Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Reflect a Change in the Index Methodology Applicable to the Virtus Enhanced U.S. Equity ETF Under NYSE Arca Equities Rule 5.2(j)(3), 19778-19779 [2017-08576]

Download as PDF 19778 Federal Register / Vol. 82, No. 81 / Friday, April 28, 2017 / Notices 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 such 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–2017–43, and should be submitted on or before May 19, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.19 Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017–08577 Filed 4–27–17; 8:45 am] BILLING CODE 8011–01–P [Release No. 34–80515; File No. SR– NYSEArca–2017–45) Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Reflect a Change in the Index Methodology Applicable to the Virtus Enhanced U.S. Equity ETF Under NYSE Arca Equities Rule 5.2(j)(3) April 24, 2017. asabaliauskas on DSK3SPTVN1PROD with NOTICES 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 April 20, 2017, 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 Exchange. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of the Substance of the Proposed Rule Change The Exchange proposes to reflect a change in the index methodology applicable to the Virtus Enhanced U.S. Equity ETF (‘‘Fund’’). The Commission, pursuant to Section 19(b)(2) of the Act, CFR 200.30–3(a)(12). U.S.C.78s(b)(1). 2 15 U.S.C. 78a. 3 17 CFR 240.19b–4. 1 15 VerDate Sep<11>2014 17:38 Apr 27, 2017 Jkt 241001 II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the self-regulatory organization included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of those statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant parts of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change SECURITIES AND EXCHANGE COMMISSION 19 17 has previously approved listing and trading of shares of the Fund on the Exchange under NYSE Arca Equities Rule 5.2(j)(3). 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. 1. Purpose The Commission has approved the listing and trading on the Exchange of shares (‘‘Shares’’) of the Fund,4 under NYSE Arca Equities Rule 5.2(j)(3), which governs the listing and trading of Investment Company Units. The Exchange proposes to reflect a change in the index methodology applicable to the Fund from the index description in the Prior Notice, as described below. Shares of the Fund have not commenced trading on the Exchange as of the date of filing of this proposed rule change. Index Methodology As stated in the Prior Notice, the Fund’s investment objective will be to seek investment results that, before fees and expenses, closely correspond to the price and yield performance of the Rampart Enhanced U.S. Equity Index (the ‘‘Index’’). The Prior Notice stated that the Index is comprised of an equity portfolio enhanced by an ‘‘Options Strategy Overlay’’. The equity portfolio is comprised of the largest 400 U.S. exchange-listed stocks as measured by market capitalization. The portfolio is market capitalization-weighted and is 4 See Securities Exchange Act Release No. 79402 (November 25, 2016), 81 FR 86760 (December 1, 2016) (SR–NYSEArca–2016–131) (‘‘Prior Order’’). See also Securities Exchange Act Release No. 79101 (October 14, 2016) (SR–NYSEArca–2016–131) (notice of filing of proposed rule change relating to listing on the Exchange of Shares of the Fund) (‘‘Prior Notice’’ and, together with the Prior Order, the ‘‘Prior Releases’’). PO 00000 Frm 00127 Fmt 4703 Sfmt 4703 reconstituted and rebalanced on a quarterly basis. The Options Strategy Overlay uses an objective, rules-based methodology to transact in options linked to the S&P 500 Index (SPX). SPX options are traded on the Chicago Board Options Exchange. Each week, out of the money SPX put options and out of the money SPX call options are sold. The proceeds are used to buy an SPX call option. The strike prices of the options are systematically selected according to the prevailing volatility environment. In general, in higher volatility environments the short options will be struck farther out of the money. The Exchange proposes to delete the representation in the eighth sentence of the preceding paragraph that proceeds are used to buy an SPX call option. Instead, proceeds from weekly sales of out-of-the-money SPX put and call options by the Fund (to the extent there are profits from such sales), as it attempts to meet its investment objective, will be collected by the Fund, and distributed periodically to shareholders, instead of such proceeds being used to purchase additional SPX call options. Between such distributions, there would be no additional exposure to SPX options via reinvestment in such options. Virtus ETF Advisers LLC (the ‘‘Adviser’’) represents that the proposed change to the Index methodology would provide a simplified strategy that emphasizes enhanced income to investors rather than enhanced total return. There will be no change to the Fund’s investment objective. Except for the change noted above, all other representations made in the Prior Releases remain unchanged. 2. Statutory Basis The basis under the Act for this proposed rule change is the requirement under Section 6(b)(5) 5 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, and is designed to promote just and equitable principles of trade and to protect investors and the public interest. Proceeds from weekly sales of out-of-the-money SPX put and call options by the Fund, as it attempts 5 15 E:\FR\FM\28APN1.SGM U.S.C. 78f(b)(5). 28APN1 Federal Register / Vol. 82, No. 81 / Friday, April 28, 2017 / Notices to meet its investment objective, will be distributed periodically to shareholders instead of such proceeds being used to purchase additional SPX call options. The proposed rule change is designed to perfect the mechanism of a free and open market, and, in general, to promote just and equitable principles of trade and to protect investors and the public interest. The Adviser represents that, by not using proceeds of sales to add to exposure to SPX options in the Index, the proposed change to the Index methodology would provide a simplified strategy that emphasizes enhanced income to investors rather than enhanced total return. Except for the change noted above, all other representations in the Prior Releases remain 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 purposes of the Act. The Exchange believes the proposed rule change will enhance competition among issues of exchange-traded funds that invest in both U.S. exchange listed stocks and U.S. exchange-traded options to the benefit of investors and the marketplace. asabaliauskas on DSK3SPTVN1PROD with NOTICES 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 foregoing 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, it has become effective pursuant to Section 19(b)(3)(A)(iii) of the Act 6 and subparagraph (f)(6) of Rule 19b–4 thereunder.7 A proposed rule change filed under Rule 19b–4(f)(6) normally does not become operative before 30 days from the date of the filing. However, pursuant to Rule 19b–4(f)(6)(iii),8 the Commission may designate a shorter time if such 6 15 U.S.C. 78s(b)(3)(A)(iii). CFR 240.19b–4(f)(6). 8 17 CFR 240.19b–4(f)(6)(iii). 7 17 VerDate Sep<11>2014 17:38 Apr 27, 2017 Jkt 241001 action is consistent with the protection of investors and the public interest. The Exchange has asked the Commission to waive the 30-day operative delay. The Commission believes that waiving the 30-day operative delay is consistent with the protection of investors and the public interest. The proposed rule change does not raise any regulatory issues. Additionally, waiver of the operative delay will allow the Adviser to pursue the Fund’s investment objective in a consistent manner should the Exchange wish to commence trading in the Shares without delay. For these reasons, the Commission hereby waives the 30-day operative delay and designates the proposed rule change to be operative upon filing with the Commission.9 At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is: (i) Necessary or appropriate in the public interest; (ii) for the protection of investors; or (iii) otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule 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: 19779 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 such filing also will be available for inspection and copying at the principal offices 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–2017–45, and should be submitted on or before May 19, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.10 Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017–08576 Filed 4–27–17; 8:45 am] BILLING CODE 8011–01–P SMALL BUSINESS ADMINISTRATION 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–2017–45 on the subject line. [Disaster Declaration #15121 and #15122] Paper Comments • Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549–1090. All submissions should refer to File Number SR–NYSEArca–2017–45. 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 SUMMARY: 9 For purposes only of waiving the operative delay for this proposal, the Commission has considered the proposed rule’s impact on efficiency, competition, and capital formation. See 15 U.S.C. 78c(f). PO 00000 Frm 00128 Fmt 4703 Sfmt 4703 Utah Disaster #UT–00049 U.S. Small Business Administration. ACTION: Notice AGENCY: This is a Notice of the Presidential declaration of a major disaster for Public Assistance Only for the State of UTAH (FEMA–4311–DR), dated 04/21/2017. Incident: Severe Winter Storms and Flooding. Incident Period: 02/07/2017 through 02/27/2017. Effective Date: 04/21/2017. Physical Loan Application Deadline Date: 06/20/2017. Economic Injury (EIDL) Loan Application Deadline Date: 01/22/2018. ADDRESSES: Submit completed loan applications to: U.S. Small Business Administration, Processing and 10 17 E:\FR\FM\28APN1.SGM CFR 200.30–3(a)(12). 28APN1

Agencies

[Federal Register Volume 82, Number 81 (Friday, April 28, 2017)]
[Notices]
[Pages 19778-19779]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-08576]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80515; File No. SR-NYSEArca-2017-45)


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
and Immediate Effectiveness of Proposed Rule Change To Reflect a Change 
in the Index Methodology Applicable to the Virtus Enhanced U.S. Equity 
ETF Under NYSE Arca Equities Rule 5.2(j)(3)

April 24, 2017.
    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 April 20, 2017, 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 Exchange. The Commission 
is publishing this notice to solicit comments on the proposed rule 
change from interested persons.
---------------------------------------------------------------------------

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

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

    The Exchange proposes to reflect a change in the index methodology 
applicable to the Virtus Enhanced U.S. Equity ETF (``Fund''). The 
Commission, pursuant to Section 19(b)(2) of the Act, has previously 
approved listing and trading of shares of the Fund on the Exchange 
under NYSE Arca Equities Rule 5.2(j)(3). The proposed rule change is 
available on the Exchange's Web site at www.nyse.com, at the principal 
office of the Exchange, and at the Commission's Public Reference Room.

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

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

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

1. Purpose
    The Commission has approved the listing and trading on the Exchange 
of shares (``Shares'') of the Fund,\4\ under NYSE Arca Equities Rule 
5.2(j)(3), which governs the listing and trading of Investment Company 
Units. The Exchange proposes to reflect a change in the index 
methodology applicable to the Fund from the index description in the 
Prior Notice, as described below. Shares of the Fund have not commenced 
trading on the Exchange as of the date of filing of this proposed rule 
change.
---------------------------------------------------------------------------

    \4\ See Securities Exchange Act Release No. 79402 (November 25, 
2016), 81 FR 86760 (December 1, 2016) (SR-NYSEArca-2016-131) 
(``Prior Order''). See also Securities Exchange Act Release No. 
79101 (October 14, 2016) (SR-NYSEArca-2016-131) (notice of filing of 
proposed rule change relating to listing on the Exchange of Shares 
of the Fund) (``Prior Notice'' and, together with the Prior Order, 
the ``Prior Releases'').
---------------------------------------------------------------------------

Index Methodology
    As stated in the Prior Notice, the Fund's investment objective will 
be to seek investment results that, before fees and expenses, closely 
correspond to the price and yield performance of the Rampart Enhanced 
U.S. Equity Index (the ``Index''). The Prior Notice stated that the 
Index is comprised of an equity portfolio enhanced by an ``Options 
Strategy Overlay''. The equity portfolio is comprised of the largest 
400 U.S. exchange-listed stocks as measured by market capitalization. 
The portfolio is market capitalization-weighted and is reconstituted 
and rebalanced on a quarterly basis. The Options Strategy Overlay uses 
an objective, rules-based methodology to transact in options linked to 
the S&P 500 Index (SPX). SPX options are traded on the Chicago Board 
Options Exchange. Each week, out of the money SPX put options and out 
of the money SPX call options are sold. The proceeds are used to buy an 
SPX call option. The strike prices of the options are systematically 
selected according to the prevailing volatility environment. In 
general, in higher volatility environments the short options will be 
struck farther out of the money.
    The Exchange proposes to delete the representation in the eighth 
sentence of the preceding paragraph that proceeds are used to buy an 
SPX call option. Instead, proceeds from weekly sales of out-of-the-
money SPX put and call options by the Fund (to the extent there are 
profits from such sales), as it attempts to meet its investment 
objective, will be collected by the Fund, and distributed periodically 
to shareholders, instead of such proceeds being used to purchase 
additional SPX call options. Between such distributions, there would be 
no additional exposure to SPX options via reinvestment in such options. 
Virtus ETF Advisers LLC (the ``Adviser'') represents that the proposed 
change to the Index methodology would provide a simplified strategy 
that emphasizes enhanced income to investors rather than enhanced total 
return.
    There will be no change to the Fund's investment objective. Except 
for the change noted above, all other representations made in the Prior 
Releases remain unchanged.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \5\ 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.
---------------------------------------------------------------------------

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

    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices, and is designed 
to promote just and equitable principles of trade and to protect 
investors and the public interest. Proceeds from weekly sales of out-
of-the-money SPX put and call options by the Fund, as it attempts

[[Page 19779]]

to meet its investment objective, will be distributed periodically to 
shareholders instead of such proceeds being used to purchase additional 
SPX call options.
    The proposed rule change is designed to perfect the mechanism of a 
free and open market, and, in general, to promote just and equitable 
principles of trade and to protect investors and the public interest. 
The Adviser represents that, by not using proceeds of sales to add to 
exposure to SPX options in the Index, the proposed change to the Index 
methodology would provide a simplified strategy that emphasizes 
enhanced income to investors rather than enhanced total return. Except 
for the change noted above, all other representations in the Prior 
Releases remain 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 purposes of the Act. The Exchange believes the 
proposed rule change will enhance competition among issues of exchange-
traded funds that invest in both U.S. exchange listed stocks and U.S. 
exchange-traded options to the benefit of investors and the 
marketplace.

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 foregoing 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, it has become 
effective pursuant to Section 19(b)(3)(A)(iii) of the Act \6\ and 
subparagraph (f)(6) of Rule 19b-4 thereunder.\7\
---------------------------------------------------------------------------

    \6\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \7\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

    A proposed rule change filed under Rule 19b-4(f)(6) normally does 
not become operative before 30 days from the date of the filing. 
However, pursuant to Rule 19b-4(f)(6)(iii),\8\ the Commission may 
designate a shorter time if such action is consistent with the 
protection of investors and the public interest. The Exchange has asked 
the Commission to waive the 30-day operative delay. The Commission 
believes that waiving the 30-day operative delay is consistent with the 
protection of investors and the public interest. The proposed rule 
change does not raise any regulatory issues. Additionally, waiver of 
the operative delay will allow the Adviser to pursue the Fund's 
investment objective in a consistent manner should the Exchange wish to 
commence trading in the Shares without delay. For these reasons, the 
Commission hereby waives the 30-day operative delay and designates the 
proposed rule change to be operative upon filing with the 
Commission.\9\
---------------------------------------------------------------------------

    \8\ 17 CFR 240.19b-4(f)(6)(iii).
    \9\ For purposes only of waiving the operative delay for this 
proposal, the Commission has considered the proposed rule's impact 
on efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
---------------------------------------------------------------------------

    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is: (i) 
Necessary or appropriate in the public interest; (ii) for the 
protection of investors; or (iii) otherwise in furtherance of the 
purposes of the Act. If the Commission takes such action, the 
Commission shall institute proceedings to determine whether the 
proposed rule 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:

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-2017-45 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEArca-2017-45. 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 such filing also will be available 
for inspection and copying at the principal offices 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-2017-
45, and should be submitted on or before May 19, 2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\10\
---------------------------------------------------------------------------

    \10\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-08576 Filed 4-27-17; 8:45 am]
BILLING CODE 8011-01-P
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