82 FR 16643 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Designation of a Longer Period for Commission Action on Proposed Rule Change, as Modified by Amendment No. 1, Regarding Investments of the Janus Short Duration Income ETF Listed Under NYSE Arca Equities Rule 8.600

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 82, Issue 64 (April 5, 2017)

Page Range		16643-16644
FR Document		2017-06683

Federal Register, Volume 82 Issue 64 (Wednesday, April 5, 2017)

[Federal Register Volume 82, Number 64 (Wednesday, April 5, 2017)]
[Notices]
[Pages 16643-16644]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2017-06683]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80346; File No. SR-NYSEArca-2017-09]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of 
Designation of a Longer Period for Commission Action on Proposed Rule 
Change, as Modified by Amendment No. 1, Regarding Investments of the 
Janus Short Duration Income ETF Listed Under NYSE Arca Equities Rule 
8.600

March 30, 2017.
    On January 30, 2017, 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'') \1\ 
and Rule 19b-4 thereunder,\2\ a proposed rule change regarding 
investments of the Janus Short Duration Income ETF listed under NYSE 
Arca Equities Rule 8.600. The proposed rule change was published for 
comment in the Federal Register on February 17, 2017.\3\ On March 13, 
2017, the Exchange filed Amendment No. 1 to the proposed rule 
change.\4\ The Commission received no comment letters on the proposed 
rule change.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 80028 (February 13, 
2017), 82 FR 11089.
    \4\ Amendment No. 1 is available at: https://www.sec.gov/comments/sr-nysearca-2017-09/nysearca201709-1641603-145721.pdf.
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    Section 19(b)(2) of the Act \5\ provides that within 45 days of the 
publication of notice of the filing of a proposed rule change, or 
within such longer period up to 90 days as the Commission may designate 
if it finds such longer period to be appropriate and publishes its 
reasons for so finding, or as to which the self-regulatory organization 
consents, the Commission shall either approve the proposed rule change, 
disapprove the proposed rule change, or institute proceedings to 
determine whether the proposed rule change should be disapproved. The 
45th day after publication of the notice for this proposed rule change 
is April 3, 2017. The Commission is extending this 45-day time period.
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    \5\ 15 U.S.C. 78s(b)(2).
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    The Commission finds it appropriate to designate a longer period 
within which to take action on the proposed rule change so that it has 
sufficient time to consider the proposed rule change, as modified by 
Amendment No. 1. Accordingly, the Commission, pursuant to Section 
19(b)(2) of the Act,\6\

[[Page 16644]]

designates May 18, 2017, as the date by which the Commission shall 
either approve or disapprove, or institute proceedings to determine 
whether to disapprove, the proposed rule change, as modified by 
Amendment No. 1 (File No. SR-NYSEArca-2017-09).
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    \6\ Id.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\7\
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    \7\ 17 CFR 200.30-3(a)(31).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-06683 Filed 4-4-17; 8:45 am]
 BILLING CODE 8011-01-P

Federal Register / Vol. 82, No. 64 / Wednesday, April 5, 2017 / Notices 16643

subject to the terms and conditions not banks) is appropriate in light of the SECURITIES AND EXCHANGE
stated in the Application. Among conditions and safeguards described in COMMISSION
others, the Adviser, through a the application and because the Funds
designated committee, would would remain subject to the [Release No. 34–80346; File No. SR–
administer the facility as a disinterested NYSEArca–2017–09]
requirement of section 18(f)(1) that all
fiduciary as part of its duties under the borrowings of a Fund, including
investment management agreement with Self-Regulatory Organizations; NYSE
combined interfund loans and bank Arca, Inc.; Notice of Designation of a
each Fund and would receive no borrowings, have at least 300% asset
additional fee as compensation for its Longer Period for Commission Action
coverage. on Proposed Rule Change, as Modified
services in connection with the
administration of the facility. The 6. Section 6(c) of the Act permits the by Amendment No. 1, Regarding
facility would be subject to oversight Commission to exempt any persons or Investments of the Janus Short
and certain approvals by the Funds’ transactions from any provision of the Duration Income ETF Listed Under
Board, including, among others, Act if such exemption is necessary or NYSE Arca Equities Rule 8.600
approval of the interest rate formula and appropriate in the public interest and March 30, 2017.
of the method for allocating loans across consistent with the protection of On January 30, 2017, NYSE Arca, Inc.
Funds, as well as review of the process investors and the purposes fairly (‘‘Exchange’’) filed with the Securities
in place to evaluate the liquidity intended by the policy and provisions of and Exchange Commission
implications for the Funds. A Fund’s the Act. Section 12(d)(1)(J) of the Act (‘‘Commission’’), pursuant to Section
aggregate outstanding interfund loans provides that the Commission may 19(b)(1) of the Securities Exchange Act
will not exceed 15% of its net assets, exempt any person, security, or of 1934 (‘‘Act’’) 1 and Rule 19b–4
and the Fund’s loans to any one Fund transaction, or any class or classes of thereunder,2 a proposed rule change
will not exceed 5% of the lending persons, securities, or transactions, from regarding investments of the Janus Short
Fund’s net assets.3 any provision of section 12(d)(1) if the Duration Income ETF listed under
4. Applicants assert that the facility
exemption is consistent with the public NYSE Arca Equities Rule 8.600. The
does not raise the concerns underlying
interest and the protection of investors. proposed rule change was published for
section 12(d)(1) of the Act given that the
Section 17(b) of the Act authorizes the comment in the Federal Register on
Funds are part of the same group of
Commission to grant an order February 17, 2017.3 On March 13, 2017,
investment companies and there will be
no duplicative costs or fees to the permitting a transaction otherwise the Exchange filed Amendment No. 1 to
Funds.4 Applicants also assert that the prohibited by section 17(a) if it finds the proposed rule change.4 The
proposed transactions do not raise the that (a) the terms of the proposed Commission received no comment
concerns underlying sections 17(a)(1), transaction are fair and reasonable and letters on the proposed rule change.
17(a)(3), 17(d) and 21(b) of the Act as do not involve overreaching on the part Section 19(b)(2) of the Act 5 provides
the Funds would not engage in lending of any person concerned; (b) the that within 45 days of the publication of
transactions that unfairly benefit proposed transaction is consistent with notice of the filing of a proposed rule
insiders or are detrimental to the Funds. the policies of each registered change, or within such longer period up
Applicants state that the facility will to 90 days as the Commission may
investment company involved; and (c)
offer both reduced borrowing costs and designate if it finds such longer period
the proposed transaction is consistent
enhanced returns on loaned funds to all to be appropriate and publishes its
with the general purposes of the Act. reasons for so finding, or as to which the
participating Funds and each Fund Rule 17d–1(b) under the Act provides
would have an equal opportunity to self-regulatory organization consents,
that in passing upon an application filed the Commission shall either approve the
borrow and lend on equal terms based under the rule, the Commission will
on an interest rate formula that is proposed rule change, disapprove the
consider whether the participation of proposed rule change, or institute
objective and verifiable. With respect to
the registered investment company in a proceedings to determine whether the
the relief from section 17(a)(2) of the
joint enterprise, joint arrangement or proposed rule change should be
Act, applicants note that any collateral
pledged to secure an interfund loan profit sharing plan on the basis disapproved. The 45th day after
would be subject to the same conditions proposed is consistent with the publication of the notice for this
imposed by any other lender to a Fund provisions, policies and purposes of the proposed rule change is April 3, 2017.
that imposes conditions on the quality Act and the extent to which such The Commission is extending this 45-
of or access to collateral for a borrowing participation is on a basis different from day time period.
(if the lender is another Fund) or the or less advantageous than that of the The Commission finds it appropriate
same or better conditions (in any other other participants. to designate a longer period within
circumstance).5 which to take action on the proposed
For the Commission, by the Division of
5. Applicants also believe that the Investment Management, under delegated
rule change so that it has sufficient time
limited relief from section 18(f)(1) of the authority.
to consider the proposed rule change, as
Act that is necessary to implement the modified by Amendment No. 1.
Eduardo A. Aleman, Accordingly, the Commission, pursuant
facility (because the lending Funds are
Assistant Secretary. to Section 19(b)(2) of the Act,6
3 Under certain circumstances, a borrowing Fund [FR Doc. 2017–06692 Filed 4–4–17; 8:45 am]
will be required to pledge collateral to secure the
jstallworth on DSK7TPTVN1PROD with NOTICES

BILLING CODE 8011–01–P 1 15 U.S.C. 78s(b)(1).
loan. 2 17
4 Applicants state that the obligation to repay an
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 80028
interfund loan could be deemed to constitute a
security for the purposes of sections 17(a)(1) and (February 13, 2017), 82 FR 11089.
4 Amendment No. 1 is available at: https://
12(d)(1) of the Act.
5 Applicants state that any pledge of securities to www.sec.gov/comments/sr-nysearca-2017-09/
secure an interfund loan could constitute a nysearca201709-1641603-145721.pdf.
5 15 U.S.C. 78s(b)(2).
purchase of securities for purposes of section
17(a)(2) of the Act. 6 Id.

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16644 Federal Register / Vol. 82, No. 64 / Wednesday, April 5, 2017 / Notices

designates May 18, 2017, as the date by the Advance Notice, it received three price risk associated with the securities
which the Commission shall either comment letters 4 to the Proposed Rule in a Netting Member’s Margin Portfolio.
approve or disapprove, or institute Change, of which parts pertinent to the That risk-based margin methodology
proceedings to determine whether to Advance Notice are discussed below.5 model, which FICC refers to as the
disapprove, the proposed rule change, This publication serves as notice of no ‘‘Current Volatility Calculation,’’ uses
as modified by Amendment No. 1 (File objection to the Advance Notice. historical market moves to project the
No. SR–NYSEArca–2017–09). potential gains or losses that could
I. Description of the Advance Notice occur in connection with the liquidation
For the Commission, by the Division of
Trading and Markets, pursuant to delegated The Advance Notice proposes several of a defaulting Netting Member’s Margin
authority.7 amendments to the FICC Government Portfolio.
Eduardo A. Aleman, Securities Division (‘‘GSD’’) Rulebook The Coverage Charge is calculated
(‘‘GSD Rules’’) designed to provide FICC based on the Netting Member’s daily
Assistant Secretary.
with a supplemental means to calculate backtesting results conducted by FICC.
[FR Doc. 2017–06683 Filed 4–4–17; 8:45 am]
the VaR Charge component of its GSD Backtesting is used to determine the
BILLING CODE 8011–01–P adequacy of each Netting Member’s
Netting Members’ (‘‘Netting Members’’)
daily margin requirement, known as the Required Fund Deposit and involves
‘‘Required Fund Deposit.’’ Specifically, comparing the Required Fund Deposit
SECURITIES AND EXCHANGE for each Netting Member with actual
COMMISSION under the proposal, FICC would include
a minimum volatility calculation for a price changes in the Netting Member’s
[Release No. 34–80341; File No. SR–FICC– Netting Member’s VaR Charge called the Margin Portfolio. The Coverage Charge
2017–801] ‘‘Margin Proxy.’’ FICC represents that is incorporated in the Required Fund
the Margin Proxy would enhance the Deposit for each Netting Member, and is
Self-Regulatory Organizations; Fixed risk-based model and parameters that equal to the amount necessary to
Income Clearing Corporation; Notice of FICC uses to establish Netting Members’ increase that Netting Member’s
No Objection to Advance Notice Filing Required Fund Deposits by enabling Required Fund Deposit so that the
To (1) Implement the Margin Proxy and FICC to better identify the risk posed by Netting Member’s backtesting coverage
(2) Modify the Calculation of the a Netting Member’s unsettled portfolio. may achieve the 99 percent confidence
Coverage Charge in Circumstances level required by FICC (i.e., two or fewer
Where the Margin Proxy Applies A. Overview of the Required Fund backtesting deficiency days in a rolling
Deposit twelve-month period).
March 30, 2017.
Fixed Income Clearing Corporation According to FICC, a key tool it uses B. Proposed Change to the Existing VaR
(‘‘FICC’’) filed with the U.S. Securities to manage market risk is the daily Charge Calculation
and Exchange Commission calculation and collection of Required
Fund Deposits from its Netting Under the proposal, FICC would
(‘‘Commission’’) on February 2, 2017 the create the Margin Proxy, a new,
advance notice SR–FICC–2017–801 Members. The Required Fund Deposit is
intended to mitigate potential losses to benchmarked volatility calculation of
(‘‘Advance Notice’’) pursuant to Section the VaR Charge. The Margin Proxy
806(e)(1) of the Payment, Clearing, and FICC associated with liquidation of such
Netting Member’s accounts at GSD that would act as alternative to the Current
Settlement Supervision Act of 2010 Volatility Calculation of the VaR Charge
(‘‘Clearing Supervision Act’’) 1 and Rule are used for margining purposes
(‘‘Margin Portfolio’’) in the event that to provide a minimum volatility
19b–4(n)(1)(i) 2 under the Securities calculation for each Netting Member’s
Exchange Act of 1934 (‘‘Exchange Act’’). FICC ceases to act for such Netting
VaR Charge. FICC proposes to use the
The Advance Notice was published for Member (referred to as a Netting
Margin Proxy as the VaR Charge if doing
comment in the Federal Register on Member ‘‘Default’’).
so would result in a higher Required
March 8, 2017.3 Although the A Netting Member’s Required Fund
Fund Deposit for a Netting Member than
Commission received no comments to Deposit consists of several components,
using the Current Volatility Calculation
including the VaR Charge and the
as the VaR Charge. In addition, as
7 17 CFR 200.30–3(a)(31). Coverage Charge. The VaR Charge
described in more detail below, because
1 12 U.S.C. 5465(e)(1). The Financial Stability comprises the largest portion of a
FICC’s testing shows that the Margin
Oversight Council designated FICC a systemically Netting Member’s Required Fund
important financial market utility on July 18, 2012. Proxy would, by itself, achieve a 99
Deposit amount and is calculated using
See Financial Stability Oversight Council 2012 percent confidence level for Netting
a risk-based margin methodology model
Annual Report, Appendix A, http:// Members’ backtesting coverage when
www.treasury.gov/initiatives/fsoc/Documents/ that is intended to cover the market
used in lieu of the Current Volatility
2012%20Annual%20Report.pdf. Therefore, FICC is
required to comply with the Payment, Clearing and 4 See letter from Robert E. Pooler, Chief Financial
Charge, in the event that FICC uses the
Settlement Supervision Act and file advance Officer, Ronin Capital LLC (‘‘Ronin’’), dated Margin Proxy as the VaR Charge for a
notices with the Commission. See 12 U.S.C. February 24, 2017, to Eduardo A. Aleman, Assistant Netting Member, it would reduce the
5465(e). Secretary, Commission (‘‘Ronin Letter’’); letter from Coverage Charge for that Netting
2 17 CFR 240.19b–4(n)(1)(i). Alan Levy, Managing Director, Industrial and
3 Securities Exchange Act Release No. 80139 Commercial Bank of China Financial Services LLC
Member by a commensurate amount, as
(March 2, 2017), 82 FR 13026 (March 8, 2017) (SR– (‘‘ICBCFS’’), dated February 24, 2017, to long as the Coverage Charge does not go
FICC–2017–801) (‘‘Notice’’). FICC also filed a Commission (‘‘ICBCFS Letter’’); and Timothy J. below zero.
related proposed rule change (SR–FICC–2017–001) Cuddihy, Managing Director, FICC, dated March 8, According to FICC, during the fourth
(‘‘Proposed Rule Change’’) with the Commission 2017, to Eduardo A. Aleman, Assistant Secretary, quarter of 2016, its Current Volatility
jstallworth on DSK7TPTVN1PROD with NOTICES

pursuant to Section 19(b)(1) of the Exchange Act Commission (‘‘FICC Letter’’) available at https://
and Rule 19b–4 thereunder, seeking approval of www.sec.gov/comments/sr-ficc-2017-001/ Calculation did not respond effectively
changes to its rules necessary to implement the ficc2017001.htm. to the level of market volatility at that
Advance Notice. 15 U.S.C. 78s(b)(1) and 17 CFR 5 Because the proposal contained in the Advance time, and its VaR Charge amounts
240.19b–4, respectively. The Proposed Rule Change Notice was also filed as the Proposed Rule Change, (calculated using the profit and loss
was published in the Federal Register on February see supra note 3, the Commission is considering
9, 2017. Securities Exchange Act Release No. 79958 any comment received on the Proposed Rule
scenarios generated by the Current
(February 3, 2017), 82 FR 10117 (February 9, 2017) Change also to be a comment on the Advance Volatility Calculation) did not achieve
(SR–FICC–2017–001). Notice. backtesting coverage at a 99 percent

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Document Created: 2018-02-01 14:47:11
Document Modified: 2018-02-01 14:47:11

Category		Regulatory Information
Collection		Federal Register
sudoc Class		AE 2.7: GS 4.107: AE 2.106:
Publisher		Office of the Federal Register, National Archives and Records Administration
Section		Notices
FR Citation		82 FR 16643