
[Federal Register Volume 78, Number 142 (Wednesday, July 24, 2013)]
[Notices]
[Pages 44609-44618]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2013-17722]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-70005; File No. SR-NYSEARCA-2013-71]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change To List and Trade Shares of the SPDR SSgA Ultra 
Short Term Bond ETF; SPDR SSgA Conservative Ultra Short Term Bond ETF; 
and SPDR SSgA Aggressive Ultra Short Term Bond ETF Under NYSE Arca 
Equities Rule 8.600

July 18, 2013.
    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 July 9, 2013, 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.
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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 shares of the following 
under NYSE Arca Equities Rule 8.600: SPDR SSgA Ultra Short Term Bond 
ETF; SPDR SSgA Conservative Ultra Short Term Bond ETF; and SPDR SSgA 
Aggressive Ultra Short Term Bond 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 the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to list and trade shares of the following 
under NYSE Arca Equities Rule 8.600, which governs the listing and 
trading of Managed Fund Shares \4\: SPDR SSgA Ultra Short Term Bond 
ETF; SPDR SSgA Conservative Ultra Short Term Bond ETF; and SPDR SSgA 
Aggressive Ultra Short Term Bond ETF (each, a ``Fund'' and, 
collectively, the ``Funds''). The Shares will be offered by SSgA Active 
ETF Trust (the ``Trust''), which is organized as a Massachusetts 
business trust and is registered with the Commission as an open-end 
management investment company.\5\ SSgA Funds Management, Inc. (the 
``Adviser'' or ``SSgA FM'') will serve as the investment adviser to the 
Funds. State Street Global Markets, LLC (the ``Distributor'') will be 
the principal underwriter and distributor of the Funds' Shares. State 
Street Bank and Trust Company (the ``Administrator'', ``Custodian'' or 
``Transfer Agent'') will serve as administrator, custodian and transfer 
agent for the Funds.\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 August 2, 
2012, 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 under the 1940 Act 
relating to the Funds (File Nos. 333-173276 and 811-22542) 
(``Registration Statement''). The description of the operation of 
the Trust and the Funds 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 the1940 
Act. See Investment Company Act Release No. 29524 (December 13, 
2010) (File No. 812-13487) (``Exemptive Order'').
    \6\ The Commission has previously approved listing and trading 
on the Exchange of a number of actively managed funds under Rule 
8.600. See, e.g., 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 and trading of five fixed income funds of the PIMCO ETF 
Trust); 66343 (February 7, 2012), 77 FR 7647 (February 13, 2012) 
(SR-NYSEArca-2011-85) (order approving listing and trading of SPDR 
SSgAReal Assets ETF; SPDR SSgA Income Allocation ETF; SPDR 
SSgAConservative Global Allocation ETF; SPDR SSgA Global Allocation 
ETF; and SPDR SSgA Aggressive Global).
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    Commentary .06 to Rule 8.600 provides that, if the investment 
adviser to the investment company issuing 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. 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.\7\ Commentary .06 to Rule

[[Page 44610]]

8.600 is similar to Commentary .03(a)(i) and (iii) to NYSE Arca 
Equities Rule 5.2(j)(3); however, Commentary .06 in connection with the 
establishment of a ``fire wall'' between the investment adviser and the 
broker-dealer reflects the applicable open-end fund's portfolio, not an 
underlying benchmark index, as is the case with index-based funds. The 
Adviser is not registered as a broker-dealer but is affiliated with a 
broker-dealer and has implemented a ``fire wall'' with respect to such 
broker-dealer regarding access to information concerning the 
composition and/or changes to the Funds' portfolios. 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 is a registered broker-
dealer or becomes affiliated with a broker-dealer, they will implement 
a fire wall with respect to their relevant personnel or broker-dealer 
affiliate regarding access to information concerning the composition 
and/or changes to a 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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SPDR SSgA Ultra Short Term Bond ETF
    According to the Registration Statement, the SPDR SSgA Ultra Short 
Term Bond ETF seeks to provide current income consistent with 
preservation of capital and daily liquidity through short duration high 
quality investments. Under normal circumstances,\8\ the Fund will 
invest all of its assets in the SSgA Ultra Short Term Bond Portfolio 
(the ``Bond Portfolio''), a separate series of the SSgA Master Trust 
with an identical investment objective as the Fund. As a result, the 
Fund will invest indirectly through the Bond Portfolio.
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    \8\ The term ``under normal circumstances'' includes, but is not 
limited to, the absence of extreme volatility or trading halts in 
the fixed income markets or the financial markets generally; 
operational issues causing dissemination of inaccurate market 
information; or force majeure type events such as systems failure, 
natural or man-made disaster, act of God, armed conflict, act of 
terrorism, riot or labor disruption or any similar intervening 
circumstance.
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    The Adviser will invest, under normal circumstances, at least 80% 
of the Bond Portfolio's net assets (plus the amount of borrowings for 
investment purposes) in a diversified portfolio of U.S. dollar-
denominated investment grade fixed income securities. The Bond 
Portfolio primarily will invest in investment grade fixed income 
securities that are rated a minimum of the lowest A rating by any 
Nationally Recognized Statistical Ratings Organization (``NRSRO''), or, 
if unrated, determined by the management team (who are employees of the 
Adviser) to be of equivalent quality.\9\ The Bond Portfolio will invest 
in fixed and floating rate securities of varying maturities,\10\ such 
as corporate obligations (including commercial paper of U.S. and 
foreign entities, master demand notes (subject to the 15% illiquid 
securities limit), and medium term notes); government bonds (including 
U.S. Treasury Bills, notes, and bonds); agency securities, including 
U.S. government agency securities, and non-U.S. sovereign and 
supranational debt; privately-issued securities (which, for example, 
can be Rule 144A securities); asset-backed and mortgage-backed 
securities; and money market instruments (including U.S. and foreign 
bank time deposits, certificates of deposit, and banker acceptances). 
Under normal circumstances, the effective duration of the Bond 
Portfolio is expected to be between three and nine months.\11\ In 
addition, the Bond Portfolio expects to maintain a weighted average 
maturity between six and eighteen months.\12\ For the purposes of 
determining the Bond Portfolio's weighted average maturity, a 
security's final maturity date, or for amortizing securities such as 
asset-backed and mortgage-backed securities, its weighted average life 
will be used for calculation purposes.
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    \9\ According to the Adviser, the Adviser may determine that 
unrated securities are of ``equivalent quality'' based on such 
credit quality factors that it deems appropriate, which may include, 
among other things, performing an analysis similar, to the extent 
possible, to that performed by an NRSRO when rating similar 
securities and issuers. In making such a determination, the Adviser 
may consider internal analyses and risk ratings, third party 
research and analysis, and other sources of information, as deemed 
appropriate by the Adviser.
    \10\ A floating rate security provides for the automatic 
adjustment of its interest rate whenever a specified interest rate 
changes. Interest rates on these securities are ordinarily tied to, 
and are a percentage of, a widely recognized interest rate, such as 
the yield on 90-day U.S. Treasury bills or the prime rate of a 
specified bank. These rates may change as often as twice daily.
    \11\ Effective duration is a measure of the Bond Portfolio's 
price sensitivity to changes in yields or interest rates. Duration 
will be a distinguishing factor among the Funds, and each of the 
Funds' respective portfolios will have different effective 
durations, as described below.
    \12\ Weighted average maturity is a U.S. dollar-weighted average 
of the remaining term to maturity of the underlying securities in 
the Bond Portfolio.
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SPDR SSgA Conservative Ultra Short Term Bond ETF
    According to the Registration Statement, the SPDR SSgA Conservative 
Ultra Short Term Bond ETF will seek to provide current income 
consistent with preservation of capital and daily liquidity through 
short duration high quality investments with the avoidance of excessive 
portfolio volatility.
    Under normal circumstances, the Fund will invest all of its assets 
in the SSgA Conservative Ultra Short Term Bond Portfolio (the 
``Conservative Portfolio''), a separate series of the SSgA Master Trust 
with an identical investment objective as the Fund. As a result, the 
Fund will invest indirectly through the Conservative Portfolio.
    The Adviser will invest, under normal circumstances, at least 80% 
of the Conservative Portfolio's net assets (plus the amount of 
borrowings for investment purposes) in a diversified portfolio of U.S. 
dollar-denominated investment grade fixed income securities. The 
Conservative Portfolio primarily will invest in investment grade fixed 
income securities that are rated a minimum of the lowest A rating by 
any NRSRO, or, if unrated, determined by the portfolio management team 
(who are employees of the Adviser) to be of equivalent quality, 
determined as described above.\13\ The Conservative Portfolio will 
invest in fixed and floating rate securities of varying maturities, 
such as corporate obligations (including commercial paper of U.S. and 
foreign entities, master demand notes (subject to the 15% illiquid 
securities limit), and medium term notes); government bonds (including 
U.S. Treasury Bills, notes, and bonds); agency securities; privately-
issued securities (which, for example, can be Rule 144A securities); 
asset-backed and mortgage-backed securities; and money market 
instruments (including U.S. and foreign bank time deposits, 
certificates of deposit, and banker acceptances).
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    \13\ See note 9, supra.
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    Under normal circumstances, the effective duration of the 
Conservative Portfolio is expected to be four months or less. In 
addition, the Conservative Portfolio expects to maintain a weighted 
average maturity between six and eighteen months.\14\ For the purposes 
of

[[Page 44611]]

determining the Conservative Portfolio's weighted average maturity, a 
security's final maturity date, or for amortizing securities such as 
asset-backed and mortgage-backed securities, its weighted average life 
will be used for calculation purposes.\15\
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    \14\ See note 11, supra.
    \15\ See note 12, supra.
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SPDR SSgA Aggressive Ultra Short Term Bond ETF
    According to the Registration Statement, the SPDR SSgA Aggressive 
Ultra Short Term Bond ETF will seek to maximize income consistent with 
preservation of capital through short duration high quality 
investments.
    Under normal circumstances, the Fund will invest all of its assets 
in the SSgA Aggressive Ultra Short Term Bond Portfolio (the 
``Aggressive Portfolio'' and, together with the Bond Portfolio and the 
Conservative Portfolio, the ``Portfolios''), a separate series of the 
SSgA Master Trust with an identical investment objective as the Fund. 
As a result, the Fund will invest indirectly through the Aggressive 
Portfolio.
    The Adviser will invest, under normal circumstances, at least 80% 
of the Aggressive Portfolio's net assets (plus the amount of borrowings 
for investment purposes) in a diversified portfolio of U.S. dollar-
denominated investment grade fixed income securities. The Aggressive 
Portfolio primarily will invest in investment grade fixed income 
securities that are rated a minimum of the lowest BBB rating by any 
NRSRO or, if unrated, determined by the portfolio management team (who 
are employees of the Adviser) to be of equivalent quality, determined 
as described above.\16\
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    \16\ See note 9, supra.
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    The Aggressive Portfolio will invest in fixed and floating rate 
securities of varying maturities, such as corporate obligations 
(including commercial paper of U.S. and foreign entities, master demand 
notes (subject to the 15% illiquid securities limit), and medium term 
notes); government bonds (including U.S. Treasury Bills, notes, and 
bonds); agency securities; privately-issued securities (which, for 
example, can be Rule 144A securities); asset-backed and mortgage-backed 
securities; and money market instruments (including U.S. and foreign 
bank time deposits, certificates of deposit, and banker acceptances).
    Under normal circumstances, the effective duration of the 
Aggressive Portfolio is expected to be between six and twelve 
months.\17\ In addition, the Aggressive Portfolio expects to maintain a 
weighted average maturity between 1.5 and 2.5 years. For the purposes 
of determining the Aggressive Portfolio's weighted average maturity, a 
security's final maturity date, or for amortizing securities such as 
asset-backed and mortgage-backed securities, its weighted average life 
will be used for calculation purposes.\18\
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    \17\ See note 11, supra.
    \18\ See note 12, supra.
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Principal Investment Policies for the Funds
    According to the Registration Statement, each Portfolio will invest 
in bonds, including zero coupon bonds,\19\ fixed rate bonds \20\ and of 
[sic]``floating-rate'' or ``variable-rate'' bonds.\21\ In addition, 
each Portfolio may invest in U.S. and non-U.S. corporate bonds, which 
will be denominated in U.S. Dollars.
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    \19\ A zero coupon bond pays no interest to its holder during 
its life. The value of a zero coupon bond to a fund consists of the 
difference between such bond's face value at the time of maturity 
and the price for which it was acquired, which may be an amount 
significantly less than its face value (sometimes referred to as a 
``deep discount'' price).
    \20\ The value of a fixed rate bond usually rises when market 
interest rates fall, and falls when market interest rates rise. 
Accordingly, a fixed rate bond's yield (income as a percent of the 
bond's current value) may differ from its coupon rate as its value 
rises or falls. Fixed rate bonds generally are also subject to 
inflation risk, which is the risk that the value of the bond or 
income from the bond will be worth less in the future as inflation 
decreases the value of money. This could mean that, as inflation 
increases, the ``real'' value of the assets of a fund holding fixed 
rate bonds can decline, as can the value of the fund's 
distributions.
    \21\ Variable rate securities are instruments issued or 
guaranteed by entities such as (1) the U.S. Government, or an agency 
or instrumentality thereof, (2) corporations, (3) financial 
institutions, (4) insurance companies or (5) trusts that have a rate 
of interest subject to adjustment at regular intervals but less 
frequently than annually. A variable rate security provides for the 
automatic establishment of a new interest rate on set dates. 
Variable rate obligations whose interest is readjusted no less 
frequently than annually will be deemed to have a maturity equal to 
the period remaining until the next readjustment of the interest 
rate.
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    Each Portfolio may invest in collateralized loan obligations 
(``CLOs'') to the extent they meet the minimum NRSRO rating requirement 
described above for each Portfolio. A CLO is a financing company 
(generally called a Special Purpose Vehicle or ``SPV''), created to 
reapportion the risk and return characteristics of a pool of assets. 
While the assets underlying CLOs are typically ``Senior Loans'',\22\ 
the assets may also include (i) unsecured loans, (ii) other debt 
securities that are rated below investment grade, (iii) debt tranches 
of other CLOs and (iv) equity securities incidental to investments in 
Senior Loans.\23\
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    \22\ A Senior Loan is an advance or commitment of funds made by 
one or more banks or similar financial institutions, including the 
Portfolios, to one or more corporations, partnerships or other 
business entities and typically pays interest at a floating or 
adjusting rate that is determined periodically at a designated 
premium above a base lending rate, most commonly the London-
Interbank Offered Rate (``LIBOR''). A Senior Loan is considered 
senior to all other unsecured claims against the borrower, senior to 
or pari passu with all other secured claims, meaning that in the 
event of a bankruptcy the Senior Loan, together with other first 
lien claims, are entitled to be the first to be repaid out of 
proceeds of the assets securing the loans, before other existing 
claims or interests receive repayment. However, in bankruptcy 
proceedings, there may be other claims, such as taxes or additional 
advances, that take precedence. Senior Loans consist generally of 
obligations of companies and other entities (collectively, 
``borrowers'') incurred for the purpose of reorganizing the assets 
and liabilities of a borrower; acquiring another company; taking 
over control of a company (leveraged buyout); temporary refinancing; 
or financing internal growth or other general business purposes. 
Senior Loans are often obligations of borrowers who have incurred a 
significant percentage of debt compared to equity issued and thus 
are highly leveraged.
    \23\ When investing in CLOs, each Portfolio will not invest in 
equity tranches, which are the lowest tranche. However, each 
Portfolio may invest in lower debt tranches of CLOs, which typically 
experience a lower recovery, greater risk of loss or deferral or 
non-payment of interest than more senior debt tranches of the CLO. 
In addition, each Portfolio intends to invest in CLOs consisting 
primarily of individual Senior Loans of borrowers and not repackaged 
CLO obligations from other high risk pools. The underlying Senior 
Loans purchased by CLOs are generally performing at the time of 
purchase but may become non-performing, distressed or defaulted. 
CLOs with underlying assets of non-performing, distressed or 
defaulted loans are not contemplated to comprise a significant 
portion of a Portfolio's investments in CLOs. The key feature of the 
CLO structure is the prioritization of the cash flows from a pool of 
debt securities among the several classes of the CLO. The SPV is a 
company founded solely for the purpose of securitizing payment 
claims arising out of this diversified asset pool. On this basis, 
marketable securities are issued by the SPV which, due to the 
diversification of the underlying risk, generally represent a lower 
level of risk than the original assets. The redemption of the 
securities issued by the SPV typically takes place at maturity out 
of the cash flow generated by the collected claims.
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    Each Portfolio may invest in sovereign debt which will be 
denominated in U.S. Dollars. Sovereign debt obligations are issued or 
guaranteed by foreign governments or their agencies. Sovereign debt may 
be in the form of conventional securities or other types of debt 
instruments such as loans or loan participations. Governmental entities 
responsible for repayment of the debt may be unable or unwilling to 
repay principal and pay interest when due, and may require 
renegotiation or reschedule of debt payments. In addition, prospects 
for repayment of principal and payment of interest may depend on 
political as well as economic factors. Although some sovereign debt, 
such as Brady Bonds, is collateralized by U.S. Government securities, 
repayment of principal and payment of

[[Page 44612]]

interest is not guaranteed by the U.S. Government.
    Each Portfolio may invest in U.S. Government obligations. U.S. 
Government obligations are a type of bond. U.S. Government obligations 
include securities issued or guaranteed as to principal and interest by 
the U.S. Government, its agencies or instrumentalities.\24\
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    \24\ One type of U.S. Government obligation, U.S. Treasury 
obligations, are backed by the full faith and credit of the U.S. 
Treasury and differ only in their interest rates, maturities, and 
times of issuance. U.S. Treasury bills have initial maturities of 
one-year or less; U.S. Treasury notes have initial maturities of one 
to ten years; and U.S. Treasury bonds generally have initial 
maturities of greater than ten years.
    Other U.S. Government obligations are issued or guaranteed by 
agencies or instrumentalities of the U.S. Government including, but 
not limited to, Federal National Mortgage Association (``Fannie 
Mae''), the Government National Mortgage Association (``Ginnie 
Mae''), the Small Business Administration, the Federal Farm Credit 
Administration, the Federal Home Loan Mortgage Corporation 
(``Freddie Mac''), the Federal Home Loan Banks (``FHLB''), Banks for 
Cooperatives (including the Central Bank for Cooperatives), the 
Federal Land Banks, the Federal Intermediate Credit Banks, the 
Tennessee Valley Authority, the Export-Import Bank of the United 
States, the Commodity Credit Corporation, the Federal Financing 
Bank, the Student Loan Marketing Association, the National Credit 
Union Administration and the Federal Agricultural Mortgage 
Corporation (``Farmer Mac'').
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    The Portfolios may invest in asset-backed and commercial mortgaged-
backed securities.\25\ The percentage limitation of investments in 
asset backed and commercial mortgage-backed securities for the Bond 
Portfolio, the Conservative Portfolio and the Aggressive Portfolio will 
be 50%, 35% and 65%, respectively. The percentage limitation of an 
investment in each single structured collateral type of asset backed 
and commercial mortgage-backed securities for the Bond Portfolio, the 
Conservative Portfolio and the Aggressive Portfolio will be 15%, 20% 
and 25%, respectively. Non-agency residential mortgage-backed and 
commercial mortgage-backed investments each will be limited to 10% for 
each of the Portfolios.
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    \25\ Asset-backed securities are securities backed by 
installment contracts, credit-card receivables or other assets. 
Commercial mortgage-backed securities are securities backed by 
commercial real estate properties. Both asset-backed and commercial 
mortgage-backed securities represent interests in ``pools'' of 
assets in which payments of both interest and principal on the 
securities are made on a regular basis.
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    The Portfolios may each invest a substantial portion of its assets 
in U.S. agency mortgage pass-through securities. The term ``U.S. agency 
mortgage pass-through security'' refers to a category of pass-through 
securities backed by pools of mortgages and issued by one of several 
U.S. government-sponsored enterprises: Ginnie Mae, Fannie Mae or 
Freddie Mac. In the basic mortgage pass-through structure, mortgages 
with similar issuer, term and coupon characteristics are collected and 
aggregated into a ``pool'' consisting of multiple mortgage loans. The 
pool is assigned a CUSIP number and undivided interests in the pool are 
traded and sold as pass-through securities. The holder of the security 
is entitled to a pro rata share of principal and interest payments 
(including unscheduled prepayments) from the pool of mortgage loans. 
Each Portfolio may invest in restricted securities. Restricted 
securities are securities that are not registered under the Securities 
Act, but which can be offered and sold to ``qualified institutional 
buyers'' under Rule 144A under the Securities Act.\26\
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    \26\ According to the Registration Statement, institutional 
markets for restricted securities have developed as a result of the 
promulgation of Rule 144A under the Securities Act, which provides a 
``safe harbor'' from Securities Act registration requirements for 
qualifying sales to institutional investors. When Rule 144A 
restricted securities present an attractive investment opportunity 
and meet other selection criteria, a Portfolio may make such 
investments whether or not such securities are ``illiquid'' 
depending on the market that exists for the particular security. The 
Trust's Board of Trustees (``Board'') has delegated the 
responsibility for determining the liquidity of Rule 144A restricted 
securities that a Portfolio may invest in to the Adviser. In 
reaching liquidity decisions, the Adviser may consider the following 
factors: the frequency of trades and quotes for the security; the 
number of dealers wishing to purchase or sell the security and the 
number of other potential purchasers; dealer undertakings to make a 
market in the security; and the nature of the security and the 
nature of the marketplace in which it trades (e.g., the time needed 
to dispose of the security, the method of soliciting offers and the 
mechanics of transfer).
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    Each Portfolio may invest in short-term instruments, including 
money market instruments, repurchase agreements, cash and cash 
equivalents, on an ongoing basis to provide liquidity or for other 
reasons. Money market instruments are generally short-term investments 
that may include but are not limited to: (i) Shares of money market 
funds (including those advised by the Adviser); (ii) obligations issued 
or guaranteed by the U.S. government, its agencies or instrumentalities 
(including government-sponsored enterprises); (iii) negotiable 
certificates of deposit, bankers' acceptances, fixed time deposits and 
other obligations of U.S. and foreign banks (including foreign 
branches) and similar institutions; (iv) commercial paper rated at the 
date of purchase ``Prime-1'' by Moody's or ``A-1'' by S&P, or if 
unrated, of comparable quality as determined by the Adviser; \27\ (v) 
non-convertible corporate debt securities (e.g., bonds and debentures) 
with remaining maturities at the date of purchase of not more than 397 
days and that satisfy the rating requirements set forth in Rule 2a-7 
under the 1940 Act; and (vi) short-term U.S. dollar-denominated 
obligations of foreign banks (including U.S. branches) that, in the 
opinion of the Adviser, are of comparable quality to obligations of 
U.S. banks which may be purchased by a Portfolio.
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    \27\ Commercial paper consists of short-term, promissory notes 
issued by banks, corporations and other entities to finance short-
term credit needs. These securities generally are discounted but 
sometimes may be interest bearing.
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    The Funds are actively-managed and not tied to an index. The 
Exchange notes, however, that each Fund's Portfolio will meet certain 
criteria for index-based, fixed income exchange-traded funds contained 
in NYSEArca Equities Rule 5.2(j)(3), Commentary .02.\28\
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    \28\ See NYSE Arca Equities Rule 5.2(j)(3), Commentary .02 
governing fixed income based Investment Company Units. Each of the 
Funds' Portfolios will meet the following requirements of Rule 
5.2(j)(3), Commentary .02(a): (i) Components that in the aggregate 
account for at least 75% of the weight of the index or portfolio 
must each have a minimum original principal amount outstanding of 
$100 million or more (Rule 5.2(j)(3), Commentary.02(a)(2)); (ii) no 
component fixed-income security (excluding Treasury Securities and 
government-sponsored entity securities) will represent more than 30% 
of the weight of the index or portfolio, and the five highest 
weighted component fixed-income securities will not in the aggregate 
account for more than 65% of the weight of the index or portfolio 
(Rule 5.2(j)(3), Commentary.02(a)(4)); and (iii) an underlying index 
or portfolio (excluding exempted securities) must include securities 
from a minimum of 13 non-affiliated issuers (Rule 5.2(j)(3), 
Commentary.02(a)(5)).
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Non-Principal Investment Policies for the Funds
    The following are additional possible investments of each Portfolio 
that are not included under the 80% investment policies described above 
for each Fund.
    Each Portfolio may invest in the securities of other investment 
companies, including money market funds and closed-end funds, subject 
to applicable limitations under Section 12(d)(1) of the 1940 Act. Each 
Portfolio may invest in exchange traded products (``ETPs'').\29\ ETPs 
include ETFs

[[Page 44613]]

registered under the 1940 Act that seek to track the performance of a 
market index (``Underlying ETFs'') and exchange traded notes 
(``ETNs'').\30\
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    \29\ For each of the Funds, ETPs include Investment Company 
Units (as described in NYSE Arca Equities Rule 5.2(j)(3)); Index-
Linked Securities (as described in NYSE Arca Equities Rule 
5.2(j)(6)); Portfolio Depositary Receipts (as described in NYSE Arca 
Equities Rule 8.100); Trust Issued Receipts (as described in NYSE 
Arca Equities Rule 8.200); Commodity-Based Trust Shares (as 
described in NYSE Arca Equities Rule 8.201); Currency Trust Shares 
(as described in NYSE Arca Equities Rule 8.202); Commodity Index 
Trust Shares (as described in NYSE Arca Equities Rule 8.203); Trust 
Units (as described in NYSE Arca Equities Rule 8.500); Managed Fund 
Shares (as described in NYSE Arca Equities Rule 8.600), and closed-
end funds. The ETPs all will be listed and traded in the U.S. on 
registered exchanges. While a Fund may invest in inverse ETPs, a 
Fund will not invest in leveraged (e.g., 2X or 3X) or leveraged 
inverse ETPs.
    \30\ ETNs are debt obligations of investment banks which are 
traded on exchanges and the returns of which are linked to the 
performance of reference assets, including market indexes. In 
addition to trading ETNs on exchanges, investors may redeem ETNs 
directly with the issuer on a weekly basis, typically in a minimum 
amount of 50,000 units, or hold the ETNs until maturity.
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    Each Portfolio may invest in one or more ETPs that are qualified 
publicly traded partnerships (``QPTPs'') and whose principal activities 
are the buying and selling of commodities or options, futures, or 
forwards with respect to commodities.\31\ A QPTP is an entity that is 
treated as a partnership for federal income tax purposes, subject to 
certain requirements. If such an ETP fails to qualify as a QPTP, the 
income generated from the Portfolio's investment in the ETP may not 
comply with certain income tests necessary for the Portfolio to qualify 
as a regulated investment company under Subchapter M of the Internal 
Revenue Code.\32\
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    \31\ Examples of such entities are the PowerShares DB Energy 
Fund, PowerShares DB Oil Fund, PowerShares DB Precious Metals Fund, 
PowerShares DB Gold Fund, PowerShares DB Silver Fund, PowerShares DB 
Base Metals Fund, and PowerShares DB Agriculture Fund, which are 
listed and traded on the Exchange pursuant to NYSE Arca Equities 
Rule 8.200.
    \32\ 26 U.S.C. 851 et seq.
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    According to the Registration Statement, each Portfolio may invest 
in preferred securities. Preferred securities pay fixed or adjustable 
rate dividends to investors, and have ``preference'' over common stock 
in the payment of dividends and the liquidation of a company's assets. 
The market value of preferred securities may be affected by favorable 
and unfavorable changes impacting companies in the utilities and 
financial services sectors, which are prominent issuers of preferred 
securities, and by actual and anticipated changes in tax laws.
    Each Portfolio may invest in convertible securities. Convertible 
securities are bonds, debentures, notes, preferred stocks or other 
securities that may be converted or exchanged (by the holder or by the 
issuer) into shares of the underlying common stock (or cash or 
securities of equivalent value) at a stated exchange ratio. A 
convertible security may also be called for redemption or conversion by 
the issuer after a particular date and under certain circumstances 
(including a specified price) established upon issue.
    Each Portfolio may invest in high yield debt securities.
    Each Portfolio may invest in Variable Rate Demand Obligations 
(``VRDO''). VRDOs are short-term tax exempt fixed income instruments 
whose yield is reset on a periodic basis. VRDO securities tend to be 
issued with long maturities of up to 30 or 40 years; however, they are 
considered short-term instruments because they include a put feature 
which coincides with the periodic yield reset.
    The Portfolios may invest in inflation-protected public 
obligations, commonly known as ``TIPS'', of the U.S. Treasury, as well 
as TIPS of major governments and emerging market countries, excluding 
the United States. TIPS are a type of security issued by a government 
that are designed to provide inflation protection to investors. TIPS 
are income-generating instruments whose interest and principal payments 
are adjusted for inflation. The inflation adjustment, which is 
typically applied monthly to the principal of the bond, follows a 
designated inflation index, such as the Consumer Price Index. A fixed 
coupon rate is applied to the inflation-adjusted principal so that as 
inflation rises or falls, both the principal value and the interest 
payments will increase or decrease.
    Each Portfolio may invest a portion of its assets in Build America 
Bonds. Build America Bonds offer an alternative form of financing to 
state and local governments whose primary means for accessing the 
capital markets has historically been through the issuance of tax-free 
municipal bonds. The Build America Bond program allows state and local 
governments to issue taxable bonds for capital projects and to receive 
a direct federal subsidy payment from the Treasury Department for a 
portion of their borrowing costs.\33\
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    \33\ Issuance of Build America Bonds ceased on December 31, 
2010. The Build America Bonds outstanding continue to be eligible 
for the federal interest rate subsidy, which continues for the life 
of the Build America Bonds; however, no bonds issued following 
expiration of the Build America Bond program are eligible for the 
federal tax subsidy.
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    The Portfolios may seek to obtain exposure to U.S. agency mortgage 
pass-through securities through the use of ``to-be-announced'' or ``TBA 
transactions.'' ``TBA'' refers to a commonly used mechanism for the 
forward settlement of U.S. agency mortgage pass-through securities, and 
not to a separate type of mortgage-backed security. Most transactions 
in mortgage pass-through securities occur through the use of TBA 
transactions.
    Each Portfolio may invest in repurchase agreements with commercial 
banks, brokers or dealers to generate income from its excess cash 
balances. A repurchase agreement is an agreement under which a fund 
acquires a financial instrument (e.g., a security issued by the U.S. 
government or an agency thereof, a banker's acceptance or a certificate 
of deposit) from a seller, subject to resale to the seller at an agreed 
upon price and date (normally, the next business. A repurchase 
agreement may be considered a loan collateralized by securities. The 
resale price reflects an agreed upon interest rate effective for the 
period the instrument is held by a fund and is unrelated to the 
interest rate on the underlying instrument.
    Each Portfolio may invest in sovereign debt which may be 
denominated in local currencies. Sovereign debt obligations are issued 
or guaranteed by foreign governments or their agencies. Sovereign debt 
may be in the form of conventional securities or other types of debt 
instruments such as loans or loan participations. Governmental entities 
responsible for repayment of the debt may be unable or unwilling to 
repay principal and pay interest when due, and may require 
renegotiation or reschedule of debt payments. In addition, prospects 
for repayment of principal and payment of interest may depend on 
political as well as economic factors.
    Each Portfolio may invest in foreign currency transactions on a 
spot (cash) basis and currency forwards for hedging or trade settlement 
purposes.
    Each Portfolio may enter into reverse repurchase agreements, which 
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.
    Each Portfolio may hold up to an aggregate amount of 15% of its net 
assets in illiquid securities (calculated at the time of investment), 
including Rule 144A securities deemed illiquid by the Adviser,\34\ 
master demand notes, privately-issued securities (which, for example, 
can be Rule 144A securities), loans and loan participations. Each 
Portfolio 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 each 
Fund's (indirectly through its

[[Page 44614]]

respective Portfolio) net assets are held in illiquid securities. 
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.\35\
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    \34\ See note 26, supra.
    \35\ 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 1933 Act).
---------------------------------------------------------------------------

    Each Portfolio will be classified as a ``non-diversified'' 
investment company under the 1940 Act \36\ and will not concentrate its 
investments in any particular industry or sector.\37\
---------------------------------------------------------------------------

    \36\ The diversification standard is set forth in Section 
5(b)(1) of the 1940 Act.
    \37\ 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).
---------------------------------------------------------------------------

    The Portfolios intend to qualify for and to elect treatment as a 
separate regulated investment company (``RIC'') under Subchapter M of 
the Internal Revenue Code.\38\
---------------------------------------------------------------------------

    \38\ 26 U.S.C. 851 et seq.
---------------------------------------------------------------------------

    In extreme situations or market conditions,\39\ a Fund may (either 
directly or through the corresponding Portfolio) temporarily depart 
from its normal investment policies and strategies provided that the 
alternative is consistent with the Fund's investment objective and is 
in the best interest of the Fund. For example, a Portfolio may hold a 
higher than normal proportion of its assets in cash in times of extreme 
market stress.
---------------------------------------------------------------------------

    \39\ Such situations and conditions include, but are not limited 
to, trading halts in the fixed income markets or disruptions in the 
financial markets generally; operational issues causing 
dissemination of inaccurate market information; or force majeure 
type events such as systems failure, natural or man-made disaster, 
act of God, armed conflict, act of terrorism, riot or labor 
disruption or any similar intervening circumstance.
---------------------------------------------------------------------------

    Except for ETPs that may hold non-U.S. equity issues, the Funds and 
the Portfolios will not otherwise invest in non-U.S equity issues. 
Neither the Funds nor the Portfolios will invest in options contracts, 
futures contracts, or swap agreements.
    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 Funds will be in 
compliance with Rule 10A-3 \40\ under the Act, as provided by NYSE Arca 
Equities Rule 5.3. A minimum of 100,000 Shares for each 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 NAV per Share for each Fund will be calculated daily and that 
the NAV and the Disclosed Portfolio will be made available to all 
market participants at the same time. Each Fund's investments will be 
consistent with its respective investment objective and will not be 
used to enhance leverage.
---------------------------------------------------------------------------

    \40\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

Master-Feeder Structure of the Funds
    The Funds are intended to be managed in a ``master-feeder'' 
structure, under which each Fund invests substantially all of its 
assets in a corresponding Portfolio (i.e., a ``master fund''), which is 
a separate mutual fund registered under the 1940 Act that has an 
identical investment objective. As a result, each Fund (i.e., a 
``feeder fund'') has an indirect interest in all of the securities and 
other assets owned by the corresponding Portfolio. Because of this 
indirect interest, each Fund's investment returns should be the same as 
those of the corresponding Portfolio, adjusted for the expenses of the 
Fund. In extraordinary instances, each Fund reserves the right to make 
direct investments in securities.
    The Adviser will manage the investments of each Portfolio. Under 
the master-feeder arrangement, and pursuant to the Investment Advisory 
Agreement between the Adviser and the Trust, investment advisory fees 
charged at the Portfolio level are deducted from the advisory fees 
charged at the Fund level. This arrangement avoids a ``layering'' of 
fees, e.g., a Fund's total annual operating expenses would be no higher 
as a result of investing in a master-feeder arrangement than they would 
be if the Fund pursued its investment objectives directly. In addition, 
each Fund may discontinue investing through the master-feeder 
arrangement and pursue its investment objectives directly if the 
Trust's Board determines that doing so would be in the best interests 
of shareholders.
Net Asset Value
    According to the Registration Statement, each Fund will calculate 
net asset value (``NAV'') using the NAV of the respective Portfolio. 
NAV per Share for each Portfolio will be computed by dividing the value 
of the net assets of the Portfolio (i.e., the value of its total assets 
less total liabilities) by the total number of Shares outstanding, 
rounded to the nearest cent. Expenses and fees, including the 
management fees, will be accrued daily and taken into account for 
purposes of determining NAV. The NAV of a Portfolio will be calculated 
by the Custodian and determined at the close of the regular trading 
session on the New York Stock Exchange (``NYSE'') (ordinarily 4:00 p.m. 
Eastern time (``E.T.'') on each day that such exchange is open, 
provided that fixed-income assets may be valued as of the announced 
closing time for trading in fixed-income instruments on any day that 
the Securities Industry and Financial Markets Association (or 
applicable exchange or market on which a Portfolio's investments are 
traded) announces an early closing time. Creation/redemption order cut-
off times may also be earlier on such days.
    In calculating a Portfolio's NAV per Share, the Portfolio's 
investments are generally valued using market valuations. A market 
valuation generally means a valuation (i) obtained from an exchange, a 
pricing service, or a major market maker (or dealer), (ii) based on a 
price quotation or other equivalent indication of value supplied by an 
exchange, a pricing service, or a major market maker (or dealer) or 
(iii) based on amortized cost. In the case of shares of other funds 
(e.g., mutual funds and money market funds) that are not traded on an 
exchange, a market valuation means such fund's published NAV per share. 
The Adviser may use various pricing services, or discontinue the use of 
any pricing service, as approved by the Board of Trustees of the SSgA 
Master Trust from time to time. A price obtained from a pricing service 
based on such pricing service's valuation matrix may be considered a 
market valuation. Any assets or liabilities denominated in currencies 
other than the U.S. dollar will be converted into U.S. dollars at the 
current market rates on the date of valuation as quoted by one or more 
sources.
    In the event that current market valuations are not readily 
available or such valuations do not reflect current market value, the 
SSgA Master Trust's procedures require the Pricing and Investment 
Committee to determine a security's fair value if a market price is not 
readily available in accordance with the 1940 Act. In determining such 
value the Pricing and Investment Committee may consider, among other 
things, (i)

[[Page 44615]]

price comparisons among multiple sources, (ii) a review of corporate 
actions and news events, and (iii) a review of relevant financial 
indicators (e.g., movement in interest rates, market indices, and 
prices from the Portfolios' index providers).\41\ In these cases, the 
Portfolio's NAV may reflect certain portfolio securities' fair values 
rather than their market prices. Fair value pricing involves subjective 
judgments and it is possible that the fair value determination for a 
security is materially different than the value that could be realized 
upon the sale of the security.
---------------------------------------------------------------------------

    \41\ The SSgA Master Trust's Pricing and Investment Committee 
has implemented procedures designed to prevent the use and 
dissemination of material, non-public information regarding the 
Portfolios and the Funds.
---------------------------------------------------------------------------

Creation and Redemption of Shares
    According to the Registration Statement, each Fund will issue and 
redeem Shares only in Creation Units at the NAV next determined after 
receipt of an order on a continuous basis every business day. The NAV 
of a Fund will be determined once each business day, normally as of the 
closing of the regular trading session on the NYSE (normally 4:00 p.m., 
E.T.). Creation Unit sizes are 50,000 Shares per Creation Unit. The 
Creation Unit size for a Fund may change.
    The consideration for purchase of a Creation Unit of a Fund 
generally will consist of either (i) the in-kind deposit of a 
designated portfolio of securities (the ``Deposit Securities'') per 
each Creation Unit and the Cash Component (defined below), computed as 
described below or (ii) the cash value of the Deposit Securities 
(``Deposit Cash'') and the ``Cash Component,'' computed as described 
below. When accepting purchases of Creation Units for cash, a Fund may 
incur additional costs associated with the acquisition of Deposit 
Securities that would otherwise be provided by an in-kind purchaser.
    Together, the Deposit Securities or Deposit Cash, as applicable, 
and the Cash Component constitute the ``Fund Deposit,'' which 
represents the minimum initial and subsequent investment amount for a 
Creation Unit of any Fund. The ``Cash Component'' is an amount equal to 
the difference between the NAV of the Shares (per Creation Unit) and 
the market value of the Deposit Securities or Deposit Cash, as 
applicable. The Cash Component serves the function of compensating for 
any differences between the NAV per Creation Unit and the market value 
of the Deposit Securities or Deposit Cash, as applicable.
    The Custodian, through the National Securities Clearing Corporation 
(``NSCC''), will make available on each business day, immediately prior 
to the opening of business on the Exchange (currently 9:30 a.m., E.T.), 
the list of the names and the required number of shares, if applicable, 
of each Deposit Security or the required amount of Deposit Cash, as 
applicable, to be included in the current Fund Deposit (based on 
information at the end of the previous business day) for a Fund. Such 
Fund Deposit is subject to any applicable adjustments as described 
below, in order to effect purchases of Creation Units of a Fund until 
such time as the next-announced composition of the Deposit Securities 
or the required amount of Deposit Cash, as applicable, is made 
available.
    The Trust reserves the right to permit or require the substitution 
of an amount of cash (i.e., a ``cash in lieu'' amount) to be added to 
the Cash Component to replace any Deposit Security, including, without 
limitation, situations where the Deposit Security: (i) may not be 
available in sufficient quantity for delivery, (ii) may not be eligible 
for transfer through the systems of the Depository Trust Company 
(``DTC'') for corporate securities and municipal securities or the 
Federal Reserve System for U.S. Treasury securities; (iii) may not be 
eligible for trading by an ``Authorized Participant'' (as defined in 
the Registration Statement) or the investor for which it is acting; 
(iv) would be restricted under the securities laws or where the 
delivery of the Deposit Security to the Authorized Participant would 
result in the disposition of the Deposit Security by the Authorized 
Participant becoming restricted under the securities laws, or (v) in 
certain other situations (collectively, ``non-standard orders''). The 
Trust also reserves the right to permit or require the substitution of 
Deposit Securities in lieu of Deposit Cash.
    Shares may be redeemed only in Creation Units at their NAV next 
determined after receipt of a redemption request in proper form by a 
Fund through the Transfer Agent and only on a business day.
    With respect to each Fund, the Custodian, through the NSCC, will 
make available immediately prior to the opening of business on the 
Exchange on each business day, the list of the names and quantities of 
each Fund's portfolio securities that will be applicable (subject to 
possible amendment or correction) to redemption requests received in 
proper form on that day (``Fund Securities''). Fund Securities received 
on redemption may not be identical to Deposit Securities.
    Redemption proceeds for a Creation Unit will be paid either in-kind 
or in cash or a combination thereof, as determined by the Trust. With 
respect to in-kind redemptions of a Fund, redemption proceeds for a 
Creation Unit will consist of Fund Securities as announced by the 
Custodian on the business day of the request for redemption received in 
proper form plus cash in an amount equal to the difference between the 
NAV of the Shares being redeemed, as next determined after a receipt of 
a request in proper form, and the value of the Fund Securities (the 
``Cash Redemption Amount''), less a fixed redemption transaction fee 
and any applicable additional variable charge as set forth below. In 
the event that the Fund Securities have a value greater than the NAV of 
the Shares, a compensating cash payment equal to the differential will 
be required to be made by or through an Authorized Participant by the 
redeeming shareholder. Notwithstanding the foregoing, at the Trust's 
discretion, an Authorized Participant may receive the corresponding 
cash value of the securities in lieu of the in-kind securities value 
representing one or more Fund Securities.
Availability of Information
    The Funds' Web site (www.spdrs.com), which will be publicly 
available prior to the public offering of Shares, will include a form 
of the prospectus for the Funds that may be downloaded. The Funds' Web 
site will include additional quantitative information updated on a 
daily basis, including, for the Funds, (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''),\42\ 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 
Adviser will disclose on its Web site the Disclosed Portfolio as

[[Page 44616]]

defined in NYSE Arca Equities Rule 8.600(c)(2) that will form the basis 
for the Funds' calculation of NAV at the end of the business day.\43\
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    \42\ The Bid/Ask Price of the Funds 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 Funds' NAV. The records relating 
to Bid/Ask Prices will be retained by the Funds and their service 
providers.
    \43\ Under accounting procedures followed by the Funds, trades 
made on the prior business day (``T'') will be booked and reflected 
in NAV on the current business day (``T+1''). Accordingly, the Funds 
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.
---------------------------------------------------------------------------

    On a daily basis, the Adviser will disclose for each portfolio 
security and other financial instrument of the Funds and of the 
Portfolios the following information on the Funds' Web site: ticker 
symbol (if applicable), name of security and financial instrument, 
number of shares, if applicable, or dollar value of financial 
instruments and securities held in the portfolio, and percentage 
weighting of the security and financial instrument in the portfolio. 
The Web site information will be publicly available at no charge.
    In addition, a basket composition file, which includes the security 
names and share quantities, if applicable, required to be delivered in 
exchange for a Fund's Shares, together with estimates and actual cash 
components, will be publicly disseminated daily prior to the opening of 
the NYSE via NSCC. The basket represents one Creation Unit of each 
Fund.
    Investors can also obtain the Trust's Statement of Additional 
Information (``SAI''), the Funds' Shareholder Reports, and the Trust's 
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 of the Shares 
will be continually available on a real-time basis throughout the day 
on brokers' computer screens and other electronic services. Information 
regarding the previous day's closing price and trading volume 
information for the Shares will be published daily in the financial 
section of newspapers. Quotation and last sale information for the 
Shares will be available via the Consolidated Tape Association 
(``CTA'') high-speed line and, for the ETPs, will be available from the 
national securities exchange on which they are listed.
    Every fifteen seconds during NYSE Arca Core Trading Session, an 
indicative optimized portfolio value (``IOPV'') relating to each Fund 
will be widely disseminated by one or more major market data 
vendors.\44\ The IOPV is the Portfolio Indicative Value as defined in 
NYSE Arca Equities Rule 8.600 (c)(3).\45\ 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 Funds and of the Portfolios on a daily basis and to provide a close 
estimate of that value throughout the trading day. The intra-day, 
closing and settlement prices of the Portfolio securities and other 
assets will also be readily available from the national securities 
exchanges trading such securities, automated quotation systems, 
published or other public sources, or on-line information services such 
as Bloomberg or Reuters.
---------------------------------------------------------------------------

    \44\ The IOPV calculations are estimates of the value of the 
Funds' NAV per Share using market data converted into U.S. dollars 
at the current currency rates. The IOPV price is based on quotes and 
closing prices from the securities' local market and may not reflect 
events that occur subsequent to the local market's close. Premiums 
and discounts between the IOPV and the market price may occur. This 
should not be viewed as a ``real-time'' update of the NAV per Share 
of the Funds, which is calculated only once a day.
    \45\ Currently, it is the Exchange's understanding that several 
major market data vendors display and/or make widely available IOPVs 
taken from CTA or other data feeds.
---------------------------------------------------------------------------

    Additional information regarding the Trust and the Shares, 
including investment strategies, risks, creation and redemption 
procedures, fees, portfolio holdings disclosure policies, distributions 
and taxes is included in the Registration Statement. All terms relating 
to the Funds that are referred to, but not defined in, this proposed 
rule change are defined in the Registration Statement.
Trading Halts
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares of the Funds.\46\ Trading in Shares of the Funds 
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 Funds; 
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 a Fund may be 
halted.
---------------------------------------------------------------------------

    \46\ See NYSE Arca Equities Rule 7.12.
---------------------------------------------------------------------------

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 4:00 a.m. to 8:00 p.m. E.T. in 
accordance with NYSE Arca Equities Rule 7.34 (Opening, Core, and Late 
Trading Sessions). The Exchange has appropriate rules to facilitate 
transactions in the Shares during all trading sessions. As provided in 
NYSE Arca Equities Rule 7.6, Commentary .03, the minimum price 
variation (``MPV'') for quoting and entry of orders in equity 
securities traded on the NYSE Arca Marketplace is $0.01, with the 
exception of securities that are priced less than $1.00 for which the 
MPV for order entry is $0.0001.
Surveillance
    The Exchange represents that trading in the Shares will be subject 
to the existing trading surveillances, administered by the Financial 
Industry Regulatory Authority (``FINRA'') on behalf of the Exchange, 
which are designed to detect violations of Exchange rules and 
applicable federal securities laws.\47\ 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.
---------------------------------------------------------------------------

    \47\ FINRA surveils trading on the Exchange pursuant to a 
regulatory services agreement. The Exchange is responsible for 
FINRA's performance under this regulatory services agreement.
---------------------------------------------------------------------------

    The surveillances referred to above generally focus on detecting 
securities trading outside their normal patterns, which could be 
indicative of manipulative or other violative activity. 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.
    FINRA, on behalf of the Exchange, will communicate as needed 
regarding trading in the Shares with other markets and other entities 
that are members of the Intermarket Surveillance Group (``ISG'') and 
FINRA, on behalf of the Exchange, may obtain trading information 
regarding trading in the Shares from such markets and other entities. 
In addition, the Exchange may obtain information regarding trading in 
the Shares from markets and other

[[Page 44617]]

entities that are members of ISG or with which the Exchange has in 
place a comprehensive surveillance sharing agreement.\48\
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    \48\ 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 each Fund and Portfolio 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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    All equity securities held by the Funds or Portfolios, including 
shares of ETPs, will trade on U.S. national securities exchanges, all 
of which are members of ISG.
    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 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 
Equity Trading Permit 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 Equity Trading Permit 
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 Funds are subject 
to various fees and expenses described in the Registration Statement. 
The Bulletin will discuss any exemptive, no-action, and interpretive 
relief granted by the Commission from any rules under the Act. The 
Bulletin will also disclose that the NAV for the Shares will be 
calculated after 4:00 p.m. E.T. each trading day.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \49\ 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.
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    \49\ 15 U.S.C. 78f(b)(5).
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    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. FINRA, on behalf of the Exchange, 
will communicate as needed regarding trading in the Shares with other 
markets and other entities that are members of the ISG and FINRA, on 
behalf of the Exchange, may obtain trading information regarding 
trading in the Shares from such markets and other entities. In 
addition, the Exchange may obtain information regarding trading in the 
Shares from markets and other entities that are members of ISG or with 
which the Exchange has in place a comprehensive surveillance sharing 
agreement. The Adviser has implemented a ``fire wall'' with respect to 
its affiliated broker-dealer regarding access to information concerning 
the composition and/or changes to the Funds' portfolios. In addition, 
the Trust's Pricing and Investment Committee has implemented procedures 
designed to prevent the use and dissemination of material, non-public 
information regarding the Portfolios and the Funds. The Adviser will 
invest, under normal circumstances, at least 80% of the each 
Portfolio's net assets (plus the amount of borrowings for investment 
purposes) in a diversified portfolio of U.S. dollar-denominated 
investment grade fixed income securities. Non-agency residential 
mortgage-backed and commercial mortgage-backed investments each will be 
limited to 10% for each of the Portfolios. Each Fund's Portfolio will 
meet certain criteria for index-based, fixed income exchange-traded 
funds contained in NYSEArca Equities Rule 5.2(j)(3), Commentary .02, as 
described above. FINRA, on behalf of the Exchange, will communicate as 
needed regarding trading in the Shares with other markets and other 
entities that are members of the ISG and FINRA, on behalf of the 
Exchange, may obtain trading information regarding trading in the 
Shares from such markets and other entities. In addition, the Exchange 
may obtain information regarding trading in the Shares from markets and 
other entities that are members of ISG or with which the Exchange has 
in place a comprehensive surveillance sharing agreement. The ETPs held 
by the Funds will be traded on U.S. national securities exchanges and 
will be subject to the rules of such exchanges, as approved by the 
Commission. Except for ETPs that may hold non-U.S. equity issues, the 
Funds will not otherwise invest in non-U.S. equity issues. Neither the 
Funds nor the Portfolios will invest in options contracts, futures 
contracts, or swap agreements. Each Fund may hold up to an aggregate 
amount of 15% of its net assets in illiquid securities (calculated at 
the time of investment), including Rule 144A securities deemed illiquid 
by the Adviser, master demand notes, privately-issued securities, and 
loans and loan participations. Each Fund's investments will be 
consistent with its respective investment objective and will not be 
used to enhance leverage.
    The proposed rule change is designed to promote just and equitable 
principles of trade and to protect investors and the public interest in 
that the Exchange will obtain a representation from the issuer of the 
Shares that the NAV per Share will be calculated daily and that the NAV 
and the Disclosed Portfolio will be made available to all market 
participants at the same time. In addition, a large amount of 
information is publicly available regarding the Funds and the Shares, 
thereby promoting market transparency. Moreover, the IOPV 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 the Exchange, the Adviser will disclose on its Web 
site the Disclosed Portfolio that will form the basis for the Funds' 
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 Funds will include a form of the prospectus 
for the Funds and additional data relating to NAV and other applicable 
quantitative information. Moreover, prior to the commencement of 
trading, the Exchange

[[Page 44618]]

will inform its Equity Trading Permit Holders in an Information 
Bulletin of the special characteristics and risks associated with 
trading the Shares. Trading in Shares of the Funds 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 Funds may be halted. In addition, as noted above, investors will 
have ready access to information regarding the Funds' holdings, the 
IOPV, 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 
additional types of actively-managed exchange-traded products that will 
enhance competition among market participants, to the benefit of 
investors and the marketplace. As noted above, the Exchange may obtain 
information regarding trading in the Shares from markets and other 
entities that are members of ISG or with which the Exchange has in 
place a comprehensive surveillance sharing agreement. In addition, as 
noted above, investors will have ready access to information regarding 
the Funds' holdings, the IOPV, 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. The Exchange notes that the 
proposed rule change will facilitate the listing and trading of 
additional types of actively-managed exchange-traded products that hold 
fixed income securities and will enhance competition among market 
participants, 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

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate 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-2013-71 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-2013-71. 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 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-2013-71 and should 
be submitted on or before August 14, 2013.
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    \50\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\50\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2013-17722 Filed 7-23-13; 8:45 am]
BILLING CODE 8011-01-P


