81 FR 22143 - Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of Filing of Amendment No. 1 and Order Approving on an Accelerated Basis a Proposed Rule Change, as Modified by Amendments No. 1, No. 2, and No. 3, To List and Trade Shares of the SPDR DoubleLine Emerging Markets Fixed Income ETF of the SSgA Active Trust
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 81, Issue 72 (April 14, 2016)
Federal Register Volume 81, Issue 72 (April 14, 2016)
| Page Range | 22143-22148 | |
| FR Document | 2016-08554 |
[Federal Register Volume 81, Number 72 (Thursday, April 14, 2016)] [Notices] [Pages 22143-22148] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2016-08554] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-77567; File No. SR-BATS-2015-94] Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of Filing of Amendment No. 1 and Order Approving on an Accelerated Basis a Proposed Rule Change, as Modified by Amendments No. 1, No. 2, and No. 3, To List and Trade Shares of the SPDR DoubleLine Emerging Markets Fixed Income ETF of the SSgA Active Trust April 8, 2016. I. Introduction On December 28, 2015, BATS Exchange, Inc. (``Exchange'') filed with the Securities and Exchange Commission (``Commission''), pursuant [[Page 22144]] to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to list and trade shares of the SPDR[supreg] DoubleLine[supreg] Emerging Markets Fixed Income ETF of the SSgA Active Trust under BATS Rule 14.11(i). The proposed rule change was published for comment in the Federal Register on January 15, 2016.\3\ On February 23, 2016, pursuant to Section 19(b)(2) of the Act,\4\ the Commission designated a longer period within which to approve the proposed rule change, disapprove the proposed rule change, or institute proceedings to determine whether to disapprove the proposed rule change.\5\ On February 26, 2016, the Exchange filed Amendment No. 1 to the proposal.\6\ On March 24, 2016, the Exchange filed Amendment No. 2 to the proposal.\7\ On April 7, 2016, Exchange filed Amendment No. 3 to the proposed rule change.\8\ The Commission has received no comments on the proposal. The Commission is publishing this notice to solicit comments on Amendment No. 1 from interested persons, and is approving the proposed rule change, as modified by Amendments No. 1, No. 2, and No. 3, on an accelerated basis. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. \3\ See Securities Exchange Act Release No. 76862 (Jan. 11, 2016), 81 FR 2282. \4\ 15 U.S.C. 78s(b)(2). \5\ See Securities Exchange Act Release No. 77209, 81 FR 10315 (Feb. 29, 2016). The Commission designated April 14, 2016, as the date by which it should approve, disapprove, or institute proceedings to determine whether to disapprove the proposed rule change. \6\ Amendment No. 1 replaced and superseded the proposed rule change in its entirety. In Amendment No. 1, the Exchange clarified that: (1) The Fund may invest without limit in investments denominated in any currency, but expects to invest a portion of its assets in U.S.-dollar-denominated investments; (2) the Fund may invest up to 20% of its portfolio in structured securities and junior bank loans; and (3) to limit the potential risk associated with derivative transactions, the Fund will segregate or ``earmark'' assets determined to be liquid by the Adviser in accordance with procedures established by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940 (15 U.S.C. 80a-1) (``1940 Act'') (or, as permitted by applicable regulations, enter into certain offsetting positions) to cover its obligations under derivative instruments, and will include appropriate risk disclosure in its offering documents, including leveraging risk. Amendment No. 1 also adds a representation that the Adviser believes there will be minimal, if any, impact to the arbitrage mechanism as a result of the use of derivatives, and makes changes of a technical nature. The amendments to the proposed rule change are available at: http://www.sec.gov/comments/sr-bats-2015-94/bats201594.shtml. \7\ In Amendment No. 2, the Exchange clarifies that: (1) All statements and representations made in this filing regarding (a) the description of the portfolio, (b) limitations on portfolio holdings or reference assets, or (c) the applicability of Exchange rules and surveillance procedures shall constitute continued listing requirements for listing the Shares on the Exchange; and (2) the issuer has represented to the Exchange that it will advise the Exchange of any failure by the Fund to comply with the continued listing requirements, and, pursuant to its obligations under Section 19(g)(1) of the Exchange Act, the Exchange will surveil for compliance with the continued listing requirements. If the Fund is not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under Exchange Rule 14.12. Because Amendment No. 2 adds clarification to the proposal and does not materially alter the substance of the proposed rule change or raise unique or novel regulatory issues, Amendment No. 2 is not subject to notice and comment. \8\ In Amendment No. 3, the Exchange made a conforming change to confirm that the Fund may invest in unsponsored American Depositary Receipts (``ADRs''), which are not exchange traded. Because Amendment No. 3 clarifies the proposal and does not materially alter the substance of the proposed rule change or raise unique or novel regulatory issues, Amendment No. 3 is not subject to notice and comment. --------------------------------------------------------------------------- II. The Exchange's Description of the Proposal \9\ --------------------------------------------------------------------------- \9\ Additional information regarding, among other things, the Shares, the Fund, its investment objective, its investments, its investment strategies, its investment methodology, its investment restrictions, its fees, its creation and redemption procedures, availability of information, trading rules and halts, and surveillance procedures can be found in Amendment No. 1 and in the Registration Statement. See Amendment No. 1, supra note 6, and Registration Statement, infra note 10, respectively. --------------------------------------------------------------------------- The Exchange proposes to list and trade the Shares under BATS Rule 14.11(i), which governs the listing and trading of Managed Fund Shares on the Exchange. The Shares will be offered by SSgA Active Trust (``Trust''), which is organized as a Massachusetts business trust and is registered with the Commission as an open-end management investment company.\10\ SSGA Funds Management, Inc. will serve as the investment adviser to the Fund (``Adviser'') \11\ as well as the administrator for the Fund. DoubleLine Capital LP will be the Fund's sub-adviser (``Sub- Adviser''). State Street Global Markets, LLC will be the principal underwriter and distributor of the Shares. State Street Bank and Trust Company will serve as the sub-administrator, custodian (``Custodian''), transfer agent, and, where applicable, lending agent (``Lending Agent'') for the Fund. --------------------------------------------------------------------------- \10\ See Registration Statement on Form N-1A for the Trust, dated October 8, 2015 (File Nos. 333-173276 and 811-22542) (``Registration Statement''). The Exchange states that the Commission has issued an order granting certain exemptive relief to the Trust under the 1940 Act. See Investment Company Act Release No. 29524 (December 13, 2010) (File No. 812-13487). \11\ An investment adviser to an open-end fund is required to be registered under the Investment Advisers Act of 1940 (``Advisers Act''). As a result, the Adviser and its related personnel as well as the Sub-Adviser and its 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. --------------------------------------------------------------------------- Neither the Adviser nor the Sub-Adviser is registered as a broker- dealer, but the Adviser is affiliated with a broker-dealer and has implemented a ``fire wall'' with respect to that broker-dealer regarding access to information concerning the composition of and changes to the Fund's portfolio. The Sub-Adviser is not affiliated with a broker-dealer.\12\ --------------------------------------------------------------------------- \12\ See Amendment No. 1, supra note 6, at 6. 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 of and 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. See id. --------------------------------------------------------------------------- A. Principal Investments of the Fund The Fund is an actively managed fund that does not seek to replicate the performance of a specified index. The Fund will seek to provide high total return from current income and capital appreciation. To achieve its objective, the Fund will invest, under normal circumstances, \13\ at least 80% of its net assets (plus the amount of borrowings for investment purposes) in emerging-market fixed income securities.\14\ More specifically, the Fund will invest at least 80% of its net assets (plus the amount [[Page 22145]] of borrowings for investment purposes) in fixed income instruments (``Fixed Income Securities''), which are defined as the following instruments: Fixed income securities issued or guaranteed by foreign corporations \15\ or foreign governments, including securities issued or guaranteed by companies (including hybrid securities), financial institutions, or government entities in emerging market countries; corporate or government bonds; sovereign debt; structured securities; \16\ foreign currency transactions (discussed below); certain derivatives (discussed below); exchange-traded foreign equity securities (described below) and preferred securities; unsponsored ADRs; \17\ zero coupon bonds; credit linked notes; pass-through notes; bank loans; and perpetual maturity bonds. Fixed Income Securities may have fixed or variable interest rates and any maturity. The Fund will generally invest in Fixed Income Securities from at least five emerging market countries,\18\ with no more than 20% allocated to a single country. The Fund may invest in Fixed Income Securities of any credit quality, but seeks to invest no more than 20%, at the time of investment, in Fixed Income Securities that are unrated, rated BB+ or lower by Standard & Poor's Rating Service or Ba1 or lower by Moody's Investor Service, Inc. or the equivalent by any other nationally recognized statistical rating organization. --------------------------------------------------------------------------- \13\ The term ``under normal circumstances'' includes, but is not limited to, the absence of extreme volatility or trading halts in the fixed income markets or the financial markets generally; operational issues causing dissemination of inaccurate market information; or force majeure type events such as systems failure, natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption, or any similar intervening circumstance. \14\ Under normal market conditions, the Sub-Adviser intends to seek to construct an investment portfolio with a weighted average effective duration of no less than two years and no more than eight years. \15\ While the Fund is permitted to invest without restriction in corporate bonds, the Sub-Adviser expects that, under normal circumstances, the Fund will generally seek to invest in corporate bond issuances that have at least $100,000,000 par amount outstanding. Further, component corporate bonds that in the aggregate account for at least 75% of the weight of corporate bonds will have a minimum original principal outstanding of $100 million or more. \16\ Structured securities generally include privately issued and publicly issued structured securities, including certain publicly issued structured securities that are not agency securities. The Fund may invest up to 20% of its portfolio in structured securities and junior bank loans. \17\ See Amendment No. 3, supra note 8. \18\ An ``emerging market country'' is a country that, at the time the Fund invests in the related fixed income instruments, is classified as an emerging or developing economy by any supranational organization such as the World Bank or the United Nations, or related entities, or is considered an emerging market country for purposes of constructing a major emerging market securities index. A fixed income instrument is considered to be from an emerging market country if the issuer or guarantor of the instrument is either domiciled in an emerging market country or derives a majority of its cash flow or revenue from an emerging market country. --------------------------------------------------------------------------- The Fund may purchase exchange-traded common stocks and exchange- traded preferred securities of foreign corporations. The Fund's investments in common stock of foreign corporations may also be in the form of ADRs (sponsored and unsponsored, as noted above),\19\ Global Depositary Receipts, and European Depositary Receipts (collectively ``Depositary Receipts''). --------------------------------------------------------------------------- \19\ The Fund may invest in sponsored or unsponsored ADRs; however, not more than 10% of the net assets of the Fund will be invested in unsponsored ADRs. All exchange-traded equity securities in which the Fund may invest will trade on markets that are members of the Intermarket Surveillance Group (``ISG'') or that have entered into a comprehensive surveillance agreement with the Exchange. --------------------------------------------------------------------------- The Fund may conduct foreign currency transactions on a spot (i.e., cash) or forward basis (i.e., by entering into forward contracts to purchase or sell foreign currencies). The Fund may also invest in the following derivatives: Foreign currency futures; credit default swaps;\20\ and options, swaps, futures, and forward contracts on Fixed Income Securities. All such derivatives will be exchange traded or centrally cleared.\21\ --------------------------------------------------------------------------- \20\ The Fund will enter into CDS agreements only with counterparties that meet certain standards of creditworthiness. The Fund will segregate assets necessary to meet any accrued payment obligations when it is the buyer of CDSs. In cases where the Fund is a seller of a CDS, if the CDS is physically settled or cash settled, the Fund will be required to segregate the full notional amount of the CDS. \21\ The Exchange states that the Adviser believes there will be minimal, if any, impact to the arbitrage mechanism as a result of the use of derivatives. Market makers and participants should be able to value derivatives as long as the positions are disclosed with relevant information. The Exchange states that the Adviser believes that the price at which Shares trade will continue to be disciplined by arbitrage opportunities created by the ability to purchase or redeem creation Shares at their net asset value (``NAV''), which should ensure that Shares will not trade at a material discount or premium in relation to their NAV. --------------------------------------------------------------------------- B. Non-Principal Investments While the Adviser and Sub-Adviser, under normal circumstances, will invest at least 80% of the Fund's net assets in the instruments described above, the Adviser and Sub-Adviser may invest up to 20% of the Fund's net assets in other securities and financial instruments, as described below. The Fund may invest in U.S. Government obligations and U.S. equity securities. The Fund's investments in such U.S. equity securities may include securities traded over-the-counter (``OTC'') as well as those traded on a securities exchange. The Fund may invest in convertible securities traded on an exchange or OTC. The Fund may invest in repurchase agreements with commercial banks, brokers or dealers to generate income from its excess cash balances and to invest securities-lending cash collateral. The Fund may also 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 which have the characteristics of borrowing. The Fund's exposure to reverse repurchase agreements will be covered by securities having a value equal to or greater than such commitments. Although there is no limit on the percentage of Fund assets that can be used in connection with reverse repurchase agreements, the Fund does not expect to engage, under normal circumstances, in reverse repurchase agreements with respect to more than 10% of its net assets. In addition to repurchase agreements, the Fund may invest in short- term instruments, including money market instruments \22\ and cash equivalents, and may hold cash. --------------------------------------------------------------------------- \22\ Money market instruments are generally short-term investments that may include but are not limited to: (i) Shares of money market funds (including those advised by the Adviser); (ii) obligations issued or guaranteed by the U.S. government, its agencies or instrumentalities (including government-sponsored enterprises); (iii) negotiable certificates of deposit (``CDs''), bankers' acceptances, fixed time deposits and other obligations of U.S. and foreign banks (including foreign branches) and similar institutions; (iv) commercial paper rated at the date of purchase ``Prime-1'' by Moody's or ``A-1'' by S&P, or if unrated, of comparable quality as determined by the Adviser; (v) non-convertible corporate debt securities (e.g., bonds and debentures) with remaining maturities at the date of purchase of not more than 397 days and that satisfy the rating requirements set forth in Rule 2a-7 under the 1940 Act; and (vi) short-term U.S. dollar-denominated obligations of foreign banks (including U.S. branches) that, in the opinion of the Adviser, are of comparable quality to obligations of U.S. banks that may be purchased by the Fund. Any of these instruments may be purchased on a current or a forward-settled basis. --------------------------------------------------------------------------- The Fund may lend its portfolio securities in an amount not to exceed 33 \1/3\% of the value of its total assets via a securities lending program through the Lending Agent, to brokers, dealers, and other financial institutions desiring to borrow securities to complete transactions and for other purposes. A securities lending program allows the Fund to receive a portion of the income generated by lending its securities and investing the respective collateral. The Fund will receive collateral for each loaned security that is at least equal to 102% of the market value of that security, marked to market each trading day. The Fund may invest in Restricted Securities. Restricted Securities are securities that are not registered under the Securities Act, but which can be offered and sold to ``qualified institutional buyers'' under Rule 144A under the Securities Act or securities purchased after the lapse of the appropriate distribution compliance [[Page 22146]] period under Regulation S under the Securities Act. The Fund may invest in the securities of other investment companies, including affiliated funds and money market funds, subject to applicable limitations under Section 12(d)(1) of the 1940 Act. III. Discussion and Commission Findings After careful review, the Commission finds that the Exchange's proposal to list and trade the Shares is consistent with the Exchange Act and the rules and regulations thereunder applicable to a national securities exchange.\23\ In particular, the Commission finds that the proposed rule change is consistent with Section 6(b)(5) of the Exchange Act,\24\ which requires, among other things, that the Exchange's rules be designed to promote just and equitable principles of trade, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. --------------------------------------------------------------------------- \23\ In approving this proposed rule change, the Commission has considered the proposed rule's impact on efficiency, competition and capital formation. See 15 U.S.C. 78c(f). \24\ 15 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- The Commission also finds that the proposal to list and trade the Shares on the Exchange is consistent with Section 11A(a)(1)(C)(iii) of the Exchange Act,\25\ which sets forth Congress' finding that it is in the public interest and appropriate for the protection of investors and the maintenance of fair and orderly markets to assure the availability to brokers, dealers, and investors of information with respect to quotations for and transactions in securities. Quotation and last-sale information for the Shares will be available on the facilities of the Consolidated Tape Association. The Exchange represents that the intraday, closing, and settlement prices of common stocks and other exchange-listed instruments (including Depositary Receipts, preferred securities, convertible securities, common stock, and ETPs) will be readily available from the securities exchanges trading those securities as well as from automated quotation systems, published or other public sources, or online information services. Intraday and closing price information for exchange-traded options and futures will be available from the applicable exchange and from major market data vendors. In addition, price information for U.S. exchange-traded options will be available from the Options Price Reporting Authority. --------------------------------------------------------------------------- \25\ 15 U.S.C. 78k-1(a)(1)(C)(iii). --------------------------------------------------------------------------- Quotation information from brokers and dealers or pricing services will be available for Fixed Income Securities and U.S. Government obligations. Price information regarding short-term instruments, spot currency transactions, OTC-traded derivative instruments (including options, swaps, and forward currency transactions), and non-exchange- listed equity securities traded in the OTC market (including Restricted Securities, repurchase and reverse repurchase agreements, OTC equity securities, OTC-traded preferred securities, and OTC-traded convertible securities) is available from major market data vendors. The Commission also believes that the proposal to list and trade the Shares is reasonably designed to promote fair disclosure of information that may be necessary to price the Shares appropriately and to prevent trading when a reasonable degree of transparency cannot be assured. On each business day, before commencement of trading in Shares during Regular Trading Hours \26\ on the Exchange, the Fund will disclose on its Web site the identities and quantities of the portfolio of securities and other assets (the ``Disclosed Portfolio'') held by the Fund that will form the basis for the Fund's calculation of NAV at the end of the business day.\27\ The Exchange will obtain a representation from the issuer of the Shares that the NAV per Share will be calculated daily and that the NAV and the Disclosed Portfolio will be made available to all market participants at the same time. --------------------------------------------------------------------------- \26\ Regular Trading Hours are 9:30 a.m. to 4:00 p.m. Eastern Time. \27\ The Fund's disclosure of derivative positions in the Disclosed Portfolio will include information that market participants can use to value these positions intraday. The Disclosed Portfolio will include, as applicable: The 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 and information will be publicly available at no charge. Under accounting procedures to be followed by the Fund, trades made on the prior business day will be booked and reflected in NAV on the current business day. 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. --------------------------------------------------------------------------- In addition, the Intraday Indicative Value will be based upon the current value for the components of the Disclosed Portfolio and will be updated and widely disseminated by one or more major market data vendors at least every 15 seconds during the Exchange's Regular Trading Hours. The Custodian, through the National Securities Clearing Corporation, will make available on each business day, prior to the opening of business on the Exchange, the list of the names and the required number of shares of each Deposit Security or the required amount of Deposit Cash, as applicable, to be included in the current Fund Deposit (based on information at the end of the previous business day) for the Fund. The NAV of the Shares generally will be calculated once daily Monday through Friday as of the close of regular trading on the Exchange, generally 4:00 p.m. Eastern Time (the ``NAV Calculation Time'') on each day that the Exchange is open for trading, based on prices at the NAV Calculation Time. The Fund's Web site, 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 and additional information relating to NAV and other applicable information. The Exchange represents that trading in the Shares will be halted under the conditions specified in BATS Rule 11.18. Trading may be halted because of market conditions or for reasons that, in the view of the Exchange, make trading in the Shares inadvisable.\28\ Trading in the Shares also will be subject to Rule 14.11(i)(4)(B)(iv), which sets forth circumstances under which trading in the Shares may be halted. --------------------------------------------------------------------------- \28\ These may include: (1) The extent to which trading is not occurring in the securities and/or the financial instruments composing 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. --------------------------------------------------------------------------- The Exchange states that it prohibits the distribution of material non-public information by its employees. The Exchange represents that the Adviser is not registered as a broker-dealer but is affiliated with a broker-dealer and has implemented a ``fire wall'' with respect to that broker-dealer regarding access to information concerning the composition of and changes to the Fund's portfolio. Trading of the Shares through the Exchange will be subject to the Exchange's surveillance procedures for derivative products, including Managed Fund Shares. The Exchange may obtain information regarding trading in the Shares and the underlying shares in exchange-traded investment companies, U.S. equity securities, foreign equity securities, futures, and options via the ISG, from other exchanges who are [[Page 22147]] members or affiliates of the ISG, or from other exchanges with which the Exchange has entered into a comprehensive surveillance sharing agreement.\29\ In addition, the Exchange is able to access, as needed, trade information for certain fixed income instruments reported to FINRA's Trade Reporting and Compliance Engine. --------------------------------------------------------------------------- \29\ For a list of the current members and affiliate members of ISG, see www.isgportal.com. The Exchange also notes that all exchange-traded instruments, including investment company securities, futures, and options will trade on markets that are a member of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement. See Amendment No. 1, supra note 6, at 30, n.27. --------------------------------------------------------------------------- The Exchange represents that it 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. In support of this proposal, the Exchange has also made the following representations: (1) The Shares will be subject to BATS Rule 14.11(i), which sets forth the initial and continued listing criteria applicable to Managed Fund Shares.\30\ --------------------------------------------------------------------------- \30\ See Amendment No. 1, supra note 6, at 28. --------------------------------------------------------------------------- (2) All statements and representations made regarding (a) the description of the portfolio, (b) limitations on portfolio holdings or reference assets, or (c) the applicability of Exchange rules and surveillance procedures shall constitute continued listing requirements for listing the Shares on the Exchange.\31\ --------------------------------------------------------------------------- \31\ See Amendment No. 2, supra note 7, at 3. --------------------------------------------------------------------------- (3) The issuer will advise the Exchange of any failure by the Fund to comply with the continued listing requirements, and, pursuant to its obligations under Section 19(g)(1) of the Exchange Act, the Exchange will surveil for compliance with the continued listing requirements. If the Fund is not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under Exchange Rule 14.12.\32\ --------------------------------------------------------------------------- \32\ Id. at 4. --------------------------------------------------------------------------- (4) The Exchange has appropriate rules to facilitate transactions in the Shares during all trading sessions.\33\ --------------------------------------------------------------------------- \33\ See Amendment No. 1, supra note 6, at 29. --------------------------------------------------------------------------- (5) Trading of the Shares through the Exchange will be subject to the Exchange's surveillance procedures for derivative products, including Managed Fund Shares, and these procedures are adequate to properly monitor the trading of the Shares on the Exchange during all trading sessions and to deter and detect violations of Exchange rules and the applicable federal securities laws.\34\ --------------------------------------------------------------------------- \34\ Id. at 29-30. --------------------------------------------------------------------------- (6) Prior to the commencement of trading, the Exchange will inform its members in an Information Circular of the special characteristics and risks associated with trading the Shares. Specifically, the Information Circular will discuss the following: (a) The procedures for purchases and redemptions of Shares in Creation Units (and that Shares are not individually redeemable); (b) BATS Rule 3.7, which imposes suitability obligations on Exchange members with respect to recommending transactions in the Shares to customers; (c) how information regarding the Intraday Indicative Value and the Disclosed Portfolio is disseminated; (d) the risks involved in trading the Shares during the Pre-Opening and After Hours Trading Sessions when an updated Intraday Indicative Value will not be calculated or publicly disseminated; (e) the requirement that members deliver a prospectus to investors purchasing newly issued Shares prior to or concurrently with the confirmation of a transaction; and (f) trading information.\35\ --------------------------------------------------------------------------- \35\ Id. at 30-31. --------------------------------------------------------------------------- (7) For initial and continued listing, the Fund must be in compliance with Rule 10A-3 under the Act.\36\ --------------------------------------------------------------------------- \36\ Id. at 28. See also 17 CFR 240.10A-3. --------------------------------------------------------------------------- (8) A minimum of 100,000 Shares will be outstanding at the commencement of trading on the Exchange.\37\ --------------------------------------------------------------------------- \37\ See Amendment No. 1, supra note 6, at 28. --------------------------------------------------------------------------- (9) The Fund will enter into CDS agreements only with counterparties that meet certain standards of creditworthiness.\38\ --------------------------------------------------------------------------- \38\ Id. at 12. --------------------------------------------------------------------------- (10) The Fund may invest up to 20% of its portfolio in structured securities and junior bank loans in the aggregate.\39\ --------------------------------------------------------------------------- \39\ Id. at 9. --------------------------------------------------------------------------- (11) Under normal circumstances, the Fund will generally seek to invest in corporate bond issuances that have at least $100,000,000 par amount outstanding. Further, component corporate bonds that in the aggregate account for at least 75% of the weight of corporate bonds will have a minimum original principal outstanding of $100 million or more.\40\ --------------------------------------------------------------------------- \40\ Id. --------------------------------------------------------------------------- (12) The Fund may invest in sponsored or unsponsored ADRs; however, not more than 10% of the net assets of the Fund will be invested in unsponsored ADRs.\41\ --------------------------------------------------------------------------- \41\ Id. at 11. --------------------------------------------------------------------------- (13) All exchange-traded instruments, including investment company securities, futures, and options will trade on markets that are a member of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement.\42\ --------------------------------------------------------------------------- \42\ Id. at 30, n.27. --------------------------------------------------------------------------- This approval order is based on all of the Exchange's representations, including those set forth above and in Amendments No. 1, No. 2, and No. 3. For the foregoing reasons, the Commission finds that the proposed rule change, as modified by Amendment No. 1, No. 2, and No. 3, is consistent with Section 6(b)(5) of the Act \43\ and the rules and regulations thereunder applicable to a national securities exchange. --------------------------------------------------------------------------- \43\ 15 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- IV. Solicitation of Comments on Amendment No. 1 Interested persons are invited to submit written data, views, and arguments concerning whether Amendment No. 1 is consistent with the Act. Comments may be submitted by any of the following methods: Electronic CommentsUse 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-BATS-2015-94 on the subject line. Paper Comments Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-BATS-2015-94. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission's Public Reference Room, 100 F Street NE., Washington, DC 20549, on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of such filing will also be available for [[Page 22148]] 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-BATS-2015-94 and should be submitted on or before May 5, 2016. V. Accelerated Approval of Proposed Rule Change as Modified by Amendment Nos. 1, 2, and 3 The Commission finds good cause to approve the proposed rule change, as modified by Amendment No. 1, No. 2, and No. 3, prior to the 30th day after the date of publication of notice of Amendment No. 1 in the Federal Register. The Exchange submitted Amendment No. 1 to, among other things, provide clarifying details about the investments the Fund would be permitted to hold; to further limit the percentage of the Fund's portfolio that may be composed of structured securities and junior bank loans; to limit the potential risk associated with derivative transactions; and to represent that the Adviser believes there will be minimal, if any, impact to the arbitrage mechanism as a result of the Fund's use of derivatives. This information aided the Commission in evaluating the likelihood that market participants may engage in effective arbitrage. Accordingly, the Commission finds good cause, pursuant to Section 19(b)(2) of the Act,\44\ to approve the proposed rule change, as modified by Amendment No. 1, No. 2, and No. 3, on an accelerated basis. --------------------------------------------------------------------------- \44\ 15 U.S.C. 78s(b)(2). --------------------------------------------------------------------------- VI. Conclusion IT IS THEREFORE ORDERED, pursuant to Section 19(b)(2) of the Exchange Act, that the proposed rule change (SR-BATS-2015-94), as modified by Amendment No. 1, No. 2, and No. 3, is hereby approved on an accelerated basis. --------------------------------------------------------------------------- \45\ 17 CFR 200.30-3(a)(12). For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\45\ Robert W. Errett, Deputy Secretary. [FR Doc. 2016-08554 Filed 4-13-16; 8:45 am] BILLING CODE 8011-01-P
![Federal Register / Vol. 81, No. 72 / Thursday, April 14, 2016 / Notices 22143
ISEMercury–2016–07 on the subject Extension: Rule 605 of Regulation NMS, This per-respondent estimate is based
line. SEC File No. 270–488, OMB Control No. on the rate that a market center could
3235–0542 expect to obtain if it negotiated on an
Paper Comments
Notice is hereby given that pursuant individual basis. Based on the $2,978
• Send paper comments in triplicate to the Paperwork Reduction Act of 1995 estimate, the monthly cost to the 132
to Secretary, Securities and Exchange (44 U.S.C. 3501 et seq.) (‘‘PRA’’), the market centers to retain service
Commission, 100 F Street NE., Securities and Exchange Commission providers to prepare reports would be
Washington, DC 20549–1090. (‘‘Commission’’) has submitted to the $393,096, or an annual cost of
All submissions should refer to File Office of Management and Budget approximately $4,717,152.
Number SR–ISEMercury–2016–07. This (‘‘OMB’’) a request for approval of The collection of information
file number should be included on the extension of the previously approved obligation imposed by Rule 605 is
subject line if email is used. To help the collection of information provided for in mandatory. The response will be
Commission process and review your Rule 605 (17 CFR 242.605) under the available to the public and will not be
comments more efficiently, please use Securities Exchange Act of 1934 (15 kept confidential.
only one method. The Commission will U.S.C. 78a et seq.) (‘‘Exchange Act’’). An agency may not conduct or
post all comments on the Commission’s Rule 605 of Regulation NMS,1 sponsor, and a person is not required to
Internet Web site (http://www.sec.gov/ formerly known as, Rule 11Ac1–5, respond to, a collection of information
rules/sro.shtml). Copies of the requires market centers to make under the PRA unless it displays a
submission, all subsequent available to the public monthly order currently valid OMB control number.
amendments, all written statements execution reports in electronic form. The public may view background
with respect to the proposed rule The Commission believes that many documentation for this information
change that are filed with the market centers retain most, if not all, of collection at the following Web site,
Commission, and all written the underlying raw data necessary to www.reginfo.gov. Comments should be
communications relating to the generate these reports in electronic directed to: (i) Desk Officer for the
proposed rule change between the format. Once the necessary data is Securities and Exchange Commission,
Commission and any person, other than collected, market centers could either Office of Information and Regulatory
those that may be withheld from the program their systems to generate the Affairs, Office of Management and
public in accordance with the statistics and reports, or transfer the Budget, Room 10102, New Executive
provisions of 5 U.S.C. 552, will be data to a service provider (such as an Office Building, Washington, DC 20503,
available for Web site viewing and independent company in the business of or by sending an email to: Shagufta_
printing in the Commission’s Public preparing such reports or a self- Ahmed@omb.eop.gov; and (ii) Pamela
Reference Room, 100 F Street NE., regulatory organization) that would Dyson, Director/Chief Information
Washington, DC 20549, on official generate the statistics and reports. Officer, Securities and Exchange
business days between the hours of The collection of information Commission, c/o Remi Pavlik-Simon,
10:00 a.m. and 3:00 p.m. Copies of the obligations of Rule 605 apply to all 100 F Street NE., Washington, DC
filing also will be available for market centers that receive covered 20549, or by sending an email to PRA_
inspection and copying at the principal orders in national market system Mailbox@sec.gov. Comments must be
office of the Exchange. All comments securities. The Commission estimates submitted to OMB within 30 days of
received will be posted without change; that approximately 132 market centers this notice.
the Commission does not edit personal are subject to the collection of Dated: April 8, 2016.
identifying information from information obligations of Rule 605.
submissions. You should submit only Robert W. Errett,
Each of these respondents is required to
information that you wish to make Deputy Secretary.
respond to the collection of information
available publicly. All submissions on a monthly basis. [FR Doc. 2016–08552 Filed 4–13–16; 8:45 am]
should refer to File Number SR– The Commission staff estimates that, BILLING CODE 8011–01–P
ISEMercury–2016–07 and should be on average, Rule 605 causes respondents
submitted on or before May 5, 2016. to spend 6 hours per month to collect
the data necessary to generate the SECURITIES AND EXCHANGE
For the Commission, by the Division of
Trading and Markets, pursuant to delegated reports, or 72 hours per year. With an COMMISSION
authority.17 estimated 132 market centers subject to [Release No. 34–77567; File No. SR–BATS–
Robert W. Errett, Rule 605, the total data collection time 2015–94]
Deputy Secretary. burden to comply with the monthly
[FR Doc. 2016–08556 Filed 4–13–16; 8:45 am] reporting requirement is estimated to be Self-Regulatory Organizations; BATS
BILLING CODE 8011–01–P 9,504 hours per year. Exchange, Inc.; Notice of Filing of
Based on discussions with industry Amendment No. 1 and Order
sources, the Commission staff estimates Approving on an Accelerated Basis a
SECURITIES AND EXCHANGE that an individual market center could Proposed Rule Change, as Modified by
COMMISSION retain a service provider to prepare a Amendments No. 1, No. 2, and No. 3,
monthly report using the data collected To List and Trade Shares of the SPDR
Submission for OMB Review; for approximately $2,978 per month. DoubleLine Emerging Markets Fixed
Comment Request Income ETF of the SSgA Active Trust
mstockstill on DSK4VPTVN1PROD with NOTICES
1 Regulation NMS, adopted by the Commission in
Upon Written Request, Copies Available June 2005, redesignated the national market system April 8, 2016.
From: Securities and Exchange rules previously adopted under Section 11A of the
Commission, Office of FOIA Services, Exchange Act. Rule 11Ac1–5 under the Exchange
I. Introduction
100 F Street NE., Washington, DC Act was redesignated Rule 605 of Regulation NMS. On December 28, 2015, BATS
No substantive amendments were made to Rule 605
20549–2736. of Regulation NMS. See Securities Exchange Act
Exchange, Inc. (‘‘Exchange’’) filed with
Release No. 51808 (June 9, 2005), 70 FR 37496 (June the Securities and Exchange
17 17 CFR 200.30–3(a)(12). 29, 2005). Commission (‘‘Commission’’), pursuant
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![22148 Federal Register / Vol. 81, No. 72 / Thursday, April 14, 2016 / Notices
inspection and copying at the principal SECURITIES AND EXCHANGE expiration (‘‘SPXPM’’). The Exchange
office of the Exchange. All comments COMMISSION may also list options on the Mini-SPX
received will be posted without change; Index (‘‘XSP’’) whose exercise
[Release No. 34–77573; File No. SR–CBOE– settlement value is derived from closing
the Commission does not edit personal
2016–036] prices on the last trading day prior to
identifying information from
submissions. You should submit only Self-Regulatory Organizations; expiration (‘‘P.M.-settled’’). SPXPM
information that you wish to make options and P.M.-settled XSP options
Chicago Board Options Exchange,
available publicly. All submissions will be listed for trading for a pilot
Incorporated; Notice of Filing and
should refer to File Number SR–BATS– period ending May 3, 201[6]7.
Immediate Effectiveness of a Proposed
2015–94 and should be submitted on or Rule Change Relating to SPXPM Pilot * * * * *
before May 5, 2016. Program The text of the proposed rule change
is also available on the Exchange’s Web
V. Accelerated Approval of Proposed April 8, 2016. site (http://www.cboe.com/AboutCBOE/
Rule Change as Modified by Pursuant to Section 19(b)(1) of the CBOELegalRegulatoryHome.aspx), at
Amendment Nos. 1, 2, and 3 Securities Exchange Act of 1934 (the the Exchange’s Office of the Secretary,
‘‘Act’’),1 and Rule 19b–4 thereunder,2 and at the Commission’s Public
The Commission finds good cause to notice is hereby given that on April 7, Reference Room.
approve the proposed rule change, as 2016, Chicago Board Options Exchange,
modified by Amendment No. 1, No. 2, II. Self-Regulatory Organization’s
Incorporated (the ‘‘Exchange’’ or Statement of the Purpose of, and
and No. 3, prior to the 30th day after the ‘‘CBOE’’) filed with the Securities and Statutory Basis for, the Proposed Rule
date of publication of notice of Exchange Commission (the Change
Amendment No. 1 in the Federal ‘‘Commission’’) the proposed rule
Register. The Exchange submitted change as described in Items I and II In its filing with the Commission, the
Amendment No. 1 to, among other below, which Items have been prepared Exchange included statements
things, provide clarifying details about by the Exchange. The Exchange filed the concerning the purpose of and basis for
the investments the Fund would be proposal as a ‘‘non-controversial’’ the proposed rule change and discussed
permitted to hold; to further limit the proposed rule change pursuant to any comments it received on the
Section 19(b)(3)(A)(iii) of the Act 3 and proposed rule change. The text of these
percentage of the Fund’s portfolio that
Rule 19b–4(f)(6) thereunder.4 The statements may be examined at the
may be composed of structured
Commission is publishing this notice to places specified in Item IV below. The
securities and junior bank loans; to limit
solicit comments on the proposed rule Exchange has prepared summaries, set
the potential risk associated with forth in sections A, B, and C below, of
derivative transactions; and to represent change from interested persons.
the most significant aspects of such
that the Adviser believes there will be I. Self-Regulatory Organization’s statements.
minimal, if any, impact to the arbitrage Statement of the Terms of Substance of
mechanism as a result of the Fund’s use the Proposed Rule Change A. Self-Regulatory Organization’s
of derivatives. This information aided Statement of the Purpose of, and
The Exchange proposes to extend the Statutory Basis for, the Proposed Rule
the Commission in evaluating the operation of its SPXPM pilot program
likelihood that market participants may Change
through May 3, 2017. The text of the
engage in effective arbitrage. proposed rule change is provided 1. Purpose
Accordingly, the Commission finds below. On February 8, 2013, the Exchange
good cause, pursuant to Section 19(b)(2) (additions are italicized; deletions are received approval of a rule change that
of the Act,44 to approve the proposed [bracketed]) established a Pilot Program that allows
rule change, as modified by Amendment the Exchange to list options on the S&P
* * * * *
No. 1, No. 2, and No. 3, on an 500 Index whose exercise settlement
accelerated basis. Chicago Board Options Exchange, value is derived from closing prices on
Incorporated the last trading day prior to expiration
VI. Conclusion
Rules (‘‘SPXPM’’).5 On July 31, 2013, the
IT IS THEREFORE ORDERED, Exchange received approval of a rule
* * * * * change that amended the Pilot Program
pursuant to Section 19(b)(2) of the
Exchange Act, that the proposed rule Rule 24.9. Terms of Index Option to allow the Exchange to list options on
change (SR–BATS–2015–94), as Contracts the Mini-SPX Index (‘‘XSP’’) whose
modified by Amendment No. 1, No. 2, exercise settlement value is derived
No change. from closing prices on the last trading
and No. 3, is hereby approved on an . . . Interpretations and Policies:
accelerated basis. day prior to expiration (‘‘P.M.-settled’’) 6
.01–.13 No change. (together, SPXPM and P.M.-settled XSP
For the Commission, by the Division of .14 In addition to A.M.-settled to be referred to herein as the ‘‘Pilot
Trading and Markets, pursuant to delegated Standard & Poor’s 500 Stock Index Products’’).7 In January 2014, the
authority.45 options approved for trading on the
Robert W. Errett, Exchange pursuant to Rule 24.9, the 5 See Securities Exchange Act Release No. 68888
Exchange may also list options on the (February 8, 2013), 78 FR 10668) (February 14,
mstockstill on DSK4VPTVN1PROD with NOTICES
Deputy Secretary.
S&P 500 Index whose exercise 2013) (SR–CBOE–2012–120) (the ‘‘SPXPM
[FR Doc. 2016–08554 Filed 4–13–16; 8:45 am] Approval Order’’).
settlement value is derived from closing
6 See Securities Exchange Act Release No. 70087
BILLING CODE 8011–01–P prices on the last trading day prior to
(July 31, 2013), 78 FR 47809 (August 6, 2013) (SR–
CBOE–2013–055) (the ‘‘P.M.-settled XSP Approval
1 15 U.S.C. 78s(b)(1). Order’’).
2 17 CFR 240.19b–4. 7 For more information on the Pilot Products or
44 15 U.S.C. 78s(b)(2). 3 15 U.S.C. 78s(b)(3)(A)(iii).
the Pilot Program, see the SPXPM Approval Order
45 17 CFR 200.30–3(a)(12). 4 17 CFR 240.19b–4(f)(6). and the P.M.-settled XSP Approval Order.
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Document Created: 2018-02-07 13:48:13
Document Modified: 2018-02-07 13:48:13
| 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 | 81 FR 22143 |
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