Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting Approval of Proposed Rule Change, as Modified by Amendment Nos. 1 and 2 Thereto, Relating to the Listing and Trading of Shares of the SPDR SSgA Global Managed Volatility ETF Under NYSE Arca Equities Rule 8.600, 30519-30525 [2015-12829]
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Federal Register / Vol. 80, No. 102 / Thursday, May 28, 2015 / Notices
All submissions should refer to File
Number SR–CBOE–2015–049. 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
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE.,
Washington, DC 20549, on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of 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–CBOE–
2015–049 and should be submitted on
or before June 18, 2015.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.10
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015–12828 Filed 5–27–15; 8:45 am]
BILLING CODE 8011–01–P
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.6
Robert W. Errett,
Deputy Secretary.
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–75033; File No. SR–
NYSEMKT–2015–17]
asabaliauskas on DSK5VPTVN1PROD with NOTICES
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder,2 a
proposed rule change to modify the
Market Maker appointment and
withdrawal process used by the
Exchange. The proposed rule change
was published for comment in the
Federal Register on April 8, 2015.3 The
Commission received no comment
letters on the proposed rule change.
Section 19(b)(2) of the Act 4 provides
that within 45 days of the publication of
notice of the filing of a proposed rule
change, or within such longer period up
to 90 days as the Commission may
designate if it finds such longer period
to be appropriate and publishes its
reasons for so finding or as to which the
self-regulatory organization consents,
the Commission shall either approve the
proposed rule change, disapprove the
proposed rule change, or institute
proceedings to determine whether the
proposed rule change should be
disapproved. The 45th day for this filing
is May 23, 2015. The Commission is
extending this 45-day time period.
The Commission finds it appropriate
to designate a longer period within
which to take action on the proposed
rule change so that it has sufficient time
to consider this proposed rule change.
The proposed rule change, if approved,
would modify the Market Maker
appointment and withdrawal process
used by the Exchange.
Accordingly, the Commission,
pursuant to Section 19(b)(2) of the Act,5
designates July 7, 2015, as the date by
which the Commission should either
approve or disapprove, or institute
proceedings to determine whether to
disapprove, the proposed rule change
(File No. SR–NYSEMKT–2015–17).
[FR Doc. 2015–12837 Filed 5–27–15; 8:45 am]
Self-Regulatory Organizations; NYSE
MKT LLC.; Notice of Designation of a
Longer Period for Commission Action
on a Proposed Rule Change To Modify
the Appointment Process Utilized by
the Exchange
BILLING CODE 8011–01–P
May 21, 2015.
On March 20, 2015, NYSE MKT LLC,
(‘‘NYSE MKT’’ or ‘‘Exchange’’) filed
with the Securities and Exchange
Commission (the ‘‘Commission’’),
pursuant to Section 19(b)(1) of the
10 17
CFR 200.30–3(a)(12).
VerDate Sep<11>2014
18:18 May 27, 2015
Jkt 235001
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 74636
(April 2, 2015), 80 FR 18884.
4 15 U.S.C. 78s(b)(2).
5 Id.
6 17 CFR 200.30–3(a)(31).
2 17
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30519
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–75023; File No. SR–
NYSEArca–2014–100]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Order Granting Approval of
Proposed Rule Change, as Modified by
Amendment Nos. 1 and 2 Thereto,
Relating to the Listing and Trading of
Shares of the SPDR SSgA Global
Managed Volatility ETF Under NYSE
Arca Equities Rule 8.600
May 21, 2015.
I. Introduction
On September 5, 2014, NYSE Arca,
Inc. (‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’), pursuant to Section
19(b)(1) of the Securities Exchange Act
of 1934 (‘‘Act’’) 1 and Rule 19b–4
thereunder,2 a proposed rule change to
list and trade shares (‘‘Shares’’) of the
SPDR SSgA Global Managed Volatility
ETF (‘‘Fund’’) under NYSE Arca
Equities Rule 8.600, which governs the
listing and trading of Managed Fund
Shares. The proposed rule change was
published for comment in the Federal
Register on September 24, 2014.3 On
November 4, 2014, 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 December 22, 2014, the
Commission instituted proceedings
under Section 19(b)(2)(B) of the Act 6 to
determine whether to approve or
disapprove the proposed rule change.7
In the Order Instituting Proceedings, the
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 73141
(Sept. 18, 2014), 79 FR 57161 (‘‘Notice’’).
4 15 U.S.C. 78s(b)(2).
5 See Securities Exchange Act Release No. 73515,
79 FR 66758 (Nov. 10, 2014). The Commission
designated a longer period within which to take
action on the proposed rule change and designated
December 23, 2014, as the date by which it should
approve, disapprove, or institute proceedings to
determine whether to disapprove the proposed rule
change.
6 15 U.S.C. 78s(b)(2)(B).
7 See Securities Exchange Act Release No. 73914,
79 FR 78524 (Dec. 30, 2014) (‘‘Order Instituting
Proceedings’’). Specifically, the Commission
instituted proceedings to allow for additional
analysis of the proposed rule change’s consistency
with Section 6(b)(5) of the Act, which requires,
among other things, that the rules of a national
securities exchange be ‘‘designed to prevent
fraudulent and manipulative acts and practices, to
promote just and equitable principles of trade,’’ and
‘‘to protect investors and the public interest.’’ See
id., 79 FR at 78530.
2 17
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Federal Register / Vol. 80, No. 102 / Thursday, May 28, 2015 / Notices
Commission solicited responses to
specified matters related to the
proposal.8 The Commission received no
comment letters on the proposed rule
change.
The Exchange subsequently filed
Amendment No. 1 to the proposed rule
change on January 20, 2015.9 On March
20, 2015, pursuant to Section 19(b)(2) of
the Act,10 the Commission designated a
longer period for Commission action on
proceedings to determine whether to
disapprove the proposed rule change.11
On April 7, 2015, the Exchange filed
Amendment No. 2 to the proposed rule
change.12 The Commission published a
Notice of Filing of Amendment Nos. 1
and 2 to the proposed rule change for
comment in the Federal Register on
April 21, 2014.13 The Commission
received no comments on the proposal,
as modified by Amendment Nos. 1 and
2 thereto.
This order grants approval of the
proposed rule change, as modified by
Amendment Nos. 1 and 2 thereto.
asabaliauskas on DSK5VPTVN1PROD with NOTICES
II. Description of the Proposal, as
Modified by Amendment Nos. 1 and 2
Thereto
NYSE Arca proposes to list and trade
Shares of the Fund under NYSE Arca
Equities Rule 8.600, which governs the
listing and trading of Managed Fund
Shares on the Exchange. The Shares will
be offered by SSgA Active ETF Trust
(‘‘Trust’’), which is organized as a
8 See id. (soliciting public comment on the
statements of the Exchange contained in the Notice,
including statements made in connection with
information sharing procedures with respect to
certain non-U.S. equity security holdings and the
Exchange’s arguments regarding the applicability of
the definition of ‘‘Actively-Traded Securities’’
under Regulation M (‘‘Reg M’’)).
9 The text of Amendment No. 1, which amends
and replaces the proposed rule change in its
entirety, is available on the Exchange’s Web site, at
the principal office of the Exchange, and at the
Commission’s Public Reference Room. The text of
Amendment No. 1 to the proposed rule change is
also available on the Commission’s Web site. See
Letter from Martha Redding, Senior Counsel and
Assistant Secretary, New York Stock Exchange, to
Kevin M. O’Neill, Deputy Secretary, Commission
(Jan. 22, 2015), available at https://www.sec.gov/
comments/sr-nysearca-2014-100/nysearca20141001.pdf.
10 15 U.S.C. 78s(b)(2).
11 See Securities Exchange Act Release No. 74559,
80 FR 16047 (Mar. 26, 2015). The Commission
designated a longer period within which to take
action on the proposed rule change and designated
May 7, 2015 as the date by which it should
determine whether to disapprove the proposed rule
change. See also Securities Exchange Act Release
No. 74559A (Apr. 13, 2015) (correcting the date by
which the Commission must take action on
proceedings to determine whether to disapprove the
proposed rule change to May 22, 2015).
12 See Amendment No. 2, available at https://
www.sec.gov/comments/sr-nysearca-2014-100/
nysearca2014100-2.pdf.
13 See Securities Exchange Act Release No. 74729
(Apr. 15, 2015), 80 FR 22242.
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Massachusetts business trust and is
registered with the Commission as an
open-end management investment
company.14 SSgA Funds Management,
Inc. will serve as the investment adviser
to the Fund (‘‘Adviser’’).15 State Street
Global Markets, LLC will be the
principal underwriter and distributor of
the Fund’s Shares, and State Street Bank
and Trust Company (‘‘Custodian’’) will
serve as the administrator, custodian,
and transfer agent for the Fund. The
Exchange has made the following
representations and statements in
describing the Fund and its investment
strategy, including the Fund’s portfolio
holdings and investment restrictions.16
A. The Exchange’s Description of the
Fund’s Principal Investment Policies
According to the Exchange, the Fund
will seek to provide competitive, longterm returns while maintaining low,
long-term volatility relative to the broad
global market. Under normal
circumstances,17 the Fund will invest
14 The Trust is registered under the Investment
Company Act of 1940 (‘‘1940 Act’’). According to
the Exchange, on September 20, 2012, the Trust
filed with the Commission an amendment to its
registration statement on Form N–1A under the
Securities Act of 1933 (‘‘Securities Act’’) and under
the 1940 Act relating to the Fund (File Nos. 333–
173276 and 811–22542) (‘‘Registration Statement’’).
In addition, the Exchange states that the Trust has
obtained from the Commission certain exemptive
relief under the 1940 Act. See Investment Company
Act Release No. 29524 (Dec. 13, 2010) (File No.
812–13487).
15 The Exchange represents that the Adviser is not
a registered broker-dealer but is affiliated with a
broker-dealer and has implemented a ‘‘fire wall’’
with respect to such broker-dealer regarding access
to information concerning the composition of or
changes to the Fund’s portfolio. The Exchange
further represents that, in the event (a) the Adviser
or any sub-adviser becomes registered as a brokerdealer or newly affiliated with a broker-dealer, or
(b) any new adviser or sub-adviser is a registered
broker-dealer or becomes affiliated with a brokerdealer, the Adviser or any new adviser or subadviser, as the case may be, will implement a fire
wall with respect to its relevant personnel or
broker-dealer affiliate, as applicable, regarding
access to information concerning the composition
of or changes to the portfolio, and will be subject
to procedures designed to prevent the use and
dissemination of material, non-public information
regarding the portfolio.
16 The Commission notes that additional
information regarding the Fund, the Trust, and the
Shares, including investment strategies, risks,
creation and redemption procedures, fees, portfolio
holdings disclosure policies, calculation of net asset
value (‘‘NAV’’), distributions, and taxes, among
other things, can be found in Amendment No. 1 and
the Registration Statement, as applicable. See
Amendment No. 1 and Registration Statement,
supra notes 9 and 14, respectively.
17 With respect to the Fund, the term ‘‘under
normal circumstances’’ includes, but is not limited
to, the absence of extreme volatility or trading halts
in the equity markets or the financial markets
generally; operational issues causing dissemination
of inaccurate market information; or force majeure
type events such as systems failure, natural or manmade disaster, act of God, armed conflict, act of
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all of its assets in the SSgA Global
Managed Volatility Portfolio
(‘‘Portfolio’’), a separate series of the
SSgA Master Trust with an identical
investment objective as the Fund. As a
result, the Fund will invest indirectly
through the Portfolio.18
According to the Exchange, the
Adviser will utilize a proprietary
quantitative investment process to select
a portfolio of exchange-listed-andtraded equity securities that the Adviser
believes will exhibit low volatility and
provide competitive, long-term returns
relative to the broad global market.19
The Portfolio will invest its assets in
both U.S. and foreign investments. The
Portfolio will generally invest at least
80% of its net assets in global equity
securities and at least 30% of its net
assets in global equity securities of
issuers economically tied to countries
other than the United States. The
Portfolio will generally hold securities
of issuers economically tied to at least
three countries, including the United
States.20 The Portfolio may purchase
terrorism, riot or labor disruption, or any similar
intervening circumstance.
18 According to the Exchange, the Fund is
intended to be managed in a ‘‘master-feeder’’
structure, under which the Fund will invest
substantially all of its assets in the Portfolio (i.e.,
a ‘‘master fund’’), which is a separate 1940 Actregistered mutual fund that has an identical
investment objective. As a result, the Fund (i.e., the
‘‘feeder fund’’) will have an indirect interest in all
of the securities owned by the corresponding
Portfolio. Because of this indirect interest, the
Fund’s investment returns should be the same as
those of the Portfolio, adjusted for the expenses of
the Fund. The Exchange represents that, in general,
the Portfolio, which will be where investments will
be held, will primarily consist of equity securities
and, to a lesser extent, other investments as
described under ‘‘Non-Principal Investment
Policies’’ below. The Fund will invest in shares of
the Portfolio and will not invest in investments
described under ‘‘Non-Principal Investment
Policies,’’ but may be exposed to such investments
by means of the Fund’s investment in shares of the
Portfolio. The Exchange states that in extraordinary
instances, the Fund reserves the right to make direct
investments in equity securities and other
investments.
19 Volatility is a statistical measurement of the
magnitude of up and down fluctuations in the value
of a financial instrument or index over time.
Volatility may result in rapid and dramatic price
swings.
20 Investments in common stock of foreign
corporations may also be in the form of American
Depositary Receipts (‘‘ADRs’’), Global Depositary
Receipts (‘‘GDRs’’), and European Depositary
Receipts (‘‘EDRs’’) (collectively ‘‘Depositary
Receipts’’). Depositary Receipts are receipts,
typically issued by a bank or trust company, that
evidence ownership of underlying securities issued
by a foreign corporation. For ADRs, the depository
is typically a U.S. financial institution, and the
underlying securities are issued by a foreign issuer.
For other Depositary Receipts, the depository may
be a foreign or a U.S. entity, and the underlying
securities may have a foreign or a U.S. issuer.
Depositary Receipts will not necessarily be
denominated in the same currency as their
underlying securities. Generally, ADRs, in
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exchange-listed-and-traded common
stocks and preferred securities of U.S.
and foreign corporations (referred to
herein as ‘‘non-U.S. equity
securities’’).21 Under normal
circumstances, the Portfolio will
include a minimum of 20 exchangelisted-and-traded equity securities. The
Adviser expects to favor securities with
low exposure to market risk factors and
low security-specific risk. The Adviser
will consider market risk factors to
include, among others, a security’s size,
momentum, value, liquidity, leverage,
and growth. While the Adviser will
attempt to manage the Fund’s volatility
exposure to stabilize performance, there
can be no guarantee that the Fund will
reach its target volatility. Additionally,
the Adviser will implement risk
constraints at the security, industry, size
exposure, and sector levels. Through
this quantitative process of security
selection and portfolio diversification,
the Adviser expects that the Portfolio
will be subject to a low level of absolute
risk (as defined by standard deviation of
returns) and thus should exhibit low
volatility over the long term.
The Adviser will manage the
investments of the Portfolio. Under the
master-feeder arrangement, and
pursuant to the investment advisory
agreement between the Adviser and the
Trust, investment advisory fees charged
at the Portfolio level will be deducted
from the advisory fees charged at the
Fund level. This arrangement avoids a
‘‘layering’’ of fees, i.e., the Fund’s total
annual operating expenses would be no
higher as a result of investing in a
master-feeder arrangement than they
would be if the Fund pursued its
investment objectives directly. In
addition, the Fund may discontinue
investing through the master-feeder
arrangement and pursue its investment
objectives directly if the Fund’s Board of
Trustees (‘‘Board’’) determines that
registered form, are designed for use in the U.S.
securities market, and EDRs, in bearer form, are
designated for use in European securities markets.
GDRs are tradable both in the United States and in
Europe and are designed for use throughout the
world. The Portfolio may invest in unsponsored
Depositary Receipts. The issuers of unsponsored
Depositary Receipts are not obligated to disclose
material information in the United States, and,
therefore, there may be less information available
regarding such issuers, and there may not be a
correlation between such information and the
market value of the Depositary Receipts.
Unsponsored Depositary Receipts will not exceed
10% of the Fund’s net assets.
21 For purposes of this filing, the term ‘‘non-U.S.
equity securities’’ includes the following: Common
stocks and preferred securities of foreign
corporations; non-U.S. exchange-traded real estate
investment trusts (‘‘REITs’’), as referenced below;
and Depositary Receipts (excluding Depositary
Receipts that are registered under the Act).
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18:18 May 27, 2015
Jkt 235001
doing so would be in the best interests
of shareholders.
Under normal circumstances, the nonU.S. equity securities in the Fund’s
portfolio will meet the following criteria
at time of purchase: (1) Non-U.S. equity
securities each shall have a minimum
market value of at least $100 million; (2)
non-U.S. equity securities each shall
have a minimum global monthly trading
volume of 250,000 shares, or minimum
global notional volume traded per
month of $25,000,000, averaged over the
last six months; (3) the most heavily
weighted non-U.S. equity security shall
not exceed 25% of the weight of the
Fund’s entire portfolio, and, to the
extent applicable, the five most heavily
weighted non-U.S. equity securities
shall not exceed 60% of the weight of
the Fund’s entire portfolio; and (4) each
non-U.S. equity security shall be listed
and traded on an exchange that has lastsale reporting.22
The Portfolio and Fund do not intend
to concentrate their investments in any
particular industry. The Portfolio and
Fund will look to the Global Industry
Classification Standard (‘‘GICS’’) Level 3
(Industries) in making industry
determinations.23
The Portfolio may invest in exchangetraded preferred securities. Preferred
securities pay fixed or adjustable rate
dividends to investors and have
‘‘preference’’ over common stock in the
payment of dividends and the
liquidation of a company’s assets.
B. The Exchange’s Description of the
Fund’s Non-Principal Investment
Policies
In certain situations or market
conditions, in order to take temporary
defensive positions, the Fund may
(either directly or through the Portfolio)
temporarily depart from its normal
investment policies and strategies,
provided that the alternative is
consistent with the Fund’s investment
objective and is in the best interest of
the Fund. For example, the Fund may
hold a higher than normal proportion of
its assets in cash in times of extreme
market stress. According to the
Exchange, in addition to the principal
investments described above, the
Portfolio may invest its remaining net
assets in other investments, as described
below. The investment practices of the
22 These criteria are similar to certain ‘‘generic’’
listing criteria in NYSE Arca Equities Rule 5.2(j)(3),
Commentary .01(a)(B), which relate to criteria
applicable to an index or portfolio of U.S. and nonU.S. stocks underlying a series of Investment
Company Units to be listed and traded on the
Exchange pursuant to Rule 19b–4(e) under the Act.
23 GICS classifications can be found on the
Standard & Poor’s Web site at https://
www.us.spindices.com/search/?query=gics+map.
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30521
Portfolio are the same in all material
respects as those of the Fund.
The Portfolio may invest in U.S.
Government obligations 24 and U.S.registered, dollar-denominated bonds of
foreign corporations, governments,
agencies, and supra-national entities.
The Portfolio also may invest in
restricted securities.25
The Portfolio may conduct foreign
currency transactions on a spot (i.e.,
cash) or forward basis (i.e., by entering
into forward contracts to purchase or
sell foreign currencies).
The Portfolio may invest in exchangetraded products (‘‘ETPs’’), including
exchange-traded funds (‘‘ETFs’’)
registered under the 1940 Act,
exchange-traded commodity trusts, and
exchange-traded notes.26 The Portfolio
24 U.S. Government obligations are a type of
bond. U.S. Government obligations include
securities issued or guaranteed as to principal and
interest by the U.S. Government or its agencies or
instrumentalities. One type of U.S. Government
obligation, U.S. Treasury obligations, are backed by
the full faith and credit of the U.S. Treasury and
differ only in their interest rates, maturities, and
times of issuance. U.S. Treasury bills have initial
maturities of one-year or less; U.S. Treasury notes
have initial maturities of one to ten years; and U.S.
Treasury bonds generally have initial maturities of
greater than ten years. Other U.S. Government
obligations are issued or guaranteed by agencies or
instrumentalities of the U.S. Government including,
but not limited to, the Federal National Mortgage
Association, the Government National Mortgage
Association (‘‘Ginnie Mae’’), the Small Business
Administration, the Federal Farm Credit
Administration, the Federal Home Loan Mortgage
Corporation, the Federal Home Loan Banks, Banks
for Cooperatives (including the Central Bank for
Cooperatives), the Federal Land Banks, the Federal
Intermediate Credit Banks, the Tennessee Valley
Authority, the Export-Import Bank of the United
States, the Commodity Credit Corporation, the
Federal Financing Bank, the National Credit Union
Administration, and the Federal Agricultural
Mortgage Corporation. Some obligations issued or
guaranteed by U.S. Government agencies or
instrumentalities, including, for example, Ginnie
Mae pass-through certificates, are supported by the
full faith and credit of the U.S. Treasury.
25 Restricted securities are securities that are not
registered under the Securities Act, but which can
be offered and sold to ‘‘qualified institutional
buyers’’ under Rule 144A under the Securities Act.
The Board has delegated to the Adviser the
responsibility for determining the liquidity of Rule
144A restricted securities that the Portfolio may
invest in. In reaching liquidity decisions, the
Adviser may consider the following factors: the
frequency of trades and quotes for the security; the
number of dealers wishing to purchase or sell the
security and the number of other potential
purchasers; dealer undertakings to make a market
in the security; and the nature of the security and
the nature of the marketplace in which it trades
(e.g., the time needed to dispose of the security, the
method of soliciting offers, and the mechanics of
transfer).
26 For purposes of this filing, ETPs include
Investment Company Units (as described in NYSE
Arca Equities Rule 5.2(j)(3)); Index-Linked
Securities (as described in NYSE Arca Equities Rule
5.2(j)(6)); Portfolio Depositary Receipts (as
described in NYSE Arca Equities Rule 8.100); Trust
Issued Receipts (as described in NYSE Arca
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asabaliauskas on DSK5VPTVN1PROD with NOTICES
also may invest in the securities of other
investment companies, including
money market funds and exchangetraded closed-end funds, subject to
applicable limitations under Section
12(d)(1) of the 1940 Act.27 The Portfolio
may invest up to 25% of its total assets
in one or more ETPs that are qualified
publicly traded partnerships
(‘‘QPTPs’’) 28 and whose principal
activities are the buying and selling of
commodities or options, futures, or
forwards with respect to commodities.
The Portfolio may invest in exchangetraded shares of REITs.
The Portfolio may invest in
repurchase agreements with commercial
banks, brokers, or dealers to generate
income from its excess cash balances
and to invest securities lending cash
collateral.29 The Portfolio may also
Equities Rule 8.200); Commodity-Based Trust
Shares (as described in NYSE Arca Equities Rule
8.201); Currency Trust Shares (as described in
NYSE Arca Equities Rule 8.202); Commodity Index
Trust Shares (as described in NYSE Arca Equities
Rule 8.203); and Managed Fund Shares (as
described in NYSE Arca Equities Rule 8.600). The
Portfolio may invest in ETFs managed by the
Adviser. The Adviser may receive management or
other fees from the ETPs in which the Portfolio or
Fund may invest, as well as a management fee for
managing the Fund. The ETPs all will be listed and
traded in the U.S. on national securities exchanges.
27 The Fund will invest substantially all of its
assets in the Portfolio. The Exchange states that,
pursuant to Section 12(d)(1) of the 1940 Act, a fund
may invest in the securities of another investment
company (the ‘‘acquired company’’) provided that
the fund, immediately after such purchase or
acquisition, does not own in the aggregate: (i) More
than 3% of the total outstanding voting stock of the
acquired company; (ii) securities issued by the
acquired company having an aggregate value in
excess of 5% of the value of the total assets of the
fund; (iii) securities issued by the acquired
company and all other investment companies (other
than Treasury stock of the fund) having an aggregate
value in excess of 10% of the value of the total
assets of the fund; or (iv) in the case of investment
in a closed-end fund, more than 10% of the total
outstanding voting stock of the acquired company.
The Fund may also invest in the securities of other
investment companies if such securities are the
only investment securities held by the Fund, such
as through a master-feeder arrangement. The Fund
currently will pursue its investment objective
through such an arrangement. To the extent allowed
by law, regulation, the Fund’s investment
restrictions, and the Trust’s exemptive relief, the
Fund may invest its assets in securities of
investment companies that are money market
funds, including those advised by the Adviser or
otherwise affiliated with the Adviser, in excess of
the limits discussed above.
28 A QPTP is an entity that is treated as a
partnership for federal income tax purposes, subject
to certain requirements. If such an ETP fails to
qualify as a QPTP, the income generated from the
Portfolio’s investment in the ETP may not comply
with certain income tests necessary for the Portfolio
to qualify as a regulated investment company under
Subchapter M of the Internal Revenue Code.
29 A repurchase agreement is an agreement under
which a fund acquires a financial instrument (e.g.,
a security issued by the U.S. government or an
agency thereof, a banker’s acceptance, or a
certificate of deposit) from a seller, subject to resale
to the seller at an agreed upon price and date
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enter into reverse repurchase
agreements.30
In addition to repurchase agreements,
the Portfolio may invest in short-term
instruments, including money market
instruments (including money market
funds advised by the Adviser), cash, and
cash equivalents, on an ongoing basis to
provide liquidity or for other reasons.31
C. The Exchange’s Description of the
Fund’s Investment Restrictions
According to the Exchange, the Fund
may hold up to an aggregate amount of
15% of its net assets in illiquid assets
(calculated at the time of investment),
including Rule 144A securities deemed
illiquid by the Adviser. 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. Illiquid assets include securities
subject to contractual or other
restrictions on resale and other
instruments that lack readily available
markets as determined in accordance
with Commission staff guidance.
The Exchange represents that the
Portfolio and the Fund will be classified
as a ‘‘non-diversified’’ investment
company under the 1940 Act. A nondiversified classification means that the
Portfolio or Fund is not limited by the
(normally, the next business day). A repurchase
agreement may be considered a loan collateralized
by securities. The resale price reflects an agreed
upon interest rate effective for the period the
instrument is held by a fund and is unrelated to the
interest rate on the underlying instrument.
30 Reverse repurchase agreements involve the sale
of securities with an agreement to repurchase the
securities at an agreed-upon price, date, and interest
payment, and have the characteristics of borrowing.
31 Money market instruments are generally shortterm investments that may include but are not
limited to: (i) Shares of money market funds; (ii)
obligations issued or guaranteed by the U.S.
government, its agencies, or its instrumentalities
(including government-sponsored enterprises); (iii)
negotiable certificates of deposit, bankers’
acceptances, fixed time deposits, and other
obligations of U.S. and foreign banks (including
foreign branches) and similar institutions; (iv)
commercial paper rated at the date of purchase
‘‘Prime-1’’ by Moody’s or ‘‘A–1’’ by Standard &
Poor’s, or if unrated, of comparable quality as
determined by the Adviser; (v) non-convertible
corporate debt securities (e.g., bonds and
debentures) with remaining maturities at the date
of purchase of not more than 397 days and that
satisfy the rating requirements set forth in Rule 2a–
7 under the 1940 Act; (vi) short-term U.S. dollardenominated obligations of foreign banks
(including U.S. branches) that, in the opinion of the
Adviser, are of comparable quality to obligations of
U.S. banks which may be purchased by the
Portfolio; and (vii) variable rate demand notes.
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1940 Act with regard to the percentage
of its assets that may be invested in the
securities of a single issuer. This means
that the Portfolio or Fund may invest a
greater portion of its assets in the
securities of a single issuer than a
diversified fund. Although the Portfolio
and Fund will be non-diversified for
purposes of the 1940 Act, the Portfolio
and Fund intend to maintain the
required level of diversification and
otherwise conduct its operations so as to
qualify as a ‘‘regulated investment
company’’ for purposes of the Internal
Revenue Code of 1986.
The Exchange represents that neither
the Fund nor the Portfolio will invest in
options, futures contracts, or swap
agreements. The Exchange further
represents that the Fund’s and
Portfolio’s investments will be
consistent with the Fund’s investment
objective and will not be used to
enhance leverage.
III. Discussion and Commission
Findings
After careful review, the Commission
finds that the Exchange’s proposal to list
and trade the Shares is consistent with
the Exchange Act and the rules and
regulations thereunder applicable to a
national securities exchange.32 In
particular, the Commission finds that
the proposed rule change, as modified
by Amendment Nos. 1 and 2 thereto, is
consistent with Section 6(b)(5) of the
Exchange Act,33 which requires, among
other things, that the Exchange’s rules
be designed to promote just and
equitable principles of trade, to remove
impediments to and perfect the
mechanism of a free and open market
and a national market system, and, in
general, to protect investors and the
public interest.
The Commission also finds that the
proposal to list and trade the Shares on
the Exchange is consistent with Section
11A(a)(1)(C)(iii) of the Exchange Act,34
which sets forth the finding of Congress
that it is in the public interest and
appropriate for the protection of
investors and the maintenance of fair
and orderly markets to assure the
availability to brokers, dealers, and
investors of information with respect to
quotations for and transactions in
securities. Quotation and last-sale
information for the Shares will be
available via the Consolidated Tape
Association (‘‘CTA’’) high-speed line. In
addition, the Indicative Optimized
32 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).
33 15 U.S.C. 78f(b)(5).
34 15 U.S.C. 78k–1(a)(1)(C)(iii).
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Portfolio Value (‘‘IOPV’’),35 which is the
Portfolio Indicative Value as defined in
NYSE Arca Equities Rule 8.600(c)(3),
will be widely disseminated at least
every 15 seconds during the Exchange’s
Core Trading Session by one or more
major market data vendors.36 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 Disclosed
Portfolio that will form the basis for the
Fund’s calculation of NAV at the end of
the business day.37 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 New York
Stock Exchange (‘‘NYSE’’) via the
National Securities Clearing
Corporation. The basket represents one
Creation Unit of the Fund.
The NAV of the Portfolio will be
calculated by the Custodian and
determined at the close of the regular
trading session on the NYSE (ordinarily
4:00 p.m. Eastern time) on each day that
the NYSE is open, provided that fixedincome assets (and, accordingly, the
Portfolio’s NAV) may be valued as of the
announced closing time for trading in
fixed-income instruments on any day
that the Securities Industry and
Financial Markets Association (or
applicable exchange or market on which
the Portfolio’s investments are traded)
announces an early closing time.38
35 The IOPV calculation will be an estimate of the
value of the Fund’s NAV per Share using market
data converted into U.S. dollars at the current
currency rates. The IOPV price will be based on
quotes and closing prices from the securities’ local
market and may not reflect events that occur
subsequent to the local market’s close. Premiums
and discounts between the IOPV and the market
price of the Shares may occur. The IOPV should not
be viewed as a ‘‘real-time’’ update of the NAV per
Share of the Fund, which will be calculated only
once a day.
36 According to the Exchange, several major
market data vendors display and make widely
available IOPVs taken from CTA or other data feeds.
37 On a daily basis, the Fund will disclose for
each portfolio security or other financial instrument
of the Fund and of the Portfolio the following
information on the Fund’s Web site: ticker symbol
(if applicable); name of security and financial
instrument; number of shares and 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.
38 The NAV per Share for the Fund will be
computed by dividing the value of the net assets of
the Portfolio (i.e., the value of its total assets less
total liabilities) by the total number of Shares
outstanding, rounded to the nearest cent. According
to the Exchange, common stocks and exchangetraded equity securities (including shares of
preferred securities, ETPs, closed-end funds,
QPTPs, REITs, and Depositary Receipts (other than
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Information regarding market price and
trading volume of the Shares will be
continuously 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. The Exchange
represents that, with respect to U.S.
exchange-listed equity securities, the
intra-day, closing and settlement prices
of common stocks and exchange-traded
equity securities (including shares of
preferred securities, ETPs, closed-end
funds, QPTPs, REITs, and U.S.
exchange-listed Depositary Receipts)
will be readily available from the
unsponsored Depositary Receipts traded in the OTC
market) traded on a national securities exchange
generally will be valued at the last reported sale
price or the official closing price on that exchange
where the stock is primarily traded on the day that
the valuation is made. Foreign exchange-traded
equities and listed ADRs will be valued at the last
sale or official closing price on the relevant
exchange on the valuation date. If, however, neither
the last sale price nor the official closing price is
available, each of these securities will be valued at
either the last reported sale price or official closing
price as of the close of regular trading of the
principal market on which the security is listed.
According to the Exchange, securities of investment
companies (other than ETFs registered under the
1940 Act), including affiliated funds, money market
funds, and closed-end funds, will be valued at
NAV. Unsponsored Depositary Receipts, which are
traded in the OTC market, will be valued at the last
reported sale price from the OTC Bulletin Board or
OTC Link LLC on the valuation date. Rule 144A
securities, repurchase agreements, and reverse
repurchase agreements will generally be valued at
bid prices received from independent pricing
services as of the announced closing time for
trading in such instruments. Spot currency
transactions will generally be valued at bid prices
received from independent pricing service
converted into U.S. dollars at current market rates
on the date of valuation. Foreign currency forwards
normally will be valued on the basis of quotes
obtained from broker-dealers or third party pricing
services. According to the Exchange, fixed income
securities, including U.S. Government obligations;
U.S. registered, dollar-denominated bonds of
foreign corporations, governments, agencies; and
supra-national entities; and short-term instruments
will generally be valued at bid prices received from
independent pricing services as of the announced
closing time for trading in fixed-income
instruments in the respective market or exchange.
In determining the value of a fixed income
investment, pricing services determine valuations
for normal institutional-size trading units of such
securities using valuation models or matrix pricing,
which incorporates yield and/or price with respect
to bonds that are considered comparable in
characteristics such as rating, interest rate, and
maturity date and quotations from securities dealers
to determine current value. Any assets or liabilities
denominated in currencies other than the U.S.
dollar will be converted into U.S. dollars at the
current market rates on the date of valuation as
quoted by one or more sources. In the event that
current market valuations are not readily available
or such valuations do not reflect current market
value, the SSgA Master Trust’s procedures require
the Pricing and Investment Committee to determine
a security’s fair value if a market price is not readily
available, in accordance with the 1940 Act.
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30523
national securities exchanges trading
such securities, automated quotation
systems, published or other public
sources, or on-line information services
such as Bloomberg or Reuters. With
respect to non-U.S. exchange-listed
equity securities, intra-day, closing, and
settlement prices of common stocks and
other equity securities (including shares
of preferred securities and non-U.S.
Depositary Receipts) will be available
from the foreign exchanges on which
such securities trade as well as from
major market-data vendors. Pricing
information regarding each asset class in
which the Fund or Portfolio will invest,
including Rule 144A securities,
repurchase agreements, reverse
repurchase agreements, and securities of
investment companies (other than ETFs
registered under the 1940 Act), will
generally be available through
nationally recognized data service
providers through subscription
arrangements. Quotation information
from brokers and dealers or pricing
services will be available for fixed
income securities, including U.S.
Government obligations; U.S. registered,
dollar-denominated bonds of foreign
corporations, governments, agencies,
and supra-national entities; short-term
instruments; unsponsored Depositary
Receipts; and spot and forward currency
transactions held by the Fund and
Portfolio.
The Commission further believes that
the proposal to list and trade the Shares
is reasonably designed to promote fair
disclosure of information that may be
necessary to price the Shares
appropriately and to prevent trading
when a reasonable degree of
transparency cannot be assured. The
Exchange will obtain a representation
from the issuer of the Shares that the
NAV per Share will be calculated daily
and that the NAV and the Disclosed
Portfolio will be made available to all
market participants at the same time.
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.39 Trading in the Shares will
be subject to NYSE Arca Equities Rule
8.600(d)(2)(D), which sets forth
39 These may include: (1) The extent to which
trading is not occurring in the securities or the
financial instruments constituting the Disclosed
Portfolio of the Fund; or (2) whether other unusual
conditions or circumstances detrimental to the
maintenance of a fair and orderly market are
present.
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circumstances under which Shares of
the Fund may be halted.
The Exchange represents that it has a
general policy prohibiting the
distribution of material, non-public
information by its employees.
The Exchange represents that the
Adviser is not a registered broker-dealer
but is affiliated with a broker-dealer and
has implemented a ‘‘fire wall’’ with
respect to that broker-dealer regarding
access to information concerning the
composition or changes to the Fund’s
portfolio.40 Prior to the commencement
of trading, the Exchange will inform its
Equity Trading Permit Holders in an
Information Bulletin (‘‘Bulletin’’) of the
special characteristics and risks
associated with trading the Shares. The
Exchange represents that trading in the
Shares will be subject to the existing
trading surveillances, administered by
the Financial Industry Regulatory
Authority (‘‘FINRA’’) on behalf of the
Exchange, which are designed to detect
violations of Exchange rules and
applicable federal securities laws.41
The Exchange represents that it deems
the Shares to be equity securities, thus
rendering trading in the Shares subject
to the Exchange’s existing rules
governing the trading of equity
securities. In support of this proposal,
the Exchange has also made the
following representations:
(1) The Shares will conform to the
initial and continued listing criteria
under NYSE Arca Equities Rule 8.600.
40 See supra note 15. The Exchange represents
that an investment adviser to an open-end fund is
required to be registered under the Investment
Advisers Act of 1940 (‘‘Advisers Act’’). As a result,
the Adviser and its related personnel are subject to
the provisions of Rule 204A–1 under the Advisers
Act relating to codes of ethics. This Rule requires
investment advisers to adopt a code of ethics that
reflects the fiduciary nature of the relationship to
clients as well as compliance with other applicable
securities laws. Accordingly, procedures designed
to prevent the communication and misuse of nonpublic information by an investment adviser must
be consistent with Rule 204A–1 under the Advisers
Act. In addition, Rule 206(4)–7 under the Advisers
Act makes it unlawful for an investment adviser to
provide investment advice to clients unless such
investment adviser has (i) adopted and
implemented written policies and procedures
reasonably designed to prevent violation, by the
investment adviser and its supervised persons, of
the Advisers Act and the Commission rules adopted
thereunder; (ii) implemented, at a minimum, an
annual review regarding the adequacy of the
policies and procedures established pursuant to
subparagraph (i) above and the effectiveness of their
implementation; and (iii) designated an individual
(who is a supervised person) responsible for
administering the policies and procedures adopted
under subparagraph (i) above.
41 The Exchange states that FINRA surveils
trading on the Exchange pursuant to a regulatory
services agreement. The Exchange is responsible for
FINRA’s performance under this regulatory services
agreement.
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(2) The Exchange has appropriate
rules to facilitate transactions in the
Shares during all trading sessions.
(3) Trading in the Shares will be
subject to the existing trading
surveillances, administered by FINRA
on behalf of the Exchange, which are
designed to detect violations of
Exchange rules and applicable federal
securities laws, and these procedures
are adequate to properly monitor
Exchange trading of the Shares in all
trading sessions and to deter and detect
violations of Exchange rules and federal
securities laws applicable to trading on
the Exchange.
(4) FINRA, on behalf of the Exchange,
will communicate as needed regarding
trading in the Shares, ETPs, and certain
exchange-traded securities underlying
the Shares with other markets and other
entities that are members of the
Intermarket Surveillance Group (‘‘ISG’’),
and FINRA, on behalf of the Exchange,
may obtain trading information
regarding trading in the Shares, ETPs
and certain exchange-traded securities
underlying the Shares from such
markets and other entities. In addition,
the Exchange may obtain information
regarding trading in the Shares, ETPs,
and certain exchange-traded securities
underlying the Shares from markets and
other entities that are members of ISG or
with which the Exchange has in place
a comprehensive surveillance sharing
agreement.42 The Exchange states that
FINRA, on behalf of the Exchange, is
able to access, as needed, trade
information for certain fixed income
securities held by the Fund reported to
FINRA’s Trade Reporting and
Compliance Engine.
(5) Prior to the commencement of
trading, the Exchange will inform its
Equity Trading Permit Holders in a
Bulletin of the special characteristics
and risks associated with trading the
Shares. Specifically, the Bulletin will
discuss the following: (i) The
procedures for purchases and
redemptions of Shares in Creation Unit
aggregations (and that Shares are not
individually redeemable); (ii) NYSE
Arca Equities Rule 9.2(a), which
imposes a duty of due diligence on its
Equity Trading Permit Holders to learn
the essential facts relating to every
customer prior to trading the Shares;
(iii) the risks involved in trading the
Shares during the Opening and Late
Trading Sessions when an updated
Portfolio Indicative Value will not be
42 For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all
components of the Disclosed Portfolio for the Fund
may trade on markets that are members of ISG or
with which the Exchange has in place a
comprehensive surveillance sharing agreement.
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calculated or publicly disseminated; (iv)
how information regarding the Portfolio
Indicative Value and the Disclosed
Portfolio is disseminated; (v) the
requirement that Equity Trading Permit
Holders deliver a prospectus to
investors purchasing newly issued
Shares prior to or concurrently with the
confirmation of a transaction; and (vi)
trading information.
(6) For initial and continued listing,
the Fund will be in compliance with
Rule 10A–3 under the Act,43 as
provided by NYSE Arca Equities Rule
5.3.
(7) The Fund may hold up to an
aggregate amount of 15% of its net
assets in illiquid assets (calculated at
the time of investment), including Rule
144A restricted securities deemed
illiquid by the Adviser.
(8) Neither the Fund nor the Portfolio
will invest in options, futures contracts,
or swap agreements.
(9) The Fund’s and Portfolio’s
investments will be consistent with its
investment objective and will not be
used to enhance leverage.
(10) Under normal circumstances, the
non-U.S. equity securities in the Fund’s
portfolio will meet the following criteria
at time of purchase: (a) Non-U.S. equity
securities each shall have a minimum
market value of at least $100 million; (b)
non-U.S. equity securities each shall
have a minimum global monthly trading
volume of 250,000 shares, or minimum
global notional volume traded per
month of $25,000,000, averaged over the
last six months; (c) the most heavily
weighted non-U.S. equity security shall
not exceed 25% of the weight of the
Fund’s entire portfolio, and, to the
extent applicable, the five most heavily
weighted non-U.S. equity securities
shall not exceed 60% of the weight of
the Fund’s entire portfolio; and (d) each
non-U.S. equity security shall be listed
and traded on an exchange that has lastsale reporting. In addition, under
normal circumstances, the Portfolio will
include a minimum of 20 exchangelisted and traded equity securities.
(11) The Portfolio and Fund do not
intend to concentrate their investments
in any particular industry. The Portfolio
and Fund will look to the GICS Level 3
(Industries) standard in making industry
determinations.
(12) Not more than 10% of the net
assets of the Fund will be invested in
unsponsored ADRs.
(13) A minimum of 100,000 Shares for
the Fund will be outstanding at the
commencement of trading on the
Exchange.
43 17
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Federal Register / Vol. 80, No. 102 / Thursday, May 28, 2015 / Notices
This approval order is based on all of
the Exchange’s representations,
including those set forth above and in
the Notice, Amendment Nos. 1 and 2 to
the proposed rule change, and the
Exchange’s description of the Fund. The
Commission notes that the Fund and the
Shares must comply with the
requirements of NYSE Arca Equities
Rule 8.600 to be initially and
continuously listed and traded on the
Exchange.
For the foregoing reasons, the
Commission finds that the proposed
rule change, as modified by Amendment
Nos. 1 and 2 thereto, is consistent with
Section 6(b)(5) of the Act 44 and the
rules and regulations thereunder
applicable to a national securities
exchange.
IV. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Exchange Act,45
that the proposed rule change (SR–
NYSEArca–2014–100), as modified by
Amendment Nos. 1 and 2 thereto, be,
and it hereby is, approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.46
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015–12829 Filed 5–27–15; 8:45 am]
BILLING CODE 8011–01–P
DEPARTMENT OF STATE
John
Hackett, Acting Director; Office of
Information Programs and Services, A/
GIS/IPS; Department of State, SA–2; 515
22nd Street NW., Washington, DC
20522–8100, or at Privacy@state.gov.
SUPPLEMENTARY INFORMATION: The
Department of State proposes that the
new system will be named ‘‘Official Gift
Records and Gift Donor Vetting
Records.’’ Official Gift Records consist
of an accounting of all donations
received on behalf of the Department of
State for the purposes of: (a)
Maintaining an historical record, (b)
properly allocating donations given for
a particular purpose, (c) determining
future solicitation and gift acceptance,
and (d) providing donors with
acknowledgment letters for tax
purposes.
Gift Donor Vetting Records are
maintained for the purpose of: (a)
Maintaining an historical record, and (b)
keeping an accounting of the due
diligence vetting conducted on
individuals to determine the potential
for conflicts of interest with respect to
gifts and potential gifts to, and potential
partnerships with, the Department of
State.
The Department’s report was filed
with the Office of Management and
Budget. The new system description,
‘‘Official Gift Records and Gift Donor
Vetting Records, State-80,’’ will read as
set forth below.
FOR FURTHER INFORMATION CONTACT:
[Public Notice 9152]
Joyce A. Barr,
Assistant Secretary for Administration, U.S.
Department of State.
Privacy Act; System of Records:
Official Gift Records and Gift Donor
Vetting Records, State-80
STATE-80
Notice is hereby given that
the Department of State proposes to
create a system of records, Official Gift
Records and Gift Donor Vetting Records,
State-80, pursuant to the provisions of
the Privacy Act of 1974, as amended (5
U.S.C. 552a) and Office of Management
and Budget Circular No. A–130,
Appendix I.
DATES: This system of records will be
effective on July 7, 2015, unless we
receive comments that will result in a
contrary determination.
ADDRESSES: Any persons interested in
commenting on the new system of
records may do so by writing to the
Director; Office of Information Programs
and Services, A/GIS/IPS; Department of
State, SA–2; 515 22nd Street NW.,
Washington, DC 20522–8100.
SUMMARY:
asabaliauskas on DSK5VPTVN1PROD with NOTICES
SYSTEM NAME:
44 15
U.S.C. 78f(b)(5).
U.S.C. 78s(b)(2).
46 17 CFR 200.30–3(a)(12).
45 15
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18:18 May 27, 2015
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Official Gift Records and Gift Donor
Vetting Records.
SYSTEM CLASSIFICATION:
Unclassified and Classified.
SYSTEM LOCATION:
Department of State, 2201 C Street
NW., Washington, DC 20520. Abroad at
U.S. embassies, U.S. consulates general,
and U.S. consulates; U.S. missions;
Department of State annexes; various
field and regional offices throughout the
United States.
CATEGORIES OF INDIVIDUALS COVERED BY THE
SYSTEM:
Individuals who have donated gifts,
who are being solicited to donate gifts,
and who are otherwise being vetted in
connection with potential gifts to, or
partnerships with, the Department of
State (defined for the purposes of this
System of Records Notice to include its
subsidiary divisions including U.S.
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30525
embassies, U.S. consulates general, U.S.
consulates, U.S. missions, Department
of State annexes, or various field and
regional offices throughout the United
States); and individuals who are points
of contact for corporations or
foundations that donate gifts to the
Department of State.
CATEGORIES OF RECORDS IN THE SYSTEM:
Records in this system include
information about gifts to the
Department of State (‘‘official gifts’’),
including gift donor and recipient
information and information about
individuals who are points of contact
for corporate or foundation donors.
Such information includes but is not
limited to:
(a) Information about the donor or
point of contact including name and
title, address, and relevant business
affiliations;
(b) Information about gifts and
recipients including descriptions of gifts
and decorations; the dollar value of
gifts; the recipient bureau, region, post
or office; the purpose of the donation as
expressed by the donor and/or the
soliciting office; the authority under
which the gift was received; the date of
receipt; type of gift (cash or in-kind);
date of check deposit; deposit number;
appropriation type (conditional or
unconditional); copies of checks
donated; copies of donor letters; copies
of acknowledgment letters; and
(c) Vetting records, which include (1)
identifying information about
individual gift donors or potential gift
donors or potential partners that is used
to conduct and narrow due diligence
research including the individual’s full
name, date of birth, last known
residence, Web site if any, affiliation if
any, and other identifying information
used to conduct vetting; and (2)
information obtained as a result of due
diligence searches, including but not
limited to criminal history information,
financial history information including
bankruptcies, information regarding
judgments, liens, and global sanctions,
and any other information relevant to
the determination as to whether there is
a conflict of interest.
AUTHORITY FOR MAINTENANCE OF THE SYSTEM:
22 U.S.C. 2621, 22 U.S.C. 2625,
Foreign Service Buildings Act of 1926,
Sec. 9, as amended (22 U.S.C. 300),
State Department Basic Authorities Act
of 1956, Sec. 25, as amended (22 U.S.C.
2697), Foreign Assistance Act of 1961,
Sec. 695(d), as amended (22 U.S.C.
2395(d)), Migration and Refugee
Assistance Act of 1962, Sec. 3(a)(2), as
amended (22 U.S.C. 2602), Foreign Gifts
and Decorations Act, as amended (5
E:\FR\FM\28MYN1.SGM
28MYN1
]]>Agencies
[Federal Register Volume 80, Number 102 (Thursday, May 28, 2015)]
[Notices]
[Pages 30519-30525]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-12829]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-75023; File No. SR-NYSEArca-2014-100]
Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting
Approval of Proposed Rule Change, as Modified by Amendment Nos. 1 and 2
Thereto, Relating to the Listing and Trading of Shares of the SPDR SSgA
Global Managed Volatility ETF Under NYSE Arca Equities Rule 8.600
May 21, 2015.
I. Introduction
On September 5, 2014, NYSE Arca, Inc. (``Exchange'') filed with the
Securities and Exchange Commission (``Commission''), pursuant to
Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\
and Rule 19b-4 thereunder,\2\ a proposed rule change to list and trade
shares (``Shares'') of the SPDR SSgA Global Managed Volatility ETF
(``Fund'') under NYSE Arca Equities Rule 8.600, which governs the
listing and trading of Managed Fund Shares. The proposed rule change
was published for comment in the Federal Register on September 24,
2014.\3\ On November 4, 2014, 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\
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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. 73141 (Sept. 18,
2014), 79 FR 57161 (``Notice'').
\4\ 15 U.S.C. 78s(b)(2).
\5\ See Securities Exchange Act Release No. 73515, 79 FR 66758
(Nov. 10, 2014). The Commission designated a longer period within
which to take action on the proposed rule change and designated
December 23, 2014, as the date by which it should approve,
disapprove, or institute proceedings to determine whether to
disapprove the proposed rule change.
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On December 22, 2014, the Commission instituted proceedings under
Section 19(b)(2)(B) of the Act \6\ to determine whether to approve or
disapprove the proposed rule change.\7\ In the Order Instituting
Proceedings, the
[[Page 30520]]
Commission solicited responses to specified matters related to the
proposal.\8\ The Commission received no comment letters on the proposed
rule change.
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\6\ 15 U.S.C. 78s(b)(2)(B).
\7\ See Securities Exchange Act Release No. 73914, 79 FR 78524
(Dec. 30, 2014) (``Order Instituting Proceedings''). Specifically,
the Commission instituted proceedings to allow for additional
analysis of the proposed rule change's consistency with Section
6(b)(5) of the Act, which requires, among other things, that the
rules of a national securities exchange be ``designed to prevent
fraudulent and manipulative acts and practices, to promote just and
equitable principles of trade,'' and ``to protect investors and the
public interest.'' See id., 79 FR at 78530.
\8\ See id. (soliciting public comment on the statements of the
Exchange contained in the Notice, including statements made in
connection with information sharing procedures with respect to
certain non-U.S. equity security holdings and the Exchange's
arguments regarding the applicability of the definition of
``Actively-Traded Securities'' under Regulation M (``Reg M'')).
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The Exchange subsequently filed Amendment No. 1 to the proposed
rule change on January 20, 2015.\9\ On March 20, 2015, pursuant to
Section 19(b)(2) of the Act,\10\ the Commission designated a longer
period for Commission action on proceedings to determine whether to
disapprove the proposed rule change.\11\ On April 7, 2015, the Exchange
filed Amendment No. 2 to the proposed rule change.\12\ The Commission
published a Notice of Filing of Amendment Nos. 1 and 2 to the proposed
rule change for comment in the Federal Register on April 21, 2014.\13\
The Commission received no comments on the proposal, as modified by
Amendment Nos. 1 and 2 thereto.
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\9\ The text of Amendment No. 1, which amends and replaces the
proposed rule change in its entirety, is available on the Exchange's
Web site, at the principal office of the Exchange, and at the
Commission's Public Reference Room. The text of Amendment No. 1 to
the proposed rule change is also available on the Commission's Web
site. See Letter from Martha Redding, Senior Counsel and Assistant
Secretary, New York Stock Exchange, to Kevin M. O'Neill, Deputy
Secretary, Commission (Jan. 22, 2015), available at https://www.sec.gov/comments/sr-nysearca-2014-100/nysearca2014100-1.pdf.
\10\ 15 U.S.C. 78s(b)(2).
\11\ See Securities Exchange Act Release No. 74559, 80 FR 16047
(Mar. 26, 2015). The Commission designated a longer period within
which to take action on the proposed rule change and designated May
7, 2015 as the date by which it should determine whether to
disapprove the proposed rule change. See also Securities Exchange
Act Release No. 74559A (Apr. 13, 2015) (correcting the date by which
the Commission must take action on proceedings to determine whether
to disapprove the proposed rule change to May 22, 2015).
\12\ See Amendment No. 2, available at https://www.sec.gov/comments/sr-nysearca-2014-100/nysearca2014100-2.pdf.
\13\ See Securities Exchange Act Release No. 74729 (Apr. 15,
2015), 80 FR 22242.
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This order grants approval of the proposed rule change, as modified
by Amendment Nos. 1 and 2 thereto.
II. Description of the Proposal, as Modified by Amendment Nos. 1 and 2
Thereto
NYSE Arca proposes to list and trade Shares of the Fund under NYSE
Arca Equities Rule 8.600, which governs the listing and trading of
Managed Fund Shares on the Exchange. The Shares will be offered by SSgA
Active ETF Trust (``Trust''), which is organized as a Massachusetts
business trust and is registered with the Commission as an open-end
management investment company.\14\ SSgA Funds Management, Inc. will
serve as the investment adviser to the Fund (``Adviser'').\15\ State
Street Global Markets, LLC will be the principal underwriter and
distributor of the Fund's Shares, and State Street Bank and Trust
Company (``Custodian'') will serve as the administrator, custodian, and
transfer agent for the Fund. The Exchange has made the following
representations and statements in describing the Fund and its
investment strategy, including the Fund's portfolio holdings and
investment restrictions.\16\
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\14\ The Trust is registered under the Investment Company Act of
1940 (``1940 Act''). According to the Exchange, on September 20,
2012, the Trust filed with the Commission an amendment to its
registration statement on Form N-1A under the Securities Act of 1933
(``Securities Act'') and under the 1940 Act relating to the Fund
(File Nos. 333-173276 and 811-22542) (``Registration Statement'').
In addition, the Exchange states that the Trust has obtained from
the Commission certain exemptive relief under the 1940 Act. See
Investment Company Act Release No. 29524 (Dec. 13, 2010) (File No.
812-13487).
\15\ The Exchange represents that the Adviser is not a
registered broker-dealer but is affiliated with a broker-dealer and
has implemented a ``fire wall'' with respect to such broker-dealer
regarding access to information concerning the composition of or
changes to the Fund's portfolio. The Exchange further represents
that, in the event (a) the Adviser or any sub-adviser becomes
registered as a broker-dealer or newly affiliated with a broker-
dealer, or (b) any new adviser or sub-adviser is a registered
broker-dealer or becomes affiliated with a broker-dealer, the
Adviser or any new adviser or sub-adviser, as the case may be, will
implement a fire wall with respect to its relevant personnel or
broker-dealer affiliate, as applicable, regarding access to
information concerning the composition of or changes to the
portfolio, and will be subject to procedures designed to prevent the
use and dissemination of material, non-public information regarding
the portfolio.
\16\ The Commission notes that additional information regarding
the Fund, the Trust, and the Shares, including investment
strategies, risks, creation and redemption procedures, fees,
portfolio holdings disclosure policies, calculation of net asset
value (``NAV''), distributions, and taxes, among other things, can
be found in Amendment No. 1 and the Registration Statement, as
applicable. See Amendment No. 1 and Registration Statement, supra
notes 9 and 14, respectively.
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A. The Exchange's Description of the Fund's Principal Investment
Policies
According to the Exchange, the Fund will seek to provide
competitive, long-term returns while maintaining low, long-term
volatility relative to the broad global market. Under normal
circumstances,\17\ the Fund will invest all of its assets in the SSgA
Global Managed Volatility Portfolio (``Portfolio''), a separate series
of the SSgA Master Trust with an identical investment objective as the
Fund. As a result, the Fund will invest indirectly through the
Portfolio.\18\
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\17\ With respect to the Fund, the term ``under normal
circumstances'' includes, but is not limited to, the absence of
extreme volatility or trading halts in the equity markets or the
financial markets generally; operational issues causing
dissemination of inaccurate market information; or force majeure
type events such as systems failure, natural or man-made disaster,
act of God, armed conflict, act of terrorism, riot or labor
disruption, or any similar intervening circumstance.
\18\ According to the Exchange, the Fund is intended to be
managed in a ``master-feeder'' structure, under which the Fund will
invest substantially all of its assets in the Portfolio (i.e., a
``master fund''), which is a separate 1940 Act-registered mutual
fund that has an identical investment objective. As a result, the
Fund (i.e., the ``feeder fund'') will have an indirect interest in
all of the securities owned by the corresponding Portfolio. Because
of this indirect interest, the Fund's investment returns should be
the same as those of the Portfolio, adjusted for the expenses of the
Fund. The Exchange represents that, in general, the Portfolio, which
will be where investments will be held, will primarily consist of
equity securities and, to a lesser extent, other investments as
described under ``Non-Principal Investment Policies'' below. The
Fund will invest in shares of the Portfolio and will not invest in
investments described under ``Non-Principal Investment Policies,''
but may be exposed to such investments by means of the Fund's
investment in shares of the Portfolio. The Exchange states that in
extraordinary instances, the Fund reserves the right to make direct
investments in equity securities and other investments.
---------------------------------------------------------------------------
According to the Exchange, the Adviser will utilize a proprietary
quantitative investment process to select a portfolio of exchange-
listed-and-traded equity securities that the Adviser believes will
exhibit low volatility and provide competitive, long-term returns
relative to the broad global market.\19\ The Portfolio will invest its
assets in both U.S. and foreign investments. The Portfolio will
generally invest at least 80% of its net assets in global equity
securities and at least 30% of its net assets in global equity
securities of issuers economically tied to countries other than the
United States. The Portfolio will generally hold securities of issuers
economically tied to at least three countries, including the United
States.\20\ The Portfolio may purchase
[[Page 30521]]
exchange-listed-and-traded common stocks and preferred securities of
U.S. and foreign corporations (referred to herein as ``non-U.S. equity
securities'').\21\ Under normal circumstances, the Portfolio will
include a minimum of 20 exchange-listed-and-traded equity securities.
The Adviser expects to favor securities with low exposure to market
risk factors and low security-specific risk. The Adviser will consider
market risk factors to include, among others, a security's size,
momentum, value, liquidity, leverage, and growth. While the Adviser
will attempt to manage the Fund's volatility exposure to stabilize
performance, there can be no guarantee that the Fund will reach its
target volatility. Additionally, the Adviser will implement risk
constraints at the security, industry, size exposure, and sector
levels. Through this quantitative process of security selection and
portfolio diversification, the Adviser expects that the Portfolio will
be subject to a low level of absolute risk (as defined by standard
deviation of returns) and thus should exhibit low volatility over the
long term.
---------------------------------------------------------------------------
\19\ Volatility is a statistical measurement of the magnitude of
up and down fluctuations in the value of a financial instrument or
index over time. Volatility may result in rapid and dramatic price
swings.
\20\ Investments in common stock of foreign corporations may
also be in the form of American Depositary Receipts (``ADRs''),
Global Depositary Receipts (``GDRs''), and European Depositary
Receipts (``EDRs'') (collectively ``Depositary Receipts'').
Depositary Receipts are receipts, typically issued by a bank or
trust company, that evidence ownership of underlying securities
issued by a foreign corporation. For ADRs, the depository is
typically a U.S. financial institution, and the underlying
securities are issued by a foreign issuer. For other Depositary
Receipts, the depository may be a foreign or a U.S. entity, and the
underlying securities may have a foreign or a U.S. issuer.
Depositary Receipts will not necessarily be denominated in the same
currency as their underlying securities. Generally, ADRs, in
registered form, are designed for use in the U.S. securities market,
and EDRs, in bearer form, are designated for use in European
securities markets. GDRs are tradable both in the United States and
in Europe and are designed for use throughout the world. The
Portfolio may invest in unsponsored Depositary Receipts. The issuers
of unsponsored Depositary Receipts are not obligated to disclose
material information in the United States, and, therefore, there may
be less information available regarding such issuers, and there may
not be a correlation between such information and the market value
of the Depositary Receipts. Unsponsored Depositary Receipts will not
exceed 10% of the Fund's net assets.
\21\ For purposes of this filing, the term ``non-U.S. equity
securities'' includes the following: Common stocks and preferred
securities of foreign corporations; non-U.S. exchange-traded real
estate investment trusts (``REITs''), as referenced below; and
Depositary Receipts (excluding Depositary Receipts that are
registered under the Act).
---------------------------------------------------------------------------
The Adviser will manage the investments of the Portfolio. Under the
master-feeder arrangement, and pursuant to the investment advisory
agreement between the Adviser and the Trust, investment advisory fees
charged at the Portfolio level will be deducted from the advisory fees
charged at the Fund level. This arrangement avoids a ``layering'' of
fees, i.e., the Fund's total annual operating expenses would be no
higher as a result of investing in a master-feeder arrangement than
they would be if the Fund pursued its investment objectives directly.
In addition, the Fund may discontinue investing through the master-
feeder arrangement and pursue its investment objectives directly if the
Fund's Board of Trustees (``Board'') determines that doing so would be
in the best interests of shareholders.
Under normal circumstances, the non-U.S. equity securities in the
Fund's portfolio will meet the following criteria at time of purchase:
(1) Non-U.S. equity securities each shall have a minimum market value
of at least $100 million; (2) non-U.S. equity securities each shall
have a minimum global monthly trading volume of 250,000 shares, or
minimum global notional volume traded per month of $25,000,000,
averaged over the last six months; (3) the most heavily weighted non-
U.S. equity security shall not exceed 25% of the weight of the Fund's
entire portfolio, and, to the extent applicable, the five most heavily
weighted non-U.S. equity securities shall not exceed 60% of the weight
of the Fund's entire portfolio; and (4) each non-U.S. equity security
shall be listed and traded on an exchange that has last-sale
reporting.\22\
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\22\ These criteria are similar to certain ``generic'' listing
criteria in NYSE Arca Equities Rule 5.2(j)(3), Commentary .01(a)(B),
which relate to criteria applicable to an index or portfolio of U.S.
and non-U.S. stocks underlying a series of Investment Company Units
to be listed and traded on the Exchange pursuant to Rule 19b-4(e)
under the Act.
---------------------------------------------------------------------------
The Portfolio and Fund do not intend to concentrate their
investments in any particular industry. The Portfolio and Fund will
look to the Global Industry Classification Standard (``GICS'') Level 3
(Industries) in making industry determinations.\23\
---------------------------------------------------------------------------
\23\ GICS classifications can be found on the Standard & Poor's
Web site at https://www.us.spindices.com/search/?query=gics+map.
---------------------------------------------------------------------------
The Portfolio may invest in exchange-traded preferred securities.
Preferred securities pay fixed or adjustable rate dividends to
investors and have ``preference'' over common stock in the payment of
dividends and the liquidation of a company's assets.
B. The Exchange's Description of the Fund's Non-Principal Investment
Policies
In certain situations or market conditions, in order to take
temporary defensive positions, the Fund may (either directly or through
the Portfolio) temporarily depart from its normal investment policies
and strategies, provided that the alternative is consistent with the
Fund's investment objective and is in the best interest of the Fund.
For example, the Fund may hold a higher than normal proportion of its
assets in cash in times of extreme market stress. According to the
Exchange, in addition to the principal investments described above, the
Portfolio may invest its remaining net assets in other investments, as
described below. The investment practices of the Portfolio are the same
in all material respects as those of the Fund.
The Portfolio may invest in U.S. Government obligations \24\ and
U.S.-registered, dollar-denominated bonds of foreign corporations,
governments, agencies, and supra-national entities. The Portfolio also
may invest in restricted securities.\25\
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\24\ U.S. Government obligations are a type of bond. U.S.
Government obligations include securities issued or guaranteed as to
principal and interest by the U.S. Government or its agencies or
instrumentalities. One type of U.S. Government obligation, U.S.
Treasury obligations, are backed by the full faith and credit of the
U.S. Treasury and differ only in their interest rates, maturities,
and times of issuance. U.S. Treasury bills have initial maturities
of one-year or less; U.S. Treasury notes have initial maturities of
one to ten years; and U.S. Treasury bonds generally have initial
maturities of greater than ten years. Other U.S. Government
obligations are issued or guaranteed by agencies or
instrumentalities of the U.S. Government including, but not limited
to, the Federal National Mortgage Association, the Government
National Mortgage Association (``Ginnie Mae''), the Small Business
Administration, the Federal Farm Credit Administration, the Federal
Home Loan Mortgage Corporation, the Federal Home Loan Banks, Banks
for Cooperatives (including the Central Bank for Cooperatives), the
Federal Land Banks, the Federal Intermediate Credit Banks, the
Tennessee Valley Authority, the Export-Import Bank of the United
States, the Commodity Credit Corporation, the Federal Financing
Bank, the National Credit Union Administration, and the Federal
Agricultural Mortgage Corporation. Some obligations issued or
guaranteed by U.S. Government agencies or instrumentalities,
including, for example, Ginnie Mae pass-through certificates, are
supported by the full faith and credit of the U.S. Treasury.
\25\ Restricted securities are securities that are not
registered under the Securities Act, but which can be offered and
sold to ``qualified institutional buyers'' under Rule 144A under the
Securities Act. The Board has delegated to the Adviser the
responsibility for determining the liquidity of Rule 144A restricted
securities that the Portfolio may invest in. In reaching liquidity
decisions, the Adviser may consider the following factors: the
frequency of trades and quotes for the security; the number of
dealers wishing to purchase or sell the security and the number of
other potential purchasers; dealer undertakings to make a market in
the security; and the nature of the security and the nature of the
marketplace in which it trades (e.g., the time needed to dispose of
the security, the method of soliciting offers, and the mechanics of
transfer).
---------------------------------------------------------------------------
The Portfolio may conduct foreign currency transactions on a spot
(i.e., cash) or forward basis (i.e., by entering into forward contracts
to purchase or sell foreign currencies).
The Portfolio may invest in exchange-traded products (``ETPs''),
including exchange-traded funds (``ETFs'') registered under the 1940
Act, exchange-traded commodity trusts, and exchange-traded notes.\26\
The Portfolio
[[Page 30522]]
also may invest in the securities of other investment companies,
including money market funds and exchange-traded closed-end funds,
subject to applicable limitations under Section 12(d)(1) of the 1940
Act.\27\ The Portfolio may invest up to 25% of its total assets in one
or more ETPs that are qualified publicly traded partnerships
(``QPTPs'') \28\ and whose principal activities are the buying and
selling of commodities or options, futures, or forwards with respect to
commodities. The Portfolio may invest in exchange-traded shares of
REITs.
---------------------------------------------------------------------------
\26\ For purposes of this filing, ETPs include Investment
Company Units (as described in NYSE Arca Equities Rule 5.2(j)(3));
Index-Linked Securities (as described in NYSE Arca Equities Rule
5.2(j)(6)); Portfolio Depositary Receipts (as described in NYSE Arca
Equities Rule 8.100); Trust Issued Receipts (as described in NYSE
Arca Equities Rule 8.200); Commodity-Based Trust Shares (as
described in NYSE Arca Equities Rule 8.201); Currency Trust Shares
(as described in NYSE Arca Equities Rule 8.202); Commodity Index
Trust Shares (as described in NYSE Arca Equities Rule 8.203); and
Managed Fund Shares (as described in NYSE Arca Equities Rule 8.600).
The Portfolio may invest in ETFs managed by the Adviser. The Adviser
may receive management or other fees from the ETPs in which the
Portfolio or Fund may invest, as well as a management fee for
managing the Fund. The ETPs all will be listed and traded in the
U.S. on national securities exchanges.
\27\ The Fund will invest substantially all of its assets in the
Portfolio. The Exchange states that, pursuant to Section 12(d)(1) of
the 1940 Act, a fund may invest in the securities of another
investment company (the ``acquired company'') provided that the
fund, immediately after such purchase or acquisition, does not own
in the aggregate: (i) More than 3% of the total outstanding voting
stock of the acquired company; (ii) securities issued by the
acquired company having an aggregate value in excess of 5% of the
value of the total assets of the fund; (iii) securities issued by
the acquired company and all other investment companies (other than
Treasury stock of the fund) having an aggregate value in excess of
10% of the value of the total assets of the fund; or (iv) in the
case of investment in a closed-end fund, more than 10% of the total
outstanding voting stock of the acquired company. The Fund may also
invest in the securities of other investment companies if such
securities are the only investment securities held by the Fund, such
as through a master-feeder arrangement. The Fund currently will
pursue its investment objective through such an arrangement. To the
extent allowed by law, regulation, the Fund's investment
restrictions, and the Trust's exemptive relief, the Fund may invest
its assets in securities of investment companies that are money
market funds, including those advised by the Adviser or otherwise
affiliated with the Adviser, in excess of the limits discussed
above.
\28\ A QPTP is an entity that is treated as a partnership for
federal income tax purposes, subject to certain requirements. If
such an ETP fails to qualify as a QPTP, the income generated from
the Portfolio's investment in the ETP may not comply with certain
income tests necessary for the Portfolio to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code.
---------------------------------------------------------------------------
The Portfolio may invest in repurchase agreements with commercial
banks, brokers, or dealers to generate income from its excess cash
balances and to invest securities lending cash collateral.\29\ The
Portfolio may also enter into reverse repurchase agreements.\30\
---------------------------------------------------------------------------
\29\ A repurchase agreement is an agreement under which a fund
acquires a financial instrument (e.g., a security issued by the U.S.
government or an agency thereof, a banker's acceptance, or a
certificate of deposit) from a seller, subject to resale to the
seller at an agreed upon price and date (normally, the next business
day). A repurchase agreement may be considered a loan collateralized
by securities. The resale price reflects an agreed upon interest
rate effective for the period the instrument is held by a fund and
is unrelated to the interest rate on the underlying instrument.
\30\ Reverse repurchase agreements involve the sale of
securities with an agreement to repurchase the securities at an
agreed-upon price, date, and interest payment, and have the
characteristics of borrowing.
---------------------------------------------------------------------------
In addition to repurchase agreements, the Portfolio may invest in
short-term instruments, including money market instruments (including
money market funds advised by the Adviser), cash, and cash equivalents,
on an ongoing basis to provide liquidity or for other reasons.\31\
---------------------------------------------------------------------------
\31\ Money market instruments are generally short-term
investments that may include but are not limited to: (i) Shares of
money market funds; (ii) obligations issued or guaranteed by the
U.S. government, its agencies, or its instrumentalities (including
government-sponsored enterprises); (iii) negotiable certificates of
deposit, bankers' acceptances, fixed time deposits, and other
obligations of U.S. and foreign banks (including foreign branches)
and similar institutions; (iv) commercial paper rated at the date of
purchase ``Prime-1'' by Moody's or ``A-1'' by Standard & Poor's, or
if unrated, of comparable quality as determined by the Adviser; (v)
non-convertible corporate debt securities (e.g., bonds and
debentures) with remaining maturities at the date of purchase of not
more than 397 days and that satisfy the rating requirements set
forth in Rule 2a-7 under the 1940 Act; (vi) short-term U.S. dollar-
denominated obligations of foreign banks (including U.S. branches)
that, in the opinion of the Adviser, are of comparable quality to
obligations of U.S. banks which may be purchased by the Portfolio;
and (vii) variable rate demand notes.
---------------------------------------------------------------------------
C. The Exchange's Description of the Fund's Investment Restrictions
According to the Exchange, the Fund may hold up to an aggregate
amount of 15% of its net assets in illiquid assets (calculated at the
time of investment), including Rule 144A securities deemed illiquid by
the Adviser. 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. Illiquid
assets include securities subject to contractual or other restrictions
on resale and other instruments that lack readily available markets as
determined in accordance with Commission staff guidance.
The Exchange represents that the Portfolio and the Fund will be
classified as a ``non-diversified'' investment company under the 1940
Act. A non-diversified classification means that the Portfolio or Fund
is not limited by the 1940 Act with regard to the percentage of its
assets that may be invested in the securities of a single issuer. This
means that the Portfolio or Fund may invest a greater portion of its
assets in the securities of a single issuer than a diversified fund.
Although the Portfolio and Fund will be non-diversified for purposes of
the 1940 Act, the Portfolio and Fund intend to maintain the required
level of diversification and otherwise conduct its operations so as to
qualify as a ``regulated investment company'' for purposes of the
Internal Revenue Code of 1986.
The Exchange represents that neither the Fund nor the Portfolio
will invest in options, futures contracts, or swap agreements. The
Exchange further represents that the Fund's and Portfolio's investments
will be consistent with the Fund's investment objective and will not be
used to enhance leverage.
III. Discussion and Commission Findings
After careful review, the Commission finds that the Exchange's
proposal to list and trade the Shares is consistent with the Exchange
Act and the rules and regulations thereunder applicable to a national
securities exchange.\32\ In particular, the Commission finds that the
proposed rule change, as modified by Amendment Nos. 1 and 2 thereto, is
consistent with Section 6(b)(5) of the Exchange Act,\33\ which
requires, among other things, that the Exchange's rules be designed to
promote just and equitable principles of trade, to remove impediments
to and perfect the mechanism of a free and open market and a national
market system, and, in general, to protect investors and the public
interest.
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\32\ 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).
\33\ 15 U.S.C. 78f(b)(5).
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The Commission also finds that the proposal to list and trade the
Shares on the Exchange is consistent with Section 11A(a)(1)(C)(iii) of
the Exchange Act,\34\ which sets forth the finding of Congress that it
is in the public interest and appropriate for the protection of
investors and the maintenance of fair and orderly markets to assure the
availability to brokers, dealers, and investors of information with
respect to quotations for and transactions in securities. Quotation and
last-sale information for the Shares will be available via the
Consolidated Tape Association (``CTA'') high-speed line. In addition,
the Indicative Optimized
[[Page 30523]]
Portfolio Value (``IOPV''),\35\ which is the Portfolio Indicative Value
as defined in NYSE Arca Equities Rule 8.600(c)(3), will be widely
disseminated at least every 15 seconds during the Exchange's Core
Trading Session by one or more major market data vendors.\36\ 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 Disclosed Portfolio that will form the basis for the Fund's
calculation of NAV at the end of the business day.\37\ 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 New York Stock Exchange
(``NYSE'') via the National Securities Clearing Corporation. The basket
represents one Creation Unit of the Fund.
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\34\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
\35\ The IOPV calculation will be an estimate of the value of
the Fund's NAV per Share using market data converted into U.S.
dollars at the current currency rates. The IOPV price will be based
on quotes and closing prices from the securities' local market and
may not reflect events that occur subsequent to the local market's
close. Premiums and discounts between the IOPV and the market price
of the Shares may occur. The IOPV should not be viewed as a ``real-
time'' update of the NAV per Share of the Fund, which will be
calculated only once a day.
\36\ According to the Exchange, several major market data
vendors display and make widely available IOPVs taken from CTA or
other data feeds.
\37\ On a daily basis, the Fund will disclose for each portfolio
security or other financial instrument of the Fund and of the
Portfolio the following information on the Fund's Web site: ticker
symbol (if applicable); name of security and financial instrument;
number of shares and 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.
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The NAV of the Portfolio will be calculated by the Custodian and
determined at the close of the regular trading session on the NYSE
(ordinarily 4:00 p.m. Eastern time) on each day that the NYSE is open,
provided that fixed-income assets (and, accordingly, the Portfolio's
NAV) may be valued as of the announced closing time for trading in
fixed-income instruments on any day that the Securities Industry and
Financial Markets Association (or applicable exchange or market on
which the Portfolio's investments are traded) announces an early
closing time.\38\ Information regarding market price and trading volume
of the Shares will be continuously 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. The Exchange represents that, with
respect to U.S. exchange-listed equity securities, the intra-day,
closing and settlement prices of common stocks and exchange-traded
equity securities (including shares of preferred securities, ETPs,
closed-end funds, QPTPs, REITs, and U.S. exchange-listed Depositary
Receipts) will be readily available from the national securities
exchanges trading such securities, automated quotation systems,
published or other public sources, or on-line information services such
as Bloomberg or Reuters. With respect to non-U.S. exchange-listed
equity securities, intra-day, closing, and settlement prices of common
stocks and other equity securities (including shares of preferred
securities and non-U.S. Depositary Receipts) will be available from the
foreign exchanges on which such securities trade as well as from major
market-data vendors. Pricing information regarding each asset class in
which the Fund or Portfolio will invest, including Rule 144A
securities, repurchase agreements, reverse repurchase agreements, and
securities of investment companies (other than ETFs registered under
the 1940 Act), will generally be available through nationally
recognized data service providers through subscription arrangements.
Quotation information from brokers and dealers or pricing services will
be available for fixed income securities, including U.S. Government
obligations; U.S. registered, dollar-denominated bonds of foreign
corporations, governments, agencies, and supra-national entities;
short-term instruments; unsponsored Depositary Receipts; and spot and
forward currency transactions held by the Fund and Portfolio.
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\38\ The NAV per Share for the Fund will be computed by dividing
the value of the net assets of the Portfolio (i.e., the value of its
total assets less total liabilities) by the total number of Shares
outstanding, rounded to the nearest cent. According to the Exchange,
common stocks and exchange-traded equity securities (including
shares of preferred securities, ETPs, closed-end funds, QPTPs,
REITs, and Depositary Receipts (other than unsponsored Depositary
Receipts traded in the OTC market) traded on a national securities
exchange generally will be valued at the last reported sale price or
the official closing price on that exchange where the stock is
primarily traded on the day that the valuation is made. Foreign
exchange-traded equities and listed ADRs will be valued at the last
sale or official closing price on the relevant exchange on the
valuation date. If, however, neither the last sale price nor the
official closing price is available, each of these securities will
be valued at either the last reported sale price or official closing
price as of the close of regular trading of the principal market on
which the security is listed. According to the Exchange, securities
of investment companies (other than ETFs registered under the 1940
Act), including affiliated funds, money market funds, and closed-end
funds, will be valued at NAV. Unsponsored Depositary Receipts, which
are traded in the OTC market, will be valued at the last reported
sale price from the OTC Bulletin Board or OTC Link LLC on the
valuation date. Rule 144A securities, repurchase agreements, and
reverse repurchase agreements will generally be valued at bid prices
received from independent pricing services as of the announced
closing time for trading in such instruments. Spot currency
transactions will generally be valued at bid prices received from
independent pricing service converted into U.S. dollars at current
market rates on the date of valuation. Foreign currency forwards
normally will be valued on the basis of quotes obtained from broker-
dealers or third party pricing services. According to the Exchange,
fixed income securities, including U.S. Government obligations; U.S.
registered, dollar-denominated bonds of foreign corporations,
governments, agencies; and supra-national entities; and short-term
instruments will generally be valued at bid prices received from
independent pricing services as of the announced closing time for
trading in fixed-income instruments in the respective market or
exchange. In determining the value of a fixed income investment,
pricing services determine valuations for normal institutional-size
trading units of such securities using valuation models or matrix
pricing, which incorporates yield and/or price with respect to bonds
that are considered comparable in characteristics such as rating,
interest rate, and maturity date and quotations from securities
dealers to determine current value. Any assets or liabilities
denominated in currencies other than the U.S. dollar will be
converted into U.S. dollars at the current market rates on the date
of valuation as quoted by one or more sources. In the event that
current market valuations are not readily available or such
valuations do not reflect current market value, the SSgA Master
Trust's procedures require the Pricing and Investment Committee to
determine a security's fair value if a market price is not readily
available, in accordance with the 1940 Act.
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The Commission further believes that the proposal to list and trade
the Shares is reasonably designed to promote fair disclosure of
information that may be necessary to price the Shares appropriately and
to prevent trading when a reasonable degree of transparency cannot be
assured. The Exchange will obtain a representation from the issuer of
the Shares that the NAV per Share will be calculated daily and that the
NAV and the Disclosed Portfolio will be made available to all market
participants at the same time.
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.\39\
Trading in the Shares will be subject to NYSE Arca Equities Rule
8.600(d)(2)(D), which sets forth
[[Page 30524]]
circumstances under which Shares of the Fund may be halted.
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\39\ These may include: (1) The extent to which trading is not
occurring in the securities or the financial instruments
constituting the Disclosed Portfolio of the Fund; or (2) whether
other unusual conditions or circumstances detrimental to the
maintenance of a fair and orderly market are present.
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The Exchange represents that it has a general policy prohibiting
the distribution of material, non-public information by its employees.
The Exchange represents that the Adviser is not a registered
broker-dealer but is affiliated with a broker-dealer and has
implemented a ``fire wall'' with respect to that broker-dealer
regarding access to information concerning the composition or changes
to the Fund's portfolio.\40\ Prior to the commencement of trading, the
Exchange will inform its Equity Trading Permit Holders in an
Information Bulletin (``Bulletin'') of the special characteristics and
risks associated with trading the Shares. The Exchange represents that
trading in the Shares will be subject to the existing trading
surveillances, administered by the Financial Industry Regulatory
Authority (``FINRA'') on behalf of the Exchange, which are designed to
detect violations of Exchange rules and applicable federal securities
laws.\41\
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\40\ See supra note 15. The Exchange represents that an
investment adviser to an open-end fund is required to be registered
under the Investment Advisers Act of 1940 (``Advisers Act''). As a
result, the Adviser and its related personnel are subject to the
provisions of Rule 204A-1 under the Advisers Act relating to codes
of ethics. This Rule requires investment advisers to adopt a code of
ethics that reflects the fiduciary nature of the relationship to
clients as well as compliance with other applicable securities laws.
Accordingly, procedures designed to prevent the communication and
misuse of non-public information by an investment adviser must be
consistent with Rule 204A-1 under the Advisers Act. In addition,
Rule 206(4)-7 under the Advisers Act makes it unlawful for an
investment adviser to provide investment advice to clients unless
such investment adviser has (i) adopted and implemented written
policies and procedures reasonably designed to prevent violation, by
the investment adviser and its supervised persons, of the Advisers
Act and the Commission rules adopted thereunder; (ii) implemented,
at a minimum, an annual review regarding the adequacy of the
policies and procedures established pursuant to subparagraph (i)
above and the effectiveness of their implementation; and (iii)
designated an individual (who is a supervised person) responsible
for administering the policies and procedures adopted under
subparagraph (i) above.
\41\ The Exchange states that FINRA surveils trading on the
Exchange pursuant to a regulatory services agreement. The Exchange
is responsible for FINRA's performance under this regulatory
services agreement.
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The Exchange represents that it deems the Shares to be equity
securities, thus rendering trading in the Shares subject to the
Exchange's existing rules governing the trading of equity securities.
In support of this proposal, the Exchange has also made the following
representations:
(1) The Shares will conform to the initial and continued listing
criteria under NYSE Arca Equities Rule 8.600.
(2) The Exchange has appropriate rules to facilitate transactions
in the Shares during all trading sessions.
(3) Trading in the Shares will be subject to the existing trading
surveillances, administered by FINRA on behalf of the Exchange, which
are designed to detect violations of Exchange rules and applicable
federal securities laws, and these procedures are adequate to properly
monitor Exchange trading of the Shares in all trading sessions and to
deter and detect violations of Exchange rules and federal securities
laws applicable to trading on the Exchange.
(4) FINRA, on behalf of the Exchange, will communicate as needed
regarding trading in the Shares, ETPs, and certain exchange-traded
securities underlying the Shares with other markets and other entities
that are members of the Intermarket Surveillance Group (``ISG''), and
FINRA, on behalf of the Exchange, may obtain trading information
regarding trading in the Shares, ETPs and certain exchange-traded
securities underlying the Shares from such markets and other entities.
In addition, the Exchange may obtain information regarding trading in
the Shares, ETPs, and certain exchange-traded securities underlying the
Shares from markets and other entities that are members of ISG or with
which the Exchange has in place a comprehensive surveillance sharing
agreement.\42\ The Exchange states that FINRA, on behalf of the
Exchange, is able to access, as needed, trade information for certain
fixed income securities held by the Fund reported to FINRA's Trade
Reporting and Compliance Engine.
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\42\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of the
Disclosed Portfolio for the Fund may trade on markets that are
members of ISG or with which the Exchange has in place a
comprehensive surveillance sharing agreement.
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(5) Prior to the commencement of trading, the Exchange will inform
its Equity Trading Permit Holders in a Bulletin of the special
characteristics and risks associated with trading the Shares.
Specifically, the Bulletin will discuss the following: (i) The
procedures for purchases and redemptions of Shares in Creation Unit
aggregations (and that Shares are not individually redeemable); (ii)
NYSE Arca Equities Rule 9.2(a), which imposes a duty of due diligence
on its Equity Trading Permit Holders to learn the essential facts
relating to every customer prior to trading the Shares; (iii) the risks
involved in trading the Shares during the Opening and Late Trading
Sessions when an updated Portfolio Indicative Value will not be
calculated or publicly disseminated; (iv) how information regarding the
Portfolio Indicative Value and the Disclosed Portfolio is disseminated;
(v) the requirement that Equity Trading Permit Holders deliver a
prospectus to investors purchasing newly issued Shares prior to or
concurrently with the confirmation of a transaction; and (vi) trading
information.
(6) For initial and continued listing, the Fund will be in
compliance with Rule 10A-3 under the Act,\43\ as provided by NYSE Arca
Equities Rule 5.3.
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\43\ 17 CFR 240.10A-3.
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(7) The Fund may hold up to an aggregate amount of 15% of its net
assets in illiquid assets (calculated at the time of investment),
including Rule 144A restricted securities deemed illiquid by the
Adviser.
(8) Neither the Fund nor the Portfolio will invest in options,
futures contracts, or swap agreements.
(9) The Fund's and Portfolio's investments will be consistent with
its investment objective and will not be used to enhance leverage.
(10) Under normal circumstances, the non-U.S. equity securities in
the Fund's portfolio will meet the following criteria at time of
purchase: (a) Non-U.S. equity securities each shall have a minimum
market value of at least $100 million; (b) non-U.S. equity securities
each shall have a minimum global monthly trading volume of 250,000
shares, or minimum global notional volume traded per month of
$25,000,000, averaged over the last six months; (c) the most heavily
weighted non-U.S. equity security shall not exceed 25% of the weight of
the Fund's entire portfolio, and, to the extent applicable, the five
most heavily weighted non-U.S. equity securities shall not exceed 60%
of the weight of the Fund's entire portfolio; and (d) each non-U.S.
equity security shall be listed and traded on an exchange that has
last-sale reporting. In addition, under normal circumstances, the
Portfolio will include a minimum of 20 exchange-listed and traded
equity securities.
(11) The Portfolio and Fund do not intend to concentrate their
investments in any particular industry. The Portfolio and Fund will
look to the GICS Level 3 (Industries) standard in making industry
determinations.
(12) Not more than 10% of the net assets of the Fund will be
invested in unsponsored ADRs.
(13) A minimum of 100,000 Shares for the Fund will be outstanding
at the commencement of trading on the Exchange.
[[Page 30525]]
This approval order is based on all of the Exchange's
representations, including those set forth above and in the Notice,
Amendment Nos. 1 and 2 to the proposed rule change, and the Exchange's
description of the Fund. The Commission notes that the Fund and the
Shares must comply with the requirements of NYSE Arca Equities Rule
8.600 to be initially and continuously listed and traded on the
Exchange.
For the foregoing reasons, the Commission finds that the proposed
rule change, as modified by Amendment Nos. 1 and 2 thereto, is
consistent with Section 6(b)(5) of the Act \44\ and the rules and
regulations thereunder applicable to a national securities exchange.
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\44\ 15 U.S.C. 78f(b)(5).
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IV. Conclusion
It is therefore ordered, pursuant to Section 19(b)(2) of the
Exchange Act,\45\ that the proposed rule change (SR-NYSEArca-2014-100),
as modified by Amendment Nos. 1 and 2 thereto, be, and it hereby is,
approved.
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\45\ 15 U.S.C. 78s(b)(2).
\46\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\46\
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-12829 Filed 5-27-15; 8:45 am]
BILLING CODE 8011-01-P
