April 8, 2015.
On February 3, 2015, NYSE Arca, Inc. (“NYSEArca” or “Exchange”) filed with the Securities and Exchange Commission (“Commission”), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act” or “Exchange Act”) 
and Rule 19b-4 thereunder,
a proposed rule change to list and trade shares (“Shares”) of the WisdomTree Put Write Strategy Fund (“Fund”). The proposed rule change was published for comment in the Federal Register on February 24, 2015.
The Commission received no comments on the proposal. This order approves the proposed rule change.
II. Description of Proposed Rule Change
A. In General
The Exchange proposes to list and trade the Shares under Commentary .01 to NYSE Arca Equities Rule 5.2(j)(3), which governs the listing and trading of Investment Company Units (“Units”) on the Exchange.
The Exchange may generically list Units that meet all of the requirements of Commentary .01. The Exchange represents that the Fund and the Index meet all of the requirements of the listing standards for Units in Rule 5.2(j)(3) and the requirements of Commentary .01, except the requirements in Commentary .01(a)(A)(1)-(5), which set forth requirements for components of an index or portfolio of US Component Stocks.
As discussed in the Notice, the index underlying the Fund will consist primarily of S&P 500 Index put options (“SPX Puts”), which are not US Component Stocks,
and therefore the index does not satisfy the requirements of Commentary .01(a)(A)(1)-(5).
The Shares will be offered by the WisdomTree Trust (“Trust”),
a registered investment company. WisdomTree Asset Management, Inc. will be the investment adviser (“Adviser”) to the Fund.
The Exchange represents that the Adviser is not registered as, or affiliated with, a broker-dealer. Mellon Capital Management will serve as sub-adviser for the Fund (“Sub-Adviser”).
State Street Bank and Trust Company will be the administrator, custodian and transfer agent for the Trust. Foreside Fund Services, LLC will serve as the distributor for the Fund (“Distributor”).
The Fund is an index-based exchange traded fund (“ETF”) that will seek investment results that before fees and expenses, closely correspond to the price and yield performance of the CBOE S&P 500 Put Write Index (“Index”). The Index was developed and is maintained by the Chicago Board Options Exchange, Inc. (“CBOE” or the “Index Provider”). Neither the Trust, the Adviser, the Sub-Adviser, State Street Bank and Trust Company, nor the Distributor is affiliated with the Index Provider.
B. The Exchange's Description of the Fund
The Exchange has made the following representations and statements in describing the Fund and its investment strategies, including other portfolio holdings and investment restrictions.
1. Principal Investments of the Fund
The Fund will seek investment results that, before fees and expenses, closely correspond to the price and yield performance of the Index. The Index tracks the value of a passive investment strategy, which consists of overlaying “SPX Puts” over a money market account invested in one and three-month Treasury bills (“PUT Strategy”).
The Fund will invest at least 80% of its assets in SPX Puts and short-term U.S. Treasury securities.
The Fund's investment strategy will be designed to sell a sequence of one-month, at-the-money, SPX Puts and to invest cash at Start Printed Page 20039one and three-month Treasury bill rates. The number of SPX Puts sold will vary from month to month, but will be limited to permit the amount held in the Fund's investment in Treasury bills to finance the maximum possible loss from final settlement of the SPX Puts.
The SPX Puts will be struck at-the-money and will be sold on a monthly basis on the Roll Date, (i.e., the same Roll Date as that used by the Index), which matches the expiration date of the SPX Put options. At each Roll Date, any settlement loss from the expiring SPX Puts will be financed by the Fund's Treasury bill investments and a new batch of at-the-money SPX Puts will be sold. The revenue from their sale will be added to the Treasury bill account. In March quarterly cycle months, the three-month Treasury bills will be deemed to mature, and so the total cash available will be reinvested at the three-month Treasury bill rate. In other months, the revenue from the sale of puts will be invested separately at the one-month Treasury bill rate.
2. Other Investments of the Fund
While the Fund, under normal circumstances,
will invest in investments as described above, the Fund may also invest in other certain investments as described below.
The Fund may invest its remaining assets in short-term, high quality securities issued or guaranteed by the U.S. government (in addition to U.S. Treasury securities) and non-U.S. governments, and each of their agencies and instrumentalities; U.S. government sponsored enterprises; repurchase agreements backed by U.S. government and non-U.S. government securities; money market mutual funds; and deposit and other obligations of U.S. and non-U.S. banks and financial institutions (“money market instruments”) 
and derivative instruments or other investments. The Fund may invest up to 20% of its net assets (in the aggregate) in one or more of the following investments not included in the Index: S&P 500 ETF put options,
total return swaps on the Index,
S&P 500 Index futures (including E-mini S&P 500 Futures), or options on S&P 500 Index futures,
whose collective performance is intended to correspond to the Index.
The Fund, may invest up to 10% of its assets in over-the-counter S&P 500 Index put options (“OTC S&P 500 Index put options”).
The Fund may invest up to 20% of its assets in other exchange traded products (“ETPs”), such as other ETFs, as well as in non-exchange-traded registered open-end investment companies.
The Fund may invest in securities (other than U.S. Treasury securities, described above) that have variable or floating interest rates which are readjusted on set dates (such as the last day of the month or calendar quarter) in the case of variable rates or whenever a specified interest rate change occurs in the case of a floating rate instrument.
III. Discussion and Commission's Findings
After careful review, the Commission finds that the proposed rule change is consistent with the requirements of Section 6 of the Act 
and the rules and regulations thereunder applicable to a national securities exchange.
In particular, the Commission finds that the proposal is consistent with Section 6(b)(5) of the Act,
which requires, among other things, that the Exchange's rules be designed to promote just and equitable principles of trade, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. The Commission also finds that the proposal to list and trade the Shares on the Exchange is consistent with Section 11A(a)(1)(C)(iii) of the Act,
which sets forth Congress' finding that it is in the public interest and appropriate for the protection of investors and the maintenance of fair and orderly markets to assure the availability to brokers, dealers, and investors of information with respect to quotations for, and transactions in, securities.
Quotation and last-sale information for the Shares and any ETP in which it invests will be available via the Consolidated Tape Association (“CTA”) high-speed line. In addition, the Intraday Indicative Value (“IIV”) as defined in NYSE Arca Equities Rule 5.3(j)(3), Commentary .01(c) will be Start Printed Page 20040widely disseminated at least every fifteen seconds during the NYSE Arca Core Trading Session by one or more major market data vendors.
On each business day before commencement of trading in Shares in the Core Trading Session, the Trust will disclose for each portfolio holding, as applicable to the type of holding, the following information on its Web site: Ticker symbol, CUSIP number or other identifier, if any; a description of the holding (including the type of holding, such as the type of swap); the identity of the security, commodity, index or other asset or instrument underlying the holding, if any; for options, the option strike price; quantity held (as measured by, for example, par value, notional value or number of shares, contracts or units); maturity date, if any; coupon rate, if any; 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 portfolio composition file, which includes the security names and quantities of securities and other assets 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 Exchange via National Securities Clearing Corporation. The NAV of the Fund will be calculated as of the close of trading (normally 4:00 p.m., Eastern Time) on each day the Exchange is open for business.
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. Intra-day, closing and settlement prices of exchange-traded portfolio assets, including investment companies, futures and options, will be readily available from the securities exchanges and futures exchanges trading such securities and futures (as the case may be), automated quotation systems, published or other public sources, or online information services such as Bloomberg or Reuters. Quotation and last-sale information for U.S. exchange-listed options is available via Options Price Reporting Authority. Price information on fixed income portfolio securities, including money market instruments, and other Fund assets traded in the over-the-counter markets, including bonds and money market instruments, is available from major broker-dealer firms or market data vendors, as well as from automated quotation systems, published or other public sources, or online information services. In addition, the value of the Index will be published by one or more major market data vendors every 15 seconds during the NYSE Arca Core Trading Session of 9:30 a.m. ET to 4:00 p.m. ET. Information about the Index constituents, the weighting of the constituents, the Index's methodology and the Index's rules will be available at no charge on the Index Provider's Web site at www.CBOE.com.
The Commission further believes that the proposal to list and trade the Shares is reasonably designed to promote fair disclosure of information that may be necessary to price the Shares appropriately and to prevent trading when a reasonable degree of transparency cannot be assured. The Exchange will obtain a representation from the issuer of the Shares that the NAV per Share will be calculated daily and that the NAV will be made available to all market participants at the same time. Trading in Shares 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.
The Exchange states that it has a general policy prohibiting the distribution of material, non-public information by its employees. In addition, the Exchange states that the Adviser is not registered as, or affiliated with, a broker-dealer and that, in the event it becomes registered as a broker-dealer or newly affiliated with a broker-dealer, the Adviser will implement a fire wall with respect to such broker-dealer function or affiliate regarding access to information concerning the composition and changes to the Fund's portfolio.
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.
The Exchange further represents that these procedures are adequate to properly monitor Exchange trading of the Shares in all trading sessions and to deter and detect violations of Exchange rules and federal securities laws applicable to trading on the Exchange. Moreover, prior to the commencement of trading, the Exchange states that it will inform its Equity Trading Permit Holders in an Information Bulletin of the special characteristics and risks associated with trading the Shares.
The Commission notes that the Shares and the Fund must comply with the initial and continued listing criteria in NYSE Arca Equities Rules 5.2(j)(3) and 5.5(g)(2) for the Shares to be listed and traded on the Exchange. The Exchange represents that it deems the Shares to be equity securities, thus rendering trading in the Shares subject to the Exchange's existing rules governing the trading of equity securities. In support of this proposal, the Exchange has also made the following representations:
(1) The Shares conform to the initial and continued listing criteria under NYSE Arca Equities Rules 5.2(j)(3) and 5.5(g)(2), except that the Index will not meet the requirements of NYSE Arca Equities Rule 5.2(j)(3), Commentary .01(a)(A)(1-5).
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(2) The Exchange has appropriate rules to facilitate transactions in the Shares during all trading sessions.
(3) FINRA, on behalf of the Exchange, will communicate as needed regarding trading in the Shares, exchange-listed equity securities, futures contracts, and exchange-traded options contracts with other markets and other entities that are members of ISG, and FINRA, on behalf of the Exchange, may obtain trading information regarding trading in the Shares, exchange-listed equity securities, futures contacts and exchange-traded options contracts from such markets and other entities. In addition, the Exchange may obtain information regarding trading in the Shares, exchange-listed equity securities, futures contacts and exchange-traded options contracts from markets and other entities that are members of ISG or with which the Exchange has in place a comprehensive surveillance sharing agreement.
(4) Prior to the commencement of trading, the Exchange will inform its Equity Trading Permit Holders in an Information Bulletin of the special characteristics and risks associated with trading the Shares. Specifically, the Information Bulletin will discuss the following: (a) the procedures for purchases and redemptions of Shares in creation units (and that Shares are not individually redeemable); (b) NYSE Arca Equities Rule 9.2(a), which imposes a duty of due diligence on its Equity Trading Permit Holders to learn the essential facts relating to every customer prior to trading the Shares; (c) the risks involved in trading the Shares during the Opening and Late Trading Sessions when an updated IIV or Index value will not be calculated or publicly disseminated; (d) how information regarding the IIV and Index Value is disseminated; (e) the requirement that Equity Trading Permit Holders deliver a prospectus to investors purchasing newly issued Shares prior to or concurrently with the confirmation of a transaction; and (f) trading information.
(5) For initial and continued listing, the Fund will be in compliance with Rule 10A-3 under the Act,
as provided by NYSE Arca Equities Rule 5.3.
(6) The Fund may hold up to an aggregate amount of 15% of its net assets in illiquid assets (calculated at the time of investment).
(7) A minimum of 100,000 Shares for the Fund will be outstanding at the commencement of trading on the Exchange.
(8) All futures contracts in which the Fund may invest will be listed on U.S. that are members of the ISG.
This approval order is based on all of the Exchange's representations, including those set forth above and in the Notice.
For the foregoing reasons, the Commission finds that the proposed rule change is consistent with Section 6(b)(5) of the Act 
and the rules and regulations thereunder applicable to a national securities exchange.
It is therefore ordered, pursuant to Section 19(b)(2) of the Act,
that the proposed rule change (SR-NYSEArca-2015-05) be, and it hereby is, approved.
For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.
Brent J. Fields,
[FR Doc. 2015-08447 Filed 4-13-15; 8:45 am]
BILLING CODE 8011-01-P