Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Reflect a Change to the Benchmark Index Applicable to the WisdomTree Managed Futures Strategy Fund, 36357-36361 [2016-13212]

Download as PDF Federal Register / Vol. 81, No. 108 / Monday, June 6, 2016 / Notices material at facilities located within their borders. The Federal Reports Elimination and Sunset Act of 1995 (Public Law 104–68) requires that the NRC report AOs to Congress annually. The full report, NUREG–0090, Volume 38, ‘‘Report to Congress on Abnormal Occurrences: Fiscal Year 2015,’’ is available electronically at the NRC’s Web site at https://www.nrc.gov/reading-rm/doccollections/nuregs/staff/, and in ADAMS under Accession No. ML16145A026. Dated at Rockville, Maryland, this 26th day of May, 2016. For the Nuclear Regulatory Commission. Richard J. Laufer, Acting, Secretary of the Commission. [FR Doc. 2016–13274 Filed 6–3–16; 8:45 am] BILLING CODE 7590–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–77950; File No. SR–NYSE– 2016–30] Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Designation of a Longer Period for Commission Action on a Proposed Rule Change Amending the Definition of ‘‘Block’’ for Purposes of Rule 72(d) and the Size of a Proposed Cross Transaction Eligible for the Cross Function in Rule 76 the Commission shall either approve the proposed rule change, disapprove the proposed rule change, or institute proceedings to determine whether the proposed rule change should be disapproved. The 45th day after publication of the notice for this proposed rule change is June 13, 2016. The Commission is extending this 45day time period. The Commission finds that it is appropriate to designate a longer period within which to take action on the proposed rule change so that it has sufficient time to consider the proposed rule change. Accordingly, the Commission, pursuant to Section 19(b)(2) of the Act,5 designates July 28, 2016, 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 Number SR– NYSE–2016–30). For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.6 Brent J. Fields, Secretary. [FR Doc. 2016–13210 Filed 6–3–16; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–77952; File No. SR– NYSEArca–2016–83] sradovich on DSK3TPTVN1PROD with NOTICES May 31, 2016. On April 12, 2016, New York Stock Exchange LLC (‘‘Exchange’’ or ‘‘NYSE’’) 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 amend its rules relating to pre-opening indications and opening procedures. The proposed rule change was published for comment in the Federal Register on April 29, 2016.3 The Commission has received no comments 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, Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Reflect a Change to the Benchmark Index Applicable to the WisdomTree Managed Futures Strategy Fund May 31, 2016. Pursuant to Section 19(b)(1) 1 of the Securities Exchange Act of 1934 (the ‘‘Act’’) 2 and Rule 19b–4 thereunder,3 notice is hereby given that, on May 27, 2016, NYSE Arca, Inc. (the ‘‘Exchange’’ or ‘‘NYSE Arca’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I and II below, which Items have been prepared by the self-regulatory organization. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. 1 15 5 15 2 17 6 17 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 See Securities Exchange Act Release No. 77701 (Apr. 25, 2016), 81 FR 25748. 4 15 U.S.C. 78s(b)(2). VerDate Sep<11>2014 16:36 Jun 03, 2016 Jkt 238001 U.S.C. 78s(b)(2). CFR 200.30–3(a)(31). 1 15 U.S.C.78s(b)(1). 2 15 U.S.C. 78a. 3 17 CFR 240.19b–4. PO 00000 Frm 00104 Fmt 4703 Sfmt 4703 36357 I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to reflect a change to the benchmark index applicable to the WisdomTree Managed Futures Strategy Fund. The proposed rule change is available on the Exchange’s Web site at www.nyse.com, at the principal office of the Exchange, and at the Commission’s Public Reference Room. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the self-regulatory organization included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of those statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant parts of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change 1. Purpose The Commission previously approved the listing and trading of the shares (‘‘Shares’’) of the Fund on the Exchange under NYSE Arca Equities Rule 8.600,4 which governs the listing and trading of ‘‘Managed Fund Shares,’’ on the Exchange.5 The Fund is an activelymanaged exchange traded fund. WisdomTree Asset Management, Inc. (‘‘WisdomTree Asset Management’’) is the investment adviser (‘‘Adviser’’) to the Fund. WisdomTree Investments, Inc. (‘‘WisdomTree Investments’’) is the 4 NYSE Arca Equities Rule 8.600 (c)(1) provides that, among other criteria, a Managed Fund Share is a security that represents an interest in an investment company registered under the Investment Company Act of 1940 (15 U.S.C. 80a) (‘‘1940 Act’’) organized as an open-end investment company or similar entity that invests in a portfolio of securities selected by its investment adviser consistent with its investment objectives and policies. In contrast, an open-end investment company that issues Investment Company Units, listed and traded on the Exchange under NYSE Arca Equities Rule 5.2(j)(3), seeks to provide investment results that correspond generally to the price and yield performance of a specific foreign or domestic stock index, fixed income securities index or combination thereof. 5 See Securities Exchange Act Release No. 63598 (December 22, 2010), 75 FR 82106 (December 29, 2010)(SR–NYSEArca–2010–98) (‘‘Prior Order’’). See also Securities Exchange Act Release No. 63292 (November 9, 2010), 75 FR 70319 (November 17, 2010) (‘‘Prior Notice’’, and with the Prior Order, the ‘‘Prior Releases’’). E:\FR\FM\06JNN1.SGM 06JNN1 36358 Federal Register / Vol. 81, No. 108 / Monday, June 6, 2016 / Notices sradovich on DSK3TPTVN1PROD with NOTICES parent company of WisdomTree Asset Management. Mellon Capital Management Corporation (‘‘Mellon’’ or ‘‘Sub-Adviser’’) serves as the subadviser for the Fund. State Street Bank and Trust Company is the administrator, custodian and transfer agent for the Fund. Foreside Fund Services, LLC (‘‘Distributor’’) serves as distributor for the Fund.6 The Shares are offered by the Trust, which is registered with the Commission as an investment company.7 The Prior Releases stated that the Adviser would manage the Fund using a strategy designed to correspond to the performance of the Diversified Trends IndicatorTM (‘‘Original Benchmark’’). In this proposed rule change, the Exchange proposes to reflect a change to the benchmark index applicable to the Fund. The new benchmark will be the WisdomTree Managed Futures Index (‘‘New Benchmark,’’ and together with the Original Benchmark, the ‘‘Benchmarks’’), a proprietary index developed by WisdomTree Investments.8 Upon implementation of the proposed rule change, the Adviser will manage the Fund using a strategy designed to correspond to the performance of the New Benchmark. The Adviser anticipates investing Fund assets through the Sub-Adviser based on the New Benchmark on or around June 30, 2016. The Adviser believes that it is in the best interest of the Fund and its shareholders to replace the Original Benchmark with the New Benchmark 6 The Prior Releases identified The Bank of New York Mellon as the administrator, custodian and transfer agent for the Fund and ALPS Distributors, Inc. as the distributor for the Fund. 7 The Trust is registered under the 1940 Act. The Trust intends to file a prospectus supplement with the Commission or a post-effective amendment to its registration statement on Form N–1A under the Securities Act of 1933 (15 U.S.C. 77a) (‘‘Securities Act’’) and under the 1940 Act relating to the Fund (File Nos. 333–132380 and 811–21864) (the ‘‘Registration Statement’’), to reflect the changes in this proposed rule change upon effectiveness of such proposed rule change. The descriptions of the operation of the Trust and the Fund will be reflected in any such filing. In addition, the Commission has issued an order granting certain exemptive relief to the Trust under the 1940 Act. See Investment Company Act Release No. 28471 (October 27, 2008) (File No. 812–13458) (‘‘Exemptive Order’’). Investments by the Fund will comply with the conditions in the Exemptive Order. Share [sic] of the Fund are currently listed and traded on the Exchange in compliance with all original and continued listing standards of the Exchange and requirements of the Prior Releases. 8 The changes described herein will be effected contingent upon filing of a prospectus supplement or upon effectiveness of the Trust’s most recent post-effective amendment to its Registration Statement. See note 7, supra. The Adviser represents that the Adviser will not implement the changes described herein until the instant proposed rule change is operative. VerDate Sep<11>2014 16:36 Jun 03, 2016 Jkt 238001 while keeping the Fund’s asset exposure and investment strategies similar, and without changing the Fund’s investment objective. The Adviser believes that the New Benchmark will serve to optimize the Fund’s investment strategy, while seeking to provide enhanced riskadjusted returns over time. Description of the Shares, the Benchmark and the Fund According to the Prior Releases, the WisdomTree Managed Futures Strategy Fund seeks to provide investors with positive total returns in rising or falling markets that are not directly correlated to broad market equity or fixed income returns. The Fund is currently managed using a quantitative, rules-based strategy designed to provide returns that correspond to the performance of the Original Benchmark. The Original Benchmark is a widely used indicator designed to capture the economic benefit derived from rising or declining price trends in commodity, currency, and U.S. Treasury futures markets. Under this proposed rule change, the Exchange seeks to permit the Fund to be managed using a different, quantitative, rules-based strategy, described below, that is designed to provide returns that correspond to the New Benchmark. The New Benchmark is a proprietary index, developed and owned by WisdomTree Investments that is also designed to capture the economic benefit derived from rising or declining price trends in commodity, currency, and U.S. Treasury futures markets. Differences between the Original Benchmark and the New Benchmark are described below. The Benchmarks The Original Benchmark is a rulesbased indicator designed to capture rising and falling price trends in the commodity, currency and U.S. Treasury futures markets through long and short positions on U.S. listed futures contracts. The Original Benchmark consists of U.S. listed futures contracts on 16 tangible commodities and 8 financial futures. The 16 commodity futures contracts are: Light crude oil, natural gas, RBOB gas (‘‘Gasoline’’), heating oil, soybeans, corn, wheat, gold, silver, copper, live cattle, lean hogs, coffee, cocoa, cotton and sugar. The 8 financial futures contracts are: the Australian dollar (‘‘AUD’’), British pound sterling (‘‘GBP’’), Canadian dollar (‘‘CAD’’), Euro (‘‘EUR’’), Japanese yen (‘‘JPY’’), Swiss franc (‘‘CHF’’), 10-year U.S. Treasury note and 30-year U.S. Treasury bond. Each contract is sometimes referred to as a ‘‘Component’’ of the Original Benchmark. PO 00000 Frm 00105 Fmt 4703 Sfmt 4703 The New Benchmark also is a rulesbased indicator designed to capture rising and falling price trends in the commodity, currency and U.S. Treasury futures markets through long and short positions on U.S. listed futures contracts. The New Benchmark consists of U.S. listed futures contracts on 16 tangible commodities and 8 financial futures. The 16 commodity futures contracts are: Light crude oil, natural gas, Gasoline, heating oil, soybeans, corn, wheat, gold, silver, copper, live cattle, lean hogs, coffee, cocoa, cotton and sugar. The 8 financial futures contracts are: the AUD, GBP, CAD, EUR, JPY, CHF, 10-year U.S. Treasury note and 30-year U.S. Treasury bond. Each contract is sometimes referred to as a ‘‘Component’’ of the New Benchmark. (1) Asset Treatment Under the Original Benchmark, Components that are similar in nature (such as gas and oil or gold and silver) are aggregated into ‘‘Sectors.’’ There are nine commodity Sectors in the Original Benchmark: Energy (light crude oil, natural gas, Gasoline, and heating oil), Grains (soybeans, corn), Precious Metals (gold and silver), Industrial Metals (copper), Livestock (live cattle, lean hogs), Coffee, Cocoa, Cotton, and Sugar. Each financial futures contract is considered to be its own Sector. As a result, there are eight financial Sectors in the Original Benchmark: The AUD, GBP, CAD, EUR, JPY, CHF, 10-year U.S. Treasury note and 30-year U.S. Treasury bond. Under the New Benchmark, there are no Sectors, but rather each of the 24 Components is treated separately for weighting and long, short or flat position determinations. The twenty Components with the lowest 36-month rolling volatility are included. All Components may be long, short or flat, except for Energy futures (i.e., light crude oil, natural gas, Gasoline and heating oil), which are held either long or flat. (2) Weighting Methodology Within the Original Benchmark, Components may be positioned as long or short, except that the Energy Sector and its Components may never be positioned short. The Original Benchmark’s methodology provides that, due to significant levels of continuous consumption, limited reserves and other factors, the Energy Sector can only be long or flat (i.e., no exposure). At the beginning of each calendar year and month, the Original Benchmark is weighted evenly (i.e., 50/50) between commodity futures contracts and E:\FR\FM\06JNN1.SGM 06JNN1 Federal Register / Vol. 81, No. 108 / Monday, June 6, 2016 / Notices sradovich on DSK3TPTVN1PROD with NOTICES financial futures contracts. If the Energy Sector is flat, financial futures represent approximately 61.5% of the weight of the original Benchmark and commodity futures represent approximately 38.5% of weighting of the Original Benchmark. When Energy is long, financial futures and commodity futures each represent 50% of the weight of the Original Benchmark. If the Energy Sector is flat then the weighting of the other Sectors and Components within the Benchmark is increased on a pro-rata basis.9 As a result, at the beginning of each calendar year and month, if Energy is flat, financial futures will represent approximately 61.5% of the weight of the Original Benchmark and commodities will represent approximately 38.5% of the weight of the Original Benchmark. At the beginning of each calendar year and month, each Component and Sector within the Original Benchmark also has a ‘‘Base Weight,’’ depending on whether the Energy Sector is long or flat. If the Energy Sector is flat, then the Base Weight of the other Sectors and Components within the Original Benchmark is increased on a pro-rata basis. Commodity Sector weights are based on, but not exactly proportional to, historical world production levels. Commodity Sectors that have higher historical production levels are weighted higher in the Original Benchmark. Weightings of the financial futures Sectors are based on, but not directly proportional to, historical gross domestic product (‘‘GDP’’). Larger economic regions (i.e., Europe as measured by the Euro) should get a higher weighting than smaller regions (i.e., Australia as measured by AUD).10 Under the New Benchmark, the 20 Components with the lowest realized 36 month rolling volatility will be 9 To arrive at the Sector weightings when Energy is flat, divide the Sector Base Weight by one minus the Energy Sector Base Weight (i.e., Sector Base Weight/1—0.1875)). 10 The Adviser represents that, as of March 31, 2016, the Fund’s investment in the Components of the Original Benchmark are as follows: (i) Silver, corn, wheat and coffee were not selected into the portfolio for April (Nominal exposure, 0.00%) due to their high realized volatilities, and (ii) although selected into the portfolio, crude oil, natural gas, heating oil and Gasoline were not given any weight (nominal exposure, 0.00%) as short positions in those commodities were not allowed. The selected commodities were given equal nominal weight (6.25%): Copper, soybeans, cocoa, lean hogs, CHF and CAD were not fully invested due to lack of total conviction based on the Composite Momentum Signal methodology. Only 2⁄3 of the nominal exposure was invested into their respective futures contract (effective weight: 4.17%). Gold, sugar, cotton, live cattle, EUR, JPY, GBP, AUD, 30-year Treasury bond and 10-year Treasury note were fully invested (effective weight: 6.25%). VerDate Sep<11>2014 16:36 Jun 03, 2016 Jkt 238001 included.11 If Energy futures are flat, then Energy assets will be excluded. The remaining assets will be weighted equally prior to the ‘‘Composite Momentum Signal’’ (described below) being applied. The New Benchmark determines a Composite Momentum Signal for each asset, based on the 3-month, 6-month, and 12-month returns (each, a ‘‘Signal’’) for the asset, based on its rolling schedule. If the return is positive, the New Benchmark will assign positive one (+1) to it; if the return is negative, the New Benchmark will assign a negative one (¥1) to it. The three Signals are aggregated by the New Benchmark, and if all signals are in the same direction, the Fund will invest the assigned weight. Otherwise, the Fund will invest two-thirds of the assigned weight. The direction of the trade (i.e., long or short) will be based on the direction of the majority of the Signals.12 (3) Rebalancing The weight of each Component and Sector in the Original Benchmark changes throughout each month based upon performance. At the end of each 11 The Adviser represents that the commodity futures contracts included in the New Benchmark (and therefore anticipated to be included in the Fund) are heavily traded and are based on some of the world’s most liquid and actively-traded commodities. According to the Adviser, as of January 1, 2016, the 3-month average daily trading volume (‘‘ADTV’’) of the commodity futures contracts representing Components in the New Benchmark were as follows: Crude oil: $20,402,707,680; natural gas: $3,613,649,760); heating oil: $2,489,853,660; Gasoline: $3,367,039,200; copper: $434,060,000; sugar: $707,097,600; cotton: $285,940,000; wheat: $1,085,637,500; corn: $3,619,192,500; soybeans: $3,826,910,000; gold: $14,866,492,080; silver: $3,122,181,600; cocoa: $429,350,900; coffee: $452,838,750; live cattle: $1,786,550,000; and lean hogs: $437,824,000. The listed financial futures contracts included in the New Benchmark (and therefore anticipated to be included in the Fund) are heavily traded and represent six of the world’s most liquid and actively-traded currencies (as well as the U.S. dollar through futures on 30-year Treasury bonds and 10year Treasury notes). According to the Adviser, as of January 1, 2016, the 3-month ADTV of the financial futures contracts representing Components in the New Benchmark were as follows: EUR: $33,014,630,700; AUD: $7,428,685,500; CAD: $6,686,911,000; GBP: $8,644,461,188; CHF: $9,904,476,250; 10-year Treasury note: $148,389,752,565; and 30-year Treasury bond: $38,918,903,603. 12 The current weighting of the New Benchmark as of January 1, 2016, is as follows. Silver, corn, wheat and coffee were not selected due to high volatility. The Energy group is flat as Signals indicate a short position. The weight of the Energy group is therefore proportionately assigned to the included assets. Each of copper, gold, soybeans, sugar, cotton, cocoa, live cattle, lean hogs, EUR, JPY, GBP, CHF, AUD, CAD, 30-year Treasury bond, and 10-year Treasury note futures were therefore weighted at 6.25%. PO 00000 Frm 00106 Fmt 4703 Sfmt 4703 36359 month, each Sector is reset back to its applicable Base Weight depending on whether the Energy Sector is long or flat. Within Sectors that have multiple Components, the weight of each Component relative to the others is allowed to fluctuate throughout the year and Component weights are reset back to their respective Base Weights only at year-end. Under the New Benchmark, each month, the 20 assets with the lowest 36month volatility on a rolling basis are included. If an asset within the Energy group is short, the value of that asset is flat and allocated proportionately to the included assets. Weighing is then determined as discussed above. (4) Long/Short/Flat Determination As stated in the Prior Releases, in order to capture both rising and falling price trends, at the end of each month each Sector in the Original Benchmark (other than the Energy Sector) is positioned as either ‘‘long’’ or ‘‘short.’’ This determination is made using an algorithm that compares the Sector’s monthly return to the Sector’s historic weighted moving average returns. If the Sector’s returns are above its moving average returns, the Sector is positioned as ‘‘long’’ throughout the following month. If the Sector’s returns are below its moving average, the Sector is positioned as ‘‘short’’ throughout the following month (with the exception of the Energy Sector, which would be positioned flat). All Components within a Sector are held in the same direction. The value of a Sector and the value of the Original Benchmark should increase if a long position increases in value or if a short position decreases in value. For example, if a Sector is long in the Original Benchmark and the value of its Components goes up intra-month, the return of the Sector (and therefore the Original Benchmark) should increase. If a Sector is short in the Original Benchmark, and the value of its Components goes down intra-month, the return of the Sector (and therefore the Original Benchmark) should increase. Under the New Benchmark, the Fund will be rebalanced each month based on the Composite Momentum Signal framework described above. Just as under the Original Benchmark, the New Benchmark should increase if a long position increases in value or if a short position decreases in value. For example, if a Component is long in the New Benchmark and its value goes up intra-month, the return of the Component (and therefore the New Benchmark) should increase. If a Component is short in the New E:\FR\FM\06JNN1.SGM 06JNN1 36360 Federal Register / Vol. 81, No. 108 / Monday, June 6, 2016 / Notices sradovich on DSK3TPTVN1PROD with NOTICES Benchmark, and its value goes down intra-month, the return of the Component (and therefore the New Benchmark) should increase.13 The Adviser represents that the SubAdviser will continue to invest the Fund in the same assets as are contained in the Prior Releases and will remain subject to, and invest the Fund assets, in accordance [sic] all of the other requirements and limitations identified in the Prior Releases. As a condition to continued listing and trading Shares of the Fund on the Exchange, the Fund will continue to comply with all initial and continued listing requirements under NYSE Arca Rule 8.600. Except for the changes noted above, all other facts presented and representations made in the Prior Releases are unchanged. 2. Statutory Basis The basis under the Exchange Act for this proposed rule change is the requirement under Section 6(b)(5)14 that an exchange have rules that are designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to remove impediments to, and perfect the mechanism of a free and open market and, in general, to protect investors and the public interest. The Exchange believes that the proposed rule change is designed to prevent fraudulent and manipulative acts and practices. The Adviser is changing the representation that it will seek investment returns that correspond to the Original Benchmark to that it will seek investment returns that correspond to the New Benchmark. The Adviser represents that there is no change to the Fund’s investment objective or to the securities or other assets identified in the Prior Releases that the Fund utilizes in seeking to achieve its investment objective. The Fund’s use of such securities and other assets will remain subject to all requirements and applicable limitations identified in the Prior Releases. As a condition to the continued listing and trading of the Shares on the Exchange, the Fund will continue to comply with all initial and continued listing requirements under NYSE Arca Rule 8.600. The proposed rule change is designed to promote just and equitable principles of trade and to protect investors and the 13 Because the New Benchmark does not classify Components into Sectors, the above explanation of the impact of changes in the value of long or short assets in the New Benchmark is discussed with respect to Components, rather than with respect to Sectors. 14 15 U.S.C. 78f(b)(5). VerDate Sep<11>2014 16:36 Jun 03, 2016 Jkt 238001 public interest in that the Adviser represents that there is no change to the Fund’s investment objective. The Adviser represents that the allocations of the Fund’s portfolio will remain consistent with the allocation limitations discussed in the Prior Releases, and that the Fund may invest in the same instruments as are contained in the Original Benchmark, as discussed in the Prior Release. However, the Adviser now represents that the Fund will use portfolio management strategies in seeking to achieve its investment objective in a manner that allocates the Fund’s investments in those same instruments in a manner to correspond to the New Benchmark, rather than the Original Benchmark. All statements and representations made in this filing and the Prior Releases regarding (a) the description of the Fund’s portfolio, (b) limitations on portfolio holdings or reference assets, or (c) the applicability of Exchange rules and surveillance procedures shall constitute continued listing requirements for listing the Shares on the Exchange. The Adviser has represented to the Exchange that it will advise the Exchange of any failure by the Fund to comply with the continued listing requirements, and, pursuant to its obligations under Section 19(g)(1) of the Act, the Exchange will monitor for compliance with the continued listing requirements.15 If the Fund is not in compliance with the applicable listing requirements, the Exchange will commence delisting procedures under NYSE Arca Rule 5.5(m). The proposed rule change is designed to perfect the mechanism of a free and open market and, in general, to protect investors and the public interest in that the Fund will continue to comply with all initial and continued listing requirements under NYSE Arca Rule 8.600. The proposed rule change will permit the Fund to continue to operate in a manner similar to other Managed 15 The Commission notes that certain other proposals for the listing and trading of Managed Fund Shares include a representation that the exchange will ‘‘surveil’’ for compliance with the continued listing requirements. See, e.g., Securities Exchange Act Release No. 77499 (April 1, 2016), 81 FR 20428 (April 7, 2016) (Notice of Filing of Amendment No. 2, and Order Granting Accelerated Approval of a Proposed Rule Change, as Modified by Amendment No. 2, to List and Trade Shares of the SPDR DoubleLine Short Duration Total Return Tactical ETF of the SSgA Active Trust), available at: https://www.sec.gov/rules/sro/bats/2016/34– 77499.pdf. In the context of this representation, it is the Commission’s view that ‘‘monitor’’ and ‘‘surveil’’ both mean ongoing oversight of the Fund’s compliance with the continued listing requirements. Therefore, the Commission does not view ‘‘monitor’’ as a more or less stringent obligation than ‘‘surveil’’ with respect to the continued listing requirements. PO 00000 Frm 00107 Fmt 4703 Sfmt 4703 Fund Shares that invest primarily in futures contracts, and will permit continued listing on the Exchange for the Fund after it begins to utilize the quantitative, rules-based strategy designed to seek performance that corresponds to the New Benchmark, which will enhance competition among issues Managed Fund Shares currently trading on the Exchange. Except for the changes noted above, all other representations made in the Prior Releases are unchanged. B. Self-Regulatory Organization’s Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purpose of the Exchange Act. The proposed rule change will permit the continued listing on the Exchange of the Fund after it begins to utilize the quantitative, rules-based strategy designed to correspond to the New Benchmark, which will enhance competition among issues of Managed Fund Shares. C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others No written comments were solicited or received with respect to the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the proposed rule change does not (i) significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative for 30 days from the date on which it was filed, or such shorter time as the Commission may designate, if consistent with the protection of investors and the public interest, the proposed rule change has become effective pursuant to Section 19(b)(3)(A) of the Act16 and Rule 19b–4(f)(6) thereunder.17 At any time within 60 days of the filing of such proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the 16 15 U.S.C. 78s(b)(3)(A). CFR 240.19b–4(f)(6). As required under Rule 19b–4(f)(6)(iii), the Exchange provided the Commission with written notice of its intent to file the proposed rule change, along with a brief description and the text of the proposed rule change, at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission. 17 17 E:\FR\FM\06JNN1.SGM 06JNN1 Federal Register / Vol. 81, No. 108 / Monday, June 6, 2016 / Notices public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings under Section 19(b)(2)(B) of the Act18 to determine whether the proposed rule change should be approved or disapproved. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods: sradovich on DSK3TPTVN1PROD with NOTICES Electronic Comments • Use the Commission’s Internet comment form (https://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SR– NYSEArca–2016–83 on the subject line. Paper Comments • Send paper comments in triplicate to Brent J. Fields, Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549–1090. All submissions should refer to File Number SR–NYSEArca–2016–83. 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 18 15 U.S.C. 78s(b)(2)(B). VerDate Sep<11>2014 16:36 Jun 03, 2016 Jkt 238001 available publicly. All submissions should refer to File Number SR– NYSEArca–2016–83 and should be submitted on or before June 27, 2016. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.19 Brent J. Fields, Secretary. [FR Doc. 2016–13212 Filed 6–3–16; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–77947; File No. SR– NYSEARCA–2016–76] Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Implementing the Quoting and Trading Provisions of the Plan To Implement a Tick Size Pilot Program Submitted to the Commission Pursuant to Rule 608 of Regulation NMS Under the Act May 31, 2016. Pursuant to Section 19(b)(1) 1 of the Securities Exchange Act of 1934 (the ‘‘Act’’) 2 and Rule 19b–4 thereunder,3 notice is hereby given that, on May 20, 2016, NYSE Arca, Inc. (the ‘‘Exchange’’ or ‘‘NYSE Arca’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I, II, and III below, which Items have been prepared by the self-regulatory organization. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to implement the quoting and trading provisions of the Plan to Implement a Tick Size Pilot Program submitted to the Commission pursuant to Rule 608 of Regulation NMS 4 under the Act (the ‘‘Plan’’). The proposed rule change is substantially similar to proposed rule changes recently approved or published by the Commission by New York Stock Exchange LLC to adopt NYSE Rules 67(a) and 67(c)–(e), which also implemented the quoting and trading 19 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 15 U.S.C. 78a. 3 17 CFR 240.19b–4. 4 17 CFR 242.608. 1 15 PO 00000 Frm 00108 Fmt 4703 Sfmt 4703 36361 provisions of the Plan.5 Therefore, the Exchange has designated this proposal as ‘‘non-controversial’’ and provided the Commission with the notice required by Rule 19b–4(f)(6)(iii) under the Act.6 The proposed rule change is available on the Exchange’s Web site at www.nyse.com, at the principal office of the Exchange, and at the Commission’s Public Reference Room. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the self-regulatory organization included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of those statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant parts of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange proposes to establish rules to require its ETP Holders 7 to comply with the requirements of the Plan to Implement a Tick Size Pilot Program (the ‘‘Plan’’),8 which is designed to study and assess the impact of increment conventions on the liquidity and trading of the common stocks of small capitalization 5 See, Securities Exchange Act Release No. 76229 (October 22, 2015), 80 FR 66065 (October 28, 2015) (SR–NYSE–2015–46), as amended by Partial Amendments No. 1 and No. 2 to the Quoting & Trading Rules Proposal. See, Securities Exchange Act Release No. 77703 (April 25, 2016), 81 FR 25725 (April 29, 2016) (SR–NYSE–2015–46). 6 17 CFR 240.19b–4(f)(6)(iii). 7 The term ETP Holder is defined in NYSE Arca Equities Rule 1.1(n) to mean a sole proprietorship, partnership, corporation, limited liability company or other organization in good standing that has been issued an ETP. An ETP Holder must be a registered broker or dealer pursuant to Section 15 of the Act. An ETP Holder shall agree to be bound by the Certificate of Incorporation, Bylaws and Rules of NYSE Arca Equities, and by all applicable rules and regulations of the Commission. The term ETP is defined in NYSE Arca Equities Rule 1.1(m) to mean an equity trading permit issued by NYSE Arca Equities for effecting approved securities transactions on NYSE Arca Equities’ trading facilities. 8 See Securities and Exchange Act Release No. 74892 (May 6, 2015), 80 FR 27513 (File No. 4–657) (‘‘Tick Plan Approval Order’’). See, also, Securities and Exchange Act Release No. 76382 (November 6, 2015) (File No. 4–657), 80 FR 70284 (File No. 4–657) (November 13, 2015), which extended the pilot period commencement date from May 6, 2015 to October 3, 2016. E:\FR\FM\06JNN1.SGM 06JNN1

Agencies

[Federal Register Volume 81, Number 108 (Monday, June 6, 2016)]
[Notices]
[Pages 36357-36361]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-13212]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-77952; File No. SR-NYSEArca-2016-83]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
and Immediate Effectiveness of Proposed Rule Change To Reflect a Change 
to the Benchmark Index Applicable to the WisdomTree Managed Futures 
Strategy Fund

May 31, 2016.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 
given that, on May 27, 2016, NYSE Arca, Inc. (the ``Exchange'' or 
``NYSE Arca'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I and II 
below, which Items have been prepared by the self-regulatory 
organization. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C.78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to reflect a change to the benchmark index 
applicable to the WisdomTree Managed Futures Strategy Fund. The 
proposed rule change is available on the Exchange's Web site at 
www.nyse.com, at the principal office of the Exchange, and at the 
Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the self-regulatory organization 
included statements concerning the purpose of, and basis for, the 
proposed rule change and discussed any comments it received on the 
proposed rule change. The text of those statements may be examined at 
the places specified in Item IV below. The Exchange has prepared 
summaries, set forth in sections A, B, and C below, of the most 
significant parts of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Commission previously approved the listing and trading of the 
shares (``Shares'') of the Fund on the Exchange under NYSE Arca 
Equities Rule 8.600,\4\ which governs the listing and trading of 
``Managed Fund Shares,'' on the Exchange.\5\ The Fund is an actively-
managed exchange traded fund. WisdomTree Asset Management, Inc. 
(``WisdomTree Asset Management'') is the investment adviser 
(``Adviser'') to the Fund. WisdomTree Investments, Inc. (``WisdomTree 
Investments'') is the

[[Page 36358]]

parent company of WisdomTree Asset Management. Mellon Capital 
Management Corporation (``Mellon'' or ``Sub-Adviser'') serves as the 
sub-adviser for the Fund. State Street Bank and Trust Company is the 
administrator, custodian and transfer agent for the Fund. Foreside Fund 
Services, LLC (``Distributor'') serves as distributor for the Fund.\6\ 
The Shares are offered by the Trust, which is registered with the 
Commission as an investment company.\7\
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    \4\ NYSE Arca Equities Rule 8.600 (c)(1) provides that, among 
other criteria, a Managed Fund Share is a security that represents 
an interest in an investment company registered under the Investment 
Company Act of 1940 (15 U.S.C. 80a) (``1940 Act'') organized as an 
open-end investment company or similar entity that invests in a 
portfolio of securities selected by its investment adviser 
consistent with its investment objectives and policies. In contrast, 
an open-end investment company that issues Investment Company Units, 
listed and traded on the Exchange under NYSE Arca Equities Rule 
5.2(j)(3), seeks to provide investment results that correspond 
generally to the price and yield performance of a specific foreign 
or domestic stock index, fixed income securities index or 
combination thereof.
    \5\ See Securities Exchange Act Release No. 63598 (December 22, 
2010), 75 FR 82106 (December 29, 2010)(SR-NYSEArca-2010-98) (``Prior 
Order''). See also Securities Exchange Act Release No. 63292 
(November 9, 2010), 75 FR 70319 (November 17, 2010) (``Prior 
Notice'', and with the Prior Order, the ``Prior Releases'').
    \6\ The Prior Releases identified The Bank of New York Mellon as 
the administrator, custodian and transfer agent for the Fund and 
ALPS Distributors, Inc. as the distributor for the Fund.
    \7\ The Trust is registered under the 1940 Act. The Trust 
intends to file a prospectus supplement with the Commission or a 
post-effective amendment to its registration statement on Form N-1A 
under the Securities Act of 1933 (15 U.S.C. 77a) (``Securities 
Act'') and under the 1940 Act relating to the Fund (File Nos. 333-
132380 and 811-21864) (the ``Registration Statement''), to reflect 
the changes in this proposed rule change upon effectiveness of such 
proposed rule change. The descriptions of the operation of the Trust 
and the Fund will be reflected in any such filing. In addition, the 
Commission has issued an order granting certain exemptive relief to 
the Trust under the 1940 Act. See Investment Company Act Release No. 
28471 (October 27, 2008) (File No. 812-13458) (``Exemptive Order''). 
Investments by the Fund will comply with the conditions in the 
Exemptive Order. Share [sic] of the Fund are currently listed and 
traded on the Exchange in compliance with all original and continued 
listing standards of the Exchange and requirements of the Prior 
Releases.
---------------------------------------------------------------------------

    The Prior Releases stated that the Adviser would manage the Fund 
using a strategy designed to correspond to the performance of the 
Diversified Trends IndicatorTM (``Original Benchmark''). In 
this proposed rule change, the Exchange proposes to reflect a change to 
the benchmark index applicable to the Fund. The new benchmark will be 
the WisdomTree Managed Futures Index (``New Benchmark,'' and together 
with the Original Benchmark, the ``Benchmarks''), a proprietary index 
developed by WisdomTree Investments.\8\ Upon implementation of the 
proposed rule change, the Adviser will manage the Fund using a strategy 
designed to correspond to the performance of the New Benchmark. The 
Adviser anticipates investing Fund assets through the Sub-Adviser based 
on the New Benchmark on or around June 30, 2016.
---------------------------------------------------------------------------

    \8\ The changes described herein will be effected contingent 
upon filing of a prospectus supplement or upon effectiveness of the 
Trust's most recent post-effective amendment to its Registration 
Statement. See note 7, supra. The Adviser represents that the 
Adviser will not implement the changes described herein until the 
instant proposed rule change is operative.
---------------------------------------------------------------------------

    The Adviser believes that it is in the best interest of the Fund 
and its shareholders to replace the Original Benchmark with the New 
Benchmark while keeping the Fund's asset exposure and investment 
strategies similar, and without changing the Fund's investment 
objective. The Adviser believes that the New Benchmark will serve to 
optimize the Fund's investment strategy, while seeking to provide 
enhanced risk-adjusted returns over time.
Description of the Shares, the Benchmark and the Fund
    According to the Prior Releases, the WisdomTree Managed Futures 
Strategy Fund seeks to provide investors with positive total returns in 
rising or falling markets that are not directly correlated to broad 
market equity or fixed income returns. The Fund is currently managed 
using a quantitative, rules-based strategy designed to provide returns 
that correspond to the performance of the Original Benchmark. The 
Original Benchmark is a widely used indicator designed to capture the 
economic benefit derived from rising or declining price trends in 
commodity, currency, and U.S. Treasury futures markets.
    Under this proposed rule change, the Exchange seeks to permit the 
Fund to be managed using a different, quantitative, rules-based 
strategy, described below, that is designed to provide returns that 
correspond to the New Benchmark. The New Benchmark is a proprietary 
index, developed and owned by WisdomTree Investments that is also 
designed to capture the economic benefit derived from rising or 
declining price trends in commodity, currency, and U.S. Treasury 
futures markets.
    Differences between the Original Benchmark and the New Benchmark 
are described below.
The Benchmarks
    The Original Benchmark is a rules-based indicator designed to 
capture rising and falling price trends in the commodity, currency and 
U.S. Treasury futures markets through long and short positions on U.S. 
listed futures contracts. The Original Benchmark consists of U.S. 
listed futures contracts on 16 tangible commodities and 8 financial 
futures. The 16 commodity futures contracts are: Light crude oil, 
natural gas, RBOB gas (``Gasoline''), heating oil, soybeans, corn, 
wheat, gold, silver, copper, live cattle, lean hogs, coffee, cocoa, 
cotton and sugar. The 8 financial futures contracts are: the Australian 
dollar (``AUD''), British pound sterling (``GBP''), Canadian dollar 
(``CAD''), Euro (``EUR''), Japanese yen (``JPY''), Swiss franc 
(``CHF''), 10-year U.S. Treasury note and 30-year U.S. Treasury bond. 
Each contract is sometimes referred to as a ``Component'' of the 
Original Benchmark.
    The New Benchmark also is a rules-based indicator designed to 
capture rising and falling price trends in the commodity, currency and 
U.S. Treasury futures markets through long and short positions on U.S. 
listed futures contracts. The New Benchmark consists of U.S. listed 
futures contracts on 16 tangible commodities and 8 financial futures. 
The 16 commodity futures contracts are: Light crude oil, natural gas, 
Gasoline, heating oil, soybeans, corn, wheat, gold, silver, copper, 
live cattle, lean hogs, coffee, cocoa, cotton and sugar. The 8 
financial futures contracts are: the AUD, GBP, CAD, EUR, JPY, CHF, 10-
year U.S. Treasury note and 30-year U.S. Treasury bond. Each contract 
is sometimes referred to as a ``Component'' of the New Benchmark.
(1) Asset Treatment
    Under the Original Benchmark, Components that are similar in nature 
(such as gas and oil or gold and silver) are aggregated into 
``Sectors.'' There are nine commodity Sectors in the Original 
Benchmark: Energy (light crude oil, natural gas, Gasoline, and heating 
oil), Grains (soybeans, corn), Precious Metals (gold and silver), 
Industrial Metals (copper), Livestock (live cattle, lean hogs), Coffee, 
Cocoa, Cotton, and Sugar. Each financial futures contract is considered 
to be its own Sector. As a result, there are eight financial Sectors in 
the Original Benchmark: The AUD, GBP, CAD, EUR, JPY, CHF, 10-year U.S. 
Treasury note and 30-year U.S. Treasury bond.
    Under the New Benchmark, there are no Sectors, but rather each of 
the 24 Components is treated separately for weighting and long, short 
or flat position determinations. The twenty Components with the lowest 
36-month rolling volatility are included. All Components may be long, 
short or flat, except for Energy futures (i.e., light crude oil, 
natural gas, Gasoline and heating oil), which are held either long or 
flat.
(2) Weighting Methodology
    Within the Original Benchmark, Components may be positioned as long 
or short, except that the Energy Sector and its Components may never be 
positioned short. The Original Benchmark's methodology provides that, 
due to significant levels of continuous consumption, limited reserves 
and other factors, the Energy Sector can only be long or flat (i.e., no 
exposure).
    At the beginning of each calendar year and month, the Original 
Benchmark is weighted evenly (i.e., 50/50) between commodity futures 
contracts and

[[Page 36359]]

financial futures contracts. If the Energy Sector is flat, financial 
futures represent approximately 61.5% of the weight of the original 
Benchmark and commodity futures represent approximately 38.5% of 
weighting of the Original Benchmark. When Energy is long, financial 
futures and commodity futures each represent 50% of the weight of the 
Original Benchmark.
    If the Energy Sector is flat then the weighting of the other 
Sectors and Components within the Benchmark is increased on a pro-rata 
basis.\9\ As a result, at the beginning of each calendar year and 
month, if Energy is flat, financial futures will represent 
approximately 61.5% of the weight of the Original Benchmark and 
commodities will represent approximately 38.5% of the weight of the 
Original Benchmark.
---------------------------------------------------------------------------

    \9\ To arrive at the Sector weightings when Energy is flat, 
divide the Sector Base Weight by one minus the Energy Sector Base 
Weight (i.e., Sector Base Weight/1--0.1875)).
---------------------------------------------------------------------------

    At the beginning of each calendar year and month, each Component 
and Sector within the Original Benchmark also has a ``Base Weight,'' 
depending on whether the Energy Sector is long or flat. If the Energy 
Sector is flat, then the Base Weight of the other Sectors and 
Components within the Original Benchmark is increased on a pro-rata 
basis. Commodity Sector weights are based on, but not exactly 
proportional to, historical world production levels. Commodity Sectors 
that have higher historical production levels are weighted higher in 
the Original Benchmark. Weightings of the financial futures Sectors are 
based on, but not directly proportional to, historical gross domestic 
product (``GDP''). Larger economic regions (i.e., Europe as measured by 
the Euro) should get a higher weighting than smaller regions (i.e., 
Australia as measured by AUD).\10\
---------------------------------------------------------------------------

    \10\ The Adviser represents that, as of March 31, 2016, the 
Fund's investment in the Components of the Original Benchmark are as 
follows: (i) Silver, corn, wheat and coffee were not selected into 
the portfolio for April (Nominal exposure, 0.00%) due to their high 
realized volatilities, and (ii) although selected into the 
portfolio, crude oil, natural gas, heating oil and Gasoline were not 
given any weight (nominal exposure, 0.00%) as short positions in 
those commodities were not allowed. The selected commodities were 
given equal nominal weight (6.25%): Copper, soybeans, cocoa, lean 
hogs, CHF and CAD were not fully invested due to lack of total 
conviction based on the Composite Momentum Signal methodology. Only 
\2/3\ of the nominal exposure was invested into their respective 
futures contract (effective weight: 4.17%). Gold, sugar, cotton, 
live cattle, EUR, JPY, GBP, AUD, 30-year Treasury bond and 10-year 
Treasury note were fully invested (effective weight: 6.25%).
---------------------------------------------------------------------------

    Under the New Benchmark, the 20 Components with the lowest realized 
36 month rolling volatility will be included.\11\ If Energy futures are 
flat, then Energy assets will be excluded. The remaining assets will be 
weighted equally prior to the ``Composite Momentum Signal'' (described 
below) being applied.
---------------------------------------------------------------------------

    \11\ The Adviser represents that the commodity futures contracts 
included in the New Benchmark (and therefore anticipated to be 
included in the Fund) are heavily traded and are based on some of 
the world's most liquid and actively-traded commodities. According 
to the Adviser, as of January 1, 2016, the 3-month average daily 
trading volume (``ADTV'') of the commodity futures contracts 
representing Components in the New Benchmark were as follows: Crude 
oil: $20,402,707,680; natural gas: $3,613,649,760); heating oil: 
$2,489,853,660; Gasoline: $3,367,039,200; copper: $434,060,000; 
sugar: $707,097,600; cotton: $285,940,000; wheat: $1,085,637,500; 
corn: $3,619,192,500; soybeans: $3,826,910,000; gold: 
$14,866,492,080; silver: $3,122,181,600; cocoa: $429,350,900; 
coffee: $452,838,750; live cattle: $1,786,550,000; and lean hogs: 
$437,824,000.
     The listed financial futures contracts included in the New 
Benchmark (and therefore anticipated to be included in the Fund) are 
heavily traded and represent six of the world's most liquid and 
actively-traded currencies (as well as the U.S. dollar through 
futures on 30-year Treasury bonds and 10-year Treasury notes). 
According to the Adviser, as of January 1, 2016, the 3-month ADTV of 
the financial futures contracts representing Components in the New 
Benchmark were as follows: EUR: $33,014,630,700; AUD: 
$7,428,685,500; CAD: $6,686,911,000; GBP: $8,644,461,188; CHF: 
$9,904,476,250; 10-year Treasury note: $148,389,752,565; and 30-year 
Treasury bond: $38,918,903,603.
---------------------------------------------------------------------------

    The New Benchmark determines a Composite Momentum Signal for each 
asset, based on the 3-month, 6-month, and 12-month returns (each, a 
``Signal'') for the asset, based on its rolling schedule. If the return 
is positive, the New Benchmark will assign positive one (+1) to it; if 
the return is negative, the New Benchmark will assign a negative one (-
1) to it. The three Signals are aggregated by the New Benchmark, and if 
all signals are in the same direction, the Fund will invest the 
assigned weight. Otherwise, the Fund will invest two-thirds of the 
assigned weight. The direction of the trade (i.e., long or short) will 
be based on the direction of the majority of the Signals.\12\
---------------------------------------------------------------------------

    \12\ The current weighting of the New Benchmark as of January 1, 
2016, is as follows. Silver, corn, wheat and coffee were not 
selected due to high volatility. The Energy group is flat as Signals 
indicate a short position. The weight of the Energy group is 
therefore proportionately assigned to the included assets. Each of 
copper, gold, soybeans, sugar, cotton, cocoa, live cattle, lean 
hogs, EUR, JPY, GBP, CHF, AUD, CAD, 30-year Treasury bond, and 10-
year Treasury note futures were therefore weighted at 6.25%.
---------------------------------------------------------------------------

(3) Rebalancing
    The weight of each Component and Sector in the Original Benchmark 
changes throughout each month based upon performance. At the end of 
each month, each Sector is reset back to its applicable Base Weight 
depending on whether the Energy Sector is long or flat. Within Sectors 
that have multiple Components, the weight of each Component relative to 
the others is allowed to fluctuate throughout the year and Component 
weights are reset back to their respective Base Weights only at year-
end.
    Under the New Benchmark, each month, the 20 assets with the lowest 
36-month volatility on a rolling basis are included. If an asset within 
the Energy group is short, the value of that asset is flat and 
allocated proportionately to the included assets. Weighing is then 
determined as discussed above.
(4) Long/Short/Flat Determination
    As stated in the Prior Releases, in order to capture both rising 
and falling price trends, at the end of each month each Sector in the 
Original Benchmark (other than the Energy Sector) is positioned as 
either ``long'' or ``short.'' This determination is made using an 
algorithm that compares the Sector's monthly return to the Sector's 
historic weighted moving average returns. If the Sector's returns are 
above its moving average returns, the Sector is positioned as ``long'' 
throughout the following month. If the Sector's returns are below its 
moving average, the Sector is positioned as ``short'' throughout the 
following month (with the exception of the Energy Sector, which would 
be positioned flat). All Components within a Sector are held in the 
same direction. The value of a Sector and the value of the Original 
Benchmark should increase if a long position increases in value or if a 
short position decreases in value. For example, if a Sector is long in 
the Original Benchmark and the value of its Components goes up intra-
month, the return of the Sector (and therefore the Original Benchmark) 
should increase. If a Sector is short in the Original Benchmark, and 
the value of its Components goes down intra-month, the return of the 
Sector (and therefore the Original Benchmark) should increase.
    Under the New Benchmark, the Fund will be rebalanced each month 
based on the Composite Momentum Signal framework described above. Just 
as under the Original Benchmark, the New Benchmark should increase if a 
long position increases in value or if a short position decreases in 
value. For example, if a Component is long in the New Benchmark and its 
value goes up intra-month, the return of the Component (and therefore 
the New Benchmark) should increase. If a Component is short in the New

[[Page 36360]]

Benchmark, and its value goes down intra-month, the return of the 
Component (and therefore the New Benchmark) should increase.\13\
---------------------------------------------------------------------------

    \13\ Because the New Benchmark does not classify Components into 
Sectors, the above explanation of the impact of changes in the value 
of long or short assets in the New Benchmark is discussed with 
respect to Components, rather than with respect to Sectors.
---------------------------------------------------------------------------

    The Adviser represents that the Sub-Adviser will continue to invest 
the Fund in the same assets as are contained in the Prior Releases and 
will remain subject to, and invest the Fund assets, in accordance [sic] 
all of the other requirements and limitations identified in the Prior 
Releases. As a condition to continued listing and trading Shares of the 
Fund on the Exchange, the Fund will continue to comply with all initial 
and continued listing requirements under NYSE Arca Rule 8.600.
    Except for the changes noted above, all other facts presented and 
representations made in the Prior Releases are unchanged.
2. Statutory Basis
    The basis under the Exchange Act for this proposed rule change is 
the requirement under Section 6(b)(5)\14\ that an exchange have rules 
that are designed to prevent fraudulent and manipulative acts and 
practices, to promote just and equitable principles of trade, to remove 
impediments to, and perfect the mechanism of a free and open market 
and, in general, to protect investors and the public interest. The 
Exchange believes that the proposed rule change is designed to prevent 
fraudulent and manipulative acts and practices. The Adviser is changing 
the representation that it will seek investment returns that correspond 
to the Original Benchmark to that it will seek investment returns that 
correspond to the New Benchmark.
---------------------------------------------------------------------------

    \14\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Adviser represents that there is no change to the Fund's 
investment objective or to the securities or other assets identified in 
the Prior Releases that the Fund utilizes in seeking to achieve its 
investment objective. The Fund's use of such securities and other 
assets will remain subject to all requirements and applicable 
limitations identified in the Prior Releases. As a condition to the 
continued listing and trading of the Shares on the Exchange, the Fund 
will continue to comply with all initial and continued listing 
requirements under NYSE Arca Rule 8.600.
    The proposed rule change is designed to promote just and equitable 
principles of trade and to protect investors and the public interest in 
that the Adviser represents that there is no change to the Fund's 
investment objective. The Adviser represents that the allocations of 
the Fund's portfolio will remain consistent with the allocation 
limitations discussed in the Prior Releases, and that the Fund may 
invest in the same instruments as are contained in the Original 
Benchmark, as discussed in the Prior Release. However, the Adviser now 
represents that the Fund will use portfolio management strategies in 
seeking to achieve its investment objective in a manner that allocates 
the Fund's investments in those same instruments in a manner to 
correspond to the New Benchmark, rather than the Original Benchmark.
    All statements and representations made in this filing and the 
Prior Releases regarding (a) the description of the Fund's portfolio, 
(b) limitations on portfolio holdings or reference assets, or (c) the 
applicability of Exchange rules and surveillance procedures shall 
constitute continued listing requirements for listing the Shares on the 
Exchange. The Adviser has represented to the Exchange that it will 
advise the Exchange of any failure by the Fund to comply with the 
continued listing requirements, and, pursuant to its obligations under 
Section 19(g)(1) of the Act, the Exchange will monitor for compliance 
with the continued listing requirements.\15\ If the Fund is not in 
compliance with the applicable listing requirements, the Exchange will 
commence delisting procedures under NYSE Arca Rule 5.5(m).
---------------------------------------------------------------------------

    \15\ The Commission notes that certain other proposals for the 
listing and trading of Managed Fund Shares include a representation 
that the exchange will ``surveil'' for compliance with the continued 
listing requirements. See, e.g., Securities Exchange Act Release No. 
77499 (April 1, 2016), 81 FR 20428 (April 7, 2016) (Notice of Filing 
of Amendment No. 2, and Order Granting Accelerated Approval of a 
Proposed Rule Change, as Modified by Amendment No. 2, to List and 
Trade Shares of the SPDR DoubleLine Short Duration Total Return 
Tactical ETF of the SSgA Active Trust), available at: https://www.sec.gov/rules/sro/bats/2016/34-77499.pdf. In the context of this 
representation, it is the Commission's view that ``monitor'' and 
``surveil'' both mean ongoing oversight of the Fund's compliance 
with the continued listing requirements. Therefore, the Commission 
does not view ``monitor'' as a more or less stringent obligation 
than ``surveil'' with respect to the continued listing requirements.
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    The proposed rule change is designed to perfect the mechanism of a 
free and open market and, in general, to protect investors and the 
public interest in that the Fund will continue to comply with all 
initial and continued listing requirements under NYSE Arca Rule 8.600. 
The proposed rule change will permit the Fund to continue to operate in 
a manner similar to other Managed Fund Shares that invest primarily in 
futures contracts, and will permit continued listing on the Exchange 
for the Fund after it begins to utilize the quantitative, rules-based 
strategy designed to seek performance that corresponds to the New 
Benchmark, which will enhance competition among issues Managed Fund 
Shares currently trading on the Exchange. Except for the changes noted 
above, all other representations made in the Prior Releases are 
unchanged.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purpose of the Exchange Act. The proposed rule 
change will permit the continued listing on the Exchange of the Fund 
after it begins to utilize the quantitative, rules-based strategy 
designed to correspond to the New Benchmark, which will enhance 
competition among issues of Managed Fund Shares.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

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

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Because the proposed rule change does not (i) significantly affect 
the protection of investors or the public interest; (ii) impose any 
significant burden on competition; and (iii) become operative for 30 
days from the date on which it was filed, or such shorter time as the 
Commission may designate, if consistent with the protection of 
investors and the public interest, the proposed rule change has become 
effective pursuant to Section 19(b)(3)(A) of the Act\16\ and Rule 19b-
4(f)(6) thereunder.\17\
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    \16\ 15 U.S.C. 78s(b)(3)(A).
    \17\ 17 CFR 240.19b-4(f)(6). As required under Rule 19b-
4(f)(6)(iii), the Exchange provided the Commission with written 
notice of its intent to file the proposed rule change, along with a 
brief description and the text of the proposed rule change, at least 
five business days prior to the date of filing of the proposed rule 
change, or such shorter time as designated by the Commission.
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    At any time within 60 days of the filing of such proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the

[[Page 36361]]

public interest, for the protection of investors, or otherwise in 
furtherance of the purposes of the Act. If the Commission takes such 
action, the Commission shall institute proceedings under Section 
19(b)(2)(B) of the Act\18\ to determine whether the proposed rule 
change should be approved or disapproved.
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    \18\ 15 U.S.C. 78s(b)(2)(B).
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IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2016-83 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEArca-2016-83. 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-NYSEArca-2016-83 and should 
be submitted on or before June 27, 2016.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\19\
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    \19\ 17 CFR 200.30-3(a)(12).
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Brent J. Fields,
Secretary.
[FR Doc. 2016-13212 Filed 6-3-16; 8:45 am]
 BILLING CODE 8011-01-P
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