
[Federal Register Volume 80, Number 102 (Thursday, May 28, 2015)]
[Notices]
[Pages 30519-30525]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-12829]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-75023; File No. SR-NYSEArca-2014-100]


Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting 
Approval of Proposed Rule Change, as Modified by Amendment Nos. 1 and 2 
Thereto, Relating to the Listing and Trading of Shares of the SPDR SSgA 
Global Managed Volatility ETF Under NYSE Arca Equities Rule 8.600

May 21, 2015.

I. Introduction

    On September 5, 2014, NYSE Arca, Inc. (``Exchange'') filed with the 
Securities and Exchange Commission (``Commission''), pursuant to 
Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\ 
and Rule 19b-4 thereunder,\2\ a proposed rule change to list and trade 
shares (``Shares'') of the SPDR SSgA Global Managed Volatility ETF 
(``Fund'') under NYSE Arca Equities Rule 8.600, which governs the 
listing and trading of Managed Fund Shares. The proposed rule change 
was published for comment in the Federal Register on September 24, 
2014.\3\ On November 4, 2014, pursuant to Section 19(b)(2) of the 
Act,\4\ the Commission designated a longer period within which to 
approve the proposed rule change, disapprove the proposed rule change, 
or institute proceedings to determine whether to disapprove the 
proposed rule change.\5\
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 73141 (Sept. 18, 
2014), 79 FR 57161 (``Notice'').
    \4\ 15 U.S.C. 78s(b)(2).
    \5\ See Securities Exchange Act Release No. 73515, 79 FR 66758 
(Nov. 10, 2014). The Commission designated a longer period within 
which to take action on the proposed rule change and designated 
December 23, 2014, as the date by which it should approve, 
disapprove, or institute proceedings to determine whether to 
disapprove the proposed rule change.
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    On December 22, 2014, the Commission instituted proceedings under 
Section 19(b)(2)(B) of the Act \6\ to determine whether to approve or 
disapprove the proposed rule change.\7\ In the Order Instituting 
Proceedings, the

[[Page 30520]]

Commission solicited responses to specified matters related to the 
proposal.\8\ The Commission received no comment letters on the proposed 
rule change.
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    \6\ 15 U.S.C. 78s(b)(2)(B).
    \7\ See Securities Exchange Act Release No. 73914, 79 FR 78524 
(Dec. 30, 2014) (``Order Instituting Proceedings''). Specifically, 
the Commission instituted proceedings to allow for additional 
analysis of the proposed rule change's consistency with Section 
6(b)(5) of the Act, which requires, among other things, that the 
rules of a national securities exchange be ``designed to prevent 
fraudulent and manipulative acts and practices, to promote just and 
equitable principles of trade,'' and ``to protect investors and the 
public interest.'' See id., 79 FR at 78530.
    \8\ See id. (soliciting public comment on the statements of the 
Exchange contained in the Notice, including statements made in 
connection with information sharing procedures with respect to 
certain non-U.S. equity security holdings and the Exchange's 
arguments regarding the applicability of the definition of 
``Actively-Traded Securities'' under Regulation M (``Reg M'')).
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    The Exchange subsequently filed Amendment No. 1 to the proposed 
rule change on January 20, 2015.\9\ On March 20, 2015, pursuant to 
Section 19(b)(2) of the Act,\10\ the Commission designated a longer 
period for Commission action on proceedings to determine whether to 
disapprove the proposed rule change.\11\ On April 7, 2015, the Exchange 
filed Amendment No. 2 to the proposed rule change.\12\ The Commission 
published a Notice of Filing of Amendment Nos. 1 and 2 to the proposed 
rule change for comment in the Federal Register on April 21, 2014.\13\ 
The Commission received no comments on the proposal, as modified by 
Amendment Nos. 1 and 2 thereto.
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    \9\ The text of Amendment No. 1, which amends and replaces the 
proposed rule change in its entirety, is available on the Exchange's 
Web site, at the principal office of the Exchange, and at the 
Commission's Public Reference Room. The text of Amendment No. 1 to 
the proposed rule change is also available on the Commission's Web 
site. See Letter from Martha Redding, Senior Counsel and Assistant 
Secretary, New York Stock Exchange, to Kevin M. O'Neill, Deputy 
Secretary, Commission (Jan. 22, 2015), available at http://www.sec.gov/comments/sr-nysearca-2014-100/nysearca2014100-1.pdf.
    \10\ 15 U.S.C. 78s(b)(2).
    \11\ See Securities Exchange Act Release No. 74559, 80 FR 16047 
(Mar. 26, 2015). The Commission designated a longer period within 
which to take action on the proposed rule change and designated May 
7, 2015 as the date by which it should determine whether to 
disapprove the proposed rule change. See also Securities Exchange 
Act Release No. 74559A (Apr. 13, 2015) (correcting the date by which 
the Commission must take action on proceedings to determine whether 
to disapprove the proposed rule change to May 22, 2015).
    \12\ See Amendment No. 2, available at http://www.sec.gov/comments/sr-nysearca-2014-100/nysearca2014100-2.pdf.
    \13\ See Securities Exchange Act Release No. 74729 (Apr. 15, 
2015), 80 FR 22242.
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    This order grants approval of the proposed rule change, as modified 
by Amendment Nos. 1 and 2 thereto.

II. Description of the Proposal, as Modified by Amendment Nos. 1 and 2 
Thereto

    NYSE Arca proposes to list and trade Shares of the Fund under NYSE 
Arca Equities Rule 8.600, which governs the listing and trading of 
Managed Fund Shares on the Exchange. The Shares will be offered by SSgA 
Active ETF Trust (``Trust''), which is organized as a Massachusetts 
business trust and is registered with the Commission as an open-end 
management investment company.\14\ SSgA Funds Management, Inc. will 
serve as the investment adviser to the Fund (``Adviser'').\15\ State 
Street Global Markets, LLC will be the principal underwriter and 
distributor of the Fund's Shares, and State Street Bank and Trust 
Company (``Custodian'') will serve as the administrator, custodian, and 
transfer agent for the Fund. The Exchange has made the following 
representations and statements in describing the Fund and its 
investment strategy, including the Fund's portfolio holdings and 
investment restrictions.\16\
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    \14\ The Trust is registered under the Investment Company Act of 
1940 (``1940 Act''). According to the Exchange, on September 20, 
2012, the Trust filed with the Commission an amendment to its 
registration statement on Form N-1A under the Securities Act of 1933 
(``Securities Act'') and under the 1940 Act relating to the Fund 
(File Nos. 333-173276 and 811-22542) (``Registration Statement''). 
In addition, the Exchange states that the Trust has obtained from 
the Commission certain exemptive relief under the 1940 Act. See 
Investment Company Act Release No. 29524 (Dec. 13, 2010) (File No. 
812-13487).
    \15\ The Exchange represents that the Adviser is not a 
registered broker-dealer but is affiliated with a broker-dealer and 
has implemented a ``fire wall'' with respect to such broker-dealer 
regarding access to information concerning the composition of or 
changes to the Fund's portfolio. The Exchange further represents 
that, in the event (a) the Adviser or any sub-adviser becomes 
registered as a broker-dealer or newly affiliated with a broker-
dealer, or (b) any new adviser or sub-adviser is a registered 
broker-dealer or becomes affiliated with a broker-dealer, the 
Adviser or any new adviser or sub-adviser, as the case may be, will 
implement a fire wall with respect to its relevant personnel or 
broker-dealer affiliate, as applicable, regarding access to 
information concerning the composition of or changes to the 
portfolio, and will be subject to procedures designed to prevent the 
use and dissemination of material, non-public information regarding 
the portfolio.
    \16\ The Commission notes that additional information regarding 
the Fund, the Trust, and the Shares, including investment 
strategies, risks, creation and redemption procedures, fees, 
portfolio holdings disclosure policies, calculation of net asset 
value (``NAV''), distributions, and taxes, among other things, can 
be found in Amendment No. 1 and the Registration Statement, as 
applicable. See Amendment No. 1 and Registration Statement, supra 
notes 9 and 14, respectively.
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A. The Exchange's Description of the Fund's Principal Investment 
Policies

    According to the Exchange, the Fund will seek to provide 
competitive, long-term returns while maintaining low, long-term 
volatility relative to the broad global market. Under normal 
circumstances,\17\ the Fund will invest all of its assets in the SSgA 
Global Managed Volatility Portfolio (``Portfolio''), a separate series 
of the SSgA Master Trust with an identical investment objective as the 
Fund. As a result, the Fund will invest indirectly through the 
Portfolio.\18\
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    \17\ With respect to the Fund, the term ``under normal 
circumstances'' includes, but is not limited to, the absence of 
extreme volatility or trading halts in the equity markets or the 
financial markets generally; operational issues causing 
dissemination of inaccurate market information; or force majeure 
type events such as systems failure, natural or man-made disaster, 
act of God, armed conflict, act of terrorism, riot or labor 
disruption, or any similar intervening circumstance.
    \18\ According to the Exchange, the Fund is intended to be 
managed in a ``master-feeder'' structure, under which the Fund will 
invest substantially all of its assets in the Portfolio (i.e., a 
``master fund''), which is a separate 1940 Act-registered mutual 
fund that has an identical investment objective. As a result, the 
Fund (i.e., the ``feeder fund'') will have an indirect interest in 
all of the securities owned by the corresponding Portfolio. Because 
of this indirect interest, the Fund's investment returns should be 
the same as those of the Portfolio, adjusted for the expenses of the 
Fund. The Exchange represents that, in general, the Portfolio, which 
will be where investments will be held, will primarily consist of 
equity securities and, to a lesser extent, other investments as 
described under ``Non-Principal Investment Policies'' below. The 
Fund will invest in shares of the Portfolio and will not invest in 
investments described under ``Non-Principal Investment Policies,'' 
but may be exposed to such investments by means of the Fund's 
investment in shares of the Portfolio. The Exchange states that in 
extraordinary instances, the Fund reserves the right to make direct 
investments in equity securities and other investments.
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    According to the Exchange, the Adviser will utilize a proprietary 
quantitative investment process to select a portfolio of exchange-
listed-and-traded equity securities that the Adviser believes will 
exhibit low volatility and provide competitive, long-term returns 
relative to the broad global market.\19\ The Portfolio will invest its 
assets in both U.S. and foreign investments. The Portfolio will 
generally invest at least 80% of its net assets in global equity 
securities and at least 30% of its net assets in global equity 
securities of issuers economically tied to countries other than the 
United States. The Portfolio will generally hold securities of issuers 
economically tied to at least three countries, including the United 
States.\20\ The Portfolio may purchase

[[Page 30521]]

exchange-listed-and-traded common stocks and preferred securities of 
U.S. and foreign corporations (referred to herein as ``non-U.S. equity 
securities'').\21\ Under normal circumstances, the Portfolio will 
include a minimum of 20 exchange-listed-and-traded equity securities. 
The Adviser expects to favor securities with low exposure to market 
risk factors and low security-specific risk. The Adviser will consider 
market risk factors to include, among others, a security's size, 
momentum, value, liquidity, leverage, and growth. While the Adviser 
will attempt to manage the Fund's volatility exposure to stabilize 
performance, there can be no guarantee that the Fund will reach its 
target volatility. Additionally, the Adviser will implement risk 
constraints at the security, industry, size exposure, and sector 
levels. Through this quantitative process of security selection and 
portfolio diversification, the Adviser expects that the Portfolio will 
be subject to a low level of absolute risk (as defined by standard 
deviation of returns) and thus should exhibit low volatility over the 
long term.
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    \19\ Volatility is a statistical measurement of the magnitude of 
up and down fluctuations in the value of a financial instrument or 
index over time. Volatility may result in rapid and dramatic price 
swings.
    \20\ Investments in common stock of foreign corporations may 
also be in the form of American Depositary Receipts (``ADRs''), 
Global Depositary Receipts (``GDRs''), and European Depositary 
Receipts (``EDRs'') (collectively ``Depositary Receipts''). 
Depositary Receipts are receipts, typically issued by a bank or 
trust company, that evidence ownership of underlying securities 
issued by a foreign corporation. For ADRs, the depository is 
typically a U.S. financial institution, and the underlying 
securities are issued by a foreign issuer. For other Depositary 
Receipts, the depository may be a foreign or a U.S. entity, and the 
underlying securities may have a foreign or a U.S. issuer. 
Depositary Receipts will not necessarily be denominated in the same 
currency as their underlying securities. Generally, ADRs, in 
registered form, are designed for use in the U.S. securities market, 
and EDRs, in bearer form, are designated for use in European 
securities markets. GDRs are tradable both in the United States and 
in Europe and are designed for use throughout the world. The 
Portfolio may invest in unsponsored Depositary Receipts. The issuers 
of unsponsored Depositary Receipts are not obligated to disclose 
material information in the United States, and, therefore, there may 
be less information available regarding such issuers, and there may 
not be a correlation between such information and the market value 
of the Depositary Receipts. Unsponsored Depositary Receipts will not 
exceed 10% of the Fund's net assets.
    \21\ For purposes of this filing, the term ``non-U.S. equity 
securities'' includes the following: Common stocks and preferred 
securities of foreign corporations; non-U.S. exchange-traded real 
estate investment trusts (``REITs''), as referenced below; and 
Depositary Receipts (excluding Depositary Receipts that are 
registered under the Act).
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    The Adviser will manage the investments of the Portfolio. Under the 
master-feeder arrangement, and pursuant to the investment advisory 
agreement between the Adviser and the Trust, investment advisory fees 
charged at the Portfolio level will be deducted from the advisory fees 
charged at the Fund level. This arrangement avoids a ``layering'' of 
fees, i.e., the Fund's total annual operating expenses would be no 
higher as a result of investing in a master-feeder arrangement than 
they would be if the Fund pursued its investment objectives directly. 
In addition, the Fund may discontinue investing through the master-
feeder arrangement and pursue its investment objectives directly if the 
Fund's Board of Trustees (``Board'') determines that doing so would be 
in the best interests of shareholders.
    Under normal circumstances, the non-U.S. equity securities in the 
Fund's portfolio will meet the following criteria at time of purchase: 
(1) Non-U.S. equity securities each shall have a minimum market value 
of at least $100 million; (2) non-U.S. equity securities each shall 
have a minimum global monthly trading volume of 250,000 shares, or 
minimum global notional volume traded per month of $25,000,000, 
averaged over the last six months; (3) the most heavily weighted non-
U.S. equity security shall not exceed 25% of the weight of the Fund's 
entire portfolio, and, to the extent applicable, the five most heavily 
weighted non-U.S. equity securities shall not exceed 60% of the weight 
of the Fund's entire portfolio; and (4) each non-U.S. equity security 
shall be listed and traded on an exchange that has last-sale 
reporting.\22\
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    \22\ These criteria are similar to certain ``generic'' listing 
criteria in NYSE Arca Equities Rule 5.2(j)(3), Commentary .01(a)(B), 
which relate to criteria applicable to an index or portfolio of U.S. 
and non-U.S. stocks underlying a series of Investment Company Units 
to be listed and traded on the Exchange pursuant to Rule 19b-4(e) 
under the Act.
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    The Portfolio and Fund do not intend to concentrate their 
investments in any particular industry. The Portfolio and Fund will 
look to the Global Industry Classification Standard (``GICS'') Level 3 
(Industries) in making industry determinations.\23\
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    \23\ GICS classifications can be found on the Standard & Poor's 
Web site at http://www.us.spindices.com/search/?query=gics+map.
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    The Portfolio may invest in exchange-traded preferred securities. 
Preferred securities pay fixed or adjustable rate dividends to 
investors and have ``preference'' over common stock in the payment of 
dividends and the liquidation of a company's assets.

B. The Exchange's Description of the Fund's Non-Principal Investment 
Policies

    In certain situations or market conditions, in order to take 
temporary defensive positions, the Fund may (either directly or through 
the Portfolio) temporarily depart from its normal investment policies 
and strategies, provided that the alternative is consistent with the 
Fund's investment objective and is in the best interest of the Fund. 
For example, the Fund may hold a higher than normal proportion of its 
assets in cash in times of extreme market stress. According to the 
Exchange, in addition to the principal investments described above, the 
Portfolio may invest its remaining net assets in other investments, as 
described below. The investment practices of the Portfolio are the same 
in all material respects as those of the Fund.
    The Portfolio may invest in U.S. Government obligations \24\ and 
U.S.-registered, dollar-denominated bonds of foreign corporations, 
governments, agencies, and supra-national entities. The Portfolio also 
may invest in restricted securities.\25\
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    \24\ U.S. Government obligations are a type of bond. U.S. 
Government obligations include securities issued or guaranteed as to 
principal and interest by the U.S. Government or its agencies or 
instrumentalities. One type of U.S. Government obligation, U.S. 
Treasury obligations, are backed by the full faith and credit of the 
U.S. Treasury and differ only in their interest rates, maturities, 
and times of issuance. U.S. Treasury bills have initial maturities 
of one-year or less; U.S. Treasury notes have initial maturities of 
one to ten years; and U.S. Treasury bonds generally have initial 
maturities of greater than ten years. Other U.S. Government 
obligations are issued or guaranteed by agencies or 
instrumentalities of the U.S. Government including, but not limited 
to, the Federal National Mortgage Association, the Government 
National Mortgage Association (``Ginnie Mae''), the Small Business 
Administration, the Federal Farm Credit Administration, the Federal 
Home Loan Mortgage Corporation, the Federal Home Loan Banks, Banks 
for Cooperatives (including the Central Bank for Cooperatives), the 
Federal Land Banks, the Federal Intermediate Credit Banks, the 
Tennessee Valley Authority, the Export-Import Bank of the United 
States, the Commodity Credit Corporation, the Federal Financing 
Bank, the National Credit Union Administration, and the Federal 
Agricultural Mortgage Corporation. Some obligations issued or 
guaranteed by U.S. Government agencies or instrumentalities, 
including, for example, Ginnie Mae pass-through certificates, are 
supported by the full faith and credit of the U.S. Treasury.
    \25\ Restricted securities are securities that are not 
registered under the Securities Act, but which can be offered and 
sold to ``qualified institutional buyers'' under Rule 144A under the 
Securities Act. The Board has delegated to the Adviser the 
responsibility for determining the liquidity of Rule 144A restricted 
securities that the Portfolio may invest in. In reaching liquidity 
decisions, the Adviser may consider the following factors: the 
frequency of trades and quotes for the security; the number of 
dealers wishing to purchase or sell the security and the number of 
other potential purchasers; dealer undertakings to make a market in 
the security; and the nature of the security and the nature of the 
marketplace in which it trades (e.g., the time needed to dispose of 
the security, the method of soliciting offers, and the mechanics of 
transfer).
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    The Portfolio may conduct foreign currency transactions on a spot 
(i.e., cash) or forward basis (i.e., by entering into forward contracts 
to purchase or sell foreign currencies).
    The Portfolio may invest in exchange-traded products (``ETPs''), 
including exchange-traded funds (``ETFs'') registered under the 1940 
Act, exchange-traded commodity trusts, and exchange-traded notes.\26\ 
The Portfolio

[[Page 30522]]

also may invest in the securities of other investment companies, 
including money market funds and exchange-traded closed-end funds, 
subject to applicable limitations under Section 12(d)(1) of the 1940 
Act.\27\ The Portfolio may invest up to 25% of its total assets in one 
or more ETPs that are qualified publicly traded partnerships 
(``QPTPs'') \28\ and whose principal activities are the buying and 
selling of commodities or options, futures, or forwards with respect to 
commodities. The Portfolio may invest in exchange-traded shares of 
REITs.
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    \26\ For purposes of this filing, ETPs include Investment 
Company Units (as described in NYSE Arca Equities Rule 5.2(j)(3)); 
Index-Linked Securities (as described in NYSE Arca Equities Rule 
5.2(j)(6)); Portfolio Depositary Receipts (as described in NYSE Arca 
Equities Rule 8.100); Trust Issued Receipts (as described in NYSE 
Arca Equities Rule 8.200); Commodity-Based Trust Shares (as 
described in NYSE Arca Equities Rule 8.201); Currency Trust Shares 
(as described in NYSE Arca Equities Rule 8.202); Commodity Index 
Trust Shares (as described in NYSE Arca Equities Rule 8.203); and 
Managed Fund Shares (as described in NYSE Arca Equities Rule 8.600). 
The Portfolio may invest in ETFs managed by the Adviser. The Adviser 
may receive management or other fees from the ETPs in which the 
Portfolio or Fund may invest, as well as a management fee for 
managing the Fund. The ETPs all will be listed and traded in the 
U.S. on national securities exchanges.
    \27\ The Fund will invest substantially all of its assets in the 
Portfolio. The Exchange states that, pursuant to Section 12(d)(1) of 
the 1940 Act, a fund may invest in the securities of another 
investment company (the ``acquired company'') provided that the 
fund, immediately after such purchase or acquisition, does not own 
in the aggregate: (i) More than 3% of the total outstanding voting 
stock of the acquired company; (ii) securities issued by the 
acquired company having an aggregate value in excess of 5% of the 
value of the total assets of the fund; (iii) securities issued by 
the acquired company and all other investment companies (other than 
Treasury stock of the fund) having an aggregate value in excess of 
10% of the value of the total assets of the fund; or (iv) in the 
case of investment in a closed-end fund, more than 10% of the total 
outstanding voting stock of the acquired company. The Fund may also 
invest in the securities of other investment companies if such 
securities are the only investment securities held by the Fund, such 
as through a master-feeder arrangement. The Fund currently will 
pursue its investment objective through such an arrangement. To the 
extent allowed by law, regulation, the Fund's investment 
restrictions, and the Trust's exemptive relief, the Fund may invest 
its assets in securities of investment companies that are money 
market funds, including those advised by the Adviser or otherwise 
affiliated with the Adviser, in excess of the limits discussed 
above.
    \28\ A QPTP is an entity that is treated as a partnership for 
federal income tax purposes, subject to certain requirements. If 
such an ETP fails to qualify as a QPTP, the income generated from 
the Portfolio's investment in the ETP may not comply with certain 
income tests necessary for the Portfolio to qualify as a regulated 
investment company under Subchapter M of the Internal Revenue Code.
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    The Portfolio may invest in repurchase agreements with commercial 
banks, brokers, or dealers to generate income from its excess cash 
balances and to invest securities lending cash collateral.\29\ The 
Portfolio may also enter into reverse repurchase agreements.\30\
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    \29\ A repurchase agreement is an agreement under which a fund 
acquires a financial instrument (e.g., a security issued by the U.S. 
government or an agency thereof, a banker's acceptance, or a 
certificate of deposit) from a seller, subject to resale to the 
seller at an agreed upon price and date (normally, the next business 
day). A repurchase agreement may be considered a loan collateralized 
by securities. The resale price reflects an agreed upon interest 
rate effective for the period the instrument is held by a fund and 
is unrelated to the interest rate on the underlying instrument.
    \30\ Reverse repurchase agreements involve the sale of 
securities with an agreement to repurchase the securities at an 
agreed-upon price, date, and interest payment, and have the 
characteristics of borrowing.
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    In addition to repurchase agreements, the Portfolio may invest in 
short-term instruments, including money market instruments (including 
money market funds advised by the Adviser), cash, and cash equivalents, 
on an ongoing basis to provide liquidity or for other reasons.\31\
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    \31\ Money market instruments are generally short-term 
investments that may include but are not limited to: (i) Shares of 
money market funds; (ii) obligations issued or guaranteed by the 
U.S. government, its agencies, or its instrumentalities (including 
government-sponsored enterprises); (iii) negotiable certificates of 
deposit, bankers' acceptances, fixed time deposits, and other 
obligations of U.S. and foreign banks (including foreign branches) 
and similar institutions; (iv) commercial paper rated at the date of 
purchase ``Prime-1'' by Moody's or ``A-1'' by Standard & Poor's, or 
if unrated, of comparable quality as determined by the Adviser; (v) 
non-convertible corporate debt securities (e.g., bonds and 
debentures) with remaining maturities at the date of purchase of not 
more than 397 days and that satisfy the rating requirements set 
forth in Rule 2a-7 under the 1940 Act; (vi) short-term U.S. dollar-
denominated obligations of foreign banks (including U.S. branches) 
that, in the opinion of the Adviser, are of comparable quality to 
obligations of U.S. banks which may be purchased by the Portfolio; 
and (vii) variable rate demand notes.
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C. The Exchange's Description of the Fund's Investment Restrictions

    According to the Exchange, the Fund may hold up to an aggregate 
amount of 15% of its net assets in illiquid assets (calculated at the 
time of investment), including Rule 144A securities deemed illiquid by 
the Adviser. The Fund will monitor its portfolio liquidity on an 
ongoing basis to determine whether, in light of current circumstances, 
an adequate level of liquidity is being maintained, and will consider 
taking appropriate steps in order to maintain adequate liquidity if, 
through a change in values, net assets, or other circumstances, more 
than 15% of the Fund's net assets are held in illiquid assets. Illiquid 
assets include securities subject to contractual or other restrictions 
on resale and other instruments that lack readily available markets as 
determined in accordance with Commission staff guidance.
    The Exchange represents that the Portfolio and the Fund will be 
classified as a ``non-diversified'' investment company under the 1940 
Act. A non-diversified classification means that the Portfolio or Fund 
is not limited by the 1940 Act with regard to the percentage of its 
assets that may be invested in the securities of a single issuer. This 
means that the Portfolio or Fund may invest a greater portion of its 
assets in the securities of a single issuer than a diversified fund. 
Although the Portfolio and Fund will be non-diversified for purposes of 
the 1940 Act, the Portfolio and Fund intend to maintain the required 
level of diversification and otherwise conduct its operations so as to 
qualify as a ``regulated investment company'' for purposes of the 
Internal Revenue Code of 1986.
    The Exchange represents that neither the Fund nor the Portfolio 
will invest in options, futures contracts, or swap agreements. The 
Exchange further represents that the Fund's and Portfolio's investments 
will be consistent with the Fund's investment objective and will not be 
used to enhance leverage.

III. Discussion and Commission Findings

    After careful review, the Commission finds that the Exchange's 
proposal to list and trade the Shares is consistent with the Exchange 
Act and the rules and regulations thereunder applicable to a national 
securities exchange.\32\ In particular, the Commission finds that the 
proposed rule change, as modified by Amendment Nos. 1 and 2 thereto, is 
consistent with Section 6(b)(5) of the Exchange Act,\33\ which 
requires, among other things, that the Exchange's rules be designed to 
promote just and equitable principles of trade, to remove impediments 
to and perfect the mechanism of a free and open market and a national 
market system, and, in general, to protect investors and the public 
interest.
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    \32\ In approving this proposed rule change, the Commission has 
considered the proposed rule's impact on efficiency, competition, 
and capital formation. See 15 U.S.C. 78c(f).
    \33\ 15 U.S.C. 78f(b)(5).
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    The Commission also finds that the proposal to list and trade the 
Shares on the Exchange is consistent with Section 11A(a)(1)(C)(iii) of 
the Exchange Act,\34\ which sets forth the finding of Congress that it 
is in the public interest and appropriate for the protection of 
investors and the maintenance of fair and orderly markets to assure the 
availability to brokers, dealers, and investors of information with 
respect to quotations for and transactions in securities. Quotation and 
last-sale information for the Shares will be available via the 
Consolidated Tape Association (``CTA'') high-speed line. In addition, 
the Indicative Optimized

[[Page 30523]]

Portfolio Value (``IOPV''),\35\ which is the Portfolio Indicative Value 
as defined in NYSE Arca Equities Rule 8.600(c)(3), will be widely 
disseminated at least every 15 seconds during the Exchange's Core 
Trading Session by one or more major market data vendors.\36\ On each 
business day, before commencement of trading in Shares in the Core 
Trading Session on the Exchange, the Fund will disclose on its Web site 
the Disclosed Portfolio that will form the basis for the Fund's 
calculation of NAV at the end of the business day.\37\ In addition, a 
basket composition file, which includes the security names and share 
quantities required to be delivered in exchange for the Fund's Shares, 
together with estimates and actual cash components, will be publicly 
disseminated daily prior to the opening of the New York Stock Exchange 
(``NYSE'') via the National Securities Clearing Corporation. The basket 
represents one Creation Unit of the Fund.
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    \34\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
    \35\ The IOPV calculation will be an estimate of the value of 
the Fund's NAV per Share using market data converted into U.S. 
dollars at the current currency rates. The IOPV price will be based 
on quotes and closing prices from the securities' local market and 
may not reflect events that occur subsequent to the local market's 
close. Premiums and discounts between the IOPV and the market price 
of the Shares may occur. The IOPV should not be viewed as a ``real-
time'' update of the NAV per Share of the Fund, which will be 
calculated only once a day.
    \36\ According to the Exchange, several major market data 
vendors display and make widely available IOPVs taken from CTA or 
other data feeds.
    \37\ On a daily basis, the Fund will disclose for each portfolio 
security or other financial instrument of the Fund and of the 
Portfolio the following information on the Fund's Web site: ticker 
symbol (if applicable); name of security and financial instrument; 
number of shares and dollar value of financial instruments held in 
the portfolio; and percentage weighting of the security and 
financial instrument in the portfolio. The Web site information will 
be publicly available at no charge.
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    The NAV of the Portfolio will be calculated by the Custodian and 
determined at the close of the regular trading session on the NYSE 
(ordinarily 4:00 p.m. Eastern time) on each day that the NYSE is open, 
provided that fixed-income assets (and, accordingly, the Portfolio's 
NAV) may be valued as of the announced closing time for trading in 
fixed-income instruments on any day that the Securities Industry and 
Financial Markets Association (or applicable exchange or market on 
which the Portfolio's investments are traded) announces an early 
closing time.\38\ Information regarding market price and trading volume 
of the Shares will be continuously available on a real-time basis 
throughout the day on brokers' computer screens and other electronic 
services. Information regarding the previous day's closing price and 
trading volume information for the Shares will be published daily in 
the financial section of newspapers. The Exchange represents that, with 
respect to U.S. exchange-listed equity securities, the intra-day, 
closing and settlement prices of common stocks and exchange-traded 
equity securities (including shares of preferred securities, ETPs, 
closed-end funds, QPTPs, REITs, and U.S. exchange-listed Depositary 
Receipts) will be readily available from the national securities 
exchanges trading such securities, automated quotation systems, 
published or other public sources, or on-line information services such 
as Bloomberg or Reuters. With respect to non-U.S. exchange-listed 
equity securities, intra-day, closing, and settlement prices of common 
stocks and other equity securities (including shares of preferred 
securities and non-U.S. Depositary Receipts) will be available from the 
foreign exchanges on which such securities trade as well as from major 
market-data vendors. Pricing information regarding each asset class in 
which the Fund or Portfolio will invest, including Rule 144A 
securities, repurchase agreements, reverse repurchase agreements, and 
securities of investment companies (other than ETFs registered under 
the 1940 Act), will generally be available through nationally 
recognized data service providers through subscription arrangements. 
Quotation information from brokers and dealers or pricing services will 
be available for fixed income securities, including U.S. Government 
obligations; U.S. registered, dollar-denominated bonds of foreign 
corporations, governments, agencies, and supra-national entities; 
short-term instruments; unsponsored Depositary Receipts; and spot and 
forward currency transactions held by the Fund and Portfolio.
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    \38\ The NAV per Share for the Fund will be computed by dividing 
the value of the net assets of the Portfolio (i.e., the value of its 
total assets less total liabilities) by the total number of Shares 
outstanding, rounded to the nearest cent. According to the Exchange, 
common stocks and exchange-traded equity securities (including 
shares of preferred securities, ETPs, closed-end funds, QPTPs, 
REITs, and Depositary Receipts (other than unsponsored Depositary 
Receipts traded in the OTC market) traded on a national securities 
exchange generally will be valued at the last reported sale price or 
the official closing price on that exchange where the stock is 
primarily traded on the day that the valuation is made. Foreign 
exchange-traded equities and listed ADRs will be valued at the last 
sale or official closing price on the relevant exchange on the 
valuation date. If, however, neither the last sale price nor the 
official closing price is available, each of these securities will 
be valued at either the last reported sale price or official closing 
price as of the close of regular trading of the principal market on 
which the security is listed. According to the Exchange, securities 
of investment companies (other than ETFs registered under the 1940 
Act), including affiliated funds, money market funds, and closed-end 
funds, will be valued at NAV. Unsponsored Depositary Receipts, which 
are traded in the OTC market, will be valued at the last reported 
sale price from the OTC Bulletin Board or OTC Link LLC on the 
valuation date. Rule 144A securities, repurchase agreements, and 
reverse repurchase agreements will generally be valued at bid prices 
received from independent pricing services as of the announced 
closing time for trading in such instruments. Spot currency 
transactions will generally be valued at bid prices received from 
independent pricing service converted into U.S. dollars at current 
market rates on the date of valuation. Foreign currency forwards 
normally will be valued on the basis of quotes obtained from broker-
dealers or third party pricing services. According to the Exchange, 
fixed income securities, including U.S. Government obligations; U.S. 
registered, dollar-denominated bonds of foreign corporations, 
governments, agencies; and supra-national entities; and short-term 
instruments will generally be valued at bid prices received from 
independent pricing services as of the announced closing time for 
trading in fixed-income instruments in the respective market or 
exchange. In determining the value of a fixed income investment, 
pricing services determine valuations for normal institutional-size 
trading units of such securities using valuation models or matrix 
pricing, which incorporates yield and/or price with respect to bonds 
that are considered comparable in characteristics such as rating, 
interest rate, and maturity date and quotations from securities 
dealers to determine current value. Any assets or liabilities 
denominated in currencies other than the U.S. dollar will be 
converted into U.S. dollars at the current market rates on the date 
of valuation as quoted by one or more sources. In the event that 
current market valuations are not readily available or such 
valuations do not reflect current market value, the SSgA Master 
Trust's procedures require the Pricing and Investment Committee to 
determine a security's fair value if a market price is not readily 
available, in accordance with the 1940 Act.
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    The Commission further believes that the proposal to list and trade 
the Shares is reasonably designed to promote fair disclosure of 
information that may be necessary to price the Shares appropriately and 
to prevent trading when a reasonable degree of transparency cannot be 
assured. The Exchange will obtain a representation from the issuer of 
the Shares that the NAV per Share will be calculated daily and that the 
NAV and the Disclosed Portfolio will be made available to all market 
participants at the same time.
    Trading in Shares of the Fund will be halted if the circuit-breaker 
parameters in NYSE Arca Equities Rule 7.12 have been reached. Trading 
also may be halted because of market conditions or for reasons that, in 
the view of the Exchange, make trading in the Shares inadvisable.\39\ 
Trading in the Shares will be subject to NYSE Arca Equities Rule 
8.600(d)(2)(D), which sets forth

[[Page 30524]]

circumstances under which Shares of the Fund may be halted.
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    \39\ These may include: (1) The extent to which trading is not 
occurring in the securities or the financial instruments 
constituting the Disclosed Portfolio of the Fund; or (2) whether 
other unusual conditions or circumstances detrimental to the 
maintenance of a fair and orderly market are present.
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    The Exchange represents that it has a general policy prohibiting 
the distribution of material, non-public information by its employees.
    The Exchange represents that the Adviser is not a registered 
broker-dealer but is affiliated with a broker-dealer and has 
implemented a ``fire wall'' with respect to that broker-dealer 
regarding access to information concerning the composition or changes 
to the Fund's portfolio.\40\ Prior to the commencement of trading, the 
Exchange will inform its Equity Trading Permit Holders in an 
Information Bulletin (``Bulletin'') of the special characteristics and 
risks associated with trading the Shares. The Exchange represents that 
trading in the Shares will be subject to the existing trading 
surveillances, administered by the Financial Industry Regulatory 
Authority (``FINRA'') on behalf of the Exchange, which are designed to 
detect violations of Exchange rules and applicable federal securities 
laws.\41\
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    \40\ See supra note 15. The Exchange represents that an 
investment adviser to an open-end fund is required to be registered 
under the Investment Advisers Act of 1940 (``Advisers Act''). As a 
result, the Adviser and its related personnel are subject to the 
provisions of Rule 204A-1 under the Advisers Act relating to codes 
of ethics. This Rule requires investment advisers to adopt a code of 
ethics that reflects the fiduciary nature of the relationship to 
clients as well as compliance with other applicable securities laws. 
Accordingly, procedures designed to prevent the communication and 
misuse of non-public information by an investment adviser must be 
consistent with Rule 204A-1 under the Advisers Act. In addition, 
Rule 206(4)-7 under the Advisers Act makes it unlawful for an 
investment adviser to provide investment advice to clients unless 
such investment adviser has (i) adopted and implemented written 
policies and procedures reasonably designed to prevent violation, by 
the investment adviser and its supervised persons, of the Advisers 
Act and the Commission rules adopted thereunder; (ii) implemented, 
at a minimum, an annual review regarding the adequacy of the 
policies and procedures established pursuant to subparagraph (i) 
above and the effectiveness of their implementation; and (iii) 
designated an individual (who is a supervised person) responsible 
for administering the policies and procedures adopted under 
subparagraph (i) above.
    \41\ The Exchange states that FINRA surveils trading on the 
Exchange pursuant to a regulatory services agreement. The Exchange 
is responsible for FINRA's performance under this regulatory 
services agreement.
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    The Exchange represents that it deems the Shares to be equity 
securities, thus rendering trading in the Shares subject to the 
Exchange's existing rules governing the trading of equity securities. 
In support of this proposal, the Exchange has also made the following 
representations:
    (1) The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Equities Rule 8.600.
    (2) The Exchange has appropriate rules to facilitate transactions 
in the Shares during all trading sessions.
    (3) Trading in the Shares will be subject to the existing trading 
surveillances, administered by FINRA on behalf of the Exchange, which 
are designed to detect violations of Exchange rules and applicable 
federal securities laws, and these procedures are adequate to properly 
monitor Exchange trading of the Shares in all trading sessions and to 
deter and detect violations of Exchange rules and federal securities 
laws applicable to trading on the Exchange.
    (4) FINRA, on behalf of the Exchange, will communicate as needed 
regarding trading in the Shares, ETPs, and certain exchange-traded 
securities underlying the Shares with other markets and other entities 
that are members of the Intermarket Surveillance Group (``ISG''), and 
FINRA, on behalf of the Exchange, may obtain trading information 
regarding trading in the Shares, ETPs and certain exchange-traded 
securities underlying the Shares from such markets and other entities. 
In addition, the Exchange may obtain information regarding trading in 
the Shares, ETPs, and certain exchange-traded securities underlying the 
Shares from markets and other entities that are members of ISG or with 
which the Exchange has in place a comprehensive surveillance sharing 
agreement.\42\ The Exchange states that FINRA, on behalf of the 
Exchange, is able to access, as needed, trade information for certain 
fixed income securities held by the Fund reported to FINRA's Trade 
Reporting and Compliance Engine.
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    \42\ For a list of the current members of ISG, see 
www.isgportal.org. The Exchange notes that not all components of the 
Disclosed Portfolio for the Fund may trade on markets that are 
members of ISG or with which the Exchange has in place a 
comprehensive surveillance sharing agreement.
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    (5) Prior to the commencement of trading, the Exchange will inform 
its Equity Trading Permit Holders in a Bulletin of the special 
characteristics and risks associated with trading the Shares. 
Specifically, the Bulletin will discuss the following: (i) The 
procedures for purchases and redemptions of Shares in Creation Unit 
aggregations (and that Shares are not individually redeemable); (ii) 
NYSE Arca Equities Rule 9.2(a), which imposes a duty of due diligence 
on its Equity Trading Permit Holders to learn the essential facts 
relating to every customer prior to trading the Shares; (iii) the risks 
involved in trading the Shares during the Opening and Late Trading 
Sessions when an updated Portfolio Indicative Value will not be 
calculated or publicly disseminated; (iv) how information regarding the 
Portfolio Indicative Value and the Disclosed Portfolio is disseminated; 
(v) the requirement that Equity Trading Permit Holders deliver a 
prospectus to investors purchasing newly issued Shares prior to or 
concurrently with the confirmation of a transaction; and (vi) trading 
information.
    (6) For initial and continued listing, the Fund will be in 
compliance with Rule 10A-3 under the Act,\43\ as provided by NYSE Arca 
Equities Rule 5.3.
---------------------------------------------------------------------------

    \43\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    (7) The Fund may hold up to an aggregate amount of 15% of its net 
assets in illiquid assets (calculated at the time of investment), 
including Rule 144A restricted securities deemed illiquid by the 
Adviser.
    (8) Neither the Fund nor the Portfolio will invest in options, 
futures contracts, or swap agreements.
    (9) The Fund's and Portfolio's investments will be consistent with 
its investment objective and will not be used to enhance leverage.
    (10) Under normal circumstances, the non-U.S. equity securities in 
the Fund's portfolio will meet the following criteria at time of 
purchase: (a) Non-U.S. equity securities each shall have a minimum 
market value of at least $100 million; (b) non-U.S. equity securities 
each shall have a minimum global monthly trading volume of 250,000 
shares, or minimum global notional volume traded per month of 
$25,000,000, averaged over the last six months; (c) the most heavily 
weighted non-U.S. equity security shall not exceed 25% of the weight of 
the Fund's entire portfolio, and, to the extent applicable, the five 
most heavily weighted non-U.S. equity securities shall not exceed 60% 
of the weight of the Fund's entire portfolio; and (d) each non-U.S. 
equity security shall be listed and traded on an exchange that has 
last-sale reporting. In addition, under normal circumstances, the 
Portfolio will include a minimum of 20 exchange-listed and traded 
equity securities.
    (11) The Portfolio and Fund do not intend to concentrate their 
investments in any particular industry. The Portfolio and Fund will 
look to the GICS Level 3 (Industries) standard in making industry 
determinations.
    (12) Not more than 10% of the net assets of the Fund will be 
invested in unsponsored ADRs.
    (13) A minimum of 100,000 Shares for the Fund will be outstanding 
at the commencement of trading on the Exchange.

[[Page 30525]]

    This approval order is based on all of the Exchange's 
representations, including those set forth above and in the Notice, 
Amendment Nos. 1 and 2 to the proposed rule change, and the Exchange's 
description of the Fund. The Commission notes that the Fund and the 
Shares must comply with the requirements of NYSE Arca Equities Rule 
8.600 to be initially and continuously listed and traded on the 
Exchange.
    For the foregoing reasons, the Commission finds that the proposed 
rule change, as modified by Amendment Nos. 1 and 2 thereto, is 
consistent with Section 6(b)(5) of the Act \44\ and the rules and 
regulations thereunder applicable to a national securities exchange.
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    \44\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

IV. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Exchange Act,\45\ that the proposed rule change (SR-NYSEArca-2014-100), 
as modified by Amendment Nos. 1 and 2 thereto, be, and it hereby is, 
approved.
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    \45\ 15 U.S.C. 78s(b)(2).
    \46\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\46\
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-12829 Filed 5-27-15; 8:45 am]
 BILLING CODE 8011-01-P


