
[Federal Register Volume 77, Number 248 (Thursday, December 27, 2012)]
[Notices]
[Pages 76326-76332]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-31120]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-68488; File No. SR-NYSEArca-2012-14]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change To List and Trade the Guggenheim Enhanced Total 
Return ETF Under NYSE Arca Equities Rule 8.600

December 20, 2012.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (``Act'' or ``Exchange Act'') \2\ and Rule 19b-4 thereunder,\3\ 
notice is hereby given that, on December 13, 2012, NYSE Arca, Inc. 
(``Exchange'' or ``NYSE Arca'') filed with the Securities and Exchange 
Commission (``Commission'') the proposed rule change as described in 
Items I, II, and III below, which Items have been prepared by the 
Exchange. The Commission is publishing this notice to solicit comments 
on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade the following under NYSE 
Arca Equities Rule 8.600 (``Managed Fund Shares''): Guggenheim Enhanced 
Total Return ETF. The text of the proposed rule change is available on 
the Exchange's Web site at www.nyse.com, at the principal office of the 
Exchange, and at the Commission's Public Reference Room.

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

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

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

1. Purpose
    The Exchange proposes to list and trade shares (``Shares'') of the 
Guggenheim Enhanced Total Return ETF (the ``Fund'') under NYSE Arca 
Equities Rule 8.600, which governs the listing and trading of Managed 
Fund Shares.\4\ The Shares will be offered by the Claymore Exchange-
Traded Fund Trust 2 (the ``Trust''),\5\ a statutory trust organized 
under the laws of the State of Delaware and registered with the 
Commission as an open-end management investment company.\6\
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    \4\ 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-1) (``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\ The Trust is registered under the 1940 Act. On June 9, 2011, 
the Trust filed with the Commission an amendment to its registration 
statement on Form N-1A under the Securities Act of 1933 (15 U.S.C. 
77a) (``Securities Act'') and the 1940 Act relating to the Fund 
(File Nos. 333-135105 and 811-21910) (the ``Registration 
Statement''). The description of the operation of the Trust and the 
Fund herein is based, in part, on the Registration Statement. In 
addition, the Commission has issued an order granting certain 
exemptive relief to the Trust under the 1940 Act. See Investment 
Company Act Release No. 29271 (May 18, 2010) (File No. 812-13534) 
(``Exemptive Order'').
    \6\ The Commission previously approved listing and trading on 
the Exchange of the following actively managed funds under Rule 
8.600. See Securities Exchange Act Release Nos. 57801 (May 8, 2008), 
73 FR 27878 (May 14, 2008) (SR-NYSEArca-2008-31) (order approving 
Exchange listing and trading of twelve actively-managed funds of the 
WisdomTree Trust); 60981 (November 10, 2009), 74 FR 59594 (November 
18, 2009) (SR-NYSEArca-2009-79) (order approving listing of five 
fixed income funds of the PIMCO ETF Trust); 63329 (November 17, 
2010), 75 FR 71760 (November 24, 2010) (SR-NYSEArca-2010-86) (order 
approving listing of Peritus High Yield ETF); 64550 (May 26, 2011), 
76 FR 32005 (June 2, 2011) (SR-NYSEArca-2011-11) (order approving 
listing of Guggenheim Enhanced Core Bond ETF and Guggenheim Enhanced 
Ultra-Short Bond ETF).
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    The investment adviser for the Fund is Guggenheim Funds Investment 
Advisors, LLC (``Adviser''). The Bank of New York Mellon is the 
custodian and transfer agent for the Fund. Guggenheim Funds 
Distributors, LLC is the distributor for the Fund.
    Commentary .06 to Rule 8.600 provides that, if the investment 
adviser to the investment company issuing

[[Page 76327]]

Managed Fund Shares is affiliated with a broker-dealer, such investment 
adviser shall erect a ``fire wall'' between the investment adviser and 
the broker-dealer with respect to access to information concerning the 
composition and/or changes to such investment company portfolio.\7\ In 
addition, Commentary .06 further requires that personnel who make 
decisions on the open-end fund's portfolio composition must be subject 
to procedures designed to prevent the use and dissemination of material 
nonpublic information regarding the open-end fund's portfolio. The 
Adviser is affiliated with a broker-dealer and has represented that it 
has implemented a fire wall with respect to its broker-dealer affiliate 
regarding access to information concerning the composition and/or 
changes to the portfolio. In the event (a) the Adviser or any sub-
adviser becomes newly affiliated with a broker-dealer, or (b) any new 
adviser or sub-adviser becomes affiliated with a broker-dealer, it will 
implement a fire wall with respect to such broker-dealer regarding 
access to information concerning the composition and/or changes to the 
portfolio, and will be subject to procedures designed to prevent the 
use and dissemination of material non-public information regarding such 
portfolio.
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    \7\ An investment adviser to an open-end fund is required to be 
registered under the Investment Advisers Act of 1940 (the ``Advisers 
Act''). As a result, the Adviser and its related personnel are 
subject to the provisions of Rule 204A-1 under the Advisers Act 
relating to codes of ethics. This Rule requires investment advisers 
to adopt a code of ethics that reflects the fiduciary nature of the 
relationship to clients as well as compliance with other applicable 
securities laws. Accordingly, procedures designed to prevent the 
communication and misuse of non-public information by an investment 
adviser must be consistent with Rule 204A-1 under the Advisers Act. 
In addition, Rule 206(4)-7 under the Advisers Act makes it unlawful 
for an investment adviser to provide investment advice to clients 
unless such investment adviser has (i) adopted and implemented 
written policies and procedures reasonably designed to prevent 
violation, by the investment adviser and its supervised persons, of 
the Advisers Act and the Commission rules adopted thereunder; (ii) 
implemented, at a minimum, an annual review regarding the adequacy 
of the policies and procedures established pursuant to subparagraph 
(i) above and the effectiveness of their implementation; and (iii) 
designated an individual (who is a supervised person) responsible 
for administering the policies and procedures adopted under 
subparagraph (i) above.
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Principal Investment Strategies
    According to the Registration Statement, the Fund's investment 
objective is to seek maximum total return, comprised of income and 
capital appreciation. The Fund will normally \8\ invest in a portfolio 
of fixed income instruments of varying maturities and equity 
securities.
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    \8\ The term ``normally'' includes, but is not limited to, the 
absence of extreme volatility or trading halts in the securities 
markets or the financial markets generally; circumstances under 
which the Fund's investments are made for temporary defensive 
purposes; operational issues causing dissemination of inaccurate 
market information; or force majeure type events such as systems 
failure, natural or man-made disaster, act of God, armed conflict, 
act of terrorism, riot or labor disruption or any similar 
intervening circumstance.
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Fixed Income Instruments Investments
    The fixed income instruments in which the Fund will invest include 
bonds, debt securities and other similar instruments, such as Treasury 
securities, collateralized mortgage obligations (``CMOs''), 
collateralized loan obligations (``CLOs'') and mortgage- and asset-
backed securities, issued by various U.S. and non-U.S. public- or 
private-sector entities. The Fund will normally invest at least 65% of 
its assets in fixed income instruments.
    In addition, the Fund may invest in U.S. and non-U.S. dollar-
denominated debt securities of U.S. and foreign corporations, 
governments, agencies and supra-national agencies.\9\
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    \9\ Generally a corporate bond must have $100 million or more 
par amount outstanding to be considered as an eligible investment.
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    While the Fund generally will invest more than 50% of its assets in 
investment grade fixed income instruments, the Fund also expects to 
invest to a maximum of 35% of its total assets in high yield debt 
securities (``junk bonds''), which are debt securities that are rated 
below investment grade by nationally recognized statistical rating 
organizations, or are unrated securities that the Adviser believes are 
of comparable quality. The Fund may invest up to 30% of its total 
assets in debt securities denominated in foreign currencies, and may 
invest without limitation in U.S. dollar-denominated debt securities of 
foreign issuers. The Fund may invest up to 20% of its total assets in 
debt securities and instruments that are economically tied to emerging 
market countries.\10\
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    \10\ According to the Registration Statement, emerging market 
countries are countries that major international financial 
institutions, such as the World Bank, generally consider to be less 
economically mature than developed nations. Emerging market 
countries can include every nation in the world except the United 
States, Canada, Japan, Australia, New Zealand and most countries 
located in Western Europe. Generally a corporate bond of an issuer 
in an emerging market must have $200 million or more par amount 
outstanding to be considered as an eligible investment.
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    The Fund may invest in mortgage- or asset-backed securities and is 
limited to 10% of its total assets in any combination of mortgage-
related or other asset-backed interest-only, principal-only or inverse 
floater securities. This limitation does not apply to securities issued 
or guaranteed by federal agencies and/or U.S. government sponsored 
instrumentalities, such as the Government National Mortgage 
Administration (``GNMA''), the Federal Housing Administration 
(``FHA''), the Federal National Mortgage Association (``FNMA'') and the 
Federal Home Loan Mortgage Corporation (``FHLMC''). The Fund may 
purchase or sell securities on a when-issued, delayed delivery or 
forward commitment basis and may engage in short sales.
    The Fund may invest in short-term instruments such as commercial 
paper,\11\ repurchase agreement,\12\ and/or reverse repurchase 
agreement.\13\ The Fund may invest in money market instruments 
(including other funds which invest exclusively in money market 
instruments). These investments in money market instruments may be as 
part of a temporary defensive strategy to

[[Page 76328]]

protect against temporary market declines.
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    \11\ The commercial paper in which the Fund may invest includes 
variable amount master demand notes and asset-backed commercial 
paper. Commercial paper normally represents short-term unsecured 
promissory notes issued in bearer form by banks or bank holding 
companies, corporations, finance companies and other issuers.
    \12\ Repurchase agreements are fixed-income securities in the 
form of agreements backed by collateral. These agreements, which may 
be viewed as a type of secured lending by the Fund, typically 
involve the acquisition by the Fund of securities from the selling 
institution (such as a bank or a broker dealer), coupled with the 
agreement that the selling institution will repurchase the 
underlying securities at a specified price and at a fixed time in 
the future (or on demand). These agreements may be made with respect 
to any of the portfolio securities in which the Fund is authorized 
to invest. The Fund may enter into repurchase agreements with (i) 
member banks of the Federal Reserve System having total assets in 
excess of $500 million and (ii) securities dealers (``Qualified 
Institutions''). The Adviser will monitor the continued 
creditworthiness of Qualified Institutions. The Fund may accept a 
wide variety of underlying securities as collateral for the 
repurchase agreements entered into by the Fund. Such collateral may 
include U.S. government securities, corporate obligations, equity 
securities, municipal debt securities, mortgage-backed securities 
and convertible securities. Any such securities serving as 
collateral are marked-to-market daily in order to maintain full 
collateralization (typically purchase price plus accrued interest).
    \13\ Reverse repurchase agreements involve the sale of 
securities with an agreement to repurchase the securities at an 
agreed-upon price, date and interest payment and have the 
characteristics of borrowing. The securities purchased with the 
funds obtained from the agreement and securities collateralizing the 
agreement will have maturity dates no later than the repayment date. 
Generally the effect of such transactions is that the Fund can 
recover all or most of the cash invested in the portfolio securities 
involved during the term of the reverse repurchase agreement, while 
in many cases the Fund is able to keep some of the interest income 
associated with those securities.
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    The Fund may invest in debt securities that have variable or 
floating interest rates which are readjusted on set dates (such as the 
last day of the month or calendar quarter) in the case of variable 
rates or whenever a specified interest rate change occurs in the case 
of a floating rate instrument. The Fund will not, however, invest in 
inverse floaters. Variable or floating interest rates generally reduce 
changes in the market price of securities from their original purchase 
price because, upon readjustment, such rates approximate market rates. 
Accordingly, as interest rates decrease or increase, the potential for 
capital appreciation or depreciation is less for variable or floating 
rate securities than for fixed rate obligations. Many securities with 
variable or floating interest rates purchased by the Fund will be 
subject to payment of principal and accrued interest (usually within 
seven days) on the Fund's demand. The terms of such demand instruments 
require payment of principal and accrued interest by the issuer, a 
guarantor and/or a liquidity provider. The Adviser will monitor the 
pricing, quality and liquidity of the variable or floating rate 
securities held by the Fund.
    With respect to fixed income instrument investments, the Fund may, 
without limitation, seek to obtain market exposure to the securities in 
which it primarily invests by entering into a series of purchase and 
sale contracts or by using other investment techniques (such as buy 
backs or dollar rolls).
Equity Securities Investments
    The Fund may invest up to 35% of its total assets in U.S. exchange 
listed equity securities and foreign equity securities.\14\ The Fund 
may invest up to 30% of its total assets in U.S. exchange listed 
preferred stock, convertible securities \15\ and other equity-related 
securities. The Fund may gain exposure to commodities through 
investment of up to 30% of its total assets, which may include 
investments in exchange-traded products (``Underlying ETPs'') \16\ and 
exchange-traded notes (``ETNs'').\17\ The Fund may invest in the 
securities of exchange listed real estate investment trusts (``REITs'') 
to the extent allowed by law, which pool investors' funds for 
investments primarily in commercial real estate properties. Investment 
in REITs may be the most practical available means for the Fund to 
invest in the real estate industry.
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    \14\ The foreign equity securities in which the Fund may invest 
will be limited to securities that trade in markets that are members 
of the Intermarket Surveillance Group (``ISG''), which includes all 
U.S. national securities exchanges and certain foreign exchanges, or 
are parties to a comprehensive surveillance sharing agreement with 
the Exchange. See note 30, infra.
    \15\ Convertible securities include bonds, debentures, notes, 
preferred stocks and other securities that entitle the holder to 
acquire common stock or other equity securities of the same or a 
different issuer.
    \16\ Underlying ETPs include Trust Issued Receipts (as described 
in NYSE Arca Equities Rule 8.200); Commodity-Based Trust Shares (as 
described in NYSE Arca Equities Rule 8.201); Currency Trust Shares 
(as described in NYSE Arca Equities Rule 8.202); Commodity Index 
Trust Shares (as described in NYSE Arca Equities Rule 8.203); and 
Trust Units (as described in NYSE Arca Equities Rule 8.500).
    \17\ ETNs include Index-Linked Securities (as described in NYSE 
Arca Equities Rule 5.2(j)(6)).
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Other Investments
    As a non-principal investment strategy, the Fund may invest in 
insurance-linked securities and structured notes (notes on which the 
amount of principal repayment and interest payments are based on the 
movement of one or more specified factors, such as the movement of a 
particular security or security index), other than ETNs. The Fund may 
invest in certificates of deposit (``CDs''), time deposits and bankers' 
acceptances from U.S. banks. A bankers' acceptance is a bill of 
exchange or time draft drawn on and accepted by a commercial bank. A CD 
is a negotiable interest-bearing instrument with a specific maturity. 
CDs are issued by banks and savings and loan institutions in exchange 
for the deposit of funds and normally can be traded in the secondary 
market prior to maturity. A time deposit is a non-negotiable receipt 
issued by a bank in exchange for the deposit of funds. Like a CD, it 
earns a specified rate of interest over a definite period of time; 
however, it cannot be traded in the secondary market.
    The Fund may invest in zero-coupon or pay-in-kind securities. These 
securities are debt securities that do not make regular cash interest 
payments. Zero-coupon securities are sold at a deep discount to their 
face value. Pay-in-kind securities pay interest through the issuance of 
additional securities. Because zero-coupon and pay-in-kind securities 
do not pay current cash income, the price of these securities can be 
volatile when interest rates fluctuate.
    The Fund may use delayed delivery transactions as an investment 
technique. Delayed delivery transactions, also referred to as forward 
commitments, involve commitments by the Fund to dealers or issuers to 
acquire or sell securities at a specified future date beyond the 
customary settlement for such securities. These commitments may fix the 
payment price and interest rate to be received or paid on the 
investment. The Fund may purchase securities on a delayed delivery 
basis to the extent that it can anticipate having available cash on the 
settlement date. Delayed delivery agreements will not be used as a 
speculative or leverage technique.
    The Adviser may attempt to reduce foreign currency exchange rate 
risk by entering into contracts with banks, brokers or dealers to 
purchase or sell foreign currencies at a future date (``forward 
contracts'').
    The Fund may invest in the securities of other investment 
companies. Under Section 12(d) of the 1940 Act, or as otherwise 
permitted by the Commission, the Fund's investment in investment 
companies is limited to, subject to certain exceptions, (i) 3% of the 
total outstanding voting stock of any one investment company, (ii) 5% 
of the Fund's total assets with respect to any one investment company 
and (iii) 10% of the Fund's total assets with respect to investment 
companies in the aggregate.\18\
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    \18\ 15 U.S.C. 80a-12(d).
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    The Fund will be considered non-diversified and can invest a 
greater portion of assets in securities of individual issuers than a 
diversified fund.\19\
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    \19\ A ``non-diversified company'', as defined in Section 
5(b)(2) of the 1940 Act, means any management company other than a 
diversified company (as defined in Section 5(b)(1) of the 1940 Act).
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    The Fund may not invest more than 25% of the value of its net 
assets in securities of issuers in any one industry or group of 
industries. This restriction does not apply to obligations issued or 
guaranteed by the U.S. Government, its agencies or 
instrumentalities.\20\
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    \20\ See Form N-1A, Item 9. The Commission has taken the 
position that a fund is concentrated if it invests more than 25% of 
the value of its total assets in any one industry. See, e.g., 
Investment Company Act Release No. 9011 (October 30, 1975), 40 FR 
54241 (November 21, 1975).
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    The Fund may hold up to an aggregate amount of 15% of its net 
assets in illiquid securities \21\ (calculated at the

[[Page 76329]]

time of investment), including Rule 144A securities. The Fund will 
monitor its portfolio liquidity on an ongoing basis to determine 
whether, in light of current circumstances, an adequate level of 
liquidity is being maintained, and will consider taking appropriate 
steps in order to maintain adequate liquidity if, through a change in 
values, net assets, or other circumstances, more than 15% of the Fund's 
net assets are held in illiquid securities and other illiquid assets. 
Illiquid securities include securities subject to contractual or other 
restrictions on resale and other instruments that lack readily 
available markets as determined in accordance with Commission staff 
guidance.\22\
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    \21\ The Fund may invest in master demand notes, which are 
demand notes that permit the investment of fluctuating amounts of 
money at varying rates of interest pursuant to arrangements with 
issuers who meet the quality criteria of the Fund. The interest rate 
on a master demand note may fluctuate based upon changes in 
specified interest rates, be reset periodically according to a 
prescribed formula or be a set rate. Although there is no secondary 
market in master demand notes, if such notes have a demand feature, 
the payee may demand payment of the principal amount of the note 
upon relatively short notice. Master demand notes are generally 
illiquid and therefore subject to the Fund's percentage limitations 
for holdings in illiquid securities. In addition, the Fund may 
purchase participations in corporate loans. Participation interests 
generally will be acquired from a commercial bank or other financial 
institution (a ``Lender'') or from other holders of a participation 
interest (a ``Participant''). The purchase of a participation 
interest either from a Lender or a Participant will not result in 
any direct contractual relationship with the borrowing company (the 
``Borrower''). The Fund generally will have no right directly to 
enforce compliance by the Borrower with the terms of the credit 
agreement. Instead, the Fund will be required to rely on the Lender 
or the Participant that sold the participation interest, both for 
the enforcement of the Fund's rights against the Borrower and for 
the receipt and processing of payments due to the Fund under the 
loans. Under the terms of a participation interest, the Fund may be 
regarded as a member of the Participant, and thus the Fund is 
subject to the credit risk of both the Borrower and a Participant. 
Participation interests are generally subject to restrictions on 
resale. Generally, the Fund considers participation interests to be 
illiquid and therefore subject to the Fund's percentage limitations 
for holdings in illiquid securities.
    \22\ The Commission has stated that long-standing Commission 
guidelines have required open-end funds to hold no more than 15% of 
their net assets in illiquid securities and other illiquid assets. 
See Investment Company Act Release No. 28193 (March 11, 2008), 73 FR 
14618 (March 18, 2008), footnote 34. See also Investment Company Act 
Release No. 5847 (October 21, 1969), 35 FR 19989 (December 31, 1970) 
(Statement Regarding ``Restricted Securities''); Investment Company 
Act Release No. 18612 (March 12, 1992), 57 FR 9828 (March 20, 1992) 
(Revisions of Guidelines to Form N-1A). A fund's portfolio security 
is illiquid if it cannot be disposed of in the ordinary course of 
business within seven days at approximately the value ascribed to it 
by the fund. See Investment Company Act Release No. 14983 (March 12, 
1986), 51 FR 9773 (March 21, 1986) (adopting amendments to Rule 2a-7 
under the 1940 Act); Investment Company Act Release No. 17452 (April 
23, 1990), 55 FR 17933 (April 30, 1990) (adopting Rule 144A under 
the Securities Act).
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    The Fund intends to qualify for and to elect to be treated as a 
separate regulated investment company (``RIC'') under Subchapter M of 
the Internal Revenue Code.\23\
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    \23\ 26 U.S.C. 851.
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    The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Equities Rule 8.600. The Exchange represents 
that, for initial and/or continued listing, the Fund will be in 
compliance with Rule 10A-3 \24\ under the Exchange Act, as provided by 
NYSE Arca Equities Rule 5.3. A minimum of 100,000 Shares of the Fund 
will be outstanding at the commencement of trading on the Exchange. The 
Exchange will obtain a representation from the issuer of the Shares 
that the net asset value (``NAV'') per Share will be calculated daily 
and that the NAV and the Disclosed Portfolio will be made available to 
all market participants at the same time.
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    \24\ 17 CFR 240.10A-3.
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    Consistent with the Exemptive Order, the Fund will not invest in 
options contracts, futures contracts or swap agreements.
    The Fund's investments will be consistent with the Fund's 
investment objective and will not be used to enhance leverage. That is, 
while the Fund will be permitted to borrow as permitted under the 1940 
Act, the Fund's investments will not be used to seek performance that 
is the multiple or inverse multiple (i.e., 2Xs and 3Xs) of the Fund's 
primary broad-based securities benchmark index (as defined in Form N-
1A).\25\
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    \25\ The Fund's broad-based securities benchmark index will be 
identified in a future amendment to the Registration Statement 
following the Fund's first full calendar year of performance.
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Creations and Redemptions of Shares
    Investors may create or redeem in Creation Unit size of 100,000 
Shares or aggregations thereof (``Creation Unit'') through an 
Authorized Participant, as described in the Registration Statement. In 
order to purchase Creation Units of a Fund, an investor must generally 
deposit a designated portfolio of securities (the ``Deposit 
Securities'') (and/or an amount in cash in lieu of some or all of the 
Deposit Securities) per each Creation Unit constituting a substantial 
replication, or representation, of the securities included in the 
Fund's portfolio as selected by the Adviser (``Fund Securities'') and 
generally make a cash payment referred to as the ``Cash Component.'' 
The list of the names and the amounts of the Deposit Securities will be 
made available by the Fund's custodian through the facilities of the 
National Securities Clearing Corporation (``NSCC'') immediately prior 
to the opening of the NYSE Arca Core Trading Session (9:30 a.m. to 4:00 
p.m. Eastern time (``E.T.'')). The Cash Component will represent the 
difference between the NAV of a Creation Unit and the market value of 
the Deposit Securities.
    Shares may be redeemed only in Creation Unit size at their NAV on a 
day the NYSE Arca is open for business. The Fund's custodian will make 
available immediately prior to the opening of the NYSE Arca Core 
Trading Session, through the facilities of NSCC, the list of the names 
and the amounts of the Fund's portfolio constituents that will be 
applicable that day to redemption requests in proper form. Fund 
Securities received on redemption may not be identical to Deposit 
Securities which are applicable to purchases of Creation Units.
Net Asset Value
    The NAV per Share of the Fund will be determined once daily as of 
the close of the New York Stock Exchange (``NYSE''), usually 4:00 p.m. 
E.T., each day the NYSE is open for trading, provided that (a) any 
assets or liabilities denominated in currencies other than the U.S. 
dollar shall be translated into U.S. dollars at the prevailing market 
rates on the date of valuation as quoted by one or more major banks or 
dealers that makes a two-way market in such currencies (or a data 
service provider based on quotations received from such banks or 
dealers); and (b) U.S. fixed income instruments may be valued as of the 
announced closing time for trading in fixed income instruments on any 
day that the Securities Industry and Financial Markets Association 
announces an early closing time. NAV per Share is determined by 
dividing the value of the Fund's portfolio securities, cash and other 
assets (including accrued interest), less all liabilities (including 
accrued expenses), by the total number of Shares outstanding.
    Debt securities will be valued at the mean between the last 
available bid and ask prices for such securities or, if such prices are 
not available, at prices for securities of comparable maturity, 
quality, and type. The Fund's debt securities, including some or all of 
the mortgage-backed securities in which the Fund invests, may also be 
valued based on price quotations or other equivalent indications of 
value provided by a third-party pricing service. Any such third-party 
pricing service may use a variety of methodologies to value some or all 
of the Fund's debt securities to determine the market price. For 
example, the prices of securities with characteristics similar to those 
held by the Fund may be used to assist with the pricing process. In 
addition, the pricing service may use proprietary pricing models. 
Short-term securities for which market quotations are not readily 
available will be valued at amortized cost, which approximates market 
value. Equity securities will be valued at the last reported sale price 
on the principal exchange on which such securities are traded, as of 
the close of regular trading

[[Page 76330]]

on the NYSE on the day the securities are being valued or, if there are 
no sales, at the mean of the most recent bid and ask prices. Equity 
securities that are traded primarily on the NASDAQ Stock Market will be 
valued at the NASDAQ Official Closing Price. Securities for which 
market quotations (or other market valuations such as those obtained 
from a pricing service) are not readily available, including restricted 
securities, will be valued by a method that the Fund's Board of 
Trustees believes accurately reflects fair value. Securities will be 
valued at fair value when market quotations are not readily available 
or are deemed unreliable, such as when a security's value or meaningful 
portion of the Fund's portfolio is believed to have been materially 
affected by a significant event. Such events may include a natural 
disaster, an economic event like a bankruptcy filing, a trading halt in 
a security, an unscheduled early market close or a substantial 
fluctuation in domestic and foreign markets that has occurred between 
the close of the principal exchange and the NYSE. In such a case, the 
value for a security is likely to be different from the last quoted 
market price. In addition, due to the subjective and variable nature of 
fair market value pricing, it is possible that the value determined for 
a particular asset may be materially different from the value realized 
upon such asset's sale.
Availability of Information
    The Fund's Web site (www.guggenheiminvestments.com), which will be 
publicly available prior to the public offering of Shares, will include 
a form of the prospectus for the Fund that may be downloaded. The 
Fund's Web site will include additional quantitative information 
updated on a daily basis, including, for the Fund, (1) daily trading 
volume, the prior business day's reported closing price, NAV and mid-
point of the bid/ask spread at the time of calculation of such NAV (the 
``Bid/Ask Price''),\26\ and a calculation of the premium and discount 
of the Bid/Ask Price against the NAV, and (2) data in chart format 
displaying the frequency distribution of discounts and premiums of the 
daily Bid/Ask Price against the NAV, within appropriate ranges, for 
each of the four previous calendar quarters. On each business day, 
before commencement of trading in Shares in the Core Trading Session on 
the Exchange, the Fund will disclose on its Web site the Disclosed 
Portfolio as defined in NYSE Arca Equities Rule 8.600(c)(2) that will 
form the basis for the Fund's calculation of NAV at the end of the 
business day.\27\
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    \26\ The Bid/Ask Price of the Fund will be determined using the 
mid-point of the highest bid and the lowest offer on the Exchange as 
of the time of calculation of the Fund's NAV. The records relating 
to Bid/Ask Prices will be retained by the Fund and its service 
providers.
    \27\ Under accounting procedures to be followed by the Fund, 
trades made on the prior business day (``T'') will be booked and 
reflected in NAV on the current business day (``T + 1''). 
Accordingly, the Fund will be able to disclose at the beginning of 
the business day the portfolio that will form the basis for the NAV 
calculation at the end of the business day.
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    On a daily basis, the Adviser will disclose on the Fund's Web site 
for each portfolio security and other financial instrument of the Fund 
the following information: Ticker symbol (if applicable), name of 
security and financial instrument, number of shares or dollar value of 
securities and financial instruments held in the portfolio, and 
percentage weighting of the security and financial instrument in the 
portfolio. The Web site information will be publicly available at no 
charge. In addition, price information for the debt and equity 
securities held by the Fund will be available through major market data 
vendors and on the securities exchanges on which such securities are 
listed and traded.
    In addition, a basket composition file, which will include the 
security names and share quantities required to be delivered in 
exchange for Fund Shares, together with estimates and actual cash 
components, will be publicly disseminated daily prior to the opening of 
the NYSE via NSCC. The basket represents one Creation Unit of the Fund.
    Investors can also obtain the Trust's Statement of Additional 
Information (``SAI''), the Fund's Shareholder Reports, and Form N-CSR 
and Form N-SAR, filed twice a year. The Trust's SAI and Shareholder 
Reports are available free upon request from the Trust, and those 
documents and the Form N-CSR and Form N-SAR may be viewed on-screen or 
downloaded from the Commission's Web site at www.sec.gov. Information 
regarding market price and trading volume for the Shares will be 
continually available on a real-time basis throughout the day on 
brokers' computer screens and other electronic services. Information 
regarding the previous day's closing price and trading volume 
information for the Shares will be published daily in the financial 
section of newspapers. Quotation and last sale information for the 
Shares will be available via the Consolidated Tape Association 
(``CTA'') high-speed line. In addition, the Portfolio Indicative Value, 
as defined in NYSE Arca Equities Rule 8.600(c)(3), will be widely 
disseminated by one or more major market data vendors at least every 15 
seconds during the Core Trading Session.\28\ The dissemination of the 
Portfolio Indicative Value, together with the Disclosed Portfolio, will 
allow investors to determine the value of the underlying portfolio of 
the Fund on a daily basis and provide a close estimate of that value 
throughout the trading day.
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    \28\ Currently, it is the Exchange's understanding that several 
major market data vendors display and/or make widely available 
Portfolio Indicative Values taken from CTA or other data feeds.
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    Additional information regarding the Trust and the Shares, 
including investment strategies, risks, creation and redemption 
procedures, fees, portfolio holdings disclosure policies, distributions 
and taxes is included in the Registration Statement.
Trading Halts
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares of the Fund.\29\ Trading in Shares of the Fund 
will be halted if the circuit breaker parameters in NYSE Arca Equities 
Rule 7.12 have been reached. Trading also may be halted because of 
market conditions or for reasons that, in the view of the Exchange, 
make trading in the Shares inadvisable. These may include: (1) The 
extent to which trading is not occurring in the securities and/or the 
financial instruments comprising the Disclosed Portfolio of the Fund; 
or (2) whether other unusual conditions or circumstances detrimental to 
the maintenance of a fair and orderly market are present. Trading in 
the Shares will be subject to NYSE Arca Equities Rule 8.600(d)(2)(D), 
which sets forth circumstances under which Shares of the Fund may be 
halted.
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    \29\ See NYSE Arca Equities Rule 7.12, Commentary .04.
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Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities. Shares will trade on 
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. in accordance with 
NYSE Arca Equities Rule 7.34 (Opening, Core, and Late Trading 
Sessions). The Exchange has appropriate rules to facilitate 
transactions in the Shares during all trading sessions. As provided in 
NYSE Arca Equities Rule 7.6, Commentary .03, the minimum price 
variation (``MPV'') for quoting and entry of orders in equity 
securities traded on

[[Page 76331]]

the NYSE Arca Marketplace is $0.01, with the exception of securities 
that are priced less than $1.00 for which the MPV for order entry is 
$0.0001.
Surveillance
    The Exchange intends to utilize its existing surveillance 
procedures applicable to derivative products (which include Managed 
Fund Shares) to monitor trading in the Shares. The Exchange represents 
that these procedures are adequate to properly monitor Exchange trading 
of the Shares in all trading sessions and to deter and detect 
violations of Exchange rules and applicable federal securities laws.
    The Exchange's current trading surveillance focuses on detecting 
securities trading outside their normal patterns. When such situations 
are detected, surveillance analysis follows and investigations are 
opened, where appropriate, to review the behavior of all relevant 
parties for all relevant trading violations.
    The Exchange may obtain information via the ISG from other 
exchanges that are members of ISG or with which the Exchange has 
entered into a comprehensive surveillance sharing agreement.\30\ All of 
the equity investments to be held by the Fund, including the non-U.S.-
listed equity securities held by the Fund, will trade in markets that 
are ISG members or are parties to a comprehensive surveillance sharing 
agreement with the Exchange.
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    \30\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Disclosed Portfolio for the Fund may trade on markets that are 
members of ISG or with which the Exchange has in place a 
comprehensive surveillance sharing agreement.
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    In addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its 
Equity Trading Permit (``ETP'') Holders in an Information Bulletin 
(``Bulletin'') of the special characteristics and risks associated with 
trading the Shares. Specifically, the Bulletin will discuss the 
following: (1) The procedures for purchases and redemptions of Shares 
in Creation Units (and that Shares are not individually redeemable); 
(2) NYSE Arca Equities Rule 9.2(a), which imposes a duty of due 
diligence on its ETP Holders to learn the essential facts relating to 
every customer prior to trading the Shares; (3) the risks involved in 
trading the Shares during the Opening and Late Trading Sessions when an 
updated Portfolio Indicative Value will not be calculated or publicly 
disseminated; (4) how information regarding the Portfolio Indicative 
Value is disseminated; (5) the requirement that ETP Holders deliver a 
prospectus to investors purchasing newly issued Shares prior to or 
concurrently with the confirmation of a transaction; and (6) trading 
information.
    In addition, the Bulletin will reference that the Fund is subject 
to various fees and expenses described in the Registration Statement. 
The Bulletin will discuss any exemptive, no-action, and interpretive 
relief granted by the Commission from any rules under the Exchange Act. 
The Bulletin will also disclose that the NAV for the Shares will be 
calculated after 4:00 p.m. E.T. each trading day.
2. Statutory Basis
    The basis under the Exchange Act for this proposed rule change is 
the requirement under Section 6(b)(5) \31\ 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.
---------------------------------------------------------------------------

    \31\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NYSE Arca Equities Rule 
8.600. The Exchange has in place surveillance procedures that are 
adequate to properly monitor trading in the Shares in all trading 
sessions and to deter and detect violations of Exchange rules and 
applicable federal securities laws. While the Fund generally will 
invest more than 50% of its assets in investment grade fixed income 
instruments, the Fund also expects to invest to a maximum of 35% of its 
total assets in high yield debt securities. The Fund may invest up to 
30% of its total assets in debt securities denominated in foreign 
currencies, and may invest without limitation in U.S. dollar-
denominated debt securities of foreign issuers. The Fund may invest up 
to 20% of its total assets in debt securities and instruments that are 
economically tied to emerging market countries. The Fund may invest in 
mortgage- or asset-backed securities and is limited to 10% of its total 
assets in any combination of mortgage-related or other asset-backed 
interest-only, principal-only or inverse floater securities. (This 
limitation does not apply to securities issued or guaranteed by federal 
agencies and/or U.S. government sponsored instrumentalities, such as 
GNMA, FHA, FNMA and FHLMC.) The Exchange may obtain information via ISG 
from other exchanges that are members of ISG or with which the Exchange 
has entered into a comprehensive surveillance sharing agreement. While 
the Fund may hold non-U.S. equity securities, the Fund will only invest 
in non-U.S. equity securities that trade in markets that are members of 
the ISG or are parties to comprehensive surveillance sharing agreements 
with the Exchange. The Fund may hold in the aggregate up to 15% of its 
net assets in illiquid securities, including Rule 144A securities. The 
Fund will not employ any leverage in order to meet its investment 
objective. The Fund will not invest in derivative securities including 
options, swaps or futures.
    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 is affiliated with a broker-dealer and has represented 
that it has implemented a fire wall with respect to its broker-dealer 
affiliate regarding access to information concerning the composition 
and/or changes to the portfolio. The Exchange will obtain a 
representation from the issuer of the Shares that the NAV per Share 
will be calculated daily and that the NAV and the Disclosed Portfolio 
will be made available to all market participants at the same time. On 
a daily basis, the Adviser will disclose on the Fund's Web site for 
each portfolio security and other financial instrument of the Fund the 
following information: Ticker symbol (if applicable), name of security 
and financial instrument, number of shares or dollar value of 
securities and financial instruments held in the portfolio, and 
percentage weighting of the security and financial instrument in the 
portfolio. Price information for the debt and equity securities held by 
the Fund will be available through major market data vendors and on the 
securities exchanges on which such securities are listed and traded. In 
addition, a large amount of information will be publicly available 
regarding the Fund and the Shares, thereby promoting market 
transparency. Moreover, the Portfolio Indicative Value will be widely 
disseminated by one or more major market data vendors at least every 15 
seconds during the Exchange's Core Trading Session. On each business 
day, before commencement of trading in Shares in the Core Trading 
Session on

[[Page 76332]]

the Exchange, the Fund will disclose on its Web site the Disclosed 
Portfolio that will form the basis for the Fund's calculation of NAV at 
the end of the business day. Information regarding market price and 
trading volume of the Shares will be continually available on a real-
time basis throughout the day on brokers' computer screens and other 
electronic services, and quotation and last sale information will be 
available via the CTA high-speed line. The Web site for the Fund will 
include a form of the prospectus for the Fund and additional data 
relating to NAV and other applicable quantitative information. 
Moreover, prior to the commencement of trading, the Exchange will 
inform its ETP Holders in an Information Bulletin of the special 
characteristics and risks associated with trading the Shares. Trading 
in Shares of the Fund will be halted if the circuit breaker parameters 
in NYSE Arca Equities Rule 7.12 have been reached or because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable, and trading in the Shares will be 
subject to NYSE Arca Equities Rule 8.600(d)(2)(D), which sets forth 
circumstances under which Shares of the Fund may be halted. In 
addition, as noted above, investors will have ready access to 
information regarding the Fund's holdings, the Portfolio Indicative 
Value, the Disclosed Portfolio, and quotation and last sale information 
for the Shares.
    The proposed rule change is designed to perfect the mechanism of a 
free and open market and, in general, to protect investors and the 
public interest in that it will facilitate the listing and trading of 
an additional type of actively-managed exchange-traded product that 
will enhance competition among market participants, to the benefit of 
investors and the marketplace. As noted above, the Exchange has in 
place surveillance procedures relating to trading in the Shares and may 
obtain information via ISG from other exchanges that are members of ISG 
or with which the Exchange has entered into a comprehensive 
surveillance sharing agreement. In addition, as noted above, investors 
will have ready access to information regarding the Fund's holdings, 
the Portfolio Indicative Value, the Disclosed Portfolio, and quotation 
and last sale information for the Shares.

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

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act.

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

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

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

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove the proposed rule change, or
    (B) Institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-NYSEArca-2012-142 on the subject line.

Paper Comments

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

    All submissions should refer to File Number SR-NYSEArca-2012-142. 
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 (http://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-2012-142 and should be submitted on or before January 17, 
2013.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\32\
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    \32\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-31120 Filed 12-26-12; 8:45 am]
BILLING CODE 8011-01-P


