
[Federal Register Volume 80, Number 248 (Monday, December 28, 2015)]
[Notices]
[Pages 80859-80865]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-32528]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-76719; File No. SR-NYSEArca-2015-73]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Amendment Nos. 3, 4, 5, and 6 and Order Granting Accelerated 
Approval of a Proposed Rule Change, as Modified by Amendment Nos. 1, 3, 
4, 5 and 6, To List and Trade of Shares of the Guggenheim Total Return 
Bond ETF Under NYSE Arca Equities Rule 8.600

December 21, 2015.

I. Introduction

    On September 1, 2015, 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'' or 
``Exchange Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule 
change to list and trade shares (``Shares'') of the Guggenheim Total 
Return Bond ETF (``Fund'') under NYSE Arca Equities Rule 8.600. On 
September 15, 2015, the Exchange filed Amendment No. 1 to the proposed 
rule change.\3\ The Commission published notice of the proposed rule 
change, as modified by Amendment No. 1 thereto, in the Federal Register 
on September 22, 2015.\4\ On September 22, 2015, the Exchange submitted 
Amendment No. 3 to the proposed rule change.\5\ On November 5, 2015, 
pursuant to Section 19(b)(2) of the Act,\6\ the Commission designated a 
longer period within which to either approve the proposed rule change, 
disapprove the proposed rule change, or institute proceedings to 
determine whether to disapprove the proposed rule change.\7\ On 
November 23, 2015, December 14, 2015, and December 16, 2015, the 
Exchange submitted Amendment Nos. 4, 5, and 6, respectively, to the 
proposed rule change.\8\ The Commission is publishing this notice to 
solicit comment on Amendment Nos. 3, 4, 5 and 6 to the proposed rule 
change from interested persons and is approving the proposed rule 
change, as modified by Amendment Nos. 1, 3, 4, 5 and 6, on an 
accelerated basis.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Amendment No. 1 to the proposed rule change replaced and 
superseded the original filing in its entirety.
    \4\ See Securities Exchange Act Release No. 75930 (September 16, 
2015), 80 FR 57251 (``Notice'').
    \5\ On September 21, 2015, the Exchange submitted and withdrew 
Amendment No. 2 to the proposal. In Amendment No. 3, the Exchange 
clarified certain representations regarding the availability of 
quotation, last sale, and pricing information for the Shares and the 
instruments in which the Fund may invest. Amendment No. 3 is 
available at http://www.sec.gov/comments/sr-nysearca-2015-73/nysearca201573-2.pdf.
    \6\ 15 U.S.C. 78s(b)(2).
    \7\ See Securities Exchange Act Release No. 76362, 80 FR 70044 
(November 12, 2015). The Commission designated December 21, 2015 as 
the date by which it should approve, disapprove, or institute 
proceedings to determine whether to disapprove the proposed rule 
change.
    \8\ Amendment No. 4 replaced and superseded the original filing, 
as modified by Amendment Nos. 1 and 3, in its entirety. Amendment 
No. 4 is available at http://www.sec.gov/comments/sr-nysearca-2015-73/nysearca201573-3.pdf. Amendment No. 5 replaced and superseded the 
original filing, as modified by Amendment Nos. 1, 3 and 4, in its 
entirety. Amendment No. 5 is available at http://www.sec.gov/comments/sr-nysearca-2015-73/nysearca201573-4.pdf. Amendment No. 6 
replaced and superseded the original filing, as modified by 
Amendment Nos. 1, 3, 4 and 5, in its entirety.
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II. The Exchange's Description of the Proposal \9\
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    \9\ Additional information regarding the Fund, the Trust (as 
defined herein), 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 the 
Notice and the Registration Statement, as applicable. See Notice, 
supra note 4, and Registration Statement, infra note 11.
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    The Exchange proposes to list and trade the Shares under NYSE Arca 
Equities Rule 8.600, which governs the listing and trading of Managed 
Fund Shares on the Exchange.\10\ The Shares will be offered by the 
Claymore Exchange-Traded Fund Trust 2 (``Trust''),\11\ a statutory 
trust organized

[[Page 80860]]

under the laws of the State of Delaware and registered with the 
Commission as an open-end management investment company. The investment 
adviser for the Fund is Guggenheim Partners Investment Management, LLC 
(``Adviser'').\12\ The Bank of New York Mellon is the custodian and 
transfer agent for the Fund. Guggenheim Funds Distributors, LLC is the 
distributor for the Fund.
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    \10\ The Commission previously approved a proposed rule change 
relating to listing and trading of shares of the Guggenheim Enhanced 
Total Return ETF under NYSE Arca Equities Rule 8.600. See Securities 
Exchange Act Release Nos. 68488 (December 20, 2012), 77 FR 76326 
(December 27, 2012) (SR-NYSEArca-2012-142) (``Prior Notice''); and 
68863 (February 7, 2013), 78 FR 10222 (February 13, 2013) (SR-
NYSEArca-2012-142) (``Prior Order'' and, together with the Prior 
Notice, ``Prior Release''). The Exchange represents that shares of 
the Guggenheim Enhanced Total Return ETF have not commenced listing 
and trading on the Exchange, that the Fund would replace the 
Guggenheim Enhanced Total Return ETF as approved in the Prior 
Release, and that the Notice supersedes the Prior Release in its 
entirety. The Exchange represents that prior to commencement of 
trading of Shares of the Fund, the Trust will file an amendment to 
its Registration Statement to change the name of the Guggenheim 
Enhanced Total Return ETF to the name of the Fund.
    \11\ The Exchange states that the Trust is registered under the 
1940 Act. According to the Exchange, on November 25, 2014, the Trust 
filed with the Commission an amendment to its registration statement 
on Form N-1A under the Securities Act of 1933 (15 U.S.C. 77a) 
(``Securities Act'') and the 1940 Act relating to the Fund (File 
Nos. 333-135105 and 811-21910) (``Registration Statement''). The 
Exchange states that the Commission has issued an order granting 
certain exemptive relief to the Trust under the 1940 Act. See 
Investment Company Act Release No. 29271 (May 18, 2010) (File No. 
812-13534) (``Exemptive Order'').
    \12\ The Exchange states that the Adviser is affiliated with a 
broker-dealer and has represented that it has implemented a fire 
wall with respect to its broker-dealer affiliate regarding access to 
information concerning the composition of and/or changes to the 
portfolio. In the event (a) the Adviser or any sub-adviser becomes 
newly affiliated with a broker-dealer, or (b) any new adviser or 
sub-adviser becomes affiliated with a broker-dealer, such adviser or 
sub-adviser will implement a fire wall with respect to such broker-
dealer regarding access to information concerning the composition of 
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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A. The Fund's Principal Investments

    The Exchange states that the Fund's investment objective is to seek 
maximum total return, comprised of income and capital appreciation. 
According to the Exchange, the Fund will normally \13\ invest at least 
80% of its assets in ``Fixed Income Instruments'' (as defined below) of 
varying maturities and of any credit quality, which may be represented 
by certain derivative instruments as discussed below,\14\ and exchange-
traded funds (``ETFs'') \15\ and exchange-traded and over-the-counter 
(``OTC'') closed-end funds (``CEFs'') (which may include ETFs and CEFs 
affiliated with the Fund) that invest substantially all of their assets 
in Fixed Income Instruments (the ``80% Policy''). The Fund has no 
target duration for its investment portfolio.
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    \13\ The term ``normally'' includes, but is not limited to, the 
absence of extreme volatility or trading halts in the securities 
markets or the financial markets generally; circumstances under 
which the Fund's investments are made for temporary defensive 
purposes; operational issues causing dissemination of inaccurate 
market information; or force majeure type events such as systems 
failure, natural or man-made disaster, act of God, armed conflict, 
act of terrorism, riot or labor disruption or any similar 
intervening circumstance.
    \14\ See Section II.D, infra. The Exchange states that the Fund 
will invest in the following derivative instruments on Fixed-Income 
Securities: Foreign exchange forward contracts; exchange-traded 
futures on securities, indices, currencies and other investments; 
exchange-traded and OTC options; exchange-traded and OTC options on 
futures contracts; exchange-traded and OTC interest rate swaps, 
cross-currency swaps, total return swaps, inflation swaps, and 
credit default swaps; and options on such swaps.
    \15\ For purposes of this filing, ETFs consist of Investment 
Company Units (as described in NYSE Arca Equities Rule 5.2(j)(3)), 
Portfolio Depositary Receipts (as described in NYSE Arca Equities 
Rule 8.100); and Managed Fund Shares (as described in NYSE Arca 
Equities Rule 8.600). All ETFs will be listed and traded in the U.S. 
on a national securities exchange. While the Fund may invest in 
inverse ETFs, the Fund will not invest in leveraged (e.g., 2X, -2X, 
3X or -3X) ETFs.
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    The Fixed Income Instruments \16\ in which the Fund will invest, as 
described further below, are the following: Corporate debt securities 
of U.S and non-U.S. issuers, including corporate bonds; \17\ inflation-
indexed bonds issued both by governments and corporations; \18\ 
securities issued by the U.S. government or its agencies, 
instrumentalities, or sponsored corporations (including those not 
backed by the full faith and credit of the U.S. government); debt 
securities issued by states or local governments and their agencies, 
authorities, and other government-sponsored enterprises; obligations of 
non-U.S. governments and their subdivisions, agencies, and government-
sponsored enterprises; obligations of international agencies or 
supranational entities; cash equivalents;`` \19\ agency and non-agency 
mortgage-backed securities (``MBS'') and asset-backed securities 
(``ABS''); \20\ U.S. agency mortgage pass-through securities; \21\ 
repurchase agreements; convertible securities; \22\ preferred 
securities; \23\ bank capital; \24\ commercial instruments; \25\ 
variable or floating rate instruments and variable rate demand 
instruments; \26\ zero-coupon and pay-in-

[[Page 80861]]

kind securities; \27\ bank instruments, including certificates of 
deposit (``CDs''), time deposits, and bankers' acceptances from U.S. 
banks; \28\ and participations in and assignments of bank loans or 
corporate loans, which loans include senior loans, syndicated bank 
loans, junior loans, bridge loans,\29\ unfunded commitments,\30\ 
revolving credit facilities (``revolvers''),\31\ and participation 
interests.\32\
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    \16\ Fixed Income Instruments may be of varying maturities and 
of any credit quality rating.
    \17\ The Adviser expects that normally the Fund generally will 
seek to invest at least 75% of its corporate debt securities assets 
in issuances that have at least $100,000,000 par amount outstanding 
in developed countries or at least $200,000,000 par amount 
outstanding in emerging market countries.
    \18\ Inflation-indexed bonds (other than municipal inflation-
indexed bonds and certain corporate inflation-indexed bonds) are 
fixed income securities whose principal value is periodically 
adjusted according to the rate of inflation (e.g., Treasury 
Inflation Protected Securities (``TIPS'')). Municipal inflation-
indexed securities are municipal bonds that pay coupons based on a 
fixed rate plus the Consumer Price Index for All Urban Consumers. 
With regard to municipal inflation-indexed bonds and certain 
corporate inflation-indexed bonds, the inflation adjustment is 
reflected in the semi-annual coupon payment.
    \19\ Cash equivalents in which the Fund may invest include U.S. 
Treasury Bills, investment grade commercial paper, cash, and Short 
Term Investment Funds (``STIFs''). STIFs are a type of fund that 
invests in short-term investments of high quality and low risk.
    \20\ The MBS in which the Fund may invest may also include 
residential mortgage-backed securities (``RMBS''), collateralized 
mortgage obligations (``CMOs''), and commercial mortgage-backed 
securities (``CMBS''). The ABS in which the Fund may invest includes 
collateralized debt obligations (``CDOs''). CDOs include 
collateralized bond obligations (``CBOs''), collateralized loan 
obligations (``CLOs''), and other similarly structured securities. A 
CBO is a trust which is backed by a diversified pool of high risk, 
below investment grade fixed income securities. A CLO is a trust 
typically collateralized by a pool of loans, which may include 
domestic and foreign senior secured loans, senior unsecured loans, 
and subordinate corporate loans, including loans that may be rated 
below investment grade or equivalent unrated loans. Specifically, 
the Exchange notes that such ABS are bonds backed by pools of loans 
or other receivables and are securitized by a wide variety of assets 
that are generally broken into three categories: Consumer, 
commercial, and corporate. The consumer category includes credit 
card, auto loan, student loan, and timeshare loan ABS. The 
commercial category includes trade receivables, equipment leases, 
oil receivables, film receivables, rental cars, aircraft 
securitizations, ship and container securitizations, whole business 
securitizations, and diversified payment right securitizations. 
Corporate ABS includes cash flow collateralization loan obligations, 
collateralized by both middle market and broadly syndicated bank 
loans. An ABS is issued through a special purpose vehicle that is 
bankruptcy remote from the issuer of the collateral. The credit 
quality of an ABS tranche depends on the performance of the 
underlying assets and the structure. To protect ABS investors from 
the possibility that some borrowers could miss payments or even 
default on their loans, ABS include various forms of credit 
enhancement.
    \21\ The Fund will seek to obtain exposure to U.S. agency 
mortgage pass-through securities primarily through the use of ``to-
be-announced'' or ``TBA transactions.'' ``TBA'' refers to a commonly 
used mechanism for the forward settlement of U.S. agency mortgage 
pass-through securities, and not to a separate type of mortgage-
backed security. Most transactions in mortgage pass-through 
securities occur through the use of TBA transactions. TBA 
transactions generally are conducted in accordance with widely-
accepted guidelines which establish commonly observed terms and 
conditions for execution, settlement, and delivery.
    \22\ Convertible securities include bonds, debentures, notes, 
and other securities that may be converted into a prescribed amount 
of common stock or other equity securities at a specified price and 
time.
    \23\ The preferred securities in which the Fund may invest 
include preferred stock, contingent capital securities, contingent 
convertible securities, capital securities, and hybrid securities of 
debt and preferred stock. The Fund may invest in preferred 
securities traded on an exchange or OTC. 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.
    \24\ There are two common types of bank capital: Tier I and Tier 
II. Bank capital is generally, but not always, of investment grade 
quality. Tier I securities are typically preferred stock or 
contingent capital securities. Tier I securities are often perpetual 
or long-dated (with no maturity date). Tier II securities are 
typically subordinated debt securities.
    \25\ Commercial instruments include commercial paper, master 
notes, asset-backed commercial paper, and other short-term corporate 
instruments. Commercial paper normally represents short-term 
unsecured promissory notes issued in bearer form by banks or bank 
holding companies, corporations, finance companies and other 
issuers. Commercial paper may be traded in the secondary market 
after its issuance. Master notes are demand notes that permit the 
investment of fluctuating amounts of money at varying rates of 
interest pursuant to arrangements with issuers who meet the quality 
criteria of the Fund. Master notes are generally illiquid and 
therefore subject to the Fund's percentage limitations for 
investments in illiquid securities. Asset-backed commercial paper is 
issued by a special purpose entity that is organized to issue the 
commercial paper and to purchase trade receivables or other 
financial assets.
    \26\ Variable or floating rate instruments and variable rate 
demand instruments, including variable amount master demand notes, 
will normally involve industrial development or revenue bonds that 
provide that the rate of interest is set as a specific percentage of 
a designated base rate (such as the prime rate) at a major 
commercial bank. In addition, the interest rate on these securities 
may be reset daily, weekly or on some other reset period and may 
have a floor or ceiling on interest rate changes. The Adviser will 
monitor the pricing, quality and liquidity of the variable or 
floating rate securities held by the Fund.
    \27\ Zero-coupon and pay-in-kind securities are debt securities 
that do not make regular cash interest payments. Zero-coupon 
securities are sold at a deep discount to their face value. Pay-in-
kind securities pay interest through the issuance of additional 
securities.
    \28\ A bankers' acceptance is a bill of exchange or time draft 
drawn on and accepted by a commercial bank. A CD is a negotiable 
interest-bearing instrument with a specific maturity.
    \29\ Bridge loans are short-term loan arrangements (e.g., 
maturities that are generally less than one year) typically made by 
a borrower following the failure of the borrower to secure other 
intermediate-term or long-term permanent financing. A bridge loan 
remains outstanding until more permanent financing, often in the 
form of high yield notes, can be obtained. Most bridge loans have a 
step-up provision under which the interest rate increases 
incrementally the longer the loan remains outstanding so as to 
incentivize the borrower to refinance as quickly as possible. In 
exchange for entering into a bridge loan, the Fund typically will 
receive a commitment fee and interest payable under the bridge loan 
and may also have other expenses reimbursed by the borrower. Bridge 
loans may be subordinate to other debt and generally are unsecured.
    \30\ Unfunded commitments are contractual obligations pursuant 
to which the Fund agrees in writing to make one or more loans up to 
a specified amount at one or more future dates. The underlying loan 
documentation sets out the terms and conditions of the lender's 
obligation to make the loans as well as the economic terms of such 
loans. The portion of the amount committed by a lender that the 
borrower has not drawn down is referred to as ``unfunded.'' Loan 
commitments may be traded in the secondary market through dealer 
desks at large commercial and investment banks although these 
markets are generally not considered liquid.
    \31\ Revolving credit facilities (``revolvers'') are borrowing 
arrangements in which the lender agrees to make loans up to a 
maximum amount upon demand by the borrower during a specified term. 
As the borrower repays the loan, an amount equal to the repayment 
may be borrowed again during the term of the revolver. Revolvers 
usually provide for floating or variable rates of interest.
    \32\ All or a significant portion of the loans in which the Fund 
will invest may be below investment grade quality. The Fund normally 
will invest at least 75% of its bank loan or corporate loan assets, 
which includes senior loans, syndicated bank loans, junior loans, 
bridge loans, unfunded commitments, revolvers and participation 
interests, in issuances that have at least $100 million par amount 
outstanding.
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    With respect to Fixed Income Instrument investments, the Fund may 
invest in restricted securities (Rule 144A securities), which are 
subject to legal restrictions on their sale. In addition, with respect 
to Fixed Income Instrument investments, the Fund may, without 
limitation, seek to obtain market exposure to the securities in which 
it primarily invests by entering into a series of purchase and sale 
contracts or by using other investment techniques (such as buy backs or 
dollar rolls).
    The Fund may also use leverage to the extent permitted under the 
1940 Act by entering into reverse repurchase agreements and borrowing 
transactions (principally lines of credit) for investment purposes. The 
Fund's exposure to reverse repurchase agreements will be covered by 
securities having a value equal to or greater than such commitments. 
The Exchange represents that, under the 1940 Act, reverse repurchase 
agreements are considered borrowings. Although there is no limit on the 
percentage of Fund assets that can be used in connection with reverse 
repurchase agreements, the Portfolio does not expect to engage, under 
normal circumstances, in reverse repurchase agreements with respect to 
more than 33 1/3% of its assets.

B. The Fund's Other Investments

    While the Fund normally will invest at least 80% of its assets in 
the securities and financial instruments described above, the Fund may 
invest its remaining assets in exchange-traded and OTC hybrid 
instruments, which combine a traditional stock, bond, or commodity with 
an option or forward contract. Generally, the principal amount, amount 
payable upon maturity or redemption, or interest rate of a hybrid is 
tied (positively or negatively) to the price of some commodity, 
currency or securities index or another interest rate or some other 
economic factor (``underlying benchmark'').\33\ The Fund is also 
permitted to invest in structured notes, which are debt obligations 
that also contain an embedded derivative component with characteristics 
that adjust the obligation's risk/return profile. Generally, the 
performance of a structured note will track that of the underlying debt 
obligation and the derivative embedded within it. Further, the Fund may 
invest in credit-linked notes, which are a type of structured note,\34\ 
and risk-linked securities (``RLS''), which are a form of derivative 
issued by insurance companies and insurance-related special purpose 
vehicles that apply securitization techniques to catastrophic property 
and casualty damages.\35\ The Fund may invest a portion of its assets 
in high-quality money market instruments and U.S. and foreign common 
stocks, both exchange-listed and OTC, and may gain exposure to 
commodities through the use of investments in exchange-traded products 
(``ETPs'') \36\ and exchange-traded notes (``ETNs'').\37\ Finally, the 
Fund may invest in the securities of exchange-traded and OTC real 
estate investment trusts (``REITs'').
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    \33\ According to the Exchange, certain hybrid instruments may 
provide exposure to the commodities markets. These are derivative 
securities with one or more commodity-linked components that have 
payment features similar to commodity futures contracts, commodity 
options, or similar instruments. Commodity-linked hybrid instruments 
may be either equity or debt securities, and are considered hybrid 
instruments because they have both security and commodity-like 
characteristics. A portion of the value of these instruments may be 
derived from the value of a commodity, futures contract, index or 
other economic variable. The Fund would only invest in commodity-
linked hybrid instruments that qualify, under applicable rules of 
the Commodity Futures Trading Commission, for an exemption from the 
provisions of the Commodity Exchange Act (7 U.S.C. 1).
    \34\ The difference between a credit default swap and a credit-
linked note is that the seller of a credit-linked note receives the 
principal payment from the buyer at the time the contract is 
originated. Through the purchase of a credit-linked note, the buyer 
assumes the risk of the reference asset and funds this exposure 
through the purchase of the note. The buyer takes on the exposure to 
the seller to the full amount of the funding it has provided. The 
seller has hedged its risk on the reference asset without acquiring 
any additional credit exposure. The Fund has the right to receive 
periodic interest payments from the issuer of the credit-linked note 
at an agreed-upon interest rate and a return of principal at the 
maturity date.
    \35\ RLS are typically debt obligations for which the return of 
principal and the payment of interest are contingent on the non-
occurrence of a pre-defined ``trigger event.'' Depending on the 
specific terms and structure of the RLS, this trigger could be the 
result of a hurricane, earthquake or some other catastrophic event. 
Insurance companies securitize this risk to transfer to the capital 
markets the truly catastrophic part of the risk exposure. A typical 
RLS provides for income and return of capital similar to other fixed 
income investments, but would involve full or partial default if 
losses resulting from a certain catastrophe exceeded a predetermined 
amount.
    \36\ Such ETPs include Trust Issued Receipts (as described in 
NYSE Arca Equities Rule 8.200); Commodity-Based Trust Shares (as 
described in NYSE Arca Equities Rule 8.201); Currency Trust Shares 
(as described in NYSE Arca Equities Rule 8.202); Commodity Index 
Trust Shares (as described in NYSE Arca Equities Rule 8.203); and 
Trust Units (as described in NYSE Arca Equities Rule 8.500).
    \37\ ETNs include Index-Linked Securities (as described in NYSE 
Arca Equities Rule 5.2(j)(6)).
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C. The Fund's Investment Restrictions

    The Fund may invest up to 20% of its total assets in the aggregate 
in MBS and ABS that are privately issued, non-agency, and non-
government sponsored entity (``Private MBS/ABS''), and in

[[Page 80862]]

asset-backed commercial paper. Such holdings would be subject to the 
respective limitations on the Fund's investments in illiquid assets and 
high yield securities. The liquidity of a security, especially in the 
case of Private MBS/ABS, will be a substantial factor in the Fund's 
security selection process. The Fund may invest in defaulted or 
distressed Private MBS/ABS.
    The Fund may invest up to 20% of its total assets in the aggregate 
in participations in and assignments of bank loans or corporate loans, 
which loans include syndicated bank loans, junior loans, bridge loans, 
unfunded commitments, revolvers and participation interests (but 
specifically do not include senior loans), in structured notes, in 
credit-linked notes, in risk-linked securities, in OTC REITs, and in 
OTC hybrid instruments. Such holdings would be subject to the 
respective limitations on the Fund's investments in illiquid assets and 
high yield securities. The liquidity of such securities will be a 
substantial factor in the Fund's security selection process.
    The Fund may invest in debt securities and instruments that are 
economically tied to emerging market countries and may invest without 
limitation in securities denominated in foreign currencies and in U.S. 
dollar-denominated securities of foreign issuers.\38\ Further, the Fund 
may invest up to 33\1/3\% of its total assets in high yield debt 
securities (``junk bonds''), which are debt securities that are rated 
below investment grade by nationally recognized statistical rating 
organizations, or are unrated securities that the Adviser believes are 
of comparable below investment grade quality.
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    \38\ See supra note 17. Generally, the Fund considers an 
instrument to be economically tied to an emerging market country 
through consideration of some or all of the following factors: (i) 
Whether the issuer is the government of the emerging market country 
(or any political subdivision, agency, authority or instrumentality 
of such government), or is organized under the laws of the emerging 
market country; (ii) amount of the issuer's revenues that are 
attributable to the emerging market country; (iii) the location of 
the issuer's management; (iv) if the security is secured or 
collateralized, the country in which the security or collateral is 
located; and/or (v) the currency in which the instrument is 
denominated or currency fluctuations to which the issuer is exposed.
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    The Fund will be considered non-diversified and can invest a 
greater portion of assets in securities of individual issuers than a 
diversified fund. However, the Fund may not invest more than 25% of the 
value of its net assets in securities of issuers in any one industry or 
group of industries. This restriction does not apply to obligations 
issued or guaranteed by the U.S. Government, its agencies or 
instrumentalities.
    The Fund's investments, including investments in derivative 
instruments, are subject to all of the restrictions under the 1940 Act, 
including restrictions with respect to illiquid assets. 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, Private MBS/ABS, master notes, loans and loan commitments 
deemed illiquid by the Adviser,\39\ consistent with Commission 
guidance. 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.
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    \39\ In reaching liquidity decisions with respect to Rule 144A 
securities, the Adviser may consider the following factors: The 
frequency of trades and quotes for the security; the number of 
dealers willing 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 Fund's investments will be consistent with the Fund's 
investment objective and will not be used to enhance leverage. That is, 
while the Fund will be permitted to borrow as permitted under the 1940 
Act, the Fund's investments will not be used to seek performance that 
is the multiple or inverse multiple (i.e., 2Xs and 3Xs) of the Fund's 
primary broad-based securities benchmark index (as defined in Form N-
1A).\40\
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    \40\ The Fund's broad-based securities benchmark index will be 
identified in a future amendment to the Registration Statement 
following the Fund's first full calendar year of performance.
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D. The Fund's Use of Derivatives

    According to the Exchange, the Fund proposes to seek certain 
exposures through derivative transactions. The Fund may invest in the 
following derivative instruments: Foreign exchange forward contracts; 
exchange-traded futures on securities, indices, currencies and other 
investments; exchange-traded and OTC options; exchange-traded and OTC 
options on futures contracts; exchange-traded and OTC interest rate 
swaps, cross-currency swaps, total return swaps, inflation swaps and 
credit default swaps; and options on such swaps (``swaptions'').\41\ 
The Fund may, but is not required to, use derivative instruments for 
risk management purposes or as part of its investment strategies.\42\ 
The Fund may also engage in derivative transactions for speculative 
purposes to enhance total return, to seek to hedge against fluctuations 
in securities prices, interest rates or currency rates, to change the 
effective duration of its portfolio, to manage certain investment risks 
and/or as a substitute for the purchase or sale of securities or 
currencies.
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    \41\ Options on swaps are traded OTC. In the future, in the 
event that there are exchange-traded options on swaps, the Fund may 
invest in these instruments.
    \42\ The Fund will seek, where possible, to use counterparties 
whose financial status is such that the risk of default is reduced; 
however, the risk of losses resulting from default is still 
possible. The Adviser will monitor the financial standing of 
counterparties on an ongoing basis. This monitoring may include 
information provided by credit agencies, as well as the Adviser's 
credit analysts and other team members who evaluate approved 
counterparties using various methods of analysis, including but not 
limited to earnings updates, the counterparty's reputation, the 
Adviser's past experience with the broker-dealer, market levels for 
the counterparty's debt and equity, the counterparty's liquidity and 
its share of market participation.
---------------------------------------------------------------------------

    The Exchange states that investments in derivative instruments will 
be made in accordance with the 1940 Act and consistent with the Fund's 
investment objective and policies. To limit the potential risk 
associated with such transactions, the Fund will segregate or 
``earmark'' assets determined to be liquid by the Adviser in accordance 
with procedures established by the Trust's Board of Trustees 
(``Board'') and in accordance with the 1940 Act (or, as permitted by 
applicable regulation, enter into certain offsetting positions) to 
cover its obligations under derivative instruments. In addition, the 
Fund will include appropriate risk disclosure in its offering 
documents, including leveraging risk.
    In addition to the Fund's use of derivatives in connection with its 
80% Policy, under the proposal the Exchange states that the Fund will 
seek to invest in derivative instruments not based on Fixed-Income 
Instruments, consistent with the Fund's investment restrictions 
relating to exposure to those asset classes.

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

[[Page 80863]]

regulations thereunder applicable to a national securities 
exchange.\43\ In particular, the Commission finds that the proposed 
rule change, as modified by Amendment Nos. 1, 3, 4, 5 and 6, is 
consistent with Section 6(b)(5) of the Exchange Act,\44\ which 
requires, among other things, that the Exchange's rules be 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 a national market system, 
and, in general, to protect investors and the public interest. 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,\45\ 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.
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    \43\ 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).
    \44\ 15 U.S.C. 78f(b)(5).
    \45\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
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    According to the Exchange, quotation and last sale information will 
be available via the Consolidated Tape Association (``CTA'') high-speed 
line for the Shares and for the following U.S. exchange-traded 
securities: Common stocks, hybrid instruments, convertible securities, 
preferred securities, REITs, CEFs, ETFs, ETPs, and ETNs. Intra-day 
price information for foreign exchange-traded stocks will be available 
from the applicable foreign exchange and from major market data 
vendors. Intra-day price information for exchange-traded derivative 
instruments will be available from the applicable exchange and from 
major market data vendors. Intra-day price information for OTC REITs, 
OTC common stocks, OTC CEFs, OTC options, money market instruments, 
forwards, structured notes, RLS, OTC derivative instruments, and OTC 
hybrid instruments will be available from major market data vendors. 
Intraday 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, intra-day price information for U.S. 
exchange-traded options is available from the Options Price Reporting 
Authority. Intra-day and closing price information from brokers and 
dealers or independent pricing services will be available for Fixed 
Income Instruments.
    In addition, the Portfolio Indicative Value, as defined in NYSE 
Arca Equities Rule 8.600 (c)(3), will be widely disseminated by one or 
more major market data vendors at least every 15 seconds during the 
Core Trading Session.\46\ 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.\47\
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    \46\ 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.
    \47\ On a daily basis, the Adviser 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. 
The Fund's disclosure of derivative positions in the Disclosed 
Portfolio will include information that market participants can use 
to value these positions intraday.
---------------------------------------------------------------------------

    The NAV for the Shares will be calculated after 4:00 p.m. Eastern 
Time each trading day. A basket composition file, which will include 
the security names and share quantities required to be delivered in 
exchange for the Shares, together with estimates and actual cash 
components, will be publicly disseminated daily prior to the opening of 
the New York Stock Exchange via the National Securities Clearing 
Corporation. Information regarding market price and trading volume for 
the Shares will be continually available on a real-time basis 
throughout the day on brokers' computer screens and other electronic 
services. Information regarding the previous day's closing price and 
trading volume information for the Shares will be published daily in 
the financial section of newspapers. 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.
    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 Commission notes 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.\48\ 
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.\49\ 
Trading in the Shares also 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. The Exchange represents that it has a general 
policy prohibiting the distribution of material, non-public information 
by its employees. The Adviser is affiliated with a broker-dealer and 
has represented that it has implemented a fire wall with respect to its 
broker-dealer affiliate regarding access to information concerning the 
composition and/or changes to the portfolio.\50\ Further, the 
Commission notes that the Reporting Authority that provides the 
Disclosed Portfolio of the Fund must implement and maintain, or be 
subject to, procedures designed to prevent the use and dissemination of 
material, non-public information regarding the actual components of the 
portfolio.\51\
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    \48\ See NYSE Arca Equities Rule 8.600(d)(1)(B).
    \49\ 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.
    \50\ See supra note 12. The Exchange represents that an 
investment adviser to an open-end fund is required to be registered 
under the Investment Advisers Act of 1940.
    \51\ See NYSE Arca Equities Rule 8.600(d)(2)(B)(ii).
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    Prior to the commencement of trading, the Exchange will inform its 
Equity Trading Permit Holders (``ETP 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 regulatory staff of the Exchange, or the 
Financial Industry Regulatory Authority (``FINRA'') on behalf of the 
Exchange, which are designed to detect violations

[[Page 80864]]

of Exchange rules and applicable federal securities laws.\52\
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    \52\ 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.
---------------------------------------------------------------------------

    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 regulatory staff of the Exchange, or 
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, or the regulatory staff of 
the Exchange, will communicate as needed regarding trading in the 
Shares, certain exchange-traded options and futures, certain exchange-
traded equities (including ETFs, ETPs. ETNs, CEFs, certain common 
stocks, and certain REITs) with other markets or other entities that 
are members of the Intermarket Surveillance Group (``ISG''), and FINRA 
or regulatory staff of the Exchange may obtain trading information 
regarding trading in the Shares, certain exchange-traded options and 
futures, certain exchange-traded equities (including ETFs, ETPs, ETNs, 
CEFs, certain common stocks and certain REITs) from such markets or 
entities. In addition, the Exchange may obtain information regarding 
trading in the Shares, certain exchange-traded options and futures, 
certain exchange-traded equities (including ETFs, ETPs, ETNs, CEFs, 
certain common stocks, and certain REITs) from markets or other 
entities that are members of ISG or with which the Exchange has in 
place a comprehensive surveillance sharing agreement. 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.
    (5) Prior to the commencement of trading of the Shares, the 
Exchange will inform its ETP Holders in a Bulletin of the special 
characteristics and risks associated with trading the Shares. The 
Bulletin will discuss the following: (a) The procedures for purchases 
and redemptions of Shares in creation units (and that Shares are not 
individually redeemable); (b) NYSE Arca Equities Rule 9.2(a), which 
imposes a duty of due diligence on its ETP Holders to learn the 
essential facts relating to every customer prior to trading the Shares; 
(c) 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; (d) how information 
regarding the Portfolio Indicative Value and the Disclosed Portfolio is 
disseminated; (e) the requirement that ETP Holders deliver a prospectus 
to investors purchasing newly issued Shares prior to or concurrently 
with the confirmation of a transaction; and (f) trading information.
    (6) For initial and continued listing, the Fund will be in 
compliance with Rule 10A-3 under the Exchange Act,\53\ as provided by 
NYSE Arca Equities Rule 5.3.
---------------------------------------------------------------------------

    \53\ 17 CFR 240.10A-3.
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    (7) A minimum of 100,000 Shares for the Fund will be outstanding at 
the commencement of trading on the Exchange.
    (8) While the Fund may invest in inverse ETFs, the Fund will not 
invest in leveraged (e.g., 2X, -2X, 3X or -3X) ETFs.
    (9) Not more than 10% of the net assets of the Fund in the 
aggregate invested in equity securities (other than non-exchange-traded 
investment company securities) will consist of equity securities whose 
principal market is not a member of the ISG or is a market with which 
the Exchange does not have a comprehensive surveillance sharing 
agreement. In addition, not more than 10% of the net assets of the Fund 
in the aggregate invested in futures contracts or exchange-traded 
options contracts will consist of futures contracts or exchange-traded 
options contracts whose principal market is not a member of ISG or is a 
market with which the Exchange does not have a comprehensive 
surveillance sharing agreement.
    (10) Normally the Fund will seek to invest at least 75% of its 
corporate debt securities assets in issuances that have at least 
$100,000,000 par amount outstanding in developed countries or at least 
$200,000,000 par amount outstanding in emerging market countries.
    (11) The Fund normally will invest at least 75% of its bank loan or 
corporate loan assets, which includes senior loans, syndicated bank 
loans, junior loans, bridge loans, unfunded commitments, revolvers and 
participation interests, in issuances that have at least $100 million 
par amount outstanding.
    (12) The Fund may invest up to 20% of its total assets in the 
aggregate in Private MBS/ABS and in asset-backed commercial paper. Such 
holdings would be subject to the respective limitations on the Fund's 
investments in illiquid assets and high yield securities. The liquidity 
of such securities, especially in the case of Private MBS/ABS, will be 
a substantial factor in the Fund's security selection process.
    (13) The Fund may invest up to 20% of its total assets in the 
aggregate in participations in and assignments of bank loans or 
corporate loans, which loans include syndicated bank loans, junior 
loans, bridge loans, unfunded commitments, revolvers and participation 
interests (but specifically do not include senior loans), in structured 
notes, in credit-linked notes, in risk-linked securities, in OTC REITs, 
and in OTC hybrid instruments. Such holdings would be subject to the 
respective limitations on the Fund's investments in illiquid assets and 
high yield securities. The liquidity of such securities will be a 
substantial factor in the Fund's security selection process.
    (14) Not more than 33 1/3% of the Fund's total assets will be in 
junk bonds.
    (15) 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, Private MBS/ABS, master notes, loans, 
and loan commitments deemed illiquid by the Adviser, consistent with 
Commission guidance.
    (16) The Fund's investments will be consistent with the Fund's 
investment objective and will not be used to enhance leverage. That is, 
while the Fund will be permitted to borrow as permitted under the 1940 
Act, the Fund's investments will not be used to seek performance that 
is the multiple or inverse multiple (i.e., 2Xs and 3Xs) of the Fund's 
primary broad-based securities benchmark index (as defined in Form N-
1A).
    (17) Investments in derivative instruments will be made in 
accordance with the 1940 Act and consistent with the Fund's investment 
objective and

[[Page 80865]]

policies. The Fund will seek, where possible, to use counterparties 
whose financial status is such that the risk of default is reduced. The 
Fund will segregate or ``earmark'' assets determined to be liquid by 
the Adviser in accordance with procedures established by the Board and 
in accordance with the 1940 Act (or, as permitted by applicable 
regulation, enter into certain offsetting positions) to cover its 
obligations under derivative instruments. In addition, the Fund will 
include appropriate risk disclosure in its offering documents, 
including leveraging risk. To mitigate leveraging risk, the Adviser 
will segregate or ``earmark'' liquid assets or otherwise cover the 
transactions that may give rise to such risk.
    This approval order is based on all of the Exchange's 
representations, including those set forth above and in the Notice. 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.

IV. Solicitation of Comments on Amendment Nos. 3, 4, 5, and 6

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether Amendment Nos. 3, 
4, 5, and 6 to the proposed rule change are 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-2015-73 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-2015-73. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549 on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available 
for inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-NYSEArca-2015-73 and should 
be submitted on or before January 19, 2016.

V. Accelerated Approval of Proposed Rule Change, as Modified by 
Amendment Nos. 1, 3, 4, 5, and 6

    The Commission finds good cause to approve the proposed rule 
change, as modified by Amendment Nos. 1, 3, 4, 5 and 6, prior to the 
30th day after the date of publication of notice of Amendment Nos. 3, 
4, 5, and 6 in the Federal Register. Amendment Nos. 3, 4, 5, and 6 
revised the proposed rule change by: (1) Modifying, and defining, the 
Fixed Income Instruments in which the Fund will invest; (2) 
representing that normally corporate debt securities and bank loan and 
corporate loan assets will each have a certain par amount outstanding; 
(3) modifying the investment restrictions of the Fund; (4) clarifying 
price information in, and adding assets to, the Availability of 
Information section, and (5) noting that trading surveillances may be 
administered by the regulatory staff of the Exchange.
    Amendment Nos. 3, 4, 5, and 6 supplement the proposed rule change 
by, among other things, clarifying the scope of the Fund's permitted 
investments and investment restrictions and providing additional 
information about the availability of pricing information for the 
Fund's underlying assets. They also help the Commission evaluate 
whether the listing and trading of the Shares of the Fund would be 
consistent with the protection of investors and the public interest.
    Accordingly, the Commission finds good cause, pursuant to Section 
19(b)(2) of the Act,\54\ to approve the proposed rule change, as 
modified by Amendment Nos. 1, 3, 4, 5, and 6, on an accelerated basis.
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    \54\ 15 U.S.C. 78s(b)(2).
---------------------------------------------------------------------------

VI. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Exchange Act,\55\ that the proposed rule change (SR-NYSEArca-2015-73), 
as modified by Amendment Nos. 1, 3, 4, 5, and 6 thereto, be, and it 
hereby is, approved on an accelerated basis.
---------------------------------------------------------------------------

    \55\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\56\
---------------------------------------------------------------------------

    \56\ 17 CFR 200.30-3(a)(12).
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Brent J. Fields,
Secretary.
[FR Doc. 2015-32528 Filed 12-24-15; 8:45 am]
BILLING CODE 8011-01-P


