[Federal Register Volume 78, Number 35 (Thursday, February 21, 2013)]
[Notices]
[Pages 12110-12116]
[FR Doc No: 2013-03970]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-68930; File No. SR-NYSEArca-2013-14]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of Proposed Rule Change, as Modified by Amendment No. 1, Relating to
Listing and Trading of Shares of the Cambria Shareholder Yield ETF
Pursuant to NYSE Arca Equities Rule 8.600

February 14, 2013.
    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 January 31, 2013, 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 February 13, 2013, the Exchange filed Amendment No. 1
to the proposed rule change.\4\ 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.
    \4\ In Amendment No. 1, the Exchange: (1) made technical changes
to the proposed rule change to clarify how the net asset value of
the Cambria Shareholder Yield ETF would be calculated; and (2)
stated that quotation and last-sale information for many securities
held by the Cambria Shareholder Yield ETF would be available via the
Consolidated Tape Association high speed line.
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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 the following under NYSE
Arca Equities Rule 8.600 (``Managed Fund Shares''): Cambria Shareholder
Yield ETF. 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: Cambria
Shareholder Yield ETF (the ``Fund'').\6\ The Shares of the Fund will be
offered by Cambria ETF Trust (the ``Trust''). The Trust will be
registered with the Securities and Exchange Commission (``Commission'')
as an open-end management investment company.\7\ Cambria Investment
Management, L.P. will serve as the investment adviser to the Fund (the
``Adviser''). SEI Investments Distribution Co. (the ``Distributor'')
will be the principal underwriter and distributor of the Fund's Shares.
SEI Investments Global Funds Services (the ``Administrator'') will
serve as administrator for the Fund. Brown Brothers Harriman & Co. will
serve as the custodian and transfer agent for the Fund (``Custodian''
and ``Transfer Agent,'') respectively.
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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) (``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 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); 60460 (August 7, 2009), 74 FR 41468
(August 17, 2009) (SR-NYSEArca-2009-55) (order approving listing and
trading of Dent Tactical 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).
    \7\ The Trust will be registered under the 1940 Act. On July 6,
2012, the Trust filed an amendment to the Trust's registration
statement on Form N-1A under the Securities Act of 1933 (the ``1933
Act'') (15 U.S.C. 77a), and under the 1940 Act relating to the Fund
(File Nos. 333-180879 and 811-22704) (the ``Registration
Statement''). The description of the operation of the Trust and the
Fund herein is based, in part, on the Registration Statement. The
Trust filed an Amended and Restated Application for an Order under
Section 6(c) of the 1940 Act for exemptions from various provisions
of the 1940 Act and rules thereunder (File No. 812-13959), dated
November 13, 2012 (``Exemptive Application''). The Commission has
issued an order granting certain exemptive relief to the Trust under
the 1940 Act. See Investment Company Act Release No. 30340 (January
4, 2013) (``Exemptive Order''). Investments made by the Fund will
comply with the conditions set forth in the Exemptive Application
and the 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 of and/or
changes to such investment company portfolio. 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.\8\ 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 affiliated with any broker-
dealers. In the event (a) the Adviser or any sub-adviser becomes newly
affiliated with a broker-dealer, or (b) any new adviser or sub-adviser
becomes affiliated with a broker-dealer, it will implement a fire wall
with respect to such broker-dealer regarding access to information
concerning the composition of and/or changes to the portfolio, and will
be subject to procedures designed to prevent the use and dissemination
of material non-public information regarding the portfolio.
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    \8\ 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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Fund Investments

    According to the Registration Statement, the Fund seeks income and
capital appreciation with an emphasis on income from investments in the
U.S. equity market. The Fund will seek to achieve its investment
objective by investing, under normal market conditions,\9\ primarily in
equity securities that provide a high ``shareholder yield.'' The
Adviser views equity securities as providing a high shareholder yield
if they exhibit strong cash flows, as reflected by their payment of
dividends to shareholders and their return of capital to shareholders
in other forms, such as through net stock buybacks, net debt paydown,
mergers, acquisitions and other forms of reinvestment in the business.
The Adviser believes that, while any one of these measures of a
company's cash flows, in isolation, is inadequate to determine the
attractiveness of its equity securities, considered together these
measures have the potential to result in the construction of a
portfolio of companies with better cash flows, stronger growth
potential and higher yield characteristics. Considering these measures,
which comprise shareholder yield, together, therefore may result in a
more attractive investment portfolio.
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    \9\ The term ``under normal market conditions'' 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 Fund will invest primarily in equity securities, including the
common stock, of U.S. companies. The Fund may obtain a limited amount
of foreign and emerging markets exposure through investments in
depositary receipts, including American Depositary Receipts (``ADRs'')
and Global Depositary Receipts (``GDRs''). \10\ The Fund may invest in
securities of companies in any industry and of any market
capitalization. Although the Fund generally expects to invest in
companies with larger market capitalizations, the Fund may invest in
small- and mid-capitalization companies.
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    \10\ Depositary receipts are receipts, typically issued by a
bank or trust issuer, which evidence ownership of underlying
securities issued by a non-U.S. issuer. For ADRs, the depository is
typically a U.S. financial institution and the underlying securities
are issued by a non-U.S. issuer. Depositary receipts are not
necessarily denominated in the same currency as their underlying
securities. Generally, ADRs, issued in registered form, are designed
for use in the U.S. securities markets. In general, ADRs must be
sponsored, but the Fund may invest in unsponsored ADRs under certain
limited circumstances. It is expected that not more than 10% of the
net assets of the Fund will be invested in unsponsored ADRs. GDRs
are receipts typically issued by non-United States banks and trust
companies that evidence ownership of either foreign or domestic
securities. The Fund will invest only in ADRs and GDRs that are
traded on an exchange that is a member of the Intermarket
Surveillance Group (``ISG'') or with which the Exchange has in place
a comprehensive surveillance sharing agreement. See note 25, infra.
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    Cambria will utilize a quantitative model to identify which
securities the Fund might purchase and sell and opportune times for
purchases and sales. While the Fund will invest in approximately 100 of
the top equity securities as determined by their shareholder yield, the
quantity of holdings in the Fund will be based on a number of factors,
including the asset size of the Fund and the number of companies that
satisfy the Adviser's quantitative measurements at any one time.
Filters will be implemented to screen for companies that pass various
market capitalization, sector concentration, and liquidity
requirements. The Fund's portfolio will be rebalanced to the Adviser's
internal target allocations, developed pursuant to the Adviser's
strategy described above, at least quarterly.
    The Fund will not invest in non-US equity securities other than
through ADRs and GDRs.\11\
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    \11\ See note 10, supra.
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Other Investments
    According to the Registration Statement, to respond to adverse
market, economic, political or other conditions, the Fund may invest
100% of its total assets, without limitation, in high-quality debt
securities and money market instruments. The Fund may be invested in
these instruments for extended periods, depending on the Adviser's
assessment of market conditions. Debt securities and money market
instruments include shares of other fixed income or money market mutual
funds, commercial paper, certificates of deposit, bankers' acceptances,
U.S. Government securities, repurchase agreements and bonds that are
rated BBB or higher. While the Fund is in a defensive position, the
opportunity to achieve its investment objective will be limited.
Furthermore, to the extent that the Fund invests in money market mutual
funds, the Fund would bear its pro rata portion of such money market
fund's advisory fees and operational fees.\12\
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    \12\ Circumstances under which the Fund may temporarily depart
from its normal investment process include, but are not limited to,
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 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. 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 securities. Illiquid securities 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.\13\
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    \13\ 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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    The Fund may make secured loans of its portfolio securities;
however, securities loans will not be made if, as a result, the
aggregate amount of all outstanding securities loans by the Fund
exceeds 33\1/3\% of its total assets (including the market value of
collateral received). To the extent the Fund engages in securities
lending, securities loans will be made to broker-dealers that the
Adviser believes to be of relatively high credit standing pursuant to
agreements requiring that the loans continuously be collateralized by
cash, liquid securities, or shares of other investment companies with a
value at least equal to the market value of the loaned securities.
    The Fund may invest in preferred stocks. Preferred stocks include
convertible and non-convertible preferred and preference stocks that
are senior to common stock. Preferred stocks are equity securities that
are senior to common stock with respect to the right to receive
dividends and a fixed share of the proceeds resulting from the issuer's
liquidation. Some preferred stocks also entitle their holders to
receive additional liquidation proceeds on the same basis as holders of
the issuer's common stock, and thus represent an ownership interest in
the issuer.
    The Fund may enter into repurchase agreements with banks and
broker-dealers. A repurchase agreement is an agreement under which
securities are acquired by a Fund from a securities dealer or bank
subject to resale at an agreed upon price on a later date. The
acquiring Fund bears a risk of loss in the event that the other party
to a repurchase agreement defaults on its obligations and the Fund is
delayed or prevented from exercising its rights to dispose of the
collateral securities.
    The Fund may invest in U.S. government securities and foreign
government securities rated BBB or higher. U.S. government securities
include securities issued or guaranteed by the U.S. government or its
authorities, agencies, or instrumentalities. Foreign government
securities include securities issued or guaranteed by foreign
governments (including political subdivisions) or their authorities,
agencies, or instrumentalities or by supra-national agencies.
    The Fund may invest in the securities of other investment companies
(including money market funds) to the extent permitted under the 1940
Act. Under the 1940 Act, the Fund's investment in investment companies
is limited to, subject to certain exceptions: (i) 3% of the total
outstanding voting stock of any one investment company, (ii) 5% of the
Fund's total assets with respect to any one investment company and
(iii) 10% of the Fund's total assets of investment companies in the
aggregate.
    The Fund will be classified as a ``diversified'' investment company
under the 1940 Act.\14\
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    \14\ The diversification standard is set forth in Section
5(b)(1) of the 1940 Act.
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    The Fund will not purchase the securities of issuers conducting
their principal business activity in the same industry if, immediately
after the purchase and as a result thereof, the value of the Fund's
investments in that industry would equal or exceed 25% of the current
value of the Fund's total assets, provided that this restriction does
not limit the Fund's: (i) Investments in securities of other investment
companies, (ii) investments in securities issued or guaranteed by the
U.S. government, its agencies or instrumentalities, or (iii)
investments in repurchase agreements collateralized by U.S. government
securities.\15\
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    \15\ See Form N-1A, Item 9. The Commission has taken the
position that a fund is concentrated if it invests more than 25% of
the value of its total assets in any one industry. See, e.g.,
Investment Company Act Release No. 9011 (October 30, 1975), 40 FR
54241 (November 21, 1975).
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    The Fund intends to qualify for and to elect treatment as a
separate regulated investment company (``RIC'') under Subchapter M of
the Internal Revenue Code.\16\
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    \16\ 26 U.S.C. 851 et seq.
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    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 \17\ 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 net asset value (``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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    \17\ 17 CFR 240.10A-3.
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    The Fund will not invest in options, futures or swaps. The Fund's
investments will be consistent with its respective investment objective
and will not be used to enhance leverage.
Creation and Redemption of Shares
    According to the Registration Statement, the Fund will issue and
redeem Shares on a continuous basis at NAV in aggregations of 50,000
Shares (``Creation Units'').
    The consideration for a Creation Unit of a Fund will be the ``Fund
Deposit,'' which will consist of the basket of securities to be
deposited to purchase Creation Units of the Fund (the ``In-Kind
Creation Basket''). The Fund Deposit will consist of the In-Kind
Creation Basket and an amount of cash consisting of a ``Balancing
Amount'' (as described below) and a transaction fee calculated in
connection with creations (together with the Balancing Amount, the
``Cash Component''), or a Cash Component that includes an all cash
payment (``Cash Value'').
    In addition to the In-Kind Creation Basket, a purchaser will
typically pay to the Fund a ``Balancing Amount'' reflecting the
difference, if any, between the NAV of a Creation Unit and the market
value of the securities in the In-Kind Creation Basket. If the NAV per
Creation Unit exceeds the market value of the securities in the In-Kind
Creation Basket, the purchaser will pay the Balancing Amount to the
Fund. By contrast, if the NAV per Creation Unit is less than the market
value of the securities in the In-Kind Creation Basket, the Fund will
pay the Balancing Amount to the purchaser. The Balancing Amount ensures
that the consideration paid by an investor for a Creation Unit is
exactly equal to the value of the Creation Unit.
    A portfolio composition file, to be sent via the National
Securities Clearing Corporation (``NSCC''), will be made available on
each business day, prior to the opening of business on the Exchange
(currently 9:30 a.m., Eastern time), a list of the names and the
required number of shares of each security in the In-Kind Creation
Basket to be included in the current Fund Deposit for the Fund (based
on information about the Fund's portfolio at the end of the previous
business day). In addition, on each business day, the estimated Cash
Component, effective through and including the previous business day,
will be made available through NSCC.
    The In-Kind Creation Basket is applicable for purchases of Creation
Units of the Fund until such time as the next-announced In-Kind
Creation Basket is made available. The Fund reserves the right to
accept a nonconforming (i.e., custom) Fund Deposit. In addition, the
composition of

the In-Kind Creation Basket may change as, among other things,
corporate actions and investment decisions by the Adviser are
implemented for the Fund's portfolio.
    All purchase orders must be placed by or through an ``Authorized
Participant''. An Authorized Participant must be either a broker-dealer
or other participant in the Continuous Net Settlement System
(``Clearing Process'') of the NSCC or a participant in The Depository
Trust Company (``DTC'') with access to the DTC system, and must execute
an agreement with the Distributor that governs transactions in the
Fund's Creation Units. In-kind portions of purchase orders will be
processed through the Clearing Process when it is available.
    Fund 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 Distributor and only on a business day. The
redemption proceeds for a Creation Unit will consist of the basket of
securities a shareholder will receive upon redemption of a Creation
unit (the ``In-Kind Redemption Basket'') and an amount of cash
consisting of a Balancing Amount and a transaction fee (the ``Cash
Redemption Amount''), or, in certain circumstances, the Cash Value, in
all instances equal to the value of a Creation Unit. In addition,
investors may incur brokerage and other costs in connection with
assembling a Creation Unit.
    The redemption proceeds for a Creation Unit generally consist of
the In-Kind Redemption Basket and a Cash Redemption Amount (``Fund
Redemption''), which consists of a Balancing Amount and a Transaction
Fee. In lieu of the In-Kind Redemption Basket and Balancing Amount,
Creation Units may be redeemed consisting solely of cash in an amount
equal to the NAV of a Creation Unit (the ``Cash Value''). In such
instances, information about the Cash Value of a Creation Unit also
will be published. The Fund reserves the right to accept a
nonconforming (i.e., custom) Fund Redemption.\18\
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    \18\ As stated in the Exemptive Application, the Fund may, in
certain circumstances, allow cash creations or partial cash
creations but not redemptions (or vice versa) if: (a) There is a
Balancing Amount; (b) the Fund announces before the open of trading
that all purchases, all redemptions or all purchases and redemptions
on that day will be made entirely in cash; (c) upon receiving a
purchase or redemption order from an Authorized Participant the Fund
determines to require the purchase or redemption to be made entirely
in cash because, among other things, it would benefit the Fund and
its investors; (d) the Fund requires all Authorized Participants
purchasing or redeeming Shares on that day to deposit or receive (as
applicable) cash in lieu of some or all of the In-Kind Creation
Basket or In-Kind Redemption Basket, respectively, solely because
(i) certain instruments therein are not eligible for transfer
through either the NSCC Process or DTC Process (as described in the
Exemptive Application) or (ii) such instruments are not eligible for
trading due to local (foreign) trading or transfer restrictions or
the like; or (e) the Fund permits an Authorized Participant to
deposit or receive (as applicable) cash in lieu of some or all of
the In-Kind Creation Basket or In-Kind Redemption Basket,
respectively, solely because (i) certain instruments therein are, in
the case of the purchase of a Creation Unit, not available in
sufficient quantity, (ii) such instruments are not eligible for
trading by an Authorized Participant or the investor on whose behalf
the Authorized Participant is acting, or (iii) an investor would be
subject to unfavorable income tax treatment based on receipt of
redemption proceeds in kind. According to the Registration
Statement, an additional variable charge for cash or partial cash
creations, and cash or partial cash redemptions, may also be imposed
to compensate the Fund for the costs associated with buying the
applicable securities.
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    The right of redemption may be suspended or the date of payment
postponed: (i) For any period during which the New York Stock Exchange
(``NYSE'') is closed (other than customary weekend and holiday
closings); (ii) for any period during which trading on the NYSE is
suspended or restricted; (iii) for any period during which an emergency
exists as a result of which disposal of the Shares or determination of
the Fund's NAV is not reasonably practicable; or (iv) in such other
circumstances as permitted by the Commission.
    For an order involving a Creation Unit to be effectuated at the
Fund's NAV on a particular day, it must be received by the Distributor
by or before the deadline for such order (``Order Cut-Off Time''). The
Order Cut-Off Time for creation and redemption orders for the Fund is
generally expected to be 4:00 p.m. Eastern time for In-Kind Creation
and Redemption Baskets, and 2:00 p.m. Eastern time for Cash Value
transactions. In-Kind Creation and Redemption Baskets are expected to
be accepted until the close of regular trading on the Exchange on each
business day, which is usually 4:00 p.m. Eastern time. A standard
redemption transaction fee will be imposed to offset transfer and other
transaction costs that may be incurred by the Fund.
    Detailed descriptions of the Fund's procedures for creating and
redeeming Shares, transaction fees and expenses, dividends,
distributions, taxes, risks, and reports to be distributed to
beneficial owners of the Shares can be found in the Registration
Statement or on the Web site for the Fund (www.cambriafunds.com), as
applicable.
Determination of Net Asset Value
    According to the Registration Statement, the NAV of the Fund will
be calculated each business day as of the close of regular trading on
the NYSE, generally 4:00 p.m., Eastern time. The Fund will calculate
its NAV per Share by taking the current market value of its total
assets, subtracting any liabilities, and dividing that amount by the
total number of Shares owned by shareholders.
    When calculating the NAV of the Fund's Shares, expenses are accrued
and applied daily and stocks held by the Fund will be valued at their
market value when reliable market quotations are readily available.
Equity securities will be valued primarily on the basis of market
prices reported on stock exchanges and other securities markets around
the world. If a security is listed on a national securities exchange,
the security will be valued at the closing price or, if the closing
price is not readily available, the mean of the closing bid and ask
prices. Unlisted securities for which market quotations are readily
available will be valued at the last sale price, if available, or, if
the last sale price is unavailable, at the mean of the closing bid and
ask prices, if both such prices are readily available, or, if both such
prices are unavailable, at the last quoted bid price, as applicable.
Debt securities and other assets for which market quotations are
readily available will be valued at market values in the principal
market in which they normally are traded, as furnished by recognized
dealers in such securities or assets. Certain equity securities, debt
securities and other assets will be valued differently. For instance,
fixed-income investments maturing in 60 days or less will be valued
primarily using the amortized cost method. Investments in open-end
funds are valued at their NAVs. Both market quotations and indicative
bids are obtained from outside pricing services approved and monitored
pursuant to a policy approved by the Fund's Board of Trustees.
    If a market price is not readily available or is deemed not to
reflect market value, the Fund will determine the price of the security
held by the Fund based on a determination of the security's fair value
pursuant to a policy approved by the Fund's Board of Trustees.
Availability of Information
    The Fund's Web site (www.cambriafunds.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) 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''),\19\ 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 that will
form the basis for the Fund's calculation of NAV at the end of the
business day.\20\
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    \19\ The Bid/Ask Price of the 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 the Fund's NAV. The records relating
to Bid/Ask Prices will be retained by the Fund and its service
providers.
    \20\ Under accounting procedures to be followed by the Fund,
trades made on the prior business day (``T'') will be booked and
reflected in NAV on the current business day (``T+1''). Accordingly,
the Fund will be able to disclose at the beginning of the business
day the portfolio that will form the basis for the NAV calculation
at the end of the business day.
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    On a daily basis, the Adviser will disclose for each portfolio
security or other financial instrument of the Fund the following
information on the Fund's Web site: Ticker symbol (if applicable), name
of security and financial instrument, number of shares or 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 will represent one Creation Unit of Shares 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 are expected to be published daily in the
financial section of newspapers. Quotation and last sale information
for the Shares and many securities held by the Fund will be available
via the Consolidated Tape Association (``CTA'') high-speed line. In
addition, the Indicative Optimized Portfolio Value (``IOPV''),\21\
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 Core Trading Session by one or more major market
data vendors.\22\ The dissemination of the IOPV, together with the
Disclosed Portfolio, will allow investors to determine the value of the
underlying portfolio of the Fund on a daily basis and to provide a
close estimate of that value throughout the trading day. The intra-day,
closing and settlement prices of the portfolio securities and other
Fund investments will also 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.
---------------------------------------------------------------------------

    \21\ The IOPV calculations will be estimates 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. The quotations of certain Fund holdings may not be updated
during U.S. trading hours if such holdings do not trade in the
United States. Premiums and discounts between the IOPV and the
market price may occur. This should not be viewed as a ``real-time''
update of the NAV per Share of the Fund, which will be calculated
only once a day.
    \22\ Currently, it is the Exchange's understanding that several
major market data vendors display and/or make widely available IOPVs
taken from the CTA or other data feeds.
---------------------------------------------------------------------------

    Additional information regarding the Trust and the Shares,
including investment strategies, risks, creation and redemption
procedures, fees, portfolio holdings disclosure policies, distributions
and taxes is included in the Registration Statement. All terms relating
to the Fund that are referred to, but not defined in, this proposed
rule change are defined in the Registration Statement.
Trading Halts
    With respect to trading halts, the Exchange may consider all
relevant factors in exercising its discretion to halt or suspend
trading in the Shares of the Fund.\23\ 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.
---------------------------------------------------------------------------

    \23\ See NYSE Arca Equities Rule 7.12, Commentary .04.
---------------------------------------------------------------------------

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.
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.\24\ 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
applicable federal securities laws.
---------------------------------------------------------------------------

    \24\ 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 with other markets that are members of the Intermarket
Surveillance Group (``ISG'') or with which the Exchange has in place a
comprehensive surveillance sharing agreement.\25\
---------------------------------------------------------------------------

    \25\ For a list of the current members of ISG, see
www.isgportal.org. The Exchange notes that not all components of the
Disclosed Portfolio for the Fund may trade on markets that are
members of ISG or with which the Exchange has in place a
comprehensive surveillance sharing agreement.
---------------------------------------------------------------------------

    In addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its
Equity Trading Permit (``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 IOPV will not be calculated or publicly
disseminated; (4) how information regarding the IOPV 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 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) \26\ 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.
---------------------------------------------------------------------------

    \26\ 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 Shares will be subject to the existing trading
surveillances, administered by FINRA on behalf of the Exchange, which
are designed to detect violations of Exchange rules and applicable
federal securities laws. The Adviser is not affiliated with any broker-
dealers. In the event (a) the Adviser or any sub-adviser becomes newly
affiliated with a broker-dealer, or (b) any new adviser or sub-adviser
becomes affiliated with a broker-dealer, it will implement a ``fire
wall'' with respect to such broker-dealer regarding access to
information concerning the composition and/or changes to the Fund's
portfolio. FINRA, on behalf of the Exchange, 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. It is expected that not more than 10% of the net assets of
the Fund will be invested in unsponsored ADRs. The Fund will invest
only in GDRs that are traded on an exchange that is a member of the ISG
or with which the Exchange has in place a comprehensive surveillance
sharing agreement. The Fund may invest in U.S. government securities
and foreign government securities rated BBB or higher. The Fund may
invest up to 15% of its net assets in illiquid securities (calculated
at the time of investment), including Rule 144A securities.
    The proposed rule change is designed to promote just and equitable
principles of trade and to protect investors and the public interest in
that the Exchange will obtain a representation from the issuer of the
Shares that the NAV per Share will be calculated daily and that the NAV
and the Disclosed Portfolio will be made available to all market
participants at the same time. In addition, a large amount of
information is publicly available regarding the Fund and the Shares,
thereby promoting market transparency. Moreover, the 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. 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 and many
securities held by the Fund 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 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 ETP Holders in an
Information Bulletin of the special characteristics and risks
associated with trading the Shares. Trading in Shares of the Fund will
be halted if the circuit breaker parameters in NYSE Arca Equities Rule
7.12 have been reached or because of market conditions or for reasons
that, in the view of the Exchange, make trading in the Shares
inadvisable, and trading in the Shares will be subject to NYSE Arca
Equities Rule 8.600(d)(2)(D), which sets forth circumstances under
which Shares of the Fund may be halted. In addition, as noted above,
investors will have 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 Shares will be
subject to the existing trading surveillances, administered by FINRA on
behalf of the Exchange, which are designed to detect violations of
Exchange rules and applicable federal securities laws and FINRA, on
behalf of the Exchange, 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 Fund will not invest in options, futures or swaps. The
Fund's investments will be consistent with its investment objective and
will not be used to enhance leverage.

Self-Regulatory Organization's Statement on Burden on Competition

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

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

    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 such 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 No. SR-NYSEArca-2013-14 on the subject line.
Paper Comments
     Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street NE.,
Washington, DC 20549-1090.

All submissions should refer to File No. SR-NYSEArca-2013-14. 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 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 also will be available for inspection
and copying at the principal office of the Exchange. All comments
received will be posted without change; the Commission does not edit
personal identifying information from submissions. You should submit
only information that you wish to make available publicly. All
submissions should refer to File No. SR-NYSEArca-2013-14 and should be
submitted on or before March 14, 2013.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\27\
---------------------------------------------------------------------------

    \27\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2013-03970 Filed 2-20-13; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register Volume 88, Number 48 (Monday, March 13, 2023)]
[Notices]
[Page 15387]
[FR Doc No: 2023-05013]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Docket No. ER23-1238-000]

ORNI 36 LLC; Supplemental Notice That Initial Market-Based Rate
Filing Includes Request for Blanket Section 204 Authorization

    This is a supplemental notice in the above-referenced proceeding of
ORNI 36 LLC's application for market-based rate authority, with an
accompanying rate tariff, noting that such application includes a
request for blanket authorization, under 18 CFR part 34, of future
issuances of securities and assumptions of liability.
    Any person desiring to intervene or to protest should file with the
Federal Energy Regulatory Commission, 888 First Street NE, Washington,
DC 20426, in accordance with Rules 211 and 214 of the Commission's
Rules of Practice and Procedure (18 CFR 385.211 and 385.214). Anyone
filing a motion to intervene or protest must serve a copy of that
document on the Applicant.
    Notice is hereby given that the deadline for filing protests with
regard to the applicant's request for blanket authorization, under 18
CFR part 34, of future issuances of securities and assumptions of
liability, is March 27, 2023.
    The Commission encourages electronic submission of protests and
interventions in lieu of paper, using the FERC Online links at http://www.ferc.gov. To facilitate electronic service, persons with internet
access who will eFile a document and/or be listed as a contact for an
intervenor must create and validate an eRegistration account using the
eRegistration link. Select the eFiling link to log on and submit the
intervention or protests.
    Persons unable to file electronically may mail similar pleadings to
the Federal Energy Regulatory Commission, 888 First Street NE,
Washington, DC 20426. Hand delivered submissions in docketed
proceedings should be delivered to Health and Human Services, 12225
Wilkins Avenue, Rockville, Maryland 20852.
    In addition to publishing the full text of this document in the
Federal Register, the Commission provides all interested persons an
opportunity to view and/or print the contents of this document via the
internet through the Commission's Home Page (http://www.ferc.gov) using
the ``eLibrary'' link. Enter the docket number excluding the last three
digits in the docket number field to access the document. At this time,
the Commission has suspended access to the Commission's Public
Reference Room, due to the proclamation declaring a National Emergency
concerning the Novel Coronavirus Disease (COVID-19), issued by the
President on March 13, 2020. For assistance, contact the Federal Energy
Regulatory Commission at [email protected] or call toll-free,
(886) 208-3676 or TYY,<PHONE_NUMBER>.

    Dated: March 6, 2023.
Debbie-Anne A. Reese,
Deputy Secretary.
[FR Doc. 2023-05013 Filed 3-10-23; 8:45 am]
BILLING CODE 6717-01-P