Federal Register Vol. 81, No.230,

Take notice that on November 21, 2016, pursuant to sections 206 and 306 of the Federal Energy Regulatory Commission's (Commission) Rules of Practice and Procedure, 18 CFR 385.206 (2016) and section 306 of the Federal Power Act (FPA), 16 U.S.C. 824(e) and 825(e), Kansas Electric Power Cooperative, Inc. (Complainant) filed a formal complaint against Southwest Power Pool, Inc. (Respondent) alleging that, Respondent's direct cost assignment of approximately $6.2 million to Complainant in connection with the Attachment Z2 revenue crediting process is unlawful under Respondent's Open Access Transmission Tariff, all as more fully explained in the complaint.

Complainant certifies that copies of the complaint were served on the contacts for Respondent as listed on the Commission's list of Corporate Officials as well as the Kansas Corporation Commission.

Any person desiring to intervene or to protest this filing must file in accordance with Rules 211 and 214 of the Commission's Rules of Practice and Procedure (18 CFR 385.211, 385.214). Protests will be considered by the Commission in determining the appropriate action to be taken, but will not serve to make protestants parties to the proceeding. Any person wishing to become a party must file a notice of intervention or motion to intervene, as appropriate. The Respondent's answer and all interventions, or protests must be filed on or before the comment date. The Respondent's answer, motions to intervene, and protests must be served on the Complainants.

The Commission encourages electronic submission of protests and interventions in lieu of paper using the “eFiling” link at http://www.ferc.gov. Persons unable to file electronically should submit an original and 5 copies of the protest or intervention to the Federal Energy Regulatory Commission, 888 First Street NE., Washington, DC 20426.

This filing is accessible on-line at http://www.ferc.gov, using the “eLibrary” link and is available for electronic review in the Commission's Public Reference Room in Washington, DC. There is an “eSubscription” link on the Web site that enables subscribers to receive email notification when a document is added to a subscribed docket(s). For assistance with any FERC Online service, please email [email protected], or call (866) 208-3676 (toll free). For TTY, call (202) 502-8659.

Comment Date: 5:00 p.m. Eastern Time on December 12, 2016.

This is a supplemental notice in the above-referenced proceeding CED Ducor Solar 1, LLC's application for market-based rate authority, with an accompanying rate tariff, noting that such application includes a request for blanket authorization, under 18 CFR part 34, of future issuances of securities and assumptions of liability.

Any person desiring to intervene or to protest should file with the Federal Energy Regulatory Commission, 888 First Street NE., Washington, DC 20426, in accordance with Rules 211 and 214 of the Commission's Rules of Practice and Procedure (18 CFR 385.211 and 385.214). Anyone filing a motion to intervene or protest must serve a copy of that document on the Applicant.

Notice is hereby given that the deadline for filing protests with regard to the applicant's request for blanket authorization, under 18 CFR part 34, of future issuances of securities and assumptions of liability, is December 12, 2016.

The Commission encourages electronic submission of protests and interventions in lieu of paper, using the FERC Online links at http://www.ferc.gov. To facilitate electronic service, persons with Internet access who will eFile a document and/or be listed as a contact for an intervenor must create and validate an eRegistration account using the eRegistration link. Select the eFiling link to log on and submit the intervention or protests.

Persons unable to file electronically should submit an original and 5 copies of the intervention or protest to the Federal Energy Regulatory Commission, 888 First Street NE., Washington, DC 20426.

The filings in the above-referenced proceeding are accessible in the Commission's eLibrary system by clicking on the appropriate link in the above list. They are also available for electronic review in the Commission's Public Reference Room in Washington, DC. There is an eSubscription link on the Web site that enables subscribers to receive email notification when a document is added to a subscribed docket(s). For assistance with any FERC Online service, please email [email protected]. or call (866) 208-3676 (toll free). For TTY, call (202) 502-8659.

Take notice that on November 17, 2016 Gulf South Pipeline Company, LP (Gulf South), 9 Greenway Plaza, Suite 2800, Houston, Texas, 77046, filed in the above referenced docket a prior notice application pursuant to sections 157.205 and 157.216(b) of the Federal Energy Regulatory Commission's (Commission) regulations under the Natural Gas Act (NGA), and Gulf South's blanket certificate issued in Docket No. CP82-430-000. Gulf South seeks authorization to abandon in place two 2,000 horsepower (HP) reciprocating units, compressor fuel lines and a fuel meter located at its Bayou Sale Compressor Station (CS) in St. Mary Parish, Louisiana, all as more fully set forth in the application, which is open to the public for inspection.

The filing may also be viewed on the web at http://www.ferc.gov using the “eLibrary” link. Enter the docket number excluding the last three digits in the docket number field to access the document. For assistance, please contact FERC Online Support at [email protected] or toll free at (866) 208-3676, or TTY, contact (202) 502-8659.

Any questions concerning this application may be directed to Kathy D. Fort, Manager, Certificates and Tariffs, Gulf South Pipeline Company, LP, 610 West 2nd Street Owensboro, Kentucky, 42301, by phone at (270) 688-6825 or by email at [email protected] or to Juan Eligio Jr., Sr. Regulatory Analyst, Gulf South Pipeline Company, LP, 9 Greenway Plaza, Suite 2800, Houston, Texas, 77046, by phone at (713) 479-3480 or by email at [email protected].

Specifically, Gulf South states that facilities proposed for abandonment were initially installed to receive gas from south Louisiana and Eugene Island, offshore Louisiana; however, there have not been sufficient offshore gas supplies to operate the facilities in over 20 years. Gulf South states that by abandoning compression at Bayou Sale CS, the maximum capacity on this section of Gulf South's system will decrease to 196.7 million cubic feet per day (MMcf/d), while the maximum throughput on this system for the past five years has been 125.7 MMcf/d. Therefore, Gulf South states that the proposed abandonment will have no adverse impact on its system and Gulf South's ability to comply with its contractual obligations.

Any person or the Commission's staff may, within 60 days after issuance of the instant notice by the Commission, file pursuant to Rule 214 of the Commission's Procedural Rules (18 CFR 385.214) a motion to intervene or notice of intervention and pursuant to section 157.205 of the regulations under the NGA (18 CFR 157.205), a protest to the request. If no protest is filed within the time allowed therefore, the proposed activity shall be deemed to be authorized effective the day after the time allowed for filing a protest. If a protest is filed and not withdrawn within 30 days after the allowed time for filing a protest, the instant request shall be treated as an application for authorization pursuant to section 7 of the NGA.

Pursuant to section 157.9 of the Commission's rules, 18 CFR 157.9, within 90 days of this Notice the Commission staff will either: Complete its environmental assessment (EA) and place it into the Commission's public record (eLibrary) for this proceeding, or issue a Notice of Schedule for Environmental Review. If a Notice of Schedule for Environmental Review is issued, it will indicate, among other milestones, the anticipated date for the Commission staff's issuance of the final environmental impact statement (FEIS) or EA for this proposal. The filing of the EA in the Commission's public record for this proceeding or the issuance of a Notice of Schedule for Environmental Review will serve to notify federal and state agencies of the timing for the completion of all necessary reviews, and the subsequent need to complete all federal authorizations within 90 days of the date of issuance of the Commission staff's FEIS or EA.

Persons who wish to comment only on the environmental review of this project should submit an original and two copies of their comments to the Secretary of the Commission. Environmental commenters will be placed on the Commission's environmental mailing list, will receive copies of the environmental documents, and will be notified of meetings associated with the Commission's environmental review process. Environmental commenters will not be required to serve copies of filed documents on all other parties. However, the non-party commenters will not receive copies of all documents filed by other parties or issued by the Commission (except for the mailing of environmental documents issued by the Commission) and will not have the right to seek court review of the Commission's final order.

The Commission strongly encourages electronic filings of comments, protests and interventions in lieu of paper using the “eFiling” link at http://www.ferc.gov. Persons unable to file electronically should submit an original and five (5) copies of the protest or intervention to the Federal Energy Regulatory Commission, 888 First Street NE., Washington, DC 20426.

Take notice that the Commission has received the following Natural Gas Pipeline Rate and Refund Report filings:

Docket Number: PR17-4-000.

Applicants: Columbia Gas of Ohio, Inc.

Description: Tariff filing per 284.123(b) + (e) COH SOC to be effective 10/27/2016; Filing Type: 980.

Filed Date: 11/15/16.

Accession Number: 201611155070.

Comments/Protests Due: 5 p.m. ET 12/6/16.

Docket Number: PR17-5-000.

Applicants: NET Mexico Pipeline Partners, LLC.

Description: Tariff filing per 284.123(b) + (e) + (g): Revised Statement of Operating Conditions to be effective 11/16/2016; Filing Type: 1300.

Filed Date: 11/16/2016.

Accession Number: 201611165072.

Comments Due: 5 p.m. ET 12/7/16.

284.123(g) Protests Due: 5 p.m. ET 1/17/17.

Docket Number: PR17-6-000.

Applicants: Enable Illinois Intrastate Transmission, LLC.

Description: Tariff filing per 284.123(e) + (g): Cancellation of SOC to be effective 11/16/2016; Filing Type: 1290.

Filed Date: 11/16/2016.

Accession Number: 201611165131.

Comments Due: 5 p.m. ET 12/7/16.

284.123(g) Protests Due: 5 p.m. ET 1/17/17.

Docket Numbers: RP17-184-000.

Applicants: Southern Natural Gas Company, L.L.C.

Description: Compliance filing Annual Report on Operational Transactions.

Filed Date: 11/17/16.

Accession Number: 20161117-5050.

Comments Due: 5 p.m. ET 11/29/16.

Docket Numbers: RP17-185-000.

Applicants: Tennessee Gas Pipeline Company, L.L.C.

Description: § 4(d) Rate Filing: Volume No. 2—Neg. Rate Agmt—Crestwood Gas Marketing LLC SP39122 to be effective 11/1/2016.

Filed Date: 11/17/16.

Accession Number: 20161117-5077.

Comments Due: 5 p.m. ET 11/29/16.

Docket Numbers: RP17-186-000.

Applicants: Ruby Pipeline, L.L.C.

Description: § 4(d) Rate Filing: Ruby FLU Filing to be effective 1/1/2017.

Filed Date: 11/18/16.

Accession Number: 20161118-5060.

Comments Due: 5 p.m. ET 11/30/16.

Any person desiring to intervene or protest in any of the above proceedings must file in accordance with Rules 211 and 214 of the Commission's Regulations (18 CFR 385.211 and § 385.214) on or before 5:00 p.m. Eastern time on the specified date(s). Protests may be considered, but intervention is necessary to become a party to the proceeding.

Docket Numbers: RP16-1299-001.

Applicants: Kinetica Energy Express, LLC.

Description: Compliance filing: Compliance Filing to be effective 11/1/2016.

Filed Date: 11/18/16.

Accession Number: 20161118-5051.

Comments Due: 5 p.m. ET 11/30/16.

Any person desiring to protest in any of the above proceedings must file in accordance with Rule 211 of the Commission's Regulations (18 CFR 385.211) on or before 5:00 p.m. Eastern time on the specified comment date.

The filings are accessible in the Commission's eLibrary system by clicking on the links or querying the docket number.

eFiling is encouraged. More detailed information relating to filing requirements, interventions, protests, service, and qualifying facilities filings can be found at: http://www.ferc.gov/docs-filing/efiling/filing-req.pdf. For other information, call (866) 208-3676 (toll free). For TTY, call (202) 502-8659.

Take notice that the Commission has received the following Natural Gas Pipeline Rate and Refund Report filings:

Docket Numbers: RP17-187-000.

Applicants: DBM Pipeline, LLC.

Description: § 4(d) Rate Filing: Negotiated Rate Filing to be effective 12/1/2016.

Filed Date: 11/21/16.

Accession Number: 20161121-5064.

Comments Due: 5 p.m. ET 12/5/16.

This is a supplemental notice in the above-referenced proceeding CED Ducor Solar 3, LLC`s application for market-based rate authority, with an accompanying rate tariff, noting that such application includes a request for blanket authorization, under 18 CFR part 34, of future issuances of securities and assumptions of liability.

Any person desiring to intervene or to protest should file with the Federal Energy Regulatory Commission, 888 First Street NE., Washington, DC 20426, in accordance with Rules 211 and 214 of the Commission's Rules of Practice and Procedure (18 CFR 385.211 and 385.214). Anyone filing a motion to intervene or protest must serve a copy of that document on the Applicant.

Notice is hereby given that the deadline for filing protests with regard to the applicant's request for blanket authorization, under 18 CFR part 34, of future issuances of securities and assumptions of liability, is December 12, 2016.

The Commission encourages electronic submission of protests and interventions in lieu of paper, using the FERC Online links at http://www.ferc.gov. To facilitate electronic service, persons with Internet access who will eFile a document and/or be listed as a contact for an intervenor must create and validate an eRegistration account using the eRegistration link. Select the eFiling link to log on and submit the intervention or protests.

Persons unable to file electronically should submit an original and 5 copies of the intervention or protest to the Federal Energy Regulatory Commission, 888 First Street NE., Washington, DC 20426.

The filings in the above-referenced proceeding are accessible in the Commission's eLibrary system by clicking on the appropriate link in the above list. They are also available for electronic review in the Commission's Public Reference Room in Washington, DC. There is an eSubscription link on the Web site that enables subscribers to receive email notification when a document is added to a subscribed docket(s). For assistance with any FERC Online service, please email [email protected]. or call (866) 208-3676 (toll free). For TTY, call (202) 502-8659.

Take notice that the Commission received the following electric corporate filings:

Docket Numbers: EC17-38-000.

Applicants: Helix Generation, LLC, TC Ravenswood, LLC, TC Ironwood LLC, TransCanada Maine Wind Development Inc., Ocean State Power LLC, TransCanada Power Marketing Ltd.

Description: Joint Application of Helix Generation, LLC, et al. for Approval Under Section 203 of the FPA.

Filed Date: 11/21/16.

Accession Number: 20161121-5263.

Comments Due: 5 p.m. ET 12/12/16.

Take notice that the Commission received the following electric rate filings:

Docket Numbers: ER10-2487-003; ER15-2380-001.

Applicants: Pacific Summit Energy LLC, Willey Battery Utility, LLC.

Description: Notice of Change in Status of Pacific Summit Energy LLC, et al.

Filed Date: 11/21/16.

Accession Number: 20161121-5203.

Comments Due: 5 p.m. ET 12/12/16.

Docket Numbers: ER16-1804-001.

Applicants: Deepwater Block Island Wind, LLC.

Description: Notice of Non-Material Change in Status of Deepwater Block Island Wind, LLC.

Filed Date: 11/21/16.

Accession Number: 20161121-5199.

Comments Due: 5 p.m. ET 12/12/16.

Docket Numbers: ER17-212-001.

Applicants: Upper Michigan Energy Resources Corporation.

Description: Tariff Amendment: Executed UMERC to Crystal Falls FERC Rate Schedule No 4 to be effective 1/1/2017.

Filed Date: 11/21/16.

Accession Number: 20161121-5195.

Comments Due: 5 p.m. ET 12/12/16.

Docket Numbers: ER17-388-000.

Applicants: SunZia Transmission, LLC.

Description: Report on the Open Solicitation and Selection Process for Anchor Customers of SunZia Transmission, LLC.

Filed Date: 11/18/16.

Accession Number: 20161118-5133.

Comments Due: 5 p.m. ET 12/9/16.

Docket Numbers: ER17-401-000.

Applicants: Pacific Summit Energy LLC.

Description: Compliance filing: Notice of Change in Status and Revised MBR Tariff to be effective 1/20/2017.

Filed Date: 11/21/16.

Accession Number: 20161121-5193.

Comments Due: 5 p.m. ET 12/12/16.

Docket Numbers: ER17-402-000.

Applicants: Willey Battery Utility, LLC.

Description: Compliance filing: Notice of Change in Status and Revised MBR Tariff to be effective 1/20/2017.

Filed Date: 11/21/16.

Accession Number: 20161121-5194.

Comments Due: 5 p.m. ET 12/12/16.

Docket Numbers: ER17-403-000.

Applicants: Niagara Mohawk Power Corporation.

Description: Notice of Cancellation of Interconnection Agreement, Rate Schedule No. 200 of Niagara Mohawk Power Corporation.

Filed Date: 11/21/16.

Accession Number: 20161121-5202.

Comments Due: 5 p.m. ET 12/12/16.

The filings are accessible in the Commission's eLibrary system by clicking on the links or querying the docket number.

Any person desiring to intervene or protest in any of the above proceedings must file in accordance with Rules 211 and 214 of the Commission's Regulations (18 CFR 385.211 and 385.214) on or before 5:00 p.m. Eastern time on the specified comment date. Protests may be considered, but intervention is necessary to become a party to the proceeding.

eFiling is encouraged. More detailed information relating to filing requirements, interventions, protests, service, and qualifying facilities filings can be found at: http://www.ferc.gov/docs-filing/efiling/filing-req.pdf. For other information, call (866) 208-3676 (toll free). For TTY, call (202) 502-8659.

This is a supplemental notice in the above-referenced proceeding CED Ducor Solar 2, LLC's application for market-based rate authority, with an accompanying rate tariff, noting that such application includes a request for blanket authorization, under 18 CFR part 34, of future issuances of securities and assumptions of liability.

Any person desiring to intervene or to protest should file with the Federal Energy Regulatory Commission, 888 First Street NE., Washington, DC 20426, in accordance with Rules 211 and 214 of the Commission's Rules of Practice and Procedure (18 CFR 385.211 and 385.214). Anyone filing a motion to intervene or protest must serve a copy of that document on the Applicant.

Notice is hereby given that the deadline for filing protests with regard to the applicant's request for blanket authorization, under 18 CFR part 34, of future issuances of securities and assumptions of liability, is December 12, 2016.

The Commission encourages electronic submission of protests and interventions in lieu of paper, using the FERC Online links at http://www.ferc.gov. To facilitate electronic service, persons with Internet access who will eFile a document and/or be listed as a contact for an intervenor must create and validate an eRegistration account using the eRegistration link. Select the eFiling link to log on and submit the intervention or protests.

Persons unable to file electronically should submit an original and 5 copies of the intervention or protest to the Federal Energy Regulatory Commission, 888 First Street NE., Washington, DC 20426.

The filings in the above-referenced proceeding are accessible in the Commission's eLibrary system by clicking on the appropriate link in the above list. They are also available for electronic review in the Commission's Public Reference Room in Washington, DC. There is an eSubscription link on the Web site that enables subscribers to receive email notification when a document is added to a subscribed docket(s). For assistance with any FERC Online service, please email [email protected]. or call (866) 208-3676 (toll free). For TTY, call (202) 502-8659.

Take notice that the Commission has received the following Natural Gas Pipeline Rate and Refund Report filings:

Docket Number: PR17-7-000.

Applicants: NorthWestern Corporation.

Description: Tariff filing per 284.123(b),(e): Revised Rate Schedules for Transportation and Storage Service to be effective 11/1/2016; Filing Type: 1000.

Filed Date: 11/21/2016.

Accession Number: 20161121-5071.

Comments/Protests Due: 5 p.m. ET 12/12/16.

Docket Number: PR17-8-000.

Applicants: Columbia Gas of Maryland, Inc.

Description: Tariff filing per 284.123(b),(e): CMD SOC to be effective 10/27/2016; Filing Type: 980.

Filed Date: 11/21/2016.

Accession Number: 20161121-5185.

Comments/Protests Due: 5 p.m. ET 12/12/16.

Docket Numbers: RP17-194-000.

Applicants: Sierrita Gas Pipeline LLC.

Description: Annual Operational Purchases and Sales Report of Sierrita Gas Pipeline LLC under RP17-194.

Filed Date: 11/22/16.

Accession Number: 20161122-5140.

Comments Due: 5 p.m. ET 12/5/16.

Docket Numbers: RP17-195-000.

Applicants: National Fuel Gas Supply Corporation.

Description: Compliance filing TSCA Informational Filing (11-22-16).

Filed Date: 11/22/16.

Accession Number: 20161122-5173.

Comments Due: 5 p.m. ET 12/5/16.

The filings are accessible in the Commission's eLibrary system by clicking on the links or querying the docket number.

Any person desiring to intervene or protest in any of the above proceedings must file in accordance with Rules 211 and 214 of the Commission's Regulations (18 CFR 385.211 and 385.214) on or before 5:00 p.m. Eastern time on the specified comment date. Protests may be considered, but intervention is necessary to become a party to the proceeding.

eFiling is encouraged. More detailed information relating to filing requirements, interventions, protests, service, and qualifying facilities filings can be found at: http://www.ferc.gov/docs-filing/efiling/filing-req.pdf. For other information, call (866) 208-3676 (toll free). For TTY, call (202) 502-8659.

Take notice that the Commission received the following electric rate filings:

Docket Numbers: ER10-1874-004; ER10-2881-030; ER10-2882-031; ER10-2883-030; ER10-2884-030.

Applicants: Mankato Energy Center, LLC, Alabama Power Company, Georgia Power Company, Gulf Power Company, Mississippi Power Company.

Description: Notification of Non-Material of Change in Status of Mankato Energy Center, LLC, et al.

Filed Date: 11/22/16.

Accession Number: 20161122-5246.

Comments Due: 5 p.m. ET 12/13/16.

Docket Numbers: ER12-1266-007.

Applicants: Midcontinent Independent System Operator, Inc.

Description: Compliance filing: 2016-11-23_Order 745 Compliance Filing to be effective 6/12/2012.

Filed Date: 11/23/16.

Accession Number: 20161123-5082.

Comments Due: 5 p.m. ET 12/14/16.

Docket Numbers: ER13-1944-005.

Applicants: PJM Interconnection, L.L.C.

Description: Compliance filing: Compliance filing per 10/28/2016 order in Docket No. ER13-1944 to be effective 1/1/2014.

Filed Date: 11/22/16.

Accession Number: 20161122-5198.

Comments Due: 5 p.m. ET 12/13/16.

Docket Numbers: ER17-392-000.

Applicants: City of Pasadena, California.

Description: City of Pasadena, California tariff filing (Work Paper Filings—Parts 1 and 2).

Filed Date: 11/22/16.

Accession Number: 20161122-5245, 20161122-5244.

Comments Due: 5 p.m. ET 12/13/16.

Docket Numbers: ER17-412-000.

Applicants: Midcontinent Independent System Operator, Inc.

Description: § 205(d) Rate Filing: 2016-11-22_SA 2898 Termination of Ameren-Ford County Wind Farm GIA (J375) to be effective 1/23/2017.

Filed Date: 11/22/16.

Accession Number: 20161122-5195.

Comments Due: 5 p.m. ET 12/13/16.

Docket Numbers: ER17-413-000.

Applicants: Southern California Edison Company.

Description: § 205(d) Rate Filing: SCE Amendments to WDAT GIP—Smart Inverter & Interconnection Process to be effective 1/23/2017.

Filed Date: 11/23/16.

Accession Number: 20161123-5081.

Comments Due: 5 p.m. ET 12/14/16.

The filings are accessible in the Commission's eLibrary system by clicking on the links or querying the docket number.

Any person desiring to intervene or protest in any of the above proceedings must file in accordance with Rules 211 and 214 of the Commission's Regulations (18 CFR 385.211 and 385.214) on or before 5:00 p.m. Eastern time on the specified comment date. Protests may be considered, but intervention is necessary to become a party to the proceeding.

eFiling is encouraged. More detailed information relating to filing requirements, interventions, protests, service, and qualifying facilities filings can be found at: http://www.ferc.gov/docs-filing/efiling/filing-req.pdf. For other information, call (866) 208-3676 (toll free). For TTY, call (202) 502-8659.

The Centers for Disease Control and Prevention (CDC) has submitted the following information collection request to the Office of Management and Budget (OMB) for review and approval in accordance with the Paperwork Reduction Act of 1995. The notice for the proposed information collection is published to obtain comments from the public and affected agencies.

Written comments and suggestions from the public and affected agencies concerning the proposed collection of information are encouraged. Your comments should address any of the following: (a) Evaluate whether the proposed collection of information is necessary for the proper performance of the functions of the agency, including whether the information will have practical utility; (b) Evaluate the accuracy of the agencies estimate of the burden of the proposed collection of information, including the validity of the methodology and assumptions used; (c) Enhance the quality, utility, and clarity of the information to be collected; (d) Minimize the burden of the collection of information on those who are to respond, including through the use of appropriate automated, electronic, mechanical, or other technological collection techniques or other forms of information technology, e.g., permitting electronic submission of responses; and (e) Assess information collection costs.

To request additional information on the proposed project or to obtain a copy of the information collection plan and instruments, call (404) 639-7570 or send an email to [email protected]. Written comments and/or suggestions regarding the items contained in this notice should be directed to the Attention: CDC Desk Officer, Office of Management and Budget, Washington, DC 20503 or by fax to (202) 395-5806. Written comments should be received within 30 days of this notice.

Presidential Youth Fitness Program Evaluation—New—National Center for Chronic Disease Prevention and Health Promotion (NCCDPHP), Centers for Disease Control and Prevention (CDC).

In 2013, the Presidential Youth Fitness Program began its first round of funding to elementary, middle and high school PE teachers who applied to the program. A second round of funding began in 2014 and a third in 2015. Each participating school receives support to implement the PYFP for three years. The resources provided to PE teachers include: professional development training, awards for student recognition of fitness achievements, access to a professional learning community and access to FitnessGram® fitness assessment software. For the schools selected to receive PYFP support, the requirements include: (1) Information Technology (IT) manager and PE teacher participation in the FitnessGram® software training, (2) PE teacher participation in PYFP professional development training, (3) conducting FitnessGram® assessments according to the training, (4) recognizing student achievement in fitness and physical activity, (5) confirming continued participation in the program at the end of Years 1 and 2, and (6) participating in evaluation activities, including the submission of required data on an annual basis. The PYFP is designed to supplement the traditional PE course and support physical education (PE) teachers in laying the foundation for students to lead an active life.

CDC plans to conduct the first rigorous evaluation of the PYFP. The evaluation will assess the impact of the program on student, PE teacher and school level outcomes (outcome evaluation) as well as barriers and facilitators to program implementation (process evaluation). Evaluation activities will take place in 11 schools implementing the PYFP and 11 match comparison schools, contributing a total of 82 sixth grade PE classes. Information collection will be conducted in 6 PYFP and 6 match comparison schools in Spring 2017 and 5 PYFP and 5 match comparison schools in Fall 2017. The PYFP schools recruited to participate in the PYFP Evaluation will be identified from a list of schools receiving Round 2 or Round 3 PYFP funding and meeting the following inclusion criteria: (1) Middle school with a sixth grade, (2) sixth grade enrollment of 150 or higher, (3) 50% or more of students receiving free or reduced lunch, and (4) documented completion of PYFP professional development training. Comparison schools will be matched based on criteria 1-3 above as well as location to ensure similar PE policies and standards. The process and outcome evaluation will involve data collection activities with four respondent groups: (1) Students, (2) PE teachers, (3) parents, and (4) school administrators.

The specific aims of the outcome evaluation are to examine how the PYFP impacts student fitness and physical activity, particularly how the program impacts student: (1) Fitness knowledge and health knowledge, (2) attitudes toward physical activity, (3) motivation to be physically active, (4) physical activity levels and (5) fitness. Surveys to be conducted at all schools include the: (1) Paper-based PYFP Student Survey, (2) online PYFP PE Teacher Survey, and (3) online PYFP School Administrator Survey. There are minor differences in the survey instruments depending on whether the school is a PYFP participant or a non-PYFP school. The outcome evaluation will also determine the changes made as a result of the PYFP such as changes at the school level (e.g., improved PE and physical activity policies and practices, increased parent awareness of school PE and physical activity) and changes in PE teaching practices (e.g., integration of fitness education, increased use of fitness assessment tools and improved practices for fitness testing).

The outcome evaluation will include fitness assessments with approximately 2,460 students as part of the standard PE program (1,230 PYFP sixth grade students and 1,230 non-PYFP sixth grade students). Fitness assessments will be conducted at both the beginning and end of the semester using FitnessGram®'s pacer and body composition assessments. Finally, a subset of 6 PYFP and 6 match comparison schools will assess students' physical activity levels by collecting student accelerometry data. Accelerometry will be conducted in a subset of 25 PYFP and 25 non-PYFP classes to capture data from approximately 500 students (250 students from PYFP schools and 250 students from match comparison schools). Accelerometry data collection will involve wearing the device for a week at the beginning and a week at the end of semester and noting hours of wear time and class schedule.

Information collection for the process evaluation will be conducted only in the 11 PYFP schools. The aims of the process evaluation are to describe how PYFP resources were used by teachers and schools, the strategies used by teachers and schools to integrate fitness education and student recognition of fitness achievement into the schools, and barriers and facilitators relevant to PYFP implementation. All PYFP schools will complete cost and time use worksheets. In addition, focus groups with PE teachers, students, and parents will be conducted in a subset of 6 PYFP schools. Focus groups will take place on school grounds during or outside of the school day, depending on availability of a given respondent group.

The information collected for the PYFP evaluation will allow the CDC and partners to assess the impact of the PYFP compared with a traditional PE curriculum and gather information critical for program improvement.

OMB approval is requested for two years. Participation in the PYFP Evaluation is voluntary and there are no costs to respondents other than their time.

The Foreign Claims Settlement Commission, pursuant to its regulations (45 CFR part 503.25) and the Government in the Sunshine Act (5 U.S.C. 552b), hereby gives notice in regard to the scheduling of open meetings as follows:

Wednesday, December 14, 2016: 10:00 a.m.—Consolidated oral hearing on Objection to Commission's Proposed Decisions in Claim Nos. LIB-III-036, LIB-III-037, LIB-III-038, LIB-III-039, LIB-III-040, LIB-III-041, LIB-III-042, LIB-III-043, LIB-III-044, LIB-III-045, LIB-III-046, LIB-III-047, LIB-III-048, LIB-III-049, LIB-III-050, LIB-III-051, LIB-III-052, LIB-III-053, LIB-III-054, LIB-III-055, LIB-III-056, LIB-III-057, LIB-III-058, LIB-III-059, LIB-III-060, LIB-III-061, LIB-III-062, LIB-III-063, LIB-III-064, LIB-III-065, LIB-III-066, LIB-III-068, LIB-III-069, LIB-III-070, LIB-III-071, LIB-III-072, LIB-III-073, LIB-III-074, LIB-III-075, LIB-III-076, LIB-III-077, LIB-III-078, LIB-III-079, LIB-III-080, LIB-III-081, LIB-III-082, LIB-III-083, LIB-III-084, LIB-III-086 and LIB-III-087.

Status: Open.

All meetings are held at the Foreign Claims Settlement Commission, 600 E Street NW., Washington, DC. Requests for information, or advance notices of intention to observe an open meeting, may be directed to: Patricia M. Hall, Foreign Claims Settlement Commission, 600 E Street NW., Suite 6002, Washington, DC 20579. Telephone: (202) 616-6975.

Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the “Act”),1 and Rule 19b-4 thereunder,2 notice is hereby given that on November 16, 2016, Bats BYX Exchange, Inc. (the “Exchange” or “BYX”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I, II, and III, below, which Items have been prepared by the Exchange. The Exchange has designated this proposal as a “non-controversial” proposed rule change pursuant to Section 19(b)(3)(A) of the Act 3 and Rule 19b-4(f)(6)(iii) thereunder,4 which renders it effective upon filing with the Commission. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons.

The Exchange filed a proposal to make ministerial and corrective changes to Exchange Rules 11.9(a)(2), 11.13(b), 11.16(g)(4), 11.22(f), and 11.27(a)(7)(A)(i)2.

The text of the proposed rule change is available at the Exchange's Web site at www.batstrading.com, at the principal office of the Exchange, and at the Commission's Public Reference Room.

In its filing with the Commission, the Exchange 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 these 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.

The Exchange proposes to make ministerial and corrective changes to Exchange Rules 11.9(a)(2), 11.13(b), 11.16(g)(4), 11.22(f), and 11.27(a)(7)(A)(i)2. First, the exchange proposes to harmonize the description of BYX Market Orders under Exchange Rule 11.9(a)(2) with the description of an identical order type on the Exchange's affiliate, Bats BZX Exchange, Inc. (“BZX”). Exchange Rule 11.9(a)(2) currently states that a BYX Market Order that is designated as BYX Only 5 with a time-in-force of Day 6 will be cancelled if, when reaching the Exchange, it cannot be executed on the System 7 in accordance with Exchange Rule 11.13(a)(4) unless the reason that such BYX Market Order cannot be executed is because it is entered into the System and the NBO (NBB) is greater (less) than the Upper (Lower) Price Band, in which case such order will be posted by the System to the BYX Book, and priced at the Upper (Lower) Price Band, and re-priced as set forth in Rule 11.18(e)(5)(B). This mirrors the description of BZX Market Orders under BZX Rule 11.9(a)(2), but for the BZX rule stating that the BZX Market Order in the circumstance described in the text would be posted by the System to the BZX Book, and displayed at the Upper (Lower) Price Band. Therefore, in order to make the description of market orders identical under both rules, the Exchange proposes to replace the phrase “and priced” with the term “displayed.8

Second, the Exchange proposed to amend Rule 11.13(b) to correct an incorrect cross reference. Exchange Rule 11.13(b) states that depending on the instructions set by the User 9 when the incoming order was originally entered, if a market or marketable limit order has not been executed in its entirety pursuant to Exchange Rule 11.13(a) above, the order shall be eligible for additional processing under one or more of the routing options listed under paragraph (a)(3) of Rule 11.13. The reference to paragraph (a)(3) of Rule 11.13 is incorrect as the routing options are listing under paragraph (b)(3) of Rule 11.13. Therefore, the Exchange proposes to replace reference to paragraph (a)(3) with paragraph (b)(3).

Third, the Exchange proposes to amend Rule 11.16(g)(4) to delete an unnecessary cross reference. Exchange Rule 11.16(a)(4) states that “[t]he pass-through of any compensation to a Member in accordance with this subparagraph (g) is unrelated to any other claims for compensation that are made in accordance with, and subject to the limits of, subparagraph (d) of this Rule 11.16.” The Exchange now proposes to delete reference to “11.16” as a specific reference to the rule is not integral nor necessary to the meaning or application of Rule 11.16 generally.10

Fourth, the Exchange proposes to amend Rule 11.22(f) to delete a description of the Latency Monitoring data product, which the Exchange ceased to offer in May 2015. The Exchange determined that the customer demand at that time did not warrant the infrastructure and ongoing maintenance expense required to support the product.

Lastly, the Exchange proposes to amend Rule 11.27(a)(7)(A)(i)2. to correct a typographical error by replacing the phrase “one of more” with “one or more”.

The Exchange believes that its proposal is consistent with Section 6(b) of the Act 11 in general, and furthers the objectives of Section 6(b)(5) of the Act 12 in particular, in that it is 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. The Exchange believes the proposed changes 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 because they seek to correct an incorrect cross-reference and typographical error, harmonize identical rules with the Exchange's affiliates, as well as eliminate a reference to a market data product that is no longer provided. The Exchange notes the changes to Exchange Rules 11.9(a)(2), 11.13(b), 11.16(a)(4), and 11.27(a)(7)(A)(i)2. are ministerial and do not alter the applications of each rule. In addition, the deletion of references to the Latency Monitoring Data product removes references to a product the Exchange no longer provides and that the Exchange is not required by any rule or regulation to offer. As such, the proposed amendments would foster cooperation and coordination with persons engaged in facilitating transactions in securities and would remove impediments to and perfect the mechanism of a free and open market and a national market system.

The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. On the contrary, the proposed rule change will have no impact on competition as it is simply makes ministerial and corrective changes while not altering the meaning or application of each rule.

The Exchange has not solicited, and does not intend to solicit, comments on this proposed rule change. The Exchange has not received any written comments from members or other interested parties.

Because the foregoing proposed rule change does not: (A) Significantly affect the protection of investors or the public interest; (B) impose any significant burden on competition; and (C) by its terms, become operative for 30 days from the date on which it was filed or such shorter time as the Commission may designate it has become effective pursuant to Section 19(b)(3)(A) of the Act 13 and paragraph (f)(6) of Rule 19b-4 thereunder,14 the Exchange has designated this rule filing as non-controversial. The Exchange has given the Commission written notice of its intent to file the proposed rule change, along with a brief description and text of the proposed rule change at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission.

At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is: (1) Necessary or appropriate in the public interest; (2) for the protection of investors; or (3) otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule should be approved or disapproved.

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

• Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or

• Send an email to [email protected]. Please include File No. SR-BatsBYX-2016-35 on the subject line.

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

Pursuant to Section 806(e)(1) of Title VIII of the Dodd-Frank Wall Street Reform and Consumer Protection Act entitled the Payment, Clearing, and Settlement Supervision Act of 2010 (“Clearing Supervision Act”) 1 and Rule 19b-4(n)(1)(i) under the Securities Exchange Act of 1934 (“Act”),2 notice is hereby given that on October 25, 2016, National Securities Clearing Corporation (“NSCC” or the “Corporation”) filed with the Securities and Exchange Commission (“Commission”) the advance notice SR-NSCC-2016-803 (“Advance Notice”) as described in Items I, II and III below, which Items have been prepared primarily by the clearing agency.3 The Commission is publishing this notice to solicit comments on the Advance Notice from interested persons.

This Advance Notice consists of amendments to NSCC's Rules & Procedures (“Rules”) 4 in order to (i) accelerate NSCC's trade guaranty from midnight of one day after trade date (“T+1”) to the point of trade comparison and validation for bilateral submissions or to the point of trade validation for locked-in submissions, (ii) add three new components to the Clearing Fund formula and eliminate the current Specified Activity charge from the Clearing Fund formula, (iii) amend Procedure II to remove language that permits NSCC to delay processing and reporting for certain index receipt transactions, (iv) enhance NSCC's current intraday mark-to-market margin process and clarify the circumstances and criteria for its intraday risk management monitoring and intraday collections of mark-to-market margin, (v) introduce a new loss allocation provision for any trades that fall within the proposed definition of “Off-the-Market Transactions” and (vi) make a technical change to Procedure XV to remove the reference to ID Net Subscribers, as described below.

In its filing with the Commission, the clearing agency included statements concerning the purpose of and basis for the Advance Notice and discussed any comments it received on the Advance Notice. The text of these statements may be examined at the places specified in Item IV below. The clearing agency has prepared summaries, set forth in sections A and B below, of the most significant aspects of such statements.

NSCC has not received any written comments relating to this proposed rule change. NSCC will notify the Commission of any written comments it receives.

Pursuant to Addendum K of the Rules, NSCC currently guarantees the completion of trades that are cleared and settled through NSCC's Continuous Net Settlement (“CNS”) 5 system (“CNS trades”) and through its Balance Order Accounting Operation 6 (“Balance Order trades”) that have reached the later of midnight of T+1 or midnight of the day they are reported to Members.7 NSCC proposes to amend its Rules in order to guarantee the completion of CNS trades and Balance Order trades upon comparison and validation for bilateral submissions to NSCC or upon validation for locked-in submissions to NSCC. Validation refers to the process whereby NSCC validates a locked-in trade, or compares and validates a bilateral trade, to confirm such trade has sufficient and correct information for clearance and settlement processing. For purposes of this description in the proposed rule change, the process of comparing and validating bilateral submissions and the process for validating locked-in submissions are collectively referred to as “trade validation.”

NSCC has previously shortened the time at which its trade guaranty applied to trades in response to processing developments and risk management considerations and to follow industry settlement cycles.8 Since implementation of the current trade guaranty policy, the marketplace has experienced significant change. The proposed accelerated trade guaranty and related proposed changes described herein would benefit the industry by mitigating counterparty risk and enhancing counterparties' ability to assess that risk by having NSCC become the central counterparty to CNS trades and by applying the trade guaranty to Balance Order trades at an earlier point in the settlement cycle.

The transfer of counterparty credit risk from Members to NSCC at an earlier point in the settlement cycle facilitates a shortened holding period of bilateral credit risk for counterparties by transferring the obligation onto NSCC, which is better equipped to manage that counterparty credit risk, including potential systemic impact, compared to the counterparties themselves.

In order to implement this proposed change, NSCC would amend Addendum K of its Rules 9 to provide that CNS trades and Balance Order trades would be guaranteed by NSCC at the point of trade validation.10

NSCC also proposes to clarify in Addendum K 11 that the guaranty of obligations arising out of the exercise or assignment of options that are settled at NSCC is not governed by Addendum K 12 but by a separate arrangement between NSCC and The Options Clearing Corporation, as referred to in Procedure III of the Rules.13

In conjunction with accelerating the trade guaranty, NSCC would enhance its Clearing Fund formula to address the risks posed by the expanded trade guaranty. Specifically, NSCC proposes to amend Procedure XV 14 (Clearing Fund Formula and Other Matters) to include three new components: The Margin Requirement Differential (“MRD”), the Coverage Component and the Intraday Backtesting Charge.

NSCC also proposes to add to Procedure XV 15 a description of the enhanced intraday mark-to-market component of the Clearing Fund formula that clarifies the circumstances and criteria for the assessment of an intraday mark-to-market call. In addition, NSCC proposes to delete the Specified Activity charge, a component of the Clearing Fund formula that mitigates shortened cycle risk (that is, the risk of the trade guaranty attaching prior to collection of daily Clearing Fund). This charge would no longer be necessary because the MRD would mitigate those same risks.

A more detailed description of the foregoing changes follows:

NSCC collects Required Deposits from all Members as margin to protect NSCC against losses in the event of a Member's default. The objective of the Required Deposit is to mitigate potential losses to NSCC associated with liquidation of the Member's portfolio if NSCC ceases to act for a Member (hereinafter referred to as a “default”). NSCC determines Required Deposit amounts using a risk-based margin methodology that is intended to capture market price risk. The methodology uses historical market moves to project or forecast the potential gains or losses on the liquidation of a defaulting Member's portfolio, assuming that a portfolio would take three days to liquidate or hedge in normal market conditions. The projected liquidation gains or losses are used to determine the Member's Required Deposit, which is calculated to cover projected liquidation losses to be at or above a 99 percent confidence level (the “Coverage Target”). The aggregate of all Members' Required Deposits constitutes NSCC's Clearing Fund, which NSCC would be able to access if a defaulting Member's own Required Deposit is insufficient to satisfy losses to NSCC caused by the liquidation of the Member's portfolio.

NSCC calculates and collects Required Deposits from Members daily. Each Member's daily Required Deposit is calculated based on the end-of-day positions from the prior day and is generally collected by 10:00 a.m. ET. NSCC's current trade guaranty does not generally attach to trades until midnight of T+1, after Required Deposits reflecting these trades have been collected. Therefore, Members' Required Deposits are generally sufficient to cover projected liquidation losses for guaranteed trades. However, under the accelerated trade guaranty proposal, NSCC's trade guaranty would attach to current-day trades immediately upon trade validation, before Required Deposits reflecting these trades have been collected (which NSCC refers to herein as the “coverage gap”).16 Therefore, Members' Required Deposits may not be sufficient to cover the projected liquidation losses of trades guaranteed by NSCC upon trade validation, and NSCC, absent the proposed Clearing Fund formula enhancements, could incur a loss associated with those trades if it ceases to act for a Member.

The MRD is designed to help mitigate the risks posed to the Corporation by day-over-day fluctuations in a Member's portfolio by forecasting future changes in a Member's portfolio based on a historical look-back at each Member's portfolio over a given time period. A Member's portfolio may fluctuate significantly from one trading day to the next as the Member executes trades throughout the day. Currently, daily fluctuations in a Member's portfolio resulting from such trades do not pose any additional or different risk to NSCC because those trades are not guaranteed by NSCC until a Required Deposit reflecting such trades is collected by NSCC. However, under the accelerated trade guaranty proposal, trades would be guaranteed by NSCC upon trade validation and therefore may result in large un-margined intraday portfolio fluctuations during the coverage gap. The MRD would increase Members' Required Deposits by an amount calculated to cover forecasted fluctuations in Members' portfolios, based upon historical activity.

The MRD would be calculated and charged on a daily basis as a part of each Member's Required Deposit and consists of two components: The “MRD VaR” and the “MRD MTM.” The MRD VaR looks at historical day-over-day positive changes in the start of day (“SOD”) volatility component of a Member's Required Deposit 17 (“Volatility Charge”) over a 100-day look-back period and would be calculated to equal the exponentially weighted moving average (“EWMA”) of such changes to the Member's Volatility Charge during the look-back period. The MRD MTM looks at historical day-over-day increases to the SOD mark-to-market component of a Member's Required Deposit 18 over a 100-day look-back period and would be calculated to equal the EWMA of such changes to the Member's SOD mark-to-market component during the look-back period. The MRD is calculated to equal the sum of MRD VaR and MRD MTM times a multiplier calibrated based on backtesting results. NSCC has determined that a 100-day look-back period would provide it with a sufficient time series to reflect current market conditions.

By addressing the day-over-day changes to each Member's SOD Volatility Charge and SOD mark-to-market component, the MRD would help mitigate the risks posed to the Corporation by un-margined day-over-day fluctuations to a Member's portfolio resulting from intraday trading activity that would be guaranteed during the coverage gap.

The “Coverage Component” is designed to mitigate the risks associated with a Member's Required Deposit being insufficient to cover projected liquidation losses to the Coverage Target by adjusting a Member's Required Deposit towards the Coverage Target. The Corporation would face increased exposure to a Member's un-margined portfolio as a result of the proposed accelerated trade guaranty and would have an increased need to have each Member's Required Deposit meet the Coverage Target. The Coverage Component would supplement the MRD by preemptively increasing a Member's Required Deposit in an amount calculated to forecast potential deficiencies in the margin coverage of a Member's guaranteed portfolio. The preemptive nature of the Coverage Component differentiates it from the Regular Backtesting Charge and the Intraday Backtesting Charge, both of which are reactive measures to increase the Member's Required Deposit to above the Coverage Target.

The Coverage Component would be calculated and charged on a daily basis as a part of each Member's Required Deposit. To calculate the Coverage Component, NSCC would compare the simulated liquidation profit and loss of a Member's portfolio, using the actual positions in the Member's portfolio and the actual historical returns on the security positions in the portfolio, against the sum of each of the following components of the Clearing Fund formula: The Volatility Charge, the MRD, the Illiquid Charge and the Market Maker domination charge (collectively, the “Market Risk Components”), to determine if there were any deficiencies between the amounts collected by these components and the simulated profit and loss of the Member's portfolio that would have been realized had it been liquidated during a 100-day look-back period. NSCC would then determine a daily “peak deficiency” amount for each Member equal to the maximum deficiency over a rolling 10 business day period for the preceding 100 days. The Coverage Component would be calculated to equal the EWMA of the peak deficiencies over the 100-day look-back period.

In working to bring each Member's Required Deposit towards the Coverage Target by preemptively collecting an amount designed to cover projected liquidation profit and loss of a Member's portfolio, including the trades guaranteed during the coverage gap, NSCC would further mitigate the risks posed to it by the proposed accelerated trade guaranty.

NSCC employs daily backtesting to determine the adequacy of each Member's Required Deposit. NSCC compares the Required Deposit 19 for each Member with the simulated liquidation profit and loss using the actual positions in the Member's portfolio and the actual historical returns on the security positions in the portfolio. NSCC investigates the cause(s) of any backtesting deficiencies. As a part of this investigation, NSCC pays particular attention to Members with backtesting deficiencies that bring the results for that Member below the Coverage Target to determine if there is an identifiable cause of repeat backtesting deficiencies. NSCC also evaluates whether multiple Members experience backtesting deficiencies for the same underlying reason. Upon implementation of the accelerated trade guaranty, NSCC would employ a similar backtesting process on an intraday basis to determine the adequacy of each Member's Required Deposit. However, instead of backtesting a Member's Required Deposit against the Member's SOD portfolio, NSCC would use portfolios from two intraday time slices.20

The objective of the Intraday Backtesting Charge is to increase Required Deposits for Members that are likely to experience intraday backtesting deficiencies on the basis described above by an amount sufficient to maintain such Member's intraday backtesting coverage above the Coverage Target. Members that maintain consistent end of day positions but have a high level of intraday trading activity pose risk to NSCC if they were to default intraday.

Because the intraday trading activity and size of the intraday backtesting deficiencies vary among impacted Members, NSCC must assess an Intraday Backtesting Charge that is specific to each impacted Member. To do so, NSCC examines each impacted Member's historical intraday backtesting deficiencies observed over the prior 12-month period to identify the five largest intraday backtesting deficiencies that have occurred during that time. The presumptive Intraday Backtesting Charge amount would equal that Member's fifth largest historical intraday backtesting deficiency, subject to adjustment as further described below. NSCC believes that applying an additional margin charge equal to the fifth largest historical intraday backtesting deficiency to a Member's Required Deposit would have brought the Member's historically observed intraday backtesting coverage above the Coverage Target.21

The Intraday Backtesting Charge would only be applicable to those Members whose overall 12-month trailing intraday backtesting coverage falls below the Coverage Target.

Although the fifth largest historical backtesting deficiency for a Member would be used as the Intraday Backtesting Charge in most cases, NSCC would retain discretion to adjust the charge amount based on other circumstances that might be relevant for assessing whether an impacted Member is likely to experience future backtesting deficiencies and the estimated size of such deficiencies. Examples of relevant circumstances that could be considered by NSCC in calculating the final, applicable Intraday Backtesting Charge amount include material differences among the Member's five largest intraday backtesting deficiencies observed over the prior 12-month period, variability in the net settlement activity after the collection of the Member's Required Deposit and observed market price volatility in excess of the Member's historical Volatility Charge. Based on NSCC's assessment of the impact of these circumstances on the likelihood, and estimated size, of future intraday backtesting deficiencies for a Member, NSCC may, in its discretion, adjust the Intraday Backtesting Charge for such Member in an amount that NSCC determines to be more appropriate for maintaining such Member's intraday backtesting results above the Coverage Target.

The resulting Intraday Backtesting Charge would be added to the Required Deposit for such Member and would be imposed on a daily basis for a one-month period.

In order to differentiate the Backtesting Charge assessed on the start of the day portfolio from the Backtesting Charge assessed on an intraday basis, NSCC would amend the Rules by adding a defined term “Regular Backtesting Charge” to Procedure XV, Section I.(B)(3).22

If NSCC determines that an Intraday Backtesting Charge should apply to a Member who was not assessed an Intraday Backtesting Charge during the immediately preceding month or that the Intraday Backtesting Charge applied to a Member during the previous month should be increased, NSCC would notify the Member on or around the 25th calendar day of the month prior to the assessment of the Intraday Backtesting Charge or prior to the increase to the Intraday Backtesting Charge, as applicable, if not earlier.

NSCC would impose the Intraday Backtesting Charge as an additional charge applied to each impacted Member's Required Deposit on a daily basis for a one-month period and would review each applied Intraday Backtesting Charge each month. If an impacted Member's trailing 12-month intraday backtesting coverage exceeds the Coverage Target (without taking into account historically imposed Intraday Backtesting Charges), the Intraday Backtesting Charge would be removed.

Currently, NSCC collects a Specified Activity charge, which is designed to cover the risk posed to NSCC by transactions that settle on a shortened cycle.23 Such transactions pose an increased risk to NSCC because these trades settle on a shortened settlement cycle and may be guaranteed by NSCC prior to the collection of margin on them. The Specified Activity charge currently mitigates this risk by increasing the Required Deposit for a Member in relation to the number of Specified Activity trades submitted by the Member to NSCC over a 100-day look-back period. However, the risk posed to NSCC by Specified Activity would no longer be unique to such trade activity—the proposed accelerated trade guaranty would result in a similar risk to NSCC. The addition of the MRD and Coverage Components to the Clearing Fund formula would mitigate the risks posed by trades guaranteed by NSCC prior to the collection of margin on those trades. As a result, NSCC proposes to eliminate the Specified Activity charge because imposing a separate Specified Activity charge would no longer be necessary once the MRD and Coverage Components are added to the Clearing Fund formula.

NSCC proposes to enhance its current intraday margining to further mitigate the intraday coverage gap risk that may be introduced to the Corporation as a result of the proposed accelerated trade guaranty. By way of background, NSCC currently collects a SOD mark-to-market margin, which is designed to mitigate the risk arising out of the value change between the contract/settlement value of a Member's open positions and the current market value, as part of its Clearing Fund formula. A Member's SOD mark-to-market margin is calculated and collected as part of a Member's daily Required Deposit based on the Member's prior end-of-day positions. The SOD mark-to-market component of the daily Required Deposit is calculated to cover a Member's exposure due to market moves and/or trading and settlement activity by bringing the portfolio of open positions up to the current market value. However, because the SOD mark-to-market component is calculated only once daily using the prior end-of-day positions and prices, it will not cover a Member's exposure arising out of any intraday changes to position and market value in a Member's portfolio. Accordingly, NSCC currently collects intraday mark-to-market margin from Members to cover additional risk exposure arising out of intraday position and market value changes to the Member's portfolio if the additional risks are sufficiently large to warrant the collection of an intraday margin.

NSCC has determined that it is not necessary to collect intraday margin from every Member that experiences an intraday mark-to-market change because the Volatility Charge already collected as part of Members' daily Required Deposits is calculated to cover projected changes in the contract/settlement value of a Member's portfolio and likely cover intraday changes to a Member's portfolio. However, in certain instances, Members may have intraday mark-to-market changes that are significant enough that NSCC is exposed to an increased risk of loss as a result of such Member's intraday activities. In particular, NSCC measures each Member's intraday mark-to-market exposure against the Volatility Charge. NSCC collects an intraday mark-to-market amount from any Member that has an intraday mark-to-market exposure that meets or exceeds a threshold percentage as compared to the Member's Volatility Charge. NSCC believes that such Members pose an increased risk of loss to the Corporation because the coverage provided by the Volatility Charge, which is designed to cover estimated losses to a portfolio over a specified time period, would be exhausted by an intraday mark-to-market exposure so large that the Member's Required Deposit would potentially be unable to absorb further intraday losses to the Member's portfolio.

In order to further mitigate the risk posed to NSCC by the proposed accelerated trade guaranty, NSCC is proposing to enhance its collection of intraday mark-to-market margin. NSCC would impose the intraday mark-to-market margin amount at a lower threshold. Currently, NSCC makes an intraday mark-to-market margin call if a Member's intraday mark-to-market exposure meets or exceeds 100 percent of such Member's Volatility Charge; however, such threshold may be reduced by NSCC during volatile market conditions. With this proposal, NSCC would make an intraday margin call if a Member's intraday mark-to-market exposure meets or exceeds 80 percent of such Member's Volatility Charge, where such threshold may still be reduced by NSCC during volatile market conditions. This proposed change would serve to collect intraday margin earlier and more proactively preserve the coverage provided by a Member's Volatility Charge and Required Deposit.

In addition, NSCC would monitor intraday changes to Member's mark-to-market exposure at regular intervals to further mitigate the risk posed to NSCC by the accelerated trade guaranty. By doing so, NSCC would be able to make intraday margin calls more frequently to those Members whose intraday mark-to-market exposures exceed the Volatility Charge threshold. Enhancing the collection of the intraday mark-to-market amount so that it occurs earlier and more frequently would allow NSCC to reduce the amount of uncovered risk during the coverage gap and would therefore further mitigate the risk posed to the Corporation by the accelerated trade guaranty.

NSCC proposes to amend Procedure XV to include a description of the enhanced intraday mark-to-market margin charge that clarifies the circumstances and criteria for the assessment of an intraday mark-to-market call. This would ensure that Members are aware that the Corporation regularly monitors and considers intraday mark-to-market as part of its regular Clearing Fund formula.

The Excess Capital Premium 24 is designed to address spikes in a Member's Required Deposit based upon any one day of activity. It is not designed to provide additional Required Deposits over an extended period of time. Currently, the Excess Capital Premium for a Member is calculated based upon the Member's Clearing Fund Required Deposit and the Member's excess net capital. With the addition of the MRD and the Coverage Component, NSCC proposes to exclude these charges from the calculation of the Excess Capital Premium. The MRD and the Coverage Component all utilize a historical look-back period, which accounts for the risk of such activity well after the relevant trades have settled. Risks related to such trades would be reflected in increased amounts assessed for these components over the subsequent time periods. If these components are included in the calculation of the Excess Capital Premium, especially during periods following an increase in activity, then the increased MRD and Coverage Component could lead to more frequent Excess Capital Premium charges over an extended period of time. This is not the intended purpose of the Excess Capital Premium and could place an unnecessary burden on Members.

Next day settling index receipts may be guaranteed prior to the collection of margin reflecting such trades and thus carry a very similar risk as Specified Activity trades described above. More specifically, because these trades are settled on the day after they are received and validated by NSCC, NSCC currently attaches its guaranty to them at the time of validation, prior to the collection of a Required Deposit that reflects such trades. Unlike the risk from Specified Activity trades, which is mitigated by the Specified Activity charge, the risk for next day settling index receipts is currently mitigated by permitting NSCC to delay the processing and reporting of these trades if a Member's Required Deposit is not paid on time. However, like the risk associated with Specified Activity, under the proposed rule change, this risk would generally be mitigated by the addition of the MRD and the Coverage Component. Therefore, NSCC proposes to amend Procedure II 25 (Trade Comparison and Recording Service) to remove the language that permits NSCC to delay the processing and reporting of next day settling index receipts until the applicable margin on these transactions is paid.

NSCC proposes to introduce a new loss allocation provision for any trades that fall within the proposed definition of “Off-the-Market Transactions” in order to limit NSCC's exposure to certain trades that have a price that differs significantly from the prevailing market price for the underlying security at the time the trade is executed. This provision would apply in the event that NSCC ceases to act for a Member that engaged in Off-the-Market Transactions and only to the extent that NSCC incurs a net loss in the liquidation of such Transactions.26

NSCC would define “Off-the-Market Transactions” as either a single transaction or a series of transactions settled within the same cycle with greater than $1 million in gross proceeds and either higher or lower than the most recently observed market price by a percentage amount based on market conditions and factors that impact trading behavior of the underlying security, including volatility, liquidity and other characteristics of such security.

The proposed rule change would establish the loss allocation for Off-the-Market Transactions. NSCC would allocate any losses to NSCC resulting from the liquidation of any guaranteed, open Off-the-Market Transaction of a defaulted Member directly and entirely to the surviving counterparty to that transaction. Losses would be allocated to counterparties in proportion to their specific Off-the-Market Transaction gain and would be allocated only to the extent of NSCC's loss; however, no allocation shall be made if the defaulted Member has satisfied all requisite intraday mark-to-market margin assessed by NSCC with respect to the Off-the-Market Transaction.27

This proposed change would allow NSCC to mitigate the risk of loss associated with guaranteeing these Off-the-Market Transactions. The proposal recognizes that applying the accelerated trade guaranty to transactions whose price significantly differs from the most recently observed market price could inappropriately increase the loss that NSCC may incur if a Member that has engaged in Off-the-Market Transactions defaults and its open, guaranteed positions are liquidated. Members not involved in Off-the-Market Transactions, or not involved in Off-the-Market Transactions that result in losses to NSCC, would not be included in this process. This exclusion would apply only to losses that are attributable to Off-the-Market Transactions and would not exclude Members from other obligations that may result from any loss or liabilities incurred by NSCC from a Member default.

In order to implement this proposed change, NSCC would amend Rule 4 28 (Clearing Fund) to provide that, if a loss or liability of NSCC is determined by NSCC to arise in connection with the liquidation of any Off-the-Market Transactions, such loss or liability would be allocated directly to the surviving counterparty to the Off-the-Market Transaction that submitted the transaction to NSCC for clearing. NSCC would also amend Rule 1 29 (Definitions and Descriptions) to include a definition of Off-the-Market Transactions.

NSCC is proposing a change to Procedure XV 30 to clarify the calculation of the Regular Mark-to-Market component for CNS transactions. NSCC's historical and current policy for the calculation of any mark-to-market component of the Clearing Fund calculation for CNS trades and Balance Order trades is that where a credit is derived from a Member's mark-to-market calculation, the value of the calculation is adjusted to zero. When NSCC implemented the ID Net service,31 a provision was added to Procedure XV 32 that explicitly stated this policy as it relates to CNS transactions of subscribers to the ID Net service. This change inadvertently created an implication that the calculation of Regular Mark-to-Market credit for Members who were not ID Net Subscribers would not be set to zero. NSCC is proposing to revise the applicable provision to remove the reference to ID Net Subscribers.

The proposed rule changes would mitigate Member's counterparty risks and would enhance Members' ability to assess that risk by having NSCC become the central counterparty to CNS trades and by applying the trade guaranty to Balance Order trades at an earlier point in the settlement cycle.

Although the transfer of counterparty credit risk from Members to NSCC at an earlier point in the settlement cycle facilitates a shortened holding period of bilateral credit risk for the Members, it does increase risk to NSCC. However, as discussed below, NSCC believes that it is better equipped to manage that counterparty credit risk, including potential systemic impact, compared to the counterparties themselves.

The proposal is designed to mitigate counterparty risk while still protecting NSCC and its membership.

The proposed rule changes to (i) add the new components to the Clearing Fund formula and (ii) enhance the intraday mark-to-market margin process would allow NSCC to appropriately collect additional margin to mitigate the exposure presented to NSCC by the accelerated trade guaranty. The proposal to introduce a new loss allocation provision for Off-the-Market Transactions would help NSCC to limit its exposure to Off-the-Market Transactions.

Specifically, the proposal to add the MRD, the Coverage Component and the Intraday Backtesting Charge to the Clearing Fund formula and to collect intraday mark-to-market margin at a lower threshold would mitigate the exposure presented to NSCC by the accelerated trade guaranty and permit NSCC to enhance its margin requirements to better limit its credit exposures to participants under normal market conditions.

In addition, NSCC's proposal to expand its current intraday margin collection to include (a) the collection of intraday mark-to-market margin at a lower threshold and (b) the collection of the Intraday Backtesting Charge would further enhance its intraday monitoring and its ability to measure credit exposures at least once a day.

Similarly, the proposed rule changes to introduce a new loss allocation provision for any trades that fall within the proposed definition of Off-the-Market Transactions would help NSCC to limit its exposure to certain trades that have a price that differs significantly from the most recently observed market price for the underlying security. Therefore, the reduction of NSCC's exposure to Off-the-Market Transactions would assist NSCC in responding to a Member default and would minimize potential losses to NSCC and its non-defaulting Members.

NSCC has also taken actions outside of the proposals described in this filing to strengthen its liquidity resources and to enable it to cover its total liquidity needs, including any liquidity needs that would arise from the accelerated trade guaranty. NSCC calculates its liquidity need by assuming the failure of the Member (including the simultaneous default of the Member's affiliated family) that has the largest net settlement debit in extreme but plausible market conditions.33 Although the proposal would increase the number of days for which NSCC would be required, under its Rules, to guarantee settlement to include T and T+1 trades, the Rules currently provide that it may, although it is not legally obligated to, optionally guarantee these trades. Given NSCC's role in promoting safety, soundness and stability in the U.S. equities markets, NSCC currently includes these trades in its daily liquidity need analyses to account for the circumstances where this optional guaranty would be called upon. NSCC has never actually experienced a liquidity shortfall in the close out of a defaulted Member.

NSCC measures the potential liquidity impact of the accelerated trade guaranty on a daily basis. NSCC has enhanced its liquidity resources through the implementation of NSCC's supplemental liquidity deposit (“SLD”) requirements.34 NSCC's SLD requirements were designed to require Members with historically elevated options activity to provide supplemental liquidity deposits in advance of and in anticipation of options expiry periods, as well as to accept voluntary pre-funded supplemental liquidity deposits from other Members who anticipate elevated liquidity needs during these periods. As such, the SLD requirements provide NSCC with the needed liquidity resources to address any liquidity shortfalls that may be experienced under the accelerated trade guaranty settlement cycle. Furthermore, NSCC has established a liquidity program to raise prefunded liquidity through the issuance and private placement of short-term, unsecured notes (“Prefunded Liquidity Program”), which may consist of a combination of commercial paper notes and extendible notes.35 Proceeds from the Prefunded Liquidity Program further supplement NSCC's existing default liquidity risk management resources.

The objectives and principles of the Clearing Supervision Act are to promote robust risk management, promote safety and soundness, reduce systemic risks, and support the stability of the broader financial system.36

The proposal to accelerate the time that NSCC's trade guaranty attaches to trades submitted to it for clearing has been designed to promote robust risk management, promote safety and soundness, reduce systemic risks and support the stability of the broader financial system in furtherance of the Clearing Supervision Act.

Specifically, NSCC would provide a trade guaranty to CNS trades and Balance Order trades at an earlier point in the settlement cycle. The proposed rule changes would mitigate counterparty risk and would enhance NSCC Members' ability to assess that risk by having NSCC become the central counterparty to CNS trades and by applying the trade guaranty to Balance Order trades at an earlier point in the settlement cycle. The transfer of counterparty credit risk from Members to NSCC at an earlier point in the settlement cycle facilitates a shortened holding period of bilateral credit risk for the counterparties by transferring the obligation onto NSCC, which is better equipped to manage that counterparty credit risk, including potential systemic impact, compared to the counterparties themselves. Therefore, NSCC believes the proposal to accelerate the trade guaranty would promote robust risk management, promote safety and soundness, reduce systemic risks and support the stability of the broader financial system, consistent with the objectives and principles of Section 805(b) of the Clearing Supervision Act cited above.

The proposed rule changes to enhance the Clearing Fund formula and to introduce a new loss allocation provision for Off-the-Market Transactions have been designed to promote robust risk management and promote safety and soundness in furtherance of the Clearing Supervision Act. In conjunction with the enhanced trade processing in the form of the accelerated trade guaranty, the proposed additional Clearing Fund components and enhancements to NSCC's current intraday mark-to-market margin process would allow NSCC to appropriately manage its risk by collecting additional margin to mitigate the exposure presented to NSCC by the accelerated trade guaranty. Additionally, the proposal to introduce a new loss allocation provision for any trades that fall within a proposed definition of “Off-the-Market Transactions” would help NSCC to limit its exposure to certain trades that have a price that differs significantly from the most recently observed market price for the underlying security. Together, the collection of additional margin and the reduction of NSCC's exposures to “Off-the-Market Transactions” would assist NSCC in responding to a Member default and would minimize potential losses to NSCC and its non-defaulting Members. Therefore, NSCC believes the proposed enhancements to the Clearing Fund formula and the introduction of an Off-the-Market Transaction allocation process would also promote robust risk management and promote safety and soundness, consistent with objectives and principles of Section 805(b) of the Clearing Supervision Act, cited above.

NSCC believes that the proposal is also consistent with Rules 17Ad-22(b)(1) and (b)(2), promulgated under the Act. Rule 17Ad-22(b)(1) requires NSCC to establish, implement, maintain and enforce written policies and procedures reasonably designed to measure its credit exposures to its participants at least once a day and limit its exposures to potential losses from defaults by its participants under normal market conditions so that the operations of NSCC would not be disrupted and non-defaulting participants would not be exposed to losses that they cannot anticipate or control.37 NSCC's proposal to expand its current intraday margin collection to include (a) the collection of intraday mark-to-market margin at a lower threshold and (b) the collection of the Intraday Backtesting Charge would further enhance its intraday monitoring and its ability to measure credit exposures at least once a day. The proposal to enhance the amount of margin collected from each Member would help NSCC to limit its exposure to potential losses from defaults by its participants under normal market conditions and reduce risk of loss mutualization to the NSCC membership. Similarly, the proposal to introduce a new loss allocation provision for Off-the-Market Transactions would also help NSCC to limit its exposure to potential losses from defaults by its participants under normal market conditions. Therefore, NSCC believes the proposals are consistent with the requirements of Rule 17Ad-22(b)(1), promulgated under the Act, cited above.

Rule 17Ad-22(b)(2) requires NSCC to establish, implement, maintain and enforce written policies and procedures reasonably designed to “use margin requirements to limit its credit exposures to participants under normal market conditions and use risk-based models and parameters to set margin requirements.” 38 The proposal to add the MRD, the Coverage Component and the Intraday Backtesting Charge to the Clearing Fund formula and to collect intraday mark-to-market margin at a lower threshold in order to mitigate the exposure presented to NSCC by the accelerated trade guaranty would enable NSCC to enhance its margin requirements to better limit its credit exposures to participants under normal market conditions. Therefore, NSCC believes the proposed changes are consistent with the requirements of Rule 17Ad-22(b)(2), promulgated under the Act, cited above.

The proposed changes to NSCC's Clearing Fund formula and the intraday margin process are also designed to be consistent with Rules 17Ad-22(e)(4) and (e)(6) of the Act, which were recently adopted by the Commission.39 Rule 17Ad-22(e)(4) will require NSCC to establish, implement, maintain and enforce written policies and procedures reasonably designed to effectively identify, measure, monitor, and manage its credit exposures to participants and those exposures arising from its payment, clearing, and settlement processes.40 NSCC's proposal to expand its current intraday margin collection to include (a) the collection of intraday mark-to-market margin at a lower threshold and (b) the collection of the Intraday Backtesting Charge would enhance its ability to identify, measure, monitor and manage its credit exposures to participants. The proposal to enhance the amount of margin NSCC collected from each Member and to introduce a new loss allocation provision for Off-the-Market Transactions would further help NSCC to manage its credit exposures to participants and those exposures arising from its payment, clearing, and settlement processes. Therefore, NSCC believes these proposals are consistent with the requirements of Rule 17Ad-22(e)(4), promulgated under the Act, cited above.

Rule 17Ad-22(e)(6) will require NSCC to establish, implement, maintain and enforce written policies and procedures reasonably designed to cover its credit exposures to its participants by establishing a risk-based margin system that is monitored by management on an ongoing basis and regularly reviewed, tested, and verified.41 The proposal to add the MRD, the Coverage Component and the Intraday Backtesting Charge to the Clearing Fund formula and to collect intraday mark-to-market margin at a lower threshold would help NSCC to cover its credit exposures to its participants by establishing a risk-based margin system that is monitored by management on an ongoing basis and regularly reviewed, tested, and verified. Therefore, NSCC believes this proposal is consistent with the requirements of Rule 17Ad-22(e)(6), promulgated under the Act, cited above.

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 November 15, 2016, 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.

The Exchange proposes to amend NYSE Arca Equities Rule 7.16 (Short Sales) to eliminate the option for a short sale order to include an instruction that it be rejected or cancelled if it is required to be re-priced. 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.

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.

The Exchange proposes to amend NYSE Arca Equities Rule 7.16 (Short Sales) (“Rule 7.16”) to eliminate the option for a short sale order to include an instruction that it be rejected or cancelled if it is required to be re-priced.

Rule 7.16(f)(5)(B) currently provides that an ETP Holder may mark individual short sale orders to be rejected on arrival, or cancelled if resting, if required to be adjusted to a Permitted Price while a symbol is subject to the Short Sale Price Test.4 The Exchange adopted the current functionality in its rules in 2015 and implemented it when the Exchange migrated to the Pillar technology trading platform in 2016.5 Prior to operating on the Pillar platform, this option was available only to arriving orders.6

The Exchange proposes to simplify how short sale orders are processed by eliminating the current optional functionality described in Rule 7.16(f)(5)(B). The Exchange does not believe that removing this optional functionality will significantly affect investors or the public because it is a little-used feature.7 In addition, to reflect the deletion of the text currently set forth in Rule 7.16(f)(5)(B), the Exchange proposes a non-substantive change to renumber current Rules 7.16(f)(5)(C)-(J) as proposed Rules 7.16(f)(5)(B)-(I).

Because of the technology changes associated with this proposed rule change, the Exchange will announce by Trader Update the implementation date.

The proposed rule change is consistent with Section 6(b) of the Securities Exchange Act of 1934 (the “Act”),8 in general, and furthers the objectives of Section 6(b)(5),9 in particular, because it is designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in facilitating transactions in securities, 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.

Specifically, the Exchange believes that the proposed rule change would remove impediments to and perfect the mechanism of a free and open market and a national market system by simplifying the operation of short sale orders on the Exchange. The Exchange proposes to eliminate an optional feature that provides that if so instructed, during a Short Sale Price Test, an individual short sale order would reject (on arrival) or cancel (if resting) if such order were required to be adjusted to a Permitted Price. Because this is infrequently-used optional functionality, the Exchange believes that the proposed rule change would remove impediments to and perfect the mechanism of a free and open market and a national market system by simplifying the Exchange's operations and reducing complexity. The Exchange further believes that renumbering the remaining paragraphs of Rule 7.16(f)(5) would remove impediments to and perfect the mechanism of a free and open market and a national market system because it would promote transparency in Exchange rules by conforming the rule numbering of the remaining rule text of Rule 7.16(f)(5).

The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. The Exchange believes that the proposed rule change would not impose any burden on competition because it is not designed to address any competitive issues. Rather, the proposed rule change is designed to simplify the Exchange's offerings and reduce complexity by eliminating an infrequently-used optional feature.

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

Because the proposed rule change does not (i) significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative for 30 days from the date on which it was filed, or such shorter time as the Commission may designate, it has become effective pursuant to Section 19(b)(3)(A) of the Act 10 and Rule 19b-4(f)(6) thereunder.11

A proposed rule change filed pursuant to Rule 19b-4(f)(6) under the Act 12 normally does not become operative for 30 days after the date of its filing. However, Rule 19b-4(f)(6)(iii) 13 permits the Commission to designate a shorter time if such action is consistent with the protection of investors and the public interest. The Exchange has asked the Commission to waive the 30-day operative delay so that the proposal may become operative immediately upon filing. According to the Exchange, the proposal would eliminate an infrequently-used optional functionality and would have little impact on ETP Holders. In addition, the Exchange anticipates that the technology supporting the change will be available in less than 30 days after filing. The Commission believes the waiver of the operative delay is consistent with the protection of investors and the public interest. Therefore, the Commission hereby waives the operative delay and designates the proposal operative upon filing.14

At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule change should be approved or disapproved.

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:

• Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or

• Send an email to [email protected]. Please include File Number SR-NYSEArca-2016-150 on the subject line.

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

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 November 15, 2016, 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.

The Exchange proposes to amend Rule 7.31 (Orders and Modifiers). 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.

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.

The Exchange proposes to amend Rule 7.31 (Orders and Modifiers). Specifically, Rule 7.31(d)(1)(C) provides that a Reserve Order must be designated Day and may be combined with an Arca Only Order, a Primary Pegged Order or a Q Order as each such order is a displayed order. However, given the lack of participation of Reserve Orders that are combined with Q Orders, the Exchange proposes to delete from its rules that a Reserve Order may be combined with a Q Order.4 The Exchange believes the proposed change will streamline the operation of Reserve Orders on the Exchange by limiting the functionality to features that are actually utilized by market participants.

The proposed rule change is consistent with Section 6(b) of the Act,5 in general, and furthers the objectives of Section 6(b)(5),6 in particular, because it is designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in facilitating transactions in securities, 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.

Specifically, the Exchange believes that removing the ability for market participants to combine Reserve Orders with Q Orders would remove impediments to and perfect the mechanism of a free and open market and a national market system because the proposed change would eliminate functionality not used by market participants and thereby, streamline the operation of Reserve Orders on the Exchange.

The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. The proposed change is not designed to address any competitive issue but rather to make amendments to Exchange rules to streamline the operation of Reserve Orders on the Exchange by removing little-used functionality that allowed Reserve Orders to be combined with Q Orders.

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

Because the proposed rule change does not (i) significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative for 30 days from the date on which it was filed, or such shorter time as the Commission may designate, it has become effective pursuant to Section 19(b)(3)(A) of the Act 7 and Rule 19b-4(f)(6) thereunder.8

A proposed rule change filed pursuant to Rule 19b-4(f)(6) under the Act 9 normally does not become operative for 30 days after the date of its filing. However, Rule 19b-4(f)(6)(iii) 10 permits the Commission to designate a shorter time if such action is consistent with the protection of investors and the public interest. The Exchange has asked the Commission to waive the 30-day operative delay so that the proposal may become operative immediately upon filing. According to the Exchange, this proposal would eliminate functionality not used by market participants, and the Exchange anticipates that the technology supporting the change will be available in less than 30 days after filing. The Commission believes the waiver of the operative delay is consistent with the protection of investors and the public interest. Therefore, the Commission hereby waives the operative delay and designates the proposal operative upon filing.11

At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule change should be approved or disapproved.

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:

• Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or

• Send an email to [email protected]. Please include File Number SR-NYSEArca-2016-151 on the subject line.

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

Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the “Act”),1 and Rule 19b-4 thereunder,2 notice is hereby given that on November 16, 2016, Bats BZX Exchange, Inc. (the “Exchange” or “BZX”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I, II, and III, below, which Items have been prepared by the Exchange. The Exchange has designated this proposal as a “non-controversial” proposed rule change pursuant to Section 19(b)(3)(A) of the Act 3 and Rule 19b-4(f)(6)(iii) thereunder,4 which renders it effective upon filing with the Commission. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons.

The Exchange filed a proposal to make ministerial and corrective changes to Exchange Rules 11.13(b), 11.16(g)(4), 11.22(f), and 11.27(a)(7)(A)(i)2.

The text of the proposed rule change is available at the Exchange's Web site at www.batstrading.com, at the principal office of the Exchange, and at the Commission's Public Reference Room.

In its filing with the Commission, the Exchange 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 these 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.

The Exchange proposes to make ministerial and corrective changes to Exchange Rules 11.13(b), 11.16(g)(4), 11.22(f), and 11.27(a)(7)(A)(i)2. First, the Exchange proposed to amend Rule 11.13(b) to correct an incorrect cross reference. Exchange Rule 11.13(b) states that depending on the instructions set by the User 5 when the incoming order was originally entered, if a market or marketable limit order has not been executed in its entirety pursuant to Exchange Rule 11.13(a) above, the order shall be eligible for additional processing under one or more of the routing options listed under paragraph (a)(3) of Rule 11.13. The reference to paragraph (a)(3) of Rule 11.13 is incorrect as the routing options are listing under paragraph (b)(3) of Rule 11.13. Therefore, the Exchange proposes to replace reference to paragraph (a)(3) with paragraph (b)(3).

Second, the Exchange proposes to amend Rule 11.16(g)(4) to delete an unnecessary cross reference. Exchange Rule 11.16(a)(4) states that “[t]he pass-through of any compensation to a Member in accordance with this subparagraph (g) is unrelated to any other claims for compensation that are made in accordance with, and subject to the limits of, subparagraph (d) of this Rule 11.16.” The Exchange now proposes to delete reference to “11.16” as a specific reference to the rule is not integral nor necessary to the meaning or application of Rule 11.16 generally.6

Third, the Exchange proposes to amend Rule 11.22(f) to delete a description of the Latency Monitoring data product, which the Exchange ceased to offer in May 2015. The Exchange determined that the customer demand at that time did not warrant the infrastructure and ongoing maintenance expense required to support the product.

Lastly, the Exchange proposes to amend Rule 11.27(a)(7)(A)(i)2 to correct a typographical error by replacing the phrase “one of more” with “one or more”.

The Exchange believes that its proposal is consistent with Section 6(b) of the Act 7 in general, and furthers the objectives of Section 6(b)(5) of the Act 8 in particular, in that it is 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.

The Exchange believes the proposed changes 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 because they seek to correct an incorrect cross-reference and typographical error, harmonize identical rules with the Exchange's affiliates, as well as eliminate a reference [sic] a market data product that is no longer provided. The Exchange notes the changes to Exchange Rules 11.13(b), 11.16(a)(4), and 11.27(a)(7)(A)(i)2 are ministerial and do not alter the applications of each rule. In addition, the deletion of references to the Latency Monitoring Data product removes references to a product the Exchange no longer provides and that the Exchange is not required by any rule or regulation to offer. As such, the proposed amendments would foster cooperation and coordination with persons engaged in facilitating transactions in securities and would remove impediments to and perfect the mechanism of a free and open market and a national market system.

The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. On the contrary, the proposed rule change will have no impact on competition as it is simply makes ministerial and corrective changes while not altering the meaning or application of each rule.

The Exchange has not solicited, and does not intend to solicit, comments on this proposed rule change. The Exchange has not received any written comments from members or other interested parties.

Because the foregoing proposed rule change does not: (A) Significantly affect the protection of investors or the public interest; (B) impose any significant burden on competition; and (C) by its terms, become operative for 30 days from the date on which it was filed or such shorter time as the Commission may designate it has become effective pursuant to Section 19(b)(3)(A) of the Act 9 and paragraph (f)(6) of Rule 19b-4 thereunder,10 the Exchange has designated this rule filing as non-controversial. The Exchange has given the Commission written notice of its intent to file the proposed rule change, along with a brief description and text of the proposed rule change at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission.

At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is: (1) Necessary or appropriate in the public interest; (2) for the protection of investors; or (3) otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule should be approved or disapproved.

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

• Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or

• Send an email to [email protected]. Please include File No. SR-BatsBZX-2016-77 on the subject line.

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

On May 11, 2016, NYSE Arca, Inc. (“Exchange”) filed with the Securities and Exchange Commission (“Commission”), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act” or “Exchange Act”) 1 and Rule 19b-4 thereunder,2 a proposed rule change to permit the Fidelity Corporate Bond ETF, Fidelity Investment Grade Bond ETF, Fidelity Limited Term Bond ETF, and Fidelity Total Bond ETF (individually, “Fund,” and collectively, “Funds”) to consider securities issued pursuant to Rule 144A under the Securities Act of 1933 (“Securities Act”) as debt securities eligible for principal investment. The proposed rule change was published for comment in the Federal Register on May 31, 2016.3 On June 30, 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 July 26, 2016, the Exchange filed Amendment No. 1 to the proposed rule change.6 On August 29, 2016, the Commission instituted proceedings under Section 19(b)(2)(B) of the Act 7 to determine whether to approve or disapprove the proposed rule change, as modified by Amendment No. 1 thereto.8 In the Order Instituting Proceedings, the Commission solicited comments to specified matters related to the proposal.9 On November 22, 2016, the Exchange filed Amendment No. 2 to the proposed rule change.10 The Commission has received no comments on the proposed rule change. This order grants approval of the proposed rule change, as modified by Amendment Nos. 1 and 2 thereto.

The Commission approved the listing and trading of shares (“Shares”) of the Funds under NYSE Arca Equities Rule 8.600,11 which governs the listing and trading of Managed Fund Shares. The Exchange proposes to amend the representation in the Prior Corporate Bond Notice and Prior Total Bond Notice to provide that each Fund may include Rule 144A securities within a Fund's principal investments in debt securities (i.e., debt securities in which at least 80% of a Fund's assets are invested), provided that no more than 35% of a Fund's assets may be invested in Rule 144A securities.

Fidelity Investments Money Management, Inc. (“FIMM”), an affiliate of Fidelity Management & Research Company (“FMR”), is the manager (“Manager”) of each Fund. FMR Co., Inc. (“FMRC”) serves as a sub-adviser for the Fidelity Total Bond ETF. FMRC has day-to-day responsibility for choosing certain types of investments of foreign and domestic issuers for Fidelity Total Bond ETF. Other investment advisers, which also are affiliates of FMR, serve as sub-advisers to the Funds and assist FIMM with foreign investments, including Fidelity Management & Research (U.K.) Inc., Fidelity Management & Research (Hong Kong) Limited, and Fidelity Management & Research (Japan) Inc. (individually, “Sub-Adviser,” and together with FMRC, collectively “Sub-Advisers”). Fidelity Distributors Corporation is the distributor for the Funds' Shares.

The Funds are funds of Fidelity Merrimack Street Trust (“Trust”), a Massachusetts business trust.12 The Exchange represents that the Shares of the Fidelity Corporate Bond ETF, Fidelity Limited Term Bond ETF, and Fidelity Total Bond ETF are currently trading on the Exchange.

As described in the Prior Corporate Bond Notice, the Fidelity Corporate Bond ETF seeks a high level of current income. The Manager normally invests at least 80% of Fidelity Corporate Bond ETF assets in investment-grade corporate bonds and other corporate debt securities.13 Corporate debt securities are bonds and other debt securities issued by corporations and other business structures, as described in the Prior Corporate Bond Notice.

The Fidelity Corporate Bond ETF may hold uninvested cash or may invest it in cash equivalents such as money market securities, or shares of short-term bond exchanged-traded funds registered under the 1940 Act (“ETFs”), or mutual funds or money market funds, including Fidelity central funds (special types of investment vehicles created by Fidelity for use by the Fidelity funds and other advisory clients). The Manager uses the Barclays U.S. Credit Bond Index as a guide in structuring the Fund and selecting its investments. FIMM manages the Fund to have similar overall interest rate risk to the Barclays U.S. Credit Bond Index.

As stated in the Prior Corporate Bond Releases, in buying and selling securities for the Fund, the Manager analyzes the credit quality of the issuer, security-specific features, current valuation relative to alternatives in the market, short-term trading opportunities resulting from market inefficiencies, and potential future valuation. In managing the Fund's exposure to various risks, including interest rate risk, the Manager considers, among other things, the market's overall risk characteristics, the market's current pricing of those risks, information on the Fund's competitive universe and internal views of potential future market conditions.

While the Manager normally invests at least 80% of assets of the Fund in investment grade corporate bonds and other corporate debt securities, as described above, the Manager may invest up to 20% of the Fund's assets in other securities and financial instruments, as summarized below.

In addition to corporate debt securities, the debt securities in which the Fund may invest are U.S. Government securities; repurchase agreements and reverse repurchase agreements; mortgage- and other asset-backed securities; loans; loan participations, loan assignments, and other evidences of indebtedness, including letters of credit, revolving credit facilities, and other standby financing commitments; structured securities; stripped securities; municipal securities; sovereign debt obligations; obligations of international agencies or supranational entities; and other securities believed to have debt-like characteristics, including hybrid securities, which may offer characteristics similar to those of a bond security such as stated maturity and preference over equity in bankruptcy.

The Fund may invest in restricted securities, which are subject to legal restrictions on their sale. Restricted securities generally can be sold in privately negotiated transactions, pursuant to an exemption from registration under the Securities Act, or in a registered public offering.

As described in the Prior Total Bond Notice, the Fidelity Investment Grade Bond ETF (which has not yet commenced operation) will seek a high level of current income. The Manager normally will invest at least 80% of the Fund's assets in investment-grade debt securities (those of medium and high quality). The debt securities in which the Fund may invest are corporate debt securities; U.S. Government securities; repurchase agreements and reverse repurchase agreements; money market securities; mortgage- and other asset-backed securities; senior loans; loan participations and loan assignments and other evidences of indebtedness, including letters of credit, revolving credit facilities and other standby financing commitments; stripped securities; municipal securities; sovereign debt obligations; and obligations of international agencies or supranational entities (collectively, “Debt Securities”).

As described in the Prior Total Bond Notice, the Fidelity Investment Grade Bond ETF may hold uninvested cash or may invest it in cash equivalents such as repurchase agreements, shares of short term bond ETFs, mutual funds, or money market funds, including Fidelity central funds (special types of investment vehicles created by Fidelity for use by the Fidelity funds and other advisory clients). The Manager will use the Barclays U.S. Aggregate Bond Index (“Aggregate Index”) as a guide in structuring the Fund and selecting its investments, and will manage the Fund to have similar overall interest rate risk to the Aggregate Index.

As described in the Prior Total Bond Notice, the Manager will consider other factors when selecting the Fidelity Investment Grade Bond ETF's investments, including the credit quality of the issuer, security-specific features, current valuation relative to alternatives in the market, short-term trading opportunities resulting from market inefficiencies, and potential future valuation. In managing the Fidelity Investment Grade Bond ETF's exposure to various risks, including interest rate risk, the Manager will consider, among other things, the market's overall risk characteristics, the market's current pricing of those risks, information on the Fidelity Investment Grade Bond ETF's competitive universe, and internal views of potential future market conditions.

As described in the Prior Total Bond Notice, the Fidelity Limited Term Bond ETF seeks to provide a high rate of income. The Manager normally invests at least 80% of the Fidelity Limited Term Bond ETF's assets in investment-grade Debt Securities (those of medium and high quality).

The Fidelity Limited Term Bond ETF may hold uninvested cash or may invest it in cash equivalents such as repurchase agreements, shares of short term bond ETFs, mutual funds, or money market funds, including Fidelity central funds (special types of investment vehicles created by Fidelity for use by the Fidelity funds and other advisory clients). The Manager uses the Fidelity Limited Term Composite Index (“Composite Index”) as a guide in structuring the Fund and selecting its investments. The Manager manages the Fidelity Limited Term Bond ETF to have similar overall interest rate risk to the Composite Index.

The Manager considers other factors when selecting the Fidelity Limited Term Bond ETF's investments, including the credit quality of the issuer, security-specific features, current valuation relative to alternatives in the market, short-term trading opportunities resulting from market inefficiencies, and potential future valuation. In managing the Fidelity Limited Term Bond ETF's exposure to various risks, including interest rate risk, the Manager considers, among other things, the market's overall risk characteristics, the market's current pricing of those risks, information on the Fund's competitive universe, and internal views of potential future market conditions.

As described in the Prior Total Bond Notice, the Fidelity Total Bond ETF seeks a high level of current income. The Manager normally invests at least 80% of the Fidelity Total Bond ETF's assets in Debt Securities. The Manager allocates the Fidelity Total Bond ETF's assets across investment-grade, high yield, and emerging market Debt Securities. The Manager may invest up to 20% of the Fund's assets in lower-quality Debt Securities.

The Fidelity Total Bond ETF may hold uninvested cash or may invest it in cash equivalents such as repurchase agreements, shares of short term bond ETFs, mutual funds, or money market funds, including Fidelity central funds (special types of investment vehicles created by Fidelity for use by the Fidelity funds and other advisory clients).

The Manager uses the Barclays U.S. Universal Bond Index (“Universal Index”) as a guide in structuring and selecting the investments of the Fidelity Total Bond ETF and selecting its investments, and in allocating the Fidelity Total Bond ETF's assets across the investment-grade, high yield, and emerging market asset classes. The Manager manages the Fidelity Total Bond ETF to have similar overall interest rate risk to the Universal Index. The Manager considers other factors when selecting the Fund's investments, including the credit quality of the issuer, security-specific features, current valuation relative to alternatives in the market, short-term trading opportunities resulting from market inefficiencies, and potential future valuation. In managing the Fund's exposure to various risks, including interest rate risk, the Manager considers, among other things, the market's overall risk characteristics, the market's current pricing of those risks, information on the Fund's competitive universe, and internal views of potential future market conditions.

As described in the Prior Total Bond Notice, the Manager may invest the Fidelity Total Bond ETF's assets in Debt Securities of foreign issuers in addition to securities of domestic issuers.

While, as described above, the Manager normally invests at least 80% of assets of Fidelity Limited Term Bond ETF in investment-grade Debt Securities (and will normally invest at least 80% of assets of the Fidelity Investment Grade Bond ETF in investment-grade Debt Securities), and the Manager normally invests at least 80% of assets of the Fidelity Total Bond ETF in Debt Securities, the Manager may invest up to 20% of a Fund's assets in other securities and financial instruments (“Other Investments,” as described in the Prior Total Bond Notice). As described in the Prior Corporate Bond Notice and Prior Total Bond Notice, as part of a Fund's Other Investments, (i.e., up to 20% of a Fund's assets), each Fund may invest in restricted securities, which are subject to legal restrictions on their sale.14

The Exchange proposes that each Fund may include Rule 144A securities within a Fund's principal investments in debt securities (i.e., debt securities in which at least 80% of a Fund's assets are invested), provided that no more than 35% of a Fund's assets may be invested in Rule 144A securities. As discussed below, the Exchange believes it is appropriate for Rule 144A securities to be included as principal investments of a Fund, subject to the 35% limitation referenced above, in view of (1) the high level of liquidity in the market for such securities compared to other debt securities asset classes, and (2) the high level of transparency in the market for Rule 144A securities, particularly in light of reporting of transaction data in such securities through the Trade Reporting and Compliance Engine (“TRACE”) operated by the Financial Industry Regulatory Authority (“FINRA”). All of the Rule 144A securities in which a Fund invests will be corporate debt securities for which transactions are reported in TRACE.

FMR has represented to the Exchange that Rule 144A securities account for approximately 20% of daily trading volume in U.S. corporate bonds. Dealers trade and report transactions in Rule 144A securities in the same manner as registered corporate bonds. While the average number of daily trades and U.S. dollar volume in registered corporate bonds is much higher than in Rule 144A securities, the average lot size is higher for Rule 144A securities.15 Specifically, the average lot size for 144A securities for the period January 1, 2015 through August 31, 2015 was approximately $2.2 million, compared to an average lot size for the same period of approximately $500,000 for registered corporate bonds.

The Exchange notes that, in 2013, the Commission approved FINRA rules relating to dissemination of information regarding transactions in Rule 144A securities in TRACE.16 Transactions executed by FINRA members became subject to dissemination through FINRA's TRACE on June 30, 2014, thus providing a level of transparency to the Rule 144A market comparable to that of registered bonds.17

The Exchange further notes that, while the proposed rule change would categorize Rule 144A securities within a Fund's principal investments in debt securities (subject to a limitation of investments in Rule 144A securities to 35% of a Fund's assets), any investments in Rule 144A securities, of course, would be required to comply with restrictions under the 1940 Act and rules thereunder relating to investment in illiquid assets. As stated in the Prior Corporate Bond Notice and Prior Total Bond Notice, each Fund may hold up to an aggregate amount of 15% of its net assets in illiquid assets (calculated at the time of investment), including Rule 144A securities deemed illiquid by the Manager or Sub-Advisers. Each Fund monitors its portfolio liquidity on an ongoing basis to determine whether, in light of current circumstances, an adequate level of liquidity is being maintained, and will consider taking appropriate steps in order to maintain adequate liquidity if, through a change in values, net assets, or other circumstances, more than 15% of a Fund's net assets are held in illiquid assets. Illiquid assets include assets subject to contractual or other restrictions on resale and other instruments that lack readily available markets as determined in accordance with Commission staff guidance.18

Moreover, as stated in the Prior Corporate Bond Notice and Prior Total Bond Notice, each Fund does not currently intend to purchase any asset if, as a result, more than 10% of its net assets would be invested in assets that are deemed to be illiquid because they are subject to legal or contractual restrictions on resale or because they cannot be sold or disposed of in the ordinary course of business at approximately the prices at which they are valued. For purposes of a Fund's illiquid assets limitation discussed above, if through a change in values, net assets, or other circumstances, a Fund were in a position where more than 10% of its net assets were invested in illiquid assets, it would consider appropriate steps to protect liquidity.

The Prior Corporate Bond Notice and Prior Total Bond Notice stated that various factors may be considered in determining the liquidity of a Fund's investments, including: (1) The frequency of trades and quotes for the asset; (2) the number of dealers wishing to purchase or sell the asset and the number of other potential purchasers; (3) dealer undertakings to make a market in the asset; and (4) the nature of the asset and the nature of the marketplace in which it trades (including any demand, put or tender features, the mechanics and other requirements for transfer, any letters of credit or other credit enhancement features, any ratings, the number of holders, the method of soliciting offers, the time required to dispose of the security, and the ability to assign or offset the rights and obligations of the asset).

The Exchange believes that the size of the Rule 144A market (approximately 20% of daily trading volume in U.S. corporate bonds), the active participation of multiple dealers utilizing trading protocols that are similar to those in the corporate bond market, and the transparency of the 144A market resulting from reporting of Rule 144A transactions in TRACE will deter manipulation in trading the Shares. The Exchange notes that all of the Rule 144A securities in which a Fund invests will be corporate debt securities for which transactions are reported in TRACE.

The Exchange represents that, except for the change described above, all other representations made in the Prior Corporate Bond Releases and the Prior Total Bond Releases remain unchanged. The Funds will continue to comply with all initial and continued listing requirements under NYSE Arca Equities Rule 8.600.

The Exchange further represents that the trading in the Shares will be subject to the existing trading surveillances administered by the Exchange, as well as cross-market surveillances administered by FINRA, on behalf of the Exchange, which are designed to detect violations of Exchange rules and applicable federal securities laws.19 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. The Exchange or FINRA, on behalf of the Exchange, or both, will communicate as needed regarding trading in the Shares and underlying exchange-traded options, futures, exchange-traded equity securities (including ADRs, EDRs, and GDRs), and other exchange-traded instruments with other markets and other entities that are members of the ISG, and the Exchange or FINRA, on behalf of the Exchange, or both, may obtain trading information regarding trading in the Shares and underlying exchange-traded options, futures, exchange-traded equity securities (including ADRs, EDRs, and GDRs), and other exchange-traded instruments from such markets and other entities. The Exchange may obtain information regarding trading in the Shares and underlying exchange-traded options, futures, exchange-traded equity securities (including ADRs, EDRs, and GDRs), and other exchange-traded instruments from markets and other entities that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement.20 FINRA, on behalf of the Exchange, is able to access, as needed, trade information for the Rule 144A securities as well as certain other fixed income securities held by the Funds reported to TRACE. In addition, as stated in the Prior Corporate Bond Releases and the Prior Total Bond Releases, investors have ready access to information regarding the Funds' holdings, the Portfolio Indicative Value, the Disclosed Portfolio, and quotation and last-sale information for the Shares.

The Exchange also represents that all statements and representations made in this filing and the Prior Corporate Bond Releases and Prior Total Bond Releases regarding (a) the description of the Funds' respective portfolios, (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 of the Funds on the Exchange. The Adviser has represented to the Exchange that it will advise the Exchange of any failure by a Fund to comply with the continued listing requirements, and, pursuant to its obligations under Section 19(g)(1) of the Act, the Exchange will monitor for compliance with the continued listing requirements. If a Fund is not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under NYSE Arca Equities Rule 5.5(m).

After careful review, the Commission finds that the Exchange's proposal, as modified by Amendment Nos. 1 and 2 thereto, is consistent with the Exchange Act and the rules and regulations thereunder applicable to a national securities exchange.21 In particular, the Commission finds that the proposed rule change, as modified by Amendment Nos. 1 and 2 thereto, is consistent with Section 6(b)(5) of the Exchange Act,22 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.

The Commission notes that transaction information relating to Rule 144A securities is available via TRACE. According to the Exchange, all of the Rule 144A securities in which a Fund invests will be corporate debt securities for which transactions are reported in TRACE. The Commission believes that limiting Rule 144A securities in which a Fund invests as principal investments to corporate debt securities for which transactions are reported to TRACE would help to promote market transparency and provide an appropriate limit on the use of 144A securities as debt securities eligible for principal investment, provided that no more than 35% of a Fund's assets may be invested in Rule 144A securities.

The Commission notes that, while the proposal would allow a Fund to consider Rule 144A securities as debt securities eligible for principal investment, subject to the 35% limitation referenced above, any investments in such securities would be required to comply with the restrictions under the 1940 Act and rules thereunder relating to investments in illiquid assets. As stated in the Prior Corporate Bond Notice and Prior Total Bond Notice, each Fund may hold up to an aggregate amount of 15% of its net assets in illiquid assets (calculated at the time of investment), including Rule 144A securities deemed illiquid by the Manager or Sub-Advisers. The Manager or Sub-Advisers, who are responsible for the day-to-day decisions regarding the liquidity of securities, may consider various factors in determining the liquidity of a Fund's investments, including: (1) The frequency of trades and quotes for the asset; (2) the number of dealers wishing to purchase or sell the asset and the number of other potential purchasers; (3) dealer undertakings to make a market in the asset; and (4) the nature of the asset and the nature of the marketplace in which it trades (including any demand, put or tender features, the mechanics and other requirements for transfer, any letters of credit or other credit enhancement features, any ratings, the number of holders, the method of soliciting offers, the time required to dispose of the security, and the ability to assign or offset the rights and obligations of the asset). Ultimately, however, a Fund's Board of Directors has responsibility for determining the liquidity of securities (including Rule 144A securities) held by a Fund.

The Commission further notes that pursuant to the 1940 Act and rules thereunder, Funds are required to monitor their respective portfolio's liquidity on an ongoing basis to determine whether, in light of current circumstances, an adequate level of liquidity is being maintained, and to consider taking appropriate steps in order to maintain adequate liquidity if, through a change in values, net assets, or other circumstances, more than 15% of a Fund's net assets are held in illiquid assets. Moreover, the Exchange represents that each Fund does not currently intend to purchase any asset if, as a result, more than 10% of its net assets would be invested in assets that are deemed to be illiquid because they are subject to legal or contractual restrictions on resale or because they cannot be sold or disposed of in the ordinary course of business at approximately the prices at which they are valued.

Importantly, the Commission notes that the Funds will continue to be listed and traded on the Exchange pursuant to the initial and continued listing criteria in NYSE Arca Equities Rule 8.600. The Exchange represents that, except for the change described above, all other representations made in the Prior Corporate Bond Releases and the Prior Total Bond Releases remain unchanged. The Commission finds that providing the Manager or Sub-Advisers of each Fund additional flexibility to consider Rule 144A securities as debt securities eligible for principal investment, given the protections discussed above, is consistent with the Act.

In support of this proposal, the Exchange represented that:

The Exchange also represents that all statements and representations made in this filing and the Prior Corporate Bond Releases and Prior Total Bond Releases regarding (a) the description of the Funds' respective portfolios, (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 of the Funds on the Exchange. In addition, the Adviser has represented to the Exchange that it will advise the Exchange of any failure by a Fund to comply with the continued listing requirements, and, pursuant to its obligations under Section 19(g)(1) of the Act, the Exchange will monitor for compliance with the continued listing requirements.23 If a Fund is not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under NYSE Arca Equities Rule 5.5(m).

This approval order is based on all of the Exchange's representations, including those set forth above and in the Notice, as modified by Amendment Nos. 1 and 2 to the proposed rule change. The Commission notes that the Funds must comply with the requirements of NYSE Arca Equities Rule 8.600 to be listed and traded on the Exchange on an initial and continuing basis.

For the foregoing reasons, the Commission finds that the proposed rule change, as modified by Amendment Nos.1 and 2 thereto, is consistent with Section 6(b)(5) of the Act 24 and the rules and regulations thereunder applicable to a national securities exchange.

It is therefore ordered, pursuant to Section 19(b)(2) of the Exchange Act,25 that the proposed rule change (SR-NYSEArca-2016-70), as modified by Amendment Nos. 1 and 2 thereto, be, and it hereby is, approved.