delayed delivery agreements will not be used as a 
speculative or leverage technique.
    The Fund may purchase when-issued securities.
    The Fund may invest in zero-coupon or pay-in-kind securities. These 
securities are debt securities that do not make regular cash interest 
payments. Zero-coupon securities are sold at a deep discount to their 
face value. Pay-in-kind securities pay interest through the issuance of 
additional securities.
Investment Restrictions
    The Fund may hold up to an aggregate of 15% of its net assets in 
illiquid assets (calculated at the time of investment), including Rule 
144A securities deemed illiquid by the Adviser or Sub-

[[Page 25733]]

Adviser.\15\ The Fund will monitor its portfolio liquidity on an 
ongoing basis to determine whether, in light of current circumstances, 
an adequate level of liquidity is being maintained, and will consider 
taking appropriate steps in order to maintain adequate liquidity if 
through a change in values, net assets, or other circumstances, more 
than 15% of the Fund's net assets are held in illiquid assets. Illiquid 
assets include securities subject to contractual or other restrictions 
on resale and other instruments that lack readily available markets as 
determined in accordance with Commission staff guidance.\16\
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    \15\ Rule 144A securities are securities which, while privately 
placed, are eligible for purchase and resale pursuant to Rule 144A 
under the Securities Act. This rule permits certain qualified 
institutional buyers, such as the Fund, to trade in privately placed 
securities even though such securities are not registered under the 
Securities Act. The Sub-Adviser, under supervision of the Board, 
will consider whether securities purchased under Rule 144A are 
illiquid and thus subject to the Fund's restriction on illiquid 
assets. Determination of whether a Rule 144A security is liquid or 
not is a question of fact. In making this determination, the Sub-
Adviser will consider the trading markets for the specific security 
taking into account the unregistered nature of a Rule 144A security. 
In addition, the Sub-Adviser could consider the (i) frequency of 
trades and quotes; (ii) number of dealers and potential purchasers; 
(iii) dealer undertakings to make a market; and (iv) nature of the 
security and of market place trades (for example, the time needed to 
dispose of the security, the method of soliciting offers and the 
mechanics of transfer). The Sub-Adviser will also monitor the 
liquidity of Rule 144A securities, and if, as a result of changed 
conditions, the Sub-Adviser determines that a Rule 144A security is 
no longer liquid, the Sub-Adviser will review the Fund's holdings of 
illiquid securities to determine what, if any, action is required to 
assure that the Fund complies with its restriction on investment of 
illiquid securities.
    \16\ 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 of 1933 (15 U.S.C. 
77a).
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    The Fund intends to qualify for and to elect to be treated as a 
separate regulated investment company (a ``RIC'') under Subchapter M of 
the Internal Revenue Code.\17\
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    \17\ 26 U.S.C. 851 et seq.
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    The Fund's investments will be consistent with its investment 
objective and will not be used to enhance leverage.\18\
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    \18\ Investments in derivative instruments by the Fund will be 
made in accordance with the 1940 Act and consistent with the Fund's 
investment objective and policies. To limit the potential risk 
associated with transactions in derivatives, the Fund will segregate 
or ``earmark'' assets determined to be liquid by the Adviser in 
accordance with procedures that will established by the Trust's 
Board of Trustees (``Board'') and in accordance with the 1940 Act 
(or, as permitted by applicable regulation, enter into certain 
offsetting positions) to cover its obligations under derivative 
instruments. These procedures will be adopted consistent with 
Section 18 of the 1940 Act and related Commission guidance. In 
addition, the Fund will include appropriate risk disclosure in its 
offering documents, including leveraging risk. Leveraging risk is 
the risk that certain transactions of the Fund, including the Fund's 
use of derivatives, may give rise to leverage, causing the Fund's 
Shares to be more volatile than if they had not been leveraged.
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Net Asset Value
    The net asset value (``NAV'') per Share of the Fund will be 
computed by dividing the value of the net assets of the Fund (i.e., the 
value of its total assets less total liabilities) by the total number 
of Shares of the Fund outstanding, rounded to the nearest cent. 
Expenses and fees, including without limitation, the management and 
administration fees, will be accrued daily and taken into account for 
purposes of determining NAV. The NAV per Share 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) (``NYSE Close'') on each day that such exchange is 
open.
    In computing the Fund's NAV, the Fund's securities holdings traded 
on a national securities exchange (including listed put options sold by 
the Fund and any exchange-traded equity securities held by the Fund) 
will be valued based on their last sale price. Price information on 
listed securities will be taken from the exchange where the security is 
primarily traded. Other portfolio securities and assets for which 
market quotations are not readily available will be valued based on 
fair value as determined in good faith in accordance with procedures 
adopted by the Trust's Board.
    Non-exchange traded investment company securities will be priced at 
NAV.
    The Fund's debt securities will be valued at market value. Market 
value 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. The Fund's debt securities will be thus 
valued by reference to a combination of transactions and quotations for 
the same or other securities believed to be comparable in quality, 
coupon, maturity, type of issue, call provisions, trading 
characteristics and other features deemed to be relevant. To the extent 
the Fund's debt securities are valued based on price quotations or 
other equivalent indications of value provided by a third-party pricing 
service, any such third-party pricing service may use a variety of 
methodologies to value some or all of the Fund's debt securities to 
determine the market price. For example, the prices of securities with 
characteristics similar to those held by the Fund may be used to assist 
with the pricing process. In addition, the pricing service may use 
proprietary pricing models. Short-term fixed income securities having a 
remaining maturity of 60 days or less will generally be valued at 
amortized cost. The Fund's listed put options, as well as exchange-
traded equity securities held by the Fund, will be valued at the last 
reported sale price on the principal exchange on which such securities 
are traded, as of the close of regular trading on NYSE Arca on the day 
the securities are being valued or, if there are no sales, at the mean 
of the most recent bid and asked prices. Other derivatives will 
generally be valued on the basis of quotes obtained from brokers and 
dealers or pricing services using data reflecting the earlier closing 
of the principal markets for those assets. Local closing prices will be 
used for all instrument valuation purposes. Foreign currency-
denominated derivatives will generally be valued as of the respective 
local region's market close. With respect to specific derivatives, and 
[sic] forward rates from major market data vendors will generally be 
determined as of the NYSE Close; futures will generally be valued at 
the settlement price of the relevant exchange; index swaps will be 
valued at the publicly available index price; index options, and 
options on futures will generally be valued at the official settlement 
price determined by the relevant exchange, if available; OTC and 
exchange-traded equity options will generally be valued on the basis of 
quotes of quotes received from a quotation reporting system, 
established market makers, or pricing services or'for [sic] exchange-
traded options, at the settlement price of the applicable exchange. 
Money market instruments (other than debt securities noted above), 
structured notes, repurchase

[[Page 25734]]

agreements, reverse repurchase agreements and variable or floating rate 
securities will generally be valued on the basis of independent pricing 
services or quotes obtained from brokers and dealers. Securities for 
which market quotations are not readily available, including Rule 144A 
securities, will be valued by a method that the Trust's Board believes 
accurately reflects fair value. Securities will be valued at fair value 
when market quotations are not readily available or are deemed 
unreliable, such as when a security's value or meaningful portion of 
the Fund's portfolio is believed to have been materially affected by a 
significant event.
Creation and Redemption of Shares
    The Trust will issue and sell Shares of the Fund only in ``Creation 
Unit Aggregations'' of 50,000 Shares each on a continuous basis through 
the Distributor, without a sales load, at its NAV next determined after 
receipt, on any business day, of an order in proper form.
    Creation Units of the Fund generally will be sold for cash only, 
calculated based on the NAV per Share multiplied by the number of 
Shares representing a Creation Unit (``Deposit Cash''), plus a 
transaction fee.
    The Custodian, through the National Securities Clearing Corporation 
(``NSCC''), will make available on each business day, prior to the 
opening of business on the NYSE Arca (currently 9:30 a.m., Eastern 
time), the amount of the Deposit Cash to be deposited in exchange for a 
Creation Unit Aggregation of the Fund.
    To be eligible to place orders with the Distributor and to create a 
Creation Unit Aggregation of the Fund, an entity must be a Depositary 
Trust Company (``DTC'') Participant that has executed an agreement with 
the Distributor, with respect to creations and redemptions of Creation 
Units (``Participant Agreement''). A DTC Participant that has executed 
a Participant Agreement is referred to as an ``Authorized 
Participant.''
    All orders to create Creation Unit Aggregations must be received by 
the Distributor no later than the closing time of the regular trading 
session on the NYSE (``Closing Time'') (ordinarily 4:00 p.m., Eastern 
time) in each case on the date such order is placed in order for 
creation of Creation Unit Aggregations to be effected based on the NAV 
of Shares of the Fund as next determined on such date after receipt of 
the order in proper form. The date on which an order to create Creation 
Unit Aggregations is placed is referred to as the ``Transmittal Date.'' 
Orders must be transmitted by an Authorized Participant by telephone or 
other transmission method acceptable to the Distributor pursuant to 
procedures set forth in the ``Participant Agreement''.
    Authorized Participants will be required to pay a fixed creation 
transaction fee payable regardless of the number of creations made each 
day.
    Fund Shares may be redeemed only in Creation Unit size at the 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. The 
Fund will not redeem Shares in amounts less than Creation Unit 
Aggregations.
    With respect to the Fund, the Custodian, through the NSCC, will 
make available prior to the opening of business on NYSE Arca on each 
business day, the amount of cash that will be paid (subject to possible 
amendment or correction) in respect of redemption requests received in 
proper form on that day (the ``Redemption Cash'').
    The redemption proceeds for a Creation Unit generally consist of 
the Redemption Cash--as announced on the business day of the request 
for redemption received in proper form--less a redemption transaction 
fee.
    The right of redemption may be suspended or the date of payment 
postponed (i) for any period during which the NYSE is closed (other 
than customary weekend and holiday closings); (ii) for any period 
during which trading on the NYSE is suspended or restricted; (iii) for 
any period during which an emergency exists as a result of which 
disposal of the Shares of the Fund or determination of the Fund's NAV 
is not reasonably practicable; or (iv) in such other circumstances as 
is permitted by the Commission.
    Orders to redeem Creation Units must be delivered through a DTC 
Participant that has executed the Participant Agreement. An order to 
redeem Creation Units is deemed received by the Trust on the 
Transmittal Date if (i) such order is received by the Transfer Agent 
not later than 4:00 p.m., Eastern time on such Transmittal Date; (ii) 
such order is accompanied or followed by the requisite number of Shares 
of the Fund, which delivery must be made through DTC to the Custodian 
no later than 11:00 a.m., Eastern time (for the Fund Shares), on the 
next business day immediately following such Transmittal Date (the 
``DTC Cut-Off-Time'') and 2:00 p.m., Eastern time for any cash 
component, if any owed to the Fund; and (iii) all other procedures set 
forth in the Participant Agreement are properly followed. After the 
Trust has deemed an order for redemption received, the Trust will 
initiate procedures to transfer the requisite Redemption Cash which is 
expected to be delivered within three business days.
Intraday Indicative Value
    The approximate value of the Fund's investments on a per-Share 
basis, the Indicative Intra-Day Value (``IIV''), which is the Portfolio 
Indicative Value as defined in NYSE Arca Equities Rule 8.600(c)(3), 
will be disseminated by one or more major market data vendors every 15 
seconds during the Exchange's Core Trading Session. The IIV should not 
be viewed as a ``real-time'' update of NAV because the IIV will be 
calculated by an independent third party calculator and may not be 
calculated in the exact same manner as NAV, which will be computed 
daily.
    The IIV will be calculated during the Exchange's Core Trading 
Session by dividing the ``Estimated Fund Value'' as of the time of the 
calculation by the total number of outstanding Shares. ``Estimated Fund 
Value'' is the sum of the estimated amount of cash held in the Fund's 
portfolio, the estimated amount of accrued interest owing to the Fund 
and the estimated value of the securities and other assets held in the 
Fund's portfolio, minus the estimated amount of liabilities. The IIV 
will be calculated based on the same portfolio holdings disclosed on 
the Fund's Web site. In determining the estimated value for each of the 
component securities and other assets, the IIV will use last sale, 
market prices or other methods that would be considered appropriate for 
pricing securities held by registered investment companies.
Availability of Information
    The Fund's Web site (www.alpsfunds.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''),\19\ and a calculation of the premium and discount of the Bid/
Ask

[[Page 25735]]

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 (9:30 
a.m. to 4:00 p.m., Eastern time), the Fund's Web site will disclose the 
Disclosed Portfolio that will form the basis for the Fund's calculation 
of NAV at the end of the business day.\20\
---------------------------------------------------------------------------

    \19\ The Bid/Ask Price of the Fund's Shares will be determined 
using the mid-point 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.
    \20\ 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.
---------------------------------------------------------------------------

    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.
    Investors can also obtain the Trust's Statement of Additional 
Information (``SAI''), the Fund's shareholder reports, and its Form N-
CSR and Form N-SAR, filed twice a year. The Trust's SAI and Shareholder 
Reports will be 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 and U.S. 
exchange-listed equities (including SPY) will be available via the 
Consolidated Tape Association (``CTA'') high-speed line, and from the 
Exchange. Quotation and last sale information for exchange-listed 
options cleared via the Options Clearing Corporation will be available 
via the Options Price Reporting Authority. Intra-day and closing price 
information regarding exchange-traded options (including options on 
futures) and futures will be available from the exchange on which such 
instruments are traded. Intra-day and closing price information 
regarding debt securities; money market instruments; convertible 
securities; structured notes; forward foreign currency exchange 
contracts; swaps; repurchase agreements; reverse repurchase agreements; 
US government securities; MBS and ABS; mortgage pass-throughs; variable 
or floating interest rate securities; when-issued securities; delayed 
delivery securities; and zero-coupon securities also will be available 
from major market data vendors. Price information for non-exchange-
traded investment company securities will be available from major 
market data vendors and from the Web site of the applicable investment 
company.
    In addition, the IIV will be widely disseminated at least every 15 
seconds during the Core Trading Session by one or more major market 
data vendors.\21\ The dissemination of the IIV, together with the 
Disclosed Portfolio, will allow investors to determine the value of the 
underlying portfolio of the Fund on a daily basis and will provide a 
close estimate of that value throughout the trading day.
---------------------------------------------------------------------------

    \21\ Currently, it is the Exchange's understanding that several 
major market data vendors display and/or make widely available IIVs 
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 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.\22\ 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.
---------------------------------------------------------------------------

    \22\ See NYSE Arca Equities Rule 7.12, Commentary .04.
---------------------------------------------------------------------------

    If the IIV, Index value or the value of the Index components is not 
being disseminated as required, the Exchange may halt trading during 
the day in which the disruption occurs; if the interruption persists 
past the day in which it occurred, the Exchange will halt trading no 
later than the beginning of the trading day following the interruption. 
Under NYSE Arca Equities Rule 7.34(a)(5), if the Exchange becomes aware 
that the NAV for the Fund is not being disseminated to all market 
participants at the same time, it will halt trading in the Shares until 
such time as the NAV is available to all market participants.
    The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Equities Rule 8.600. Consistent with NYSE Arca 
Equities Rule 8.600(d)(2)(B)(ii), the Adviser will implement and 
maintain, or be subject to, procedures designed to prevent the use and 
dissemination of material non-public information regarding the actual 
components of the Fund's portfolio. The Exchange represents that, for 
initial and/or continued listing, the Fund will be in compliance with 
Rule 10A-3 \23\ under the Act, as provided by NYSE Arca Equities Rule 
5.3. A minimum of 100,000 Shares 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 
as defined in NYSE Arca Equities Rule 8.600(c)(2) will be made 
available to all market participants at the same time.
---------------------------------------------------------------------------

    \23\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

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 a.m. to 8 p.m. ET 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

[[Page 25736]]

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.
Surveillance
    The Exchange represents that the 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.\24\ 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.
---------------------------------------------------------------------------

    \24\ 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, other exchange-traded equity 
securities, exchange-traded investment company securities, futures 
contracts, and exchange-traded options contracts with other markets and 
other entities that are members of the Intermarket Surveillance Group 
(``ISG''), and FINRA, on behalf of the Exchange, may obtain trading 
information regarding trading in the Shares, other exchange-traded 
equity securities, exchange-traded investment company securities, 
futures contracts and exchange-traded options contracts from such 
markets and other entities. In addition, the Exchange may obtain 
information regarding trading in the Shares, other exchange-traded 
equity securities, exchange-traded investment company securities, 
futures contracts and exchange-traded options contracts from markets 
and other entities that are members of ISG or with which the Exchange 
has in place a comprehensive surveillance sharing agreement.\25\ All 
futures contracts (and options on futures) and listed options held by 
the Fund will be traded on U.S. exchanges, all of which are members of 
ISG or are exchanges with which the Exchange has in place a 
comprehensive surveillance sharing agreement. 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'').
---------------------------------------------------------------------------

    \25\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all of the components 
of the portfolio for the Fund may trade on exchanges that are 
members of the ISG or with which the Exchange has in place a 
comprehensive surveillance sharing agreement.
---------------------------------------------------------------------------

    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 of Shares in the Fund, the 
Exchange will inform its ETP 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 ETP 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 IIV or Index value will not be calculated or 
publicly disseminated; (4) how information regarding the IIV, the 
Disclosed Portfolio and the Index value will be disseminated; (5) the 
requirement that ETP 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.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \26\ 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.
---------------------------------------------------------------------------

    \26\ 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 on the Exchange pursuant to the initial and 
continued listing criteria in NYSE Arca Equities Rule 8.600. The Shares 
will be subject to the existing trading surveillances, administered by 
FINRA on behalf of the Exchange, which are designed to deter and detect 
violations of Exchange rules and federal securities laws applicable to 
trading on the Exchange. FINRA and the Exchange, as applicable, may 
each obtain information via ISG from other exchanges that are members 
of ISG, and in the case of the Exchange, from other market or entities 
with which the Exchange has entered into a comprehensive surveillance 
sharing agreement. The Adviser is not a registered broker-dealer but 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 registered as a broker-dealer and is not affiliated 
with a broker-dealer. The Fund's investments will be consistent with 
its investment objective and will not be used to enhance leverage.
    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 securities deemed illiquid by the Adviser or Sub-
Adviser, consistent with Commission guidance. 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 every day the NYSE is open, and that the 
NAV will be made available to all market participants at the same time. 
In addition, a large amount of publicly available information will be 
publicly available

[[Page 25737]]

regarding the Fund and the Shares, thereby promoting market 
transparency.
    Moreover, the IIV 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 the Shares in the Core Session on the Exchange, the Fund 
will disclose on its Web site the portfolio that will form the basis 
for the Fund's calculation of NAV at the end of the business day. 
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, and 
quotations and last sale information will be available via the CTA 
high-speed line. Quotation and last sale information for the Shares 
will be available via the CTA high-speed line, and from the Exchange. 
Quotation and last sale information for exchange-listed options cleared 
via the Options Clearing Corporation will be available via the Options 
Price Reporting Authority. Intra-day and closing price information 
regarding exchange-traded options (including options on futures) and 
futures will be available from the exchange on which such instruments 
are traded. Intra-day and closing price information regarding debt 
securities; money market instruments; convertible securities; 
structured notes; forward foreign currency exchange contracts; swaps; 
US government securities; MBS and ABS; mortgage pass-throughs; variable 
or floating interest rate securities; when-issued securities; delayed 
delivery securities; zero-coupon securities; repurchase agreements; 
reverse repurchase agreements; and pay-in-kind securities also will be 
available from major market data vendors.
    In addition, the IIV will be widely disseminated at least every 15 
seconds during the Core Trading Session by one or more major market 
data. The Web site for the Fund will include the prospectus for the 
Fund and additional data relating to NAV and other applicable 
quantitative information. Moreover, prior to commencement of trading, 
the Exchange will inform its ETP 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 the Shares inadvisable. In addition, as noted 
above, investors will have ready access to information regarding the 
Fund's holdings, the IIV, the Fund's 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 exchange-traded product that will enhance 
competition among market participants, to the benefit of investors and 
the marketplace. As noted above, the Shares will be subject to the 
existing trading surveillances, administered by FINRA on behalf of the 
Exchange, which are designed to detect violations of Exchange rules and 
federal securities laws applicable to trading on the Exchange. FINRA, 
on behalf of the Exchange, will communicate as needed regarding trading 
in the Shares, other exchange-traded equity securities, exchange-traded 
investment company securities, futures contracts, and exchange-traded 
options contracts with other market and other entities that are members 
of ISG, and FINRA, on behalf of the Exchange, may obtain trading 
information in the Shares, other exchange-traded equity securities, 
exchange-traded investment company securities, futures contracts, and 
exchange-traded options contracts from such markets and other entities. 
In addition, the Exchange may obtain information regarding trading in 
the Shares, other exchange-traded equity securities, exchange-traded 
investment company securities, futures contracts, and exchange-traded 
options contracts 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. In addition, as 
noted above, investors will have ready access to information regarding 
the Fund's holdings, the IIV, 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 ETF 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 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

     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-2015-23 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEArca-2015-23. 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

[[Page 25738]]

provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Section, 100 F Street 
NE., Washington, DC 20549 on official business days between 10:00 a.m. 
and 3:00 p.m. Copies of the filing will also be available for 
inspection and copying at the NYSE's principal office and on its 
Internet Web site at www.nyse.com. 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-2015-23 and should be submitted on or before 
May 26, 2015.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\27\
---------------------------------------------------------------------------

    \27\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Brent J. Fields,
Secretary.
[FR Doc. 2015-10406 Filed 5-4-15; 8:45 am]
 BILLING CODE 8011-01-P
Federal Register / Vol. 80, No. 86 / Tuesday, May 5, 2015 / Notices 25729

to acknowledge its net settlement (C) Clearing Agency’s Statement on those that may be withheld from the
balance; (ii) state that the existing flat Comments on the Proposed Rule public in accordance with the
fee charged for a Settling Bank’s failure Change Received From Members, provisions of 5 U.S.C. 552, will be
to timely settle its balance would Participants, or Others available for Web site viewing and
additionally apply to a Settling Bank’s Written comments relating to the printing in the Commission’s Public
failure to: (A) Affirmatively proposed rule change have not yet been Reference Room, 100 F Street NE.,
acknowledge its net-net settlement solicited or received. DTC will notify Washington, DC 20549 on official
balance, or (B) notify DTC of its refusal the Commission of any written business days between the hours of
to settle for one or more Participants for comments received by DTC. 10:00 a.m. and 3:00 p.m. Copies of the
which it is the designated Settling Bank, filing also will be available for
by the Acknowledgment Cutoff Time; III. Date of Effectiveness of the
inspection and copying at the principal
(iii) clarify the fees chargeable to a Proposed Rule Change and Timing for
office of DTC and on DTCC’s Web site
Participant for a failure to settle; (iv) Commission Action
(http://dtcc.com/legal/sec-rule-
delete references to a Settling Bank’s Within 45 days of the date of filings.aspx). All comments received
failure to timely settle its settlement publication of this notice in the Federal
balance from being referred to as a will be posted without change; the
Register or within such longer period Commission does not edit personal
‘‘failure to settle’’ and remove references up to 90 days (i) as the Commission may
to related procedures as being ‘‘failure- identifying information from
designate if it finds such longer period submissions. You should submit only
to-settle’’ procedures, as this use of the to be appropriate and publishes its
terminology could be confused with an information that you wish to make
reasons for so finding or (ii) as to which
individual Participant’s failure to meet available publicly. All submissions
the self-regulatory organization
its settlement obligation; (v) clarify should refer to File Number SR–DTC–
consents, the Commission will:
Settling Bank and settlement processing 2015–003 and should be submitted on
(A) By order approve or disapprove
timeframes as set forth in the Guide; (vi) such proposed rule change, or or before May 26, 2015.
consolidate text, as applicable, for (B) institute proceedings to determine For the Commission, by the Division of
consistency and to eliminate whether the proposed rule change Trading and Markets, pursuant to delegated
duplication; (vii) apply initial should be disapproved. authority.11
capitalization as appropriate for the Brent J. Fields,
terms ‘‘Participant’’ and ‘‘Settling Bank’’ IV. Solicitation of Comments
Secretary.
where they are used as defined terms; Interested persons are invited to
and (viii) remove references to [FR Doc. 2015–10400 Filed 5–4–15; 8:45 am]
submit written data, views and
Participant Terminal System (PTS) arguments concerning the foregoing, BILLING CODE 8011–01–P
functions, which are no longer used for including whether the proposed rule
this service. change is consistent with the Act.
Comments may be submitted by any of SECURITIES AND EXCHANGE
Implementation COMMISSION
the following methods:
The effective date of the proposed
rule change would be announced via a Electronic Comments [Release No. 34–74839; File No. SR–
DTC Important Notice. • Use the Commission’s Internet NYSEArca–2015–23]
2. Statutory Basis comment form (http://www.sec.gov/
rules/sro.shtml); or Self-Regulatory Organizations; NYSE
The proposed rule change would • Send an email to rule-comments@ Arca, Inc.; Notice of Filing of Proposed
reduce delays in the settlement process sec.gov. Please include File Number SR– Rule Change Relating to Listing and
by allowing DTC to collect net debits DTC–2015–003 on the subject line. Trading of Shares of ALPS Enhanced
and release net credits within scheduled Put Write Strategy ETF under NYSE
Paper Comments
timeframes despite the failure of a Arca Equities Rule 8.600
Settling Bank to affirmatively • Send paper comments in triplicate
acknowledge its end-of-day net-net to Brent J. Fields, Secretary, Securities April 29, 2015.
settlement balance or notify DTC of its and Exchange Commission, 100 F Street Pursuant to Section 19(b)(1) 1 of the
refusal to settle for a Participant for NE., Washington, DC 20549–1090. Securities Exchange Act of 1934
which it is the designated Settling Bank All submissions should refer to File (‘‘Act’’) 2 and Rule 19b–4 thereunder,3
on a timely basis. Therefore, the Number SR–DTC–2015–003. This file notice is hereby given that, on April 15,
proposed rule change is consistent with number should be included on the 2015, NYSE Arca, Inc. (‘‘Exchange’’ or
the provisions of section 17A(b)(3)(F) 10 subject line if email is used. To help the ‘‘NYSE Arca’’) filed with the Securities
of the Act, which requires that the rules Commission process and review your and Exchange Commission
of the clearing agency be designed, inter comments more efficiently, please use (‘‘Commission’’) the proposed rule
alia, to promote the prompt and only one method. The Commission will change as described in Items I, II, and
accurate clearance and settlement of post all comments on the Commission’s III below, which Items have been
securities transactions. Internet Web site (http://www.sec.gov/ prepared by the Exchange. The
rules/sro.shtml). Copies of the
asabaliauskas on DSK5VPTVN1PROD with NOTICES

(B) Clearing Agency’s Statement on Commission is publishing this notice to
Burden on Competition submission, all subsequent
solicit comments on the proposed rule
amendments, all written statements
DTC does not believe that the change from interested persons.
with respect to the proposed rule
proposed rule change would have any change that are filed with the
impact, or impose any burden, on Commission, and all written 11 17 CFR 200.30–3(a)(12).
competition. communications relating to the 1 15 U.S.C.78s(b)(1).
proposed rule change between the 2 15 U.S.C. 78a.

10 15 U.S.C. 78q–1(b)(3)(F). Commission and any person, other than 3 17 CFR 240.19b–4.

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25738 Federal Register / Vol. 80, No. 86 / Tuesday, May 5, 2015 / Notices

provisions of 5 U.S.C. 552, will be series of portfolio depositary receipts the SRO has a surveillance program for
available for Web site viewing and and index fund shares based on the product class.5 In other words, the
printing in the Commission’s Public international or global indexes under proposal will amend the listing
Reference Section, 100 F Street NE., which a comprehensive surveillance standards to allow the Exchange to list
Washington, DC 20549 on official agreement is not required. The text of and trade options on ETFs based on
business days between 10:00 a.m. and the proposed rule change is available on international or global indexes to a
3:00 p.m. Copies of the filing will also the Exchange’s Web site (http:// similar degree that they are allowed to
be available for inspection and copying www.ise.com), at the principal office of be listed on several equities exchanges.6
at the NYSE’s principal office and on its the Exchange, and at the Commission’s
Exchange-Traded Funds
Internet Web site at www.nyse.com. All Public Reference Room.
comments received will be posted The Exchange allows for the listing
II. Self-Regulatory Organization’s and trading of options on ETFs. Rule
without change; the Commission does
Statement of the Purpose of, and 502(h)(B)(1)–(3) provide the listings
not edit personal identifying
Statutory Basis for, the Proposed Rule standards for options on ETFs with non-
information from submissions. You
Change U.S. component securities, such as ETFs
should submit only information that
you wish to make available publicly. All In its filing with the Commission, the based on international or global indexes.
submissions should refer to File self-regulatory organization included Rule 502(h)(B)(1) requires that any non-
Number SR–NYSEArca–2015–23 and statements concerning the purpose of, U.S. component securities of an index
should be submitted on or before May and basis for, the proposed rule change or portfolio of securities on which the
26, 2015. and discussed any comments it received Exchange-Traded Fund Shares are based
on the proposed rule change. The text that are not subject to comprehensive
For the Commission, by the Division of
Trading and Markets, pursuant to delegated of these statements may be examined at surveillance agreements do not in the
authority.27 the places specified in Item IV below. aggregate represent more than 50% of
Brent J. Fields, The self-regulatory organization has the weight of the index or portfolio.7
Secretary. prepared summaries, set forth in Rule 502(h)(B)(2) requires that
sections A, B and C below, of the most component securities of an index or
[FR Doc. 2015–10406 Filed 5–4–15; 8:45 am]
significant aspects of such statements. portfolio of securities on which the
BILLING CODE 8011–01–P
Exchange-Traded Fund Shares are based
A. Self-Regulatory Organization’s for which the primary market is in any
Statement of the Purpose of, and one country that is not subject to a
SECURITIES AND EXCHANGE Statutory Basis for, the Proposed Rule comprehensive surveillance agreement
COMMISSION Change do not represent 20% or more of the
[Release No. 34–74832; File No. SR–ISE– 1. Purpose weight of the index.8 Rule 502(h)(B)(3)
2015–16] requires that component securities of an
The Exchange proposes to amend
index or portfolio of securities on which
Self-Regulatory Organizations; Rule 502 to allow the listing of options
the Exchange-Traded Fund Shares are
International Securities Exchange, overlying ETFs that are listed pursuant
based for which the primary market is
LLC; Notice of Filing and Immediate to generic listing standards on equities
in any two countries that are not subject
Effectiveness of Proposed Rule exchanges for series of portfolio
to comprehensive surveillance
Change To Amend Rule 502 depositary receipts and index fund
agreements do not represent 33% or
shares based on international or global
April 29, 2015. more of the weight of the index.9
indexes under which a comprehensive
Pursuant to Section 19(b)(1) of the surveillance sharing agreement Generic Listing Standards for Exchange-
Securities Exchange Act of 1934 (the (‘‘comprehensive surveillance Traded Funds
‘‘Act’’),1 and Rule 19b–4 thereunder,2 agreement’’ or ‘‘CSSA’’) is not required.3
notice is hereby given that on April 22, The Exchange notes that the
This proposal will enable the Exchange Commission has previously approved
2015, the International Securities to list and trade options on ETFs
Exchange, LLC (the ‘‘Exchange’’ or the generic listing standards pursuant to
without a CSSA provided that the ETF Rule 19b–4(e) 10 of the Exchange Act for
‘‘ISE’’) filed with the Securities and is listed on an equities exchange ETFs based on indexes that consist of
Exchange Commission (‘‘Commission’’) pursuant to the generic listings stocks listed on U.S. exchanges.11 In
the proposed rule change as described standards that do not require a CSSA
in Items I and II below, which Items pursuant to Rule 19b–4(e) 4 of the 5 When relying on Rule 19b–4(e), the SRO must
have been prepared by the self- Exchange Act. Rule 19b–4(e) provides submit Form 19b–4(e) to the Commission within
regulatory organization. The that the listing and trading of a new five business days after the SRO begins trading the
Commission is publishing this notice to new derivative securities products. See Securities
derivative securities product by a self- Exchange Act Release No. 40761 (December 8,
solicit comments on the proposed rule regulatory organization (‘‘SRO’’) shall 1998), 63 FR 70952 (December 22, 1998).
change from interested persons. not be deemed a proposed rule change, 6 See NYSE MKT Rule 1000 Commentary

pursuant to paragraph (c)(1) of Rule .03(a)(B); NYSE Arca Equities Rule 5.2(j)(3)
I. Self-Regulatory Organization’s Commentary .01(a)(B); NASDAQ Rule
Statement of the Terms of the Substance 19b–4, if the Commission has approved, 5705(a)(3)(A)(ii); and BATS Rule 14.11(b)(3)(A)(ii).
of the Proposed Rule Change pursuant to Section 19(b) of the See also Securities Exchange Act Release Nos.
Exchange Act, the SRO’s trading rules, 54739 (November 9, 2006), 71 FR 66993 (SR–
asabaliauskas on DSK5VPTVN1PROD with NOTICES

The ISE proposes to amend Rule 502 Amex–2006–78); 55269 (February 9, 2007), 72 FR
procedures and listing standards for the
to allow the listing of options overlying 7490 (February 15, 2007) (SR–NASDAQ–2006–050);
product class that would include the 55621 (April 12, 2007), 72 FR 19571 (April 18,
Exchange-Traded Fund Shares (‘‘ETFs’’)
new derivatives securities product, and 2007) (SR–NYSEArca–2006–86).
that are listed pursuant to generic listing 7 See Rule 502(h)(B)(1).
standards on equities exchanges for 3 See e.g., NYSE MKT Rule 1000 Commentary 8 See Rule 502(h)(B)(2).
9 See Rule 502(h)(B)(3).
.03(a)(B); NYSE Arca Equities Rule 5.2(j)(3)
27 17 CFR 200.30–3(a)(12). Commentary .01(a)(B); NASDAQ Rule 10 17 CFR 240.19b–4(e).
1 15 U.S.C. 78s(b)(1). 5705(a)(3)(A)(ii); and BATS Rule 14.11(b)(3)(A)(ii). 11 See Commentary .03 to Amex Rule 1000 and
2 17 CFR 240.19b–4. 4 17 CFR 240.19b–4(e). Commentary .02 to Amex Rule 1000A. See also

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Document Created: 2015-12-16 07:53:35
Document Modified: 2015-12-16 07:53:35
Category		Regulatory Information
Collection		Federal Register
sudoc Class		AE 2.7: GS 4.107: AE 2.106:
Publisher		Office of the Federal Register, National Archives and Records Administration
Section		Notices
FR Citation		80 FR 25729