
[Federal Register Volume 80, Number 107 (Thursday, June 4, 2015)]
[Notices]
[Pages 31934-31943]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-13615]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-75071; File No. SR-NYSEArca-2015-44]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change To List and Trade Shares of the SPDR[supreg] 
SSgA Flexible Allocation ETF Under NYSE Arca Equities Rule 8.600

May 29, 2015.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that, on May 15, 2015, NYSE Arca, Inc. (the ``Exchange'' of ``NYSE 
Arca'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I and II 
below, which Items have been prepared by the self-regulatory 
organization. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 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 SPDR[supreg] 
SSgA Flexible Allocation ETF under NYSE Arca Equities Rule 8.600. 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 (``Shares'') of 
SPDR[supreg] SSgA Flexible Allocation ETF (the ``Fund'') under NYSE 
Arca Equities Rule 8.600, which governs the listing and trading of 
Managed Fund Shares \3\ on the Exchange.\4\ 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'') will serve as the investment adviser to the 
Fund. State Street Global Markets, LLC (the ``Distributor'' or 
``Principal Underwriter'') will be the principal underwriter and 
distributor of the Fund's Shares. State Street Bank and Trust Company 
(the ``Administrator,'' ``Custodian'' or ``Transfer Agent'') will serve 
as administrator, custodian and transfer agent for the Fund.
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    \3\ 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.
    \4\ 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); 66343 (February 7, 2012), 77 FR 7647 
(February 13, 2012) (SR-NYSEArca-2011-85) (order approving listing 
of five funds of the SSgA Active ETF Trust); 70342 (September 6, 
2013), 78 FR 56256 (September 12, 2013) (SR-NYSEArca-2013-71) (order 
approving listing 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); and 62502 (March 21, 2014), 
79 FR 17206 (March 27, 2014) (SR-NYSEArca-2014-11) (order approving 
listing of SPDR SSgA Risk Aware ETF, SPDR SSgA Large Cap Risk Aware 
ETF and SPDR SSgA Small Cap Risk Aware ETF).
    \5\ The Trust is registered under the 1940 Act. On December 18, 
2013, 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 Fund (File Nos. 333-173276 and 811-22542) 
(``Registration Statement''). The description of the operation of 
the Trust and the Fund herein is based, in part, on the Registration 
Statement. In addition, the Commission has issued an order granting 
certain exemptive relief to the Trust under the 1940 Act. See 
Investment Company Act Release No. 29524 (December 13, 2010) (File 
No. 812-13487) (``Exemptive Order'').
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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.\6\ 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. Commentary .06 to 
Rule 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

[[Page 31935]]

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 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 and/or changes to the Fund's portfolio. In the event (a) 
the Adviser or any sub-adviser becomes registered as a broker-dealer or 
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, it will implement a fire wall with respect to its 
relevant personnel or broker-dealer affiliate regarding access to 
information concerning the composition and/or changes to the portfolio, 
and will be subject to procedures designed to prevent the use and 
dissemination of material non-public information regarding such 
portfolio.
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    \6\ An investment adviser to an open-end fund is required to be 
registered under the Investment Advisers Act of 1940 (the ``Advisers 
Act''). As a result, the Adviser and its related personnel are 
subject to the provisions of Rule 204A-1 under the Advisers Act 
relating to codes of ethics. This Rule requires investment advisers 
to adopt a code of ethics that reflects the fiduciary nature of the 
relationship to clients as well as compliance with other applicable 
securities laws. Accordingly, procedures designed to prevent the 
communication and misuse of non-public information by an investment 
adviser must be consistent with Rule 204A-1 under the Advisers Act. 
In addition, Rule 206(4)-7 under the Advisers Act makes it unlawful 
for an investment adviser to provide investment advice to clients 
unless such investment adviser has (i) adopted and implemented 
written policies and procedures reasonably designed to prevent 
violation, by the investment adviser and its supervised persons, of 
the Advisers Act and the Commission rules adopted thereunder; (ii) 
implemented, at a minimum, an annual review regarding the adequacy 
of the policies and procedures established pursuant to subparagraph 
(i) above and the effectiveness of their implementation; and (iii) 
designated an individual (who is a supervised person) responsible 
for administering the policies and procedures adopted under 
subparagraph (i) above.
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Principal Investments
    According to the Registration Statement, the Fund will seek to 
provide long-term total return. The Fund will be actively managed and 
will not seek to replicate the performance of a specified index.
    According to the Registration Statement, under normal 
circumstances,\7\ the Fund will invest substantially all of its assets 
in the SSgA Flexible Allocation 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 in all of the 
securities and assets owned by the Portfolio.\8\ The Adviser will 
allocate the Portfolio's assets among a variety of asset classes, 
market capitalization ranges, and market sectors selected by the 
Adviser. In selecting investments for the Portfolio, the Adviser will 
employ a tactical asset allocation strategy based on signals provided 
by models developed by the Adviser.
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    \7\ 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.
    \8\ The Fund is intended to be managed in a ``master-feeder'' 
structure, under which the Fund will invest substantially all of its 
assets in a corresponding 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 and 
other assets owned by the 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. In 
extraordinary instances, the Fund reserves the right to make direct 
investments in securities.
    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. In extraordinary instances, the Fund 
reserves the right to make direct investments in securities to meet 
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.
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    According to the Registration Statement, these models, which 
include both macro-economic and financial parameters, are designed to 
identify market strategies and develop a portfolio allocation that 
takes advantage of high-risk asset classes in favorable market 
conditions while limiting the Portfolio's exposure to such asset 
classes in unfavorable markets. In utilizing these models, the Adviser 
will seek to diversify the Portfolio's holdings by gaining exposure to 
a wide range of asset classes, including real estate (including real 
estate investment trusts (``REITs'')); equity and fixed income 
securities, including high yield debt securities (commonly referred to 
as ``junk bonds''); commodities; instruments that seek to track 
movements in volatility indices; and cash and cash equivalents or money 
market instruments.\9\ The Portfolio's investments will range across 
domestic and international markets (including emerging markets). In 
seeking long-term total return, the Adviser will target a return that 
exceeds one-month London Interbank Offered Rate (``LIBOR'') by at least 
4% every year over a five-year investment timeframe, although there is 
no guarantee that this target will be achieved.
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    \9\ 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 (``CDs''), 
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 Investor's Service 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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    According to the Registration Statement, the Adviser's allocation 
policy will involve adjusting the weightings of the Portfolio's 
holdings of the various asset classes in a proactive manner in an 
effort to optimize the Portfolio's risk/return ratio while complying 
with the Portfolio's investment constraints.
    The Adviser will implement its asset allocation decisions primarily 
through exchange traded products (``ETPs'').\10\ The Portfolio may also 
buy and sell futures contracts based on the Chicago Board Options 
Exchange Volatility Index (``VIX Futures'') and equity options 
(including options on ETPs).\11\
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    \10\ 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); ZManaged [sic] 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 
the Fund may invest in inverse ETPs, the Fund will not invest in 
leveraged or inverse leveraged ETPs (e.g., 2X or 3X).
    \11\ The Portfolio may invest up to 20% of its assets in 
derivatives, including VIX Futures and equity options. See note 23, 
infra, and accompanying text.
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    ETPs include exchange traded funds (``ETFs'') registered under the 
1940 Act (``Underlying ETFs''),\12\ exchange traded commodity trusts 
\13\ and exchange traded notes (``ETNs'').\14\ The Portfolio may also 
invest in ETPs that are qualified publicly traded partnerships 
(``QPTPs''). A QPTP is an entity that is treated as a partnership for 
federal income tax purposes, subject to certain

[[Page 31936]]

requirements.\15\ In addition, the Portfolio may invest in certain ETPs 
that pay fees to the Adviser and its affiliates for management, 
marketing or other services.
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    \12\ ETFs are securities registered under the 1940 Act such as 
those listed and traded on the Exchange under NYSE Arca Equities 
Rules 5.2(j)(3) (Investment Company Units), 8.100 (Portfolio 
Depositary Receipts) and 8.600 (Managed Fund Shares).
    \13\ An exchange traded commodity trust is a pooled trust that 
invests in physical commodities or commodity futures, and issues 
shares that are traded on a securities exchange that may trade at a 
discount or premium to the value of the holdings of the trusts.
    \14\ According to the Registration Statement, ETNs are debt 
obligations of investment banks which are traded on exchanges and 
the returns of which are linked to the performance of 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 about of 50,000 units, or hold the ETNs until maturity. 
ETNs are listed and traded on the Exchange under NYSE Arca Equities 
Rule 5.2(j)(6) (``Index-Linked Securities'').
    \15\ Income from QPTPs is generally qualifying income for 
purposes of Subchapter M of the Internal Revenue Code. See 26 U.S.C. 
851 et seq.
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    The Underlying ETFs may include actively-managed ETFs and index-
based ETFs, which seek to provide investment results that match the 
performance of an index by holding in its portfolio either the contents 
of the index or a representative sample of the securities in the index. 
Alternatively, ETFs may be structured as grantor trusts or other forms 
of pooled investment vehicles that are not registered or regulated 
under the 1940 Act. These ETFs typically hold commodities, precious 
metals, currency or other non-securities investments. The Portfolio may 
invest up to 25% of its total assets in one or more ETPs that are QPTPs 
and whose principal activities are the buying and selling of 
commodities or options, futures, or forwards with respect to 
commodities.\16\
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    \16\ Examples of such entities are the PowerShares DB Energy 
Fund, PowerShares DB Oil Fund, PowerShares DB Gold Fund, PowerShares 
DB Silver Fund, and PowerShares DB Agriculture Fund, which are 
listed and traded on the Exchange pursuant to NYSE Arca Equities 
Rule 8.200.
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Non-Principal Investments
    While under normal circumstances \17\ the Adviser will invest the 
Portfolio's net assets as described above, the Adviser may invest the 
Portfolio's net assets in other securities and financial instruments, 
as described below.
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    \17\ See note 7, supra. As noted above, in extraordinary 
instances, the Fund reserves the right to make direct investments in 
securities to meet its investment objectives directly.
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    According to the Registration Statement, in the absence of normal 
circumstances the 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, the Fund may hold a higher than normal proportion of 
its assets in cash in times of extreme market stress.
    The investment practices of the Portfolio are the same in all 
material respects to those of the Fund.
    According to the Registration Statement, the Portfolio may invest 
in the following types of investments: Convertible securities; variable 
rate demand notes; U.S. government and U.S. government agency 
securities; short term instruments, including money market instruments; 
\18\ repurchase agreements, cash and cash equivalents on an ongoing 
basis to provide liquidity or for other reasons. The Portfolio may 
invest in equity and fixed income securities. Not more than 10% of the 
net assets of the Fund will consist of equity securities that trade in 
markets that are not members of the Intermarket Surveillance Group 
(``ISG'') or are not parties to a comprehensive surveillance sharing 
agreement with the Exchange.
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    \18\ See note 9, supra.
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    According to the Registration Statement, the 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.
    According to the Registration Statement, the Portfolio may purchase 
publicly traded common stocks and preferred securities of domestic and 
foreign corporations. According to the Registration Statement, the 
Portfolio may invest in U.S. government obligations and U.S. government 
agency securities. 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.
    According to the Registration Statement, 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. 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).
    According to the Registration Statement, the Portfolio may invest 
in bonds, including U.S. registered, dollar-denominated bonds of 
foreign corporations, governments, agencies and supra-national 
entities.\19\
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    \19\ The Portfolio may invest a portion of its assets in Build 
America 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.
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    According to the Registration Statement, the Portfolio may invest 
in sovereign debt. 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. The Portfolio may invest up to 10% of 
its net assets in high yield debt securities.
    According to the Registration Statement, the Portfolio 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.
    According to the Registration Statement, the Portfolio may invest 
in variable and floating rate securities.\20\ 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. According to the Registration Statement, 
the Portfolio may invest in Variable Rate Demand Obligations 
(``VRDOs''). 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.
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    \20\ A variable rate security provides for the automatic 
establishment of a new interest rate on set dates. 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.
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    According to the Registration Statement, the 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.\21\

[[Page 31937]]

When Rule 144A restricted securities present an attractive investment 
opportunity and meet other selection criteria, the Portfolio may make 
such investments depending on the market that exists for the particular 
security. The Board has delegated the responsibility for determining 
the liquidity of Rule 144A restricted securities that the Portfolio may 
invest in to the Adviser.\22\
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    \21\ According to the Registration Statement, when Rule 144A 
restricted securities present an attractive investment opportunity 
and meet other selection criteria, the Portfolio may make such 
investments whether or not such securities are ``illiquid'' 
depending on the market that exists for the particular security. The 
Board has delegated the responsibility for determining the liquidity 
of Rule 144A restricted securities that the Portfolio may invest in 
to the Adviser. See note 27, infra.
    \22\ 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) and the nature of the 
marketplace 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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    According to the Registration Statement, in addition to ETPs, the 
Portfolio may invest in the securities of other investment companies, 
including affiliated funds, money market funds and closed-end funds, 
subject to applicable limitations under Section 12(d)(1) of the 1940 
Act.
    According to the Registration Statement, the Portfolio may invest 
in REITs. According to the Registration Statement, the Portfolio may 
enter into reverse repurchase agreements.
    In addition to the VIX Futures and equity options described under 
``Principal Investments,'' the Portfolio may also invest in options, 
swaps, forward contracts and futures contracts, for hedging purposes or 
to provide exposure to a particular issuer, industry, sector or 
country.\23\
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    \23\ The Portfolio may invest up to 20% of its assets in 
derivatives, including VIX Futures and equity options.
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    According to the Registration Statement, the Portfolio will only 
invest in exchange-traded futures contracts. According to the 
Registration Statement, futures contracts generally provide for the 
future sale by one party and purchase by another party of a specified 
commodity or security at a specified future time and at a specified 
price. Index futures contracts are settled daily with a payment by one 
party to the other of a cash amount based on the difference between the 
level of the index specified in the contract from one day to the next.
    According to the Registration Statement, the Portfolio may invest 
in both exchange traded and over-the-counter (``OTC'') traded options. 
According to the Registration Statement, the Portfolio may purchase and 
sell put and call options. Such options may relate to particular 
securities and may or may not be listed on a national securities 
exchange and issued by the Options Clearing Corporation. The Fund may 
engage in short sales ``against the box.'' In a short sale against the 
box, the Fund agrees to sell at a future date a security that it either 
contemporaneously owns or has the right to acquire at no extra cost.
    According to the Registration Statement, the Portfolio may enter 
into swap agreements, including interest rate, index and total return 
swap agreements. Swap agreements are contracts between parties in which 
one party agrees to make periodic payments to the other party based on 
the change in market value or level of a specified rate, index or 
asset. In return, the other party agrees to make payments to the first 
party based on the return of a different specified rate, index or 
asset. In the case of a credit default swap (``CDS''), the contract 
gives one party (the buyer) the right to recoup the economic value of a 
decline in the value of debt securities of the reference issuer if the 
credit event (a downgrade or default) occurs.
    According to the Registration Statement, 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). At the discretion of the Adviser, the Portfolio may enter 
into forward currency exchange contracts for hedging purposes to help 
reduce the risks and volatility caused by changes in foreign currency 
exchange rates.
Investment Restrictions
    According to the Registration Statement, the Portfolio and Fund 
will each be classified as ``diversified.'' \24\ According to the 
Registration Statement, the Portfolio and the Fund do not intend to 
concentrate their investments in any particular industry.\25\
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    \24\ The diversification standard is set forth in Section 
5(b)(1) of the 1940 Act (15 U.S.C. 80a-5(b)(1)).
    \25\ See Form N-1A, Item 9. The Commission has taken the 
position that a fund is concentrated if it invests more than 25% of 
the value of its total assets in any one industry. See, e.g., 
Investment Company Act Release No. 9011 (October 30, 1975), 40 FR 
54241 (November 21, 1975).
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    According to the Registration Statement, the Portfolio and the 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.\26\
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    \26\ 26 U.S.C. 851 et seq.
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    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, 
consistent with Commission guidance, and repurchase agreements having 
maturities longer than seven days.\27\ 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.\28\
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    \27\ The Board has delegated the responsibility for determining 
the liquidity of Rule 144A Restricted Securities that the 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) and 
the nature of the marketplace trades (e.g., the time needed to 
dispose of the security, the method of soliciting offers, and the 
mechanics of transfer).
    \28\ 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).
---------------------------------------------------------------------------

    The Fund's investments will be consistent with the Fund's 
investment objectives and will not be used to enhance leverage.
Net Asset Value
    According to the Registration Statement, the Fund will calculate 
net asset value (``NAV'') using the NAV of the Portfolio. To the extent 
that the Fund invests in instruments other than those in the Portfolio, 
the Fund will calculate its NAV based on all assets.

[[Page 31938]]

    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. Expenses and fees, including the 
management fees, will be accrued daily and taken into account for 
purposes of determining NAV. The NAV of the Portfolio will be 
calculated by the Custodian and determined at the close of the regular 
trading session on the New York Stock Exchange (ordinarily 4:00 p.m. 
Eastern time (``E.T.'')) on each day that such exchange is open. Fixed-
income assets will generally be valued as of the announced closing time 
for trading in fixed-income instruments in a particular market or 
exchange. Creation/redemption order cut-off times (as described further 
below) may also be earlier on such days.
    According to the Adviser, the Portfolio's investments will be 
valued at market value or, in the absence of market value with respect 
to any investment, at fair value in accordance with valuation 
procedures adopted by the Board of Trustees of the SSgA Master Trust 
and the Board of Trustees of the SSgA Active ETF Trust \29\ (the 
``Board'') and in accordance with the 1940 Act.
---------------------------------------------------------------------------

    \29\ The Board of Trustees of the SSgA Master Trust and the 
Board of Trustees of the SSgA Active ETF Trust have adopted the same 
valuation procedures.
---------------------------------------------------------------------------

    In calculating the Portfolio's NAV per Share, the Portfolio's 
investments will generally be 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 
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 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.
    Equity securities traded on a national securities exchange, 
including ETPs, common and preferred stock, preferred securities, REITs 
and investment company securities (collectively, ``U.S. Exchange-traded 
Securities''), 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 
common stocks and preferred securities will be valued at the last sale 
or official closing price on the relevant exchange on the valuation 
date. Equity securities traded in the OTC market will be valued at the 
last reported sale price on the valuation date. Restricted securities 
will be valued at bid prices received from independent pricing services 
as of the announced closing time for trading in such instruments. 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 
consistent with the respective primary benchmark. OTC-traded preferred 
securities and OTC-traded convertible securities will be valued based 
on price quotations obtained from a broker-dealer who makes markets in 
such securities or other equivalent indications of value provided by a 
third-party pricing service. Securities of investment companies other 
than ETPs registered under the 1940 Act, including affiliated funds, 
money market funds and closed-end funds, will be valued at NAV.
    Fixed income securities, including money market instruments, 
convertible securities, variable rate demand notes, U.S. government and 
U.S. government agency securities, bonds (including bonds of foreign 
corporations, governments, agencies and supra-national entities), other 
sovereign debt, TIPs, VRDOs, 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 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. Short-term investments that mature in less 
than 60 days when purchased will be valued at cost adjusted for 
amortization of premiums and accretion of discounts.
    Exchange-traded futures contracts, including VIX Futures, will be 
valued at the settlement price determined by the applicable exchange. 
Exchange-traded option contracts, including options on futures, will be 
valued at their most recent sale price. If no such sales are reported, 
these contracts will be valued at their most recent bid price. In 
certain cases, some of the Fund's exchange-traded derivative securities 
may be valued at the mean between the last available bid and ask 
prices.
    OTC-traded derivative securities, including options, swaps, and 
currency-forwards will normally be valued on the basis of quotes 
obtained from a third-party broker-dealer who makes markets in such 
securities or on the basis of quotes obtained from a third-party 
pricing service.
    Any assets or liabilities denominated in currencies other than the 
U.S. dollar will be converted into U.S. dollars at market rates on the 
date of valuation (generally as of 4:00 p.m. Greenwich Mean Time) as 
quoted by one or more sources. Forward foreign currency contracts will 
be valued based upon the difference in the forward exchange rates at 
the dates of entry into the contracts and the forward rates as of the 
current valuation date as quoted by one or more independent 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 (``Committee'') to determine a security's fair value if a 
market price is not readily available, in accordance with the 1940 
Act.\30\ In determining such value the Committee may consider, among 
other things, (i) 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 Portfolio's index provider). In these 
cases, the

[[Page 31939]]

Portfolio's NAV may reflect certain portfolio securities' fair values 
rather than their market prices.
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    \30\ If a security's market price is not readily available or 
does not otherwise accurately reflect the fair value of the 
security, the security will be valued by another method that the 
Board believes will better reflect fair value in accordance with the 
Trust's valuation policies and procedures and in accordance with the 
1940 Act. The Board has delegated the process of valuing securities 
for which market quotations are not readily available or do not 
otherwise accurately reflect the fair value of the security to the 
Committee. The Committee, subject to oversight by the Board, may use 
fair value pricing in a variety of circumstances, including but not 
limited to, situations when trading in a security has been suspended 
or halted. Accordingly, the Portfolio's NAV may reflect certain 
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 received on the sale of the security. The 
Committee has implemented procedures designed to prevent the use and 
dissemination of material, non-public information regarding the 
Portfolio and the Fund.
---------------------------------------------------------------------------

    The pre-established pricing methods and valuation policies and 
procedures outlined above may change, subject to the review and 
approval of the Committee and Board, as necessary.
Creation and Redemption of Shares
    According to the Registration Statement, the Fund will offer and 
issue Shares only in aggregations of a specified number of Shares 
(each, a ``Creation Unit''). Creation Unit sizes will be 50,000 Shares 
per Creation Unit. The Creation Unit size for the Fund may change. The 
Fund will issue and redeem Shares only in Creation Units on a 
continuous basis at the NAV per share next determined after receipt of 
an order on a Business Day. The NAV of the Fund will be determined once 
each Business Day, normally as of the close of trading on the New York 
Stock Exchange (normally, 4:00 p.m., E.T.). An order to purchase or 
redeem Creation Units will be deemed to be received on the Business Day 
on which the order is placed provided that the order is placed in 
proper form prior to the applicable cut-off time (typically required by 
2:00 p.m. E.T.). A ``Business Day'' with respect to the Fund will be, 
generally, any day on which the New York Stock Exchange is open for 
business.
    Creation/redemption order cut-off times may be earlier on any day 
that the Securities Industry and Financial Markets Association 
(``SIFMA'') (or applicable exchange or market on which the Portfolio's 
investments are traded) announces an early closing time.
    The consideration for purchase of a Creation Unit of the Fund will 
generally consist of the in-kind deposit of a designated portfolio of 
securities (the ``Deposit Securities'') per each Creation Unit and a 
specified cash payment (the ``Cash Component''). However, consideration 
may consist of the cash value of the Deposit Securities (``Deposit 
Cash'') and Cash Component.
    Together, the Deposit Securities or Deposit Cash, as applicable, 
and the Cash Component will constitute the ``Fund Deposit,'' which 
represents the minimum initial and subsequent investment amount for a 
Creation Unit of the 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. If the Cash Component is a positive number (i.e., the net 
asset value per Creation Unit exceeds the market value of the Deposit 
Securities or Deposit Cash, as applicable), the Cash Component shall be 
such positive amount. If the Cash Component is a negative number (i.e., 
the net asset value per Creation Unit is less than the market value of 
the Deposit Securities or Deposit Cash, as applicable), the Cash 
Component shall be such negative amount and the creator will be 
entitled to receive cash in an amount equal to the Cash Component. 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, 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 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 the Fund. Such Fund Deposit is 
subject to any applicable adjustments as described in the Registration 
Statement, in order to effect purchases of Creation Units of the 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 the Deposit Cash to replace any Deposit Security, which shall be 
added to the Cash Component, including, without limitation, in 
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 for corporate 
securities and municipal securities; (iii) may not be eligible for 
trading by an authorized participant 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 in accordance with the Exemptive Order.\31\
---------------------------------------------------------------------------

    \31\ To be eligible to be an authorized participant, an entity 
must (a) enter into a participant agreement and (b) be a broker-
dealer or other participant in the clearing process through the 
Continuous Net Settlement System of the NSCC or a DTC participant.
---------------------------------------------------------------------------

    Shares may be redeemed only in Creation Units at their NAV next 
determined after receipt of a redemption request in proper form by the 
Fund through the Transfer Agent and only on a Business Day.
    With respect to the Fund, the Custodian, through the NSCC, will 
make available immediately prior to the opening of business on the 
Exchange (currently 9:30 a.m. E.T.) on each Business Day, the list of 
the names and share quantities of the 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 the 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 in the 
Registration Statement. In the event that the Fund Securities have a 
value greater than the net asset value of the Shares, a compensating 
cash payment equal to the differential is 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.
    The Trust may, in its discretion, exercise its option to redeem 
Shares in cash, and the redeeming Shareholders will be required to 
receive their redemption proceeds in cash, as described in the 
Registration Statement. The investor will receive a cash payment equal 
to the NAV of its Shares based on the NAV of Shares of the Fund next 
determined after the redemption request is received in proper form.
Availability of Information
    The Fund's 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 Fund that may

[[Page 31940]]

be downloaded. The Fund's Web site will include additional quantitative 
information updated on a daily basis, including, for the Fund, (1) 
daily trading volume, the prior business day's reported closing price, 
NAV and mid-point of the bid/ask spread at the time of calculation of 
such NAV (the ``Bid/Ask Price''),\32\ and a calculation of the premium 
and discount of the Bid/Ask Price against the NAV, and (2) data in 
chart format displaying the frequency distribution of discounts and 
premiums of the daily Bid/Ask Price against the NAV, within appropriate 
ranges, for each of the four previous calendar quarters. On each 
business day, before commencement of trading in Shares in the Core 
Trading Session on the Exchange, the Fund will disclose on its Web site 
the Disclosed Portfolio as defined in NYSE Arca Equities Rule 
8.600(c)(2) that will form the basis for the Fund's calculation of NAV 
at the end of the business day.\33\
---------------------------------------------------------------------------

    \32\ The Bid/Ask Price of the Fund will be determined using the 
midpoint of the highest bid and the lowest offer on the Exchange as 
of the time of calculation of the Fund's NAV. The records relating 
to Bid/Ask Prices will be retained by the Fund and its service 
providers.
    \33\ Under accounting procedures followed by the Fund, trades 
made on the prior business day (``T'') will be booked and reflected 
in NAV on the current business day (``T + 1''). Accordingly, the 
Fund will be able to disclose at the beginning of the business day 
the portfolio that will form the basis for the NAV calculation at 
the end of the business day.
---------------------------------------------------------------------------

    The Fund's disclosure of derivative positions in the Disclosed 
Portfolio will include information that market participants can use to 
value these positions intraday. On a daily basis, the Fund will 
disclose on the Fund's Web site the following information regarding 
each portfolio holding, as applicable to the type of holding: Ticker 
symbol, CUSIP number or other identifier, if any; a description of the 
holding (including the type of holding, such as the type of swap); the 
identity of the security, commodity, index, or other asset or 
instrument underlying the holding, if any; for options, the option 
strike price; quantity held (as measured by, for example, par value, 
notional value or number of shares, contracts or units); maturity date, 
if any; coupon rate, if any; effective date, if any; market value of 
the holding' and the percentage weighting of the holding in the Fund's 
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 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 via NSCC. The basket represents one 
Creation Unit of the Fund.
    Investors can also obtain the Trust's Statement of Additional 
Information (``SAI''), the Fund's Shareholder Reports, and 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 and underlying 
U.S. Exchange-traded Securities will be available via the Consolidated 
Tape Association (``CTA'') high-speed line. The intra-day, closing and 
settlement prices of U.S. Exchange-traded Securities, as well as 
exchange-traded futures and foreign exchange-traded common stocks and 
preferred securities, will be readily available from the national 
securities exchanges trading such securities as well as automated 
quotation systems, published or other public sources, or on-line 
information services such as Bloomberg or Reuters. Intra-day and 
closing price information for exchange-traded options and futures will 
be available from the applicable exchange and from major market data 
vendors. In addition, price information for U.S. exchange-traded 
options is available from the Options Price Reporting Authority.
    Quotation information from brokers and dealers or pricing services 
will be available for fixed income securities, including money market 
instruments, convertible securities, variable rate demand notes, U.S. 
government and U.S. government agency securities, bonds (including 
bonds of foreign corporations, governments, agencies and supra-national 
entities), other sovereign debt, TIPs, VRDOs, repurchase agreements and 
reverse repurchase agreements; spot and forward currency transactions; 
and equity securities traded in the OTC market, such as restricted 
securities and securities of investment companies other than ETPs 
registered under the 1940 Act, including affiliated funds, money market 
funds and closed-end funds. Pricing information regarding each asset 
class in which the Fund or Portfolio will invest is generally available 
through nationally recognized data service providers through 
subscription arrangements. Price information regarding OTC-traded 
derivative instruments, including, options, swaps, and spot and 
currency-related derivatives, as well as equity securities traded in 
the OTC market, including Rule 144A Restricted Securities, OTC-traded 
preferred securities and OTC-traded convertible securities, is 
available from major market data vendors. Pricing information regarding 
each asset class in which the Fund or Portfolio will invest will 
generally be available through nationally recognized data service 
providers through subscription arrangements.
    In addition, the Indicative Optimized Portfolio Value (the Fund 
\34\ 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.\35\ The dissemination of the IOPV, together 
with the Disclosed Portfolio, will allow investors to determine the 
value of the underlying portfolio of the Fund and of the Portfolio on a 
daily basis and to provide a close estimate of that value throughout 
the trading day.
---------------------------------------------------------------------------

    \34\ 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 Fund, which will be calculated only once 
a day.
    \35\ Currently, it is the Exchange's understanding that several 
major market data vendors display and/or make widely available 
Portfolio Indicative Values taken from CTA or other data feeds.
---------------------------------------------------------------------------

    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 Fund 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 Fund.\36\ 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

[[Page 31941]]

view of the Exchange, make trading in the Shares inadvisable. These may 
include: (1) The extent to which trading is not occurring in the 
securities and/or the financial instruments comprising the Disclosed 
Portfolio of the Fund; or (2) whether other unusual conditions or 
circumstances detrimental to the maintenance of a fair and orderly 
market are present. Trading in the Shares will be subject to NYSE Arca 
Equities Rule 8.600(d)(2)(D), which sets forth circumstances under 
which Shares of the Fund may be halted.
---------------------------------------------------------------------------

    \36\ 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.
    The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Equities Rule 8.600. The Exchange represents 
that, for initial and/or continued listing, the Fund will be in 
compliance with Rule 10A-3 \37\ under the Act, as provided by NYSE Arca 
Equities Rule 5.3. A minimum of 100,000 Shares for the Fund will be 
outstanding at the commencement of trading on the Exchange. The 
Exchange will obtain a representation from the issuer of the Shares 
that the 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.
---------------------------------------------------------------------------

    \37\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    The Shares will conform to the initial and continued listing 
criteria under NYSE Arca Equities Rule 8.600. The Exchange represents 
that, for initial and/or continued listing, the Fund will be in 
compliance with Rule 10A-3 \38\ under the Exchange Act, as provided by 
NYSE Arca Equities Rule 5.3. A minimum of 100,000 Shares for the Fund 
will be outstanding at the commencement of trading on the Exchange. The 
Exchange will obtain a representation from the issuer of the Shares 
that the NAV per Share of the Fund will be calculated daily and that 
the NAV and the Disclosed Portfolio of the Fund will be made available 
to all market participants at the same time.
---------------------------------------------------------------------------

    \38\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

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.\39\ 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 federal securities laws applicable to trading on 
the Exchange.
---------------------------------------------------------------------------

    \39\ 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 and underlying U.S. Exchange-traded 
Securities, exchange-traded options, futures, and foreign exchange-
traded common stocks and preferred securities with other markets and 
other entities that are members of ISG, and FINRA, on behalf of the 
Exchange, may obtain trading information regarding trading in the 
Shares and underlying U.S. Exchange-traded Securities, exchange-traded 
options, futures, and common stocks and preferred securities of foreign 
corporations from such markets and other entities. In addition, the 
Exchange may obtain information regarding trading in the Shares and 
U.S. Exchange-traded Securities, exchange-traded options, futures, and 
common stocks and preferred securities of foreign corporations from 
markets and other entities that are members of ISG or with which the 
Exchange has in place a comprehensive surveillance sharing 
agreement.\40\ In addition, 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 (``TRACE''). Not more than 10% of the net assets of 
the Fund will consist of equity securities that trade in markets that 
are not members of the ISG or are not parties to a comprehensive 
surveillance sharing agreement with the Exchange.
---------------------------------------------------------------------------

    \40\ 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.
---------------------------------------------------------------------------

    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 Unit 
aggregations (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 IOPV will not be calculated or publicly 
disseminated; (4) how information regarding the IOPV and the Disclosed 
Portfolio 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 Fund is subject 
to various fees and expenses described in the Registration Statement. 
The Bulletin will discuss any exemptive, no-action, and interpretive 
relief granted by the Commission from any rules under the Exchange Act. 
The Bulletin will also disclose that the NAV for the Shares will be 
calculated after 4:00 p.m. E.T. each trading day.
2. Statutory Basis
    The basis under the Exchange Act for this proposed rule change is 
the requirement under Section 6(b)(5) \41\ that an exchange have rules 
that are

[[Page 31942]]

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.
---------------------------------------------------------------------------

    \41\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change is designed to 
prevent fraudulent and manipulative acts and practices in that the 
Shares will be listed and traded on the Exchange pursuant to the 
initial and continued listing criteria in NYSE Arca Equities Rule 
8.600. The Exchange has in place surveillance procedures that are 
adequate to properly monitor trading in the Shares in all trading 
sessions and to deter and detect violations of Exchange rules and 
federal securities laws applicable to trading on the Exchange. 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 Fund's portfolio.
    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 Portfolio and the Fund. 
While the Fund may invest in inverse ETFs, the Fund will not invest in 
leveraged or inverse leveraged ETFs (e.g., 2X or 3X). The Portfolio may 
invest up to 20% of its assets in derivatives, including VIX Futures 
and equity options. Not more than 10% of the net assets of the Fund 
will consist of equity securities that trade in markets that are not 
members of the ISG or are not parties to a comprehensive surveillance 
sharing agreement with 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 assets 
deemed illiquid by the Adviser. FINRA, on behalf of the Exchange, will 
communicate as needed regarding trading in the Shares and underlying 
U.S. Exchange-traded Securities, exchange-traded options, futures, and 
common stocks and preferred securities of foreign corporations with 
other markets and other entities that are members of ISG, and FINRA, on 
behalf of the Exchange, may obtain trading information regarding 
trading in the Shares and underlying U.S. Exchange-traded Securities, 
exchange-traded options, futures, and foreign exchange-traded common 
stocks and preferred securities from such markets and other entities. 
In addition, the Exchange may obtain information regarding trading in 
the Shares and U.S. Exchange-traded Securities, exchange-traded 
options, futures, and common stocks and preferred securities of foreign 
corporations 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, 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 TRACE.
    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 Fund and the Shares, 
thereby promoting market transparency. Quotation and last sale 
information for the Shares and underlying U.S. Exchange-traded 
Securities will be available via the Consolidated Tape Association 
(``CTA'') high-speed line. The intra-day, closing and settlement prices 
of U.S. Exchange-traded Securities, as well as exchange-traded futures 
and foreign exchange-traded common stocks and preferred securities, 
will be readily available from the national securities exchanges 
trading such securities as well as automated quotation systems, 
published or other public sources, or on-line information services such 
as Bloomberg or Reuters. Intra-day and closing price information for 
exchange-traded options and futures will be available from the 
applicable exchange and from major market data vendors. In addition, 
price information for U.S. exchange-traded options is available from 
the Options Price Reporting Authority.
    Quotation information from brokers and dealers or pricing services 
will be available for fixed income securities, including money market 
instruments, convertible securities, variable rate demand notes, U.S. 
government and U.S. government agency securities, bonds (including 
bonds of foreign corporations, governments, agencies and supra-national 
entities), other sovereign debt, TIPs, VRDOs, repurchase agreements and 
reverse repurchase agreements; spot and forward currency transactions; 
and equity securities traded in the OTC market, such as restricted 
securities and securities of investment companies other than ETPs 
registered under the 1940 Act, including affiliated funds, money market 
funds and closed-end funds. Pricing information regarding each asset 
class in which the Fund or Portfolio will invest is generally available 
through nationally recognized data service providers through 
subscription arrangements. Price information regarding OTC-traded 
derivative instruments, including, options, swaps, and spot and 
currency-related derivatives, as well as equity securities traded in 
the OTC market, including Rule 144A Restricted Securities, OTC-traded 
preferred securities and OTC-traded convertible securities, is 
available from major market data vendors. Pricing information regarding 
each asset class in which the Fund or Portfolio will invest will 
generally be available through nationally recognized data service 
providers through subscription arrangements.
    The Fund's portfolio holdings will be disclosed on its Web site 
daily after the close of trading on the Exchange and prior to the 
opening of trading on the Exchange the following day. Moreover, the 
IOPV will be widely disseminated at least every 15 seconds during the 
Exchange's Core Trading Session by one or more major market data 
vendors. 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. Information 
regarding market price and trading volume of the Shares will be 
continually available on a real-time basis throughout the day on 
brokers' computer screens and other electronic services, and quotation 
and last sale information will be available via the CTA high-speed 
line. The Web site for the Fund will include a form of the prospectus 
for the Fund and additional data relating to NAV and other applicable 
quantitative information. Moreover, prior to the commencement of 
trading, the Exchange will inform its Equity Trading Permit Holders in 
an Information Bulletin of the special characteristics and risks 
associated with trading the Shares. Trading in Shares of the Fund will 
be halted if the circuit breaker parameters in NYSE Arca Equities Rule 
7.12 have been reached or because of market conditions or for reasons 
that, in the view of the Exchange, make trading in the Shares 
inadvisable, and trading in the Shares will be subject to NYSE Arca 
Equities Rule 8.600(d)(2)(D), which sets forth circumstances under 
which Shares of the Fund may be halted. In addition, as noted above, 
investors will have

[[Page 31943]]

ready access to information regarding the Fund's 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 
an additional type of actively-managed exchange-traded product that 
will enhance competition among market participants, to the benefit of 
investors and the marketplace. As noted above, the Exchange has in 
place surveillance procedures relating to trading in the Shares and may 
obtain information via ISG from other exchanges that are members of ISG 
or with which the Exchange has entered into a comprehensive 
surveillance sharing agreement. In addition, as noted above, investors 
will have ready access to information regarding the Fund's holdings, 
the 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 purpose of the Exchange Act. The Exchange notes 
that the proposed rule change will facilitate the listing and trading 
of an actively-managed exchange-traded product that will principally 
hold ETPs that are listed and traded on U.S. registered exchanges and 
that 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-2015-44 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEArca-2015-44. 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 will also 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-2015-44 and should 
be submitted on or before June 25, 2015.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\42\
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    \42\ 17 CFR 200.30-3(a)(12).
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Brent J. Fields,
Secretary.
[FR Doc. 2015-13615 Filed 6-3-15; 8:45 am]
 BILLING CODE 8011-01-P


