Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of Proposed Rule Change Relating to Listing and Trading of the First Trust CBOE VIX Tail Hedge Index Fund Under NYSE Arca Equities Rule 5.2(j)(3), 34102-34107 [2012-13964]
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34102
Federal Register / Vol. 77, No. 111 / Friday, June 8, 2012 / Notices
Sunshine Act, Public Law 94–409, that
the Securities and Exchange
Commission held a Closed Meeting on
Monday, June 4, 2012 at 3:00 p.m.
The General Counsel of the
Commission, or his designee, has
certified that, in his opinion, one or
more of the exemptions as set forth in
5 U.S.C. 552b(c)(2), (6), (8) and (9)(A)
and 17 CFR 200.402(a)(2), (6), (8) and
(9)(A) permit consideration of the
scheduled matters at the Closed
Meeting. Certain staff members who had
an interest in the matters were present.
Commissioner Walter, as duty officer,
voted to consider the items listed for the
Closed Meeting in a closed session, and
determined that no earlier notice thereof
was possible.
The subject matters of the Closed
Meeting on June 4, 2012 were a matter
related to financial institutions and
markets and a personnel matter.
At times, changes in Commission
priorities require alterations in the
scheduling of meeting items. For further
information and to ascertain what, if
any, matters have been added, deleted
or postponed, please contact the Office
of the Secretary at (202) 551–5400.
Dated: June 5, 2012.
Elizabeth M. Murphy,
Secretary.
proposed rule change from interested
persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to list and
trade shares (‘‘Shares’’) of the First Trust
CBOE VIX Tail Hedge Index Fund under
NYSE Arca Equities Rule 5.2(j)(3). The
text of 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.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
self-regulatory organization included
statements concerning the purpose of,
and basis for, the proposed rule change
and discussed any comments it received
on the proposed rule change. The text
of those statements may be examined at
the places specified in Item IV below.
The Exchange has prepared summaries,
set forth in sections A, B, and C below,
of the most significant parts of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
[FR Doc. 2012–14031 Filed 6–6–12; 11:15 am]
BILLING CODE 8011–01–P
1. Purpose
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–67107; File No. SR–
NYSEArca–2012–50]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing of Proposed
Rule Change Relating to Listing and
Trading of the First Trust CBOE VIX
Tail Hedge Index Fund Under NYSE
Arca Equities Rule 5.2(j)(3)
The Exchange proposes to list and
trade the Shares of the First Trust CBOE
VIX Tail Hedge Index Fund (‘‘Fund’’)
under NYSE Arca Equities Rule 5.2(j)(3),
the Exchange’s listing standards for
Investment Company Units (‘‘Units’’).3
The Shares will be offered by First
Trust Exchange-Traded Fund (‘‘Trust’’),
which is organized as a Massachusetts
business trust and is registered with the
Commission as an open-end
management investment company.4 The
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June 4, 2012.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (‘‘Act’’
or ‘‘Exchange Act’’) 1 and Rule 19b–4
thereunder,2 notice is hereby given that,
on May 25, 2012, NYSE Arca, Inc.
(‘‘Exchange’’ or ‘‘NYSE Arca’’ or
‘‘Corporation’’) 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
substantially prepared by the Exchange.
The Commission is publishing this
notice to solicit comments on the
1 15
2 17
U.S.C. 78s(b)(1).
CFR 240.19b–4.
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3 An Investment Company Unit is a security that
represents an interest in a registered investment
company that holds securities comprising, or
otherwise based on or representing an interest in,
an index or portfolio of securities (or holds
securities in another registered investment
company that holds securities comprising, or
otherwise based on or representing an interest in,
an index or portfolio of securities). See NYSE Arca
Equities Rule 5.2(j)(3)(A).
4 The Trust is registered under the Investment
Company Act of 1940 (15 U.S.C. 80a–1) (‘‘1940
Act’’). On October 17, 2011, the Trust filed with the
Commission an amendment to the Trust’s
registration statement on Form N–1A under the
Securities Act of 1933 (15 U.S.C. 77a), and under
the 1940 Act relating to the Fund (File Nos. 333–
125751 and 811–21774) (‘‘Registration Statement’’).
The description of the operation of the Trust and
the Fund herein is based, in part, on the
Registration Statement. In addition, the
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investment adviser to the Fund will be
First Trust Advisors L.P. (‘‘Adviser’’ or
‘‘First Trust’’). First Trust Portfolios L.P.
(‘‘Distributor’’) will be the principal
underwriter and distributor of the
Fund’s Shares. The Bank of New York
Mellon Corporation (‘‘BNY’’) will serve
as administrator, custodian, and transfer
agent for the Fund (‘‘Custodian’’).
According to the Registration
Statement, the Fund will seek
investment results that correspond
generally to the price and yield, before
the Fund’s fees and expenses, of an
equity index called the CBOE S&P VIX
Tail Hedge Index (‘‘Index’’). The Fund
will normally invest at least 90% of its
net assets (plus the amount of any
borrowings for investment purposes) in
common stocks included in the Index.
In addition, the Fund will normally
invest 0.0% to 1.0% of its net assets in
VIX call options, as described below.
The Exchange is submitting this
proposed rule change because the Index
for the Fund does not meet all of the
‘‘generic’’ listing requirements of
Commentary .01(a)(A) to NYSE Arca
Equities Rule 5.2(j)(3) applicable to the
listing of Units based upon an index of
US Component Stocks.5 Specifically,
Commentary .01(a)(A) to NYSE Arca
Equities Rule 5.2(j)(3) 6 sets forth the
requirements to be met by components
of an index or portfolio of US
Component Stocks. As described further
below, the Index consists of an S&P 500
Index stock portfolio and a position in
specified VIX Index (‘‘VIX’’) call
options.7 The Index meets all
requirements of NYSE Arca Equities
Rule 5.2(j)(3) and Commentary .01(a)(A)
thereto except that the Index includes
VIX call options, which are not NMS
Stocks as defined in Rule 600 of
Regulation NMS. As described below,
the Index is predominately S&P 500
companies and includes an exposure to
Commission has issued an order granting certain
exemptive relief to the Trust under the 1940 Act.
See Investment Company Act Release No. 27068
(September 20, 2005) (File No. 812–13000)
(‘‘Exemptive Order’’).
5 NYSE Arca Equities Rule 5.2(j)(3) provides that
the term ‘‘US Component Stock’’ shall mean an
equity security that is registered under Sections
12(b) or 12(g) of the Exchange Act or an American
Depositary Receipt, the underlying equity security
of which is registered under Sections 12(b) or 12(g)
of the Exchange Act.
6 Commentary .01(a)(A) to NYSE Arca Equities
Rule 5.2(j)(3) states, in part, that the components of
an index of US Component Stocks, upon the initial
listing of a series of Units pursuant to Rule 19b–
4(e) under the Exchange Act, shall be NMS Stocks
as defined in Rule 600 of Regulation NMS under the
Exchange Act.
7 According to the Registration Statement, the VIX
Index is a measure of estimated near-term future
volatility based upon the weighted average of the
implied volatilities of near-term put and call
options on the S&P 500.
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Federal Register / Vol. 77, No. 111 / Friday, June 8, 2012 / Notices
VIX call options ranging from 0.00% to
1.00% of the weight of the Index. All
securities in the S&P 500 Index are
listed and traded on a national
securities exchange. Options on the VIX
are traded on the Chicago Board Options
Exchange (‘‘CBOE’’). Notwithstanding
that the Index does not meet all of the
generic listing requirements of
Commentary .01(a)(A) to NYSE Arca
Equities Rule 5.2(j)(3), the Exchange
believes that the Index is sufficiently
broad-based to deter potential
manipulation in that the S&P 500 Index
stocks are among the most actively
traded, highly capitalized stocks traded
in the U.S. In addition, VIX call options
are highly liquid, with trading volume
on the CBOE during the first quarter of
2012 of 257,220 contracts per day. VIX
call options would represent, at most,
only 1% of the total weight of the Index.
All Index components are traded on
exchanges that are members of the
Intermarket Surveillance Group (‘‘ISG’’),
and the Exchange, therefore, is able to
share surveillance information with
such exchanges with respect to trading
in all Index components.
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The CBOE S&P VIX Tail Hedge Index
The Index is rules-based and is owned
and was developed by Standard &
Poor’s Financial Services LLC (‘‘S&P’’ or
‘‘Index Provider’’).8 The Index Provider
will calculate and maintain the Index.
The Index is designed to provide a
benchmark for investors interested in
hedging tail risk in an S&P 500
portfolio.9 Index components are
reviewed quarterly for eligibility, and
the weights are re-set according to that
distribution. As of the Index rebalance
on March 21, 2012, the Index was
comprised of 99.0% S&P 500 stocks and
1.00% VIX call options. The Index
consists of an S&P 500 stock portfolio
(with dividends reinvested), and an
amount of one-month, 30-delta VIX call
options that is determined by the level
of forward volatility. On the day of the
monthly expiration of VIX call options,
previously purchased VIX call options
8 The Index Provider is not a broker-dealer and
has implemented procedures designed to prevent
the use and dissemination of material, non-public
information regarding the Index.
9 According to the Registration Statement, tail
hedging, in the context used by the Index Provider,
is the practice of trying to hedge the portfolio from
extreme market moves that are the result of random,
unexpected, and unpredictable events. Unexpected
events of this nature often result in rapid increases
in market volatility, both realized and implied
volatility. The Fund will utilize a tail hedging
strategy which attempts to profit from the sudden
rise in implied volatility due to any unexpected
event. The gains from the ‘‘tail hedge’’ would then
hopefully offset some of the losses incurred in the
common stock portfolio due to the unexpected
events.
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are cash-settled and new VIX call
options are purchased at the 10:00 a.m.,
Central Time asking price. The percent
of money allocated to VIX call options
depends on the level of forward
volatility at the next call expiration as
measured by the opening price of VIX
futures with the same expiration as the
VIX call options as follows:
• VIX futures price less than or equal
to 15,10 no VIX call options are
purchased;
• VIX futures price greater than 15
and less than or equal to 30, 1% Index
weight in VIX call options;
• VIX futures price greater than 30
and less than or equal to 50, 0.50%
Index weight in VIX call options; and
• VIX futures price above 50, no VIX
call options are purchased.
According to the Registration
Statement, this dynamic allocation to
VIX call options is designed to reduce
hedging costs by limiting the number of
VIX call options that are purchased
during periods of expected low
volatility, and also has the effect of
taking VIX call option profits when
extreme volatility levels are reached.
The Index is reconstituted and
rebalanced monthly.
The Index Provider will, in most
cases, use the quantitative ranking and
screening system described herein.
However, subjective screening based on
fundamental analysis or other factors
may be used, if, in the opinion of the
Index Provider, certain components
should be included or excluded from
the Index.
The Fund intends to qualify annually
and to elect to be treated as a regulated
investment company (‘‘RIC’’) under the
Internal Revenue Code of 1986, as
amended.11
10 VIX futures represent the level of expected
future 30-day volatility as measured in standard
deviation units, expressed in percent terms
(expected volatility multiplied by 100). For
example, assume that on September 21, 2011, the
September VIX call options expired and new call
options expiring on October 19, 2011 were included
within the Index. The amount or weighting
assigned to the October VIX call options within the
Index would have been determined by the opening
price on September 21 of the October 2011 VIX
futures contract. CBOE data indicate that the
opening price was 31.15. Because the opening price
of the October VIX futures contract was greater than
30.00 but less than or equal to 50.00, the allocation
to VIX call options within the Index would have
been equal to 0.50% and the S&P 500 weighting
would have been 99.50%. If the opening futures
price had been equal to or below 15.0 or greater
than 50.0, the allocation to the call options would
have been 0% and the Index’s composition would
have been equal to the S&P 500’s weightings. If the
opening futures price had been greater than 15.0 but
less than or equal to 30.0, the allocation to VIX call
options within the Index would have been equal to
1.0% and the S&P 500 weighting would have been
equal to 99.0%.
11 26 U.S.C. 851. According to the Registration
Statement, to qualify for the favorable U.S. federal
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34103
The Exchange represents that, for
initial and/or continued listing, the
Fund will be in compliance with Rule
10A–3 under the Act,12 as provided by
NYSE Arca Equities Rule 5.3. A
minimum of 100,000 Shares for the
Fund will be outstanding at the
commencement of trading on the
Exchange. The Exchange will obtain a
representation from the issuer of the
Shares that the net asset value (‘‘NAV’’)
per Share will be calculated daily and
will be made available to all market
participants at the same time.
Creations and Redemptions
The Fund will issue and redeem
Shares on a continuous basis, at NAV,
only in large specified blocks each
consisting of 50,000 Shares (each such
block of Shares called a ‘‘Creation
Unit’’). Each group of Creation Units of
such specified number of individual
Fund Shares is referred to as a ‘‘Creation
Unit Aggregation.’’ The Creation Units
will be issued and redeemed for
securities in which the Fund invests,
cash or both securities and cash.
The consideration for purchase of
Creation Unit Aggregations of the Fund
may consist of (i) cash in lieu of all or
a portion of the Deposit Securities, as
defined below, and/or (ii) a designated
portfolio of equity securities determined
by First Trust—the ‘‘Deposit
Securities’’—per each Creation Unit
Aggregation (‘‘Fund Securities’’) and
income tax treatment generally accorded to RICs,
the Fund must, among other things, (a) derive in
each taxable year at least 90% of its gross income
from dividends, interest, payments with respect to
securities loans and gains from the sale or other
disposition of stock, securities or foreign currencies
or other income derived with respect to its business
of investing in such stock, securities or currencies,
or net income derived from interests in certain
publicly traded partnerships; (b) diversify its
holdings so that, at the end of each quarter of the
taxable year, (i) at least 50% of the market value of
the Fund’s assets is represented by cash and cash
items (including receivables), U.S. Government
securities, the securities of other RICs and other
securities, with such other securities of any one
issuer generally limited for the purposes of this
calculation to an amount not greater than 5% of the
value of the Fund’s total assets and not greater than
10% of the outstanding voting securities of such
issuer, and (ii) not more than 25% of the value of
its total assets is invested in the securities (other
than U.S. Government securities or the securities of
other RICs) of any one issuer, or two or more issuers
which the Fund controls which are engaged in the
same, similar or related trades or businesses, or the
securities of one or more of certain publicly traded
partnerships; and (c) distribute at least 90% of its
investment company taxable income (which
includes, among other items, dividends, interest
and net short-term capital gains in excess of net
long-term capital losses) and at least 90% of its net
tax-exempt interest income each taxable year. There
are certain exceptions for failure to qualify if the
failure is for reasonable cause or its [sic] de
minimis, and certain action is taken and certain tax
payments are made by the Fund.
12 17 CFR 240.10A–3.
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Federal Register / Vol. 77, No. 111 / Friday, June 8, 2012 / Notices
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generally an amount of cash—the ‘‘Cash
Component.’’ Together, the Deposit
Securities and the Cash Component
(including the cash in lieu amount)
constitute the ‘‘Fund Deposit,’’ which
represents the minimum initial and
subsequent investment amount for a
Creation Unit Aggregation of the Fund.
BNY, through the National Securities
Clearing Corporation (‘‘NSCC’’) (as
discussed below), will make available
on each business day, prior to the
opening of business of the New York
Stock Exchange (‘‘NYSE’’) (currently
9:30 a.m., Eastern Time (‘‘E.T.’’)), the
list of the names and the required
number of shares of each Deposit
Security to be included in the current
Fund Deposit (based on information at
the end of the previous business day) for
the Fund.
In addition to the list of names and
numbers of securities constituting the
current Deposit Securities of a Fund
Deposit, BNY, through the NSCC, also
will make available, on each business
day, the estimated Cash Component,
effective through and including the
previous business day, per outstanding
Creation Unit Aggregation of the Fund.
All orders to create Creation Unit
Aggregations must be received by the
transfer agent no later than the closing
time of the regular trading session on
the NYSE (‘‘Closing Time’’) (ordinarily
4 p.m., E.T.) in each case on the date
such order is placed in order for
creation of Creation Unit Aggregations
to be effected based on the NAV of
Shares of the Fund as next determined
on such date after receipt of the order
in proper form.
Fund Shares may be redeemed only in
Creation Unit Aggregations at their NAV
next determined after receipt of a
redemption request in proper form by
the Fund through the transfer agent and
only on a business day. The Fund will
not redeem Shares in amounts less than
Creation Unit Aggregations. With
respect to the Fund, the Custodian,
through the NSCC, will make available
prior to the opening of business on the
NYSE (currently 9:30 a.m., E.T.) on each
business day, the identity of the Fund
Securities that will be applicable to
redemption requests received in proper
form on that day.
Availability of Information
The Fund’s Web site (www.
ftportfolios.com), which will be publicly
available prior to the public offering of
Shares, will include a form of the
prospectus for the Fund that may be
downloaded. The Fund’s Web site will
include additional quantitative
information updated on a daily basis,
including, for the Fund, (1) daily trading
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volume, the prior business day’s
reported closing price, NAV and midpoint of the bid/ask spread at the time
of calculation of such NAV (‘‘Bid/Ask
Price’’),13 and a calculation of the
premium and discount of the Bid/Ask
Price against the NAV, and (2) data in
chart format displaying the frequency
distribution of discounts and premiums
of the daily Bid/Ask Price against the
NAV, within appropriate ranges, for
each of the four previous calendar
quarters. On each business day, before
commencement of trading in Shares in
the Core Trading Session on the
Exchange, the Fund will disclose on its
Web site the portfolio of securities and
financial instruments that will form the
basis for the Fund’s calculation of NAV
at the end of the business day.14
On a daily basis, the Adviser will
disclose for each portfolio security and
other financial instrument of the Fund
the following information on the Fund’s
Web site: ticker symbol (if applicable),
name of security and financial
instrument, number of shares or dollar
value of financial instruments held in
the portfolio, and percentage weighting
of the security and financial instrument
in the portfolio. The Web site
information will be publicly available at
no charge.
In addition, a basket composition file,
which includes the security names and
share quantities required to be delivered
in exchange for the Fund’s Shares,
together with estimates and actual cash
components, will be publicly
disseminated daily prior to the opening
of the NYSE via NSCC. The basket
represents one Creation Unit of the
Fund.
In addition, an Intraday Indicative
Value (‘‘IIV’’) for the Shares will be
widely disseminated at least every 15
seconds during the Core Trading
Session (9:30 a.m. to 4 p.m., E.T.) by one
or more major market data vendors.15
The IIV should not be viewed as a ‘‘realtime’’ update of the NAV per Share of
the Fund because the IIV may not be
calculated in the same manner as the
13 The Bid/Ask Price of the Fund will be
determined using the mid-point of the highest bid
and the lowest offer on the Exchange as of the time
of calculation of the Fund’s NAV. The records
relating to Bid/Ask Prices will be retained by the
Fund and its service providers.
14 Under accounting procedures followed by the
Fund, trades made on the prior business day (‘‘T’’)
will be booked and reflected in NAV on the current
business day (‘‘T+1’’). Accordingly, the Fund will
be able to disclose at the beginning of the business
day the portfolio that will form the basis for the
NAV calculation at the end of the business day.
15 Currently, it is the Exchange’s understanding
that several major market data vendors widely
disseminate IIVs taken from the Consolidated Tape
Association (‘‘CTA’’) or other data feeds.
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Fmt 4703
Sfmt 4703
NAV, which is computed once a day,
generally at the end of the business day.
In addition, the Index value will be
widely disseminated at least every 15
seconds during the Core Trading
Session by one or more major market
data vendors such as Bloomberg.
Additional information regarding the
Index and the underlying components
(S&P 500 stock portfolio (with
dividends reinvested) and the allocation
of VIX call options) will be available at
www.cboe.com.
Investors can also obtain the Trust’s
Statement of Additional Information
(‘‘SAI’’), the Fund’s Shareholder
Reports, and the Trust’s Form N–CSR
and Form N–SAR, filed twice a year.
The Trust’s SAI and Shareholder
Reports will be available free upon
request from the Trust, and those
documents and the Form N–CSR and
Form N–SAR may be viewed on-screen
or downloaded from the Commission’s
Web site at www.sec.gov. 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.
Information regarding the previous
day’s closing price and trading volume
information for the Shares will be
published daily in the financial section
of newspapers. Quotation and last-sale
information for the Shares will be
available via the CTA high-speed line
and, for the securities, including VIX
call options, held by the Fund, will be
available from the exchange on which
they are listed. The intra-day, closing,
and settlement prices of the portfolio
securities will also be readily available
from the securities exchanges trading
such securities, automated quotation
systems, published or other public
sources, or on-line information services
such as Bloomberg or Reuters.
The Exchange represents that the
continued listing standards under NYSE
Arca Equities Rules 5.2(j)(3) and
5.5(g)(2) applicable to Units shall apply
to the Shares. The Exchange further
represents that the VIX options
components of the Index, if any, must
remain listed and traded on a national
securities exchange. In addition, the
Exchange represents that the Fund and
the Shares will comply with all other
requirements applicable to Units
including, but not limited to,
requirements relating to the
dissemination of key information such
as the value of the Index, IIV, and NAV,
rules governing the trading of equity
securities, trading hours, trading halts,
surveillance, information barriers, and
Information Bulletin to Equity Trading
Permit (‘‘ETP’’) Holders (each as
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Federal Register / Vol. 77, No. 111 / Friday, June 8, 2012 / Notices
described in more detail herein), as set
forth in Exchange rules applicable to
Units and prior Commission orders
approving the generic listing rules
applicable to the listing and trading of
Units.16
The Fund’s NAV will be determined
as of the close of trading (normally 4
p.m., E.T.) on each day the NYSE is
open for business. NAV will be
calculated for the Fund by taking the
market price of the Fund’s total assets,
including interest or dividends accrued
but not yet collected, less all liabilities,
and dividing such amount by the total
number of Shares outstanding. The
result, rounded to the nearest cent, will
be the NAV per Share. All valuations
will be subject to review by the Trust’s
Board of Trustees (‘‘Board’’) or its
delegate.17
Additional information regarding the
Trust and the Shares, including
investment strategies, risks, creation and
redemption procedures, fees, portfolio
holdings disclosure policies,
distributions, and taxes is included in
the Registration Statement. All terms
relating to the Fund that are referred to,
but not defined in, this proposed rule
change are defined in the Registration
Statement.
Trading Halts
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With respect to trading halts, the
Exchange may consider all relevant
factors in exercising its discretion to
halt or suspend trading in the Shares of
the Fund.18 If the IIV or the Index value
is not being disseminated as required,
the Corporation may halt trading during
the day in which the interruption to the
dissemination of the applicable IIV or
Index value occurs. If the interruption to
the dissemination of the applicable IIV
or Index value persists past the trading
day in which it occurred, the
Corporation will halt trading. Trading in
Shares of the Fund will be halted if the
circuit breaker parameters in NYSE Arca
Equities Rule 7.12 have been reached.
Trading also may be halted because of
market conditions or for reasons that, in
the view of the Exchange, make trading
in the Shares inadvisable. These may
16 See, e.g ., Securities Exchange Act Release No.
44551 (July 12, 2001), 66 FR 37716 (July 19, 2001)
(SR–PCX–2001–14) (order approving generic listing
standards for ICUs and Portfolio Depositary
Receipts); Securities Exchange Act Release No.
41983 (October 6, 1999), 64 FR 56008 (October 15,
1999) (SR–PCX–98–29) (order approving rules for
listing and trading of ICUs).
17 The Fund’s investments will be valued at
market value or, in the absence of market value
with respect to any portfolio securities, at fair value
in accordance with valuation procedures adopted
by the Board and in accordance with the 1940 Act.
18 See NYSE Arca Equities Rule 7.12,
Commentary .04.
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Jkt 226001
include: (1) The extent to which trading
is not occurring in the securities and/or
the financial instruments comprising
the Fund’s portfolio; or (2) whether
other unusual conditions or
circumstances detrimental to the
maintenance of a fair and orderly
market are present. In addition, 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 on the Exchange
until such time as the NAV is available
to all market participants.
Trading Rules
The Exchange deems the Shares to be
equity securities, thus rendering trading
in the Shares subject to the Exchange’s
existing rules governing the trading of
equity securities. Shares will trade on
the NYSE Arca Marketplace from 4 a.m.
to 8 p.m., E.T. in accordance with NYSE
Arca Equities Rule 7.34 (Opening, Core,
and Late Trading Sessions). The
Exchange has appropriate rules to
facilitate transactions in the Shares
during all trading sessions. As provided
in NYSE Arca Equities Rule 7.6,
Commentary .03, the minimum price
variation (‘‘MPV’’) for quoting and entry
of orders in equity securities traded on
the NYSE Arca Marketplace is $0.01,
with the exception of securities that are
priced less than $1.00 for which the
MPV for order entry is $0.0001.
Surveillance
The Exchange intends to utilize its
existing surveillance procedures
applicable to derivative products (which
include Investment Company Units) to
monitor trading in the Shares. 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
applicable federal securities laws.
The Exchange’s current trading
surveillance focuses on detecting
securities trading outside their normal
patterns. When such situations are
detected, surveillance analysis follows
and investigations are opened, where
appropriate, to review the behavior of
all relevant parties for all relevant
trading violations.
The Exchange may obtain information
via the ISG from other exchanges that
are members of ISG or with which the
Exchange has in place a comprehensive
surveillance sharing agreement.19 The
19 For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all
components of the Fund’s portfolio may trade on
markets that are members of ISG or with which the
Exchange has in place a comprehensive
surveillance sharing agreement.
PO 00000
Frm 00103
Fmt 4703
Sfmt 4703
34105
equity securities and VIX options in
which the Fund will invest will trade in
markets that are ISG members or are
parties to comprehensive surveillance
sharing agreements with the Exchange.
In addition, the Exchange also has a
general policy prohibiting the
distribution of material, non-public
information by its employees.
Information Bulletin
Prior to the commencement of
trading, the Exchange will inform its
ETP Holders in an Information Bulletin
(‘‘Bulletin’’) of the special
characteristics and risks associated with
trading the Shares. Specifically, the
Bulletin will discuss the following: (1)
The procedures for purchases and
redemptions of Shares in Creation Unit
Aggregations (and that Shares are not
individually redeemable); (2) 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; (3) the risks involved
in trading the Shares during the
Opening and Late Trading Sessions
when an updated IIV will not be
calculated or publicly disseminated; (4)
how information regarding the IIV is
disseminated; (5) 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 (6)
trading information.
In addition, the Bulletin will
reference that the Fund is subject to
various fees and expenses described in
the Registration Statement. The Bulletin
will discuss any exemptive, no-action,
and interpretive relief granted by the
Commission from any rules under the
Act. The Bulletin will also disclose that
the NAV for the Shares will be
calculated after 4 p.m., E.T. each trading
day.
2. Statutory Basis
The basis under the Act for this
proposed rule change is the requirement
under Section 6(b)(5) 20 that an
exchange have rules that are designed to
prevent fraudulent and manipulative
acts and practices, to promote just and
equitable principles of trade, to remove
impediments to, and perfect the
mechanism of a free and open market
and, in general, to protect investors and
the public interest.
The Exchange believes that the
proposed rule change is designed to
prevent fraudulent and manipulative
acts and practices in that the Shares will
be listed and traded on the Exchange
20 15
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U.S.C. 78f(b)(5).
08JNN1
mstockstill on DSK4VPTVN1PROD with NOTICES
34106
Federal Register / Vol. 77, No. 111 / Friday, June 8, 2012 / Notices
pursuant to the initial and continued
listing criteria in NYSE Arca Equities
Rule 5.2(j)(3). The Exchange has in
place surveillance procedures that are
adequate to properly monitor trading in
the Shares in all trading sessions and to
deter and detect violations of Exchange
rules and applicable federal securities
laws. The Index Provider is not a
broker-dealer and has implemented
procedures designed to prevent the use
and dissemination of material, nonpublic information regarding the Index.
The Index is predominately S&P 500
companies and includes an exposure to
VIX call options. All securities in the
S&P 500 Index are listed and traded on
a national securities exchange. Options
on the VIX are traded on the CBOE. All
components of the Index have active,
liquid markets on national securities
exchanges. The Exchange may obtain
information via ISG from other
exchanges that are members of ISG or
with which the Exchange has entered
into a comprehensive surveillance
sharing agreement. The equity securities
and VIX options in which the Fund will
invest will trade in markets that are ISG
members or are parties to
comprehensive surveillance sharing
agreements with the Exchange.
The proposed rule change is designed
to promote just and equitable principles
of trade and to protect investors and the
public interest in that the Exchange will
obtain a representation from the issuer
of the Shares that the NAV per Share
will be calculated daily and that the
NAV will be made available to all
market participants at the same time. In
addition, a large amount of information
is publicly available regarding the Fund
and the Shares, thereby promoting
market transparency. Moreover, the IIV
and the Index value will be widely
disseminated by one or more major
market data vendors at least every 15
seconds during the Exchange’s Core
Trading Session. If the IIV or the Index
value is not being disseminated as
required, the Corporation may halt
trading during the day in which the
interruption to the dissemination of the
applicable IIV or Index value occurs. If
the interruption to the dissemination of
the applicable IIV or Index value
persists past the trading day in which it
occurred, the Corporation will halt
trading. In addition, 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 on the Exchange
until such time as the NAV is available
to all market participants. On each
business day, before commencement of
trading in Shares in the Core Trading
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16:23 Jun 07, 2012
Jkt 226001
Session on the Exchange, the Fund will
disclose on its Web site the securities
and other financial instruments in the
Fund’s portfolio that will form the basis
for the Fund’s calculation of NAV at the
end of the business day. Information
regarding market price and trading
volume of the Shares is and will be
continually available on a real-time
basis throughout the day on brokers’
computer screens and other electronic
services, and quotation and last-sale
information will be available via the
CTA high-speed line. The Web site for
the Fund will include a form of the
prospectus for the Fund and additional
data relating to NAV and other
applicable quantitative information.
Moreover, prior to the commencement
of trading, the Exchange will inform its
ETP Holders in an Information Bulletin
of the special characteristics and risks
associated with trading the Shares.
Trading in Shares of the Fund will be
halted if the circuit breaker parameters
in NYSE Arca Equities Rule 7.12 have
been reached or because of market
conditions or for reasons that, in the
view of the Exchange, make trading in
the Shares inadvisable. In addition, as
noted above, investors will have ready
access to information regarding the
Fund’s holdings, the IIV, Index value,
and quotation and last-sale information
for the Shares.
The proposed rule change is designed
to perfect the mechanism of a free and
open market and, in general, to protect
investors and the public interest in that
it will facilitate the listing and trading
of an additional type of Units that will
enhance competition among market
participants, to the benefit of investors
and the marketplace. As noted above,
the Exchange has in place surveillance
procedures relating to trading in the
Shares and may obtain information via
ISG from other exchanges that are
members of ISG or with which the
Exchange has entered into a
comprehensive surveillance sharing
agreement. In addition, as noted above,
investors will have ready access to
information regarding the Fund’s
holdings, the IIV, Index value, and
quotation and last-sale information for
the Shares.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
PO 00000
Frm 00104
Fmt 4703
Sfmt 4703
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
No written comments were solicited
or received with respect to the proposed
rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of
publication of this notice in the Federal
Register or within such longer period (i)
as the Commission may designate up to
90 days of such date if it finds such
longer period to be appropriate and
publishes its reasons for so finding or
(ii) as to which the self-regulatory
organization consents, the Commission
will:
(A) By order approve or disapprove
the proposed rule change, or
(B) Institute proceedings to determine
whether the proposed rule change
should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Exchange
Act. Comments may be submitted by
any of the following methods:
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
NYSEArca–2012–50 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Elizabeth M. Murphy, Secretary,
Securities and Exchange Commission,
100 F Street NE., Washington, DC
20549–1090.
All submissions should refer to File
Number SR–NYSEArca–2012–50. This
file number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
E:\FR\FM\08JNN1.SGM
08JNN1
Federal Register / Vol. 77, No. 111 / Friday, June 8, 2012 / Notices
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE.,
Washington, DC 20549, on official
business days between the hours of 10
a.m. and 3 p.m. Copies of the filing also
will be available for inspection and
copying at the principal office of the
Exchange. All comments received will
be posted without change; the
Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–
NYSEArca–2012–50 and should be
submitted on or before June 29, 2012.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.21
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2012–13964 Filed 6–7–12; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–67102; File No. SR–BX–
2012–039]
Self-Regulatory Organizations;
NASDAQ OMX BX; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change To Dissolve the BOX
Committee
June 4, 2012.
mstockstill on DSK4VPTVN1PROD with NOTICES
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b-4 thereunder,2
notice is hereby given that on May 25,
2012, NASDAQ OMX BX, Inc. (‘‘BX’’ or
‘‘Exchange’’), 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
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes a rule change
to dissolve the BOX Committee of the
Board of Directors. The text of the
proposed rule change is available at
https://nasdaq.cchwallstreet.com, at the
21 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
VerDate Mar<15>2010
16:23 Jun 07, 2012
Jkt 226001
Exchange’s principal office, and at the
Commission’s Public Reference Room.
34107
proposal 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 proposed rule
change is consistent with these
provisions in that the Exchange is
dissolving a Committee that no longer
has a purpose.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
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 aspects of such
statements.
The Exchange does not believe that
the proposed rule change will impose
any burden on competition not
necessary or appropriate in furtherance
of the purposes of the Act.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
1. Purpose
The Exchange proposes to dissolve
the BOX Committee of the Board of
Directors. After NASDAQ OMX Group,
Inc. acquired the Boston Stock
Exchange, Inc., the Exchange adopted
resolutions (‘‘Resolutions’’) to establish
a committee of its Board of Directors,
referred to as the BOX Committee.3 The
Exchange delegated to the BOX
Committee all actions and decisions
governing the Boston Options Exchange
LLC (‘‘BOX’’) Market. Because BOX is
no longer a facility of the Exchange,4
there is no longer a reason for the BOX
Committee to exist. Moreover, BOX and
the BX Board of Directors have
approved the dissolution of the
Committee.
The Exchange believes the
Resolutions are rules of an exchange
which are concerned solely with the
administration of the self-regulatory
organization (as defined in Rule 19b–4
under the Act) of the Exchange.
Accordingly, to dissolve the Committee,
the Exchange is filing this proposal.
2. Statutory Basis
The Exchange believes that the
proposed rule change is consistent with
the provisions of Section 6 of the Act,5
in general, and with Section 6(b)(5) of
the Act,6 in particular, in that the
3 See Securities Exchange Act Release No. 34–
58324 (August 7, 2008); 73 FR 46936 (August 12,
2008) (File Nos. SR–BSE–2008–02; SR–BSE–2008–
23; SR–BSE–2008–25; SR–BSECC–2008–01)
(‘‘Order approving the Acquisition of the Boston
Stock Exchange, Incorporated by The NASDAQ
OMX Group, Inc.’’).
4 See Securities Exchange Act Release No. 66871
(April 27, 2012), 77 FR 86 (May 3, 2012).
5 15 U.S.C. 78f.
6 15 U.S.C. 78f(b)(5).
PO 00000
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Fmt 4703
Sfmt 4703
B. Self-Regulatory Organization’s
Statement on Burden on Competition
Written comments were neither
solicited nor received.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Pursuant to Section 19(b)(3)(A) of the
Act 7 and Rule 19b–4(f)(3) thereunder,8
the Exchange has designated this
proposal as one that is concerned solely
with the administration of the selfregulatory organization. Accordingly,
the Exchange believes this proposal
should become immediately effective.
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.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
BX–2012–039 on the subject line.
7 15
8 17
E:\FR\FM\08JNN1.SGM
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(3).
08JNN1
]]>Agencies
[Federal Register Volume 77, Number 111 (Friday, June 8, 2012)]
[Notices]
[Pages 34102-34107]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-13964]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-67107; File No. SR-NYSEArca-2012-50]
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change Relating to Listing and Trading of the First
Trust CBOE VIX Tail Hedge Index Fund Under NYSE Arca Equities Rule
5.2(j)(3)
June 4, 2012.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'' or ``Exchange Act'') \1\ and Rule 19b-4 thereunder,\2\ notice
is hereby given that, on May 25, 2012, NYSE Arca, Inc. (``Exchange'' or
``NYSE Arca'' or ``Corporation'') 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
substantially prepared by the Exchange. The Commission is publishing
this notice to solicit comments on the proposed rule change from
interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to list and trade shares (``Shares'') of the
First Trust CBOE VIX Tail Hedge Index Fund under NYSE Arca Equities
Rule 5.2(j)(3). The text of 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.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the self-regulatory organization
included statements concerning the purpose of, and basis for, the
proposed rule change and discussed any comments it received on the
proposed rule change. The text of those statements may be examined at
the places specified in Item IV below. The Exchange has prepared
summaries, set forth in sections A, B, and C below, of the most
significant parts of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to list and trade the Shares of the First
Trust CBOE VIX Tail Hedge Index Fund (``Fund'') under NYSE Arca
Equities Rule 5.2(j)(3), the Exchange's listing standards for
Investment Company Units (``Units'').\3\
---------------------------------------------------------------------------
\3\ An Investment Company Unit is a security that represents an
interest in a registered investment company that holds securities
comprising, or otherwise based on or representing an interest in, an
index or portfolio of securities (or holds securities in another
registered investment company that holds securities comprising, or
otherwise based on or representing an interest in, an index or
portfolio of securities). See NYSE Arca Equities Rule 5.2(j)(3)(A).
---------------------------------------------------------------------------
The Shares will be offered by First Trust Exchange-Traded Fund
(``Trust''), which is organized as a Massachusetts business trust and
is registered with the Commission as an open-end management investment
company.\4\ The investment adviser to the Fund will be First Trust
Advisors L.P. (``Adviser'' or ``First Trust''). First Trust Portfolios
L.P. (``Distributor'') will be the principal underwriter and
distributor of the Fund's Shares. The Bank of New York Mellon
Corporation (``BNY'') will serve as administrator, custodian, and
transfer agent for the Fund (``Custodian'').
---------------------------------------------------------------------------
\4\ The Trust is registered under the Investment Company Act of
1940 (15 U.S.C. 80a-1) (``1940 Act''). On October 17, 2011, the
Trust filed with the Commission an amendment to the Trust's
registration statement on Form N-1A under the Securities Act of 1933
(15 U.S.C. 77a), and under the 1940 Act relating to the Fund (File
Nos. 333-125751 and 811-21774) (``Registration Statement''). The
description of the operation of the Trust and the Fund herein is
based, in part, on the Registration Statement. In addition, the
Commission has issued an order granting certain exemptive relief to
the Trust under the 1940 Act. See Investment Company Act Release No.
27068 (September 20, 2005) (File No. 812-13000) (``Exemptive
Order'').
---------------------------------------------------------------------------
According to the Registration Statement, the Fund will seek
investment results that correspond generally to the price and yield,
before the Fund's fees and expenses, of an equity index called the CBOE
S&P VIX Tail Hedge Index (``Index''). The Fund will normally invest at
least 90% of its net assets (plus the amount of any borrowings for
investment purposes) in common stocks included in the Index. In
addition, the Fund will normally invest 0.0% to 1.0% of its net assets
in VIX call options, as described below.
The Exchange is submitting this proposed rule change because the
Index for the Fund does not meet all of the ``generic'' listing
requirements of Commentary .01(a)(A) to NYSE Arca Equities Rule
5.2(j)(3) applicable to the listing of Units based upon an index of US
Component Stocks.\5\ Specifically, Commentary .01(a)(A) to NYSE Arca
Equities Rule 5.2(j)(3) \6\ sets forth the requirements to be met by
components of an index or portfolio of US Component Stocks. As
described further below, the Index consists of an S&P 500 Index stock
portfolio and a position in specified VIX Index (``VIX'') call
options.\7\ The Index meets all requirements of NYSE Arca Equities Rule
5.2(j)(3) and Commentary .01(a)(A) thereto except that the Index
includes VIX call options, which are not NMS Stocks as defined in Rule
600 of Regulation NMS. As described below, the Index is predominately
S&P 500 companies and includes an exposure to
[[Page 34103]]
VIX call options ranging from 0.00% to 1.00% of the weight of the
Index. All securities in the S&P 500 Index are listed and traded on a
national securities exchange. Options on the VIX are traded on the
Chicago Board Options Exchange (``CBOE''). Notwithstanding that the
Index does not meet all of the generic listing requirements of
Commentary .01(a)(A) to NYSE Arca Equities Rule 5.2(j)(3), the Exchange
believes that the Index is sufficiently broad-based to deter potential
manipulation in that the S&P 500 Index stocks are among the most
actively traded, highly capitalized stocks traded in the U.S. In
addition, VIX call options are highly liquid, with trading volume on
the CBOE during the first quarter of 2012 of 257,220 contracts per day.
VIX call options would represent, at most, only 1% of the total weight
of the Index. All Index components are traded on exchanges that are
members of the Intermarket Surveillance Group (``ISG''), and the
Exchange, therefore, is able to share surveillance information with
such exchanges with respect to trading in all Index components.
---------------------------------------------------------------------------
\5\ NYSE Arca Equities Rule 5.2(j)(3) provides that the term
``US Component Stock'' shall mean an equity security that is
registered under Sections 12(b) or 12(g) of the Exchange Act or an
American Depositary Receipt, the underlying equity security of which
is registered under Sections 12(b) or 12(g) of the Exchange Act.
\6\ Commentary .01(a)(A) to NYSE Arca Equities Rule 5.2(j)(3)
states, in part, that the components of an index of US Component
Stocks, upon the initial listing of a series of Units pursuant to
Rule 19b-4(e) under the Exchange Act, shall be NMS Stocks as defined
in Rule 600 of Regulation NMS under the Exchange Act.
\7\ According to the Registration Statement, the VIX Index is a
measure of estimated near-term future volatility based upon the
weighted average of the implied volatilities of near-term put and
call options on the S&P 500.
---------------------------------------------------------------------------
The CBOE S&P VIX Tail Hedge Index
The Index is rules-based and is owned and was developed by Standard
& Poor's Financial Services LLC (``S&P'' or ``Index Provider'').\8\ The
Index Provider will calculate and maintain the Index. The Index is
designed to provide a benchmark for investors interested in hedging
tail risk in an S&P 500 portfolio.\9\ Index components are reviewed
quarterly for eligibility, and the weights are re-set according to that
distribution. As of the Index rebalance on March 21, 2012, the Index
was comprised of 99.0% S&P 500 stocks and 1.00% VIX call options. The
Index consists of an S&P 500 stock portfolio (with dividends
reinvested), and an amount of one-month, 30-delta VIX call options that
is determined by the level of forward volatility. On the day of the
monthly expiration of VIX call options, previously purchased VIX call
options are cash-settled and new VIX call options are purchased at the
10:00 a.m., Central Time asking price. The percent of money allocated
to VIX call options depends on the level of forward volatility at the
next call expiration as measured by the opening price of VIX futures
with the same expiration as the VIX call options as follows:
---------------------------------------------------------------------------
\8\ The Index Provider is not a broker-dealer and has
implemented procedures designed to prevent the use and dissemination
of material, non-public information regarding the Index.
\9\ According to the Registration Statement, tail hedging, in
the context used by the Index Provider, is the practice of trying to
hedge the portfolio from extreme market moves that are the result of
random, unexpected, and unpredictable events. Unexpected events of
this nature often result in rapid increases in market volatility,
both realized and implied volatility. The Fund will utilize a tail
hedging strategy which attempts to profit from the sudden rise in
implied volatility due to any unexpected event. The gains from the
``tail hedge'' would then hopefully offset some of the losses
incurred in the common stock portfolio due to the unexpected events.
---------------------------------------------------------------------------
VIX futures price less than or equal to 15,\10\ no VIX
call options are purchased;
---------------------------------------------------------------------------
\10\ VIX futures represent the level of expected future 30-day
volatility as measured in standard deviation units, expressed in
percent terms (expected volatility multiplied by 100). For example,
assume that on September 21, 2011, the September VIX call options
expired and new call options expiring on October 19, 2011 were
included within the Index. The amount or weighting assigned to the
October VIX call options within the Index would have been determined
by the opening price on September 21 of the October 2011 VIX futures
contract. CBOE data indicate that the opening price was 31.15.
Because the opening price of the October VIX futures contract was
greater than 30.00 but less than or equal to 50.00, the allocation
to VIX call options within the Index would have been equal to 0.50%
and the S&P 500 weighting would have been 99.50%. If the opening
futures price had been equal to or below 15.0 or greater than 50.0,
the allocation to the call options would have been 0% and the
Index's composition would have been equal to the S&P 500's
weightings. If the opening futures price had been greater than 15.0
but less than or equal to 30.0, the allocation to VIX call options
within the Index would have been equal to 1.0% and the S&P 500
weighting would have been equal to 99.0%.
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VIX futures price greater than 15 and less than or equal
to 30, 1% Index weight in VIX call options;
VIX futures price greater than 30 and less than or equal
to 50, 0.50% Index weight in VIX call options; and
VIX futures price above 50, no VIX call options are
purchased.
According to the Registration Statement, this dynamic allocation to
VIX call options is designed to reduce hedging costs by limiting the
number of VIX call options that are purchased during periods of
expected low volatility, and also has the effect of taking VIX call
option profits when extreme volatility levels are reached. The Index is
reconstituted and rebalanced monthly.
The Index Provider will, in most cases, use the quantitative
ranking and screening system described herein. However, subjective
screening based on fundamental analysis or other factors may be used,
if, in the opinion of the Index Provider, certain components should be
included or excluded from the Index.
The Fund intends to qualify annually and to elect to be treated as
a regulated investment company (``RIC'') under the Internal Revenue
Code of 1986, as amended.\11\
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\11\ 26 U.S.C. 851. According to the Registration Statement, to
qualify for the favorable U.S. federal income tax treatment
generally accorded to RICs, the Fund must, among other things, (a)
derive in each taxable year at least 90% of its gross income from
dividends, interest, payments with respect to securities loans and
gains from the sale or other disposition of stock, securities or
foreign currencies or other income derived with respect to its
business of investing in such stock, securities or currencies, or
net income derived from interests in certain publicly traded
partnerships; (b) diversify its holdings so that, at the end of each
quarter of the taxable year, (i) at least 50% of the market value of
the Fund's assets is represented by cash and cash items (including
receivables), U.S. Government securities, the securities of other
RICs and other securities, with such other securities of any one
issuer generally limited for the purposes of this calculation to an
amount not greater than 5% of the value of the Fund's total assets
and not greater than 10% of the outstanding voting securities of
such issuer, and (ii) not more than 25% of the value of its total
assets is invested in the securities (other than U.S. Government
securities or the securities of other RICs) of any one issuer, or
two or more issuers which the Fund controls which are engaged in the
same, similar or related trades or businesses, or the securities of
one or more of certain publicly traded partnerships; and (c)
distribute at least 90% of its investment company taxable income
(which includes, among other items, dividends, interest and net
short-term capital gains in excess of net long-term capital losses)
and at least 90% of its net tax-exempt interest income each taxable
year. There are certain exceptions for failure to qualify if the
failure is for reasonable cause or its [sic] de minimis, and certain
action is taken and certain tax payments are made by the Fund.
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The Exchange represents that, for initial and/or continued listing,
the Fund will be in compliance with Rule 10A-3 under the Act,\12\ as
provided by NYSE Arca Equities Rule 5.3. A minimum of 100,000 Shares
for the Fund will be outstanding at the commencement of trading on the
Exchange. The Exchange will obtain a representation from the issuer of
the Shares that the net asset value (``NAV'') per Share will be
calculated daily and will be made available to all market participants
at the same time.
---------------------------------------------------------------------------
\12\ 17 CFR 240.10A-3.
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Creations and Redemptions
The Fund will issue and redeem Shares on a continuous basis, at
NAV, only in large specified blocks each consisting of 50,000 Shares
(each such block of Shares called a ``Creation Unit''). Each group of
Creation Units of such specified number of individual Fund Shares is
referred to as a ``Creation Unit Aggregation.'' The Creation Units will
be issued and redeemed for securities in which the Fund invests, cash
or both securities and cash.
The consideration for purchase of Creation Unit Aggregations of the
Fund may consist of (i) cash in lieu of all or a portion of the Deposit
Securities, as defined below, and/or (ii) a designated portfolio of
equity securities determined by First Trust--the ``Deposit
Securities''--per each Creation Unit Aggregation (``Fund Securities'')
and
[[Page 34104]]
generally an amount of cash--the ``Cash Component.'' Together, the
Deposit Securities and the Cash Component (including the cash in lieu
amount) constitute the ``Fund Deposit,'' which represents the minimum
initial and subsequent investment amount for a Creation Unit
Aggregation of the Fund.
BNY, through the National Securities Clearing Corporation
(``NSCC'') (as discussed below), will make available on each business
day, prior to the opening of business of the New York Stock Exchange
(``NYSE'') (currently 9:30 a.m., Eastern Time (``E.T.'')), the list of
the names and the required number of shares of each Deposit Security to
be included in the current Fund Deposit (based on information at the
end of the previous business day) for the Fund.
In addition to the list of names and numbers of securities
constituting the current Deposit Securities of a Fund Deposit, BNY,
through the NSCC, also will make available, on each business day, the
estimated Cash Component, effective through and including the previous
business day, per outstanding Creation Unit Aggregation of the Fund.
All orders to create Creation Unit Aggregations must be received by
the transfer agent no later than the closing time of the regular
trading session on the NYSE (``Closing Time'') (ordinarily 4 p.m.,
E.T.) in each case on the date such order is placed in order for
creation of Creation Unit Aggregations to be effected based on the NAV
of Shares of the Fund as next determined on such date after receipt of
the order in proper form.
Fund Shares may be redeemed only in Creation Unit Aggregations at
their NAV next determined after receipt of a redemption request in
proper form by the Fund through the transfer agent and only on a
business day. The Fund will not redeem Shares in amounts less than
Creation Unit Aggregations. With respect to the Fund, the Custodian,
through the NSCC, will make available prior to the opening of business
on the NYSE (currently 9:30 a.m., E.T.) on each business day, the
identity of the Fund Securities that will be applicable to redemption
requests received in proper form on that day.
Availability of Information
The Fund's Web site (www.ftportfolios.com), which will be publicly
available prior to the public offering of Shares, will include a form
of the prospectus for the Fund that may be downloaded. The Fund's Web
site will include additional quantitative information updated on a
daily basis, including, for the Fund, (1) daily trading volume, the
prior business day's reported closing price, NAV and mid-point of the
bid/ask spread at the time of calculation of such NAV (``Bid/Ask
Price''),\13\ and a calculation of the premium and discount of the Bid/
Ask Price against the NAV, and (2) data in chart format displaying the
frequency distribution of discounts and premiums of the daily Bid/Ask
Price against the NAV, within appropriate ranges, for each of the four
previous calendar quarters. On each business day, before commencement
of trading in Shares in the Core Trading Session on the Exchange, the
Fund will disclose on its Web site the portfolio of securities and
financial instruments that will form the basis for the Fund's
calculation of NAV at the end of the business day.\14\
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\13\ The Bid/Ask Price of the Fund will be determined using the
mid-point of the highest bid and the lowest offer on the Exchange as
of the time of calculation of the Fund's NAV. The records relating
to Bid/Ask Prices will be retained by the Fund and its service
providers.
\14\ Under accounting procedures followed by the Fund, trades
made on the prior business day (``T'') will be booked and reflected
in NAV on the current business day (``T+1''). Accordingly, the Fund
will be able to disclose at the beginning of the business day the
portfolio that will form the basis for the NAV calculation at the
end of the business day.
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On a daily basis, the Adviser will disclose for each portfolio
security and other financial instrument of the Fund the following
information on the Fund's Web site: ticker symbol (if applicable), name
of security and financial instrument, number of shares or dollar value
of financial instruments held in the portfolio, and percentage
weighting of the security and financial instrument in the portfolio.
The Web site information will be publicly available at no charge.
In addition, a basket composition file, which includes the security
names and share quantities required to be delivered in exchange for the
Fund's Shares, together with estimates and actual cash components, will
be publicly disseminated daily prior to the opening of the NYSE via
NSCC. The basket represents one Creation Unit of the Fund.
In addition, an Intraday Indicative Value (``IIV'') for the Shares
will be widely disseminated at least every 15 seconds during the Core
Trading Session (9:30 a.m. to 4 p.m., E.T.) by one or more major market
data vendors.\15\ The IIV should not be viewed as a ``real-time''
update of the NAV per Share of the Fund because the IIV may not be
calculated in the same manner as the NAV, which is computed once a day,
generally at the end of the business day.
---------------------------------------------------------------------------
\15\ Currently, it is the Exchange's understanding that several
major market data vendors widely disseminate IIVs taken from the
Consolidated Tape Association (``CTA'') or other data feeds.
---------------------------------------------------------------------------
In addition, the Index value will be widely disseminated at least
every 15 seconds during the Core Trading Session by one or more major
market data vendors such as Bloomberg. Additional information regarding
the Index and the underlying components (S&P 500 stock portfolio (with
dividends reinvested) and the allocation of VIX call options) will be
available at www.cboe.com.
Investors can also obtain the Trust's Statement of Additional
Information (``SAI''), the Fund's Shareholder Reports, and the Trust's
Form N-CSR and Form N-SAR, filed twice a year. The Trust's SAI and
Shareholder Reports will be available free upon request from the Trust,
and those documents and the Form N-CSR and Form N-SAR may be viewed on-
screen or downloaded from the Commission's Web site at www.sec.gov.
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. Information
regarding the previous day's closing price and trading volume
information for the Shares will be published daily in the financial
section of newspapers. Quotation and last-sale information for the
Shares will be available via the CTA high-speed line and, for the
securities, including VIX call options, held by the Fund, will be
available from the exchange on which they are listed. The intra-day,
closing, and settlement prices of the portfolio securities will also be
readily available from the securities exchanges trading such
securities, automated quotation systems, published or other public
sources, or on-line information services such as Bloomberg or Reuters.
The Exchange represents that the continued listing standards under
NYSE Arca Equities Rules 5.2(j)(3) and 5.5(g)(2) applicable to Units
shall apply to the Shares. The Exchange further represents that the VIX
options components of the Index, if any, must remain listed and traded
on a national securities exchange. In addition, the Exchange represents
that the Fund and the Shares will comply with all other requirements
applicable to Units including, but not limited to, requirements
relating to the dissemination of key information such as the value of
the Index, IIV, and NAV, rules governing the trading of equity
securities, trading hours, trading halts, surveillance, information
barriers, and Information Bulletin to Equity Trading Permit (``ETP'')
Holders (each as
[[Page 34105]]
described in more detail herein), as set forth in Exchange rules
applicable to Units and prior Commission orders approving the generic
listing rules applicable to the listing and trading of Units.\16\
---------------------------------------------------------------------------
\16\ See, e.g ., Securities Exchange Act Release No. 44551 (July
12, 2001), 66 FR 37716 (July 19, 2001) (SR-PCX-2001-14) (order
approving generic listing standards for ICUs and Portfolio
Depositary Receipts); Securities Exchange Act Release No. 41983
(October 6, 1999), 64 FR 56008 (October 15, 1999) (SR-PCX-98-29)
(order approving rules for listing and trading of ICUs).
---------------------------------------------------------------------------
The Fund's NAV will be determined as of the close of trading
(normally 4 p.m., E.T.) on each day the NYSE is open for business. NAV
will be calculated for the Fund by taking the market price of the
Fund's total assets, including interest or dividends accrued but not
yet collected, less all liabilities, and dividing such amount by the
total number of Shares outstanding. The result, rounded to the nearest
cent, will be the NAV per Share. All valuations will be subject to
review by the Trust's Board of Trustees (``Board'') or its
delegate.\17\
---------------------------------------------------------------------------
\17\ The Fund's investments will be valued at market value or,
in the absence of market value with respect to any portfolio
securities, at fair value in accordance with valuation procedures
adopted by the Board and in accordance with the 1940 Act.
---------------------------------------------------------------------------
Additional information regarding the Trust and the Shares,
including investment strategies, risks, creation and redemption
procedures, fees, portfolio holdings disclosure policies,
distributions, and taxes is included in the Registration Statement. All
terms relating to the Fund that are referred to, but not defined in,
this proposed rule change are defined in the Registration Statement.
Trading Halts
With respect to trading halts, the Exchange may consider all
relevant factors in exercising its discretion to halt or suspend
trading in the Shares of the Fund.\18\ If the IIV or the Index value is
not being disseminated as required, the Corporation may halt trading
during the day in which the interruption to the dissemination of the
applicable IIV or Index value occurs. If the interruption to the
dissemination of the applicable IIV or Index value persists past the
trading day in which it occurred, the Corporation will halt trading.
Trading in Shares of the Fund will be halted if the circuit breaker
parameters in NYSE Arca Equities Rule 7.12 have been reached. Trading
also may be halted because of market conditions or for reasons that, in
the view of the Exchange, make trading in the Shares inadvisable. These
may include: (1) The extent to which trading is not occurring in the
securities and/or the financial instruments comprising the Fund's
portfolio; or (2) whether other unusual conditions or circumstances
detrimental to the maintenance of a fair and orderly market are
present. In addition, 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 on the Exchange until such time as the NAV
is available to all market participants.
---------------------------------------------------------------------------
\18\ See NYSE Arca Equities Rule 7.12, Commentary .04.
---------------------------------------------------------------------------
Trading Rules
The Exchange deems the Shares to be equity securities, thus
rendering trading in the Shares subject to the Exchange's existing
rules governing the trading of equity securities. Shares will trade on
the NYSE Arca Marketplace from 4 a.m. to 8 p.m., E.T. in accordance
with NYSE Arca Equities Rule 7.34 (Opening, Core, and Late Trading
Sessions). The Exchange has appropriate rules to facilitate
transactions in the Shares during all trading sessions. As provided in
NYSE Arca Equities Rule 7.6, Commentary .03, the minimum price
variation (``MPV'') for quoting and entry of orders in equity
securities traded on the NYSE Arca Marketplace is $0.01, with the
exception of securities that are priced less than $1.00 for which the
MPV for order entry is $0.0001.
Surveillance
The Exchange intends to utilize its existing surveillance
procedures applicable to derivative products (which include Investment
Company Units) to monitor trading in the Shares. 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 applicable federal securities
laws.
The Exchange's current trading surveillance focuses on detecting
securities trading outside their normal patterns. When such situations
are detected, surveillance analysis follows and investigations are
opened, where appropriate, to review the behavior of all relevant
parties for all relevant trading violations.
The Exchange may obtain information via the ISG from other
exchanges that are members of ISG or with which the Exchange has in
place a comprehensive surveillance sharing agreement.\19\ The equity
securities and VIX options in which the Fund will invest will trade in
markets that are ISG members or are parties to comprehensive
surveillance sharing agreements with the Exchange.
---------------------------------------------------------------------------
\19\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of the
Fund's portfolio may trade on markets that are members of ISG or
with which the Exchange has in place a comprehensive surveillance
sharing agreement.
---------------------------------------------------------------------------
In addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
Information Bulletin
Prior to the commencement of trading, the Exchange will inform its
ETP Holders in an Information Bulletin (``Bulletin'') of the special
characteristics and risks associated with trading the Shares.
Specifically, the Bulletin will discuss the following: (1) The
procedures for purchases and redemptions of Shares in Creation Unit
Aggregations (and that Shares are not individually redeemable); (2)
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; (3) the risks involved in trading
the Shares during the Opening and Late Trading Sessions when an updated
IIV will not be calculated or publicly disseminated; (4) how
information regarding the IIV is disseminated; (5) 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 (6) trading information.
In addition, the Bulletin will reference that the Fund is subject
to various fees and expenses described in the Registration Statement.
The Bulletin will discuss any exemptive, no-action, and interpretive
relief granted by the Commission from any rules under the Act. The
Bulletin will also disclose that the NAV for the Shares will be
calculated after 4 p.m., E.T. each trading day.
2. Statutory Basis
The basis under the Act for this proposed rule change is the
requirement under Section 6(b)(5) \20\ that an exchange have rules that
are designed to prevent fraudulent and manipulative acts and practices,
to promote just and equitable principles of trade, to remove
impediments to, and perfect the mechanism of a free and open market
and, in general, to protect investors and the public interest.
---------------------------------------------------------------------------
\20\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
The Exchange believes that the proposed rule change is designed to
prevent fraudulent and manipulative acts and practices in that the
Shares will be listed and traded on the Exchange
[[Page 34106]]
pursuant to the initial and continued listing criteria in NYSE Arca
Equities Rule 5.2(j)(3). The Exchange has in place surveillance
procedures that are adequate to properly monitor trading in the Shares
in all trading sessions and to deter and detect violations of Exchange
rules and applicable federal securities laws. The Index Provider is not
a broker-dealer and has implemented procedures designed to prevent the
use and dissemination of material, non-public information regarding the
Index. The Index is predominately S&P 500 companies and includes an
exposure to VIX call options. All securities in the S&P 500 Index are
listed and traded on a national securities exchange. Options on the VIX
are traded on the CBOE. All components of the Index have active, liquid
markets on national securities exchanges. The Exchange may obtain
information via ISG from other exchanges that are members of ISG or
with which the Exchange has entered into a comprehensive surveillance
sharing agreement. The equity securities and VIX options in which the
Fund will invest will trade in markets that are ISG members or are
parties to comprehensive surveillance sharing agreements with the
Exchange.
The proposed rule change is designed to promote just and equitable
principles of trade and to protect investors and the public interest in
that the Exchange will obtain a representation from the issuer of the
Shares that the NAV per Share will be calculated daily and that the NAV
will be made available to all market participants at the same time. In
addition, a large amount of information is publicly available regarding
the Fund and the Shares, thereby promoting market transparency.
Moreover, the IIV and the Index value will be widely disseminated by
one or more major market data vendors at least every 15 seconds during
the Exchange's Core Trading Session. If the IIV or the Index value is
not being disseminated as required, the Corporation may halt trading
during the day in which the interruption to the dissemination of the
applicable IIV or Index value occurs. If the interruption to the
dissemination of the applicable IIV or Index value persists past the
trading day in which it occurred, the Corporation will halt trading. In
addition, 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 on the Exchange until such time as the NAV is
available to all market participants. On each business day, before
commencement of trading in Shares in the Core Trading Session on the
Exchange, the Fund will disclose on its Web site the securities and
other financial instruments in the Fund's portfolio that will form the
basis for the Fund's calculation of NAV at the end of the business day.
Information regarding market price and trading volume of the Shares is
and will be continually available on a real-time basis throughout the
day on brokers' computer screens and other electronic services, and
quotation and last-sale information will be available via the CTA high-
speed line. The Web site for the Fund will include a form of the
prospectus for the Fund and additional data relating to NAV and other
applicable quantitative information. Moreover, prior to the
commencement of trading, the Exchange will inform its ETP Holders in an
Information Bulletin of the special characteristics and risks
associated with trading the Shares. Trading in Shares of the Fund will
be halted if the circuit breaker parameters in NYSE Arca Equities Rule
7.12 have been reached or because of market conditions or for reasons
that, in the view of the Exchange, make trading in the Shares
inadvisable. In addition, as noted above, investors will have ready
access to information regarding the Fund's holdings, the IIV, Index
value, and quotation and last-sale information for the Shares.
The proposed rule change is designed to perfect the mechanism of a
free and open market and, in general, to protect investors and the
public interest in that it will facilitate the listing and trading of
an additional type of Units that will enhance competition among market
participants, to the benefit of investors and the marketplace. As noted
above, the Exchange has in place surveillance procedures relating to
trading in the Shares and may obtain information via ISG from other
exchanges that are members of ISG or with which the Exchange has
entered into a comprehensive surveillance sharing agreement. In
addition, as noted above, investors will have ready access to
information regarding the Fund's holdings, the IIV, Index value, and
quotation and last-sale information for the Shares.
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
No written comments were solicited or received with respect to the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) By order approve or disapprove the proposed rule change, or
(B) Institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Exchange Act. Comments may be submitted
by any of the following methods:
Electronic Comments
Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to rule-comments@sec.gov. Please include
File Number SR-NYSEArca-2012-50 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSEArca-2012-50. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (https://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than
[[Page 34107]]
those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street NE.,
Washington, DC 20549, on official business days between the hours of 10
a.m. and 3 p.m. Copies of the filing also will be available for
inspection and copying at the principal office of the Exchange. All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-NYSEArca-2012-50 and should
be submitted on or before June 29, 2012.
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\21\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\21\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-13964 Filed 6-7-12; 8:45 am]
BILLING CODE 8011-01-P
