[Federal Register Volume 81, Number 10 (Friday, January 15, 2016)]
[Notices]
[Pages 2282-2291]
[FR Doc No: 2016-00639]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-76862; File No. SR-BATS-2015-94]

Self-Regulatory Organizations; BATS Exchange, Inc., Notice of
Filing of Proposed Rule Change To List and Trade Shares of the SPDR
DoubleLine Emerging Markets Fixed Income ETF of the SSgA Active Trust

January 11, 2016.
    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 December 28, 2015, BATS Exchange, Inc. (the ``Exchange'' or
``BATS'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I and
II, below, which Items have been prepared by the Exchange. The
Commission is publishing this notice to solicit comments on the
proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 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 is proposing a rule change to list and trade shares of
the SPDR[supreg] DoubleLine[supreg] Emerging Markets Fixed Income ETF
(the ``Fund'') of the SSgA Active Trust (the ``Trust'') under BATS Rule
14.11(i) (``Managed Fund Shares''). The shares of the Fund are
collectively referred to herein as the ``Shares.''
    The text of the proposed rule change is available at the Exchange's
Web site at www.batstrading.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 Exchange 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 these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
Sections A, B, and C below, of the most significant parts of such
statements.

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

1. Purpose
    The Exchange proposes to list and trade the Shares under BATS Rule
14.11(i), which governs the listing and trading of Managed Fund Shares
on the Exchange.\3\ The Fund will be an actively managed fund. The
Shares will be offered by the Trust, which was established as a
Massachusetts business trust on March 30, 2011. The Trust is registered
with the Commission as an open-end investment company and has filed a
registration statement on behalf of the Fund on Form N-1A
(``Registration Statement'') with the Commission.\4\
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    \3\ The Commission approved BATS Rule 14.11(i) in Securities
Exchange Act Release No. 65225 (August 30, 2011), 76 FR 55148
(September 6, 2011) (SR-BATS-2011-018).
    \4\ See Registration Statement on Form N-1A for the Trust, dated
October 8, 2015 (File Nos. 333-173276 and 811-22542). The
descriptions of the Fund and the Shares contained herein are based,
in part, on information in the Registration Statement. The
Commission has issued an order granting certain exemptive relief to
the Trust under the Investment Company Act of 1940 (15 U.S.C. 80a-1)
(``1940 Act'') (the ``Exemptive Order''). See Investment Company Act
Release No. 29524 (December 13, 2010) (File No. 812-13487).
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Description of the Shares and the Fund
    SSGA Funds Management, Inc. will be the investment adviser (``SSGA
FM'' or ``Adviser'') to the Fund. The Adviser will serve as the
administrator for the Fund (the ``Administrator''). DoubleLine Capital
LP will be the Fund's sub-adviser (``Sub-Adviser''). State Street
Global Markets, LLC (the ``Distributor'') will be the principal
underwriter and distributor of the Fund's Shares. State Street Bank and
Trust Company (the ``Sub-Administrator'', ``Custodian'', ``Transfer
Agent'' or ``Lending Agent'') will serve as sub-administrator,
custodian, transfer agent, and, where applicable, lending agent for the
Fund.

    BATS Rule 14.11(i)(7) 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.\5\ In addition, Rule 14.11(i)(7) further
requires that personnel who make decisions on the investment company's
portfolio composition must be subject to procedures designed to prevent
the use and dissemination of material nonpublic information regarding
the applicable investment company portfolio. Rule 14.11(i)(7) is
similar to BATS Rule 14.11(b)(5)(A)(i), however, Rule 14.11(i)(7) in
connection with the establishment of a ``fire wall'' between the
investment adviser and the broker-dealer reflects the applicable open-
end fund's portfolio, not an underlying benchmark index, as is the case
with index-based funds. The Adviser and Sub-Adviser are not registered
as a broker-dealer but the Adviser 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. The Sub-Adviser is not affiliated with
a broker-dealer. In the event (a) the Adviser or Sub-Adviser becomes
registered as a broker-dealer or newly affiliated with a broker-dealer,
or (b) any new adviser or sub-adviser is a registered broker-dealer or
becomes affiliated with a broker-dealer, 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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    \5\ 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 as well
as the Sub-Adviser and its related personnel are subject to the
provisions of Rule 204A-1 under the Advisers Act relating to codes
of ethics. This Rule requires investment advisers to adopt a code of
ethics that reflects the fiduciary nature of the relationship to
clients as well as compliance with other applicable securities laws.
Accordingly, procedures designed to prevent the communication and
misuse of non-public information by an investment adviser must be
consistent with Rule 204A-1 under the Advisers Act. In addition,
Rule 206(4)-7 under the Advisers Act makes it unlawful for an
investment adviser to provide investment advice to clients unless
such investment adviser has (i) adopted and implemented written
policies and procedures reasonably designed to prevent violation, by
the investment adviser and its supervised persons, of the Advisers
Act and the Commission rules adopted thereunder; (ii) implemented,
at a minimum, an annual review regarding the adequacy of the
policies and procedures established pursuant to subparagraph (i)
above and the effectiveness of their implementation; and (iii)
designated an individual (who is a supervised person) responsible
for administering the policies and procedures adopted under
subparagraph (i) above.
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SPDR[supreg] DoubleLine Emerging Markets Fixed Income ETF
    According to the Registration Statement, the Fund will seek to
provide high total return from current income and capital appreciation.
To achieve its objective, the Fund will invest, under normal
circumstances, at least 80% of its net assets (plus the amount of
borrowings for investment purposes) in emerging market fixed income
securities, as described further in the Principal Holding, Other
Portfolio Holdings, and Investment Restrictions sections below.\6\ The
Fund is an actively-managed fund that does not seek to replicate the
performance of a specified index.
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    \6\ Generally, as used in this proposed rule change, the terms
debt security, debt obligation, bond, fixed income instrument and
fixed income security are used interchangeably. These terms should
be considered to include any evidence of indebtedness, including, by
way of example, a security or instrument having one or more of the
following characteristics: A security or instrument issued at a
discount to its face value, a security or instrument that pays
interest at a fixed, floating, or variable rate, or a security or
instrument with a stated principal amount that requires repayment of
some or all of that principal amount to the holder of the security.
These terms are interpreted broadly to include any instrument or
security evidencing what is commonly referred to as an IOU rather
than evidencing the corporate ownership of equity unless that equity
represents an indirect or derivative interest in one or more debt
securities. For this purpose, the terms also include instruments
that are intended to provide one or more of the characteristics of a
direct investment in one or more debt securities.
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    Under normal market conditions, the Sub-Adviser intends to seek to
construct an investment portfolio with a weighted average effective
duration of no less than two years and no more than eight years. The
effective duration of the portfolio may vary materially from its
target, from time to time, and there is no assurance that the effective
duration of the Fund's investment portfolio will not exceed its target.
    The Fund may invest without limit in investments denominated in any
currency, but currently expects to invest a substantial amount of its
assets in investments denominated in the U.S. dollar. Securities held
by the Fund may be sold at any time. By way of example, sales may occur
when the Sub-Adviser perceives deterioration in the credit fundamentals
of the issuer, when the Sub-Adviser believes there are negative macro
geo-political considerations that may affect the issuer, when the Sub-
Adviser determines to take advantage of a better investment
opportunity, or the individual security has reached the Sub-Adviser's
sell target.
    In allocating investments among various emerging market countries,
the Sub-Adviser attempts to analyze internal political, market and
economic factors. These factors may include public finances, monetary
policy, external accounts, financial markets, foreign investment
regulations, stability of exchange rate policy, and labor conditions.
In certain situations or market conditions, the Fund may temporarily
depart from its normal investment policies and strategies provided that
the alternative 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.
Principal Holdings
    The Fund intends to achieve its investment objective by investing,
under normal circumstances,\7\ at least 80% of its net assets (plus the
amount of borrowings for investment purposes) in fixed income
instruments (``Fixed Income Securities''), subject to certain limits
described below. For purposes of this filing, Fixed Income Securities
will be, where applicable and unless otherwise noted, U.S. dollar-
denominated and are defined as the following instruments: Fixed income
securities issued or guaranteed by foreign corporations or foreign
governments, including securities issued or guaranteed by companies
(including hybrid securities),\8\ financial institutions, or government
entities in emerging market countries; corporate or government bonds;
sovereign debt; structured securities; \9\ foreign currency

transactions; certain derivatives; exchange-traded foreign equity
securities and preferred securities; zero coupon bonds; credit linked
notes; pass through notes; bank loans; \10\ perpetual maturity bonds;
and convertible securities. Fixed Income Securities may have fixed or
variable interest rates \11\ and any maturity.
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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 fixed income markets or the financial markets generally;
operational issues causing dissemination of inaccurate market
information; or force majeure type events such as systems failure,
natural or man-made disaster, act of God, armed conflict, act of
terrorism, riot or labor disruption or any similar intervening
circumstance.
    \8\ A third party or the Sub-Adviser may create a hybrid
security by combining an income-producing debt security and the
right to receive payment based on the change in the price of an
equity security. The Fund may invest in hybrid securities related to
emerging market countries.
    \9\ Structured securities generally includes [sic] privately-
issued and publicly-issued structured securities, including certain
publicly-issued structured securities that are not agency
securities. Examples include, but are not limited to: Asset-backed
securities backed by assets such as consumer receivables, credit
cards, student loans, and equipment leases; asset-backed commercial
paper; credit linked notes; and secured funding notes.
    \10\ The Fund may invest up to 20% of its portfolio in junior
bank loans.
    \11\ A variable rate security provides for the automatic
establishment of a new interest rate on set dates. Variable rate
obligations whose interest is readjusted no less frequently than
annually will be deemed to have a maturity equal to the period
remaining until the next readjustment of the interest rate. The Fund
may also purchase floating rate securities. A floating rate security
provides for the automatic adjustment of its interest rate whenever
a specified interest rate changes. Interest rates on these
securities are ordinarily tied to, and are a percentage of, a widely
recognized interest rate, such as the yield on 90-day U.S. Treasury
bills or the prime rate of a specified bank. These rates may change
as often as twice daily.
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    The Fund will generally invest in Fixed Income Securities from at
least five emerging market countries,\12\ with no more than 20%
allocated to a single country. The Fund may invest in Fixed Income
Securities of any credit quality, but seeks to invest no more than 20%,
at the time of investment, in Fixed Income Securities that are unrated,
rated BB+ or lower by Standard & Poor's Rating Service or Ba1 or lower
by Moody's Investor Service, Inc. or the equivalent by any other
nationally recognized statistical rating organization. Corporate bonds
and certain other Fixed Income Securities rated below investment grade,
or such instruments that are unrated and are determined by the Sub-
Adviser to be of comparable quality, are high yield, high risk bonds,
commonly known as junk bonds.
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    \12\ An ``emerging market country'' is a country that, at the
time the Fund invests in the related fixed income instruments, is
classified as an emerging or developing economy by any supranational
organization such as the World Bank or the United Nations, or
related entities, or is considered an emerging market country for
purposes of constructing a major emerging market securities index.
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    The Fund may invest in corporate bonds.\13\ The investment return
of corporate bonds reflects interest on the bond and changes in the
market value of the bond. The market value of a corporate bond may be
affected by the credit rating of the corporation, the corporation's
performance and perceptions of the corporation in the market place.
Such corporate bonds may be investment grade or may be below investment
grade.
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    \13\ While the Fund is permitted to invest without restriction
in corporate bonds, the Sub-Adviser expects that, under normal
circumstances, the Fund will generally seek to invest in corporate
bond issuances that have at least $100,000,000 par amount
outstanding. Further, component corporate bonds that in the
aggregate account for at least 75% of the weight of corporate bonds
will have a minimum original principal outstanding of $100 million
or more.
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    The Fund may purchase exchange-traded common stocks and exchange-
traded preferred securities of foreign corporations. The Fund's
investments in common stock of foreign corporations may also be in the
form of American Depositary Receipts (``ADRs''), Global Depositary
Receipts (``GDRs'') and European Depositary Receipts (``EDRs'')
(collectively ``Depositary Receipts'').\14\
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    \14\ Depositary Receipts are receipts, typically issued by a
bank or trust company, which evidence ownership of underlying
securities issued by a foreign corporation. For ADRs, the depository
is typically a U.S. financial institution and the underlying
securities are issued by a foreign issuer. For other Depositary
Receipts, the depository may be a foreign or a U.S. entity, and the
underlying securities may have a foreign or a U.S. issuer.
Depositary Receipts will not necessarily be denominated in the same
currency as their underlying securities. Generally, ADRs, in
registered form, are designed for use in the U.S. securities market,
and EDRs, in bearer form, are designated for use in European
securities markets. GDRs are tradable both in the United States and
in Europe and are designed for use throughout the world. The Fund
may invest in sponsored or unsponsored ADRs; however, not more than
10% of the net assets of the Fund will be invested in unsponsored
ADRs. All exchange-traded equity securities in which the Fund may
invest will trade on markets that are members of the Intermarket
Surveillance Group (``ISG'') or that have entered into a
comprehensive surveillance agreement with the Exchange.
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    The Fund 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.
Sovereign debt obligations may be either investment grade or below
investment grade.
    The Fund may conduct foreign currency transactions on a spot (i.e.,
cash) or forward basis (i.e., by entering into forward contracts to
purchase or sell foreign currencies). The Fund may also invest in the
following derivatives: Foreign currency futures; credit default swaps;
and options, swaps, futures, and forward contracts on Fixed Income
Securities. These practices may be used to hedge the Fund's portfolio
as well as for investment purposes; however, such practices sometimes
may reduce returns or increase volatility. All such derivatives will be
exchange traded or centrally cleared.
    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. This value is obtained by
delivering a debt security of the reference issuer to the party in
return for a previously agreed payment from the other party
(frequently, the par value of the debt security).\15\
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    \15\ The Fund will enter into CDS agreements only with
counterparties that meet certain standards of creditworthiness.
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    CDSs may require initial premium (discount) payments as well as
periodic payments (receipts) related to the interest leg of the swap or
to the default of a reference obligation. The Fund will segregate
assets necessary to meet any accrued payment obligations when it is the
buyer of CDSs. In cases where the Fund is a seller of a CDS, if the CDS
is physically settled or cash settled, the Fund will be required to
segregate the full notional amount of the CDS. Such segregation will
not limit the Fund's exposure to loss.
Other Portfolio Holdings
    While the Adviser and Sub-Adviser, under normal circumstances, will
invest at least 80% of the Fund's net assets in the instruments
described above, the Adviser and Sub-Adviser may invest up to 20% of
the Fund's net assets in other securities and financial instruments, as
described below.
    The Fund may invest in U.S. Government obligations. U.S. Government
obligations are a type of bond. U.S. Government obligations include
securities issued or guaranteed as to principal and interest by the
U.S. Government, its agencies or instrumentalities.
    The Fund may invest in U.S. equity securities. Equity securities
are securities that represent an ownership interest (or the right to
acquire such an interest) in a company and include common and preferred
stock. The Fund's investments in such U.S. equity securities may
include securities traded over-the-counter as well as those traded on a
securities exchange.
    The Fund 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).

    The Fund may also enter into reverse repurchase agreements, which
involve the sale of securities with an agreement to repurchase the
securities at an agreed-upon price, date and interest payment and have
the characteristics of borrowing. The Fund's exposure to reverse
repurchase agreements will be covered by securities having a value
equal to or greater than such commitments. 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 Fund does not expect to engage,
under normal circumstances, in reverse repurchase agreements with
respect to more than 10% of its net assets.
    The Fund may lend its portfolio securities in an amount not to
exceed 33\1/3%\ of the value of its total assets via a securities
lending program through the Lending Agent, to brokers, dealers and
other financial institutions desiring to borrow securities to complete
transactions and for other purposes. A securities lending program
allows the Fund to receive a portion of the income generated by lending
its securities and investing the respective collateral. The Fund will
receive collateral for each loaned security which is at least equal to
102% of the market value of that security, marked to market each
trading day.
    The Fund may invest in convertible securities traded on an exchange
or OTC. Convertible securities are bonds, debentures, notes, 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.
    In addition to repurchase agreements, the Fund may invest in short-
term instruments, including money market instruments, (including money
market funds advised by the Adviser), cash and cash equivalents, on an
ongoing basis to provide liquidity or for other reasons. 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 or ``A-1'' by S&P, 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; and (vi) short-term U.S. dollar- denominated obligations of
foreign banks (including U.S. branches) that, in the opinion of the
Adviser, are of comparable quality to obligations of U.S. banks which
may be purchased by the Fund. Any of these instruments may be purchased
on a current or a forward-settled basis. Time deposits are non-
negotiable deposits maintained in banking institutions for specified
periods of time at stated interest rates. Bankers' acceptances are time
drafts drawn on commercial banks by borrowers, usually in connection
with international transactions.
    The Fund 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 or securities purchased after
the lapse of the appropriate distribution compliance period under
Regulation S under the Securities Act.
    The Fund may invest in the securities of other investment
companies, including affiliated funds and money market funds, subject
to applicable limitations under Section 12(d)(1) of the 1940 Act.
Investment Restrictions
    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 Restricted Securities deemed illiquid by the Adviser or Sub-
Adviser \16\ under the 1940 Act.\17\ 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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    \16\ In reaching liquidity decisions, the Adviser and Sub-
Adviser may consider factors including: 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; 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).
    \17\ The Commission has stated that long-standing Commission
guidelines have required open-end funds to hold no more than 15% of
their net assets in illiquid securities and other illiquid assets.
See Investment Company Act Release No. 28193 (March 11, 2008), 73 FR
14618 (March 18, 2008), footnote 34. See also, Investment Company
Act Release No. 5847 (October 21, 1969), 35 FR 19989 (December 31,
1970) (Statement Regarding ``Restricted Securities''); Investment
Company Act Release No. 18612 (March 12, 1992), 57 FR 9828 (March
20, 1992) (Revisions of Guidelines to Form N-1A). A fund's portfolio
security is illiquid if it cannot be disposed of in the ordinary
course of business within seven days at approximately the value
ascribed to it by the fund. See Investment Company Act Release No.
14983 (March 12, 1986), 51 FR 9773 (March 21, 1986) (adopting
amendments to Rule 2a-7 under the 1940 Act); Investment Company Act
Release No. 17452 (April 23, 1990), 55 FR 17933 (April 30, 1990)
(adopting Rule 144A under the Securities Act of 1933).
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    The Fund intends to qualify each year as a regulated investment
company (a ``RIC'') under Subchapter M of the Internal Revenue Code of
1986, as amended.\18\ The Fund will invest its assets, and otherwise
conduct its operations, in a manner that is intended to satisfy the
qualifying income, diversification, and distribution requirements
necessary to establish and maintain RIC qualification under Subchapter
M.
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    \18\ 26 U.S.C. 851.
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    The Fund's investments will be consistent with its investment
objective and will not be used to seek to achieve leveraged or inverse
leveraged returns (i.e. two times or three times the Fund's benchmark).
Net Asset Value
    According to the Registration Statement, the net asset value
(``NAV'') of the Fund's Shares generally will be calculated once daily
Monday through Friday as of the close of regular trading on the
Exchange, generally 4:00 p.m. Eastern Time (the ``NAV Calculation
Time'') on each day that the Exchange is open for trading, based on
prices at the NAV Calculation Time. NAV per Share is calculated by
dividing the Fund's net assets by the number of Fund Shares
outstanding. The Fund's net assets are valued primarily on the basis of
market quotations. Expenses and fees, including the management fees,
will be accrued daily and taken into account for purposes of
determining NAV.
    Restricted Securities, repurchase agreements, and reverse
repurchase agreements will generally be valued at bid prices received
from independent pricing services as of the announced

closing time for trading in such instruments. Spot currency
transactions will generally be valued at mid prices received from an
independent pricing service converted into U.S. dollars at current
market rates on the date of valuation. Foreign currency forwards
normally will be valued on the basis of quotes obtained from broker-
dealers or third party pricing services.
    According to the Adviser, U.S. Government obligations; U.S.-
registered, dollar-denominated bonds of foreign corporations,
governments, agencies and supra-national entities; sovereign debt;
corporate bonds; and short-term instruments will generally be valued at
bid prices received from independent pricing services as of the
announced closing time for trading in such instruments in the
respective market. In determining the value of such instruments,
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. Investments having a maturity of 60 days or
less are generally valued at amortized cost.
    Listed futures will generally be valued at the settlement price
determined by the applicable exchange. Listed options will generally be
valued at the last sale price on the applicable exchange. Non-exchange
traded derivatives, including OTC-traded options, swaps, forwards, and
structured investments, will normally be valued on the basis of
quotations or equivalent indication of value supplied by a third-party
pricing service or broker-dealer who makes markets in such instruments.
The Fund's OTC-traded derivative instruments will generally be valued
at bid prices.
    Common stocks and other exchange-traded equity securities
(including shares of preferred securities, convertible securities, and
exchange traded investment companies (``ETPs'')) generally will be
valued at the last reported sale price or the official closing price on
that exchange where the security is primarily traded on the day that
the valuation is made. Foreign equities and exchange-listed Depositary
Receipts will be valued at the last sale or official closing price on
the relevant exchange on the valuation date. If, however, neither the
last sale price nor the official closing price is available, each of
these securities will be valued at either the last reported sale price
or official closing price as of the close of regular trading of the
principal market on which the security is listed. Unsponsored ADRs,
which are traded in the OTC market, will be valued at the last reported
sale price from the OTC Bulletin Board or OTC Link LLC on the valuation
date. 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 non-exchange traded investment companies will be valued
at NAV.
    According to the Registration Statement, in the event that current
market valuations are not readily available or are deemed unreliable,
the Trust's procedures require the Oversight Committee (``Committee'')
to determine a security's fair value, in accordance with the 1940
Act.\19\ 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 and
market indices). In these cases, the Fund's NAV may reflect certain
portfolio securities' fair values rather than their market prices.
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    \19\ If a security's market price is not readily available or is
deemed unreliable, 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
are deemed unreliable 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 Fund'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 Fund.
---------------------------------------------------------------------------

Creation and Redemption of Shares
    The NAV of Shares of the Fund will be determined once each business
day, normally 4:00 p.m. Eastern time. The Fund currently anticipates
that a Creation Unit will consist of 50,000 Shares, though this number
may change from time to time, including prior to the listing of the
Fund. The exact number of Shares that will comprise a Creation Unit
will be disclosed in the Registration Statement of the Fund. The Trust
will issue and sell Shares of the Fund only in Creation Units on a
continuous basis, without a sales load (but subject to transaction
fees), at their NAV per Share next determined after receipt of an
order, on any business day, in proper form. Creation and redemption
will typically occur in cash, however, the Trust retains discretion to
conduct such transactions on an in-kind basis or a combination of cash
and in-kind, as further described below.
    The consideration for purchase of a Creation Unit of the Fund
generally will consist of either (i) the in-kind deposit of a
designated portfolio of securities (the ``Deposit Securities'') per
each Creation Unit and the Cash Component (defined below), computed as
described below, or (ii) the cash value of the Deposit Securities
(``Deposit Cash'') and the ``Cash Component,'' computed as described
below. When accepting purchases of Creation Units for cash, the Fund
may incur additional costs associated with the acquisition of Deposit
Securities that would otherwise be provided by an in-kind purchaser.
Together, the Deposit Securities or Deposit Cash, as applicable, and
the Cash Component constitute the ``Fund Deposit,'' which represents
the minimum initial and subsequent investment amount for a Creation
Unit of 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 NAV 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 NAV per Creation
Unit is less than the market value of the Deposit Securities or Deposit
Cash, as applicable), the Cash Component will 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
(``NSCC''), will make available on each business day, prior to the
opening of business on the Exchange, the list of the names and the
required amount 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.
    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 (9:30 a.m. Eastern time) 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 NAV of the Shares, a compensating cash payment
equal to the differential will be required to be made by or through an
authorized participant by the redeeming shareholder. Notwithstanding
the foregoing, at the Trust's discretion, an authorized participant may
receive the corresponding cash value of the securities in lieu of the
in-kind securities value representing one or more Fund Securities.\20\
---------------------------------------------------------------------------

    \20\ The Adviser represents that, to the extent that the Trust
permits or requires a ``cash in lieu'' amount, such transactions
will be effected in the same or equitable manner for all Authorized
Participants.
---------------------------------------------------------------------------

    The creation/redemption order cut-off time for the Fund is expected
to be 4:00 p.m. Eastern time. 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 Fund's investments are traded) announces an early closing
time. On days when the Exchange closes earlier than normal, the Fund
may require orders for Creation Units to be placed earlier in the day.
Availability of Information
    The Fund's Web site, which will be publicly available prior to the
public offering of Shares, will include a form of the prospectus for
the Fund that may be downloaded. The Web site will include additional
quantitative information updated on a daily basis, including, for the
Fund: (1) The prior business day's reported NAV, mid-point of the bid/
ask spread at the time of calculation of such NAV (the ``Bid/Ask
Price''),\21\ daily trading volume, 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. Daily trading
volume information for the Fund will also be available in the financial
section of newspapers, through subscription services such as Bloomberg,
Thomson Reuters, and International Data Corporation, which can be
accessed by authorized participants and other investors, as well as
through other electronic services, including major public Web sites. On
each business day, before commencement of trading in Shares during
Regular Trading Hours \22\ on the Exchange, the Fund will disclose on
its Web site the identities and quantities of the portfolio of
securities and other assets (the ``Disclosed Portfolio'') held by the
Fund that will form the basis for the Fund's calculation of NAV at the
end of the business day.\23\ The Disclosed Portfolio will include, as
applicable: The 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 and information will be
publicly available at no charge.
---------------------------------------------------------------------------

    \21\ 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.
    \22\ Regular Trading Hours are 9:30 a.m. to 4:00 p.m. Eastern
Time.
    \23\ Under accounting procedures to be followed by the Fund,
trades made on the prior business day (``T'') will be booked and
reflected in NAV on the current business day (``T+1''). Accordingly,
the Fund will be able to disclose at the beginning of the business
day the portfolio that will form the basis for the NAV calculation
at the end of the business day.
---------------------------------------------------------------------------

    In addition, for the Fund, an estimated value, defined in BATS Rule
14.11(i)(3)(C) as the ``Intraday Indicative Value,'' that reflects an
estimated intraday value of the Fund's portfolio, will be disseminated.
Moreover, the Intraday Indicative Value will be based upon the current
value for the components of the Disclosed Portfolio and will be updated
and widely disseminated by one or more major market data vendors at
least every 15 seconds during the Exchange's Regular Trading Hours.\24\
In addition, the quotations of certain of the Fund's holdings may not
be updated during U.S. trading hours if such holdings do not trade in
the United States or if updated prices cannot be ascertained.
---------------------------------------------------------------------------

    \24\ Currently, it is the Exchange's understanding that several
major market data vendors display and/or make widely available
Intraday Indicative Values published via the Consolidated Tape
Association (``CTA'') or other data feeds.
---------------------------------------------------------------------------

    The dissemination of the Intraday Indicative Value, together with
the Disclosed Portfolio, will allow investors to determine the value of
the underlying portfolio of the Fund on a daily basis and provide a
close estimate of that value throughout the trading day.
    Intraday, closing, and settlement prices of common stocks and other
exchange-listed instruments (including Depositary Receipts, preferred
securities, convertible securities, common stock, and ETPs) will be
readily available from the national securities exchanges trading such
securities as well as automated quotation systems, published or other
public sources, or online information services such as Bloomberg or
Reuters. 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, price information for U.S.
exchange-traded options will be available from the Options Price
Reporting Authority. Quotation

information from brokers and dealers or pricing services will be
available for Fixed Income Securities. Price information regarding spot
currency transactions and OTC-traded derivative instruments, including
options, swaps, and forward currency transactions, as well as non-
exchange listed equity securities traded in the OTC market, including
Restricted Securities, repurchase and reverse repurchase agreements,
OTC equity securities, OTC-traded preferred securities, and OTC-traded
convertible securities, is available from major market data vendors.
    Information regarding market price and volume of the Shares will be
continually available on a real-time basis throughout the day on
brokers' computer screens and other electronic services. The previous
day's closing price and trading volume information for the Shares will
be published daily in the financial section of newspapers. Quotation
and last sale information for the Shares will be available on the
facilities of the CTA.
Initial and Continued Listing
    The Shares will be subject to BATS Rule 14.11(i), which sets forth
the initial and continued listing criteria applicable to Managed Fund
Shares. The Exchange represents that, for initial and/or continued
listing, the Fund must be in compliance with Rule 10A-3 under the
Act.\25\ A minimum of 100,000 Shares 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.
---------------------------------------------------------------------------

    \25\ See 17 CFR 240.10A-3.
---------------------------------------------------------------------------

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. The Exchange will halt trading in
the Shares under the conditions specified in BATS Rule 11.18. Trading
may be halted because of market conditions or for reasons that, in the
view of the Exchange, make trading in the Shares inadvisable. These may
include: (1) The extent to which trading is not occurring in the
securities and/or the financial instruments composing 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 also will be subject to Rule
14.11(i)(4)(B)(iv), which sets forth circumstances under which Shares
of the Fund may be halted.
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. BATS will allow
trading in the Shares from 8:00 a.m. until 5:00 p.m. Eastern Time. The
Exchange has appropriate rules to facilitate transactions in the Shares
during all trading sessions. As provided in BATS Rule 14.11(i)(2)(C),
the minimum price variation for quoting and entry of orders in Managed
Fund Shares traded on the Exchange is $0.01.
Surveillance
    The Exchange believes that its surveillance procedures are adequate
to properly monitor the trading of the Shares on the Exchange during
all trading sessions and to deter and detect violations of Exchange
rules and the applicable federal securities laws. Trading of the Shares
through the Exchange will be subject to the Exchange's surveillance
procedures for derivative products, including Managed Fund Shares. The
Exchange may obtain information regarding trading in the Shares and the
underlying shares in exchange traded investment companies, U.S. equity
securities, foreign securities, futures, and options via the ISG, from
other exchanges who are members or affiliates of the ISG, or with which
the Exchange has entered into a comprehensive surveillance sharing
agreement.\26\ In addition, the Exchange is able to access, as needed,
trade information for certain fixed income instruments reported to
FINRA's Trade Reporting and Compliance Engine (``TRACE''). The Exchange
prohibits the distribution of material non-public information by its
employees.
---------------------------------------------------------------------------

    \26\ For a list of the current members and affiliate members of
ISG, see www.isgportal.com. 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. The Exchange
also notes that all exchange-traded instruments, including
investment company securities, futures, and options will trade on
markets that are a member of ISG or with which the Exchange has in
place a comprehensive surveillance sharing agreement.
---------------------------------------------------------------------------

Information Circular
    Prior to the commencement of trading, the Exchange will inform its
members in an Information Circular of the special characteristics and
risks associated with trading the Shares. Specifically, the Information
Circular will discuss the following: (1) The procedures for purchases
and redemptions of Shares in Creation Units (and that Shares are not
individually redeemable); (2) BATS Rule 3.7, which imposes suitability
obligations on Exchange members with respect to recommending
transactions in the Shares to customers; (3) how information regarding
the Intraday Indicative Value and the Disclosed Portfolio is
disseminated; (4) the risks involved in trading the Shares during the
Pre-Opening \27\ and After Hours Trading Sessions \28\ when an updated
Intraday Indicative Value will not be calculated or publicly
disseminated; (5) the requirement that members deliver a prospectus to
investors purchasing newly issued Shares prior to or concurrently with
the confirmation of a transaction; and (6) trading information.
---------------------------------------------------------------------------

    \27\ The Pre-Opening Session is from 8:00 a.m. to 9:30 a.m.
Eastern Time.
    \28\ The After Hours Trading Session is from 4:00 p.m. to 5:00
p.m. Eastern Time.
---------------------------------------------------------------------------

    In addition, the Information Circular will advise members, prior to
the commencement of trading, of the prospectus delivery requirements
applicable to the Fund. Members purchasing Shares from the Fund for
resale to investors will deliver a prospectus to such investors. The
Information Circular will also discuss any exemptive, no-action, and
interpretive relief granted by the Commission from any rules under the
Act.
    In addition, the Information Circular will reference that the Fund
is subject to various fees and expenses described in the Registration
Statement. The Information Circular will also disclose the trading
hours of the Shares of the Fund and the applicable NAV Calculation Time
for the Shares. The Information Circular will disclose that information
about the Shares of the Fund will be publicly available on the Fund's
Web site. In addition, the Information Circular will reference that the
Trust is subject to various fees and expenses described in the Fund's
Registration Statement.
2. Statutory Basis
    The Exchange believes that the proposal is consistent with Section
6(b) of the Act \29\ in general and Section 6(b)(5) of the Act \30\ in
particular in that it is designed to prevent fraudulent and
manipulative acts and practices, to promote just and equitable
principles of trade, to foster cooperation and

coordination with persons engaged in facilitating transactions in
securities, 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.
---------------------------------------------------------------------------

    \29\ 15 U.S.C. 78f.
    \30\ 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 BATS Rule 14.11(i). The
Exchange believes that its surveillance procedures are adequate to
properly monitor the trading of the Shares on the Exchange during all
trading sessions and to deter and detect violations of Exchange rules
and the applicable federal securities laws. If the investment adviser
to the investment company issuing Managed Fund Shares is affiliated
with a broker-dealer, such investment adviser to the investment company
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. 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 Sub-Adviser becomes registered as a broker-dealer or
newly affiliated with a broker-dealer, or (b) any new adviser or sub-
adviser is a registered broker-dealer or becomes affiliated with a
broker-dealer, 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. The Exchange may obtain information regarding trading in the
Shares and the underlying shares in Depositary Receipts that are not
OTC ADRs and exchange traded investment companies, U.S. equity
securities, futures, and options via the ISG, from other exchanges who
are members or affiliates of the ISG, or with which the Exchange has
entered into a comprehensive surveillance sharing agreement.\31\ In
addition, the Exchange is able to access, as needed, trade information
for certain fixed income instruments reported to FINRA's TRACE.
---------------------------------------------------------------------------

    \31\ For a list of the current members and affiliate members of
ISG, see www.isgportal.com. 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. The Exchange
also notes that all of the exchange-listed investment company
securities, futures, and options will trade on markets that are a
member of ISG or with which the Exchange has in place a
comprehensive surveillance sharing agreement.
---------------------------------------------------------------------------

    According to the Registration Statement, the Fund intends to
achieve its investment objective by investing, under normal
circumstances, at least 80% of its net assets in Fixed Income
Securities from at least five emerging market countries, with no more
than 20% allocated to a single country. The Fund's investments will be
consistent with the Fund's investment objective and will not be used to
achieve leveraged or inverse leveraged returns, as stated above. While
the Fund is permitted to invest without restriction in corporate bonds,
the Sub-Adviser expects that, under normal circumstances, the Fund will
generally seek to invest in corporate bond issuances that have at least
$100,000,000 par amount outstanding. Further, component corporate bonds
that in the aggregate account for at least 75% of the weight of
corporate bonds will have a minimum original principal outstanding of
$100 million or more.
    In addition to the holdings in Fixed Income Securities described
above as part of the Fund's principal investment strategy, the Fund may
also, to a limited extent (under normal circumstances, less than 20% of
the Fund's net assets) and as further described above, engage in
transactions in the following:
    U.S. Government obligations, U.S. equity securities, repurchase
agreements, reverse repurchase agreements, portfolio lending,
convertible securities, short-term instruments, Restricted Securities,
and securities of other investment companies.
    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 Restricted Securities deemed illiquid by the Adviser or Sub-
Adviser \32\ under the 1940 Act.\33\ 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.
---------------------------------------------------------------------------

    \32\ In reaching liquidity decisions, the Adviser and Sub-
Adviser may consider factors including: 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; 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).
    \33\ The Commission has stated that long-standing Commission
guidelines have required open-end funds to hold no more than 15% of
their net assets in illiquid securities and other illiquid assets.
See Investment Company Act Release No. 28193 (March 11, 2008), 73 FR
14618 (March 18, 2008), footnote 34. See also, Investment Company
Act Release No. 5847 (October 21, 1969), 35 FR 19989 (December 31,
1970) (Statement Regarding ``Restricted Securities''); Investment
Company Act Release No. 18612 (March 12, 1992), 57 FR 9828 (March
20, 1992) (Revisions of Guidelines to Form N-1A). A fund's portfolio
security is illiquid if it cannot be disposed of in the ordinary
course of business within seven days at approximately the value
ascribed to it by the fund. See Investment Company Act Release No.
14983 (March 12, 1986), 51 FR 9773 (March 21, 1986) (adopting
amendments to Rule 2a-7 under the 1940 Act); Investment Company Act
Release No. 17452 (April 23, 1990), 55 FR 17933 (April 30, 1990)
(adopting Rule 144A under the Securities Act of 1933).
---------------------------------------------------------------------------

    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. Moreover, the Intraday
Indicative Value will be disseminated by one or more major market data
vendors at least every 15 seconds during Regular Trading Hours. On each
business day, before commencement of trading in Shares during Regular
Trading Hours, 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. Pricing information will be available on
the Fund's Web site including: (1) The prior business day's reported
NAV, the Bid/Ask Price of the Fund, 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. Additionally, information regarding market price and trading
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 for the Shares will
be available on the facilities of the CTA. 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. Trading
in Shares of the Fund will be halted under the conditions specified in
BATS Rule 11.18. Trading may also be halted because of market
conditions or for reasons that, in the view of the Exchange, make
trading in the Shares inadvisable. Finally, trading in the Shares will
be subject to BATS Rule 14.11(i)(4)(B)(iv), which sets forth
circumstances under which Shares of the Fund may be halted. In
addition, the Exchange is able to access, as needed, trade information
for certain fixed income instruments reported to FINRA's TRACE. As
noted above, investors will also have ready access to information
regarding the Fund's holdings, the Intraday Indicative Value, the
Disclosed Portfolio, and quotation and last sale information for the
Shares.
    Intraday, closing, and settlement prices of common stocks and other
exchange-listed instruments (including Depositary Receipts, preferred
securities, convertible securities, common stock, and ETPs) will be
readily available from the national securities exchanges trading such
securities as well as automated quotation systems, published or other
public sources, or online information services such as Bloomberg or
Reuters. 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, price information for U.S.
exchange-traded options will be available from the Options Price
Reporting Authority. Quotation information from brokers and dealers or
pricing services will be available for Fixed Income Securities. Price
information regarding spot currency transactions and OTC-traded
derivative instruments, including options, swaps, and forward currency
transactions, as well as non-exchange listed equity securities traded
in the OTC market, including Restricted Securities, repurchase and
reverse repurchase agreements, OTC equity securities, OTC-traded
preferred securities, and OTC-traded convertible securities, is
available from major market data vendors.
    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 Intraday Indicative Value, the Disclosed Portfolio, and quotation
and last sale information for the Shares.
    For the above reasons, the Exchange believes that the proposed rule
change is consistent with the requirements of Section 6(b)(5) of the
Act.

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 Act. The Exchange notes that the
proposed rule change will facilitate the listing and trading of an
additional actively-managed exchange-traded product 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

    The Exchange has neither solicited nor received written comments on
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<EMAIL_ADDRESS>Please include
File Number SR-BATS-2015-94 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-BATS-2015-94. 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-BATS-2015-94 and should be
submitted on or before February 5, 2016.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\34\
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    \34\ 17 CFR 200.30-3(a)(12).
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Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-00639 Filed 1-14-16; 8:45 am]
 BILLING CODE 8011-01-P