82_FR_8983 82 FR 8963 - Self-Regulatory Organizations; NYSE Arca, Inc.; Order Approving a Proposed Rule Change, as Modified by Amendments No. 1, No. 2, and No. 3, To List and Trade Shares of the Direxion Daily Municipal Bond Taxable Bear 1X Fund Under NYSE Arca Equities Rule 5.2(j)(3)

82 FR 8963 - Self-Regulatory Organizations; NYSE Arca, Inc.; Order Approving a Proposed Rule Change, as Modified by Amendments No. 1, No. 2, and No. 3, To List and Trade Shares of the Direxion Daily Municipal Bond Taxable Bear 1X Fund Under NYSE Arca Equities Rule 5.2(j)(3)

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 82, Issue 20 (February 1, 2017)

Page Range8963-8966
FR Document2017-02089

Federal Register, Volume 82 Issue 20 (Wednesday, February 1, 2017) 
[Federal Register Volume 82, Number 20 (Wednesday, February 1, 2017)]
[Notices]
[Pages 8963-8966]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2017-02089]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-79885; File No. SR-NYSEArca-2016-100]


Self-Regulatory Organizations; NYSE Arca, Inc.; Order Approving a 
Proposed Rule Change, as Modified by Amendments No. 1, No. 2, and No. 
3, To List and Trade Shares of the Direxion Daily Municipal Bond 
Taxable Bear 1X Fund Under NYSE Arca Equities Rule 5.2(j)(3)

January 26, 2017.

I. Introduction

    On July 13, 2016, NYSE Arca, Inc. (``Exchange'' or ``NYSE Arca'') 
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 list and trade shares (``Shares'') of the 
Direxion Daily Municipal Bond Taxable Bear 1X Fund (``Fund''), a series 
of the Direxion Shares ETF Trust (``Trust''). The proposed rule change 
was published for comment in the Federal Register on August 3, 2016.\3\ 
On September 14, 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 September 15, 2016, the Exchange filed Amendment No. 1 to 
the proposed rule change, which replaced the original filing in its 
entirety.\6\ On November 1, 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.\8\ On November 23, 
2016, the Exchange filed Amendment No. 2 to the proposed rule 
change.\9\ On January 24, 2017, the Exchange filed Amendment No. 3 to 
the proposed rule change.\10\ The Commission received no comments on 
the proposed rule change. This order approves the proposed rule change, 
as modified by Amendments No. 1, No. 2, and No. 3.
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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. 78433 (July 28, 
2016), 81 FR 51241.
    \4\ 15 U.S.C. 78s(b)(2).
    \5\ See Securities Exchange Act Release No. 78840, 81 FR 64552 
(September 20, 2016). The Commission designated November 1, 2016, as 
the date by which the Commission shall either approve or disapprove, 
or institute proceedings to determine whether to disapprove, the 
proposed rule change.
    \6\ In Amendment No. 1, the Exchange: (1) Revised the 
description of the Fund's principal investments and (2) made other 
technical amendments. Amendment No. 1 is available at https://www.sec.gov/comments/sr-nysearca-2016-100/nysearca2016100-1.pdf. 
Because Amendment No. 1 does not materially alter the substance of 
the proposed rule change or raise unique or novel regulatory issues, 
Amendment No. 1 is not subject to notice and comment.
    \7\ 15 U.S.C. 78s(b)(2)(B).
    \8\ See Securities Exchange Act Release No. 79211 (November 7, 
2016), 81 FR 78231.
    \9\ In Amendment No. 2, the Exchange clarified how securities 
would be valued and made certain technical amendments. Amendment No. 
2 is available at https://www.sec.gov/comments/sr-nysearca-2016-100/nysearca2016100-2.pdf. Because Amendment No. 2 does not materially 
alter the substance of the proposed rule change or raise unique or 
novel regulatory issues, Amendment No. 2 is not subject to notice 
and comment.
    \10\ In Amendment No. 3, the Exchange corrected the name of the 
municipal bond index from which the Index constituents are derived, 
and clarified that individual issuers that represent at least 5% of 
the weight of the Index cannot account for more than 50% of the 
weight of the Index in the aggregate. Amendment No. 3 is available 
at https://www.sec.gov/comments/sr-nysearca-2016-100/nysearca2016100-1528182-131062.pdf. Because Amendment No. 3 does not 
materially alter the substance of the proposed rule change or raise 
unique or novel regulatory issues, Amendment No. 3 is not subject to 
notice and comment.
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II. The Exchange's Description of the Proposal 11
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    \11\ Additional information regarding the Trust, the Fund, the 
underlying index, and the Shares, including investment strategies, 
risks, creation and redemption procedures, fees, portfolio holdings, 
disclosure policies, calculation of the NAV, distributions, and 
taxes, among other things, can be found in Amendment No. 1, supra 
note 6, Amendment No. 2, supra note 9, Amendment No. 3, supra note 
10, and the Registration Statement, infra note 13.
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    The Exchange proposes to list and trade the Shares under NYSE Arca

[[Page 8964]]

Equities Rule 5.2(j)(3), Commentary .02, which governs the listing and 
trading of Investment Company Units based on fixed income securities 
indexes. The Exchange submitted the proposed rule change because the 
index underlying the Fund does not satisfy the requirement set forth in 
Commentary .02(a)(2) of NYSE Arca Equities Rule 5.2(j)(3) applicable to 
the generic listing of Investment Company Units based on fixed income 
securities indexes.\12\
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    \12\ Specifically, as of May 23, 2016, only 32.75% of the weight 
of the index components had a minimum original principal amount 
outstanding of $100 million or more, and Commentary .02(a)(2) 
requires that at least 75% of the weight of an index's components 
have a minimum original principal amount outstanding of $100 million 
or more. The Exchange states that the underlying index satisfies all 
of the other requirements for generic listing. See Amendment No. 1, 
supra note 6, at 9.
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    The Fund is a series of the Trust.\13\ Rafferty Asset Management, 
LLC would be the investment adviser to the Fund. Foreside Fund 
Services, LLC would be the distributor of the Fund's Shares. The Bank 
of New York Mellon would serve as the accounting agent, custodian, and 
transfer agent for the Fund. U.S. Bancorp Fund Services, LLC would 
serve as the Fund's administrator.
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    \13\ The Trust is registered under the Investment Company Act of 
1940 (``1940 Act''). According to the Exchange, on February 29, 
2016, the Trust filed a registration statement on Form N-1A under 
the Securities Act of 1933 and the 1940 Act (File Nos. 811-22201 and 
333-150525) (``Registration Statement'').
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A. The Underlying Index

    The Standard & Poor's National AMT-Free Municipal Bond Index 
(``Index'') would be the Fund's benchmark.\14\ The Index is a broad, 
comprehensive, market value-weighted index designed to measure the 
performance of the tax-exempt, investment-grade U.S. municipal bond 
market. Index constituents are derived from the S&P Municipal Bond 
Index. To be classified as an eligible bond for inclusion in the Index, 
a bond must meet all of the following criteria on the rebalancing date: 
The bond issuer is a state, local government, or agency such that 
interest on the bond is exempt from federal income tax; a bond must 
have a rating of at least BBB-by Standard & Poor's, Baa3 by Moody's, or 
BBB by Fitch; the bond must be denominated in U.S. Dollars (``USD''); 
each bond must be a constituent of a deal where the deal's original 
offering amount was at least $100 million USD; as of the next 
rebalancing date, the bond must have a minimum term to maturity and/or 
call date greater than or equal to one calendar month plus one calendar 
day; and the bond must have a minimum par amount of $25 million USD. At 
each monthly rebalancing, no one issuer can represent more than 25% of 
the weight of the Index, and individual issuers that represent at least 
5% weight of the Index cannot account for more than 50% of the weight 
of the Index in the aggregate. Generally, the Index is reviewed and 
rebalanced on a monthly basis. The following bond types are 
specifically excluded from the Index: Bonds subject to the alternative 
minimum tax; commercial paper; derivative securities (inverse floaters, 
forwards, swaps); housing bonds; insured conduit bonds where the 
obligor is a for-profit institution; non-insured conduit bonds; non-
rated bonds; notes; taxable municipals; tobacco bonds; and variable 
rate debt.
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    \14\ S&P Dow Jones Indices is the ``Index Provider'' with 
respect to the Index. The Index Provider is not a broker-dealer or 
affiliated with a broker-dealer and has implemented procedures 
designed to prevent the use and dissemination of material, non-
public information regarding the Index.
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B. The Fund's Principal Investments

    The Fund would seek to track 100% of the inverse of the daily 
performance of the Index.\15\ Under normal circumstances, the Fund 
would create net short positions by investing at least 80% of the 
Fund's assets (plus any borrowings for investment purposes) in the 
following financial instruments (``Financial Instruments''): Options on 
exchange-traded funds (``ETFs'') \16\ and indices, traded on U.S. 
exchanges (based on aggregate gross notional value); swaps that provide 
short exposure to the securities included in the Index and various ETFs 
(based on aggregate gross notional value); and short positions in ETFs, 
as described below in this section, that, in combination, provide 
inverse exposure to the Index.
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    \15\ The Fund would not seek income that is exempt from federal, 
state, or local income taxes.
    \16\ For purposes of this filing, ETFs are Investment Company 
Units (as described in NYSE Arca Equities Rule 5.2(j)(3)); Portfolio 
Depositary Receipts (as described in NYSE Arca Equities Rule 8.100); 
and Managed Fund Shares (as described in NYSE Arca Equities Rule 
8.600) and also are securities listed on another national securities 
exchange pursuant to substantially equivalent listing rules. The 
Fund will not take short positions in inverse, leveraged, or inverse 
leveraged ETFs.
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    The Fund might invest in options that provide short exposure to the 
Index or various ETFs, including iShares National Muni Bond ETF, SPDR 
Nuveen Barclays Municipal Bond ETF, iShares Short-term National Muni 
Bond ETF, SPDR Nuveen Barclays Short-Term Municipal Bond ETF, Market 
Vectors High-Yield Municipal Index ETF, SPDR Nuveen S&P High Yield 
Municipal Bond ETF, Market Vectors AMT-Free Intermediate Municipal 
Index ETF, PowerShares National AMT-Free Municipal Bond Portfolio, 
Vanguard Tax-Exempt Bond ETF, and the PIMCO Intermediate Municipal Bond 
Active Exchange-Traded Fund (such ETFs, collectively, ``Named ETFs''). 
The Fund might also invest in swaps that provide short exposure to the 
securities included in the Index and various ETFs, including the Named 
ETFs. Finally, the Fund might take direct short positions in ETFs, such 
as the Named ETFs. The Fund would not take long positions in ETFs or 
invest in options that overlie inverse, leveraged, or inverse leveraged 
ETFs.

C. The Fund's Non-Principal Investments

    According to the Exchange, under normal circumstances, at least 80% 
of the Fund's assets will be invested in Financial Instruments to 
establish net short positions, as described above, and the Fund's 
remaining assets might be invested in cash and the following cash 
equivalents (in addition to cash or cash equivalents used to 
collateralize the Fund's investments in Financial Instruments): Money 
market funds, depository accounts with institutions with high quality 
credit ratings, U.S. government securities that have terms-to-maturity 
of less than 397 days, and repurchase agreements that have terms-to-
maturity of less than 397 days.

III. Discussion and Commission Findings

    After careful review, the Commission finds that the Exchange's 
proposal to list and trade the Shares, as modified by Amendments No. 1, 
No. 2, and No. 3, is consistent with the Exchange Act and the rules and 
regulations thereunder applicable to a national securities 
exchange.\17\ In particular, the Commission finds that the proposal to 
list and trade the Shares on the Exchange is consistent with Section 
11A(a)(1)(C)(iii) of the Exchange Act,\18\ which sets forth Congress's 
finding that it is in the public interest and appropriate for the 
protection of investors and the maintenance of fair and orderly markets 
to assure the availability to brokers, dealers, and investors of 
information with respect to quotations for, and transactions in, 
securities. According to the Exchange, quotation and last-sale 
information for the Shares will be available via the Consolidated Tape 
Association (``CTA'')

[[Page 8965]]

high-speed line, and information regarding the previous day's closing 
price for the Shares may be found in the financial section of certain 
major U.S. newspapers. Information regarding market price and trading 
volume of the Shares will be continually available on a real-time basis 
throughout the day on brokers' computer screens and other electronic 
services.
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    \17\ In approving this proposed rule change, the Commission has 
considered the proposed rule's impact on efficiency, competition, 
and capital formation. See 15 U.S.C. 78c(f).
    \18\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
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    The Commission also finds that the proposed rule change is 
consistent with Section 6(b)(5) of the Exchange Act,\19\ which 
requires, among other things, that the Exchange's rules be designed to 
prevent fraudulent and manipulative acts and practices, to promote just 
and equitable principles of trade, to remove impediments to and perfect 
the mechanism of a free and open market and a national market system, 
and, in general, to protect investors and the public interest. The 
Commission believes that the proposal to list and trade the Shares is 
reasonably designed to promote fair disclosure of information that may 
be necessary to price the Shares appropriately. The Intraday Indicative 
Value (``IIV'') for the Shares, calculated by a third party market data 
provider, will be widely disseminated at least every 15 seconds during 
the Core Trading Session \20\ by one or more major market data 
vendors.\21\ The IIV calculation will include all of the Fund's assets. 
Additionally, the portfolio of instruments held by the Fund will be 
disclosed daily on the Fund's Web site. The Fund's Web site will also 
include the prospectus for the Fund and additional data relating to the 
NAV, as well as applicable quantitative information. Quotation and 
last-sale information for U.S. exchange-listed securities will be 
available from the exchange on which they are listed. Quotation and 
last-sale information for exchange-listed options cleared via the 
Options Clearing Corporation will be available via the Options Price 
Reporting Authority. A source of price information for municipal 
securities underlying the derivatives held by the Fund is the 
Electronic Municipal Market Access, which is administered by the 
Municipal Securities Rulemaking Board. Price information for cash 
equivalents and swaps may be obtained from brokers and dealers who make 
markets in such securities or through nationally recognized pricing 
services through subscription agreements.
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    \19\ 15 U.S.C. 78f(b)(5).
    \20\ Ordinarily the Exchange's Core Trading Session is between 
9:30 a.m. and 4:00 p.m. EST.
    \21\ According to the Exchange, several major market data 
vendors display or make widely available IIVs taken from CTA or 
other data feeds.
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    The Commission also believes that the proposal is designed to 
prevent trading when a reasonable degree of transparency cannot be 
assured. The Exchange states that: (1) If the IIV or the Index values 
are not being disseminated as required, it may halt trading during the 
day in which the interruption to the dissemination of the applicable 
IIV or Index value occurs; and (2) if the interruption to the 
dissemination of the applicable IIV or Index value persists past the 
trading day in which it occurred, the Exchange will halt trading in the 
Shares.\22\ The Exchange will obtain a representation from the issuer 
of the Shares that the NAV per Share will be calculated daily and made 
available to all market participants at the same time.\23\ Under NYSE 
Arca Equities Rule 7.34(a)(5), if the Exchange becomes aware that the 
NAV is not being disseminated to all market participants at the same 
time, it will halt trading in the Shares until that time as the NAV is 
available to all market participants.
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    \22\ See Amendment No. 1, supra note 6, at 15-16.
    \23\ See id. at 16.
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    To support this proposal, the Exchange has made the following 
representations:
    (1) The Exchange deems the Shares to be equity securities, and 
therefore trading in the Shares will be subject to the Exchange's 
existing rules governing the trading of equity securities.\24\
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    \24\ See id.
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    (2) The Exchange has appropriate rules to facilitate transactions 
in the Shares during all trading sessions.\25\
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    \25\ See id.
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    (3) Trading in the Shares will be subject to the existing trading 
surveillances administered by the Exchange, as well as cross-market 
surveillances administered by the Financial Industry Regulatory 
Authority (``FINRA'') on behalf of the Exchange, which are adequate to 
properly monitor Exchange trading of the Shares in all trading sessions 
and to deter and detect violations of Exchange rules and applicable 
federal securities laws.\26\
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    \26\ See id. The Exchange states that FINRA conducts cross-
market surveillances on behalf of the Exchange pursuant to a 
regulatory services agreement, and that the Exchange is responsible 
for FINRA's performance under this regulatory services agreement. 
See id. at n.20.
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    (4) The Index and the Shares will conform to the initial and 
continued listing criteria under NYSE Arca Equities Rules 5.2(j)(3) and 
5.5(g)(2), except that the Index will not meet the requirement of 
Commentary .02(a)(2) to NYSE Arca Equities Rule 5.2(j)(3), as described 
above.\27\
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    \27\ See supra note 12.
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    (5) The Exchange, or FINRA on behalf of the Exchange, or both, will 
communicate as needed regarding trading in the Shares, ETFs, and 
options with other markets and other entities that are members of the 
Intermarket Surveillance Group (``ISG''), and the Exchange, or FINRA, 
on behalf of the Exchange, or both, may obtain trading information 
regarding trading in such securities from such markets and other 
entities.\28\ In addition, the Exchange may obtain information 
regarding trading in such securities from markets and other entities 
that are members of ISG or with which the Exchange has in place a 
comprehensive surveillance sharing agreement.\29\
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    \28\ See Amendment No. 1, supra note 6, at 17.
    \29\ See id.
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    (6) Not more than 10% of the net assets of the Fund in the 
aggregate invested in exchange-traded options shall consist of options 
whose principal market is not a member of ISG or is a market with which 
the Exchange does not have a comprehensive surveillance sharing 
agreement.
    (7) The Fund will not take short positions in inverse, leveraged, 
or inverse leveraged ETFs, or invest in options that overlie inverse, 
leveraged, or inverse leveraged ETFs.
    (8) The Fund may hold up to an aggregate amount of 15% of its net 
assets in illiquid assets. The Fund will monitor its portfolio 
liquidity on an ongoing basis to determine whether, in light of current 
circumstances, an adequate level of liquidity is being maintained, and 
will consider taking appropriate steps in order to maintain adequate 
liquidity if, through a change in values, net assets, or other 
circumstances, more than 15% of the Fund's net assets are held in 
illiquid assets.
    (9) For initial and continued listing, the Fund must be in 
compliance with Rule 10A-3 under the Exchange Act.\30\
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    \30\ See id. at 16.
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    (10) A minimum of 100,000 Shares will be outstanding at the 
commencement of trading on the Exchange.
    (11) The Index Provider is not a broker-dealer or affiliated with a 
broker-dealer and has implemented procedures designed to prevent the 
use and dissemination of material, non-public information regarding the 
Index.\31\
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    \31\ See Amendment No. 1, supra note 6, at 6-7, n.8.
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    (12) The Exchange has a general policy prohibiting the distribution 
of

[[Page 8966]]

material, non-public information by its employees.\32\
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    \32\ See id. at 15.
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    (13) Prior to the commencement of trading, the Exchange will inform 
its Equity Trading Permit Holders (``ETP Holders'') in an Information 
Bulletin (``Bulletin'') of the special characteristics and risks 
associated with trading the Shares of the Fund. Specifically, the 
Bulletin will discuss the following: (a) The procedures for purchases 
and redemptions of Shares in Creation Units (as defined in Amendment 
No. 1) (and that Shares are not individually redeemable); (b) NYSE Arca 
Equities Rule 9.2(a), which imposes a duty of due diligence on its ETP 
Holders to learn the essential facts relating to every customer prior 
to trading the Shares; (c) the risks involved in trading the Shares 
during the Opening and Late Trading Sessions (as defined in Amendment 
No. 1) when an updated IIV or Index value will not be calculated or 
publicly disseminated; (d) how information regarding the IIV and Index 
value is disseminated; (e) the requirement that ETP Holders deliver a 
prospectus to investors purchasing newly issued Shares prior to or 
concurrently with the confirmation of a transaction; and (f) trading 
information.
    (14) All statements and representations made in this filing 
regarding (a) the description of the portfolio, (b) limitations on 
portfolio holdings or reference assets, or (c) the applicability of 
Exchange rules and surveillance procedures, shall constitute continued 
listing requirements for listing the Shares on the Exchange.
    (15) The issuer has represented to the Exchange that it will advise 
the Exchange of any failure by the Fund to comply with the continued 
listing requirements, and, pursuant to its obligations under Section 
19(g)(1) of the Act, the Exchange will monitor \33\ for compliance with 
the continued listing requirements. If the Fund is not in compliance 
with the applicable listing requirements, the Exchange will commence 
delisting procedures under NYSE Arca Equities Rule 5.5(m).
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    \33\ The Commission notes that certain other proposals for the 
listing and trading of shares of other exchange-traded products 
include a representation that the exchange will ``surveil'' for 
compliance with the continued listing requirements. See, e.g., 
Securities Exchange Act Release No. 77499 (April 1, 2016), 81 FR 
20428, 20432 (April 7, 2016) (SR-BATS-2016-04). In the context of 
this representation, it is the Commission's view that ``monitor'' 
and ``surveil'' both mean ongoing oversight of the Fund's compliance 
with the continued listing requirements. Therefore, the Commission 
does not view ``monitor'' as a more or less stringent obligation 
than ``surveil'' with respect to the continued listing requirements.
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This approval order is based on all of the Exchange's representations, 
including those set forth above and in Amendments No. 1, No. 2, and No. 
3.
    For the foregoing reasons, the Commission finds that the proposed 
rule change is consistent with Section 6(b)(5) of the Exchange Act \34\ 
and Section 11A(a)(1)(C)(iii) of the Exchange Act \35\ and the rules 
and regulations thereunder applicable to a national securities 
exchange.
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    \34\ 15 U.S.C. 78f(b)(5).
    \35\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
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IV. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Exchange Act,\36\ that the proposed rule change (SR-NYSEArca-2016-100), 
as modified by Amendments No. 1, No. 2, and No. 3, be, and hereby is, 
approved.
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    \36\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\37\
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    \37\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-02089 Filed 1-31-17; 8:45 am]
BILLING CODE 8011-01-P

Federal Register / Vol. 82, No. 20 / Wednesday, February 1, 2017 / Notices 8963 in 175 issuer burden hours (annual) for whether the information will have institute proceedings to determine each exemption; practical utility; whether to disapprove the proposed • Each of the approximately 700 • Evaluate the accuracy of the rule change.5 On September 15, 2016, issuers will retain outside professional agency’s estimate of the burden of the the Exchange filed Amendment No. 1 to firms to spend an average of fifteen proposed collection of information, the proposed rule change, which minutes helping the issuer comply with including the validity of the replaced the original filing in its this requirement to obtain and collect methodology and assumptions used; entirety.6 On November 1, 2016, the the written statement of residency from • Enhance the quality, utility, and Commission instituted proceedings each purchaser in the offering at an clarity of the information to be under Section 19(b)(2)(B) of the Act 7 to average cost of $400 per hour, resulting collected; and determine whether to approve or in a cost of $100 per issuer and an • Minimize the burden of the disapprove the proposed rule change.8 aggregate of $70,000 (annual) for issuers collection of information on those who On November 23, 2016, the Exchange for each exemption; are to respond, including through the filed Amendment No. 2 to the proposed • Each Rule 147 and Rule 147A use of appropriate automated, rule change.9 On January 24, 2017, the offering will have an average of electronic, mechanical, or other Exchange filed Amendment No. 3 to the approximately 10 purchasers of technological collection techniques or proposed rule change.10 The securities, resulting in approximately other forms of information technology, Commission received no comments on 7,000 purchasers per year for each e.g., permitting electronic submission of the proposed rule change. This order exemption; and responses. approves the proposed rule change, as • Each purchaser in a Rule 147 and January 23, 2016. modified by Amendments No. 1, No. 2, Rule 147A offering will spend an and No. 3. Eduardo A. Aleman, average of approximately fifteen minutes preparing a written statement Assistant Secretary. II. The Exchange’s Description of the of residency to provide to the issuer and [FR Doc. 2017–02099 Filed 1–31–17; 8:45 am] Proposal 11 will incur no cost for the services of BILLING CODE 8011–01–P The Exchange proposes to list and outside professionals to satisfy this trade the Shares under NYSE Arca requirement, resulting in an aggregate of 2.5 hours of purchaser time per offering SECURITIES AND EXCHANGE 5 See Securities Exchange Act Release No. 78840, and purchaser burden hours of 1,750 COMMISSION 81 FR 64552 (September 20, 2016). The (annual) for each exemption. Commission designated November 1, 2016, as the [Release No. 34–79885; File No. SR– date by which the Commission shall either approve These information collections are NYSEArca–2016–100] or disapprove, or institute proceedings to determine subject to the PRA. A federal agency whether to disapprove, the proposed rule change. generally cannot conduct or sponsor a Self-Regulatory Organizations; NYSE 6 In Amendment No. 1, the Exchange: (1) Revised collection of information, and the public Arca, Inc.; Order Approving a the description of the Fund’s principal investments is generally not required to respond to Proposed Rule Change, as Modified by and (2) made other technical amendments. Amendment No. 1 is available at https:// an information collection, unless it is Amendments No. 1, No. 2, and No. 3, www.sec.gov/comments/sr-nysearca-2016-100/ approved by the OMB under the PRA To List and Trade Shares of the nysearca2016100-1.pdf. Because Amendment No. 1 and displays a currently valid OMB Direxion Daily Municipal Bond Taxable does not materially alter the substance of the Control Number. In addition, Bear 1X Fund Under NYSE Arca proposed rule change or raise unique or novel regulatory issues, Amendment No. 1 is not subject notwithstanding any other provisions of Equities Rule 5.2(j)(3) to notice and comment. law, no person shall generally be subject 7 15 U.S.C. 78s(b)(2)(B). January 26, 2017. to penalty for failing to comply with a 8 See Securities Exchange Act Release No. 79211 collection of information if the I. Introduction (November 7, 2016), 81 FR 78231. 9 In Amendment No. 2, the Exchange clarified collection of information does not On July 13, 2016, NYSE Arca, Inc. how securities would be valued and made certain display a valid OMB Control Number.8 (‘‘Exchange’’ or ‘‘NYSE Arca’’) filed technical amendments. Amendment No. 2 is The SEC is seeking OMB approval for with the Securities and Exchange available at https://www.sec.gov/comments/sr- these information collections under Commission (‘‘Commission’’), pursuant nysearca-2016-100/nysearca2016100-2.pdf. Because OMB ICR Reference Numbers 201701– Amendment No. 2 does not materially alter the to Section 19(b)(1) of the Securities substance of the proposed rule change or raise 3235–005 and 201701–3235–006 for Exchange Act of 1934 (‘‘Act’’ or unique or novel regulatory issues, Amendment No. Rules 147 and 147A, respectively. ‘‘Exchange Act’’) 1 and Rule 19b–4 2 is not subject to notice and comment. Interested parties are encouraged to thereunder,2 a proposed rule change to 10 In Amendment No. 3, the Exchange corrected send comments to the OMB, Office of list and trade shares (‘‘Shares’’) of the the name of the municipal bond index from which Information and Regulatory Affairs at the Index constituents are derived, and clarified Direxion Daily Municipal Bond Taxable that individual issuers that represent at least 5% of the address shown in the ADDRESSES Bear 1X Fund (‘‘Fund’’), a series of the the weight of the Index cannot account for more section within 30 days of publication of Direxion Shares ETF Trust (‘‘Trust’’). than 50% of the weight of the Index in the this notice in the Federal Register. In The proposed rule change was aggregate. Amendment No. 3 is available at https:// order to help ensure appropriate www.sec.gov/comments/sr-nysearca-2016-100/ published for comment in the Federal nysearca2016100-1528182-131062.pdf. Because consideration, comments should Register on August 3, 2016.3 On Amendment No. 3 does not materially alter the reference OMB ICR Reference 201701– September 14, 2016, pursuant to Section substance of the proposed rule change or raise 3235–005 and 201701–3235–006 for 19(b)(2) of the Act,4 the Commission unique or novel regulatory issues, Amendment No. Rules 147 and 147A, respectively. The 3 is not subject to notice and comment. designated a longer period within which 11 Additional information regarding the Trust, the sradovich on DSK3GMQ082PROD with NOTICES OMB is particularly interested in to approve the proposed rule change, Fund, the underlying index, and the Shares, comments that: disapprove the proposed rule change, or including investment strategies, risks, creation and • Evaluate whether the proposed redemption procedures, fees, portfolio holdings, collection of information is necessary 1 15 U.S.C. 78s(b)(1). disclosure policies, calculation of the NAV, for the proper performance of the distributions, and taxes, among other things, can be 2 17 CFR 240.19b–4. found in Amendment No. 1, supra note 6, functions of the agency, including 3 See Securities Exchange Act Release No. 78433 Amendment No. 2, supra note 9, Amendment No. (July 28, 2016), 81 FR 51241. 3, supra note 10, and the Registration Statement, 8 See 5 CFR 1320.5(a) and 1320.6. 4 15 U.S.C. 78s(b)(2). infra note 13. 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8964 Federal Register / Vol. 82, No. 20 / Wednesday, February 1, 2017 / Notices Equities Rule 5.2(j)(3), Commentary .02, rebalancing date, the bond must have a Intermediate Municipal Index ETF, which governs the listing and trading of minimum term to maturity and/or call PowerShares National AMT-Free Investment Company Units based on date greater than or equal to one Municipal Bond Portfolio, Vanguard fixed income securities indexes. The calendar month plus one calendar day; Tax-Exempt Bond ETF, and the PIMCO Exchange submitted the proposed rule and the bond must have a minimum par Intermediate Municipal Bond Active change because the index underlying amount of $25 million USD. At each Exchange-Traded Fund (such ETFs, the Fund does not satisfy the monthly rebalancing, no one issuer can collectively, ‘‘Named ETFs’’). The Fund requirement set forth in Commentary represent more than 25% of the weight might also invest in swaps that provide .02(a)(2) of NYSE Arca Equities Rule of the Index, and individual issuers that short exposure to the securities 5.2(j)(3) applicable to the generic listing represent at least 5% weight of the included in the Index and various ETFs, of Investment Company Units based on Index cannot account for more than including the Named ETFs. Finally, the fixed income securities indexes.12 50% of the weight of the Index in the Fund might take direct short positions The Fund is a series of the Trust.13 aggregate. Generally, the Index is in ETFs, such as the Named ETFs. The Rafferty Asset Management, LLC would reviewed and rebalanced on a monthly Fund would not take long positions in be the investment adviser to the Fund. basis. The following bond types are ETFs or invest in options that overlie Foreside Fund Services, LLC would be specifically excluded from the Index: inverse, leveraged, or inverse leveraged the distributor of the Fund’s Shares. The Bonds subject to the alternative ETFs. Bank of New York Mellon would serve minimum tax; commercial paper; C. The Fund’s Non-Principal as the accounting agent, custodian, and derivative securities (inverse floaters, Investments transfer agent for the Fund. U.S. forwards, swaps); housing bonds; Bancorp Fund Services, LLC would insured conduit bonds where the According to the Exchange, under serve as the Fund’s administrator. obligor is a for-profit institution; non- normal circumstances, at least 80% of insured conduit bonds; non-rated the Fund’s assets will be invested in A. The Underlying Index bonds; notes; taxable municipals; Financial Instruments to establish net The Standard & Poor’s National AMT- tobacco bonds; and variable rate debt. short positions, as described above, and Free Municipal Bond Index (‘‘Index’’) the Fund’s remaining assets might be would be the Fund’s benchmark.14 The B. The Fund’s Principal Investments invested in cash and the following cash Index is a broad, comprehensive, market The Fund would seek to track 100% equivalents (in addition to cash or cash value-weighted index designed to of the inverse of the daily performance equivalents used to collateralize the measure the performance of the tax- of the Index.15 Under normal Fund’s investments in Financial exempt, investment-grade U.S. circumstances, the Fund would create Instruments): Money market funds, municipal bond market. Index net short positions by investing at least depository accounts with institutions constituents are derived from the S&P 80% of the Fund’s assets (plus any with high quality credit ratings, U.S. Municipal Bond Index. To be classified borrowings for investment purposes) in government securities that have terms- as an eligible bond for inclusion in the the following financial instruments to-maturity of less than 397 days, and Index, a bond must meet all of the (‘‘Financial Instruments’’): Options on repurchase agreements that have terms- following criteria on the rebalancing exchange-traded funds (‘‘ETFs’’) 16 and to-maturity of less than 397 days. date: The bond issuer is a state, local indices, traded on U.S. exchanges III. Discussion and Commission government, or agency such that interest (based on aggregate gross notional Findings on the bond is exempt from federal value); swaps that provide short income tax; a bond must have a rating exposure to the securities included in After careful review, the Commission of at least BBB-by Standard & Poor’s, the Index and various ETFs (based on finds that the Exchange’s proposal to list Baa3 by Moody’s, or BBB by Fitch; the aggregate gross notional value); and and trade the Shares, as modified by bond must be denominated in U.S. short positions in ETFs, as described Amendments No. 1, No. 2, and No. 3, Dollars (‘‘USD’’); each bond must be a below in this section, that, in is consistent with the Exchange Act and constituent of a deal where the deal’s combination, provide inverse exposure the rules and regulations thereunder original offering amount was at least to the Index. applicable to a national securities The Fund might invest in options that exchange.17 In particular, the $100 million USD; as of the next provide short exposure to the Index or Commission finds that the proposal to 12 Specifically, as of May 23, 2016, only 32.75% various ETFs, including iShares list and trade the Shares on the of the weight of the index components had a National Muni Bond ETF, SPDR Nuveen Exchange is consistent with Section minimum original principal amount outstanding of Barclays Municipal Bond ETF, iShares 11A(a)(1)(C)(iii) of the Exchange Act,18 $100 million or more, and Commentary .02(a)(2) which sets forth Congress’s finding that requires that at least 75% of the weight of an Short-term National Muni Bond ETF, SPDR Nuveen Barclays Short-Term it is in the public interest and index’s components have a minimum original principal amount outstanding of $100 million or Municipal Bond ETF, Market Vectors appropriate for the protection of more. The Exchange states that the underlying High-Yield Municipal Index ETF, SPDR investors and the maintenance of fair index satisfies all of the other requirements for Nuveen S&P High Yield Municipal and orderly markets to assure the generic listing. See Amendment No. 1, supra note availability to brokers, dealers, and 6, at 9. Bond ETF, Market Vectors AMT-Free 13 The Trust is registered under the Investment investors of information with respect to Company Act of 1940 (‘‘1940 Act’’). According to 15 The Fund would not seek income that is quotations for, and transactions in, the Exchange, on February 29, 2016, the Trust filed exempt from federal, state, or local income taxes. securities. According to the Exchange, a registration statement on Form N–1A under the 16 For purposes of this filing, ETFs are Investment quotation and last-sale information for sradovich on DSK3GMQ082PROD with NOTICES Securities Act of 1933 and the 1940 Act (File Nos. Company Units (as described in NYSE Arca the Shares will be available via the 811–22201 and 333–150525) (‘‘Registration Equities Rule 5.2(j)(3)); Portfolio Depositary Statement’’). Receipts (as described in NYSE Arca Equities Rule Consolidated Tape Association (‘‘CTA’’) 14 S&P Dow Jones Indices is the ‘‘Index Provider’’ 8.100); and Managed Fund Shares (as described in with respect to the Index. The Index Provider is not NYSE Arca Equities Rule 8.600) and also are 17 In approving this proposed rule change, the a broker-dealer or affiliated with a broker-dealer securities listed on another national securities Commission has considered the proposed rule’s and has implemented procedures designed to exchange pursuant to substantially equivalent impact on efficiency, competition, and capital prevent the use and dissemination of material, non- listing rules. The Fund will not take short positions formation. See 15 U.S.C. 78c(f). public information regarding the Index. in inverse, leveraged, or inverse leveraged ETFs. 18 15 U.S.C. 78k–1(a)(1)(C)(iii). VerDate Sep<11>2014 16:23 Jan 31, 2017 Jkt 241001 PO 00000 Frm 00056 Fmt 4703 Sfmt 4703 E:\FR\FM\01FEN1.SGM 01FEN1

Federal Register / Vol. 82, No. 20 / Wednesday, February 1, 2017 / Notices 8965 high-speed line, and information nationally recognized pricing services NYSE Arca Equities Rule 5.2(j)(3), as regarding the previous day’s closing through subscription agreements. described above.27 price for the Shares may be found in the The Commission also believes that the (5) The Exchange, or FINRA on behalf financial section of certain major U.S. proposal is designed to prevent trading of the Exchange, or both, will newspapers. Information regarding when a reasonable degree of communicate as needed regarding market price and trading volume of the transparency cannot be assured. The trading in the Shares, ETFs, and options Shares will be continually available on Exchange states that: (1) If the IIV or the with other markets and other entities a real-time basis throughout the day on Index values are not being disseminated that are members of the Intermarket brokers’ computer screens and other as required, it may halt trading during Surveillance Group (‘‘ISG’’), and the electronic services. the day in which the interruption to the Exchange, or FINRA, on behalf of the The Commission also finds that the dissemination of the applicable IIV or Exchange, or both, may obtain trading proposed rule change is consistent with Index value occurs; and (2) if the information regarding trading in such Section 6(b)(5) of the Exchange Act,19 interruption to the dissemination of the securities from such markets and other applicable IIV or Index value persists entities.28 In addition, the Exchange which requires, among other things, that past the trading day in which it may obtain information regarding the Exchange’s rules be designed to occurred, the Exchange will halt trading trading in such securities from markets prevent fraudulent and manipulative in the Shares.22 The Exchange will and other entities that are members of acts and practices, to promote just and obtain a representation from the issuer ISG or with which the Exchange has in equitable principles of trade, to remove of the Shares that the NAV per Share place a comprehensive surveillance impediments to and perfect the will be calculated daily and made sharing agreement.29 mechanism of a free and open market available to all market participants at (6) Not more than 10% of the net and a national market system, and, in the same time.23 Under NYSE Arca assets of the Fund in the aggregate general, to protect investors and the invested in exchange-traded options public interest. The Commission Equities Rule 7.34(a)(5), if the Exchange becomes aware that the NAV is not shall consist of options whose principal believes that the proposal to list and market is not a member of ISG or is a being disseminated to all market trade the Shares is reasonably designed market with which the Exchange does participants at the same time, it will halt to promote fair disclosure of not have a comprehensive surveillance trading in the Shares until that time as information that may be necessary to sharing agreement. the NAV is available to all market price the Shares appropriately. The (7) The Fund will not take short participants. Intraday Indicative Value (‘‘IIV’’) for the positions in inverse, leveraged, or Shares, calculated by a third party To support this proposal, the Exchange has made the following inverse leveraged ETFs, or invest in market data provider, will be widely options that overlie inverse, leveraged, disseminated at least every 15 seconds representations: (1) The Exchange deems the Shares to or inverse leveraged ETFs. during the Core Trading Session 20 by (8) The Fund may hold up to an one or more major market data be equity securities, and therefore trading in the Shares will be subject to aggregate amount of 15% of its net vendors.21 The IIV calculation will assets in illiquid assets. The Fund will include all of the Fund’s assets. the Exchange’s existing rules governing the trading of equity securities.24 monitor its portfolio liquidity on an Additionally, the portfolio of ongoing basis to determine whether, in instruments held by the Fund will be (2) The Exchange has appropriate rules to facilitate transactions in the light of current circumstances, an disclosed daily on the Fund’s Web site. adequate level of liquidity is being The Fund’s Web site will also include Shares during all trading sessions.25 maintained, and will consider taking the prospectus for the Fund and (3) Trading in the Shares will be appropriate steps in order to maintain additional data relating to the NAV, as subject to the existing trading adequate liquidity if, through a change well as applicable quantitative surveillances administered by the in values, net assets, or other information. Quotation and last-sale Exchange, as well as cross-market circumstances, more than 15% of the information for U.S. exchange-listed surveillances administered by the Fund’s net assets are held in illiquid securities will be available from the Financial Industry Regulatory Authority assets. exchange on which they are listed. (‘‘FINRA’’) on behalf of the Exchange, (9) For initial and continued listing, Quotation and last-sale information for which are adequate to properly monitor the Fund must be in compliance with exchange-listed options cleared via the Exchange trading of the Shares in all Rule 10A–3 under the Exchange Act.30 Options Clearing Corporation will be trading sessions and to deter and detect (10) A minimum of 100,000 Shares available via the Options Price violations of Exchange rules and will be outstanding at the Reporting Authority. A source of price applicable federal securities laws.26 commencement of trading on the information for municipal securities (4) The Index and the Shares will Exchange. underlying the derivatives held by the conform to the initial and continued (11) The Index Provider is not a Fund is the Electronic Municipal listing criteria under NYSE Arca broker-dealer or affiliated with a broker- Market Access, which is administered Equities Rules 5.2(j)(3) and 5.5(g)(2), dealer and has implemented procedures by the Municipal Securities Rulemaking except that the Index will not meet the designed to prevent the use and Board. Price information for cash requirement of Commentary .02(a)(2) to dissemination of material, non-public equivalents and swaps may be obtained information regarding the Index.31 22 See Amendment No. 1, supra note 6, at 15–16. from brokers and dealers who make (12) The Exchange has a general sradovich on DSK3GMQ082PROD with NOTICES 23 See id. at 16. markets in such securities or through 24 See id. policy prohibiting the distribution of 25 See id. 19 15 27 See supra note 12. U.S.C. 78f(b)(5). 26 See id. The Exchange states that FINRA 20 Ordinarily 28 See Amendment No. 1, supra note 6, at 17. the Exchange’s Core Trading conducts cross-market surveillances on behalf of 29 See id. Session is between 9:30 a.m. and 4:00 p.m. EST. the Exchange pursuant to a regulatory services 21 According to the Exchange, several major 30 See id. at 16. agreement, and that the Exchange is responsible for market data vendors display or make widely FINRA’s performance under this regulatory services 31 See Amendment No. 1, supra note 6, at 6–7, available IIVs taken from CTA or other data feeds. agreement. See id. at n.20. n.8. VerDate Sep<11>2014 16:23 Jan 31, 2017 Jkt 241001 PO 00000 Frm 00057 Fmt 4703 Sfmt 4703 E:\FR\FM\01FEN1.SGM 01FEN1

8966 Federal Register / Vol. 82, No. 20 / Wednesday, February 1, 2017 / Notices material, non-public information by its commence delisting procedures under under certain circumstances, more than employees.32 NYSE Arca Equities Rule 5.5(m). seven days after the tender of shares for (13) Prior to the commencement of This approval order is based on all of redemption; (d) certain affiliated trading, the Exchange will inform its the Exchange’s representations, persons of a Fund to deposit securities Equity Trading Permit Holders (‘‘ETP including those set forth above and in into, and receive securities from, the Holders’’) in an Information Bulletin Amendments No. 1, No. 2, and No. 3. Fund in connection with the purchase (‘‘Bulletin’’) of the special For the foregoing reasons, the and redemption of Creation Units; (e) Commission finds that the proposed certain registered management characteristics and risks associated with rule change is consistent with Section investment companies and unit trading the Shares of the Fund. 6(b)(5) of the Exchange Act 34 and investment trusts outside of the same Specifically, the Bulletin will discuss Section 11A(a)(1)(C)(iii) of the Exchange group of investment companies as the the following: (a) The procedures for Act 35 and the rules and regulations Funds (‘‘Funds of Funds’’) to acquire purchases and redemptions of Shares in thereunder applicable to a national shares of the Funds; and (f) certain Creation Units (as defined in securities exchange. Funds (‘‘Feeder Funds’’) to create and Amendment No. 1) (and that Shares are redeem Creation Units in-kind in a not individually redeemable); (b) NYSE IV. Conclusion master-feeder structure. Arca Equities Rule 9.2(a), which It is therefore ordered, pursuant to imposes a duty of due diligence on its Section 19(b)(2) of the Exchange Act,36 APPLICANTS: StrongVest ETF Trust (the ETP Holders to learn the essential facts that the proposed rule change (SR– ‘‘Trust’’), a Delaware statutory trust, relating to every customer prior to NYSEArca–2016–100), as modified by which will be registered under the Act trading the Shares; (c) the risks involved Amendments No. 1, No. 2, and No. 3, as an open-end management investment in trading the Shares during the be, and hereby is, approved. company with multiple series, Opening and Late Trading Sessions (as StrongVest Global Advisors, LLC (the defined in Amendment No. 1) when an For the Commission, by the Division of Trading and Markets, pursuant to delegated ‘‘Initial Adviser’’), a Delaware limited updated IIV or Index value will not be liability company, which will be authority.37 calculated or publicly disseminated; (d) registered as an investment adviser Eduardo A. Aleman, how information regarding the IIV and under the Investment Advisers Act of Index value is disseminated; (e) the Assistant Secretary. 1940, and Quasar Distributors, LLC (the requirement that ETP Holders deliver a [FR Doc. 2017–02089 Filed 1–31–17; 8:45 am] ‘‘Distributor’’), a Delaware limited prospectus to investors purchasing BILLING CODE 8011–01–P liability company and broker-dealer newly issued Shares prior to or registered under the Securities concurrently with the confirmation of a Exchange Act of 1934 (‘‘Exchange Act’’). transaction; and (f) trading information. SECURITIES AND EXCHANGE FILING DATES: The application was filed COMMISSION (14) All statements and on September 20, 2016 and amended on representations made in this filing [Investment Company Act Release No. January 12, 2017. regarding (a) the description of the 32453; 812–14700] HEARING OR NOTIFICATION OF HEARING: portfolio, (b) limitations on portfolio An order granting the requested relief holdings or reference assets, or (c) the StrongVest ETF Trust, et al.; Notice of will be issued unless the Commission applicability of Exchange rules and Application orders a hearing. Interested persons may surveillance procedures, shall constitute January 26, 2017. request a hearing by writing to the continued listing requirements for Commission’s Secretary and serving AGENCY: Securities and Exchange listing the Shares on the Exchange. applicants with a copy of the request, Commission (‘‘Commission’’). (15) The issuer has represented to the personally or by mail. Hearing requests ACTION: Notice of an application for an Exchange that it will advise the should be received by the Commission order under section 6(c) of the by 5:30 p.m. on February 21, 2017, and Exchange of any failure by the Fund to Investment Company Act of 1940 (the comply with the continued listing should be accompanied by proof of ‘‘Act’’) for an exemption from sections service on applicants, in the form of an requirements, and, pursuant to its 2(a)(32), 5(a)(1), 22(d), and 22(e) of the obligations under Section 19(g)(1) of the affidavit, or for lawyers, a certificate of Act and rule 22c–1 under the Act, under service. Pursuant to rule 0–5 under the Act, the Exchange will monitor 33 for sections 6(c) and 17(b) of the Act for an compliance with the continued listing Act, hearing requests should state the exemption from sections 17(a)(1) and nature of the writer’s interest, any facts requirements. If the Fund is not in 17(a)(2) of the Act, and under section compliance with the applicable listing bearing upon the desirability of a 12(d)(1)(J) for an exemption from hearing on the matter, the reason for the requirements, the Exchange will sections 12(d)(1)(A) and 12(d)(1)(B) of request, and the issues contested. the Act. The requested order would Persons who wish to be notified of a 32 See id. at 15. permit (a) index-based series of certain hearing may request notification by 33 The Commission notes that certain other proposals for the listing and trading of shares of open-end management investment writing to the Commission’s Secretary. other exchange-traded products include a companies (‘‘Funds’’) to issue shares ADDRESSES: Secretary, Securities and representation that the exchange will ‘‘surveil’’ for redeemable in large aggregations only compliance with the continued listing Exchange Commission, 100 F Street NE., (‘‘Creation Units’’); (b) secondary market requirements. See, e.g., Securities Exchange Act Washington, DC 20549–1090; transactions in Fund shares to occur at Release No. 77499 (April 1, 2016), 81 FR 20428, Applicants: The Trust and Initial sradovich on DSK3GMQ082PROD with NOTICES 20432 (April 7, 2016) (SR–BATS–2016–04). In the negotiated market prices rather than at Adviser, 106 Corporate Park Drive, context of this representation, it is the net asset value (‘‘NAV’’); (c) certain Commission’s view that ‘‘monitor’’ and ‘‘surveil’’ Mooresville, NC 28117; the Distributor, Funds to pay redemption proceeds, both mean ongoing oversight of the Fund’s 615 East Michigan Street, Milwaukee, compliance with the continued listing 34 15 U.S.C. 78f(b)(5). WI 53202. requirements. Therefore, the Commission does not 35 15 U.S.C. 78k–1(a)(1)(C)(iii). FOR FURTHER INFORMATION CONTACT: Hae- view ‘‘monitor’’ as a more or less stringent obligation than ‘‘surveil’’ with respect to the 36 15 U.S.C. 78s(b)(2). Sung Lee, Attorney-Adviser, at (202) continued listing requirements. 37 17 CFR 200.30–3(a)(12). 551–7345, or Mary Kay Frech, Branch VerDate Sep<11>2014 16:23 Jan 31, 2017 Jkt 241001 PO 00000 Frm 00058 Fmt 4703 Sfmt 4703 E:\FR\FM\01FEN1.SGM 01FEN1


Document Created: 2017-02-01 00:05:58
Document Modified: 2017-02-01 00:05:58
CategoryRegulatory Information
CollectionFederal Register
sudoc ClassAE 2.7:
GS 4.107:
AE 2.106:
PublisherOffice of the Federal Register, National Archives and Records Administration
SectionNotices
DatesThe bond issuer is a state, local government, or agency such that interest on the bond is exempt from federal income tax; a bond must have a rating of at least BBB-by Standard & Poor's, Baa3 by Moody's, or BBB by Fitch; the bond must be denominated in U.S. Dollars (``USD''); each bond must be a constituent of a deal where the deal's original offering amount was at least $100 million USD; as of the next rebalancing date, the bond must have a minimum term to maturity and/or call date greater than or equal to one calendar month plus one calendar day; and the bond must have a minimum par amount of $25 million USD. At each monthly rebalancing, no one issuer can represent more than 25% of the weight of the Index, and individual issuers that represent at least 5% weight of the Index cannot account for more than 50% of the weight of the Index in the aggregate. Generally, the Index is reviewed and rebalanced on a monthly basis. The following bond types are specifically excluded from the Index: Bonds subject to the alternative minimum tax; commercial paper; derivative securities (inverse floaters, forwards, swaps); housing bonds; insured conduit bonds where the obligor is a for-profit institution; non-insured conduit bonds; non- rated bonds; notes; taxable municipals; tobacco bonds; and variable rate debt.
FR Citation82 FR 8963 
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