[Federal Register Volume 79, Number 185 (Wednesday, September 24, 2014)]
[Notices]
[Pages 57161-57171]
[FR Doc No: 2014-22671]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-73141; File No. SR-NYSEArca-2014-100]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change Relating to Listing and Trading of Shares of
the SPDR SSgA Global Managed Volatility ETF Under NYSE Arca Equities
Rule 8.600

September 18, 2014.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby
given that, on September 5, 2014, NYSE Arca, Inc. (the ``Exchange'' or
``NYSE Arca'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I and II
below, which Items have been prepared by the self-regulatory
organization. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    The Exchange proposes to list and trade shares of the SPDR SSgA
Global Managed Volatility ETF under NYSE Arca Equities Rule 8.600. The
text of the proposed rule change is available on the Exchange's Web
site at www.nyse.com, at the principal office of the Exchange, and at
the Commission's Public Reference Room.

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

    In its filing with the Commission, the self-regulatory organization
included statements concerning the purpose of, and basis for, the
proposed rule change and discussed any comments it received on the
proposed rule change. The text of those statements may be examined at
the places specified in Item IV below. The Exchange has prepared
summaries, set forth in sections A, B, and C below, of the most
significant parts of such statements.

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

1. Purpose
    The Exchange proposes to list and trade shares (``Shares'') of the
following under NYSE Arca Equities Rule 8.600, which governs the
listing and trading of Managed Fund Shares: \4\ SPDR SSgA Global
Managed Volatility ETF (``Fund'').\5\
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    \4\ A Managed Fund Share is a security that represents an
interest in an investment company registered under the Investment
Company Act of 1940 (15 U.S.C. 80a-1) (``1940 Act'') organized as an
open-end investment company or similar entity that invests in a
portfolio of securities selected by its investment adviser
consistent with its investment objectives and policies. In contrast,
an open-end investment company that issues Investment Company Units,
listed and traded on the Exchange under NYSE Arca Equities Rule
5.2(j)(3), seeks to provide investment results that correspond
generally to the price and yield performance of a specific foreign
or domestic stock index, fixed income securities index or
combination thereof.
    \5\ The Commission has previously approved listing and trading
on the Exchange of a number of actively managed funds under Rule
8.600. See, e.g., Securities Exchange Act Release Nos. 57801 (May 8,
2008), 73 FR 27878 (May 14, 2008) (SR-NYSEArca-2008-31) (order
approving Exchange listing and trading of twelve actively-managed
funds of the WisdomTree Trust); 62502 (July 15, 2010), 75 FR 42471
(July 21, 2010) (SR-NYSEArca-2010-57) (order approving listing and
trading of AdviserShares WCM/BNY Mellon Focused Growth ADR ETF);
63076 (October 12, 2010), 75 FR 63874 (October 18, 2010) (SR-
NYSEArca-2010-79) (order approving listing and trading of Cambria
Global Tactical ETF); 71540 (February 12, 2014), 79 FR 9515
(February 19, 2014) (SR-NYSEArca-2013-138) (order approving listing
and trading of shares of the iShares Enhanced International Large-
Cap ETF and iShares Enhanced International Small-Cap ETF).
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    The Shares will be offered by SSgA Active ETF Trust (the
``Trust''), which is organized as a Massachusetts business trust and is
registered with the Commission as an open-end management investment
company.\6\ SSgA Funds Management, Inc. will serve as the investment
adviser to the Fund (the ``Adviser'' or ``SSgA FM''). 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 ``Administrator'', ``Custodian'' or ``Transfer
Agent'') will serve as administrator, custodian and transfer agent for
the Fund.
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    \6\ The Trust is registered under the 1940 Act. On September 20,
2012, the Trust filed with the Commission an amendment to its
registration statement on Form N-1A under the Securities Act of 1933
(15 U.S.C. 77a) (``Securities Act''), and under the 1940 Act
relating to the Fund (File Nos. 333-173276 and 811-22542)
(``Registration Statement''). The description of the operation of
the Trust and the Fund herein is based, in part, on the Registration
Statement. In addition, the Commission has issued an order granting
certain exemptive relief to the Trust under the 1940 Act. See
Investment Company Act Release No. 29524 (December 13, 2010) (File
No. 812-13487) (``Exemptive Order'').
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    Commentary .06 to Rule 8.600 provides that, if the investment
adviser to the investment company issuing Managed Fund Shares is
affiliated with a broker-dealer, such investment adviser shall erect a
``fire wall'' between the investment adviser and the broker-dealer with
respect to access to information concerning the composition and/or
changes to such investment company portfolio. In addition, Commentary
.06 further requires that personnel who make decisions on the open-end
fund's portfolio composition must be subject to procedures designed to
prevent the use and dissemination of material nonpublic information
regarding the open-end fund's portfolio.\7\ Commentary .06 to Rule

8.600 is similar to Commentary .03(a)(i) and (iii) to NYSE Arca
Equities Rule 5.2(j)(3); however, Commentary .06 in connection with the
establishment of a ``fire wall'' between the investment adviser and the
broker-dealer reflects the applicable open-end fund's portfolio, not an
underlying benchmark index, as is the case with index-based funds. The
Adviser is not a registered broker-dealer but is affiliated with a
broker-dealer and has implemented a ``fire wall'' with respect to such
broker-dealer regarding access to information concerning the
composition and/or changes to the Fund's portfolio. In the event (a)
the Adviser or any sub-adviser becomes registered as a broker-dealer or
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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    \7\ An investment adviser to an open-end fund is required to be
registered under the Investment Advisers Act of 1940 (the ``Advisers
Act''). As a result, the Adviser and its related personnel are
subject to the provisions of Rule 204A-1 under the Advisers Act
relating to codes of ethics. This Rule requires investment advisers
to adopt a code of ethics that reflects the fiduciary nature of the
relationship to clients as well as compliance with other applicable
securities laws. Accordingly, procedures designed to prevent the
communication and misuse of non-public information by an investment
adviser must be consistent with Rule 204A-1 under the Advisers Act.
In addition, Rule 206(4)-7 under the Advisers Act makes it unlawful
for an investment adviser to provide investment advice to clients
unless such investment adviser has (i) adopted and implemented
written policies and procedures reasonably designed to prevent
violation, by the investment adviser and its supervised persons, of
the Advisers Act and the Commission rules adopted thereunder; (ii)
implemented, at a minimum, an annual review regarding the adequacy
of the policies and procedures established pursuant to subparagraph
(i) above and the effectiveness of their implementation; and (iii)
designated an individual (who is a supervised person) responsible
for administering the policies and procedures adopted under
subparagraph (i) above.
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Principal Investment Policies
    According to the Registration Statement, the Fund will seek to
provide competitive long-term returns while maintaining low long-term
volatility relative to the broad global market. Under normal
circumstances,\8\ the Fund will invest all of its assets in the SSgA
Global Managed Volatility Portfolio (the ``Portfolio''), a separate
series of the SSgA Master Trust with an identical investment objective
as the Fund. As a result, the Fund will invest indirectly through the
Portfolio.
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    \8\ The term ``under normal circumstances'' includes, but is not
limited to, the absence of extreme volatility or trading halts in
the equity markets or the financial markets generally; operational
issues causing dissemination of inaccurate market information; or
force majeure type events such as systems failure, natural or man-
made disaster, act of God, armed conflict, act of terrorism, riot or
labor disruption or any similar intervening circumstance.
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    The Adviser will utilize a proprietary quantitative investment
process to select a portfolio of exchange-listed and traded equity
securities that the Adviser believes will exhibit low volatility and
provide competitive long-term returns relative to the broad global
market.\9\ The Portfolio will invest its assets in both U.S. and
foreign investments. The Portfolio will generally invest at least 80%
of its net assets in global equity securities and at least 30% of its
net assets in global equity securities of issuers economically tied to
countries other than the United States and will generally hold
securities of issuers economically tied to at least three countries,
including the United States. The Portfolio may purchase exchange-listed
and traded common stocks and preferred securities of U.S. and foreign
corporations.\10\ The Adviser expects to favor securities with low
exposure to market risk factors and low security-specific risk. The
Adviser will consider market risk factors to include, among others, a
security's size, momentum, value, liquidity, leverage and growth. While
the Adviser will attempt to manage the Fund's volatility exposure to
stabilize performance, there can be no guarantee that the Fund will
reach its target volatility. Additionally, the Adviser will implement
risk constraints at the security, industry, size exposure, and sector
levels. Through this quantitative process of security selection and
portfolio diversification, the Adviser expects that the Portfolio will
be subject to a low level of absolute risk (as defined by standard
deviation of returns) and thus should exhibit low volatility over the
long term.
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    \9\ Volatility is a statistical measurement of the magnitude of
up and down fluctuations in the value of a financial instrument or
index over time. Volatility may result in rapid and dramatic price
swings.
    \10\ Investment in common stock of foreign corporations may also
be in the form of American Depositary Receipts (``ADRs''), Global
Depositary Receipts (``GDRs'') and European Depositary Receipts (``
EDRs'') (collectively ``Depositary Receipts''). Depositary Receipts
are receipts, typically issued by a bank or trust company, which
evidence ownership of underlying securities issued by a foreign
corporation. For ADRs, the depsitory 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 designated for use in
European securities markets. GDRs are tradable in the United States
and in Europe and are designed for use throughout the world. The
Portfolio may invest in unsponsored Depositary Receipts. The issuers
of unsponsored Depositary Receipts are not obligated to disclose
material information in the United States, and, therefore, there may
be less information available regarding such issuers and there may
not be a correlation between such information and the market value
of the Depositary Receipts. Unsponsored Depositary Receipts will not
exceed 10% of the Fund's not assets.
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    The Fund is intended to be managed in a ``master-feeder''
structure, under which the Fund will invest substantially all of its
assets in a corresponding Portfolio (i.e., a ``master-feeder''), which
is a separate 1940 Act-registered mutual fund that has an identical
investment objective.\11\ As a result, the Fund (i.e., the ``feeder
fund'') will have an indirect interest in all of the securitites owned
by the corresponding Portfolio. Because of this indirect interest, the
Fund's investment returns should be the same as those of the Portfolio,
adjusted for the expenses of the Fund. In extraordinary instances, the
Fund reserves the right to make direct investments in securities.
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    \11\ The Adviser represents that, in general, the Portfolio
(i.e., the master fund) will be where investments will be held,
which investments will primarily consist of equity securities; and
may, to a lesser extent, include other investments as described
under ``Non-Principal Investment Policies'' below. The Fund (i.e.,
the feeder fund) will invest in shares of the Portfolio and will not
invest in investments described under ``Non-Principal Investment
Policies'', but may be exposed to such investments by means of the
Fund's investment in shares of the Portfolio. In extraordinary
instances, the Fund reserves the right to make direct investments in
equity securities and other investments.
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    The Adviser will manage the investments of the Portfolio. Under the
master-feeder arrangement, and pursuant to the investment advisory
agreement between the Adviser and the Trust, investment advisory fees
charged at the Portfolio level will be deducted from the advisory fees
charged at the Fund level. This arrangement avoids a ``layering'' of
fees, e.g., the Fund's total annual operating expenses would be no
higher as a result of investing in a master-feeder arrangement than
they would be if the Fund pursued its investment objectives directly.
In addition, the Fund may discontinue investing through the master-
feeder arrangement and pursue its investment objectives directly if the
Fund's Board of Trustees (``Board'') determines that doing so would be
in the best interests of shareholders.
    The exchange-listed and traded equity securities in which the
Portfolio would be permitted to invest will be limited to: (1) equity
securities that trade in markets that are members of the Intermarket
Surveillance Group (``ISG'') or are parties to a comprehensive
surveillance sharing agreement (``CSSA'') with the Exchange or, (2)
``Actively-Traded Securities'' as defined in Regulation M (``Reg M'')
under the Act that are traded on U.S. and non-U.S. exchanges with last
sale reporting.\12\
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    \12\ Rule 101 under Reg M defines Actively-Traded Securities as
securities that have an average daily trading volume (``ADTV'') of
at least $1 million and are issued by an issuer whose common equity
securities have a public float value of at least $150 million. Rule
102 includes an analogous definition for actively-traded reference
securities.
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    The Portfolio and Fund do not intend to concentrate their
investments in any particular industry. The Portfolio and Fund will
look to the Global Industry Classification Standard (``GICS'') Level 3

(Industries) in making industry determinations.\13\
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    \13\ GICS classifications can be found on the Standard & Poor's
Web site at http://www.us.spindices.com/search/?query=gics+map.
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    The Portfolio may invest in exchange-traded preferred securities.
Preferred securities pay fixed or adjustable rate dividends to
investors, and have ``preference'' over common stock in the payment of
dividends and the liquidation of a company's assets.
Non-Principal Investment Policies
    In certain situations or market conditions, in order to take
temporary defensive positions, the Fund may (either directly or through
the Portfolio) temporarily depart from its normal investment policies
and strategies provided that the alternative is consistent with the
Fund's investment objective and is in the best interest of the Fund.
For example, the Fund may hold a higher than normal proportion of its
assets in cash in times of extreme market stress.
    According to the Registration Statement, in addition to the
principal investments described above, the Portfolio may invest its
remaining net assets in other investments, as described below. The
investment practices of the Portfolio are the same in all material
respects to those of the Fund.
    The Portfolio may invest in U.S. Government obligations. U.S.
Government obligations are a type of bond. U.S. Government obligations
include securities issued or guaranteed as to principal and interest by
the U.S. Government, its agencies or instrumentalities.\14\
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    \14\ One type of U.S. Government obligation, U.S. Treasury
obligations, are backed by the full faith and credit of the U.S.
Treasury and differ only in their interest rates, maturities, and
times of issuance. U.S. Treasury bills have initial maturities of
one-year or less; U.S. Treasury notes have initial maturities of one
to ten years; and U.S. Treasury bonds generally have initial
maturities of greater than ten years. Other U.S. Government
obligations are issued or guaranteed by agencies or
instrumentalities of the U.S. Government including, but not limited
to, Federal National Mortgage Association (``Fannie Mae''), the
Government National Mortgage Association (``Ginnie Mae''), the Small
Business Administration, the Federal Farm Credit Administration, the
Federal Home Loan Mortgage Corporation (``FHLMC''), the Federal Home
Loan Banks, Banks for Cooperatives (including the Central Bank for
Cooperatives), the Federal Land Banks, the Federal Intermediate
Credit Banks, the Tennessee Valley Authority, the Export-Import Bank
of the United States, the Commodity Credit Corporation, the Federal
Financing Bank, the National Credit Union Administration and the
Federal Agricultural Mortgage Corporation. Some obligations issued
or guaranteed by U.S. Government agencies and instrumentalities,
including, for example, Ginnie Mae pass-through certificates, are
supported by the full faith and credit of the U.S. Treasury.
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    The Portfolio may purchase U.S. registered, dollar-denominated
bonds of foreign corporations, governments, agencies and supra-national
entities.
    The Portfolio may invest in restricted securities. Restricted
securities are securities that are not registered under the Securities
Act, but which can be offered and sold to ``qualified institutional
buyers'' under Rule 144A under the Securities Act. When Rule 144A
restricted securities present an attractive investment opportunity and
meet other selection criteria, the Portfolio may make such investments
depending on the market that exists for the particular security. The
Board has delegated the responsibility for determining the liquidity of
Rule 144A restricted securities that the Portfolio may invest in to the
Adviser.\15\
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    \15\ In reaching liquidity decisions, the Adviser may consider
the following factors: the frequency of trades and quotes for the
security; the number of dealers wishing to purchase or sell the
security and the number of other potential purchasers; dealer
undertakings to make a market in the security; and the nature of the
security and the nature of the marketplace in which it trades (e.g.,
the time needed to dispose of the security, the method of soliciting
offers and the mechanics of transfer) and the nature of the
marketplace trades (e.g., the time needed to dispose of the
security, the method of soliciting offers, and the mechanics of
transfer) [sic].
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    The Portfolio may conduct foreign currency transactions on a spot
(i.e., cash) or forward basis (i.e., by entering into forward contracts
to purchase or sell foreign currencies).
    The Portfolio may invest in exchange-traded products (``ETPs''),
including exchange-traded funds (``ETFs'') registered under the 1940
Act; exchange traded commodity trusts; and exchange-traded notes
(``ETNs'').\16\
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    \16\ For purposes of this filing, ETPs include Investment
Company Units (as described in NYSE Arca Equities Rule 5.2(j)(3));
Index-Linked Securities (as described in NYSE Arca Equities Rule
5.2(j)(6)); Portfolio Depositary Receipts (as described in NYSE Arca
Equities Rule 8.100); Trust Issued Receipts (as described in NYSE
Arca Equities Rule 8.200); Commodity-Based Trust Shares (as
described in NYSE Arca Equities Rule 8.201); Currency Trust Shares
(as described in NYSE Arca Equities Rule 8.202); Commodity Index
Trust Shares (as described in NYSE Arca Equities Rule 8.203); and
Managed Fund Shares (as described in NYSE Arca Equities Rule 8.600).
The Portfolio may invest in ETFs managed by the Adviser. The Adviser
may receive management or other fees from the ETPs in which the
Portfolio or Fund may invest, as well as a management fee for
managing the Fund. The ETPs all will be listed and traded in the
U.S. on national securities exchanges.
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    In addition, the Portfolio may invest in the securities of other
investment companies, including money market funds and exchange-traded
closed-end funds, subject to applicable limitations under Section
12(d)(1) of the 1940 Act.\17\ The Portfolio may invest up to 25% of its
total assets in one or more ETPs that are qualified publicly traded
partnerships (``QPTPs'') and whose principal activities are the buying
and selling of commodities or options, futures, or forwards with
respect to commodities.\18\ A QPTP is an entity that is treated as a
partnership for federal income tax purposes, subject to certain
requirements. If such an ETP fails to qualify as a QPTP, the income
generated from the Portfolio's investment in the ETP may not comply
with certain income tests necessary for the Portfolio to qualify as a
regulated investment company under Subchapter M of the Internal Revenue
Code.\19\
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    \17\ The Fund will invest substantially all of its assets in the
Portfolio. Pursuant to Section 12(d)(1) of the 1940 Act, a fund may
invest in the securities of another investment company (the
``acquired company'') provided that the fund, immediately after such
purchase or acquisition, does not own in the aggregate: (i) more
than 3% of the total outstanding voting stock of the acquired
company; (ii) securities issued by the acquired company having an
aggregate value in excess of 5% of the value of the total assets of
the fund; (iii) securities issued by the acquired company and all
other investment companies (other than Treasury stock of the fund)
having an aggregate value in excess of 10% of the value of the total
assets of the fund; or (iv) in the case of investment in a closed-
end fund, more than 10% of the total outstanding voting stock of the
acquired company. The Fund may also invest in the securities of
other investment companies if such securities are the only
investment securities held by the Fund, such as through a master-
feeder arrangement. The Fund currently will pursue its investment
objective through such an arrangement. To the extent allowed by law,
regulation, the Fund's investment restrictions and the Trust's
exemptive relief, the Fund may invest its assets in securities of
investment companies that are money market funds, including those
advised by the Adviser or otherwise affiliated with the Adviser, in
excess of the limits discussed above.
    \18\ Examples of such entities are the PowerShares DB Energy
Fund, PowerShares DB Oil Fund, PowerShares DB Precious Metals Fund,
PowerShares DB Gold Fund, PowerShares DB Silver Fund, PowerShares DB
Base Metals Fund, and PowerShares DB Agriculture Fund, which are
listed and traded on the Exchange pursuant to NYSE Arca Equities
Rule 8.200.
    \19\ 26 U.S.C. 851.
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    The Portfolio may invest in exchange-traded shares of real estate
investment trusts (``REITs'').
    The Portfolio may invest in repurchase agreements with commercial
banks, brokers or dealers to generate income from its excess cash
balances and to invest securities lending cash collateral. A repurchase
agreement is an agreement under which a fund acquires a financial
instrument (e.g., a security issued by the U.S. government or an agency
thereof, a banker's acceptance or a certificate of deposit) from a
seller, subject to resale to the seller at an agreed upon price and
date (normally, the next business day). A repurchase agreement may be
considered a loan collateralized by securities. The resale price
reflects an agreed upon interest rate effective for the period the
instrument is held by a fund and is

unrelated to the interest rate on the underlying instrument.
    The Portfolio may enter into reverse repurchase agreements, which
involve the sale of securities with an agreement to repurchase the
securities at an agreed-upon price, date and interest payment and have
the characteristics of borrowing. The securities purchased with the
funds obtained from the agreement and securities collateralizing the
agreement will have maturity dates no later than the repayment date.
Generally the effect of such transactions is that a fund can recover
all or most of the cash invested in the portfolio securities involved
during the term of the reverse repurchase agreement, while in many
cases a fund is able to keep some of the interest income associated
with those securities.
    In addition to repurchase agreements, the Portfolio may invest in
short-term instruments, including money market instruments, (including
money market funds advised by the Adviser), cash and cash equivalents,
on an ongoing basis to provide liquidity or for other reasons. Money
market instruments are generally short-term investments that may
include but are not limited to: (i) Shares of money market funds; (ii)
obligations issued or guaranteed by the U.S. government, its agencies
or 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 Standard & Poor's, or if unrated, of comparable
quality as determined by the Adviser \20\; (v) non-convertible
corporate debt securities (e.g., bonds and debentures) with remaining
maturities at the date of purchase of not more than 397 days and that
satisfy the rating requirements set forth in Rule 2a-7 under the 1940
Act; (vi) short-term U.S. dollar-denominated obligations of foreign
banks (including U.S. branches) that, in the opinion of the Adviser,
are of comparable quality to obligations of U.S. banks which may be
purchased by the Portfolio; and (vii) variable rate demand notes.
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    \20\ Commercial paper consists of short-term, promissory notes
issued by banks, corporations and other entities to finance short-
term credit needs. These securities generally are discounted but
sometimes may be interest bearing.
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Investment Restrictions
    According to the Registration Statement, the Portfolio and the Fund
will be classified as a ``non-diversified'' investment company under
the 1940 Act.\21\ A non-diversified classification means that the
Portfolio or Fund is not limited by the 1940 Act with regard to the
percentage of its assets that may be invested in the securities of a
single issuer. This means that the Portfolio or Fund may invest a
greater portion of its assets in the securities of a single issuer than
a diversified fund.
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    \21\ A ``non-diversified company'', as defined in Section
5(b)(2) of the 1940 Act, means any management company other than a
diversified company (as defined in Section 5(b)(1) of the 1940 Act).
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    Although the Portfolio and Fund will be non-diversified for
purposes of the 1940 Act, the Portfolio and Fund intend to maintain the
required level of diversification and otherwise conduct its operations
so as to qualify as a ``regulated investment company'' for purposes of
the Internal Revenue Code of 1986. \22\
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    \22\ 26 U.S.C. 851.
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    The Fund may hold up to an aggregate amount of 15% of its net
assets in illiquid assets (calculated at the time of investment),
including Rule 144A securities deemed illiquid by the Adviser.\23\ 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.\24\
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    \23\ See note 24, infra.
    \24\ The Commission has stated that long-standing Commission
guidelines have required open-end funds to hold no more than 15% of
their net assets in illiquid securities and other illiquid assets.
See Investment Company Act Release No. 28193 (March 11, 2008), 73 FR
14618 (March 18, 2008), footnote 34. See also, Investment Company
Act Release No. 5847 (October 21, 1969), 35 FR 19989 (December 31,
1970) (Statement Regarding ``Restricted Securities''); Investment
Company Act Release No. 18612 (March 12, 1992), 57 FR 9828 (March
20, 1992) (Revisions of Guidelines to Form N-1A). A fund's portfolio
security is illiquid if it cannot be disposed of in the ordinary
course of business within seven days at approximately the value
ascribed to it by the fund. See Investment Company Act Release No.
14983 (March 12, 1986), 51 FR 9773 (March 21, 1986) (adopting
amendments to Rule 2a-7 under the 1940 Act); Investment Company Act
Release No. 17452 (April 23, 1990), 55 FR 17933 (April 30, 1990)
(adopting Rule 144A under the 1933 Act).
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    Neither the Fund nor the Portfolio will invest in options, futures
contracts or swaps agreements. The Fund's and Portfolio's investments
will be consistent with its investment objective and will not be used
to enhance leverage.
Net Asset Value
    The Fund will calculate net asset value (``NAV'') using the NAV of
the Portfolio. NAV per Share for the Fund will be computed by dividing
the value of the net assets of the Portfolio (i.e., the value of its
total assets less total liabilities) by the total number of Shares
outstanding, rounded to the nearest cent. Expenses and fees, including
the management fees, will be accrued daily and taken into account for
purposes of determining NAV. The NAV of the Portfolio will be
calculated by the Custodian and determined at the close of the regular
trading session on the New York Stock Exchange (``NYSE'') (ordinarily
4:00 p.m. Eastern time) on each day that such exchange is open,
provided that fixed-income assets (and, accordingly, the Portfolio's
NAV) may be valued as of the announced closing time for trading in
fixed-income instruments on any day that the Securities Industry and
Financial Markets Association (or applicable exchange or market on
which the Portfolio's investments are traded) announces an early
closing time. Creation/redemption order cut-off times (as described
further below) may also be earlier on such days.
    In calculating the Portfolio's NAV, the Portfolio's investments
will generally be valued using market valuations. A market valuation
generally means a valuation (i) obtained from an exchange, a pricing
service, or a major market maker (or dealer), (ii) based on a price
quotation or other equivalent indication of value supplied by an
exchange, a pricing service, or a major market maker (or dealer) or
(iii) based on amortized cost. In the case of shares of other funds
that are not traded on an exchange, a market valuation means such
fund's published NAV per share. The Adviser may use various pricing
services, or discontinue the use of any pricing service, as approved by
the Board of the SSgA Master Trust from time to time. A price obtained
from a pricing service based on such pricing service's valuation matrix
may be considered a market valuation. Any assets or liabilities
denominated in currencies other than the U.S. dollar will be converted
into U.S. dollars at the current market rates on the date of valuation
as quoted by one or more sources.
    Common stocks and exchange-traded equity securities (including
shares of preferred securities, ETPs, closed-end funds, QPTPs, REITs
and Depositary

Receipts (other than unsponsored Depositary Receipts traded in the OTC
market) traded on a national securities exchange generally will be
valued at the last reported sale price or the official closing price on
that exchange where the stock is primarily traded on the day that the
valuation is made. Foreign exchange-traded equities and listed ADRs
will be valued at the last sale or official closing price on the
relevant exchange on the valuation date. If, however, neither the last
sale price nor the official closing price is available, each of these
securities will be valued at either the last reported sale price or
official closing price as of the close of regular trading of the
principal market on which the security is listed.
    Securities of investment companies (other than ETFs registered
under the 1940 Act), including affiliated funds, money market funds and
closed-end funds, will be valued at NAV.
    Unsponsored Depositary Receipts, which are traded in the OTC
market, will be valued at the last reported sale price from the OTC
Bulletin Board or OTC Link LLC on the valuation date.
    Rule 144A securities, repurchase agreements and reverse repurchase
agreements will generally be valued at bid prices received from
independent pricing services as of the announced closing time for
trading in such instruments. Spot currency transactions will generally
be valued at bid prices received from independent pricing services
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, fixed income securities, including U.S.
Government obligations, U.S. registered, dollar-denominated bonds of
foreign corporations, governments, agencies and supra-national
entities, and short-term instruments will generally be valued at bid
prices received from independent pricing services as of the announced
closing time for trading in fixed-income instruments in the respective
market or exchange. In determining the value of a fixed income
investment, pricing services determine valuations for normal
institutional-size trading units of such securities using valuation
models or matrix pricing, which incorporates yield and/or price with
respect to bonds that are considered comparable in characteristics such
as rating, interest rate and maturity date and quotations from
securities dealers to determine current value.
    Any assets or liabilities denominated in currencies other than the
U.S. dollar will be converted into U.S. dollars at the current market
rates on the date of valuation as quoted by one or more sources.
    In the event that current market valuations are not readily
available or such valuations do not reflect current market value, the
SSgA Master Trust's procedures require the Pricing and Investment
Committee\25\ to determine a security's fair value if a market price is
not readily available, in accordance with the 1940 Act. In determining
such value, the Pricing and Investment Committee may consider, among
other things, (i) price comparisons among multiple sources, (ii) a
review of corporate actions and news events, and (iii) a review of
relevant financial indicators (e.g., movement in interest rates, market
indices, and prices from the Portfolios' index providers). In these
cases, the Portfolio's NAV may reflect certain portfolio securities'
fair values rather than their market prices. Fair value pricing
involves subjective judgments and it is possible that the fair value
determination for a security is materially different than the value
that could be realized upon the sale of the security.
---------------------------------------------------------------------------

    \25\ The Pricing and Investment Committee is subject to
procedures designed to prevent the use and dissemination of material
non-public information regarding the Portfolio and 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. Creation Unit sizes will be
50,000 Shares per Creation Unit. 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 pursuant to the terms of the authorized participant
agreement.
    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 held by the corresponding master
fund (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, immediately prior
to the opening of business on the Exchange's Core Trading Session (9:30
a.m. Eastern time), the list of the names and the required number of
shares of each Deposit Security or the required amount of Deposit Cash,
as applicable, to be included in the current Fund Deposit (based on
information at the end of the previous business day) for the Fund. Such
Fund Deposit is subject to any applicable adjustments as described in
the Registration Statement, in order to effect purchases of Creation
Units of the Fund until such time as the next-announced composition of
the Deposit Securities or the required amount of Deposit Cash, as
applicable, is made available.
    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 (as defined below) 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.
    The creation/redemption order cut-off time for the Fund is expected
to be 4:00 p.m. Eastern 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 (www.spdrs.com), which will be publicly
available prior to the public offering of Shares, will include a form
of the prospectus for the Fund that may be downloaded. The Fund's Web
site will include additional quantitative information updated on a
daily basis, including, for the Fund (1) daily trading volume, the
prior business day's reported closing price, NAV and mid-point of the
bid/ask spread at the time of calculation of such NAV (the ``Bid/Ask
Price''),\26\ and a calculation of the premium and discount of the Bid/
Ask Price against the NAV, and (2) data in chart format displaying the
frequency distribution of discounts and premiums of the daily Bid/Ask
Price against the NAV, within appropriate ranges, for each of the four
previous calendar quarters. On each business day, before commencement
of trading in Shares in the Core Trading Session on the Exchange, the
Fund will disclose on its Web site the Disclosed Portfolio as defined
in NYSE Arca Equities Rule 8.600(c)(2) that will form the basis for the
Fund's calculation of NAV at the end of the business day.\27\
---------------------------------------------------------------------------

    \26\ 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 their service
providers.
    \27\ Under accounting procedures followed by the Fund, trades
made on the prior business day (``T'') will be booked and reflected
in NAV on the current business day (``T+1''). Accordingly, the Fund
will be able to disclose at the beginning of the business day the
portfolio that will form the basis for the NAV calculation at the
end of the business day.
---------------------------------------------------------------------------

    On a daily basis, the Fund will disclose for each portfolio
security or other financial instrument of the Fund and of the Portfolio
the following information on the Fund's Web site: ticker symbol (if
applicable), name of security and financial instrument, number of
shares and dollar value of financial instruments held in the portfolio,
and percentage weighting of the security and financial instrument in
the portfolio. The Web site information will be publicly available at
no charge.
    In addition, a basket composition file, which includes the security
names and share quantities required to be delivered in exchange for the
Fund's Shares, together with estimates and actual cash components, will
be publicly disseminated daily prior to the opening of the NYSE via
NSCC. The basket represents one Creation Unit of the Fund.
    Investors can also obtain the Trust's Statement of Additional
Information (``SAI''), the Fund's Shareholder Reports, and the Trust's
Form N-CSR and Form N-SAR, filed twice a year. The Trust's SAI and
Shareholder Reports are available free upon request from the Trust, and
those documents and the Form N-CSR and Form N-SAR may be viewed on-
screen or downloaded from the Commission's Web site at www.sec.gov.
Information regarding market price and trading volume of the Shares
will be continually available on a real-time basis throughout the day
on brokers' computer screens and other electronic services. Information
regarding the previous day's closing price and trading volume
information for the Shares will be published daily in the financial
section of newspapers. Quotation and last sale information for the
Shares will be available via the Consolidated Tape Association
(``CTA'') high-speed line. With respect to U.S. exchange-listed equity
securities, the intra-day, closing and settlement prices of common
stocks and exchange-traded equity securities (including shares of
preferred securities, ETPs, closed-end funds, QPTPs, REITs and U.S.
exchange-listed Depositary Receipts) will be readily available from the
national securities exchanges trading such securities, automated
quotation systems, published or other public sources, or on-line
information services such as Bloomberg or Reuters. With respect to non-
U.S. exchange-listed equity securities, intra-day, closing and
settlement prices of common stocks and other equity securities
(including shares of preferred securities, and non-U.S. Depositary
Receipts), will be available from the foreign exchanges on which such
securities trade as well as from major market data vendors. Pricing
information regarding each asset class in which the Fund or Portfolio
will invest will generally be available through nationally recognized
data service providers through subscription arrangements. Quotation
information from brokers and dealers or pricing services will be
available for fixed income securities, including U.S. Government
obligations, U.S. registered, dollar-denominated bonds of foreign
corporations, governments, agencies and supra-national entities, and
short-term instruments; unsponsored Depositary Receipts; and spot and
forward currency transactions held by the Fund and Portfolio. In
addition, the Indicative Optimized Portfolio Value (``IOPV''),\28\
which is the Portfolio Indicative Value as defined in NYSE Arca
Equities Rule 8.600 (c)(3), will be widely disseminated at least every
15 seconds during the Exchange's Core Trading Session by one or more
major market data vendors.\29\ The dissemination of the IOPV, together
with the Disclosed Portfolio, will allow investors to determine the
value of the underlying portfolio of the Fund and of the Portfolio on a
daily basis and to provide a close estimate of that value throughout
the trading day. Additional information regarding the Trust and the
Shares,

including investment strategies, risks, creation and redemption
procedures, fees, portfolio holdings disclosure policies, distributions
and taxes is included in the Registration Statement. All terms relating
to the Fund that are referred to, but not defined in, this proposed
rule change are defined in the Registration Statement.
---------------------------------------------------------------------------

    \28\ The IOPV calculation will be an estimate of the value of
the Fund's NAV per Share using market data converted into U.S.
dollars at the current currency rates. The IOPV price will be based
on quotes and closing prices from the securities' local market and
may not reflect events that occur subsequent to the local market's
close. Premiums and discounts between the IOPV and the market price
of the Shares may occur. This should not be viewed as a ``real-
time'' update of the NAV per Share of the Fund, which will be
calculated only once a day.
    \29\ Currently, it is the Exchange's understanding that several
major market data vendors display and/or make widely available IOPVs
taken from CTA or other data feeds.
---------------------------------------------------------------------------

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.\30\ 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. These may include: (1) The
extent to which trading is not occurring in the securities and/or the
financial instruments comprising the Disclosed Portfolio of the Fund;
or (2) whether other unusual conditions or circumstances detrimental to
the maintenance of a fair and orderly market are present. Trading in
the Shares will be subject to NYSE Arca Equities Rule 8.600(d)(2)(D),
which sets forth circumstances under which Shares of the Fund may be
halted.
---------------------------------------------------------------------------

    \30\ See NYSE Arca Equities Rule 7.12.
---------------------------------------------------------------------------

Trading Rules
    The Exchange deems the Shares to be equity securities, thus
rendering trading in the Shares subject to the Exchange's existing
rules governing the trading of equity securities. Shares will trade on
the NYSE Arca Marketplace from 4:00 a.m. to 8:00 p.m. Eastern time in
accordance with NYSE Arca Equities Rule 7.34 (Opening, Core, and Late
Trading Sessions). The Exchange has appropriate rules to facilitate
transactions in the Shares during all trading sessions. As provided in
NYSE Arca Equities Rule 7.6, Commentary .03, the minimum price
variation (``MPV'') for quoting and entry of orders in equity
securities traded on the NYSE Arca Marketplace is $0.01, with the
exception of securities that are priced less than $1.00 for which the
MPV for order entry is $0.0001.
    The Shares will conform to the initial and continued listing
criteria under NYSE Arca Equities Rule 8.600. The Exchange represents
that, for initial and/or continued listing, the Fund will be in
compliance with Rule 10A-3 \31\ under the Act, as provided by NYSE Arca
Equities Rule 5.3. A minimum of 100,000 Shares for the Fund will be
outstanding at the commencement of trading on the Exchange. The
Exchange will obtain a representation from the issuer of the Shares
that the NAV per Share will be calculated daily and that the NAV and
the Disclosed Portfolio will be made available to all market
participants at the same time.
---------------------------------------------------------------------------

    \31\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

Surveillance
    The Exchange represents that trading in the Shares will be subject
to the existing trading surveillances, administered by the Financial
Industry Regulatory Authority (``FINRA'') on behalf of the Exchange,
which are designed to detect violations of Exchange rules and
applicable federal securities laws.\32\ The Exchange represents that
these procedures are adequate to properly monitor Exchange trading of
the Shares in all trading sessions and to deter and detect violations
of Exchange rules and federal securities laws applicable to trading on
the Exchange.
---------------------------------------------------------------------------

    \32\ FINRA surveils trading on the Exchange pursuant to a
regulatory services agreement. The Exchange is responsible for
FINRA's performance under this regulatory services agreement.
---------------------------------------------------------------------------

    The surveillances referred to above generally focus on detecting
securities trading outside their normal patterns, which could be
indicative of manipulative or other violative activity. When such
situations are detected, surveillance analysis follows and
investigations are opened, where appropriate, to review the behavior of
all relevant parties for all relevant trading violations.
    FINRA, on behalf of the Exchange, will communicate as needed
regarding trading in the Shares, ETPs and certain exchange-traded
securities underlying the Shares with other markets and other entities
that are members of the Intermarket Surveillance Group (``ISG''), and
FINRA, on behalf of the Exchange, may obtain trading information
regarding trading in the Shares, ETPs and certain exchange-traded
securities underlying the Shares from such markets and other entities.
In addition, the Exchange may obtain information regarding trading in
the Shares, ETPs and certain exchange-traded securities underlying the
Shares from markets and other entities that are members of ISG or with
which the Exchange has in place a comprehensive surveillance sharing
agreement.\33\ FINRA, on behalf of the Exchange, is able to access, as
needed, trade information for certain fixed income securities held by
the Fund reported to FINRA's Trade Reporting and Compliance Engine
(``TRACE'').
---------------------------------------------------------------------------

    \33\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of the
Disclosed Portfolio for the Fund may trade on markets that are
members of ISG or with which the Exchange has in place a
comprehensive surveillance sharing agreement.
---------------------------------------------------------------------------

    In addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
Information Sharing Procedures
    The Commission requires that, in designing a new derivative
securities product, the self-regulatory organization (``SRO'')
determine that it has adequate information sharing procedures to detect
and deter potential trading abuses.\34\ In many, but not all, cases,
this requirement is met through listing standards that require the
securities underlying a new derivatives securities product to be listed
on markets that are members of the Intermarket Surveillance Group
(``ISG'') or with which the Exchange has a comprehensive surveillance
sharing agreement (``CSSA''). For example, the generic listing
standards for options on closed end funds holding foreign stocks,
options on foreign index ETFs and foreign index options require
information sharing agreements for the underlying index or portfolio
securities.\35\ Similarly, the listing standards for stock index
warrants, contain a specific limitation on the percentage of foreign
country securities that are not traded on markets that are not subject
to CSSAs.\36\
---------------------------------------------------------------------------

    \34\ See, e.g., Securities Exchange Act Release No. 40761
(December 8, 1998) (S7-13-98) (New Products Release). The New
Products Release was adopted in 1998 to expand the scope of SRO
matters that do not constitute proposed rule changes in response to
the need for flexibility in regulating new derivative securities
products by developing streamlined filing procedures to ease the
SROs' regulatory burdens in many circumstances.
    \35\ See, e.g., NYSE Arca Options Rule 5.3(e) (options on
international closed end funds) (requiring the Exchange to have a
market information sharing agreement with the primary exchange for
each of the securities held by the fund or that such fund be
classified as a diversified fund under Section 5(b) of the 1940 Act
and that securities of the fund be issued by issuers in five or more
countries); NYSE Arca Options Rule 5.3(g) (options on ETFs)
(requiring that non-U.S. component securities of the underlying
index or portfolio that are not subject to CSSAs not, in the
aggregate, represent more than 50% of the weight of the index or
portfolio; that component securities for which the primary market is
in any one country that is not subject to a CSSA not represent 20%
or more of the index weight; and that component securities for which
the primary market is in any two countries not subject to CSSAs not
represent 33% or more of the index weight); NYSE Arca Options Rule
5.12 (broad-based index options) (requiring that non-U.S. component
securities of the index not subject to CSSAs not, in the aggregate,
represent more than 20% of the index weight).
    \36\ See, e.g., NYSE Arca Equities Rule 8.3 (a)(7) (Listing of
Currency and Index Warrants) (Foreign Country Securities or American
Depository Receipts thereon that: (A) are not subject to a
comprehensive surveillance agreement, and (B) have less than 50% of
their global trading volume (in dollar value) within the United
States, shall not, in the aggregate, represent more than 20% of the
weight of the index, unless such index is otherwise approved for
warrant or option trading). In addition, see, e.g., Securities
Exchange Act Release Nos. 31121 (August 28, 1992) (SR-PSE-92-09 and
SR-PSE-92-10) (order granting accelerated approval of proposed rule
changes relating to listing index warrants based on the FT-SE
Eurotrack 200 Index and the Eurotop 100 Index); 30462 (March 11,
1992) (SR-Amex 91-10, SR-NYSE-91-13, SR-CBOE-91-09, SR-CBOE-91-13)
(order approving proposed rule changes relating to listing of index
options and index warrants based on the FT-SE Eurotrack 200 Index);
28544 October 17, 1990 (SR-Amex-90-08; SR-NYSE-90-36; SR-PHLX-90-25;
SR-PSE-90-18) (order approving proposed rule changes relating to the
listing of index warrants based on the CAC-40 Index).

---------------------------------------------------------------------------

    However, the generic listing standards for ETFs based on foreign
indexes in NYSE Arca Equities Rule 5.2(j)(3) (Investment Company
Units), and for closed end funds holding foreign securities do not
include specific CSSA requirements \37\. Additionally, the American
Stock Exchange and the New York Stock Exchange proposed and the
Commission approved the listing or trading pursuant to unlisted trading
privileges [sic] many foreign index-based ETFs that hold securities
listed and traded on markets with which the ETF-listing exchange did
not have CSSAs.\38\
---------------------------------------------------------------------------

    \37\ See, e.g., Securities Exchange Act Release No. 54739
(November 9, 2006) (SR-Amex-2006-78) (stating that CSSAs are not
required in connection with listing of ETFs under the generic
listing criteria of American Stock Exchange Rule 1000A given that
the [sic] such generic listing criteria otherwise require minimum
levels of liquidity, concentration and pricing transparency for
index components).
    \38\ See, e.g., Securities Exchange Act Release Nos. 42748 (May
2, 2000), 65 FR 30155 (May 10, 2000) (SR-Amex-98-49) (order
approving listing and trading of six series of World Equity
Benchmark Shares based on foreign stock indexes); 42786 (May 15,
2000), 65 FR 33586 (May 24, 2000) (SR-Amex-99-49) (order partially
approving listing and trading of series of the iShares Trust based
on foreign stock indexes); 44900 (October 25, 2001), 66 FR 55712
(November 2, 2001) (SR-Amex-2001-45) (order approving listing and
trading of seven series of funds of iShares, Inc. based on foreign
indexes); 36947 (March 8, 1996) (SR-Amex-95-43) (order approving
listing of Index Fund Shares based on 18 foreign indexes); 52178
(July 29, 2005) (SR-NYSE-2005-41 (order approving listing of iShares
MSCI EAFE Growth and iShares MSCI EAFE Value Funds); 52816 (November
21, 2005) (SR-NYSE-2005-70) (order approving listing of iShares MSCI
Index Funds). A list of ISG members is available at https://www.isgportal.org/isgPortal/public/members.htm.
---------------------------------------------------------------------------

    The equity securities in which the Portfolio would be permitted to
invest will be limited to: (1) Equity securities that trade in markets
that are members of the ISG or are parties to a CSSA with the Exchange
or, (2) Actively-Traded Securities as defined in Reg M that are traded
on exchanges with last sale reporting.\39\ The Exchange believes that
its ability to monitor trading in the Fund would not be impacted by the
absence of CSSAs with, or ISG membership of, markets on which
``Actively-Traded Securities'' (as defined in Rule 101(c)(1) of Reg M
\40\) are listed or traded. Many established and reputable markets are
not members of ISG.\41\ Such markets have price transparency,
regulatory surveillance, liquidity, last sale information, as well s
[sic] numerous other regulatory requirements traditionally associated
with national securities exchanges in the United States. However, at
times, local laws, such as privacy laws in France and other European
nations, preclude markets from becoming ISG members, or would result in
any CSSA entered into being severely limited with respect to the
information that can be shared. It is important to note that while some
exchanges in the European Union may not be ISG members, they do all
have the obligation to share trading data with their national regulator
and the national regulators are parties to sharing agreements with each
other. Therefore, while there may be instances where the exchanges in
the European Union may not directly share trading data, regulators may
share information with each other when necessary, to deter and detect
market manipulation.
---------------------------------------------------------------------------

    \39\ See note 12, supra.
    \40\ 17 CFR 242.101(c)(1).
    \41\ Non-ISG member exchanges include: Abu Dhabi Securities
Exchange; Athens Exchange; BM&FBOVESPA S.A.; BME Spanish Exchanges;
Bolsa Mexicana de Valores; Bourse de Luxembourg; Deutsche B[ouml]rse
AG; Euronext Brussels N.V./S.A.; Euronext Lisbon-Sociedade Gestora
de Mercados Regulamentados, S.A.; Euronext Paris S.A.; Indonesia
Stock Exchange; Irish Stock Exchange; Johannesburg Stock Exchange;
Moscow Exchange; Philippine Stock Exchange; Saudi Stock Exchange;
Shanghai Futures Exchange; Shenzhen Stock Exchange; SIX Swiss
Exchange; Stock Exchange of Thailand; Taiwan Futures Exchange;
Taiwan Stock Exchange; Tel-Aviv Stock Exchange; The Egyptian
Exchange; Wiener B[ouml]rse AG; Zhengzhou Commodity Exchange.
---------------------------------------------------------------------------

    As the global marketplace has evolved and become more
interconnected, an issuer's securities may be traded on multiple
markets. For example, thanks to harmonized European legislation, and
especially the ``Prospectus Directive'' of the Markets in Financial
Instruments Directive (``MiFID''),\42\ issuers wishing to raise capital
in the European Union may take advantage of ``passporting'' their
prospectus, which allows an issuer to use one prospectus and raise
capital across the European Economic Area (EEA).\43\ One of the
consequences of this single prospectus is that an issuer's securities
can and often do trade across several markets in the EEA, some of which
may be ISG members and others may not.
---------------------------------------------------------------------------

    \42\ Information regarding the Prospectus Directive is available
from the European Commission at http://ec.europa.eu/
internalmarket/securities/prospectus/indexen.htm.
    \43\ See The Forum of European Securities Commissions [FESCO], A
``European Passport'' For Issuers at 4-8, Fesco/99-098e (May 10,
2000), available at http://www.esma.europa.eu/system/files/
99098e.PDF.
---------------------------------------------------------------------------

    Additionally, MiFID, introduced in 2007, contains a transaction
reporting requirement, under which various markets and trading firms
are required to submit transaction reports to an ``Approved Reporting
Mechanism''.
    MiFID also makes it possible for any transferable security that has
been admitted to trading on a regulated market of an ``EU Member
State'' to be admitted to trading on other Member States' regulated
markets or on any other trading venues. As a result, it is difficult to
predict where the liquidity in any particular security will primarily
reside. Moreover, the MiFID best execution requirement,\44\ may require
an executing broker to trade on markets that are not ISG members. These
developments would make it challenging for the Fund to limit the
trading of foreign securities on markets that are members of ISG or
with which the Exchange has a CSSA.
---------------------------------------------------------------------------

    \44\ See, generally, The Committee of European Securities
Regulators [CESR], Best Execution Under MiFID; Questions and
Answers, CESR/07-320 (May 2007), available at http://www.cmvm.pt/
CMVM/Cooperacao%20Internacional/DocsESMACesr/
Documents/07320.pdf (MiFID's best execution regime requires
investment firms to take all reasonable steps to obtain the best
possible result for their clients, taking into account price, costs,
speed, likelihood of execution and settlement, size, nature or any
other consideration relevant to order execution. CESR considers this
requirement to be of a general and overarching nature.); see also
The Committee of European Securities Regulators (CESR), Best
Execution Under MiFID; Public Consultation, CESR/07-050b (February
2007), available at http://www.esma.europa.eu/system/files/
07050b.pdf; Financial Services Authority (FSA),
Implementing MiFID's Best Execution Requirement (May, 2006),
available at http://www.fsa.gov.uk/pubs/discussion/
dp0603.pdf.
---------------------------------------------------------------------------

    In addition, the Exchange believes that it is not necessary to its
ability to detect and deter manipulation in Shares of the Fund for
equity securities in which the Fund invests to be listed and traded on
markets that are members of ISG or with which the Exchange has a CSSA,
provided that such equity securities are Actively-Traded Securities. As
the Commission noted in adopting Reg M, Actively-Traded Securities are
less likely to be manipulated because the costs of such manipulation is
high, aberrations in price are more likely to be discovered and quickly
corrected, and generally are traded on market [sic] with high levels

of transparency and surveillance. For this reason, Actively-Traded
Securities were excepted from the prophylactic provisions of Rule 101
of Reg M \45\ and, thus, would not be subject to the restrictions
imposed upon distribution participants or issuers and selling security
holders during the restricted period, as those terms are defined in Reg
M.
---------------------------------------------------------------------------

    \45\ Rule 102 similarly excepts from its provisions, actively-
traded reference securities.
---------------------------------------------------------------------------

    As the Commission recognized in adopting Reg M, detection of
manipulation of Actively-Traded Securities is aided substantially by
the widespread coverage by analysts, news outlets, investors and other
market participants around the world of these securities.\46\ This
close scrutiny and increased transparency of the secondary markets
means that unusual market activity is likely to be observed and quickly
corrected.
---------------------------------------------------------------------------

    \46\ See Release Nos. 33-7375; 34-38067; IC 22412: International
Series Release Nos. 1039; File No. S7-11-96 (62 FR 520, January 3,
1997) (Anti-manipulation Rules concerning Securities Offerings), at
62 FR 527.
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    Further, as also noted by the Commission in adopting Reg M, because
the costs associated with manipulating an Actively-Traded Security will
be higher, the likelihood of manipulation of Actively-Traded Securities
is low. This potential for improper activity in an Actively-Traded
Security to be used to manipulate, or otherwise impact, trading in the
Shares of the Fund is further diluted by the fact that a single
Actively-Traded Security represents only part of the value of the Fund.
This limited impact is guaranteed by diversification requirements
applicable to the Fund in the Exchange's listing rules and the Internal
Revenue Code, which requires certain diversification to qualify as a
regulated investment company (``RIC'').\47\
---------------------------------------------------------------------------

    \47\ See 26 U.S.C. 851.
---------------------------------------------------------------------------

    The Exchange also notes that other provisions of the securities
laws encourage disparate treatment for active, large capitalization
securities. In its no action letter \48\ to FINRA in 2012 regarding
Rule 15c3-1 under the Act (the ``Net Capital Rule'') \49\, the
Commission expanded the universe of foreign equity securities that were
deemed to have a ready market \50\. Similar to the exemptions afforded
Actively-Traded Securities, the beneficial attributes of liquidity and
size were once again acknowledged and formed the basis for the
Commission's interpretation of this fundamental customer protection
provision of the securities laws.\51\
---------------------------------------------------------------------------

    \48\ See Letter from Michael A. Macchiaroli, Associate Director,
Division of Trading and Markets (``Division''), Commission, to Grace
B. Vogel, Executive Vice President, FINRA (November 28, 2012) (the
``Ready Market No-Action Letter'') available at http://www.sec.gov/divisions/marketreg/mr-noaction/2012/finra-112812.pdf.
    \49\ The primary purpose of the Net Capital Rule is to protect
customers and other market participants from broker-dealer failures
by ensuring that broker-dealers maintain sufficient liquid assets to
satisfy their liabilities and to provide a cushion in excess of
liabilities to cover select risks in the event of liquidation. The
Net Capital Rule enhances investor/customer confidence in the
financial integrity of broker-dealers and the securities market.
    \50\ Paragraph (c)(11)(i) of the net capital rule states that
the term ``ready market'' shall include ``a market in which there
exists independent bona fide offers to buy and sell so that a price
reasonably related to the last sales price or current bona fide
competitive bid and offer quotations can be determined for a
particular security almost instantaneously and where payment will be
received in settlement of a sale at such price within a relatively
short time conforming to trade custom.'' The ready market
designation implies that for the purposes of broker-dealer net
capital calculations, securities with such a designation held by the
broker-dealer would be subject to a 15% haircut as opposed to a 100%
haircut for non-marketable securities.
    \51\ In the Ready Market No Action Letter, the Division stated
that it would not recommend enforcement action to the Commission if
a broker-dealer treats an equity security of a foreign issuer as
having a ready market under Rule 15c3-1(c)(11) and subject to
haircuts under paragraph (c)(2)(vi)(J), if the following conditions
are met: (1) The security is listed for trading on a foreign
securities exchange located within a country that is recognized on
the FTSE World Index, where the security has been trading on that
exchange for at least the previous 90 days; (2) Daily quotations for
both bid and ask or last sale prices for security provided by the
foreign securities exchange on which the security is traded are
continuously available to broker-dealers in the United States,
through an electronic quotation system; (3) The median daily trading
volume (calculated over the preceding 20 business day period) of the
foreign equity security on the foreign securities exchange on which
the security is traded is either at least 100,000 shares or
$500,000; and (4) The aggregate unrestricted market capitalization
in shares of such security exceeds $500 million over each of the
preceding 10 business days.
---------------------------------------------------------------------------

    Permitting the Fund to invest in Actively-Traded Securities, even
if they trade on markets that are not member of ISG, will allow
investors to benefit from the Fund's portfolio managers' expertise as
well as potentially reducing costs to shareholders. Investing directly
in Actively-Traded Securities would, in many cases, be a less expensive
alternative than other investments used by the Fund's portfolio
managers when they are restricted to trading in markets that are
members of ISG or with which the Exchange has a CSSA. For example,
investing in international index ETFs \52\ is a common way fund
managers provide investors with exposure to regions whose markets are
not members of ISG. These international index ETFs can be a less
efficient and less targeted proxy for direct investment in foreign
security components of those indexes. The fees imbedded in such ETFs
would be borne directly by a fund and indirectly by investors in shares
of a fund. Thus, the ability of the Fund to directly invest in
Actively-Traded Securities listed or traded on markets that may not be
members of ISG or with which the Exchange has a CSSA would be a less
expensive alternative for the Fund's portfolio managers, which lower
costs to the benefit of shareholders of the Fund.
---------------------------------------------------------------------------

    \52\ As noted above, international index ETFs are listed under
NYSE Arca Equities Rule 5.2(j)(3), which does not include a
requirement that index components trade on markets that are members
of ISG or with which the Exchange has a CSSA.
---------------------------------------------------------------------------

Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its
Equity Trading Permit Holders in an Information Bulletin (``Bulletin'')
of the special characteristics and risks associated with trading the
Shares. Specifically, the Bulletin will discuss the following: (1) The
procedures for purchases and redemptions of Shares in Creation Unit
aggregations (and that Shares are not individually redeemable); (2)
NYSE Arca Equities Rule 9.2(a), which imposes a duty of due diligence
on its Equity Trading Permit Holders to learn the essential facts
relating to every customer prior to trading the Shares; (3) the risks
involved in trading the Shares during the Opening and Late Trading
Sessions when an updated Portfolio Indicative Value will not be
calculated or publicly disseminated; (4) how information regarding the
Portfolio Indicative Value and the Disclosed Portfolio is disseminated;
(5) the requirement that Equity Trading Permit Holders deliver a
prospectus to investors purchasing newly issued Shares prior to or
concurrently with the confirmation of a transaction; and (6) trading
information.
    In addition, the Bulletin will reference that the Fund is subject
to various fees and expenses described in the Registration Statement.
The Bulletin will discuss any exemptive, no-action, and interpretive
relief granted by the Commission from any rules under the Act. The
Bulletin will also disclose that the NAV for the Shares will be
calculated after 4:00 p.m. Eastern time each trading day.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the
requirement under Section 6(b)(5) \53\ that an exchange have rules that
are designed to prevent fraudulent and manipulative acts and practices,
to promote just and

equitable principles of trade, to remove impediments to, and perfect
the mechanism of a free and open market and, in general, to protect
investors and the public interest.
---------------------------------------------------------------------------

    \53\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Exchange believes that the proposed rule change is designed to
prevent fraudulent and manipulative acts and practices in that the
Shares will be listed and traded on the Exchange pursuant to the
initial and continued listing criteria in NYSE Arca Equities Rule
8.600. The Exchange has in place surveillance procedures that are
adequate to properly monitor trading in the Shares in all trading
sessions and to deter and detect violations of Exchange rules and
applicable federal securities laws. The Adviser has implemented a
``fire wall'' with respect to its affiliated broker-dealer regarding
access to information concerning the composition and/or changes to the
Fund's portfolio. In addition, the Trust's Pricing and Investment
Committee has implemented procedures designed to prevent the use and
dissemination of material, non-public information regarding the
Portfolio and the Fund. FINRA, on behalf of the Exchange, will
communicate as needed regarding trading in the Shares, ETPs and certain
exchange-traded securities underlying the Shares with other markets and
other entities that are members of the ISG, and FINRA, on behalf of the
Exchange, may obtain trading information regarding trading in the
Shares, ETPs and certain exchange-traded securities underlying the
Shares from such markets and other entities. In addition, the Exchange
may obtain information regarding trading in the Shares, ETPs and
certain exchange-traded securities underlying the Shares from markets
and other entities that are members of ISG or with which the Exchange
has in place a CSSA. 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 TRACE. The Fund may
hold up to an aggregate amount of 15% of its net assets in illiquid
assets (calculated at the time of investment), including Rule 144A
securities deemed illiquid by the Adviser. The ETPs held by the Fund
will be traded on U.S. national securities exchanges and will be
subject to the rules of such exchanges, as approved by the Commission.
Neither the Fund nor the Portfolio will invest in options, futures
contracts or swaps agreements. The Fund's and Portfolio's investments
will be consistent with its investment objective and will not be used
to enhance leverage.
    The proposed rule change is designed to promote just and equitable
principles of trade and to protect investors and the public interest in
that the Exchange will obtain a representation from the issuer of the
Shares that the NAV per Share will be calculated daily and that the NAV
and the Disclosed Portfolio will be made available to all market
participants at the same time. In addition, a large amount of
information is publicly available regarding the Fund and the Shares,
thereby promoting market transparency. The Fund's portfolio holdings
will be disclosed on its Web site daily after the close of trading on
the Exchange and prior to the opening of trading on the Exchange the
following day. Moreover, the IOPV will be widely disseminated by one or
more major market data vendors at least every 15 seconds during the
Exchange's Core Trading Session. The exchange-listed and traded equity
securities in which the Portfolio would be permitted to invest will be
limited to: (1) Equity securities that trade in markets that are
members of the ISG or are parties to a CSSA with the Exchange or, (2)
Actively-Traded Securities as defined in Reg M that are traded on U.S.
and non-U.S. exchanges with last sale reporting. On each business day,
before commencement of trading in Shares in the Core Trading Session on
the Exchange, the Fund will disclose on its Web site the Disclosed
Portfolio that will form the basis for the Fund's calculation of NAV at
the end of the business day. Information regarding market price and
trading volume of the Shares will be continually available on a real-
time basis throughout the day on brokers' computer screens and other
electronic services, and quotation and last sale information will be
available via the CTA high-speed line. The Web site for the Fund will
include a form of the prospectus for the Fund and additional data
relating to NAV and other applicable quantitative information.
Moreover, prior to the commencement of trading, the Exchange will
inform its Equity Trading Permit Holders in an Information Bulletin of
the special characteristics and risks associated with trading the
Shares. Trading in Shares of the Fund will be halted if the circuit
breaker parameters in NYSE Arca Equities Rule 7.12 have been reached or
because of market conditions or for reasons that, in the view of the
Exchange, make trading in the Shares inadvisable, and trading in the
Shares will be subject to NYSE Arca Equities Rule 8.600(d)(2)(D), which
sets forth circumstances under which Shares of the Fund may be halted.
The intra-day, closing and settlement prices of the portfolio
securities are also readily available from the national securities
exchanges trading such securities, automated quotation systems,
published or other public sources, or on-line information services such
as Bloomberg or Reuters. In addition, as noted above, investors will
have ready access to information regarding the Fund's holdings, the
IOPV, the Disclosed Portfolio, and quotation and last sale information
for the Shares.
    The proposed rule change is designed to perfect the mechanism of a
free and open market and, in general, to protect investors and the
public interest in that it will facilitate the listing and trading of
an additional type of actively-managed exchange-traded product that
will enhance competition among market participants, to the benefit of
investors and the marketplace. As noted above, the Exchange has in
place surveillance procedures relating to trading in the Shares and may
obtain information via ISG from other exchanges that are members of ISG
or with which the Exchange has entered into a comprehensive
surveillance sharing agreement. In addition, as noted above, investors
will have ready access to information regarding the Fund's holdings,
the IOPV, the Disclosed Portfolio, and quotation and last sale
information for the Shares. The exchange-listed and traded equity
securities in which the Portfolio would be permitted to invest will be
limited to: (1) equity securities that trade in markets that are
members of the ISG or are parties to a CSSA with the Exchange or, (2)
Actively-Traded Securities as defined in Reg M that are traded on U.S.
and non-U.S. exchanges with last sale reporting. The Exchange believes
that the requirements described above applicable to non-U.S. equities,
namely the requirements that non-U.S. equity securities be Actively-
Traded Securities as defined in Reg M, and that they trade in markets
with last sale reporting, will provide an additional choice for
investors who desire exposure to non-U.S. equities by an issue of
Managed Fund Shares greater than that currently permitted by Managed
Fund Shares issues, while also providing for minimum liquidity
thresholds relating to ADTV and public float.

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
actively-managed exchange-traded

product that will principally hold U.S. and non U.S. equity securities
and that will enhance competition among market participants, to the
benefit of investors and the marketplace. The Exchange believes that
the requirements described above applicable to non-U.S. equities,
namely the requirements that non-U.S. equity securities be Actively-
Traded Securities as defined in Reg M, and that they trade in markets
with last sale reporting, will provide an additional choice for
investors who desire exposure to non-U.S. equities by an issue of
Managed Fund Shares greater than that currently permitted by Managed
Fund Shares issues, while also providing for minimum liquidity
thresholds relating to ADTV and public float.

C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others

    No written comments were solicited or received with respect to the
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action

    Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove the proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to<EMAIL_ADDRESS>Please include
File Number SR-NYSEArca-2014-100 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-2014-100. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street NE.,
Washington, DC 20549, on official business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of such filing will also be available
for inspection and copying at the principal office of the Exchange. All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-NYSEArca-2014-100 and should
be submitted on or before October 15, 2014.
---------------------------------------------------------------------------

    \54\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\54\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-22671 Filed 9-23-14; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register: February 23, 2006 (Volume 71, Number 36)]
[Notices]
[Page 9384-9385]
[DOCID:fr23fe06-95]

=======================================================================
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SECURITIES AND EXCHANGE COMMISSION

Submission for OMB Review; Comment Request

Upon Written Request, Copies Available from: Securities and Exchange
Commission, Office of Filings and Information Services, Washington, DC
20549.

Extension:
    Rule 12f-3; SEC File No. 270-141; OMB Control No. 3235-0249.

    Notice is hereby given that, pursuant to the Paperwork Reduction
Act of 1995 (44 U.S.C. 3501 et seq.), the Securities and Exchange
Commission (``Commission'') has submitted to the Office of Management
and Budget requests for extension of the previously approved collection
of information discussed below.
     Termination or suspension of unlisted trading privileges.
    Rule 12f-3 under the Securities Exchange Act of 1934 (the
``Rule''), which was originally adopted in 1934 pursuant to Sections
12(f) and 23(a) of the Act, as modified in 1995, prescribes the
information which must be included in applications for and notices of
termination or suspension of unlisted trading privileges for a security
as contemplated in Section 12(f)(4) of the Act. An application must
provide, among other things, the name of the applicant; a brief
statement of the applicant's interest in the question of termination or
suspension of such unlisted trading privileges; the title of the
security; the name of the issuer; certain information regarding the
size of the class of security and its recent trading history; and a
statement

indicating that the applicant has provided a copy of such application
to the exchange from which suspension or termination of unlisted
trading privileges are sought, and to any other exchange on which the
security is listed or admitted to unlisted trading privileges.
    The information required to be included in applications submitted
pursuant to Rule 12f-3, is intended to provide the Commission with
sufficient information to make the necessary findings under the Act to
terminate or suspend by order the unlisted trading privileges granted a
security on a national securities exchange. Without the Rule, the
Commission would be unable to fulfill these statutory responsibilities.
    The burden of complying with Rule 12f-3 arises when a potential
respondent, having a demonstrable bona fide interest in the question of
termination or suspension of the unlisted trading privileges of a
security, determines to seek such termination or suspension. The staff
estimates that each such application to terminate or suspend unlisted
trading privileges requires approximately one hour to complete. Thus
each potential respondent would incur on average one burden hour in
complying with the Rule.
    The Commission staff estimates that there could be as many as ten
responses annually and that each respondent's related cost of
compliance with Rule 12f-3 would be $53.55, or, the cost of one hour of
professional work needed to complete the application. The total annual
related reporting costs for all potential respondents, therefore, is
$535.50 (10 responses x $53.55/response).
    Compliance with the application requirements of Rule 12f-3 is
mandatory, though the filing of such applications is undertaken
voluntarily. Rule 12f-3 does not have a record retention requirement
per se. However, responses made pursuant to Rule 12f-3 are subject to
the recordkeeping requirements of Rules 17a-3 and 17a-4 of the Act.
Information received in response to Rule 12f-3 shall not be kept
confidential; the information collected is public information.
    An agency may not conduct or sponsor, and a person is not required
to respond to, a collection of information unless it displays a
currently valid control number.
    Written comments regarding the above information should be directed
to the following persons: (1) Desk Officer for the Securities and
Exchange Commission, Office of Information and Regulatory Affairs,
Office of Management and Budget, Room 10102, New Executive Office
Building, Washington, DC 20503 or by sending an e-mail to:
<EMAIL_ADDRESS>and (ii) R. Corey Booth, Director/Chief

Information Officer, Office of Information Technology, Securities and
Exchange Commission, 100 F Street, NE., Washington, DC 20549. Comments
must be submitted to Office of Management and Budget within 30 days of
this notice.

    Dated: February 16, 2006.
J. Lynn Taylor,
Assistant Secretary.
[FR Doc. 06-1666 Filed 2-22-06; 8:45 am]

BILLING CODE 8010-01-M