[Federal Register Volume 79, Number 131 (Wednesday, July 9, 2014)]
[Notices]
[Pages 39035-39046]
[FR Doc No: 2014-15964]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-72526; File No. SR-NYSEArca-2014-67]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change, as Modified by Amendment No. 1, Relating to
the Listing and Trading of WBI SMID Tactical Growth Shares; WBI SMID
Tactical Value Shares; WBI SMID Tactical Yield Shares; WBI SMID
Tactical Select Shares; WBI Large Cap Tactical Growth Shares; WBI Large
Cap Tactical Value Shares; WBI Large Cap Tactical Yield Shares; WBI
Large Cap Tactical Select Shares; WBI Tactical Income Shares; and WBI
Tactical High Income Shares under NYSE Arca Equities Rule 8.600

July 2, 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 June 20, 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. On July 1, 2014, the Exchange filed Amendment No. 1 to
the proposed rule change.\4\ The Commission is publishing this notice,
as modified by Amendment No. 1, 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.
    \4\ In Amendment No. 1, the Exchange makes the following
clarifications: That (1) the WBI SMID Tactical Growth Shares ETF may
invest in debt-based exchange-traded notes; (2) ``Options
Strategies'' include the use of options that overlie: exchange-
listed equity indices; and futures on debt, interest rates, and
currencies; and (3) ``Financial Instruments'' include forward
contracts on currencies.
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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 following
under NYSE Arca Equities Rule 8.600 (``Managed Fund Shares''): WBI SMID
Tactical Growth Shares; WBI SMID Tactical Value Shares; WBI SMID
Tactical Yield Shares; WBI SMID Tactical Select Shares; WBI Large Cap
Tactical Growth Shares; WBI Large Cap Tactical Value Shares; WBI Large
Cap Tactical Yield Shares; WBI Large Cap Tactical Select Shares; WBI
Tactical Income Shares; and WBI Tactical High Income Shares. 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 \5\ on the Exchange: WBI
SMID Tactical Growth Shares; WBI SMID Tactical Value Shares; WBI SMID
Tactical Yield Shares; WBI SMID Tactical Select Shares; WBI Large Cap
Tactical Growth Shares; WBI Large Cap Tactical Value Shares; WBI Large
Cap Tactical Yield Shares; WBI Large Cap Tactical Select Shares; WBI
Tactical Income Shares; and WBI Tactical High Income Shares (each, a
``Fund'' and, collectively, the ``Funds''). The Shares will be offered
by Absolute Shares Trust (the ``Trust''),\6\ a statutory trust
organized under the laws of the State of Delaware and registered with
the Commission as an open-end management investment company.\7\
Millington Securities, Inc. will be the investment adviser for each
Fund (the ``Adviser'') and WBI Investments, Inc. will be the sub-
adviser to each Fund (the ``Sub-Adviser'').\8\ U.S. Bank,

National Association (``Administrator'') will be the administrator,
custodian, transfer agent and securities lending agent for each Fund.
Foreside Fund Services, LLC (``Distributor'') will be the distributor
for each Fund.
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    \5\ 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), as amended (``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.
    \6\ The Trust is registered under the 1940 Act. On February 28,
2014, the Trust filed with the Commission an amended registration
statement on Form N-1A relating to the Funds (File Nos. 333-192733
and 811-22917) (the ``Registration Statement''). The description of
the operation of the Trust and the Funds herein is based, in part,
on the Registration Statement. In addition, the Commission has
issued an order granting certain exemptive relief to the Adviser and
the actively managed exchange-traded trusts it advises, including
the Trust, under the 1940 Act. See Investment Company Act Release
No. 30543 (May 29, 2013) (File No. 812-13886) (the ``Exemptive
Order'').
    \7\ The Commission has previously approved the listing and
trading on the Exchange of other of actively managed funds under
Rule 8.600. See, e.g., Securities Exchange Act Release Nos. 60717
(September 24, 2009), 74 FR 50853 (October 1, 2009) (SR-NYSEArca-
2009-74) (order approving listing of Four Grail Advisors RP
Exchange-Traded Funds) and 67320 (June 29, 2012), 77 FR 39763 (July
5, 2012) (SR-NYSEArca-2012-44) (order approving listing of the
iShares Strategic Beta U.S. Large Cap Fund and iShares Strategic
Beta U.S. Small Cap Fund).
    \8\ An investment adviser to an open-end fund is required to be
registered under the Investment Advisers Act of 1940 (the ``Advisers
Act''). The Adviser is wholly owned by WBI Trading Company, Inc.,
and the Sub-Adviser is an affiliate of WBI Trading Company. The
Adviser and the Sub-Adviser are each registered as an investment
adviser under the Advisers Act. As a result, the Adviser, the Sub-
Adviser and their 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, the Adviser, the
Sub-Adviser, and their related personnel are subject to the
provisions of Rule 206(4)-7 under the Advisers Act, which 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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    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. 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 a registered broker-dealer and is affiliated with a
broker-dealer. The Sub-Adviser is also affiliated with a broker-dealer.
In such capacity, the Adviser and Sub-Adviser will implement a firewall
with respect to its relevant personnel and its broker-dealer affiliates
regarding access to information concerning the composition and/or
changes to a portfolio, and will be subject to procedures designed to
prevent the use and dissemination of material non-public information
regarding such portfolio. In the future, should (a) the Adviser and/or
Sub-Adviser become newly affiliated with another 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 firewall with
respect to such relevant personnel and/or its broker-dealer affiliate
regarding access to information concerning the composition and/or
changes to a portfolio, and will be subject to procedures designed to
prevent the use and dissemination of material non-public information
regarding such portfolio.
Common Fund Strategy and Characteristics
    Each Fund will be an actively-managed exchange-traded fund
(``ETF'') and will not seek to replicate the performance of a specified
index.
    According to the Registration Statement, the Sub-Adviser will
manage each Fund's portfolio based on a proprietary selection process
as described below (the ``Selection Process''). The Selection Process
will attempt to provide consistent, attractive returns net of expenses
with potentially less volatility and risk to capital than traditional
approaches, whatever market conditions may be. Each Fund will define an
absolute return approach to investment management in this way. The
Selection Process will include a buy discipline and a sell discipline
as described below.
    The Sub-Adviser will use quantitative computer screening of
fundamental stock information to evaluate domestic and foreign small-
capitalization and mid-capitalization equity securities in an attempt
to find companies with attractive characteristics worldwide. Dividend
payments may be considered as part of the evaluation process.
    Once securities are identified, the Sub-Adviser will utilize an
overlay of technical analysis to confirm timeliness of security
purchases. The Sub-Adviser will then add qualifying securities using
available cash within the parameters of a Fund's target allocations. In
addition, the Sub-Adviser will use a proprietary bond model to assess
the appropriate duration of any exposure to debt securities. Duration
is a measure of a fixed income security's expected price sensitivity to
changes in interest rates. Securities with longer durations are
expected to experience greater price movements than securities with
shorter durations for the same change in prevailing interest rates. A
portion of a Fund's bond exposure may also be invested to pursue
perceived opportunities in varying segments of the debt market. This
systematic process of identifying, evaluating, and purchasing
securities will constitute the Sub-Adviser's buy discipline for each
Fund.
    According to the Registration Statement, once securities are
purchased, the Sub-Adviser will maintain a strict sell discipline that
attempts to control the effects of the volatility of each invested
position on a Fund's value. If the security's price stays within this
range of acceptable prices, the security will remain in a Fund. If the
security's price falls below the bottom of this acceptable price range,
the security will be sold. This will result in a responsive process
that actively adjusts a Fund's allocation by causing it to become more
fully invested or by raising cash to protect capital. During periods of
high market volatility a significant amount of Fund holdings may be
sold, resulting in a large allocation to cash in a Fund. The Selection
Process will be run daily and cash will remain in the portfolio until a
cash equivalent or a new security is purchased.
    According to the Registration Statement, each Fund will be, under
normal market conditions,\9\ investing at least 80% of its net assets
in securities according to its individual principal investment
strategies as described below with respect to each Fund.
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    \9\ The term ``under normal market conditions'' or ``under
normal circumstances'' includes, but is not limited to, the absence
of adverse market, economic, political or other conditions,
including extreme volatility or trading halts in the fixed income
markets or the financial markets generally; operational issues
causing dissemination of inaccurate market information; or force
majeure type events such as systems failure, natural or man- made
disaster, act of God, armed conflict, act of terrorism, riot or
labor disruption or any similar intervening circumstance.
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    However, each Fund may temporarily depart from its principal
investment strategy by making short-term investments in cash, cash
equivalents, high-quality short-term debt securities, and money market
instruments for temporary defensive purposes in response to adverse
market, economic or political conditions. According to the Registration
Statement, each Fund may acquire the following short-term investments:
(1) Certificates of deposit issued by commercial banks as well as
savings banks or savings and loan associations; (2) bankers'
acceptances; (3) time deposits; and (4) commercial paper and short term
notes rated at the time of purchase ``A-2'' or higher by Standard &
Poor's[supreg], ``Prime-1'' by Moody's[supreg] Investors Service, Inc.,
or similarly rated by another nationally recognized statistical rating
organization or, if unrated, will be determined by the Sub-Adviser to
be of comparable quality, as well as U.S. Government obligations.
    According to the Registration Statement, certain Funds may use
American depositary receipts (``ADR''), European depositary receipts
(``EDR'') and Global depositary receipts (``GDR'') (collectively,
``Depositary Receipts'') when, in the discretion of the Sub-Adviser,
the use of such securities is warranted for liquidity, pricing, timing
or other reasons. No Fund will invest more than 10% of its net assets
in unsponsored Depositary Receipts.

    According to the Registration Statement, each Fund that invests
primarily in equities as described further below may also invest up to
20% of its principal investment assets in high-yield bonds (also known
as ``junk bonds'').
Individual Fund Investments
WBI SMID Tactical Growth Shares
    According to the Registration Statement, the WBI SMID Tactical
Growth Shares will seek long-term capital appreciation and the
potential for current income, while also seeking to protect principal
during unfavorable market conditions.
Principal Investments
    According to the Registration Statement, under normal market
conditions, the Fund will invest at least 80% of its net assets in the
exchange-listed equity securities of small-capitalization and mid-
capitalization \10\ domestic and foreign \11\ companies selected on the
basis of the Selection Process.
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    \10\ According to the Registration Statement, the Sub-Adviser
considers small-capitalization and mid-capitalization companies
those that are not in the top ten percent of the securities in their
primary market when ranked in order of market capital. For publicly
traded U.S. companies in the current environment, this would include
companies with market capitalizations of less than approximately $17
billion. Companies below the ten percent threshold for small and
mid-sized companies in non-U.S. markets may have capitalizations
that differ from this U.S. Dollar equivalent amount because of the
wide range of market capitalizations of companies available for
investment in those markets.
    \11\ The Adviser has represented that each Fund will generally
invest in equity securities that trade in markets that are members
of the Intermarket Surveillance Group (``ISG'') or are parties to a
comprehensive surveillance sharing agreement with the Exchange. For
each Fund, not more than 10% of the net assets invested in exchange-
traded equity securities shall consist of equity securities whose
principal market is not a member of ISG or is a market with which
the Exchange does not have a comprehensive surveillance sharing
agreement. Furthermore, for each Fund not more than 10% of the net
assets invested in futures contracts or options contracts shall
consist of futures contracts or options contracts whose principal
market is not a member of ISG or is a market with which the Exchange
does not have a comprehensive surveillance sharing agreement.
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    The types of equity securities in which the Fund will invest are
common stocks, preferred stocks, rights, warrants, convertibles, master
limited partnerships (exchange-traded businesses organized as
partnerships (``MLPs'')), and exchange-traded real estate investment
trusts (``REITs''). The Fund may invest up to 50% of the Fund's
principal investments in the securities of issuers in emerging markets,
which could consist of Depositary Receipts, dollar denominated foreign
securities and foreign equity securities. The Fund's principal
investments may also consist of ETFs \12\ that invest predominantly in
small-capitalization and mid-capitalization equity securities and will
be considered small-capitalization and mid-capitalization equity
securities for purposes of the Fund's equity allocation target.
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    \12\ For purposes of this filing, ETFs include Investment
Company Units (as described in NYSE Arca Equities Rule 5.2(j)(3));
Portfolio Depositary Receipts (as described in NYSE Arca Equities
Rule 8.100); and Managed Fund Shares (as described in NYSE Arca
Equities Rule 8.600). The ETFs all will be listed and traded in the
U.S. on registered exchanges. The ETFs in which a Fund may invest
will primarily be index-based exchange-traded funds that hold
substantially all of their assets in securities representing a
specific index. While each Fund may invest in inverse ETFs, a Fund
will not invest in leveraged (e.g., 2X, -2X, 3X or -3X) ETFs.
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Non-Principal Investments
    While the Fund, under normal circumstances, will invest at least
80% of its net assets in its investments as described above, the Fund
may directly invest in certain other investments, as described below.
According to the Registration Statement, the Fund may invest up to 20%
of the Fund's net assets in large-capitalization equities,\13\ domestic
and foreign debt securities (including junk bonds), ETFs (other than
ETFs noted in the Principal Investment section for the Fund, above,
that invest predominantly in small-capitalization and mid-
capitalization equity securities), and/or in ``Option [sic]
Strategies'' (as defined below) to enhance the Fund's returns or to
mitigate risk and volatility.
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    \13\ According to the Registration Statement, large
capitalization companies are those that are in the top ten percent
of the securities in their primary market when ranked in order of
market capital.
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    The Fund may invest in the following types of debt securities:
Fixed, floating and variable corporate debt securities, U.S. Government
securities, debt securities of foreign issuers, sovereign debt
securities, U.S. government agency securities, and high-yield bonds.
The Fund may also invest in agency and non-agency residential mortgage-
backed securities (``RMBS'') and asset-backed securities.\14\ The Fund
may also invest in debt-based exchange-traded notes (``ETNs'').\15\ The
Fund expects to invest in debt securities of all maturities, from less
than one year up to thirty years, depending on the portfolio manager's
assessment of the risks and opportunities along the yield curve.
According to the Registration Statement, the yield curve refers to the
differences in yield among debt assets of varying maturities.
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    \14\ ``Non-agency'' securities are financial instruments that
have been issued by an entity that is not a government-sponsored
agency, such as the Federal National Mortgage Association (``Fannie
Mae''), Federal Home Loan Mortgage Corporation (``Freddie Mac''),
Federal Home Loan Banks, or the Government National Mortgage
Association (``Ginnie Mae'').
    \15\ See Amendment No. 1, supra note 4. ETNs are debt
obligations of investment banks which are traded on exchanges and
the returns of which are linked to the performance of market indexes
and include securities listed and traded on the Exchange under NYSE
Arca Equities Rule 5.2(j)(6) (``Index-Linked Securities''). In
addition to trading ETNs on exchanges, investors may redeem ETNs
directly with the issuer on a weekly basis, typically in a minimum
amount of 50,000 units, or hold the ETNs until maturity.
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    In addition, the Fund may utilize equity options for individual
securities including writing (selling) covered calls, buying puts,
using combinations of calls and puts, using combinations of calls and
combinations of puts, and entering into cap and floor agreements.\16\
The Fund may also use options overlying: Exchange listed equity
indices; and futures on debt, interest rates, and currencies.\17\
Options may be both exchange-traded and over-the-counter (``OTC'')
options (collectively, the ``Options Strategies'').
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    \16\ Caps and floors are put and call options on futures
associated with interest rates used to help manage interest rate
risk by establishing an upper (``cap'') and a lower (``floor'')
hedge. A cap, also called a ceiling, is a call option on an interest
rate. An interest rate cap is a series of component options, or
``caplets'', for each period the cap exists. A caplet is designed to
provide a hedge against a rise in the benchmark interest rate, such
as the London Interbank Offered Rate (LIBOR), for a stated period. A
floor is the mirror image of the cap. The interest rate floor, like
the cap, consists of a series of component options, except that they
are put options and the series components are referred to as
``floorlets.''
    \17\ See Amendment No. 1, supra note 4.
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    The Fund may also enter into the following types of financial
instruments: futures overlying equity indexes, interest rates, debt
instruments, and currencies; government debt repurchase agreements;
depository receipt conversion swaps \18\ into and out of the underlying
stock; and forward contracts on currencies (collectively, the
``Financial Instruments'').\19\ Cash balances arising from the use of
Financial Instruments typically will be held in money market
instruments.
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    \18\ A depository receipt conversion swap is used to move Fund
holdings between foreign ordinaries and listed depository receipts
using a receipt agent. The swap is achieved by purchasing ADRs, EDRs
or GDRs or by purchasing the underlying domestic shares of the
company on the primary exchange and then swapping them for the
relevant depositary receipt. The conversion occurs when the
depository receipt agent takes the depositary receipt and submits
the receipt for conversion to the trust bank for a fee, and takes
delivery of the foreign ordinaries.
    \19\ See Amendment No. 1, supra note 4.

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WBI SMID Tactical Value Shares
    According to the Registration Statement, the WBI SMID Tactical
Value Shares will seek long-term capital appreciation and the potential
for current income, while also seeking to protect principal during
unfavorable market conditions.
Principal Investments
    According to the Registration Statement, under normal market
conditions, the Fund will invest at least 80% of its net assets in the
exchange-listed equity securities of small-capitalization and mid-
capitalization domestic and foreign companies selected by the Sub-
Adviser utilizing the Selection Process.
    The types of equity securities in which the Fund will invest are
common stocks, preferred stocks, rights, warrants, convertibles, MLPs,
and REITs. The Fund may invest up to 50% of the Fund's principal
investments in the securities of issuers in emerging markets, which
could consist of Depositary Receipts, dollar denominated foreign
securities and foreign equity securities. The Fund's principal
investments may also consist of ETFs that invest predominantly in
small-capitalization and mid-capitalization equity securities and will
be considered small-capitalization and mid-capitalization equity
securities for purposes of the Fund's equity allocation target.
Non-Principal Investments
    While the Fund, under normal circumstances, will invest at least
80% of its net assets in its investments as described above, the Fund
may directly invest in certain other investments, as described below.
According to the Registration Statement, the Fund may invest up to 20%
of its net assets in large-capitalization equities, domestic and
foreign debt securities (including junk bonds), ETFs (other than ETFs
noted in the Principal Investments section for the Fund, above, that
invest predominantly in small-capitalization and mid-capitalization
equity securities), and/or in Option [sic] Strategies to enhance the
Fund's returns or to mitigate risk and volatility. The Fund may also
use Financial Instruments. Cash balances arising from the use of
Financial Instruments typically will be held in money market
instruments.
    The types of debt securities in which the Fund will invest are
fixed, floating and variable corporate debt securities, U.S. Government
securities, debt securities of foreign issuers, sovereign debt
securities, U.S. government agency securities, and high-yield bonds.
The Fund may also invest in debt-based ETNs. The Fund expects to invest
in debt securities of all maturities, from less than one year up to
thirty years, depending on the portfolio manager's assessment of the
risks and opportunities along the yield curve.
WBI SMID Tactical Yield Shares
    According to the Registration Statement, the WBI SMID Tactical
Yield Share will seek long-term capital appreciation and the potential
for current income, while also seeking to protect principal during
unfavorable market conditions.
Principal Investments
    Under normal market conditions, the Fund will invest at least 80%
of its net assets in the exchange-listed dividend-paying equity
securities of small-capitalization and mid-capitalization domestic and
foreign companies selected by the Sub-Adviser utilizing the Selection
Process.
    The types of equity securities in which the Fund will invest are
common stocks, preferred stocks, rights, warrants, convertibles, MLPs,
and REITs.
    The Fund may invest up to 50% of the Fund's principal investments
in the securities of issuers in emerging markets, which could consist
of Depositary Receipts, dollar denominated foreign securities and
foreign equity securities. The Fund's principal investments may also
consist of ETFs that invest predominantly in small-capitalization and
mid-capitalization equity securities and will be considered small-
capitalization and mid-capitalization equity securities for purposes of
the Fund's equity allocation target.
Non-Principal Investments
    While the Fund, under normal circumstances, will invest at least
80% of its net assets in its investments as described above, the Fund
may directly invest in certain other investments, as described below.
According to the Registration Statement, the Fund may invest up to 20%
of the Fund's net assets in large-capitalization equities, domestic and
foreign debt securities, high-yield bonds and/or in Option [sic]
Strategies and Financial Instruments. Cash balances arising from the
use of Financial Instruments typically will be held in money market
instruments.
    The types of debt securities in which the Fund will invest are
fixed, floating and variable corporate debt securities, U.S. Government
securities, debt securities of foreign issuers, sovereign debt
securities, U.S. government agency securities, and high-yield bonds.
The Fund may also invest in debt-based ETNs and ETFs. The Fund expects
to invest in debt securities of all maturities, from less than one year
up to thirty years, depending on the portfolio manager's assessment of
the risks and opportunities along the yield curve.
WBI SMID Tactical Select Shares
    According to the Registration Statement, the WBI SMID Tactical
Select Shares will seek long-term capital appreciation and the
potential for current income, while also seeking to protect principal
during unfavorable market conditions.
Principal Investments
    Under normal market conditions, the Fund will invest at least 80%
of its net assets in the exchange-listed equity securities of small-
capitalization and mid-capitalization domestic and foreign companies
selected by the Sub-Adviser utilizing the Selection Process.
    The types of equity securities in which the Fund will invest are
common stocks, preferred stocks, rights, warrants, convertibles, MLPs,
and REITs.
    The Fund may invest up to 50% of the Fund's principal investments
in the securities of issuers in emerging markets, which could consist
of Depositary Receipts, dollar denominated foreign securities and
foreign equity securities. The Fund may also invest up to 20% of the
Fund's principal investments in junk bonds. The Fund's principal
investments may also consist of ETFs that invest predominantly in
small-capitalization and mid-capitalization equity securities and will
be considered small-capitalization and mid-capitalization equity
securities for purposes of the Fund's equity allocation target.
Non-Principal Investments
    While the Fund, under normal circumstances, will invest at least
80% of its net assets in its investments as described above, the Fund
may directly invest in certain other investments, as described below.
According to the Registration Statement, the Fund may invest up to 20%
of the Fund's net assets in large-capitalization equities, domestic and
foreign debt securities, high-yield bonds and/or in Option [sic]
Strategies and Financial Instruments. Cash balances arising from the
use of Financial Instruments typically will be held in money market
instruments.

    The types of debt securities in which the Fund will invest are
fixed, floating and variable corporate debt securities, U.S. Government
securities, debt securities of foreign issuers, sovereign debt
securities, U.S. government agency securities, and high-yield bonds.
The Fund may also invest in debt-based ETNs and ETFs. The Fund expects
to invest in debt securities of all maturities, from less than one year
up to thirty years, depending on the portfolio manager's assessment of
the risks and opportunities along the yield curve.
WBI Large Cap Tactical Growth Shares
    According to the Registration Statement, the WBI Large Cap Tactical
Growth Shares objectives are to seek long-term capital appreciation and
the potential for current income, while also seeking to protect
principal during unfavorable market conditions.
Principal Investments
    Under normal market conditions, the Fund will invest at least 80%
of its net assets in the exchange-listed equity securities of large
capitalization domestic and foreign companies selected by the Sub-
Adviser utilizing the Selection Process.
    The types of equity securities in which the Fund will invest are
common stocks, preferred stocks, rights, warrants, convertibles, MLPs,
and REITs.
    The Fund may invest up to 50% of the Fund's principal investments
in the securities of issuers in emerging markets, which could consist
of Depositary Receipts, dollar denominated foreign securities and
foreign equity securities. The Fund's principal investments may also
consist of ETFs that invest predominantly in small-capitalization and
mid-capitalization equity securities and will be considered small-
capitalization and mid-capitalization equity securities for purposes of
the Fund's equity allocation target.
Non-Principal Investments
    While the Fund, under normal circumstances, will invest at least
80% of its net assets in its investments as described above, the Fund
may directly invest in certain other investments, as described below.
According to the Registration Statement, up to 20% of the Fund's net
assets may be invested in small-capitalization and mid-capitalization
equities, domestic and foreign debt securities, and high-yield bonds
and/or in Option [sic] Strategies and Financial Instruments. Cash
balances arising from the use of Financial Instruments typically will
be held in money market instruments.
    The types of debt securities in which the Fund will invest are
fixed, floating and variable corporate debt securities, U.S. Government
securities, debt securities of foreign issuers, sovereign debt
securities, U.S. government agency securities, and high-yield bonds.
The Fund may also invest in debt-based ETNs and ETFs. The Fund expects
to invest in debt securities of all maturities, from less than one year
up to thirty years, depending on the portfolio manager's assessment of
the risks and opportunities along the yield curve.
WBI Large Cap Tactical Value Shares
    According to the Registration Statement, the WBI Large Cap Tactical
Value Shares objectives are to seek long-term capital appreciation and
the potential for current income, while also seeking to protect
principal during unfavorable market conditions.
Principal Investments
    Under normal market conditions, the Fund will invest at least 80%
of its net assets in the exchange-listed equity securities of large
capitalization domestic and foreign companies selected by the Sub-
Adviser utilizing the Selection Process.
    The types of equity securities in which the Fund will invest are
common stocks, preferred stocks, rights, warrants, convertibles, MLPs,
and REITs.
    The Fund may invest up to 50% of the Fund's principal investments
in the securities of issuers in emerging markets, which could consist
of Depositary Receipts, dollar denominated foreign securities and
foreign equity securities. The Fund may also invest up to 20% of the
Fund's principal investments in junk bonds. The Fund's principal
investments may also consist of ETFs that invest predominantly in
small-capitalization and mid-capitalization equity securities and will
be considered small-capitalization and mid-capitalization equity
securities for purposes of the Fund's equity allocation target.
Non-Principal Investments
    While the Fund, under normal circumstances, will invest at least
80% of its net assets in its investments as described above, the Fund
may directly invest in certain other investments, as described below.
According to the Registration Statement, up to 20% of the Fund's net
assets may be invested in small-capitalization and mid-capitalization
equities, domestic and foreign debt securities, and high-yield bonds
and/or in Option [sic] Strategies and Financial Instruments. Cash
balances arising from the use of Financial Instruments typically will
be held in money market instruments.
    The types of debt securities in which the Fund will invest are
fixed, floating and variable corporate debt securities, U.S. Government
securities, debt securities of foreign issuers, sovereign debt
securities, U.S. government agency securities, and high-yield bonds.
The Fund may also invest in debt-based ETNs and ETFs. The Fund expects
to invest in debt securities of all maturities, from less than one year
up to thirty years, depending on the portfolio manager's assessment of
the risks and opportunities along the yield curve.
WBI Large Cap Tactical Yield Shares
    According to the Registration Statement, the WBI Large Cap Tactical
Yield Shares will seek long-term capital appreciation and the potential
for current income, while also seeking to protect principal during
unfavorable market conditions.
Principal Investments
    Under normal market conditions, the Fund will invest at least 80%
of its net assets in the exchange-listed dividend-paying equity
securities of large capitalization domestic and foreign companies
selected by the Sub-Adviser utilizing the Selection Process.
    The types of equity securities in which the Fund will invest are
common stocks, preferred stocks, rights, warrants, convertibles, MLPs,
and REITs.
    The Fund may invest up to 50% of the Fund's principal investments
in the securities of issuers in emerging markets, which could consist
of Depositary Receipts, dollar denominated foreign securities and
foreign equity securities. The Fund may also invest up to 20% of the
Fund's principal investments in high-yield bonds. The Fund's principal
investments may also consist of ETFs that invest predominantly in
small-capitalization and mid-capitalization equity securities and will
be considered small-capitalization and mid-capitalization equity
securities for purposes of the Fund's equity allocation target.
Non-Principal Investments
    While the Fund, under normal circumstances, will invest at least
80% of its net assets in its investments as described above, the Fund
may directly invest in certain other investments, as

described below. According to the Registration Statement, up to 20% of
the Fund's net assets may be invested in small-capitalization and mid-
capitalization equities, domestic and foreign debt securities, high-
yield bonds and/or in Option [sic] Strategies and Financial
Instruments. Cash balances arising from the use of Financial
Instruments typically will be held in money market instruments.
    The types of debt securities in which the Fund will invest are
fixed, floating and variable corporate debt securities, U.S. Government
securities, debt securities of foreign issuers, sovereign debt
securities, U.S. government agency securities, and high-yield bonds.
The Fund may also invest in debt-based ETNs and ETFs. The Fund expects
to invest in debt securities of all maturities, from less than one year
up to thirty years, depending on the portfolio manager's assessment of
the risks and opportunities along the yield curve.
WBI Large Cap Tactical Select Shares
    According to the Registration Statement, the WBI Large Cap Tactical
Select Shares objectives are to seek long-term capital appreciation and
the potential for current income, while also seeking to protect
principal during unfavorable market conditions.
Principal Investments
    Under normal market conditions, the Fund will invest at least 80%
of its net assets in the exchange-listed equity securities of large
capitalization domestic and foreign companies selected by the Sub-
Adviser utilizing the Selection Process.
    The types of equity securities in which the Fund will invest are
common stocks, preferred stocks, rights, warrants, convertibles, MLPs,
and REITs.
    The Fund may invest up to 50% of the Fund's principal investments
in the securities of issuers in emerging markets, which could consist
of Depositary Receipts, dollar denominated foreign securities and
foreign equity securities. The Fund may also invest up to 20% of the
Fund's principal investments in junk bonds. The Fund's principal
investments may also consist of ETFs that invest predominantly in
small-capitalization and mid-capitalization equity securities and will
be considered small-capitalization and mid-capitalization equity
securities for purposes of the Fund's equity allocation target.
Non-Principal Investments
    While the Fund, under normal circumstances, will invest at least
80% of its net assets in its investments as described above, the Fund
may directly invest in certain other investments, as described below.
According to the Registration Statement, up to 20% of the Fund's net
assets may be invested in small-capitalization and mid-capitalization
equities, domestic and foreign debt securities, and high-yield bonds
and/or in Option [sic] Strategies described above and Financial
Instruments. Cash balances arising from the use of Financial
Instruments typically will be held in money market instruments.
    The types of debt securities in which the Fund will invest are
fixed, floating and variable corporate debt securities, U.S. Government
securities, debt securities of foreign issuers, sovereign debt
securities, U.S. government agency securities, and high-yield bonds.
The Fund may also invest in debt-based ETNs and ETFs. The Fund expects
to invest in debt securities of all maturities, from less than one year
up to thirty years, depending on the portfolio manager's assessment of
the risks and opportunities along the yield curve.
WBI Tactical Income Shares
    According to the Registration Statement, the WBI Tactical Income
Shares objectives are to seek current income with the potential for
long-term capital appreciation, while also seeking to protect principal
during unfavorable market conditions.
Principal Investments
    Under normal market conditions, the Fund will invest at least 80%
of its net assets in income producing debt and exchange listed equity
securities of foreign and domestic issuers, including the securities of
foreign and domestic corporate and governmental entities selected by
the Sub-Adviser utilizing the Selection Process.
    The types of debt securities in which the Fund will invest are
corporate debt securities, U.S. Government securities, debt securities
of foreign issuers, sovereign debt securities, U.S. government agency
securities, high-yield bonds, variable and floating rate securities,
and debt-based ETNs and ETFs. The Fund expects to invest in debt
securities of all maturities, from less than one year up to thirty
years, depending on the portfolio manager's assessment of the risks and
opportunities along the yield curve.
    The types of equity securities in which the Fund will invest are
common stocks, preferred stocks, rights, warrants, convertibles [sic]
MLPs, and REITs. The Fund may invest in companies of any size market
capitalization.
    The Fund may invest up to 50% of the Fund's principal investments
in the securities of issuers in emerging markets, which could consist
of Depositary Receipts, dollar denominated foreign securities and
foreign equity securities. The Fund may also invest up to 40% of the
Fund's principal investments in junk bonds. The Fund's principal
investments may also consist of ETFs that invest predominantly in debt
securities and will be considered debt securities for the purposes of
the Fund's debt target allocation and investments in other investment
companies that invest predominantly in dividend-paying equity
securities are considered dividend-paying equity securities for the
purposes of the fund's income producing securities target allocation.
Non-Principal Investments
    While the Fund, under normal circumstances, will invest at least
80% of its net assets in its investments as described above, the Fund
may directly invest in certain other investments, as described below.
According to the Registration Statement, up to 20% of the Fund's net
assets may be invested in exchange listed foreign and domestic equities
(other than the foreign and domestic equities noted in the Principal
Investment section for the Fund, above), ETFs, ETNs (other than the
debt-based ETFs and ETNs noted in the Principal Investment section for
the Fund, above), and/or in Option [sic] Strategies and Financial
Instruments. Cash balances arising from the use of Financial
Instruments typically will be held in money market instruments.
WBI Tactical High Income Shares
    According to the Registration Statement, the WBI Tactical High
Income Shares investment objectives are to seek high current income
with the potential for long-term capital appreciation, while also
seeking to protect principal during unfavorable market conditions.
Principal Investments
    Under normal market conditions, the Fund will invest at least 80%
of its net assets in income producing debt and exchange listed equity
securities of foreign and domestic issuers, including the securities of
foreign and domestic corporate and governmental entities selected by
the Sub-Adviser utilizing the Selection Process.

    The types of debt securities in which the Fund will invest are
corporate debt securities, U.S. Government securities, debt securities
of foreign issuers, sovereign debt securities, U.S. government agency
securities, high-yield bonds, variable and floating rate securities,
and debt-based ETNs and ETFs. The Fund expects to invest in debt
securities of all maturities, from less than one year up to thirty
years, depending on the portfolio manager's assessment of the risks and
opportunities along the yield curve.
    The types of equity securities in which the Fund will invest are
common stocks, preferred stocks, rights, warrants, convertibles [sic]
MLPs, and REITs. The Fund may invest in companies of any size market
capitalization.
    The Fund may invest up to 50% of the Fund's principal investments
in the securities of issuers in emerging markets, which could consist
of Depositary Receipts, dollar denominated foreign securities and
foreign equity securities. The Fund may also invest up to 80% of the
Fund's principal investments in junk bonds. The Fund's principal
investments may also consist of ETFs that invest predominantly in debt
securities and will be considered debt securities for the purposes of
the Fund's debt target allocation and investments in other investment
companies that invest predominantly in dividend-paying equity
securities are considered dividend-paying equity securities for the
purposes of the fund's income producing securities target allocation.
Non-Principal Investments
    While the Fund, under normal circumstances, will invest at least
80% of its net assets in its investments as described above, the Fund
may directly invest in certain other investments, as described below.
According to the Registration Statement, up to 20% of the Fund's net
assets may be invested in exchange listed foreign and domestic equities
(other than the foreign and domestic equities noted in the Principal
Investment section for the Fund, above), ETFs, ETNs (other than the
debt-based ETFs and ETNs noted in the Principal Investment section for
the Fund, above), and/or in Option [sic] Strategies and Financial
Instruments. Cash balances arising from the use of Financial
Instruments typically will be held in money market instruments.
Investment Restrictions
    Each Fund will seek to qualify for treatment as a regulated
investment company (``RIC'') under Subchapter M of the Internal Revenue
Code of 1986, as amended.\20\
---------------------------------------------------------------------------

    \20\ 26 U.S.C. 151 [sic].
---------------------------------------------------------------------------

    As part of its non-principal strategy, a Fund may hold up to an
aggregate amount of 15% of its net assets in illiquid securities
(calculated at the time of investment), including Rule 144A
securities.\21\ Each Fund will monitor its portfolio liquidity on an
ongoing basis to determine whether, in the 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 a Fund's net assets are held in
illiquid securities and other illiquid assets.
---------------------------------------------------------------------------

    \21\ 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. 8901 (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 ETF. See Investment Company Act Release No.
14983 (March 12, 1986), 51 FR 9773 (March 21, 1986) (adopting
amendments to Rule 2a-7 under the 1940 Act); Investment Company Act
Release No. 17452 (April 23, 1990), 55 FR 17933 (April 30, 1990)
(adopting Rule 144A under the Securities Act of 1933).
---------------------------------------------------------------------------

    According to the Registration Statement, a Fund will not invest
more than 25% of its total assets, directly or indirectly, through
underlying ETFs, in an individual industry, as defined by the Standard
Industrial Classification Codes utilized by the Division of Corporate
Finance of the Commission.\22\ This limitation does not apply to
investments in securities issued or guaranteed by the U.S. Government,
its agencies or instrumentalities, or shares of investment companies.
---------------------------------------------------------------------------

    \22\ See Form N-1A, Item 5. The Commission has taken the
position that a fund is concentrated if it invests more than 25% of
the value of its total assets in any one industry. See, e.g.,
Investment Company Act Release No. 9011 (October 30, 1975), 40 FR
54241 (November 21, 1975).
---------------------------------------------------------------------------

    According to the Registration Statement, a Fund may not purchase or
sell physical commodities or physical commodity contracts unless
acquired as a result of ownership of securities or other instruments
issued by persons that purchase or sell commodities or commodities
contracts, but this shall not prevent a Fund from purchasing, selling
and entering into financial futures contracts (including futures
contracts on indices of securities, interest rates and currencies),
options on financial futures contracts (including futures contracts on
indices of securities, interest rates and currencies), warrants, swaps,
forward contracts, or other derivative instruments that are not related
to physical commodities.
Net Asset Value
    According to the Registration Statement, each Fund will calculate
net asset value (``NAV'') of the Shares of the respective Fund using
the NAV of the respective Fund. NAV per share for each Fund will be
computed by dividing the value of the net assets of a Fund (i.e., the
Fund's total assets less total liabilities) by the total number of
shares outstanding, rounded to the nearest cent; however, for purposes
of determining the price of Creation Units, the NAV will be calculated
to five decimal places.
    For purposes of calculating NAV, portfolio securities and other
assets for which market quotes are readily available will be valued at
market value. Market value will generally be determined on the basis of
last reported sales prices, or if no sales are reported, based on
quotes obtained from a quotation reporting system, established market
makers, or pricing services.
    In calculating NAV, each Fund's exchange traded equity investments,
including domestic and foreign common stocks, preferred stocks, rights,
warrants, convertibles, Depositary Receipts, ETFs, ETNs, MLPs and
REITS, will be valued at market value, which will generally be
determined using the last reported official closing or last trading
price on the exchange or market on which the security is primarily
traded at the time of valuation or, if no sale has occurred, at the
last quoted bid price on the primary market or exchange on which they
are traded.
    Unsponsored Depositary Receipts will be valued on the basis of the
market closing price on the exchange where the stock of the foreign
issuer that underlies the Depositary Receipt is listed. Debt
securities, including fixed, floating and variable corporate debt
securities, U.S. Government securities, debt securities of foreign
issuers, sovereign debt securities, U.S. government agency securities
and high-yield bonds will be valued using market quotations when
available or other equivalent indications of value provided by a third-
party pricing service. Mortgage-backed securities, asset-backed
securities, money market instruments and Financial Instruments (with
the exception of reverse repurchase agreements, discussed below) will
be

valued by relying on third-party pricing services.
    Any such third-party pricing service may use a variety of
methodologies to value some or all of a Fund's debt securities to
determine the market price. For example, the prices of securities with
characteristics similar to those held by each Fund may be used to
assist with the pricing process. In addition, the pricing service may
use proprietary pricing models. In certain cases, some of a Fund's debt
securities may be valued at the mean between the last available bid and
ask prices for such securities or, if such prices are not available, at
prices for securities of comparable maturity, quality, and type.
    Short-term debt instruments having a remaining maturity of 60 days
or less will generally be valued at amortized cost, which approximates
market value.
    Exchange traded equity options are generally valued on a basis of
quotes obtained from a quotation reporting system, established market
makers, or pricing services. Non-exchange-traded derivatives, including
forwards, swaps, and certain options, will normally be valued on the
basis of quotes obtained from brokers and dealers or pricing services
using data reflecting the closing of the principal markets for those
assets. Prices obtained from independent pricing services use
information provided by market makers or estimates of market values
obtained from yield data relating to investments or securities with
similar characteristics.
    OTC options may be valued intraday through option valuation models
(e.g., Black-Scholes) or using exchange traded options as a proxy, or
another proxy as determined to be appropriate by the third party market
data provider. Futures and options on futures will be valued at the
settlement price determined by the applicable exchange.
    Caps and floors will be valued using the exchange closing prices on
the interest rate options.
    Reverse repurchase agreements and Rule 144A securities will
generally be valued at bid prices received from independent pricing
services as of the announced closing time for trading in such
instruments.
    Investments that may be valued using fair value pricing include,
but are not limited to: (1) Securities that are not actively traded,
including ``restricted'' securities and securities received in private
placements for which there is no public market; (2) securities of an
issuer that becomes bankrupt or enters into a restructuring; (3)
securities whose trading has been halted or suspended; and (4) foreign
securities traded on exchanges that close before a Fund's NAV is
calculated. The NAV will be calculated by the Administrator and
determined each Business Day as of the close of regular trading on the
Exchange (ordinarily 4:00 p.m., Eastern time (``E.T.''). The Shares of
each Fund will not be priced on days on which the Exchange is closed
for trading.
Indicative Intra-Day Value
    According to the Registration Statement, an independent third party
calculator, initially the Exchange, will calculate the Indicative
Intra-Day Value (``IIV'') for each Fund during hours of trading on the
Exchange by dividing the ``Estimated Fund Value'' as of the time of the
calculation by the total number of outstanding Shares of that Fund.
``Estimated Fund Value'' is the sum of the estimated amount of cash
held in a Fund's portfolio, the estimated amount of accrued interest
owed to a Fund and the estimated value of the securities held in a
Fund's portfolio, minus the estimated amount of a Fund's liabilities.
The IIV will be calculated based on the same portfolio holdings
disclosed on the Trust's Web site. The IIV will be widely disseminated
by one or more major market data vendors at least every 15 seconds
during the Core Trading Session.
    According to the Registration Statement, each Fund will provide the
independent third party calculator with information to calculate the
IIV, but a Fund will not be involved in the actual calculation of the
IIV and are not responsible for the calculation or dissemination of the
IIV. Each Fund makes no warranty as to the accuracy of the IIV. The IIV
should not be viewed as a ``real-time'' update of NAV because the IIV
may not be calculated in the same manner as NAV, which will be computed
once per day.
    In addition, the Portfolio Indicative Value, as defined in NYSE
Arca Equities Rule 8.600 (c)(3), will be widely disseminated by one or
more major market data vendors at least every 15 seconds during the
Core Trading Session.\23\ The IIV dissemination together with the
Disclosed Portfolio, will allow investors to determine the value of the
underlying portfolio of each Fund on a daily basis and to provide a
close estimate of that value throughout the trading day.
---------------------------------------------------------------------------

    \23\ Currently, the Exchange understands that several major
market data vendors display and/or make widely available IIV taken
from CTA or other data feeds.
---------------------------------------------------------------------------

    The IIV is the same as the Portfolio Indicative Value as defined in
NYSE Arca Equities Rule 8.600 (c)(3).
Creations and Redemptions of Shares
    According to the Registration Statement, each Fund will offer and
issue Shares only in aggregations of a specified number of Shares
(each, a ``Creation Unit''). Creation Unit sizes will be 50,000 Shares
per Creation Unit. The Creation Unit size for a Fund may change. Each
Fund will issue and redeem Shares only in Creation Units at the NAV
next determined after receipt of an order on a continuous basis on a
``Business Day''. A Business Day with respect to a Fund will be,
generally, any day on which the Exchange is open for business. The NAV
of a Fund will be determined once each Business Day, normally as of the
close of trading on the NYSE (normally, 4:00 p.m. E.T.). An order to
purchase or redeem Creation Units will be deemed to be received on the
Business Day on which the order is placed provided that the order is
placed in proper form prior to the applicable cut-off time (typically
required by 4:00 p.m. E.T. or 3:00 p.m. E.T. in the case of custom
orders).
    The consideration for purchase of a Creation Unit of a Fund will
generally consist of the ``in-kind'' deposit of a designated portfolio
of securities (the ``Deposit Securities'') per each Creation Unit and a
specified cash payment (the ``Cash Component''). However, consideration
may consist of the cash value of the Deposit Securities (``Deposit
Cash'') and the Cash Component.
    Together, the Deposit Securities or Deposit Cash, as applicable,
and the Cash Component will constitute the ``Fund Deposit,'' which
represents the minimum initial and subsequent investment amount for a
Creation Unit of any 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. The Cash Component will serve 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 (currently 9:30 a.m. E.T.),
the list of the names and the required number of shares of each Deposit
Security or the required amount of Deposit Cash, as applicable, to be
included in the current Fund Deposit (based on information at the end
of the previous Business Day) for a Fund. According to the Registration
Statement, the Trust

reserves the right to permit or require the substitution of an amount
of cash (i.e., a ``cash in lieu'' amount) to be added to the Cash
Component to replace any Deposit Security. The Adviser represents that,
to the extent the Trust permits or requires a ``cash in lieu'' amount,
such transactions will be effected in the same or equitable manner for
all authorized participants.
    Shares may be redeemed only in Creation Units at their NAV next
determined after receipt of a redemption request in proper form by a
Fund through the Transfer Agent and only on a Business Day.
    With respect to each Fund, the Custodian, through the NSCC, will
make available immediately prior to the opening of business on the
Exchange (currently 9:30 a.m. E.T.) on each Business Day, the list of
the names and share quantities of each Fund's portfolio securities that
will be applicable (subject to possible amendment or correction) to
redemption requests received in proper form on that day (``Fund
Securities'').
    Redemption proceeds for a Creation Unit typically will be paid in-
kind; however, such proceeds may be paid in cash or a combination of
in-kind and cash, as determined by the Trust. With respect to in-kind
redemptions of a 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
or minus 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 a Fund's Securities (the
``Cash Redemption Amount''), less a fixed redemption transaction fee
and any applicable additional variable charge. The Adviser represents
that all persons redeeming Shares during a Business Day will be treated
in the same manner with respect to payment of proceeds in-kind, in
cash, or in a combination thereof.
    The Trust may, in its discretion, exercise its option to redeem
Shares in cash, and the redeeming Shareholders will be required to
receive its redemption proceeds in cash, as described in the
Registration Statement. The investor will receive a cash payment equal
to the NAV of its Shares based on the NAV of Shares of the relevant
Fund next determined after the redemption request is received in proper
form. The Adviser represents that, to the extent the Trust effects a
redemption of Shares in cash, such transactions will be effected in the
same manner for all Authorized Participants.
Availability of Information
    Each Fund's Web site, www.wbishares.com, which will be publicly
available prior to the public offering of Shares, will include a form
of the prospectus for each Fund that may be downloaded. The Web site
will include additional quantitative information updated on a daily
basis, including (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''),\24\ 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 (9:30 a.m. E.T. to
4:00 p.m. E.T.) on the Exchange, each Fund will disclose on the Fund's
Web site the Disclosed Portfolio as defined in NYSE Arca Equities Rule
8.600(c)(2) that will form the basis for a Fund's calculation of NAV at
the end of the business day.\25\ The Web site information will be
publicly available at no charge.
---------------------------------------------------------------------------

    \24\ The Bid/Ask Price of each Fund will be determined using the
mid-point of the highest bid and the lowest offer on the Exchange as
of the time of calculation of each Fund's NAV. The records relating
to Bid/Ask Prices will be retained by each Fund and their service
providers.
    \25\ Under accounting procedures followed by each Funds, trades
made on the prior business day (``T'') will be booked and reflected
in NAV on the current business day (``T+1''). Accordingly, each 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, each Fund will disclose on the Fund's Web site
the following information regarding each portfolio holding, as
applicable to the type of holding: Ticker symbol, the individual
identifier (CUSIP) or other identifier, if any; a description of the
holding (including the type of holding, such as the type of swap); the
identity of the security, commodity, index or other asset or instrument
underlying the holding, if any; for options, the option strike price;
quantity held (as measured by, for example, par value, notional value
or number of shares, contracts or units); maturity date, if any; coupon
rate, if any; effective date, if any; market value of the holding; and
the percentage weighting of the holding in the Fund's portfolio. The
Web site information will be publicly available at no charge.
    In addition, a basket composition file, which includes the security
names and share quantities required to be delivered in exchange for
Fund Shares, together with estimates and actual cash components, will
be publicly disseminated daily prior to the opening of the NYSE via the
NSCC. The basket represents one Creation Unit of each Fund.
    Investors can also obtain the Trust's Statement of Additional
Information (``SAI''), Shareholder Reports and Form N-CSR. The Trust's
SAI and Shareholder Reports are available free upon request from the
Trust, and those documents and the Form N-CSR may be viewed on-screen
or downloaded from the Commission's Web site at www.sec.gov.
Information regarding market price and trading volume of the Shares
will be continually available on a real-time basis throughout the day
on brokers' computer screens and other electronic services. Information
regarding the previous day's closing price and trading volume
information for the Shares will be published daily in the financial
section of newspapers.
    Quotation and last-sale information for the Shares and underlying
domestic exchange listed equities securities, including common stocks,
preferred stocks, rights, warrants, convertibles, Depositary Receipts,
ETFs, ETNs, MLPs and REITS, will be available via the Consolidated Tape
Association (``CTA'') high-speed line and from the national securities
exchange on which they are listed. Quotation and last-sale information
for domestic exchange-listed options contracts will be available via
the Options Price Reporting Authority.
    Price information regarding equity securities and options traded on
non-U.S. securities exchanges will be available from the exchanges
trading such securities, automated quotation systems, published or
other public sources, or on-line information services such as Bloomberg
or Reuters.
    Quotation information for unsponsored Depositary Receipts will be
available from major market data vendors. Quotation information for
non-exchange-traded derivatives, including OTC options, forwards, and
swaps may be obtained from brokers and dealers who make markets in such
securities or major market data vendors. Price information on futures
and options on futures will be available from major market data vendors
and from securities and futures exchanges, as applicable.
    Quotation information for debt securities, including fixed,
floating and variable corporate debt securities, U.S. Government
securities, debt securities of foreign issuers, sovereign debt
securities, U.S. government agency securities and high-yield bonds,
will be

available from major market data vendors. In addition, quotation
information from brokers and dealers or major market data vendors will
be available for mortgage-backed; asset-backed securities; money market
instruments; short-term debt securities; and Financial Instruments.
    Additional information regarding the Trust and the Shares,
including investment strategies, risks, creation and redemption
procedures, fees (including money manager and other advisory or
management fees), portfolio holdings disclosure policies, distributions
and taxes is included in the Registration Statement. All terms relating
to each Fund that are referred to, but not defined in, this proposed
rule change are defined in the Registration Statement.
Trading Halts
    With respect to trading halts, the Exchange may consider all
relevant factors in exercising its discretion to halt or suspend
trading in the Shares of each Fund.\26\
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    \26\ See NYSE Arca Equities Rule 7.12, Commentary .04.
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    Trading in Shares of a 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 a 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 a Fund may be halted.
Trading Rules
    The Exchange deems the Shares to be equity securities, thus
rendering trading in the Shares subject to the Exchange's existing
rules governing the trading of equity securities. Shares will trade on
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. E.T. in accordance with
NYSE Arca Equities Rule 7.34 (Opening, Core, and Late Trading
Sessions). The Exchange has appropriate rules to facilitate
transactions in the Shares during all trading sessions. As provided in
NYSE Arca Equities Rule 7.6, Commentary .03, the minimum price
variation (``MPV'') for quoting and entry of orders in equity
securities traded on the NYSE Arca Marketplace is $0.01, with the
exception of securities that are priced less than $1.00 for which the
MPV for order entry is $0.0001.
    The Shares of each Fund will conform to the initial and continued
listing criteria under NYSE Arca Equities Rule 8.600. Consistent with
NYSE Arca Equities Rule 8.600(d)(2)(B)(ii), each Fund's Reporting
Authority will implement and maintain, or be subject to, procedures
designed to prevent the use and dissemination of material non-public
information regarding the actual components of each Fund's portfolio.
The Exchange represents that, for initial and/or continued listing,
each Fund will be in compliance with Rule 10A-3 \27\ under the Act, as
provided by NYSE Arca Equities Rule 5.3. A minimum of 100,000 Shares
will be outstanding at the commencement of trading on the Exchange. The
Exchange will obtain a representation from the issuer of the Shares
that the NAV per Share will be calculated daily and that the NAV and
the Disclosed Portfolio as defined in NYSE Arca Equities Rule
8.600(c)(2) will be made available to all market participants at the
same time.
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    \27\ 17 CFR 240.10A-3.
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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
that are designed to detect violations of Exchange rules and applicable
federal securities laws.\28\ The Exchange represents that these
procedures are adequate to properly monitor Exchange trading of the
Shares in all trading sessions and to detect and help deter violations
of Exchange rules and applicable federal securities laws.
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    \28\ FINRA surveils trading on the Exchange pursuant to a
regulatory services agreement. The Exchange is responsible for
FINRA's performance under this regulatory services agreement.
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    The 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, underlying exchange-traded equity
securities (including, without limitation, domestic and foreign common
stocks, preferred stocks, rights, warrants, convertibles, Depositary
Receipts, ETFs, ETNs, MLPs and REITS), exchange-traded options,
futures, options on futures contracts and options on securities indices
with markets and entities that are members of ISG, and FINRA may
obtain, on behalf of the Exchange, trading information regarding
trading in the Shares, underlying exchange-traded equity securities,
exchange-traded options, futures, options on futures contracts and
options on securities indices from such markets or entities. In
addition, the Exchange may obtain information regarding trading in the
Shares, underlying exchange-traded equity securities (including,
without limitation, domestic and foreign common stocks, preferred
stocks, rights, warrants, convertibles, Depositary Receipts, ETFs,
ETNs, MLPs and REITS), exchange-traded options, futures, options on
futures contracts and options on securities indices from markets and
entities that are members of ISG or with which the Exchange has in
place a comprehensive surveillance sharing agreement.\29\ FINRA, on
behalf of the Exchange, is able to access, as needed, trade information
for certain fixed income securities reported to FINRA's Trade Reporting
and Compliance Engine (``TRACE'').
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    \29\ 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 a Fund may trade on markets that are members
of ISG or with which the Exchange has in place a comprehensive
surveillance sharing agreement.
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    As noted above, not more than 10% of the net assets of a Fund in
the aggregate shall consist of unsponsored Depositary Receipts. Not
more than 10% of the net assets of each Fund in the aggregate invested
in exchange traded equity securities shall consist of equity securities
whose principal market is not a member of ISG or is a market with which
the Exchange does not have a comprehensive surveillance sharing
agreement. Furthermore, not more than 10% of the net assets of a Fund
in the aggregate shall consist of futures contracts or options
contracts whose principal market is not a member of ISG or is a market
with which the Exchange does not have a comprehensive surveillance
sharing agreement.
    In addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its
Equity Trading Permit (``ETP'') 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 ETP 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
IIV will not be calculated or publicly disseminated; (4) how
information regarding the IIV is disseminated; (5) the requirement that
ETP Holders deliver a prospectus to investors purchasing newly issued
Shares prior to or concurrently with the confirmation of a transaction;
and (6) trading information.
    In addition, the Bulletin will reference that a 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. E.T. each trading day.
2. Statutory Basis
    The basis under the Act for this proposed rule change is the
requirement under Section 6(b)(5) \30\ 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.
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    \30\ 15 U.S.C. 78f(b)(5).
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    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 Funds will continue to comply with all initial and continued
listing requirements under NYSE Arca Equities Rule 8.600.
    FINRA, on behalf of 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. FINRA, on behalf of the
Exchange, will communicate as needed regarding trading in the Shares,
underlying exchange-traded equity securities (including, without
limitation, domestic and foreign common stocks, preferred stocks,
rights, warrants, convertibles, Depositary Receipts, ETFs, ETNs, MLPs
and REITS), exchange-traded options, futures, options on futures
contracts and options on securities indices with markets and entities
that are members of ISG, and FINRA may obtain, on behalf of the
Exchange, trading information regarding trading in the Shares,
underlying exchange-traded equity securities, exchange-traded options,
futures, options on futures contracts and options on securities indices
from such markets or entities. In addition, the Exchange may obtain
information regarding trading in the Shares, underlying exchange-traded
equity securities (including, without limitation, domestic and foreign
common stocks, preferred stocks, rights, warrants, convertibles,
Depositary Receipts, ETFs, ETNs, MLPs and REITS), exchange-traded
options, futures, options on futures contracts and options on
securities indices from markets and entities that are members of ISG or
with which the Exchange has in place a comprehensive surveillance
sharing agreement. FINRA, on behalf of the Exchange, is able to access,
as needed, trade information for certain fixed income securities
reported to FINRA's TRACE.
    As noted above, not more than 10% of the net assets of a Fund in
the aggregate shall consist of unsponsored Depositary Receipts. Not
more than 10% of the net assets of each Fund in the aggregate invested
in exchange traded equity securities shall consist of equity securities
whose principal market is not a member of ISG or is a market with which
the Exchange does not have a comprehensive surveillance sharing
agreement. Furthermore, not more than 10% of the net assets of a Fund
in the aggregate shall consist of futures contracts or options
contracts whose principal market is not a member of ISG or is a market
with which the Exchange does not have a comprehensive surveillance
sharing agreement.
    Each Fund's investments will, under normal circumstances, be
consistent with its investment objective. Each Fund will not hold more
than 15% of its net assets in illiquid securities, including Rule 144A
securities. Each Fund will not invest in leveraged or inverse leveraged
(e.g., 2X, -2X, 3X, or -3X) ETFs.
    The Adviser is a registered broker-dealer and is affiliated with a
broker-dealer. The Sub-Adviser is also affiliated with a broker-dealer.
The Adviser and Sub-Adviser will accordingly implement a firewall with
respect to its relevant personnel and its broker-dealer affiliate
regarding access to information concerning the composition and/or
changes to a portfolio, and will be subject to procedures designed to
prevent the use and dissemination of material non-public information
regarding such portfolio. In the future, should (a) the Adviser and/or
Sub-Adviser become newly affiliated with another 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 firewall with
respect to such relevant personnel and/or its broker-dealer affiliate
to accomplish the same purposes discussed immediately above.
    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 Adviser will establish a firewall as discussed immediately
above. The Exchange will also obtain a representation from the issuer
of the Shares that the NAVs per Share will be calculated daily and that
the NAVs 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 each Fund and the Shares,
thereby promoting market transparency.
    Each 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 IIV
will be widely disseminated by one or more major market data vendors at
least every 15 seconds during the Core Trading Session. 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 will include a form of the prospectus for each Fund
and additional data relating to a Fund's NAVs and other applicable
quantitative information. On a daily basis, the Fund will disclose for
each portfolio holding of the Fund the following information: ticker
symbol, the individual identifier (CUSIP) or other identifier, if any;
a description of the holding (including the type of holding, such as
the type of swap); the identity of the security, commodity, index or
other asset or instrument underlying the holding, if any; for options,
the option strike price; quantity held (as measured by, for example,
par value, notional value or number of shares, contracts or units);
maturity date, if any; coupon rate, if

any; effective date, if any; market value of the holding; and the
percentage weighting of the holding in the Fund's portfolio. Prior to
the commencement of trading, the Exchange will inform its ETP Holders
in an Information Bulletin of the special characteristics and risks
associated with trading the Shares.
    Trading in Shares of each 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 each Fund may be halted.
In addition, as noted above, investors will have ready access to
information regarding each Fund's holdings, the IIV, 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
additional types of actively-managed exchange-traded products that will
enhance competition among market participants, to the benefit of
investors and the marketplace. As noted above, FINRA, on behalf of 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. In addition, as noted above, investors will have ready
access to information regarding each Fund's holdings, the IIV, the
Disclosed Portfolio, and quotation and last-sale information for the
Shares.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purpose of the Act. The Exchange notes that the
proposed rule change will facilitate the listing and trading of
additional types of actively-managed exchange-traded products that will
enhance competition among market participants, to the benefit of
investors and the marketplace.

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

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

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

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

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to<EMAIL_ADDRESS>Please include
File Number SR-NYSEArca-2014-67 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-2014-67. 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-2014-67 and should
be submitted on or before July 30, 2014.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\31\
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    \31\ 17 CFR 200.30-3(a)(12).
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Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2014-15964 Filed 7-8-14; 8:45 am]
BILLING CODE 8011-01-P