80 FR 79371 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change Relating to the Index Underlying the WisdomTree Put Write Strategy Fund

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 80, Issue 244 (December 21, 2015)

Page Range		79371-79375
FR Document		2015-31933
Federal Register, Volume 80 Issue 244 (Monday, December 21, 2015)
[Federal Register Volume 80, Number 244 (Monday, December 21, 2015)]
[Notices]
[Pages 79371-79375]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2015-31933]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-76646; File No. SR-NYSEArca-2015-113)


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change Relating to the Index Underlying the WisdomTree 
Put Write Strategy Fund

December 15, 2015.
    Pursuant to section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 
given that, on December 2, 2015, NYSE Arca, Inc. (the ``Exchange'' or 
``NYSE Arca'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I and II 
below, which Items have been prepared by the self-regulatory 
organization. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of the 
Substance of the Proposed Rule Change

    The Exchange proposes to change a representation relating to the 
number of components in the CBOE S&P 500 Put Write Index, the index 
underlying the WisdomTree Put Write Strategy Fund (``Fund''). The 
Securities and Exchange Commission (``Commission'') has approved 
listing and trading of shares of the Fund on the Exchange under 
Commentary .01 to NYSE Arca Equities Rule 5.2(j)(3) (``Investment 
Company Units'').\4\ Shares of the Fund have not commenced listing and 
trading on the Exchange. 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.
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    \4\ See note 6, infra.
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II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the self-regulatory organization 
included statements concerning the purpose of, and basis for, the 
proposed rule change and discussed any comments it received on the 
proposed rule change. The text of those statements may be examined at 
the places specified in Item IV below. The Exchange has prepared 
summaries, set forth in sections A, B, and C below, of the most 
significant parts of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Commission has approved a proposed rule change relating to 
listing and trading on the Exchange of shares (``Shares'') of the Fund 
on the Exchange under Commentary .01 to NYSE Arca Equities Rule 
5.2(j)(3) \5\ (``Investment

[[Page 79372]]

Company Units'').\6\ Shares of the Fund have not commenced listing and 
trading on the Exchange.
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    \5\ NYSE Arca Equities Rule 5.2(j)(3)(A) provides that an 
Investment Company Unit is a security that represents an interest in 
a registered investment company that holds securities comprising, or 
otherwise based on or representing an interest in, an index or 
portfolio of securities (or holds securities in another registered 
investment company that holds securities comprising, or otherwise 
based on or representing an interest in, an index or portfolio of 
securities).
    \6\ See Securities Exchange Act Release Nos. 74290 (February 18, 
2015), 80 FR 9818 (February 24, 2015) (SR-NYSEArca-2015-05) (notice 
of filing of proposed rule change relating to listing and trading of 
shares of WisdomTree Put Write Strategy Fund under Commentary .01 to 
NYSE Arca Equities Rule 5.2(j)(3)) (``Prior Notice''); 74675 (April 
8, 2015), 80 FR 20038 (April 14, 2015) (SR-NYSEArca-2015-05) (order 
approving proposed rule change to list and trade shares of 
WisdomTree Put Write Strategy Fund under Commentary .01 to NYSE Arca 
Equities Rule 5.2(j)(3)) (``Prior Order'' and, together with the 
Prior Notice, the ``Prior Release'').
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    The Shares will be offered by the WisdomTree Trust (``Trust''), 
which was established as a Delaware statutory trust on December 15, 
2005. The Trust is registered with the Commission as an investment 
company and has filed a registration statement on Form N-1A 
(``Registration Statement'') with the Commission on behalf of the 
Fund.\7\
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    \7\ The Trust is registered under the Investment Company Act of 
1940 (15 U.S.C. 80a-1) (``1940 Act''). See Post-Effective Amendment 
No. 381 to Registration Statement on Form N-1A for the Trust, dated 
December 15, 2014 (File Nos. 333-132380 and 811-21864). The 
descriptions of the Fund and the Shares contained herein are based 
on information in the Registration Statement. In addition, the 
Commission has issued an order granting certain exemptive relief to 
the Trust under the 1940 Act. See Investment Company Act Release No. 
28171 (October 27, 2008) (File No. 812-13458).
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    The Exchange proposes to change a representation made in the Prior 
Release relating to the number of components in the CBOE S&P 500 Put 
Write Index (``Index''), the index underlying the Fund.
    As described in the Prior Release, the Fund's investment objective 
will be to seek investment results that, before fees and expenses, 
closely correspond to the price and yield performance of the Index. The 
Index was developed and is maintained by the Chicago Board Options 
Exchange, Inc. (``CBOE'' or the ``Index Provider''). The Fund's 
investment objective is to seek investment results that, before fees 
and expenses, closely correspond to the price and yield performance of 
the Index. The Index tracks the value of a passive investment strategy, 
which consists of overlaying of S&P 500 Index put options (``SPX 
Puts'') over a money market account, invested in one and three-month 
Treasury bills (``PUT Strategy''). The SPX Puts are struck at-the-money 
and are sold on a monthly basis, usually the third Friday of the month 
(i.e., the ``Roll Date''), which matches the expiration date of the SPX 
Puts. All SPX Puts are standardized options traded on the CBOE.
    As stated in the Prior Release, the Exchange submitted a proposed 
rule change (i.e., File No. SR-NYSEArca-2015-05) to permit listing and 
trading of Shares of the Fund because the Index for the Fund does not 
meet all of the ``generic'' listing requirements of Commentary 
.01(a)(A) to NYSE Arca Equities Rule 5.2(j)(3), applicable to the 
listing of Investment Company Units based upon an index of ``US 
Component Stocks.'' \8\ Specifically, Commentary .01(a)(A) to NYSE Arca 
Equities Rule 5.2(j)(3) sets forth the requirements to be met by 
components of an index or portfolio of US Component Stocks. Because the 
Index consists primarily of SPX Puts, rather than ``US Component 
Stocks'' as defined in NYSE Arca Equities Rule 5.2(j)(3), the Index 
does not satisfy the requirements of Commentary .01(a)(A).
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    \8\ NYSE Arca Equities Rule 5.2(j)(3) provides that the term 
``US Component Stock'' shall mean an equity security that is 
registered under sections 12(b) or 12(g) of the Act and an American 
Depositary Receipt, the underlying equity securities of which is 
registered under Sections 12(b) or 12(g) of the Act.
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    As stated in the Prior Release, the Shares will conform to the 
initial and continued listing criteria under NYSE Arca Equities Rules 
5.2(j)(3) and 5.5(g)(2), except that the Index will not meet the 
requirements of NYSE Arca Equities Rule 5.2(j)(3), Commentary 
.01(a)(A)(1-5) in that the Index will consist of one series of options 
based on US Component Stocks (i.e., SPX Puts), rather than US Component 
Stocks. However, the Prior Release also stated that the Index will 
include a minimum of 20 components and therefore, would meet the 
numerical requirements of NYSE Arca Equities Rule 5.2(j)(3), Commentary 
.01(a)(A)(4) (a minimum of 13 index or portfolio components). The 
representation in the preceding sentence is incorrect in that NYSE Arca 
Equities Rule 5.2(j)(3), Commentary .01 is inapplicable to an index 
consisting of options. NYSE Arca Equities Rule 5.2(j)(3), Commentary 
.01(a)(A)(4) requires that an underlying index include a minimum of 13 
``component stocks'', i.e., US Component Stocks or Non-US Component 
Stocks (as defined in NYSE Arca Equities Rule 5.2(j)(3)), not options 
components.\9\ In addition, the Index does not include 20 components, 
but rather consists of one component, which will be one series of SPX 
Puts struck at-the-money and sold on a monthly basis.
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    \9\ NYSE Arca Equities Rule 5.2(j)(3), Commentary .01(a)(A)(5) 
provides that all securities in the applicable index or portfolio 
shall be US Component Stocks listed on a national securities 
exchange and shall be NMS Stocks as defined in Rule 600 under 
Regulation NMS of the Act. Each component stock of the S&P 500 Index 
is a US Component Stock that is listed on a national securities 
exchange and is an NMS Stock. Options are excluded from the 
definition of NMS Stock. As stated in the Prior Release, the Fund 
and the Index meet all of the requirements of the listing standards 
for Investment Company Units in NYSE Arca Equities Rule 5.2(j)(3) 
and the requirements of Commentary .01, except the requirements in 
Commentary .01(a)(A)(1)-(5), as the Index consists of options on US 
Component Stocks.
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    The Exchange believes it is appropriate to strike from the Prior 
Release the representation that the Index will include a minimum of 20 
components and would meet the numerical requirements of NYSE Arca 
Equities Rule 5.2(j)(3), Commentary .01(a)(A)(4) because such 
Commentary is inapplicable to an index containing options components 
and because the Index does not include a minimum of 20 components. The 
Exchange believes that such deletion will not adversely impact 
investors or the public interest in that the Index is based on CBOE-
traded puts on one of the most widely-followed broad-based market 
indexes--the S&P 500.
    S&P 500 Index options traded on CBOE are highly liquid, with 
average daily trading volume in 2014 of 888,089 contracts, with a 
notional size per contract of $200,000.\10\ The Exchange represents 
that the average daily trading volume of at-the-money 30-day SPX Puts 
as of approximately 12:00 noon on each of the three recent Roll Dates 
was as follows: For Roll Date of April 17, 2015 (expiry May 15, 2015), 
strike price of 2080, 4,069 contracts on Roll Date, 2,273 average 
contracts per day through expiration; for Roll Date of May 15, 2015 
(expiry June 19, 2015), strike price of 2120, 9,521 contracts on Roll 
Date, 2,427 average contracts per day through expiration; and for Roll 
Date of June 19, 2015 (expiry July 17, 2015), strike price of 2110, 126 
contracts on Roll Date, 859 average contracts per day through 
expiration.\11\ Moreover, the proceeds of the sales of the SPX Puts 
will be invested in one and three-month Treasury bills, which are also 
highly liquid instruments.
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    \10\ See www.CBOE.com.
    \11\ Source: Bloomberg.
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    The trading volume of the at-the-money SPX Puts as of approximately 
12:00 noon on Roll Dates compares favorably with at-the-money (as of 
approximately 12:00 noon) put options on other major indexes on Roll 
Dates. For example, the trading volume of comparable 30-day put options 
trading at-the-money as of 12:00 noon on each of the Roll Dates above 
on the Russell 2000 Index (``RUT'') was as follows: For

[[Page 79373]]

Roll Date of April 17, 2015 (expiry May 15, 2015), strike price of 
1250, 1,137 contracts on Roll Date, 554 average contracts per day 
through expiration; for Roll Date of May 15, 2015 (expiry June 19, 
2015), strike price of 1240, 356 contracts on Roll Date, 624 average 
contracts per day through expiration; and Roll Date of June 19, 2015 
(expiry July 17, 2015), strike price of 1280, 2,240 contracts on Roll 
Date, 670 average contracts per day through expiration.\12\
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    \12\ Id.
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    The daily high, low and last reported sales prices on each of the 
Roll Dates for SPX Puts at-the-money as of approximately 12:00 noon 
were as follows: Roll Date of April 17, 2015 (expiry May 15, 2015), 
strike price of 2080, daily high: $34.65, low: $23.45, last: $28.70; 
Roll Date of May 15, 2015 (expiry June 19, 2015), strike price of 2120, 
daily high: $32.70, low: $29.00, last: $29.00; and Roll Date of June 
19, 2015 (expiry July 17, 2015), strike price of 2110, daily high: 
$30.40, low: $24.20, last: $30.40.\13\
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    \13\ Source: CBOE.
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    The Exchange estimates that on launch date, the Fund would hold 
approximately $2.5-$5.0 million in cash and cash equivalents (e.g. one-
month and three-month Treasury bills). This estimate is based on a 
minimum of 100,000-200,000 Shares being created at an estimated initial 
offering price of $25 per Share.
    The Exchange believes that sufficient protections are in place to 
protect against market manipulation of the Fund's Shares and SPX Puts 
for several reasons: (i) Surveillances administered by each of the 
Exchange, CBOE and FINRA designed to detect violations of the federal 
securities laws and self-regulatory organization (``SRO'') rules; (ii) 
the large number of financial instruments tied to the specified 
securities; and (iii) the exchange-traded fund (``ETF'') creation/
redemption arbitrage mechanism tied to the large pool of liquidity of 
each of the Fund's underlying investments, as more fully described 
below.
    Trading in the Shares and the underlying Fund instruments will be 
subject to the federal securities laws and Exchange, CBOE and the 
Financial Industry Regulatory Authority (``FINRA'') rules and 
surveillance programs.\14\ In this regard, the Exchange has in place a 
surveillance program for transactions in ETFs to ensure the 
availability of information necessary to detect and deter potential 
manipulations and other trading abuses, thereby making the Shares less 
readily susceptible to manipulation. The Exchange notes that the Fund's 
portfolio is not readily susceptible to manipulation as assets in the 
portfolio--comprised primarily of short-term U.S. Treasury bills \15\ 
and SPX Puts--will be acquired in extremely liquid and highly regulated 
markets.
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    \14\ The Exchange notes that CBOE is a member for the Options 
Regulatory Surveillance Authority, which was established in 2006, to 
provide efficiencies in looking for insider trading and serves as a 
central organization to facilitate collaboration in insider trading 
and investigations for the U.S. options exchanges. For more 
information, see http://www.cboe.com/aboutcboe/legal/departments/orsareg.aspx.
    \15\ The Treasury bill market is highly liquid; Treasury bills 
are often considered a cash-equivalent given the ability of 
investors to quickly convert them into cash. According to Federal 
Reserve Bank of New York data as of September 2015, average daily 
trading volume for U.S. Treasury bills totaled $67.8 billion. In 
addition, the Treasury market and its participants are subject to a 
wide range of oversight and regulations, including requirements 
designed to prevent market manipulation and other abuses. For 
example, Treasury market participants and the Treasury market, 
itself, are subject to significant oversight by a number of 
regulatory authorities, including the Treasury, the Commission, 
federal bank regulators, and the Financial Industry Regulatory 
Authority. The Exchange contends that the short-term Treasury 
securities that the Fund will acquire as part of its strategy are 
not readily susceptible to market manipulation due to the liquidity 
and extensive oversight associated with the short-term U.S. Treasury 
market.
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    SPX options are among the most liquid index options in the U.S. and 
derive their value from the actively traded S&P 500 Index components. 
SPX options are cash-settled with no delivery of stocks or ETFs, and 
trade in competitive auction markets with price and quote transparency. 
The Exchange believes the highly regulated S&P 500 options markets and 
the broad base and scope of the S&P 500 Index make securities that 
derive their value from that index, including S&P 500 options, less 
susceptible to potential market manipulation in view of market 
capitalization and liquidity of the S&P 500 Index components, price and 
quote transparency, and arbitrage opportunities.
    Because the pricing of the Shares is tied to the Fund's underlying 
assets (cash, Treasuries and SPX Puts), all of which are traded in 
efficient, diversified and liquid markets, the Exchange also expects 
the liquidity in the congruent creation/redemption arbitrage mechanism 
to keep the Shares' market pricing in line such that the Shares' 
pricing would not materially differ from their net asset value. The 
Exchange believes that the efficiency and liquidity of the markets for 
SPX Puts, related derivatives, and S&P 500 Index components are 
sufficiently great as to deter fraudulent or manipulative acts 
associated with the Fund's Share price. Coupled with the extensive 
surveillance programs of the SROs described above, the Exchange does 
not believe that trading in the Fund's Shares, as proposed, would 
present manipulation concerns.
Surveillance
    The Exchange represents that trading in the Shares will be subject 
to the existing trading surveillances, administered by regulatory staff 
of the Exchange or 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.\16\ 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.
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    \16\ FINRA surveils certain trading activity on the Exchange 
pursuant to a regulatory services agreement. The Exchange is 
responsible for FINRA's performance under this regulatory services 
agreement.
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    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, or the regulatory staff of the 
Exchange, will communicate as needed regarding trading in the Shares 
and SPX Index options with other markets and other entities that are 
members of the Intermarket Surveillance Group (``ISG''), and FINRA, on 
behalf of the Exchange, or the regulatory staff of the Exchange, may 
obtain trading information regarding trading such securities from such 
markets and other entities. In addition, the regulatory staff of the 
Exchange may obtain information regarding trading in such securities 
from markets and other entities that are members of ISG or with which 
the Exchange has in place a comprehensive surveillance sharing 
agreement.\17\
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    \17\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Disclosed Portfolio for a Fund may trade on markets that are members 
of ISG or with which the Exchange has in place a comprehensive 
surveillance sharing agreement.
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    In addition, the Exchange also has a general policy prohibiting the

[[Page 79374]]

distribution of material, non-public information by its employees.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under section 6(b)(5) \18\ that an exchange have rules that 
are designed to prevent fraudulent and manipulative acts and practices, 
to promote just and equitable principles of trade, to remove 
impediments to, and perfect the mechanism of a free and open market 
and, in general, to protect investors and the public interest.
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    \18\ 15 U.S.C. 78f(b)(5).
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    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NYSE Arca Equities Rule 
5.2(j)(3). The Exchange has in place surveillance procedures that are 
adequate to properly monitor trading in the Shares in all trading 
sessions and to deter and detect violations of Exchange rules and 
applicable federal securities laws. The Exchange represents that 
trading in the Shares will be subject to the existing trading 
surveillances, administered by regulatory staff of the Exchange or 
FINRA on behalf of the Exchange, which are designed to detect 
violations of Exchange rules and applicable federal securities laws. 
FINRA, on behalf of the Exchange, or the regulatory staff of the 
Exchange, will communicate as needed regarding trading in the Shares 
and SPX Index options with other markets and other entities that are 
members of ISG, and FINRA, on behalf of the Exchange, or the regulatory 
staff of the Exchange, may obtain trading information regarding trading 
such securities from such markets and other entities. In addition, the 
regulatory staff of the Exchange may obtain information regarding 
trading in such securities from markets and other entities that are 
members of ISG or with which the Exchange has in place a comprehensive 
surveillance sharing agreement. The Exchange believes it is appropriate 
to strike from the Prior Release the representation that the Index will 
include a minimum of 20 components and would meet the numerical 
requirements of NYSE Arca Equities Rule 5.2(j)(3), Commentary 
.01(a)(A)(4), as described above. The Exchange believes that such 
deletion will not adversely impact investors or the public interest in 
that the Index is based on CBOE-traded puts on the S&P 500, which are 
highly liquid and actively traded. The Exchange represents that S&P 500 
Index options traded on CBOE are highly liquid, with average daily 
trading volume in 2014 of 888,089 contracts, with a notional size per 
contract of $200,000.\19\ The Exchange represents that the average 
daily trading volume of at-the-money 30-day SPX Puts as of 
approximately 12:00 noon on each of the three previously referenced 
Roll Dates. Moreover, the proceeds of the sales of the SPX Puts will be 
invested in one and three-month Treasury bills, which are also highly 
liquid instruments. The trading volume of the at-the-money SPX Puts as 
of approximately 12:00 noon on Roll Dates compares favorably with at-
the-money (as of approximately 12:00 noon) put options on other major 
indexes on Roll Dates. Trading in the Shares and the underlying Fund 
instruments will be subject to the federal securities laws and 
Exchange, CBOE and FINRA rules and surveillance programs. In this 
regard, the Exchange has in place a surveillance program for 
transactions in ETFs to ensure the availability of information 
necessary to detect and deter potential manipulations and other trading 
abuses, thereby making the Shares less readily susceptible to 
manipulation. The Exchange notes that the Fund's portfolio is not 
readily susceptible to manipulation as assets in the portfolio--
comprised primarily of short-term U.S. Treasury bills and SPX Puts--
will be acquired in extremely liquid and highly regulated markets.
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    \19\ See www.CBOE.com.
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    The proposed rule change is designed to promote just and equitable 
principles of trade and to protect investors and the public interest in 
that trading in the Shares is subject to all requirements of NYSE Arca 
Equities Rule 5.2(j)(3). The Index is based on CBOE-traded puts on the 
S&P 500, which are highly liquid and actively traded. The Web site for 
the Fund will include a form of the prospectus for the Fund and 
additional data relating to NAV and other applicable quantitative 
information. In addition, as stated in the Prior Notice, investors will 
have ready access to information regarding the Fund's holdings, the 
Intraday Indicative Value, 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. As noted above, the Exchange has in place surveillance 
procedures relating to trading in the Shares and may obtain information 
via ISG from other exchanges that are members of ISG or with which the 
Exchange has entered into a comprehensive surveillance sharing 
agreement. In addition, as stated in the Prior Release, investors will 
have ready access to information regarding the Fund's holdings, the 
Intraday Indicative Value, 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 proposed rule change will 
enhance competition by permitting listing and trading of an additional 
type of index-based exchange-traded fund whose underlying index 
includes an options component.

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 such longer time period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will: 
(a) By order approve or disapprove such 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 rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2015-113 on the subject line.

Paper Comments

     Send paper comments in triplicate to Brent J. Fields, 
Secretary, Securities

[[Page 79375]]

and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-NYSEArca-2015-113. 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-2015-113 and should 
be submitted on or before January 11, 2016.
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    \20\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\20\
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-31933 Filed 12-18-15; 8:45 am]
BILLING CODE 8011-01-P
Federal Register / Vol. 80, No. 244 / Monday, December 21, 2015 / Notices 79371

such organization. The Commission Fund Administrators’ designated Fund notice is hereby given that, on December
believes the proposal is consistent with clients fails to make its AIP Payment on 2, 2015, NYSE Arca, Inc. (the
section 17A(b)(3)(F) of the Act 8 and Settlement Date, and the AIP Fund ‘‘Exchange’’ or ‘‘NYSE Arca’’) filed with
Rule 17Ad–22(d)(12),9 as described in Administrator does not cover the the Securities and Exchange
detail below. shortfall, NSCC is required to reverse all Commission (the ‘‘Commission’’) the
Consistency with Section 17A(b)(3)(F) of the AIP Fund Administrator’s contra- proposed rule change as described in
of the Act. Section 17A(b)(3)(F) of the side credit positions, including the Items I and II below, which Items have
Act requires, among other things, that contra-side credit positions of Funds been prepared by the self-regulatory
the rules of a clearing agency be that did pay. With this proposed rule organization. The Commission is
designed (i) to foster cooperation and change, AIP Fund Administrators can publishing this notice to solicit
coordination with persons engaged in create AIP sub-accounts that settle comments on the proposed rule change
the clearance and settlement of separately from their primary AIP from interested persons.
securities transactions, and (ii) to accounts, as well as from other AIP sub-
remove impediments to and perfect the accounts. Allowing AIP settlement at I. Self-Regulatory Organization’s
mechanism of a national system for the the sub-account level will enable Statement of the Terms of the Substance
prompt and accurate clearance and funded AIP sub-accounts to settle no of the Proposed Rule Change
settlement of securities transactions.10 later than the end of the settlement day, The Exchange proposes to change a
As described above, under NSCC’s while unfunded sub-accounts can be representation relating to the number of
current Rules regarding AIP, settlement reversed, separately. As such, the components in the CBOE S&P 500 Put
of AIP Payments is the responsibility of Commission believes that the proposal Write Index, the index underlying the
AIP Members, including AIP Fund is consistent with Rule 17Ad– WisdomTree Put Write Strategy Fund
Administrators. However, NSCC has 22(d)(12).13 (‘‘Fund’’). The Securities and Exchange
learned from fund administrators Commission (‘‘Commission’’) has
III. Conclusion
interested in becoming AIP Members approved listing and trading of shares of
that fund administrators generally do On the basis of the foregoing, the the Fund on the Exchange under
not control money settlement for their Commission finds that the proposal is Commentary .01 to NYSE Arca Equities
Fund clients. This disconnect has consistent with the requirements of the Rule 5.2(j)(3) (‘‘Investment Company
impeded the adoption of AIP by the Act and in particular with the Units’’).4 Shares of the Fund have not
fund administrator community. To requirements of section 17A of the commenced listing and trading on the
address this issue, NSCC will now allow Act 14 and the rules and regulations Exchange. The proposed rule change is
AIP Fund Administrators to establish thereunder. available on the Exchange’s Web site at
AIP sub-accounts and permit AIP It is therefore ordered, pursuant to www.nyse.com, at the principal office of
Payments to settle at the sub-account section 19(b)(2) of the Act, that the Exchange, and at the Commission’s
level. Doing so will redirect proposed rule change SR–NSCC–2015– Public Reference Room.
responsibility for settlement of AIP 007 be, and hereby is, approved.15
II. Self-Regulatory Organization’s
Payments from AIP Fund For the Commission, by the Division of
Trading and Markets, pursuant to delegated Statement of the Purpose of, and
Administrators to the AIP Fund
authority.16 Statutory Basis for, the Proposed Rule
Administrator’s designated Fund
Robert W. Errett, Change
clients.
In allowing settlement at the sub- Deputy Secretary. In its filing with the Commission, the
account level, NSCC (i) will be fostering [FR Doc. 2015–31923 Filed 12–18–15; 8:45 am] self-regulatory organization included
cooperation and coordination with fund BILLING CODE 8011–01–P statements concerning the purpose of,
administrators and Funds that are and basis for, the proposed rule change
involved in the processing of alternative and discussed any comments it received
investment securities transactions, and SECURITIES AND EXCHANGE on the proposed rule change. The text
(ii) will be removing an impediment to COMMISSION of those statements may be examined at
the prompt and accurate clearance and the places specified in Item IV below.
[Release No. 34–76646; File No. SR–
settlement of alternative investment NYSEArca–2015–113)
The Exchange has prepared summaries,
securities transactions at the sub- set forth in sections A, B, and C below,
account level. As such, the Commission Self-Regulatory Organizations; NYSE of the most significant parts of such
believes that the proposal is consistent Arca, Inc.; Notice of Filing of Proposed statements.
with section 17A(b)(3)(F) of the Act.11 Rule Change Relating to the Index A. Self-Regulatory Organization’s
Consistency with Rule 17Ad– Underlying the WisdomTree Put Write Statement of the Purpose of, and
22(d)(12). Rule 17Ad–22(d)(12) under Strategy Fund Statutory Basis for, the Proposed Rule
the Act requires a central counterparty,
December 15, 2015. Change
such as NSCC, to ‘‘establish, implement,
maintain and enforce written policies Pursuant to section 19(b)(1) 1 of the 1. Purpose
and procedures reasonably designed to Securities Exchange Act of 1934 (the
The Commission has approved a
. . . [e]nsure that final settlement ‘‘Act’’) 2 and Rule 19b–4 thereunder,3
proposed rule change relating to listing
occurs no later than the end of the and trading on the Exchange of shares
13 Id.
settlement day . . . .’’ 12 As described (‘‘Shares’’) of the Fund on the Exchange
mstockstill on DSK4VPTVN1PROD with NOTICES

14 15 U.S.C. 78q–1.
above, under the current Rules 15 In under Commentary .01 to NYSE Arca
approving the proposed rule change, the
regarding AIP, if just one of an AIP Commission considered the proposal’s impact on Equities Rule 5.2(j)(3) 5 (‘‘Investment
efficiency, competition, and capital formation. 15
8 15 U.S.C. 78q–1(b)(3)(F). U.S.C. 78c(f). 4 See note 6, infra.
9 17 CFR 240.17Ad–22(d)(12). 16 17 CFR 200.30–3(a)(12).
5 NYSE Arca Equities Rule 5.2(j)(3)(A) provides
10 15 U.S.C. 78q–1(b)(3)(F). 1 15 U.S.C. 78s(b)(1).
that an Investment Company Unit is a security that
11 Id. 2 15 U.S.C. 78a.
represents an interest in a registered investment
12 17 CFR 240.17Ad–22(d)(12). 3 17 CFR 240.19b–4. Continued

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79372 Federal Register / Vol. 80, No. 244 / Monday, December 21, 2015 / Notices

Company Units’’).6 Shares of the Fund Puts. All SPX Puts are standardized the Index does not include 20
have not commenced listing and trading options traded on the CBOE. components, but rather consists of one
on the Exchange. As stated in the Prior Release, the component, which will be one series of
The Shares will be offered by the Exchange submitted a proposed rule SPX Puts struck at-the-money and sold
WisdomTree Trust (‘‘Trust’’), which was change (i.e., File No. SR–NYSEArca– on a monthly basis.
established as a Delaware statutory trust 2015–05) to permit listing and trading of The Exchange believes it is
on December 15, 2005. The Trust is Shares of the Fund because the Index appropriate to strike from the Prior
registered with the Commission as an for the Fund does not meet all of the Release the representation that the
investment company and has filed a ‘‘generic’’ listing requirements of Index will include a minimum of 20
registration statement on Form N–1A Commentary .01(a)(A) to NYSE Arca components and would meet the
(‘‘Registration Statement’’) with the Equities Rule 5.2(j)(3), applicable to the numerical requirements of NYSE Arca
Commission on behalf of the Fund.7 listing of Investment Company Units Equities Rule 5.2(j)(3), Commentary
The Exchange proposes to change a based upon an index of ‘‘US Component .01(a)(A)(4) because such Commentary
representation made in the Prior Release Stocks.’’ 8 Specifically, Commentary is inapplicable to an index containing
relating to the number of components in .01(a)(A) to NYSE Arca Equities Rule options components and because the
the CBOE S&P 500 Put Write Index 5.2(j)(3) sets forth the requirements to be Index does not include a minimum of
(‘‘Index’’), the index underlying the met by components of an index or 20 components. The Exchange believes
Fund. portfolio of US Component Stocks. that such deletion will not adversely
As described in the Prior Release, the Because the Index consists primarily of impact investors or the public interest
Fund’s investment objective will be to SPX Puts, rather than ‘‘US Component in that the Index is based on CBOE-
seek investment results that, before fees Stocks’’ as defined in NYSE Arca traded puts on one of the most widely-
and expenses, closely correspond to the Equities Rule 5.2(j)(3), the Index does followed broad-based market indexes—
price and yield performance of the not satisfy the requirements of the S&P 500.
Index. The Index was developed and is Commentary .01(a)(A). S&P 500 Index options traded on
maintained by the Chicago Board As stated in the Prior Release, the CBOE are highly liquid, with average
Options Exchange, Inc. (‘‘CBOE’’ or the Shares will conform to the initial and daily trading volume in 2014 of 888,089
‘‘Index Provider’’). The Fund’s continued listing criteria under NYSE contracts, with a notional size per
investment objective is to seek Arca Equities Rules 5.2(j)(3) and contract of $200,000.10 The Exchange
investment results that, before fees and 5.5(g)(2), except that the Index will not represents that the average daily trading
expenses, closely correspond to the meet the requirements of NYSE Arca volume of at-the-money 30-day SPX
price and yield performance of the Equities Rule 5.2(j)(3), Commentary Puts as of approximately 12:00 noon on
Index. The Index tracks the value of a .01(a)(A)(1–5) in that the Index will each of the three recent Roll Dates was
passive investment strategy, which consist of one series of options based on as follows: For Roll Date of April 17,
consists of overlaying of S&P 500 Index US Component Stocks (i.e., SPX Puts), 2015 (expiry May 15, 2015), strike price
put options (‘‘SPX Puts’’) over a money rather than US Component Stocks. of 2080, 4,069 contracts on Roll Date,
market account, invested in one and However, the Prior Release also stated 2,273 average contracts per day through
three-month Treasury bills (‘‘PUT that the Index will include a minimum expiration; for Roll Date of May 15, 2015
Strategy’’). The SPX Puts are struck at- of 20 components and therefore, would (expiry June 19, 2015), strike price of
the-money and are sold on a monthly meet the numerical requirements of 2120, 9,521 contracts on Roll Date,
basis, usually the third Friday of the NYSE Arca Equities Rule 5.2(j)(3), 2,427 average contracts per day through
month (i.e., the ‘‘Roll Date’’), which Commentary .01(a)(A)(4) (a minimum of expiration; and for Roll Date of June 19,
matches the expiration date of the SPX 13 index or portfolio components). The 2015 (expiry July 17, 2015), strike price
representation in the preceding sentence of 2110, 126 contracts on Roll Date, 859
company that holds securities comprising, or is incorrect in that NYSE Arca Equities average contracts per day through
otherwise based on or representing an interest in, Rule 5.2(j)(3), Commentary .01 is
an index or portfolio of securities (or holds expiration.11 Moreover, the proceeds of
securities in another registered investment inapplicable to an index consisting of the sales of the SPX Puts will be
company that holds securities comprising, or options. NYSE Arca Equities Rule invested in one and three-month
otherwise based on or representing an interest in, 5.2(j)(3), Commentary .01(a)(A)(4) Treasury bills, which are also highly
an index or portfolio of securities). requires that an underlying index
6 See Securities Exchange Act Release Nos. 74290 liquid instruments.
(February 18, 2015), 80 FR 9818 (February 24, 2015) include a minimum of 13 ‘‘component The trading volume of the at-the-
(SR–NYSEArca–2015–05) (notice of filing of stocks’’, i.e., US Component Stocks or money SPX Puts as of approximately
proposed rule change relating to listing and trading Non-US Component Stocks (as defined 12:00 noon on Roll Dates compares
of shares of WisdomTree Put Write Strategy Fund in NYSE Arca Equities Rule 5.2(j)(3)),
under Commentary .01 to NYSE Arca Equities Rule favorably with at-the-money (as of
5.2(j)(3)) (‘‘Prior Notice’’); 74675 (April 8, 2015), 80 not options components.9 In addition, approximately 12:00 noon) put options
FR 20038 (April 14, 2015) (SR–NYSEArca–2015–05) on other major indexes on Roll Dates.
(order approving proposed rule change to list and 8 NYSE Arca Equities Rule 5.2(j)(3) provides that

trade shares of WisdomTree Put Write Strategy the term ‘‘US Component Stock’’ shall mean an
For example, the trading volume of
Fund under Commentary .01 to NYSE Arca Equities equity security that is registered under sections comparable 30-day put options trading
Rule 5.2(j)(3)) (‘‘Prior Order’’ and, together with the 12(b) or 12(g) of the Act and an American at-the-money as of 12:00 noon on each
Prior Notice, the ‘‘Prior Release’’). Depositary Receipt, the underlying equity securities of the Roll Dates above on the Russell
7 The Trust is registered under the Investment of which is registered under Sections 12(b) or 12(g)
of the Act.
2000 Index (‘‘RUT’’) was as follows: For
Company Act of 1940 (15 U.S.C. 80a–1) (‘‘1940
Act’’). See Post-Effective Amendment No. 381 to 9 NYSE Arca Equities Rule 5.2(j)(3), Commentary
mstockstill on DSK4VPTVN1PROD with NOTICES

Registration Statement on Form N–1A for the Trust, .01(a)(A)(5) provides that all securities in the stated in the Prior Release, the Fund and the Index
dated December 15, 2014 (File Nos. 333–132380 applicable index or portfolio shall be US meet all of the requirements of the listing standards
and 811–21864). The descriptions of the Fund and Component Stocks listed on a national securities for Investment Company Units in NYSE Arca
the Shares contained herein are based on exchange and shall be NMS Stocks as defined in Equities Rule 5.2(j)(3) and the requirements of
information in the Registration Statement. In Rule 600 under Regulation NMS of the Act. Each Commentary .01, except the requirements in
addition, the Commission has issued an order component stock of the S&P 500 Index is a US Commentary .01(a)(A)(1)–(5), as the Index consists
granting certain exemptive relief to the Trust under Component Stock that is listed on a national of options on US Component Stocks.
10 See www.CBOE.com.
the 1940 Act. See Investment Company Act Release securities exchange and is an NMS Stock. Options
No. 28171 (October 27, 2008) (File No. 812–13458). are excluded from the definition of NMS Stock. As 11 Source: Bloomberg.

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Federal Register / Vol. 80, No. 244 / Monday, December 21, 2015 / Notices 79375

and Exchange Commission, 100 F Street (‘‘Act’’),1 and Rule 19b–4 thereunder,2 1. Increase fees from $0.94 to $1.10
NE., Washington, DC 20549–1090. notice is hereby given that on December per contract for all Participant categories
All submissions should refer to File 1, 2015, The NASDAQ Stock Market other than Customer, which remains at
Number SR–NYSEArca–2015–113. This LLC (‘‘Nasdaq’’ or ‘‘Exchange’’) filed $0.85 per contract.
file number should be included on the with the Securities and Exchange 2. Offer Participants that send
subject line if email is used. To help the Commission (‘‘SEC’’ or ‘‘Commission’’) Professional, Firm, Non-NOM Market
Commission process and review your the proposed rule change as described Maker, NOM Market Maker and/or
comments more efficiently, please use in Items I, II, and III, below, which Items Broker-Dealer order flow an opportunity
only one method. The Commission will have been prepared by the Exchange. to lower the Fees for Removing
post all comments on the Commission’s The Commission is publishing this Liquidity in Non-Penny Pilot Options
Internet Web site (http://www.sec.gov/ notice to solicit comments on the from $1.10 to $1.03 per contract
rules/sro.shtml). Copies of the proposed rule change from interested provided they qualify for Customer or
submission, all subsequent persons. Professional Penny Pilot 3 Options
amendments, all written statements I. Self-Regulatory Organization’s Rebates to Add Liquidity Tiers 7 or 8.
with respect to the proposed rule Statement of the Terms of Substance of 3. Offer Participants that send NOM
change that are filed with the the Proposed Rule Change Market Maker order flow an opportunity
Commission, and all written to lower the Fee for Removing Liquidity
The Exchange proposes to amend the in Non-Penny Pilot Options from $1.10
communications relating to the
Exchange’s transaction fees at Chapter to $1.08 per contract provided they
proposed rule change between the XV, Section 2 entitled ‘‘NASDAQ
Commission and any person, other than qualify for Customer or Professional
Options Market—Fees and Rebates,’’
those that may be withheld from the Penny Pilot Options Rebate to Add
which governs pricing for Nasdaq
public in accordance with the Liquidity Tiers 2, 3, 4, 5 or 6.
members using the NASDAQ Options
provisions of 5 U.S.C. 552, will be Market (‘‘NOM’’), Nasdaq’s facility for
available for Web site viewing and executing and routing standardized
3 The Penny Pilot was established in March 2008

printing in the Commission’s Public and has since been expanded and extended through
equity and index options. June 30, 2016. See Securities Exchange Act Release
Reference Room, 100 F Street NE., The text of the proposed rule change Nos. 57579 (March 28, 2008), 73 FR 18587 (April
Washington, DC 20549, on official is available on the Exchange’s Web site 4, 2008) (SR–NASDAQ–2008–026) (notice of filing
business days between the hours of at http://nasdaq.cchwallstreet.com, at and immediate effectiveness establishing Penny
10:00 a.m. and 3:00 p.m. Copies of the Pilot); 60874 (October 23, 2009), 74 FR 56682
the principal office of the Exchange, and (November 2, 2009)(SR–NASDAQ–2009–091)
filing also will be available for at the Commission’s Public Reference (notice of filing and immediate effectiveness
inspection and copying at the principal Room. expanding and extending Penny Pilot); 60965
office of the Exchange. All comments (November 9, 2009), 74 FR 59292 (November 17,
received will be posted without change; II. Self-Regulatory Organization’s 2009)(SR–NASDAQ–2009–097) (notice of filing and
the Commission does not edit personal Statement of the Purpose of, and immediate effectiveness adding seventy-five classes
Statutory Basis for, the Proposed Rule to Penny Pilot); 61455 (February 1, 2010), 75 FR
identifying information from 6239 (February 8, 2010) (SR–NASDAQ–2010–013)
submissions. You should submit only Change (notice of filing and immediate effectiveness adding
information that you wish to make In its filing with the Commission, the seventy-five classes to Penny Pilot); 62029 (May 4,
2010), 75 FR 25895 (May 10, 2010) (SR–NASDAQ–
available publicly. All submissions Exchange included statements 2010–053) (notice of filing and immediate
should refer to File Number SR– concerning the purpose of and basis for effectiveness adding seventy-five classes to Penny
NYSEArca–2015–113 and should be the proposed rule change and discussed Pilot); 65969 (December 15, 2011), 76 FR 79268
submitted on or before January 11, 2016. any comments it received on the (December 21, 2011) (SR–NASDAQ–2011–169)
(notice of filing and immediate effectiveness [sic]
For the Commission, by the Division of proposed rule change. The text of these extension and replacement of Penny Pilot); 67325
Trading and Markets, pursuant to delegated statements may be examined at the (June 29, 2012), 77 FR 40127 (July 6, 2012) (SR–
authority.20 places specified in Item IV below. The NASDAQ–2012–075) (notice of filing and
Exchange has prepared summaries, set immediate effectiveness and extension and
Robert W. Errett, replacement of Penny Pilot through December 31,
Deputy Secretary. forth in sections A, B, and C below, of 2012); 68519 (December 21, 2012), 78 FR 136
[FR Doc. 2015–31933 Filed 12–18–15; 8:45 am]
the most significant aspects of such (January 2, 2013) (SR–NASDAQ–2012–143) (notice
statements. of filing and immediate effectiveness and extension
BILLING CODE 8011–01–P and replacement of Penny Pilot through June 30,
A. Self-Regulatory Organization’s 2013); 69787 (June 18, 2013), 78 FR 37858 (June 24,
Statement of the Purpose of, and 2013) (SR–NASDAQ–2013–082) (notice of filing
SECURITIES AND EXCHANGE Statutory Basis for, the Proposed Rule and immediate effectiveness and extension and
COMMISSION replacement of Penny Pilot through December 31,
Change 2013); 71105 (December 17, 2013), 78 FR 77530
(December 23, 2013) (SR–NASDAQ–2013–154)
1. Purpose (notice of filing and immediate effectiveness and
[Release No. 34–76647; File No. SR–
NASDAQ–2015–148] The Exchange proposes various extension and replacement of Penny Pilot through
changes to the NOM transaction fees June 30, 2014); 79 FR 31151 (May 23, 2014), 79 FR
31151 (May 30, 2014) (SR–NASDAQ–2014–056)
Self-Regulatory Organizations; The and rebates set forth at Chapter XV, (notice of filing and immediate effectiveness and
NASDAQ Stock Market LLC; Notice of Section 2 for executing and routing extension and replacement of Penny Pilot through
Filing and Immediate Effectiveness of standardized equity and index options December 31, 2014); 73686 (November 25, 2014), 79
Proposed Rule Change To Amend under the Non-Penny Pilot Options FR 71477 (December 2, 2014) (SR–NASDAQ–2014–
115) (notice of filing and immediate effectiveness
mstockstill on DSK4VPTVN1PROD with NOTICES

NASDAQ Options Market—Fees and program, as well as other changes. and extension and replacement of Penny Pilot
Rebates The proposed changes are as follows: through June 30, 2015) and 75283 (June 24, 2015),
Fees for Removing Liquidity in Non- 80 FR 37347 (June 30, 2015) (SR–NASDAQ–2015–
December 15, 2015. Penny Pilot Options: The Exchange 063) (notice of filing and immediate effectiveness of
Pursuant to Section 19(b)(1) of the proposes to: a Proposed Rule Change Relating to Extension of
Securities Exchange Act of 1934 the Exchange’s Penny Pilot Program and
Replacement of Penny Pilot Issues That Have Been
1 15 U.S.C. 78s(b)(1). Delisted.) See also NOM Rules, Chapter VI, Section
20 17 CFR 200.30–3(a)(12). 2 17 CFR 240.19b–4. 5.

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Document Created: 2015-12-19 02:56:57
Document Modified: 2015-12-19 02:56:57
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 79371